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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7436
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THE DFA INVESTMENT TRUST COMPANY
(Exact name of registrant as specified in charter)
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6300 Bee Cave Road, Building One, Austin, TX 78746
(Address of principal executive offices) (Zip code)
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Catherine L. Newell, Esquire, Vice President and Secretary
The DFA Investment Trust Company,
6300 Bee Cave Road, Building One, Austin, TX 78746
(Name and address of agent for service)
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Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: October 31, 2012
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ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO] Dimensional
ANNUAL REPORT
year ended: October 31, 2012
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL EMERGING MARKETS VALUE FUND
[LOGO] Dimensional
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
November 2012
Dear Fellow Shareholder,
Working to understand the needs of clients has always been among our most
important objectives at Dimensional. We believe that our ability to provide
investment solutions has helped Dimensional become a trusted partner and
resource for our clients. We've worked hard to build trust and have earned many
long-standing client relationships. This demonstrates our commitment to client
service, the stability of our organization, the breadth of our strategies, and
the consistency of our investment approach. We believe that focusing on helping
clients pursue their investment goals will benefit our clients as well as
Dimensional.
Sincerely,
/s/ David G. Booth
David G. Booth
Chairman and Co-Chief Executive Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
ANNUAL REPORT
Table of Contents
Page
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Letter to Shareholders
Definitions of Abbreviations and Footnotes.......................... 1
DFA Investment Dimensions Group Inc.
Performance Charts............................................... 3
Management's Discussion and Analysis............................. 13
Disclosure of Fund Expenses...................................... 26
Disclosure of Portfolio Holdings................................. 31
Schedules of Investments/Summary Schedules of Portfolio Holdings.
Enhanced U.S. Large Company Portfolio........................ 34
U.S. Large Cap Value Portfolio............................... 38
U.S. Targeted Value Portfolio................................ 39
U.S. Small Cap Value Portfolio............................... 42
U.S. Core Equity 1 Portfolio................................. 45
U.S. Core Equity 2 Portfolio................................. 48
U.S. Vector Equity Portfolio................................. 51
U.S. Small Cap Portfolio..................................... 54
U.S. Micro Cap Portfolio..................................... 57
DFA Real Estate Securities Portfolio......................... 60
Large Cap International Portfolio............................ 62
International Core Equity Portfolio.......................... 66
International Small Company Portfolio........................ 70
Japanese Small Company Portfolio............................. 71
Asia Pacific Small Company Portfolio......................... 71
United Kingdom Small Company Portfolio....................... 72
Continental Small Company Portfolio.......................... 72
DFA International Real Estate Securities Portfolio........... 73
DFA Global Real Estate Securities Portfolio.................. 77
DFA International Small Cap Value Portfolio.................. 78
International Vector Equity Portfolio........................ 82
World ex U.S. Value Portfolio................................ 87
Selectively Hedged Global Equity Portfolio................... 88
Emerging Markets Portfolio................................... 89
Emerging Markets Small Cap Portfolio......................... 89
Emerging Markets Value Portfolio............................. 90
Emerging Markets Core Equity Portfolio....................... 91
Statements of Assets and Liabilities............................. 96
Statements of Operations......................................... 103
Statements of Changes in Net Assets.............................. 110
Financial Highlights............................................. 119
Notes to Financial Statements.................................... 136
Report of Independent Registered Public Accounting Firm.......... 164
i
Table of Contents
Continued
Page
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DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio
Performance Chart.................................................... 165
Management's Discussion and Analysis................................. 166
Consolidated Disclosure of Fund Expenses............................. 167
Consolidated Disclosure of Portfolio Holdings........................ 168
Consolidated Schedule of Investments................................. 169
Consolidated Statement of Assets and Liabilities..................... 175
Consolidated Statement of Operations................................. 176
Consolidated Statements of Changes in Net Assets..................... 177
Consolidated Financial Highlights.................................... 178
Consolidated Notes to Financial Statements........................... 179
Report of Independent Registered Public Accounting Firm.............. 191
Dimensional Investment Group Inc.
Performance Charts................................................... 192
Management's Discussion and Analysis................................. 193
Disclosure of Fund Expenses.......................................... 197
Disclosure of Portfolio Holdings..................................... 199
Schedule of Investments/Summary Schedule of Portfolio Holdings.......
DFA International Value Portfolio................................ 200
U.S. Large Company Portfolio..................................... 201
Statements of Assets and Liabilities................................. 204
Statements of Operations............................................. 205
Statements of Changes in Net Assets.................................. 206
Financial Highlights................................................. 207
Notes to Financial Statements........................................ 209
Report of Independent Registered Public Accounting Firm.............. 220
The DFA Investment Trust Company
Performance Charts................................................... 221
Management's Discussion and Analysis................................. 224
Disclosure of Fund Expenses.......................................... 230
Disclosure of Portfolio Holdings..................................... 232
Summary Schedules of Portfolio Holdings..............................
The U.S. Large Cap Value Series.................................. 234
The DFA International Value Series............................... 237
The Japanese Small Company Series................................ 241
The Asia Pacific Small Company Series............................ 244
The United Kingdom Small Company Series.......................... 247
The Continental Small Company Series............................. 250
The Canadian Small Company Series................................ 254
The Emerging Markets Series...................................... 257
The Emerging Markets Small Cap Series............................ 261
Statements of Assets and Liabilities................................. 265
Statements of Operations............................................. 267
Statements of Changes in Net Assets.................................. 269
Financial Highlights................................................. 272
Notes to Financial Statements........................................ 277
Report of Independent Registered Public Accounting Firm.............. 287
ii
Table of Contents
Continued
Page
----
Dimensional Emerging Markets Value Fund
Performance Chart...................................................... 288
Management's Discussion and Analysis................................... 289
Disclosure of Fund Expenses............................................ 291
Disclosure of Portfolio Holdings....................................... 292
Summary Schedule of Portfolio Holdings................................. 293
Statement of Assets and Liabilities.................................... 297
Statement of Operations................................................ 298
Statements of Changes in Net Assets.................................... 299
Financial Highlights................................................... 300
Notes to Financial Statements.......................................... 301
Report of Independent Registered Public Accounting Firm................ 309
Fund Management 310
Voting Proxies on Fund Portfolio Securities 320
Notice to Shareholders 321
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
FNMA Federal National Mortgage Association
GDR Global Depositary Receipt
P.L.C. Public Limited Company
REIT Real Estate Investment Trust
SPDR Standard & Poor's Depository Receipts
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to
Financial Statements.
** Calculated as a percentage of total net assets. Percentages
shown parenthetically next to the category headings have been
calculated as a percentage of total investments. "Other
Securities" are those securities that are not among the top 50
holdings of the Fund or do not represent more than 1.0% of the
net assets of the Fund. Some of the individual securities within
this category may include Total or Partial Securities on Loan
and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Denominated in local currency or the Euro, unless otherwise
noted.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of October 31, 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.
PERFORMANCE CHARTS
Enhanced U.S. Large Company Portfolio vs. S&P 500(R) Index
October 31, 2002 - October 31, 2012
Enhanced U.S. Large Company
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio S&P 500(R) Index
--------- ---------- ----------- ----------------- ---------- --------------------------- ----------------
2002-10-31 2002-11-30 5.56% 5.89% 10/2002 10000 10000
2002-11-30 2002-12-31 -5.54% -5.88% 11/2002 10555.55556 10588.59043
2002-12-31 2003-01-31 -2.59% -2.62% 12/2002 9971.066175 9966.404855
2003-01-31 2003-02-28 -1.33% -1.50% 01/2003 9713.193776 9705.285048
2003-02-28 2003-03-31 0.90% 0.97% 02/2003 9584.257576 9559.705772
2003-03-31 2003-04-30 8.33% 8.24% 03/2003 9670.791669 9652.530516
2003-04-30 2003-05-31 5.49% 5.27% 04/2003 10476.69097 10447.60945
2003-05-31 2003-06-30 1.18% 1.28% 05/2003 11052.33334 10998.094
2003-06-30 2003-07-31 1.29% 1.76% 06/2003 11182.90699 11138.8696
2003-07-31 2003-08-31 1.91% 1.95% 07/2003 11327.20256 11335.24787
2003-08-31 2003-09-30 -0.63% -1.06% 08/2003 11543.64592 11556.2852
2003-09-30 2003-10-31 5.30% 5.66% 09/2003 11470.78819 11433.55746
2003-10-31 2003-11-30 0.84% 0.88% 10/2003 12078.32048 12080.3538
2003-11-30 2003-12-31 5.49% 5.24% 11/2003 12179.57586 12186.66091
2003-12-31 2004-01-31 1.81% 1.84% 12/2003 12848.40942 12825.72941
2004-01-31 2004-02-29 1.55% 1.39% 01/2004 13080.43487 13061.14532
2004-02-29 2004-03-31 -1.41% -1.51% 02/2004 13283.45714 13242.68797
2004-03-31 2004-04-30 -2.22% -1.57% 03/2004 13096.05234 13042.85581
2004-04-30 2004-05-31 1.25% 1.37% 04/2004 12805.35195 12838.08298
2004-05-31 2004-06-30 1.77% 1.94% 05/2004 12965.23716 13014.22147
2004-06-30 2004-07-31 -3.20% -3.31% 06/2004 13194.84555 13267.21794
2004-07-31 2004-08-31 0.68% 0.40% 07/2004 12772.02729 12828.07303
2004-08-31 2004-09-30 1.00% 1.08% 08/2004 12859.50693 12879.77016
2004-09-30 2004-10-31 1.58% 1.53% 09/2004 12987.71866 13019.25807
2004-10-31 2004-11-30 3.66% 4.05% 10/2004 13192.47999 13218.19233
2004-11-30 2004-12-31 3.39% 3.40% 11/2004 13675.1317 13753.0004
2004-12-31 2005-01-31 -2.62% -2.44% 12/2004 14138.25834 14221.015
2005-01-31 2005-02-28 1.93% 2.10% 01/2005 13768.53401 13874.37776
2005-02-28 2005-03-31 -2.00% -1.77% 02/2005 14034.73553 14166.29467
2005-03-31 2005-04-30 -1.72% -1.90% 03/2005 13753.74503 13915.40959
2005-04-30 2005-05-31 3.17% 3.18% 04/2005 13517.12146 13651.43427
2005-05-31 2005-06-30 0.11% 0.14% 05/2005 13946.00168 14085.82291
2005-06-30 2005-07-31 3.29% 3.72% 06/2005 13960.69676 14105.82477
2005-07-31 2005-08-31 -0.72% -0.91% 07/2005 14420.12521 14630.56146
2005-08-31 2005-09-30 0.62% 0.81% 08/2005 14316.3833 14497.13074
2005-09-30 2005-10-31 -2.07% -1.67% 09/2005 14405.02963 14614.55749
2005-10-31 2005-11-30 3.81% 3.78% 10/2005 14106.78885 14370.93282
2005-11-30 2005-12-31 0.01% 0.04% 11/2005 14643.62226 14914.4415
2005-12-31 2006-01-31 2.69% 2.65% 12/2005 14644.65404 14919.66156
2006-01-31 2006-02-28 0.00% 0.27% 01/2006 15038.00219 15314.73419
2006-02-28 2006-03-31 1.25% 1.25% 02/2006 15038.00218 15356.23712
2006-03-31 2006-04-30 1.20% 1.34% 03/2006 15226.27444 15547.42228
2006-04-30 2006-05-31 -2.96% -2.88% 04/2006 15408.44323 15756.22416
2006-05-31 2006-06-30 0.10% 0.14% 05/2006 14953.02126 15302.76003
2006-06-30 2006-07-31 0.61% 0.62% 06/2006 14968.20199 15323.57178
2006-07-31 2006-08-31 2.32% 2.38% 07/2006 15059.28639 15418.11822
2006-08-31 2006-09-30 2.56% 2.58% 08/2006 15408.44323 15784.96351
2006-09-30 2006-10-31 3.17% 3.26% 09/2006 15803.14226 16191.74202
2006-10-31 2006-11-30 1.96% 1.90% 10/2006 16304.10643 16719.43089
2006-11-30 2006-12-31 1.34% 1.40% 11/2006 16622.90181 17037.43447
2006-12-31 2007-01-31 1.42% 1.51% 12/2006 16845.30813 17276.43134
2007-01-31 2007-02-28 -1.96% -1.96% 01/2007 17084.36169 17537.70592
2007-02-28 2007-03-31 1.14% 1.12% 02/2007 16749.6867 17194.68908
2007-03-31 2007-04-30 4.33% 4.43% 03/2007 16940.92955 17387.01168
2007-04-30 2007-05-31 3.43% 3.49% 04/2007 17674.02716 18157.17406
2007-05-31 2007-06-30 -1.74% -1.66% 05/2007 18279.62954 18790.77083
2007-06-30 2007-07-31 -3.02% -3.10% 06/2007 17960.89145 18478.59355
2007-07-31 2007-08-31 1.37% 1.50% 07/2007 17419.03669 17905.66827
2007-08-31 2007-09-30 3.72% 3.74% 08/2007 17658.09026 18174.07549
2007-09-30 2007-10-31 1.60% 1.59% 09/2007 18314.84294 18853.78591
2007-10-31 2007-11-30 -4.21% -4.18% 10/2007 18608.66395 19153.74965
2007-11-30 2007-12-31 -0.71% -0.69% 11/2007 17825.14126 18352.93137
2007-12-31 2008-01-31 -6.27% -6.00% 12/2007 17698.79021 18225.56203
2008-01-31 2008-02-29 -3.24% -3.25% 01/2008 16589.26039 17132.02831
2008-02-29 2008-03-31 -0.45% -0.43% 02/2008 16052.39112 16575.40871
2008-03-31 2008-04-30 4.70% 4.87% 03/2008 15980.80855 16503.80294
2008-04-30 2008-05-31 1.39% 1.30% 04/2008 16732.42553 17307.53814
2008-05-31 2008-06-30 -8.49% -8.43% 05/2008 16965.06888 17532.53614
2008-06-30 2008-07-31 -0.82% -0.84% 06/2008 15523.93636 16054.54334
2008-07-31 2008-08-31 1.53% 1.45% 07/2008 15397.2842 15919.52463
2008-08-31 2008-09-30 -9.21% -8.91% 08/2008 15632.49536 16149.72096
2008-09-30 2008-10-31 -17.05% -16.80% 09/2008 14193.16644 14710.61933
2008-10-31 2008-11-30 -6.80% -7.18% 10/2008 11773.0496 12239.97081
2008-11-30 2008-12-31 1.17% 1.06% 11/2008 10972.40944 11361.7529
2008-12-31 2009-01-31 -8.38% -8.43% 12/2008 11101.21756 11482.64196
2009-01-31 2009-02-28 -10.93% -10.65% 01/2009 10171.0609 10514.81106
2009-02-28 2009-03-31 9.11% 8.76% 02/2009 9058.917062 9395.193977
2009-03-31 2009-04-30 9.86% 9.57% 03/2009 9883.748938 10218.16778
2009-04-30 2009-05-31 5.98% 5.59% 04/2009 10857.91721 11196.14862
2009-05-31 2009-06-30 0.35% 0.20% 05/2009 11507.36273 11822.34921
2009-06-30 2009-07-31 7.91% 7.56% 06/2009 11547.95307 11845.75746
2009-07-31 2009-08-31 3.91% 3.61% 07/2009 12461.23583 12741.73881
2009-08-31 2009-09-30 3.93% 3.73% 08/2009 12948.31996 13201.71558
2009-09-30 2009-10-31 -1.82% -1.86% 09/2009 13457.21195 13694.4036
2009-10-31 2009-11-30 6.33% 6.00% 10/2009 13212.53537 13440.00171
2009-11-30 2009-12-31 1.72% 1.93% 11/2009 14048.51369 14246.13301
2009-12-31 2010-01-31 -3.44% -3.60% 12/2009 14290.11101 14521.3683
2010-01-31 2010-02-28 3.26% 3.10% 01/2010 13798.76049 13999.03468
2010-02-28 2010-03-31 5.89% 6.03% 02/2010 14249.16513 14432.68278
2010-03-31 2010-04-30 1.63% 1.58% 03/2010 15088.5556 15303.60859
2010-04-30 2010-05-31 -7.88% -7.99% 04/2010 15334.23086 15545.20666
2010-05-31 2010-06-30 -5.14% -5.23% 05/2010 14126.3275 14303.92191
2010-06-30 2010-07-31 7.06% 7.01% 06/2010 13400.23286 13555.1402
2010-07-31 2010-08-31 -4.44% -4.51% 07/2010 14345.64806 14504.85399
2010-08-31 2010-09-30 8.94% 8.92% 08/2010 13708.52042 13850.04686
2010-09-30 2010-10-31 3.86% 3.80% 09/2010 14934.7217 15086.08045
2010-10-31 2010-11-30 -0.13% 0.01% 10/2010 15511.51095 15660.09072
2010-11-30 2010-12-31 6.69% 6.68% 11/2010 15490.91134 15662.09521
2010-12-31 2011-01-31 2.50% 2.37% 12/2010 16527.6527 16708.8087
2011-01-31 2011-02-28 3.29% 3.43% 01/2011 16940.32817 17104.82417
2011-02-28 2011-03-31 0.00% 0.04% 02/2011 17497.44006 17690.81834
2011-03-31 2011-04-30 3.18% 2.96% 03/2011 17497.44006 17697.8416
2011-04-30 2011-05-31 -0.91% -1.13% 04/2011 18054.55195 18221.96318
2011-05-31 2011-06-30 -1.73% -1.67% 05/2011 17889.48176 18015.70878
2011-06-30 2011-07-31 -1.88% -2.03% 06/2011 17579.97515 17715.40493
2011-07-31 2011-08-31 -5.50% -5.43% 07/2011 17249.83478 17355.17988
2011-08-31 2011-09-30 -7.09% -7.03% 08/2011 16300.68119 16412.42916
2011-09-30 2011-10-31 11.04% 10.93% 09/2011 15145.18987 15258.66821
2011-10-31 2011-11-30 -0.61% -0.22% 10/2011 16816.52553 16926.33384
2011-11-30 2011-12-31 1.12% 1.02% 11/2011 16713.35666 16888.94356
2011-12-31 2012-01-31 4.69% 4.48% 12/2011 16899.76673 17061.70057
2012-01-31 2012-02-29 4.36% 4.32% 01/2012 17692.59529 17826.32068
2012-02-29 2012-03-31 3.39% 3.29% 02/2012 18464.55994 18597.14861
2012-03-31 2012-04-30 -0.55% -0.63% 03/2012 19090.47723 19209.16218
2012-04-30 2012-05-31 -6.04% -6.01% 04/2012 18986.15768 19088.60547
2012-05-31 2012-06-30 4.20% 4.12% 05/2012 17838.64266 17941.38029
2012-06-30 2012-07-31 1.69% 1.39% 06/2012 18587.12395 18680.60498
2012-07-31 2012-08-31 2.33% 2.25% 07/2012 18901.09564 18940.05976
2012-08-31 2012-09-30 2.57% 2.58% 08/2012 19340.656 19366.64291
2012-09-30 2012-10-31 -1.80% -1.85% 09/2012 19837.11143 19867.11129
10/31/2012 19480.63057 19500.27841
One Year Five Years Ten Years
-------- ---------- ---------
15.84% 0.92% 6.90%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
The S&P data are provided by Standard & Poor's Index Services Group.
U.S. Large Cap Value Portfolio vs. Russell 1000(R) Value Index
October 31, 2002 - October 31, 2012
U.S. Large Cap Value Russell 1000(R)
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Value Index
--------- ---------- ----------- ----------------- ---------- -------------------- ---------------
2002-10-31 2002-11-30 7.07% 6.30% 10/2002 10000 10000
2002-11-30 2002-12-31 -4.55% -4.34% 11/2002 10706.99136 10630
2002-12-31 2003-01-31 -2.32% -2.42% 12/2002 10219.55713 10168.658
2003-01-31 2003-02-28 -2.93% -2.67% 01/2003 9982.62767 9922.576476
2003-02-28 2003-03-31 -0.47% 0.17% 02/2003 9690.414676 9657.643684
2003-03-31 2003-04-30 9.20% 8.80% 03/2003 9644.954344 9674.061679
2003-04-30 2003-05-31 6.69% 6.46% 04/2003 10531.8467 10525.37911
2003-05-31 2003-06-30 1.08% 1.25% 05/2003 11236.60937 11205.3186
2003-06-30 2003-07-31 2.52% 1.49% 06/2003 11357.48184 11345.38508
2003-07-31 2003-08-31 3.55% 1.56% 07/2003 11643.40446 11514.43132
2003-08-31 2003-09-30 -2.20% -0.98% 08/2003 12056.4038 11694.05645
2003-09-30 2003-10-31 6.69% 6.12% 09/2003 11791.54621 11579.45469
2003-10-31 2003-11-30 2.22% 1.36% 10/2003 12580.30504 12288.11732
2003-11-30 2003-12-31 6.83% 6.16% 11/2003 12859.15917 12455.23571
2003-12-31 2004-01-31 1.69% 1.76% 12/2003 13737.50291 13222.47824
2004-01-31 2004-02-29 2.58% 2.14% 01/2004 13969.66351 13455.19385
2004-02-29 2004-03-31 -0.40% -0.88% 02/2004 14329.91271 13743.135
2004-03-31 2004-04-30 -1.69% -2.44% 03/2004 14272.21005 13622.19541
2004-04-30 2004-05-31 0.57% 1.02% 04/2004 14031.66718 13289.81384
2004-05-31 2004-06-30 2.99% 2.36% 05/2004 14111.84814 13425.36995
2004-06-30 2004-07-31 -3.27% -1.41% 06/2004 14533.14249 13742.20868
2004-07-31 2004-08-31 0.00% 1.42% 07/2004 14058.62373 13548.44353
2004-08-31 2004-09-30 3.08% 1.55% 08/2004 14058.62373 13740.83143
2004-09-30 2004-10-31 1.17% 1.66% 09/2004 14492.0427 13953.81432
2004-10-31 2004-11-30 6.55% 5.06% 10/2004 14661.3988 14185.44764
2004-11-30 2004-12-31 3.99% 3.35% 11/2004 15621.08332 14903.23129
2004-12-31 2005-01-31 -2.49% -1.78% 12/2004 16243.91321 15402.48954
2005-01-31 2005-02-28 3.02% 3.31% 01/2005 15838.82809 15128.32522
2005-02-28 2005-03-31 -0.26% -1.37% 02/2005 16316.82853 15629.07279
2005-03-31 2005-04-30 -3.44% -1.79% 03/2005 16274.12272 15414.95449
2005-04-30 2005-05-31 4.28% 2.41% 04/2005 15714.34482 15139.0268
2005-05-31 2005-06-30 2.03% 1.09% 05/2005 16387.70085 15503.59603
2005-06-30 2005-07-31 4.96% 2.89% 06/2005 16720.98419 15673.12716
2005-07-31 2005-08-31 -0.83% -0.43% 07/2005 17550.52718 16126.58428
2005-08-31 2005-09-30 1.54% 1.40% 08/2005 17404.13724 16056.50454
2005-09-30 2005-10-31 -2.68% -2.54% 09/2005 17672.85892 16281.94488
2005-10-31 2005-11-30 3.98% 3.27% 10/2005 17199.84285 15868.4229
2005-11-30 2005-12-31 0.13% 0.60% 11/2005 17884.9006 16387.32032
2005-12-31 2006-01-31 4.74% 3.88% 12/2005 17907.42447 16485.2089
2006-01-31 2006-02-28 -0.35% 0.61% 01/2006 18755.45422 17125.34866
2006-02-28 2006-03-31 1.76% 1.35% 02/2006 18689.58784 17229.93488
2006-03-31 2006-04-30 2.82% 2.54% 03/2006 19018.12323 17463.32185
2006-04-30 2006-05-31 -1.86% -2.53% 04/2006 19554.19348 17907.16926
2006-05-31 2006-06-30 0.87% 0.64% 05/2006 19191.31515 17454.821
2006-06-30 2006-07-31 -1.45% 2.43% 06/2006 19357.84876 17566.36245
2006-07-31 2006-08-31 1.61% 1.67% 07/2006 19076.34026 17993.46576
2006-08-31 2006-09-30 2.76% 1.99% 08/2006 19382.68774 18294.60194
2006-09-30 2006-10-31 3.96% 3.27% 09/2006 19918.56564 18659.10808
2006-10-31 2006-11-30 1.89% 2.28% 10/2006 20707.66645 19269.99021
2006-11-30 2006-12-31 2.01% 2.24% 11/2006 21098.06369 19709.86384
2006-12-31 2007-01-31 2.89% 1.28% 12/2006 21521.94168 20152.33357
2007-01-31 2007-02-28 -1.50% -1.56% 01/2007 22144.1602 20410.05615
2007-02-28 2007-03-31 0.66% 1.55% 02/2007 21811.74208 20091.86703
2007-03-31 2007-04-30 4.24% 3.70% 03/2007 21954.65413 20402.49503
2007-04-30 2007-05-31 4.10% 3.61% 04/2007 22885.44265 21156.42585
2007-05-31 2007-06-30 -1.62% -2.34% 05/2007 23824.77052 21919.52162
2007-06-30 2007-07-31 -6.21% -4.62% 06/2007 23437.69887 21407.34852
2007-07-31 2007-08-31 -1.91% 1.12% 07/2007 21981.94117 20417.39084
2007-08-31 2007-09-30 2.58% 3.43% 08/2007 21562.34043 20646.17729
2007-09-30 2007-10-31 0.54% 0.01% 09/2007 22119.60769 21355.32822
2007-10-31 2007-11-30 -5.60% -4.89% 10/2007 22239.86963 21357.68501
2007-11-30 2007-12-31 -0.32% -0.97% 11/2007 20994.29949 20313.84869
2007-12-31 2008-01-31 -3.84% -4.01% 12/2007 20926.88549 20117.41337
2008-01-31 2008-02-29 -3.09% -4.19% 01/2008 20124.08686 19311.65235
2008-02-29 2008-03-31 -0.93% -0.75% 02/2008 19501.69242 18502.53608
2008-03-31 2008-04-30 6.27% 4.87% 03/2008 19319.49295 18363.76706
2008-04-30 2008-05-31 2.38% -0.16% 04/2008 20531.48361 19258.92111
2008-05-31 2008-06-30 -10.96% -9.57% 05/2008 21019.89776 19228.35404
2008-06-30 2008-07-31 -1.12% -0.36% 06/2008 18716.30586 17387.78848
2008-07-31 2008-08-31 1.96% 1.70% 07/2008 18507.43878 17325.02215
2008-08-31 2008-09-30 -9.00% -7.35% 08/2008 18870.68586 17619.54753
2008-09-30 2008-10-31 -22.53% -17.31% 09/2008 17173.23447 16325.01114
2008-10-31 2008-11-30 -9.81% -7.17% 10/2008 13304.23797 13498.95282
2008-11-30 2008-12-31 3.25% 1.39% 11/2008 11999.36415 12530.95655
2008-12-31 2009-01-31 -11.86% -11.50% 12/2008 12388.7549 12704.88624
2009-01-31 2009-02-28 -14.04% -13.36% 01/2009 10919.84213 11243.95781
2009-02-28 2009-03-31 9.83% 8.55% 02/2009 9386.260241 9741.64674
2009-03-31 2009-04-30 16.18% 10.72% 03/2009 10309.13738 10574.58917
2009-04-30 2009-05-31 7.67% 6.18% 04/2009 11977.34324 11708.0967
2009-05-31 2009-06-30 -1.21% -0.74% 05/2009 12895.79366 12432.07598
2009-06-30 2009-07-31 9.43% 8.19% 06/2009 12739.6731 12340.27168
2009-07-31 2009-08-31 6.80% 5.23% 07/2009 13940.46703 13350.3397
2009-08-31 2009-09-30 4.35% 3.86% 08/2009 14887.96849 14048.63557
2009-09-30 2009-10-31 -4.30% -3.06% 09/2009 15536.2026 14591.41079
2009-10-31 2009-11-30 5.63% 5.64% 10/2009 14868.48445 14144.84834
2009-11-30 2009-12-31 2.70% 1.77% 11/2009 15705.48326 14942.09201
2009-12-31 2010-01-31 -2.34% -2.81% 12/2009 16128.84193 15206.51837
2010-01-31 2010-02-28 4.32% 3.16% 01/2010 15750.67447 14778.85081
2010-02-28 2010-03-31 7.80% 6.51% 02/2010 16431.37589 15245.34914
2010-03-31 2010-04-30 3.16% 2.59% 03/2010 17712.94768 16237.82243
2010-04-30 2010-05-31 -8.56% -8.22% 04/2010 18272.10441 16657.98918
2010-05-31 2010-06-30 -7.56% -5.63% 05/2010 16708.36103 15288.76974
2010-06-30 2010-07-31 7.82% 6.77% 06/2010 15444.85324 14428.09848
2010-07-31 2010-08-31 -6.11% -4.28% 07/2010 16652.6712 15404.85527
2010-08-31 2010-09-30 9.80% 7.76% 08/2010 15635.06079 14745.68693
2010-09-30 2010-10-31 3.68% 3.00% 09/2010 17167.15394 15889.70571
2010-10-31 2010-11-30 -0.75% -0.53% 10/2010 17799.42635 16366.49323
2010-11-30 2010-12-31 9.72% 7.89% 11/2010 17665.30796 16279.88285
2010-12-31 2011-01-31 3.23% 2.26% 12/2010 19382.58005 17564.43559
2011-01-31 2011-02-28 5.39% 3.69% 01/2011 20008.75684 17961.76269
2011-02-28 2011-03-31 0.45% 0.40% 02/2011 21087.70762 18624.27943
2011-03-31 2011-04-30 2.51% 2.66% 03/2011 21183.60229 18698.25097
2011-04-30 2011-05-31 -1.42% -1.06% 04/2011 21714.88279 19196.15319
2011-05-31 2011-06-30 -1.82% -2.05% 05/2011 21405.77413 18993.3429
2011-06-30 2011-07-31 -4.57% -3.32% 06/2011 21016.50944 18603.9051
2011-07-31 2011-08-31 -8.46% -6.24% 07/2011 20056.80721 17986.83479
2011-08-31 2011-09-30 -10.10% -7.56% 08/2011 18360.36387 16864.3465
2011-09-30 2011-10-31 13.81% 11.45% 09/2011 16505.29642 15589.84878
2011-10-31 2011-11-30 -0.83% -0.52% 10/2011 18783.90372 17374.76545
2011-11-30 2011-12-31 0.79% 2.02% 11/2011 18628.10151 17284.71058
2011-12-31 2012-01-31 4.96% 3.78% 12/2011 18774.55685 17633.02386
2012-01-31 2012-02-29 5.77% 3.99% 01/2012 19706.41835 18300.0833
2012-02-29 2012-03-31 1.83% 2.96% 02/2012 20844.27028 19029.58134
2012-03-31 2012-04-30 -2.09% -1.02% 03/2012 21226.09035 19593.70131
2012-04-30 2012-05-31 -7.10% -5.86% 04/2012 20783.26509 19393.89913
2012-05-31 2012-06-30 5.37% 4.96% 05/2012 19307.18093 18256.62174
2012-06-30 2012-07-31 0.97% 1.03% 06/2012 20343.19332 19163.05372
2012-07-31 2012-08-31 3.95% 2.17% 07/2012 20540.9881 19361.37516
2012-08-31 2012-09-30 3.65% 3.17% 08/2012 21351.9467 19781.74826
2012-09-30 2012-10-31 0.27% -0.49% 09/2012 22131.2698 20409.66857
10/31/2012 22190.86927 20309.47599
One Year Five Years Ten Years
-------- ---------- ---------
18.14% -0.04% 8.30%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
U.S. Targeted Value Portfolio - Class R1 vs. Russell 2000(R) Value Index
January 31, 2008 - October 31, 2012
U.S. Targeted Value Russell 2000(R)
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio - Class R1 Value Index
--------- ---------- ----------- ----------------- ---------- -------------------- ---------------
2008-01-31 2008-02-29 -2.50% -3.97% 01/2008 10000 10000
2008-02-29 2008-03-31 0.73% 1.51% 02/2008 9750 9602.571031
2008-03-31 2008-04-30 3.37% 3.16% 03/2008 9820.726192 9747.569854
2008-04-30 2008-05-31 4.55% 3.42% 04/2008 10151.7619 10055.9908
2008-05-31 2008-06-30 -10.13% -9.60% 05/2008 10613.20563 10399.79789
2008-06-30 2008-07-31 2.64% 5.13% 06/2008 9538.430516 9401.934888
2008-07-31 2008-08-31 4.52% 4.75% 07/2008 9789.971405 9883.909387
2008-08-31 2008-09-30 -6.43% -4.69% 08/2008 10232.68337 10353.39508
2008-09-30 2008-10-31 -21.62% -19.98% 09/2008 9575.00573 9868.077303
2008-10-31 2008-11-30 -13.06% -11.58% 10/2008 7504.461241 7896.66496
2008-11-30 2008-12-31 6.45% 6.15% 11/2008 6524.740191 6982.159135
2008-12-31 2009-01-31 -13.64% -14.28% 12/2008 6945.839625 7411.67591
2009-01-31 2009-02-28 -13.24% -13.89% 01/2009 5998.679676 6352.926629
2009-02-28 2009-03-31 11.01% 8.88% 02/2009 5204.287461 5470.501141
2009-03-31 2009-04-30 19.47% 15.87% 03/2009 5777.123849 5956.201668
2009-04-30 2009-05-31 3.41% 2.16% 04/2009 6901.873626 6901.297903
2009-05-31 2009-06-30 -0.42% -0.32% 05/2009 7137.04858 7050.523798
2009-06-30 2009-07-31 11.98% 11.56% 06/2009 7107.366548 7028.295918
2009-07-31 2009-08-31 5.28% 4.73% 07/2009 7958.609583 7841.058619
2009-08-31 2009-09-30 5.55% 5.02% 08/2009 8379.10313 8212.179117
2009-09-30 2009-10-31 -7.21% -6.64% 09/2009 8844.374408 8624.054843
2009-10-31 2009-11-30 3.38% 3.18% 10/2009 8206.756719 8051.355715
2009-11-30 2009-12-31 7.84% 7.57% 11/2009 8484.42894 8307.570836
2009-12-31 2010-01-31 -2.26% -2.93% 12/2009 9149.548219 8936.791269
2010-01-31 2010-02-28 5.66% 4.64% 01/2010 8943.012141 8674.853247
2010-02-28 2010-03-31 8.25% 8.32% 02/2010 9449.025533 9077.096128
2010-03-31 2010-04-30 7.27% 7.00% 03/2010 10228.79484 9832.097741
2010-04-30 2010-05-31 -9.04% -8.45% 04/2010 10972.70719 10520.04073
2010-05-31 2010-06-30 -9.52% -8.73% 05/2010 9980.824059 9631.116786
2010-06-30 2010-07-31 7.79% 7.14% 06/2010 9031.072995 8790.367634
2010-07-31 2010-08-31 -8.08% -7.52% 07/2010 9734.524268 9417.841262
2010-08-31 2010-09-30 12.24% 10.74% 08/2010 8948.314022 8709.679853
2010-09-30 2010-10-31 3.72% 3.87% 09/2010 10043.54719 9644.828043
2010-10-31 2010-11-30 4.06% 2.54% 10/2010 10417.06754 10018.50095
2010-11-30 2010-12-31 8.91% 8.31% 11/2010 10839.56946 10273.12347
2010-12-31 2011-01-31 0.66% 0.05% 12/2010 11804.95838 11126.65959
2011-01-31 2011-02-28 5.62% 5.08% 01/2011 11883.0429 11132.73049
2011-02-28 2011-03-31 1.92% 1.39% 02/2011 12550.31054 11698.01033
2011-03-31 2011-04-30 1.61% 1.62% 03/2011 12791.66266 11860.56861
2011-04-30 2011-05-31 -2.46% -1.79% 04/2011 12997.52183 12053.28086
2011-05-31 2011-06-30 -2.21% -2.46% 05/2011 12678.08519 11837.36467
2011-06-30 2011-07-31 -3.50% -3.31% 06/2011 12397.48354 11546.29335
2011-07-31 2011-08-31 -10.04% -8.83% 07/2011 11964.10446 11164.4843
2011-08-31 2011-09-30 -12.44% -10.92% 08/2011 10763.43127 10178.34832
2011-09-30 2011-10-31 15.71% 14.41% 09/2011 9424.709734 9066.772018
2011-10-31 2011-11-30 0.33% -0.20% 10/2011 10905.32879 10373.32073
2011-11-30 2011-12-31 0.99% 1.57% 11/2011 10940.92059 10352.59093
2011-12-31 2012-01-31 6.06% 6.65% 12/2011 11048.94425 10514.61803
2012-01-31 2012-02-29 3.63% 1.49% 01/2012 11718.79549 11213.54097
2012-02-29 2012-03-31 1.86% 3.10% 02/2012 12143.75489 11380.36042
2012-03-31 2012-04-30 -1.63% -1.45% 03/2012 12369.25099 11733.31802
2012-04-30 2012-05-31 -7.46% -6.11% 04/2012 12167.53926 11563.54379
2012-05-31 2012-06-30 4.04% 4.82% 05/2012 11259.83651 10856.92501
2012-06-30 2012-07-31 -0.49% -1.02% 06/2012 11714.92916 11380.37242
2012-07-31 2012-08-31 4.59% 3.08% 07/2012 11657.11335 11264.07637
2012-08-31 2012-09-30 3.16% 3.56% 08/2012 12191.90962 11611.57034
2012-09-30 2012-10-31 -0.58% -1.25% 09/2012 12577.07883 12025.24213
10/31/2012 12504.71359 11874.43621
One Year From 01/31/2008
-------- ---------------
14.67% 4.82%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
U.S. Targeted Value Portfolio - Class R2 vs. Russell 2000(R) Value Index
June 30, 2008 - October 31, 2012
U.S. Targeted Value Russell 2000(R)
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio - Class R2 Value Index
--------- ---------- ----------- ----------------- ---------- -------------------- ---------------
2008-06-30 2008-07-31 2.60% 5.13% 06/2008 10000 10000
2008-07-31 2008-08-31 4.48% 4.75% 07/2008 10260 10512.63331
2008-08-31 2008-09-30 -6.36% -4.69% 08/2008 10719.99999 11011.98339
2008-09-30 2008-10-31 -21.70% -19.98% 09/2008 10038.27751 10495.79413
2008-10-31 2008-11-30 -13.03% -11.58% 10/2008 7859.971286 8398.978566
2008-11-30 2008-12-31 6.40% 6.15% 11/2008 6836.066981 7426.300244
2008-12-31 2009-01-31 -13.77% -14.28% 12/2008 7273.610771 7883.138948
2009-01-31 2009-02-28 -13.23% -13.89% 01/2009 6272.0983 6757.04172
2009-02-28 2009-03-31 10.95% 8.88% 02/2009 5442.562718 5818.484393
2009-03-31 2009-04-30 19.50% 15.87% 03/2009 6038.299653 6335.080746
2009-04-30 2009-05-31 3.38% 2.16% 04/2009 7215.514375 7340.295359
2009-05-31 2009-06-30 -0.31% -0.32% 05/2009 7459.076042 7499.013641
2009-06-30 2009-07-31 11.90% 11.56% 06/2009 7435.892168 7475.371827
2009-07-31 2009-08-31 5.38% 4.73% 07/2009 8320.875234 8339.835058
2009-08-31 2009-09-30 5.47% 5.02% 08/2009 8768.452873 8734.562848
2009-09-30 2009-10-31 -7.17% -6.64% 09/2009 9248.194818 9172.638341
2009-10-31 2009-11-30 3.33% 3.18% 10/2009 8585.424517 8563.509331
2009-11-30 2009-12-31 7.86% 7.57% 11/2009 8870.92557 8836.022516
2009-12-31 2010-01-31 -2.35% -2.93% 12/2009 9567.974328 9505.268198
2010-01-31 2010-02-28 5.59% 4.64% 01/2010 9342.845518 9226.668075
2010-02-28 2010-03-31 8.32% 8.32% 02/2010 9864.735025 9654.497969
2010-03-31 2010-04-30 7.18% 7.00% 03/2010 10685.4698 10457.52588
2010-04-30 2010-05-31 -9.03% -8.45% 04/2010 11453.10412 11189.22951
2010-05-31 2010-06-30 -9.46% -8.73% 05/2010 10419.35657 10243.76035
2010-06-30 2010-07-31 7.71% 7.14% 06/2010 9433.569278 9349.53043
2010-07-31 2010-08-31 -8.06% -7.52% 07/2010 10160.80426 10016.91819
2010-08-31 2010-09-30 12.23% 10.74% 08/2010 9341.384561 9263.710031
2010-09-30 2010-10-31 3.72% 3.87% 09/2010 10483.98851 10258.3438
2010-10-31 2010-11-30 3.97% 2.54% 10/2010 10874.18592 10655.78635
2010-11-30 2010-12-31 8.86% 8.31% 11/2010 11306.02525 10926.60564
2010-12-31 2011-01-31 0.72% 0.05% 12/2010 12307.63829 11834.43591
2011-01-31 2011-02-28 5.55% 5.08% 01/2011 12396.44867 11840.89298
2011-02-28 2011-03-31 1.92% 1.39% 02/2011 13084.72911 12442.13076
2011-03-31 2011-04-30 1.55% 1.62% 03/2011 13336.35851 12615.02952
2011-04-30 2011-05-31 -2.46% -1.79% 04/2011 13543.58273 12820.00035
2011-05-31 2011-06-30 -2.16% -2.46% 05/2011 13210.54381 12590.34956
2011-06-30 2011-07-31 -3.56% -3.31% 06/2011 12925.76923 12280.76294
2011-07-31 2011-08-31 -10.05% -8.83% 07/2011 12466.2522 11874.66668
2011-08-31 2011-09-30 -12.43% -10.92% 08/2011 11213.69773 10825.80176
2011-09-30 2011-10-31 15.72% 14.41% 09/2011 9819.780248 9643.517134
2011-10-31 2011-11-30 0.33% -0.20% 10/2011 11363.63081 11033.17652
2011-11-30 2011-12-31 0.96% 1.57% 11/2011 11400.74261 11011.12808
2011-12-31 2012-01-31 6.07% 6.65% 12/2011 11510.29933 11183.46186
2012-01-31 2012-02-29 3.57% 1.49% 01/2012 12208.57581 11926.84389
2012-02-29 2012-03-31 1.84% 3.10% 02/2012 12644.06006 12104.27487
2012-03-31 2012-04-30 -1.63% -1.45% 03/2012 12876.81889 12479.6844
2012-04-30 2012-05-31 -7.47% -6.11% 04/2012 12666.58511 12299.11069
2012-05-31 2012-06-30 4.00% 4.82% 05/2012 11720.53311 11547.54329
2012-06-30 2012-07-31 -0.49% -1.02% 06/2012 12189.39596 12104.28764
2012-07-31 2012-08-31 4.59% 3.08% 07/2012 12129.16423 11980.59389
2012-08-31 2012-09-30 3.12% 3.56% 08/2012 12686.30771 12350.19225
2012-09-30 2012-10-31 -0.58% -1.25% 09/2012 13082.30363 12790.17806
10/31/2012 13006.94474 12629.77924
One Year From 06/30/2008
-------- ---------------
14.46% 6.25%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
U.S. Targeted Value Portfolio - Institutional Class vs. Russell 2000(R) Value
Index
October 31, 2002 - October 31, 2012
U.S. Targeted Value Russell 2000(R)
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio - Institutional Class Value Index
--------- ---------- ----------- ----------------- ---------- ------------------------------- ---------------
2002-10-31 2002-11-30 11.00% 7.98% 10/2002 10000 10000
2002-11-30 2002-12-31 -5.37% -4.27% 11/2002 11100.17889 10798
2002-12-31 2003-01-31 -4.64% -2.82% 12/2002 10504.42099 10336.9254
2003-01-31 2003-02-28 -4.26% -3.36% 01/2003 10017.25944 10045.4241
2003-02-28 2003-03-31 -0.32% 1.07% 02/2003 9590.993082 9707.897854
2003-03-31 2003-04-30 11.89% 9.50% 03/2003 9560.545485 9811.772361
2003-04-30 2003-05-31 11.39% 10.21% 04/2003 10697.25578 10743.89074
2003-05-31 2003-06-30 1.62% 1.69% 05/2003 11915.15966 11840.84198
2003-06-30 2003-07-31 5.78% 4.99% 06/2003 12107.99444 12040.95221
2003-07-31 2003-08-31 6.50% 3.80% 07/2003 12808.28918 12641.79572
2003-08-31 2003-09-30 -1.34% -1.15% 08/2003 13640.5235 13122.18396
2003-09-30 2003-10-31 9.65% 8.15% 09/2003 13457.83792 12971.27885
2003-10-31 2003-11-30 4.13% 3.84% 10/2003 14756.9354 14028.43807
2003-11-30 2003-12-31 5.32% 3.62% 11/2003 15365.88734 14567.13009
2003-12-31 2004-01-31 4.59% 3.46% 12/2003 16183.87646 15094.4602
2004-01-31 2004-02-29 1.55% 1.94% 01/2004 16926.78039 15616.72853
2004-02-29 2004-03-31 0.86% 1.38% 02/2004 17189.65409 15919.69306
2004-03-31 2004-04-30 -3.36% -5.17% 03/2004 17338.23488 16139.38482
2004-04-30 2004-05-31 1.50% 1.21% 04/2004 16755.34102 15304.97863
2004-05-31 2004-06-30 5.68% 5.08% 05/2004 17006.78543 15490.16887
2004-06-30 2004-07-31 -4.84% -4.60% 06/2004 17973.14744 16277.06945
2004-07-31 2004-08-31 -0.67% 0.98% 07/2004 17103.66354 15528.32425
2004-08-31 2004-09-30 4.54% 3.96% 08/2004 16989.25777 15680.50183
2004-09-30 2004-10-31 0.90% 1.55% 09/2004 17760.82034 16301.4497
2004-10-31 2004-11-30 9.20% 8.87% 10/2004 17921.13722 16554.12217
2004-11-30 2004-12-31 3.11% 2.39% 11/2004 19570.11087 18022.47281
2004-12-31 2005-01-31 -3.18% -3.87% 12/2004 20178.14283 18453.20991
2005-01-31 2005-02-28 2.77% 1.99% 01/2005 19535.7675 17739.07069
2005-02-28 2005-03-31 -0.94% -2.06% 02/2005 20077.37808 18092.07819
2005-03-31 2005-04-30 -6.78% -5.16% 03/2005 19888.44416 17719.38138
2005-04-30 2005-05-31 6.66% 6.10% 04/2005 18540.71552 16805.0613
2005-05-31 2005-06-30 3.93% 4.42% 05/2005 19775.08381 17830.02508
2005-06-30 2005-07-31 6.13% 5.69% 06/2005 20551.84516 18618.48383
2005-07-31 2005-08-31 -1.56% -2.30% 07/2005 21811.9215 19677.88612
2005-08-31 2005-09-30 0.35% -0.17% 08/2005 21471.70089 19226.10977
2005-09-30 2005-10-31 -2.65% -2.51% 09/2005 21546.90685 19194.32037
2005-10-31 2005-11-30 4.65% 4.06% 10/2005 20976.88287 18712.22181
2005-11-30 2005-12-31 0.42% -0.77% 11/2005 21952.25726 19471.29574
2005-12-31 2006-01-31 8.03% 8.27% 12/2005 22044.73668 19321.80403
2006-01-31 2006-02-28 -1.05% -0.01% 01/2006 23814.44689 20919.58842
2006-02-28 2006-03-31 4.14% 4.84% 02/2006 23563.62183 20918.16198
2006-03-31 2006-04-30 1.31% 0.27% 03/2006 24539.76853 21931.34736
2006-04-30 2006-05-31 -3.48% -4.14% 04/2006 24860.45869 21989.99474
2006-05-31 2006-06-30 0.56% 1.23% 05/2006 23995.98957 21079.39132
2006-06-30 2006-07-31 -3.07% -1.39% 06/2006 24131.55435 21338.3527
2006-07-31 2006-08-31 2.27% 2.99% 07/2006 23390.12109 21042.42594
2006-08-31 2006-09-30 1.02% 0.98% 08/2006 23921.71475 21671.36709
2006-09-30 2006-10-31 4.94% 5.09% 09/2006 24165.17839 21882.92966
2006-10-31 2006-11-30 3.43% 2.85% 10/2006 25358.00079 22996.68723
2006-11-30 2006-12-31 0.61% 0.87% 11/2006 26228.05948 23652.41933
2006-12-31 2007-01-31 2.09% 1.50% 12/2006 26387.62981 23858.48812
2007-01-31 2007-02-28 -0.51% -1.23% 01/2007 26938.32816 24215.87612
2007-02-28 2007-03-31 0.77% 1.21% 02/2007 26800.65357 23918.47933
2007-03-31 2007-04-30 2.04% 1.04% 03/2007 27006.00626 24207.13595
2007-04-30 2007-05-31 4.33% 3.67% 04/2007 27557.14924 24458.33044
2007-05-31 2007-06-30 -1.32% -2.33% 05/2007 28751.29237 25355.10988
2007-06-30 2007-07-31 -7.25% -8.51% 06/2007 28371.44268 24764.12514
2007-07-31 2007-08-31 -0.29% 2.00% 07/2007 26315.31866 22656.3737
2007-08-31 2007-09-30 0.30% 0.45% 08/2007 26238.59761 23110.31558
2007-09-30 2007-10-31 0.23% 1.09% 09/2007 26317.66852 23214.66438
2007-10-31 2007-11-30 -7.13% -7.49% 10/2007 26379.33851 23467.49264
2007-11-30 2007-12-31 -1.11% -0.85% 11/2007 24498.40379 21709.31839
2007-12-31 2008-01-31 -4.78% -4.10% 12/2007 24226.11234 21525.78068
2008-01-31 2008-02-29 -2.54% -3.97% 01/2008 23067.95504 20642.44184
2008-02-29 2008-03-31 0.85% 1.51% 02/2008 22480.9438 19822.0514
2008-03-31 2008-04-30 3.30% 3.16% 03/2008 22672.51011 20121.36438
2008-04-30 2008-05-31 4.62% 3.42% 04/2008 23419.78078 20758.02052
2008-05-31 2008-06-30 -10.11% -9.60% 05/2008 24500.93834 21467.72232
2008-06-30 2008-07-31 2.60% 5.13% 06/2008 22022.80939 19407.88941
2008-07-31 2008-08-31 4.51% 4.75% 07/2008 22596.48605 20402.80247
2008-08-31 2008-09-30 -6.33% -4.69% 08/2008 23616.35566 21371.93559
2008-09-30 2008-10-31 -21.68% -19.98% 09/2008 22121.79 20370.12118
2008-10-31 2008-11-30 -13.01% -11.58% 10/2008 17326.6043 16300.64472
2008-11-30 2008-12-31 6.43% 6.15% 11/2008 15072.86703 14412.88139
2008-12-31 2009-01-31 -13.74% -14.28% 12/2008 16042.12815 15299.50889
2009-01-31 2009-02-28 -13.14% -13.89% 01/2009 13837.74344 13113.99185
2009-02-28 2009-03-31 10.91% 8.88% 02/2009 12019.52831 11292.45016
2009-03-31 2009-04-30 19.49% 15.87% 03/2009 13330.59891 12295.05465
2009-04-30 2009-05-31 3.44% 2.16% 04/2009 15928.93599 14245.96406
2009-05-31 2009-06-30 -0.34% -0.32% 05/2009 16477.65313 14554.00274
2009-06-30 2009-07-31 11.92% 11.56% 06/2009 16420.84902 14508.11897
2009-07-31 2009-08-31 5.37% 4.73% 07/2009 18378.40836 16185.85965
2009-08-31 2009-09-30 5.56% 5.02% 08/2009 19365.27712 16951.94298
2009-09-30 2009-10-31 -7.22% -6.64% 09/2009 20442.31444 17802.15505
2009-10-31 2009-11-30 3.33% 3.18% 10/2009 18967.09587 16619.96421
2009-11-30 2009-12-31 7.94% 7.57% 11/2009 19599.3324 17148.85478
2009-12-31 2010-01-31 -2.31% -2.93% 12/2009 21155.49955 18447.7194
2010-01-31 2010-02-28 5.59% 4.64% 01/2010 20667.67097 17907.01536
2010-02-28 2010-03-31 8.32% 8.32% 02/2010 21822.19862 18737.34289
2010-03-31 2010-04-30 7.23% 7.00% 03/2010 23638.76256 20295.85058
2010-04-30 2010-05-31 -8.99% -8.45% 04/2010 25347.00073 21715.93289
2010-05-31 2010-06-30 -9.50% -8.73% 05/2010 23069.34984 19880.97681
2010-06-30 2010-07-31 7.80% 7.14% 06/2010 20877.50389 18145.46526
2010-07-31 2010-08-31 -8.10% -7.52% 07/2010 22506.01433 19440.72405
2010-08-31 2010-09-30 12.30% 10.74% 08/2010 20682.08263 17978.90598
2010-09-30 2010-10-31 3.72% 3.87% 09/2010 23225.70145 19909.28019
2010-10-31 2010-11-30 4.00% 2.54% 10/2010 24090.74866 20680.63231
2010-11-30 2010-12-31 8.94% 8.31% 11/2010 25053.72574 21206.23538
2010-12-31 2011-01-31 0.66% 0.05% 12/2010 27293.41149 22968.14234
2011-01-31 2011-02-28 5.68% 5.08% 01/2011 27473.94518 22980.67416
2011-02-28 2011-03-31 1.92% 1.39% 02/2011 29033.09977 24147.54979
2011-03-31 2011-04-30 1.55% 1.62% 03/2011 29591.113 24483.10978
2011-04-30 2011-05-31 -2.46% -1.79% 04/2011 30050.6533 24880.91491
2011-05-31 2011-06-30 -2.15% -2.46% 05/2011 29312.10639 24435.21118
2011-06-30 2011-07-31 -3.50% -3.31% 06/2011 28682.31347 23834.3689
2011-07-31 2011-08-31 -10.04% -8.83% 07/2011 27679.66526 23046.22178
2011-08-31 2011-09-30 -12.41% -10.92% 08/2011 24901.83662 21010.59633
2011-09-30 2011-10-31 15.71% 14.41% 09/2011 21810.65748 18716.03141
2011-10-31 2011-11-30 0.33% -0.20% 10/2011 25237.10519 21413.06698
2011-11-30 2011-12-31 1.01% 1.57% 11/2011 25319.47172 21370.27561
2011-12-31 2012-01-31 6.06% 6.65% 12/2011 25576.30361 21704.73911
2012-01-31 2012-02-29 3.63% 1.49% 01/2012 27126.88785 23147.48672
2012-02-29 2012-03-31 1.88% 3.10% 02/2012 28110.59184 23491.84281
2012-03-31 2012-04-30 -1.63% -1.45% 03/2012 28639.40983 24220.43348
2012-04-30 2012-05-31 -7.46% -6.11% 04/2012 28172.37228 23869.97801
2012-05-31 2012-06-30 4.07% 4.82% 05/2012 26070.7033 22411.34432
2012-06-30 2012-07-31 -0.49% -1.02% 06/2012 27131.31369 23491.86759
2012-07-31 2012-08-31 4.59% 3.08% 07/2012 26997.41454 23251.80414
2012-08-31 2012-09-30 3.18% 3.56% 08/2012 28235.98161 23969.11654
2012-09-30 2012-10-31 -0.58% -1.25% 09/2012 29134.70172 24823.03614
10/31/2012 28967.06823 24511.73588
One Year Five Years Ten Years
-------- ---------- ---------
14.78% 1.89% 11.22%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
U.S. Small Cap Value Portfolio vs. Russell 2000(R) Value Index
October 31, 2002 - October 31, 2012
U.S. Small Cap Value Russell 2000(R)
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Value Index
--------- ---------- ----------- ----------------- ---------- -------------------- ---------------
2002-10-31 2002-11-30 8.52% 7.98% 10/2002 10000 10000
2002-11-30 2002-12-31 -3.58% -4.27% 11/2002 10852.23789 10798
2002-12-31 2003-01-31 -3.45% -2.82% 12/2002 10463.93353 10336.9254
2003-01-31 2003-02-28 -4.11% -3.36% 01/2003 10103.10824 10045.4241
2003-02-28 2003-03-31 -0.21% 1.07% 02/2003 9687.818748 9707.897854
2003-03-31 2003-04-30 10.56% 9.50% 03/2003 9667.394677 9811.772361
2003-04-30 2003-05-31 11.72% 10.21% 04/2003 10688.59834 10743.89074
2003-05-31 2003-06-30 3.65% 1.69% 05/2003 11941.27483 11840.84198
2003-06-30 2003-07-31 7.04% 4.99% 06/2003 12376.98839 12040.95221
2003-07-31 2003-08-31 5.14% 3.80% 07/2003 13248.41552 12641.79572
2003-08-31 2003-09-30 -0.78% -1.15% 08/2003 13929.21796 13122.18396
2003-09-30 2003-10-31 10.00% 8.15% 09/2003 13820.28957 12971.27885
2003-10-31 2003-11-30 4.16% 3.84% 10/2003 15202.31852 14028.43807
2003-11-30 2003-12-31 5.33% 3.62% 11/2003 15835.46479 14567.13009
2003-12-31 2004-01-31 4.89% 3.46% 12/2003 16679.86888 15094.4602
2004-01-31 2004-02-29 1.41% 1.94% 01/2004 17495.29678 15616.72853
2004-02-29 2004-03-31 0.94% 1.38% 02/2004 17742.83739 15919.69306
2004-03-31 2004-04-30 -3.17% -5.17% 03/2004 17910.29134 16139.38482
2004-04-30 2004-05-31 0.38% 1.21% 04/2004 17342.40406 15304.97863
2004-05-31 2004-06-30 6.69% 5.08% 05/2004 17407.92951 15490.16887
2004-06-30 2004-07-31 -5.33% -4.60% 06/2004 18573.13606 16277.06945
2004-07-31 2004-08-31 -1.49% 0.98% 07/2004 17582.56881 15528.32425
2004-08-31 2004-09-30 4.93% 3.96% 08/2004 17320.35983 15680.50183
2004-09-30 2004-10-31 0.96% 1.55% 09/2004 18174.04026 16301.4497
2004-10-31 2004-11-30 10.00% 8.87% 10/2004 18348.86069 16554.12217
2004-11-30 2004-12-31 3.62% 2.39% 11/2004 20184.47517 18022.47281
2004-12-31 2005-01-31 -3.57% -3.87% 12/2004 20914.95501 18453.20991
2005-01-31 2005-02-28 2.70% 1.99% 01/2005 20167.99233 17739.07069
2005-02-28 2005-03-31 -1.95% -2.06% 02/2005 20712.65262 18092.07819
2005-03-31 2005-04-30 -7.28% -5.16% 03/2005 20308.5008 17719.38138
2005-04-30 2005-05-31 6.65% 6.10% 04/2005 18830.10419 16805.0613
2005-05-31 2005-06-30 4.17% 4.42% 05/2005 20082.85079 17830.02508
2005-06-30 2005-07-31 7.11% 5.69% 06/2005 20920.89506 18618.48383
2005-07-31 2005-08-31 -1.67% -2.30% 07/2005 22409.12261 19677.88612
2005-08-31 2005-09-30 0.80% -0.17% 08/2005 22035.11778 19226.10977
2005-09-30 2005-10-31 -2.92% -2.51% 09/2005 22210.51079 19194.32037
2005-10-31 2005-11-30 4.21% 4.06% 10/2005 21561.62927 18712.22181
2005-11-30 2005-12-31 0.34% -0.77% 11/2005 22468.49983 19471.29574
2005-12-31 2006-01-31 8.82% 8.27% 12/2005 22543.91832 19321.80403
2006-01-31 2006-02-28 -0.35% -0.01% 01/2006 24533.08758 20919.58842
2006-02-28 2006-03-31 6.09% 4.84% 02/2006 24448.08035 20918.16198
2006-03-31 2006-04-30 0.98% 0.27% 03/2006 25938.03182 21931.34736
2006-04-30 2006-05-31 -4.39% -4.14% 04/2006 26193.41119 21989.99474
2006-05-31 2006-06-30 0.05% 1.23% 05/2006 25044.204 21079.39132
2006-06-30 2006-07-31 -3.75% -1.39% 06/2006 25056.35087 21338.3527
2006-07-31 2006-08-31 1.95% 2.99% 07/2006 24117.91076 21042.42594
2006-08-31 2006-09-30 1.19% 0.98% 08/2006 24587.13081 21671.36709
2006-09-30 2006-10-31 5.43% 5.09% 09/2006 24880.34911 21882.92966
2006-10-31 2006-11-30 3.03% 2.85% 10/2006 26232.17 22996.68723
2006-11-30 2006-12-31 1.38% 0.87% 11/2006 27027.86204 23652.41933
2006-12-31 2007-01-31 2.20% 1.50% 12/2006 27402.11065 23858.48812
2007-01-31 2007-02-28 -0.23% -1.23% 01/2007 28005.0684 24215.87612
2007-02-28 2007-03-31 1.09% 1.21% 02/2007 27940.13449 23918.47933
2007-03-31 2007-04-30 1.81% 1.04% 03/2007 28243.8074 24207.13595
2007-04-30 2007-05-31 3.65% 3.67% 04/2007 28754.29357 24458.33044
2007-05-31 2007-06-30 -1.55% -2.33% 05/2007 29803.11061 25355.10988
2007-06-30 2007-07-31 -7.64% -8.51% 06/2007 29342.2779 24764.12514
2007-07-31 2007-08-31 -0.76% 2.00% 07/2007 27099.49675 22656.3737
2007-08-31 2007-09-30 -0.28% 0.45% 08/2007 26894.76155 23110.31558
2007-09-30 2007-10-31 1.11% 1.09% 09/2007 26820.6426 23214.66438
2007-10-31 2007-11-30 -8.72% -7.49% 10/2007 27119.6881 23467.49264
2007-11-30 2007-12-31 -1.20% -0.85% 11/2007 24755.35967 21709.31839
2007-12-31 2008-01-31 -3.94% -4.10% 12/2007 24457.58481 21525.78068
2008-01-31 2008-02-29 -2.84% -3.97% 01/2008 23493.23373 20642.44184
2008-02-29 2008-03-31 0.84% 1.51% 02/2008 22826.39522 19822.0514
2008-03-31 2008-04-30 1.66% 3.16% 03/2008 23019.26592 20121.36438
2008-04-30 2008-05-31 4.14% 3.42% 04/2008 23400.34549 20758.02052
2008-05-31 2008-06-30 -10.10% -9.60% 05/2008 24368.49359 21467.72232
2008-06-30 2008-07-31 2.07% 5.13% 06/2008 21906.35792 19407.88941
2008-07-31 2008-08-31 4.15% 4.75% 07/2008 22360.16195 20402.80247
2008-08-31 2008-09-30 -6.89% -4.69% 08/2008 23288.39745 21371.93559
2008-09-30 2008-10-31 -22.14% -19.98% 09/2008 21683.2596 20370.12118
2008-10-31 2008-11-30 -12.99% -11.58% 10/2008 16883.1487 16300.64472
2008-11-30 2008-12-31 5.25% 6.15% 11/2008 14689.99458 14412.88139
2008-12-31 2009-01-31 -14.28% -14.28% 12/2008 15460.74325 15299.50889
2009-01-31 2009-02-28 -12.71% -13.89% 01/2009 13253.56001 13113.99185
2009-02-28 2009-03-31 10.40% 8.88% 02/2009 11569.40598 11292.45016
2009-03-31 2009-04-30 19.66% 15.87% 03/2009 12772.37314 12295.05465
2009-04-30 2009-05-31 3.22% 2.16% 04/2009 15282.91332 14245.96406
2009-05-31 2009-06-30 0.35% -0.32% 05/2009 15774.56077 14554.00274
2009-06-30 2009-07-31 13.44% 11.56% 06/2009 15830.36155 14508.11897
2009-07-31 2009-08-31 5.14% 4.73% 07/2009 17958.54923 16185.85965
2009-08-31 2009-09-30 6.33% 5.02% 08/2009 18881.11335 16951.94298
2009-09-30 2009-10-31 -7.53% -6.64% 09/2009 20077.00247 17802.15505
2009-10-31 2009-11-30 3.11% 3.18% 10/2009 18565.71739 16619.96421
2009-11-30 2009-12-31 7.92% 7.57% 11/2009 19142.94433 17148.85478
2009-12-31 2010-01-31 -3.16% -2.93% 12/2009 20658.88977 18447.7194
2010-01-31 2010-02-28 6.15% 4.64% 01/2010 20006.39299 17907.01536
2010-02-28 2010-03-31 8.86% 8.32% 02/2010 21237.71755 18737.34289
2010-03-31 2010-04-30 8.11% 7.00% 03/2010 23119.5823 20295.85058
2010-04-30 2010-05-31 -9.90% -8.45% 04/2010 24993.57395 21715.93289
2010-05-31 2010-06-30 -10.14% -8.73% 05/2010 22519.48386 19880.97681
2010-06-30 2010-07-31 8.69% 7.14% 06/2010 20234.89853 18145.46526
2010-07-31 2010-08-31 -8.38% -7.52% 07/2010 21993.0817 19440.72405
2010-08-31 2010-09-30 12.93% 10.74% 08/2010 20150.67419 17978.90598
2010-09-30 2010-10-31 4.17% 3.87% 09/2010 22757.07747 19909.28019
2010-10-31 2010-11-30 4.49% 2.54% 10/2010 23705.72822 20680.63231
2010-11-30 2010-12-31 9.18% 8.31% 11/2010 24770.32517 21206.23538
2010-12-31 2011-01-31 0.31% 0.05% 12/2010 27043.03564 22968.14234
2011-01-31 2011-02-28 6.28% 5.08% 01/2011 27127.64428 22980.67416
2011-02-28 2011-03-31 2.05% 1.39% 02/2011 28830.39311 24147.54979
2011-03-31 2011-04-30 1.26% 1.62% 03/2011 29422.65357 24483.10978
2011-04-30 2011-05-31 -3.12% -1.79% 04/2011 29792.81635 24880.91491
2011-05-31 2011-06-30 -1.81% -2.46% 05/2011 28862.12135 24435.21118
2011-06-30 2011-07-31 -2.88% -3.31% 06/2011 28340.10852 23834.3689
2011-07-31 2011-08-31 -10.58% -8.83% 07/2011 27524.94664 23046.22178
2011-08-31 2011-09-30 -12.58% -10.92% 08/2011 24613.65421 21010.59633
2011-09-30 2011-10-31 15.82% 14.41% 09/2011 21518.01959 18716.03141
2011-10-31 2011-11-30 -0.68% -0.20% 10/2011 24922.29967 21413.06698
2011-11-30 2011-12-31 1.01% 1.57% 11/2011 24752.61593 21370.27561
2011-12-31 2012-01-31 7.43% 6.65% 12/2011 25002.48837 21704.73911
2012-01-31 2012-02-29 3.18% 1.49% 01/2012 26859.32257 23147.48672
2012-02-29 2012-03-31 2.30% 3.10% 02/2012 27712.17084 23491.84281
2012-03-31 2012-04-30 -1.60% -1.45% 03/2012 28349.10816 24220.43348
2012-04-30 2012-05-31 -7.12% -6.11% 04/2012 27895.69516 23869.97801
2012-05-31 2012-06-30 4.38% 4.82% 05/2012 25909.31439 22411.34432
2012-06-30 2012-07-31 -0.24% -1.02% 06/2012 27044.58351 23491.86759
2012-07-31 2012-08-31 4.21% 3.08% 07/2012 26979.62455 23251.80414
2012-08-31 2012-09-30 3.31% 3.56% 08/2012 28116.40648 23969.11654
2012-09-30 2012-10-31 -0.82% -1.25% 09/2012 29048.45198 24823.03614
10/31/2012 28809.90552 24511.73588
One Year Five Years Ten Years
-------- ---------- ---------
15.60% 1.22% 11.16%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
U.S. Core Equity 1 Portfolio vs. Russell 3000(R) Index
September 15, 2005 - October 31, 2012
U.S. Core Equity 1
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Russell 3000(R) Index
--------- ---------- ----------- ----------------- ---------- ------------------ ---------------------
2005-09-15 2005-09-30 0.40% 0.26% 09/2005 10000 10000
2005-09-30 2005-10-31 -2.19% -1.87% 09/2005 10040 10026.07049
2005-10-31 2005-11-30 4.07% 3.89% 10/2005 9820 9838.286379
2005-11-30 2005-12-31 0.04% 0.08% 11/2005 10220 10220.99572
2005-12-31 2006-01-31 4.03% 3.34% 12/2005 10223.78844 10229.4184
2006-01-31 2006-02-28 0.19% 0.18% 01/2006 10635.9569 10571.16355
2006-02-28 2006-03-31 2.22% 1.73% 02/2006 10656.06268 10589.95797
2006-03-31 2006-04-30 1.20% 1.08% 03/2006 10892.7356 10773.02951
2006-04-30 2006-05-31 -3.47% -3.20% 04/2006 11023.6095 10889.90295
2006-05-31 2006-06-30 0.02% 0.18% 05/2006 10641.05502 10541.26651
2006-06-30 2006-07-31 -1.04% -0.09% 06/2006 10643.53355 10559.8869
2006-07-31 2006-08-31 2.40% 2.45% 07/2006 10532.45303 10550.00243
2006-08-31 2006-09-30 2.08% 2.24% 08/2006 10784.90876 10808.11243
2006-09-30 2006-10-31 3.68% 3.60% 09/2006 11008.93769 11050.03834
2006-10-31 2006-11-30 2.38% 2.18% 10/2006 11414.05039 11447.81119
2006-11-30 2006-12-31 1.22% 1.20% 11/2006 11686.05336 11696.8799
2006-12-31 2007-01-31 1.90% 1.90% 12/2006 11828.31835 11836.97558
2007-01-31 2007-02-28 -1.10% -1.64% 01/2007 12052.84208 12062.28188
2007-02-28 2007-03-31 1.00% 1.04% 02/2007 11920.16897 11864.40958
2007-03-31 2007-04-30 3.74% 3.99% 03/2007 12038.98958 11987.89834
2007-04-30 2007-05-31 3.85% 3.64% 04/2007 12489.04527 12466.77687
2007-05-31 2007-06-30 -1.62% -1.87% 05/2007 12969.78657 12921.09509
2007-06-30 2007-07-31 -4.18% -3.41% 06/2007 12760.02759 12679.15964
2007-07-31 2007-08-31 1.01% 1.44% 07/2007 12226.22113 12246.76321
2007-08-31 2007-09-30 2.87% 3.65% 08/2007 12349.40724 12422.55798
2007-09-30 2007-10-31 1.54% 1.83% 09/2007 12703.61439 12875.44803
2007-10-31 2007-11-30 -5.17% -4.50% 10/2007 12899.37163 13111.63682
2007-11-30 2007-12-31 -0.61% -0.61% 11/2007 12232.76581 12521.36708
2007-12-31 2008-01-31 -5.71% -6.06% 12/2007 12158.55538 12445.59651
2008-01-31 2008-02-29 -2.98% -3.11% 01/2008 11464.66848 11691.24967
2008-02-29 2008-03-31 -0.71% -0.59% 02/2008 11122.9033 11328.12341
2008-03-31 2008-04-30 4.99% 5.00% 03/2008 11043.48573 11261.28749
2008-04-30 2008-05-31 2.60% 2.05% 04/2008 11594.10167 11824.45152
2008-05-31 2008-06-30 -8.56% -8.25% 05/2008 11895.38209 12066.69465
2008-06-30 2008-07-31 0.00% -0.80% 06/2008 10876.7061 11070.94073
2008-07-31 2008-08-31 2.21% 1.55% 07/2008 10876.7061 10982.64391
2008-08-31 2008-09-30 -9.27% -9.40% 08/2008 11116.55677 11152.87489
2008-09-30 2008-10-31 -18.56% -17.74% 09/2008 10086.10573 10104.23524
2008-10-31 2008-11-30 -8.45% -7.89% 10/2008 8213.686378 8312.150636
2008-11-30 2008-12-31 2.63% 1.91% 11/2008 7519.572035 7655.996316
2008-12-31 2009-01-31 -9.04% -8.39% 12/2008 7717.617641 7802.460402
2009-01-31 2009-02-28 -10.69% -10.48% 01/2009 7019.860428 7147.674106
2009-02-28 2009-03-31 9.19% 8.76% 02/2009 6269.242823 6398.917567
2009-03-31 2009-04-30 12.11% 10.52% 03/2009 6845.382245 6959.42348
2009-04-30 2009-05-31 4.71% 5.34% 04/2009 7674.481336 7691.788944
2009-05-31 2009-06-30 0.45% 0.34% 05/2009 8035.883505 8102.256351
2009-06-30 2009-07-31 8.47% 7.78% 06/2009 8072.081178 8129.804088
2009-07-31 2009-08-31 3.66% 3.57% 07/2009 8755.431967 8762.595024
2009-08-31 2009-09-30 4.74% 4.19% 08/2009 9075.752648 9075.698133
2009-09-30 2009-10-31 -3.54% -2.57% 09/2009 9505.932557 9455.934523
2009-10-31 2009-11-30 5.04% 5.68% 10/2009 9169.774822 9212.730565
2009-11-30 2009-12-31 4.04% 2.85% 11/2009 9631.484794 9736.232822
2009-12-31 2010-01-31 -3.23% -3.60% 12/2009 10020.21596 10013.68879
2010-01-31 2010-02-28 3.89% 3.39% 01/2010 9696.983185 9652.71891
2010-02-28 2010-03-31 6.65% 6.30% 02/2010 10074.08808 9979.96323
2010-03-31 2010-04-30 3.12% 2.16% 03/2010 10743.73917 10608.96643
2010-04-30 2010-05-31 -7.89% -7.90% 04/2010 11078.46873 10837.91578
2010-05-31 2010-06-30 -6.44% -5.75% 05/2010 10203.85278 9981.751444
2010-06-30 2010-07-31 7.15% 6.94% 06/2010 9546.471821 9407.921189
2010-07-31 2010-08-31 -5.40% -4.71% 07/2010 10229.13666 10061.04111
2010-08-31 2010-09-30 10.20% 9.44% 08/2010 9676.503217 9587.438128
2010-09-30 2010-10-31 3.88% 3.91% 09/2010 10663.52497 10492.65506
2010-10-31 2010-11-30 1.28% 0.58% 10/2010 11077.00859 10902.67624
2010-11-30 2010-12-31 7.28% 6.78% 11/2010 11218.46352 10965.61711
2010-12-31 2011-01-31 2.00% 2.18% 12/2010 12035.13833 11708.96736
2011-01-31 2011-02-28 4.01% 3.64% 01/2011 12275.8411 11964.71007
2011-02-28 2011-03-31 1.06% 0.45% 02/2011 12768.18767 12400.3236
2011-03-31 2011-04-30 2.72% 2.98% 03/2011 12903.06532 12456.25605
2011-04-30 2011-05-31 -1.41% -1.14% 04/2011 13253.87084 12827.01189
2011-05-31 2011-06-30 -1.85% -1.80% 05/2011 13067.50541 12680.65539
2011-06-30 2011-07-31 -2.83% -2.29% 06/2011 12825.76773 12452.9236
2011-07-31 2011-08-31 -6.97% -6.00% 07/2011 12462.7743 12167.75288
2011-08-31 2011-09-30 -8.75% -7.76% 08/2011 11593.79004 11437.74633
2011-09-30 2011-10-31 12.53% 11.51% 09/2011 10579.2966 10550.2277
2011-10-31 2011-11-30 -0.19% -0.27% 10/2011 11904.46946 11764.4808
2011-11-30 2011-12-31 0.64% 0.82% 11/2011 11882.38324 11732.68431
2011-12-31 2012-01-31 5.39% 5.05% 12/2011 11958.68183 11829.12097
2012-01-31 2012-02-29 4.32% 4.23% 01/2012 12603.29479 12426.05088
2012-02-29 2012-03-31 2.65% 3.08% 02/2012 13147.8816 12951.71029
2012-03-31 2012-04-30 -0.99% -0.66% 03/2012 13496.46581 13351.22878
2012-04-30 2012-05-31 -6.58% -6.18% 04/2012 13362.83743 13263.6621
2012-05-31 2012-06-30 3.70% 3.92% 05/2012 12483.1173 12443.71622
2012-06-30 2012-07-31 0.69% 0.99% 06/2012 12944.70039 12931.07791
2012-07-31 2012-08-31 2.92% 2.50% 07/2012 13034.20567 13059.15945
2012-08-31 2012-09-30 2.85% 2.63% 08/2012 13414.60308 13385.09154
2012-09-30 2012-10-31 -1.38% -1.72% 09/2012 13796.44644 13736.58407
10/31/2012 13605.45329 13499.64779
One Year Five Years From 09/15/2005
-------- ---------- ---------------
14.29% 1.07% 4.42%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
U.S. Core Equity 2 Portfolio vs. Russell 3000(R) Index
September 15, 2005 - October 31, 2012
U.S. Core Equity 2
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Russell 3000(R) Index
--------- ---------- ----------- ----------------- ---------- ------------------ ---------------------
2005-09-15 2005-09-30 0.50% 0.26% 09/2005 10000 10000
2005-09-30 2005-10-31 -2.19% -1.87% 09/2005 10050 10026.07049
2005-10-31 2005-11-30 4.17% 3.89% 10/2005 9829.999999 9838.286379
2005-11-30 2005-12-31 0.07% 0.08% 11/2005 10240 10220.99572
2005-12-31 2006-01-31 4.80% 3.34% 12/2005 10246.90802 10229.4184
2006-01-31 2006-02-28 0.19% 0.18% 01/2006 10739.16145 10571.16355
2006-02-28 2006-03-31 2.39% 1.73% 02/2006 10759.25342 10589.95797
2006-03-31 2006-04-30 1.46% 1.08% 03/2006 11015.87975 10773.02951
2006-04-30 2006-05-31 -3.60% -3.20% 04/2006 11176.84238 10889.90295
2006-05-31 2006-06-30 -0.08% 0.18% 05/2006 10774.43581 10541.26651
2006-06-30 2006-07-31 -1.12% -0.09% 06/2006 10765.82634 10559.8869
2006-07-31 2006-08-31 2.27% 2.45% 07/2006 10644.74863 10550.00243
2006-08-31 2006-09-30 2.05% 2.24% 08/2006 10886.90406 10808.11243
2006-09-30 2006-10-31 3.83% 3.60% 09/2006 11109.73012 11050.03834
2006-10-31 2006-11-30 2.53% 2.18% 10/2006 11534.69247 11447.81119
2006-11-30 2006-12-31 1.37% 1.20% 11/2006 11826.7327 11696.8799
2006-12-31 2007-01-31 1.87% 1.90% 12/2006 11988.2295 11836.97558
2007-01-31 2007-02-28 -1.00% -1.64% 01/2007 12212.49909 12062.28188
2007-02-28 2007-03-31 1.06% 1.04% 02/2007 12090.17022 11864.40958
2007-03-31 2007-04-30 3.43% 3.99% 03/2007 12218.05161 11987.89834
2007-04-30 2007-05-31 4.04% 3.64% 04/2007 12636.89786 12466.77687
2007-05-31 2007-06-30 -1.61% -1.87% 05/2007 13147.68597 12921.09509
2007-06-30 2007-07-31 -4.68% -3.41% 06/2007 12936.11551 12679.15964
2007-07-31 2007-08-31 0.91% 1.44% 07/2007 12331.33674 12246.76321
2007-08-31 2007-09-30 2.51% 3.65% 08/2007 12444.09211 12422.55798
2007-09-30 2007-10-31 1.05% 1.83% 09/2007 12756.68877 12875.44803
2007-10-31 2007-11-30 -5.71% -4.50% 10/2007 12890.42825 13111.63682
2007-11-30 2007-12-31 -0.87% -0.61% 11/2007 12155.01345 12521.36708
2007-12-31 2008-01-31 -5.15% -6.06% 12/2007 12048.85772 12445.59651
2008-01-31 2008-02-29 -3.17% -3.11% 01/2008 11428.31569 11691.24967
2008-02-29 2008-03-31 -1.01% -0.59% 02/2008 11066.33284 11328.12341
2008-03-31 2008-04-30 5.02% 5.00% 03/2008 10954.96199 11261.28749
2008-04-30 2008-05-31 2.80% 2.05% 04/2008 11504.78489 11824.45152
2008-05-31 2008-06-30 -9.04% -8.25% 05/2008 11826.37942 12066.69465
2008-06-30 2008-07-31 0.29% -0.80% 06/2008 10757.16532 11070.94073
2008-07-31 2008-08-31 2.22% 1.55% 07/2008 10788.40588 10982.64391
2008-08-31 2008-09-30 -9.03% -9.40% 08/2008 11027.91682 11152.87489
2008-09-30 2008-10-31 -19.02% -17.74% 09/2008 10032.13851 10104.23524
2008-10-31 2008-11-30 -9.06% -7.89% 10/2008 8123.967743 8312.150636
2008-11-30 2008-12-31 2.97% 1.91% 11/2008 7388.291492 7655.996316
2008-12-31 2009-01-31 -10.42% -8.39% 12/2008 7607.356497 7802.460402
2009-01-31 2009-02-28 -11.63% -10.48% 01/2009 6814.923529 7147.674106
2009-02-28 2009-03-31 9.84% 8.76% 02/2009 6022.490561 6398.917567
2009-03-31 2009-04-30 13.96% 10.52% 03/2009 6614.967726 6959.42348
2009-04-30 2009-05-31 4.79% 5.34% 04/2009 7538.727264 7691.788944
2009-05-31 2009-06-30 -0.13% 0.34% 05/2009 7899.736738 8102.256351
2009-06-30 2009-07-31 9.05% 7.78% 06/2009 7889.104933 8129.804088
2009-07-31 2009-08-31 4.09% 3.57% 07/2009 8603.38876 8762.595024
2009-08-31 2009-09-30 4.99% 4.19% 08/2009 8955.200198 9075.698133
2009-09-30 2009-10-31 -4.38% -2.57% 09/2009 9401.701866 9455.934523
2009-10-31 2009-11-30 4.53% 5.68% 10/2009 8990.274958 9212.730565
2009-11-30 2009-12-31 4.55% 2.85% 11/2009 9397.46262 9736.232822
2009-12-31 2010-01-31 -3.06% -3.60% 12/2009 9825.026675 10013.68879
2010-01-31 2010-02-28 4.18% 3.39% 01/2010 9524.041175 9652.71891
2010-02-28 2010-03-31 7.14% 6.30% 02/2010 9921.772015 9979.96323
2010-03-31 2010-04-30 3.65% 2.16% 03/2010 10630.6719 10608.96643
2010-04-30 2010-05-31 -7.92% -7.90% 04/2010 11018.41677 10837.91578
2010-05-31 2010-06-30 -7.04% -5.75% 05/2010 10145.99081 9981.751444
2010-06-30 2010-07-31 7.33% 6.94% 06/2010 9432.164173 9407.921189
2010-07-31 2010-08-31 -5.98% -4.71% 07/2010 10123.64013 10061.04111
2010-08-31 2010-09-30 10.57% 9.44% 08/2010 9518.598667 9587.438128
2010-09-30 2010-10-31 3.71% 3.91% 09/2010 10524.41695 10492.65506
2010-10-31 2010-11-30 1.59% 0.58% 10/2010 10915.01387 10902.67624
2010-11-30 2010-12-31 7.93% 6.78% 11/2010 11088.6125 10965.61711
2010-12-31 2011-01-31 1.91% 2.18% 12/2010 11968.23215 11708.96736
2011-01-31 2011-02-28 4.47% 3.64% 01/2011 12197.34143 11964.71007
2011-02-28 2011-03-31 1.21% 0.45% 02/2011 12742.83971 12400.3236
2011-03-31 2011-04-30 2.29% 2.98% 03/2011 12896.98515 12456.25605
2011-04-30 2011-05-31 -1.57% -1.14% 04/2011 13192.08565 12827.01189
2011-05-31 2011-06-30 -1.97% -1.80% 05/2011 12984.42234 12680.65539
2011-06-30 2011-07-31 -3.36% -2.29% 06/2011 12729.15378 12452.9236
2011-07-31 2011-08-31 -7.58% -6.00% 07/2011 12301.55947 12167.75288
2011-08-31 2011-09-30 -9.49% -7.76% 08/2011 11369.62315 11437.74633
2011-09-30 2011-10-31 13.48% 11.51% 09/2011 10290.37171 10550.2277
2011-10-31 2011-11-30 -0.38% -0.27% 10/2011 11677.0956 11764.4808
2011-11-30 2011-12-31 0.73% 0.82% 11/2011 11633.07262 11732.68431
2011-12-31 2012-01-31 5.57% 5.05% 12/2011 11717.78196 11829.12097
2012-01-31 2012-02-29 4.29% 4.23% 01/2012 12370.61401 12426.05088
2012-02-29 2012-03-31 2.41% 3.08% 02/2012 12901.73161 12951.71029
2012-03-31 2012-04-30 -1.01% -0.66% 03/2012 13213.27714 13351.22878
2012-04-30 2012-05-31 -6.86% -6.18% 04/2012 13080.25757 13263.6621
2012-05-31 2012-06-30 3.95% 3.92% 05/2012 12182.37548 12443.71622
2012-06-30 2012-07-31 0.53% 0.99% 06/2012 12663.02274 12931.07791
2012-07-31 2012-08-31 3.15% 2.50% 07/2012 12729.84608 13059.15945
2012-08-31 2012-09-30 3.04% 2.63% 08/2012 13130.78612 13385.09154
2012-09-30 2012-10-31 -0.91% -1.72% 09/2012 13529.76511 13736.58407
10/31/2012 13406.76724 13499.64779
One Year Five Years From 09/15/2005
-------- ---------- ---------------
14.81% 0.79% 4.20%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
U.S. Vector Equity Portfolio vs. Russell 2500(R) Index
December 30, 2005 - October 31, 2012
U.S. Vector
Equity Russell Russell
BeginDate EndDate FundReturns Benchmark0Returns Benchmark1Returns EndDate Portfolio 2500(R) Index 3000(R) Index
--------- ---------- ----------- ----------------- ----------------- ---------- ----------- ------------- -------------
2005-12-30. 2005-12-31 0.00% 0.00% 0.00% 12/2005 10000 10000 10000
2005-12-31. 2006-01-31 8.10% 7.07% 3.34% 12/2005 10000 10000 10000
2006-01-31. 2006-02-28 -0.09% -0.08% 0.18% 01/2006 10810 10707.36924 10334.08073
2006-02-28. 2006-03-31 3.66% 3.89% 1.73% 02/2006 10800 10698.42504 10352.45363
2006-03-31. 2006-04-30 1.07% 0.35% 1.08% 03/2006 11195.70224 11114.26534 10531.41937
2006-04-30. 2006-05-31 -3.98% -4.72% -3.20% 04/2006 11315.87078 11153.28278 10645.67165
2006-05-31. 2006-06-30 -0.19% 0.05% 0.18% 05/2006 10865.23876 10626.4826 10304.85419
2006-06-30. 2006-07-31 -2.04% -3.15% -0.09% 06/2006 10844.61829 10631.79726 10323.05698
2006-07-31. 2006-08-31 2.27% 2.53% 2.45% 07/2006 10623.7094 10297.36211 10313.39419
2006-08-31. 2006-09-30 1.71% 1.22% 2.24% 08/2006 10864.70092 10558.29931 10565.71547
2006-09-30. 2006-10-31 4.37% 4.80% 3.60% 09/2006 11050.09171 10686.88833 10802.21564
2006-10-31. 2006-11-30 2.88% 3.26% 2.18% 10/2006 11533.15583 11200.38745 11191.06751
2006-11-30. 2006-12-31 1.14% 0.44% 1.20% 11/2006 11865.26241 11565.75267 11434.55028
2006-12-31. 2007-01-31 1.97% 2.70% 1.90% 12/2006 12000.89116 11616.4765 11571.50398
2007-01-31. 2007-02-28 -0.67% -0.14% -1.64% 01/2007 12236.80611 11929.91056 11791.75727
2007-02-28. 2007-03-31 0.93% 0.97% 1.04% 02/2007 12154.74873 11913.14706 11598.32272
2007-03-31. 2007-04-30 2.93% 2.58% 3.99% 03/2007 12267.96271 12029.07706 11719.04195
2007-04-30. 2007-05-31 4.15% 4.18% 3.64% 04/2007 12627.57636 12339.03312 12187.18052
2007-05-31. 2007-06-30 -1.52% -1.79% -1.87% 05/2007 13151.58482 12854.61469 12631.30961
2007-06-30. 2007-07-31 -5.65% -5.75% -3.41% 06/2007 12951.14302 12623.93608 12394.80012
2007-07-31. 2007-08-31 0.51% 1.06% 1.44% 07/2007 12219.61465 11898.6634 11972.10118
2007-08-31. 2007-09-30 1.75% 2.35% 3.65% 08/2007 12281.43395 12024.84163 12143.95334
2007-09-30. 2007-10-31 0.66% 2.57% 1.83% 09/2007 12496.25247 12307.98885 12586.68629
2007-10-31. 2007-11-30 -6.49% -6.13% -4.50% 10/2007 12578.94066 12624.15904 12817.578
2007-11-30. 2007-12-31 -1.11% -0.62% -0.61% 11/2007 11762.3948 11850.46476 12240.54642
2007-12-31. 2008-01-31 -4.73% -6.11% -6.06% 12/2007 11631.77062 11776.64626 12166.47518
2008-01-31. 2008-02-29 -3.37% -2.75% -3.11% 01/2008 11081.33861 11057.29114 11429.04632
2008-02-29. 2008-03-31 -0.41% -0.74% -0.59% 02/2008 10707.46027 10753.5381 11074.06401
2008-03-31. 2008-04-30 4.49% 5.38% 5.00% 03/2008 10663.12107 10673.96192 11008.72703
2008-04-30. 2008-05-31 3.36% 4.75% 2.05% 04/2008 11142.12846 11248.63068 11559.26081
2008-05-31. 2008-06-30 -9.55% -8.15% -8.25% 05/2008 11517.00381 11782.78761 11796.07107
2008-06-30. 2008-07-31 0.80% 0.69% -0.80% 06/2008 10416.82936 10821.90896 10822.64924
2008-07-31. 2008-08-31 2.89% 2.86% 1.55% 07/2008 10500.41476 10896.98502 10736.33268
2008-08-31. 2008-09-30 -8.43% -9.94% -9.40% 08/2008 10803.4118 11208.63879 10902.74583
2008-09-30. 2008-10-31 -20.68% -21.54% -17.74% 09/2008 9892.436576 10094.83988 9877.624365
2008-10-31. 2008-11-30 -10.96% -10.84% -7.89% 10/2008 7846.810771 7920.144418 8125.731405
2008-11-30. 2008-12-31 4.58% 5.43% 1.91% 11/2008 6986.598894 7061.280989 7484.292866
2008-12-31. 2009-01-31 -12.17% -9.00% -8.39% 12/2008 7306.839275 7444.662323 7627.472155
2009-01-31. 2009-02-28 -12.54% -10.81% -10.48% 01/2009 6417.311015 6774.568834 6987.370958
2009-02-28. 2009-03-31 10.08% 9.13% 8.76% 02/2009 5612.499733 6042.101693 6255.407019
2009-03-31. 2009-04-30 16.18% 15.41% 10.52% 03/2009 6178.308306 6593.63287 6803.342288
2009-04-30. 2009-05-31 4.30% 3.05% 5.34% 04/2009 7177.896914 7609.72032 7519.282761
2009-05-31. 2009-06-30 0.04% 1.13% 0.34% 05/2009 7486.280631 7841.521026 7920.544486
2009-06-30. 2009-07-31 10.26% 9.02% 7.78% 06/2009 7489.588964 7930.383589 7947.4744
2009-07-31. 2009-08-31 4.65% 4.09% 3.57% 07/2009 8257.751935 8645.898145 8566.073534
2009-08-31. 2009-09-30 5.22% 5.80% 4.19% 08/2009 8641.833419 8999.115137 8872.154581
2009-09-30. 2009-10-31 -5.53% -5.79% -2.57% 09/2009 9092.773536 9521.240112 9243.863288
2009-10-31. 2009-11-30 3.74% 4.03% 5.68% 10/2009 8589.996646 8970.170257 9006.113742
2009-11-30. 2009-12-31 5.96% 7.21% 2.85% 11/2009 8910.918066 9331.898712 9517.875249
2009-12-31. 2010-01-31 -2.84% -3.35% -3.60% 12/2009 9441.991047 10004.75497 9789.108621
2010-01-31. 2010-02-28 4.92% 4.97% 3.39% 01/2010 9173.447502 9669.835496 9436.23433
2010-02-28. 2010-03-31 7.50% 7.64% 6.30% 02/2010 9624.600658 10150.60386 9756.139438
2010-03-31. 2010-04-30 5.09% 4.74% 2.16% 03/2010 10346.73337 10926.39959 10371.03579
2010-04-30. 2010-05-31 -8.01% -7.45% -7.90% 04/2010 10873.74994 11443.95706 10594.85042
2010-05-31. 2010-06-30 -7.76% -7.14% -5.75% 05/2010 10002.55929 10591.65383 9757.887548
2010-06-30. 2010-07-31 7.36% 7.04% 6.94% 06/2010 9226.60273 9835.732521 9196.926765
2010-07-31. 2010-08-31 -6.86% -5.92% -4.71% 07/2010 9905.663442 10527.7909 9835.398958
2010-08-31. 2010-09-30 11.01% 11.44% 9.44% 08/2010 9226.602729 9904.491459 9372.41762
2010-09-30. 2010-10-31 3.70% 3.83% 3.91% 09/2010 10242.66637 11037.13948 10257.33296
2010-10-31. 2010-11-30 2.44% 2.81% 0.58% 10/2010 10621.22321 11460.40038 10658.15847
2010-11-30. 2010-12-31 8.57% 7.59% 6.78% 11/2010 10880.80504 11782.82606 10719.68775
2010-12-31. 2011-01-31 1.38% 1.34% 2.18% 12/2010 11813.40659 12676.91163 11446.36665
2011-01-31. 2011-02-28 5.08% 4.88% 3.64% 01/2011 11976.42508 12846.87019 11696.37373
2011-02-28. 2011-03-31 1.66% 2.27% 0.45% 02/2011 12585.02744 13473.74101 12122.21762
2011-03-31. 2011-04-30 2.04% 2.89% 2.98% 03/2011 12793.91674 13779.87363 12176.89566
2011-04-30. 2011-05-31 -1.92% -1.20% -1.14% 04/2011 13055.01708 14177.73147 12539.33644
2011-05-31. 2011-06-30 -2.15% -2.20% -1.80% 05/2011 12804.79592 14007.77822 12396.26232
2011-06-30. 2011-07-31 -3.66% -3.81% -2.29% 06/2011 12529.69789 13699.1729 12173.63794
2011-07-31. 2011-08-31 -8.76% -8.19% -6.00% 07/2011 12071.69327 13177.70985 11894.86284
2011-08-31. 2011-09-30 -10.82% -10.80% -7.76% 08/2011 11013.92069 12098.97731 11181.22838
2011-09-30. 2011-10-31 14.48% 14.66% 11.51% 09/2011 9821.942629 10792.05018 10313.6144
2011-10-31. 2011-11-30 -0.49% -0.35% -0.27% 10/2011 11243.82742 12373.93866 11500.63507
2011-11-30. 2011-12-31 0.76% 0.23% 0.82% 11/2011 11189.13954 12330.94292 11469.55169
2011-12-31. 2012-01-31 6.15% 6.65% 5.05% 12/2011 11274.36654 12358.85589 11563.82553
2012-01-31. 2012-02-29 4.14% 3.71% 4.23% 01/2012 11967.32761 13180.32386 12147.36791
2012-02-29. 2012-03-31 2.40% 2.15% 3.08% 02/2012 12462.2998 13669.36943 12661.23818
2012-03-31. 2012-04-30 -1.47% -0.73% -0.66% 03/2012 12761.84573 13963.72374 13051.79655
2012-04-30. 2012-05-31 -7.27% -6.83% -6.18% 04/2012 12574.65732 13862.18174 12966.19375
2012-05-31. 2012-06-30 3.95% 3.64% 3.92% 05/2012 11660.73739 12914.77197 12164.63706
2012-06-30. 2012-07-31 -0.18% -0.68% 0.99% 06/2012 12121.55642 13385.2662 12641.06854
2012-07-31. 2012-08-31 3.66% 3.59% 2.50% 07/2012 12099.43679 13293.98253 12766.27755
2012-08-31. 2012-09-30 3.23% 2.60% 2.63% 08/2012 12541.82936 13771.47288 13084.89986
2012-09-30. 2012-10-31 -0.51% -1.05% -1.72% 09/2012 12946.68691 14130.21579 13428.50935
10/31/2012 12880.12296 13982.27365 13196.88692
One Year Five Years From 12/30/2005
-------- ---------- ---------------
14.55% 0.47% 3.77%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
U.S. Small Cap Portfolio vs. Russell 2000(R) Index
October 31, 2002 - October 31, 2012
U.S. Small Cap Russell
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio 2000(R) Index
--------- ---------- ----------- ----------------- ---------- -------------- -------------
2002-10-31 2002-11-30 8.92% 8.92% 10/2002 10000 10000
2002-11-30 2002-12-31 -5.50% -5.57% 11/2002 10891.71975 10892
2002-12-31 2003-01-31 -2.69% -2.77% 12/2002 10292.91741 10285.3156
2003-01-31 2003-02-28 -3.22% -3.02% 01/2003 10016.22608 10000.41236
2003-02-28 2003-03-31 0.95% 1.29% 02/2003 9693.419529 9698.399905
2003-03-31 2003-04-30 10.08% 9.48% 03/2003 9785.649973 9823.509263
2003-04-30 2003-05-31 11.22% 10.73% 04/2003 10772.51571 10754.77794
2003-05-31 2003-06-30 2.69% 1.81% 05/2003 11980.73451 11908.76561
2003-06-30 2003-07-31 6.30% 6.26% 06/2003 12303.54106 12124.31427
2003-07-31 2003-08-31 5.01% 4.58% 07/2003 13078.27678 12883.29635
2003-08-31 2003-09-30 -1.54% -1.85% 08/2003 13733.11292 13473.35132
2003-09-30 2003-10-31 8.73% 8.40% 09/2003 13520.9829 13224.09432
2003-10-31 2003-11-30 3.64% 3.55% 10/2003 14701.53256 14334.91824
2003-11-30 2003-12-31 2.34% 2.03% 11/2003 15236.46913 14843.80784
2003-12-31 2004-01-31 4.46% 4.34% 12/2003 15592.72663 15145.13714
2004-01-31 2004-02-29 0.85% 0.90% 01/2004 16287.58968 15802.43609
2004-02-29 2004-03-31 0.51% 0.93% 02/2004 16426.56229 15944.65802
2004-03-31 2004-04-30 -4.10% -5.10% 03/2004 16509.94585 16092.94333
2004-04-30 2004-05-31 1.05% 1.59% 04/2004 15833.61249 15272.20322
2004-05-31 2004-06-30 4.37% 4.21% 05/2004 16000.37962 15515.03126
2004-06-30 2004-07-31 -7.17% -6.73% 06/2004 16699.54476 16168.21407
2004-07-31 2004-08-31 -1.44% -0.51% 07/2004 15502.74405 15080.09326
2004-08-31 2004-09-30 4.89% 4.69% 08/2004 15280.08346 15003.18479
2004-09-30 2004-10-31 1.91% 1.97% 09/2004 16027.35649 15706.83416
2004-10-31 2004-11-30 8.75% 8.67% 10/2004 16333.78915 16016.25879
2004-11-30 2004-12-31 3.47% 2.96% 11/2004 17763.80821 17404.86843
2004-12-31 2005-01-31 -3.93% -4.17% 12/2004 18379.47152 17920.05253
2005-01-31 2005-02-28 1.75% 1.69% 01/2005 17656.68331 17172.78634
2005-02-28 2005-03-31 -2.89% -2.86% 02/2005 17966.44969 17463.00643
2005-03-31 2005-04-30 -6.24% -5.73% 03/2005 17448.05253 16963.56445
2005-04-30 2005-05-31 6.89% 6.55% 04/2005 16358.7231 15991.5522
2005-05-31 2005-06-30 3.77% 3.86% 05/2005 17485.61562 17038.21166
2005-06-30 2005-07-31 6.84% 6.34% 06/2005 18145.49922 17695.41334
2005-07-31 2005-08-31 -1.41% -1.85% 07/2005 19386.53855 18816.48682
2005-08-31 2005-09-30 0.64% 0.31% 08/2005 19113.88597 18467.60033
2005-09-30 2005-10-31 -3.09% -3.10% 09/2005 19235.96278 18525.55932
2005-10-31 2005-11-30 4.85% 4.85% 10/2005 18642.49282 17950.36629
2005-11-30 2005-12-31 -0.25% -0.46% 11/2005 19546.828 18821.74976
2005-12-31 2006-01-31 9.09% 8.97% 12/2005 19497.6084 18735.74394
2006-01-31 2006-02-28 -0.19% -0.28% 01/2006 21269.20834 20415.82191
2006-02-28 2006-03-31 4.59% 4.85% 02/2006 21229.17218 20359.59502
2006-03-31 2006-04-30 0.23% -0.02% 03/2006 22202.76237 21347.36282
2006-04-30 2006-05-31 -5.45% -5.62% 04/2006 22252.83626 21343.8986
2006-05-31 2006-06-30 -0.59% 0.64% 05/2006 21041.04815 20145.21337
2006-06-30 2006-07-31 -3.84% -3.25% 06/2006 20917.32016 20274.78836
2006-07-31 2006-08-31 2.79% 2.96% 07/2006 20114.73714 19615.05514
2006-08-31 2006-09-30 0.82% 0.83% 08/2006 20676.54526 20195.7776
2006-09-30 2006-10-31 5.64% 5.76% 09/2006 20846.99814 20363.92529
2006-10-31 2006-11-30 2.51% 2.63% 10/2006 22023.03419 21536.43877
2006-11-30 2006-12-31 0.71% 0.33% 11/2006 22575.87165 22102.96181
2006-12-31 2007-01-31 1.50% 1.67% 12/2006 22736.62171 22176.96705
2007-01-31 2007-02-28 -0.51% -0.79% 01/2007 23076.76752 22548.08794
2007-02-28 2007-03-31 1.05% 1.07% 02/2007 22959.8424 22369.16506
2007-03-31 2007-04-30 1.83% 1.80% 03/2007 23200.51036 22608.63756
2007-04-30 2007-05-31 3.78% 4.10% 04/2007 23626.01261 23014.74343
2007-05-31 2007-06-30 -1.09% -1.46% 05/2007 24519.56735 23958.4963
2007-06-30 2007-07-31 -6.02% -6.84% 06/2007 24251.58244 23608.0126
2007-07-31 2007-08-31 1.40% 2.27% 07/2007 22790.51525 21993.34851
2007-08-31 2007-09-30 1.26% 1.72% 08/2007 23110.45697 22491.84506
2007-09-30 2007-10-31 1.97% 2.87% 09/2007 23402.45803 22877.91405
2007-10-31 2007-11-30 -7.44% -7.18% 10/2007 23862.58866 23534.29322
2007-11-30 2007-12-31 -0.20% -0.06% 11/2007 22086.2704 21844.39548
2007-12-31 2008-01-31 -6.92% -6.82% 12/2007 22041.16399 21830.76512
2008-01-31 2008-02-29 -3.22% -3.71% 01/2008 20516.37515 20342.02883
2008-02-29 2008-03-31 0.36% 0.42% 02/2008 19856.39192 19588.01376
2008-03-31 2008-04-30 3.15% 4.19% 03/2008 19927.63569 19670.28342
2008-04-30 2008-05-31 4.77% 4.59% 04/2008 20555.00831 20493.88577
2008-05-31 2008-06-30 -8.95% -7.70% 05/2008 21535.99095 21435.31061
2008-06-30 2008-07-31 3.15% 3.70% 06/2008 19608.33588 19785.05283
2008-07-31 2008-08-31 3.62% 3.61% 07/2008 20225.74121 20517.22512
2008-08-31 2008-09-30 -7.99% -7.97% 08/2008 20957.48086 21257.89694
2008-09-30 2008-10-31 -20.58% -20.80% 09/2008 19282.02183 19564.06071
2008-10-31 2008-11-30 -12.21% -11.83% 10/2008 15313.20591 15494.16034
2008-11-30 2008-12-31 4.91% 5.80% 11/2008 13443.50362 13661.40461
2008-12-31 2009-01-31 -11.07% -11.12% 12/2008 14104.22393 14454.32762
2009-01-31 2009-02-28 -12.07% -12.15% 01/2009 12543.51063 12846.69817
2009-02-28 2009-03-31 10.30% 8.93% 02/2009 11029.04068 11285.52348
2009-03-31 2009-04-30 18.57% 15.46% 03/2009 12164.59349 12292.94776
2009-04-30 2009-05-31 3.53% 3.01% 04/2009 14423.73228 14193.2203
2009-05-31 2009-06-30 2.59% 1.47% 05/2009 14933.48668 14621.13219
2009-06-30 2009-07-31 10.39% 9.63% 06/2009 15320.43063 14835.88748
2009-07-31 2009-08-31 3.57% 2.87% 07/2009 16911.71115 16264.73903
2009-08-31 2009-09-30 6.23% 5.77% 08/2009 17515.70083 16731.12244
2009-09-30 2009-10-31 -6.94% -6.79% 09/2009 18607.1229 17696.12409
2009-10-31 2009-11-30 2.55% 3.14% 10/2009 17316.25374 16494.64373
2009-11-30 2009-12-31 8.29% 8.05% 11/2009 17758.17291 17012.41775
2009-12-31 2010-01-31 -3.03% -3.68% 12/2009 19229.91145 18381.81652
2010-01-31 2010-02-28 4.88% 4.50% 01/2010 18646.47967 17705.15506
2010-02-28 2010-03-31 8.19% 8.14% 02/2010 19556.63324 18502.69792
2010-03-31 2010-04-30 6.79% 5.66% 03/2010 21158.96636 20008.60791
2010-04-30 2010-05-31 -7.80% -7.59% 04/2010 22595.25381 21140.97975
2010-05-31 2010-06-30 -7.99% -7.75% 05/2010 20832.00662 19537.36598
2010-06-30 2010-07-31 7.20% 6.87% 06/2010 19166.54291 18023.33753
2010-07-31 2010-08-31 -7.63% -7.40% 07/2010 20546.44045 19261.88844
2010-08-31 2010-09-30 13.05% 12.46% 08/2010 18979.43816 17835.77807
2010-09-30 2010-10-31 4.10% 4.09% 09/2010 21456.93018 20058.05111
2010-10-31 2010-11-30 4.20% 3.47% 10/2010 22335.83229 20878.85552
2010-11-30 2010-12-31 7.99% 7.94% 11/2010 23273.32788 21602.80043
2010-12-31 2011-01-31 0.09% -0.26% 12/2010 25133.8852 23318.23325
2011-01-31 2011-02-28 5.61% 5.48% 01/2011 25157.41881 23258.1475
2011-02-28 2011-03-31 2.86% 2.59% 02/2011 26569.43483 24533.65872
2011-03-31 2011-04-30 2.37% 2.64% 03/2011 27330.04413 25169.47203
2011-04-30 2011-05-31 -2.02% -1.87% 04/2011 27977.67551 25834.09819
2011-05-31 2011-06-30 -1.60% -2.31% 05/2011 27412.46995 25349.74104
2011-06-30 2011-07-31 -3.50% -3.61% 06/2011 26974.5315 24765.28256
2011-07-31 2011-08-31 -8.97% -8.70% 07/2011 26030.95366 23870.13558
2011-08-31 2011-09-30 -11.10% -11.21% 08/2011 23695.59851 21793.37793
2011-09-30 2011-10-31 15.32% 15.14% 09/2011 21064.22164 19350.29789
2011-10-31 2011-11-30 -0.34% -0.36% 10/2011 24291.23202 22279.12145
2011-11-30 2011-12-31 0.55% 0.66% 11/2011 24208.48816 22197.90975
2011-12-31 2012-01-31 6.73% 7.07% 12/2011 24342.35457 22344.54025
2012-01-31 2012-02-29 2.88% 2.39% 01/2012 25979.4135 23923.20436
2012-02-29 2012-03-31 2.61% 2.56% 02/2012 26726.7665 24495.74347
2012-03-31 2012-04-30 -1.38% -1.54% 03/2012 27424.60552 25123.38149
2012-04-30 2012-05-31 -6.49% -6.62% 04/2012 27044.86195 24735.30378
2012-05-31 2012-06-30 4.22% 4.99% 05/2012 25288.54797 23098.08293
2012-06-30 2012-07-31 -0.81% -1.38% 06/2012 26356.59007 24250.67455
2012-07-31 2012-08-31 3.51% 3.33% 07/2012 26142.11511 23915.55258
2012-08-31 2012-09-30 3.26% 3.28% 08/2012 27059.59134 24713.06845
2012-09-30 2012-10-31 -1.24% -2.17% 09/2012 27942.43548 25524.5992
10/31/2012 27596.14033 24970.85273
One Year Five Years Ten Years
-------- ---------- ---------
13.61% 2.95% 10.68%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
U.S. Micro Cap Portfolio vs. Russell 2000(R) Index
October 31, 2002 - October 31, 2012
U.S. Micro Cap Russell
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio 2000(R) Index
--------- ---------- ----------- ----------------- ---------- -------------- -------------
2002-10-31 2002-11-30 8.36% 8.92% 10/2002 10000 10000
2002-11-30 2002-12-31 -4.29% -5.57% 11/2002 10836.32019 10892
2002-12-31 2003-01-31 -2.23% -2.77% 12/2002 10371.96979 10285.3156
2003-01-31 2003-02-28 -2.88% -3.02% 01/2003 10140.94115 10000.41236
2003-02-28 2003-03-31 1.11% 1.29% 02/2003 9849.115507 9698.399905
2003-03-31 2003-04-30 9.28% 9.48% 03/2003 9958.550124 9823.509263
2003-04-30 2003-05-31 11.62% 10.73% 04/2003 10882.66466 10754.77794
2003-05-31 2003-06-30 4.40% 1.81% 05/2003 12147.24246 11908.76561
2003-06-30 2003-07-31 7.38% 6.26% 06/2003 12682.25614 12124.31427
2003-07-31 2003-08-31 4.73% 4.58% 07/2003 13618.53008 12883.29635
2003-08-31 2003-09-30 0.09% -1.85% 08/2003 14262.97838 13473.35132
2003-09-30 2003-10-31 8.94% 8.40% 09/2003 14275.13778 13224.09432
2003-10-31 2003-11-30 4.30% 3.55% 10/2003 15551.87497 14334.91824
2003-11-30 2003-12-31 2.77% 2.03% 11/2003 16220.64208 14843.80784
2003-12-31 2004-01-31 5.78% 4.34% 12/2003 16669.54407 15145.13714
2004-01-31 2004-02-29 0.50% 0.90% 01/2004 17633.17387 15802.43609
2004-02-29 2004-03-31 0.14% 0.93% 02/2004 17720.77658 15944.65802
2004-03-31 2004-04-30 -4.09% -5.10% 03/2004 17745.80593 16092.94333
2004-04-30 2004-05-31 0.00% 1.59% 04/2004 17019.9549 15272.20322
2004-05-31 2004-06-30 4.41% 4.21% 05/2004 17019.95491 15515.03126
2004-06-30 2004-07-31 -7.47% -6.73% 06/2004 17771.17033 16168.21407
2004-07-31 2004-08-31 -1.52% -0.51% 07/2004 16443.65514 15080.09326
2004-08-31 2004-09-30 5.01% 4.69% 08/2004 16193.18057 15003.18479
2004-09-30 2004-10-31 1.84% 1.97% 09/2004 17003.75956 15706.83416
2004-10-31 2004-11-30 8.97% 8.67% 10/2004 17317.01969 16016.25879
2004-11-30 2004-12-31 4.58% 2.96% 11/2004 18870.7899 17404.86843
2004-12-31 2005-01-31 -4.10% -4.17% 12/2004 19734.74342 17920.05253
2005-01-31 2005-02-28 0.83% 1.69% 01/2005 18925.51453 17172.78634
2005-02-28 2005-03-31 -3.23% -2.86% 02/2005 19082.13948 17463.00643
2005-03-31 2005-04-30 -6.22% -5.73% 03/2005 18466.11724 16963.56445
2005-04-30 2005-05-31 6.03% 6.55% 04/2005 17316.88222 15991.5522
2005-05-31 2005-06-30 4.52% 3.86% 05/2005 18361.64132 17038.21166
2005-06-30 2005-07-31 7.63% 6.34% 06/2005 19191.65259 17695.41334
2005-07-31 2005-08-31 -1.39% -1.85% 07/2005 20655.86587 18816.48682
2005-08-31 2005-09-30 0.61% 0.31% 08/2005 20368.25255 18467.60033
2005-09-30 2005-10-31 -2.81% -3.10% 09/2005 20492.34954 18525.55932
2005-10-31 2005-11-30 4.53% 4.85% 10/2005 19916.57471 17950.36629
2005-11-30 2005-12-31 0.18% -0.46% 11/2005 20819.49433 18821.74976
2005-12-31 2006-01-31 9.14% 8.97% 12/2005 20856.83868 18735.74394
2006-01-31 2006-02-28 0.25% -0.28% 01/2006 22763.18481 20415.82191
2006-02-28 2006-03-31 4.55% 4.85% 02/2006 22819.66914 20359.59502
2006-03-31 2006-04-30 -0.41% -0.02% 03/2006 23857.98949 21347.36282
2006-04-30 2006-05-31 -5.89% -5.62% 04/2006 23759.1109 21343.8986
2006-05-31 2006-06-30 -0.89% 0.64% 05/2006 22360.68523 20145.21337
2006-06-30 2006-07-31 -3.45% -3.25% 06/2006 22161.75746 20274.78836
2006-07-31 2006-08-31 2.78% 2.96% 07/2006 21398.04661 19615.05514
2006-08-31 2006-09-30 0.56% 0.83% 08/2006 21992.04393 20195.7776
2006-09-30 2006-10-31 5.45% 5.76% 09/2006 22114.4661 20363.92529
2006-10-31 2006-11-30 2.25% 2.63% 10/2006 23318.64908 21536.43877
2006-11-30 2006-12-31 1.61% 0.33% 11/2006 23842.82284 22102.96181
2006-12-31 2007-01-31 1.15% 1.67% 12/2006 24227.49838 22176.96705
2007-01-31 2007-02-28 -0.50% -0.79% 01/2007 24505.26587 22548.08794
2007-02-28 2007-03-31 1.02% 1.07% 02/2007 24381.81365 22369.16506
2007-03-31 2007-04-30 1.50% 1.80% 03/2007 24630.73155 22608.63756
2007-04-30 2007-05-31 3.15% 4.10% 04/2007 25001.35071 23014.74343
2007-05-31 2007-06-30 -0.33% -1.46% 05/2007 25788.91643 23958.4963
2007-06-30 2007-07-31 -6.51% -6.84% 06/2007 25702.89187 23608.0126
2007-07-31 2007-08-31 1.16% 2.27% 07/2007 24030.65554 21993.34851
2007-08-31 2007-09-30 1.48% 1.72% 08/2007 24309.36159 22491.84506
2007-09-30 2007-10-31 1.70% 2.87% 09/2007 24667.95852 22877.91405
2007-10-31 2007-11-30 -8.42% -7.18% 10/2007 25087.11201 23534.29322
2007-11-30 2007-12-31 -0.06% -0.06% 11/2007 22975.8204 21844.39548
2007-12-31 2008-01-31 -7.65% -6.82% 12/2007 22962.87539 21830.76512
2008-01-31 2008-02-29 -3.14% -3.71% 01/2008 21206.99108 20342.02883
2008-02-29 2008-03-31 0.31% 0.42% 02/2008 20542.14169 19588.01376
2008-03-31 2008-04-30 2.07% 4.19% 03/2008 20605.37102 19670.28342
2008-04-30 2008-05-31 3.98% 4.59% 04/2008 21032.15998 20493.88577
2008-05-31 2008-06-30 -9.05% -7.70% 05/2008 21868.66634 21435.31061
2008-06-30 2008-07-31 4.48% 3.70% 06/2008 19889.47911 19785.05283
2008-07-31 2008-08-31 3.38% 3.61% 07/2008 20779.54185 20517.22512
2008-08-31 2008-09-30 -7.37% -7.97% 08/2008 21481.32209 21257.89694
2008-09-30 2008-10-31 -20.71% -20.80% 09/2008 19898.99257 19564.06071
2008-10-31 2008-11-30 -12.84% -11.83% 10/2008 15778.4074 15494.16034
2008-11-30 2008-12-31 5.66% 5.80% 11/2008 13752.45302 13661.40461
2008-12-31 2009-01-31 -11.91% -11.12% 12/2008 14530.53864 14454.32762
2009-01-31 2009-02-28 -13.11% -12.15% 01/2009 12799.46364 12846.69817
2009-02-28 2009-03-31 9.58% 8.93% 02/2009 11120.84546 11285.52348
2009-03-31 2009-04-30 17.39% 15.46% 03/2009 12186.37237 12292.94776
2009-04-30 2009-05-31 3.43% 3.01% 04/2009 14304.98022 14193.2203
2009-05-31 2009-06-30 2.76% 1.47% 05/2009 14795.23658 14621.13219
2009-06-30 2009-07-31 9.82% 9.63% 06/2009 15203.81764 14835.88748
2009-07-31 2009-08-31 2.73% 2.87% 07/2009 16696.10921 16264.73903
2009-08-31 2009-09-30 5.76% 5.77% 08/2009 17152.57487 16731.12244
2009-09-30 2009-10-31 -7.27% -6.79% 09/2009 18139.91711 17696.12409
2009-10-31 2009-11-30 1.78% 3.14% 10/2009 16821.60918 16494.64373
2009-11-30 2009-12-31 8.69% 8.05% 11/2009 17120.42564 17012.41775
2009-12-31 2010-01-31 -2.94% -3.68% 12/2009 18607.8118 18381.81652
2010-01-31 2010-02-28 4.39% 4.50% 01/2010 18061.55975 17705.15506
2010-02-28 2010-03-31 8.08% 8.14% 02/2010 18854.50627 18502.69792
2010-03-31 2010-04-30 7.27% 5.66% 03/2010 20378.81035 20008.60791
2010-04-30 2010-05-31 -7.42% -7.59% 04/2010 21859.62356 21140.97975
2010-05-31 2010-06-30 -7.24% -7.75% 05/2010 20237.78052 19537.36598
2010-06-30 2010-07-31 7.14% 6.87% 06/2010 18772.78855 18023.33753
2010-07-31 2010-08-31 -7.98% -7.40% 07/2010 20113.70202 19261.88844
2010-08-31 2010-09-30 12.16% 12.46% 08/2010 18508.13458 17835.77807
2010-09-30 2010-10-31 4.34% 4.09% 09/2010 20758.90123 20058.05111
2010-10-31 2010-11-30 4.24% 3.47% 10/2010 21660.69336 20878.85552
2010-11-30 2010-12-31 8.19% 7.94% 11/2010 22580.16769 21602.80043
2010-12-31 2011-01-31 -1.09% -0.26% 12/2010 24429.79005 23318.23325
2011-01-31 2011-02-28 5.87% 5.48% 01/2011 24163.67033 23258.1475
2011-02-28 2011-03-31 3.25% 2.59% 02/2011 25582.97549 24533.65872
2011-03-31 2011-04-30 1.68% 2.64% 03/2011 26413.67116 25169.47203
2011-04-30 2011-05-31 -1.92% -1.87% 04/2011 26857.44924 25834.09819
2011-05-31 2011-06-30 -2.16% -2.31% 05/2011 26342.66667 25349.74104
2011-06-30 2011-07-31 -2.69% -3.61% 06/2011 25774.64362 24765.28256
2011-07-31 2011-08-31 -8.93% -8.70% 07/2011 25081.39458 23870.13558
2011-08-31 2011-09-30 -10.58% -11.21% 08/2011 22841.66693 21793.37793
2011-09-30 2011-10-31 15.43% 15.14% 09/2011 20425.2482 19350.29789
2011-10-31 2011-11-30 -0.60% -0.36% 10/2011 23577.18276 22279.12145
2011-11-30 2011-12-31 0.86% 0.66% 11/2011 23434.72244 22197.90975
2011-12-31 2012-01-31 6.96% 7.07% 12/2011 23635.2929 22344.54025
2012-01-31 2012-02-29 1.91% 2.39% 01/2012 25280.10905 23923.20436
2012-02-29 2012-03-31 2.98% 2.56% 02/2012 25762.82683 24495.74347
2012-03-31 2012-04-30 -1.42% -1.54% 03/2012 26531.59959 25123.38149
2012-04-30 2012-05-31 -6.97% -6.62% 04/2012 26156.15242 24735.30378
2012-05-31 2012-06-30 5.12% 4.99% 05/2012 24332.55191 23098.08293
2012-06-30 2012-07-31 -0.91% -1.38% 06/2012 25578.82737 24250.67455
2012-07-31 2012-08-31 3.12% 3.33% 07/2012 25345.47667 23915.55258
2012-08-31 2012-09-30 4.19% 3.28% 08/2012 26135.27906 24713.06845
2012-09-30 2012-10-31 -2.05% -2.17% 09/2012 27230.56722 25524.5992
10/31/2012 26673.3741 24970.85273
One Year Five Years Ten Years
-------- ---------- ---------
13.13% 1.23% 10.31%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
DFA Real Estate Securities Portfolio vs. S&P 500(R) IndexSM, Dow Jones U.S.
Select REIT IndexSM
October 31, 2002 - October 31, 2012
DFA Real Dow Jones
Estate U.S. Select
Securities S&P 500(R) REIT
BeginDate EndDate FundReturns Benchmark0Returns Benchmark1Returns EndDate Portfolio IndexSM IndexSM
--------- ---------- ----------- ----------------- ----------------- ---------- ----------- ----------- -----------
2002-10-31 2002-11-30 4.48% 5.89% 4.78% 10/2002 10000 10000 10000
2002-11-30 2002-12-31 1.31% -5.88% 1.36% 11/2002 10448.49334 10588.59043 10478.07353
2002-12-31 2003-01-31 -2.52% -2.62% -2.91% 12/2002 10585.79466 9966.404855 10620.27231
2003-01-31 2003-02-28 1.80% -1.50% 1.82% 01/2003 10318.73887 9705.285048 10311.10978
2003-02-28 2003-03-31 2.40% 0.97% 2.43% 02/2003 10504.19428 9559.705772 10498.84414
2003-03-31 2003-04-30 3.79% 8.24% 3.85% 03/2003 10756.41363 9652.530516 10754.43248
2003-04-30 2003-05-31 5.51% 5.27% 5.66% 04/2003 11164.41553 10447.60945 11168.94594
2003-05-31 2003-06-30 2.08% 1.28% 2.16% 05/2003 11780.12748 10998.094 11801.40102
2003-06-30 2003-07-31 5.12% 1.76% 5.32% 06/2003 12024.92862 11138.8696 12056.14056
2003-07-31 2003-08-31 0.70% 1.95% 0.83% 07/2003 12640.64057 11335.24787 12697.23342
2003-08-31 2003-09-30 3.44% -1.06% 3.52% 08/2003 12729.65917 11556.2852 12802.98378
2003-09-30 2003-10-31 1.35% 5.66% 1.48% 09/2003 13167.33393 11433.55746 13253.19673
2003-10-31 2003-11-30 4.50% 0.88% 4.41% 10/2003 13345.37112 12080.3538 13449.06957
2003-11-30 2003-12-31 2.92% 5.24% 3.00% 11/2003 13946.24664 12186.66091 14041.68102
2003-12-31 2004-01-31 4.11% 1.84% 4.00% 12/2003 14353.75345 12825.72941 14462.6853
2004-01-31 2004-02-29 1.77% 1.39% 1.67% 01/2004 14944.37893 13061.14532 15041.46633
2004-02-29 2004-03-31 5.72% -1.51% 6.01% 02/2004 15208.60612 13242.68797 15291.91195
2004-03-31 2004-04-30 -14.35% -1.57% -14.64% 03/2004 16079.00156 13042.85581 16210.91156
2004-04-30 2004-05-31 7.22% 1.37% 7.59% 04/2004 13770.89936 12838.08298 13837.56984
2004-05-31 2004-06-30 2.89% 1.94% 2.99% 05/2004 14765.63701 13014.22147 14888.08336
2004-06-30 2004-07-31 0.41% -3.31% 0.50% 06/2004 15191.97543 13267.21794 15333.75274
2004-07-31 2004-08-31 7.96% 0.40% 8.26% 07/2004 15254.62276 12828.07303 15410.39429
2004-08-31 2004-09-30 -0.34% 1.08% -0.48% 08/2004 16468.41461 12879.77016 16682.94364
2004-09-30 2004-10-31 5.40% 1.53% 5.57% 09/2004 16413.14684 13019.25807 16603.35625
2004-10-31 2004-11-30 4.35% 4.05% 4.45% 10/2004 17299.28425 13218.19233 17528.49718
2004-11-30 2004-12-31 5.01% 3.40% 5.19% 11/2004 18052.10895 13753.0004 18309.1925
2004-12-31 2005-01-31 -8.37% -2.44% -8.82% 12/2004 18956.98995 14221.015 19258.99852
2005-01-31 2005-02-28 3.14% 2.10% 3.23% 01/2005 17369.6624 13874.37776 17560.35211
2005-02-28 2005-03-31 -1.52% -1.77% -1.51% 02/2005 17915.30624 14166.29467 18127.05023
2005-03-31 2005-04-30 5.67% -1.90% 6.00% 03/2005 17642.48431 13915.40959 17852.4388
2005-04-30 2005-05-31 3.28% 3.18% 3.31% 04/2005 18642.83136 13651.43427 18924.27216
2005-05-31 2005-06-30 5.11% 0.14% 5.21% 05/2005 19254.61386 14085.82291 19550.43614
2005-06-30 2005-07-31 7.27% 3.72% 7.63% 06/2005 20238.42625 14105.82477 20569.69389
2005-07-31 2005-08-31 -3.73% -0.91% -3.84% 07/2005 21710.01116 14630.56146 22138.92343
2005-08-31 2005-09-30 0.47% 0.81% 0.43% 08/2005 20899.81273 14497.13074 21289.07596
2005-09-30 2005-10-31 -2.26% -1.67% -2.12% 09/2005 20997.05183 14614.55749 21380.9959
2005-10-31 2005-11-30 4.50% 3.78% 4.64% 10/2005 20522.3069 14370.93282 20926.7886
2005-11-30 2005-12-31 0.02% 0.04% 0.10% 11/2005 21446.81017 14914.4415 21898.81318
2005-12-31 2006-01-31 7.68% 2.65% 7.84% 12/2005 21450.1551 14919.66156 21920.53245
2006-01-31 2006-02-28 1.89% 0.27% 2.14% 01/2006 23097.527 15314.73419 23638.75117
2006-02-28 2006-03-31 5.18% 1.25% 5.12% 02/2006 23535.11016 15356.23712 24144.7352
2006-03-31 2006-04-30 -3.78% 1.34% -3.78% 03/2006 24753.47897 15547.42228 25380.83612
2006-04-30 2006-05-31 -2.99% -2.88% -2.77% 04/2006 23818.25221 15756.22416 24420.495
2006-05-31 2006-06-30 5.53% 0.14% 5.69% 05/2006 23106.10706 15302.76003 23744.50153
2006-06-30 2006-07-31 3.43% 0.62% 3.55% 06/2006 24383.49767 15323.57178 25095.43995
2006-07-31 2006-08-31 3.52% 2.38% 3.36% 07/2006 25220.14404 15418.11822 25986.47914
2006-08-31 2006-09-30 2.00% 2.58% 1.95% 08/2006 26108.54172 15784.96351 26859.74347
2006-09-30 2006-10-31 6.27% 3.26% 6.30% 09/2006 26630.1451 16191.74202 27382.35397
2006-10-31 2006-11-30 4.75% 1.90% 4.77% 10/2006 28299.96478 16719.43089 29108.21188
2006-11-30 2006-12-31 -2.13% 1.40% -2.26% 11/2006 29645.5812 17037.43447 30496.49746
2006-12-31 2007-01-31 8.66% 1.51% 8.91% 12/2006 29014.47587 17276.43134 29806.32406
2007-01-31 2007-02-28 -2.33% -1.96% -2.24% 01/2007 31526.82655 17537.70592 32461.0676
2007-02-28 2007-03-31 -2.48% 1.12% -2.56% 02/2007 30792.16805 17194.68908 31733.89654
2007-03-31 2007-04-30 -0.09% 4.43% -0.04% 03/2007 30027.4398 17387.01168 30920.89694
2007-04-30 2007-05-31 0.00% 3.49% 0.07% 04/2007 30000.109 18157.17406 30908.16495
2007-05-31 2007-06-30 -9.38% -1.66% -9.39% 05/2007 30000.109 18790.77083 30928.93556
2007-06-30 2007-07-31 -7.87% -3.10% -7.85% 06/2007 27186.06541 18478.59355 28025.39407
2007-07-31 2007-08-31 6.05% 1.50% 5.91% 07/2007 25045.35799 17905.66827 25825.95627
2007-08-31 2007-09-30 3.91% 3.74% 3.91% 08/2007 26561.30959 18174.07549 27353.37772
2007-09-30 2007-10-31 1.13% 1.59% 1.14% 09/2007 27599.50675 18853.78591 28423.13624
2007-10-31 2007-11-30 -10.20% -4.18% -9.72% 10/2007 27911.88466 19153.74965 28748.58023
2007-11-30 2007-12-31 -5.86% -0.69% -5.32% 11/2007 25064.34349 18352.93137 25954.2448
2007-12-31 2008-01-31 0.04% -6.00% -0.48% 12/2007 23596.60345 18225.56203 24573.83552
2008-01-31 2008-02-29 -3.80% -3.25% -3.77% 01/2008 23606.67886 17132.02831 24456.16147
2008-02-29 2008-03-31 6.29% -0.43% 6.65% 02/2008 22709.96763 16575.40871 23534.41245
2008-03-31 2008-04-30 5.90% 4.87% 6.16% 03/2008 24138.10102 16503.80294 25098.8384
2008-04-30 2008-05-31 0.20% 1.30% 0.22% 04/2008 25561.5524 17307.53814 26645.99374
2008-05-31 2008-06-30 -10.98% -8.43% -11.08% 05/2008 25612.0294 17532.53614 26705.91029
2008-06-30 2008-07-31 2.90% -0.84% 2.89% 06/2008 22800.50275 16054.54334 23747.19731
2008-07-31 2008-08-31 2.47% 1.45% 2.27% 07/2008 23461.23957 15919.52463 24432.73885
2008-08-31 2008-09-30 -0.21% -8.91% -0.42% 08/2008 24040.65492 16149.72096 24986.53629
2008-09-30 2008-10-31 -31.53% -16.80% -32.38% 09/2008 23989.82901 14710.61933 24881.95536
2008-10-31 2008-11-30 -23.14% -7.18% -24.55% 10/2008 16426.93377 12239.97081 16824.2482
2008-11-30 2008-12-31 17.07% 1.06% 17.70% 11/2008 12625.15578 11361.7529 12693.71697
2008-12-31 2009-01-31 -17.75% -8.43% -18.08% 12/2008 14779.83928 11482.64196 14940.84023
2009-01-31 2009-02-28 -20.97% -10.65% -21.85% 01/2009 12156.76018 10514.81106 12239.3431
2009-02-28 2009-03-31 3.54% 8.76% 3.22% 02/2009 9607.422257 9395.193977 9564.923583
2009-03-31 2009-04-30 31.30% 9.57% 32.81% 03/2009 9947.685128 10218.16778 9872.954195
2009-04-30 2009-05-31 2.60% 5.59% 2.57% 04/2009 13061.65067 11196.14862 13112.10416
2009-05-31 2009-06-30 -3.10% 0.20% -3.49% 05/2009 13401.74247 11822.34921 13448.50935
2009-06-30 2009-07-31 10.49% 7.56% 10.42% 06/2009 12986.53968 11845.75746 12978.54612
2009-07-31 2009-08-31 13.53% 3.61% 14.64% 07/2009 14348.46416 12741.73881 14330.36399
2009-08-31 2009-09-30 6.69% 3.73% 7.00% 08/2009 16289.47464 13201.71558 16428.47469
2009-09-30 2009-10-31 -4.56% -1.86% -4.54% 09/2009 17379.73432 13694.4036 17578.4399
2009-10-31 2009-11-30 6.87% 6.00% 6.88% 10/2009 16587.77389 13440.00171 16781.21736
2009-11-30 2009-12-31 6.87% 1.93% 7.00% 11/2009 17726.89505 14246.13301 17936.23389
2009-12-31 2010-01-31 -5.22% -3.60% -5.72% 12/2009 18943.86788 14521.3683 19192.34652
2010-01-31 2010-02-28 5.51% 3.10% 5.68% 01/2010 17954.34489 13999.03468 18094.53057
2010-02-28 2010-03-31 10.17% 6.03% 10.22% 02/2010 18943.86788 14432.68278 19122.21312
2010-03-31 2010-04-30 7.03% 1.58% 7.07% 03/2010 20870.06111 15303.60859 21075.85088
2010-04-30 2010-05-31 -5.34% -7.99% -5.39% 04/2010 22337.9184 15545.20666 22565.59453
2010-05-31 2010-06-30 -5.18% -5.23% -5.36% 05/2010 21145.97414 14303.92191 21350.31281
2010-06-30 2010-07-31 9.87% 7.01% 9.89% 06/2010 20050.52756 13555.1402 20205.28177
2010-07-31 2010-08-31 -1.26% -4.51% -1.34% 07/2010 22028.90555 14504.85399 22203.05712
2010-08-31 2010-09-30 4.33% 8.92% 4.43% 08/2010 21751.04347 13850.04686 21906.07702
2010-09-30 2010-10-31 4.68% 3.80% 4.63% 09/2010 22693.27172 15086.08045 22876.30521
2010-10-31 2010-11-30 -1.98% 0.01% -1.95% 10/2010 23755.79554 15660.09072 23934.60888
2010-11-30 2010-12-31 4.68% 6.68% 4.74% 11/2010 23286.04817 15662.09521 23468.56781
2010-12-31 2011-01-31 3.53% 2.37% 3.55% 12/2010 24375.0746 16708.8087 24580.44573
2011-01-31 2011-02-28 4.53% 3.43% 4.57% 01/2011 25234.30729 17104.82417 25453.46137
2011-02-28 2011-03-31 -1.50% 0.04% -1.46% 02/2011 26376.1823 17690.81834 26616.01764
2011-03-31 2011-04-30 5.79% 2.96% 5.93% 03/2011 25980.48304 17697.8416 26226.2687
2011-04-30 2011-05-31 1.36% -1.13% 1.55% 04/2011 27484.14024 18221.96318 27781.27009
2011-05-31 2011-06-30 -3.29% -1.67% -3.35% 05/2011 27857.22812 18015.70878 28212.71008
2011-06-30 2011-07-31 1.64% -2.03% 1.82% 06/2011 26940.68806 17715.40493 27266.89736
2011-07-31 2011-08-31 -5.38% -5.43% -5.48% 07/2011 27382.52441 17355.17988 27763.14572
2011-08-31 2011-09-30 -10.98% -7.03% -11.20% 08/2011 25909.73658 16412.42916 26241.84668
2011-09-30 2011-10-31 14.42% 10.93% 14.69% 09/2011 23063.77879 15258.66821 23303.1517
2011-10-31 2011-11-30 -3.78% -0.22% -3.93% 10/2011 26389.41225 16926.33384 26727.21042
2011-11-30 2011-12-31 4.59% 1.02% 4.70% 11/2011 25390.58718 16888.94356 25675.9468
2011-12-31 2012-01-31 6.32% 4.48% 6.43% 12/2011 26556.7638 17061.70057 26883.04009
2012-01-31 2012-02-29 -1.06% 4.32% -1.11% 01/2012 28235.97017 17826.32068 28611.84573
2012-02-29 2012-03-31 5.15% 3.29% 5.24% 02/2012 27936.93342 18597.14861 28292.8967
2012-03-31 2012-04-30 2.86% -0.63% 3.01% 03/2012 29374.6101 19209.16218 29774.402
2012-04-30 2012-05-31 -4.57% -6.01% -4.56% 04/2012 30214.21329 19088.60547 30669.88587
2012-05-31 2012-06-30 5.64% 4.12% 5.53% 05/2012 28834.04367 17941.38029 29270.76409
2012-06-30 2012-07-31 1.97% 1.39% 1.90% 06/2012 30460.20266 18680.60498 30890.22434
2012-07-31 2012-08-31 -0.15% 2.25% -0.27% 07/2012 31061.31481 18940.05976 31477.59386
2012-08-31 2012-09-30 -1.87% 2.58% -1.97% 08/2012 31015.07541 19366.64291 31393.1133
2012-09-30 2012-10-31 -0.77% -1.85% -0.91% 09/2012 30436.39907 19867.11129 30774.13847
10/31/2012 30202.54275 19500.27841 30492.83621
One Year Five Years Ten Years
-------- ---------- ---------
14.45% 1.59% 11.69%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
The S&P data are provided by Standard & Poor's Index Services Group.
Dow Jones data provided by Dow Jones Indexes.
6
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
Large Cap International Portfolio vs. MSCI World ex USA Index (net div.)
October 31, 2002 - October 31, 2012
Large Cap International MSCI World ex
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio USA Index (net div.)
--------- ---------- ----------- ----------------- ---------- ----------------------- --------------------
2002-10-31 2002-11-30 4.40% 4.60% 10/2002 10000 10000
2002-11-30 2002-12-31 -3.11% -3.23% 11/2002 10440.03451 10460.38388
2002-12-31 2003-01-31 -4.00% -3.81% 12/2002 10114.91391 10122.31597
2003-01-31 2003-02-28 -2.44% -1.97% 01/2003 9710.668868 9736.633173
2003-02-28 2003-03-31 -1.95% -1.93% 02/2003 9473.394604 9544.699524
2003-03-31 2003-04-30 9.46% 9.60% 03/2003 9288.847955 9360.754077
2003-04-30 2003-05-31 5.96% 6.20% 04/2003 10167.64152 10259.0855
2003-05-31 2003-06-30 2.37% 2.43% 05/2003 10774.00908 10895.37242
2003-06-30 2003-07-31 2.31% 2.29% 06/2003 11028.85921 11160.05075
2003-07-31 2003-08-31 2.26% 2.58% 07/2003 11283.70935 11416.08512
2003-08-31 2003-09-30 3.05% 3.00% 08/2003 11538.55948 11710.45636
2003-09-30 2003-10-31 5.99% 6.26% 09/2003 11890.07691 12061.78555
2003-10-31 2003-11-30 2.16% 2.27% 10/2003 12601.89969 12817.10429
2003-11-30 2003-12-31 7.40% 7.67% 11/2003 12874.3257 13107.63318
2003-12-31 2004-01-31 1.29% 1.39% 12/2003 13827.55284 14112.72688
2004-01-31 2004-02-29 2.23% 2.30% 01/2004 14006.31888 14309.22909
2004-02-29 2004-03-31 0.75% 0.50% 02/2004 14319.15944 14638.3333
2004-03-31 2004-04-30 -3.10% -2.62% 03/2004 14426.41906 14711.61449
2004-04-30 2004-05-31 0.77% 0.47% 04/2004 13979.50397 14326.52241
2004-05-31 2004-06-30 2.78% 2.31% 05/2004 14086.7636 14393.48999
2004-06-30 2004-07-31 -3.75% -3.05% 06/2004 14478.06171 14725.88378
2004-07-31 2004-08-31 0.65% 0.42% 07/2004 13935.81221 14276.8102
2004-08-31 2004-09-30 1.96% 2.91% 08/2004 14026.18713 14336.16895
2004-09-30 2004-10-31 3.37% 3.59% 09/2004 14301.48347 14754.05385
2004-10-31 2004-11-30 6.33% 6.65% 10/2004 14782.73974 15284.2776
2004-11-30 2004-12-31 4.52% 4.22% 11/2004 15718.01137 16300.75747
2004-12-31 2005-01-31 -1.78% -1.97% 12/2004 16428.92772 16989.40669
2005-01-31 2005-02-28 3.86% 4.45% 01/2005 16135.88107 16654.94269
2005-02-28 2005-03-31 -2.36% -2.27% 02/2005 16758.6052 17395.84581
2005-03-31 2005-04-30 -2.02% -2.55% 03/2005 16363.82933 17000.98254
2005-04-30 2005-05-31 -0.63% 0.18% 04/2005 16033.61753 16567.48433
2005-05-31 2005-06-30 1.44% 1.63% 05/2005 15932.71948 16597.69751
2005-06-30 2005-07-31 3.04% 3.23% 06/2005 16162.25476 16869.00377
2005-07-31 2005-08-31 3.68% 2.76% 07/2005 16654.27056 17413.79488
2005-08-31 2005-09-30 3.31% 4.56% 08/2005 17266.96947 17894.53946
2005-09-30 2005-10-31 -2.20% -3.23% 09/2005 17839.10808 18711.18961
2005-10-31 2005-11-30 1.55% 2.65% 10/2005 17447.44967 18106.58452
2005-11-30 2005-12-31 5.22% 4.64% 11/2005 17717.88047 18586.07722
2005-12-31 2006-01-31 5.84% 6.32% 12/2005 18642.62603 19447.8385
2006-01-31 2006-02-28 -0.67% -0.34% 01/2006 19731.5206 20677.90796
2006-02-28 2006-03-31 3.69% 3.17% 02/2006 19600.10229 20608.4637
2006-03-31 2006-04-30 4.85% 4.78% 03/2006 20322.88337 21262.03853
2006-04-30 2006-05-31 -3.62% -3.80% 04/2006 21309.43111 22278.72975
2006-05-31 2006-06-30 -0.39% -0.13% 05/2006 20538.98431 21432.31082
2006-06-30 2006-07-31 1.07% 0.94% 06/2006 20458.14278 21404.7152
2006-07-31 2006-08-31 2.63% 2.84% 07/2006 20677.20111 21605.26571
2006-08-31 2006-09-30 -0.04% -0.08% 08/2006 21220.08478 22219.30598
2006-09-30 2006-10-31 3.84% 3.95% 09/2006 21211.58156 22201.41652
2006-10-31 2006-11-30 2.96% 2.98% 10/2006 22025.93767 23078.81278
2006-11-30 2006-12-31 2.64% 2.87% 11/2006 22678.90385 23766.23179
2006-12-31 2007-01-31 1.28% 0.61% 12/2006 23277.04445 24447.67862
2007-01-31 2007-02-28 0.29% 0.80% 01/2007 23575.59156 24596.81523
2007-02-28 2007-03-31 2.77% 2.56% 02/2007 23643.00543 24793.58307
2007-03-31 2007-04-30 3.53% 4.55% 03/2007 24296.80678 25428.87548
2007-04-30 2007-05-31 3.10% 2.22% 04/2007 25154.9083 26585.83302
2007-05-31 2007-06-30 -0.19% 0.10% 05/2007 25935.87709 27176.22708
2007-06-30 2007-07-31 -1.89% -1.38% 06/2007 25887.55844 27203.4992
2007-07-31 2007-08-31 -0.69% -1.45% 07/2007 25399.11395 26827.45133
2007-08-31 2007-09-30 5.49% 5.68% 08/2007 25223.27393 26439.13227
2007-09-30 2007-10-31 4.46% 4.35% 09/2007 26607.05793 27941.23223
2007-10-31 2007-11-30 -3.57% -3.91% 10/2007 27795.04833 29155.8544
2007-11-30 2007-12-31 -2.33% -1.88% 11/2007 26802.95817 28015.69869
2007-12-31 2008-01-31 -7.57% -9.02% 12/2007 26177.5541 27489.05893
2008-01-31 2008-02-29 -0.08% 1.81% 01/2008 24194.70953 25010.60702
2008-02-29 2008-03-31 -0.35% -1.43% 02/2008 24174.6808 25463.85563
2008-03-31 2008-04-30 5.29% 5.56% 03/2008 24090.135 25100.36419
2008-04-30 2008-05-31 2.10% 1.52% 04/2008 25364.37371 26495.58367
2008-05-31 2008-06-30 -7.96% -7.78% 05/2008 25896.14262 26897.647
2008-06-30 2008-07-31 -3.64% -3.56% 06/2008 23833.69433 24806.01124
2008-07-31 2008-08-31 -4.27% -3.87% 07/2008 22966.08661 23923.25865
2008-08-31 2008-09-30 -12.16% -14.44% 08/2008 21986.20025 22998.07514
2008-09-30 2008-10-31 -21.08% -20.80% 09/2008 19312.46685 19677.65227
2008-10-31 2008-11-30 -6.01% -5.42% 10/2008 15240.53244 15584.31425
2008-11-30 2008-12-31 7.01% 5.27% 11/2008 14324.6598 14739.1788
2008-12-31 2009-01-31 -11.23% -9.33% 12/2008 15328.53788 15516.16027
2009-01-31 2009-02-28 -10.06% -10.12% 01/2009 13606.92943 14068.39209
2009-02-28 2009-03-31 7.69% 6.59% 02/2009 12237.93958 12644.22388
2009-03-31 2009-04-30 11.37% 12.90% 03/2009 13179.3387 13477.42184
2009-04-30 2009-05-31 13.97% 12.65% 04/2009 14678.4104 15215.45069
2009-05-31 2009-06-30 -1.39% -1.04% 05/2009 16729.22377 17139.69107
2009-06-30 2009-07-31 9.60% 9.39% 06/2009 16497.15383 16962.2042
2009-07-31 2009-08-31 3.91% 4.79% 07/2009 18081.38755 18554.91583
2009-08-31 2009-09-30 4.26% 4.13% 08/2009 18789.01194 19444.16669
2009-09-30 2009-10-31 -2.59% -1.61% 09/2009 19589.36786 20246.4017
2009-10-31 2009-11-30 3.72% 2.47% 10/2009 19081.10318 19921.38374
2009-11-30 2009-12-31 1.19% 1.59% 11/2009 19790.55596 20414.28949
2009-12-31 2010-01-31 -5.17% -4.69% 12/2009 20025.42962 20739.71496
2010-01-31 2010-02-28 0.67% -0.10% 01/2010 18989.4474 19767.55316
2010-02-28 2010-03-31 6.30% 6.44% 02/2010 19117.61015 19747.74296
2010-03-31 2010-04-30 -1.95% -1.49% 03/2010 20322.10055 21018.97237
2010-04-30 2010-05-31 -10.90% -11.03% 04/2010 19926.14598 20705.5737
2010-05-31 2010-06-30 -1.63% -1.45% 05/2010 17753.7466 18420.71863
2010-06-30 2010-07-31 10.32% 9.24% 06/2010 17465.22624 18154.24072
2010-07-31 2010-08-31 -3.44% -2.99% 07/2010 19268.22845 19832.15152
2010-08-31 2010-09-30 9.84% 9.59% 08/2010 18605.67944 19239.37361
2010-09-30 2010-10-31 3.63% 3.56% 09/2010 20436.61425 21084.94731
2010-10-31 2010-11-30 -4.38% -4.23% 10/2010 21178.17762 21836.08012
2010-11-30 2010-12-31 8.03% 8.05% 11/2010 20251.2234 20911.33371
2010-12-31 2011-01-31 2.26% 2.15% 12/2010 21877.75571 22595.14698
2011-01-31 2011-02-28 3.93% 3.71% 01/2011 22372.23036 23081.88961
2011-02-28 2011-03-31 -2.29% -2.00% 02/2011 23251.29638 23937.75502
2011-03-31 2011-04-30 5.72% 5.45% 03/2011 22718.78263 23458.22183
2011-04-30 2011-05-31 -2.84% -2.96% 04/2011 24018.88755 24735.79508
2011-05-31 2011-06-30 -1.42% -1.42% 05/2011 23335.78157 24002.51829
2011-06-30 2011-07-31 -2.04% -1.65% 06/2011 23005.27812 23660.6711
2011-07-31 2011-08-31 -8.39% -8.45% 07/2011 22535.5544 23270.36799
2011-08-31 2011-09-30 -11.01% -10.04% 08/2011 20645.47564 21303.01857
2011-09-30 2011-10-31 9.68% 9.73% 09/2011 18372.40266 19163.70779
2011-10-31 2011-11-30 -2.51% -4.62% 10/2011 20150.01419 21027.44381
2011-11-30 2011-12-31 -2.30% -1.09% 11/2011 19643.73242 20055.70845
2011-12-31 2012-01-31 6.04% 5.40% 12/2011 19191.87442 19836.86573
2012-01-31 2012-02-29 4.85% 5.50% 01/2012 20350.20057 20907.86348
2012-02-29 2012-03-31 -0.17% -0.74% 02/2012 21338.18464 22057.34745
2012-03-31 2012-04-30 -1.93% -1.70% 03/2012 21300.88292 21894.09324
2012-04-30 2012-05-31 -11.07% -11.40% 04/2012 20890.81245 21522.48712
2012-05-31 2012-06-30 6.63% 6.55% 05/2012 18578.47062 19068.8287
2012-06-30 2012-07-31 0.29% 1.25% 06/2012 19809.36437 20318.28267
2012-07-31 2012-08-31 3.38% 2.85% 07/2012 19867.32038 20571.27444
2012-08-31 2012-09-30 2.98% 3.04% 08/2012 20539.61011 21158.19849
2012-09-30 2012-10-31 0.88% 0.70% 09/2012 21151.05982 21800.59481
10/31/2012 21337.31022 21953.36604
One Year Five Years Ten Years
-------- ---------- ---------
5.89% -5.15% 7.87%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
International Core Equity Portfolio vs. MSCI World ex USA Index (net div.)
September 15, 2005 - October 31, 2012
International Core Equity MSCI World ex
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio USA Index (net div.)
--------- ---------- ----------- ----------------- ---------- ------------------------- --------------------
2005-09-15 2005-09-30 1.00% 1.71% 09/2005 10000 10000
2005-09-30 2005-10-31 -2.38% -3.23% 09/2005 10100 10170.83717
2005-10-31 2005-11-30 2.13% 2.65% 10/2005 9859.999997 9842.192116
2005-11-30 2005-12-31 5.62% 4.64% 11/2005 10070 10102.82986
2005-12-31 2006-01-31 6.51% 6.32% 12/2005 10636.30827 10571.25724
2006-01-31 2006-02-28 0.09% -0.34% 01/2006 11328.67174 11239.88582
2006-02-28 2006-03-31 3.90% 3.17% 02/2006 11338.70599 11202.13802
2006-03-31 2006-04-30 4.77% 4.78% 03/2006 11781.27728 11557.40155
2006-04-30 2006-05-31 -4.07% -3.80% 04/2006 12343.24621 12110.04417
2006-05-31 2006-06-30 -1.17% -0.13% 05/2006 11841.48824 11649.95642
2006-06-30 2006-07-31 0.52% 0.94% 06/2006 11702.58559 11634.95628
2006-07-31 2006-08-31 2.93% 2.84% 07/2006 11763.43092 11743.96947
2006-08-31 2006-09-30 0.54% -0.08% 08/2006 12108.22114 12077.7432
2006-09-30 2006-10-31 3.93% 3.95% 09/2006 12173.07014 12068.01903
2006-10-31 2006-11-30 3.52% 2.98% 10/2006 12651.84361 12544.94512
2006-11-30 2006-12-31 3.09% 2.87% 11/2006 13096.89114 12918.60532
2006-12-31 2007-01-31 1.83% 0.61% 12/2006 13502.22208 13289.01922
2007-01-31 2007-02-28 0.52% 0.80% 01/2007 13748.65047 13370.08538
2007-02-28 2007-03-31 3.17% 2.56% 02/2007 13820.52541 13477.04243
2007-03-31 2007-04-30 3.75% 4.55% 03/2007 14258.15172 13822.36819
2007-04-30 2007-05-31 2.78% 2.22% 04/2007 14792.31879 14451.25534
2007-05-31 2007-06-30 -0.60% 0.10% 05/2007 15203.21654 14772.1757
2007-06-30 2007-07-31 -1.72% -1.38% 06/2007 15111.54693 14787.00001
2007-07-31 2007-08-31 -1.89% -1.45% 07/2007 14851.71979 14582.59174
2007-08-31 2007-09-30 4.27% 5.68% 08/2007 14571.10647 14371.51324
2007-09-30 2007-10-31 4.74% 4.35% 09/2007 15193.08335 15188.00938
2007-10-31 2007-11-30 -5.49% -3.91% 10/2007 15913.08524 15848.24128
2007-11-30 2007-12-31 -2.60% -1.88% 11/2007 15039.99798 15228.4871
2007-12-31 2008-01-31 -7.54% -9.02% 12/2007 14649.06518 14942.22164
2008-01-31 2008-02-29 0.16% 1.81% 01/2008 13545.07766 13595.01009
2008-02-29 2008-03-31 0.46% -1.43% 02/2008 13566.30819 13841.38234
2008-03-31 2008-04-30 4.13% 5.56% 03/2008 13628.76581 13643.79937
2008-04-30 2008-05-31 1.65% 1.52% 04/2008 14192.20152 14402.19851
2008-05-31 2008-06-30 -9.29% -7.78% 05/2008 14426.0805 14620.74799
2008-06-30 2008-07-31 -3.97% -3.56% 06/2008 13085.99796 13483.798
2008-07-31 2008-08-31 -3.79% -3.87% 07/2008 12566.88399 13003.96038
2008-08-31 2008-09-30 -12.76% -14.44% 08/2008 12091.02952 12501.05858
2008-09-30 2008-10-31 -22.66% -20.80% 09/2008 10548.31334 10696.17706
2008-10-31 2008-11-30 -6.03% -5.42% 10/2008 8157.763078 8471.162225
2008-11-30 2008-12-31 6.99% 5.27% 11/2008 7665.672812 8011.772138
2008-12-31 2009-01-31 -10.84% -9.33% 12/2008 8201.798787 8434.115781
2009-01-31 2009-02-28 -10.51% -10.12% 01/2009 7312.447111 7647.152754
2009-02-28 2009-03-31 8.43% 6.59% 02/2009 6543.871588 6873.017959
2009-03-31 2009-04-30 15.06% 12.90% 03/2009 7095.446521 7325.91919
2009-04-30 2009-05-31 15.11% 12.65% 04/2009 8164.170608 8270.659143
2009-05-31 2009-06-30 -0.84% -1.04% 05/2009 9398.161306 9316.618056
2009-06-30 2009-07-31 9.94% 9.39% 06/2009 9319.178937 9220.141559
2009-07-31 2009-08-31 5.56% 4.79% 07/2009 10245.51648 10085.89147
2009-08-31 2009-09-30 4.86% 4.13% 08/2009 10814.71184 10569.26136
2009-09-30 2009-10-31 -3.02% -1.61% 09/2009 11340.07285 11005.33206
2009-10-31 2009-11-30 2.66% 2.47% 10/2009 10997.28168 10828.66212
2009-11-30 2009-12-31 1.20% 1.59% 11/2009 11289.34432 11096.59079
2009-12-31 2010-01-31 -4.24% -4.69% 12/2009 11424.47812 11273.48224
2010-01-31 2010-02-28 0.10% -0.10% 01/2010 10940.00814 10745.04447
2010-02-28 2010-03-31 7.46% 6.44% 02/2010 10951.27488 10734.27624
2010-03-31 2010-04-30 -0.48% -1.49% 03/2010 11768.61429 11425.27813
2010-04-30 2010-05-31 -11.75% -11.03% 04/2010 11712.19716 11254.92409
2010-05-31 2010-06-30 -1.67% -1.45% 05/2010 10335.61907 10012.94593
2010-06-30 2010-07-31 10.57% 9.24% 06/2010 10163.34335 9868.096585
2010-07-31 2010-08-31 -4.07% -2.99% 07/2010 11237.98258 10780.15819
2010-08-31 2010-09-30 10.69% 9.59% 08/2010 10780.68929 10457.94203
2010-09-30 2010-10-31 3.65% 3.56% 09/2010 11933.21274 11461.14011
2010-10-31 2010-11-30 -3.99% -4.23% 10/2010 12369.23398 11869.43321
2010-11-30 2010-12-31 9.58% 8.05% 11/2010 11875.84152 11366.76901
2010-12-31 2011-01-31 2.58% 2.15% 12/2010 13013.38097 12282.03901
2011-01-31 2011-02-28 3.38% 3.71% 01/2011 13348.5391 12546.61759
2011-02-28 2011-03-31 -1.75% -2.00% 02/2011 13799.26898 13011.84017
2011-03-31 2011-04-30 5.38% 5.45% 03/2011 13557.4505 12751.18042
2011-04-30 2011-05-31 -3.08% -2.96% 04/2011 14287.46707 13445.63062
2011-05-31 2011-06-30 -1.77% -1.42% 05/2011 13847.13962 13047.04352
2011-06-30 2011-07-31 -2.25% -1.65% 06/2011 13602.18115 12861.22572
2011-07-31 2011-08-31 -8.83% -8.45% 07/2011 13296.77811 12649.06875
2011-08-31 2011-09-30 -11.66% -10.04% 08/2011 12122.15107 11579.67706
2011-09-30 2011-10-31 9.16% 9.73% 09/2011 10709.04568 10416.81238
2011-10-31 2011-11-30 -3.03% -4.62% 10/2011 11690.11719 11429.88295
2011-11-30 2011-12-31 -2.55% -1.09% 11/2011 11335.51303 10901.67697
2011-12-31 2012-01-31 7.34% 5.40% 12/2011 11046.57488 10782.72069
2012-01-31 2012-02-29 5.13% 5.50% 01/2012 11857.77045 11364.8827
2012-02-29 2012-03-31 -0.01% -0.74% 02/2012 12466.16712 11989.70744
2012-03-31 2012-04-30 -2.21% -1.70% 03/2012 12465.06145 11900.96739
2012-04-30 2012-05-31 -11.96% -11.40% 04/2012 12190.18473 11698.97353
2012-05-31 2012-06-30 6.13% 6.55% 05/2012 10732.14303 10365.23897
2012-06-30 2012-07-31 -0.11% 1.25% 06/2012 11389.6719 11044.40439
2012-07-31 2012-08-31 3.53% 2.85% 07/2012 11377.51643 11181.92306
2012-08-31 2012-09-30 3.55% 3.04% 08/2012 11778.64682 11500.95724
2012-09-30 2012-10-31 1.10% 0.70% 09/2012 12197.22662 11850.14447
10/31/2012 12331.53042 11933.18629
One Year Five Years From 09/15/2005
-------- ---------- ---------------
5.49% -4.97% 2.98%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
International Small Company Portfolio vs. MSCI World ex USA Small Cap Index
(net div.)
October 31, 2002 - October 31, 2012
International Small
Company Portfolio- MSCI World ex USA
BeginDate EndDate FundReturns Benchmark0Returns EndDate Institutional Class Small Cap Index (net div.)
--------- ---------- ----------- ----------------- ---------- ------------------- --------------------------
2002-10-31 2002-11-30 2.63% 2.80% 10/2002 10000 10000
2002-11-30 2002-12-31 0.67% -1.63% 11/2002 10263.1579 10280.361
2002-12-31 2003-01-31 -0.27% -1.08% 12/2002 10331.88937 10112.682
2003-01-31 2003-02-28 0.55% -0.73% 01/2003 10303.66016 10003.911
2003-02-28 2003-03-31 -0.41% -0.97% 02/2003 10360.11858 9930.5819
2003-03-31 2003-04-30 8.21% 9.17% 03/2003 10317.77476 9834.5209
2003-04-30 2003-05-31 9.23% 8.84% 04/2003 11164.65095 10735.979
2003-05-31 2003-06-30 4.51% 5.21% 05/2003 12195.01696 11685.101
2003-06-30 2003-07-31 3.43% 3.02% 06/2003 12745.48648 12294.465
2003-07-31 2003-08-31 5.14% 6.58% 07/2003 13183.03917 12665.51
2003-08-31 2003-09-30 5.70% 5.72% 08/2003 13860.54011 13499.138
2003-09-30 2003-10-31 5.39% 7.97% 09/2003 14650.95788 14270.804
2003-10-31 2003-11-30 0.55% 0.09% 10/2003 15441.37564 15408.626
2003-11-30 2003-12-31 5.66% 6.10% 11/2003 15526.06326 15422.192
2003-12-31 2004-01-31 5.59% 4.30% 12/2003 16405.05144 16363.492
2004-01-31 2004-02-29 2.98% 3.03% 01/2004 17322.81656 17067.328
2004-02-29 2004-03-31 4.02% 3.85% 02/2004 17839.05943 17584.053
2004-03-31 2004-04-30 -3.01% -3.57% 03/2004 18556.06343 18261.736
2004-04-30 2004-05-31 -1.12% -1.08% 04/2004 17996.80031 17609.596
2004-05-31 2004-06-30 4.66% 5.05% 05/2004 17796.03919 17419.674
2004-06-30 2004-07-31 -3.65% -4.41% 06/2004 18625.06862 18299.378
2004-07-31 2004-08-31 0.89% 0.52% 07/2004 17944.89907 17492.392
2004-08-31 2004-09-30 2.38% 2.74% 08/2004 18104.08768 17583.076
2004-09-30 2004-10-31 3.21% 3.70% 09/2004 18534.81537 18064.114
2004-10-31 2004-11-30 7.21% 8.00% 10/2004 19130.36979 18732.508
2004-11-30 2004-12-31 4.71% 4.66% 11/2004 20510.31294 20230.498
2004-12-31 2005-01-31 2.37% 1.54% 12/2004 21477.25337 21173.631
2005-01-31 2005-02-28 4.43% 4.25% 01/2005 21986.47695 21499.823
2005-02-28 2005-03-31 -1.76% -1.63% 02/2005 22959.99262 22413.38
2005-03-31 2005-04-30 -2.39% -2.82% 03/2005 22555.60919 22048.446
2005-04-30 2005-05-31 -1.70% 0.24% 04/2005 22016.43128 21427.471
2005-05-31 2005-06-30 2.52% 2.65% 05/2005 21642.00218 21477.946
2005-06-30 2005-07-31 3.61% 4.34% 06/2005 22187.2913 22047.591
2005-07-31 2005-08-31 4.41% 3.07% 07/2005 22988.87715 23005.512
2005-08-31 2005-09-30 2.39% 4.05% 08/2005 24002.20265 23711.548
2005-09-30 2005-10-31 -1.98% -3.64% 09/2005 24574.66963 24672.769
2005-10-31 2005-11-30 1.95% 3.33% 10/2005 24089.24405 23773.878
2005-11-30 2005-12-31 6.65% 7.77% 11/2005 24559.50008 24566.442
2005-12-31 2006-01-31 6.91% 7.13% 12/2005 26192.91935 26476.052
2006-01-31 2006-02-28 -0.63% -1.26% 01/2006 28003.19451 28363.541
2006-02-28 2006-03-31 4.61% 4.70% 02/2006 27826.97304 28007.528
2006-03-31 2006-04-30 4.73% 4.65% 03/2006 29108.58376 29324.273
2006-04-30 2006-05-31 -5.04% -5.53% 04/2006 30486.3153 30689.171
2006-05-31 2006-06-30 -1.92% -2.44% 05/2006 28948.38242 28993.193
2006-06-30 2006-07-31 -1.08% -2.44% 06/2006 28392.62357 28287.156
2006-07-31 2006-08-31 2.65% 2.92% 07/2006 28085.23904 27596.275
2006-08-31 2006-09-30 0.74% -0.27% 08/2006 28829.43317 28403.138
2006-09-30 2006-10-31 3.97% 3.97% 09/2006 29042.73182 28326.754
2006-10-31 2006-11-30 4.52% 4.30% 10/2006 30195.99466 29451.377
2006-11-30 2006-12-31 3.64% 2.96% 11/2006 31560.41831 30718.135
2006-12-31 2007-01-31 2.80% 2.04% 12/2006 32709.04391 31627.537
2007-01-31 2007-02-28 1.41% 1.75% 01/2007 33624.21923 32272.711
2007-02-28 2007-03-31 3.74% 3.31% 02/2007 34098.75459 32838.967
2007-03-31 2007-04-30 3.31% 3.86% 03/2007 35374.02149 33927.454
2007-04-30 2007-05-31 2.04% 1.48% 04/2007 36544.11136 35235.682
2007-05-31 2007-06-30 -0.16% -0.22% 05/2007 37290.25563 35756.404
2007-06-30 2007-07-31 0.05% -0.62% 06/2007 37229.96027 35678.494
2007-07-31 2007-08-31 -3.86% -5.27% 07/2007 37247.0775 35458.883
2007-08-31 2007-09-30 2.20% 2.26% 08/2007 35809.23076 33588.853
2007-09-30 2007-10-31 5.40% 6.75% 09/2007 36596.47595 34347.375
2007-10-31 2007-11-30 -7.31% -8.22% 10/2007 38573.2701 36666.456
2007-11-30 2007-12-31 -3.34% -2.93% 11/2007 35754.18976 33651.894
2007-12-31 2008-01-31 -7.61% -9.69% 12/2007 34560.52272 32665.849
2008-01-31 2008-02-29 2.53% 4.75% 01/2008 31931.71701 29499.344
2008-02-29 2008-03-31 0.13% -1.10% 02/2008 32740.58032 30900.251
2008-03-31 2008-04-30 2.13% 2.43% 03/2008 32783.46742 30559.071
2008-04-30 2008-05-31 2.64% 2.02% 04/2008 33483.3392 31302.661
2008-05-31 2008-06-30 -7.40% -7.72% 05/2008 34367.38776 31934.986
2008-06-30 2008-07-31 -4.81% -5.04% 06/2008 31822.6109 29469.086
2008-07-31 2008-08-31 -3.94% -3.70% 07/2008 30292.13929 27983.115
2008-08-31 2008-09-30 -15.16% -17.59% 08/2008 29097.62486 26948.389
2008-09-30 2008-10-31 -23.42% -24.69% 09/2008 24686.0938 22208.126
2008-10-31 2008-11-30 -5.16% -4.85% 10/2008 18904.10377 16725.993
2008-11-30 2008-12-31 8.21% 6.67% 11/2008 17927.92364 15915.498
2008-12-31 2009-01-31 -7.90% -5.81% 12/2008 19399.00778 16976.822
2009-01-31 2009-02-28 -9.11% -9.13% 01/2009 17866.01302 15990.854
2009-02-28 2009-03-31 6.62% 6.42% 02/2009 16238.38895 14530.258
2009-03-31 2009-04-30 13.25% 15.42% 03/2009 17312.62084 15463.346
2009-04-30 2009-05-31 14.89% 14.80% 04/2009 19607.06456 17847.053
2009-05-31 2009-06-30 1.05% 1.20% 05/2009 22527.26566 20488.083
2009-06-30 2009-07-31 7.50% 8.04% 06/2009 22764.07949 20734.192
2009-07-31 2009-08-31 6.35% 7.71% 07/2009 24470.906 22400.383
2009-08-31 2009-09-30 5.32% 5.62% 08/2009 26024.30991 24126.942
2009-09-30 2009-10-31 -1.82% -1.54% 09/2009 27408.43525 25482.953
2009-10-31 2009-11-30 1.36% 0.78% 10/2009 26908.35152 25089.837
2009-11-30 2009-12-31 0.97% 1.26% 11/2009 27273.79732 25285.398
2009-12-31 2010-01-31 -1.55% -1.32% 12/2009 27538.60659 25605.138
2010-01-31 2010-02-28 -0.14% -0.57% 01/2010 27112.8516 25267.753
2010-02-28 2010-03-31 7.14% 7.43% 02/2010 27074.1466 25123.106
2010-03-31 2010-04-30 1.54% 1.98% 03/2010 29008.05027 26990.811
2010-04-30 2010-05-31 -11.83% -12.02% 04/2010 29453.43423 27524.185
2010-05-31 2010-06-30 -0.23% -0.94% 05/2010 25967.82071 24217.067
2010-06-30 2010-07-31 9.14% 8.58% 06/2010 25906.84332 23989.846
2010-07-31 2010-08-31 -2.98% -2.60% 07/2010 28274.46268 26047.283
2010-08-31 2010-09-30 11.00% 11.35% 08/2010 27433.07728 25370.528
2010-09-30 2010-10-31 3.93% 4.12% 09/2010 30450.27879 28249.163
2010-10-31 2010-11-30 -2.79% -2.62% 10/2010 31646.32965 29413.479
2010-11-30 2010-12-31 10.92% 11.31% 11/2010 30763.99704 28642.447
2010-12-31 2011-01-31 1.22% 0.52% 12/2010 34123.45077 31880.684
2011-01-31 2011-02-28 3.05% 2.84% 01/2011 34540.5593 32047.936
2011-02-28 2011-03-31 -0.16% -0.09% 02/2011 35593.2618 32959.15
2011-03-31 2011-04-30 4.75% 4.96% 03/2011 35537.66066 32928.708
2011-04-30 2011-05-31 -2.78% -2.77% 04/2011 37227.09084 34561.329
2011-05-31 2011-06-30 -2.03% -2.16% 05/2011 36193.55708 33604.255
2011-06-30 2011-07-31 -0.96% -0.55% 06/2011 35458.95786 32877.185
2011-07-31 2011-08-31 -7.84% -7.90% 07/2011 35117.42682 32697.801
2011-08-31 2011-09-30 -11.82% -11.48% 08/2011 32365.08845 30114.811
2011-09-30 2011-10-31 7.64% 8.12% 09/2011 28539.6961 26657.384
2011-10-31 2011-11-30 -3.16% -5.02% 10/2011 30721.07414 28821.611
2011-11-30 2011-12-31 -2.91% -1.95% 11/2011 29751.57279 27373.738
2011-12-31 2012-01-31 8.53% 8.26% 12/2011 28886.43886 26841.005
2012-01-31 2012-02-29 5.06% 5.66% 01/2012 31349.29998 29057.812
2012-02-29 2012-03-31 0.39% -0.66% 02/2012 32935.54951 30703.773
2012-03-31 2012-04-30 -1.20% -0.52% 03/2012 33063.02757 30500.407
2012-04-30 2012-05-31 -11.64% -11.75% 04/2012 32666.18769 30341.793
2012-05-31 2012-06-30 3.91% 3.45% 05/2012 28864.87941 26776.218
2012-06-30 2012-07-31 -0.28% 0.77% 06/2012 29992.89831 27700.112
2012-07-31 2012-08-31 3.47% 2.87% 07/2012 29908.17261 27914.059
2012-08-31 2012-09-30 4.17% 4.74% 08/2012 30946.06246 28715.677
2012-09-30 2012-10-31 0.66% 0.49% 09/2012 32237.33829 30076.125
10/31/2012 32449.70547 30222.68
One Year Five Years Ten Years
-------- ---------- ---------
5.63% -3.40% 12.49%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
7
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
Japanese Small Company Portfolio vs. MSCI Japan Small Cap Index (net div.)
October 31, 2002 - October 31, 2012
Japanese Small Company MSCI Japan
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Small Cap Index (net div.)
--------- ---------- ----------- ----------------- ---------- ---------------------- --------------------------
2002-10-31 2002-11-30 -0.66% 0.75% 10/2002 10000 10000
2002-11-30 2002-12-31 -0.77% -2.23% 11/2002 9933.687003 10075.08187
2002-12-31 2003-01-31 0.00% -0.58% 12/2002 9857.65444 9849.969381
2003-01-31 2003-02-28 7.36% 5.07% 01/2003 9857.654442 9792.859234
2003-02-28 2003-03-31 0.76% -1.62% 02/2003 10582.87698 10289.41133
2003-03-31 2003-04-30 4.41% 3.12% 03/2003 10663.45726 10122.74022
2003-04-30 2003-05-31 6.15% 4.57% 04/2003 11133.5089 10438.51008
2003-05-31 2003-06-30 7.73% 11.22% 05/2003 11818.4413 10915.49296
2003-06-30 2003-07-31 1.27% 1.17% 06/2003 12731.68449 12140.63207
2003-07-31 2003-08-31 8.65% 12.61% 07/2003 12892.84505 12283.20775
2003-08-31 2003-09-30 6.33% 7.28% 08/2003 14007.53894 13831.70478
2003-09-30 2003-10-31 3.88% 7.41% 09/2003 14893.92204 14837.98823
2003-10-31 2003-11-30 -6.25% -6.87% 10/2003 15471.41406 15937.72465
2003-11-30 2003-12-31 5.88% 7.15% 11/2003 14504.45068 14842.64757
2003-12-31 2004-01-31 4.72% 3.64% 12/2003 15357.47439 15903.77806
2004-01-31 2004-02-29 0.59% -0.26% 01/2004 16081.62576 16482.86696
2004-02-29 2004-03-31 20.10% 18.33% 02/2004 16177.2684 16440.26731
2004-03-31 2004-04-30 -3.23% -3.18% 03/2004 19429.11797 19454.19207
2004-04-30 2004-05-31 -4.80% -4.97% 04/2004 18800.60923 18835.29913
2004-05-31 2004-06-30 9.47% 10.52% 05/2004 17898.83582 17899.83759
2004-06-30 2004-07-31 -6.28% -8.19% 06/2004 19593.07676 19782.60869
2004-07-31 2004-08-31 1.49% 1.04% 07/2004 18363.38575 18161.42602
2004-08-31 2004-09-30 -2.42% -3.02% 08/2004 18636.65042 18350.99444
2004-09-30 2004-10-31 1.95% 1.85% 09/2004 18185.76372 17797.06595
2004-10-31 2004-11-30 3.10% 4.35% 10/2004 18541.00779 18126.14819
2004-11-30 2004-12-31 4.78% 4.84% 11/2004 19114.86359 18914.90721
2004-12-31 2005-01-31 4.00% 3.40% 12/2004 20028.11817 19830.53329
2005-01-31 2005-02-28 3.65% 1.91% 01/2005 20829.79578 20505.07202
2005-02-28 2005-03-31 0.58% -0.23% 02/2005 21590.0073 20897.12186
2005-03-31 2005-04-30 -2.74% -0.81% 03/2005 21714.40556 20848.39852
2005-04-30 2005-05-31 -1.77% -1.84% 04/2005 21120.05836 20678.93181
2005-05-31 2005-06-30 1.88% 1.35% 05/2005 20746.86361 20298.06438
2005-06-30 2005-07-31 2.10% 2.83% 06/2005 21136.50604 20572.69895
2005-07-31 2005-08-31 5.45% 3.43% 07/2005 21579.44526 21155.3822
2005-08-31 2005-09-30 4.08% 6.25% 08/2005 22756.00257 21881.43987
2005-09-30 2005-10-31 3.04% 2.00% 09/2005 23683.40657 23249.02154
2005-10-31 2005-11-30 1.93% 4.27% 10/2005 24403.18281 23713.49078
2005-11-30 2005-12-31 11.35% 13.52% 11/2005 24873.80574 24726.96291
2005-12-31 2006-01-31 4.22% 3.19% 12/2005 27696.48745 28070.90178
2006-01-31 2006-02-28 -6.03% -6.51% 01/2006 28866.17319 28965.62742
2006-02-28 2006-03-31 4.41% 4.49% 02/2006 27125.56941 27079.52821
2006-03-31 2006-04-30 1.92% 0.50% 03/2006 28323.10482 28294.28366
2006-04-30 2006-05-31 -7.09% -8.02% 04/2006 28866.17321 28434.72936
2006-05-31 2006-06-30 -3.83% -3.13% 05/2006 26819.22316 26153.78472
2006-06-30 2006-07-31 -4.77% -6.61% 06/2006 25791.03783 25334.67345
2006-07-31 2006-08-31 1.60% 2.66% 07/2006 24559.56125 23659.84185
2006-08-31 2006-09-30 -1.78% -2.19% 08/2006 24951.39471 24289.11846
2006-09-30 2006-10-31 -0.80% -0.64% 09/2006 24508.26736 23757.55478
2006-10-31 2006-11-30 -0.69% -0.84% 10/2006 24312.08912 23605.12794
2006-11-30 2006-12-31 0.87% 0.58% 11/2006 24143.93634 23406.37397
2006-12-31 2007-01-31 2.03% 1.94% 12/2006 24353.59365 23542.69283
2007-01-31 2007-02-28 4.03% 3.95% 01/2007 24847.15229 24000.37275
2007-02-28 2007-03-31 -0.82% -0.92% 02/2007 25848.37125 24947.40195
2007-03-31 2007-04-30 -1.38% -1.71% 03/2007 25636.84612 24717.55696
2007-04-30 2007-05-31 -2.06% -2.38% 04/2007 25284.30423 24294.40116
2007-05-31 2007-06-30 1.61% 0.66% 05/2007 24762.54224 23715.33754
2007-06-30 2007-07-31 0.51% -0.03% 06/2007 25161.78359 23871.04781
2007-07-31 2007-08-31 -4.21% -6.09% 07/2007 25289.43639 23864.94367
2007-08-31 2007-09-30 -0.14% -0.61% 08/2007 24225.66313 22411.08335
2007-09-30 2007-10-31 0.65% 3.62% 09/2007 24190.62418 22275.03884
2007-10-31 2007-11-30 -2.33% -4.20% 10/2007 24346.78432 23080.52444
2007-11-30 2007-12-31 -6.32% -5.98% 11/2007 23778.92929 22110.18267
2007-12-31 2008-01-31 -2.76% -4.91% 12/2007 22276.1423 20787.37617
2008-01-31 2008-02-29 -0.86% 1.10% 01/2008 21661.33221 19766.37958
2008-02-29 2008-03-31 1.96% 0.03% 02/2008 21475.4594 19983.05381
2008-03-31 2008-04-30 0.72% 1.24% 03/2008 21897.06899 19989.52537
2008-04-30 2008-05-31 3.63% 3.08% 04/2008 22054.4989 20237.73298
2008-05-31 2008-06-30 -4.75% -6.14% 05/2008 22855.96025 20861.33463
2008-06-30 2008-07-31 -2.79% -3.27% 06/2008 21771.22763 19580.38503
2008-07-31 2008-08-31 -5.53% -4.42% 07/2008 21164.06192 18939.5221
2008-08-31 2008-09-30 -6.57% -9.76% 08/2008 19993.09948 18102.73475
2008-09-30 2008-10-31 -7.28% -10.56% 09/2008 18680.10966 16335.0643
2008-10-31 2008-11-30 2.59% 4.08% 10/2008 17319.97774 14610.87139
2008-11-30 2008-12-31 10.18% 7.79% 11/2008 17768.53188 15207.58848
2008-12-31 2009-01-31 -6.87% -5.24% 12/2008 19576.80123 16391.82817
2009-01-31 2009-02-28 -13.06% -13.15% 01/2009 18232.72234 15532.69167
2009-02-28 2009-03-31 4.63% 3.53% 02/2009 15851.36517 13490.5956
2009-03-31 2009-04-30 3.97% 5.12% 03/2009 16585.88307 13966.68196
2009-04-30 2009-05-31 12.30% 12.24% 04/2009 17244.05303 14681.2359
2009-05-31 2009-06-30 6.62% 6.36% 05/2009 19364.82292 16477.8381
2009-06-30 2009-07-31 2.07% 2.50% 06/2009 20646.25165 17526.07854
2009-07-31 2009-08-31 5.25% 5.61% 07/2009 21074.2297 17964.79588
2009-08-31 2009-09-30 -1.08% -0.39% 08/2009 22181.0695 18971.85596
2009-09-30 2009-10-31 -3.63% -3.66% 09/2009 21941.92888 18896.95379
2009-10-31 2009-11-30 -4.05% -3.57% 10/2009 21144.5775 18205.29095
2009-11-30 2009-12-31 -0.41% -1.87% 11/2009 20288.16305 17554.53077
2009-12-31 2010-01-31 1.33% 2.16% 12/2009 20204.16741 17226.74007
2010-01-31 2010-02-28 1.89% 1.90% 01/2010 20471.96934 17598.31424
2010-02-28 2010-03-31 5.08% 4.55% 02/2010 20858.79434 17932.44578
2010-03-31 2010-04-30 2.92% 2.71% 03/2010 21918.19995 18748.39441
2010-04-30 2010-05-31 -8.38% -6.94% 04/2010 22558.03879 19256.15939
2010-05-31 2010-06-30 1.54% 0.44% 05/2010 20668.28224 17920.38247
2010-06-30 2010-07-31 1.72% 1.21% 06/2010 20987.31276 17999.54236
2010-07-31 2010-08-31 -2.74% -2.12% 07/2010 21347.60998 18217.74964
2010-08-31 2010-09-30 4.42% 4.09% 08/2010 20762.127 17832.12461
2010-09-30 2010-10-31 -2.15% -0.82% 09/2010 21679.4166 18561.32287
2010-10-31 2010-11-30 2.48% 1.95% 10/2010 21213.99976 18408.83566
2010-11-30 2010-12-31 9.20% 10.09% 11/2010 21739.47038 18767.41745
2010-12-31 2011-01-31 2.23% 1.19% 12/2010 23739.91273 20661.01405
2011-01-31 2011-02-28 4.61% 4.02% 01/2011 24268.80957 20906.71999
2011-02-28 2011-03-31 -6.25% -6.17% 02/2011 25387.04862 21747.69396
2011-03-31 2011-04-30 -0.51% 0.09% 03/2011 23800.35808 20405.73235
2011-04-30 2011-05-31 -1.66% -1.49% 04/2011 23679.46736 20424.23355
2011-05-31 2011-06-30 4.98% 3.72% 05/2011 23286.57256 20120.65268
2011-06-30 2011-07-31 3.62% 4.15% 06/2011 24445.13868 20870.11031
2011-07-31 2011-08-31 -2.71% -4.09% 07/2011 25329.61657 21737.00781
2011-08-31 2011-09-30 -0.54% 0.09% 08/2011 24643.38373 20848.50785
2011-09-30 2011-10-31 -5.16% -3.69% 09/2011 24509.27495 20867.42386
2011-10-31 2011-11-30 1.64% -2.71% 10/2011 23243.39454 20097.71099
2011-11-30 2011-12-31 -0.53% 1.56% 11/2011 23624.68382 19553.25552
2011-12-31 2012-01-31 6.28% 4.10% 12/2011 23499.87679 19858.08869
2012-01-31 2012-02-29 0.12% 1.09% 01/2012 24976.30885 20673.25987
2012-02-29 2012-03-31 2.83% 2.67% 02/2012 25007.06785 20897.89665
2012-03-31 2012-04-30 -2.09% -1.45% 03/2012 25714.52487 21455.93331
2012-04-30 2012-05-31 -8.37% -8.30% 04/2012 25176.24235 21145.10649
2012-05-31 2012-06-30 5.29% 4.27% 05/2012 23069.25079 19389.29527
2012-06-30 2012-07-31 -3.39% -1.56% 06/2012 24290.64032 20216.46374
2012-07-31 2012-08-31 0.00% -0.57% 07/2012 23467.49202 19900.07911
2012-08-31 2012-09-30 1.43% 2.77% 08/2012 23467.49202 19786.64947
2012-09-30 2012-10-31 -2.15% -2.16% 09/2012 23803.19441 20333.93316
10/31/2012 23290.46241 19894.1037
One Year Five Years Ten Years
-------- ---------- ---------
0.20% -0.88% 8.82%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
Asia Pacific Small Company Portfolio vs. MSCI Pacific ex Japan Small Cap Index
(net div.)
October 31, 2002 - October 31, 2012
Asia Pacific Small Company MSCI Pacific ex Japan
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Small Cap Index (net div.)
--------- ---------- ----------- ----------------- ---------- -------------------------- --------------------------
2002-10-31 2002-11-30 1.02% 2.23% 10/2002 10000 10000
2002-11-30 2002-12-31 1.25% 1.63% 11/2002 10102.04082 10222.94441
2002-12-31 2003-01-31 3.28% 3.70% 12/2002 10228.44337 10389.69329
2003-01-31 2003-02-28 0.51% -1.56% 01/2003 10563.58241 10774.1636
2003-02-28 2003-03-31 -2.02% -0.24% 02/2003 10617.20465 10605.86716
2003-03-31 2003-04-30 2.84% 5.52% 03/2003 10402.71567 10580.71942
2003-04-30 2003-05-31 10.15% 7.11% 04/2003 10697.63802 11164.43722
2003-05-31 2003-06-30 4.66% 5.34% 05/2003 11783.4885 11958.2354
2003-06-30 2003-07-31 6.74% 2.28% 06/2003 12333.11651 12596.40774
2003-07-31 2003-08-31 7.03% 4.86% 07/2003 13164.26132 12883.57562
2003-08-31 2003-09-30 7.99% 7.96% 08/2003 14089.24506 13509.07737
2003-09-30 2003-10-31 5.81% 8.26% 09/2003 15215.31222 14584.14338
2003-10-31 2003-11-30 0.75% -0.44% 10/2003 16100.07928 15788.91371
2003-11-30 2003-12-31 4.42% 6.55% 11/2003 16220.72933 15719.08037
2003-12-31 2004-01-31 6.26% 4.09% 12/2003 16937.04762 16749.07389
2004-01-31 2004-02-29 2.94% 3.02% 01/2004 17996.48434 17434.54333
2004-02-29 2004-03-31 -3.16% 0.20% 02/2004 18526.2027 17961.48526
2004-03-31 2004-04-30 -7.30% -5.66% 03/2004 17940.72451 17996.98227
2004-04-30 2004-05-31 -0.75% -0.45% 04/2004 16630.36856 16979.07901
2004-05-31 2004-06-30 0.34% 0.12% 05/2004 16504.90895 16902.18495
2004-06-30 2004-07-31 1.78% 3.77% 06/2004 16561.62194 16922.1097
2004-07-31 2004-08-31 2.34% 3.29% 07/2004 16856.86307 17560.66893
2004-08-31 2004-09-30 6.14% 5.97% 08/2004 17250.51793 18139.16374
2004-09-30 2004-10-31 4.71% 6.40% 09/2004 18309.08796 19221.96752
2004-10-31 2004-11-30 7.23% 7.70% 10/2004 19171.52376 20452.36921
2004-11-30 2004-12-31 2.25% 4.23% 11/2004 20557.07636 22026.32775
2004-12-31 2005-01-31 2.27% 0.87% 12/2004 21019.6936 22957.37457
2005-01-31 2005-02-28 2.82% 3.19% 01/2005 21496.42893 23157.68602
2005-02-28 2005-03-31 -3.40% -2.84% 02/2005 22103.18297 23895.28867
2005-03-31 2005-04-30 -3.38% -1.63% 03/2005 21351.96368 23215.91272
2005-04-30 2005-05-31 -2.31% 1.28% 04/2005 20629.63744 22838.30968
2005-05-31 2005-06-30 4.50% 5.47% 05/2005 20152.90213 23131.7645
2005-06-30 2005-07-31 3.32% 4.16% 06/2005 21059.61874 24396.40581
2005-07-31 2005-08-31 2.61% -0.08% 07/2005 21758.2101 25412.08446
2005-08-31 2005-09-30 3.66% 5.04% 08/2005 22325.81559 25391.96627
2005-09-30 2005-10-31 -5.69% -5.88% 09/2005 23142.77252 26672.76016
2005-10-31 2005-11-30 2.48% 3.79% 10/2005 21825.34714 25105.66888
2005-11-30 2005-12-31 1.49% 1.96% 11/2005 22366.95535 26057.80112
2005-12-31 2006-01-31 6.73% 5.72% 12/2005 22700.77758 26569.26752
2006-01-31 2006-02-28 1.42% 1.00% 01/2006 24228.1386 28089.73876
2006-02-28 2006-03-31 5.06% 4.23% 02/2006 24572.54354 28371.87709
2006-03-31 2006-04-30 5.68% 6.45% 03/2006 25815.39615 29573.16543
2006-04-30 2006-05-31 -5.65% -5.11% 04/2006 27282.86066 31480.62173
2006-05-31 2006-06-30 -0.70% -1.22% 05/2006 25740.52551 29873.19735
2006-06-30 2006-07-31 1.89% 1.03% 06/2006 25561.04377 29509.32885
2006-07-31 2006-08-31 2.43% 3.26% 07/2006 26044.18223 29812.16571
2006-08-31 2006-09-30 1.01% 1.65% 08/2006 26678.30145 30784.60958
2006-09-30 2006-10-31 8.17% 6.97% 09/2006 26948.22351 31293.56121
2006-10-31 2006-11-30 5.52% 6.08% 10/2006 29149.62769 33475.41808
2006-11-30 2006-12-31 2.82% 3.73% 11/2006 30758.93006 35510.06393
2006-12-31 2007-01-31 2.59% 2.54% 12/2006 31625.56796 36835.73688
2007-01-31 2007-02-28 2.62% 1.91% 01/2007 32446.00609 37771.32964
2007-02-28 2007-03-31 5.21% 5.16% 02/2007 33297.40415 38491.52928
2007-03-31 2007-04-30 6.98% 6.93% 03/2007 35031.16019 40477.38445
2007-04-30 2007-05-31 8.51% 3.93% 04/2007 37476.99462 43284.20999
2007-05-31 2007-06-30 4.08% 2.60% 05/2007 40665.86735 44983.41006
2007-06-30 2007-07-31 1.55% -0.03% 06/2007 42324.45641 46153.21619
2007-07-31 2007-08-31 -7.51% -6.44% 07/2007 42979.68205 46140.90182
2007-08-31 2007-09-30 11.70% 8.87% 08/2007 39750.35566 43171.53026
2007-09-30 2007-10-31 8.73% 6.84% 09/2007 44402.98984 47002.60658
2007-10-31 2007-11-30 -6.63% -8.03% 10/2007 48278.44514 50215.50421
2007-11-30 2007-12-31 -1.74% -1.38% 11/2007 45077.66425 46181.72607
2007-12-31 2008-01-31 -10.08% -13.40% 12/2007 44292.30802 45546.18965
2008-01-31 2008-02-29 3.03% 5.94% 01/2008 39829.72697 39443.03773
2008-02-29 2008-03-31 -4.86% -6.31% 02/2008 41036.68839 41786.09735
2008-03-31 2008-04-30 6.95% 6.69% 03/2008 39042.69123 39150.03399
2008-04-30 2008-05-31 4.36% 1.08% 04/2008 41757.31597 41769.12844
2008-05-31 2008-06-30 -9.88% -11.19% 05/2008 43577.71138 42219.7361
2008-06-30 2008-07-31 -5.91% -4.60% 06/2008 39271.38057 37496.3338
2008-07-31 2008-08-31 -7.03% -8.12% 07/2008 36948.96628 35772.06782
2008-08-31 2008-09-30 -17.19% -19.52% 08/2008 34352.37808 32866.37089
2008-09-30 2008-10-31 -33.30% -35.32% 09/2008 28448.71866 26450.30161
2008-10-31 2008-11-30 -9.59% -10.91% 10/2008 18976.64386 17107.99184
2008-11-30 2008-12-31 10.90% 11.62% 11/2008 17156.96568 15240.90591
2008-12-31 2009-01-31 -12.37% -11.01% 12/2008 19026.86225 17011.6769
2009-01-31 2009-02-28 -5.51% -6.21% 01/2009 16673.53982 15138.38093
2009-02-28 2009-03-31 15.50% 14.33% 02/2009 15755.57717 14198.33404
2009-03-31 2009-04-30 14.89% 17.90% 03/2009 18198.31801 16233.2625
2009-04-30 2009-05-31 25.84% 23.98% 04/2009 20907.99403 19138.9839
2009-05-31 2009-06-30 0.72% 2.82% 05/2009 26310.61968 23727.9327
2009-06-30 2009-07-31 14.40% 14.44% 06/2009 26500.51813 24395.89769
2009-07-31 2009-08-31 4.57% 5.14% 07/2009 30317.6737 27918.80754
2009-08-31 2009-09-30 7.76% 8.38% 08/2009 31702.65934 29353.56318
2009-09-30 2009-10-31 2.18% 2.40% 09/2009 34162.2454 31812.29559
2009-10-31 2009-11-30 4.66% 2.88% 10/2009 34908.21999 32574.95601
2009-11-30 2009-12-31 2.61% 4.00% 11/2009 36535.80092 33511.53396
2009-12-31 2010-01-31 -5.44% -6.39% 12/2009 37490.87022 34850.68161
2010-01-31 2010-02-28 1.74% 1.25% 01/2010 35449.96741 32622.21372
2010-02-28 2010-03-31 8.22% 8.24% 02/2010 36067.38339 33031.08649
2010-03-31 2010-04-30 1.32% 2.80% 03/2010 39032.74785 35753.24456
2010-04-30 2010-05-31 -13.86% -15.10% 04/2010 39548.14504 36753.03781
2010-05-31 2010-06-30 -1.26% -0.57% 05/2010 34067.75484 31203.76406
2010-06-30 2010-07-31 11.07% 10.17% 06/2010 33639.59447 31025.8813
2010-07-31 2010-08-31 -0.14% -0.22% 07/2010 37363.7917 34182.58827
2010-08-31 2010-09-30 15.17% 15.01% 08/2010 37311.58333 34106.50072
2010-09-30 2010-10-31 4.27% 4.44% 09/2010 42971.5342 39227.22466
2010-10-31 2010-11-30 -1.37% -1.34% 10/2010 44806.43095 40968.50656
2010-11-30 2010-12-31 9.78% 10.09% 11/2010 44194.79869 40421.36451
2010-12-31 2011-01-31 -2.16% -2.91% 12/2010 48518.23493 44501.01994
2011-01-31 2011-02-28 0.61% 0.55% 01/2011 47468.60509 43206.90568
2011-02-28 2011-03-31 2.10% 3.07% 02/2011 47758.15816 43443.45509
2011-03-31 2011-04-30 4.20% 4.05% 03/2011 48760.12577 44776.95098
2011-04-30 2011-05-31 -2.96% -2.29% 04/2011 50807.65243 46588.20093
2011-05-31 2011-06-30 -3.40% -3.56% 05/2011 49303.71692 45521.78147
2011-06-30 2011-07-31 1.61% 1.48% 06/2011 47627.74843 43902.98932
2011-07-31 2011-08-31 -7.00% -6.96% 07/2011 48396.82395 44550.56657
2011-08-31 2011-09-30 -18.67% -18.18% 08/2011 45009.22937 41451.93249
2011-09-30 2011-10-31 15.55% 16.38% 09/2011 36607.20677 33915.26065
2011-10-31 2011-11-30 -2.69% -6.82% 10/2011 42301.25299 39471.81922
2011-11-30 2011-12-31 -5.85% -3.21% 11/2011 41162.44374 36780.00112
2011-12-31 2012-01-31 10.31% 10.38% 12/2011 38752.60065 35600.90329
2012-01-31 2012-02-29 7.56% 7.78% 01/2012 42748.30541 39297.23236
2012-02-29 2012-03-31 -1.50% -3.13% 02/2012 45979.28198 42352.65578
2012-03-31 2012-04-30 -0.42% 0.54% 03/2012 45291.35121 41026.60855
2012-04-30 2012-05-31 -12.49% -12.98% 04/2012 45099.76342 41248.3563
2012-05-31 2012-06-30 2.07% 1.40% 05/2012 39467.08269 35894.03867
2012-06-30 2012-07-31 1.44% 3.29% 06/2012 40285.54758 36396.50327
2012-07-31 2012-08-31 3.32% 1.60% 07/2012 40867.42838 37593.17588
2012-08-31 2012-09-30 4.92% 5.32% 08/2012 42225.15026 38194.19868
2012-09-30 2012-10-31 2.25% 2.06% 09/2012 44303.72967 40226.10709
10/31/2012 45298.66151 41055.3557
One Year Five Years Ten Years
-------- ---------- ---------
7.09% -1.27% 16.31%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
United Kingdom Small Company Portfolio vs. MSCI UK Small Cap Index (net div.)
October 31, 2002 - October 31, 2012
United Kingdom Small Company MSCI UK
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Small Cap Index (net div.)
--------- ---------- ----------- ----------------- ---------- ---------------------------- --------------------------
2002-10-31 2002-11-30 3.26% 1.85% 10/2002 10000 10000
2002-11-30 2002-12-31 -0.25% -2.90% 11/2002 10326.32342 10184.73327
2002-12-31 2003-01-31 -2.47% -7.52% 12/2002 10300.26699 9889.741677
2003-01-31 2003-02-28 -3.31% -2.90% 01/2003 10045.46278 9146.50954
2003-02-28 2003-03-31 -0.95% -0.12% 02/2003 9713.445179 8880.979174
2003-03-31 2003-04-30 9.39% 13.39% 03/2003 9620.789103 8870.105074
2003-04-30 2003-05-31 11.96% 14.56% 04/2003 10524.18583 10057.78446
2003-05-31 2003-06-30 5.64% 3.29% 05/2003 11782.76418 11522.12121
2003-06-30 2003-07-31 4.03% 6.33% 06/2003 12446.79938 11901.70319
2003-07-31 2003-08-31 4.17% 4.76% 07/2003 12948.68646 12654.92432
2003-08-31 2003-09-30 3.84% 2.62% 08/2003 13489.18022 13257.17248
2003-09-30 2003-10-31 5.68% 8.11% 09/2003 14006.50998 13605.01726
2003-10-31 2003-11-30 0.47% 0.83% 10/2003 14801.80795 14708.35915
2003-11-30 2003-12-31 5.53% 5.61% 11/2003 14871.3 14830.88245
2003-12-31 2004-01-31 7.44% 8.47% 12/2003 15693.25537 15662.49826
2004-01-31 2004-02-29 5.73% 6.77% 01/2004 16860.18974 16989.77076
2004-02-29 2004-03-31 -1.35% -0.38% 02/2004 17825.92854 18140.78167
2004-03-31 2004-04-30 -3.66% -3.48% 03/2004 17584.49384 18071.61733
2004-04-30 2004-05-31 0.14% -0.06% 04/2004 16940.66798 17442.81614
2004-05-31 2004-06-30 3.38% 3.47% 05/2004 16964.81145 17432.82714
2004-06-30 2004-07-31 -3.75% -4.53% 06/2004 17537.98014 18037.60416
2004-07-31 2004-08-31 -0.72% -1.37% 07/2004 16880.30589 17221.28795
2004-08-31 2004-09-30 2.81% 3.29% 08/2004 16758.51436 16985.59814
2004-09-30 2004-10-31 3.13% 3.81% 09/2004 17229.02192 17543.84412
2004-10-31 2004-11-30 8.01% 8.09% 10/2004 17768.70651 18211.46333
2004-11-30 2004-12-31 4.11% 5.77% 11/2004 19191.51136 19683.89242
2004-12-31 2005-01-31 2.80% 2.25% 12/2004 19980.49121 20819.35084
2005-01-31 2005-02-28 3.39% 2.37% 01/2005 20540.04827 21286.81073
2005-02-28 2005-03-31 -2.29% -1.25% 02/2005 21237.34245 21790.68621
2005-03-31 2005-04-30 -3.41% -4.52% 03/2005 20751.25102 21518.58081
2005-04-30 2005-05-31 -1.98% -0.89% 04/2005 20044.31185 20545.98101
2005-05-31 2005-06-30 1.80% 1.54% 05/2005 19647.73622 20363.7766
2005-06-30 2005-07-31 1.95% 2.97% 06/2005 20001.56596 20677.10243
2005-07-31 2005-08-31 5.62% 4.84% 07/2005 20392.22154 21291.23624
2005-08-31 2005-09-30 -1.19% 0.17% 08/2005 21538.14459 22321.6205
2005-09-30 2005-10-31 -2.84% -3.05% 09/2005 21281.07436 22360.43851
2005-10-31 2005-11-30 4.27% 4.99% 10/2005 20677.54204 21679.54278
2005-11-30 2005-12-31 4.37% 4.32% 11/2005 21560.97341 22761.64224
2005-12-31 2006-01-31 7.79% 8.14% 12/2005 22503.36549 23745.11614
2006-01-31 2006-02-28 1.35% 1.57% 01/2006 24256.63226 25678.80942
2006-02-28 2006-03-31 1.63% 2.02% 02/2006 24583.0383 26081.40403
2006-03-31 2006-04-30 5.00% 5.29% 03/2006 24984.05145 26609.0508
2006-04-30 2006-05-31 -2.06% -2.22% 04/2006 26233.72031 28017.24683
2006-05-31 2006-06-30 -0.12% -0.85% 05/2006 25692.81887 27395.40001
2006-06-30 2006-07-31 0.69% -0.78% 06/2006 25661.97335 27162.87127
2006-07-31 2006-08-31 4.17% 3.60% 07/2006 25840.11639 26951.71141
2006-08-31 2006-09-30 2.88% 2.93% 08/2006 26918.35056 27921.52946
2006-09-30 2006-10-31 5.62% 5.73% 09/2006 27694.82892 28740.12164
2006-10-31 2006-11-30 6.25% 6.48% 10/2006 29250.1886 30386.15702
2006-11-30 2006-12-31 5.43% 4.69% 11/2006 31078.91455 32355.38079
2006-12-31 2007-01-31 0.64% -0.23% 12/2006 32765.53058 33873.58226
2007-01-31 2007-02-28 -0.03% 0.31% 01/2007 32975.50193 33794.55537
2007-02-28 2007-03-31 4.64% 4.14% 02/2007 32965.5033 33900.02177
2007-03-31 2007-04-30 3.42% 4.96% 03/2007 34495.29462 35302.18758
2007-04-30 2007-05-31 1.32% 0.64% 04/2007 35675.13369 37054.44065
2007-05-31 2007-06-30 -3.69% -2.91% 05/2007 36145.06959 37292.47839
2007-06-30 2007-07-31 -0.58% -0.56% 06/2007 34810.99155 36207.10124
2007-07-31 2007-08-31 -0.61% -3.67% 07/2007 34609.53905 36003.55839
2007-08-31 2007-09-30 -3.48% -5.67% 08/2007 34398.01393 34683.7346
2007-09-30 2007-10-31 7.96% 10.99% 09/2007 33200.40601 32718.25112
2007-10-31 2007-11-30 -11.61% -11.57% 10/2007 35843.07328 36313.48132
2007-11-30 2007-12-31 -5.30% -5.02% 11/2007 31681.63172 32111.56657
2007-12-31 2008-01-31 -6.75% -8.05% 12/2007 30002.6359 30499.3662
2008-01-31 2008-02-29 1.41% 3.39% 01/2008 27976.87156 28045.22453
2008-02-29 2008-03-31 -0.41% -1.26% 02/2008 28371.36251 28995.40235
2008-03-31 2008-04-30 1.66% 1.86% 03/2008 28253.66968 28630.99404
2008-04-30 2008-05-31 0.26% 0.47% 04/2008 28723.49638 29163.51692
2008-05-31 2008-06-30 -7.99% -6.84% 05/2008 28798.24153 29301.51708
2008-06-30 2008-07-31 -3.55% -3.99% 06/2008 26497.28678 27298.28546
2008-07-31 2008-08-31 -1.69% -2.62% 07/2008 25557.51346 26209.1302
2008-08-31 2008-09-30 -15.47% -18.39% 08/2008 25125.43378 25523.09577
2008-09-30 2008-10-31 -26.86% -27.75% 09/2008 21239.653 20829.83263
2008-10-31 2008-11-30 -7.15% -9.27% 10/2008 15535.10243 15050.14501
2008-11-30 2008-12-31 -2.29% -2.54% 11/2008 14424.67464 13654.45043
2008-12-31 2009-01-31 -2.42% -0.55% 12/2008 14094.70451 13308.06844
2009-01-31 2009-02-28 -4.16% -3.32% 01/2009 13753.88092 13235.0837
2009-02-28 2009-03-31 4.29% 5.80% 02/2009 13182.17684 12796.33037
2009-03-31 2009-04-30 20.91% 22.97% 03/2009 13747.40017 13538.45221
2009-04-30 2009-05-31 10.21% 10.56% 04/2009 16622.45741 16648.44171
2009-05-31 2009-06-30 0.43% 0.71% 05/2009 18318.85134 18406.87658
2009-06-30 2009-07-31 8.66% 9.20% 06/2009 18398.42995 18536.80413
2009-07-31 2009-08-31 7.74% 9.64% 07/2009 19991.03012 20242.59082
2009-08-31 2009-09-30 2.90% 2.31% 08/2009 21539.08204 22194.30581
2009-09-30 2009-10-31 0.10% 0.14% 09/2009 22163.64848 22706.30182
2009-10-31 2009-11-30 -0.35% -1.04% 10/2009 22186.02471 22739.17824
2009-11-30 2009-12-31 2.06% 2.47% 11/2009 22107.70793 22502.57727
2009-12-31 2010-01-31 -1.00% -0.46% 12/2009 22562.62069 23058.42647
2010-01-31 2010-02-28 -3.44% -4.48% 01/2010 22336.76863 22951.40342
2010-02-28 2010-03-31 8.34% 8.81% 02/2010 21568.87163 21923.41454
2010-03-31 2010-04-30 3.63% 3.99% 03/2010 23367.418 23855.6759
2010-04-30 2010-05-31 -11.35% -12.02% 04/2010 24215.70278 24807.83622
2010-05-31 2010-06-30 1.89% 0.43% 05/2010 21467.2601 21825.88192
2010-06-30 2010-07-31 13.47% 12.03% 06/2010 21872.41063 21920.17077
2010-07-31 2010-08-31 -3.73% -2.72% 07/2010 24817.65174 24556.84503
2010-08-31 2010-09-30 10.65% 11.02% 08/2010 23892.98302 23889.83015
2010-09-30 2010-10-31 5.21% 4.26% 09/2010 26436.69202 26521.98383
2010-10-31 2010-11-30 -4.95% -4.16% 10/2010 27813.60307 27652.52891
2010-11-30 2010-12-31 10.16% 10.46% 11/2010 26436.69202 26500.89745
2010-12-31 2011-01-31 1.43% 0.97% 12/2010 29123.50956 29273.77513
2011-01-31 2011-02-28 2.98% 2.64% 01/2011 29540.38683 29556.91796
2011-02-28 2011-03-31 -1.90% -1.73% 02/2011 30420.46106 30336.40823
2011-03-31 2011-04-30 8.83% 9.17% 03/2011 29840.98573 29812.97875
2011-04-30 2011-05-31 -0.64% -1.27% 04/2011 32475.72077 32545.73053
2011-05-31 2011-06-30 -3.19% -3.37% 05/2011 32266.79904 32133.8104
2011-06-30 2011-07-31 -0.71% -0.28% 06/2011 31236.125 31051.37887
2011-07-31 2011-08-31 -10.01% -10.20% 07/2011 31013.59543 30965.45914
2011-08-31 2011-09-30 -10.12% -10.55% 08/2011 27909.89347 27806.69897
2011-09-30 2011-10-31 10.57% 10.93% 09/2011 25085.00601 24874.3008
2011-10-31 2011-11-30 -3.07% -3.88% 10/2011 27735.49722 27592.49812
2011-11-30 2011-12-31 -3.15% -3.34% 11/2011 26883.55361 26521.47755
2011-12-31 2012-01-31 8.79% 10.15% 12/2011 26038.03525 25636.24738
2012-01-31 2012-02-29 8.17% 9.29% 01/2012 28327.3581 28237.12768
2012-02-29 2012-03-31 2.11% 0.33% 02/2012 30640.7791 30859.75401
2012-03-31 2012-04-30 1.70% 1.70% 03/2012 31287.24996 30961.08612
2012-04-30 2012-05-31 -11.30% -12.39% 04/2012 31817.95119 31488.06169
2012-05-31 2012-06-30 4.86% 4.76% 05/2012 28223.65648 27586.66253
2012-06-30 2012-07-31 1.65% 1.82% 06/2012 29596.29533 28900.19337
2012-07-31 2012-08-31 5.44% 5.29% 07/2012 30084.88461 29426.59945
2012-08-31 2012-09-30 5.11% 5.34% 08/2012 31721.65868 30984.44922
2012-09-30 2012-10-31 2.17% 2.07% 09/2012 33343.21472 32637.78817
10/31/2012 34065.93686 33313.32062
One Year Five Years Ten Years
-------- ---------- ---------
22.82% -1.01% 13.04%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
8
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
Continental Small Company Portfolio vs. MSCI Europe ex UK Small Cap Index (net
div.)
October 31, 2002 - October 31, 2012
Continental Small Company MSCI Europe ex UK
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Small Cap Index (net div.)
--------- ---------- ----------- ----------------- ---------- ------------------------- --------------------------
2002-10-31 2002-11-30 5.43% 5.48% 10/2002 10000 10000
2002-11-30 2002-12-31 1.88% -2.35% 11/2002 10543.09327 10548.1194
2002-12-31 2003-01-31 -0.83% -1.33% 12/2002 10741.33796 10300.47589
2003-01-31 2003-02-28 -2.87% -4.40% 01/2003 10652.25104 10163.741
2003-02-28 2003-03-31 -0.74% -0.23% 02/2003 10346.81015 9716.82901
2003-03-31 2003-04-30 12.52% 14.70% 03/2003 10270.44992 9694.149111
2003-04-30 2003-05-31 10.02% 9.83% 04/2003 11555.847 11119.0498
2003-05-31 2003-06-30 1.70% 1.49% 05/2003 12713.97704 12212.14227
2003-06-30 2003-07-31 3.44% 3.56% 06/2003 12930.33101 12393.71256
2003-07-31 2003-08-31 2.19% 2.88% 07/2003 13375.76564 12834.98735
2003-08-31 2003-09-30 5.12% 5.67% 08/2003 13668.47982 13204.94501
2003-09-30 2003-10-31 6.11% 8.35% 09/2003 14368.44853 13953.64386
2003-10-31 2003-11-30 5.18% 5.32% 10/2003 15246.59108 15119.23334
2003-11-30 2003-12-31 6.14% 5.23% 11/2003 16035.64672 15923.77981
2003-12-31 2004-01-31 4.86% 5.03% 12/2003 17019.56102 16756.77447
2004-01-31 2004-02-29 3.26% 3.37% 01/2004 17846.79441 17599.60146
2004-02-29 2004-03-31 -2.08% -3.45% 02/2004 18428.92161 18193.34286
2004-03-31 2004-04-30 -1.19% -1.57% 03/2004 18045.94318 17565.51607
2004-04-30 2004-05-31 1.03% 0.32% 04/2004 17831.47527 17288.89996
2004-05-31 2004-06-30 3.02% 3.57% 05/2004 18015.30491 17343.96099
2004-06-30 2004-07-31 -3.31% -4.02% 06/2004 18559.62698 17962.61095
2004-07-31 2004-08-31 0.60% 0.32% 07/2004 17945.0698 17240.78711
2004-08-31 2004-09-30 5.16% 5.58% 08/2004 18052.61731 17295.45485
2004-09-30 2004-10-31 3.74% 4.24% 09/2004 18984.26096 18259.67829
2004-10-31 2004-11-30 10.66% 11.10% 10/2004 19694.24145 19033.679
2004-11-30 2004-12-31 5.14% 5.00% 11/2004 21793.31421 21146.18703
2004-12-31 2005-01-31 1.42% 1.12% 12/2004 22912.62867 22203.35873
2005-01-31 2005-02-28 6.35% 7.01% 01/2005 23236.94047 22452.31322
2005-02-28 2005-03-31 -2.76% -2.55% 02/2005 24712.55916 24025.35429
2005-03-31 2005-04-30 -2.70% -2.94% 03/2005 24031.50438 23411.81715
2005-04-30 2005-05-31 0.21% 1.42% 04/2005 23382.88078 22723.02993
2005-05-31 2005-06-30 2.71% 3.20% 05/2005 23431.52754 23046.7101
2005-06-30 2005-07-31 6.17% 6.86% 06/2005 24066.17065 23784.26566
2005-07-31 2005-08-31 3.32% 2.84% 07/2005 25549.92507 25416.03849
2005-08-31 2005-09-30 2.53% 3.41% 08/2005 26397.78474 26137.73122
2005-09-30 2005-10-31 -4.95% -6.90% 09/2005 27066.33877 27030.24424
2005-10-31 2005-11-30 0.32% 1.28% 10/2005 25725.28754 25164.72424
2005-11-30 2005-12-31 5.12% 5.80% 11/2005 25807.05895 25485.65136
2005-12-31 2006-01-31 9.59% 11.16% 12/2005 27127.87536 26962.59783
2006-01-31 2006-02-28 2.82% 2.82% 01/2006 29729.67695 29971.15851
2006-02-28 2006-03-31 6.43% 6.46% 02/2006 30566.62012 30817.39404
2006-03-31 2006-04-30 6.88% 7.09% 03/2006 32531.61712 32808.37452
2006-04-30 2006-05-31 -4.87% -5.14% 04/2006 34769.53038 35133.1297
2006-05-31 2006-06-30 -1.85% -2.28% 05/2006 33077.44963 33327.25914
2006-06-30 2006-07-31 -0.28% -1.09% 06/2006 32464.39117 32567.81027
2006-07-31 2006-08-31 2.61% 2.35% 07/2006 32372.52815 32211.48678
2006-08-31 2006-09-30 1.30% 1.05% 08/2006 33217.66794 32969.36247
2006-09-30 2006-10-31 4.99% 5.34% 09/2006 33648.91069 33315.32925
2006-10-31 2006-11-30 6.89% 7.00% 10/2006 35327.66665 35095.89795
2006-11-30 2006-12-31 4.76% 4.72% 11/2006 37762.78519 37551.88191
2006-12-31 2007-01-31 4.61% 3.20% 12/2006 39559.39578 39323.27377
2007-01-31 2007-02-28 0.09% 0.43% 01/2007 41383.46014 40582.59809
2007-02-28 2007-03-31 5.83% 5.32% 02/2007 41421.46148 40756.26296
2007-03-31 2007-04-30 5.24% 6.05% 03/2007 43834.54661 42923.45286
2007-04-30 2007-05-31 1.89% 1.74% 04/2007 46133.62774 45521.16427
2007-05-31 2007-06-30 -1.12% -0.96% 05/2007 47007.65858 46314.80908
2007-06-30 2007-07-31 -0.58% -0.73% 06/2007 46481.20983 45872.16695
2007-07-31 2007-08-31 -3.61% -4.53% 07/2007 46212.97532 45536.38588
2007-08-31 2007-09-30 2.20% 1.99% 08/2007 44546.08939 43475.46067
2007-09-30 2007-10-31 4.82% 5.98% 09/2007 45525.12436 44340.52536
2007-10-31 2007-11-30 -7.42% -7.15% 10/2007 47719.5701 46993.8839
2007-11-30 2007-12-31 -1.99% -2.03% 11/2007 44177.65768 43631.74618
2007-12-31 2008-01-31 -9.54% -12.04% 12/2007 43296.76564 42747.93808
2008-01-31 2008-02-29 4.27% 6.05% 01/2008 39166.54835 37600.02267
2008-02-29 2008-03-31 3.15% 2.03% 02/2008 40838.78266 39875.47704
2008-03-31 2008-04-30 1.15% 1.71% 03/2008 42125.19475 40686.35254
2008-04-30 2008-05-31 1.89% 1.55% 04/2008 42608.92904 41381.35231
2008-05-31 2008-06-30 -8.46% -9.24% 05/2008 43415.15286 42024.81106
2008-06-30 2008-07-31 -5.31% -5.68% 06/2008 39740.17505 38141.055
2008-07-31 2008-08-31 -2.78% -2.73% 07/2008 37630.25854 35975.57986
2008-08-31 2008-09-30 -17.43% -20.70% 08/2008 36585.5426 34993.1562
2008-09-30 2008-10-31 -26.71% -28.14% 09/2008 30207.63165 27748.03106
2008-10-31 2008-11-30 -7.83% -8.29% 10/2008 22139.88303 19940.70552
2008-11-30 2008-12-31 10.42% 9.24% 11/2008 20406.65827 18287.65983
2008-12-31 2009-01-31 -11.37% -8.98% 12/2008 22533.64314 19977.57567
2009-01-31 2009-02-28 -8.69% -8.80% 01/2009 19972.53247 18183.55312
2009-02-28 2009-03-31 7.18% 7.73% 02/2009 18237.58652 16582.57441
2009-03-31 2009-04-30 16.28% 20.82% 03/2009 19547.89437 17864.77253
2009-04-30 2009-05-31 14.55% 14.93% 04/2009 22730.10974 21583.40132
2009-05-31 2009-06-30 -1.29% -1.28% 05/2009 26036.30752 24805.40199
2009-06-30 2009-07-31 7.93% 8.98% 06/2009 25700.3939 24487.43905
2009-07-31 2009-08-31 8.33% 10.26% 07/2009 27738.77347 26685.87974
2009-08-31 2009-09-30 8.53% 9.58% 08/2009 30050.33792 29424.58439
2009-09-30 2009-10-31 -2.85% -2.73% 09/2009 32614.96231 32244.66525
2009-10-31 2009-11-30 3.00% 2.06% 10/2009 31686.72276 31364.64914
2009-11-30 2009-12-31 -0.35% 0.45% 11/2009 32636.05867 32009.47746
2009-12-31 2010-01-31 -1.69% -1.33% 12/2009 32522.67922 32153.78839
2010-01-31 2010-02-28 -2.12% -2.85% 01/2010 31972.16512 31725.0131
2010-02-28 2010-03-31 7.37% 8.11% 02/2010 31294.60931 30821.97022
2010-03-31 2010-04-30 -0.95% -0.63% 03/2010 33602.5338 33321.86211
2010-04-30 2010-05-31 -14.25% -15.47% 04/2010 33284.92951 33111.4966
2010-05-31 2010-06-30 -0.70% -1.49% 05/2010 28542.03878 27989.11207
2010-06-30 2010-07-31 11.98% 11.98% 06/2010 28341.0236 27570.69336
2010-07-31 2010-08-31 -4.60% -4.75% 07/2010 31735.93015 30874.03721
2010-08-31 2010-09-30 13.82% 15.43% 08/2010 30274.83113 29406.79431
2010-09-30 2010-10-31 5.61% 6.42% 09/2010 34457.43487 33944.46414
2010-10-31 2010-11-30 -7.80% -7.58% 10/2010 36392.03819 36122.0978
2010-11-30 2010-12-31 12.99% 14.00% 11/2010 33554.61997 33385.52507
2010-12-31 2011-01-31 2.79% 2.26% 12/2010 37912.48199 38059.63329
2011-01-31 2011-02-28 1.66% 1.70% 01/2011 38971.61062 38920.23437
2011-02-28 2011-03-31 3.38% 3.37% 02/2011 39620.05672 39580.17969
2011-03-31 2011-04-30 6.70% 6.99% 03/2011 40960.17866 40915.82839
2011-04-30 2011-05-31 -3.41% -3.81% 04/2011 43705.26715 43773.90829
2011-05-31 2011-06-30 -3.25% -3.23% 05/2011 42213.84111 42104.23024
2011-06-30 2011-07-31 -5.69% -6.07% 06/2011 40842.0281 40744.73056
2011-07-31 2011-08-31 -10.25% -10.45% 07/2011 38516.97171 38271.79312
2011-08-31 2011-09-30 -15.15% -15.02% 08/2011 34568.76276 34273.42512
2011-09-30 2011-10-31 10.31% 10.96% 09/2011 29331.23693 29124.54759
2011-10-31 2011-11-30 -6.68% -7.81% 10/2011 32354.84826 32316.29841
2011-11-30 2011-12-31 -3.91% -3.40% 11/2011 30191.973 29790.89992
2011-12-31 2012-01-31 9.47% 9.92% 12/2011 29011.83514 28778.2188
2012-01-31 2012-02-29 6.35% 7.67% 01/2012 31757.99358 31632.41729
2012-02-29 2012-03-31 0.20% -0.81% 02/2012 33773.31953 34060.10035
2012-03-31 2012-04-30 -2.36% -1.67% 03/2012 33839.91954 33784.16926
2012-04-30 2012-05-31 -13.68% -13.71% 04/2012 33042.12183 33220.96598
2012-05-31 2012-06-30 4.30% 4.93% 05/2012 28521.26813 28665.408
2012-06-30 2012-07-31 -0.99% -0.36% 06/2012 29746.85042 30077.80583
2012-07-31 2012-08-31 4.46% 4.36% 07/2012 29452.32715 29970.97203
2012-08-31 2012-09-30 5.26% 5.38% 08/2012 30766.35404 31277.87995
2012-09-30 2012-10-31 1.75% 1.72% 09/2012 32384.95122 32961.53496
10/31/2012 32952.70984 33529.17158
One Year Five Years Ten Years
-------- ---------- ---------
1.85% -7.14% 12.66%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
DFA International Real Estate Securities Portfolio vs. S&P Global ex US REIT
Index (net div.)
March 1, 2007 - October 31, 2012
DFA International Real Estate S&P Global ex US
BeginDate EndDate FundReturns Benchmark0Returns EndDate Securities Portfolio REIT Index (net div.)
--------- ---------- ----------- ----------------- ---------- ----------------------------- ---------------------
2007-03-01 2007-03-31 4.80% 3.43% 03/2007 10000 10000
2007-03-31 2007-04-30 0.86% 1.44% 03/2007 10480 10343.27182
2007-04-30 2007-05-31 1.99% 1.48% 04/2007 10570 10491.71529
2007-05-31 2007-06-30 -6.67% -6.12% 05/2007 10780 10646.63491
2007-06-30 2007-07-31 -5.99% -4.83% 06/2007 10061.01755 9995.032835
2007-07-31 2007-08-31 2.34% 1.57% 07/2007 9458.561405 9512.547111
2007-08-31 2007-09-30 4.66% 5.04% 08/2007 9679.461991 9662.108035
2007-09-30 2007-10-31 0.80% 0.98% 09/2007 10130.21217 10149.19055
2007-10-31 2007-11-30 -7.33% -7.96% 10/2007 10211.17291 10249.07561
2007-11-30 2007-12-31 -4.94% -3.95% 11/2007 9462.286097 9432.928586
2007-12-31 2008-01-31 -4.08% -5.87% 12/2007 8994.757351 9060.715155
2008-01-31 2008-02-29 -0.49% 1.24% 01/2008 8627.410202 8529.163087
2008-02-29 2008-03-31 0.24% -0.96% 02/2008 8585.42767 8635.041758
2008-03-31 2008-04-30 0.61% 1.77% 03/2008 8606.073165 8552.223253
2008-04-30 2008-05-31 -3.77% -4.09% 04/2008 8658.741912 8703.485753
2008-05-31 2008-06-30 -10.59% -10.10% 05/2008 8332.195683 8347.70396
2008-06-30 2008-07-31 -3.15% -2.71% 06/2008 7449.797292 7504.992029
2008-07-31 2008-08-31 -3.40% -2.92% 07/2008 7214.989929 7301.260032
2008-08-31 2008-09-30 -7.35% -10.16% 08/2008 6969.509501 7087.953495
2008-09-30 2008-10-31 -30.91% -28.75% 09/2008 6457.202524 6367.958219
2008-10-31 2008-11-30 -6.94% -6.69% 10/2008 4461.339926 4537.392452
2008-11-30 2008-12-31 4.16% 3.05% 11/2008 4151.821128 4233.75
2008-12-31 2009-01-31 -10.43% -9.53% 12/2008 4324.566724 4362.993596
2009-01-31 2009-02-28 -13.35% -13.02% 01/2009 3873.403275 3947.402672
2009-02-28 2009-03-31 6.89% 5.90% 02/2009 3356.215906 3433.414816
2009-03-31 2009-04-30 10.12% 11.45% 03/2009 3587.299624 3636.039527
2009-04-30 2009-05-31 13.37% 11.12% 04/2009 3950.431182 4052.542435
2009-05-31 2009-06-30 2.21% 2.37% 05/2009 4478.622538 4503.143502
2009-06-30 2009-07-31 8.89% 8.94% 06/2009 4577.658417 4609.943595
2009-07-31 2009-08-31 11.04% 12.18% 07/2009 4984.805921 5022.019097
2009-08-31 2009-09-30 6.36% 6.79% 08/2009 5535.00525 5633.816682
2009-09-30 2009-10-31 -2.06% -1.58% 09/2009 5887.132821 6016.632
2009-10-31 2009-11-30 1.15% 0.07% 10/2009 5766.088969 5921.551199
2009-11-30 2009-12-31 1.60% 1.72% 11/2009 5832.112889 5925.690117
2009-12-31 2010-01-31 -3.73% -3.25% 12/2009 5925.173157 6027.380187
2010-01-31 2010-02-28 0.43% -0.38% 01/2010 5703.901131 5831.46623
2010-02-28 2010-03-31 3.43% 3.48% 02/2010 5728.486912 5809.069866
2010-03-31 2010-04-30 0.83% 1.17% 03/2010 5925.173158 6011.152528
2010-04-30 2010-05-31 -10.49% -10.98% 04/2010 5974.344721 6081.700689
2010-05-31 2010-06-30 0.23% 0.39% 05/2010 5347.407312 5413.772495
2010-06-30 2010-07-31 11.70% 10.89% 06/2010 5359.700203 5434.678068
2010-07-31 2010-08-31 0.21% 0.29% 07/2010 5986.637612 6026.398411
2010-08-31 2010-09-30 9.63% 9.59% 08/2010 5998.930502 6043.942257
2010-09-30 2010-10-31 4.30% 4.09% 09/2010 6576.69635 6623.547569
2010-10-31 2010-11-30 -6.27% -6.14% 10/2010 6859.432829 6894.463204
2010-11-30 2010-12-31 8.84% 8.89% 11/2010 6429.181666 6471.120421
2010-12-31 2011-01-31 0.40% -0.02% 12/2010 6997.235115 7046.482953
2011-01-31 2011-02-28 4.17% 4.03% 01/2011 7025.112546 7045.186568
2011-02-28 2011-03-31 0.19% 0.25% 02/2011 7317.825569 7329.355956
2011-03-31 2011-04-30 6.27% 6.21% 03/2011 7331.764284 7347.92639
2011-04-30 2011-05-31 -0.54% -0.55% 04/2011 7791.741893 7804.14478
2011-05-31 2011-06-30 -0.72% -0.98% 05/2011 7749.925748 7760.854089
2011-06-30 2011-07-31 -1.63% -1.44% 06/2011 7694.170885 7685.015219
2011-07-31 2011-08-31 -4.05% -4.14% 07/2011 7568.722446 7574.711428
2011-08-31 2011-09-30 -12.86% -12.32% 08/2011 7262.070709 7261.428915
2011-09-30 2011-10-31 7.93% 8.20% 09/2011 6328.176779 6367.000016
2011-10-31 2011-11-30 -2.04% -4.12% 10/2011 6829.970531 6889.281131
2011-11-30 2011-12-31 -3.52% -2.51% 11/2011 6690.583378 6605.679049
2011-12-31 2012-01-31 6.85% 6.48% 12/2011 6454.829161 6439.872824
2012-01-31 2012-02-29 3.42% 4.02% 01/2012 6896.940748 6857.089596
2012-02-29 2012-03-31 1.24% 0.38% 02/2012 7132.733593 7132.597052
2012-03-31 2012-04-30 2.04% 2.40% 03/2012 7221.15591 7159.344852
2012-04-30 2012-05-31 -5.80% -6.52% 04/2012 7368.526439 7331.359588
2012-05-31 2012-06-30 6.58% 6.84% 05/2012 6941.151906 6853.460017
2012-06-30 2012-07-31 4.58% 5.43% 06/2012 7398.000546 7322.026425
2012-07-31 2012-08-31 1.52% 0.94% 07/2012 7736.952761 7719.405494
2012-08-31 2012-09-30 2.25% 2.67% 08/2012 7854.849184 7791.951809
2012-09-30 2012-10-31 4.04% 3.68% 09/2012 8031.69382 7999.77718
10/31/2012 8355.908984 8294.554257
One Year Five Years From 03/01/2007
-------- ---------- ---------------
22.34% -3.93% -3.12%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
The S&P data are provided by Standard & Poor's Index Services Group.
DFA Global Real Estate Securities Portfolio vs. S&P Global REIT Index (net div.)
June 4, 2008 - October 31, 2012
DFA Global S&P Global REIT
BeginDate EndDate FundReturns Benchmark0Returns EndDate Real Estate Securities Portfolio Index (net div.)
--------- ---------- ----------- ----------------- ---------- -------------------------------- ----------------
2008-06-04 2008-06-30 -10.00% -10.30% 06/2008 10000 10000
2008-06-30 2008-07-31 0.22% 0.27% 06/2008 9000 8970.16008
2008-07-31 2008-08-31 -0.22% -0.17% 07/2008 9020 8994.617996
2008-08-31 2008-09-30 -3.22% -4.76% 08/2008 9000.000001 8979.202338
2008-09-30 2008-10-31 -30.65% -30.56% 09/2008 8709.999998 8552.065137
2008-10-31 2008-11-30 -16.56% -16.57% 10/2008 6039.999999 5938.93191
2008-11-30 2008-12-31 11.74% 10.30% 11/2008 5039.999999 4954.839345
2008-12-31 2009-01-31 -14.47% -14.04% 12/2008 5631.592804 5465.268898
2009-01-31 2009-02-28 -17.34% -17.26% 01/2009 4816.895834 4697.672714
2009-02-28 2009-03-31 5.12% 4.72% 02/2009 3981.831441 3886.936588
2009-03-31 2009-04-30 20.68% 20.90% 03/2009 4185.505683 4070.43606
2009-04-30 2009-05-31 7.66% 6.37% 04/2009 5051.121214 4921.278726
2009-05-31 2009-06-30 -0.56% -0.51% 05/2009 5438.102273 5234.902563
2009-06-30 2009-07-31 9.79% 9.74% 06/2009 5407.551138 5208.161978
2009-07-31 2009-08-31 12.35% 13.03% 07/2009 5937.104168 5715.596453
2009-08-31 2009-09-30 6.56% 6.64% 08/2009 6670.33144 6460.227522
2009-09-30 2009-10-31 -3.30% -3.13% 09/2009 7108.231062 6888.887147
2009-10-31 2009-11-30 4.15% 3.35% 10/2009 6874.005684 6673.052512
2009-11-30 2009-12-31 4.36% 4.38% 11/2009 7159.149623 6896.880445
2009-12-31 2010-01-31 -4.53% -4.37% 12/2009 7471.244084 7198.878092
2010-01-31 2010-02-28 3.21% 2.63% 01/2010 7133.129388 6884.343501
2010-02-28 2010-03-31 6.96% 6.95% 02/2010 7362.174828 7065.680397
2010-03-31 2010-04-30 4.16% 4.36% 03/2010 7874.800332 7556.929558
2010-04-30 2010-05-31 -7.45% -7.82% 04/2010 8202.008102 7886.770518
2010-05-31 2010-06-30 -2.87% -2.96% 05/2010 7591.220265 7269.795161
2010-06-30 2010-07-31 10.65% 10.17% 06/2010 7373.081751 7054.408182
2010-07-31 2010-08-31 -0.53% -0.64% 07/2010 8158.380397 7771.860493
2010-08-31 2010-09-30 6.59% 6.58% 08/2010 8114.752693 7722.44567
2010-09-30 2010-10-31 4.41% 4.43% 09/2010 8649.19205 8230.819452
2010-10-31 2010-11-30 -3.86% -3.85% 10/2010 9030.934449 8595.326764
2010-11-30 2010-12-31 6.53% 6.35% 11/2010 8681.912829 8264.420094
2010-12-31 2011-01-31 2.15% 1.80% 12/2010 9248.981237 8788.835512
2011-01-31 2011-02-28 4.33% 4.32% 01/2011 9447.507351 8947.220621
2011-02-28 2011-03-31 -0.71% -0.82% 02/2011 9856.237583 9333.786833
2011-03-31 2011-04-30 5.97% 5.91% 03/2011 9786.169542 9257.528121
2011-04-30 2011-05-31 0.56% 0.49% 04/2011 10370.06987 9804.232076
2011-05-31 2011-06-30 -2.24% -2.39% 05/2011 10428.4599 9852.533063
2011-06-30 2011-07-31 0.23% 0.31% 06/2011 10194.89977 9617.216142
2011-07-31 2011-08-31 -4.80% -5.12% 07/2011 10218.25579 9646.76484
2011-08-31 2011-09-30 -11.76% -11.58% 08/2011 9727.77951 9152.79548
2011-09-30 2011-10-31 11.70% 11.84% 09/2011 8583.334861 8093.322045
2011-10-31 2011-11-30 -3.05% -3.97% 10/2011 9587.643429 9051.923334
2011-11-30 2011-12-31 1.30% 1.72% 11/2011 9295.693265 8692.952504
2011-12-31 2012-01-31 6.40% 6.44% 12/2011 9416.755791 8842.563223
2012-01-31 2012-02-29 0.72% 0.81% 01/2012 10019.62108 9412.152305
2012-02-29 2012-03-31 3.58% 3.19% 02/2012 10091.96491 9488.739703
2012-03-31 2012-04-30 2.54% 2.69% 03/2012 10453.68409 9791.430141
2012-04-30 2012-05-31 -5.06% -5.34% 04/2012 10718.94481 10054.95509
2012-05-31 2012-06-30 6.04% 6.00% 05/2012 10176.36606 9518.194729
2012-06-30 2012-07-31 2.91% 3.21% 06/2012 10791.28865 10089.60469
2012-07-31 2012-08-31 0.43% 0.33% 07/2012 11104.7786 10413.17889
2012-08-31 2012-09-30 -0.32% -0.23% 08/2012 11153.00782 10447.58394
2012-09-30 2012-10-31 1.19% 0.92% 09/2012 11116.8359 10423.83382
10/31/2012 11249.46627 10519.92204
One Year From 06/04/2008
-------- ---------------
17.33% 2.71%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
The S&P data are provided by Standard & Poor's Index Services Group.
9
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
DFA International Small Cap Value Portfolio vs. MSCI World ex USA Small Cap
Index (net div.)
October 31, 2002 - October 31, 2012
DFA International MSCI World ex USA
BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Cap Value Portfolio Small Cap Index (net div.)
--------- ---------- ----------- ----------------- ---------- ------------------------- --------------------------
2002-10-31 2002-11-30 2.20% 2.80% 10/2002 10000 10000
2002-11-30 2002-12-31 1.23% -1.63% 11/2002 10220.38567 10280.36127
2002-12-31 2003-01-31 0.27% -1.08% 12/2002 10345.87623 10112.68225
2003-01-31 2003-02-28 0.54% -0.73% 01/2003 10373.99002 10003.91088
2003-02-28 2003-03-31 -0.94% -0.97% 02/2003 10430.21761 9930.581866
2003-03-31 2003-04-30 9.52% 9.17% 03/2003 10331.81933 9834.520856
2003-04-30 2003-05-31 10.06% 8.84% 04/2003 11315.80213 10735.97888
2003-05-31 2003-06-30 5.64% 5.21% 05/2003 12454.41079 11685.10077
2003-06-30 2003-07-31 4.06% 3.02% 06/2003 13157.25564 12294.46488
2003-07-31 2003-08-31 5.54% 6.58% 07/2003 13691.41773 12665.5097
2003-08-31 2003-09-30 5.64% 5.72% 08/2003 14450.49017 13499.13838
2003-09-30 2003-10-31 5.71% 7.97% 09/2003 15265.7902 14270.80405
2003-10-31 2003-11-30 0.44% 0.09% 10/2003 16137.31782 15408.62594
2003-11-30 2003-12-31 6.27% 6.10% 11/2003 16207.60231 15422.1918
2003-12-31 2004-01-31 6.10% 4.30% 12/2003 17223.89293 16363.49193
2004-01-31 2004-02-29 3.07% 3.03% 01/2004 18274.30578 17067.32826
2004-02-29 2004-03-31 4.20% 3.85% 02/2004 18835.48525 17584.05338
2004-03-31 2004-04-30 -3.52% -3.57% 03/2004 19626.8922 18261.7357
2004-04-30 2004-05-31 -0.99% -1.08% 04/2004 18936.20977 17609.59632
2004-05-31 2004-06-30 4.55% 5.05% 05/2004 18749.14995 17419.67417
2004-06-30 2004-07-31 -3.48% -4.41% 06/2004 19602.0768 18299.37792
2004-07-31 2004-08-31 1.23% 0.52% 07/2004 18920.13926 17492.39211
2004-08-31 2004-09-30 2.66% 2.74% 08/2004 19152.28821 17583.07566
2004-09-30 2004-10-31 3.26% 3.70% 09/2004 19661.20496 18064.114
2004-10-31 2004-11-30 8.75% 8.00% 10/2004 20302.0146 18732.50797
2004-11-30 2004-12-31 5.16% 4.66% 11/2004 22078.80498 20230.49754
2004-12-31 2005-01-31 2.79% 1.54% 12/2004 23218.50509 21173.63089
2005-01-31 2005-02-28 4.74% 4.25% 01/2005 23866.814 21499.82279
2005-02-28 2005-03-31 -0.94% -1.63% 02/2005 24997.58535 22413.3801
2005-03-31 2005-04-30 -1.95% -2.82% 03/2005 24762.08069 22048.44603
2005-04-30 2005-05-31 -1.49% 0.24% 04/2005 24279.50664 21427.47149
2005-05-31 2005-06-30 2.35% 2.65% 05/2005 23917.57611 21477.9463
2005-06-30 2005-07-31 3.80% 4.34% 06/2005 24479.11656 22047.59053
2005-07-31 2005-08-31 3.90% 3.07% 07/2005 25409.4755 23005.5119
2005-08-31 2005-09-30 2.34% 4.05% 08/2005 26400.84159 23711.5481
2005-09-30 2005-10-31 -2.32% -3.64% 09/2005 27017.81428 24672.76927
2005-10-31 2005-11-30 1.86% 3.33% 10/2005 26390.56038 23773.87776
2005-11-30 2005-12-31 6.44% 7.77% 11/2005 26880.1244 24566.4422
2005-12-31 2006-01-31 7.33% 7.13% 12/2005 28611.84883 26476.05196
2006-01-31 2006-02-28 0.21% -1.26% 01/2006 30708.54575 28363.54081
2006-02-28 2006-03-31 4.77% 4.70% 02/2006 30773.0595 28007.52844
2006-03-31 2006-04-30 4.15% 4.65% 03/2006 32240.74735 29324.27312
2006-04-30 2006-05-31 -4.80% -5.53% 04/2006 33579.4077 30689.17052
2006-05-31 2006-06-30 -1.86% -2.44% 05/2006 31966.56392 28993.19262
2006-06-30 2006-07-31 -0.36% -2.44% 06/2006 31371.49468 28287.15642
2006-07-31 2006-08-31 2.55% 2.92% 07/2006 31257.71206 27596.27488
2006-08-31 2006-09-30 0.95% -0.27% 08/2006 32054.19042 28403.13848
2006-09-30 2006-10-31 4.39% 3.97% 09/2006 32358.39765 28326.75409
2006-10-31 2006-11-30 4.83% 4.30% 10/2006 33777.33948 29451.37675
2006-11-30 2006-12-31 3.75% 2.96% 11/2006 35408.3071 30718.13549
2006-12-31 2007-01-31 2.67% 2.04% 12/2006 36736.01328 31627.53749
2007-01-31 2007-02-28 1.81% 1.75% 01/2007 37715.17404 32272.7106
2007-02-28 2007-03-31 4.35% 3.31% 02/2007 38397.08958 32838.96678
2007-03-31 2007-04-30 2.97% 3.86% 03/2007 40065.44585 33927.45354
2007-04-30 2007-05-31 1.91% 1.48% 04/2007 41254.64284 35235.68238
2007-05-31 2007-06-30 -0.42% -0.22% 05/2007 42041.61144 35756.40447
2007-06-30 2007-07-31 -0.25% -0.62% 06/2007 41864.28685 35678.49384
2007-07-31 2007-08-31 -4.10% -5.27% 07/2007 41758.34601 35458.88265
2007-08-31 2007-09-30 2.08% 2.26% 08/2007 40045.63584 33588.85261
2007-09-30 2007-10-31 3.94% 6.75% 09/2007 40878.91553 34347.37477
2007-10-31 2007-11-30 -8.12% -8.22% 10/2007 42489.99449 36666.45619
2007-11-30 2007-12-31 -3.12% -2.93% 11/2007 39037.68244 33651.89447
2007-12-31 2008-01-31 -6.60% -9.69% 12/2007 37818.16915 32665.84943
2008-01-31 2008-02-29 2.19% 4.75% 01/2008 35324.0261 29499.34371
2008-02-29 2008-03-31 0.93% -1.10% 02/2008 36097.40379 30900.25113
2008-03-31 2008-04-30 1.70% 2.43% 03/2008 36432.92044 30559.07123
2008-04-30 2008-05-31 2.20% 2.02% 04/2008 37052.72557 31302.66056
2008-05-31 2008-06-30 -8.74% -7.72% 05/2008 37866.21982 31934.98609
2008-06-30 2008-07-31 -4.44% -5.04% 06/2008 34558.3639 29469.08612
2008-07-31 2008-08-31 -3.22% -3.70% 07/2008 33022.43662 27983.11507
2008-08-31 2008-09-30 -14.39% -17.59% 08/2008 31959.10235 26948.38903
2008-09-30 2008-10-31 -21.76% -24.69% 09/2008 27359.58617 22208.12594
2008-10-31 2008-11-30 -5.55% -4.85% 10/2008 21404.96908 16725.9932
2008-11-30 2008-12-31 9.09% 6.67% 11/2008 20218.00222 15915.4982
2008-12-31 2009-01-31 -8.43% -5.81% 12/2008 22056.30379 16976.82197
2009-01-31 2009-02-28 -10.99% -9.13% 01/2009 20196.61544 15990.85442
2009-02-28 2009-03-31 6.52% 6.42% 02/2009 17976.98741 14530.25847
2009-03-31 2009-04-30 16.21% 15.42% 03/2009 19149.83234 15463.34586
2009-04-30 2009-05-31 13.77% 14.80% 04/2009 22254.66917 17847.05291
2009-05-31 2009-06-30 -0.33% 1.20% 05/2009 25319.4436 20488.08275
2009-06-30 2009-07-31 9.31% 8.04% 06/2009 25235.54408 20734.19195
2009-07-31 2009-08-31 8.66% 7.71% 07/2009 27584.92058 22400.38324
2009-08-31 2009-09-30 4.71% 5.62% 08/2009 29974.80356 24126.94183
2009-09-30 2009-10-31 -3.56% -1.54% 09/2009 31387.09855 25482.95277
2009-10-31 2009-11-30 0.47% 0.78% 10/2009 30271.203 25089.83656
2009-11-30 2009-12-31 1.17% 1.26% 11/2009 30413.22607 25285.39782
2009-12-31 2010-01-31 -1.92% -1.32% 12/2009 30770.32764 25605.13818
2010-01-31 2010-02-28 -0.95% -0.57% 01/2010 30178.98271 25267.75281
2010-02-28 2010-03-31 8.12% 7.43% 02/2010 29893.50584 25123.10577
2010-03-31 2010-04-30 1.26% 1.98% 03/2010 32320.05917 26990.81055
2010-04-30 2010-05-31 -13.46% -12.02% 04/2010 32727.88326 27524.18506
2010-05-31 2010-06-30 -2.01% -0.94% 05/2010 28323.38308 24217.06723
2010-06-30 2010-07-31 9.73% 8.58% 06/2010 27754.01313 23989.84633
2010-07-31 2010-08-31 -4.67% -2.60% 07/2010 30453.17847 26047.28284
2010-08-31 2010-09-30 11.23% 11.35% 08/2010 29031.4807 25370.52793
2010-09-30 2010-10-31 3.13% 4.12% 09/2010 32291.35236 28249.16302
2010-10-31 2010-11-30 -2.85% -2.62% 10/2010 33301.10109 29413.47921
2010-11-30 2010-12-31 12.32% 11.31% 11/2010 32353.1737 28642.44678
2010-12-31 2011-01-31 2.09% 0.52% 12/2010 36340.06099 31880.68407
2011-01-31 2011-02-28 2.90% 2.84% 01/2011 37100.66693 32047.93572
2011-02-28 2011-03-31 0.50% -0.09% 02/2011 38178.19199 32959.15007
2011-03-31 2011-04-30 4.30% 4.96% 03/2011 38368.34347 32928.70757
2011-04-30 2011-05-31 -3.43% -2.77% 04/2011 40016.32298 34561.32949
2011-05-31 2011-06-30 -2.18% -2.16% 05/2011 38643.00672 33604.25511
2011-06-30 2011-07-31 -1.92% -0.55% 06/2011 37800.09835 32877.18471
2011-07-31 2011-08-31 -9.51% -7.90% 07/2011 37073.58431 32697.80079
2011-08-31 2011-09-30 -11.80% -11.48% 08/2011 33547.8544 30114.81104
2011-09-30 2011-10-31 7.61% 8.12% 09/2011 29589.60546 26657.38383
2011-10-31 2011-11-30 -3.23% -5.02% 10/2011 31840.98849 28821.61096
2011-11-30 2011-12-31 -2.66% -1.95% 11/2011 30811.78482 27373.73844
2011-12-31 2012-01-31 10.01% 8.26% 12/2011 29993.36925 26841.00507
2012-01-31 2012-02-29 5.96% 5.66% 01/2012 32997.12346 29057.81172
2012-02-29 2012-03-31 0.13% -0.66% 02/2012 34962.81555 30703.77339
2012-03-31 2012-04-30 -2.78% -0.52% 03/2012 35006.98841 30500.40725
2012-04-30 2012-05-31 -12.72% -11.75% 04/2012 34035.18558 30341.79301
2012-05-31 2012-06-30 4.93% 3.45% 05/2012 29706.2457 26776.21775
2012-06-30 2012-07-31 -0.29% 0.77% 06/2012 31171.05716 27700.1125
2012-07-31 2012-08-31 3.67% 2.87% 07/2012 31081.48516 27914.05878
2012-08-31 2012-09-30 4.67% 4.74% 08/2012 32223.52821 28715.67731
2012-09-30 2012-10-31 0.93% 0.49% 09/2012 33729.92979 30076.12527
10/31/2012 34044.32328 30222.67959
One Year Five Years Ten Years
-------- ---------- ---------
6.92% -4.33% 13.03%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
International Vector Equity Portfolio vs. MSCI World ex USA Index (net div.)
August 14, 2008 - October 31, 2012
International Vector MSCI World ex
BeginDate EndDate FundReturns Benchmark0Returns EndDate Equity Portfolio USA Index (net div.)
--------- ---------- ----------- ----------------- ---------- -------------------- --------------------
2008-08-14 2008-08-31 0.50% 0.52% 08/2008 10000 10000
2008-08-31 2008-09-30 -12.94% -14.44% 08/2008 10050 10052.06939
2008-09-30 2008-10-31 -22.97% -20.80% 09/2008 8750.000002 8600.768752
2008-10-31 2008-11-30 -5.93% -5.42% 10/2008 6740.000001 6811.639984
2008-11-30 2008-12-31 7.22% 5.27% 11/2008 6340.000002 6442.245585
2008-12-31 2009-01-31 -10.78% -9.33% 12/2008 6797.589343 6781.851034
2009-01-31 2009-02-28 -11.09% -10.12% 01/2009 6064.61442 6149.056066
2009-02-28 2009-03-31 9.48% 6.59% 02/2009 5391.884013 5526.576248
2009-03-31 2009-04-30 17.21% 12.90% 03/2009 5902.989202 5890.752975
2009-04-30 2009-05-31 15.41% 12.65% 04/2009 6918.665368 6650.415967
2009-05-31 2009-06-30 -0.66% -1.04% 05/2009 7984.622531 7491.468867
2009-06-30 2009-07-31 9.87% 9.39% 06/2009 7931.868696 7413.892361
2009-07-31 2009-08-31 6.42% 4.79% 07/2009 8714.886503 8110.039659
2009-08-31 2009-09-30 5.03% 4.13% 08/2009 9274.184936 8498.716158
2009-09-30 2009-10-31 -3.46% -1.61% 09/2009 9740.444039 8849.359501
2009-10-31 2009-11-30 2.17% 2.47% 10/2009 9403.863248 8707.299651
2009-11-30 2009-12-31 1.12% 1.59% 11/2009 9607.851608 8922.740415
2009-12-31 2010-01-31 -3.48% -4.69% 12/2009 9715.325668 9064.978379
2010-01-31 2010-02-28 -0.22% -0.10% 01/2010 9377.490319 8640.06291
2010-02-28 2010-03-31 7.93% 6.44% 02/2010 9357.015448 8631.404207
2010-03-31 2010-04-30 0.20% -1.49% 03/2010 10099.39563 9187.037066
2010-04-30 2010-05-31 -12.35% -11.03% 04/2010 10119.88122 9050.055812
2010-05-31 2010-06-30 -1.51% -1.45% 05/2010 8870.260261 8051.384335
2010-06-30 2010-07-31 10.56% 9.24% 06/2010 8736.260406 7934.911348
2010-07-31 2010-08-31 -4.18% -2.99% 07/2010 9658.593948 8668.297762
2010-08-31 2010-09-30 11.18% 9.59% 08/2010 9254.425317 8409.204567
2010-09-30 2010-10-31 3.84% 3.56% 09/2010 10289.41938 9215.873596
2010-10-31 2010-11-30 -3.60% -4.23% 10/2010 10684.36679 9544.181032
2010-11-30 2010-12-31 10.65% 8.05% 11/2010 10299.81273 9139.990028
2010-12-31 2011-01-31 2.31% 2.15% 12/2010 11396.5556 9875.956309
2011-01-31 2011-02-28 3.34% 3.71% 01/2011 11659.87712 10088.70327
2011-02-28 2011-03-31 -1.40% -2.00% 02/2011 12049.59298 10462.78756
2011-03-31 2011-04-30 5.06% 5.45% 03/2011 11880.95555 10253.19172
2011-04-30 2011-05-31 -3.30% -2.96% 04/2011 12482.38935 10811.59736
2011-05-31 2011-06-30 -2.06% -1.42% 05/2011 12070.88201 10491.09449
2011-06-30 2011-07-31 -2.35% -1.65% 06/2011 11822.7466 10341.67887
2011-07-31 2011-08-31 -8.89% -8.45% 07/2011 11544.81585 10171.08399
2011-08-31 2011-09-30 -11.97% -10.04% 08/2011 10518.61 9311.188853
2011-09-30 2011-10-31 8.48% 9.73% 09/2011 9259.564258 8376.132319
2011-10-31 2011-11-30 -3.10% -4.62% 10/2011 10044.63765 9190.739787
2011-11-30 2011-12-31 -2.76% -1.09% 11/2011 9732.759178 8766.010708
2011-12-31 2012-01-31 8.18% 5.40% 12/2011 9464.12349 8670.35826
2012-01-31 2012-02-29 5.29% 5.50% 01/2012 10238.05882 9138.473251
2012-02-29 2012-03-31 0.00% -0.74% 02/2012 10779.81355 9640.89324
2012-03-31 2012-04-30 -2.46% -1.70% 03/2012 10779.8706 9569.537587
2012-04-30 2012-05-31 -12.32% -11.40% 04/2012 10514.24751 9407.114841
2012-05-31 2012-06-30 5.70% 6.55% 05/2012 9219.334921 8334.662277
2012-06-30 2012-07-31 -0.46% 1.25% 06/2012 9745.079301 8880.777458
2012-07-31 2012-08-31 3.48% 2.85% 07/2012 9700.067389 8991.355876
2012-08-31 2012-09-30 3.96% 3.04% 08/2012 10037.65674 9247.890447
2012-09-30 2012-10-31 0.97% 0.70% 09/2012 10435.29317 9528.671005
10/31/2012 10536.93564 9595.444724
One Year From 08/14/2008
-------- ---------------
4.90% 1.25%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
World Ex U.S. Value Portfolio vs. MSCI All Country World ex USA Index (net div.)
August 23, 2010 - October 31, 2012
World Ex U.S. MSCI All Country
BeginDate EndDate FundReturns Benchmark0Returns EndDate Value Portfolio World ex USA Index (net div.)
--------- ---------- ----------- ----------------- ---------- --------------- -----------------------------
2010-08-23 2010-08-31 -1.10% -0.80% 08/2010 10000 10000
2010-08-31 2010-09-30 11.02% 9.95% 08/2010 9890 9919.63902
2010-09-30 2010-10-31 3.37% 3.41% 09/2010 10980 10906.45191
2010-10-31 2010-11-30 -4.41% -3.86% 10/2010 11350 11277.9668
2010-11-30 2010-12-31 9.30% 7.83% 11/2010 10850 10842.76388
2010-12-31 2011-01-31 2.22% 0.98% 12/2010 11859.03339 11691.82335
2011-01-31 2011-02-28 2.17% 2.63% 01/2011 12122.11775 11806.89963
2011-02-28 2011-03-31 -0.60% -0.23% 02/2011 12385.2021 12117.90216
2011-03-31 2011-04-30 4.77% 4.89% 03/2011 12311.32196 12090.03991
2011-04-30 2011-05-31 -3.61% -2.88% 04/2011 12899.02293 12680.68759
2011-05-31 2011-06-30 -1.57% -1.45% 05/2011 12432.91527 12315.00308
2011-06-30 2011-07-31 -2.60% -1.36% 06/2011 12237.65652 12136.31095
2011-07-31 2011-08-31 -10.49% -8.57% 07/2011 11919.92842 11970.71607
2011-08-31 2011-09-30 -12.71% -11.13% 08/2011 10669.5146 10944.85409
2011-09-30 2011-10-31 10.18% 10.53% 09/2011 9313.529931 9727.230334
2011-10-31 2011-11-30 -3.71% -5.10% 10/2011 10261.36705 10751.94292
2011-11-30 2011-12-31 -2.94% -1.12% 11/2011 9880.171687 10203.25329
2011-12-31 2012-01-31 8.68% 6.78% 12/2011 9589.990747 10089.17208
2012-01-31 2012-02-29 5.39% 5.62% 01/2012 10422.09407 10773.674
2012-02-29 2012-03-31 -1.57% -1.38% 02/2012 10983.76381 11378.90666
2012-03-31 2012-04-30 -3.46% -1.58% 03/2012 10811.07453 11222.40248
2012-04-30 2012-05-31 -12.06% -11.36% 04/2012 10436.48484 11045.46269
2012-05-31 2012-06-30 6.30% 5.90% 05/2012 9177.447286 9791.158967
2012-06-30 2012-07-31 -0.54% 1.41% 06/2012 9755.419868 10368.62815
2012-07-31 2012-08-31 3.49% 2.09% 07/2012 9702.573605 10515.15608
2012-08-31 2012-09-30 4.32% 3.74% 08/2012 10040.78968 10735.02446
2012-09-30 2012-10-31 0.61% 0.39% 09/2012 10474.51887 11136.0532
10/31/2012 10538.12931 11179.33451
One Year From 08/23/2010
-------- ---------------
2.70% 2.42%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
10
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
Selectively Hedged Global Equity Portfolio vs. MSCI All Country World Index
(Net Div)
November 14, 2011 - October 31, 2012
Selectively Hedged MSCI All Country
BeginDate EndDate FundReturns Benchmark0Returns EndDate Global Equity Portfolio World Index (Net Div)
--------- ---------- ----------- ----------------- ---------- ----------------------- ---------------------
2011-11-14 2011-11-30 -0.80% -1.27% 11/2011 10000 10000
2011-11-30 2011-12-31 -0.92% -0.20% 11/2011 9920 9873.3175
2011-12-31 2012-01-31 7.17% 5.81% 12/2011 9828.401674 9853.398339
2012-01-31 2012-02-29 5.16% 5.03% 01/2012 10533.30753 10426.3073
2012-02-29 2012-03-31 0.57% 0.66% 02/2012 11077.09205 10950.89422
2012-03-31 2012-04-30 -1.81% -1.14% 03/2012 11140.56114 11023.62419
2012-04-30 2012-05-31 -8.93% -8.97% 04/2012 10939.10434 10897.59352
2012-05-31 2012-06-30 4.82% 4.94% 05/2012 9962.038852 9920.511187
2012-06-30 2012-07-31 0.19% 1.37% 06/2012 10442.36564 10410.49989
2012-07-31 2012-08-31 2.72% 2.17% 07/2012 10462.72113 10552.99319
2012-08-31 2012-09-30 3.48% 3.15% 08/2012 10747.69797 10782.4894
2012-09-30 2012-10-31 -0.09% -0.67% 09/2012 11121.75467 11122.1116
10/31/2012 11111.53246 11047.92843
From 11/14/2011
---------------
11.11%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
Emerging Markets Portfolio vs. MSCI Emerging Markets Index (net div.)
October 31, 2002 - October 31, 2012
MSCI
Emerging Emerging
Markets Markets Index
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio (net div.)
--------- ---------- ----------- ----------------- ---------- ----------- -------------
2002-10-31 2002-11-30 7.45% 6.88% 10/2002 10000 10000
2002-11-30 2002-12-31 -4.00% -3.33% 11/2002 10745.34162 10688.20463
2002-12-31 2003-01-31 -0.12% -0.44% 12/2002 10315.11682 10332.68124
2003-01-31 2003-02-28 -1.59% -2.81% 01/2003 10302.52205 10287.11002
2003-02-28 2003-03-31 -1.61% -2.86% 02/2003 10138.79004 9998.077641
2003-03-31 2003-04-30 13.38% 8.89% 03/2003 9975.058025 9712.550745
2003-04-30 2003-05-31 7.35% 7.15% 04/2003 11310.10367 10576.25547
2003-05-31 2003-06-30 3.84% 5.67% 05/2003 12141.35851 11332.42116
2003-06-30 2003-07-31 2.00% 6.22% 06/2003 12607.36501 11974.8284
2003-07-31 2003-08-31 4.51% 6.69% 07/2003 12859.26042 12719.45993
2003-08-31 2003-09-30 4.40% 0.73% 08/2003 13438.61985 13570.61278
2003-09-30 2003-10-31 7.63% 8.51% 09/2003 14030.57405 13669.44466
2003-10-31 2003-11-30 -1.00% 1.22% 10/2003 15101.12952 14832.47204
2003-11-30 2003-12-31 10.51% 7.24% 11/2003 14949.99228 15012.94766
2003-12-31 2004-01-31 1.85% 3.49% 12/2003 16521.50097 16099.9853
2004-01-31 2004-02-29 4.39% 4.59% 01/2004 16827.4547 16662.21886
2004-02-29 2004-03-31 0.65% 1.25% 02/2004 17566.84286 17426.29823
2004-03-31 2004-04-30 -6.34% -8.19% 03/2004 17681.5755 17644.0921
2004-04-30 2004-05-31 -1.23% -2.00% 04/2004 16559.74519 16199.38255
2004-05-31 2004-06-30 1.80% 0.43% 05/2004 16355.77604 15876.20003
2004-06-30 2004-07-31 -0.08% -1.83% 06/2004 16650.95828 15943.82184
2004-07-31 2004-08-31 2.78% 4.15% 07/2004 16638.10041 15651.96247
2004-08-31 2004-09-30 5.58% 5.77% 08/2004 17100.98419 16301.04143
2004-09-30 2004-10-31 2.79% 2.39% 09/2004 18055.80847 17241.52745
2004-10-31 2004-11-30 8.70% 9.26% 10/2004 18559.87184 17653.47774
2004-11-30 2004-12-31 6.40% 4.80% 11/2004 20175.45957 19287.7093
2004-12-31 2005-01-31 0.79% 0.25% 12/2004 21467.04118 20214.06032
2005-01-31 2005-02-28 7.46% 8.72% 01/2005 21636.17545 20265.39862
2005-02-28 2005-03-31 -6.88% -6.61% 02/2005 23249.45612 22033.51685
2005-03-31 2005-04-30 -2.41% -2.68% 03/2005 21650.40595 20577.38623
2005-04-30 2005-05-31 2.96% 3.48% 04/2005 21129.33722 20024.99063
2005-05-31 2005-06-30 2.97% 3.40% 05/2005 21754.6197 20722.01549
2005-06-30 2005-07-31 6.41% 6.99% 06/2005 22400.82669 21426.05132
2005-07-31 2005-08-31 0.61% 0.86% 07/2005 23836.27061 22923.68229
2005-08-31 2005-09-30 7.92% 9.31% 08/2005 23981.13192 23119.9891
2005-09-30 2005-10-31 -5.02% -6.54% 09/2005 25881.50169 25272.80535
2005-10-31 2005-11-30 7.22% 8.27% 10/2005 24582.78834 23620.93331
2005-11-30 2005-12-31 5.76% 5.91% 11/2005 26358.58006 25574.955
2005-12-31 2006-01-31 9.52% 11.17% 12/2005 27876.37477 27086.60788
2006-01-31 2006-02-28 -0.31% -0.12% 01/2006 30529.99122 30111.9491
2006-02-28 2006-03-31 1.36% 0.88% 02/2006 30436.17649 30076.21583
2006-03-31 2006-04-30 5.96% 7.12% 03/2006 30850.06928 30341.27525
2006-04-30 2006-05-31 -11.57% -10.48% 04/2006 32687.66036 32501.78094
2006-05-31 2006-06-30 -0.15% -0.24% 05/2006 28905.17361 29096.49107
2006-06-30 2006-07-31 1.83% 1.43% 06/2006 28860.37114 29025.36378
2006-07-31 2006-08-31 3.13% 2.55% 07/2006 29387.56293 29440.93262
2006-08-31 2006-09-30 1.35% 0.83% 08/2006 30306.76913 30191.10507
2006-09-30 2006-10-31 5.94% 4.75% 09/2006 30714.43419 30442.48182
2006-10-31 2006-11-30 6.37% 7.43% 10/2006 32540.40321 31887.98293
2006-11-30 2006-12-31 4.03% 4.50% 11/2006 34611.65166 34258.36502
2006-12-31 2007-01-31 1.45% -1.08% 12/2006 36006.71469 35800.88873
2007-01-31 2007-02-28 -1.58% -0.59% 01/2007 36530.1482 35415.39915
2007-02-28 2007-03-31 4.56% 3.98% 02/2007 35951.61644 35205.20002
2007-03-31 2007-04-30 6.34% 4.63% 03/2007 37590.03764 36607.13479
2007-04-30 2007-05-31 6.69% 4.95% 04/2007 39973.86335 38301.93602
2007-05-31 2007-06-30 1.63% 4.69% 05/2007 42647.05519 40199.01976
2007-06-30 2007-07-31 2.37% 5.28% 06/2007 43340.76112 42083.39264
2007-07-31 2007-08-31 -1.75% -2.13% 07/2007 44367.7276 44303.84785
2007-08-31 2007-09-30 8.81% 11.04% 08/2007 43590.56378 43362.3024
2007-09-30 2007-10-31 10.92% 11.15% 09/2007 47431.78844 48150.94986
2007-10-31 2007-11-30 -6.53% -7.09% 10/2007 52610.47988 53520.78318
2007-11-30 2007-12-31 -0.41% 0.35% 11/2007 49176.63056 49726.86787
2007-12-31 2008-01-31 -8.74% -12.48% 12/2007 48975.27654 49901.25085
2008-01-31 2008-02-29 3.17% 7.38% 01/2008 44695.59983 43673.8733
2008-02-29 2008-03-31 -3.12% -5.29% 02/2008 46112.42113 46897.54641
2008-03-31 2008-04-30 7.11% 8.12% 03/2008 44673.03969 44415.76252
2008-04-30 2008-05-31 0.58% 1.86% 04/2008 47848.2934 48020.26653
2008-05-31 2008-06-30 -10.29% -9.97% 05/2008 48126.31101 48911.10737
2008-06-30 2008-07-31 -1.33% -3.77% 06/2008 43173.37154 44032.83828
2008-07-31 2008-08-31 -5.96% -7.99% 07/2008 42598.11992 42371.91524
2008-08-31 2008-09-30 -13.95% -17.50% 08/2008 40061.11278 38987.53211
2008-09-30 2008-10-31 -26.35% -27.37% 09/2008 34471.94699 32164.58346
2008-10-31 2008-11-30 -9.09% -7.53% 10/2008 25388.62618 23361.83389
2008-11-30 2008-12-31 7.79% 7.80% 11/2008 23080.56925 21603.22571
2008-12-31 2009-01-31 -7.65% -6.46% 12/2008 24879.66464 23288.18785
2009-01-31 2009-02-28 -6.56% -5.64% 01/2009 22977.54961 21784.22273
2009-02-28 2009-03-31 14.45% 14.37% 02/2009 21471.0745 20555.33038
2009-03-31 2009-04-30 14.77% 16.64% 03/2009 24574.41705 23509.27602
2009-04-30 2009-05-31 17.04% 17.09% 04/2009 28204.902 27421.45939
2009-05-31 2009-06-30 -0.88% -1.35% 05/2009 33009.95561 32106.85072
2009-06-30 2009-07-31 11.40% 11.24% 06/2009 32719.45461 31674.35664
2009-07-31 2009-08-31 0.34% -0.36% 07/2009 36450.48581 35236.07119
2009-08-31 2009-09-30 8.76% 9.08% 08/2009 36573.3181 35109.92688
2009-09-30 2009-10-31 -2.10% 0.12% 09/2009 39777.95592 38296.8602
2009-10-31 2009-11-30 5.95% 4.30% 10/2009 38944.42484 38344.23233
2009-11-30 2009-12-31 3.58% 3.95% 11/2009 41259.78898 39991.33055
2009-12-31 2010-01-31 -5.48% -5.58% 12/2009 42735.73871 41570.63621
2010-01-31 2010-02-28 1.21% 0.35% 01/2010 40394.70009 39252.15628
2010-02-28 2010-03-31 8.34% 8.07% 02/2010 40881.76181 39390.3133
2010-03-31 2010-04-30 0.57% 1.21% 03/2010 44291.67311 42570.3986
2010-04-30 2010-05-31 -9.33% -8.80% 04/2010 44543.50921 43086.13887
2010-05-31 2010-06-30 0.15% -0.74% 05/2010 40388.21366 39296.4307
2010-06-30 2010-07-31 8.78% 8.33% 06/2010 40449.89618 39007.56331
2010-07-31 2010-08-31 -2.34% -1.94% 07/2010 44001.74908 42255.92483
2010-08-31 2010-09-30 11.34% 11.11% 08/2010 42971.07748 41435.27509
2010-09-30 2010-10-31 3.00% 2.90% 09/2010 47842.98284 46039.95583
2010-10-31 2010-11-30 -2.27% -2.64% 10/2010 49278.27233 47376.79589
2010-11-30 2010-12-31 8.09% 7.14% 11/2010 48161.93606 46126.15023
2010-12-31 2011-01-31 -2.61% -2.71% 12/2010 52059.25944 49417.68963
2011-01-31 2011-02-28 -0.74% -0.93% 01/2011 50700.89651 48076.93112
2011-02-28 2011-03-31 5.53% 5.88% 02/2011 50327.34671 47628.60177
2011-03-31 2011-04-30 3.48% 3.10% 03/2011 53111.99073 50428.86654
2011-04-30 2011-05-31 -2.78% -2.62% 04/2011 54962.76022 51993.18073
2011-05-31 2011-06-30 -1.22% -1.54% 05/2011 53434.60192 50629.43612
2011-06-30 2011-07-31 -0.81% -0.44% 06/2011 52783.60604 49850.56795
2011-07-31 2011-08-31 -8.12% -8.94% 07/2011 52356.69237 49629.16113
2011-08-31 2011-09-30 -15.14% -14.58% 08/2011 48104.63223 45194.09196
2011-09-30 2011-10-31 12.48% 13.25% 09/2011 40823.31789 38605.04085
2011-10-31 2011-11-30 -3.52% -6.66% 10/2011 45917.62736 43718.55662
2011-11-30 2011-12-31 -2.95% -1.21% 11/2011 44299.83988 40804.88147
2011-12-31 2012-01-31 10.73% 11.34% 12/2011 42993.82498 40313.07288
2012-01-31 2012-02-29 5.40% 5.99% 01/2012 47606.12004 44885.64739
2012-02-29 2012-03-31 -2.63% -3.34% 02/2012 50174.53534 47574.28607
2012-03-31 2012-04-30 -1.81% -1.20% 03/2012 48854.15283 45986.28864
2012-04-30 2012-05-31 -10.78% -11.21% 04/2012 47967.86869 45436.70648
2012-05-31 2012-06-30 4.89% 3.86% 05/2012 42794.86325 40341.21113
2012-06-30 2012-07-31 0.81% 1.95% 06/2012 44887.31089 41898.19616
2012-07-31 2012-08-31 0.60% -0.33% 07/2012 45251.36045 42715.46911
2012-08-31 2012-09-30 5.58% 6.03% 08/2012 45524.39763 42573.22844
2012-09-30 2012-10-31 -0.57% -0.61% 09/2012 48066.69862 45142.17877
10/31/2012 47791.61259 44868.1269
One Year Five Years Ten Years
-------- ---------- ---------
4.08% -1.90% 16.93%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
Emerging Markets Small Cap Portfolio vs. MSCI Emerging Markets Index (net div.)
October 31, 2002 - October 31, 2012
Emerging Markets MSCI Emerging
BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Cap Portfolio Markets Index (net div.)
--------- ---------- ----------- ----------------- ---------- ------------------- ------------------------
2002-10-31 2002-11-30 7.68% 6.88% 10/2002 10000 10000
2002-11-30 2002-12-31 -3.40% -3.33% 11/2002 10767.8245 10688.20463
2002-12-31 2003-01-31 1.80% -0.44% 12/2002 10401.29308 10332.68124
2003-01-31 2003-02-28 -1.06% -2.81% 01/2003 10588.3667 10287.11002
2003-02-28 2003-03-31 -0.89% -2.86% 02/2003 10476.12253 9998.077641
2003-03-31 2003-04-30 12.97% 8.89% 03/2003 10382.58572 9712.550745
2003-04-30 2003-05-31 7.50% 7.15% 04/2003 11729.51576 10576.25547
2003-05-31 2003-06-30 4.30% 5.67% 05/2003 12608.76176 11332.42116
2003-06-30 2003-07-31 1.99% 6.22% 06/2003 13151.27524 11974.8284
2003-07-31 2003-08-31 6.00% 6.69% 07/2003 13413.17831 12719.45993
2003-08-31 2003-09-30 3.82% 0.73% 08/2003 14217.59485 13570.61278
2003-09-30 2003-10-31 8.62% 8.51% 09/2003 14760.10834 13669.44466
2003-10-31 2003-11-30 1.98% 1.22% 10/2003 16032.20893 14832.47204
2003-11-30 2003-12-31 9.93% 7.24% 11/2003 16350.23408 15012.94766
2003-12-31 2004-01-31 2.97% 3.49% 12/2003 17973.65769 16099.9853
2004-01-31 2004-02-29 4.22% 4.59% 01/2004 18506.77466 16662.21886
2004-02-29 2004-03-31 1.68% 1.25% 02/2004 19287.41022 17426.29823
2004-03-31 2004-04-30 -5.63% -8.19% 03/2004 19611.08838 17644.0921
2004-04-30 2004-05-31 -4.22% -2.00% 04/2004 18506.77467 16199.38255
2004-05-31 2004-06-30 0.83% 0.43% 05/2004 17726.13911 15876.20003
2004-06-30 2004-07-31 0.64% -1.83% 06/2004 17873.22791 15943.82184
2004-07-31 2004-08-31 3.30% 4.15% 07/2004 17988.04522 15651.96247
2004-08-31 2004-09-30 5.56% 5.77% 08/2004 18581.26799 16301.04143
2004-09-30 2004-10-31 2.45% 2.39% 09/2004 19615.25972 17241.52745
2004-10-31 2004-11-30 9.47% 9.26% 10/2004 20096.02589 17653.47774
2004-11-30 2004-12-31 5.30% 4.80% 11/2004 21999.85993 19287.7093
2004-12-31 2005-01-31 2.78% 0.25% 12/2004 23165.02671 20214.06032
2005-01-31 2005-02-28 6.33% 8.72% 01/2005 23808.49966 20265.39862
2005-02-28 2005-03-31 -6.97% -6.61% 02/2005 25316.63943 22033.51685
2005-03-31 2005-04-30 -3.68% -2.68% 03/2005 23550.83068 20577.38623
2005-04-30 2005-05-31 1.95% 3.48% 04/2005 22684.54692 20024.99063
2005-05-31 2005-06-30 2.53% 3.40% 05/2005 23127.76186 20722.01549
2005-06-30 2005-07-31 5.48% 6.99% 06/2005 23713.88192 21426.05132
2005-07-31 2005-08-31 0.65% 0.86% 07/2005 25013.27271 22923.68229
2005-08-31 2005-09-30 6.56% 9.31% 08/2005 25175.69655 23119.9891
2005-09-30 2005-10-31 -4.88% -6.54% 09/2005 26827.17702 25272.80535
2005-10-31 2005-11-30 7.13% 8.27% 10/2005 25518.53424 23620.93331
2005-11-30 2005-12-31 6.55% 5.91% 11/2005 27338.36561 25574.955
2005-12-31 2006-01-31 9.65% 11.17% 12/2005 29129.72841 27086.60788
2006-01-31 2006-02-28 1.05% -0.12% 01/2006 31941.96443 30111.9491
2006-02-28 2006-03-31 1.83% 0.88% 02/2006 32277.75381 30076.21583
2006-03-31 2006-04-30 8.12% 7.12% 03/2006 32867.3813 30341.27525
2006-04-30 2006-05-31 -10.53% -10.48% 04/2006 35536.27991 32501.78094
2006-05-31 2006-06-30 -4.41% -0.24% 05/2006 31795.61887 29096.49107
2006-06-30 2006-07-31 2.30% 1.43% 06/2006 30392.25289 29025.36378
2006-07-31 2006-08-31 3.47% 2.55% 07/2006 31091.16881 29440.93262
2006-08-31 2006-09-30 2.77% 0.83% 08/2006 32171.31161 30191.10507
2006-09-30 2006-10-31 7.54% 4.75% 09/2006 33061.93462 30442.48182
2006-10-31 2006-11-30 7.61% 7.43% 10/2006 35554.3614 31887.98293
2006-11-30 2006-12-31 4.54% 4.50% 11/2006 38259.8161 34258.36502
2006-12-31 2007-01-31 1.88% -1.08% 12/2006 39997.46853 35800.88873
2007-01-31 2007-02-28 0.89% -0.59% 01/2007 40749.12938 35415.39915
2007-02-28 2007-03-31 4.43% 3.98% 02/2007 41113.57101 35205.20002
2007-03-31 2007-04-30 7.64% 4.63% 03/2007 42935.77914 36607.13479
2007-04-30 2007-05-31 7.93% 4.95% 04/2007 46215.75377 38301.93602
2007-05-31 2007-06-30 2.99% 4.69% 05/2007 49882.94765 40199.01976
2007-06-30 2007-07-31 4.86% 5.28% 06/2007 51373.07789 42083.39264
2007-07-31 2007-08-31 -4.17% -2.13% 07/2007 53869.58503 44303.84785
2007-08-31 2007-09-30 6.87% 11.04% 08/2007 51625.01898 43362.3024
2007-09-30 2007-10-31 7.50% 11.15% 09/2007 55172.5344 48150.94986
2007-10-31 2007-11-30 -8.02% -7.09% 10/2007 59308.75106 53520.78318
2007-11-30 2007-12-31 1.19% 0.35% 11/2007 54552.1019 49726.86787
2007-12-31 2008-01-31 -12.06% -12.48% 12/2007 55203.09732 49901.25085
2008-01-31 2008-02-29 2.89% 7.38% 01/2008 48546.18072 43673.8733
2008-02-29 2008-03-31 -4.74% -5.29% 02/2008 49951.52978 46897.54641
2008-03-31 2008-04-30 6.12% 8.12% 03/2008 47584.93673 44415.76252
2008-04-30 2008-05-31 -0.64% 1.86% 04/2008 50495.78304 48020.26653
2008-05-31 2008-06-30 -11.52% -9.97% 05/2008 50175.09659 48911.10737
2008-06-30 2008-07-31 -1.57% -3.77% 06/2008 44393.86212 44032.83828
2008-07-31 2008-08-31 -6.04% -7.99% 07/2008 43696.70668 42371.91524
2008-08-31 2008-09-30 -18.06% -17.50% 08/2008 41057.4754 38987.53211
2008-09-30 2008-10-31 -30.34% -27.37% 09/2008 33640.76609 32164.58346
2008-10-31 2008-11-30 -6.12% -7.53% 10/2008 23432.88041 23361.83389
2008-11-30 2008-12-31 14.08% 7.80% 11/2008 21999.75361 21603.22571
2008-12-31 2009-01-31 -7.69% -6.46% 12/2008 25098.21276 23288.18785
2009-01-31 2009-02-28 -6.14% -5.64% 01/2009 23167.581 21784.22273
2009-02-28 2009-03-31 13.76% 14.37% 02/2009 21745.01024 20555.33038
2009-03-31 2009-04-30 20.25% 16.64% 03/2009 24737.14625 23509.27602
2009-04-30 2009-05-31 22.91% 17.09% 04/2009 29745.59209 27421.45939
2009-05-31 2009-06-30 -0.50% -1.35% 05/2009 36559.11234 32106.85072
2009-06-30 2009-07-31 12.68% 11.24% 06/2009 36377.95602 31674.35664
2009-07-31 2009-08-31 1.19% -0.36% 07/2009 40992.49589 35236.07119
2009-08-31 2009-09-30 8.34% 9.08% 08/2009 41479.58621 35109.92688
2009-09-30 2009-10-31 -0.11% 0.12% 09/2009 44939.17255 38296.8602
2009-10-31 2009-11-30 5.85% 4.30% 10/2009 44887.72531 38344.23233
2009-11-30 2009-12-31 5.51% 3.95% 11/2009 47511.53504 39991.33055
2009-12-31 2010-01-31 -4.43% -5.58% 12/2009 50130.46794 41570.63621
2010-01-31 2010-02-28 1.72% 0.35% 01/2010 47910.47812 39252.15628
2010-02-28 2010-03-31 8.54% 8.07% 02/2010 48736.52084 39390.3133
2010-03-31 2010-04-30 1.61% 1.21% 03/2010 52898.58192 42570.3986
2010-04-30 2010-05-31 -10.09% -8.80% 04/2010 53750.95164 43086.13887
2010-05-31 2010-06-30 2.65% -0.74% 05/2010 48326.78065 39296.4307
2010-06-30 2010-07-31 9.18% 8.33% 06/2010 49605.02608 39007.56331
2010-07-31 2010-08-31 0.48% -1.94% 07/2010 54157.13911 42255.92483
2010-08-31 2010-09-30 12.11% 11.11% 08/2010 54417.25986 41435.27509
2010-09-30 2010-10-31 3.99% 2.90% 09/2010 61007.92681 46039.95583
2010-10-31 2010-11-30 -2.72% -2.64% 10/2010 63439.87587 47376.79589
2010-11-30 2010-12-31 5.75% 7.14% 11/2010 61713.97653 46126.15023
2010-12-31 2011-01-31 -4.24% -2.71% 12/2010 65262.00898 49417.68963
2011-01-31 2011-02-28 -2.95% -0.93% 01/2011 62495.29039 48076.93112
2011-02-28 2011-03-31 5.55% 5.88% 02/2011 60650.81133 47628.60177
2011-03-31 2011-04-30 5.25% 3.10% 03/2011 64014.27315 50428.86654
2011-04-30 2011-05-31 -2.29% -2.62% 04/2011 67377.73496 51993.18073
2011-05-31 2011-06-30 -0.81% -1.54% 05/2011 65831.62751 50629.43612
2011-06-30 2011-07-31 1.13% -0.44% 06/2011 65298.14039 49850.56795
2011-07-31 2011-08-31 -9.51% -8.94% 07/2011 66035.20134 49629.16113
2011-08-31 2011-09-30 -17.79% -14.58% 08/2011 59756.534 45194.09196
2011-09-30 2011-10-31 11.02% 13.25% 09/2011 49128.28936 38605.04085
2011-10-31 2011-11-30 -4.89% -6.66% 10/2011 54541.19372 43718.55662
2011-11-30 2011-12-31 -2.65% -1.21% 11/2011 51875.95656 40804.88147
2011-12-31 2012-01-31 11.27% 11.34% 12/2011 50498.74336 40313.07288
2012-01-31 2012-02-29 8.17% 5.99% 01/2012 56191.53497 44885.64739
2012-02-29 2012-03-31 -2.61% -3.34% 02/2012 60779.75506 47574.28607
2012-03-31 2012-04-30 -2.39% -1.20% 03/2012 59193.70367 45986.28864
2012-04-30 2012-05-31 -9.17% -11.21% 04/2012 57777.58636 45436.70648
2012-05-31 2012-06-30 3.83% 3.86% 05/2012 52481.30761 40341.21113
2012-06-30 2012-07-31 -1.26% 1.95% 06/2012 54491.14635 41898.19616
2012-07-31 2012-08-31 2.60% -0.33% 07/2012 53807.15707 42715.46911
2012-08-31 2012-09-30 5.85% 6.03% 08/2012 55203.6352 42573.22844
2012-09-30 2012-10-31 -0.39% -0.61% 09/2012 58430.911 45142.17877
10/31/2012 58201.88243 44868.1269
One Year Five Years Ten Years
-------- ---------- ---------
6.71% -0.38% 19.26%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
11
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
Emerging Markets Value Portfolio - Class R2 vs. MSCI Emerging Markets Index
(net div.)
January 29, 2008 - October 31,2012
MSCI Emerging
Emerging Markets Markets Index
BeginDate EndDate FundReturns Benchmark0Returns EndDate Value Portfolio - Class R2 (net div.)
--------- ---------- ----------- ----------------- ------- -------------------------- -------------
01/29/2008 01/31/2008 0.50% -1.29% 01/2008 $10,000 $10,000
02/29/2008 3.98% 7.38% 01/2008 $10,050 $ 9,871
03/31/2008 -3.38% -5.29% 02/2008 $10,450 $10,599
04/30/2008 7.67% 8.12% 03/2008 $10,097 $10,038
05/31/2008 0.83% 1.86% 04/2008 $10,872 $10,853
06/30/2008 -11.72% -9.97% 05/2008 $10,962 $11,054
07/31/2008 -1.94% -3.77% 06/2008 $ 9,677 $ 9,952
08/31/2008 -8.59% -7.99% 07/2008 $ 9,489 $ 9,576
09/30/2008 -17.29% -17.50% 08/2008 $ 8,674 $ 8,811
10/31/2008 -31.01% -27.37% 09/2008 $ 7,174 $ 7,269
11/30/2008 -7.68% -7.53% 10/2008 $ 4,949 $ 5,280
12/31/2008 12.06% 7.80% 11/2008 $ 4,569 $ 4,882
01/31/2009 -8.70% -6.46% 12/2008 $ 5,120 $ 5,263
02/28/2009 -8.84% -5.64% 01/2009 $ 4,675 $ 4,923
03/31/2009 17.37% 14.37% 02/2009 $ 4,262 $ 4,646
04/30/2009 19.87% 16.64% 03/2009 $ 5,002 $ 5,313
05/31/2009 22.46% 17.09% 04/2009 $ 5,996 $ 6,197
06/30/2009 -1.38% -1.35% 05/2009 $ 7,342 $ 7,256
07/31/2009 13.21% 11.24% 06/2009 $ 7,241 $ 7,159
08/31/2009 0.83% -0.36% 07/2009 $ 8,197 $ 7,964
09/30/2009 9.31% 9.08% 08/2009 $ 8,265 $ 7,935
10/31/2009 -2.34% 0.12% 09/2009 $ 9,035 $ 8,655
11/30/2009 6.40% 4.30% 10/2009 $ 8,823 $ 8,666
12/31/2009 4.89% 3.95% 11/2009 $ 9,388 $ 9,038
01/31/2010 -5.58% -5.58% 12/2009 $ 9,847 $ 9,395
02/28/2010 0.54% 0.35% 01/2010 $ 9,297 $ 8,871
03/31/2010 8.56% 8.07% 02/2010 $ 9,347 $ 8,902
04/30/2010 0.99% 1.21% 03/2010 $10,147 $ 9,621
05/31/2010 -10.73% -8.80% 04/2010 $10,246 $ 9,738
06/30/2010 0.57% -0.74% 05/2010 $ 9,147 $ 8,881
07/31/2010 9.64% 8.33% 06/2010 $ 9,199 $ 8,816
08/31/2010 -2.20% -1.94% 07/2010 $10,085 $ 9,550
09/30/2010 11.84% 11.11% 08/2010 $ 9,864 $ 9,365
10/31/2010 3.74% 2.90% 09/2010 $11,031 $10,405
11/30/2010 -3.61% -2.64% 10/2010 $11,444 $10,707
12/31/2010 8.42% 7.14% 11/2010 $11,031 $10,425
01/31/2011 -3.15% -2.71% 12/2010 $11,960 $11,169
02/28/2011 -1.66% -0.93% 01/2011 $11,583 $10,866
03/31/2011 5.72% 5.88% 02/2011 $11,391 $10,764
04/30/2011 3.51% 3.10% 03/2011 $12,043 $11,397
05/31/2011 -3.82% -2.62% 04/2011 $12,466 $11,751
06/30/2011 -2.10% -1.54% 05/2011 $11,990 $11,443
07/31/2011 -0.85% -0.44% 06/2011 $11,738 $11,267
08/31/2011 -10.18% -8.94% 07/2011 $11,639 $11,217
09/30/2011 -17.95% -14.58% 08/2011 $10,454 $10,214
10/31/2011 13.09% 13.25% 09/2011 $ 8,577 $ 8,725
11/30/2011 -5.10% -6.66% 10/2011 $ 9,701 $ 9,881
12/31/2011 -3.59% -1.21% 11/2011 $ 9,206 $ 9,222
01/31/2012 13.83% 11.34% 12/2011 $ 8,875 $ 9,111
02/29/2012 6.06% 5.99% 01/2012 $10,102 $10,144
03/31/2012 -4.31% -3.34% 02/2012 $10,714 $10,752
04/30/2012 -3.27% -1.20% 03/2012 $10,253 $10,393
05/31/2012 -11.10% -11.21% 04/2012 $ 9,918 $10,269
06/30/2012 4.50% 3.86% 05/2012 $ 8,817 $ 9,117
07/31/2012 -0.63% 1.95% 06/2012 $ 9,214 $ 9,469
08/31/2012 1.35% -0.33% 07/2012 $ 9,155 $ 9,654
09/30/2012 6.40% 6.03% 08/2012 $ 9,279 $ 9,622
10/31/2012 -1.33% -0.61% 09/2012 $ 9,873 $10,202
10/2012 $ 9,742 $10,140
One Year Since 1/29/2008
-------- ---------------
0.43% -0.55%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
Emerging Markets Value Portfolio-Institutional Class vs. MSCI Emerging Markets
Index (net div.)
October 31, 2002 - October 31, 2012
Emerging Markets
Value Portfolio- MSCI Emerging Markets
BeginDate EndDate FundReturns Benchmark0Returns EndDate Institutional Class Index (net div.)
--------- ---------- ----------- ----------------- ---------- ------------------- ---------------------
2002-10-31 2002-11-30 7.81% 6.88% 10/2002 10000 10000
2002-11-30 2002-12-31 -2.98% -3.33% 11/2002 10781.04994 10688.20463
2002-12-31 2003-01-31 1.51% -0.44% 12/2002 10459.32273 10332.68124
2003-01-31 2003-02-28 -0.87% -2.81% 01/2003 10617.00096 10287.11002
2003-02-28 2003-03-31 -2.25% -2.86% 02/2003 10525.02199 9998.077641
2003-03-31 2003-04-30 13.15% 8.89% 03/2003 10288.50464 9712.550745
2003-04-30 2003-05-31 7.45% 7.15% 04/2003 11641.90947 10576.25547
2003-05-31 2003-06-30 4.41% 5.67% 05/2003 12509.13975 11332.42116
2003-06-30 2003-07-31 2.31% 6.22% 06/2003 13061.01356 11974.8284
2003-07-31 2003-08-31 6.59% 6.69% 07/2003 13363.23017 12719.45993
2003-08-31 2003-09-30 4.89% 0.73% 08/2003 14243.6003 13570.61278
2003-09-30 2003-10-31 8.88% 8.51% 09/2003 14940.01249 13669.44466
2003-10-31 2003-11-30 1.13% 1.22% 10/2003 16267.13761 14832.47204
2003-11-30 2003-12-31 12.03% 7.24% 11/2003 16451.09555 15012.94766
2003-12-31 2004-01-31 2.75% 3.49% 12/2003 18430.57107 16099.9853
2004-01-31 2004-02-29 6.47% 4.59% 01/2004 18936.61276 16662.21886
2004-02-29 2004-03-31 1.25% 1.25% 02/2004 20161.76633 17426.29823
2004-03-31 2004-04-30 -7.05% -8.19% 03/2004 20414.78718 17644.0921
2004-04-30 2004-05-31 -2.95% -2.00% 04/2004 18976.56342 16199.38255
2004-05-31 2004-06-30 1.82% 0.43% 05/2004 18417.25419 15876.20003
2004-06-30 2004-07-31 1.29% -1.83% 06/2004 18752.83395 15943.82184
2004-07-31 2004-08-31 4.44% 4.15% 07/2004 18993.94182 15651.96247
2004-08-31 2004-09-30 6.59% 5.77% 08/2004 19837.81934 16301.04143
2004-09-30 2004-10-31 3.12% 2.39% 09/2004 21144.61687 17241.52745
2004-10-31 2004-11-30 10.82% 9.26% 10/2004 21804.96501 17653.47774
2004-11-30 2004-12-31 6.43% 4.80% 11/2004 24163.35121 19287.7093
2004-12-31 2005-01-31 1.64% 0.25% 12/2004 25716.54763 20214.06032
2005-01-31 2005-02-28 9.11% 8.72% 01/2005 26138.57674 20265.39862
2005-02-28 2005-03-31 -7.31% -6.61% 02/2005 28520.9991 22033.51685
2005-03-31 2005-04-30 -3.56% -2.68% 03/2005 26435.86373 20577.38623
2005-04-30 2005-05-31 1.44% 3.48% 04/2005 25495.13417 20024.99063
2005-05-31 2005-06-30 3.29% 3.40% 05/2005 25863.24574 20722.01549
2005-06-30 2005-07-31 7.28% 6.99% 06/2005 26713.04067 21426.05132
2005-07-31 2005-08-31 1.59% 0.86% 07/2005 28656.55911 22923.68229
2005-08-31 2005-09-30 8.02% 9.31% 08/2005 29111.42512 23119.9891
2005-09-30 2005-10-31 -6.26% -6.54% 09/2005 31447.29509 25272.80535
2005-10-31 2005-11-30 7.38% 8.27% 10/2005 29480.10746 23620.93331
2005-11-30 2005-12-31 6.27% 5.91% 11/2005 31655.0966 25574.955
2005-12-31 2006-01-31 9.56% 11.17% 12/2005 33640.94678 27086.60788
2006-01-31 2006-02-28 0.38% -0.12% 01/2006 36855.5888 30111.9491
2006-02-28 2006-03-31 3.38% 0.88% 02/2006 36996.58187 30076.21583
2006-03-31 2006-04-30 8.72% 7.12% 03/2006 38246.39699 30341.27525
2006-04-30 2006-05-31 -10.84% -10.48% 04/2006 41582.00293 32501.78094
2006-05-31 2006-06-30 -0.91% -0.24% 05/2006 37073.28134 29096.49107
2006-06-30 2006-07-31 2.36% 1.43% 06/2006 36736.37926 29025.36378
2006-07-31 2006-08-31 1.82% 2.55% 07/2006 37604.27978 29440.93262
2006-08-31 2006-09-30 2.03% 0.83% 08/2006 38287.21788 30191.10507
2006-09-30 2006-10-31 6.94% 4.75% 09/2006 39063.54995 30442.48182
2006-10-31 2006-11-30 7.31% 7.43% 10/2006 41773.9064 31887.98293
2006-11-30 2006-12-31 3.51% 4.50% 11/2006 44828.43509 34258.36502
2006-12-31 2007-01-31 1.54% -1.08% 12/2006 46400.03293 35800.88873
2007-01-31 2007-02-28 0.56% -0.59% 01/2007 47113.65553 35415.39915
2007-02-28 2007-03-31 5.21% 3.98% 02/2007 47375.80261 35205.20002
2007-03-31 2007-04-30 7.97% 4.63% 03/2007 49842.20782 36607.13479
2007-04-30 2007-05-31 7.60% 4.95% 04/2007 53813.23316 38301.93602
2007-05-31 2007-06-30 2.84% 4.69% 05/2007 57901.05337 40199.01976
2007-06-30 2007-07-31 4.74% 5.28% 06/2007 59545.27699 42083.39264
2007-07-31 2007-08-31 -3.23% -2.13% 07/2007 62366.07472 44303.84785
2007-08-31 2007-09-30 9.01% 11.04% 08/2007 60353.31802 43362.3024
2007-09-30 2007-10-31 10.97% 11.15% 09/2007 65792.44111 48150.94986
2007-10-31 2007-11-30 -7.30% -7.09% 10/2007 73010.86241 53520.78318
2007-11-30 2007-12-31 -0.16% 0.35% 11/2007 67681.92563 49726.86787
2007-12-31 2008-01-31 -9.96% -12.48% 12/2007 67575.81224 49901.25085
2008-01-31 2008-02-29 3.99% 7.38% 01/2008 60847.09008 43673.8733
2008-02-29 2008-03-31 -3.36% -5.29% 02/2008 63277.32834 46897.54641
2008-03-31 2008-04-30 7.71% 8.12% 03/2008 61148.20583 44415.76252
2008-04-30 2008-05-31 0.85% 1.86% 04/2008 65863.61473 48020.26653
2008-05-31 2008-06-30 -11.63% -9.97% 05/2008 66426.4216 48911.10737
2008-06-30 2008-07-31 -1.96% -3.77% 06/2008 58698.85541 44032.83828
2008-07-31 2008-08-31 -8.57% -7.99% 07/2008 57546.99404 42371.91524
2008-08-31 2008-09-30 -17.25% -17.50% 08/2008 52617.02737 38987.53211
2008-09-30 2008-10-31 -31.05% -27.37% 09/2008 43539.68508 32164.58346
2008-10-31 2008-11-30 -7.59% -7.53% 10/2008 30018.81421 23361.83389
2008-11-30 2008-12-31 12.21% 7.80% 11/2008 27739.49309 21603.22571
2008-12-31 2009-01-31 -9.03% -6.46% 12/2008 31125.33622 23288.18785
2009-01-31 2009-02-28 -8.50% -5.64% 01/2009 28315.7926 21784.22273
2009-02-28 2009-03-31 17.30% 14.37% 02/2009 25910.23564 20555.33038
2009-03-31 2009-04-30 19.66% 16.64% 03/2009 30392.29689 23509.27602
2009-04-30 2009-05-31 22.50% 17.09% 04/2009 36367.79386 27421.45939
2009-05-31 2009-06-30 -1.23% -1.35% 05/2009 44549.62816 32106.85072
2009-06-30 2009-07-31 13.41% 11.24% 06/2009 44000.80518 31674.35664
2009-07-31 2009-08-31 0.74% -0.36% 07/2009 49900.8711 35236.07119
2009-08-31 2009-09-30 9.23% 9.08% 08/2009 50270.78119 35109.92688
2009-09-30 2009-10-31 -2.36% 0.12% 09/2009 54908.62011 38296.8602
2009-10-31 2009-11-30 6.37% 4.30% 10/2009 53610.10546 38344.23233
2009-11-30 2009-12-31 4.95% 3.95% 11/2009 57023.34402 39991.33055
2009-12-31 2010-01-31 -5.69% -5.58% 12/2009 59847.87712 41570.63621
2010-01-31 2010-02-28 0.78% 0.35% 01/2010 56440.50752 39252.15628
2010-02-28 2010-03-31 8.80% 8.07% 02/2010 56878.32595 39390.3133
2010-03-31 2010-04-30 0.65% 1.21% 03/2010 61884.68462 42570.3986
2010-04-30 2010-05-31 -10.48% -8.80% 04/2010 62284.43189 43086.13887
2010-05-31 2010-06-30 0.62% -0.74% 05/2010 55755.22646 39296.4307
2010-06-30 2010-07-31 9.25% 8.33% 06/2010 56103.20789 39007.56331
2010-07-31 2010-08-31 -1.81% -1.94% 07/2010 61294.04753 42255.92483
2010-08-31 2010-09-30 12.01% 11.11% 08/2010 60183.09292 41435.27509
2010-09-30 2010-10-31 3.42% 2.90% 09/2010 67408.34523 46039.95583
2010-10-31 2010-11-30 -3.25% -2.64% 10/2010 69714.87543 47376.79589
2010-11-30 2010-12-31 8.31% 7.14% 11/2010 67446.78741 46126.15023
2010-12-31 2011-01-31 -3.13% -2.71% 12/2010 73048.92262 49417.68963
2011-01-31 2011-02-28 -1.68% -0.93% 01/2011 70766.14378 48076.93112
2011-02-28 2011-03-31 5.75% 5.88% 02/2011 69574.25042 47628.60177
2011-03-31 2011-04-30 3.57% 3.10% 03/2011 73574.16377 50428.86654
2011-04-30 2011-05-31 -3.82% -2.62% 04/2011 76200.36951 51993.18073
2011-05-31 2011-06-30 -2.05% -1.54% 05/2011 73291.34161 50629.43612
2011-06-30 2011-07-31 -0.85% -0.44% 06/2011 71790.26867 49850.56795
2011-07-31 2011-08-31 -10.15% -8.94% 07/2011 71181.36054 49629.16113
2011-08-31 2011-09-30 -17.95% -14.58% 08/2011 63955.65069 45194.09196
2011-09-30 2011-10-31 13.14% 13.25% 09/2011 52473.60679 38605.04085
2011-10-31 2011-11-30 -5.07% -6.66% 10/2011 59367.79997 43718.55662
2011-11-30 2011-12-31 -3.59% -1.21% 11/2011 56360.54063 40804.88147
2011-12-31 2012-01-31 13.87% 11.34% 12/2011 54335.88274 40313.07288
2012-01-31 2012-02-29 6.09% 5.99% 01/2012 61870.905 44885.64739
2012-02-29 2012-03-31 -4.30% -3.34% 02/2012 65638.41615 47574.28607
2012-03-31 2012-04-30 -3.27% -1.20% 03/2012 62812.7828 45986.28864
2012-04-30 2012-05-31 -11.06% -11.21% 04/2012 60761.5823 45436.70648
2012-05-31 2012-06-30 4.52% 3.86% 05/2012 54042.8541 40341.21113
2012-06-30 2012-07-31 -0.63% 1.95% 06/2012 56485.77879 41898.19616
2012-07-31 2012-08-31 1.39% -0.33% 07/2012 56128.00748 42715.46911
2012-08-31 2012-09-30 6.43% 6.03% 08/2012 56906.68624 42573.22844
2012-09-30 2012-10-31 -1.29% -0.61% 09/2012 60566.63705 45142.17877
10/31/2012 59782.80859 44868.1269
One Year Five Years Ten Years
-------- ---------- ---------
0.70% -3.92% 19.58%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
Emerging Markets Core Equity Portfolio vs. MSCI Emerging Markets Index (net
div.)
April 5, 2005 - October 31, 2012
Emerging Markets Core MSCI Emerging Markets
BeginDate EndDate FundReturns Benchmark0Returns EndDate Equity Portfolio Index (net div.)
--------- ---------- ----------- ----------------- ---------- --------------------- ---------------------
2005-04-05 2005-04-30 -4.20% -3.18% 04/2005 10000 10000
2005-04-30 2005-05-31 1.46% 3.48% 04/2005 9580.000002 9681.97524
2005-05-31 2005-06-30 2.68% 3.40% 05/2005 9720.000001 10018.98301
2005-06-30 2005-07-31 6.73% 6.99% 06/2005 9980.459186 10359.38055
2005-07-31 2005-08-31 1.04% 0.86% 07/2005 10652.51021 11083.47706
2005-08-31 2005-09-30 6.95% 9.31% 08/2005 10762.84694 11178.39035
2005-09-30 2005-10-31 -5.33% -6.54% 09/2005 11511.36663 12219.26543
2005-10-31 2005-11-30 6.56% 8.27% 10/2005 10897.56124 11420.59418
2005-11-30 2005-12-31 5.88% 5.91% 11/2005 11611.99047 12365.35316
2005-12-31 2006-01-31 8.95% 11.17% 12/2005 12295.11976 13096.22919
2006-01-31 2006-02-28 0.15% -0.12% 01/2006 13395.42194 14558.96539
2006-02-28 2006-03-31 2.00% 0.88% 02/2006 13415.61097 14541.68855
2006-03-31 2006-04-30 6.86% 7.12% 03/2006 13684.42534 14669.84336
2006-04-30 2006-05-31 -11.19% -10.48% 04/2006 14623.65158 15714.43624
2006-05-31 2006-06-30 -1.64% -0.24% 05/2006 12987.58006 14067.9969
2006-06-30 2006-07-31 1.91% 1.43% 06/2006 12774.97105 14033.60724
2006-07-31 2006-08-31 2.42% 2.55% 07/2006 13018.69069 14234.53254
2006-08-31 2006-09-30 1.98% 0.83% 08/2006 13333.49522 14597.23688
2006-09-30 2006-10-31 6.54% 4.75% 09/2006 13597.95927 14718.77619
2006-10-31 2006-11-30 6.92% 7.43% 10/2006 14487.44983 15417.6682
2006-11-30 2006-12-31 3.94% 4.50% 11/2006 15489.81837 16563.73519
2006-12-31 2007-01-31 1.41% -1.08% 12/2006 16100.27146 17309.5371
2007-01-31 2007-02-28 -0.76% -0.59% 01/2007 16327.47222 17123.15497
2007-02-28 2007-03-31 4.33% 3.98% 02/2007 16203.54454 17021.52482
2007-03-31 2007-04-30 6.72% 4.63% 03/2007 16905.8014 17699.35274
2007-04-30 2007-05-31 7.27% 4.95% 04/2007 18041.80516 18518.78001
2007-05-31 2007-06-30 2.36% 4.69% 05/2007 19353.37314 19436.00979
2007-06-30 2007-07-31 3.40% 5.28% 06/2007 19810.94669 20347.09394
2007-07-31 2007-08-31 -2.58% -2.13% 07/2007 20485.49437 21420.67209
2007-08-31 2007-09-30 8.59% 11.04% 08/2007 19956.23388 20965.43993
2007-09-30 2007-10-31 10.39% 11.15% 09/2007 21671.05173 23280.72522
2007-10-31 2007-11-30 -7.28% -7.09% 10/2007 23923.67309 25877.01074
2007-11-30 2007-12-31 -0.21% 0.35% 11/2007 22181.20446 24042.6731
2007-12-31 2008-01-31 -9.79% -12.48% 12/2007 22135.55448 24126.98633
2008-01-31 2008-02-29 3.27% 7.38% 01/2008 19968.29012 21116.08279
2008-02-29 2008-03-31 -3.63% -5.29% 02/2008 20620.57356 22674.7114
2008-03-31 2008-04-30 7.58% 8.12% 03/2008 19871.14193 21474.78223
2008-04-30 2008-05-31 0.44% 1.86% 04/2008 21377.80858 23217.54053
2008-05-31 2008-06-30 -11.15% -9.97% 05/2008 21472.63375 23648.25729
2008-06-30 2008-07-31 -1.06% -3.77% 06/2008 19078.7608 21289.64042
2008-07-31 2008-08-31 -6.64% -7.99% 07/2008 18876.92536 20486.59307
2008-08-31 2008-09-30 -15.67% -17.50% 08/2008 17623.42103 18850.26203
2008-09-30 2008-10-31 -28.26% -27.37% 09/2008 14860.95355 15551.40307
2008-10-31 2008-11-30 -6.68% -7.53% 10/2008 10661.49818 11295.321
2008-11-30 2008-12-31 9.78% 7.80% 11/2008 9949.292835 10445.04341
2008-12-31 2009-01-31 -8.92% -6.46% 12/2008 10921.91573 11259.71354
2009-01-31 2009-02-28 -6.75% -5.64% 01/2009 9947.711157 10532.5545
2009-02-28 2009-03-31 15.78% 14.37% 02/2009 9276.592451 9938.391657
2009-03-31 2009-04-30 18.26% 16.64% 03/2009 10740.54489 11366.60848
2009-04-30 2009-05-31 19.71% 17.09% 04/2009 12702.23876 13258.1281
2009-05-31 2009-06-30 -0.97% -1.35% 05/2009 15205.83701 15523.4896
2009-06-30 2009-07-31 12.10% 11.24% 06/2009 15058.12449 15314.38103
2009-07-31 2009-08-31 0.39% -0.36% 07/2009 16880.37579 17036.45086
2009-08-31 2009-09-30 8.63% 9.08% 08/2009 16945.84589 16975.46077
2009-09-30 2009-10-31 -1.85% 0.12% 09/2009 18407.63348 18516.32588
2009-10-31 2009-11-30 6.12% 4.30% 10/2009 18067.96881 18539.23005
2009-11-30 2009-12-31 4.57% 3.95% 11/2009 19174.6182 19335.59318
2009-12-31 2010-01-31 -5.49% -5.58% 12/2009 20050.0833 20099.17897
2010-01-31 2010-02-28 1.10% 0.35% 01/2010 18950.24329 18978.20639
2010-02-28 2010-03-31 8.62% 8.07% 02/2010 19159.21289 19045.00457
2010-03-31 2010-04-30 0.95% 1.21% 03/2010 20811.52367 20582.55871
2010-04-30 2010-05-31 -9.69% -8.80% 04/2010 21009.62384 20831.91635
2010-05-31 2010-06-30 0.85% -0.74% 05/2010 18973.59429 18999.61284
2010-06-30 2010-07-31 9.03% 8.33% 06/2010 19134.07371 18859.94701
2010-07-31 2010-08-31 -1.33% -1.94% 07/2010 20862.45559 20430.51233
2010-08-31 2010-09-30 11.95% 11.11% 08/2010 20585.47131 20033.7326
2010-09-30 2010-10-31 2.95% 2.90% 09/2010 23044.98243 22260.07096
2010-10-31 2010-11-30 -2.67% -2.64% 10/2010 23724.08577 22906.42594
2010-11-30 2010-12-31 7.35% 7.14% 11/2010 23089.51379 22301.74549
2010-12-31 2011-01-31 -3.16% -2.71% 12/2010 24785.44438 23893.18708
2011-01-31 2011-02-28 -1.72% -0.93% 01/2011 24002.51067 23244.93756
2011-02-28 2011-03-31 5.69% 5.88% 02/2011 23588.67427 23028.17273
2011-03-31 2011-04-30 3.95% 3.10% 03/2011 24930.84636 24382.08568
2011-04-30 2011-05-31 -2.76% -2.62% 04/2011 25915.10588 25138.42318
2011-05-31 2011-06-30 -1.39% -1.54% 05/2011 25199.28078 24479.05999
2011-06-30 2011-07-31 -0.23% -0.44% 06/2011 24848.78742 24102.48142
2011-07-31 2011-08-31 -9.02% -8.94% 07/2011 24792.56844 23995.43241
2011-08-31 2011-09-30 -16.55% -14.58% 08/2011 22555.05319 21851.10033
2011-09-30 2011-10-31 12.70% 13.25% 09/2011 18823.00689 18665.32957
2011-10-31 2011-11-30 -4.27% -6.66% 10/2011 21212.69067 21137.68693
2011-11-30 2011-12-31 -3.14% -1.21% 11/2011 20306.64943 19728.94067
2011-12-31 2012-01-31 11.77% 11.34% 12/2011 19668.44126 19491.15387
2012-01-31 2012-02-29 6.28% 5.99% 01/2012 21984.3888 21701.96904
2012-02-29 2012-03-31 -3.13% -3.34% 02/2012 23364.83044 23001.91138
2012-03-31 2012-04-30 -2.22% -1.20% 03/2012 22634.67949 22234.12317
2012-04-30 2012-05-31 -10.52% -11.21% 04/2012 22132.7007 21968.40315
2012-05-31 2012-06-30 4.48% 3.86% 05/2012 19805.34455 19504.75856
2012-06-30 2012-07-31 0.06% 1.95% 06/2012 20693.31546 20257.55244
2012-07-31 2012-08-31 1.05% -0.33% 07/2012 20704.79898 20652.69952
2012-08-31 2012-09-30 5.70% 6.03% 08/2012 20922.98599 20583.92692
2012-09-30 2012-10-31 -0.68% -0.61% 09/2012 22115.39118 21826.00058
10/31/2012 21965.10362 21693.49798
One Year Five Years From 04/05/2005
-------- ---------- ---------------
3.55% -1.69% 10.95%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
12
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. Equity Market Review 12 Months Ended October 31, 2012
The year ending October 31, 2012, saw reduced volatility for U.S. equities
with positive returns in three out of four quarters for the widely used
benchmarks. The year began in the wake of MF Global's bankruptcy filing brought
on by losses on European sovereign debt. Many headlines for the rest of the
year also originated from Europe, from the Greek debt swap to the LIBOR scandal
that reached a crescendo in July.
Broad market returns were mostly positive for the first five months through
March 2012, but negative returns following the Facebook IPO and JP Morgan's
reported $2 billion trading loss made May the worst month of the year. The last
trading day of the year followed two days of market closures in the aftermath
of Hurricane Sandy. Through all this, U.S. markets rose in 8 out of the 12
months in the period.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/ growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as earnings, dividends, and book value.
The size premium was negative during the year with small cap stocks
underperforming large cap stocks. Micro cap stocks were the strongest
performers as measured by the indices below.
Total Return for 12 Months Ended October 31, 2012
-------------------------------------------------
Russell 3000(R) Index.................................. 14.75%
Russell Microcap(R) Index (micro cap stocks)........... 16.49%
Russell 2000(R) Index (small cap stocks)............... 12.08%
Russell 1000(R) Index (large cap stocks)............... 14.97%
Dow Jones US Select REIT Index......................... 14.09%
The value premium was positive across both large cap and small cap stocks.
Total Return for 12 Months Ended October 31, 2012
-------------------------------------------------
Russell 2000(R) Value Index (small cap value stocks)... 14.47%
Russell 2000(R) Growth Index (small cap growth stocks). 9.70%
Russell 1000(R) Value Index (large cap value stocks)... 16.89%
Russell 1000(R) Growth Index (large cap growth stocks). 13.02%
--------
Source: Russell data copyright (C) Russell Investment Group 1995-2012, all
rights reserved.
For many Dimensional U.S. equity portfolios, differences in returns over the
12 months ended October 31, 2012 were attributable primarily to differences in
value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value or small-cap and micro-cap companies relative to widely
used benchmarks.
13
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
Enhanced U.S. Large Company Portfolio
The Enhanced U.S. Large Company Portfolio seeks to outperform the total
return of the S&P 500(R) Index. This strategy combines investment in investment
grade, short-term fixed income instruments with an overlay of S&P 500(R) Index
futures contracts, swaps, and/or ETFs. For the 12 months ended October 31,
2012, approximately 97% of the equity exposure consisted of S&P 500(R) Index
futures contracts. ETFs accounted for the remaining exposure. The behavior of
S&P 500(R) Index futures contracts and ETFs linked to the S&P 500(R) Index is
determined principally by the performance of the S&P 500(R) Index.
For the 12 months ended October 31, 2012, the total return was 15.84% for
the Portfolio and 15.21% for the S&P 500(R) Index. Relative to the Index, the
Portfolio's outperformance was primarily due to the fixed income component of
the Portfolio exceeding the interest rate embedded in the Portfolio's S&P
500(R) futures contracts. The Portfolio's concentration in government agency
and corporate fixed income securities with maturities between one and two years
had the most significant contribution to the outperformance. As credit spreads
narrowed during the period, these securities generated excess return, adding to
the positive return of the S&P 500(R) Index. The Portfolio also benefited from
increasing exposure to Euro-denominated securities during a year when
Euro-denominated sovereign and corporate interest rates decreased.
U.S. Large Cap Value Portfolio
The U.S. Large Cap Value Portfolio seeks to capture the returns of U.S.
large company value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund that invests in such stocks. Value is measured primarily
by book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification and consistent exposure to large cap value stocks, and
does not attempt to closely track a specific equity index. As of October 31,
2012, the Master Fund held approximately 250 securities and was mostly invested
in equities throughout the year. The average cash exposure for the period was
less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2012, total returns were 18.14% for the
Portfolio and 16.89% for the Russell 1000(R) Value Index. As a result of the
Master Fund's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market rather than
the behavior of a limited number of stocks. Value stocks, particularly in the
largest size category, generally outperformed during the period. The Master
Fund had significantly greater exposure than the Index to value stocks, which
contributed to the relative outperformance. The Master Fund's exclusion of
REITs and highly regulated utilities also helped performance as both of these
sectors underperformed the overall Index during the period.
U.S. Targeted Value Portfolio
The U.S. Targeted Value Portfolio seeks to capture the returns of U.S.
small- and mid-capitalization value stocks. Value is measured primarily by
book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification and consistent exposure to small and mid-cap value
stocks, and does not attempt to closely track a specific equity index. As of
October 31, 2012, the Portfolio held approximately 1,500 securities, and was
mostly invested in equities throughout the year. The average cash exposure for
the period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 14.67% for the
Portfolio's Class R1 shares, 14.46% for the Portfolio's Class R2 shares, 14.78%
for the Portfolio's Institutional Class shares, and 14.47% for the Russell
2000(R) Value Index. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad structural trends in
the U.S. equity market, rather than the behavior of a limited number of stocks.
The Portfolio's greater exposure than the Index to deep value stocks in the
mid-cap size range
14
was the primary contributor to relative outperformance. Mid-caps generally
outperformed small cap stocks over the period. The Portfolio's exclusion of
highly regulated utilities also helped performance as this sector
underperformed the overall Index.
U.S. Small Cap Value Portfolio
The U.S. Small Cap Value Portfolio seeks to capture the returns of U.S.
small company value stocks. Value is measured primarily by book-to-market
ratio. The investment strategy is process driven, emphasizing broad
diversification and consistent exposure to small capitalization and value
stocks, and does not attempt to closely track a specific index. As of
October 31, 2012, the Portfolio held approximately 1,300 securities and was
mostly invested in equities throughout the year. The average cash exposure for
the period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 15.60% for the
Portfolio and 14.47% for the Russell 2000(R) Value Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's greater exposure to
deep value stocks at both the larger and smaller ends of the eligible market
capitalization range helped relative outperformance. The Portfolio's exclusion
of highly regulated utilities also helped performance as this sector
underperformed the overall Index.
U.S. Core Equity 1 Portfolio
The U.S. Core Equity 1 Portfolio seeks to capture the returns of the total
U.S. market universe with increased exposure to smaller company stocks and
value stocks relative to the market. The investment strategy is process driven,
emphasizing broad diversification and comprehensive exposure to U.S. stocks,
and does not attempt to closely track a specific equity index. As of
October 31, 2012, the Portfolio held approximately 3,000 securities and was
mostly invested in equities throughout the year. The average cash exposure for
the period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 14.29% for the
Portfolio and 14.75% for the Russell 3000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio had less exposure
than the Index to large cap stocks and greater exposure to small cap stocks,
both of which contributed to relative underperformance as large cap stocks
outperformed small caps during the period. The Portfolio's exclusion of REITs
detracted from relative performance as this sector outperformed the overall
Index.
U.S. Core Equity 2 Portfolio
The U.S. Core Equity 2 Portfolio seeks to capture the returns of the total
U.S. market universe with increased exposure to smaller company stocks and
value stocks relative to the U.S. Core Equity 1 Portfolio and the market. The
investment strategy is process driven, emphasizing broad diversification and
comprehensive exposure to U.S. stocks, and does not attempt to closely track a
specific equity index. As of October 31, 2012, the Portfolio held approximately
3,100 securities and was mostly invested in equities throughout the year. The
average cash exposure for the period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 14.81% for the
Portfolio and 14.75% for the Russell 3000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's emphasis on value
stocks across all size categories was the primary contributor to relative
outperformance.
U.S. Vector Equity Portfolio
The U.S. Vector Equity Portfolio seeks to capture the returns of a broadly
diversified portfolio of U.S. stocks with increased exposure to smaller company
stocks and value stocks relative to the market. The investment strategy is
process driven, emphasizing broad diversification, and does not attempt to
closely track a specific equity
15
index. As of October 31, 2012, the Portfolio held approximately 2,900
securities and was mostly invested in equities throughout the year. The average
cash exposure for the period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 14.55% for the
Portfolio, 14.75% for the Russell 3000(R) Index, and 13.00% for the Russell
2500(R) Index. As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad structural trends in the U.S.
equity market, rather than the behavior of a limited number of stocks. Relative
to the Russell 3000(R) Index, the Portfolio had less exposure to large cap
stocks which was the primary contributor to relative underperformance. Large
cap stocks outperformed the other size categories as well as the overall Index
during the period. The Portfolio's exclusion of REITs also detracted from
relative performance as this sector outperformed the overall Index. Relative to
the Russell 2500(R) Index, the Portfolio's emphasis on value stocks across all
size categories was the primary contributor to relative outperformance.
As of February 28, 2012, the Russell 3000(R) Index has been selected to
replace the Russell 2500(R) Index as the appropriate benchmark for the
Portfolio because this index better reflects the universe of securities in
which the Portfolio invests.
U.S. Small Cap Portfolio
The U.S. Small Cap Portfolio seeks to capture the returns of U.S. small
company stocks. The investment strategy is process driven, emphasizing broad
diversification and consistent exposure to small capitalization stocks, and
does not attempt to closely track a specific equity index. As of October 31,
2012, the Portfolio held approximately 2,300 securities and was mostly invested
in equities throughout the year. The average cash exposure for the period was
less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 13.61% for the
Portfolio and 12.08% for the Russell 2000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's greater exposure
than the Index to the smallest micro cap stocks was a primary contributor to
relative outperformance. The Portfolio also had less exposure than the Index to
mid-cap stocks which was also beneficial as these stocks underperformed small
cap and micro cap stocks.
U.S. Micro Cap Portfolio
The U.S. Micro Cap Portfolio seeks to capture the returns of very small U.S.
company stocks. The investment strategy is process driven, emphasizing broad
diversification and consistent exposure to very small company stocks, and does
not attempt to closely track a specific equity index. As of October 31, 2012,
the Portfolio held approximately 2,000 securities and was mostly invested in
equities throughout the year. The average cash exposure for the period was less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 13.13% for the
Portfolio and 12.08% for the Russell 2000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio focuses on micro cap
stocks while the Index has exposure to small and mid-cap stocks. The
outperformance of micro cap stocks relative to small and mid cap stocks was the
primary driver of outperformance relative to the benchmark.
DFA Real Estate Securities Portfolio
The DFA Real Estate Securities Portfolio is designed to capture the returns
of a broadly diversified portfolio of real estate securities (i.e., REITs), but
does not attempt to closely track a specific index. As of October 31, 2012, the
Portfolio held approximately 115 REITs. The average cash exposure for the
period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 14.45% for the
Portfolio, 14.09% for the Dow Jones U.S. Select REIT IndexSM, and 15.21% for
the S&P 500(R) Index. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad structural trends in
the U.S. real estate
16
securities market rather than the behavior of a limited number of securities.
The Portfolio has a lower market cap floor than the Dow Jones U.S. Select REIT
Index/SM/ and invests in small cap REITs that may not be included in the Index.
The Dow Jones U.S. Select REIT Index/SM/ also excludes net lease REITS which
are eligible for the Portfolio. Securities held by the Portfolio and excluded
by the Index generally outperformed the Dow Jones U.S. Select REIT Index/SM/
over the period, benefiting relative performance.
International Equity Market Review 12 Months Ended October 31, 2012
The one-year period ending October 31, 2012, was characterized by generally
positive monthly returns with a sharp decline in the month of May. The MSCI
World ex USA Index (net dividends) dropped by -11.4% in the month of May due to
the deepening European debt crisis and concern over a potential Greece exit
from the euro. In response to the crisis, European leaders met and planned out
additional measures to stabilize the markets which positively impacted market
returns in the following months. As measured by the MSCI indices below for
developed markets outside the U.S., value stocks generally outperformed their
growth counterparts, while small cap stocks outperformed large caps.
12 Months Ended October 31, 2012
--------------------------------
U.S. Dollar
Return
- -----------
MSCI World ex USA Index...................... 4.40%
MSCI World ex USA Small Cap Index............ 4.86%
MSCI World ex USA Value Index................ 4.74%
MSCI World ex USA Growth Index............... 3.99%
--------
The US dollar (USD) generally appreciated against other major developed markets
currencies during the period. While the USD's value remained relatively
constant against the British pound and Canadian dollar, it gained significantly
against the euro and Swiss franc, and to a lesser extent, against the Japanese
yen and Australian dollar.
12 Months Ended October 31, 2012
--------------------------------
Local U.S.
Ten Largest Foreign Developed Markets by Market Currency Dollar
Cap Return Return
----------------------------------------------- -------- ------
United Kingdom.................................... 8.61% 8.41%
Japan............................................. -0.86% -3.28%
Canada............................................ 3.34% 2.69%
France............................................ 10.04% 2.23%
Australia......................................... 10.20% 7.71%
Switzerland....................................... 17.41% 9.79%
Germany........................................... 18.18% 9.79%
Spain............................................. -6.40% -13.04%
Sweden............................................ 9.26% 6.47%
Hong Kong......................................... 16.12% 16.34%
--------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2012, all rights reserved.
Gains in emerging markets were lower on average than in developed markets,
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2012, returns in USD were 2.63% for
the MSCI Emerging Markets Index (net dividends) versus 4.40% for the MSCI World
ex USA Index (net dividends). As measured by the MSCI indices, emerging markets
growth stocks outperformed their value counterparts, while emerging markets
small cap stocks outperformed large caps.
17
12 Months Ended October 31, 2012
--------------------------------
U.S. Dollar
Return
- -----------
MSCI Emerging Markets Index............. 2.63%
MSCI Emerging Markets Small Cap Index... 3.74%
MSCI Emerging Markets Value Index....... 1.36%
MSCI Emerging Markets Growth Index...... 3.89%
The US dollar (USD) appreciated significantly against the Brazilian real,
Indian rupee, South African rand and depreciated to a lesser extent against the
South Korean won, Mexican peso, and Taiwanese dollar.
12 Months Ended October 31, 2012
--------------------------------
Local U.S.
Currency Dollar
Ten Largest Emerging Markets by Market Cap Return Return
------------------------------------------ -------- ------
China............................................. 7.71% 7.92%
South Korea....................................... 1.71% 3.35%
Brazil............................................ 4.65% -12.68%
Taiwan............................................ -1.78% 0.59%
South Africa...................................... 17.70% 6.84%
India............................................. 5.24% -4.73%
Russia............................................ -1.42% -4.50%
Mexico............................................ 16.32% 17.03%
Malaysia.......................................... 11.39% 12.19%
Indonesia......................................... 12.64% 3.82%
--------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2012, all rights reserved.
Global REIT Market Review 12 Months Ended October 31, 2012
The publicly traded global REIT market produced positive overall returns
during the one-year period ending October 31, 2012. Country-level dispersion of
returns was high as there were definite winners and losers. The largest REIT
market, the United States, advanced significantly, but not to the extent of
non-US REITs. Pacific Rim-based REITs produced some of the strongest returns.
Still struggling with a debt crisis now entering its third year, Continental
Europe underperformed, although REITs in this region did manage a positive
return. Dispersion was prevalent across REIT sub-sectors as well. Residential
REITs, which on a global basis are disproportionately US based, was the poorest
performing REIT sub-sector. Industrial and retail REITs fared among the best.
12 Months Ended October 31, 2012
--------------------------------
U.S. Dollar
Return
-----------
S&P Global ex U.S. REIT Index (net dividends). 20.40%
S&P Global REIT Index (net dividends)......... 16.22%
--------
Source: Standard and Poor's. Copyright S&P, 2012. All rights reserved.
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called a "Master Fund." The Master Funds, in turn, purchase
stocks and/or other securities.
18
Large Cap International Portfolio
The Large Cap International Portfolio seeks to capture the returns of a
broadly diversified basket of international large company stocks. The
investment strategy is process driven, emphasizing broad diversification, and
does not attempt to track a specific equity index. As of October 31, 2012, the
Portfolio held approximately 1,400 securities in 23 developed markets. In
general, the Portfolio was mostly invested in equities throughout the year. The
average cash exposure for the period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 5.89% for the
Portfolio and 4.40% for the MSCI World ex USA Index (net dividends). As a
result of the Portfolio's diversified investment approach, performance was
determined principally by broad structural trends in the international equity
markets rather than by the behavior of a limited number of stocks. The
Portfolio's outperformance was primarily attributable to differences in the
valuation timing and methodology between the Portfolio and the Index. The
Portfolio prices foreign exchange rates at the closing of the U.S. markets
while the Index uses rates at 4 pm London time. The Portfolio also may use fair
value pricing to price certain portfolio securities at the closing of the U.S.
markets while the Index uses local market closing prices.
International Core Equity Portfolio
The International Core Equity Portfolio seeks to capture the returns of a
broadly diversified basket of international stocks, with increased exposure to
smaller company stocks and those with value characteristics. The investment
strategy is process driven, emphasizing broad diversification, and does not
attempt to track a specific equity index. As of October 31, 2012, the Portfolio
held approximately 4,900 securities in 23 developed markets. In general, the
Portfolio was mostly invested in equities throughout the year. The average cash
exposure for the period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 5.49% for the
Portfolio and 4.40% for the MSCI World ex USA Index (net dividends). As a
result of the Portfolio's diversified investment approach, performance was
determined principally by broad structural trends in the international equity
markets rather than by the behavior of a limited number of stocks. The
Portfolio's outperformance was primarily attributable to differences in the
valuation timing and methodology between the Portfolio and the Index. The
Portfolio prices foreign exchange rates at the closing of the U.S. markets
while the Index uses rates at 4 pm London time. The Portfolio also may use fair
value pricing to price certain portfolio securities at the closing of the U.S.
markets while the Index uses local market closing prices.
International Small Company Portfolio
The International Small Company Portfolio seeks to capture the returns of
international small company stocks by purchasing shares of five Master Funds
that invest individually in Canada, the United Kingdom, Continental Europe
(including Israel and excluding the U.K.), Japan, and the Asia Pacific region
ex Japan. The investment strategy is process driven, emphasizing broad
diversification and consistent exposure to small company stocks, and does not
attempt to track a specific equity index. As of October 31, 2012, the Master
Funds collectively held approximately 4,600 securities in 23 developed market
countries. In general, the Portfolio was mostly invested in the Master Funds
throughout the year. The combined average cash exposure for the period was less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 5.63% for the
Portfolio and 4.86% for the MSCI World ex USA Small Cap Index (net dividends).
As a result of each Master Fund's diversified investment approach, the
Portfolio's performance was determined principally by broad structural trends
in international equity markets rather than the behavior of a limited number of
stocks. The Portfolio's outperformance was primarily attributable to
differences in the valuation timing and methodology between the Master Funds
(other than the Master Fund for Canadian small cap securities) and the Index.
The Master Funds price foreign exchange rates at the closing of the U.S.
markets while the Index uses rates at 4 pm London time. The Master Funds also
may use fair value pricing to price certain portfolio securities at the closing
of the U.S. markets while the Index uses local market closing prices.
19
Japanese Small Company Portfolio
The Japanese Small Company Portfolio seeks to capture the returns of
Japanese small company stocks by purchasing shares of The Japanese Small
Company Series, a Master Fund that invests in such securities. The investment
strategy is process driven, emphasizing broad diversification and consistent
exposure to small company stocks, and does not attempt to track a specific
equity index. As of October 31, 2012, the Master Fund held approximately 1,400
securities. In general, the Master Fund was mostly invested in equities
throughout the year. The average cash exposure for the period was less than 1%
of the Master Fund's assets.
For the 12 months ended October 31, 2012, total returns were 0.20% for the
Portfolio and -1.01% for the MSCI Japan Small Cap Index (net dividends). As a
result of the Master Fund's diversified investment approach, performance was
determined principally by broad structural trends in the Japanese equity
market, rather than the behavior of a limited number of stocks. The Portfolio's
outperformance was primarily attributable to the Master Fund's holdings of
companies with a market capitalization below $500 million. These stocks are
generally considered too small to be included in the Index and outperformed
other stocks, contributing to the Portfolio's relative performance. The Master
Fund's outperformance was also attributable to differences in the valuation
timing and methodology between the Master Fund and the Index. The Master Fund
prices foreign exchange rates at the closing of the U.S. markets while the
Index uses rates at 4 pm London time. The Master Fund also may use fair value
pricing to price certain portfolio securities at the closing of the U.S.
markets while the Index uses local market closing prices.
Asia Pacific Small Company Portfolio
The Asia Pacific Small Company Portfolio seeks to capture the returns of
small company stocks in Australia, Hong Kong, New Zealand, and Singapore, by
purchasing shares of The Asia Pacific Small Company Series, a Master Fund that
invests in such securities. The investment strategy is process driven,
emphasizing broad diversification and consistent exposure to small company
stocks, and does not attempt to track a specific equity index. As of
October 31, 2012, the Master Fund held approximately 1,000 securities across
the eligible countries. In general, the Master Fund was mostly invested in
equities during the period. The average cash exposure for the period was less
than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2012, total returns were 7.09% for the
Portfolio and 4.01% for the MSCI Pacific ex Japan Small Cap Index (net
dividends). As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in Asia
Pacific equity markets rather than the behavior of a limited number of stocks.
In particular, the Index held a number of larger Australian companies at higher
weights than the Series and these stocks underperformed, benefitting the
Series' relative performance. The Master Fund's outperformance was also
attributable to differences in the valuation timing and methodology between the
Master Fund and the Index. The Master Fund prices foreign exchange rates at the
closing of the U.S. markets while the Index uses rates at 4 pm London time. The
Master Fund also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. markets while the Index uses local market
closing prices.
United Kingdom Small Company Portfolio
The United Kingdom Small Company Portfolio seeks to capture the returns of
U.K. small company stocks by purchasing shares of The United Kingdom Small
Company Series, a Master Fund that invests in such securities. The investment
strategy is process driven, emphasizing broad diversification and consistent
exposure to small company stocks, and does not attempt to track a specific
equity index. As of October 31, 2012, the Master Fund held approximately 360
securities. In general, the Master Fund was mostly invested in equities
throughout the year. The average cash exposure for the period was less than 1%
of the Master Fund's assets.
For the 12 months ended October 31, 2012, total returns were 22.82% for the
Portfolio and 20.73% for the MSCI UK Small Cap Index (net dividends). As a
result of the Master Fund's diversified investment approach, performance was
determined principally by broad structural trends in the U.K. equity market,
rather than the behavior of a limited number of stocks. The Master Fund
generally excluded stocks not listed on the London Stock Exchange whereas the
Index held a number of stocks listed on other exchanges. The stocks that were
excluded by the Master Fund significantly underperformed, contributing to the
Master Fund's relative performance. In addition, the
20
Master Fund held a number of stocks that were considered to be too large for
the Index. These larger names outperformed, which had a positive impact on
relative performance. The Master Fund's outperformance was also attributable to
differences in the valuation timing and methodology between the Master Fund and
the Index. The Master Fund prices foreign exchange rates at the closing of the
U.S. markets while the Index uses rates at 4 pm London time. The Master Fund
also may use fair value pricing to price certain portfolio securities at the
closing of the U.S. markets while the Index uses local market closing prices.
Continental Small Company Portfolio
The Continental Small Company Portfolio seeks to capture the returns of
small company stocks in developed markets of Europe (excluding the U.K.) and
Israel, by purchasing shares of The Continental Small Company Series, a Master
Fund that invests in such securities. The investment strategy is process
driven, emphasizing broad diversification and consistent exposure to small
company stocks, and does not attempt to track a specific equity index. As of
October 31, 2012, the Master Fund held approximately 1,400 securities in 15
developed continental European countries and Israel. Country allocations
generally reflect the approximate weights of individual securities within a
universe of continental European and Israeli small company stocks constructed
by the Advisor. In general, the Master Fund was mostly invested in equities
throughout the year. The average cash exposure for the period was less than 1%
of the Master Fund's assets.
For the 12 months ended October 31, 2012, total returns were 1.85% for the
Portfolio and 3.75% for the MSCI Europe ex UK Small Cap Index (net dividends).
As a result of the Master Fund's diversified investment approach, performance
was determined principally by broad structural trends in the continental
European (excluding the U.K.) and Israeli equity markets, rather than the
behavior of a limited number of stocks. The Master Fund defines the small cap
universe differently than the Index. For the one-year period, this led to
differences in country weights as well as holdings within certain countries. In
particular, the Master Fund had a lower allocation to Norway, one of the best
performing countries, which detracted from relative performance. Differences in
the Master Fund's definition of the small cap universe also resulted in the
exclusion or lower weighting of larger securities in Norway, Germany and Sweden
which also outperformed, and detracted from the Series' relative performance.
For the period, differences in the valuation timing and methodology between the
Master Fund and the Index contributed positively to the Master Fund's
performance. The Master Fund prices foreign exchange rates at the closing of
the U.S. markets while the Index uses rates at 4 pm London time. The Master
Fund also may use fair value pricing to price certain portfolio securities at
the closing of the U.S. markets while the Index uses local market closing
prices.
DFA International Real Estate Securities Portfolio
The DFA International Real Estate Securities Portfolio is designed to
capture the returns of a broadly diversified portfolio of real estate
securities in international markets but does not attempt to track a specific
index. As of October 31, 2012, the Portfolio held approximately 200 securities
in 20 developed and emerging market countries. In general, the Portfolio was
mostly invested in equities throughout the year. The average cash exposure for
the period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 22.34% for the
Portfolio and 20.40% for the S&P Global ex US REIT Index (net dividends). As a
result of the Portfolio's diversified approach, performance was determined
principally by structural trends in international real estate securities
markets rather than the behavior of a limited number of stocks. Withholding tax
rate differences between the Portfolio and the Index contributed to the
Portfolio's relative outperformance. Differences in the valuation timing and
methodology between the Portfolio and the Index also benefited relative
performance. The Portfolio prices foreign exchange rates at the closing of the
U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also
may use fair value pricing to price certain portfolio securities at the closing
of the U.S. markets while the Index uses local market closing prices.
21
DFA Global Real Estate Securities Portfolio
The DFA Global Real Estate Securities Portfolio, a fund of funds, is
designed to capture the returns of a broadly diversified portfolio of real
estate securities in U.S. and international markets, but does not attempt to
track a specific index. As of October 31, 2012, the Portfolio invested in the
DFA International Real Estate Securities Portfolio and the DFA Real Estate
Securities Portfolio (the "Underlying Funds"). As of October 31, 2012, the
Underlying Funds held approximately 320 securities in 21 developed and emerging
markets countries. In general, the Portfolio was mostly invested in equities
throughout the year. The average cash exposure for the period was less than 1%
of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 17.33% for the
Portfolio and 16.22% for the S&P Global REIT Index (net dividends). As a result
of the Portfolio's diversified approach, performance was principally determined
by structural trends in global real estate securities markets rather than the
behavior of a limited number of stocks. Withholding tax rate differences
between the Portfolio and the Index contributed to the Portfolio's relative
outperformance. Differences in the valuation timing and methodology between one
of the Underlying Funds-The DFA International Real Estate Securities Portfolio
and the Index also benefited relative performance. The DFA International Real
Estate Securities Portfolio prices foreign exchange rates at the closing of the
U.S. markets while the Index uses rates at 4 pm London time. The DFA
International Real Estate Securities Portfolio also may use fair value pricing
to price certain portfolio securities at the closing of the U.S. markets while
the Index uses local market closing prices.
DFA International Small Cap Value Portfolio
The DFA International Small Cap Value Portfolio seeks to capture the returns
of international small company value stocks. The investment strategy is process
driven, emphasizing broad diversification and consistent exposure to small
company value stocks, and does not attempt to track a specific equity index. As
of October 31, 2012, the Portfolio held approximately 2,100 securities in 23
developed market countries. In general, the Portfolio was mostly invested in
equities throughout the year. The average cash exposure for the period was less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 6.92% for the
Portfolio and 4.86% for the MSCI World ex USA Small Cap Index (net dividends).
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad structural trends in international equity
markets rather than the behavior of a limited number of stocks. The primary
reason for the Portfolio's relative outperformance against the Index was that
the Portfolio held a number of larger U.K. value stocks that were not present
in the Index's holdings of U.K. securities. These U.K. issuers significantly
outperformed, contributing to the Portfolio's relative outperformance. To a
lesser extent, the Portfolio's outperformance was also attributable to
differences in the valuation timing and methodology between the Portfolio and
the Index. The Portfolio prices foreign exchange rates at the closing of the
U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also
may use fair value pricing to price certain portfolio securities at the closing
of the U.S. markets while the Index uses local market closing prices.
International Vector Equity Portfolio
The International Vector Equity Portfolio seeks to capture the returns of a
broadly diversified basket of international stocks, with increased exposure to
smaller company stocks and those with value characteristics than the
International Core Equity Portfolio. The investment strategy is process driven,
emphasizing broad diversification, and does not attempt to track a specific
equity index. As of October 31, 2012, the Portfolio held approximately 4,000
securities in 23 developed markets. In general, the Portfolio was mostly
invested in equities throughout the year. The average cash exposure for the
period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 4.90% for the
Portfolio and 4.40% for the MSCI World ex USA Index (net dividends). As a
result of the Portfolio's diversified investment approach, performance was
determined principally by broad structural trends in the international equity
markets rather than by the behavior of a limited number of stocks. The
Portfolio's outperformance was primarily attributable to differences in the
valuation timing and methodology between the Portfolio and the Index. The
Portfolio prices foreign exchange
22
rates at the closing of the U.S. markets while the Index uses rates at 4 pm
London time. The Portfolio also may use fair value pricing to price certain
portfolio securities at the closing of the U.S. markets while the Index uses
local market closing prices.
World ex U.S. Value Portfolio
The World ex U.S. Value Portfolio seeks to capture the returns of value
stocks across all market capitalizations in international developed and
emerging markets by purchasing shares of three funds managed by Dimensional:
The DFA International Value Series, DFA International Small Cap Value
Portfolio, and Dimensional Emerging Markets Value Fund (the "Underlying
Funds"). Value is measured primarily by book-to-market ratio. The investment
strategy is process driven, emphasizing broad diversification and consistent
exposure to value stocks, and does not attempt to track a specific equity
index. As of October 31, 2012, the Underlying Funds collectively held
approximately 4,800 securities. In general, the Portfolio was mostly invested
in equities. The average cash exposure for the period was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 2.70% for the
Portfolio and 3.98% for the MSCI All Country World ex USA Index (net
dividends). As a result of the Underlying Funds' diversified investment
approach, performance was determined principally by broad structural trends in
the international and emerging equity markets rather than the behavior of a
limited number of stocks. The Portfolio focuses on value stocks, as measured by
book-to-market, while the Index is neutral with regard to value or growth.
Although small-cap value stocks in developed markets performed relatively well,
value stocks in both developed and emerging markets, as measured by high
book-to-market ratios, generally underperformed during the period. The
Portfolio had significantly greater exposure than the Index to value stocks,
which was the primary reason for the Portfolio's relative underperformance. For
the period, differences in the valuation timing and methodology between the
Underlying Funds and the Index contributed positively to the Portfolio's
relative performance. The Underlying Funds price foreign exchange rates at the
closing of the U.S. markets while the Index uses rates at 4 pm London time. The
Underlying Funds also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. markets while the Index uses local market
closing prices.
Selectively Hedged Global Equity Portfolio
The Selectively Hedged Global Equity Portfolio seeks long-term capital
appreciation by investing in a combination of mutual funds managed by
Dimensional. As of the date of this report, the mutual funds invested in by the
Portfolio include the U.S. Core Equity 2 Portfolio, International Core Equity
Portfolio, and Emerging Markets Core Equity Portfolio (the "Underlying Funds").
The Portfolio hedges foreign currency exposure on a selective basis to capture
positive forward currency premiums. The investment strategy is process driven,
emphasizing broad diversification and consistent exposure in each Underlying
Fund to stocks with desired asset class characteristics. As of October 31,
2012, the Underlying Funds held more than 11,000 equity securities in 44
countries.
From the Portfolio's inception on November 14, 2011, through October 31,
2012, total returns were 11.11% for the Portfolio and 10.48% for the MSCI All
Country World Index (net dividends). As a result of the Underlying Funds'
diversified investment approach, performance was determined principally by
broad structural trends in global equity markets rather than the behavior of a
limited group of stocks in a particular industry or country. Differences in the
valuation timing and methodology between the international Underlying Funds and
the Index contributed significantly to relative outperformance. The
international Underlying Funds price foreign exchange rates at the closing of
the U.S. markets while the Index uses rates at 4 pm London time. The
international Underlying Funds also may use fair value pricing to price certain
portfolio securities at the closing of the U.S. markets while the Index uses
local market closing prices. The Portfolio's relative outperformance, as
compared to the Index, was also attributable to its currency hedging with
respect to the euro, Swiss franc, and Japanese yen.
Emerging Markets Portfolio
The Emerging Markets Portfolio seeks to capture the returns of large cap
stocks in selected emerging markets countries by purchasing shares of The
Emerging Markets Series, a Master Fund that invests in such securities. The
investment strategy is process driven, emphasizing broad diversification and
consistent exposure to large
23
cap emerging markets stocks, and does not attempt to track a specific equity
index. As of October 31, 2012, the Master Fund held approximately 970
securities across 20 emerging markets. In general, the Portfolio was mostly
invested in equities throughout the year. The average cash exposure for the
period was less than 1% of the Portfolio's assets. The Master Fund's country
weights were capped at 15% of assets associated with any one country at the
time of purchase by the manager to limit single-country risk exposure.
For the 12 months ended October 31, 2012, total returns were 4.08% for the
Portfolio and 2.63% for the MSCI Emerging Markets Index (net dividends). As a
result of the Master Fund's diversified approach, performance was generally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. Differences in the valuation timing and methodology
between the Master Fund and the Index were the primary reason for the
Portfolio's outperformance relative to the Index. The Master Fund prices
foreign exchange rates at the closing of the U.S. markets while the Index uses
rates at 4 pm London time. The Master Fund also may use fair value pricing to
price certain portfolio securities at the closing of the U.S. markets while the
Index uses local market closing prices.
Emerging Markets Small Cap Portfolio
The Emerging Markets Small Cap Portfolio seeks to capture the returns of
small company stocks in selected emerging markets by purchasing shares of the
Emerging Markets Small Cap Series, a Master Fund that invests in such
securities. The Master Fund's investment strategy is process driven,
emphasizing broad diversification and consistent exposure to small company
stocks in selected emerging markets, and does not attempt to track a specific
equity index. As of October 31, 2012, the Master Fund held approximately 2,900
securities across 16 emerging markets. In general, the Master Fund was mostly
invested in equities throughout the year. The average cash exposure for the
period was less than 1% of the Master Fund's assets. The Master Fund's country
weights were capped at 15% of assets associated with any one country upon
purchase by the manager to limit single-country risk exposure.
For the 12 months ended October 31, 2012, total returns were 6.71% for the
Portfolio and 2.63% for the MSCI Emerging Markets Index (net dividends). As a
result of the Master Fund's diversified approach, performance was principally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. The Master Fund focuses on small cap stocks while
the Index primarily holds mid-cap and large cap stocks. Emerging markets small
cap stocks outperformed larger companies over the period. The Master Fund's
significantly greater exposure than the Index to small cap stocks contributed
to the relative outperformance. In addition, differences in country weights
between the Master Fund and the Index also contributed to the Master Fund's
relative outperformance. To a lesser extent, differences in the valuation
timing and methodology between the Master Fund and the Index also contributed
to outperformance. The Master Fund prices foreign exchange rates at the closing
of the U.S. markets while the Index uses rates at 4 pm London time. The Master
Fund also may use fair value pricing to price certain portfolio securities at
the closing of the U.S. markets while the Index uses local market closing
prices.
Emerging Markets Value Portfolio
The Emerging Markets Value Portfolio seeks to capture the returns of value
stocks of any market capitalization size in selected emerging markets by
purchasing shares of the Dimensional Emerging Markets Value Fund, a Master Fund
that invests in such securities. Value is measured primarily by book-to-market
ratio. The investment strategy is process driven, emphasizing broad
diversification and consistent exposure to emerging markets value stocks, and
does not attempt to track a specific equity index. As of October 31, 2012, the
Master Fund held approximately 2,200 securities across 18 emerging markets. In
general, the Portfolio was mostly invested in equities throughout the year. The
average cash exposure for the period was less than 1% of the Portfolio's
assets. The Master Fund's country weights were capped at 15% of assets
associated with any one country at the time of purchase by the manager to limit
single-country risk exposure.
For the 12 months ended October 31, 2012, total returns were 0.43% for the
Portfolio's Class R2 shares, 0.70% for the Portfolio's Institutional Class
shares, and 2.63% for the MSCI Emerging Markets Index (net dividends). As a
result of the Master Fund's diversified investment approach, performance was
generally determined
24
by broad structural trends in emerging markets rather than the behavior of a
limited number of stocks. The Master Fund focuses on value stocks, as measured
by book-to-market, while the Index is neutral with regard to value or growth.
Value stocks in emerging markets significantly underperformed during the
period. The Master Fund had significantly greater exposure than the Index to
value stocks, which was the primary contributor to relative underperformance.
In particular, the Master Fund had lower exposure than the Index to large cap
growth stocks in the Information Technology sector, which significantly
outperformed and detracted from the Portfolio's relative performance.
Differences in the valuation timing and methodology between the Master Fund and
the Index contributed positively to performance of the Master Fund. The Master
Fund prices foreign exchange rates at the closing of the U.S. markets while the
Index uses rates at 4 pm London time. The Master Fund also may use fair value
pricing to price certain portfolio securities at the closing of the U.S.
markets while the Index uses local market closing prices.
Emerging Markets Core Equity Portfolio
The Emerging Markets Core Equity Portfolio seeks to capture the returns of a
broad universe of stocks in selected emerging markets with increased exposure
to smaller company stocks and those stocks with value characteristics, as
measured by book-to-market. The investment strategy is process driven,
emphasizing broad diversification and consistent exposure to selected emerging
markets countries, and does not attempt to track a specific equity index. As of
October 31, 2012, the Portfolio held approximately 3,600 securities across 20
emerging markets. In general, the Portfolio was mostly invested in equities
throughout the year. The average cash exposure for the period was less than 1%
of the Portfolio's assets. The Portfolio's country weights were capped at 15%
of assets associated with any one country at the time of purchase by the
manager to limit single-country risk exposure.
For the 12 months ended October 31, 2012, total returns were 3.55% for the
Portfolio and 2.63% for the MSCI Emerging Markets Index (net dividends). As a
result of the Portfolio's diversified approach, performance was generally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. The Portfolio invests in stocks across all size
categories while the Index primarily holds large cap and mid-cap stocks.
Emerging markets small cap stocks outperformed large caps during the period.
The Portfolio's greater exposure to small cap stocks contributed to the
Portfolio's relative outperformance. This was partially offset by the
Portfolio's greater exposure to value stocks, which underperformed. Differences
in the valuation timing and methodology between the Portfolio and the Index
also had a positive impact on relative performance. The Portfolio prices
foreign exchange rates at the closing of the U.S. markets while the Index uses
rates at 4 pm London time. The Portfolio also may use fair value pricing to
price certain portfolio securities at the closing of the U.S. markets while the
Index uses local market closing prices.
25
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets.This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return and "Expenses Paid During Period"
reflect the dollar amount that would have been paid by an investor who
started with $1,000 in the fund.You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2012
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/12 10/31/12 Ratio* Period*
--------- --------- ---------- --------
Enhanced U.S. Large Company Portfolio
-------------------------------------
Actual Fund Return
Institutional Class Shares......... $1,000.00 $1,026.04 0.24% $1.22
Hypothetical 5% Annual Return
Institutional Class Shares......... $1,000.00 $1,023.93 0.24% $1.22
26
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/12 10/31/12 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Cap Value Portfolio**
--------------------------------
Actual Fund Return
Institutional Class Shares......... $1,000.00 $1,067.74 0.27% $1.40
Hypothetical 5% Annual Return
Institutional Class Shares......... $1,000.00 $1,023.78 0.27% $1.37
U.S. Targeted Value Portfolio
-----------------------------
Actual Fund Return
Class R1 Shares.................... $1,000.00 $1,027.73 0.48% $2.45
Class R2 Shares.................... $1,000.00 $1,026.88 0.63% $3.21
Institutional Class Shares......... $1,000.00 $1,028.21 0.37% $1.89
Hypothetical 5% Annual Return
Class R1 Shares.................... $1,000.00 $1,022.72 0.48% $2.44
Class R2 Shares.................... $1,000.00 $1,021.97 0.63% $3.20
Institutional Class Shares......... $1,000.00 $1,023.28 0.37% $1.88
U.S. Small Cap Value Portfolio
------------------------------
Actual Fund Return
Institutional Class Shares......... $1,000.00 $1,032.78 0.52% $2.66
Hypothetical 5% Annual Return
Institutional Class Shares......... $1,000.00 $1,022.52 0.52% $2.64
U.S. Core Equity 1 Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares......... $1,000.00 $1,018.16 0.19% $0.96
Hypothetical 5% Annual Return
Institutional Class Shares......... $1,000.00 $1,024.18 0.19% $0.97
U.S. Core Equity 2 Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares......... $1,000.00 $1,024.98 0.22% $1.12
Hypothetical 5% Annual Return
Institutional Class Shares......... $1,000.00 $1,024.03 0.22% $1.12
U.S. Vector Equity Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares......... $1,000.00 $1,024.30 0.32% $1.63
Hypothetical 5% Annual Return
Institutional Class Shares......... $1,000.00 $1,023.53 0.32% $1.63
U.S. Small Cap Portfolio
------------------------
Actual Fund Return
Institutional Class Shares......... $1,000.00 $1,020.40 0.37% $1.88
Hypothetical 5% Annual Return
Institutional Class Shares......... $1,000.00 $1,023.28 0.37% $1.88
27
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/12 10/31/12 Ratio* Period*
--------- --------- ---------- --------
U.S. Micro Cap Portfolio
------------------------
Actual Fund Return
Institutional Class Shares............ $1,000.00 $1,019.78 0.52% $2.64
Hypothetical 5% Annual Return
Institutional Class Shares............ $1,000.00 $1,022.52 0.52% $2.64
DFA Real Estate Securities Portfolio
------------------------------------
Actual Fund Return
Institutional Class Shares............ $1,000.00 $ 999.60 0.18% $0.90
Hypothetical 5% Annual Return
Institutional Class Shares............ $1,000.00 $1,024.23 0.18% $0.92
Large Cap International Portfolio
---------------------------------
Actual Fund Return
Institutional Class Shares............ $1,000.00 $1,021.38 0.30% $1.52
Hypothetical 5% Annual Return
Institutional Class Shares............ $1,000.00 $1,023.63 0.30% $1.53
International Core Equity Portfolio
-----------------------------------
Actual Fund Return
Institutional Class Shares............ $1,000.00 $1,011.60 0.40% $2.02
Hypothetical 5% Annual Return
Institutional Class Shares............ $1,000.00 $1,023.13 0.40% $2.03
International Small Company Portfolio***
----------------------------------------
Actual Fund Return
Institutional Class Shares............ $1,000.00 $ 993.37 0.56% $2.81
Hypothetical 5% Annual Return
Institutional Class Shares............ $1,000.00 $1,022.32 0.56% $2.85
Japanese Small Company Portfolio**
----------------------------------
Actual Fund Return
Institutional Class Shares............ $1,000.00 $ 925.09 0.58% $2.81
Hypothetical 5% Annual Return
Institutional Class Shares............ $1,000.00 $1,022.22 0.58% $2.95
Asia Pacific Small Company Portfolio**
--------------------------------------
Actual Fund Return
Institutional Class Shares............ $1,000.00 $1,004.40 0.58% $2.92
Hypothetical 5% Annual Return
Institutional Class Shares............ $1,000.00 $1,022.22 0.58% $2.95
28
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/12 10/31/12 Ratio* Period*
--------- --------- ---------- --------
United Kingdom Small Company Portfolio**
----------------------------------------
Actual Fund Return
Institutional Class Shares...................... $1,000.00 $1,070.69 0.60% $3.12
Hypothetical 5% Annual Return
Institutional Class Shares...................... $1,000.00 $1,022.12 0.60% $3.05
Continental Small Company Portfolio**
-------------------------------------
Actual Fund Return
Institutional Class Shares...................... $1,000.00 $ 997.27 0.57% $2.86
Hypothetical 5% Annual Return
Institutional Class Shares...................... $1,000.00 $1,022.27 0.57% $2.90
DFA International Real Estate Securities Portfolio
--------------------------------------------------
Actual Fund Return
Institutional Class Shares...................... $1,000.00 $1,134.00 0.41% $2.20
Hypothetical 5% Annual Return
Institutional Class Shares...................... $1,000.00 $1,023.08 0.41% $2.08
DFA Global Real Estate Securities Portfolio***
----------------------------------------------
Actual Fund Return
Institutional Class Shares...................... $1,000.00 $1,049.49 0.32% $1.65
Hypothetical 5% Annual Return
Institutional Class Shares...................... $1,000.00 $1,023.53 0.32% $1.63
DFA International Small Cap Value Portfolio
-------------------------------------------
Actual Fund Return
Institutional Class Shares...................... $1,000.00 $1,000.27 0.71% $3.57
Hypothetical 5% Annual Return
Institutional Class Shares...................... $1,000.00 $1,021.57 0.71% $3.61
International Vector Equity Portfolio
-------------------------------------
Actual Fund Return
Institutional Class Shares...................... $1,000.00 $1,002.15 0.54% $2.72
Hypothetical 5% Annual Return
Institutional Class Shares...................... $1,000.00 $1,022.42 0.54% $2.75
World ex U.S. Value Portfolio***
--------------------------------
Actual Fund Return
Institutional Class Shares...................... $1,000.00 $1,009.74 0.60% $3.03
Hypothetical 5% Annual Return
Institutional Class Shares...................... $1,000.00 $1,022.12 0.60% $3.05
Selectively Hedged Global Equity Portfolio***
---------------------------------------------
Actual Fund Return
Institutional Class Shares...................... $1,000.00 $1,015.76 0.40% $2.03
Hypothetical 5% Annual Return
Institutional Class Shares...................... $1,000.00 $1,023.13 0.40% $2.03
29
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/12 10/31/12 Ratio* Period*
--------- --------- ---------- --------
Emerging Markets Portfolio**
----------------------------
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 996.33 0.62% $3.11
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,022.02 0.62% $3.15
Emerging Markets Small Cap Portfolio**
--------------------------------------
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $1,007.35 0.85% $4.29
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,020.86 0.85% $4.32
Emerging Markets Value Portfolio**
----------------------------------
Actual Fund Return
Class R2 Shares..................... $1,000.00 $ 982.24 0.87% $4.33
Institutional Class Shares.......... $1,000.00 $ 983.89 0.62% $3.09
Hypothetical 5% Annual Return
Class R2 Shares..................... $1,000.00 $1,020.76 0.87% $4.42
Institutional Class Shares.......... $1,000.00 $1,022.02 0.62% $3.15
Emerging Markets Core Equity Portfolio
--------------------------------------
Actual Fund Return
Institutional Class Shares.......... $1,000.00 $ 992.43 0.69% $3.46
Hypothetical 5% Annual Return
Institutional Class Shares.......... $1,000.00 $1,021.67 0.69% $3.51
--------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (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).
30
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 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%
31
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
FIXED INCOME PORTFOLIO
Enhanced U.S. Large Company Portfolio
Corporate.......................... 25.3%
Government......................... 7.6%
Foreign Corporate.................. 28.0%
Foreign Government................. 32.9%
Supranational...................... 6.20%
-----
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. Targeted Value Portfolio
Consumer Discretionary............. 16.3%
Consumer Staples................... 4.7%
Energy............................. 8.2%
Financials......................... 25.7%
Health Care........................ 6.8%
Industrials........................ 15.1%
Information Technology............. 12.6%
Materials.......................... 8.3%
Other.............................. --
Telecommunication Services......... 1.3%
Utilities.......................... 1.0%
-----
100.0%
U.S. Small Cap Value Portfolio
Consumer Discretionary............. 18.4%
Consumer Staples................... 4.5%
Energy............................. 8.8%
Financials......................... 25.5%
Health Care........................ 4.3%
Industrials........................ 17.2%
Information Technology............. 12.5%
Materials.......................... 8.4%
Other.............................. --
Telecommunication Services......... 0.3%
Utilities.......................... 0.1%
-----
100.0%
U.S. Core Equity 1 Portfolio
Consumer Discretionary............. 13.9%
Consumer Staples................... 8.1%
Energy............................. 10.1%
Financials......................... 16.5%
Health Care........................ 11.1%
Industrials........................ 12.9%
Information Technology............. 16.2%
Materials.......................... 5.0%
Other.............................. --
Telecommunication Services......... 2.7%
Utilities.......................... 3.5%
-----
100.0%
U.S. Core Equity 2 Portfolio
Consumer Discretionary............. 14.4%
Consumer Staples................... 6.6%
Energy............................. 11.1%
Financials......................... 19.6%
Health Care........................ 10.8%
Industrials........................ 13.8%
Information Technology............. 12.8%
Materials.......................... 5.2%
Other.............................. --
Telecommunication Services......... 3.3%
Utilities.......................... 2.4%
-----
100.0%
U.S. Vector Equity Portfolio
Consumer Discretionary............. 15.9%
Consumer Staples................... 5.5%
Energy............................. 9.9%
Financials......................... 24.1%
Health Care........................ 8.7%
Industrials........................ 14.3%
Information Technology............. 11.6%
Materials.......................... 6.2%
Other.............................. --
Telecommunication Services......... 2.4%
Utilities.......................... 1.4%
-----
100.0%
U.S. Small Cap Portfolio
Consumer Discretionary............. 18.6%
Consumer Staples................... 4.5%
Energy............................. 4.6%
Financials......................... 16.3%
Health Care........................ 10.2%
Industrials........................ 18.4%
Information Technology............. 17.7%
Materials.......................... 5.7%
Other.............................. --
Telecommunication Services......... 0.5%
Utilities.......................... 3.5%
-----
100.0%
U.S. Micro Cap Portfolio
Consumer Discretionary............. 17.8%
Consumer Staples................... 4.6%
Energy............................. 4.5%
Financials......................... 17.8%
Health Care........................ 11.5%
Industrials........................ 17.0%
Information Technology............. 17.4%
Materials.......................... 6.2%
Other.............................. --
Telecommunication Services......... 1.2%
Utilities.......................... 2.0%
-----
100.0%
DFA Real Estate Securities Portfolio
Real Estate Investment Trusts...... 100.0%
-----
100.0%
Large Cap International Portfolio
Consumer Discretionary............. 9.8%
Consumer Staples................... 10.9%
Energy............................. 10.8%
Financials......................... 24.1%
Health Care........................ 9.0%
Industrials........................ 11.9%
Information Technology............. 4.1%
Materials.......................... 11.1%
Real Estate Investment Trusts...... --
Telecommunication Services......... 4.9%
Utilities.......................... 3.4%
-----
100.0%
32
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
International Core Equity Portfolio
Consumer Discretionary..... 12.6%
Consumer Staples........... 7.2%
Energy..................... 10.0%
Financials................. 25.3%
Health Care................ 5.1%
Industrials................ 16.4%
Information Technology..... 5.0%
Materials.................. 12.1%
Other...................... --
Telecommunication Services. 3.3%
Utilities.................. 3.0%
-----
100.0%
DFA International Real Estate Securities
Portfolio
Consumer Discretionary........ 0.2%
Financials.................... 0.2%
Health Care................... 0.2%
Real Estate Investment Trusts. 99.4%
-----
100.0%
DFA International Small Cap Value Portfolio
Consumer Discretionary..... 19.6%
Consumer Staples........... 4.5%
Energy..................... 5.7%
Financials................. 20.6%
Health Care................ 2.2%
Industrials................ 25.1%
Information Technology..... 4.9%
Materials.................. 16.7%
Other...................... --
Telecommunication Services. 0.3%
Utilities.................. 0.4%
-----
100.0%
International Vector Equity Portfolio
Consumer Discretionary..... 14.5%
Consumer Staples........... 6.3%
Energy..................... 8.6%
Financials................. 25.0%
Health Care................ 4.3%
Industrials................ 17.9%
Information Technology..... 5.8%
Materials.................. 13.1%
Telecommunication Services. 2.6%
Utilities.................. 1.9%
-----
100.0%
Emerging Markets Core Equity Portfolio
Consumer Discretionary........ 10.3%
Consumer Staples.............. 8.3%
Energy........................ 9.8%
Financials.................... 24.6%
Health Care................... 2.3%
Industrials................... 10.9%
Information Technology........ 11.5%
Materials..................... 13.6%
Real Estate Investment Trusts. --
Telecommunication Services.... 5.0%
Utilities..................... 3.7%
-----
100.0%
33
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2012
Face
Amount^ Value+
------- -----------
(000)
BONDS -- (87.6%)
AUSTRALIA -- (2.8%)
BHP Billiton Finance USA, Ltd.
(u) 4.800%, 04/15/13...................................... 600 $ 611,920
Westpac Banking Corp.
(e) 6.500%, 06/24/13...................................... 3,500 4,712,942
-----------
TOTAL AUSTRALIA........................................... 5,324,862
-----------
AUSTRIA -- (5.0%)
KA Finanz AG 2.250%, 03/24/14 4,300 5,714,421
Republic of Austria
(u) 5.000%, 05/19/14...................................... 3,500 3,737,020
-----------
TOTAL AUSTRIA............................................. 9,451,441
-----------
CANADA -- (9.9%)
British Columbia, Province of Canada 5.500%, 04/24/13 2,000 2,042,253
Canadian Imperial Bank of Commerce
(u) 1.450%, 09/13/13...................................... 600 605,757
Canadian National Railway Co.
(u) 4.400%, 03/15/13...................................... 600 608,845
Canadian Natural Resources, Ltd.
(u) 5.150%, 02/01/13...................................... 600 606,725
Enbridge, Inc.
(u) 5.800%, 06/15/14...................................... 1,100 1,187,024
Encana Corp.
(u) 4.750%, 10/15/13...................................... 800 829,381
Husky Energy, Inc.
(u) 5.900%, 06/15/14...................................... 1,000 1,079,701
Ontario, Province of Canada
5.500%, 04/17/13...................................... 4,000 4,080,300
(u) 4.100%, 06/16/14...................................... 1,000 1,059,480
Thomson Reuters Corp.
(u) 5.700%, 10/01/14...................................... 800 873,418
Toronto-Dominion Bank (The)
(u) 1.375%, 07/14/14...................................... 5,000 5,074,870
TransCanada PipeLines, Ltd.
(u) 4.000%, 06/15/13...................................... 685 700,760
-----------
TOTAL CANADA.............................................. 18,748,514
-----------
DENMARK -- (2.1%)
Kommunekredit A.S.
(u) 1.250%, 09/03/13...................................... 4,000 4,030,200
-----------
Face
Amount^ Value+
------- -----------
(000)
FINLAND -- (0.3%)
Nordea Bank Finland P.L.C. Floating Rate Note
(r)(u)0.919%, 02/07/13.................................... 500 $ 500,490
-----------
FRANCE -- (9.5%)
Caisse d'Amortissement de la Dette Sociale
(u) 1.625%, 03/17/14...................................... 5,000 5,076,700
Reseau Ferre de France
4.625%, 03/17/14...................................... 3,000 4,106,417
Societe Financement del'Economie Francaise SA
3.250%, 01/16/14...................................... 3,500 4,699,469
Total Capital SA
(g) 5.500%, 01/29/13...................................... 2,500 4,076,653
-----------
TOTAL FRANCE.............................................. 17,959,239
-----------
GERMANY -- (9.0%)
Deutsche Bank AG
(u) 2.375%, 01/11/13...................................... 600 602,063
Kreditanstalt fur Wiederaufbau
(u) 4.000%, 10/15/13...................................... 3,000 3,104,040
Landeskreditbank Baden-Wuerttemberg Foerderbank
3.250%, 01/29/14...................................... 3,000 4,036,103
Landwirtschaftliche Rentenbank
(u) 4.125%, 07/15/13...................................... 4,000 4,104,920
NRW.Bank
(u) 1.375%, 08/26/13...................................... 5,000 5,028,500
-----------
TOTAL GERMANY............................................. 16,875,626
-----------
NETHERLANDS -- (9.7%)
Bank Nederlandse Gemeenten NV
3.750%, 03/14/14...................................... 3,000 4,071,480
Diageo Finance BV
(u) 5.500%, 04/01/13...................................... 600 612,566
Koninklijke Philips Electronics NV
(u) 7.250%, 08/15/13...................................... 1,000 1,049,837
Nederlandse Waterschapsbank NV
(u) 1.375%, 05/16/14...................................... 3,000 3,037,260
Rabobank Nederland NV
(u) 2.500%, 12/12/13...................................... 2,000 2,039,200
34
Enhanced U.S. Large Company Portfolio
CONTINUED
Face
Amount^ Value+
------- -----------
(000)
NETHERLANDS -- (Continued)
4.375%, 01/22/14....................................... 2,000 $ 2,714,268
SNS Bank NV
3.500%, 03/10/14....................................... 3,500 4,730,194
-----------
TOTAL NETHERLANDS......................................... 18,254,805
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.2%)
Eurofima
(c) 4.875%, 12/04/12...................................... 2,500 2,510,180
(u) 4.250%, 02/04/14...................................... 2,500 2,615,400
European Financial Stability
Facility
(e) 1.000%, 03/12/14...................................... 1,000 1,309,475
European Investment Bank
(u) 3.125%, 06/04/14...................................... 5,000 5,210,500
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS 11,645,555
-----------
SWEDEN -- (4.7%)
Nordea Bank AB
(e) 4.500%, 05/12/14...................................... 3,000 4,115,889
Svenska Handelsbanken AB
(e) 4.875%, 03/25/14...................................... 3,500 4,807,111
-----------
TOTAL SWEDEN.............................................. 8,923,000
-----------
SWITZERLAND -- (0.3%)
Credit Suisse New York AG
(u) 5.000%, 05/15/13...................................... 600 614,423
-----------
UNITED KINGDOM -- (1.7%)
Barclays Bank P.L.C.
(u) 5.200%, 07/10/14...................................... 300 320,759
BP Capital Markets P.L.C.
(u) 5.250%, 11/07/13...................................... 1,750 1,834,655
Vodafone Group P.L.C.
(u) 5.000%, 12/16/13...................................... 1,000 1,050,091
-----------
TOTAL UNITED KINGDOM...................................... 3,205,505
-----------
UNITED STATES -- (26.4%)
Allstate Corp. (The)
7.500%, 06/15/13....................................... $ 489 509,999
American Express Credit Corp.
7.300%, 08/20/13....................................... 500 526,881
Anheuser-Busch Cos., Inc.
4.375%, 01/15/13....................................... 700 704,560
Face
Amount Value+
------- -----------
(000)
UNITED STATES -- (Continued)
Apache Corp.
5.250%, 04/15/13....................................... $ 700 $ 714,979
Assurant, Inc.
5.625%, 02/15/14....................................... 1,000 1,039,081
Avery Dennison Corp.
4.875%, 01/15/13....................................... 600 605,079
Bank of America Corp.
7.375%, 05/15/14....................................... 1,000 1,092,637
BB&T Corp.
3.375%, 09/25/13....................................... 600 615,264
BlackRock, Inc.
2.250%, 12/10/12....................................... 600 601,075
Bristol-Myers Squibb Co.
5.250%, 08/15/13....................................... 345 358,344
Burlington Northern Santa Fe LLC
4.300%, 07/01/13....................................... 600 615,069
Campbell Soup Co.
4.875%, 10/01/13....................................... 251 260,966
Caterpillar Financial Services Corp.
2.000%, 04/05/13....................................... 650 654,612
CenterPoint Energy Resources Corp.
7.875%, 04/01/13....................................... 600 616,874
Cisco Systems, Inc.
1.625%, 03/14/14....................................... 1,000 1,016,508
Coca-Cola Enterprises, Inc.
1.125%, 11/12/13....................................... 1,921 1,929,767
Comcast Cable Communications Holdings, Inc.
8.375%, 03/15/13....................................... 600 617,165
Consolidated Edison Co. of New York, Inc.
3.850%, 06/15/13....................................... 250 255,277
Daimler Finance North America LLC
6.500%, 11/15/13....................................... 1,500 1,589,066
Dell, Inc.
1.400%, 09/10/13....................................... 600 604,380
Dominion Resources, Inc.
5.000%, 03/15/13....................................... 600 609,840
Duke Energy Corp.
3.950%, 09/15/14....................................... 1,600 1,693,368
Enterprise Products Operating LLC
9.750%, 01/31/14....................................... 1,000 1,108,983
Express Scripts Holding Co.
6.250%, 06/15/14....................................... 1,500 1,629,700
35
Enhanced U.S. Large Company Portfolio
CONTINUED
Face
Amount Value+
---------- ------------
(000)
UNITED STATES -- (Continued)
Fifth Third Bancorp
6.250%, 05/01/13.................................... $ 600 $ 616,747
General Electric Capital Corp.
1.875%, 09/16/13.................................... 1,500 1,519,674
2.100%, 01/07/14.................................... 3,500 3,563,497
Georgia Power Co.
1.300%, 09/15/13.................................... 700 705,591
Goldman Sachs Group, Inc. (The)
5.450%, 11/01/12.................................... 1,360 1,360,000
Hartford Financial Services Group, Inc.
4.750%, 03/01/14.................................... 1,580 1,647,902
Hewlett-Packard Co.
4.500%, 03/01/13.................................... 600 606,523
1.250%, 09/13/13.................................... 500 500,189
Historic TW, Inc.
9.125%, 01/15/13.................................... 600 609,689
HSBC Finance Corp.
6.375%, 11/27/12.................................... 600 602,174
John Deere Capital Corp.
4.500%, 04/03/13.................................... 700 712,121
JPMorgan Chase & Co.
2.050%, 01/24/14.................................... 1,000 1,017,470
Kimberly-Clark Corp.
5.000%, 08/15/13.................................... 600 622,312
Kroger Co. (The)
5.500%, 02/01/13.................................... 600 606,935
MetLife, Inc.
5.375%, 12/15/12.................................... 1,000 1,005,474
5.000%, 11/24/13.................................... 350 366,694
Nisource Finance Corp.
6.150%, 03/01/13.................................... 273 277,575
PACCAR Financial Corp.
2.050%, 06/17/13.................................... 600 606,548
Philip Morris International, Inc.
4.875%, 05/16/13.................................... 600 613,841
Praxair, Inc.
2.125%, 06/14/13.................................... 815 822,937
Principal Financial Group, Inc.
7.875%, 05/15/14.................................... 1,500 1,658,754
Prudential Financial, Inc.
5.150%, 01/15/13.................................... 600 605,562
Reynolds American, Inc.
7.250%, 06/01/13.................................... 600 622,630
Spectra Energy Capital LLC
5.500%, 03/01/14.................................... 1,500 1,581,377
St. Jude Medical, Inc.
2.200%, 09/15/13.................................... 1,800 1,823,054
Face
Amount Value+
---------- ------------
(000)
UNITED STATES -- (Continued)
SunTrust Banks, Inc.
5.250%, 11/05/12.................................... $ 500 $ 500,000
TD Ameritrade Holding Corp.
2.950%, 12/01/12.................................... 700 701,342
Travelers Property Casualty Corp.
5.000%, 03/15/13.................................... 700 711,375
Union Bank NA
2.125%, 12/16/13.................................... 1,050 1,070,104
UnitedHealth Group, Inc.
4.875%, 04/01/13.................................... 600 610,383
Wachovia Corp.
5.500%, 05/01/13.................................... 1,000 1,024,648
Wells Fargo Bank & Co.
4.375%, 01/31/13.................................... 500 504,843
------------
TOTAL UNITED STATES.................................... 49,767,439
------------
TOTAL BONDS............................................ 165,301,099
------------
AGENCY OBLIGATIONS -- (8.0%)
Federal Home Loan Mortgage Corporation Discount Note
^^1.000%, 12/31/12..................................... 5,000 4,999,250
Federal National Mortgage Association
0.750%, 12/18/13.................................... 5,500 5,533,462
Federal National Mortgage Association Discount Note
^^1.000%, 12/26/12..................................... 4,600 4,599,437
------------
TOTAL AGENCY OBLIGATIONS............................... 15,132,149
------------
Shares
----------
EXCHANGE-TRADED FUND -- (3.3%)
UNITED STATES -- (3.3%)
SPDR Trust Series I................................. 44,100 6,226,038
------------
TEMPORARY CASH INVESTMENTS -- (1.1%)
BlackRock Liquidity Funds TempCash Portfolio -
Institutional Shares.............................. 1,964,613 1,964,613
------------
TOTAL INVESTMENTS --(100.0%)
(Cost $186,485,930).................................. $188,623,899
============
36
Enhanced U.S. Large Company Portfolio
CONTINUED
Summary of the Portfolio's investments as of October 31, 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......................... -- $165,301,099 -- $165,301,099
Agency Obligations............ -- 15,132,149 -- 15,132,149
Exchange-Traded Fund.......... $ 6,226,038 -- -- 6,226,038
Temporary Cash Investments.... 1,964,613 -- -- 1,964,613
Forward Currency Contracts**.. -- (1,181,307) -- (1,181,307)
Futures Contracts**........... 2,825,538 -- -- 2,825,538
----------- ------------ -- ------------
TOTAL......................... $11,016,189 $179,251,941 -- $190,268,130
=========== ============ == ============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
37
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2012
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)......................
Investment in The U.S. Large Cap Value Series of...............
The DFA Investment Trust Company............................ $8,335,906,814
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $6,139,973,441) $8,335,906,814
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
38
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value+ of Net Assets**
--------- ------------ ---------------
COMMON STOCKS -- (88.1%)
Consumer Discretionary -- (14.4%)
*Cabela's, Inc....................... 326,469 $ 14,629,076 0.5%
Dillard's, Inc. Class A............. 230,083 17,716,391 0.6%
#GameStop Corp. Class A.............. 635,798 14,515,268 0.5%
#Lennar Corp. Class A................ 638,026 23,906,834 0.8%
*Mohawk Industries, Inc.............. 298,339 24,902,356 0.8%
*Toll Brothers, Inc.................. 358,683 11,840,126 0.4%
Other Securities.................... 389,593,136 12.7%
------------ ----
Total Consumer Discretionary............ 497,103,187 16.3%
------------ ----
Consumer Staples -- (4.1%)
*Constellation Brands, Inc. Class A.. 373,609 13,203,342 0.4%
*Hain Celestial Group, Inc. (The).... 217,855 12,592,019 0.4%
*Ralcorp Holdings, Inc............... 153,458 11,078,133 0.4%
#*Smithfield Foods, Inc............... 767,800 15,716,866 0.5%
Other Securities.................... 89,905,302 3.0%
------------ ----
Total Consumer Staples.................. 142,495,662 4.7%
------------ ----
Energy -- (7.2%)
*Rowan Cos. P.L.C. Class A........... 630,839 20,003,905 0.7%
Tesoro Corp......................... 728,585 27,474,940 0.9%
Tidewater, Inc...................... 256,438 12,183,369 0.4%
#Western Refining, Inc............... 423,850 10,541,150 0.3%
Other Securities.................... 178,509,585 5.8%
------------ ----
Total Energy............................ 248,712,949 8.1%
------------ ----
Financials -- (22.7%)
Allied World Assurance Co.
Holdings AG....................... 192,146 15,429,324 0.5%
Alterra Capital Holdings, Ltd....... 443,922 10,845,014 0.3%
*American Capital, Ltd............... 1,347,022 15,881,389 0.5%
#American Financial Group, Inc....... 465,600 18,065,280 0.6%
Aspen Insurance Holdings, Ltd....... 342,379 11,075,961 0.4%
#Assurant, Inc....................... 429,284 16,231,228 0.5%
Axis Capital Holdings, Ltd.......... 593,046 21,480,126 0.7%
CNO Financial Group, Inc............ 1,174,038 11,247,284 0.4%
Everest Re Group, Ltd............... 155,023 17,215,304 0.6%
#Legg Mason, Inc..................... 686,279 17,486,389 0.6%
NASDAQ OMX Group, Inc. (The)........ 858,799 20,448,004 0.7%
Old Republic International Corp..... 1,125,422 11,119,169 0.4%
PartnerRe, Ltd...................... 301,355 24,409,755 0.8%
People's United Financial, Inc...... 1,422,378 17,111,207 0.5%
#Protective Life Corp................ 383,246 10,462,616 0.3%
Reinsurance Group of America, Inc... 356,518 18,866,933 0.6%
Validus Holdings, Ltd............... 380,327 13,615,707 0.4%
#Zions Bancorporation................ 669,978 14,384,428 0.5%
Other Securities.................... 496,802,727 16.3%
------------ ----
Total Financials........................ 782,177,845 25.6%
------------ ----
Health Care -- (6.0%)
Coventry Health Care, Inc........... 662,402 28,907,223 1.0%
#Omnicare, Inc....................... 551,404 19,039,980 0.6%
Teleflex, Inc....................... 166,382 11,305,657 0.4%
Other Securities.................... 146,830,421 4.8%
------------ ----
Total Health Care....................... 206,083,281 6.8%
------------ ----
Industrials -- (13.3%)
*Owens Corning, Inc.................. 567,793 19,072,167 0.6%
39
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
----------- -------------- ---------------
Industrials -- (Continued)
*Quanta Services, Inc........................................................ 507,693 $ 13,164,479 0.4%
Ryder System, Inc........................................................... 245,750 11,088,240 0.4%
Trinity Industries, Inc..................................................... 409,075 12,795,866 0.4%
Other Securities............................................................ 404,389,894 13.3%
-------------- ----
Total Industrials............................................................... 460,510,646 15.1%
-------------- ----
Information Technology -- (11.1%)
*AOL, Inc.................................................................... 465,034 15,964,617 0.5%
*Arrow Electronics, Inc...................................................... 463,696 16,336,010 0.6%
#*Avnet, Inc.................................................................. 540,580 15,487,617 0.5%
*Tech Data Corp.............................................................. 261,278 11,577,228 0.4%
Other Securities............................................................ 324,457,825 10.6%
-------------- ----
Total Information Technology.................................................... 383,823,297 12.6%
-------------- ----
Materials -- (7.3%)
Ashland, Inc................................................................ 237,924 16,928,293 0.6%
*Coeur d'Alene Mines Corp.................................................... 421,417 13,025,999 0.4%
#Domtar Corp................................................................. 168,731 13,456,297 0.4%
#*Louisiana-Pacific Corp...................................................... 736,661 11,631,877 0.4%
Reliance Steel & Aluminum Co................................................ 352,172 19,137,026 0.6%
Rock-Tenn Co. Class A....................................................... 245,760 17,987,174 0.6%
Other Securities............................................................ 160,968,085 5.3%
-------------- ----
Total Materials................................................................. 253,134,751 8.3%
-------------- ----
Other -- (0.0%)
Other Securities............................................................ -- 0.0%
-------------- ----
Telecommunication Services -- (1.1%)
Other Securities............................................................ 39,185,854 1.3%
-------------- ----
Utilities -- (0.9%)
#NRG Energy, Inc............................................................. 657,780 14,181,737 0.4%
Other Securities............................................................ 17,332,727 0.6%
-------------- ----
Total Utilities................................................................. 31,514,464 1.0%
-------------- ----
TOTAL COMMON STOCKS............................................................. 3,044,741,936 99.8%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................................................ 62,038 0.0%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.1%)
BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares......... 3,983,433 3,983,433 0.1%
-------------- ----
Shares/
Face
Amount
(000)
-----------
SECURITIES LENDING COLLATERAL -- (11.8%)
(S)@DFA Short Term Investment Fund.............................................. 34,988,807 404,820,495 13.3%
@Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12
(Collateralized by $1,100,507 FNMA, rates ranging from 2.500% to 5.500%,
maturities ranging from 10/01/22 to 07/01/42, valued at $1,103,818) to be
repurchased at $1,068,435.................................................. $ 1,068 1,068,426 0.0%
-------------- ----
TOTAL SECURITIES LENDING COLLATERAL............................................. 405,888,921 13.3%
-------------- ----
40
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Value+ of Net Assets**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,024,832,050)..................... $3,454,676,328 113.2%
============== =====
Summary of the Portfolio's investments as of October 31, 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... $ 497,098,796 $ 4,391 -- $ 497,103,187
Consumer Staples......... 142,495,662 -- -- 142,495,662
Energy................... 248,610,889 102,060 -- 248,712,949
Financials............... 782,177,845 -- -- 782,177,845
Health Care.............. 205,941,961 141,320 -- 206,083,281
Industrials.............. 460,399,468 111,178 -- 460,510,646
Information Technology... 383,823,297 -- -- 383,823,297
Materials................ 253,134,751 -- -- 253,134,751
Other.................... -- -- -- --
Telecommunication
Services............... 39,185,854 -- -- 39,185,854
Utilities................ 31,514,464 -- -- 31,514,464
Rights/Warrants............. 61,997 41 -- 62,038
Temporary Cash Investments.. 3,983,433 -- -- 3,983,433
Securities Lending
Collateral................ -- 405,888,921 -- 405,888,921
-------------- ------------ -- --------------
TOTAL....................... $3,048,428,417 $406,247,911 -- $3,454,676,328
============== ============ == ==============
See accompanying Notes to Financial Statements.
41
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value+ of Net Assets**
--------- -------------- ---------------
COMMON STOCKS -- (88.8%)
Consumer Discretionary -- (16.4%)
#*Cabela's, Inc................... 1,287,489 $ 57,692,382 0.8%
#Dillard's, Inc. Class A......... 1,136,061 87,476,697 1.2%
#Group 1 Automotive, Inc......... 524,432 32,520,028 0.5%
#*Iconix Brand Group, Inc......... 2,044,664 37,846,731 0.5%
#Penske Automotive Group, Inc.... 1,277,301 39,085,411 0.6%
#Rent-A-Center, Inc.............. 1,626,484 54,210,712 0.8%
#*Ryman Hospitality Properties.... 1,272,691 49,647,676 0.7%
#Scholastic Corp................. 1,436,861 47,402,044 0.7%
Other Securities................ 895,541,723 12.6%
-------------- ----
Total Consumer Discretionary........ 1,301,423,404 18.4%
-------------- ----
Consumer Staples -- (4.0%)
#Fresh Del Monte Produce, Inc.... 1,551,187 39,043,377 0.6%
*Hain Celestial Group, Inc.
(The).......................... 1,084,318 62,673,580 0.9%
#Universal Corp.................. 851,741 42,212,284 0.6%
Other Securities................ 172,594,212 2.4%
-------------- ----
Total Consumer Staples.............. 316,523,453 4.5%
-------------- ----
Energy -- (7.8%)
Bristow Group, Inc.............. 1,272,598 63,528,092 0.9%
#*Exterran Holdings, Inc.......... 1,914,243 38,246,575 0.6%
*Helix Energy Solutions Group,
Inc............................ 3,726,588 64,432,707 0.9%
#*Hornbeck Offshore Services, Inc. 1,304,913 45,202,186 0.6%
#*SEACOR Holdings, Inc............ 457,937 40,165,654 0.6%
#Western Refining, Inc........... 1,985,639 49,382,842 0.7%
Other Securities................ 319,626,231 4.5%
-------------- ----
Total Energy........................ 620,584,287 8.8%
-------------- ----
Financials -- (22.6%)
*Alexander & Baldwin, Inc........ 1,217,868 35,232,921 0.5%
#CNO Financial Group, Inc........ 8,673,411 83,091,277 1.2%
Endurance Specialty Holdings,
Ltd........................... 1,001,612 40,615,367 0.6%
Kemper Corp..................... 1,575,685 48,846,235 0.7%
#*MBIA, Inc....................... 3,627,943 35,916,636 0.5%
Montpelier Re Holdings, Ltd..... 2,238,256 51,188,915 0.7%
#*PHH Corp........................ 1,987,912 41,368,449 0.6%
Provident Financial Services,
Inc........................... 2,329,292 34,939,380 0.5%
#Selective Insurance Group, Inc.. 1,837,838 33,981,625 0.5%
#Susquehanna Bancshares, Inc..... 4,754,073 49,299,737 0.7%
#Umpqua Holdings Corp............ 3,734,973 45,155,824 0.6%
#Webster Financial Corp.......... 1,831,262 40,287,764 0.6%
#Wintrust Financial Corp......... 1,249,333 46,162,854 0.6%
Other Securities................ 1,214,320,698 17.1%
-------------- ----
Total Financials.................... 1,800,407,682 25.4%
-------------- ----
Health Care -- (3.8%)
*LifePoint Hospitals, Inc........ 1,931,002 68,241,611 1.0%
Other Securities................ 236,870,745 3.3%
-------------- ----
Total Health Care................... 305,112,356 4.3%
-------------- ----
Industrials -- (15.2%)
#Amerco, Inc..................... 346,723 40,060,375 0.6%
#*Atlas Air Worldwide Holdings,
Inc............................. 660,670 36,330,243 0.5%
#*Avis Budget Group, Inc.......... 4,147,655 68,560,737 1.0%
*Esterline Technologies Corp..... 1,171,847 67,721,038 0.9%
#GATX Corp....................... 1,710,701 70,925,663 1.0%
42
U.S. Small Cap Value Portfolio
CONTINUED
Percentage
Shares Value+ of Net Assets**
----------- -------------- ---------------
Industrials -- (Continued)
#*General Cable Corp............ 1,261,950 $ 36,003,433 0.5%
#*JetBlue Airways Corp.......... 10,210,930 54,015,820 0.7%
*Seaboard Corp................. 18,588 42,405,362 0.6%
#Trinity Industries, Inc....... 1,061,083 33,190,676 0.5%
Other Securities.............. 763,015,204 10.8%
-------------- ----
Total Industrials................. 1,212,228,551 17.1%
-------------- ----
Information Technology -- (11.1%)
*Benchmark Electronics, Inc.... 2,338,129 34,651,072 0.5%
#*CACI International, Inc.
Class A....................... 780,164 39,343,671 0.5%
#Convergys Corp................ 4,073,697 68,478,847 1.0%
#*Fairchild Semiconductor
International, Inc............ 2,958,679 34,794,065 0.5%
#*SYNNEX Corp................... 1,143,432 37,035,762 0.5%
Other Securities.............. 667,384,640 9.4%
-------------- ----
Total Information Technology...... 881,688,057 12.4%
-------------- ----
Materials -- (7.5%)
#*Coeur d'Alene Mines Corp...... 1,657,693 51,239,291 0.7%
*Graphic Packaging Holding Co.. 5,936,036 35,141,333 0.5%
#Kaiser Aluminum Corp.......... 632,304 38,304,976 0.5%
#*Louisiana-Pacific Corp........ 5,305,120 83,767,845 1.2%
#Westlake Chemical Corp........ 1,074,932 81,759,328 1.2%
Other Securities.............. 306,988,842 4.3%
-------------- ----
Total Materials................... 597,201,615 8.4%
-------------- ----
Other -- (0.0%)
Other Securities.............. 6,156 0.0%
-------------- ----
Telecommunication
Services -- (0.3%)
Other Securities.............. 24,522,710 0.3%
-------------- ----
Utilities -- (0.1%)
Other Securities.............. 7,667,599 0.1%
-------------- ----
TOTAL COMMON STOCKS............... 7,067,365,870 99.7%
-------------- ----
PREFERRED STOCKS -- (0.0%)
Energy -- (0.0%)
Other Securities.............. 84,611 0.0%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities.............. 154,410 0.0%
-------------- ----
TEMPORARY CASH
INVESTMENTS -- (0.4%)
BlackRock Liquidity
Funds TempCash Portfolio -
Institutional Shares........ 33,889,756 33,889,756 0.5%
-------------- ----
Shares/
Face
Amount
(000)
-----------
SECURITIES LENDING
COLLATERAL -- (10.8%)
(S)@DFA Short Term Investment
Fund............................ 73,743,297 853,209,950 12.1%
@Repurchase Agreement, JPMorgan
Securities LLC 0.30%, 11/01/12
(Collateralized by $2,319,458
FNMA, rates ranging from
2.500% to 5.500%, maturities
ranging from 10/01/22 to
07/01/42, valued at
$2,326,438) to be repurchased
at
$2,251,863...................... $ 2,252 2,251,844 0.0%
-------------- ----
TOTAL SECURITIES LENDING
COLLATERAL...................... 855,461,794 12.1%
-------------- ----
43
U.S. Small Cap Value Portfolio
CONTINUED
Percentage
Value+ of Net Assets**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)...................
(Cost $7,171,018,202) $7,956,956,441 112.3%
============== =====
Summary of the Portfolio's investments as of October 31, 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... $1,301,423,404 -- -- $1,301,423,404
Consumer Staples......... 316,523,453 -- -- 316,523,453
Energy................... 620,413,455 $ 170,832 -- 620,584,287
Financials............... 1,800,407,682 -- -- 1,800,407,682
Health Care.............. 304,260,154 852,202 -- 305,112,356
Industrials.............. 1,211,592,934 635,617 -- 1,212,228,551
Information Technology... 881,688,057 -- -- 881,688,057
Materials................ 597,201,615 -- -- 597,201,615
Other.................... -- 6,156 -- 6,156
Telecommunication
Services............... 24,522,710 -- -- 24,522,710
Utilities................ 7,667,599 -- -- 7,667,599
Preferred Stocks
Energy................... -- 84,611 -- 84,611
Rights/Warrants............. 145,936 8,474 -- 154,410
Temporary Cash Investments.. 33,889,756 -- -- 33,889,756
Securities Lending
Collateral................ -- 855,461,794 -- 855,461,794
-------------- ------------ -- --------------
TOTAL....................... $7,099,736,755 $857,219,686 -- $7,956,956,441
============== ============ == ==============
See accompanying Notes to Financial Statements.
44
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value+ of Net Assets**
--------- ------------ ---------------
COMMON STOCKS -- (86.8%)
Consumer Discretionary -- (12.1%)
*Amazon.com, Inc.................... 73,170 $ 17,035,439 0.3%
Comcast Corp. Class A.............. 598,894 22,464,514 0.5%
Home Depot, Inc. (The)............. 297,267 18,246,248 0.4%
McDonald's Corp.................... 201,938 17,528,218 0.4%
#News Corp. Class A................. 450,943 10,786,557 0.2%
Time Warner, Inc................... 272,477 11,839,126 0.2%
Walt Disney Co. (The).............. 447,208 21,944,497 0.5%
Other Securities................... 556,857,657 11.4%
------------ ----
Total Consumer Discretionary........... 676,702,256 13.9%
------------ ----
Consumer Staples -- (7.1%)
Altria Group, Inc.................. 386,613 12,294,293 0.3%
#Coca-Cola Co. (The)................ 820,326 30,499,721 0.6%
CVS Caremark Corp.................. 355,692 16,504,109 0.3%
Mondelez International, Inc.
Class A.......................... 481,707 12,784,504 0.3%
PepsiCo, Inc....................... 310,570 21,503,867 0.4%
Philip Morris International, Inc... 341,453 30,239,078 0.6%
Procter & Gamble Co. (The)......... 444,296 30,763,055 0.6%
Wal-Mart Stores, Inc............... 499,081 37,441,057 0.8%
Other Securities................... 203,000,171 4.2%
------------ ----
Total Consumer Staples................. 395,029,855 8.1%
------------ ----
Energy -- (8.8%)
Chevron Corp....................... 555,913 61,267,172 1.2%
ConocoPhillips..................... 343,340 19,862,219 0.4%
Exxon Mobil Corp................... 906,263 82,623,998 1.7%
Occidental Petroleum Corp.......... 210,492 16,620,448 0.3%
Schlumberger, Ltd.................. 255,671 17,776,805 0.4%
Other Securities................... 291,110,605 6.0%
------------ ----
Total Energy........................... 489,261,247 10.0%
------------ ----
Financials -- (14.3%)
American Express Co................ 195,451 10,939,392 0.2%
Bank of America Corp............... 3,021,536 28,160,716 0.6%
*Berkshire Hathaway, Inc. Class B... 354,267 30,590,955 0.6%
Citigroup, Inc..................... 811,834 30,354,473 0.6%
Goldman Sachs Group, Inc. (The).... 131,829 16,134,551 0.3%
JPMorgan Chase & Co................ 1,045,479 43,575,565 0.9%
U.S. Bancorp....................... 508,644 16,892,067 0.4%
Wells Fargo & Co................... 1,421,763 47,899,195 1.0%
Other Securities................... 577,479,985 11.8%
------------ ----
Total Financials....................... 802,026,899 16.4%
------------ ----
Health Care -- (9.6%)
Abbott Laboratories................ 313,084 20,513,264 0.4%
Amgen, Inc......................... 198,736 17,199,607 0.4%
Johnson & Johnson.................. 586,544 41,539,046 0.9%
Merck & Co., Inc................... 801,185 36,558,072 0.7%
#Pfizer, Inc........................ 2,124,032 52,824,676 1.1%
UnitedHealth Group, Inc............ 245,508 13,748,448 0.3%
Other Securities................... 356,532,581 7.3%
------------ ----
Total Health Care...................... 538,915,694 11.1%
------------ ----
Industrials -- (11.2%)
3M Co.............................. 128,759 11,279,288 0.2%
General Electric Co................ 2,949,640 62,119,418 1.3%
45
U.S. Core Equity 1 Portfolio
CONTINUED
Percentage
Shares Value+ of Net Assets**
----------- -------------- ---------------
Industrials -- (Continued)
Union Pacific Corp............. 133,124 $ 16,378,246 0.3%
United Technologies Corp....... 170,046 13,290,795 0.3%
Other Securities............... 522,468,562 10.7%
-------------- ----
Total Industrials.................. 625,536,309 12.8%
-------------- ----
Information Technology -- (14.0%)
Apple, Inc..................... 192,709 114,681,126 2.4%
*Cisco Systems, Inc............. 1,163,085 19,935,277 0.4%
*eBay, Inc...................... 225,590 10,893,741 0.2%
*Google, Inc. Class A........... 51,548 35,040,784 0.7%
Intel Corp..................... 977,362 21,135,453 0.4%
International Business
Machines Corp................ 219,826 42,762,752 0.9%
Microsoft Corp................. 1,530,121 43,662,003 0.9%
Oracle Corp.................... 776,113 24,098,309 0.5%
QUALCOMM, Inc.................. 339,292 19,874,029 0.4%
Visa, Inc...................... 114,676 15,912,442 0.3%
Other Securities............... 436,758,642 9.0%
-------------- ----
Total Information Technology....... 784,754,558 16.1%
-------------- ----
Materials -- (4.4%)
Other Securities............... 243,570,457 5.0%
-------------- ----
Other -- (0.0%)
Other Securities............... -- 0.0%
-------------- ----
Telecommunication
Services -- (2.3%)
AT&T, Inc...................... 1,637,332 56,635,314 1.1%
Verizon Communications, Inc.... 729,538 32,566,576 0.7%
Other Securities............... 39,819,239 0.8%
-------------- ----
Total Telecommunication Services... 129,021,129 2.6%
-------------- ----
Utilities -- (3.0%)
Other Securities............... 169,532,898 3.5%
-------------- ----
TOTAL COMMON STOCKS................ 4,854,351,302 99.5%
-------------- ----
PREFERRED STOCKS -- (0.0%)
Energy -- (0.0%)
Other Securities............... 6,330 0.0%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............... 16,931 0.0%
-------------- ----
TEMPORARY CASH
INVESTMENTS -- (0.3%)
BlackRock Liquidity Funds
TempCash Portfolio -
Institutional Shares......... 18,707,243 18,707,243 0.4%
-------------- ----
Shares/
Face
Amount
(000)
-----------
SECURITIES LENDING
COLLATERAL -- (12.9%)
(S)@DFA Short Term Investment Fund. 62,379,366 721,729,267 14.8%
@Repurchase Agreement,
JPMorgan Securities LLC
0.30%, 11/01/12
(Collateralized by
$1,962,028 FNMA, rates
ranging from 2.500% to
5.500%, maturities ranging
from 10/01/22 to 07/01/42,
valued at $1,967,932) to be
repurchased at $1,904,849..... $ 1,905 1,904,833 0.1%
-------------- ----
TOTAL SECURITIES LENDING
COLLATERAL....................... 723,634,100 14.9%
-------------- ----
46
U.S. Core Equity 1 Portfolio
CONTINUED
Percentage
Value+ of Net Assets**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,846,823,008)...................... $5,596,715,906 114.8%
============== =====
Summary of the Portfolio's investments as of October 31, 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.. $ 676,674,520 $ 27,736 -- $ 676,702,256
Consumer Staples........ 395,029,855 -- -- 395,029,855
Energy.................. 489,242,390 18,857 -- 489,261,247
Financials.............. 802,026,899 -- -- 802,026,899
Health Care............. 538,900,236 15,458 -- 538,915,694
Industrials............. 625,519,189 17,120 -- 625,536,309
Information Technology.. 784,754,558 -- -- 784,754,558
Materials............... 243,570,457 -- -- 243,570,457
Other................... -- -- -- --
Telecommunication
Services.............. 129,021,129 -- -- 129,021,129
Utilities............... 169,532,898 -- -- 169,532,898
Preferred Stocks
Energy.................. -- 6,330 -- 6,330
Rights/Warrants............. 16,711 220 -- 16,931
Temporary Cash Investments.. 18,707,243 -- -- 18,707,243
Securities Lending
Collateral................ -- 723,634,100 -- 723,634,100
-------------- ------------ -- --------------
TOTAL....................... $4,872,996,085 $723,719,821 -- $5,596,715,906
============== ============ == ==============
See accompanying Notes to Financial Statements.
47
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value+ of Net Assets**
--------- -------------- ---------------
COMMON STOCKS -- (87.6%)
Consumer Discretionary -- (12.6%)
Comcast Corp. Class A............ 1,069,364 $ 40,111,844 0.6%
Home Depot, Inc. (The)........... 301,629 18,513,988 0.3%
*Liberty Media Corp. - Liberty
Capital Class A................. 135,703 15,153,954 0.2%
#News Corp. Class A............... 846,333 20,244,285 0.3%
#Time Warner Cable, Inc........... 159,874 15,845,112 0.2%
#Time Warner, Inc................. 505,637 21,969,928 0.3%
Walt Disney Co. (The)............ 830,524 40,753,813 0.6%
Other Securities................. 817,352,451 11.8%
-------------- ----
Total Consumer Discretionary......... 989,945,375 14.3%
-------------- ----
Consumer Staples -- (5.8%)
Coca-Cola Co. (The).............. 439,242 16,331,018 0.2%
#CVS Caremark Corp................ 661,528 30,694,899 0.5%
Mondelez International, Inc.
Class A........................ 875,793 23,243,546 0.3%
Procter & Gamble Co. (The)....... 610,480 42,269,635 0.6%
#Wal-Mart Stores, Inc............. 387,774 29,090,805 0.4%
Other Securities................. 314,210,762 4.6%
-------------- ----
Total Consumer Staples............... 455,840,665 6.6%
-------------- ----
Energy -- (9.7%)
Anadarko Petroleum Corp.......... 243,678 16,767,483 0.3%
#Apache Corp...................... 188,754 15,619,394 0.2%
Chevron Corp..................... 1,020,634 112,484,073 1.6%
ConocoPhillips................... 632,838 36,609,678 0.5%
EOG Resources, Inc............... 129,393 15,072,991 0.2%
Exxon Mobil Corp................. 1,268,253 115,626,626 1.7%
National Oilwell Varco, Inc...... 213,355 15,724,264 0.2%
Occidental Petroleum Corp........ 382,913 30,234,810 0.5%
Phillips 66...................... 316,419 14,922,320 0.2%
Other Securities................. 394,972,370 5.7%
-------------- ----
Total Energy......................... 768,034,009 11.1%
-------------- ----
Financials -- (17.2%)
Bank of America Corp............. 5,244,183 48,875,786 0.7%
Bank of New York Mellon Corp.
(The).......................... 588,370 14,538,623 0.2%
*Berkshire Hathaway, Inc. Class
B............................... 231,623 20,000,646 0.3%
Capital One Financial Corp....... 279,908 16,842,064 0.3%
Citigroup, Inc................... 1,250,596 46,759,784 0.7%
Goldman Sachs Group, Inc. (The).. 225,842 27,640,802 0.4%
JPMorgan Chase & Co.............. 1,897,065 79,069,669 1.1%
MetLife, Inc..................... 512,756 18,197,710 0.3%
PNC Financial Services Group,
Inc............................ 268,801 15,641,530 0.2%
Travelers Cos., Inc. (The)....... 235,445 16,702,468 0.2%
U.S. Bancorp..................... 907,771 30,147,075 0.4%
Wells Fargo & Co................. 2,607,433 87,844,418 1.3%
Other Securities................. 930,203,391 13.4%
-------------- ----
Total Financials..................... 1,352,463,966 19.5%
-------------- ----
Health Care -- (9.4%)
Amgen, Inc....................... 259,507 22,459,033 0.3%
Johnson & Johnson................ 360,790 25,551,148 0.4%
Merck & Co., Inc................. 1,401,705 63,959,799 0.9%
Pfizer, Inc...................... 3,820,885 95,025,410 1.4%
UnitedHealth Group, Inc.......... 453,978 25,422,768 0.4%
Other Securities................. 509,664,669 7.3%
-------------- ----
Total Health Care.................... 742,082,827 10.7%
-------------- ----
48
U.S. Core Equity 2 Portfolio
CONTINUED
Percentage
Shares Value+ of Net Assets**
----------- -------------- ---------------
Industrials -- (12.1%)
General Electric Co............. 5,244,073 $ 110,440,177 1.6%
Union Pacific Corp.............. 245,011 30,143,703 0.4%
Other Securities................ 814,093,083 11.8%
-------------- ----
Total Industrials................... 954,676,963 13.8%
-------------- ----
Information Technology -- (11.2%)
Apple, Inc...................... 102,298 60,877,540 0.9%
*Cisco Systems, Inc.............. 1,115,185 19,114,271 0.3%
*Google, Inc. Class A............ 29,049 19,746,639 0.3%
#Intel Corp...................... 1,282,072 27,724,807 0.4%
International Business
Machines Corp................. 104,155 20,261,272 0.3%
Microsoft Corp.................. 928,949 26,507,560 0.4%
Oracle Corp..................... 517,147 16,057,414 0.2%
#Visa, Inc....................... 232,750 32,296,390 0.5%
Other Securities................ 662,078,081 9.5%
-------------- ----
Total Information Technology........ 884,663,974 12.8%
-------------- ----
Materials -- (4.6%)
Other Securities................ 361,593,575 5.2%
-------------- ----
Other -- (0.0%)
Other Securities................ -- 0.0%
-------------- ----
Telecommunication
Services -- (2.9%)
#AT&T, Inc....................... 2,989,398 103,403,277 1.5%
Verizon Communications, Inc..... 1,386,217 61,880,727 0.9%
Other Securities................ 60,471,763 0.9%
-------------- ----
Total Telecommunication Services.... 225,755,767 3.3%
-------------- ----
Utilities -- (2.1%)
Other Securities................ 164,427,703 2.4%
-------------- ----
TOTAL COMMON STOCKS................. 6,899,484,824 99.7%
-------------- ----
PREFERRED STOCKS -- (0.0%)
Energy -- (0.0%)
Other Securities................ 14,911 0.0%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................ 41,489 0.0%
-------------- ----
TEMPORARY CASH
INVESTMENTS -- (0.3%)
BlackRock Liquidity Funds TempCash
Portfolio - Institutional Shares.. 25,908,240 25,908,240 0.4%
-------------- ----
Shares/
Face
Amount
(000)
-----------
SECURITIES LENDING
COLLATERAL -- (12.1%)
(S)@DFA Short Term Investment Fund.. 81,993,994 948,670,516 13.7%
@Repurchase Agreement, JPMorgan
Securities LLC 0.30%,
11/01/12 (Collateralized by
$2,920,082 FNMA, rates
ranging from 2.500% to
5.500%, maturities ranging
from 10/01/22 to 07/01/42,
valued at $2,928,869) to be
repurchased at
$2,834,983........................ $ 2,835 2,834,959 0.0%
-------------- ----
TOTAL SECURITIES LENDING COLLATERAL. 951,505,475 13.7%
-------------- ----
49
U.S. Core Equity 2 Portfolio
CONTINUED
Percentage
Value+ of Net Assets**
-------------- ---------------
TOTAL INVESTMENTS --(100.0%)
(Cost $6,883,487,825).................... $7,876,954,939 113.8%
============== =====
Summary of the Portfolio's investments as of October 31, 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.. $ 989,880,654 $ 64,721 -- $ 989,945,375
Consumer Staples........ 455,840,665 -- -- 455,840,665
Energy.................. 768,012,042 21,967 -- 768,034,009
Financials.............. 1,352,463,966 -- -- 1,352,463,966
Health Care............. 742,046,854 35,973 -- 742,082,827
Industrials............. 954,633,938 43,025 -- 954,676,963
Information Technology.. 884,663,974 -- -- 884,663,974
Materials............... 361,593,575 -- -- 361,593,575
Other................... -- -- -- --
Telecommunication
Services.............. 225,755,767 -- -- 225,755,767
Utilities............... 164,427,703 -- -- 164,427,703
Preferred Stocks
Energy.................. -- 14,911 -- 14,911
Rights/Warrants............. 40,617 872 -- 41,489
Temporary Cash Investments.. 25,908,240 -- -- 25,908,240
Securities Lending
Collateral................ -- 951,505,475 -- 951,505,475
-------------- ------------ -- --------------
TOTAL....................... $6,925,267,995 $951,686,944 -- $7,876,954,939
============== ============ == ==============
See accompanying Notes to Financial Statements.
50
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value+ of Net Assets**
--------- ------------ ---------------
COMMON STOCKS -- (87.3%)
Consumer Discretionary -- (13.9%)
Comcast Corp. Class A.............. 303,818 $ 11,396,213 0.6%
Dillard's, Inc. Class A............ 62,205 4,789,785 0.2%
#Lennar Corp. Class A............... 134,243 5,030,085 0.3%
*Liberty Interactive Corp. Class A.. 267,922 5,358,440 0.3%
*Mohawk Industries, Inc............. 54,426 4,542,938 0.2%
#Time Warner, Inc................... 135,201 5,874,483 0.3%
*Toll Brothers, Inc................. 151,825 5,011,743 0.2%
Walt Disney Co. (The).............. 118,253 5,802,675 0.3%
Other Securities................... 271,340,250 13.5%
------------ ----
Total Consumer Discretionary........... 319,146,612 15.9%
------------ ----
Consumer Staples -- (4.8%)
Beam, Inc.......................... 76,533 4,252,173 0.2%
Bunge, Ltd......................... 76,701 5,448,072 0.3%
CVS Caremark Corp.................. 121,704 5,647,066 0.3%
Procter & Gamble Co. (The)......... 91,517 6,336,637 0.3%
Wal-Mart Stores, Inc............... 58,500 4,388,670 0.2%
Other Securities................... 84,469,435 4.2%
------------ ----
Total Consumer Staples................. 110,542,053 5.5%
------------ ----
Energy -- (8.7%)
Anadarko Petroleum Corp............ 72,636 4,998,083 0.3%
#Apache Corp........................ 55,888 4,624,732 0.2%
Chevron Corp....................... 153,038 16,866,318 0.8%
ConocoPhillips..................... 175,685 10,163,377 0.5%
Exxon Mobil Corp................... 154,985 14,129,982 0.7%
HollyFrontier Corp................. 109,681 4,236,977 0.2%
Murphy Oil Corp.................... 106,439 6,386,340 0.3%
Noble Corp......................... 132,385 4,996,210 0.3%
Phillips 66........................ 91,273 4,304,435 0.2%
Tesoro Corp........................ 131,157 4,945,930 0.3%
Other Securities................... 123,451,407 6.1%
------------ ----
Total Energy........................... 199,103,791 9.9%
------------ ----
Financials -- (21.0%)
American Financial Group, Inc...... 127,737 4,956,196 0.2%
Bank of America Corp............... 1,263,850 11,779,082 0.6%
#Bank of New York Mellon Corp.
(The)............................. 163,628 4,043,248 0.2%
Capital One Financial Corp......... 70,527 4,243,610 0.2%
Citigroup, Inc..................... 207,090 7,743,095 0.4%
Fidelity National Financial, Inc.
Class A.......................... 187,838 4,021,612 0.2%
Goldman Sachs Group, Inc. (The).... 47,945 5,867,989 0.3%
Hartford Financial Services
Group, Inc....................... 190,397 4,133,519 0.2%
Invesco, Ltd....................... 186,136 4,526,828 0.2%
JPMorgan Chase & Co................ 570,669 23,785,484 1.2%
KeyCorp............................ 499,016 4,201,715 0.2%
MetLife, Inc....................... 141,103 5,007,745 0.3%
PNC Financial Services Group, Inc.. 76,226 4,435,591 0.2%
#Principal Financial Group, Inc..... 157,281 4,331,519 0.2%
Regions Financial Corp............. 634,241 4,135,251 0.2%
Wells Fargo & Co................... 351,390 11,838,329 0.6%
XL Group P.L.C..................... 162,997 4,032,546 0.2%
Other Securities................... 368,806,067 18.4%
------------ ----
Total Financials....................... 481,889,426 24.0%
------------ ----
51
U.S. Vector Equity Portfolio
CONTINUED
Percentage
Shares Value+ of Net Assets**
----------- -------------- ---------------
Health Care -- (7.6%)
Merck & Co., Inc............... 149,737 $ 6,832,499 0.3%
Pfizer, Inc.................... 563,682 14,018,771 0.7%
Other Securities............... 152,553,891 7.6%
-------------- ----
Total Health Care.................. 173,405,161 8.6%
-------------- ----
Industrials -- (12.5%)
General Electric Co............ 826,374 17,403,436 0.8%
Union Pacific Corp............. 33,180 4,082,135 0.2%
Other Securities............... 264,760,266 13.2%
-------------- ----
Total Industrials.................. 286,245,837 14.2%
-------------- ----
Information Technology -- (10.1%)
Fidelity National Information
Services, Inc................ 150,228 4,937,994 0.3%
#IAC/InterActiveCorp............ 115,491 5,583,990 0.3%
Visa, Inc...................... 37,703 5,231,668 0.3%
Xerox Corp..................... 731,469 4,710,660 0.2%
Other Securities............... 211,816,925 10.5%
-------------- ----
Total Information Technology....... 232,281,237 11.6%
-------------- ----
Materials -- (5.4%)
Other Securities............... 123,573,134 6.2%
-------------- ----
Other -- (0.0%)
Other Securities............... -- 0.0%
-------------- ----
Telecommunication
Services -- (2.1%)
AT&T, Inc...................... 570,322 19,727,438 1.0%
#Verizon Communications, Inc.... 200,794 8,963,444 0.4%
Other Securities............... 20,446,270 1.0%
-------------- ----
Total Telecommunication Services... 49,137,152 2.4%
-------------- ----
Utilities -- (1.2%)
Other Securities............... 27,481,514 1.4%
-------------- ----
TOTAL COMMON STOCKS................ 2,002,805,917 99.7%
-------------- ----
PREFERRED STOCKS -- (0.0%)
Energy -- (0.0%)
Other Securities............... 16,458 0.0%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................... 29,967 0.0%
-------------- ----
TEMPORARY CASH
INVESTMENTS -- (0.3%)
BlackRock Liquidity Funds
TempCash Portfolio -
Institutional Shares............. 5,428,356 5,428,356 0.2%
Shares/
Face
Amount
(000)
-----------
SECURITIES LENDING COLLATERAL --
(12.4%)
(S)@DFA Short Term Investment Fund. 24,567,468 284,245,602 14.2%
@Repurchase Agreement,
JPMorgan Securities LLC
0.30%, 2.500% to 5.500%,
maturities ranging from
10/01/22 to 07/01/42, valued
at $775,049) to be
repurchased at $750,204....... $ 750 750,198 0.0%
-------------- ----
TOTAL SECURITIES LENDING
COLLATERAL....................... 284,995,800 14.2%
-------------- ----
52
U.S. Vector Equity Portfolio
CONTINUED
Percentage
Value+ of Net Assets**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,050,058,109)......................... $2,293,276,498 114.1%
============== =====
Summary of the Portfolio's investments as of October 31, 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.. $ 319,120,585 $ 26,027 -- $ 319,146,612
Consumer Staples........ 110,542,053 -- -- 110,542,053
Energy.................. 199,079,511 24,280 -- 199,103,791
Financials.............. 481,889,426 -- -- 481,889,426
Health Care............. 173,379,098 26,063 -- 173,405,161
Industrials............. 286,213,395 32,442 -- 286,245,837
Information Technology.. 232,281,237 -- -- 232,281,237
Materials............... 123,573,134 -- -- 123,573,134
Other................... -- -- -- --
Telecommunication
Services.............. 49,137,152 -- -- 49,137,152
Utilities............... 27,481,514 -- -- 27,481,514
Preferred Stocks
Energy.................. -- 16,458 -- 16,458
Rights/Warrants............. 29,415 552 -- 29,967
Temporary Cash Investments.. 5,428,356 -- -- 5,428,356
Securities Lending
Collateral................ -- 284,995,800 -- 284,995,800
-------------- ------------ -- --------------
TOTAL....................... $2,008,154,876 $285,121,622 -- $2,293,276,498
============== ============ == ==============
See accompanying Notes to Financial Statements.
53
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value+ of Net Assets**
------- ------------ ---------------
COMMON STOCKS -- (82.6%)
Consumer Discretionary -- (15.4%)
#Aaron's, Inc.......................... 301,837 $ 9,305,635 0.2%
#*Bally Technologies, Inc............... 194,000 9,684,480 0.2%
#Brinker International, Inc............ 322,412 9,930,290 0.2%
#Brunswick Corp........................ 401,911 9,481,080 0.2%
#Buckle, Inc. (The).................... 218,663 9,877,008 0.2%
*Cabela's, Inc......................... 277,885 12,452,027 0.3%
Dillard's, Inc. Class A............... 173,931 13,392,687 0.3%
Domino's Pizza, Inc................... 270,452 10,985,760 0.2%
#HSN, Inc.............................. 228,644 11,894,061 0.3%
#Penske Automotive Group, Inc.......... 337,541 10,328,755 0.2%
#Pier 1 Imports, Inc................... 641,193 13,080,337 0.3%
#*Ryman Hospitality Properties.......... 228,431 8,911,093 0.2%
Six Flags Entertainment Corp.......... 182,712 10,434,682 0.2%
#Thor Industries, Inc.................. 243,435 9,257,833 0.2%
#Vail Resorts, Inc..................... 163,736 9,296,930 0.2%
*Warnaco Group, Inc. (The)............. 125,848 8,882,352 0.2%
Other Securities...................... 679,005,396 14.9%
------------ ----
Total Consumer Discretionary.............. 846,200,406 18.5%
------------ ----
Consumer Staples -- (3.7%)
#*Darling International, Inc............ 540,748 8,938,564 0.2%
*Hain Celestial Group, Inc. (The)...... 180,533 10,434,807 0.2%
#PriceSmart, Inc....................... 117,776 9,774,230 0.2%
Other Securities...................... 173,131,585 3.8%
------------ ----
Total Consumer Staples.................... 202,279,186 4.4%
------------ ----
Energy -- (3.8%)
#Western Refining, Inc................. 371,375 9,236,096 0.2%
Other Securities...................... 202,043,645 4.4%
------------ ----
Total Energy.............................. 211,279,741 4.6%
------------ ----
Financials -- (13.5%)
*Altisource Portfolio Solutions SA..... 106,753 12,116,466 0.3%
#CNO Financial Group, Inc.............. 978,475 9,373,791 0.2%
#*Investors Bancorp, Inc................ 504,558 9,076,998 0.2%
*Ocwen Financial Corp.................. 457,639 17,651,136 0.4%
#*Texas Capital Bancshares, Inc......... 184,544 8,760,304 0.2%
Other Securities...................... 684,793,789 15.0%
------------ ----
Total Financials.......................... 741,772,484 16.3%
------------ ----
Health Care -- (8.4%)
*Haemonetics Corp...................... 117,025 9,560,942 0.2%
Medicis Pharmaceutical Corp. Class A.. 237,227 10,298,024 0.2%
#*Myriad Genetics, Inc.................. 360,979 9,446,820 0.2%
#STERIS Corp........................... 254,960 9,079,126 0.2%
*Thoratec Corp......................... 319,166 11,394,226 0.3%
Other Securities...................... 414,459,350 9.1%
------------ ----
Total Health Care......................... 464,238,488 10.2%
------------ ----
Industrials -- (15.2%)
A.O. Smith Corp....................... 152,330 9,257,094 0.2%
#Actuant Corp. Class A................. 318,532 8,995,344 0.2%
#*Chart Industries, Inc................. 137,261 9,716,706 0.2%
EMCOR Group, Inc...................... 306,181 9,846,781 0.2%
#*Middleby Corp......................... 78,446 9,801,828 0.2%
#Robbins & Myers, Inc.................. 176,805 10,481,000 0.2%
54
U.S. Small Cap Portfolio
CONTINUED
Percentage
Shares Value+ of Net Assets**
---------- -------------- ---------------
Industrials -- (Continued)
Toro Co. (The).................. 239,432 $ 10,108,819 0.2%
#*US Airways Group, Inc........... 746,580 9,093,344 0.2%
Other Securities................ 759,233,963 16.7%
-------------- ----
Total Industrials................... 836,534,879 18.3%
-------------- ----
Information Technology -- (14.6%)
#*3D Systems Corp................. 260,733 11,341,886 0.2%
#*Cirrus Logic, Inc............... 297,264 12,116,481 0.3%
#*CommVault Systems, Inc.......... 164,218 10,258,698 0.2%
Convergys Corp.................. 526,242 8,846,128 0.2%
*Cymer, Inc...................... 144,305 11,499,665 0.3%
FEI Co.......................... 176,390 9,710,270 0.2%
Loral Space & Communications,
Inc........................... 120,478 9,476,799 0.2%
#*NeuStar, Inc. Class A........... 247,646 9,061,367 0.2%
*SolarWinds, Inc................. 262,245 13,266,975 0.3%
Other Securities................ 707,242,217 15.5%
-------------- ----
Total Information Technology........ 802,820,486 17.6%
-------------- ----
Materials -- (4.7%)
#Eagle Materials, Inc............ 212,595 11,261,157 0.3%
*Louisiana-Pacific Corp.......... 633,346 10,000,533 0.2%
Other Securities................ 238,341,168 5.2%
-------------- ----
Total Materials..................... 259,602,858 5.7%
Other -- (0.0%)
Other Securities................ 414 0.0%
-------------- ----
Telecommunication
Services -- (0.4%)
Other Securities................ 24,541,005 0.5%
-------------- ----
Utilities -- (2.9%)
Portland General Electric Co.... 338,710 9,280,654 0.2%
Other Securities................ 149,160,307 3.3%
-------------- ----
Total Utilities..................... 158,440,961 3.5%
-------------- ----
TOTAL COMMON STOCKS................. 4,547,710,908 99.6%
-------------- ----
PREFERRED STOCKS -- (0.0%)
Energy -- (0.0%)
Other Securities................ $ 54,227 0.0%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................ 135,531 0.0%
-------------- ----
TEMPORARY CASH
INVESTMENTS -- (0.2%)
BlackRock Liquidity Funds
TempCash Portfolio -
Institutional Shares.......... 12,912,865 12,912,865 0.3%
-------------- ----
55
U.S. Small Cap Portfolio
CONTINUED
Shares/
Face
Amount Percentage
(000) Value+ of Net Assets**
----------- -------------- ---------------
SECURITIES LENDING COLLATERAL -- (17.2%)
(S)@DFA Short Term Investment Fund.............................................. 81,663,903 944,851,354 20.7%
@Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12
(Collateralized by $2,568,587 FNMA, rates ranging from 2.500% to 5.500%,
maturities ranging from 10/01/22 to 07/01/42, valued at $2,576,317) to be
repurchased at $2,493,732.................................................. $ 2,494 2,493,711 0.1%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL............................................. 947,345,065 20.8%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,856,877,158).......................................................... $5,508,158,596 120.7%
============== =====
Summary of the Portfolio's investments as of October 31, 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.. $ 846,159,239 $ 41,167 -- $ 846,200,406
Consumer Staples........ 202,279,186 -- -- 202,279,186
Energy.................. 211,093,773 185,968 -- 211,279,741
Financials.............. 741,772,484 -- -- 741,772,484
Health Care............. 464,148,120 90,368 -- 464,238,488
Industrials............. 836,218,833 316,046 -- 836,534,879
Information Technology.. 802,820,486 -- -- 802,820,486
Materials............... 259,602,858 -- -- 259,602,858
Other................... -- 414 -- 414
Telecommunication
Services.............. 24,541,005 -- -- 24,541,005
Utilities............... 158,440,961 -- -- 158,440,961
Preferred Stocks
Energy.................. -- 54,227 -- 54,227
Rights/Warrants............. 131,992 3,539 -- 135,531
Temporary Cash Investments.. 12,912,865 -- -- 12,912,865
Securities Lending
Collateral................ -- 947,345,065 -- 947,345,065
-------------- ------------ -- --------------
TOTAL....................... $4,560,121,802 $948,036,794 -- $5,508,158,596
============== ============ == ==============
See accompanying Notes to Financial Statements.
56
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value+ of Net Assets**
------- ------------- ---------------
COMMON STOCKS -- (87.9%)
Consumer Discretionary -- (15.7%)
*Asbury Automotive Group, Inc........ 279,819 $ 8,875,859 0.3%
Churchill Downs, Inc................ 117,187 7,655,827 0.2%
#*Conn's, Inc......................... 303,338 7,683,552 0.2%
#*Dorman Products, Inc................ 312,058 9,533,372 0.3%
#Finish Line, Inc. Class A (The)..... 376,378 7,830,544 0.2%
#KB Home............................. 521,279 8,330,038 0.2%
#*La-Z-Boy, Inc....................... 515,798 8,366,244 0.3%
#*Lumber Liquidators Holdings, Inc.... 155,431 8,676,158 0.3%
*Meritage Homes Corp................. 217,518 8,043,816 0.2%
Oxford Industries, Inc.............. 145,087 8,049,427 0.2%
*Papa John's International, Inc...... 214,930 11,460,068 0.3%
#Ryland Group, Inc. (The)............ 306,580 10,383,865 0.3%
#Stage Stores, Inc................... 305,185 7,477,032 0.2%
#Sturm Ruger & Co., Inc.............. 181,201 8,558,123 0.3%
Other Securities.................... 491,209,781 14.3%
------------- ----
Total Consumer Discretionary............ 612,133,706 17.8%
------------- ----
Consumer Staples -- (4.1%)
#Cal-Maine Foods, Inc................ 202,886 8,750,473 0.2%
#*Elizabeth Arden, Inc................ 261,981 12,360,264 0.4%
J & J Snack Foods Corp.............. 179,640 10,287,983 0.3%
WD-40 Co............................ 162,424 7,773,613 0.2%
Other Securities.................... 119,761,926 3.5%
------------- ----
Total Consumer Staples.................. 158,934,259 4.6%
------------- ----
Energy -- (3.9%)
Other Securities.................... 153,313,419 4.5%
------------- ----
Financials -- (15.6%)
*Altisource Portfolio Solutions SA... 94,413 10,715,876 0.3%
#Bank of the Ozarks, Inc............. 301,134 9,859,127 0.3%
FBL Financial Group, Inc. Class A... 271,726 9,274,008 0.3%
Horace Mann Educators Corp.......... 423,287 8,131,343 0.2%
Infinity Property & Casualty Corp... 134,624 7,688,377 0.2%
#*Texas Capital Bancshares, Inc....... 164,032 7,786,599 0.2%
#*World Acceptance Corp............... 153,471 10,245,724 0.3%
Other Securities.................... 545,031,588 15.9%
------------- ----
Total Financials........................ 608,732,642 17.7%
------------- ----
Health Care -- (10.1%)
#*Air Methods Corp.................... 115,182 12,627,403 0.4%
*Amsurg Corp......................... 286,077 8,158,916 0.2%
Analogic Corp....................... 123,731 9,114,025 0.3%
*Ariad Pharmaceuticals, Inc.......... 727,009 15,667,044 0.4%
*Cyberonics, Inc..................... 211,757 9,793,761 0.3%
*Hanger, Inc......................... 292,678 7,419,387 0.2%
#*ICU Medical, Inc.................... 132,784 7,878,075 0.2%
Other Securities.................... 322,452,236 9.4%
------------- ----
Total Health Care....................... 393,110,847 11.4%
------------- ----
Industrials -- (14.9%)
AZZ, Inc............................ 224,847 8,867,966 0.3%
*Exponent, Inc....................... 135,915 7,472,607 0.2%
Kaman Corp.......................... 234,532 8,724,590 0.3%
Other Securities.................... 557,738,161 16.2%
------------- ----
Total Industrials....................... 5 82,803,324 17.0%
------------- ----
57
U.S. Micro Cap Portfolio
CONTINUED
Percentage
Shares Value+ of Net Assets**
----------- -------------- ---------------
Information Technology -- (15.3%)
#*3D Systems Corp..................... 227,661 $ 9,903,254 0.3%
Forrester Research, Inc............. 256,189 7,414,110 0.2%
*iGATE Corp.......................... 518,273 8,318,282 0.2%
Loral Space & Communications,
Inc............................... 103,555 8,145,636 0.2%
#*Manhattan Associates, Inc........... 216,969 13,018,140 0.4%
MTS Systems Corp.................... 165,039 8,319,616 0.2%
#*NetScout Systems, Inc............... 312,994 7,740,342 0.2%
*OSI Systems, Inc.................... 150,502 11,927,284 0.3%
#*Stratasys, Inc...................... 138,151 9,210,527 0.3%
#*Tyler Technologies, Inc............. 251,629 12,030,382 0.4%
Other Securities.................... 500,280,360 14.6%
-------------- ----
Total Information Technology............ 596,307,933 17.3%
-------------- ----
Materials -- (5.5%)
#AMCOL International Corp............ 265,253 8,376,690 0.3%
Balchem Corp........................ 220,033 7,663,749 0.2%
Stepan Co........................... 82,995 7,950,921 0.2%
Other Securities.................... 189,087,399 5.5%
-------------- ----
Total Materials..................... 213,078,759 6.2%
-------------- ----
Other -- (0.0%)
Other Securities.................... 2,226 0.0%
-------------- ----
Telecommunication Services -- (1.0%)
Other Securities.................... 39,869,468 1.2%
-------------- ----
Utilities -- (1.8%)
CH Energy Group, Inc................ 129,612 8,428,668 0.2%
#MGE Energy, Inc..................... 194,367 10,231,479 0.3%
Other Securities.................... 50,903,632 1.5%
-------------- ----
Total Utilities......................... 69,563,779 2.0%
-------------- ----
TOTAL COMMON STOCKS..................... 3,427,850,362 99.7%
-------------- ----
PREFERRED STOCKS -- (0.0%)
Energy -- (0.0%)
Other Securities.................... 55,563 0.0%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities.................... 134,261 0.0%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.3%)
BlackRock Liquidity Funds
TempCash Portfolio -
Institutional Shares.............. 9,728,759 9,728,759 0.3%
-------------- ----
Shares/
Face
Amount
(000)
-----------
SECURITIES LENDING COLLATERAL -- (11.8%)
(S)@DFA Short Term Investment Fund...... 39,804,452 460,537,511 13.4%
@Repurchase Agreement, JPMorgan
Securities LLC 0.30%,
11/01/12 (Collateralized by
$1,251,975 FNMA, rates
ranging from 2.500% to
5.500%, maturities ranging
from 10/01/22 to 07/01/42,
valued at $1,255,743) to be
repurchased at $1,215,489.......... $ 1,215 1,215,479 0.0%
-------------- ----
TOTAL SECURITIES LENDING COLLATERAL..... 461,752,990 13.4%
-------------- ----
58
U.S. MICRO CAP PORTFOLIO
CONTINUED
Percentage
Value+ of Net Assets**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,396,339,836)......................... $3,899,521,935 113.4%
============== =====
Summary of the Portfolio's investments as of October 31, 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... $ 612,071,742 $ 61,964 -- $ 612,133,706
Consumer Staples......... 158,934,259 -- -- 158,934,259
Energy................... 153,224,174 89,245 -- 153,313,419
Financials............... 608,732,642 -- -- 608,732,642
Health Care.............. 392,983,982 126,865 -- 393,110,847
Industrials.............. 582,525,445 277,879 -- 582,803,324
Information Technology... 596,307,933 -- -- 596,307,933
Materials................ 213,078,759 -- -- 213,078,759
Other.................... -- 2,226 -- 2,226
Telecommunication
Services............... 39,869,468 -- -- 39,869,468
Utilities................ 69,563,779 -- -- 69,563,779
Preferred Stocks
Energy................... -- 55,563 -- 55,563
Rights/Warrants............. 131,645 2,616 -- 134,261
Temporary Cash Investments.. 9,728,759 -- -- 9,728,759
Securities Lending
Collateral................ -- 461,752,990 -- 461,752,990
-------------- ------------ -- --------------
TOTAL....................... $3,437,152,587 $462,369,348 -- $3,899,521,935
============== ============ == ==============
See accompanying Notes to Financial Statements.
59
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value+ of Net Assets**
---------- -------------- ---------------
COMMON STOCKS -- (86.8%)
Real Estate Investment Trusts -- (86.8%)
Alexander's, Inc.................... 48,481 $ 21,523,625 0.6%
#Alexandria Real Estate
Equities, Inc...................... 539,876 38,023,467 1.0%
#American Campus Communities,
Inc................................ 673,380 30,510,848 0.8%
American Tower Corp................. 520,737 39,206,289 1.1%
#Apartment Investment &
Management Co. Class A............. 1,273,483 33,989,261 0.9%
#AvalonBay Communities, Inc.......... 849,330 115,135,175 3.1%
#BioMed Realty Trust, Inc............ 1,336,668 25,557,092 0.7%
Boston Properties, Inc.............. 1,340,610 142,506,843 3.8%
#BRE Properties, Inc................. 679,953 32,875,728 0.9%
#Camden Property Trust............... 719,928 47,248,875 1.3%
#CBL & Associates Properties,
Inc................................ 1,239,184 27,720,546 0.7%
#DDR Corp............................ 2,189,719 33,634,084 0.9%
#Digital Realty Trust, Inc........... 1,044,384 64,156,509 1.7%
#Douglas Emmett, Inc................. 1,175,786 27,572,182 0.7%
#Duke Realty Corp.................... 2,348,436 34,005,353 0.9%
Equity Lifestyle Properties,
Inc............................... 350,533 23,601,387 0.6%
#Equity Residential.................. 2,633,782 151,205,425 4.1%
#Essex Property Trust, Inc........... 312,386 46,857,900 1.3%
#Extra Space Storage, Inc............ 865,728 29,858,959 0.8%
#Federal Realty Investment
Trust.............................. 577,049 62,223,194 1.7%
#General Growth Properties, Inc...... 3,768,676 74,092,170 2.0%
#HCP, Inc............................ 3,758,294 166,492,424 4.5%
Health Care REIT, Inc............... 2,030,477 120,671,248 3.2%
#Highwoods Properties, Inc........... 672,870 21,700,057 0.6%
Home Properties, Inc................ 436,266 26,520,610 0.7%
#Hospitality Properties Trust........ 1,129,465 26,113,231 0.7%
#Host Hotels & Resorts, Inc.......... 6,322,617 91,425,042 2.5%
#Kilroy Realty Corp.................. 632,753 28,100,561 0.8%
Kimco Realty Corp................... 3,688,342 71,996,436 1.9%
Liberty Property Trust.............. 1,048,979 36,840,142 1.0%
#Macerich Co. (The).................. 1,164,780 66,392,460 1.8%
#Mack-Cali Realty Corp............... 789,496 20,519,001 0.6%
#Mid-America Apartment
Communities, Inc................... 346,446 22,418,521 0.6%
#National Retail Properties,
Inc................................ 946,624 29,989,048 0.8%
#Omega Healthcare Investors,
Inc................................ 950,897 21,813,577 0.6%
#Piedmont Office Realty Trust,
Inc. Class A....................... 1,476,624 26,283,907 0.7%
#Post Properties, Inc................ 471,637 23,020,602 0.6%
Prologis, Inc....................... 4,030,920 138,220,247 3.7%
Public Storage...................... 1,324,670 183,639,002 4.9%
#Realty Income Corp.................. 1,167,664 45,854,165 1.2%
#Regency Centers Corp................ 783,534 37,625,303 1.0%
#Senior Housing Properties
Trust.............................. 1,479,083 32,510,244 0.9%
Simon Property Group, Inc........... 2,702,036 411,276,900 11.1%
#SL Green Realty Corp................ 788,844 59,399,953 1.6%
#Tanger Factory Outlet
Centers, Inc....................... 813,719 25,607,737 0.7%
#Taubman Centers, Inc................ 533,326 41,892,757 1.1%
#UDR, Inc............................ 2,188,706 53,119,895 1.4%
#Ventas, Inc......................... 2,520,962 159,501,266 4.3%
Vornado Realty Trust................ 1,508,390 120,987,962 3.3%
#Weingarten Realty Investors......... 1,049,531 28,337,337 0.8%
Other Securities.................... 464,012,068 12.5%
-------------- ----
TOTAL COMMON STOCKS..................... 3,703,786,615 99.7%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.6%)
BlackRock Liquidity Funds
TempCash Portfolio -
Institutional Shares............... 26,648,404 26,648,404 0.7%
-------------- ----
60
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Shares/
Face
Amount Percentage
(000) Value+ of Net Assets**
----------- -------------- ---------------
SECURITIES LENDING COLLATERAL -- (12.6%)
(S)@DFA Short Term Investment
Fund.................................. 46,255,311 $ 535,173,950 14.4%
@Repurchase Agreement,
JPMorgan Securities LLC
0.30%, 11/01/12
(Collateralized by
$1,454,876 FNMA, rates
ranging from 2.500% to
5.500%, maturities
ranging from 10/01/22 to
07/01/42, valued at
$1,459,254) to be
repurchased at $1,412,477.......... $ 1,412 1,412,465 0.0%
-------------- -----
TOTAL SECURITIES LENDING
COLLATERAL............................ 536,586,415 14.4%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)...........
(Cost $3,188,947,605) $4,267,021,434 114.8%
============== =====
Summary of the Portfolio's investments as of October 31, 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. $3,703,786,615 -- -- $3,703,786,615
Temporary Cash Investments....... 26,648,404 -- -- 26,648,404
Securities Lending Collateral.... -- $536,586,415 -- 536,586,415
-------------- ------------ -- --------------
TOTAL............................ $3,730,435,019 $536,586,415 -- $4,267,021,434
============== ============ == ==============
See accompanying Notes to Financial Statements.
61
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value++ of Net Assets**
------- ------------ ---------------
COMMON STOCKS -- (88.2%)
AUSTRALIA -- (7.0%)
Australia & New Zealand Banking
Group, Ltd.......................... 489,886 $ 12,923,873 0.6%
BHP Billiton, Ltd..................... 358,448 12,691,074 0.6%
#Commonwealth Bank of Australia NL..... 268,839 16,099,654 0.8%
#National Australia Bank, Ltd.......... 413,524 11,051,380 0.5%
Westpac Banking Corp.................. 459,483 12,147,841 0.6%
Other Securities...................... 97,828,712 4.8%
------------ ----
TOTAL AUSTRALIA........................... 162,742,534 7.9%
------------ ----
AUSTRIA -- (0.2%)
Other Securities...................... 5,523,447 0.3%
------------ ----
BELGIUM -- (0.8%)
Anheuser-Busch InBev NV............... 107,124 8,958,854 0.4%
Other Securities...................... 10,625,851 0.5%
------------ ----
TOTAL BELGIUM............................. 19,584,705 0.9%
------------ ----
CANADA -- (9.8%)
Bank of Montreal...................... 121,090 7,155,676 0.3%
Bank of Nova Scotia................... 196,237 10,659,181 0.5%
Barrick Gold Corp..................... 182,000 7,360,180 0.4%
#Royal Bank of Canada.................. 243,989 13,910,121 0.7%
Suncor Energy, Inc.................... 279,079 9,366,436 0.5%
#Toronto Dominion Bank................. 160,784 13,076,830 0.6%
Other Securities...................... 165,490,762 8.0%
------------ ----
TOTAL CANADA.............................. 227,019,186 11.0%
------------ ----
DENMARK -- (1.0%)
Other Securities...................... 23,363,099 1.1%
------------ ----
FINLAND -- (0.6%)
Other Securities...................... 14,738,094 0.7%
------------ ----
FRANCE -- (7.2%)
BNP Paribas SA........................ 179,515 9,111,582 0.4%
LVMH Moet Hennessy Louis Vuitton SA... 43,329 7,044,432 0.3%
Sanofi SA............................. 147,776 12,978,720 0.6%
Total SA.............................. 229,954 11,582,771 0.6%
Total SA Sponsored ADR................ 144,707 7,293,233 0.4%
Other Securities...................... 119,144,573 5.8%
------------ ----
TOTAL FRANCE.............................. 167,155,311 8.1%
------------ ----
GERMANY -- (6.4%)
Allianz SE............................ 59,747 7,422,057 0.4%
BASF SE............................... 137,393 11,396,744 0.5%
Bayer AG.............................. 104,450 9,107,269 0.4%
Daimler AG............................ 168,780 7,906,432 0.4%
SAP AG................................ 103,483 7,546,254 0.4%
#Siemens AG Sponsored ADR.............. 67,650 6,826,562 0.3%
Other Securities...................... 98,406,795 4.8%
------------ ----
TOTAL GERMANY............................. 148,612,113 7.2%
------------ ----
GREECE -- (0.1%)
Other Securities...................... 1,180,568 0.1%
------------ ----
HONG KONG -- (2.4%)
Other Securities...................... 54,810,518 2.7%
------------ ----
62
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
--------- ------------ ---------------
IRELAND -- (0.3%)
Other Securities.................... $ 5,766,422 0.3%
------------ ----
ISRAEL -- (0.4%)
Other Securities.................... 9,597,458 0.5%
------------ ----
ITALY -- (1.7%)
Other Securities.................... 38,182,893 1.9%
------------ ----
JAPAN -- (15.7%)
Sumitomo Mitsui Financial Group,
Inc............................... 251,740 7,692,420 0.4%
Toyota Motor Corp................... 317,100 12,226,476 0.6%
Other Securities.................... 343,552,324 16.7%
------------ ----
TOTAL JAPAN............................. 363,471,220 17.7%
------------ ----
NETHERLANDS -- (2.0%)
Unilever NV......................... 271,974 9,996,249 0.5%
Other Securities.................... 36,987,162 1.8%
------------ ----
TOTAL NETHERLANDS....................... 46,983,411 2.3%
------------ ----
NEW ZEALAND -- (0.1%)
Other Securities.................... 2,282,663 0.1%
------------ ----
NORWAY -- (0.9%)
Other Securities.................... 21,438,761 1.0%
------------ ----
PORTUGAL -- (0.2%)
Other Securities.................... 3,409,590 0.2%
------------ ----
SINGAPORE -- (1.4%)
Other Securities.................... 32,746,308 1.6%
------------ ----
SPAIN -- (2.2%)
Other Securities.................... 51,685,586 2.5%
------------ ----
SWEDEN -- (2.5%)
Other Securities.................... 58,081,987 2.8%
------------ ----
SWITZERLAND -- (6.8%)
Nestle SA........................... 548,594 34,829,262 1.7%
Novartis AG......................... 262,271 15,815,092 0.8%
#Novartis AG ADR..................... 147,100 8,893,666 0.4%
Roche Holding AG Genusschein........ 116,708 22,480,903 1.1%
UBS AG.............................. 640,816 9,614,543 0.4%
Zurich Insurance Group AG........... 31,032 7,650,000 0.4%
Other Securities.................... 57,263,238 2.8%
------------ ----
TOTAL SWITZERLAND....................... 156,546,704 7.6%
------------ ----
UNITED KINGDOM -- (18.5%)
Anglo American P.L.C................ 247,137 7,615,400 0.4%
BG Group P.L.C...................... 510,495 9,478,376 0.5%
#BHP Billiton P.L.C. ADR............. 113,263 7,246,567 0.3%
BP P.L.C. Sponsored ADR............. 517,641 22,201,622 1.1%
British American Tobacco P.L.C...... 293,586 14,561,859 0.7%
Diageo P.L.C. Sponsored ADR......... 63,791 7,287,484 0.3%
GlaxoSmithKline P.L.C............... 538,836 12,074,039 0.6%
GlaxoSmithKline P.L.C. Sponsored
ADR............................... 154,591 6,941,136 0.3%
HSBC Holdings P.L.C................. 1,623,467 16,006,352 0.8%
#HSBC Holdings P.L.C. Sponsored ADR.. 343,138 16,937,292 0.8%
Rio Tinto P.L.C..................... 150,148 7,500,915 0.4%
Royal Dutch Shell P.L.C. ADR........ 425,120 30,026,226 1.5%
Royal Dutch Shell P.L.C. Series B... 306,534 10,842,936 0.5%
63
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
----------- -------------- ---------------
UNITED KINGDOM -- (Continued)
SABmiller P.L.C.......................................................... 162,396 $ 6,969,775 0.3%
Standard Chartered P.L.C................................................. 452,395 10,711,236 0.5%
Tesco P.L.C.............................................................. 1,441,004 7,456,436 0.4%
Vodafone Group P.L.C..................................................... 2,870,219 7,794,527 0.4%
Vodafone Group P.L.C. Sponsored ADR...................................... 680,782 18,530,886 0.9%
Other Securities......................................................... 206,843,125 10.1%
-------------- -----
TOTAL UNITED KINGDOM......................................................... 427,026,189 20.8%
-------------- -----
TOTAL COMMON STOCKS.......................................................... 2,041,948,767 99.3%
-------------- -----
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.0%)
Other Securities......................................................... 1,284,218 0.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities......................................................... 14,929 0.0%
-------------- -----
FRANCE -- (0.0%)
Other Securities......................................................... 15 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities......................................................... 30,902 0.0%
-------------- -----
SPAIN -- (0.0%)
Other Securities......................................................... 7 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS........................................................ 45,853 0.0%
-------------- -----
Shares/
Face
Amount
(000) Value+
----------- --------------
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@DFA Short Term Investment Fund........................................... 23,336,214 270,000,000 13.1%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12
(Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at
$1,348,839) to be repurchased at $1,322,404............................. $ 1,322 1,322,391 0.1%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL.......................................... 271,322,391 13.2%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,152,738,602) $2,314,601,229 112.6%
============== =====
64
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................. $ 9,177,915 $ 153,564,619 -- $ 162,742,534
Austria................... 31,272 5,492,175 -- 5,523,447
Belgium................... 2,868,310 16,716,395 -- 19,584,705
Canada.................... 227,019,186 -- -- 227,019,186
Denmark................... 4,252,654 19,110,445 -- 23,363,099
Finland................... 792,236 13,945,858 -- 14,738,094
France.................... 15,010,442 152,144,869 -- 167,155,311
Germany................... 26,003,248 122,608,865 -- 148,612,113
Greece.................... -- 1,180,568 -- 1,180,568
Hong Kong................. -- 54,810,518 -- 54,810,518
Ireland................... 1,928,356 3,838,066 -- 5,766,422
Israel.................... 5,521,012 4,076,446 -- 9,597,458
Italy..................... 5,535,992 32,646,901 -- 38,182,893
Japan..................... 29,715,898 333,755,322 -- 363,471,220
Netherlands............... 3,974,503 43,008,908 -- 46,983,411
New Zealand............... -- 2,282,663 -- 2,282,663
Norway.................... 1,169,239 20,269,522 -- 21,438,761
Portugal.................. 101,703 3,307,887 -- 3,409,590
Singapore................. -- 32,746,308 -- 32,746,308
Spain..................... 17,713,982 33,971,604 -- 51,685,586
Sweden.................... 604,690 57,477,297 -- 58,081,987
Switzerland............... 17,129,641 139,417,063 -- 156,546,704
United Kingdom............ 145,465,749 281,560,440 -- 427,026,189
Preferred Stocks
Germany................... -- 1,284,218 -- 1,284,218
Rights/Warrants
Australia................. -- 14,929 -- 14,929
France.................... -- 15 -- 15
Hong Kong................. -- 30,902 -- 30,902
Spain..................... -- 7 -- 7
Securities Lending Collateral. -- 271,322,391 -- 271,322,391
------------ -------------- -- --------------
TOTAL......................... $514,016,028 $1,800,585,201 -- $2,314,601,229
============ ============== == ==============
See accompanying Notes to Financial Statements.
65
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2012
Percentage
Shares Value++ of Net Assets**
------- ------------ ---------------
COMMON STOCKS -- (89.3%)
AUSTRALIA -- (6.2%)
#Australia & New Zealand Banking Group, Ltd. 811,349 $ 21,404,514 0.3%
#Commonwealth Bank of Australia NL.......... 291,226 17,440,319 0.3%
#National Australia Bank, Ltd............... 935,297 24,995,703 0.4%
#Wesfarmers, Ltd............................ 461,899 16,651,241 0.3%
Westpac Banking Corp....................... 659,750 17,442,513 0.3%
Other Securities........................... 351,644,182 5.4%
------------ ----
TOTAL AUSTRALIA................................ 449,578,472 7.0%
------------ ----
AUSTRIA -- (0.5%)
Other Securities........................... 32,391,602 0.5%
------------ ----
BELGIUM -- (0.9%)
Other Securities........................... 65,997,964 1.0%
------------ ----
CANADA -- (9.9%)
#Bank of Montreal........................... 273,400 16,156,263 0.3%
Bank of Nova Scotia........................ 264,875 14,387,453 0.2%
Canadian Natural Resources, Ltd............ 474,950 14,313,887 0.2%
#Royal Bank of Canada....................... 326,040 18,587,953 0.3%
Suncor Energy, Inc......................... 654,429 21,963,915 0.3%
#Toronto Dominion Bank...................... 350,772 28,528,871 0.4%
Other Securities........................... 600,337,278 9.3%
------------ ----
TOTAL CANADA................................... 714,275,620 11.0%
------------ ----
CHINA -- (0.0%)
Other Securities........................... 147,959 0.0%
------------ ----
DENMARK -- (0.9%)
Other Securities........................... 63,928,182 1.0%
------------ ----
FINLAND -- (1.3%)
Other Securities........................... 92,159,069 1.4%
------------ ----
FRANCE -- (6.7%)
BNP Paribas SA............................. 500,741 25,415,940 0.4%
#GDF Suez SA................................ 659,288 15,132,134 0.2%
Sanofi SA ADR.............................. 562,231 24,653,829 0.4%
*Societe Generale SA........................ 601,863 19,194,589 0.3%
#Total SA Sponsored ADR..................... 594,342 29,954,837 0.5%
Other Securities........................... 366,981,725 5.6%
------------ ----
TOTAL FRANCE................................... 481,333,054 7.4%
------------ ----
GERMANY -- (5.3%)
Daimler AG................................. 415,333 19,456,109 0.3%
Deutsche Bank AG........................... 338,130 15,402,110 0.3%
E.ON AG.................................... 609,873 13,883,743 0.2%
#Siemens AG Sponsored ADR................... 200,444 20,226,804 0.3%
Other Securities........................... 316,171,125 4.9%
------------ ----
TOTAL GERMANY.................................. 385,139,891 6.0%
------------ ----
GREECE -- (0.3%)
Other Securities........................... 21,713,011 0.3%
------------ ----
HONG KONG -- (2.4%)
Other Securities........................... 170,749,434 2.6%
------------ ----
IRELAND -- (0.5%)
Other Securities........................... 36,568,747 0.6%
------------ ----
66
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
---------- -------------- ---------------
ISRAEL -- (0.5%)
Other Securities...................... $ 38,192,757 0.6%
-------------- ----
ITALY -- (2.0%)
Other Securities...................... 144,759,479 2.2%
-------------- ----
JAPAN -- (16.9%)
Mitsubishi UFJ Financial Group, Inc... 4,203,900 19,018,309 0.3%
Mizuho Financial Group, Inc........... 10,641,060 16,649,856 0.3%
Sumitomo Mitsui Financial Group, Inc.. 634,770 19,396,670 0.3%
#Toyota Motor Corp. Sponsored ADR...... 360,892 27,958,303 0.4%
Other Securities...................... 1,141,756,436 17.6%
-------------- ----
TOTAL JAPAN............................... 1,224,779,574 18.9%
-------------- ----
NETHERLANDS -- (2.3%)
*ING Groep NV Sponsored ADR............ 1,565,969 13,874,485 0.2%
Koninklijke Philips Electronics NV.... 589,853 14,773,412 0.2%
Other Securities...................... 140,860,671 2.2%
-------------- ----
TOTAL NETHERLANDS......................... 169,508,568 2.6%
-------------- ----
NEW ZEALAND -- (0.3%)
Other Securities...................... 18,364,661 0.3%
-------------- ----
NORWAY -- (1.1%)
Other Securities...................... 79,436,045 1.2%
-------------- ----
PORTUGAL -- (0.3%)
Other Securities...................... 20,759,987 0.3%
-------------- ----
SINGAPORE -- (1.6%)
Other Securities...................... 117,743,734 1.8%
-------------- ----
SPAIN -- (2.0%)
Banco Santander SA.................... 2,240,231 16,867,084 0.3%
#Banco Santander SA Sponsored ADR...... 2,229,277 16,630,406 0.2%
Other Securities...................... 109,877,111 1.7%
-------------- ----
TOTAL SPAIN............................... 143,374,601 2.2%
-------------- ----
SWEDEN -- (2.8%)
Other Securities...................... 204,867,857 3.2%
-------------- ----
SWITZERLAND -- (5.9%)
Holcim, Ltd........................... 208,137 14,204,567 0.2%
Nestle SA............................. 587,284 37,285,622 0.6%
#Novartis AG ADR....................... 737,597 44,595,115 0.7%
Roche Holding AG Genusschein.......... 82,873 15,963,429 0.3%
Swiss Re, Ltd......................... 321,123 22,220,864 0.3%
UBS AG................................ 1,749,489 26,248,623 0.4%
Zurich Insurance Group AG............. 133,176 32,830,510 0.5%
Other Securities...................... 233,502,910 3.6%
-------------- ----
TOTAL SWITZERLAND......................... 426,851,640 6.6%
-------------- ----
UNITED KINGDOM -- (18.7%)
Anglo American P.L.C.................. 582,539 17,950,640 0.3%
#AstraZeneca P.L.C. Sponsored ADR...... 424,722 19,707,101 0.3%
Barclays P.L.C. Sponsored ADR......... 1,811,137 26,804,828 0.4%
BG Group P.L.C........................ 933,234 17,327,384 0.3%
#BHP Billiton P.L.C. ADR............... 247,566 15,839,273 0.3%
BP P.L.C. Sponsored ADR............... 1,479,807 63,468,922 1.0%
#HSBC Holdings P.L.C. Sponsored ADR.... 1,761,750 86,959,980 1.3%
*Lloyds Banking Group P.L.C............ 23,313,762 15,352,299 0.2%
67
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
----------- -------------- ---------------
UNITED KINGDOM -- (Continued)
#Prudential P.L.C. ADR.................................................... 651,676 $ 17,908,056 0.3%
#Rio Tinto P.L.C. Sponsored ADR........................................... 307,543 15,370,999 0.2%
#Royal Dutch Shell P.L.C. ADR............................................. 1,426,690 100,767,115 1.6%
SABmiller P.L.C.......................................................... 323,061 13,865,258 0.2%
Standard Chartered P.L.C................................................. 1,125,564 26,649,679 0.4%
Tesco P.L.C.............................................................. 3,732,880 19,315,686 0.3%
Vodafone Group P.L.C. Sponsored ADR...................................... 2,412,945 65,680,363 1.0%
Other Securities......................................................... 829,016,053 12.8%
-------------- -----
TOTAL UNITED KINGDOM......................................................... 1,351,983,636 20.9%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities......................................................... 506,366 0.0%
-------------- -----
TOTAL COMMON STOCKS.......................................................... 6,455,111,910 99.6%
-------------- -----
PREFERRED STOCKS -- (0.0%)
GERMANY -- (0.0%)
Other Securities......................................................... 3,716,814 0.1%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities......................................................... 1,214 0.0%
-------------- -----
TOTAL PREFERRED STOCKS....................................................... 3,718,028 0.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities......................................................... 323,953 0.0%
-------------- -----
BELGIUM -- (0.0%)
Other Securities......................................................... 704 0.0%
-------------- -----
CANADA -- (0.0%)
Other Securities......................................................... 603 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities......................................................... 283,649 0.0%
-------------- -----
ITALY -- (0.0%)
Other Securities......................................................... 3,518 0.0%
-------------- -----
SINGAPORE -- (0.0%)
Other Securities......................................................... 26,839 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS........................................................ 639,266 0.0%
-------------- -----
Shares/
Face
Amount
(000) Value+
----------- --------------
SECURITIES LENDING COLLATERAL -- (10.7%)
(S)@DFA Short Term Investment Fund........................................... 66,119,274 765,000,000 11.8%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12
(Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at
$7,529,026) to be repurchased at $7,381,470............................. $ 7,381 7,381,398 0.1%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL.......................................... 772,381,398 11.9%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,513,353,611)...................................................... $7,231,850,602 111.6%
============== =====
68
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................. $ 24,824,894 $ 424,753,578 -- $ 449,578,472
Austria................... 54,726 32,336,876 -- 32,391,602
Belgium................... 9,754,099 56,243,865 -- 65,997,964
Canada.................... 714,070,628 204,992 -- 714,275,620
China..................... 70,633 77,326 -- 147,959
Denmark................... 4,096,211 59,831,971 -- 63,928,182
Finland................... 2,272,148 89,886,921 -- 92,159,069
France.................... 79,612,438 401,720,616 -- 481,333,054
Germany................... 62,450,948 322,688,943 -- 385,139,891
Greece.................... 1,824,911 19,888,100 -- 21,713,011
Hong Kong................. 120,183 170,629,251 -- 170,749,434
Ireland................... 10,484,484 26,084,263 -- 36,568,747
Israel.................... 10,688,742 27,504,015 -- 38,192,757
Italy..................... 15,876,853 128,882,626 -- 144,759,479
Japan..................... 78,891,497 1,145,888,077 -- 1,224,779,574
Netherlands............... 30,237,911 139,270,657 -- 169,508,568
New Zealand............... 144,091 18,220,570 -- 18,364,661
Norway.................... 9,264,269 70,171,776 -- 79,436,045
Portugal.................. 196,831 20,563,156 -- 20,759,987
Singapore................. -- 117,743,734 -- 117,743,734
Spain..................... 32,530,839 110,843,762 -- 143,374,601
Sweden.................... 6,728,083 198,139,774 -- 204,867,857
Switzerland............... 72,598,940 354,252,700 -- 426,851,640
United Kingdom............ 494,390,977 857,592,659 -- 1,351,983,636
United States............. 506,366 -- -- 506,366
Preferred Stocks
Germany................... -- 3,716,814 -- 3,716,814
United Kingdom............ -- 1,214 -- 1,214
Rights/Warrants
Australia................. -- 323,953 -- 323,953
Belgium................... -- 704 -- 704
Canada.................... 24 579 -- 603
Hong Kong................. -- 283,649 -- 283,649
Italy..................... -- 3,518 -- 3,518
Singapore................. -- 26,839 -- 26,839
Securities Lending Collateral. -- 772,381,398 -- 772,381,398
-------------- -------------- -- --------------
TOTAL......................... $1,661,691,726 $5,570,158,876 -- $7,231,850,602
============== ============== == ==============
See accompanying Notes to Financial Statements.
69
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
Value+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of The
DFA Investment Trust Company............................. $2,138,832,833
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company......................... 1,433,515,437
Investment in The Japanese Small Company Series of The
DFA Investment Trust Company............................. 1,392,642,047
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company......................... 765,581,971
Investment in The Canadian Small Company Series of The
DFA Investment Trust Company............................. 689,084,996
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $6,321,775,249)................................ 6,419,657,284
--------------
TOTAL INVESTMENTS--(100.0%) (Cost $6,321,775,249)...... $6,419,657,284
==============
Summary of the Portfolio's investments as of October 31, 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.. $6,419,657,284 -- -- $6,419,657,284
-------------- -- -- --------------
TOTAL............................ $6,419,657,284 -- -- $6,419,657,284
============== == == ==============
See accompanying Notes to Financial Statements.
70
SCHEDULES OF INVESTMENTS
OCTOBER 31, 2012
JAPANESE SMALL COMPANY PORTFOLIO
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Japanese Small Company Series of The
DFA Investment Trust Company............................ $294,087,384
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $363,670,987)................................. $294,087,384
============
Summary of the Portfolio's Master Fund's investments as of October 31, 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........................ $238,281,823
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $225,784,642)................................. $238,281,823
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
71
SCHEDULES OF INVESTMENTS
October 31, 2012
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......................................... $31,322,321
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $24,146,735)............................................ $31,322,321
===========
Summary of the Portfolio's Master Fund's investments as of October 31, 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........................................ $106,352,698
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $108,971,167).......................................... $106,352,698
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
72
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value++ of Net Assets**
---------- ------------ ---------------
COMMON STOCKS -- (91.3%)
AUSTRALIA -- (24.5%)
CFS Retail Property Trust Group... 10,743,924 $ 21,769,204 1.4%
#Commonwealth Property Office Fund. 12,593,964 14,099,725 0.9%
Dexus Property Group.............. 25,577,769 26,105,656 1.7%
Goodman Group..................... 8,720,577 40,033,772 2.6%
GPT Group......................... 9,010,486 33,274,608 2.2%
Investa Office Fund............... 3,287,999 10,135,818 0.7%
Stockland Trust Group............. 11,954,193 42,891,997 2.8%
Westfield Group................... 12,039,316 133,084,688 8.7%
Westfield Retail Trust............ 15,744,367 50,556,567 3.3%
Other Securities.................. 37,139,928 2.4%
------------ ----
TOTAL AUSTRALIA....................... 409,091,963 26.7%
------------ ----
BELGIUM -- (1.2%)
Cofinimmo SA...................... 78,243 8,895,299 0.6%
Other Securities.................. 11,918,425 0.8%
------------ ----
TOTAL BELGIUM......................... 20,813,724 1.4%
------------ ----
CANADA -- (7.2%)
#Boardwalk REIT.................... 129,784 8,351,657 0.5%
#Calloway REIT..................... 296,195 8,585,577 0.6%
#Canadian REIT..................... 191,445 7,981,747 0.5%
#Cominar REIT...................... 332,264 7,934,414 0.5%
#Dundee REIT....................... 260,863 9,572,595 0.6%
#H&R REIT.......................... 633,619 15,308,362 1.0%
#RioCan REIT....................... 826,910 22,553,220 1.5%
Other Securities.................. 39,624,002 2.6%
------------ ----
TOTAL CANADA.......................... 119,911,574 7.8%
------------ ----
CHINA -- (0.1%)
Other Securities.................. 1,652,960 0.1%
------------ ----
FRANCE -- (10.9%)
Fonciere des Regions SA........... 163,879 13,190,201 0.9%
Gecina SA......................... 119,620 13,269,206 0.9%
#ICADE SA.......................... 121,792 10,961,372 0.7%
Klepierre SA...................... 601,899 22,326,321 1.4%
Unibail-Rodamco SE................ 472,896 106,512,511 6.9%
Other Securities.................. 15,122,081 1.0%
------------ ----
TOTAL FRANCE.......................... 181,381,692 11.8%
------------ ----
GERMANY -- (0.3%)
Other Securities.................. 5,567,788 0.4%
------------ ----
GREECE -- (0.0%)
Other Securities.................. 361,217 0.0%
------------ ----
HONG KONG -- (4.6%)
#Link REIT (The)................... 12,861,583 63,830,861 4.2%
Other Securities.................. 12,141,084 0.8%
------------ ----
TOTAL HONG KONG....................... 75,971,945 5.0%
------------ ----
ISRAEL -- (0.0%)
Other Securities.................. 757,218 0.1%
------------ ----
ITALY -- (0.2%)
Other Securities.................. 3,398,844 0.2%
------------ ----
73
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
---------- ------------ ---------------
JAPAN -- (15.2%)
Advance Residence Investment Corp.. 6,285 $ 13,627,451 0.9%
#Frontier Real Estate Investment
Corp.............................. 1,211 10,702,727 0.7%
Japan Logistics Fund, Inc.......... 813 7,428,117 0.5%
Japan Prime Realty Investment
Corp............................. 4,465 13,456,668 0.9%
Japan Real Estate Investment Corp.. 3,170 31,742,207 2.1%
Japan Retail Fund Investment Corp.. 10,863 19,804,181 1.3%
MORI TRUST Sogo REIT, Inc.......... 967 8,852,471 0.6%
Nippon Accommodations Fund, Inc.... 1,021 7,254,453 0.5%
#Nippon Building Fund, Inc.......... 3,534 37,966,559 2.5%
#Nomura Real Estate Office Fund,
Inc............................... 1,574 9,902,152 0.6%
#ORIX JREIT, Inc.................... 1,594 7,761,405 0.5%
#United Urban Investment Corp....... 12,105 14,554,764 0.9%
Other Securities................... 70,803,716 4.6%
------------ ----
TOTAL JAPAN............................ 253,856,871 16.6%
------------ ----
MALAYSIA -- (0.3%)
Other Securities................... 4,702,302 0.3%
------------ ----
MEXICO -- (0.1%)
Other Securities................... 1,768,355 0.1%
------------ ----
NETHERLANDS -- (2.4%)
Corio NV........................... 369,283 16,450,697 1.1%
#Eurocommercial Properties NV....... 214,239 8,401,590 0.6%
Other Securities................... 14,403,814 0.9%
------------ ----
TOTAL NETHERLANDS...................... 39,256,101 2.6%
------------ ----
NEW ZEALAND -- (0.6%)
Other Securities................... 10,717,769 0.7%
------------ ----
SINGAPORE -- (8.1%)
Ascendas REIT...................... 10,362,000 19,992,929 1.3%
#CapitaCommercial Trust............. 10,793,000 13,847,973 0.9%
CapitaMall Trust................... 12,717,300 21,881,382 1.4%
CDL Hospitality Trusts............. 4,451,000 7,058,939 0.5%
Suntec REIT........................ 10,956,000 14,390,048 0.9%
Other Securities................... 57,469,214 3.8%
------------ ----
TOTAL SINGAPORE........................ 134,640,485 8.8%
------------ ----
SOUTH AFRICA -- (1.3%)
Other Securities................... 21,317,137 1.4%
------------ ----
TAIWAN -- (0.6%)
Other Securities................... 9,314,322 0.6%
------------ ----
TURKEY -- (0.7%)
Other Securities................... 10,969,854 0.7%
------------ ----
UNITED KINGDOM -- (13.0%)
British Land Co. P.L.C............. 4,755,450 40,619,859 2.6%
Capital Shopping Centres Group
P.L.C............................ 3,132,277 16,860,712 1.1%
Derwent London P.L.C............... 491,732 16,363,554 1.1%
Great Portland Estates P.L.C....... 1,676,684 12,661,329 0.8%
Hammerson P.L.C.................... 3,924,681 29,928,470 1.9%
Land Securities Group P.L.C........ 4,331,787 56,292,926 3.7%
Segro P.L.C........................ 3,971,466 15,227,757 1.0%
Shaftesbury P.L.C.................. 1,317,725 11,669,264 0.8%
74
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
----------- -------------- ---------------
UNITED KINGDOM -- (Continued)
Other Securities......................................................... $ 16,948,860 1.1%
-------------- -----
TOTAL UNITED KINGDOM......................................................... 216,572,731 14.1%
-------------- -----
TOTAL COMMON STOCKS.......................................................... 1,522,024,852 99.4%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
NETHERLANDS -- (0.0%)
Other Securities......................................................... -- 0.0%
-------------- -----
Shares/
Face
Amount
(000) Value+
----------- --------------
SECURITIES LENDING COLLATERAL -- (8.7%)
(S)@DFA Short Term Investment Fund........................................... 12,445,981 144,000,000 9.4%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12
(Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at
$226,983) to be repurchased at $222,534................................. $ 223 222,532 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL.......................................... 144,222,532 9.4%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,504,164,154) $1,666,247,384 108.8%
============== =====
75
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................ -- $ 409,091,963 -- $ 409,091,963
Belgium.................. -- 20,813,724 -- 20,813,724
Canada................... $119,911,574 -- -- 119,911,574
China.................... -- 1,652,960 -- 1,652,960
France................... -- 181,381,692 -- 181,381,692
Germany.................. -- 5,567,788 -- 5,567,788
Greece................... -- 361,217 -- 361,217
Hong Kong................ -- 75,971,945 -- 75,971,945
Israel................... -- 757,218 -- 757,218
Italy.................... -- 3,398,844 -- 3,398,844
Japan.................... -- 253,856,871 -- 253,856,871
Malaysia................. -- 4,702,302 -- 4,702,302
Mexico................... 1,768,355 -- -- 1,768,355
Netherlands.............. -- 39,256,101 -- 39,256,101
New Zealand.............. -- 10,717,769 -- 10,717,769
Singapore................ -- 134,640,485 -- 134,640,485
South Africa............. -- 21,317,137 -- 21,317,137
Taiwan................... -- 9,314,322 -- 9,314,322
Turkey................... -- 10,969,854 -- 10,969,854
United Kingdom........... -- 216,572,731 -- 216,572,731
Rights/Warrants
Netherlands.............. -- -- -- --
Securities Lending
Collateral................ -- 144,222,532 -- 144,222,532
------------ -------------- -- --------------
TOTAL....................... $121,679,929 $1,544,567,455 -- $1,666,247,384
============ ============== == ==============
See accompanying Notes to Financial Statements.
76
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2012
Shares Value+
---------- --------------
AFFILIATED INVESTMENT COMPANIES -- (99.8%)
Investment in DFA Real Estate Securities Portfolio
of DFA Investment Dimensions Group Inc............ 30,118,595 $ 777,963,309
Investment in DFA International Real Estate
Securities Portfolio of DFA Investment Dimensions
Group Inc......................................... 93,734,436 531,474,252
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES
(Cost $1,003,592,208).......................... 1,309,437,561
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
BlackRock Liquidity Funds TempCash
Portfolio-Institutional Shares
(Cost $2,168,186).............................. 2,168,186 2,168,186
--------------
TOTAL INVESTMENTS - (100.0%)
(Cost $1,005,760,394).......................... $1,311,605,747
==============
Summary of the Portfolio's investments as of October 31, 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.. $1,309,437,561 -- -- $1,309,437,561
Temporary Cash Investments....... 2,168,186 -- -- 2,168,186
-------------- -- -- --------------
TOTAL............................ $1,311,605,747 -- -- $1,311,605,747
============== == == ==============
See accompanying Notes to Financial Statements.
77
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value++ of Net Assets**
---------- ------------ ---------------
COMMON STOCKS -- (90.8%)
AUSTRALIA -- (6.0%)
Beach Energy, Ltd................. 23,727,789 $ 33,888,804 0.4%
#Primary Health Care, Ltd.......... 10,254,873 41,363,668 0.5%
Other Securities.................. 466,530,438 5.6%
------------ ----
TOTAL AUSTRALIA....................... 541,782,910 6.5%
------------ ----
AUSTRIA -- (0.6%)
Other Securities.................. 56,347,784 0.7%
------------ ----
BELGIUM -- (0.8%)
Other Securities.................. 72,506,984 0.9%
------------ ----
CANADA -- (10.1%)
Aimia, Inc........................ 2,476,260 37,091,214 0.4%
*Canfor Corp....................... 2,464,506 35,138,489 0.4%
*Celestica, Inc.................... 4,577,603 33,229,158 0.4%
Dorel Industries, Inc. Class B.... 842,000 30,105,452 0.4%
HudBay Minerals, Inc.............. 4,193,216 38,919,762 0.5%
Laurentian Bank of Canada......... 707,853 31,503,445 0.4%
*Petrobank Energy & Resources, Ltd. 2,532,239 34,785,801 0.4%
#RONA, Inc......................... 3,166,544 32,529,403 0.4%
Sherritt International Corp....... 7,300,339 31,576,936 0.4%
West Fraser Timber Co., Ltd....... 659,979 39,972,095 0.5%
Other Securities.................. 571,595,590 6.9%
------------ ----
TOTAL CANADA.......................... 916,447,345 11.1%
------------ ----
CHINA -- (0.0%)
Other Securities.................. 1,206,022 0.0%
------------ ----
DENMARK -- (0.7%)
Other Securities.................. 63,681,901 0.8%
------------ ----
FINLAND -- (2.3%)
Huhtamaki Oyj..................... 1,928,287 32,602,927 0.4%
Pohjola Bank P.L.C. Series A...... 2,683,574 36,607,681 0.4%
Other Securities.................. 138,899,487 1.7%
------------ ----
TOTAL FINLAND......................... 208,110,095 2.5%
------------ ----
FRANCE -- (3.2%)
#*Air France-KLM.................... 3,419,028 28,582,611 0.3%
Other Securities.................. 261,020,712 3.2%
------------ ----
TOTAL FRANCE.......................... 289,603,323 3.5%
------------ ----
GERMANY -- (4.7%)
Aurubis AG........................ 1,045,010 66,156,167 0.8%
Bilfinger SE...................... 632,428 61,972,830 0.7%
*TUI AG............................ 3,349,736 31,432,430 0.4%
Other Securities.................. 261,661,479 3.2%
------------ ----
TOTAL GERMANY......................... 421,222,906 5.1%
------------ ----
GREECE -- (0.3%)
Other Securities.................. 25,879,481 0.3%
------------ ----
HONG KONG -- (2.2%)
Other Securities.................. 197,647,279 2.4%
------------ ----
IRELAND -- (0.3%)
Other Securities.................. 31,232,143 0.4%
------------ ----
78
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
---------- -------------- ---------------
ISRAEL -- (0.7%)
Other Securities............... $ 60,934,821 0.7%
-------------- ----
ITALY -- (2.4%)
#*Banca Popolare di Milano Scarl. 77,876,899 42,915,156 0.5%
*Banco Popolare Scarl........... 21,502,306 34,312,780 0.4%
Other Securities............... 141,814,742 1.7%
-------------- ----
TOTAL ITALY........................ 219,042,678 2.6%
-------------- ----
JAPAN -- (21.9%)
#*Kawasaki Kisen Kaisha, Ltd..... 23,941,194 30,346,936 0.4%
Other Securities............... 1,952,345,297 23.6%
-------------- ----
TOTAL JAPAN........................ 1,982,692,233 24.0%
-------------- ----
NETHERLANDS -- (1.6%)
Other Securities............... 142,141,244 1.7%
-------------- ----
NEW ZEALAND -- (0.5%)
Other Securities............... 48,105,315 0.6%
-------------- ----
NORWAY -- (0.9%)
Other Securities............... 85,774,467 1.0%
-------------- ----
PORTUGAL -- (0.3%)
Other Securities............... 25,197,899 0.3%
-------------- ----
SINGAPORE -- (1.6%)
Other Securities............... 145,005,915 1.8%
-------------- ----
SPAIN -- (1.4%)
Other Securities............... 123,849,404 1.5%
-------------- ----
SWEDEN -- (3.2%)
#Holmen AB Series B............. 1,366,890 40,281,534 0.5%
#SSAB AB Series A............... 4,143,538 29,683,346 0.4%
Trelleborg AB Series B......... 6,786,568 73,951,693 0.9%
Other Securities............... 143,316,503 1.7%
-------------- ----
TOTAL SWEDEN....................... 287,233,076 3.5%
-------------- ----
SWITZERLAND -- (4.5%)
Clariant AG.................... 3,169,797 33,967,506 0.4%
Helvetia Holding AG............ 120,995 42,486,842 0.5%
Swiss Life Holding AG.......... 359,888 45,449,220 0.6%
Other Securities............... 281,835,343 3.4%
-------------- ----
TOTAL SWITZERLAND.................. 403,738,911 4.9%
-------------- ----
UNITED KINGDOM -- (20.6%)
Amlin P.L.C.................... 11,024,189 66,456,858 0.8%
Ashtead Group P.L.C............ 11,493,515 69,436,081 0.8%
*Barratt Developments P.L.C..... 23,445,340 71,872,107 0.9%
Beazley P.L.C.................. 12,444,027 35,581,616 0.4%
Bellway P.L.C.................. 3,448,205 56,365,789 0.7%
Bodycote P.L.C................. 5,217,256 31,855,295 0.4%
Bovis Homes Group P.L.C........ 3,849,825 31,868,846 0.4%
Catlin Group, Ltd.............. 9,072,341 69,139,681 0.8%
Cookson Group P.L.C............ 5,906,182 55,795,091 0.7%
DS Smith P.L.C................. 15,587,156 53,814,171 0.6%
easyJet P.L.C.................. 4,026,670 40,693,610 0.5%
Greene King P.L.C.............. 4,908,532 47,094,844 0.6%
Hiscox, Ltd.................... 10,790,586 83,204,571 1.0%
#Home Retail Group P.L.C........ 17,301,308 31,941,500 0.4%
79
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
----------- -------------- ---------------
UNITED KINGDOM -- (Continued)
Inchcape P.L.C........................................................ 8,776,728 $ 57,079,395 0.7%
Meggitt P.L.C......................................................... 5,167,155 32,228,095 0.4%
Millennium & Copthorne Hotels P.L.C................................... 4,813,561 39,060,619 0.5%
*Mitchells & Butlers P.L.C............................................. 5,754,583 30,449,225 0.4%
Mondi P.L.C........................................................... 7,958,099 87,726,124 1.1%
Persimmon P.L.C....................................................... 7,739,467 99,583,151 1.2%
Taylor Wimpey P.L.C................................................... 75,991,308 75,107,713 0.9%
*Travis Perkins P.L.C.................................................. 5,306,411 92,729,589 1.1%
TUI Travel P.L.C...................................................... 7,207,549 29,243,367 0.3%
Other Securities...................................................... 571,968,649 6.9%
-------------- -----
TOTAL UNITED KINGDOM...................................................... 1,860,295,987 22.5%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities...................................................... 54,586 0.0%
-------------- -----
TOTAL COMMON STOCKS....................................................... 8,209,734,709 99.3%
-------------- -----
PREFERRED STOCKS -- (0.0%)
UNITED KINGDOM -- (0.0%)
Other Securities...................................................... 144 0.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
BELGIUM -- (0.0%)
Other Securities...................................................... 4,064 0.0%
-------------- -----
CANADA -- (0.0%)
Other Securities...................................................... 11,269 0.0%
-------------- -----
SWITZERLAND -- (0.0%)
Other Securities...................................................... 1,358 0.0%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities...................................................... -- 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS..................................................... 16,691 0.0%
-------------- -----
Shares/
Face
Amount
(000) Value+
----------- --------------
SECURITIES LENDING COLLATERAL -- (9.2%)
(S)@DFA Short Term Investment Fund........................................ 71,305,099 825,000,000 10.0%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12
(Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued
at $4,362,140) to be repurchased at $4,276,650....................... $ 4,277 4,276,608 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL....................................... 829,276,608 10.0%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $9,743,525,659).................................................. $9,039,028,152 109.3%
============== =====
80
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................. -- $ 541,782,910 -- $ 541,782,910
Austria................... -- 56,347,784 -- 56,347,784
Belgium................... -- 72,506,984 -- 72,506,984
Canada.................... $913,493,326 2,954,019 -- 916,447,345
China..................... 1,179,614 26,408 -- 1,206,022
Denmark................... -- 63,681,901 -- 63,681,901
Finland................... -- 208,110,095 -- 208,110,095
France.................... -- 289,603,323 -- 289,603,323
Germany................... -- 421,222,906 -- 421,222,906
Greece.................... -- 25,879,481 -- 25,879,481
Hong Kong................. -- 197,647,279 -- 197,647,279
Ireland................... -- 31,232,143 -- 31,232,143
Israel.................... -- 60,934,821 -- 60,934,821
Italy..................... -- 219,042,678 -- 219,042,678
Japan..................... -- 1,982,692,233 -- 1,982,692,233
Netherlands............... -- 142,141,244 -- 142,141,244
New Zealand............... -- 48,105,315 -- 48,105,315
Norway.................... -- 85,774,467 -- 85,774,467
Portugal.................. -- 25,197,899 -- 25,197,899
Singapore................. -- 145,005,915 -- 145,005,915
Spain..................... -- 123,849,404 -- 123,849,404
Sweden.................... -- 287,233,076 -- 287,233,076
Switzerland............... -- 403,738,911 -- 403,738,911
United Kingdom............ -- 1,860,295,987 -- 1,860,295,987
United States............. 54,586 -- -- 54,586
Preferred Stocks
United Kingdom............ -- 144 -- 144
Rights/Warrants
Belgium................... -- 4,064 -- 4,064
Canada.................... 11,269 -- -- 11,269
Switzerland............... -- 1,358 -- 1,358
United Kingdom............ -- -- -- --
Securities Lending Collateral. -- 829,276,608 -- 829,276,608
------------ -------------- -- --------------
TOTAL......................... $914,738,795 $8,124,289,357 -- $9,039,028,152
============ ============== == ==============
See accompanying Notes to Financial Statements.
81
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value++ of Net Assets**
------- ----------- ---------------
COMMON STOCKS -- (90.0%)
AUSTRALIA -- (6.0%)
#National Australia Bank, Ltd........... 74,261 $ 1,984,617 0.4%
Origin Energy, Ltd..................... 95,401 1,122,983 0.2%
Santos, Ltd............................ 83,616 996,972 0.2%
Suncorp Group, Ltd..................... 115,486 1,124,902 0.2%
Other Securities....................... 32,237,270 5.7%
----------- ----
TOTAL AUSTRALIA............................ 37,466,744 6.7%
----------- ----
AUSTRIA -- (0.5%)
Other Securities....................... 3,337,563 0.6%
----------- ----
BELGIUM -- (1.0%)
Ageas.................................. 44,668 1,138,805 0.2%
Other Securities....................... 4,967,517 0.9%
----------- ----
TOTAL BELGIUM.............................. 6,106,322 1.1%
----------- ----
CANADA -- (9.7%)
Suncor Energy, Inc..................... 36,072 1,210,647 0.2%
#Toronto Dominion Bank.................. 21,129 1,718,457 0.3%
#Yamana Gold, Inc....................... 58,105 1,173,445 0.2%
Other Securities....................... 56,113,132 10.0%
----------- ----
TOTAL CANADA............................... 60,215,681 10.7%
----------- ----
CHINA -- (0.0%)
Other Securities....................... 9,445 0.0%
----------- ----
DENMARK -- (1.0%)
Other Securities....................... 6,326,334 1.1%
----------- ----
FINLAND -- (1.6%)
Other Securities....................... 9,612,354 1.7%
----------- ----
FRANCE -- (5.8%)
BNP Paribas SA......................... 27,532 1,397,432 0.3%
Cie de Saint-Gobain SA................. 29,285 1,031,567 0.2%
Cie Generale des Etablissements
Michelin SA Series B................. 15,059 1,298,153 0.2%
Lafarge SA............................. 19,443 1,139,926 0.2%
Sanofi SA.............................. 19,474 1,710,343 0.3%
*Societe Generale SA.................... 59,410 1,894,701 0.3%
Vivendi SA............................. 53,400 1,094,244 0.2%
Other Securities....................... 26,420,563 4.7%
----------- ----
TOTAL FRANCE............................... 35,986,929 6.4%
----------- ----
GERMANY -- (5.0%)
Allianz SE............................. 10,175 1,263,987 0.2%
Daimler AG............................. 25,279 1,184,185 0.2%
Deutsche Bank AG....................... 29,192 1,334,366 0.3%
E.ON AG................................ 43,404 988,091 0.2%
Other Securities....................... 25,926,059 4.6%
----------- ----
TOTAL GERMANY.............................. 30,696,688 5.5%
----------- ----
GREECE -- (0.4%)
Other Securities....................... 2,732,129 0.5%
----------- ----
HONG KONG -- (2.3%)
Other Securities....................... 14,445,977 2.6%
----------- ----
82
International Vector Equity Portfolio
continued
Percentage
Shares Value++ of Net Assets**
------- ------------ ---------------
IRELAND -- (0.7%)
CRH P.L.C. Sponsored ADR.............. 59,771 $ 1,114,729 0.2%
Other Securities...................... 3,376,092 0.6%
------------ ----
TOTAL IRELAND............................. 4,490,821 0.8%
------------ ----
ISRAEL -- (0.5%)
Other Securities...................... 3,233,372 0.6%
------------ ----
ITALY -- (2.3%)
Other Securities...................... 14,048,924 2.5%
------------ ----
JAPAN -- (18.2%)
Mitsubishi UFJ Financial Group, Inc... 282,300 1,277,116 0.2%
Sumitomo Mitsui Financial Group, Inc.. 33,941 1,037,135 0.2%
Other Securities...................... 110,841,534 19.8%
------------ ----
TOTAL JAPAN............................... 113,155,785 20.2%
------------ ----
NETHERLANDS -- (2.3%)
Akzo Nobel NV......................... 23,201 1,262,780 0.2%
Philips Electronics NV ADR............ 42,109 1,056,094 0.2%
Other Securities...................... 11,792,538 2.1%
------------ ----
TOTAL NETHERLANDS......................... 14,111,412 2.5%
------------ ----
NEW ZEALAND -- (0.3%)
Other Securities...................... 1,976,473 0.3%
------------ ----
NORWAY -- (1.2%)
Other Securities...................... 7,415,222 1.3%
------------ ----
PORTUGAL -- (0.4%)
Other Securities...................... 2,368,245 0.4%
------------ ----
SINGAPORE -- (1.6%)
Other Securities...................... 10,014,737 1.8%
------------ ----
SPAIN -- (1.8%)
Banco Santander SA.................... 219,822 1,655,078 0.3%
Other Securities...................... 9,313,492 1.6%
------------ ----
TOTAL SPAIN............................... 10,968,570 1.9%
------------ ----
SWEDEN -- (3.0%)
Skandinaviska Enskilda Banken AB
Series A............................ 137,821 1,143,610 0.2%
Svenska Cellulosa AB Series B......... 56,655 1,104,558 0.2%
Other Securities...................... 16,083,002 2.9%
------------ ----
TOTAL SWEDEN.............................. 18,331,170 3.3%
------------ ----
SWITZERLAND -- (5.9%)
Credit Suisse Group AG................ 76,065 1,768,919 0.3%
Holcim, Ltd........................... 24,022 1,639,411 0.3%
Nestle SA............................. 29,483 1,871,824 0.3%
Novartis AG ADR....................... 25,578 1,546,446 0.3%
Swiss Re, Ltd......................... 35,621 2,464,879 0.4%
Zurich Insurance Group AG............. 14,816 3,652,436 0.7%
Other Securities...................... 23,312,139 4.2%
------------ ----
TOTAL SWITZERLAND......................... 36,256,054 6.5%
------------ ----
UNITED KINGDOM -- (18.5%)
Anglo American P.L.C.................. 60,914 1,877,034 0.4%
Aviva P.L.C........................... 209,754 1,123,324 0.2%
BP P.L.C. Sponsored ADR............... 80,492 3,452,302 0.6%
#HSBC Holdings P.L.C. Sponsored ADR.... 102,908 5,079,539 0.9%
83
International Vector Equity Portfolio
continued
Percentage
Shares Value++ of Net Assets**
--------- ------------ ---------------
UNITED KINGDOM -- (Continued)
Kingfisher P.L.C................... 232,192 $ 1,087,134 0.2%
Legal & General Group P.L.C........ 594,171 1,288,008 0.2%
*Lloyds Banking Group P.L.C......... 1,911,509 1,258,744 0.2%
Old Mutual P.L.C................... 465,474 1,295,638 0.2%
Persimmon P.L.C.................... 79,548 1,023,538 0.2%
Rexam P.L.C........................ 142,831 1,031,333 0.2%
Royal Dutch Shell P.L.C. ADR....... 88,550 6,254,286 1.1%
RSA Insurance Group P.L.C.......... 685,426 1,244,158 0.2%
Standard Chartered P.L.C........... 70,024 1,657,940 0.3%
Standard Life P.L.C................ 253,612 1,197,519 0.2%
*Travis Perkins P.L.C............... 58,572 1,023,546 0.2%
Vodafone Group P.L.C. Sponsored
ADR.............................. 165,738 4,511,388 0.8%
Xstrata P.L.C...................... 77,287 1,224,342 0.2%
Other Securities................... 79,334,974 14.2%
------------ ----
TOTAL UNITED KINGDOM................... 114,964,747 20.5%
------------ ----
UNITED STATES -- (0.0%)
Other Securities................... 106,770 0.0%
------------ ----
TOTAL COMMON STOCKS.................... 558,378,468 99.5%
------------ ----
PREFERRED STOCKS -- (0.0%)
GERMANY -- (0.0%)
Other Securities................... 134,707 0.0%
------------ ----
UNITED KINGDOM -- (0.0%)
Other Securities................... 194 0.0%
------------ ----
TOTAL PREFERRED STOCKS................. 134,901 0.0%
------------ ----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................... 9,318 0.0%
------------ ----
BELGIUM -- (0.0%)
Other Securities................... 55 0.0%
------------ ----
CANADA -- (0.0%)
Other Securities................... 429 0.0%
------------ ----
HONG KONG -- (0.0%)
Other Securities................... 35,355 0.0%
------------ ----
SINGAPORE -- (0.0%)
Other Securities................... 79 0.0%
------------ ----
SPAIN -- (0.0%)
Other Securities................... 2 0.0%
------------ ----
TOTAL RIGHTS/WARRANTS.................. 45,238 0.0%
------------ ----
84
International Vector Equity Portfolio
continued
Shares/
Face
Amount Percentage
(000) Value+ of Net Assets**
---------- ------------ ---------------
SECURITIES LENDING
COLLATERAL -- (10.0%)
(S)@DFA Short Term Investment Fund.... 5,272,256 $ 61,000,000 10.9%
@Repurchase Agreement, Deutsche
Bank Securities, Inc. 0.35%,
11/01/12 (Collateralized by FNMA
4.000%, 05/01/42 & 5.000%,
01/01/39, valued at $641,192) to
be repurchased at $628,626....... $ 629 628,620 0.1%
------------ -----
TOTAL SECURITIES LENDING COLLATERAL... 61,628,620 11.0%
------------ -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $570,633,453)............... $620,187,227 110.5%
============ =====
85
International Vector Equity Portfolio
continued
Summary of the Portfolio's investments as of October 31, 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.................. $ 977,867 $ 36,488,877 -- $ 37,466,744
Austria.................... -- 3,337,563 -- 3,337,563
Belgium.................... 607,575 5,498,747 -- 6,106,322
Canada..................... 60,168,932 46,749 -- 60,215,681
China...................... 9,445 -- -- 9,445
Denmark.................... -- 6,326,334 -- 6,326,334
Finland.................... -- 9,612,354 -- 9,612,354
France..................... 1,756,577 34,230,352 -- 35,986,929
Germany.................... 2,705,981 27,990,707 -- 30,696,688
Greece..................... 70,609 2,661,520 -- 2,732,129
Hong Kong.................. 13,609 14,432,368 -- 14,445,977
Ireland.................... 1,229,633 3,261,188 -- 4,490,821
Israel..................... 650,715 2,582,657 -- 3,233,372
Italy...................... 888,414 13,160,510 -- 14,048,924
Japan...................... 2,560,476 110,595,309 -- 113,155,785
Netherlands................ 2,657,512 11,453,900 -- 14,111,412
New Zealand................ 6,348 1,970,125 -- 1,976,473
Norway..................... 429,266 6,985,956 -- 7,415,222
Portugal................... -- 2,368,245 -- 2,368,245
Singapore.................. -- 10,014,737 -- 10,014,737
Spain...................... 938,456 10,030,114 -- 10,968,570
Sweden..................... 8,001 18,323,169 -- 18,331,170
Switzerland................ 2,574,386 33,681,668 -- 36,256,054
United Kingdom............. 23,297,193 91,667,554 -- 114,964,747
United States.............. 106,770 -- -- 106,770
Preferred Stocks
Germany.................... -- 134,707 -- 134,707
United Kingdom............. -- 194 -- 194
Rights/Warrants
Australia.................. -- 9,318 -- 9,318
Belgium.................... -- 55 -- 55
Canada..................... -- 429 -- 429
Hong Kong.................. -- 35,355 -- 35,355
Singapore.................. -- 79 -- 79
Spain...................... -- 2 -- 2
Securities Lending Collateral.. -- 61,628,620 -- 61,628,620
------------ ------------ -- ------------
TOTAL.......................... $101,657,765 $518,529,462 -- $620,187,227
============ ============ == ============
See accompanying Notes to Financial Statements.
86
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2012
Shares Value+
------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of The
DFA Investment Trust Company............................ $38,734,717
Investment in Dimensional Emerging Markets Value Fund..... 13,726,335
Investment in DFA International Small Cap Value Portfolio
of DFA Investment Dimensions Group Inc.................. 310,246 4,703,329
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES...
(Cost $55,252,245).................................. 57,164,381
-----------
TOTAL INVESTMENTS - (100.0%) (Cost $55,252,245)........ $57,164,381
===========
Summary of the Portfolio's investments as of October 31, 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........ $57,164,381 -- -- $57,164,381
----------- -- -- -----------
TOTAL.................................. $57,164,381 -- -- $57,164,381
=========== == == ===========
See accompanying Notes to Financial Statements.
87
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2012
Shares Value+
--------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of DFA
Investment Dimensions Group Inc....................... 1,192,388 $14,296,732
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................... 1,281,391 12,942,049
Investment in Emerging Markets Core Equity Portfolio
of DFA Investment Dimensions Group Inc................ 344,969 6,554,411
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES.
(Cost $31,236,380)................................ 33,793,192
-----------
TOTAL INVESTMENTS - (100.0%) (Cost $31,236,380)...... $33,793,192
===========
Summary of the Portfolio's investments as of October 31, 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.... $33,793,192 -- -- $33,793,192
Futures Contracts**................ (16,806) -- -- (16,806)
Forward Currency Contracts**....... -- $(93,551) -- (93,551)
----------- -------- -- -----------
TOTAL.............................. $33,776,386 $(93,551) -- $33,682,835
=========== ======== == ===========
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
88
SCHEDULES OF INVESTMENTS
October 31, 2012
EMERGING MARKETS PORTFOLIO
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of The DFA
Investment Trust Company $2,798,256,019
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $1,809,909,754).................................... $2,798,256,019
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 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 $2,908,908,848
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $2,600,422,931).................................... $2,908,908,848
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
89
EMERGING MARKETS VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2012
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in Dimensional Emerging Markets Value Fund.......... $16,695,104,614
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $16,996,486,055)................................... $16,695,104,614
===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
90
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value++ of Net Assets**
----------- -------------- ---------------
COMMON STOCKS -- (86.6%)
BRAZIL -- (7.0%)
BM&F Bovespa SA................. 5,809,489 $ 37,184,391 0.4%
#BRF - Brasil Foods SA ADR....... 1,233,685 22,601,109 0.3%
Petroleo Brasileiro SA ADR...... 2,638,489 55,962,352 0.7%
#Vale SA Sponsored ADR........... 2,488,228 45,584,337 0.5%
Other Securities................ 490,376,075 5.7%
-------------- ----
TOTAL BRAZIL........................ 651,708,264 7.6%
-------------- ----
CHILE -- (1.6%)
Other Securities................ 151,612,738 1.8%
-------------- ----
CHINA -- (14.5%)
#Bank of China, Ltd. Series H.... 121,384,702 49,729,165 0.6%
China Construction Bank Corp.
Series H...................... 118,060,302 88,657,365 1.0%
China Mobile, Ltd. Sponsored
ADR........................... 1,358,381 75,240,724 0.9%
#China Overseas Land &
Investment, Ltd................ 7,618,033 19,933,917 0.2%
#CNOOC, Ltd. ADR................. 148,376 30,498,687 0.4%
Industrial & Commercial Bank
of China, Ltd. Series H....... 106,553,725 70,165,553 0.8%
PetroChina Co., Ltd. ADR........ 229,733 31,188,552 0.4%
Tencent Holdings, Ltd........... 891,100 31,412,605 0.4%
Other Securities................ 949,222,141 11.0%
-------------- ----
TOTAL CHINA......................... 1,346,048,709 15.7%
-------------- ----
COLOMBIA -- (0.4%)
Other Securities................ 36,008,094 0.4%
-------------- ----
CZECH REPUBLIC -- (0.3%)
Other Securities................ 30,187,968 0.4%
-------------- ----
EGYPT -- (0.1%)
Other Securities................ 8,998,903 0.1%
-------------- ----
HONG KONG -- (0.0%)
Other Securities................ 192,006 0.0%
-------------- ----
HUNGARY -- (0.3%)
Other Securities................ 29,660,270 0.3%
-------------- ----
INDIA -- (7.2%)
HDFC Bank, Ltd.................. 2,006,196 23,457,072 0.3%
ICICI Bank, Ltd. Sponsored ADR.. 621,658 24,400,076 0.3%
Reliance Industries, Ltd........ 2,392,101 35,670,774 0.4%
Other Securities................ 583,933,535 6.8%
-------------- ----
TOTAL INDIA......................... 667,461,457 7.8%
-------------- ----
INDONESIA -- (3.2%)
PT Astra International Tbk...... 24,525,000 20,471,402 0.2%
Other Securities................ 280,675,429 3.3%
-------------- ----
TOTAL INDONESIA..................... 301,146,831 3.5%
-------------- ----
ISRAEL -- (0.0%)
Other Securities................ 173,082 0.0%
-------------- ----
MALAYSIA -- (3.7%)
CIMB Group Holdings Berhad...... 9,582,014 23,947,028 0.3%
Malayan Banking Berhad.......... 7,173,412 21,220,701 0.2%
Other Securities................ 302,491,132 3.5%
-------------- ----
TOTAL MALAYSIA...................... 347,658,861 4.0%
-------------- ----
91
emerging Markets Core Equity Portfolio
CONTINUED
Percentage
Shares Value++ of Net Assets**
---------- -------------- ---------------
MEXICO -- (4.8%)
America Movil S.A.B. de C.V.
Series L ADR.................. 2,014,399 $ 50,944,151 0.6%
*Cemex S.A.B. de C.V. Sponsored
ADR............................ 4,063,800 36,736,750 0.4%
Fomento Economico Mexicano
S.A.B. de C.V. Sponsored ADR.. 389,063 35,252,998 0.4%
Grupo Financiero Banorte
S.A.B. de C.V. Series O....... 5,703,705 31,711,450 0.4%
Grupo Mexico S.A.B. de C.V.
Series B...................... 8,798,279 28,207,710 0.3%
Grupo Televisa S.A.B.
Sponsored ADR................. 1,088,606 24,602,496 0.3%
Other Securities................ 240,076,862 2.8%
-------------- ----
TOTAL MEXICO........................ 447,532,417 5.2%
-------------- ----
PERU -- (0.2%)
Other Securities................ 19,890,435 0.2%
-------------- ----
PHILIPPINES -- (1.4%)
Other Securities................ 130,096,026 1.5%
-------------- ----
POLAND -- (1.4%)
Other Securities................ 129,480,253 1.5%
-------------- ----
RUSSIA -- (3.0%)
Gazprom OAO Sponsored ADR....... 9,932,249 91,227,647 1.1%
Lukoil OAO Sponsored ADR........ 897,216 54,450,535 0.6%
*Sberbank of Russia Sponsored
ADR............................ 2,442,782 28,887,006 0.3%
Other Securities................ 102,212,726 1.2%
-------------- ----
TOTAL RUSSIA........................ 276,777,914 3.2%
-------------- ----
SOUTH AFRICA -- (7.3%)
AngloGold Ashanti, Ltd.
Sponsored ADR................. 761,501 25,875,804 0.3%
#Gold Fields, Ltd. Sponsored ADR. 2,326,039 29,098,748 0.3%
Impala Platinum Holdings, Ltd... 1,417,592 25,549,952 0.3%
MTN Group, Ltd.................. 2,946,159 53,189,830 0.6%
Naspers, Ltd. Series N.......... 491,418 31,900,653 0.4%
Sanlam, Ltd..................... 4,846,104 21,623,945 0.3%
#Sasol, Ltd. Sponsored ADR....... 741,346 31,440,484 0.4%
Standard Bank Group, Ltd........ 2,134,913 26,362,364 0.3%
Other Securities................ 432,042,024 5.0%
-------------- ----
TOTAL SOUTH AFRICA.................. 677,083,804 7.9%
-------------- ----
SOUTH KOREA -- (13.9%)
Hana Financial Group, Inc....... 693,772 20,182,592 0.2%
Hyundai Mobis................... 86,229 21,914,678 0.2%
Hyundai Motor Co., Ltd.......... 264,017 54,260,435 0.6%
#LG Electronics, Inc............. 319,969 22,260,837 0.3%
#POSCO ADR....................... 393,275 30,824,894 0.4%
Samsung Electronics Co., Ltd.... 143,153 171,788,982 2.0%
Other Securities................ 968,798,669 11.3%
-------------- ----
TOTAL SOUTH KOREA................... 1,290,031,087 15.0%
-------------- ----
TAIWAN -- (11.4%)
#Hon Hai Precision Industry
Co., Ltd....................... 15,725,476 47,680,234 0.6%
#Taiwan Semiconductor
Manufacturing Co., Ltd......... 27,191,652 82,854,588 1.0%
Other Securities................ 930,982,338 10.8%
-------------- ----
TOTAL TAIWAN........................ 1,061,517,160 12.4%
-------------- ----
THAILAND -- (2.8%)
Other Securities................ 260,928,990 3.0%
-------------- ----
TURKEY -- (2.1%)
Turkiye Garanti Bankasi A.S..... 4,218,550 20,156,073 0.2%
92
emerging Markets Core Equity Portfolio
CONTINUED
Percentage
Shares Value++ of Net Assets**
--------- -------------- ---------------
TURKEY -- (Continued)
Other Securities................... $ 170,155,837 2.0%
-------------- ----
TOTAL TURKEY........................... 190,311,910 2.2%
-------------- ----
TOTAL COMMON STOCKS.................... 8,054,507,179 93.7%
-------------- ----
PREFERRED STOCKS -- (5.0%)
BRAZIL -- (4.9%)
Banco Bradesco SA Sponsored ADR.... 4,634,517 72,576,536 0.8%
#Cia de Bebidas das Americas SA ADR. 698,422 28,488,633 0.3%
#Gerdau SA Sponsored ADR............ 2,629,491 23,113,226 0.3%
Itau Unibanco Holding SA ADR....... 4,273,839 62,312,573 0.7%
#Petroleo Brasileiro SA ADR......... 3,574,085 73,375,965 0.9%
#Vale SA Sponsored ADR.............. 3,021,868 53,759,032 0.6%
Other Securities................... 141,370,189 1.7%
-------------- ----
TOTAL BRAZIL........................... 454,996,154 5.3%
-------------- ----
CHILE -- (0.1%)
Other Securities................... 7,796,135 0.1%
-------------- ----
COLOMBIA -- (0.0%)
Other Securities................... 150,000 0.0%
-------------- ----
INDIA -- (0.0%)
Other Securities................... 6,792 0.0%
-------------- ----
MALAYSIA -- (0.0%)
Other Securities................... 81,155 0.0%
-------------- ----
TOTAL PREFERRED STOCKS................. 463,030,236 5.4%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities................... 9,695 0.0%
-------------- ----
MALAYSIA -- (0.0%)
Other Securities................... 12,644 0.0%
-------------- ----
POLAND -- (0.0%)
Other Securities................... 11,636 0.0%
-------------- ----
SOUTH AFRICA -- (0.0%)
Other Securities................... 228,473 0.0%
-------------- ----
SOUTH KOREA -- (0.0%)
Other Securities................... 17,083 0.0%
-------------- ----
TAIWAN -- (0.0%)
Other Securities................... 1,938 0.0%
-------------- ----
THAILAND -- (0.0%)
Other Securities................... -- 0.0%
-------------- ----
TOTAL RIGHTS/WARRANTS.................. 281,469 0.0%
-------------- ----
93
emerging Markets Core Equity Portfolio
CONTINUED
Shares/
Face
Amount Percentage
(000) Value+ of Net Assets**
----------- -------------- ---------------
SECURITIES LENDING COLLATERAL -- (8.4%)
(S)@DFA Short Term Investment Fund........................................... 66,983,578 775,000,000 9.0%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12
(Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at
$3,978,850) to be repurchased at $3,900,871............................. $ 3,901 3,900,834 0.1%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL.......................................... 778,900,834 9.1%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,654,503,966)....................................................... $9,296,719,718 108.2%
============== =====
94
emerging Markets Core Equity Portfolio
CONTINUED
Summary of the Portfolio's investments as of October 31, 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..................... $ 651,708,264 -- -- $ 651,708,264
Chile...................... 151,612,738 -- -- 151,612,738
China...................... 206,214,906 $1,139,833,803 -- 1,346,048,709
Colombia................... 36,008,094 -- -- 36,008,094
Czech Republic............. -- 30,187,968 -- 30,187,968
Egypt...................... -- 8,998,903 -- 8,998,903
Hong Kong.................. -- 192,006 -- 192,006
Hungary.................... 318,975 29,341,295 -- 29,660,270
India...................... 51,966,834 615,494,623 -- 667,461,457
Indonesia.................. 10,328,439 290,818,392 -- 301,146,831
Israel..................... -- 173,082 -- 173,082
Malaysia................... -- 347,658,861 -- 347,658,861
Mexico..................... 447,532,417 -- -- 447,532,417
Peru....................... 19,890,435 -- -- 19,890,435
Philippines................ 2,433,199 127,662,827 -- 130,096,026
Poland..................... -- 129,480,253 -- 129,480,253
Russia..................... 10,736,011 266,041,903 -- 276,777,914
South Africa............... 98,211,850 578,871,954 -- 677,083,804
South Korea................ 79,137,486 1,210,893,601 -- 1,290,031,087
Taiwan..................... 22,196,294 1,039,320,866 -- 1,061,517,160
Thailand................... 254,905,263 6,023,727 -- 260,928,990
Turkey..................... 4,166,040 186,145,870 -- 190,311,910
Preferred Stocks
Brazil..................... 454,877,865 118,289 -- 454,996,154
Chile...................... 7,796,135 -- -- 7,796,135
Colombia................... 150,000 -- -- 150,000
India...................... -- 6,792 -- 6,792
Malaysia................... -- 81,155 -- 81,155
Rights/Warrants
Brazil..................... -- 9,695 -- 9,695
Malaysia................... -- 12,644 -- 12,644
Poland..................... -- 11,636 -- 11,636
South Africa............... -- 228,473 -- 228,473
South Korea................ -- 17,083 -- 17,083
Taiwan..................... -- 1,938 -- 1,938
Thailand................... -- -- -- --
Securities Lending Collateral. -- 778,900,834 -- 778,900,834
-------------- -------------- -- --------------
TOTAL......................... $2,510,191,245 $6,786,528,473 -- $9,296,719,718
============== ============== == ==============
See accompanying Notes to Financial Statements.
95
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(Amounts in thousands, except share and per share amounts)
Enhanced U.S. U.S. U.S.
U.S. Large Large Cap Targeted Small Cap
Company Value Value Value
Portfolio Portfolio Portfolio Portfolio
------------ -------------- ------------ --------------
ASSETS:
Investments in Affiliated Investment Company at Value............ -- $ 8,335,907 -- --
Investments at Value (including $0, $0, $394,703 and $828,201
of securities on loan, respectively)........................... $ 186,659 -- $ 3,044,804 $ 7,067,605
Temporary Cash Investments at Value & Cost....................... 1,965 -- 3,983 33,890
Collateral Received from Securities on Loan at Value & Cost...... -- -- 1,068 2,252
Affiliated Collateral Received from Securities on Loan at
Value & Cost................................................... -- -- 404,821 853,210
Receivables:
Investment Securities/Affiliated Investment Company
Sold........................................................ -- 5,202 2,342 12,227
Dividends and Interest........................................ 2,747 -- 1,052 2,448
Securities Lending Income..................................... -- -- 236 547
Fund Shares Sold.............................................. 254 7,384 4,759 5,626
Unrealized Gain on Forward Currency Contracts.................... 96 -- -- --
Prepaid Expenses and Other Assets................................ 19 48 26 34
------------ -------------- ------------ --------------
Total Assets.............................................. 191,740 8,348,541 3,463,091 7,977,839
------------ -------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................. -- -- 405,889 855,462
Investment Securities/Affiliated Investment Company
Purchased................................................... -- -- 9 --
Fund Shares Redeemed.......................................... 302 12,586 4,295 30,485
Due to Advisor................................................ 32 1,050 906 3,030
Futures Margin Variation...................................... 104 -- -- --
Unrealized Loss on Forward Currency Contracts.................... 1,277 -- -- --
Accrued Expenses and Other Liabilities........................... 14 320 183 392
------------ -------------- ------------ --------------
Total Liabilities......................................... 1,729 13,956 411,282 889,369
------------ -------------- ------------ --------------
NET ASSETS $ 190,011 $ 8,334,585 $ 3,051,809 $ 7,088,470
============ ============== ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Class R1 Shares -- based on net assets of $0; $0; $49,423 and $0
and shares outstanding of 0; 0; 2,860,503 and 0,
respectively................................................... N/A N/A $ 17.28 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; $12,754 and $0
and shares outstanding of 0; 0; 738,985 and 0, respectively.... N/A N/A $ 17.26 N/A
============ ============== ============ ==============
NUMBER OF SHARES AUTHORIZED...................................... N/A N/A 100,000,000 N/A
============ ============== ============ ==============
Institutional Class Shares -- based on net assets of $190,011;
$8,334,585; $2,989,632 and $7,088,470 and shares outstanding
of 20,460,029; 373,062,097; 173,043,943 and 266,765,952,
respectively . $ 9.29 $ 22.34 $ 17.28 $ 26.57
============ ============== ============ ==============
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............. $ -- $ 6,139,974 $ -- $ --
------------ -------------- ------------ --------------
Investments at Cost.............................................. $ 184,521 $ -- $ 2,614,960 $ 6,281,667
============ ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................. $ 233,972 $ 7,445,930 $ 2,446,420 $ 5,915,078
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... 2,005 25,366 3,945 94
Accumulated Net Realized Gain (Loss)............................. (49,767) (1,332,644) 171,600 387,360
Net Unrealized Foreign Exchange Gain (Loss)...................... (1,163) -- -- --
Net Unrealized Appreciation (Depreciation)....................... 4,964 2,195,933 429,844 785,938
------------ -------------- ------------ --------------
NET ASSETS....................................................... $ 190,011 $ 8,334,585 $ 3,051,809 $ 7,088,470
============ ============== ============ ==============
See accompanying Notes to Financial Statements.
96
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(Amounts in thousands, except share and per share amounts)
U.S. Core U.S. Core U.S. Vector U.S. Small
Equity 1 Equity 2 Equity Cap
Portfolio Portfolio Portfolio Portfolio
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $705,101, $926,665,
$277,107 and $921,441 of securities on loan,
respectively)........................................... $ 4,854,375 $ 6,899,541 $ 2,002,852 $ 4,547,901
Temporary Cash Investments at Value & Cost................ 18,707 25,908 5,428 12,913
Collateral Received from Securities on Loan at Value &
Cost.................................................... 1,905 2,835 750 2,494
Affiliated Collateral Received from Securities on Loan at
Value & Cost............................................ 721,729 948,671 284,246 944,851
Receivables:
Investment Securities Sold............................. 73 755 356 3,538
Dividends and Interest................................. 4,620 6,488 1,384 1,332
Securities Lending Income.............................. 258 435 171 844
Fund Shares Sold....................................... 5,705 12,852 2,191 4,153
Prepaid Expenses and Other Assets......................... 43 47 20 28
-------------- -------------- -------------- --------------
Total Assets........................................... 5,607,415 7,897,532 2,297,398 5,518,054
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... 723,634 951,506 284,996 947,345
Investment Securities Purchased........................ 2,684 8,718 -- 7
Fund Shares Redeemed................................... 3,153 11,806 2,617 5,764
Due to Advisor......................................... 698 1,165 507 1,341
Accrued Expenses and Other Liabilities.................... 273 353 101 252
-------------- -------------- -------------- --------------
Total Liabilities.................................. 730,442 973,548 288,221 954,709
-------------- -------------- -------------- --------------
NET ASSETS................................................ $ 4,876,973 $ 6,923,984 $ 2,009,177 $ 4,563,345
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$4,876,973; $6,923,984; $2,009,177 and $4,563,345 and
shares outstanding of 402,557,165; 577,609,536;
173,035,452 and 197,501,054, respectively............... $ 12.11 $ 11.99 $ 11.61 $ 23.11
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED............................... 1,500,000,000 2,300,000,000 1,000,000,000 1,000,000,000
============== ============== ============== ==============
Investments at Cost....................................... $ 4,104,482 $ 5,906,074 $ 1,759,633 $ 3,896,619
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital........................................... $ 4,130,950 $ 5,861,057 $ 1,760,585 $ 3,689,965
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income) 10,461 15,899 2,490 5,302
Accumulated Net Realized Gain (Loss)...................... (14,331) 53,561 2,883 216,796
Net Unrealized Appreciation (Depreciation)................ 749,893 993,467 243,219 651,282
-------------- -------------- -------------- --------------
NET ASSETS................................................ $ 4,876,973 $ 6,923,984 $ 2,009,177 $ 4,563,345
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
97
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(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 $447,110,
$522,236, $247,662 and $719,802 of securities
on loan, respectively)............................. $ 3,428,040 $ 3,703,787 $ 2,043,279 $ 6,459,469
Temporary Cash Investments at Value & Cost........... 9,729 26,648 -- --
Collateral Received from Securities on Loan at
Value & Cost....................................... 1,215 1,412 1,322 7,381
Affiliated Collateral Received from Securities on
Loan at Value & Cost 460,538 535,174 270,000 765,000
Foreign Currencies at Value.......................... -- -- 2,840 5,292
Cash................................................. 720 -- 4,565 6,152
Receivables:
Investment Securities Sold........................ 1,618 -- -- 2,007
Dividends, Interest and Tax Reclaims.............. 1,021 2,908 6,061 18,861
Securities Lending Income......................... 574 73 199 865
Fund Shares Sold.................................. 1,741 6,156 2,210 8,527
Prepaid Expenses and Other Assets.................... 16 27 17 68
-------------- ------------ ------------ --------------
Total Assets.................................. 3,905,212 4,276,185 2,330,493 7,273,622
-------------- ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................. 461,753 536,586 271,322 772,381
Investment Securities Purchased................... 10 19,237 1,145 7,678
Fund Shares Redeemed.............................. 3,837 3,298 1,655 8,434
Due to Advisor.................................... 1,453 464 428 1,887
Unrealized Loss on Foreign Currency Contracts........ -- -- -- 2
Accrued Expenses and Other Liabilities............... 201 211 184 502
-------------- ------------ ------------ --------------
Total Liabilities............................. 467,254 559,796 274,734 790,884
-------------- ------------ ------------ --------------
NET ASSETS........................................... $ 3,437,958 $ 3,716,389 $ 2,055,759 $ 6,482,738
============== ============ ============ ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$3,437,958; $3,716,389; $2,055,759 and
$6,482,738 and shares outstanding of
231,634,790; 143,852,929; 112,169,274 and
642,067,983, respectively.......................... $ 14.84 $ 25.83 $ 18.33 $ 10.10
============== ============ ============ ==============
NUMBER OF SHARES AUTHORIZED.......................... 1,500,000,000 700,000,000 500,000,000 2,000,000,000
============== ============ ============ ==============
Investments at Cost.................................. $ 2,924,858 $ 2,625,713 $ 1,881,416 $ 6,740,972
============== ============ ============ ==============
Foreign Currencies at Cost........................... $ -- $ -- $ 2,829 $ 5,274
============== ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 2,763,945 $ 2,897,280 $ 2,104,641 $ 6,843,391
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................ 3,910 23,599 8,708 25,255
Accumulated Net Realized Gain (Loss)................. 166,921 (282,564) (219,352) (104,202)
Net Unrealized Foreign Exchange Gain (Loss).......... -- -- (112) (221)
Net Unrealized Appreciation (Depreciation)........... 503,182 1,078,074 161,874 (281,485)
-------------- ------------ ------------ --------------
NET ASSETS........................................... $ 3,437,958 $ 3,716,389 $ 2,055,759 $ 6,482,738
============== ============ ============ ==============
See accompanying Notes to Financial Statements.
98
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(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.............................................. $ 6,419,657 $ 294,088 $ 238,282 $ 31,322
Temporary Cash Investments at Value & Cost........... 7,220 -- -- --
Receivables:
Affiliated Investment Companies Sold.............. -- 62 90 3
Fund Shares Sold.................................. 4,639 14 19 7
Prepaid Expenses and Other Assets.................... 39 5 7 6
-------------- ------------ ------------ ------------
Total Assets.................................. 6,431,555 294,169 238,398 31,338
-------------- ------------ ------------ ------------
LIABILITIES:
Payables:
Affiliated Investment Companies Purchased......... 500 -- -- --
Fund Shares Redeemed.............................. 5,449 76 109 10
Due to Advisor.................................... 2,141 98 79 10
Accrued Expenses and Other Liabilities............... 305 27 19 2
-------------- ------------ ------------ ------------
Total Liabilities............................. 8,395 201 207 22
-------------- ------------ ------------ ------------
NET ASSETS........................................... $ 6,423,160 $ 293,968 $ 238,191 $ 31,316
============== ============ ============ ============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$6,423,160; $293,968; $238,191 and $31,316 and
shares outstanding of 420,465,298; 19,614,366;
10,259,886 and 1,126,005, respectively............. $ 15.28 $ 14.99 $ 23.22 $ 27.81
============== ============ ============ ============
NUMBER OF SHARES AUTHORIZED.......................... 1,500,000,000 100,000,000 100,000,000 100,000,000
============== ============ ============ ============
Investments in Affiliated Investment Companies at
Cost............................................... $ 6,321,775 $ 363,671 $ 225,784 $ 24,146
============== ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 6,292,303 $ 438,204 $ 249,992 $ 26,303
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................ 3,290 1,728 779 149
Accumulated Net Realized Gain (Loss)................. 30,107 (76,344) (25,082) (2,316)
Net Unrealized Foreign Exchange Gain (Loss).......... (421) (37) 4 4
Net Unrealized Appreciation (Depreciation)........... 97,881 (69,583) 12,498 7,176
-------------- ------------ ------------ ------------
NET ASSETS........................................... $ 6,423,160 $ 293,968 $ 238,191 $ 31,316
============== ============ ============ ============
See accompanying Notes to Financial Statements.
99
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(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.............................................. $ 106,353 -- $ 1,309,437 --
Investments at Value (including $0, $134,895, $0
and $751,359 of securities on loan,
respectively)...................................... -- $ 1,522,025 -- $ 8,209,751
Temporary Cash Investments at Value & Cost........... -- -- 2,168 --
Collateral Received from Securities on Loan at
Value & Cost....................................... -- 223 -- 4,277
Affiliated Collateral Received from Securities on
Loan at Value & Cost............................... -- 144,000 -- 825,000
Foreign Currencies at Value.......................... -- 577 -- 7,883
Cash................................................. -- 7,653 -- 29,120
Receivables:
Investment Securities/Affiliated Investment
Companies Sold.................................. -- 57 -- 1,167
Dividends, Interest and Tax Reclaims.............. -- 5,512 -- 26,016
Securities Lending Income......................... -- 78 -- 1,740
Fund Shares Sold.................................. 39 2,963 6,411 10,178
Unrealized Gain on Foreign Currency Contracts........ -- 1 -- 1
Prepaid Expenses and Other Assets.................... 6 9 12 64
------------ ------------ ------------ --------------
Total Assets.................................. 106,398 1,683,098 1,318,028 9,115,197
------------ ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................. -- 144,223 -- 829,277
Investment Securities/Affiliated Investment
Companies Purchased............................. 20 5,274 1,075 3,282
Fund Shares Redeemed.............................. 19 1,325 1,329 10,835
Due to Advisor.................................... 37 436 10 4,465
Unrealized Loss on Foreign Currency Contracts........ -- 1 -- --
Accrued Expenses and Other Liabilities............... 6 131 67 728
------------ ------------ ------------ --------------
Total Liabilities............................. 82 151,390 2,481 848,587
------------ ------------ ------------ --------------
NET ASSETS........................................... $ 106,316 $ 1,531,708 $ 1,315,547 $ 8,266,610
============ ============ ============ ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$106,316; $1,531,708; $1,315,547 and
$8,266,610 and shares outstanding of 7,329,320;
270,326,048; 141,073,949 and 545,184,194,
respectively....................................... $ 14.51 $ 5.67 $ 9.33 $ 15.16
============ ============ ============ ==============
NUMBER OF SHARES AUTHORIZED.......................... 100,000,000 700,000,000 500,000,000 2,300,000,000
============ ============ ============ ==============
Investments in Affiliated Investment Companies at
Cost............................................... $ 108,971 $ -- $ 1,003,592 $ --
------------ ------------ ------------ --------------
Investments at Cost.................................. $ -- $ 1,359,942 $ -- $ 8,914,249
============ ============ ============ ==============
Foreign Currencies at Cost........................... $ -- $ 573 $ -- $ 7,884
============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 137,501 $ 1,630,220 $ 1,028,972 $ 8,844,254
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................ 280 (46,274) 11,623 14,647
Accumulated Net Realized Gain (Loss)................. (28,969) (214,293) (30,893) 112,748
Net Unrealized Foreign Exchange Gain (Loss).......... 122 (32) -- (540)
Net Unrealized Appreciation (Depreciation)........... (2,618) 162,087 305,845 (704,499)
------------ ------------ ------------ --------------
NET ASSETS........................................... $ 106,316 $ 1,531,708 $ 1,315,547 $ 8,266,610
============ ============ ============ ==============
See accompanying Notes to Financial Statements.
100
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(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.............................................. -- $ 57,164 $ 33,793 $ 2,798,256
Investments at Value (including $57,921, $0, $0 and
$0 of securities on loan, respectively)............ $ 558,559 -- -- --
Temporary Cash Investments at Value & Cost........... -- 49 1,080 --
Segregated Cash for Futures Contracts................ -- -- 46 --
Collateral Received from Securities on Loan at
Value & Cost....................................... 629 -- -- --
Affiliated Collateral Received from Securities on
Loan at Value & Cost............................... 61,000 -- -- --
Foreign Currencies at Value.......................... 548 -- -- --
Cash................................................. 547 -- -- --
Receivables:
Investment Securities/Affiliated Investment
Companies Sold.................................. 55 -- -- --
Dividends, and Tax Reclaims....................... 1,622 -- -- --
Securities Lending Income......................... 79 -- -- --
Fund Shares Sold.................................. 489 -- 108 6,919
From Advisor...................................... -- -- 9 --
Unrealized Gain on Forward Currency Contracts........ -- -- 47 --
Prepaid Expenses and Other Assets.................... 11 12 11 27
Deferred Offering Costs.............................. -- -- 3 --
------------ ------------ ------------ ------------
Total Assets.................................. 623,539 57,225 35,097 2,805,202
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................. 61,629 -- -- --
Investment Securities/Affiliated Investment
Companies Purchased ............................ -- -- -- 4,566
Fund Shares Redeemed.............................. 237 2 -- 2,353
Due to Advisor.................................... 210 11 -- 929
Futures Margin Variation.......................... -- -- 1 --
Unrealized Loss on Forward Currency Contracts........ -- -- 141 --
Accrued Expenses and Other Liabilities............... 64 15 5 177
------------ ------------ ------------ ------------
Total Liabilities............................. 62,140 28 147 8,025
------------ ------------ ------------ ------------
NET ASSETS........................................... $ 561,399 $ 57,197 $ 34,950 $ 2,797,177
============ ============ ============ ============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$561,399; $57,197; $34,950 and $2,797,177 and
shares outstanding of 60,164,175; 5,756,500;
3,216,441 and 107,321,804, respectively............ $ 9.33 $ 9.94 $ 10.87 $ 26.06
============ ============ ============ ============
NUMBER OF SHARES AUTHORIZED.......................... 500,000,000 100,000,000 100,000,000 500,000,000
============ ============ ============ ============
Investments in Affiliated Investment Companies at
Cost............................................... $ -- $ 55,252 $ 31,236 $ 1,809,910
------------ ------------ ------------ ------------
Investments at Cost.................................. $ 509,005 $ -- $ -- $ --
============ ============ ============ ============
Foreign Currencies at Cost........................... $ 546 $ -- $ -- $ --
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 509,238 $ 60,950 $ 32,501 $ 1,771,604
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................ 1,456 330 166 8,306
Accumulated Net Realized Gain (Loss)................. 1,175 (5,978) (164) 28,954
Net Unrealized Foreign Exchange Gain (Loss).......... (26) (17) (93) (33)
Net Unrealized Appreciation (Depreciation)........... 49,556 1,912 2,540 988,346
------------ ------------ ------------ ------------
NET ASSETS........................................... $ 561,399 $ 57,197 $ 34,950 $ 2,797,177
============ ============ ============ ============
See accompanying Notes to Financial Statements.
101
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(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 Companies at Value........... $ 2,908,909 $ 16,695,104 --
Investments at Value (including $0, $0 and $896,140 of securities
on loan, respectively).......................................... -- -- $ 8,517,819
Collateral Received from Securities on Loan at Value & Cost....... -- -- 3,901
Affiliated Collateral Received from Securities on Loan at Value &
Cost............................................................ -- -- 775,000
Foreign Currencies at Value....................................... -- -- 5,814
Cash.............................................................. -- -- 65,096
Receivables:
Investment Securities/Affiliated Investment Companies
Sold......................................................... -- -- 194
Dividends, Interest and Tax Reclaims........................... -- -- 9,349
Securities Lending Income...................................... -- -- 2,116
Fund Shares Sold............................................... 3,006 27,291 14,592
Prepaid Expenses and Other Assets................................. 39 58 65
------------ -------------- --------------
Total Assets............................................... 2,911,954 16,722,453 9,393,946
------------ -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................... -- -- 778,901
Investment Securities/Affiliated Investment Companies
Purchased.................................................... 115 21,560 8,909
Fund Shares Redeemed........................................... 2,892 5,730 6,074
Due to Advisor................................................. 1,088 5,619 3,944
Unrealized Loss on Foreign Currency Contracts..................... -- -- 1
Accrued Expenses and Other Liabilities............................ 186 814 1,410
------------ -------------- --------------
Total Liabilities.......................................... 4,281 33,723 799,239
------------ -------------- --------------
NET ASSETS........................................................ $ 2,907,673 $ 16,688,730 $ 8,594,707
============ ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $99,111 and $0 and
shares outstanding of 0; 3,513,125 and 0, respectively.......... N/A $ 28.21 N/A
============ ============== ==============
Institutional Class Shares -- based on net assets of $2,907,673;
$16,589,619 and $8,594,707 and shares outstanding of
143,022,429; 587,899,918 and 452,322,328, respectively.......... $ 20.33 $ 28.22 $ 19.00
============ ============== ==============
NUMBER OF SHARES AUTHORIZED....................................... 500,000,000 1,500,000,000 1,000,000,000
============ ============== ==============
Investments in Affiliated Investment Companies at Cost............ $ 2,600,423 $ 16,996,486 $ --
------------ -------------- --------------
Investments at Cost............................................... $ -- $ -- $ 7,875,603
============ ============== ==============
Foreign Currencies at Cost........................................ $ -- $ -- $ 5,812
============ ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................... $ 2,510,281 $ 16,619,114 $ 7,968,370
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income).......................................... 6,451 40,292 26,576
Accumulated Net Realized Gain (Loss).............................. 82,504 330,625 (42,488)
Net Unrealized Foreign Exchange Gain (Loss)....................... (49) 81 31
Net Unrealized Appreciation (Depreciation)........................ 308,486 (301,382) 642,218
------------ -------------- --------------
NET ASSETS........................................................ $ 2,907,673 $ 16,688,730 $ 8,594,707
============ ============== ==============
--------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
102
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(Amounts in thousands)
Enhanced
U.S. U.S.
Large U.S. Large Targeted U.S. Small
Company Cap Value Value Cap Value
Portfolio Portfolio* Portfolio Portfolio
--------- ---------- --------- ----------
Investment Income
Dividends.................................................... $ 126 $ 169,995 $ 36,944 $ 82,338
Interest..................................................... 1,809 17 22 37
Income from Securities Lending............................... -- 6,190 2,926 7,642
Expenses Allocated from Affiliated Investment Company........ -- (9,069) -- --
------- ---------- -------- ----------
Total Investment Income............................... 1,935 167,133 39,892 90,017
------- ---------- -------- ----------
Expenses
Investment Advisory Services Fees............................ 92 -- 2,835 13,809
Administrative Services Fees................................. 276 11,657 7,088 20,714
Accounting & Transfer Agent Fees............................. 40 98 314 734
S&P 500(R) Fees.............................................. 6 -- -- --
Shareholder Servicing Fees --
Class R1 Shares.......................................... -- -- 47 --
Class R2 Shares.......................................... -- -- 30 --
Custodian Fees............................................... 12 -- 70 122
Filing Fees.................................................. 27 103 111 95
Shareholders' Reports........................................ 6 240 115 189
Directors'/Trustees' Fees & Expenses......................... 1 66 24 58
Professional Fees............................................ 4 54 76 180
Other........................................................ 2 72 65 146
------- ---------- -------- ----------
Total Expenses........................................ 466 12,290 10,775 36,047
------- ---------- -------- ----------
Net Investment Income (Loss)................................. 1,469 154,843 29,117 53,970
------- ---------- -------- ----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................... 245 318,427 181,414 430,201
Futures.................................................. 30,568 -- 3,336 954
Foreign Currency Transactions............................ 1,331 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities.................................... 594 824,744 176,832 522,870
Futures.................................................. (6,586) -- -- (536)
Translation of Foreign Currency Denominated Amounts...... (857) -- -- --
------- ---------- -------- ----------
Net Realized and Unrealized Gain (Loss)...................... 25,295 1,143,171 361,582 953,489
------- ---------- -------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations. $26,764 $1,298,014 $390,699 $1,007,459
======= ========== ======== ==========
--------
* 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.
103
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(Amounts in thousands)
U.S.
U.S. Core U.S. Core Vector U.S. Small
Equity 1 Equity 2 Equity Cap
Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- ----------
Investment Income
Dividends.......................... $ 83,424 $120,052 $ 32,016 $ 54,202
Interest........................... 33 30 12 24
Income from Securities Lending..... 3,406 5,922 2,448 9,285
-------- -------- -------- --------
Total Investment Income........ 86,863 126,004 34,476 63,511
-------- -------- -------- --------
Expenses
Investment Advisory Services Fees.. 7,460 12,830 5,835 1,256
Administrative Services Fees....... -- -- -- 13,400
Accounting & Transfer Agent Fees... 469 677 220 451
Custodian Fees..................... 91 101 41 86
Filing Fees........................ 196 156 59 98
Shareholders' Reports.............. 78 140 65 123
Directors'/Trustees' Fees &
Expenses......................... 36 54 17 35
Professional Fees.................. 110 164 52 119
Other.............................. 45 78 22 61
-------- -------- -------- --------
Total Expenses................. 8,485 14,200 6,311 15,629
-------- -------- -------- --------
Net Investment Income (Loss)....... 78,378 111,804 28,165 47,882
-------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions
Received from Investment
Securities....................... 36 105 18 --
Net Realized Gain (Loss) on:.......
Investment Securities Sold......... 35,359 73,466 41,027 254,365
Futures............................ -- -- (850) --
Change in Unrealized Appreciation
(Depreciation) of:...............
Investment Securities.............. 455,880 694,545 196,524 230,453
-------- -------- -------- --------
Net Realized and Unrealized Gain
(Loss).............................. 491,275 768,116 236,719 484,818
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations........... $569,653 $879,920 $264,884 $532,700
======== ======== ======== ========
See accompanying Notes to Financial Statements.
104
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(Amounts in thousands)
DFA Real
U.S. Micro Estate Large Cap International
Cap Securities International Core Equity
Portfolio Portfolio Portfolio Portfolio
---------- ---------- ------------- -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $6, $0, $5,504 and $14,973,
respectively).......................................................... $ 45,300 $ 85,414 $ 66,010 $191,701
Interest................................................................. 15 34 1 2
Income from Securities Lending........................................... 6,267 1,034 3,291 12,660
-------- -------- -------- --------
Total Investment Income.............................................. 51,582 86,482 69,302 204,363
-------- -------- -------- --------
Expenses
Investment Advisory Services Fees........................................ 3,416 7,183 4,700 19,970
Administrative Services Fees............................................. 13,662 -- -- --
Accounting & Transfer Agent Fees......................................... 374 374 219 610
Custodian Fees........................................................... 77 39 478 1,482
Filing Fees.............................................................. 58 102 85 245
Shareholders' Reports.................................................... 102 146 95 161
Directors'/Trustees' Fees & Expenses..................................... 29 29 16 47
Professional Fees........................................................ 89 102 54 178
Other.................................................................... 55 40 40 122
-------- -------- -------- --------
Total Expenses.................................................... 17,862 8,015 5,687 22,815
-------- -------- -------- --------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees
Recovered by Advisor (Note C).......................................... -- (321) -- --
Fees Paid Indirectly..................................................... -- -- (8) (25)
-------- -------- -------- --------
Net Expenses............................................................. 17,862 7,694 5,679 22,790
-------- -------- -------- --------
Net Investment Income (Loss)............................................. 33,720 78,788 63,623 181,573
-------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Investment Securities........... -- 16,390 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold........................................... 220,675 (1,763) (18,104) (40,937)
Futures.............................................................. 385 (46) -- --
Foreign Currency Transactions*....................................... -- -- (353) 114
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 166,031 355,961 69,627 185,568
Translation of Foreign Currency Denominated Amounts.................. -- -- (82) (120)
-------- -------- -------- --------
Net Realized and Unrealized Gain (Loss).................................. 387,091 370,542 51,088 144,625
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations............. $420,811 $449,330 $114,711 $326,198
======== ======== ======== ========
--------
* Net of foreign capital taxes withheld of $0, $0, $1, and $0, respectively.
See accompanying Notes to Financial Statements.
105
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(Amounts in thousands)
Asia United
International Japanese 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 $13,197, $462, $183, and $1,
respectively)................................................................ $167,967 $ 6,158 $ 7,841 $1,028
Interest....................................................................... 19 -- -- --
Income from Securities Lending................................................. 17,286 449 737 8
Expenses Allocated from Affiliated Investment Companies........................ (8,714) (393) (311) (38)
-------- -------- ------- ------
Total Net Investment Income Received from Affiliated Investment
Companies............................................................. 176,558 6,214 8,267 998
-------- -------- ------- ------
Fund Investment Income
Interest....................................................................... 23 -- -- --
-------- -------- ------- ------
Total Fund Investment Income............................................ 23 -- -- --
-------- -------- ------- ------
Fund Expenses
Administrative Services Fees................................................... 23,665 1,078 762 121
Accounting & Transfer Agent Fees............................................... 78 16 15 14
Filing Fees.................................................................... 168 42 31 16
Shareholders' Reports.......................................................... 203 1 3 1
Directors'/Trustees' Fees & Expenses........................................... 50 2 2 --
Professional Fees.............................................................. 33 2 1 1
Other.......................................................................... 60 1 1 1
-------- -------- ------- ------
Total Expenses.......................................................... 24,257 1,142 815 154
-------- -------- ------- ------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered
by Advisor (Note C).......................................................... -- -- -- (12)
-------- -------- ------- ------
Net Expenses................................................................... 24,257 1,142 815 142
-------- -------- ------- ------
Net Investment Income (Loss)................................................... 152,324 5,072 7,452 856
-------- -------- ------- ------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:...................................................
Investment Securities Sold................................................. 53,955 (5,341) 4,091 (281)
Futures.................................................................... 9 (75) (33) 6
Foreign Currency Transactions**............................................ 401 120 (56) 6
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................. 133,610 (6,790) 6,664 5,744
Futures.................................................................... (1) 1 1 --
Translation of Foreign Currency Denominated Amounts........................ (530) (23) (12) (2)
-------- -------- ------- ------
Net Realized and Unrealized Gain (Loss)........................................ 187,444 (12,108) 10,655 5,473
-------- -------- ------- ------
Net Increase (Decrease) in Net Assets Resulting from Operations................... $339,768 $ (7,036) $18,107 $6,329
======== ======== ======= ======
--------
* 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 $4, $0, $0, and $0,
respectively.
See accompanying Notes to Financial Statements.
106
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(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 $458, $0, $0 and $0, respectively).......... $ 3,166 -- -- --
Income Distributions Received from
Affiliated Investment Companies................ -- -- $ 37,037 --
Interest......................................... 1 -- -- --
Income from Securities Lending................... 552 -- -- --
Expenses Allocated from Affiliated
Investment Company ............................ (174) -- -- --
------- -------- -------- --------
Total Net Investment Income
Received from Affiliated
Investment Company...................... 3,545 -- 37,037 --
------- -------- -------- --------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld
of $0, $5,661, $0 and $15,143,
respectively).................................. -- $ 69,461 -- $208,341
Interest......................................... -- -- 4 7
Income from Securities Lending................... -- 1,530 -- 22,475
------- -------- -------- --------
Total Fund Investment Income.............. -- 70,991 4 230,823
------- -------- -------- --------
Fund Expenses
Investment Advisory Services Fees................ -- 4,241 3,152 49,872
Administrative Services Fees..................... 442 -- -- --
Accounting & Transfer Agent Fees................. 14 149 24 817
Custodian Fees................................... -- 352 -- 2,555
Filing Fees...................................... 17 67 65 188
Shareholders' Reports............................ 1 69 43 245
Directors'/Trustees' Fees & Expenses............. 1 10 9 64
Professional Fees................................ 1 50 14 304
Other............................................ 1 21 10 161
------- -------- -------- --------
Total Expenses............................ 477 4,959 3,317 54,206
------- -------- -------- --------
Fees Waived, Expenses Reimbursed, and/or
Previously Waived Fees Recovered by
Advisor (Note C)............................... -- -- (2,771) --
Fees Paid Indirectly............................. -- (9) -- (38)
------- -------- -------- --------
Net Expenses..................................... 477 4,950 546 54,168
------- -------- -------- --------
Net Investment Income (Loss)..................... 3,068 66,041 36,495 176,655
------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold................... (2,677) (33,417) (2,760) 130,909
Futures...................................... (25) -- -- --
Foreign Currency Transactions**.............. (25) 34 -- 1,183
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................... 585 228,123 138,125 203,828
Translation of Foreign Currency
Denominated Amounts........................ 72 (24) -- (393)
------- -------- -------- --------
Net Realized and Unrealized Gain (Loss).......... (2,070) 194,716 135,365 335,527
------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... $ 998 $260,757 $171,860 $512,182
======= ======== ======== ========
--------
* 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 $13,
respectively.
See accompanying Notes to Financial Statements.
107
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(Amounts in thousands)
International Selectively
Vector World ex Hedged Global Emerging
Equity U.S. Value Equity Markets
Portfolio Portfolio*** Portfolio(a) Portfolio*
------------- ------------ ------------- ----------
Investment Income
Net Investment Income Received from Affiliated
Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $149, $0
and $8,484, respectively)................................. -- $1,686 -- $ 65,004
Income Distributions Received from Affiliated Investment
Companies................................................. -- 106 $ 543 --
Income from Securities Lending.............................. -- 95 -- 4,784
Expenses Allocated from Affiliated Investment
Companies................................................. -- (112) -- (4,963)
------- ------ ------ --------
Total Investment Income.............................. -- 1,775 543 64,825
------- ------ ------ --------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $1,226, $0, $0
and $0, respectively) .................................... $16,170 -- -- --
Interest.................................................... -- -- 2 --
Income from Securities Lending.............................. 1,129 -- -- --
------- ------ ------ --------
Total Fund Investment Income......................... 17,299 -- 2 --
------- ------ ------ --------
Fund Expenses
Investment Advisory Services Fees........................... 2,241 253 75 --
Administrative Services Fees................................ -- -- -- 10,176
Accounting & Transfer Agent Fees............................ 76 13 12 42
Custodian Fees.............................................. 278 -- -- --
Filing Fees................................................. 42 35 6 118
Shareholders' Reports....................................... 15 1 1 118
Directors'/Trustees' Fees & Expenses........................ 4 -- -- 21
Professional Fees........................................... 13 5 5 19
Organizational & Offering Costs............................. -- -- 59 --
Other....................................................... 16 1 1 25
------- ------ ------ --------
Total Expenses....................................... 2,685 308 159 10,519
------- ------ ------ --------
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C)................. -- (129) (150) --
Fees Paid Indirectly........................................ (3) -- -- --
------- ------ ------ --------
Net Expenses................................................ 2,682 179 9 10,519
------- ------ ------ --------
Net Investment Income (Loss)................................ 14,617 1,596 536 54,306
------- ------ ------ --------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated
Investment Companies...................................... -- 79 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold.............................. 2,944 61 (275) 31,303
Futures................................................. -- (1) 110 --
Foreign Currency Transactions**......................... (98) (10) 163 (543)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. 13,867 430 2,557 25,377
Futures................................................. -- -- (17) --
Translation of Foreign Currency Denominated
Amounts............................................... (30) (1) (93) 18
------- ------ ------ --------
Net Realized and Unrealized Gain (Loss)..................... 16,683 558 2,445 56,155
------- ------ ------ --------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................... $31,300 $2,154 $2,981 $110,461
======= ====== ====== ========
--------
* 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.
108
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(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 $6,931, $48,518 and $24,434,
respectively)........................................................... $ 57,827 $ 373,018 $185,183
Interest.................................................................. -- 7 2
Income from Securities Lending............................................ 8,037 28,572 19,071
Expenses Allocated from Affiliated Investment Company..................... (8,367) (30,860) --
-------- --------- --------
Total Investment Income............................................ 57,497 370,737 204,256
-------- --------- --------
Expenses
Investment Advisory Services Fees......................................... -- -- 39,333
Administrative Services Fees.............................................. 10,440 60,899 --
Accounting & Transfer Agent Fees.......................................... 38 182 755
Shareholder Servicing Fees --
Class R2 Shares....................................................... -- 239 --
Custodian Fees............................................................ -- -- 7,215
Filing Fees............................................................... 176 526 500
Shareholders' Reports..................................................... 61 289 219
Directors'/Trustees' Fees & Expenses...................................... 18 126 56
Professional Fees......................................................... 17 113 222
Other..................................................................... 21 136 125
-------- --------- --------
Total Expenses..................................................... 10,771 62,510 48,425
-------- --------- --------
Fees Paid Indirectly...................................................... -- -- (97)
-------- --------- --------
Net Expenses.............................................................. 10,771 62,510 48,328
-------- --------- --------
Net Investment Income (Loss).............................................. 46,726 308,227 155,928
-------- --------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................................ 101,576 362,676 (8,860)
Futures............................................................... (812) (1,255) 1,190
Foreign Currency Transactions**....................................... (1,523) (4,701) (1,300)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................ 9,556 (535,878) 122,105
Translation of Foreign Currency Denominated Amounts................... (21) (113) (51)
-------- --------- --------
Net Realized and Unrealized Gain (Loss)................................... 108,776 (179,271) 113,084
-------- --------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations.............. $155,502 $ 128,956 $269,012
======== ========= ========
--------
* 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.
109
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Enhanced U.S. Large
U.S. Large Company Cap Value U.S. Targeted
Portfolio Portfolio Value Portfolio
------------------ ------------------------ ----------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2012 2011 2012 2011
-------- -------- ----------- ----------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................... $ 1,469 $ 1,430 $ 154,843 $ 120,343 $ 29,117 $ 18,734
Net Realized Gain (Loss) on:
Investment Securities Sold........................ 245 380 318,427 301,933 181,414 20,083
Futures........................................... 30,568 12,791 -- (9,927) 3,336 1,751
Foreign Currency Transactions..................... 1,331 412 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:..................................
Investment Securities............................. 594 (472) 824,744 (67,687) 176,832 53,386
Futures........................................... (6,586) (995) -- -- -- --
Translation of Foreign Currency
Denominated Amounts............................. (857) (174) -- -- -- --
-------- -------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 26,764 13,372 1,298,014 344,662 390,699 93,954
-------- -------- ----------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Class R1 Shares................................... -- -- -- -- (374) (275)
Class R2 Shares................................... -- -- -- -- (76) (43)
Institutional Class Shares........................ (2,785) (270) (150,153) (117,051) (24,124) (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............................ (2,785) (270) (150,153) (117,051) (44,442) (23,076)
-------- -------- ----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued......................................... 26,869 42,165 1,501,347 2,027,913 782,957 924,360
Shares Issued in Lieu of Cash Distributions........... 2,573 259 139,904 109,293 40,767 21,388
Shares Redeemed....................................... (34,538) (42,128) (1,794,871) (1,945,509) (662,151) (743,912)
-------- -------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions........................... (5,096) 296 (153,620) 191,697 161,573 201,836
-------- -------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets........ 18,883 13,398 994,241 419,308 507,830 272,714
Net Assets
Beginning of Period................................... 171,128 157,730 7,340,344 6,921,036 2,543,979 2,271,265
-------- -------- ----------- ----------- ---------- ----------
End of Period......................................... $190,011 $171,128 $ 8,334,585 $ 7,340,344 $3,051,809 $2,543,979
======== ======== =========== =========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued......................................... 3,051 5,163 72,600 100,905 48,542 56,950
Shares Issued in Lieu of Cash Distributions........... 314 33 6,979 5,526 2,677 1,349
Shares Redeemed....................................... (3,906) (5,148) (86,993) (98,393) (40,606) (46,106)
Shares Reduced by Reverse Stock Split (Note G)........ -- -- -- -- -- (9)
-------- -------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed.......................... (541) 48 (7,414) 8,038 10,613 12,184
======== ======== =========== =========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)................................................ $ 2,005 $ 1,903 $ 25,366 $ 20,676 $ 3,945 $ 1,385
See accompanying Notes to Financial Statements.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Small U.S. Core U.S. Core
Cap Value Portfolio Equity 1 Portfolio Equity 2 Portfolio
------------------------ ---------------------- ------------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2012 2011 2012 2011
----------- ----------- ---------- ---------- ----------- -----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 53,970 $ 44,197 $ 78,378 $ 51,991 $ 111,804 $ 80,421
Capital Gain Distributions Received from
Investment Securities......................... -- -- 36 -- 105 --
Net Realized Gain (Loss) on:....................
Investment Securities Sold.................. 430,201 215,171 35,359 31,974 73,466 69,078
Futures..................................... 954 (825) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:............................
Investment Securities....................... 522,870 112,710 455,880 116,761 694,545 192,966
Futures..................................... (536) 536 -- -- -- --
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 1,007,459 371,789 569,653 200,726 879,920 342,465
----------- ----------- ---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares.................. (50,536) (41,924) (73,066) (49,822) (99,623) (78,869)
Net Long-Term Gains:
Institutional Class Shares.................. (89,379) -- -- -- -- --
----------- ----------- ---------- ---------- ----------- -----------
Total Distributions...................... (139,915) (41,924) (73,066) (49,822) (99,623) (78,869)
----------- ----------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................... 1,130,039 1,194,011 1,316,460 1,193,672 1,284,909 1,575,775
Shares Issued in Lieu of Cash
Distributions................................. 131,338 39,640 66,157 45,486 96,744 76,923
Shares Redeemed................................. (1,581,314) (1,577,930) (733,642) (556,060) (1,057,872) (1,086,755)
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions............. (319,937) (344,279) 648,975 683,098 323,781 565,943
----------- ----------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in Net
Assets................................. 547,607 (14,414) 1,145,562 834,002 1,104,078 829,539
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................................... $ 7,088,470 $ 6,540,863 $4,876,973 $3,731,411 $ 6,923,984 $ 5,819,906
=========== =========== ========== ========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................... 45,152 48,190 114,530 108,434 113,356 144,791
Shares Issued in Lieu of Cash
Distributions................................. 5,754 1,639 5,842 4,215 8,679 7,192
Shares Redeemed................................. (62,499) (62,955) (63,857) (51,146) (93,203) (99,493)
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................... (11,593) (13,126) 56,515 61,503 28,832 52,490
=========== =========== ========== ========== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... $ 94 $ 858 $ 10,461 $ 8,359 $ 15,899 $ 7,601
See accompanying Notes to Financial Statements.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Vector U.S. Small U.S. Micro
Equity Portfolio Cap Portfolio Cap Portfolio
---------------------- ----------------------- ----------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2012 2011 2012 2011
---------- ---------- ---------- ----------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 28,165 $ 20,309 $ 47,882 $ 33,067 $ 33,720 $ 23,621
Capital Gain Distributions Received from
Investment Securities......................... 18 -- -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold.................. 41,027 46,999 254,365 211,228 220,675 234,404
Futures..................................... (850) -- -- 929 385 --
In-Kind Redemptions......................... -- -- -- 126,527* -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities....................... 196,524 18,243 230,453 (60,488) 166,031 32,818
---------- ---------- ---------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 264,884 85,551 532,700 311,263 420,811 290,843
---------- ---------- ---------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares.................. (26,665) (19,719) (41,256) (32,796) (30,423) (23,667)
---------- ---------- ---------- ----------- ---------- ----------
Total Distributions...................... (26,665) (19,719) (41,256) (32,796) (30,423) (23,667)
---------- ---------- ---------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................... 363,121 551,321 1,000,664 1,118,116 389,014 509,041
Shares Issued in Lieu of Cash Distributions..... 26,213 19,400 38,143 30,271 28,484 22,542
Shares Redeemed................................. (470,271) (343,081) (737,229) (1,047,988)* (627,647) (719,326)
---------- ---------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions............. (80,937) 227,640 301,578 100,399 (210,149) (187,743)
---------- ---------- ---------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................. 157,282 293,472 793,022 378,866 180,239 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................................... $2,009,177 $1,851,895 $4,563,345 $ 3,770,323 $3,437,958 $3,257,719
========== ========== ========== =========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued................................... 33,038 51,309 45,541 52,474 27,509 37,458
Shares Issued in Lieu of Cash Distributions..... 2,473 1,845 1,786 1,457 2,109 1,695
Shares Redeemed................................. (42,602) (31,749) (33,325) (48,404) (44,113) (52,370)
---------- ---------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed............. (7,091) 21,405 14,002 5,527 (14,495) (13,217)
========== ========== ========== =========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... $ 2,490 $ 3,557 $ 5,302 $ 1,483 $ 3,910 $ 3,199
--------
* See Note M in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Real Estate Large Cap International
Securities International Core Equity
Portfolio Portfolio Portfolio
---------------------- ---------------------- -----------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31 Oct. 31,
2012 2011 2012 2011 2012 2011
---------- ---------- ---------- ---------- ----------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 78,788 $ 51,146 $ 63,623 $ 55,392 $ 181,573 $ 161,011
Capital Gain Distributions Received from
Investment Securities......................... 16,390 13,117 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold.................. (1,763) (39,946) (18,104) (12,846) (40,937) 28,431
Futures..................................... (46) -- -- -- -- --
Foreign Currency Transactions*.............. -- -- (353) 187 114 (191)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 355,961 277,359 69,627 (133,116) 185,568 (525,986)
Translation of Foreign Currency
Denominated Amounts....................... -- -- (82) (205) (120) (476)
---------- ---------- ---------- ---------- ----------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 449,330 301,676 114,711 (90,588) 326,198 (337,211)
---------- ---------- ---------- ---------- ----------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares.................. (99,783) (40,246) (60,808) (54,107) (176,198) (161,285)
---------- ---------- ---------- ---------- ----------- ----------
Total Distributions...................... (99,783) (40,246) (60,808) (54,107) (176,198) (161,285)
---------- ---------- ---------- ---------- ----------- ----------
Capital Share Transactions (1):
Shares Issued................................... 826,214 685,272 634,549 463,836 1,839,473 1,663,723
Shares Issued in Lieu of Cash Distributions..... 96,714 38,998 57,573 51,857 169,856 154,934
Shares Redeemed................................. (654,733) (576,605) (394,415) (283,535) (1,072,475) (791,266)
---------- ---------- ---------- ---------- ----------- ----------
Net Increase (Decrease) from
Capital Share Transactions............. 268,195 147,665 297,707 232,158 936,854 1,027,391
---------- ---------- ---------- ---------- ----------- ----------
Total Increase (Decrease) in Net
Assets................................. 617,742 409,095 351,610 87,463 1,086,854 528,895
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................................... $3,716,389 $3,098,647 $2,055,759 $1,704,149 $ 6,482,738 $5,395,884
========== ========== ========== ========== =========== ==========
(1) Shares Issued and Redeemed:
Shares Issued................................... 32,929 30,656 36,185 23,919 190,598 153,758
Shares Issued in Lieu of Cash Distributions..... 3,972 1,817 3,432 2,658 18,393 14,162
Shares Redeemed................................. (26,322) (25,853) (22,604) (14,657) (112,419) (73,947)
---------- ---------- ---------- ---------- ----------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed............. 10,579 6,620 17,013 11,920 96,572 93,973
========== ========== ========== ========== =========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income) $ 23,599 $ 14,529 $ 8,708 $ 5,725 $ 25,255 $ 13,366
--------
* Net of foreign capital gain taxes withheld of $0, $0, $1, $0, $0, and $0,
respectively.
See accompanying Notes to Financial Statements.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
International Japanese Asia Pacific
Small Company Small Company Small Company
Portfolio Portfolio Portfolio
----------------------- ------------------ ------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2012 2011 2012 2011
----------- ---------- -------- -------- -------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).............................. $ 152,324 $ 146,577 $ 5,072 $ 2,693 $ 7,452 $ 4,845
Net Realized Gain (Loss) on:..............................
Investment Securities Sold............................ 53,955 205,897 (5,341) (5,587) 4,091 8,959
Futures............................................... 9 (271) (75) -- (33) --
Foreign Currency Transactions*........................ 401 (103) 120 14 (56) 85
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency............ 133,610 (571,803) (6,790) 13,164 6,664 (21,184)
Futures............................................... (1) -- 1 -- 1 --
Translation of Foreign Currency Denominated
Amounts............................................. (530) (340) (23) (61) (12) 18
----------- ---------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations........................ 339,768 (220,043) (7,036) 10,223 18,107 (7,277)
----------- ---------- -------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares............................ (163,885) (179,486) (4,541) (2,305) (9,333) (6,964)
Net Long-Term Gains:
Institutional Class Shares............................ (108,621) -- -- -- -- --
----------- ---------- -------- -------- -------- --------
Total Distributions................................ (272,506) (179,486) (4,541) (2,305) (9,333) (6,964)
----------- ---------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued............................................. 1,391,405 1,380,524 198,642 74,211 110,755 54,555
Shares Issued in Lieu of Cash Distributions............... 262,078 171,227 4,202 2,020 8,531 6,350
Shares Redeemed........................................... (1,131,600) (829,801) (60,419) (35,962) (29,131) (38,913)
----------- ---------- -------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions..................................... 521,883 721,950 142,425 40,269 90,155 21,992
----------- ---------- -------- -------- -------- --------
Total Increase (Decrease) in Net Assets............ 589,145 322,421 130,848 48,187 98,929 7,751
Net Assets
Beginning of Period....................................... 5,834,015 5,511,594 163,120 114,933 139,262 131,511
----------- ---------- -------- -------- -------- --------
End of Period............................................. $ 6,423,160 $5,834,015 $293,968 $163,120 $238,191 $139,262
=========== ========== ======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued............................................. 95,525 81,929 12,557 4,725 5,147 2,200
Shares Issued in Lieu of Cash Distributions............... 19,065 10,276 282 133 410 249
Shares Redeemed........................................... (77,790) (50,113) (3,928) (2,288) (1,342) (1,533)
----------- ---------- -------- -------- -------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed..................................... 36,800 42,092 8,911 2,570 4,215 916
=========== ========== ======== ======== ======== ========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... $ 3,290 $ 6,376 $ 1,728 $ 1,041 $ 779 $ 1,047
--------
* Net of foreign capital gain taxes withheld of $4, $0, $0, $0, $0, and $0,
respectively.
See accompanying Notes to Financial Statements.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
United Kingdom Continental DFA International
Small Company Small Company Real Estate Securities
Portfolio Portfolio Portfolio
----------------- ------------------ ----------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2012 2011 2012 2011
-------- -------- -------- -------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).............................. $ 856 $ 1,146 $ 3,068 $ 3,026 $ 66,041 $ 58,347
Net Realized Gain (Loss) on:..............................
Investment Securities Sold............................ (281) 1,011 (2,677) 3,433 (33,417) (74,845)
Futures............................................... 6 -- (25) (16) -- --
Foreign Currency Transactions......................... 6 1 (25) (34) 34 223
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............ 5,744 (2,107) 585 (21,048) 228,123 3,153
Translation of Foreign Currency Denominated
Amounts............................................. (2) 2 72 3 (24) (99)
-------- ------- -------- -------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations........................ 6,329 53 998 (14,636) 260,757 (13,221)
-------- ------- -------- -------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares............................ (992) (1,071) (2,958) (3,562) (54,030) (107,338)
-------- ------- -------- -------- ---------- ----------
Total Distributions................................ (992) (1,071) (2,958) (3,562) (54,030) (107,338)
-------- ------- -------- -------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................................. 1,858 3,802 11,823 18,358 416,378 322,549
Shares Issued in Lieu of Cash Distributions............... 752 818 2,148 2,856 53,300 106,188
Shares Redeemed........................................... (10,500) (3,484) (23,147) (13,670) (204,853) (206,576)
-------- ------- -------- -------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions..................................... (7,890) 1,136 (9,176) 7,544 264,825 222,161
-------- ------- -------- -------- ---------- ----------
Total Increase (Decrease) in Net Assets............ (2,553) 118 (11,136) (10,654) 471,552 101,602
Net Assets
Beginning of Period....................................... 33,869 33,751 117,452 128,106 1,060,156 958,554
-------- ------- -------- -------- ---------- ----------
End of Period............................................. $ 31,316 $33,869 $106,316 $117,452 $1,531,708 $1,060,156
======== ======= ======== ======== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued............................................. 76 158 842 1,086 84,674 62,870
Shares Issued in Lieu of Cash Distributions............... 34 33 166 164 12,309 21,940
Shares Redeemed........................................... (429) (138) (1,693) (801) (42,864) (40,236)
-------- ------- -------- -------- ---------- ----------
Net Increase (Decrease) from Shares Issued
and Redeemed..................................... (319) 53 (685) 449 54,119 44,574
======== ======= ======== ======== ========== ==========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... $ 149 $ 279 $ 280 $ 27 $ (46,274) $ (53,267)
See accompanying Notes to Financial Statements.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Global DFA International International
Real Estate Securities Small Cap Value Vector Equity
Portfolio Portfolio Portfolio
--------------------- ------------------------ -------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2012 2011 2012 2011
---------- --------- ----------- ----------- --------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................... $ 36,495 $ 37,948 $ 176,655 $ 168,945 $ 14,617 $ 11,568
Net Realized Gain (Loss) on:
Investment Securities Sold....................... (2,760) (4,706) 130,909 146,129 2,944 6,572
Foreign Currency Transactions*................... -- -- 1,183 115 (98) 126
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency....................................... 138,125 1,312 203,828 (659,162) 13,867 (47,642)
Translation of Foreign Currency
Denominated Amounts............................ -- -- (393) (833) (30) (27)
---------- --------- ----------- ----------- --------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations................... 171,860 34,554 512,182 (344,806) 31,300 (29,403)
---------- --------- ----------- ----------- --------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares....................... (25,716) (41,423) (187,200) (182,741) (14,204) (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) (324,850) (321,278) (20,677) (14,193)
---------- --------- ----------- ----------- --------- --------
Capital Share Transactions (1):
Shares Issued........................................ 445,794 372,793 1,698,080 1,422,232 241,502 139,795
Shares Issued in Lieu of Cash Distributions.......... 25,115 40,672 304,574 303,336 19,813 13,500
Shares Redeemed...................................... (170,854) (232,709) (1,382,520) (1,255,658) (121,119) (62,242)
---------- --------- ----------- ----------- --------- --------
Net Increase (Decrease) from Capital
Share Transactions.......................... 300,055 180,756 620,134 469,910 140,196 91,053
---------- --------- ----------- ----------- --------- --------
Total Increase (Decrease) in Net
Assets...................................... 446,199 173,887 807,466 (196,174) 150,819 47,457
Net Assets
Beginning of Period.................................. 869,348 695,461 7,459,144 7,655,318 410,580 363,123
---------- --------- ----------- ----------- --------- --------
End of Period........................................ $1,315,547 $ 869,348 $ 8,266,610 $ 7,459,144 $ 561,399 $410,580
========== ========= =========== =========== ========= ========
(1) Shares Issued and Redeemed:
Shares Issued........................................ 51,866 45,423 117,598 86,184 27,490 13,326
Shares Issued in Lieu of Cash Distributions.......... 3,385 5,345 22,510 18,285 2,341 1,293
Shares Redeemed...................................... (20,069) (28,834) (97,364) (75,870) (13,627) (5,988)
---------- --------- ----------- ----------- --------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed......................... 35,182 21,934 42,744 28,599 16,204 8,631
========== ========= =========== =========== ========= ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................... $ 11,623 $ 1,177 $ 14,647 $ 21,874 $ 1,456 $ 782
--------
* Net of foreign capital gain taxes withheld of $0, $0, $13, $0, $1, and $0,
respectively.
See accompanying Notes to Financial Statements.
116
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
Year Year Nov. 14, Year Year
Ended Ended 2011(a) to Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2012 2012 2011
-------- -------- -------------------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................... $ 1,596 $ 1,131 $ 536 $ 54,306 $ 49,480
Capital Gain Distributions Received from
Affiliated Investment Companies............................ 79 48 -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold................................. 61 (6,148) (275) 31,303 94,878
Futures.................................................... (1) -- 110 -- --
Foreign Currency Transactions*............................. (10) (4) 163 (543) (1,059)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................. 430 (1,774) 2,557 25,377 (309,714)
Futures.................................................... -- -- (17) -- --
Translation of Foreign Currency Denominated
Amounts.................................................. (1) (13) (93) 18 (109)
Change in Deferred Thailand Capital Gains Tax ................. -- 3 -- -- 4,215
------- ------- ------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations....................................... 2,154 (6,757) 2,981 110,461 (162,309)
------- ------- ------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................................. (1,432) (1,006) (534) (49,445) (42,779)
Net Short-Term Gains:
Institutional Class Shares................................. (6) (19) -- -- (77)
Net Long-Term Gains:
Institutional Class Shares................................. -- (195) -- (90,351) (136,141)
------- ------- ------- ---------- ----------
Total Distributions..................................... (1,438) (1,220) (534) (139,796) (178,997)
------- ------- ------- ---------- ----------
Capital Share Transactions (1):
Shares Issued.................................................. 15,365 32,244 32,522 860,651 668,299
Shares Issued in Lieu of Cash Distributions.................... 1,370 1,211 533 130,084 164,271
Shares Redeemed................................................ (7,419) (7,929) (552) (477,258) (550,727)
------- ------- ------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions.......................................... 9,316 25,526 32,503 513,477 281,843
------- ------- ------- ---------- ----------
Total Increase (Decrease) in Net Assets................. 10,032 17,549 34,950 484,142 (59,463)
Net Assets
Beginning of Period............................................ 47,165 29,616 -- 2,313,035 2,372,498
------- ------- ------- ---------- ----------
End of Period.................................................. $57,197 $47,165 $34,950 $2,797,177 $2,313,035
======= ======= ======= ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued.................................................. 1,625 2,801 3,216 34,114 22,995
Shares Issued in Lieu of Cash Distributions.................... 152 108 53 5,452 5,590
Shares Redeemed................................................ (756) (782) (53) (18,952) (18,667)
------- ------- ------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed.............................................. 1,021 2,127 3,216 20,614 9,918
======= ======= ======= ========== ==========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)................................ $ 330 $ 168 $ 166 $ 8,306 $ 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.
117
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
---------------------- ------------------------ -----------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2012 2011 2012 2011
---------- ---------- ----------- ----------- ----------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 46,726 $ 36,127 $ 308,227 $ 259,300 $ 155,928 $ 100,756
Net Realized Gain (Loss) on:
Investment Securities Sold.................. 101,576 27,050 362,676 193,129 (8,860) 20,186
Futures..................................... (812) -- (1,255) -- 1,190 --
Foreign Currency Transactions*.............. (1,523) (1,258) (4,701) (3,612) (1,300) (4,049)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 9,556 (354,184) (535,878) (2,865,375) 122,105 (717,993)
Translation of Foreign Currency
Denominated Amounts....................... (21) (31) (113) (5) (51) 25
Change in Deferred Thailand Capital Gains
Tax........................................... -- 3,533 -- 16,079 -- 5,965
---------- ---------- ----------- ----------- ----------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 155,502 (288,763) 128,956 (2,400,484) 269,012 (595,110)
---------- ---------- ----------- ----------- ----------- ----------
Distributions From:
Net Investment Income:
Class R2 Shares............................. -- -- (1,576) (532) -- --
Institutional Class Shares.................. (40,500) (33,950) (285,978) (223,890) (139,837) (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...................... (77,612) (92,309) (476,760) (771,699) (139,837) (86,292)
---------- ---------- ----------- ----------- ----------- ----------
Capital Share Transactions (1):
Shares Issued................................... 1,164,899 694,159 5,108,640 6,491,870 4,068,293 2,524,065
Shares Issued in Lieu of Cash
Distributions................................. 68,580 74,466 439,131 711,366 126,291 77,358
Shares Redeemed................................. (236,441) (387,846) (2,319,607) (1,805,221) (1,096,525) (732,430)
---------- ---------- ----------- ----------- ----------- ----------
Net Increase (Decrease) from
Capital Share Transactions............. 997,038 380,779 3,228,164 5,398,015 3,098,059 1,868,993
---------- ---------- ----------- ----------- ----------- ----------
Total Increase (Decrease) in Net
Assets................................. 1,074,928 (293) 2,880,360 2,225,832 3,227,234 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................................... $2,907,673 $1,832,745 $16,688,730 $13,808,370 $ 8,594,707 $5,367,473
========== ========== =========== =========== =========== ==========
(1) Shares Issued and Redeemed:
Shares Issued................................... 59,256 31,956 181,833 190,904 218,730 122,538
Shares Issued in Lieu of Cash
Distributions................................. 3,782 3,241 16,750 20,921 7,108 3,743
Shares Redeemed................................. (12,340) (18,437) (82,979) (55,156) (60,020) (35,958)
Shares Reduced by Conversion of Shares
(Note G)...................................... -- -- -- (19,608) -- --
---------- ---------- ----------- ----------- ----------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................... 50,698 16,760 115,604 137,061 165,818 90,323
========== ========== =========== =========== =========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... $ 6,451 $ 1,396 $ 40,292 $ 33,870 $ 26,576 $ 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.
118
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio
------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
-------- -------- -------- -------- -------- --------
Net Asset Value, Beginning of Period ................ $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95
-------- -------- -------- -------- -------- --------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)................... 0.07 0.07 0.07 0.05 0.39 0.30
Net Gains (Losses) on Securities (Realized and
Unrealized)..................................... 1.20 0.56 1.05 0.61 (3.74) 0.45
-------- -------- -------- -------- -------- --------
Total From Investment Operations.............. 1.27 0.63 1.12 0.66 (3.35) 0.75
-------- -------- -------- -------- -------- --------
Less Distributions
------------------
Net Investment Income............................. (0.13) (0.01) (0.07) (0.59) (0.36) (0.36)
Net Realized Gains................................ -- -- -- (0.06) (0.73) (0.43)
-------- -------- -------- -------- -------- --------
Total Distributions........................... (0.13) (0.01) (0.07) (0.65) (1.09) (0.79)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period....................... $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91
======== ======== ======== ======== ======== ========
Total Return......................................... 15.84% 8.41% 17.40% 12.23% (33.89)%(C) 7.13%
-------- -------- -------- -------- -------- --------
Net Assets, End of Period (thousands)................ $190,011 $171,128 $157,730 $165,231 $200,331 $337,050
Ratio of Expenses to Average Net Assets.............. 0.25% 0.26% 0.26% 0.29%** 0.25%(B)(D) 0.25%(D)
Ratio of Net Investment Income to Average Net Assets 0.80% 0.86% 0.98% 0.86% 4.74%(B) 2.67%
Portfolio Turnover Rate.............................. 76% 140% 78% 46%* N/A N/A
U.S. Large Cap Value Portfolio
-----------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1,
Ended Ended Ended Ended 2007 to
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2010 2009 2008
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Period .............................. $ 19.29 $ 18.58 $ 15.81 $ 14.58 $ 24.44
---------- ---------- ---------- ---------- ----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)..... 0.41 0.33 0.33 0.31 0.36
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... 3.04 0.70 2.76 1.28 (8.83)
---------- ---------- ---------- ---------- ----------
Total From Investment
Operations.................... 3.45 1.03 3.09 1.59 (8.47)
---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income............... (0.40) (0.32) (0.32) (0.34) (0.35)
Net Realized Gains.................. -- -- -- (0.02) (1.04)
---------- ---------- ---------- ---------- ----------
Total Distributions............. (0.40) (0.32) (0.32) (0.36) (1.39)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period......... $ 22.34 $ 19.29 $ 18.58 $ 15.81 $ 14.58
========== ========== ========== ========== ==========
Total Return........................... 18.14% 5.53% 19.72% 11.76% (36.63)%(C)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands).......................... $8,334,585 $7,340,344 $6,921,036 $5,863,652 $5,330,448
Ratio of Expenses to Average Net
Assets............................... 0.27%(D) 0.28%(D) 0.28%(D) 0.30%(D) 0.28%(B)(D)
Ratio of Net Investment Income to
Average Net Assets................... 1.99% 1.63% 1.86% 2.26% 1.86%(B)
Portfolio Turnover Rate................ N/A N/A N/A N/A N/A
-----------
Year
Ended
Nov. 30,
2007
----------
Net Asset Value, Beginning of
Period .............................. $ 25.40
----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)..... 0.33
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... (0.43)
----------
Total From Investment
Operations.................... (0.10)
----------
Less Distributions
------------------
Net Investment Income............... (0.32)
Net Realized Gains.................. (0.54)
----------
Total Distributions............. (0.86)
----------
Net Asset Value, End of Period......... $ 24.44
==========
Total Return........................... (0.49)%
----------
Net Assets, End of Period
(thousands).......................... $7,535,552
Ratio of Expenses to Average Net
Assets............................... 0.27%(D)
Ratio of Net Investment Income to
Average Net Assets................... 1.28%
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.
119
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R1 Shares+
-------------------------------------------
Period
Year Year Year Year Jan. 31,
Ended Ended Ended Ended 2008(a)
Oct. 31, Oct. 31, Oct. 31, Oct. 31, to Oct.
2012 2011 2010 2009 31, 2008
-------- -------- -------- -------- --------
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)................ 0.15 0.10 0.07 0.12 0.13
Net Gains (Losses) on
Securities (Realized
and Unrealized).......... 2.06 0.60 3.07 0.87 (3.76)
------- ------- ------- ------- -------
Total From
Investment
Operations........... 2.21 0.70 3.14 0.99 (3.63)
------- ------- ------- ------- -------
Less Distributions
------------------
Net Investment Income...... (0.13) (0.10) (0.12) (0.18) (0.14)
Net Realized Gains......... (0.12) (0.03) -- -- --
------- ------- ------- ------- -------
Total
Distributions........ (0.25) (0.13) (0.12) (0.18) (0.14)
------- ------- ------- ------- -------
Net Asset Value, End of
Period...................... $ 17.28 $ 15.32 $ 14.75 $ 11.73 $ 10.92
======= ======= ======= ======= =======
Total Return.................. 14.67% 4.69% 26.93% 9.36% (24.96)%(C)
------- ------- ------- ------- -------
Net Assets, End of Period
(thousands)................. $49,423 $45,132 $41,316 $31,393 $25,599
Ratio of Expenses to Average
Net Assets.................. 0.48% 0.48% 0.49% 0.52% 0.50%(B)(E)
Ratio of Net Investment
Income to Average Net
Assets 0.93% 0.61% 0.59% 1.12% 1.24%(B)(E)
Portfolio Turnover Rate....... 20% 23% 20% 17% 20%(C)
U.S. Targeted Value Portfolio-Class R2 Shares+
-------------------------------------------
Period
Year Year Year Year June 30,
Ended Ended Ended Ended 2008(a)
Oct. 31, Oct. 31, Oct. 31, Oct. 31, to Oct.
2012 2011 2010 2009 31, 2008
-------- -------- -------- -------- --------
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)................ 0.13 0.07 0.05 0.10 0.05
Net Gains (Losses) on
Securities (Realized
and Unrealized).......... 2.05 0.60 3.07 0.88 (3.02)
------- ------- ------ ------ -------
Total From
Investment
Operations........... 2.18 0.67 3.12 0.98 (2.97)
------- ------- ------ ------ -------
Less Distributions
------------------
Net Investment Income...... (0.11) (0.09) (0.10) (0.15) (0.06)
Net Realized Gains......... (0.12) (0.03) -- -- --
------- ------- ------ ------ -------
Total
Distributions........ (0.23) (0.12) (0.10) (0.15) (0.06)
------- ------- ------ ------ -------
Net Asset Value, End of
Period...................... $ 17.26 $ 15.31 $14.76 $11.74 $ 10.91
======= ======= ====== ====== =======
Total Return.................. 14.46% 4.50% 26.66% 9.23% (21.40)%(C)
------- ------- ------ ------ -------
Net Assets, End of Period
(thousands)................. $12,754 $10,918 $5,967 $2,930 $ 1,715
Ratio of Expenses to Average
Net Assets.................. 0.63% 0.63% 0.64% 0.67% 0.66%(B)(E)
Ratio of Net Investment
Income to Average Net
Assets 0.78% 0.42% 0.44% 0.91% 1.35%(B)(E)
Portfolio Turnover Rate....... 20% 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.
120
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Institutional Class Shares
----------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- -------- --------
Net Asset Value, Beginning of
Period .............................. $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69
---------- ---------- ---------- ---------- -------- --------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)..... 0.17 0.12 0.09 0.12 0.18 0.20
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... 2.06 0.59 3.06 0.88 (4.68) (1.32)
---------- ---------- ---------- ---------- -------- --------
Total From Investment
Operations.................... 2.23 0.71 3.15 1.00 (4.50) (1.12)
---------- ---------- ---------- ---------- -------- --------
Less Distributions
------------------
Net Investment Income............... (0.15) (0.12) (0.09) (0.14) (0.15) (0.20)
Net Realized Gains.................. (0.12) (0.03) -- -- (0.40) (1.48)
---------- ---------- ---------- ---------- -------- --------
Total Distributions............. (0.27) (0.15) (0.09) (0.14) (0.55) (1.68)
---------- ---------- ---------- ---------- -------- --------
Net Asset Value, End of Period......... $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89
========== ========== ========== ========== ======== ========
Total Return........................... 14.78% 4.76% 27.02% 9.47% (29.27)%(C) (6.59)%
---------- ---------- ---------- ---------- -------- --------
Net Assets, End of Period
(thousands) $2,989,632 $2,487,929 $2,223,982 $1,449,437 $855,448 $554,805
Ratio of Expenses to Average Net
Assets. 0.38% 0.38% 0.38% 0.41% 0.40%(B) 0.41%(D)**
Ratio of Net Investment Income to
Average Net Assets 1.03% 0.71% 0.69% 1.19% 1.39%(B) 1.12%
Portfolio Turnover Rate................ 20% 23% 20% 17% 20%(C) 9%(C)*
U.S. Small Cap Value Portfolio
------------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Period .............................. $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)..... 0.20 0.16 0.09 0.04 0.18 0.30
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... 3.38 1.00 4.79 1.54 (7.86) (2.72)
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations.................... 3.58 1.16 4.88 1.58 (7.68) (2.42)
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income............... (0.18) (0.15) (0.08) (0.21) (0.22) (0.28)
Net Realized Gains.................. (0.33) -- -- -- (2.27) (2.40)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............. (0.51) (0.15) (0.08) (0.21) (2.49) (2.68)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period......... $ 26.57 $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49
========== ========== ========== ========== ========== ==========
Total Return........................... 15.60% 5.13% 27.69% 9.97% (31.80)%(C) (8.41)%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands).......................... $7,088,470 $6,540,863 $6,555,277 $5,669,659 $5,503,945 $8,802,846
Ratio of Expenses to Average Net
Assets............................... 0.52% 0.52% 0.52% 0.54%++ 0.52%(B)(D) 0.52%(D)
Ratio of Net Investment Income to
Average Net Assets................... 0.78% 0.62% 0.43% 0.27% 0.86%(B) 0.98%
Portfolio Turnover Rate................ 15% 14% 19% 21%+ 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.
121
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Core Equity 1 Portfolio
--------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Period ......................... $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
----------------------
Net Investment Income
(Loss)(A).................... 0.21 0.17 0.15 0.15 0.17 0.19
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 1.32 0.59 1.61 0.73 (4.03) 0.35
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations............... 1.53 0.76 1.76 0.88 (3.86) 0.54
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income.......... (0.20) (0.16) (0.12) (0.15) (0.16) (0.18)
Net Realized Gains............. -- -- -- -- -- (0.03)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions........ (0.20) (0.16) (0.12) (0.15) (0.16) (0.21)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of
Period.......................... $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83
========== ========== ========== ========== ========== ==========
Total Return...................... 14.29% 7.47% 20.80% 11.64% (32.85)%(C) 4.68%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands) $4,876,973 $3,731,411 $2,897,409 $1,989,583 $1,320,562 $1,210,031
Ratio of Expenses to Average
Net Assets. 0.19% 0.20% 0.20% 0.22% 0.20%(B) 0.20%
Ratio of Net Investment
Income to Average Net Assets 1.79% 1.49% 1.53% 2.02% 1.78%(B) 1.53%
Portfolio Turnover Rate........... 3% 5% 4% 7% 5%(C) 10%
U.S. Core Equity 2 Portfolio
--------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Period ......................... $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
----------------------
Net Investment Income
(Loss)(A).................... 0.20 0.16 0.14 0.14 0.17 0.19
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 1.36 0.54 1.64 0.66 (4.04) 0.13
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations............... 1.56 0.70 1.78 0.80 (3.87) 0.32
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income.......... (0.18) (0.15) (0.11) (0.14) (0.17) (0.17)
Net Realized Gains............. -- -- -- -- -- (0.03)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions........ (0.18) (0.15) (0.11) (0.14) (0.17) (0.20)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of
Period.......................... $ 11.99 $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77
========== ========== ========== ========== ========== ==========
Total Return...................... 14.81% 6.98% 21.41% 10.66% (33.16)%(C) 2.78%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands) $6,923,984 $5,819,906 $4,990,367 $3,804,325 $2,501,028 $2,939,420
Ratio of Expenses to Average
Net Assets. 0.22% 0.22% 0.23% 0.24% 0.23%(B) 0.23%
Ratio of Net Investment
Income to Average Net Assets 1.74% 1.42% 1.47% 1.89% 1.77%(B) 1.55%
Portfolio Turnover Rate........... 5% 9% 7% 4% 8%(C) 7%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
122
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Vector Equity Portfolio
----------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- -------- --------
Net Asset Value, Beginning of
Period............................... $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79
---------- ---------- ---------- ---------- -------- --------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)..... 0.16 0.12 0.10 0.11 0.15 0.16
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... 1.32 0.46 1.79 0.57 (3.89) (0.25)
---------- ---------- ---------- ---------- -------- --------
Total From Investment
Operations.................... 1.48 0.58 1.89 0.68 (3.74) (0.09)
---------- ---------- ---------- ---------- -------- --------
Less Distributions
------------------
Net Investment Income............... (0.15) (0.12) (0.10) (0.13) (0.16) (0.14)
Net Realized Gains.................. -- -- -- -- -- (0.18)
---------- ---------- ---------- ---------- -------- --------
Total Distributions............. (0.15) (0.12) (0.10) (0.13) (0.16) (0.32)
---------- ---------- ---------- ---------- -------- --------
Net Asset Value, End of Period......... $ 11.61 $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38
========== ========== ========== ========== ======== ========
Total Return........................... 14.55% 5.86% 23.65% 9.47% (33.29)%(C) (0.87)%
---------- ---------- ---------- ---------- -------- --------
Net Assets, End of Period
(thousands).......................... $2,009,177 $1,851,895 $1,558,423 $1,178,114 $850,623 $959,742
Ratio of Expenses to Average Net
Assets............................... 0.32% 0.33% 0.33% 0.35% 0.34%(B) 0.34%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses and/or
Recovery of Previously Waived
Fees) 0.32% 0.33% 0.33% 0.35% 0.34%(B) 0.33%
Ratio of Net Investment Income to
Average Net Assets................... 1.45% 1.11% 1.13% 1.60% 1.66%(B) 1.29%
Portfolio Turnover Rate................ 9% 10% 11% 11% 11%(C) 14%
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
123
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Small Cap Portfolio
------------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Period........................... $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A). 0.25 0.18 0.13 0.06 0.14 0.21
Net Gains (Losses) on
Securities
(Realized and Unrealized)..... 2.53 1.49 4.17 1.65 (6.08) (0.66)
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations............... 2.78 1.67 4.30 1.71 (5.94) (0.45)
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income........... (0.22) (0.18) (0.13) (0.17) (0.17) (0.21)
Net Realized Gains.............. -- -- -- -- (1.18) (1.16)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.22) (0.18) (0.13) (0.17) (1.35) (1.37)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of
Period........................ $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64
========== ========== ========== ========== ========== ==========
Total Return.................... 13.61% 8.76% 28.99% 13.08% (30.67)%(C) (2.17)%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)................... $4,563,345 $3,770,323 $3,391,457 $2,522,001 $2,066,849 $3,285,093
Ratio of Expenses to
Average Net Assets............ 0.37% 0.37% 0.37% 0.40%** 0.38%(B)(D) 0.38%(D)
Ratio of Net Investment
Income to Average Net
Assets........................ 1.14% 0.84% 0.76% 0.50% 0.86%(B) 0.95%
Portfolio Turnover Rate......... 16% 23% 19% 17%* N/A N/A
---------- ---------- ---------- ---------- ---------- ----------
U.S. Micro Cap Portfolio
------------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Period........................... $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A). 0.14 0.09 0.06 0.03 0.10 0.14
Net Gains (Losses) on
Securities
(Realized and Unrealized)..... 1.59 0.99 2.68 0.54 (4.32) (0.69)
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations............... 1.73 1.08 2.74 0.57 (4.22) (0.55)
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income........... (0.13) (0.09) (0.06) (0.19) (0.13) (0.13)
Net Realized Gains.............. -- -- -- -- (1.26) (1.35)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.13) (0.09) (0.06) (0.19) (1.39) (1.48)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of
Period........................ $ 14.84 $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80
========== ========== ========== ========== ========== ==========
Total Return.................... 13.13% 8.85% 28.77% 6.61% (31.33)%(C) (3.63)%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)................... $3,437,958 $3,257,719 $3,178,286 $2,818,365 $2,924,225 $4,700,371
Ratio of Expenses to
Average Net Assets............ 0.52% 0.52% 0.52% 0.54%** 0.53%(B)(D) 0.52%(D)
Ratio of Net Investment
Income to Average Net
Assets........................ 0.99% 0.69% 0.58% 0.38% 0.91%(B) 0.89%
Portfolio Turnover Rate......... 15% 14% 9% 12%* 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.
124
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Real Estate Securities Portfolio
--------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period.. $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income
(Loss)(A)........................ 0.57 0.40 0.58 0.58 0.64 0.62
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 2.74 1.93 5.92 (0.62) (9.28) (5.64)
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations................... 3.31 2.33 6.50 (0.04) (8.64) (5.02)
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income.............. (0.73) (0.32) (0.55) (0.83) (0.30) (0.70)
Net Realized Gains................. -- -- -- -- (2.10) (0.88)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (0.73) (0.32) (0.55) (0.83) (2.40) (1.58)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period........ $ 25.83 $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20
========== ========== ========== ========== ========== ==========
Total Return.......................... 14.45% 11.09% 43.21% 0.98% (34.46)%(C) (15.45)%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)......................... $3,716,389 $3,098,647 $2,689,552 $2,018,559 $1,746,961 $2,671,457
Ratio of Expenses to Average Net
Assets.............................. 0.22% 0.32% 0.33% 0.36% 0.33%(B) 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)...... 0.23% 0.32% 0.33% 0.36% 0.33%(B) 0.33%
Ratio of Net Investment Income to
Average Net Assets.................. 2.29% 1.76% 3.13% 4.54% 3.01%(B) 1.99%
Portfolio Turnover Rate............... 0% 3% 2% 2% 13%(C) 17%
---------- ---------- ---------- ---------- ---------- ----------
Large Cap International Portfolio
---------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period.. $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income
(Loss)(A)........................ 0.60 0.63 0.48 0.48 0.68 0.68
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 0.40 (1.53) 1.43 3.16 (12.06) 3.57
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations................... 1.00 (0.90) 1.91 3.64 (11.38) 4.25
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income.............. (0.58) (0.61) (0.51) (0.43) (0.64) (0.67)
Net Realized Gains................. -- -- -- -- (0.35) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (0.58) (0.61) (0.51) (0.43) (0.99) (0.67)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period........ $ 18.33 $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18
========== ========== ========== ========== ========== ==========
Total Return.......................... 5.89% (4.86)% 10.99% 25.20% (43.14)%(C) 18.18%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)......................... $2,055,759 $1,704,149 $1,616,686 $1,364,351 $1,206,860 $2,224,180
Ratio of Expenses to Average Net
Assets.............................. 0.30% 0.30% 0.30% 0.32% 0.29%(B) 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% 0.30% 0.30% 0.32% 0.29%(B) 0.29%
Ratio of Net Investment Income to
Average Net Assets.................. 3.38% 3.19% 2.65% 3.14% 3.18%(B) 2.62%
Portfolio Turnover Rate............... 4% 3% 7% 12% 12%(C) 5%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
125
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Core Equity Portfolio
---------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period............... $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)................. 0.31 0.33 0.23 0.23 0.37 0.35
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 0.20 (0.89) 0.96 2.32 (6.76) 1.54
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations............ 0.51 (0.56) 1.19 2.55 (6.39) 1.89
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income........................... (0.30) (0.33) (0.20) (0.22) (0.35) (0.32)
Net Realized Gains.............................. -- -- -- -- (0.15) (0.04)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......................... (0.30) (0.33) (0.20) (0.22) (0.50) (0.36)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period..................... $ 10.10 $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35
========== ========== ========== ========== ========== ==========
Total Return....................................... 5.49% (5.49)% 12.48% 34.81% (45.76)%(C) 14.83%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands).............. $6,482,738 $5,395,884 $4,866,989 $3,699,842 $1,981,049 $2,342,187
Ratio of Expenses to Average Net Assets............ 0.40% 0.40% 0.40% 0.41% 0.41%(B) 0.41%
Ratio of Expenses to Average Net Assets
(Excluding Waiversand Assumption of Expenses
and/or Recovery of Previously Waived Fees and
Fees Paid Indirectly) 0.40% 0.40% 0.40% 0.41% 0.41%(B) 0.41%
Ratio of Net Investment Income to Average Net
Assets........................................... 3.18% 2.96% 2.31% 2.84% 3.39%(B) 2.49%
Portfolio Turnover Rate............................ 5% 3% 2% 5% 4%(C) 4%
--------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
126
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Small Company Portfolio
---------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period. $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income
(Loss)(A)....................... 0.38 0.40 0.28 0.28 0.44 0.43
Net Gains (Losses) on Securities
(Realized and Unrealized)....... 0.39 (0.83) 2.13 3.91 (9.55) 2.07
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations.................. 0.77 (0.43) 2.41 4.19 (9.11) 2.50
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income............. (0.42) (0.50) (0.26) (0.27) (0.45) (0.46)
Net Realized Gains................ (0.28) -- -- -- (1.17) (0.67)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions........... (0.70) (0.50) (0.26) (0.27) (1.62) (1.13)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period....... $ 15.28 $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80
========== ========== ========== ========== ========== ==========
Total Return......................... 5.63% (2.92)% 17.61% 42.34% (47.13)%(C) 13.29%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)........................ $6,423,160 $5,834,015 $5,511,594 $4,269,864 $3,084,373 $5,597,209
Ratio of Expenses to Average Net
Assets (D)......................... 0.56% 0.55% 0.56% 0.57% 0.55%(B) 0.55%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses and/or
Recovery of Previously Waived
Fees) (D).......................... 0.56% 0.55% 0.56% 0.57% 0.55%(B) 0.55%
Ratio of Net Investment Income to
Average Net Assets................. 2.58% 2.37% 1.94% 2.48% 2.90%(B) 2.03%
---------- ---------- ---------- ---------- ---------- ----------
Japanese Small Company Portfolio
--------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
-------- -------- -------- -------- -------- --------
Net Asset Value, Beginning of Period. $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23
-------- -------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income
(Loss)(A)....................... 0.29 0.27 0.22 0.22 0.29 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized)....... (0.26) 1.08 (0.18) 2.39 (4.78) (0.52)
-------- -------- -------- -------- -------- --------
Total From Investment
Operations.................. 0.03 1.35 0.04 2.61 (4.49) (0.25)
-------- -------- -------- -------- -------- --------
Less Distributions
Net Investment Income............. (0.28) (0.24) (0.23) (0.26) (0.29) (0.23)
Net Realized Gains................ -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions........... (0.28) (0.24) (0.23) (0.26) (0.29) (0.23)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period....... $ 14.99 $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75
======== ======== ======== ======== ======== ========
Total Return......................... 0.20% 9.57% 0.33% 22.08% (27.16)%(C) (1.51)%
-------- -------- -------- -------- -------- --------
Net Assets, End of Period
(thousands)........................ $293,968 $163,120 $114,933 $114,058 $133,373 $199,080
Ratio of Expenses to Average Net
Assets (D)......................... 0.57% 0.56% 0.57% 0.59% 0.58%(B) 0.56%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses and/or
Recovery of Previously Waived
Fees) (D).......................... 0.57% 0.56% 0.57% 0.59% 0.58%(B) 0.56%
Ratio of Net Investment Income to
Average Net Assets................. 1.88% 1.74% 1.52% 1.68% 2.18%(B) 1.51%
-------- -------- -------- -------- -------- --------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
127
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Asia Pacific Small Company Portfolio
--------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
-------- -------- -------- -------- -------- --------
Net Asset Value, Beginning of Period
................................... $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26
-------- -------- -------- -------- ------- --------
Income From Investment Operations
Net Investment Income
(Loss)(A)....................... 0.87 0.85 0.69 0.50 0.83 0.79
Net Gains (Losses) on Securities
(Realized and Unrealized)....... 0.58 (2.16) 4.99 8.95 (17.04) 8.43
-------- -------- -------- -------- ------- --------
Total From Investment
Operations.................. 1.45 (1.31) 5.68 9.45 (16.21) 9.22
-------- -------- -------- -------- ------- --------
Less Distributions
Net Investment Income............. (1.27) (1.29) (0.63) (0.53) (0.85) (0.75)
Net Realized Gains................ -- -- -- -- -- --
Return of Capital................. -- -- -- -- -- --
-------- -------- -------- -------- ------- --------
Total Distributions........... (1.27) (1.29) (0.63) (0.53) (0.85) (0.75)
-------- -------- -------- -------- ------- --------
Net Asset Value, End of Period....... $ 23.22 $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73
======== ======== ======== ======== ======= ========
Total Return......................... 7.09% (5.59)% 28.36% 84.11% (57.94)%(C) 46.55%
-------- -------- -------- -------- ------- --------
Net Assets, End of Period
(thousands)........................ $238,191 $139,262 $131,511 $101,853 $64,044 $146,307
Ratio of Expenses to Average Net
Assets(D).......................... 0.59% 0.60% 0.63% 0.65% 0.62%(B) 0.62%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses and/or
Recovery of Previously Waived
Expenses)(D)....................... 0.59% 0.60% 0.61% 0.65% 0.61%(B) 0.59%
Ratio of Net Investment Income to
Average Net Assets................. 3.91% 3.34% 3.14% 3.53% 3.85%(B) 3.13%
-------- -------- -------- -------- ------- --------
United Kingdom Small Company Portfolio
---------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
-------- -------- -------- -------- -------- --------
Net Asset Value, Beginning of Period
................................... $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97
------- ------- ------- ------- ------- -------
Income From Investment Operations
Net Investment Income
(Loss)(A)....................... 0.69 0.82 0.50 0.55 0.77 0.78
Net Gains (Losses) on Securities
(Realized and Unrealized)....... 4.47 (0.85) 4.41 5.44 (15.84) (0.08)
------- ------- ------- ------- ------- -------
Total From Investment
Operations.................. 5.16 (0.03) 4.91 5.99 (15.07) 0.70
------- ------- ------- ------- ------- -------
Less Distributions
Net Investment Income............. (0.79) (0.77) (0.50) (0.43) (0.72) (1.03)
Net Realized Gains................ -- -- -- -- (1.22) (1.35)
Return of Capital................. -- -- -- -- (0.01) --
------- ------- ------- ------- ------- -------
Total Distributions........... (0.79) (0.77) (0.50) (0.43) (1.95) (2.38)
------- ------- ------- ------- ------- -------
Net Asset Value, End of Period....... $ 27.81 $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29
======= ======= ======= ======= ======= =======
Total Return......................... 22.82% (0.28)% 25.37% 42.81% (50.97)%(C) 1.94%
------- ------- ------- ------- ------- -------
Net Assets, End of Period
(thousands)........................ $31,316 $33,869 $33,751 $27,863 $25,883 $37,139
Ratio of Expenses to Average Net
Assets(D).......................... 0.60% 0.60% 0.60% 0.61% 0.59%(B) 0.59%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumption of Expenses and/or
Recovery of Previously Waived
Expenses)(D)....................... 0.63% 0.62% 0.64% 0.70% 0.65%(B) 0.62%
Ratio of Net Investment Income to
Average Net Assets................. 2.83% 3.26% 2.39% 3.62% 3.41%(B) 2.28%
------- ------- ------- ------- ------- -------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
128
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Continental Small Company Portfolio
---------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
-------- -------- -------- -------- -------- --------
Net Asset Value, Beginning of Period............ $ 14.66 $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47
-------- -------- -------- -------- ------- --------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A).............. 0.39 0.39 0.27 0.28 0.52 0.40
Net Gains (Losses) on Securities
(Realized and Unrealized)................ (0.17) (2.20) 1.89 4.29 (11.32) 3.00
-------- -------- -------- -------- ------- --------
Total From Investment
Operations............................ 0.22 (1.81) 2.16 4.57 (10.80) 3.40
-------- -------- -------- -------- ------- --------
Less Distributions
------------------
Net Investment Income........................ (0.37) (0.46) (0.25) (0.28) (0.45) (0.38)
Net Realized Gains........................... -- -- -- -- (0.96) (0.54)
Return of Capital............................ -- -- -- -- (0.01) --
-------- -------- -------- -------- ------- --------
Total Distributions...................... (0.37) (0.46) (0.25) (0.28) (1.42) (0.92)
-------- -------- -------- -------- ------- --------
Net Asset Value, End of Period. $ 14.51 $ 14.66 $ 16.93 $ 15.02 $ 10.73 $ 22.95
======== ======== ======== ======== ======= ========
Total Return.................................... 1.85% (11.09)% 14.85% 43.12% (49.89)%(C) 16.99%
-------- -------- -------- -------- ------- --------
Net Assets, End of Period (thousands)........... $106,316 $117,452 $128,106 $110,926 $93,988 $170,909
Ratio of Expenses to Average Net Assets......... 0.59%(D) 0.58%(D) 0.59%(D) 0.62%(D) 0.59%(B)(D) 0.61%(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)......................... 0.59%(D) 0.58%(D) 0.59%(D) 0.61%(D) 0.59%(B)(D) 0.57%(D)
Ratio of Net Investment Income
(Loss) to Average Net Assets................. 2.78% 2.25% 1.78% 2.39% 3.04%(B) 1.70%
Portfolio Turnover Rate......................... N/A N/A N/A N/A N/A N/A
-------- -------- -------- -------- ------- --------
DFA International Real Estate Securities Portfolio
-----------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Period
Ended Ended Oct. Ended Ended 2007 to March 1, 2007(a)
Oct. 31, 31, Oct. 31, Oct. 31, Oct. 31, to
2012 2011 2010 2009 2008 Nov. 30, 2007
---------- ---------- -------- -------- -------- ----------------
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).............. 0.27 0.30 0.31 0.26 0.34 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized)................ 0.75 (0.33) 0.58 0.91 (5.08) (0.76)
---------- ---------- -------- -------- -------- --------
Total From Investment
Operations............................ 1.02 (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. $ 5.67 $ 4.90 $ 5.58 $ 5.24 $ 4.18 $ 9.35
========== ========== ======== ======== ======== ========
Total Return.................................... 22.34% (0.43)% 18.96% 29.25% (52.85)%(C) (5.38)%(C)
---------- ---------- -------- -------- -------- --------
Net Assets, End of Period (thousands)........... $1,531,708 $1,060,156 $958,554 $742,329 $394,480 $336,840
Ratio of Expenses to Average Net Assets......... 0.41% 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% 0.42% 0.41% 0.43% 0.44%(B) 0.48%(B)(E)
Ratio of Net Investment Income
(Loss) to Average Net Assets................. 5.45% 5.73% 6.42% 6.40% 5.20%(B) 3.50%(B)(E)
Portfolio Turnover Rate......................... 3% 7% 6% 5% 1%(C) 2%(C)
---------- ---------- -------- -------- -------- --------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
129
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Global Real Estate Securities Portfolio
--------------------------------------------------------------
Period
Year Year Year Year June 4,
Ended Ended Ended Ended 2008(a) to
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2010 2009 2008
---------- -------- -------- -------- ----------
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)................ 0.29 0.41 0.40 0.19 --
Net Gains (Losses) on Securities (Realizedand
Unrealized).................................. 1.07 0.06 1.60 0.62 (3.96)
---------- -------- -------- -------- -------
Total From Investment Operations........... 1.36 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.................... $ 9.33 $ 8.21 $ 8.28 $ 6.75 $ 6.04
========== ======== ======== ======== =======
Total Return...................................... 17.33% 6.17% 31.38% 13.81% (39.60)%(C)
---------- -------- -------- -------- -------
Net Assets, End of Period (thousands)............. $1,315,547 $869,348 $695,461 $432,502 $90,672
Ratio of Expenses to Average Net Assets........... 0.34%(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)........................... 0.60%(D) 0.73%(D) 0.73%(D) 0.79%(D) 0.86%(B)(D)(E)
Ratio of Net Investment Income to Average Net
Assets.......................................... 3.38% 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
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period.............. $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income (Loss)(A)................ 0.34 0.34 0.24 0.26 0.52 0.46
Net Gains (Losses) on Securities (Realizedand
Unrealized).................................. 0.61 (0.98) 1.22 4.14 (9.60) 1.66
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations........... 0.95 (0.64) 1.46 4.40 (9.08) 2.12
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income.......................... (0.36) (0.38) (0.22) (0.24) (0.58) (0.53)
Net Realized Gains............................. (0.28) (0.29) -- (0.06) (1.57) (1.25)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions........................ (0.64) (0.67) (0.22) (0.30) (2.15) (1.78)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.................... $ 15.16 $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05
========== ========== ========== ========== ========== ==========
Total Return...................................... 6.92% (4.39)% 10.01% 41.42% (45.17)%(C) 10.25%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)............. $8,266,610 $7,459,144 $7,655,318 $6,859,957 $4,799,748 $8,180,859
Ratio of Expenses to Average Net Assets........... 0.71% 0.70% 0.70% 0.71% 0.69%(B) 0.69%
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% 0.70% 0.70% 0.71% 0.69%(B) 0.69%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.30% 2.05% 1.57% 2.19% 3.22%(B) 2.03%
Portfolio Turnover Rate........................... 18% 16% 18% 22% 16%(C) 18%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
130
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Vector Equity Portfolio
-------------------------------------------------
Period
Year Year Year Year August 14,
Ended Ended Ended Ended 2008(a) to
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2010 2009 2008
-------- -------- -------- -------- ----------
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)....... 0.27 0.29 0.18 0.17 0.06
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.14 (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.................. (0.27) (0.29) (0.17) (0.15) --
Net Realized Gains..................... (0.15) (0.07) -- -- --
-------- -------- -------- -------- -------
Total Distributions................ (0.42) (0.36) (0.17) (0.15) --
-------- -------- -------- -------- -------
Net Asset Value, End of Period............ $ 9.33 $ 9.34 $ 10.28 $ 9.22 $ 6.74
======== ======== ======== ======== =======
Total Return.............................. 4.90% (5.99)% 13.62% 39.52% (32.60)%(C)
-------- -------- -------- -------- -------
Net Assets, End of Period (thousands)..... $561,399 $410,580 $363,123 $262,544 $66,774
Ratio of Expenses to Average Net Assets... 0.54% 0.54% 0.54% 0.60% 0.60%(B)(E)
Ratio of Expenses to Average Net Assets
(Excluding Waiversand Assumption of
Expenses and/or Recovery of Previously
Waived Fees and Fees Paid
Indirectly).......................... 0.54% 0.54% 0.53% 0.59% 1.15%(B)(E)
Ratio of Net Investment Income to Average
Net Assets.............................. 2.94% 2.73% 1.91% 2.31% 3.01%(B)(E)
Portfolio Turnover Rate................... 5% 10% 5% 8% 0%(C)
-------- -------- -------- -------- -------
World ex U.S. Value Portfolio
----------------------------------
Year Year Period Aug.
Ended Ended 23, 2010(a)
Oct. 31, Oct. 31, to
2012 2011 Oct. 31, 2010
-------- -------- -------------
Net Asset Value, Beginning of Period...... $ 9.96 $ 11.35 $ 10.00
------- ------- -------
Income From Investment Operations
Net Investment Income (Loss) (A)....... 0.29 0.30 0.02
Net Gains (Losses) on Securities
(Realized and Unrealized)............ (0.05) (1.35) 1.33
------- ------- -------
Total From Investment
Operations....................... 0.24 (1.05) 1.35
------- ------- -------
Less Distributions
Net Investment Income.................. (0.26) (0.26) --
Net Realized Gains..................... -- (0.08) --
------- ------- -------
Total Distributions................ (0.26) (0.34) --
------- ------- -------
Net Asset Value, End of Period............ $ 9.94 $ 9.96 $ 11.35
======= ======= =======
Total Return.............................. 2.70% (9.59)% 13.50%(C)
------- ------- -------
Net Assets, End of Period (thousands)..... $57,197 $47,165 $29,616
Ratio of Expenses to Average Net Assets... 0.60%(D) 0.60%D) 0.90%(B)(D)(E)
Ratio of Expenses to Average Net Assets
(Excluding Waiversand Assumption of
Expenses and/or Recovery of Previously
Waived Fees and Fees Paid
Indirectly).......................... 0.84%(D) 0.91%(D) 1.37%(B)(D)(E)
Ratio of Net Investment Income to Average
Net Assets.............................. 2.97% 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.
131
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
Oct. 31,
2012
-----------------------
Net Asset Value, Beginning of Period........................... $ 10.00
-------
Income From Investment Operations
---------------------------------
Net Investment Income (Loss)(A)............................. 0.22
Net Gains (Losses) on Securities (Realized and Unrealized).. 0.87
-------
Total From Investment Operations........................ 1.09
-------
Less Distributions
------------------
Net Investment Income....................................... (0.22)
Net Realized Gains.......................................... --
-------
Total Distributions..................................... (0.22)
-------
Net Asset Value, End of Period................................. $ 10.87
=======
Total Return................................................... 11.11%(C)
-------
Net Assets, End of Period (thousands).......................... $34,950
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)..................................................... 1.00%(B)(E)
Ratio of Net Investment Income to Average Net Assets........... 2.13%(B)(E)
Portfolio Turnover Rate........................................ N/A
--------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
132
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Portfolio
---------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period.. $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income
(Loss)(A)........................ 0.55 0.61 0.48 0.42 0.70 0.64
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 0.37 (2.53) 6.07 8.42 (16.85) 9.88
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations................... 0.92 (1.92) 6.55 8.84 (16.15) 10.52
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income.............. (0.50) (0.53) (0.46) (0.41) (0.69) (0.53)
Net Realized Gains................. (1.04) (1.77) (0.42) (0.25) (1.34) (0.16)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (1.54) (2.30) (0.88) (0.66) (2.03) (0.69)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period........ $ 26.06 $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23
========== ========== ========== ========== ========== ==========
Total Return.......................... 4.08% (6.82)% 26.53% 53.39% (48.37)%(C) 42.08%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands) $2,797,177 $2,313,035 $2,372,498 $1,966,288 $1,508,260 $3,388,442
Ratio of Expenses to Average Net
Assets(D)........................... 0.61% 0.61% 0.60% 0.62% 0.60%(B) 0.60%
Ratio of Net Investment Income to
Average Net Assets.................. 2.14% 2.07% 1.76% 2.15% 2.59%(B) 2.12%
---------- ---------- ---------- ---------- ---------- ----------
Emerging Markets Small Cap Portfolio
-------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- -------- ----------
Net Asset Value, Beginning of Period.. $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96
---------- ---------- ---------- ---------- -------- ----------
Income From Investment Operations
Net Investment Income
(Loss)(A)........................ 0.40 0.42 0.34 0.26 0.44 0.31
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 0.83 (3.67) 6.79 8.14 (12.95) 6.86
---------- ---------- ---------- ---------- -------- ----------
Total From Investment
Operations................... 1.23 (3.25) 7.13 8.40 (12.51) 7.17
---------- ---------- ---------- ---------- -------- ----------
Less Distributions
Net Investment Income.............. (0.35) (0.40) (0.32) (0.28) (0.41) (0.26)
Net Realized Gains................. (0.40) (0.76) -- -- (1.49) (1.13)
---------- ---------- ---------- ---------- -------- ----------
Total Distributions............ (0.75) (1.16) (0.32) (0.28) (1.90) (1.39)
---------- ---------- ---------- ---------- -------- ----------
Net Asset Value, End of Period........ $ 20.33 $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74
========== ========== ========== ========== ======== ==========
Total Return.......................... 6.71% (14.03)% 41.33% 91.35% (57.00)%(C) 42.58%
---------- ---------- ---------- ---------- -------- ----------
Net Assets, End of Period (thousands) $2,907,673 $1,832,745 $1,833,038 $1,133,958 $547,329 $1,458,152
Ratio of Expenses to Average Net
Assets(D)........................... 0.82% 0.79% 0.78% 0.80% 0.77%(B) 0.78%
Ratio of Net Investment Income to
Average Net Assets.................. 2.01% 1.86% 1.70% 2.05% 2.61%(B) 1.48%
---------- ---------- ---------- ---------- -------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
133
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Class R2 Shares +
------------------------------------------------
Year Year Year Year Period
Ended Ended Ended Ended Jan. 29, 2008(a)
Oct. 31, Oct. 31, Oct. 31, Oct. 31, to
2012 2011 2010 2009 Oct. 31, 2008
-------- -------- -------- -------- ----------------
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)....................... 0.50 0.20 0.56 0.56 3.93
Net Gains (Losses) on Securities
(Realizedand Unrealized)........ (0.45) (5.45) 9.18 21.36 (92.36)
------- ------- ------- ------- -------
Total from Investment
Operations...................... 0.05 (5.25) 9.74 21.92 (88.43)
------- ------- ------- ------- -------
Less Distributions
------------------
Net Investment Income............. (0.47) (0.45) (7.12) (6.00) (13.49)
Net Realized Gains................ (0.39) (1.63) (13.11) (54.52) --
------- ------- ------- ------- -------
Total Distributions........... (0.86) (2.08) (20.23) (60.52) (13.49)
------- ------- ------- ------- -------
Net Asset Value, End of Period....... $ 28.21 $ 29.02 $ 36.35 $ 46.83 $ 85.43
======= ======= ======= ======= =======
Total Return......................... 0.43% (15.24)% 29.71% 78.29% (50.51)%(C)
------- ------- ------- ------- -------
Net Assets, End of Period
(thousands)........................ $99,111 $78,157 $39,668 $ 5,082 $ 1,799
Ratio of Expenses to Average Net
Assets (D)......................... 0.86% 0.86% 0.86% 0.90% 0.92%(B)(E)
Ratio of Net Investment Income to
Average Net Assets................. 1.78% 1.56% 1.39% 1.39% 3.35%(B)(E)
Emerging Markets Value Portfolio-Institutional Class Shares
------------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1,
Ended Ended Ended Ended 2007 to Year Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
----------- ----------- ----------- ---------- ---------- ----------
Net Asset Value, Beginning of Period. $ 29.02 $ 36.27 $ 28.90 $ 19.36 $ 45.85 $ 31.26
----------- ----------- ----------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss)(A)....................... 0.57 0.64 0.45 0.38 0.98 0.78
Net Gains (Losses) on Securities
(Realizedand Unrealized)........ (0.44) (5.72) 8.01 12.41 (25.48) 14.82
----------- ----------- ----------- ---------- ---------- ----------
Total from Investment
Operations...................... 0.13 (5.08) 8.46 12.79 (24.50) 15.60
----------- ----------- ----------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income............. (0.54) (0.54) (0.39) (0.34) (1.00) (0.63)
Net Realized Gains................ (0.39) (1.63) (0.70) (2.91) (0.99) (0.38)
----------- ----------- ----------- ---------- ---------- ----------
Total Distributions........... (0.93) (2.17) (1.09) (3.25) (1.99) (1.01)
----------- ----------- ----------- ---------- ---------- ----------
Net Asset Value, End of Period....... $ 28.22 $ 29.02 $ 36.27 $ 28.90 $ 19.36 $ 45.85
=========== =========== =========== ========== ========== ==========
Total Return......................... 0.70% (14.84)% 30.04% 78.59% (55.65)%(C) 50.98%
----------- ----------- ----------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)........................ $16,589,619 $13,730,213 $11,542,870 $7,401,266 $3,735,580 $7,485,802
Ratio of Expenses to Average Net
Assets (D)......................... 0.61% 0.61% 0.60% 0.62% 0.60%(B) 0.60%
Ratio of Net Investment Income to
Average Net Assets................. 2.03% 1.88% 1.40% 1.76% 2.82%(B) 2.00%
--------
+ 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.
134
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Core Equity Portfolio
---------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period............... $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income (Loss)(A)................. 0.41 0.43 0.30 0.25 0.43 0.35
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 0.23 (2.65) 4.81 6.56 (11.27) 6.10
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations............ 0.64 (2.22) 5.11 6.81 (10.84) 6.45
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income........................... (0.37) (0.36) (0.29) (0.20) (0.40) (0.32)
Net Realized Gains.............................. -- -- -- -- (0.08) (0.06)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......................... (0.37) (0.36) (0.29) (0.20) (0.48) (0.38)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period..................... $ 19.00 $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20
========== ========== ========== ========== ========== ==========
Total Return....................................... 3.55% (10.59)% 31.30% 69.47% (51.93)%(C) 43.20%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands).............. $8,594,707 $5,367,473 $4,179,882 $2,455,035 $1,155,526 $1,829,466
Ratio of Expenses to Average Net Assets............ 0.68% 0.67% 0.65% 0.67% 0.65%(B) 0.65%
Ratio of Expenses to Average Net Assets
(Excluding Waiversand Assumption of Expenses
and/or Recovery of Previously Waived Fees and
Fees Paid Indirectly)............................ 0.68% 0.68% 0.65% 0.67% 0.65%(B) 0.65%
Ratio of Net Investment Income to Average Net
Assets........................................... 2.18% 2.04% 1.63% 2.03% 2.62%(B) 1.87%
Portfolio Turnover Rate............................ 1% 1% 4% 6% 3%(C) 2%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
135
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of sixty-seven
operational portfolios, of which twenty-seven (the "Portfolios") are included
in this section of the report. The remaining operational portfolios 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 10/31/12
------------ --------------------------------------------------- -----------
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 78%
Japanese Small Company Portfolio The Japanese Small Company Series 17%
Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 24%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2%
Continental Small Company Portfolio The Continental Small Company Series 5%
Emerging Markets Portfolio The Emerging Markets Series 96%
Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 99%
Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 98%
Fund of Funds
-------------
International Small Company Portfolio The Japanese Small Company Series 83%
The Asia Pacific Small Company Series 76%
The United Kingdom Small Company Series 98%
The Continental Small Company Series 95%
The Canadian Small Company Series 100%
DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 21%
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
136
Portfolio, World ex U.S. Value Portfolio and Selectively Hedged Global Equity
Portfolio also invest in short-term temporary cash investments. In addition,
Selectively Hedged Global Equity Portfolio engages in futures and forward
currency contracts.
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 fund is a result of the treatment of a partnership
for book purposes. The Series/Portfolio will maintain its books and records and
present its financial statements in accordance with generally accepted
accounting principles for investment partnerships.
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)
137
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 Dimensional Fund Advisors LP)
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. These securities
are generally categorized as Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 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.
138
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy. Over the counter derivative contracts, which include forward
currency contracts, do not require material subjectivity as pricing inputs are
observed from 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 had no material transfers between Level 1 and Level 2 during
the year ended October 31, 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/Trustee" 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/Trustees may defer payment of all or a portion of their total fees
earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/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 Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first
139
deferral election. If a Director/Trustee who elects to defer fees fails to
designate in the Notice a time or date as of which payment of the
Director's/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 Director/Trustee ceases to be a member of the Board (unless
the Director/Trustee files an amended Notice selecting a different distribution
date). As of October 31, 2012, none of the Directors/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/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, generally based on average net
assets.
Class R1 Shares, Class R2 Shares and Institutional Class Shares have equal
rights to assets and earnings of a Portfolio. Income, gains and losses, and
common expenses of a 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:
The Advisor, Dimensional Fund Advisors LP, 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, and other administrative services.
For the year ended October 31, 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%
140
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**............. 0.21%
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**...... 0.29%
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%
** The investment advisory fee has been adjusted to reflect the actual fee paid
by the Portfolios for the year ended October 31, 2012 as a result of a
decrease in the investment advisory fees for DFA Real Estate Securities
Portfolio and DFA Global Real Estate Securities Portfolio from 0.30% to
0.17%, and 0.35% to 0.27%, respectively effective February 28, 2012.
For the year ended October 31, 2012, the Feeder Funds' and the 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's
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.
141
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 year ended October 31, 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
of Fees/
Previously Expenses
Waived Assumed
Expense Fees/ Subject to
Limitation Expenses Future
Institutional Class Shares Amount 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% -- $ 321
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% -- 34
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% -- 6,990
International Vector Equity Portfolio (2).............. 0.60% -- --
World ex U.S. Value Portfolio (9)...................... 0.60% -- 289
Selectively Hedged Global Equity Portfolio (10)........ 0.40% -- 150
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)
("Portfolio 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
142
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 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'
143
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.
(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 their
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of the Portfolios' custody expenses. Custody expense in
144
the accompanying financial statements is presented before reduction for
credits. During the year ended October 31, 2012, expenses reduced were as
follows (amounts in thousands):
Fees Paid
Indirectly
----------
Large Cap International Portfolio.................. $ 8
International Core Equity Portfolio................ 25
DFA International Real Estate Securities Portfolio. 9
DFA International Small Cap Value Portfolio........ 38
International Vector Equity Portfolio.............. 3
Emerging Markets Core Equity Portfolio............. 97
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the year ended October 31, 2012, the total
related amounts paid by the Fund to the CCO were $234 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. Deferred Compensation:
At October 31, 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.................... 205
U.S. Targeted Value Portfolio..................... 53
U.S. Small Cap Value Portfolio.................... 200
U.S. Core Equity 1 Portfolio...................... 73
U.S. Core Equity 2 Portfolio...................... 130
U.S. Vector Equity Portfolio...................... 41
U.S. Small Cap Portfolio.......................... 90
U.S. Micro Cap Portfolio.......................... 102
DFA Real Estate Securities Portfolio.............. 69
Large Cap International Portfolio................. 47
International Core Equity Portfolio............... 120
International Small Company Portfolio............. 142
Japanese Small Company Portfolio.................. 5
Asia Pacific Small Company Portfolio.............. 3
United Kingdom Small Company Portfolio............ 1
Continental Small Company Portfolio............... 4
DFA International Real Estate Securities Portfolio 23
DFA Global Real Estate Securities Portfolio....... 13
DFA International Small Cap Value Portfolio....... 220
International Vector Equity Portfolio............. 8
World ex U.S. Value Portfolio..................... --
Selectively Hedged Global Equity Portfolio........ --
Emerging Markets Portfolio........................ 65
Emerging Markets Small Cap Portfolio.............. 37
Emerging Markets Value Portfolio.................. 246
Emerging Markets Core Equity Portfolio............ 91
145
E. Purchases and Sales of Securities:
For the year ended October 31, 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 $ 30,470 $31,289 $ 129,078 $ 93,432
U.S. Targeted Value Portfolio........ -- -- 700,680 568,136
U.S. Small Cap Value Portfolio....... -- -- 1,009,884 1,408,766
U.S. Core Equity 1 Portfolio......... -- -- 777,696 149,154
U.S. Core Equity 2 Portfolio......... -- -- 614,037 323,458
U.S. Vector Equity Portfolio......... -- -- 169,789 259,744
U.S. Small Cap Portfolio............. -- -- 934,088 650,227
U.S. Micro Cap Portfolio............. -- -- 503,779 722,201
DFA Real Estate Securities Portfolio. -- -- 291,548 1,945
Large Cap International Portfolio.... -- -- 362,935 67,624
International Core Equity Portfolio.. -- -- 1,220,075 272,785
DFA International Real Estate
Securities Portfolio............... -- -- 311,637 41,432
DFA International Small Cap Value
Portfolio.......................... -- -- 2,041,806 1,382,840
International Vector Equity Portfolio -- -- 159,914 26,835
Emerging Markets Core Equity
Portfolio.......................... -- -- 3,141,187 101,178
For the year ended October 31, 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 Dividend Distributions of
10/31/2011 10/31/2012 Purchases Sales Income Realized Gains
Affiliated Investment Companies ---------- ---------- --------- ------- -------- ----------------
DFA Real Estate Securities Portfolio............... $ 520,990 $ 777,963 $ 203,609 $ 9,377 $ 19,056 --
DFA International Real Estate Securities Portfolio. 346,939 531,474 117,734 5,823 17,980 --
World ex U.S. Value Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Company 10/31/2011 10/31/2012 Purchases Sales Income Realized Gains
DFA International Small Cap Value Portfolio........ $ 3,724 $ 4,703 $ 1,070 $ 266 $ 50 $80
Selectively Hedged Global Equity Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
10/31/2011 10/31/2012 Purchases Sales Income Realized Gains
Affiliated Investment Companies ---------- ---------- --------- ------- -------- ----------------
U.S. Core Equity 2 Portfolio....................... -- 14,297 $ 14,431 $ 1,451 $ 157 --
International Core Equity Portfolio................ -- 12,942 13,834 1,616 291 --
Emerging Markets Core Equity Portfolio............. -- 6,554 6,915 601 96 --
146
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, 2012, 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,
distributions received from real estate investment trusts, 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..................... -- $ 1,418 $ (1,418)
U.S. Large Cap Value Portfolio.. -- -- --
U.S. Targeted Value Portfolio... $14,816 (1,983) (12,833)
U.S. Small Cap Value Portfolio.. 38,929 (4,198) (34,731)
U.S. Core Equity 1 Portfolio.... 3,210 (3,210) --
U.S. Core Equity 2 Portfolio.... 5,891 (3,883) (2,008)
U.S. Vector Equity Portfolio.... 2,907 (2,567) (340)
U.S. Small Cap Portfolio........ 16,124 (2,807) (13,317)
U.S. Micro Cap Portfolio........ 17,306 (2,586) (14,720)
DFA Real Estate Securities
Portfolio..................... (4,553) 30,065 (25,512)
Large Cap International
Portfolio..................... -- 168 (168)
International Core Equity
Portfolio..................... 3,294 6,514 (9,808)
International Small Company
Portfolio..................... 7,038 8,475 (15,513)
Japanese Small Company Portfolio (3,801) 156 3,645
Asia Pacific Small Company
Portfolio..................... -- 1,613 (1,613)
United Kingdom Small Company
Portfolio..................... -- 6 (6)
Continental Small Company
Portfolio..................... -- 143 (143)
DFA International Real Estate
Securities Portfolio.......... 6,163 (5,018) (1,145)
DFA Global Real Estate
Securities Portfolio.......... 333 (333) --
DFA International Small Cap
Value Portfolio............... 12,583 3,318 (15,901)
International Vector Equity
Portfolio..................... 603 261 (864)
World ex U.S. Value Portfolio... -- (2) 2
Selectively Hedged Global
Equity Portfolio.............. (2) 164 (162)
Emerging Markets Portfolio...... 3,533 (2,668) (865)
Emerging Markets Small Cap
Portfolio..................... 4,566 (1,171) (3,395)
Emerging Markets Value Portfolio 26,372 (14,251) (12,121)
Emerging Markets Core Equity
Portfolio..................... 3,513 (4,796) 1,283
147
The tax character of dividends and distributions declared and paid during
the year ended October 31, 2011 and the year ended October 31, 2012 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
2011.................................. $ 270 -- $ 270
2012.................................. 2,785 -- 2,785
U.S. Large Cap Value Portfolio
2011.................................. 117,051 -- 117,051
2012.................................. 150,153 -- 150,153
U.S. Targeted Value Portfolio
2011.................................. 19,648 $ 6,119 25,767
2012.................................. 27,304 31,976 59,280
U.S. Small Cap Value Portfolio
2011.................................. 47,016 11,920 58,936
2012.................................. 56,139 122,752 178,891
U.S. Core Equity 1 Portfolio
2011.................................. 49,822 -- 49,822
2012.................................. 76,278 -- 76,278
U.S. Core Equity 2 Portfolio
2011.................................. 84,798 -- 84,798
2012.................................. 103,512 2,008 105,520
U.S. Vector Equity Portfolio
2011.................................. 19,719 -- 19,719
2012.................................. 29,237 337 29,574
U.S. Small Cap Portfolio
2011.................................. 36,302 2,974 39,276
2012.................................. 44,580 14,276 58,856
U.S. Micro Cap Portfolio
2011.................................. 23,667 -- 23,667
2012.................................. 33,018 14,720 47,738
DFA Real Estate Securities Portfolio
2011.................................. 40,246 -- 40,246
2012.................................. 103,653 -- 103,653
Large Cap International Portfolio
2011.................................. 54,107 -- 54,107
2012.................................. 60,808 -- 60,808
International Core Equity Portfolio
2011.................................. 165,946 -- 165,946
2012.................................. 179,492 -- 179,492
148
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
International Small Company Portfolio
2011................................... $188,546 $ 5,851 $194,397
2012................................... 169,495 110,049 279,544
Japanese Small Company Portfolio
2011................................... 2,305 -- 2,305
2012................................... 4,541 -- 4,541
Asia Pacific Small Company Portfolio
2011................................... 6,964 -- 6,964
2012................................... 9,333 -- 9,333
United Kingdom Small Company Portfolio
2011................................... 1,071 -- 1,071
2012................................... 992 -- 992
Continental Small Company Portfolio
2011................................... 3,562 -- 3,562
2012................................... 2,958 -- 2,958
DFA International Real Estate
Securities Portfolio
2011................................... 107,338 -- 107,338
2012................................... 60,194 -- 60,194
DFA Global Real Estate Securities
Portfolio
2011................................... 41,782 -- 41,782
2012................................... 26,050 -- 26,050
DFA International Small Cap Value
Portfolio
2011................................... 190,869 143,816 334,685
2012................................... 206,370 131,063 337,433
International Vector Equity Portfolio
2011................................... 12,224 2,659 14,883
2012................................... 14,733 6,546 21,279
World ex U.S. Value Portfolio
2011................................... 1,025 195 1,220
2012................................... 1,438 -- 1,438
Selectively Hedged Global Equity
Portfolio
2012................................... 534 -- 534
Emerging Markets Portfolio
2011................................... 45,589 141,595 187,184
2012................................... 51,664 91,664 143,328
Emerging Markets Small Cap Portfolio
2011................................... 36,754 61,095 97,849
2012................................... 42,163 40,014 82,177
149
Net Investment
Income and Short-Term Long-Term
Capital Gains Capital Gains Total
--------------------- ------------- ----------
Emerging Markets Value Portfolio
2011................................... $ 302,552 $ 486,583 $ 789,135
2012................................... 300,146 202,987 503,133
Emerging Markets Core Equity Portfolio
2011................................... 89,989 -- 89,989
2012................................... 143,349 -- 143,349
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, 2012, 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...................... $ 2,730 $12,108 $ 14,838
U.S. Small Cap Value Portfolio..................... 5,603 33,373 38,976
U.S. Core Equity 1 Portfolio....................... 3,212 -- 3,212
U.S. Core Equity 2 Portfolio....................... 3,889 2,008 5,897
U.S. Vector Equity Portfolio....................... 2,572 337 2,909
U.S. Small Cap Portfolio........................... 3,324 14,276 17,600
U.S. Micro Cap Portfolio........................... 2,595 14,720 17,315
DFA Real Estate Securities Portfolio............... 3,870 -- 3,870
International Core Equity Portfolio................ 3,294 -- 3,294
International Small Company Portfolio.............. 5,610 1,428 7,038
DFA International Real Estate Securities Portfolio. 6,164 -- 6,164
DFA Global Real Estate Securities Portfolio........ 334 -- 334
DFA International Small Cap Value Portfolio........ 7,741 4,842 12,583
International Vector Equity Portfolio.............. 529 73 602
Emerging Markets Portfolio......................... 2,219 1,313 3,532
Emerging Markets Small Cap Portfolio............... 1,663 2,902 4,565
Emerging Markets Value Portfolio................... 12,592 13,781 26,373
Emerging Markets Core Equity Portfolio............. 3,512 -- 3,512
At October 31, 2012, 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 Carry forward Losses)
-------------- ------------- ------------- -------------
Enhanced U.S. Large Company Portfolio. $ 829 -- $ (46,941) $ (46,112)
U.S. Large Cap Value Portfolio........ 25,672 -- (1,332,489) (1,306,817)
U.S. Targeted Value Portfolio......... 15,300 $162,041 -- 177,341
150
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Capital Earnings
Short-Term Long-Term Loss (Accumulated
Capital Gains Capital Gains Carry forward Losses)
-------------- ------------- ------------- -------------
U.S. Small Cap Value Portfolio..................... $ 19,961 $ 380,033 -- $ 399,994
U.S. Core Equity 1 Portfolio....................... 10,765 -- $ (13,834) (3,069)
U.S. Core Equity 2 Portfolio....................... 16,557 55,731 -- 72,288
U.S. Vector Equity Portfolio....................... 2,760 3,354 -- 6,114
U.S. Small Cap Portfolio........................... 14,498 228,599 -- 243,097
U.S. Micro Cap Portfolio........................... 5,022 176,210 -- 181,232
DFA Real Estate Securities Portfolio............... 23,668 -- (206,280) (182,612)
Large Cap International Portfolio.................. 11,172 -- (200,200) (189,028)
International Core Equity Portfolio................ 30,479 -- (102,483) (72,004)
International Small Company Portfolio.............. 41,410 38,970 -- 80,380
Japanese Small Company Portfolio................... 2,654 -- (73,701) (71,047)
Asia Pacific Small Company Portfolio............... 6,418 -- (24,578) (18,160)
United Kingdom Small Company Portfolio............. 285 -- (2,141) (1,856)
Continental Small Company Portfolio................ 398 -- (28,845) (28,447)
DFA International Real Estate Securities Portfolio. 169,177 -- (180,698) (11,521)
DFA Global Real Estate Securities Portfolio........ 11,635 -- (1,115) 10,520
DFA International Small Cap Value Portfolio........ 49,165 116,761 -- 165,926
International Vector Equity Portfolio.............. 2,688 2,006 -- 4,694
World ex U.S. Value Portfolio...................... 391 -- (5,842) (5,451)
Selectively Hedged Global Equity Portfolio......... 113 56 -- 169
Emerging Markets Portfolio......................... 8,397 30,480 -- 38,877
Emerging Markets Small Cap Portfolio............... 20,186 92,087 -- 112,273
Emerging Markets Value Portfolio................... 80,287 344,510 -- 424,797
Emerging Markets Core Equity Portfolio............. 33,354 -- (41,205) (7,851)
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.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2012, the
following Portfolios had capital loss carryforwards available to offset future
realized capital gains through the indicated expiration dates (amounts in
thousands):
2013 2014 2015 2016 2017 2018 2019 Unlimited Total
------ ------ ------ ------- ---------- ------- ------- --------- ----------
Enhanced U.S. Large Company
Portfolio....................... -- -- -- $46,941 -- -- -- -- $ 46,941
U.S. Large Cap Value Portfolio.... -- -- -- -- $1,332,489 -- -- -- 1,332,489
U.S. Core Equity 1 Portfolio...... -- -- -- -- 13,834 -- -- -- 13,834
DFA Real Estate Securities
Portfolio....................... -- -- -- 72,400 62,969 $44,388 $26,523 -- 206,280
Large Cap International
Portfolio....................... -- -- -- 19,004 135,393 14,311 12,549 $18,943 200,200
International Core Equity
Portfolio....................... -- -- -- -- 53,177 -- -- 49,306 102,483
Japanese Small Company
Portfolio....................... $3,055 $2,451 $8,004 23,057 13,952 12,208 5,543 5,431 73,701
Asia Pacific Small Company
Portfolio....................... -- -- -- 16,317 8,261 -- -- -- 24,578
United Kingdom Small Company
Portfolio....................... -- -- -- -- 1,867 -- -- 274 2,141
Continental Small Company
Portfolio....................... -- -- -- 13,544 7,224 5,252 -- 2,825 28,845
DFA International Real Estate
Securities
Portfolio......................... -- -- 46 13,446 34,576 38,689 69,466 24,475 180,698
DFA Global Real Estate Securities
Portfolio....................... -- -- -- -- -- 1,091 -- 24 1,115
World ex U.S. Value Portfolio..... -- -- -- -- -- -- 5,842 -- 5,842
Emerging Markets Core Equity
Portfolio....................... -- -- -- 7,080 26,445 -- -- 7,680 41,205
151
During the year ended October 31, 2012, the following Portfolios utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes (amounts in thousands):
Enhanced U.S. Large Company Portfolio. $ 24,140
U.S. Large Cap Value Portfolio........ 318,345
U.S. Core Equity 1 Portfolio.......... 35,374
U.S. Core Equity 2 Portfolio.......... 15,761
U.S. Vector Equity Portfolio.......... 36,502
U.S. Micro Cap Portfolio.............. 34,914
DFA Real Estate Securities Portfolio.. 9,644
Asia Pacific Small Company Portfolio.. 2,201
World ex U.S. Value Portfolio......... 146
At October 31, 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.............. $ 186,486 $ 2,903 $ (765) $ 2,138
U.S. Large Cap Value Portfolio..................... 6,140,128 2,467,500 (271,721) 2,195,779
U.S. Targeted Value Portfolio...................... 3,026,575 667,745 (239,644) 428,101
U.S. Small Cap Value Portfolio..................... 7,183,358 1,842,772 (1,069,174) 773,598
U.S. Core Equity 1 Portfolio....................... 4,847,550 1,068,416 (319,250) 749,166
U.S. Core Equity 2 Portfolio....................... 6,886,186 1,646,567 (655,798) 990,769
U.S. Vector Equity Portfolio....................... 2,050,758 486,177 (243,659) 242,518
U.S. Small Cap Portfolio........................... 4,877,786 1,157,715 (527,342) 630,373
U.S. Micro Cap Portfolio........................... 3,406,639 1,090,293 (597,410) 492,883
DFA Real Estate Securities Portfolio............... 3,265,231 1,218,798 (217,008) 1,001,790
Large Cap International Portfolio.................. 2,174,307 444,225 (303,931) 140,294
International Core Equity Portfolio................ 7,518,294 944,964 (1,231,408) (286,444)
International Small Company Portfolio.............. 6,375,771 1,299,558 (1,248,452) 51,106
Japanese Small Company Portfolio................... 367,232 76,200 (149,345) (73,145)
Asia Pacific Small Company Portfolio............... 231,922 77,591 (71,231) 6,360
United Kingdom Small Company Portfolio............. 24,456 29,706 (22,840) 6,866
Continental Small Company Portfolio................ 109,207 80,760 (83,614) (2,854)
DFA International Real Estate Securities Portfolio 1,753,188 31,604 (118,544) (86,940)
DFA Global Real Estate Securities Portfolio........ 1,035,537 305,845 (29,777) 276,068
DFA International Small Cap Value Portfolio........ 9,781,836 1,487,653 (2,230,461) (742,808)
International Vector Equity Portfolio.............. 572,687 108,890 (61,389) 47,501
World ex U.S. Value Portfolio...................... 55,484 2,720 (991) 1,729
Selectively Hedged Global Equity Portfolio......... 32,594 2,557 (278) 2,279
Emerging Markets Portfolio......................... 1,811,436 1,146,786 (159,966) 986,820
Emerging Markets Small Cap Portfolio............... 2,623,683 604,775 (319,549) 285,226
Emerging Markets Value Portfolio................... 17,049,862 2,580,395 (2,935,153) (354,758)
Emerging Markets Core Equity Portfolio............. 8,662,464 1,523,526 (889,270) 634,256
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
152
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 Portfolio's financial statements. No Portfolio is aware of any
tax positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each of the Portfolio's 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 U.S. Micro Cap
Portfolio, U.S. Small Cap Value Portfolio and U.S. Small Cap Portfolio,
respectively) (the "Portfolios"), having 100% investment in their respective
master fund, 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 Internal Revenue Code (the "IRC")
(S)337(a), each of the master funds recognized no gain or loss and, pursuant to
IRC (S)332(a), each of the Portfolios recognized no gain or loss on the deemed
liquidation. However, pursuant to IRC (S)332 (c), each of the aforementioned
Portfolios recognized the master fund's deemed dividend, which was distributed
as part of the deemed liquidating distribution, as taxable income. Pursuant to
IRC (S)334(b)(1) and (S)1223, each of the Portfolios maintained 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 (S)336(a), the master fund recognized a loss as if the master
fund's investment securities were sold to its shareholders and, pursuant to IRC
(S)331, each of the Portfolios recognized a gain as if it liquidated its
investment in the master fund. For tax purposes, pursuant to IRC (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 with the Enhanced U.S. Large Company
Portfolio having 100% investment in the respective master fund, made a
"Check-the-box" election for federal income tax purposes pursuant to Treasury
Regulation (S)301.7701-3, to change the Series' federal entity classification
from a corporation taxable as a regulated investment company to a disregarded
entity. As a result of this election for tax purposes, the master fund is
deemed to have liquidated and distributed all of its assets and liabilities to
its owner, the Portfolio, with the Portfolio deemed the surviving entity. The
final tax year end of the master fund was October 31, 2008. For Federal income
tax purposes, pursuant to IRC (S)337(a), the master fund did not recognize any
gain or loss and, pursuant to IRC (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 recognized the master fund's deemed dividend, which was
distributed as part of the deemed liquidating distribution, as taxable income.
Pursuant to IRC (S)334(b)(1) and (S)1223, the Portfolio maintained its
respective master fund's holding period and tax basis in the assets deemed
transferred to the 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 its federal entity
153
classification from a corporation taxable as a regulated investment company to
a partnership. DEM II will maintain its books and records and present its
financial statements in accordance with generally accepted accounting
principles 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 had a shareholder owning 80% or more of the fund's shares, and
also had shareholders owning less than 80%, the transaction created a
non-taxable transaction, pursuant to IRC (S)332, for those owning more than
80%, and a taxable transaction, pursuant to IRC (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 IRC (S)336(a), the master fund
recognized gain or loss relative to the investment of the less than 80%
shareholders as if the master fund's investment securities were sold to those
shareholders and, pursuant to IRC (S)331, each of those shareholders recognized
gain or loss as if it liquidated its investment in the master. Pursuant to
IRC (S)334(a), each of these shareholders 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. In regards to the
shareholder owning 80% or more of the master fund, pursuant to IRC (S)332(a),
the shareholder did not recognize any gain or loss on the deemed liquidation.
However, pursuant to IRC (S)332(c), a portion of the deemed distribution, which
otherwise would have been tax-free as discussed above, since it was utilized by
the master fund to satisfy its dividends paid deduction for the tax year, had
to be recognized and treated as a dividend by the 80% or greater shareholder.
Pursuant to IRC (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 fund. 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.
154
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Year Year
Ended Ended
Oct. 31, 2012 Oct. 31, 2011
-------------------- --------------------
Amount Shares Amount Shares
----------- ------- ----------- -------
U.S. Targeted Value Portfolio
Class R1 Shares
Shares Issued..................................... $ 5,787 353 $ 9,612 586
Shares Issued in Lieu of Cash Distributions....... 730 48 362 23
Shares Redeemed................................... (7,953) (486) (7,533) (462)
Shares Reduced by Reverse Stock Split............. -- -- -- (2)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R1 Shares............ $ (1,436) (85) $ 2,441 145
=========== ======= =========== =======
Class R2 Shares
Shares Issued..................................... $ 4,727 288 $ 9,524 636
Shares Issued in Lieu of Cash Distributions....... 162 11 56 4
Shares Redeemed................................... (4,413) (273) (5,191) (324)
Shares Reduced by Reverse Stock Split............. -- -- -- (7)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 476 26 $ 4,389 309
=========== ======= =========== =======
Institutional Class Shares
Shares Issued..................................... $ 772,443 47,901 $ 905,224 55,728
Shares Issued in Lieu of Cash Distributions....... 39,875 2,618 20,970 1,322
Shares Redeemed................................... (649,785) (39,847) (731,188) (45,320)
----------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 162,533 10,672 $ 195,006 11,730
=========== ======= =========== =======
Emerging Markets Value Portfolio
Class R2 Shares
Shares Issued..................................... $ 61,477 2,199 $ 95,176 3,360
Shares Issued in Lieu of Cash Distributions....... 2,784 106 2,336 68
Shares Redeemed................................... (40,795) (1,486) (50,507) (1,599)
Shares Reduced by Conversion of Shares............ -- -- -- (19,608)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 23,466 819 $ 47,005 (17,779)
=========== ======= =========== =======
Institutional Class Shares
Shares Issued..................................... $ 5,047,163 179,634 $ 6,396,694 187,544
Shares Issued in Lieu of Cash Distributions....... 436,347 16,644 709,030 20,853
Shares Redeemed................................... (2,278,812) (81,493) (1,754,714) (53,557)
----------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 3,204,698 114,785 $ 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
155
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 adjusted
retroactively to reflect the reverse stock splits for the respective Class R1
Shares and Class R2 Shares.
The Board of Directors of the Fund 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 had 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 from 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 October 31, 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):
156
Enhanced U.S. Large Company Portfolio*
Unrealized
Foreign
Value at Exchange
Settlement Currency Contract October 31, Gain
Date Amount** Currency Amount 2012 (Loss)
---------- -------- ------------------ -------- ----------- ----------
11/29/12 (8,956) Canadian Dollars $ (9,032) $ (8,962) $ 70
12/04/12 (32,449) Euro (40,826) (42,071) (1,245)
12/04/12 (3,232) Euro (4,216) (4,190) 26
11/30/12 (2,638) UK Pound Sterling (4,225) (4,257) (32)
-------- -------- -------
$(58,299) $(59,480) $(1,181)
======== ======== =======
Selectively Hedged Global Equity Portfolio*
Unrealized
Foreign
Value at Exchange
Settlement Currency Contract October 31, Gain
Date Amount** Currency Amount 2012 (Loss)
---------- -------- ------------------ -------- ----------- ----------
01/03/13 (704) Danish Kroner $ (123) $ (123) --
11/05/12 (2,060) Euro (2,557) (2,670) $(113)
11/05/12 2,060 Euro 2,672 2,672 --
12/21/12 (2,205) Euro (2,861) (2,861) --
12/06/12 (7,135) Hong Kong Dollars (920) (921) (1)
12/06/12 7,135 Hong Kong Dollars 921 921 --
11/05/12 (169,889) Japanese Yen (2,175) (2,128) 47
11/05/12 169,889 Japanese Yen 2,127 2,127 --
12/21/12 (174,983) Japanese Yen (2,192) (2,192) --
11/05/12 (696) Swiss Francs (720) (747) (27)
11/05/12 696 Swiss Francs 748 748 --
12/21/12 (719) Swiss Francs (773) (773) --
------- ------- -----
$(5,853) $(5,947) $ (94)
======= ======= =====
* During the year ended October 31, 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 $(45,176) and
$(4,956) (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 their 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
157
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. The Portfolios entering into stock index
futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At October 31, 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) 12/21/2012 519 $182,532 $2,826 --
Selectively Hedged Global Equity Portfolio. S&P 500 Index(R) Emini 12/21/2012 13 914 (17) $46
Securities have been segregated as collateral for open futures contracts.
* During the year ended October 31, 2012, Enhanced U.S. Large Company
Portfolio's and Selectively Hedged Global Equity Portfolio's average notional
contract amount of outstanding futures contracts were $173,800 and $798 (in
thousands), respectively.
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of October 31, 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 October 31, 2012 (amounts in
thousands):
Asset Derivatives Value
-----------------------------
Total Value at Foreign Exchange Equity
October 31, 2012 Contracts Contracts
---------------- ---------------- ---------
Enhanced U.S. Large Company
Portfolio........................ $ 2,922 $96 $2,826*
Selectively Hedged Global Equity
Portfolio........................ 30 47 (17)*
Liability Derivatives Value
-----------------------------
Total Value at Foreign Exchange Equity
October 31, 2012 Contracts Contracts
---------------- ---------------- ---------
Enhanced U.S. Large Company
Portfolio........................ $(1,277) $(1,277) --
Selectively Hedged Global Equity
Portfolio........................ (141) (141) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
158
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
Portfolios' derivative instrument holdings through the year ended October 31,
2012 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income
--------------- ---------------------------------------------------------------------------------------------
Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation
(Depreciation) of: Translation of Foreign Currency Denominated Amounts
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2012 (amounts in
thousands):
Realized Gain (Loss)
on Derivatives
Recognized in Income
-------------------------------
Foreign
Exchange Equity
Total Contracts Contracts
------- --------- ---------
Enhanced U.S. Large Company Portfolio...... $32,394 $1,826 $30,568
U.S. Targeted Value Portfolio*............. 3,336 -- 3,336
U.S. Small Cap Value Portfolio*............ 954 -- 954
U.S. Vector Equity Portfolio*.............. (850) -- (850)
U.S. Micro Cap Portfolio*.................. 385 -- 385
DFA Real Estate Securities Portfolio*...... (46) -- (46)
Selectively Hedged Global Equity Portfolio. 271 161 110
Emerging Markets Core Equity Portfolio*.... 1,190 -- 1,190
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
-------------------------------
Foreign
Exchange Equity
Total Contracts Contracts
------- --------- ---------
Enhanced U.S. Large Company Portfolio...... $(7,466) $ (880) $(6,586)
U.S. Small Cap Value Portfolio............. (536) -- (536)
Selectively Hedged Global Equity Portfolio. (111) (94) (17)
* As of October 31, 2012, there were no futures contracts outstanding. During
the year ended October 31, 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,
2013. There were no borrowings by the Portfolios under this line of credit
during the year ended October 31, 2012.
159
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 upon
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. The Fund expects to enter into a new line of
credit with substantially the same terms as its existing line of credit prior
to its expiration.
For the year ended October 31, 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...................... 0.85% $ 6,627 43 $ 7 $24,575
U.S. Small Cap Value Portfolio..................... 0.87% 6,351 51 8 30,792
U.S. Core Equity 2 Portfolio....................... 0.87% 2,328 8 -- 6,239
U.S. Vector Equity Portfolio....................... 0.85% 2,358 15 1 4,214
U.S. Small Cap Portfolio........................... 0.90% 6,755 13 2 12,219
U.S. Micro Cap Portfolio........................... 0.87% 4,146 47 5 9,570
DFA Real Estate Securities Portfolio............... 0.82% 722 7 -- 2,460
Large Cap International Portfolio.................. 0.87% 1,931 32 2 4,848
International Core Equity Portfolio................ 0.82% 15,473 22 8 33,740
International Small Company Portfolio.............. 0.88% 2,384 24 1 11,057
DFA International Real Estate Securities Portfolio. 0.83% 4,454 22 2 16,074
DFA Global Real Estate Securities Portfolio........ 0.83% 4,185 2 -- 7,895
DFA International Small Cap Value Portfolio........ 0.83% 8,844 21 4 44,344
International Vector Equity Portfolio.............. 0.85% 947 56 1 4,219
World ex U.S. Value Portfolio...................... 0.87% 124 30 -- 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 year ended October 31, 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 October 31, 2012.
J. Securities Lending:
As of October 31, 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 $189,066 (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
160
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 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, a Portfolio 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 December 2011, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" requiring disclosure of both gross and net information related to
offsetting and related arrangements enabling users of its financial statements
to understand the effect of those arrangements on the entity's financial
position. The objective of this disclosure is to facilitate comparison between
those entities that prepare their financial statements on the basis of U.S.
Generally Accepted Accounting Principles and those entities that prepare their
financial statements on the basis of International Financial Reporting
Standards. ASU No. 2011-11 is effective for interim and annual periods
beginning on or after January 1, 2013. Management is evaluating any impact ASU
No. 2011-11 may have on the financial statements.
161
O. Other:
At October 31, 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................ 3 76%
U.S. Large Cap Value Portfolio -- Institutional Class Shares....................... 3 76%
U.S. Targeted Value Portfolio -- Class R1 Shares................................... 1 93%
U.S. Targeted Value Portfolio -- Class R2 Shares................................... 2 57%
U.S. Targeted Value Portfolio -- Institutional Class Shares........................ 2 54%
U.S. Small Cap Value Portfolio -- Institutional Class Shares....................... 2 51%
U.S. Core Equity 1 Portfolio -- Institutional Class Shares......................... 3 67%
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 51%
U.S. Micro Cap Portfolio -- Institutional Class Shares............................. 3 65%
DFA Real Estate Securities Portfolio -- Institutional Class Shares................. 3 75%
Large Cap International Portfolio -- Institutional Class Shares.................... 2 65%
International Core Equity Portfolio -- Institutional Class Shares.................. 2 58%
International Small Company Portfolio -- Institutional Class Shares................ 2 44%
Japanese Small Company Portfolio -- Institutional Class Shares..................... 1 68%
Asia Pacific Small Company Portfolio -- Institutional Class Shares................. 2 79%
United Kingdom Small Company Portfolio -- Institutional Class Shares............... 2 85%
Continental Small Company Portfolio -- Institutional Class Shares.................. 4 92%
DFA International Real Estate Securities Portfolio -- Institutional Class Shares .. 3 82%
DFA Global Real Estate Securities Portfolio -- Institutional Class Shares.......... 3 90%
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 87%
Emerging Markets Portfolio -- Institutional Class Shares........................... 3 67%
Emerging Markets Small Cap Portfolio -- Institutional Class Shares................. 2 37%
Emerging Markets Value Portfolio -- Class R2 Shares................................ 3 78%
Emerging Markets Value Portfolio -- Institutional Class Shares..................... 1 17%
Emerging Markets Core Equity Portfolio -- Institutional Class Shares............... 2 54%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
On November 1, 2010 a class action complaint was filed in Bankruptcy Court
in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in
this action include mutual funds, individuals, institutional investors and
others who owned shares in Tribune at the time of the 2007 leveraged buyout
transaction (the "LBO") and sold
162
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.
163
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Portfolios, as defined, and
Board of Directors of DFA Investment Dimensions Group Inc.:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments/ summary schedules of portfolio
holdings, and the related statements of operations and of changes in net assets
and the financial highlights present fairly, in all material respects, the
financial position of Enhanced U.S. Large Company Portfolio, U.S. Large Cap
Value Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio,
U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity
Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate
Securities Portfolio, Large Cap International Portfolio, International Core
Equity Portfolio, International Small Company Portfolio, Japanese Small Company
Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company
Portfolio, Continental Small Company Portfolio, DFA International Real Estate
Securities Portfolio, DFA Global Real Estate Securities Portfolio, DFA
International Small Cap Value Portfolio, International Vector Equity Portfolio,
World ex U.S. Value Portfolio, Selectively Hedged Global Equity Portfolio,
Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging
Markets Value Portfolio, and Emerging Markets Core Equity Portfolio
(constituting portfolios within DFA Investment Dimensions Group Inc., hereafter
referred to as the "Portfolios") at October 31, 2012, the results of each of
their operations, the changes in each of their net assets and the financial
highlights for each of the periods indicated, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Portfolios' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2012 by
correspondence with the custodians, brokers, and the transfer agents of the
investee funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2012
164
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHART
DFA Commodity Strategy Portfolio vs. Dow Jones-UBS Commodity Index Total Return
November 9, 2010-October 31, 2012
Dow Jones-UBS
Commodity
DFA Commodity Index Total
BeginDate EndDate FundReturns Benchmark0Returns EndDate Strategy Portfolio Return
--------- ---------- ----------- ----------------- ---------- ------------------ -------------
2010-11-09 2010-11-30 -5.20% -5.86% 11/2010 10000 10000
2010-11-30 2010-12-31 10.38% 10.69% 11/2010 9480 9414.11452
2010-12-31 2011-01-31 1.15% 1.00% 12/2010 10464.222 10420.38828
2011-01-31 2011-02-28 2.08% 1.32% 01/2011 10584.27043 10524.90582
2011-02-28 2011-03-31 1.90% 2.06% 02/2011 10804.35923 10663.6125
2011-03-31 2011-04-30 3.91% 3.46% 03/2011 11009.5018 10883.77
2011-04-30 2011-05-31 -4.81% -5.06% 04/2011 11439.87323 11260.68062
2011-05-31 2011-06-30 -5.07% -5.04% 05/2011 10889.39814 10691.09062
2011-06-30 2011-07-31 3.29% 2.96% 06/2011 10337.46641 10151.80742
2011-07-31 2011-08-31 1.03% 1.00% 07/2011 10678.04186 10452.47858
2011-08-31 2011-09-30 -14.85% -14.73% 08/2011 10788.22803 10556.85703
2011-09-30 2011-10-31 6.66% 6.62% 09/2011 9186.713807 9001.305199
2011-10-31 2011-11-30 -2.66% -2.22% 10/2011 9798.492786 9597.042182
2011-11-30 2011-12-31 -3.56% -3.75% 11/2011 9537.734535 9384.080937
2011-12-31 2012-01-31 3.06% 2.47% 12/2011 9198.539504 9032.374967
2012-01-31 2012-02-29 2.87% 2.70% 01/2012 9480.332835 9255.733858
2012-02-29 2012-03-31 -4.02% -4.14% 02/2012 9752.062121 9505.517422
2012-03-31 2012-04-30 -0.65% -0.42% 03/2012 9359.564267 9112.317892
2012-04-30 2012-05-31 -8.66% -9.13% 04/2012 9299.17998 9073.750917
2012-05-31 2012-06-30 4.65% 5.49% 05/2012 8494.056172 8245.136891
2012-06-30 2012-07-31 6.81% 6.47% 06/2012 8888.618418 8698.040611
2012-07-31 2012-08-31 1.91% 1.30% 07/2012 9493.97268 9260.683168
2012-08-31 2012-09-30 1.70% 1.71% 08/2012 9675.578961 9380.919803
2012-09-30 2012-10-31 -3.49% -3.87% 09/2012 9840.087623 9540.916081
10/31/2012 9496.593805 9171.406896
One Year From 11/09/2010
-------- ---------------
-3.08% -2.58%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Dow Jones data provided by Dow Jones Indexes.
165
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
Commodity Market Review 12 Months Ended October 31, 2012
During the fiscal year ending, October 31, 2012, commodities produced mixed
results. The commodity market was initially driven lower through the first
seven months of the period by declining natural gas prices. A combination of a
mild winter and increased supply from improved shale drilling technology led to
natural gas spot prices in the summer of 2012 that were less than half of the
prior summer and at levels not seen in over a decade. The last four months of
the period would provide for a recovery in the commodity market driven by a
significant drought in the U.S. which reduced supply and increased prices for
soybeans, corn, and wheat.
DFA Commodity Strategy Portfolio
The DFA Commodity Strategy Portfolio seeks total return consisting of
capital appreciation and current income. The Portfolio generally invests in a
universe of allowable commodity-linked derivative instruments and fixed income
investments. The Portfolio gains exposure to commodities markets by investing
in derivative instruments, swap agreements, and other commodity-linked
instruments. The Portfolio pursues commodity exposure based on sector weights
of the Dow Jones-UBS Commodity Index Total Return (DJ-UBSCI). In pursuing the
fixed income portion of the Portfolio's investment strategy, Dimensional Fund
Advisors LP ("Dimensional" or the "Advisor") identifies a broadly-diversified
universe of eligible U.S. and foreign fixed income securities with precisely
defined maturity ranges and credit quality characteristics then seeks to
purchase a broad and diverse portfolio of securities meeting these credit
quality standards. In making these purchase decisions, if the anticipated
maturity risk premium is greater for longer-term securities in the eligible
maturity range, Dimensional will focus investment in that longer-term area;
otherwise, the Portfolio will focus investment in the short-term range of the
eligible maturity range.
For the 12 months ended October 31, 2012, the total return was -3.08% for
the Portfolio and -4.44% for the Dow Jones-UBS Commodity Index Total Return.
The Portfolio's outperformance was due to the excess return generated by the
fixed income assets.
The Portfolio gained exposure to commodities primarily through the use of
commodity swap contracts. To a lesser extent, the Portfolio gained exposure to
commodities through the use of commodity futures. The Portfolio's commodity
swaps provided exposure to the twenty commodities found in the Dow Jones-UBS
Commodity Index Total Return whose returns for the period ranged from -41.7%
(natural gas) to +33.7% (soybean). In the fiscal year, no excess return was
provided by the strategy's approach of "rolling" its underlying futures
contracts prior to the index roll.
While the Portfolio has derivative exposure to commodities, the majority of
the assets were invested in fixed income securities. The fixed income component
duration increased slightly from 1.67 to 1.85 years during the period. The
Portfolio benefited from the exposure to longer duration relative to its
short-term obligations on its derivatives. It also benefited from its credit
exposure during a period where credit spreads narrowed. The time of valuation
of currency can create differences between the performance of the Portfolio and
the Index.
166
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets.This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return and "Expenses Paid During Period"
reflect the dollar amount that would have been paid by an investor who
started with $1,000 in the fund.You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the period indicated.
Six Months Ended October 31, 2012
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/12 10/31/12 Ratio* Period*
--------- --------- ---------- --------
Actual Fund Return............ $1,000.00 $1,021.23 0.36% $1.83
Hypothetical 5% Annual Return. $1,000.00 $1,023.33 0.36% $1.83
--------
* 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 (184), then divided by the
number of days in the year (366) to reflect the six-month period.
167
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 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.......... 45.4%
Government......... 3.0%
Foreign Corporate.. 23.8%
Foreign Government. 16.7%
Supranational...... 11.1%
-----
100.0%
168
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
October 31, 2012
Face
Amount^ Value+
------- -----------
(000)
BONDS -- (89.1%)
AUSTRALIA -- (5.3%)
BHP Billiton Finance USA, Ltd.
(u) 5.500%, 04/01/14....................................... 960 $ 1,026,508
Commonwealth Bank of Australia
(u) 1.250%, 09/18/15....................................... 2,780 2,805,123
National Australia Bank, Ltd.
(e) 5.500%, 05/20/15....................................... 6,500 9,365,773
Westpac Banking Corp.
(u) 4.200%, 02/27/15....................................... 9,500 10,204,016
-----------
TOTAL AUSTRALIA............................................ 23,401,420
-----------
AUSTRIA -- (1.3%)
KA Finanz AG
2.250%, 03/24/14........................................ 700 930,255
Oesterreichische Kontrollbank AG
3.625%, 12/10/13........................................ 2,000 2,687,604
(u) 4.500%, 03/09/15....................................... 2,000 2,178,200
-----------
TOTAL AUSTRIA.............................................. 5,796,059
-----------
CANADA -- (7.4%)
Bank of Nova Scotia
(u) 1.850%, 01/12/15....................................... 6,400 6,568,531
(u) 3.400%, 01/22/15....................................... 1,800 1,911,281
Barrick Gold Finance Co.
(u) 4.875%, 11/15/14....................................... 2,200 2,361,711
Canadian National Railway Co.
(u) 4.400%, 03/15/13....................................... 900 913,267
Canadian Natural Resources, Ltd.
(u) 5.150%, 02/01/13....................................... 625 632,006
Enbridge, Inc.
(u) 5.800%, 06/15/14....................................... 1,900 2,050,315
Encana Corp.
(u) 4.750%, 10/15/13....................................... 1,415 1,466,967
Husky Energy, Inc.
(u) 5.900%, 06/15/14....................................... 2,500 2,699,253
Ontario, Province of Canada
(u) 0.950%, 05/26/15....................................... 2,000 2,019,804
Petro-Canada
(u) 4.000%, 07/15/13....................................... 200 204,683
Thomson Reuters Corp.
(u) 5.700%, 10/01/14....................................... 800 873,418
Toronto-Dominion Bank (The)
(e) 5.375%, 05/14/15....................................... 4,000 5,775,995
TransAlta Corp.
(u) 4.750%, 01/15/15....................................... 2,508 2,653,344
Face
Amount^ Value+
------- -----------
(000)
CANADA -- (Continued)
TransCanada PipeLines, Ltd.
(u) 4.000%, 06/15/13....................................... 1,525 $ 1,560,086
(u) 3.400%, 06/01/15....................................... 1,000 1,065,267
-----------
TOTAL CANADA............................................... 32,755,928
-----------
FRANCE -- (5.6%)
Agence Francaise de Developpement
(u) 1.250%, 06/09/14....................................... 5,500 5,554,505
(u) 2.500%, 07/15/15....................................... 3,000 3,121,740
BNP Paribas SA
(u) 2.125%, 12/21/12....................................... 1,500 1,502,063
(u) 3.250%, 03/11/15....................................... 2,000 2,083,800
Caisse d'Amortissement de la Dette Sociale
3.625%, 04/25/15........................................ 5,000 6,975,516
France Telecom SA
(u) 4.375%, 07/08/14....................................... 2,400 2,541,000
Societe Financement de I'Economie Francaise
3.125%, 06/30/14........................................ 2,000 2,712,796
Veolia Environnement SA
(u) 5.250%, 06/03/13....................................... 425 434,137
-----------
TOTAL FRANCE............................................... 24,925,557
-----------
GERMANY -- (1.7%)
Deutsche Bank AG
(u) 4.875%, 05/20/13....................................... 1,475 1,510,478
(u) 3.875%, 08/18/14....................................... 250 263,856
Kreditanstalt fur Wiederaufbau
(u) 1.375%, 07/15/13....................................... 1,700 1,712,920
(u) 4.125%, 10/15/14....................................... 4,000 4,283,384
-----------
TOTAL GERMANY.............................................. 7,770,638
-----------
JAPAN -- (0.2%)
Nomura Holdings, Inc.
(u) 5.000%, 03/04/15....................................... 1,000 1,057,623
-----------
NETHERLANDS -- (5.0%)
Bank Nederlandse Gemeenten NV
(u) 2.750%, 07/01/15....................................... 9,500 9,992,100
Deutsche Telekom International Finance BV
(u) 5.250%, 07/22/13....................................... 525 542,320
169
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- -----------
(000)
NETHERLANDS -- (Continued)
(u) 4.875%, 07/08/14....................................... 1,900 $ 2,025,745
Diageo Finance BV
(u) 5.500%, 04/01/13....................................... 300 306,283
Nederlandse
Waterschapsbank NV......................................
(u) 2.000%, 09/09/15....................................... 9,000 9,312,300
-----------
TOTAL NETHERLANDS.......................................... 22,178,748
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (8.7%)........
Asian Development Bank
(u) 1.625%, 07/15/13....................................... 1,200 1,211,448
(u) 4.250%, 10/20/14....................................... 3,000 3,225,750
Council of Europe Development Bank
(u) 4.000%, 04/15/15....................................... 8,000 8,636,960
Eurofima
(u) 4.500%, 03/06/15....................................... 9,000 9,761,670
European Financial Stability Facility
(e) 1.625%, 02/04/15....................................... 5,000 6,665,012
European Investment Bank
(e) 2.500%, 07/15/15....................................... 6,000 8,235,380
Inter-American Development Bank
(u) 1.000%, 01/07/15....................................... 1,000 1,005,116
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS............... 38,741,336
-----------
SWEDEN -- (3.4%)
Svensk Exportkredit AB
(e) 3.625%, 05/27/14....................................... 1,212 1,647,523
(u) 3.250%, 09/16/14....................................... 4,200 4,404,540
Svenska Handelsbanken AB
(e) 1.500%, 07/06/15....................................... 7,000 9,222,231
-----------
TOTAL SWEDEN............................................... 15,274,294
-----------
SWITZERLAND -- (0.7%)
Credit Suisse AG
(u) 5.000%, 05/15/13....................................... 1,275 1,305,650
(u) 5.500%, 05/01/14....................................... 250 266,565
UBS AG
(u) 2.250%, 08/12/13....................................... 1,485 1,504,287
-----------
TOTAL SWITZERLAND.......................................... 3,076,502
-----------
Face
Amount^ Value+
------- -----------
(000)
UNITED KINGDOM -- (4.7%)
Barclays Bank P.L.C.
(u) 5.200%, 07/10/14....................................... 1,500 $ 1,603,796
BP Capital Markets P.L.C.
(u) 5.250%, 11/07/13....................................... 3,500 3,669,309
British Telecommunications P.L.C.
(u) 2.000%, 06/22/15....................................... 2,300 2,359,110
Diageo Capital P.L.C.
(u) 5.200%, 01/30/13....................................... 1,175 1,189,243
Network Rail Infrastructure Finance P.L.C.
(u) 1.500%, 01/13/14....................................... 3,000 3,039,840
Rio Tinto Finance USA P.L.C.
(u) 1.125%, 03/20/15....................................... 3,850 3,885,281
Royal Bank of Scotland Group P.L.C.
(u) 2.550%, 09/18/15....................................... 3,000 3,075,336
Vodafone Group P.L.C.
(u) 4.150%, 06/10/14....................................... 1,825 1,927,973
-----------
TOTAL UNITED KINGDOM....................................... 20,749,888
-----------
UNITED STATES -- (45.1%)
ACE INA Holdings, Inc.
5.875%, 06/15/14........................................ $1,250 1,352,914
Aflac, Inc.
3.450%, 08/15/15........................................ 3,800 4,061,957
Agilent Technologies, Inc.
2.500%, 07/15/13........................................ 1,000 1,011,596
Air Products & Chemicals, Inc.
4.150%, 02/01/13........................................ 500 504,577
Allstate Corp. (The)
5.000%, 08/15/14........................................ 2,130 2,290,924
American Express Credit Corp.
5.875%, 05/02/13........................................ 650 667,347
5.125%, 08/25/14........................................ 1,700 1,835,196
1.750%, 06/12/15........................................ 1,200 1,230,557
Amgen, Inc.
4.850%, 11/18/14........................................ 1,000 1,083,220
Anheuser-Busch InBev Worldwide, Inc.
2.500%, 03/26/13........................................ 350 352,783
Archer-Daniels-Midland Co.
7.125%, 03/01/13........................................ 325 332,003
Arrow Electronics, Inc.
6.875%, 07/01/13........................................ 350 363,787
Assurant, Inc.
5.625%, 02/15/14........................................ 2,000 2,078,162
170
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount Value+
------ ----------
(000)
UNITED STATES -- (Continued)
AT&T, Inc.
2.500%, 08/15/15........................................ $2,500 $2,633,483
AutoZone, Inc.
4.375%, 06/01/13........................................ 100 102,162
Avery Dennison Corp.
4.875%, 01/15/13........................................ 200 201,693
Baltimore Gas & Electric Co.
6.125%, 07/01/13........................................ 500 518,482
Bank of America Corp.
7.375%, 05/15/14........................................ 2,000 2,185,274
Baxter International, Inc.
1.800%, 03/15/13........................................ 1,490 1,497,869
BB&T Corp.
3.375%, 09/25/13........................................ 550 563,992
5.700%, 04/30/14........................................ 1,587 1,705,212
Berkshire Hathaway Finance Corp.
4.850%, 01/15/15........................................ 5,000 5,462,530
BlackRock, Inc.
2.250%, 12/10/12........................................ 1,400 1,402,507
3.500%, 12/10/14........................................ 2,000 2,122,634
Boeing Capital Corp.
5.800%, 01/15/13........................................ 950 960,509
Boeing Co. (The)
1.875%, 11/20/12........................................ 350 350,231
Boston Scientific Corp.
4.500%, 01/15/15........................................ 3,005 3,220,446
Bristol-Myers Squibb Co.
5.250%, 08/15/13........................................ 1,175 1,220,447
Burlington Northern Santa Fe LLC
4.300%, 07/01/13........................................ 1,200 1,230,138
4.875%, 01/15/15........................................ 200 216,869
Campbell Soup Co.
5.000%, 12/03/12........................................ 350 351,240
Capital One Financial Corp.
6.250%, 11/15/13........................................ 150 158,239
7.375%, 05/23/14........................................ 1,189 1,305,576
Cardinal Health, Inc.
4.000%, 06/15/15........................................ 3,000 3,218,478
Caterpillar Financial Services Corp.
2.000%, 04/05/13........................................ 400 402,838
6.200%, 09/30/13........................................ 1,000 1,052,477
CenterPoint Energy Resources Corp.
7.875%, 04/01/13........................................ 425 436,952
Charles Schwab Corp. (The)
4.950%, 06/01/14........................................ 2,200 2,346,828
Face
Amount Value+
------ ----------
(000)
UNITED STATES -- (Continued)
Chubb Corp. (The)
5.200%, 04/01/13........................................ $ 350 $ 356,855
Cisco Systems, Inc.
1.625%, 03/14/14........................................ 1,550 1,575,587
Citigroup, Inc.
6.500%, 08/19/13........................................ 625 653,573
6.375%, 08/12/14........................................ 1,250 1,362,082
CNA Financial Corp.
5.850%, 12/15/14........................................ 277 301,737
Coca-Cola Enterprises, Inc.
1.125%, 11/12/13........................................ 1,607 1,614,335
Comcast Cable Communications Holdings, Inc.
8.375%, 03/15/13........................................ 675 694,311
Computer Sciences Corp.
2.500%, 09/15/15........................................ 2,000 2,042,790
Consolidated Edison Co. of New York, Inc.
4.700%, 02/01/14........................................ 400 420,030
CSX Corp.
5.500%, 08/01/13........................................ 425 440,407
Daimler Finance North America LLC
6.500%, 11/15/13........................................ 2,100 2,224,692
Dell, Inc.
2.100%, 04/01/14........................................ 1,500 1,530,698
2.300%, 09/10/15........................................ 1,000 1,040,700
DIRECTV Holdings LLC
4.750%, 10/01/14........................................ 1,500 1,610,778
Dominion Resources, Inc.
5.000%, 03/15/13........................................ 325 330,330
Dr. Pepper Snapple Group, Inc.
2.350%, 12/21/12........................................ 375 375,941
E.I. Du Pont de Nemours & Co.
4.750%, 11/15/12........................................ 350 350,429
eBay, Inc.
0.875%, 10/15/13........................................ 1,435 1,439,116
Ecolab, Inc.
1.000%, 08/09/15........................................ 2,000 2,009,256
Emerson Electric Co.
5.625%, 11/15/13........................................ 1,200 1,263,394
Enbridge Energy Partners LP
5.350%, 12/15/14........................................ 1,475 1,604,308
Energy Transfer Partners LP
6.000%, 07/01/13........................................ 425 438,650
5.950%, 02/01/15........................................ 1,200 1,324,957
171
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount Value+
------ ----------
(000)
UNITED STATES -- (Continued)
Enterprise Products Operating LLC
5.600%, 10/15/14........................................ $2,666 $2,906,156
Exelon Generation Co. LLC
5.350%, 01/15/14........................................ 1,100 1,156,182
Express Scripts Holding Co.
6.250%, 06/15/14........................................ 3,465 3,764,608
Fifth Third Bancorp
6.250%, 05/01/13........................................ 875 899,422
Freeport-McMoRan Copper & Gold, Inc.
1.400%, 02/13/15........................................ 2,475 2,500,245
General Electric Capital Corp.
2.100%, 01/07/14........................................ 600 610,885
2.150%, 01/09/15........................................ 6,000 6,165,288
1.625%, 07/02/15........................................ 2,000 2,034,288
Goldman Sachs Group, Inc. (The)
5.250%, 10/15/13........................................ 250 260,622
3.300%, 05/03/15........................................ 3,500 3,655,431
Hartford Financial Services Group, Inc.
4.000%, 03/30/15........................................ 1,400 1,471,077
Hess Corp.
7.000%, 02/15/14........................................ 175 188,892
Hewlett-Packard Co.
1.250%, 09/13/13........................................ 1,500 1,500,567
2.625%, 12/09/14........................................ 1,300 1,324,224
HSBC Finance Corp.
4.750%, 07/15/13........................................ 1,575 1,617,018
John Deere Capital Corp.
1.875%, 06/17/13........................................ 1,250 1,261,320
JPMorgan Chase & Co.
3.700%, 01/20/15........................................ 2,800 2,964,683
3.400%, 06/24/15........................................ 1,000 1,058,784
KeyCorp
6.500%, 05/14/13........................................ 1,000 1,030,985
Kimberly-Clark Corp.
5.000%, 08/15/13........................................ 1,000 1,037,186
Kroger Co. (The)
5.500%, 02/01/13........................................ 640 647,397
Lowe's Cos, Inc.
5.000%, 10/15/15........................................ 1,050 1,183,977
McKesson Corp.
6.500%, 02/15/14........................................ 2,445 2,619,008
MetLife, Inc.
2.375%, 02/06/14........................................ 420 429,368
5.500%, 06/15/14........................................ 1,250 1,348,788
5.000%, 06/15/15........................................ 500 553,742
Face
Amount Value+
------ ----------
(000)
UNITED STATES -- (Continued)
Microsoft Corp.
0.875%, 09/27/13........................................ $1,300 $1,306,496
2.950%, 06/01/14........................................ 2,300 2,390,533
Morgan Stanley
4.100%, 01/26/15........................................ 2,000 2,082,906
NASDAQ OMX Group, Inc. (The)
4.000%, 01/15/15........................................ 2,800 2,937,469
NextEra Energy Capital Holdings, Inc.
2.550%, 11/15/13........................................ 750 762,863
Northern Trust Corp.
5.500%, 08/15/13........................................ 1,068 1,110,864
Occidental Petroleum Corp.
1.450%, 12/13/13........................................ 1,000 1,011,737
PACCAR Financial Corp.
2.050%, 06/17/13........................................ 100 101,091
0.750%, 08/14/15........................................ 2,000 2,001,094
Pacific Gas & Electric Co.
4.800%, 03/01/14........................................ 3,000 3,160,140
Philip Morris International, Inc.
4.875%, 05/16/13........................................ 1,265 1,294,182
Pitney Bowes, Inc.
4.875%, 08/15/14........................................ 2,000 2,094,320
Plains All American Pipeline LP
3.950%, 09/15/15........................................ 1,330 1,444,313
PNC Funding Corp.
5.400%, 06/10/14........................................ 2,075 2,233,594
Praxair, Inc.
2.125%, 06/14/13........................................ 1,000 1,009,739
Principal Financial Group, Inc.
7.875%, 05/15/14........................................ 2,958 3,271,063
Procter & Gamble Co. (The)
(e) 4.500%, 05/12/14....................................... 4,000 5,509,436
Prudential Financial, Inc.
6.200%, 01/15/15........................................ 2,448 2,696,653
Qwest Corp.
7.500%, 10/01/14........................................ 2,300 2,558,934
Reynolds American, Inc.
7.250%, 06/01/13........................................ 900 933,945
Safeway, Inc.
5.625%, 08/15/14........................................ 2,000 2,139,208
Sempra Energy
2.000%, 03/15/14........................................ 416 421,976
Spectra Energy Capital LLC
5.500%, 03/01/14........................................ 1,500 1,581,377
5.668%, 08/15/14........................................ 955 1,031,309
St. Jude Medical, Inc.
2.200%, 09/15/13........................................ 3,325 3,367,587
172
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount Value+
------- ------------
(000)
UNITED STATES -- (Continued)
3.750%, 07/15/14...................................... $ 100 $ 105,206
State Street Corp.
4.300%, 05/30/14...................................... 1,400 1,482,265
SunTrust Banks, Inc.
5.250%, 11/05/12...................................... 425 425,000
Target Corp.
4.000%, 06/15/13...................................... 1,000 1,020,486
TD Ameritrade Holding Corp.
4.150%, 12/01/14...................................... 2,350 2,512,716
Texas Instruments, Inc.
0.875%, 05/15/13...................................... 500 501,772
Thermo Fisher Scientific, Inc.
3.200%, 05/01/15...................................... 2,250 2,367,963
Toyota Motor Credit Corp.
1.000%, 02/17/15...................................... 3,000 3,025,461
0.875%, 07/17/15...................................... 2,000 2,009,342
Travelers Property Casualty Corp.
5.000%, 03/15/13...................................... 1,175 1,194,094
Union Bank NA
2.125%, 12/16/13...................................... 1,400 1,426,806
UnitedHealth Group, Inc.
5.000%, 08/15/14...................................... 1,170 1,253,642
Valero Energy Corp.
4.750%, 04/01/14...................................... 1,125 1,175,890
4.500%, 02/01/15...................................... 900 970,599
Viacom, Inc.
4.375%, 09/15/14...................................... 1,229 1,312,004
Walt Disney Co. (The)
0.875%, 12/01/14...................................... 1,500 1,515,777
Waste Management, Inc.
6.375%, 11/15/12...................................... 325 325,526
WellPoint, Inc.
5.000%, 12/15/14...................................... 2,500 2,714,670
Wells Fargo & Co.
3.750%, 10/01/14...................................... 2,300 2,440,900
1.250%, 02/13/15...................................... 1,000 1,011,581
Williams Partners LP
3.800%, 02/15/15...................................... 1,500 1,598,544
------------
TOTAL UNITED STATES...................................... 200,070,301
------------
TOTAL BONDS.............................................. 395,798,294
------------
AGENCY OBLIGATIONS -- (5.0%)
Federal Home Loan Mortgage Corporation
2.875%, 02/09/15...................................... 11,000 11,623,513
Face
Amount Value+
------- ------------
(000)
Federal National Mortgage Association
0.500%, 07/02/15...................................... $10,500 $ 10,525,053
------------
TOTAL AGENCY OBLIGATIONS................................. 22,148,566
------------
U.S. TREASURY OBLIGATIONS -- (5.9%)
U.S Treasury Note
^^@@ 0.375%, 07/31/13.................................... 26,000 26,034,528
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $441,274,363) $443,981,388
============
173
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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............................. -- $395,798,294 -- $395,798,294
Agency Obligations................ -- 22,148,566 -- 22,148,566
U.S. Treasury Obligations......... -- 26,034,528 -- 26,034,528
Swap Agreements**................. -- 1,271,996 -- 1,271,996
Futures Contracts**............... $147,488 -- -- 147,488
Forwards Currency Contracts**..... -- (1,497,516) -- (1,497,516)
-------- ------------ -- ------------
TOTAL............................. $147,488 $443,755,868 -- $443,903,356
======== ============ == ============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment.
See accompanying Notes to Schedules of Investments.
174
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investments at Value............................................. $ 443,981
Temporary Cash Investments at Value & Cost....................... 857
Cash............................................................. 6,441
Receivables:
Interest...................................................... 4,597
Fund Shares Sold.............................................. 3,013
Unrealized Gain on Swap Contracts................................ 2,549
Unrealized Gain on Forward Currency Contracts.................... 42
Prepaid Expenses and Other Assets................................ 17
------------
Total Assets.................................................. 461,497
------------
LIABILITIES:
Payables:
Fund Shares Redeemed.......................................... 404
Due to Advisor................................................ 114
Futures Margin Variation...................................... 45
Unrealized Loss on Swap Contracts................................ 1,274
Unrealized Loss on Forward Currency Contracts.................... 1,540
Accrued Expenses and Other Liabilities........................... 41
------------
Total Liabilities......................................... 3,418
------------
NET ASSETS....................................................... $ 458,079
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................... 48,728,681
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 9.40
============
Investments at Cost.............................................. $ 441,274
------------
NET ASSETS CONSIST OF:
Paid-In Capital.................................................. $ 452,773
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... 1,816
Accumulated Net Realized Gain (Loss)............................. 848
Net Unrealized Foreign Exchange Gain (Loss)...................... (1,489)
Net Unrealized Appreciation (Depreciation)....................... 4,131
------------
NET ASSETS....................................................... $ 458,079
============
(1) NUMBER OF SHARES AUTHORIZED.................................. 100,000,000
============
See accompanying Notes to Financial Statements.
175
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORFOLIO
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(Amounts in thousands)
Investment Income
Interest...................................................................................... $ 3,778
--------
Total Investment Income................................................................... 3,778
--------
Expenses
Investment Advisory Services Fees............................................................. 1,160
Accounting & Transfer Agent Fees.............................................................. 64
Custodian Fees................................................................................ 16
Filing Fees................................................................................... 46
Shareholders' Reports......................................................................... 13
Directors'/Trustees' Fees & Expenses.......................................................... 3
Professional Fees............................................................................. 34
Organizational & Offering Costs............................................................... 1
Other......................................................................................... 6
--------
Total Expenses............................................................................ 1,343
--------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note D). (172)
Fees Paid Indirectly.......................................................................... (9)
--------
Net Expenses.................................................................................. 1,162
--------
Net Investment Income (Loss).................................................................. 2,616
--------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold................................................................ 1,207
Futures................................................................................... (2,170)
Foreign Currency Transactions............................................................. 1,374
Swap Contracts............................................................................ (17,151)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities..................................................................... 1,848
Futures................................................................................... 112
Swap Contracts............................................................................ 3,344
Translation of Foreign Currency Denominated Amounts....................................... (1,489)
--------
Net Realized and Unrealized Gain (Loss)....................................................... (12,925)
--------
Net Increase (Decrease) in Net Assets Resulting from Operations.................................. $(10,309)
========
--------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
176
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Year
Ended Period
Oct. 31, November 9, 2010(a)
2012 to October 31, 2011
--------- -------------------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............................................................. $ 2,616 $ 1,106
Net Realized Gain (Loss) on:
Investment Securities Sold........................................................... 1,207 227
Futures.............................................................................. (2,170) (1,328)
Foreign Currency Transactions........................................................ 1,374 --
Swap Contracts....................................................................... (17,151) (10,020)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................................................ 1,848 859
Futures.............................................................................. 112 37
Swap Contracts....................................................................... 3,344 (2,069)
Translation of Foreign Currency Denominated Amounts.................................. (1,489) --
--------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations................... (10,309) (11,188)
--------- --------
Distributions From:
Net Investment Income:
Institutional Shares................................................................. (2,038) (574)
Net Short-Term Gains:
Institutional Shares................................................................. (151) --
--------- --------
Total Distributions............................................................... (2,189) (574)
--------- --------
Capital Share Transactions (1):
Shares Issued............................................................................ 371,713 278,288
Shares Issued in Lieu of Cash Distributions.............................................. 2,084 559
Shares Redeemed.......................................................................... (134,001) (36,304)
--------- --------
Net Increase (Decrease) from Capital Share Transactions........................... 239,796 242,543
--------- --------
Total Increase (Decrease) in Net Assets........................................... 227,298 230,781
Net Assets
Beginning of Period...................................................................... 230,781 --
--------- --------
End of Period............................................................................ $ 458,079 $230,781
========= ========
(1) Shares Issued and Redeemed:
Shares Issued............................................................................ 39,879 27,085
Shares Issued in Lieu of Cash Distributions.............................................. 232 52
Shares Redeemed.......................................................................... (14,994) (3,525)
--------- --------
Net Increase (Decrease) from Shares Issued and Redeemed........................... 25,117 23,612
========= ========
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 1,816 $ 231
--------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
177
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED FINANCIAL HIGHLIGHTS
(for a share outstanding throughout the period)
Year Period
Ended November 9, 2010(a)
Oct. 31, to
2012 Oct. 31, 2011
-------- -------------------
Net Asset Value, Beginning of Period......................................................... $ 9.77 $ 10.00
-------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss)(A)........................................................... 0.07 0.07
Net Gains (Losses) on Securities (Realized and Unrealized)................................ (0.37) (0.27)
-------- --------
Total from Investment Operations...................................................... (0.30) (0.20)
-------- --------
Less Distributions
------------------
Net Investment Income..................................................................... (0.06) (0.03)
Net Realized Gains........................................................................ (0.01) --
-------- --------
Total Distributions................................................................... (0.07) (0.03)
-------- --------
Net Asset Value, End of Period............................................................... $ 9.40 $ 9.77
======== ========
Total Return................................................................................. (3.08)% (2.02)%(C)
-------- --------
Net Assets, End of Period (thousands)........................................................ $458,079 $230,781
Ratio of Expenses to Average Net Assets...................................................... 0.35% 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)............................... 0.41% 0.53%(B)(E)
Ratio of Net Investment Income to Average Net Assets......................................... 0.79% 0.64%(B)(E)
Portfolio Turnover Rate...................................................................... 69% 50%(C)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
178
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered, without a sales charge, to institutional
investors, retirement plans and clients of registered investment advisors. The
Fund consists of sixty-seven operational portfolios, one of which, DFA
Commodity Strategy Portfolio(the "Portfolio"), is included in this section of
the report. The remaining operational 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
179
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 had no material transfers between Level 1 and Level 2 during
the year ended October 31, 2012.
2. Deferred Compensation Plan: Each eligible Director/Trustee 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/Trustees may defer payment of all or a portion of their total fees
earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/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 Director/Trustee ceases to be a member
of the Board and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/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 Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 2012, none of the
Directors/Trustees 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 Portfolio estimates 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, 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 principles relating to reporting of a
wholly-owned subsidiary. The Portfolio will seek to gain exposure to
commodities, commodities-related instruments, derivatives and other investments
by directly investing in those instruments or through investments in the
Subsidiary. The Subsidiary participates in the same investment goal as the
Portfolio. The Subsidiary pursues its investment goal by investing in
commodities, commodities-related instruments, derivatives and other
investments. The Subsidiary (unlike the Portfolio) may invest without
limitation in these instruments. However, the Subsidiary is otherwise subject
to the same fundamental, non-fundamental and certain other investment
restrictions as the Portfolio. The portion of the Portfolio's or Subsidiary's
assets exposed to any particular commodity, derivative or other investment will
vary based on market conditions, but from time to time some exposure could be
substantial.
To the extent of the Portfolio's investment through the Subsidiary, it will
be subject to the risks associated with the commodities, derivatives and other
instruments in which the Subsidiary invests. By investing in the Subsidiary,
the Porfolio is indirectly exposed to the risks associated with the
Subsidiary's investments. The derivatives and
180
other investments held by the Subsidiary are generally similar to those that
are permitted to be held by the Portfolio and are subject to the same risks
that apply to similar investments if held directly by the Portfolio.
As of October 31, 2012, the Portfolio held $75,170,235 in the Subsidiary,
representing 16.33% 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:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Portfolio. For the year ended October 31, 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 and excluding any
applicable 12b-1 fees) ("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 October 31, 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 year ended October 31, 2012, approximately $172 (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 year ended October 31, 2012, expenses reduced were as follows
(amounts in thousands):
Fees Paid
Indirectly
----------
DFA Commodity Strategy Portfolio. $9
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the year ended October 31, 2012, the total
related amounts paid by the Fund to the CCO were $234 (in thousands). The total
related amounts paid by the Portfolio are included in Other Expenses on the
Statement of Operations.
181
E. Deferred Compensation:
At October 31, 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 year ended October 31, 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
--------- ------- --------- --------
$80,319 $63,085 $372,169 $154,366
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, 2012, 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 net
foreign currency gains/losses, 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. $(18,602) $1,007 $17,595
The tax character of dividends and distributions declared and paid during
the period ended October 31, 2012 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
2012............................. 2,410 $37 2,447
182
At October 31, 2012, 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. $221 $37 $258
At October 31, 2012 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. $864 $422 -- $1,286
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.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolio after October 31, 2011 will not be subject to
expiration and will retain its character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2012, the
Portfolio did not have any capital loss carryforwards.
At October 31, 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 Commodity Strategy Portfolio. $442,131 $2,762 $(55) $2,707
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 Portfolio's financial statements. The Portfolio is not aware of
any tax positions for which it is more likely than not that the total amounts
of unrecognized tax benefits will significantly change in the next twelve
months.
H. Financial Instruments:
In accordance with the Portfolio's investment objectives and policies, the
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. 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 Portfolio may be inhibited.
183
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
the Portfolio. 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 October 31, 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 October 31, 2012 Gain (Loss)
---------- -------- -------- -------- ---------------- -----------
12/06/12 (41,897) Euro $(52,788) $(54,325) $(1,537)
12/06/12 (278) Euro (357) (360) (3)
12/06/12 (4,726) Euro (6,170) (6,128) 42
-------- -------- -------
$(59,315) $(60,813) $(1,498)
======== ======== =======
* During the year ended October 31, 2012, the Portfolio's average cost basis
contract amount of forward currency contracts was $(44,772) (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 and
the Subsidiary 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
184
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
185
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.
186
At October 31, 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* Amount Gain (Loss)
----------- ---------- ---------- -------- -----------
Brent Crude Futures 01/31/13 9 $ 968 $(13)
CBT Wheat Futures 05/16/13 32 1,418 10
Coffee 'C' Futures 12/31/12 6 348 (16)
Copper Futures 12/31/12 16 1,407 --
Corn Futures 05/16/13 42 1,580 14
Cotton No. 2 Futures 12/20/12 8 280 (4)
Gasoline RBOB Futures 01/30/13 6 656 (20)
Gold 100oz Futures 12/20/12 12 2,063 68
Heating Oil Futures 04/29/13 6 749 (4)
Lean Hogs Futures 12/18/12 13 407 25
Live Cattle Futures 12/18/12 15 756 1
LME Nickel Futures 12/19/12 5 485 (17)
LME Prime Aluminum Futures 12/19/12 23 1,093 (13)
LME Zinc Futures 12/19/12 14 648 (2)
Natural Gas Futures 04/30/13 70 2,640 130
Silver Futures 12/31/12 4 646 53
Soybean Futures 03/18/13 40 3,048 (6)
Soybean Oil Futures 05/23/13 22 678 (12)
Sugar #11 Futures 05/15/13 29 632 (17)
WTI Crude Futures 07/31/13 12 1,071 (28)
------- ----
$21,573 $149
======= ====
Dimensional Cayman Commodity Fund I, LTD.'s securities have been segregated
as collateral for open futures contracts.
* During the year ended October 31, 2012 the Dimensional Cayman Commodity Fund
I, LTD.'s average notional contract amount of outstanding futures contracts
was $13,350 (in thousands).
At October 31, 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. 12/31/12 USD $256,404 $ 485
Deutsche Bank AG, London Branch 11/28/12 USD 92,985 174
Deutsche Bank AG, London Branch 12/18/12 USD (25,000) 1,430
Deutsche Bank AG, London Branch 06/19/13 USD 25,000 (1,068)
Deutsche Bank AG, London Branch 11/26/12 USD (23,025) (206)
Deutsche Bank AG, London Branch 11/26/12 USD 21,870 304
UBS AG 01/29/13 USD 82,958 156
-------- -------
$431,192 $ 1,275
======== =======
187
* During the year ended October 31, 2012 the Portfolio's average notional
value of outstanding swap contracts was $316,129 (in thousands).
The following is a summary of the location of derivatives on the Portfolio's
Statement of Assets and Liabilities as of October 31, 2012:
Location on the Statements of Assets and Liabilities
-----------------------------------------------------------------------------
Derivative Type Asset Derivatives Liability Derivatives
--------------- ------------------------------------- -------------------------------------
Commodity Contracts Payables: Futures Margin Variation
Foreign Exchange Contracts Unrealized Gain on Forward Currency Unrealized Loss on Forward Currency
Contracts Contracts
Other Contracts Unrealized Gain on Swap Contracts Unrealized Loss on Swap Contracts
The following is a summary of the Portfolio's derivative instrument holdings
categorized by primary risk exposure as of October 31, 2012 (amounts in
thousands):
Asset Derivatives Value
----------------------------
Total Value Foreign
at Commodity Exchange Other
Oct. 31, 2012 Contracts Contracts Contracts
- ------------- --------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $ 2,740 $149* $42 $ 2,549
Liability Derivatives Value
----------------------------
Total Value Foreign
at Exchange Other
Oct. 31, 2012 Contracts Contracts
------------- ------------------- ---------
Dimensional Cayman Commodity Fund I, LTD. $(2,814) $(1,540) $(1,274)
* 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 Portfolio's Statement of
Operations of realized and change in unrealized gains and losses from the
Portfolio's derivative instrument holdings through the year ended October 31,
2012 (amounts in thousands):
Location of Gain (Loss) on
Derivative Type 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
188
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolio's derivative instrument holdings categorized by
primary risk exposure for the year ended October 31, 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. $(17,357) $(2,170) $ 1,964 $(17,151)
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
--------------------------------------
Foreign
Commodity Exchange Other
Total Contracts Contracts Contracts
-------- --------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $ 1,958 $ 112 $(1,498) $ 3,344
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,
2013. There were no borrowings by the Portfolio under this line of credit
during the year ended October 31, 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 upon
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. The Fund 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 year ended October 31, 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 December 2011, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" requiring disclosure of both gross and net information
189
related to offsetting and related arrangements enabling users of its financial
statements to understand the effect of those arrangements on the entity's
financial position. The objective of this disclosure is to facilitate
comparison between those entities that prepare their financial statements on
the basis of U.S. Generally Accepted Accounting Principles and those entities
that prepare their financial statements on the basis of International Financial
Reporting Standards. ASU No. 2011-11 is effective for interim and annual
periods beginning on or after January 1, 2013. Management is evaluating any
impact ASU No. 2011-11 may have on the financial statements.
L. Other:
At October 31, 2012, three shareholders held 87% 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.
190
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of DFA Commodity Strategy Portfolio and
Board of Directors of DFA Investment Dimensions Group Inc.:
In our opinion, the accompanying consolidated statement of assets and
liabilities, including the consolidated schedule of investments, and the
related consolidated statements of operations and of changes in net assets and
the consolidated financial highlights present fairly, in all material respects,
the financial position of DFA Commodity Strategy Portfolio and its subsidiary
(one of the portfolios constituting DFA Investment Dimensions Group Inc.,
hereafter referred to as the "Portfolio") at October 31, 2012, the results of
its operations for the year then ended, the changes in its net assets and the
financial highlights for each of the periods indicated, in conformity with
accounting principles generally accepted in the United States of America. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolio's management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with the standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2012 by
correspondence with the custodians and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2012
191
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
DFA International Value Portfolio Class R2 vs. MSCI World ex USA Index (net
dividends)
April 30, 2008-October 31, 2012
DFA International Value MSCI World ex
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio - Class R2 USA Index (net div.)
--------- ---------- ----------- ----------------- ---------- ----------------------- --------------------
2008-04-30 2008-05-31 0.00% 1.52% 04/2008 10000 10000
2008-05-31 2008-06-30 -9.94% -7.78% 05/2008 10000 10151.7473
2008-06-30 2008-07-31 -2.82% -3.56% 06/2008 9005.626951 9362.319226
2008-07-31 2008-08-31 -4.23% -3.87% 07/2008 8751.649225 9029.149518
2008-08-31 2008-09-30 -11.66% -14.44% 08/2008 8381.265038 8679.965473
2008-09-30 2008-10-31 -25.22% -20.80% 09/2008 7404.32448 7426.766859
2008-10-31 2008-11-30 -6.20% -5.42% 10/2008 5537.147002 5881.853535
2008-11-30 2008-12-31 7.70% 5.27% 11/2008 5193.758041 5562.881341
2008-12-31 2009-01-31 -13.84% -9.33% 12/2008 5593.526873 5856.130766
2009-01-31 2009-02-28 -12.44% -10.12% 01/2009 4819.37403 5309.712088
2009-02-28 2009-03-31 11.04% 6.59% 02/2009 4219.678167 4772.200545
2009-03-31 2009-04-30 18.22% 12.90% 03/2009 4685.541611 5086.667278
2009-04-30 2009-05-31 14.82% 12.65% 04/2009 5539.448726 5742.636539
2009-05-31 2009-06-30 -1.45% -1.04% 05/2009 6360.513261 6468.886016
2009-06-30 2009-07-31 11.78% 9.39% 06/2009 6268.441251 6401.898676
2009-07-31 2009-08-31 5.67% 4.79% 07/2009 7006.57292 7003.022114
2009-08-31 2009-09-30 5.19% 4.13% 08/2009 7404.028433 7338.644408
2009-09-30 2009-10-31 -4.12% -1.61% 09/2009 7788.557437 7641.425059
2009-10-31 2009-11-30 2.92% 2.47% 10/2009 7467.379811 7518.756328
2009-11-30 2009-12-31 1.09% 1.59% 11/2009 7685.321771 7704.789504
2009-12-31 2010-01-31 -5.83% -4.69% 12/2009 7769.192928 7827.612036
2010-01-31 2010-02-28 0.32% -0.10% 01/2010 7316.280335 7460.697378
2010-02-28 2010-03-31 7.92% 6.44% 02/2010 7339.506622 7453.220585
2010-03-31 2010-04-30 -1.76% -1.49% 03/2010 7920.4971 7933.009755
2010-04-30 2010-05-31 -11.66% -11.03% 04/2010 7780.928869 7814.726394
2010-05-31 2010-06-30 -1.79% -1.45% 05/2010 6873.735368 6952.373221
2010-06-30 2010-07-31 12.34% 9.24% 06/2010 6750.523978 6851.798755
2010-07-31 2010-08-31 -4.94% -2.99% 07/2010 7583.772914 7485.078183
2010-08-31 2010-09-30 10.83% 9.59% 08/2010 7209.414697 7261.351117
2010-09-30 2010-10-31 3.36% 3.56% 09/2010 7990.200894 7957.910109
2010-10-31 2010-11-30 -5.12% -4.23% 10/2010 8258.574053 8241.403697
2010-11-30 2010-12-31 9.33% 8.05% 11/2010 7836.116939 7892.384622
2010-12-31 2011-01-31 4.24% 2.15% 12/2010 8567.304672 8527.891765
2011-01-31 2011-02-28 3.29% 3.71% 01/2011 8930.681379 8711.598845
2011-02-28 2011-03-31 -2.80% -2.00% 02/2011 9224.17795 9034.62076
2011-03-31 2011-04-30 5.31% 5.45% 03/2011 8966.260639 8853.634675
2011-04-30 2011-05-31 -3.66% -2.96% 04/2011 9442.593235 9335.818148
2011-05-31 2011-06-30 -1.41% -1.42% 05/2011 9097.018606 9059.063804
2011-06-30 2011-07-31 -3.23% -1.65% 06/2011 8968.489466 8930.043361
2011-07-31 2011-08-31 -10.77% -8.45% 07/2011 8679.030283 8782.734618
2011-08-31 2011-09-30 -10.95% -10.04% 08/2011 7744.219476 8040.214867
2011-09-30 2011-10-31 9.55% 9.73% 09/2011 6896.004492 7232.79322
2011-10-31 2011-11-30 -3.28% -4.62% 10/2011 7554.584853 7936.207057
2011-11-30 2011-12-31 -2.74% -1.09% 11/2011 7306.424139 7569.453347
2011-12-31 2012-01-31 6.64% 5.40% 12/2011 7106.352978 7486.857424
2012-01-31 2012-02-29 5.21% 5.50% 01/2012 7578.503886 7891.074884
2012-02-29 2012-03-31 -0.84% -0.74% 02/2012 7973.568933 8324.914722
2012-03-31 2012-04-30 -3.60% -1.70% 03/2012 7906.619144 8263.299091
2012-04-30 2012-05-31 -12.41% -11.40% 04/2012 7622.000151 8123.046992
2012-05-31 2012-06-30 7.04% 6.55% 05/2012 6676.486208 7196.983824
2012-06-30 2012-07-31 -0.48% 1.25% 06/2012 7146.350142 7668.554475
2012-07-31 2012-08-31 4.15% 2.85% 07/2012 7111.94543 7764.038979
2012-08-31 2012-09-30 3.48% 3.04% 08/2012 7406.84296 7985.556671
2012-09-30 2012-10-31 1.22% 0.70% 09/2012 7664.940132 8228.010783
10/31/2012 7758.715959 8285.669913
One Year From 04/30/2008
-------- ---------------
2.70% -5.48%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
DFA International Value Portfolio Institutional Class vs. MSCI World ex USA
Index (net dividends)
October 31, 2002-October 31, 2012
DFA International Value MSCI World ex
BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio-Institutional Class USA Index (net div.)
--------- ---------- ----------- ----------------- ---------- ----------------------------- --------------------
2002-10-31 2002-11-30 6.00% 4.60% 10/2002 10000 10000
2002-11-30 2002-12-31 -2.57% -3.23% 11/2002 10599.76932 10460.38388
2002-12-31 2003-01-31 -3.37% -3.81% 12/2002 10327.68049 10122.31597
2003-01-31 2003-02-28 -1.97% -1.97% 01/2003 9979.947141 9736.633173
2003-02-28 2003-03-31 -2.46% -1.93% 02/2003 9782.898242 9544.699524
2003-03-31 2003-04-30 10.95% 9.60% 03/2003 9542.079235 9360.754077
2003-04-30 2003-05-31 7.57% 6.20% 04/2003 10586.83244 10259.0855
2003-05-31 2003-06-30 3.22% 2.43% 05/2003 11387.80989 10895.37242
2003-06-30 2003-07-31 4.50% 2.29% 06/2003 11754.16167 11160.05075
2003-07-31 2003-08-31 2.59% 2.58% 07/2003 12283.62841 11416.08512
2003-08-31 2003-09-30 3.84% 3.00% 08/2003 12601.30845 11710.45636
2003-09-30 2003-10-31 7.85% 6.26% 09/2003 13084.80116 12061.78555
2003-10-31 2003-11-30 2.09% 2.27% 10/2003 14112.21786 12817.10429
2003-11-30 2003-12-31 7.47% 7.67% 11/2003 14407.45254 13107.63318
2003-12-31 2004-01-31 2.53% 1.39% 12/2003 15483.80439 14112.72688
2004-01-31 2004-02-29 2.99% 2.30% 01/2004 15875.94985 14309.22909
2004-02-29 2004-03-31 1.56% 0.50% 02/2004 16351.2777 14638.3333
2004-03-31 2004-04-30 -3.01% -2.62% 03/2004 16605.58832 14711.61449
2004-04-30 2004-05-31 0.96% 0.47% 04/2004 16106.35087 14326.52241
2004-05-31 2004-06-30 4.14% 2.31% 05/2004 16260.87675 14393.48999
2004-06-30 2004-07-31 -3.69% -3.05% 06/2004 16933.74416 14725.88378
2004-07-31 2004-08-31 1.25% 0.42% 07/2004 16309.23728 14276.8102
2004-08-31 2004-09-30 3.19% 2.91% 08/2004 16513.403 14336.16895
2004-09-30 2004-10-31 3.83% 3.59% 09/2004 17040.98221 14754.05385
2004-10-31 2004-11-30 7.37% 6.65% 10/2004 17693.15303 15284.2776
2004-11-30 2004-12-31 4.98% 4.22% 11/2004 18997.49469 16300.75747
2004-12-31 2005-01-31 -1.04% -1.97% 12/2004 19942.94831 16989.40669
2005-01-31 2005-02-28 3.95% 4.45% 01/2005 19735.84378 16654.94269
2005-02-28 2005-03-31 -2.50% -2.27% 02/2005 20515.53144 17395.84581
2005-03-31 2005-04-30 -3.05% -2.55% 03/2005 20002.57057 17000.98254
2005-04-30 2005-05-31 0.13% 0.18% 04/2005 19393.10773 16567.48433
2005-05-31 2005-06-30 1.58% 1.63% 05/2005 19417.48624 16597.69751
2005-06-30 2005-07-31 4.45% 3.23% 06/2005 19723.3446 16869.00377
2005-07-31 2005-08-31 3.30% 2.76% 07/2005 20600.21215 17413.79488
2005-08-31 2005-09-30 2.79% 4.56% 08/2005 21279.47574 17894.53946
2005-09-30 2005-10-31 -1.53% -3.23% 09/2005 21873.30675 18711.18961
2005-10-31 2005-11-30 1.79% 2.65% 10/2005 21538.32134 18106.58452
2005-11-30 2005-12-31 4.86% 4.64% 11/2005 21922.93422 18586.07722
2005-12-31 2006-01-31 6.81% 6.32% 12/2005 22988.25211 19447.8385
2006-01-31 2006-02-28 0.93% -0.34% 01/2006 24554.76458 20677.90796
2006-02-28 2006-03-31 4.21% 3.17% 02/2006 24784.01031 20608.4637
2006-03-31 2006-04-30 5.03% 4.78% 03/2006 25828.35195 21262.03853
2006-04-30 2006-05-31 -4.04% -3.80% 04/2006 27127.41107 22278.72975
2006-05-31 2006-06-30 -0.69% -0.13% 05/2006 26032.12593 21432.31082
2006-06-30 2006-07-31 1.55% 0.94% 06/2006 25853.70737 21404.7152
2006-07-31 2006-08-31 3.40% 2.84% 07/2006 26254.23957 21605.26571
2006-08-31 2006-09-30 1.40% -0.08% 08/2006 27145.74672 22219.30598
2006-09-30 2006-10-31 4.42% 3.95% 09/2006 27525.69601 22201.41652
2006-10-31 2006-11-30 3.27% 2.98% 10/2006 28741.21819 23078.81278
2006-11-30 2006-12-31 3.89% 2.87% 11/2006 29682.26762 23766.23179
2006-12-31 2007-01-31 1.86% 0.61% 12/2006 30837.95238 24447.67862
2007-01-31 2007-02-28 -0.08% 0.80% 01/2007 31411.24765 24596.81523
2007-02-28 2007-03-31 3.21% 2.56% 02/2007 31384.58275 24793.58307
2007-03-31 2007-04-30 5.02% 4.55% 03/2007 32390.52649 25428.87548
2007-04-30 2007-05-31 3.41% 2.22% 04/2007 34018.05706 26585.83302
2007-05-31 2007-06-30 -0.73% 0.10% 05/2007 35178.67313 27176.22708
2007-06-30 2007-07-31 -2.79% -1.38% 06/2007 34921.77255 27203.4992
2007-07-31 2007-08-31 -1.16% -1.45% 07/2007 33946.07692 26827.45133
2007-08-31 2007-09-30 5.20% 5.68% 08/2007 33553.0884 26439.13227
2007-09-30 2007-10-31 4.82% 4.35% 09/2007 35299.35435 27941.23223
2007-10-31 2007-11-30 -6.08% -3.91% 10/2007 37002.33363 29155.8544
2007-11-30 2007-12-31 -2.18% -1.88% 11/2007 34754.40098 28015.69869
2007-12-31 2008-01-31 -8.10% -9.02% 12/2007 33996.95854 27489.05893
2008-01-31 2008-02-29 -1.30% 1.81% 01/2008 31243.09308 25010.60702
2008-02-29 2008-03-31 1.20% -1.43% 02/2008 30837.70172 25463.85563
2008-03-31 2008-04-30 4.44% 5.56% 03/2008 31208.57186 25100.36419
2008-04-30 2008-05-31 0.04% 1.52% 04/2008 32594.06452 26495.58367
2008-05-31 2008-06-30 -9.93% -7.78% 05/2008 32608.05939 26897.647
2008-06-30 2008-07-31 -2.83% -3.56% 06/2008 29370.82391 24806.01124
2008-07-31 2008-08-31 -4.22% -3.87% 07/2008 28539.43896 23923.25865
2008-08-31 2008-09-30 -11.67% -14.44% 08/2008 27335.36418 22998.07514
2008-09-30 2008-10-31 -25.09% -20.80% 09/2008 24144.95697 19677.65227
2008-10-31 2008-11-30 -6.14% -5.42% 10/2008 18087.08247 15584.31425
2008-11-30 2008-12-31 7.48% 5.27% 11/2008 16976.47214 14739.1788
2008-12-31 2009-01-31 -13.77% -9.33% 12/2008 18245.54429 15516.16027
2009-01-31 2009-02-28 -12.28% -10.12% 01/2009 15732.42393 14068.39209
2009-02-28 2009-03-31 10.86% 6.59% 02/2009 13800.37187 12644.22388
2009-03-31 2009-04-30 18.36% 12.90% 03/2009 15299.27245 13477.42184
2009-04-30 2009-05-31 14.87% 12.65% 04/2009 18108.74874 15215.45069
2009-05-31 2009-06-30 -1.50% -1.04% 05/2009 20801.77005 17139.69107
2009-06-30 2009-07-31 11.83% 9.39% 06/2009 20489.9563 16962.2042
2009-07-31 2009-08-31 5.68% 4.79% 07/2009 22914.45329 18554.91583
2009-08-31 2009-09-30 5.14% 4.13% 08/2009 24215.40289 19444.16669
2009-09-30 2009-10-31 -4.02% -1.61% 09/2009 25461.20336 20246.4017
2009-10-31 2009-11-30 2.92% 2.47% 10/2009 24436.81675 19921.38374
2009-11-30 2009-12-31 1.17% 1.59% 11/2009 25149.43352 20414.28949
2009-12-31 2010-01-31 -5.81% -4.69% 12/2009 25443.82537 20739.71496
2010-01-31 2010-02-28 0.31% -0.10% 01/2010 23966.44196 19767.55316
2010-02-28 2010-03-31 7.97% 6.44% 02/2010 24041.05729 19747.74296
2010-03-31 2010-04-30 -1.73% -1.49% 03/2010 25957.78491 21018.97237
2010-04-30 2010-05-31 -11.77% -11.03% 04/2010 25509.72188 20705.5737
2010-05-31 2010-06-30 -1.74% -1.45% 05/2010 22507.69958 18420.71863
2010-06-30 2010-07-31 12.47% 9.24% 06/2010 22116.59996 18154.24072
2010-07-31 2010-08-31 -4.94% -2.99% 07/2010 24875.49043 19832.15152
2010-08-31 2010-09-30 10.71% 9.59% 08/2010 23647.63258 19239.37361
2010-09-30 2010-10-31 3.55% 3.56% 09/2010 26180.33381 21084.94731
2010-10-31 2010-11-30 -5.11% -4.23% 10/2010 27108.82239 21836.08012
2010-11-30 2010-12-31 9.37% 8.05% 11/2010 25723.70008 20911.33371
2010-12-31 2011-01-31 4.24% 2.15% 12/2010 28133.66739 22595.14698
2011-01-31 2011-02-28 3.29% 3.71% 01/2011 29327.58798 23081.88961
2011-02-28 2011-03-31 -2.76% -2.00% 02/2011 30291.90846 23937.75502
2011-03-31 2011-04-30 5.32% 5.45% 03/2011 29456.56933 23458.22183
2011-04-30 2011-05-31 -3.61% -2.96% 04/2011 31022.26504 24735.79508
2011-05-31 2011-06-30 -1.40% -1.42% 05/2011 29901.71811 24002.51829
2011-06-30 2011-07-31 -3.23% -1.65% 06/2011 29484.57427 23660.6711
2011-07-31 2011-08-31 -10.72% -8.45% 07/2011 28532.45196 23270.36799
2011-08-31 2011-09-30 -10.94% -10.04% 08/2011 25473.17375 21303.01857
2011-09-30 2011-10-31 9.49% 9.73% 09/2011 22685.27339 19163.70779
2011-10-31 2011-11-30 -3.23% -4.62% 10/2011 24837.55649 21027.44381
2011-11-30 2011-12-31 -2.67% -1.09% 11/2011 24036.33538 20055.70845
2011-12-31 2012-01-31 6.72% 5.40% 12/2011 23393.74868 19836.86573
2012-01-31 2012-02-29 5.15% 5.50% 01/2012 24964.9706 20907.86348
2012-02-29 2012-03-31 -0.78% -0.74% 02/2012 26250.51581 22057.34745
2012-03-31 2012-04-30 -3.60% -1.70% 03/2012 26045.87111 21894.09324
2012-04-30 2012-05-31 -12.35% -11.40% 04/2012 25107.71092 21522.48712
2012-05-31 2012-06-30 7.04% 6.55% 05/2012 22007.01197 19068.8287
2012-06-30 2012-07-31 -0.41% 1.25% 06/2012 23556.58362 20318.28267
2012-07-31 2012-08-31 4.08% 2.85% 07/2012 23459.30936 20571.27444
2012-08-31 2012-09-30 3.55% 3.04% 08/2012 24415.8396 21158.19849
2012-09-30 2012-10-31 1.29% 0.70% 09/2012 25283.43726 21800.59481
10/31/2012 25609.25475 21953.36604
Five
One Year Years Ten Years
-------- ----- ---------
2.98% -7.10% 9.86%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
U.S. Large Company Portfolio vs. S&P 500(R) Index
October 31, 2002-October 31, 2012
U.S. Large
BeginDate EndDate FundReturns Benchmark0Returns EndDate Company Portfolio S&P 500 Index
--------- ---------- ----------- ----------------- ---------- ----------------- -------------
2002-10-31 2002-11-30 5.90% 5.89% 10/2002 10000 10000
2002-11-30 2002-12-31 -5.97% -5.88% 11/2002 10589.92806 10588.59043
2002-12-31 2003-01-31 -2.62% -2.62% 12/2002 9957.757337 9966.404855
2003-01-31 2003-02-28 -1.49% -1.50% 01/2003 9697.234617 9705.285048
2003-02-28 2003-03-31 0.92% 0.97% 02/2003 9552.49977 9559.705772
2003-03-31 2003-04-30 8.28% 8.24% 03/2003 9640.806344 9652.530516
2003-04-30 2003-05-31 5.29% 5.27% 04/2003 10439.36711 10447.60945
2003-05-31 2003-06-30 1.30% 1.28% 05/2003 10991.1 10998.094
2003-06-30 2003-07-31 1.70% 1.76% 06/2003 11134.45866 11138.8696
2003-07-31 2003-08-31 1.93% 1.95% 07/2003 11323.91934 11335.24787
2003-08-31 2003-09-30 -1.13% -1.06% 08/2003 11542.52782 11556.2852
2003-09-30 2003-10-31 5.77% 5.66% 09/2003 11411.63565 11433.55746
2003-10-31 2003-11-30 0.85% 0.88% 10/2003 12069.99925 12080.3538
2003-11-30 2003-12-31 5.14% 5.24% 11/2003 12172.41137 12186.66091
2003-12-31 2004-01-31 1.84% 1.84% 12/2003 12798.33163 12825.72941
2004-01-31 2004-02-29 1.35% 1.39% 01/2004 13033.70324 13061.14532
2004-02-29 2004-03-31 -1.45% -1.51% 02/2004 13210.23195 13242.68797
2004-03-31 2004-04-30 -1.59% -1.57% 03/2004 13018.66304 13042.85581
2004-04-30 2004-05-31 1.38% 1.37% 04/2004 12812.25163 12838.08298
2004-05-31 2004-06-30 1.96% 1.94% 05/2004 12989.1757 13014.22147
2004-06-30 2004-07-31 -3.35% -3.31% 06/2004 13244.24124 13267.21794
2004-07-31 2004-08-31 0.35% 0.40% 07/2004 12800.30019 12828.07303
2004-08-31 2004-09-30 1.09% 1.08% 08/2004 12844.6943 12879.77016
2004-09-30 2004-10-31 1.49% 1.53% 09/2004 12985.21644 13019.25807
2004-10-31 2004-11-30 4.06% 4.05% 10/2004 13178.36039 13218.19233
2004-11-30 2004-12-31 3.38% 3.40% 11/2004 13713.22056 13753.0004
2004-12-31 2005-01-31 -2.43% -2.44% 12/2004 14177.08805 14221.015
2005-01-31 2005-02-28 2.17% 2.10% 01/2005 13832.40198 13874.37776
2005-02-28 2005-03-31 -1.81% -1.77% 02/2005 14132.129 14166.29467
2005-03-31 2005-04-30 -1.84% -1.90% 03/2005 13877.03017 13915.40959
2005-04-30 2005-05-31 3.09% 3.18% 04/2005 13621.71684 13651.43427
2005-05-31 2005-06-30 0.18% 0.14% 05/2005 14042.23291 14085.82291
2005-06-30 2005-07-31 3.75% 3.72% 06/2005 14067.64538 14105.82477
2005-07-31 2005-08-31 -0.93% -0.91% 07/2005 14595.37055 14630.56146
2005-08-31 2005-09-30 0.80% 0.81% 08/2005 14459.66979 14497.13074
2005-09-30 2005-10-31 -1.66% -1.67% 09/2005 14575.69574 14614.55749
2005-10-31 2005-11-30 3.81% 3.78% 10/2005 14333.27253 14370.93282
2005-11-30 2005-12-31 0.03% 0.04% 11/2005 14878.72476 14914.4415
2005-12-31 2006-01-31 2.66% 2.65% 12/2005 14882.49415 14919.66156
2006-01-31 2006-02-28 0.20% 0.27% 01/2006 15278.95404 15314.73419
2006-02-28 2006-03-31 1.26% 1.25% 02/2006 15309.45095 15356.23712
2006-03-31 2006-04-30 1.38% 1.34% 03/2006 15502.09639 15547.42228
2006-04-30 2006-05-31 -2.92% -2.88% 04/2006 15716.12928 15756.22416
2006-05-31 2006-06-30 0.20% 0.14% 05/2006 15257.48738 15302.76003
2006-06-30 2006-07-31 0.60% 0.62% 06/2006 15287.37212 15323.57178
2006-07-31 2006-08-31 2.40% 2.38% 07/2006 15379.55728 15418.11822
2006-08-31 2006-09-30 2.52% 2.58% 08/2006 15748.29792 15784.96351
2006-09-30 2006-10-31 3.25% 3.26% 09/2006 16145.28992 16191.74202
2006-10-31 2006-11-30 1.85% 1.90% 10/2006 16670.08901 16719.43089
2006-11-30 2006-12-31 1.44% 1.40% 11/2006 16978.79437 17037.43447
2006-12-31 2007-01-31 1.53% 1.51% 12/2006 17222.48265 17276.43134
2007-01-31 2007-02-28 -1.95% -1.96% 01/2007 17486.48825 17537.70592
2007-02-28 2007-03-31 1.06% 1.12% 02/2007 17144.83395 17194.68908
2007-03-31 2007-04-30 4.50% 4.43% 03/2007 17325.7434 17387.01168
2007-04-30 2007-05-31 3.44% 3.49% 04/2007 18104.77863 18157.17406
2007-05-31 2007-06-30 -1.61% -1.66% 05/2007 18728.00682 18790.77083
2007-06-30 2007-07-31 -3.14% -3.10% 06/2007 18425.59314 18478.59355
2007-07-31 2007-08-31 1.49% 1.50% 07/2007 17846.36888 17905.66827
2007-08-31 2007-09-30 3.75% 3.74% 08/2007 18112.49895 18174.07549
2007-09-30 2007-10-31 1.59% 1.59% 09/2007 18791.3635 18853.78591
2007-10-31 2007-11-30 -4.20% -4.18% 10/2007 19090.13831 19153.74965
2007-11-30 2007-12-31 -0.63% -0.69% 11/2007 18288.16381 18352.93137
2007-12-31 2008-01-31 -6.01% -6.00% 12/2007 18173.16771 18225.56203
2008-01-31 2008-02-29 -3.24% -3.25% 01/2008 17080.87801 17132.02831
2008-02-29 2008-03-31 -0.38% -0.43% 02/2008 16526.81802 16575.40871
2008-03-31 2008-04-30 4.83% 4.87% 03/2008 16464.39329 16503.80294
2008-04-30 2008-05-31 1.29% 1.30% 04/2008 17259.00687 17307.53814
2008-05-31 2008-06-30 -8.39% -8.43% 05/2008 17481.49867 17532.53614
2008-06-30 2008-07-31 -0.80% -0.84% 06/2008 16014.92457 16054.54334
2008-07-31 2008-08-31 1.41% 1.45% 07/2008 15887.18838 15919.52463
2008-08-31 2008-09-30 -8.81% -8.91% 08/2008 16110.72671 16149.72096
2008-09-30 2008-10-31 -16.72% -16.80% 09/2008 14692.09247 14710.61933
2008-10-31 2008-11-30 -7.09% -7.18% 10/2008 12235.38193 12239.97081
2008-11-30 2008-12-31 1.09% 1.06% 11/2008 11368.30762 11361.7529
2008-12-31 2009-01-31 -8.33% -8.43% 12/2008 11492.64848 11482.64196
2009-01-31 2009-02-28 -10.63% -10.65% 01/2009 10534.92778 10514.81106
2009-02-28 2009-03-31 8.77% 8.76% 02/2009 9414.881527 9395.193977
2009-03-31 2009-04-30 9.57% 9.57% 03/2009 10240.85997 10218.16778
2009-04-30 2009-05-31 5.68% 5.59% 04/2009 11220.84657 11196.14862
2009-05-31 2009-06-30 0.13% 0.20% 05/2009 11857.83786 11822.34921
2009-06-30 2009-07-31 7.61% 7.56% 06/2009 11872.67009 11845.75746
2009-07-31 2009-08-31 3.60% 3.61% 07/2009 12775.84693 12741.73881
2009-08-31 2009-09-30 3.75% 3.73% 08/2009 13235.64605 13201.71558
2009-09-30 2009-10-31 -1.92% -1.86% 09/2009 13731.58842 13694.4036
2009-10-31 2009-11-30 6.00% 6.00% 10/2009 13467.51941 13440.00171
2009-11-30 2009-12-31 1.93% 1.93% 11/2009 14276.23074 14246.13301
2009-12-31 2010-01-31 -3.54% -3.60% 12/2009 14551.92186 14521.3683
2010-01-31 2010-02-28 3.08% 3.10% 01/2010 14036.95659 13999.03468
2010-02-28 2010-03-31 6.06% 6.03% 02/2010 14468.86295 14432.68278
2010-03-31 2010-04-30 1.52% 1.58% 03/2010 15345.50396 15303.60859
2010-04-30 2010-05-31 -8.02% -7.99% 04/2010 15578.76895 15545.20666
2010-05-31 2010-06-30 -5.23% -5.23% 05/2010 14329.13507 14303.92191
2010-06-30 2010-07-31 7.01% 7.01% 06/2010 13580.01764 13555.1402
2010-07-31 2010-08-31 -4.48% -4.51% 07/2010 14532.1222 14504.85399
2010-08-31 2010-09-30 8.89% 8.92% 08/2010 13880.68224 13850.04686
2010-09-30 2010-10-31 3.78% 3.80% 09/2010 15114.81898 15086.08045
2010-10-31 2010-11-30 0.00% 0.01% 10/2010 15685.82325 15660.09072
2010-11-30 2010-12-31 6.68% 6.68% 11/2010 15685.82326 15662.09521
2010-12-31 2011-01-31 2.42% 2.37% 12/2010 16734.28613 16708.8087
2011-01-31 2011-02-28 3.35% 3.43% 01/2011 17139.9658 17104.82417
2011-02-28 2011-03-31 0.12% 0.04% 02/2011 17714.67865 17690.81834
2011-03-31 2011-04-30 2.87% 2.96% 03/2011 17735.22244 17697.8416
2011-04-30 2011-05-31 -1.12% -1.13% 04/2011 18243.88083 18221.96318
2011-05-31 2011-06-30 -1.70% -1.67% 05/2011 18040.41748 18015.70878
2011-06-30 2011-07-31 -2.02% -2.03% 06/2011 17734.49579 17715.40493
2011-07-31 2011-08-31 -5.39% -5.43% 07/2011 17376.73939 17355.17988
2011-08-31 2011-09-30 -7.08% -7.03% 08/2011 16439.75835 16412.42916
2011-09-30 2011-10-31 10.99% 10.93% 09/2011 15275.85169 15258.66821
2011-10-31 2011-11-30 -0.30% -0.22% 10/2011 16954.14033 16926.33384
2011-11-30 2011-12-31 1.08% 1.02% 11/2011 16902.76415 16888.94356
2011-12-31 2012-01-31 4.44% 4.48% 12/2011 17086.04496 17061.70057
2012-01-31 2012-02-29 4.26% 4.32% 01/2012 17845.42473 17826.32068
2012-02-29 2012-03-31 3.35% 3.29% 02/2012 18604.80451 18597.14861
2012-03-31 2012-04-30 -0.63% -0.63% 03/2012 19227.7994 19209.16218
2012-04-30 2012-05-31 -6.07% -6.01% 04/2012 19106.65215 19088.60547
2012-05-31 2012-06-30 4.13% 4.12% 05/2012 17947.09989 17941.38029
2012-06-30 2012-07-31 1.40% 1.39% 06/2012 18688.93285 18680.60498
2012-07-31 2012-08-31 2.20% 2.25% 07/2012 18949.95146 18940.05976
2012-08-31 2012-09-30 2.58% 2.58% 08/2012 19367.58125 19366.64291
2012-09-30 2012-10-31 -1.85% -1.85% 09/2012 19867.87774 19867.11129
10/31/2012 19500.60184 19500.27841
One Year Five Years Ten Years
-------- ---------- ---------
15.02% 0.43% 6.91%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
The S&P data are provided by Standard & Poor's Index Services Group.
192
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
International Equity Market Review 12 Months Ended October 31, 2012
The one-year period ending October 31, 2012, was characterized by generally
positive monthly returns with a sharp decline in the month of May. The MSCI
World ex USA Index (net dividends) dropped by -11.4% in the month of May due to
the deepening European debt crisis and concern over a potential Greece exit
from the euro. In response to the crisis, European leaders met and planned out
additional measures to stabilize the markets which positively impacted market
returns in the following months. As measured by the MSCI indices below for
developed markets outside the U.S., value stocks generally outperformed their
growth counterparts, while small cap stocks outperformed large caps.
12 Months Ended October 31, 2012
--------------------------------
U.S. Dollar
Return
-----------
MSCI World ex USA Index........... 4.40%
MSCI World ex USA Small Cap Index. 4.86%
MSCI World ex USA Value Index..... 4.74%
MSCI World ex USA Growth Index.... 3.99%
--------
The US dollar (USD) generally appreciated against other major developed
markets currencies during the period. While the USD's value remained relatively
constant against the British pound and Canadian dollar, it gained significantly
against the euro and Swiss franc, and to a lesser extent, against the Japanese
yen and Australian dollar.
12 Months Ended October 31, 2012
--------------------------------
Local
Currency U.S. Dollar
Ten Largest Foreign Developed Markets by Market Cap Return Return
--------------------------------------------------- -------- -----------
United Kingdom.................... 8.61% 8.41%
Japan............................. -0.86% -3.28%
Canada............................ 3.34% 2.69%
France............................ 10.04% 2.23%
Australia......................... 10.20% 7.71%
Switzerland....................... 17.41% 9.79%
Germany........................... 18.18% 9.79%
Spain............................. -6.40% -13.04%
Sweden............................ 9.26% 6.47%
Hong Kong......................... 16.12% 16.34%
--------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2012, all rights reserved.
Gains in emerging markets were lower on average than in developed markets,
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2012, returns in USD were 2.63% for
the MSCI Emerging Markets Index (net dividends) versus 4.40% for the MSCI World
ex USA Index (net dividends). As measured by the MSCI indices, emerging markets
growth stocks outperformed their value counterparts, while emerging markets
small cap stocks outperformed large caps.
193
12 Months Ended October 31, 2012
--------------------------------
U.S. Dollar
Return
-----------
MSCI Emerging Markets Index........... 2.63%
MSCI Emerging Markets Small Cap Index. 3.74%
MSCI Emerging Markets Value Index..... 1.36%
MSCI Emerging Markets Growth Index.... 3.89%
--------
The US dollar (USD) appreciated significantly against the Brazilian real,
Indian rupee, South African rand and depreciated to a lesser extent against the
South Korean won, Mexican peso, and Taiwanese dollar.
12 Months Ended October 31, 2012
--------------------------------
Local
Currency U.S. Dollar
Ten Largest Emerging Markets by Market Cap Return Return
------------------------------------------ -------- -----------
China........................ 7.71% 7.92%
South Korea.................. 1.71% 3.35%
Brazil....................... 4.65% -12.68%
Taiwan....................... -1.78% 0.59%
South Africa................. 17.70% 6.84%
India........................ 5.24% -4.73%
Russia....................... -1.42% -4.50%
Mexico....................... 16.32% 17.03%
Malaysia..................... 11.39% 12.19%
Indonesia.................... 12.64% 3.82%
--------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2012, all rights reserved.
Master-Feeder Structure
The Portfolio described below, called a "Feeder Fund," does not buy
individual securities directly; instead, the Portfolio invests in a
corresponding fund called a "Master Fund." The Master Fund, in turn, purchases
stocks and/or other securities.
INTERNATIONAL EQUITY PORTFOLIO PERFORMANCE OVERVIEW
DFA International Value Portfolio
The DFA International Value Portfolio seeks to capture the returns of
international large company value stocks by purchasing shares of The DFA
International Value Series, a Master Fund that invests in such stocks. Value is
measured primarily by book-to-market ratio. The investment strategy is process
driven, emphasizing broad diversification and consistent exposure to large cap
value stocks, and does not attempt to track a specific equity index. As of
October 31, 2012, the Master Fund held approximately 530 securities in 23
developed countries. In general, the Master Fund was mostly invested in
equities throughout the year. The average cash exposure for the period was less
than 1% of the Master Fund's assets.
For the 12 months ending October 31, 2012, total returns were 2.70% for the
Portfolio's Class R2 shares, 2.98% for the Portfolio's Institutional Class
shares, and 4.40% for the MSCI World ex USA Index (net dividends). The Master
Fund focuses on international large-cap value stocks, as measured by
book-to-market, while the Index is neutral with regard to value or growth.
International large-cap value stocks, as measured by high book-to-market
ratios, generally underperformed during the period. The Master Fund had
significantly greater exposure than the Index to value stocks, which
contributed to relative underperformance. In particular, large-cap value stocks
in
194
Japan significantly underperformed. As the Master Fund has significantly more
weight in these securities than the Index, these holdings detracted from
relative performance. Differences in the valuation timing and methodology
between the Master Fund and the Index contributed to relative performance. The
Master Fund prices foreign exchange rates at the closing of the U.S. markets
while the Index uses rates at 4 pm London time. The Master Fund also may use
fair value pricing to price certain portfolio securities at the closing of the
U.S. markets while the Index uses local market closing prices.
U.S. Equity Market Review 12 Months Ended October 31, 2012
The year ending October 31, 2012 saw reduced volatility for U.S. equities
with positive returns in three out of four quarters for the widely used
benchmarks. The year began in the wake of MF Global's bankruptcy filing brought
on by losses on European sovereign debt. Many headlines for the rest of the
year also originated from Europe, from the Greek debt swap to the LIBOR scandal
that reached a crescendo in July.
Broad market returns were mostly positive for the first five months through
March 2012, but negative returns following the Facebook IPO and JP Morgan's
reported $2 billion trading loss made May the worst month of the year. The last
trading day of the year followed two days of market closures in the aftermath
of Hurricane Sandy. Through all this, U.S. markets rose in 8 out of the 12
months in the period.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/ growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as earnings, dividends, and book value.
The size premium was negative during the year with small cap stocks
underperforming large cap stocks. Micro cap stocks were the strongest
performers as measured by the indices below.
Total Return for 12 Months Ended October 31, 2012
-------------------------------------------------
Russell 3000(R) Index........................ 14.75%
Russell Microcap(R) Index (micro cap stocks). 16.49%
Russell 2000(R) Index (small cap stocks)..... 12.08%
Russell 1000(R) Index (large cap stocks)..... 14.97%
Dow Jones US Select REIT Index............... 14.09%
The value premium was positive across both large cap and small cap stocks.
Total Return for 12 Months Ended October 31, 2012
-------------------------------------------------
Russell 2000(R) Value Index (small cap value stocks)... 14.47%
Russell 2000(R) Growth Index (small cap growth stocks). 9.70%
Russell 1000(R) Value Index (large cap value stocks)... 16.89%
Russell 1000(R) Growth Index (large cap growth stocks). 13.02%
--------
Source: Russell data copyright (C) Russell Investment Group 1995-2012, all
rights reserved.
For many Dimensional U.S. equity portfolios, differences in returns over the
12 months ended October 31, 2012 were attributable primarily to differences in
value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value or small-cap and micro-cap companies relative to widely
used benchmarks.
195
Domestic Equity Portfolio Performance Overview
U.S. Large Company Portfolio
The U.S. Large Company Portfolio seeks to approximate the returns of the S&P
500(R) Index by investing in S&P 500(R) Index securities in approximately the
same proportions as they are represented in the Index. In addition to
individual stocks, the Portfolio uses futures to gain market exposure for
uninvested cash. The Portfolio was mostly invested in equities or equivalents
throughout the year. The average cash exposure for the period was less than 1%
of the Portfolio's assets.
For the 12 months ended October 31, 2012, the total return was 15.02% for
the Portfolio and 15.21% for the S&P 500(R) Index. The Portfolio's return is
net of fees and expenses. The impact of fees and expenses was primarily
responsible for the performance difference.
196
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets.This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect the
dollar amount that would have been paid by an investor who started with
$1,000 in the fund.You may use the information here, together with the
amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a $7,500
account value divided by $1,000 = 7.5), then multiply the result by the
number given for your fund under the heading "Expenses Paid During Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those of
other mutual funds. The hypothetical "Ending Account Value" and "Expenses
Paid During Period" are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. In this case, because the return
used is not the fund's actual return, the results do not apply to your
investment. The example is useful in making comparisons because the SEC
requires all mutual funds to calculate expenses based on a 5% annual return.
You can assess your fund's costs by comparing this hypothetical example with
the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2012
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/12 10/31/12 Ratio* Period*
- --------- --------- ---------- --------
DFA International Value Portfolio**
Actual Fund Return Class R2 Shares.. $1,000.00 $1,017.93 0.71% $3.60
Institutional Class Shares....... $1,000.00 $1,019.96 0.45% $2.28
Hypothetical 5% Annual Return
Class R2 Shares.................. $1,000.00 $1,021.57 0.71% $3.61
Institutional Class Shares....... $1,000.00 $1,022.87 0.45% $2.29
197
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/12 10/31/12 Ratio* Period*
- --------- --------- ---------- --------
U.S. Large Company Portfolio
Actual Fund Return $1,000.00 $1,020.62 0.10% $0.51
Hypothetical 5% Annual Return $1,000.00 $1,024.63 0.10% $0.51
--------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (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).
198
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 28, 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........ 11.1%
Consumer Staples.............. 10.9%
Energy........................ 11.3%
Financials.................... 13.1%
Health Care................... 12.2%
Industrials................... 9.9%
Information Technology........ 19.1%
Materials..................... 3.5%
Real Estate Investment Trusts. 2.1%
Telecommunication Services.... 3.2%
Utilities..................... 3.6%
-----
100.0%
199
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2012
Value+
- --------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company....................................... $5,488,430,964
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $5,225,492,365)..................................... $5,488,430,964
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
200
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value+ of Net Assets**
--------- ------------ ---------------
COMMON STOCKS -- (87.9%)
Consumer Discretionary -- (9.8%)
*Amazon.com, Inc..................... 115,612 $ 26,916,786 0.7%
#Comcast Corp. Class A............... 855,404 32,086,204 0.8%
Home Depot, Inc. (The).............. 481,897 29,578,838 0.7%
#McDonald's Corp..................... 322,373 27,981,976 0.7%
#Walt Disney Co. (The)............... 573,590 28,146,061 0.7%
Other Securities.................... 304,177,178 7.5%
------------ ----
Total Consumer Discretionary............ 448,887,043 11.1%
------------ ----
Consumer Staples -- (9.6%)
Altria Group, Inc................... 649,853 20,665,325 0.5%
#Coca-Cola Co. (The)................. 1,237,685 46,017,128 1.1%
#CVS Caremark Corp................... 406,706 18,871,158 0.5%
#PepsiCo, Inc........................ 497,507 34,447,385 0.8%
#Philip Morris International, Inc.... 538,889 47,724,010 1.2%
Procter & Gamble Co. (The).......... 880,482 60,964,574 1.5%
#Wal-Mart Stores, Inc................ 537,291 40,307,571 1.0%
Other Securities.................... 172,123,444 4.3%
------------ ----
Total Consumer Staples.................. 441,120,595 10.9%
------------ ----
Energy -- (9.9%)
Chevron Corp........................ 627,254 69,129,663 1.7%
ConocoPhillips...................... 388,264 22,461,072 0.6%
#Exxon Mobil Corp.................... 1,475,617 134,532,002 3.3%
Occidental Petroleum Corp........... 258,922 20,444,481 0.5%
Schlumberger, Ltd................... 424,221 29,496,086 0.7%
Other Securities.................... 179,270,354 4.5%
------------ ----
Total Energy............................ 455,333,658 11.3%
------------ ----
Financials -- (11.5%)
#American Express Co................. 315,290 17,646,781 0.4%
Bank of America Corp................ 3,445,163 32,108,919 0.8%
*Berkshire Hathaway, Inc. Class B.... 586,237 50,621,565 1.3%
#Citigroup, Inc...................... 937,452 35,051,330 0.9%
#Goldman Sachs Group, Inc. (The)..... 144,063 17,631,871 0.4%
JPMorgan Chase & Co................. 1,214,380 50,615,358 1.3%
#U.S. Bancorp........................ 605,886 20,121,474 0.5%
Wells Fargo & Co.................... 1,570,400 52,906,776 1.3%
Other Securities.................... 251,683,942 6.2%
------------ ----
Total Financials........................ 528,388,016 13.1%
------------ ----
Health Care -- (10.7%)
#Abbott Laboratories................. 501,682 32,870,205 0.8%
#Amgen, Inc.......................... 246,397 21,324,428 0.5%
#Bristol-Myers Squibb Co............. 536,746 17,846,805 0.4%
#Johnson & Johnson................... 881,366 62,418,340 1.6%
Merck & Co., Inc.................... 973,623 44,426,418 1.1%
#Pfizer, Inc......................... 2,387,836 59,385,481 1.5%
UnitedHealth Group, Inc............. 330,134 18,487,504 0.5%
Other Securities.................... 235,341,303 5.8%
------------ ----
Total Health Care....................... 492,100,484 12.2%
------------ ----
Industrials -- (8.7%)
3M Co............................... 203,319 17,810,744 0.4%
Caterpillar, Inc.................... 208,835 17,711,296 0.4%
General Electric Co................. 3,375,438 71,086,724 1.8%
#Union Pacific Corp.................. 151,401 18,626,865 0.5%
201
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
----------- -------------- ---------------
Industrials -- (Continued)
United Parcel Service, Inc. Class B......................................... 229,794 $ 16,832,410 0.4%
#United Technologies Corp.................................................... 268,160 20,959,386 0.5%
Other Securities............................................................ 238,307,526 5.9%
-------------- -----
Total Industrials............................................................... 401,334,951 9.9%
-------------- -----
Information Technology -- (16.8%)
Apple, Inc.................................................................. 299,668 178,332,427 4.4%
#*Cisco Systems, Inc.......................................................... 1,691,120 28,985,797 0.7%
*eBay, Inc................................................................... 370,763 17,904,145 0.4%
*Google, Inc. Class A........................................................ 84,681 57,563,603 1.4%
#Intel Corp.................................................................. 1,599,353 34,586,009 0.9%
International Business Machines Corp........................................ 343,401 66,801,797 1.7%
#Microsoft Corp.............................................................. 2,411,994 68,826,249 1.7%
Oracle Corp................................................................. 1,217,449 37,801,791 0.9%
QUALCOMM, Inc............................................................... 544,524 31,895,493 0.8%
Visa, Inc................................................................... 167,087 23,184,992 0.6%
Other Securities............................................................ 225,960,051 5.6%
-------------- -----
Total Information Technology.................................................... 771,842,354 19.1%
-------------- -----
Materials -- (3.1%)
Other Securities............................................................ 141,009,003 3.5%
-------------- -----
Real Estate Investment Trusts -- (1.8%)
Other Securities............................................................ 83,664,162 2.1%
-------------- -----
Telecommunication Services -- (2.8%)
AT&T, Inc................................................................... 1,844,227 63,791,812 1.6%
Verizon Communications, Inc................................................. 910,725 40,654,764 1.0%
Other Securities............................................................ 23,537,946 0.6%
-------------- -----
Total Telecommunication Services................................................ 127,984,522 3.2%
-------------- -----
Utilities -- (3.2%)
Other Securities............................................................ 146,566,901 3.6%
-------------- -----
TOTAL COMMON STOCKS............................................................. 4,038,231,689 100.0%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.0%)
BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares......... 1,129,582 1,129,582 0.0%
-------------- -----
Shares/
Face
Amount
(000)
-----------
SECURITIES LENDING COLLATERAL -- (12.1%)
(S)@DFA Short Term Investment Fund.............................................. 47,921,323 554,449,706 13.7%
@Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12
(Collateralized by $1,507,276 FNMA, rates ranging from 2.500% to 5.500%,
maturities ranging from 10/01/22 to 07/01/42, valued at $1,511,812) to be
repurchased at $1,463,350.................................................. $ 1,463 1,463,338 0.1%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL............................................. 555,913,044 13.8%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,051,408,570)......................................................... $4,595,274,315 113.8%
============== =====
202
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Porfolio's investments as of October 31, 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. $ 448,887,043 -- -- $ 448,887,043
Consumer Staples....... 441,120,595 -- -- 441,120,595
Energy................. 455,333,658 -- -- 455,333,658
Financials............. 528,388,016 -- -- 528,388,016
Health Care............ 492,100,484 -- -- 492,100,484
Industrials............ 401,334,951 -- -- 401,334,951
Information Technology. 771,842,354 -- -- 771,842,354
Materials.............. 141,009,003 -- -- 141,009,003
Real Estate
Investment Trusts.... 83,664,162 -- -- 83,664,162
Telecommunication
Services............. 127,984,522 -- -- 127,984,522
Utilities.............. 146,566,901 -- -- 146,566,901
Temporary Cash
Investments............. 1,129,582 -- -- 1,129,582
Securities Lending
Collateral.............. -- $555,913,044 -- 555,913,044
Futures Contracts**....... (55,002) -- -- (55,002)
-------------- ------------ -- --------------
TOTAL..................... $4,039,306,269 $555,913,044 -- $4,595,219,313
============== ============ == ==============
** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the
unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
203
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 2012
(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......................................... $ 5,488,431 --
Investments at Value (including $0 and $542,644
of securities on loan, respectively).......... -- $ 4,038,232
Temporary Cash Investments at Value & Cost...... -- 1,130
Collateral Received from Securities on Loan at
Value & Cost.................................. -- 1,463
Affiliated Collateral Received from Securities
on Loan at Value & Cost....................... -- 554,450
Cash............................................ -- 151
Receivables:
Dividends and Interest....................... -- 4,811
Securities Lending Income.................... -- 42
Fund Shares Sold............................. 11,620 2,146
Prepaid Expenses and Other Assets............... 47 49
-------------- ------------
Total Assets............................. 5,500,098 4,602,474
-------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............. -- 555,913
Affiliated Investment Company Purchased...... 5,618 --
Fund Shares Redeemed......................... 6,002 8,506
Due to Advisor............................... 916 281
Futures Margin Variation..................... -- 12
Accrued Expenses and Other Liabilities.......... 267 426
-------------- ------------
Total Liabilities........................ 12,803 565,138
-------------- ------------
NET ASSETS...................................... $ 5,487,295 $ 4,037,336
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R2 Shares -- based on net assets of
$6,407 and $0 and sharesoutstanding of
407,575 and 0, respectively................... $ 15.72 N/A
============== ============
NUMBER OF SHARES AUTHORIZED..................... 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net
assets of $5,480,888 and $4,037,336 and
shares outstanding of 348,729,357 and
362,014,028,respectively...................... $ 15.72 $ 11.15
============== ============
NUMBER OF SHARES AUTHORIZED..................... 1,500,000,000 900,000,000
============== ============
Investment in Affiliated Investment Company at
Cost.......................................... $ 5,225,492 $ --
-------------- ------------
Investments at Cost............................. $ -- $ 2,494,366
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital................................. $ 6,104,959 $ 3,069,449
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)....................................... 27,224 12,249
Accumulated Net Realized Gain (Loss)............ (907,779) (588,173)
Net Unrealized Foreign Exchange Gain (Loss)..... (48) --
Net Unrealized Appreciation (Depreciation)...... 262,939 1,543,811
-------------- ------------
NET ASSETS...................................... $ 5,487,295 $ 4,037,336
============== ============
See accompanying Notes to Financial Statements.
204
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(Amounts in thousands)
DFA
International U.S. Large
Value Company
Portfolio* Portfolio
------------- ----------
Investment Income
Dividends (Net of Foreign Taxes Withheld of
$15,813 and $0, respectively)................... $199,285 $ 86,573
Interest.......................................... 2 92
Income from Securities Lending.................... 10,265 832
Expenses Allocated from Affiliated Investment
Company......................................... (12,433) --
-------- --------
Total Investment Income....................... 197,119 87,497
-------- --------
Expenses
Investment Advisory Services Fees................. -- 994
Administrative Services Fees...................... 10,513 1,987
Accounting & Transfer Agent Fees.................. 74 429
Shareholder Servicing Fees -- Class R2 Shares..... 16 --
S&P 500(R) Fees................................... -- 101
Custodian Fees.................................... -- 49
Filing Fees....................................... 122 79
Shareholders' Reports............................. 176 110
Directors'/Trustees' Fees & Expenses.............. 45 34
Professional Fees................................. 99 155
Other............................................. 53 57
-------- --------
Total Expenses................................ 11,098 3,995
-------- --------
Fees Waived, Expenses Reimbursed, and/or
Previously Waived Fees Recovered by Advisor
(Note C)........................................ -- (21)
-------- --------
Net Expenses...................................... 11,098 3,974
-------- --------
Net Investment Income (Loss)...................... 186,021 83,523
-------- --------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from
Investment Securities........................... -- 543
Net Realized Gain (Loss) on: Investment
Securities Sold................................. 74,190 68,937
Futures....................................... -- 12,993
Foreign Currency Transactions................. (951) --
Change in Unrealized Appreciation
(Depreciation) of:..............................
Investment Securities and Foreign
Currency.................................... (96,127) 393,550
Futures....................................... -- (3,799)
Translation of Foreign Currency
Denominated Amounts......................... (209) --
-------- --------
Net Realized and Unrealized Gain (Loss)........... (23,097) 472,224
-------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations $162,924 $555,747
======== ========
--------
* 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.
205
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International U.S. Large
Value Portfolio Company Portfolio
----------------------- ----------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2012 2011
----------- ---------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 186,021 $ 179,582 $ 83,523 $ 75,394
Capital Gain Distributions Received
from Investment Securities.................... -- -- 543 --
Net Realized Gain (Loss) on:
Investment Securities Sold.................. 74,190 112,233 68,937 (44,142)
Futures..................................... -- -- 12,993 2,851
Foreign Currency Transactions............... (951) 364 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency.......................... (96,127) (767,465) 393,550 251,680
Futures..................................... -- -- (3,799) 2,298
Translation of Foreign Currency
Denominated Amounts....................... (209) (353) -- --
----------- ---------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations............................. 162,924 (475,639) 555,747 288,081
----------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Class R2 Shares.......................... (205) (172) -- --
Institutional Class Shares............... (180,761) (172,488) (81,785) (74,515)
----------- ---------- ---------- ----------
Total Distributions.................. (180,966) (172,660) (81,785) (74,515)
----------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................... 1,339,320 1,450,393 610,737 651,122
Shares Issued in Lieu of Cash
Distributions............................. 168,269 162,689 70,255 62,748
Shares Redeemed............................. (1,295,677) (834,167) (879,631) (878,396)
----------- ---------- ---------- ----------
Net Increase (Decrease)
from Capital Share
Transactions....................... 211,912 778,915 (198,639) (164,526)
----------- ---------- ---------- ----------
Total Increase (Decrease)
in Net Assets...................... 193,870 130,616 275,323 49,040
Net Assets......................................
Beginning of Period......................... 5,293,425 5,162,809 3,762,013 3,712,973
----------- ---------- ---------- ----------
End of Period............................... $ 5,487,295 $5,293,425 $4,037,336 $3,762,013
=========== ========== ========== ==========
(1) Shares Issued and Redeemed:.................
Shares Issued............................... 89,258 82,666 57,663 65,475
Shares Issued in Lieu of Cash
Distributions............................. 11,721 9,157 6,768 6,398
Shares Redeemed............................. (86,334) (47,291) (82,571) (89,099)
Shares Reduced by Reverse Stock
Split (Note G)............................ -- (2) -- --
----------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed............. 14,645 44,530 (18,140) (17,226)
=========== ========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)............................... $ 27,224 $ 22,345 $ 12,249 $ 10,511
See accompanying Notes to Financial Statements.
206
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio- Class R2 Shares+
---------------------------------------------------
Year Year Year Year Period
Ended Ended Ended Ended April 30,
Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2008(a) to
2012 2011 2010 2009 Oct. 31, 2008
-------- -------- -------- -------- -------------
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)............... 0.51 0.53 0.37 0.42 0.66
Net Gains (Losses) on Securities (Realizedand
Unrealized).................................. (0.13) (2.00) 1.29 4.10 (11.73)
------ ------ ------ ------ -------
Total from Investment Operations........... 0.38 (1.47) 1.66 4.52 (11.07)
------ ------ ------ ------ -------
Less Distributions
------------------
Net Investment Income.......................... (0.49) (0.52) (0.97) (0.97) (1.66)
Net Realized Gains............................. -- -- -- -- --
------ ------ ------ ------ -------
Total Distributions........................ (0.49) (0.52) (0.97) (0.97) (1.66)
------ ------ ------ ------ -------
Net Asset Value, End of Period.................... $15.72 $15.83 $17.82 $17.13 $ 13.58
====== ====== ====== ====== =======
Total Return...................................... 2.70% (8.53)% 10.60% 34.86% (44.63)%(C)
------ ------ ------ ------ -------
Net Assets, End of Period (thousands)............. $6,407 $6,102 $4,952 $3,443 $ 3,372
Ratio of Expenses to Average Net Assets (D)....... 0.71% 0.71% 0.72% 0.74% 0.73%(B)(E)
Ratio of Net Investment Income to Average Net
Assets.......................................... 3.33% 2.97% 2.11% 2.96% 7.47%(B)(E)
DFA International Value Portfolio- Institutional Class Shares
---------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period.............. $ 15.83 $ 17.81 $ 16.46 $ 12.54 $ 25.51 $ 22.71
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............... 0.54 0.58 0.39 0.40 0.74 0.72
Net Gains (Losses) on Securities (Realizedand
Unrealized).................................. (0.12) (1.99) 1.34 3.92 (12.44) 3.09
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations........... 0.42 (1.41) 1.73 4.32 (11.70) 3.81
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions
------------------
Net Investment Income.......................... (0.53) (0.57) (0.38) (0.40) (0.78) (0.63)
Net Realized Gains............................. -- -- -- -- (0.49) (0.38)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions........................ (0.53) (0.57) (0.38) (0.40) (1.27) (1.01)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.................... $ 15.72 $ 15.83 $ 17.81 $ 16.46 $ 12.54 $ 25.51
========== ========== ========== ========== ========== ==========
Total Return...................................... 2.98% (8.26)% 10.94% 35.11% (47.96)%(C) 17.09%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)............. $5,480,888 $5,287,323 $5,157,857 $4,437,846 $3,350,073 $6,262,069
Ratio of Expenses to Average Net Assets (D)....... 0.45% 0.45% 0.45% 0.46% 0.44%(B) 0.44%
Ratio of Net Investment Income to Average Net
Assets.......................................... 3.54% 3.26% 2.34% 3.00% 3.86%(B) 2.89%
+ 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.
207
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Company Portfolio
-------------------------------------------------------------------------------
Year Year Year Year Period Year
Ended Ended Ended Ended Dec. 1, 2007 Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, to Nov. 30,
2012 2011 2010 2009 Oct. 31, 2008 2007
---------- ---------- ---------- -------- ------------- ----------
Net Asset Value, Beginning of Period........ $ 9.90 $ 9.34 $ 8.16 $ 7.62 $ 11.63 $ 11.00
---------- ---------- ---------- -------- -------- ----------
Income from Investment Operations
Net Investment Income (Loss) (A)......... 0.22 0.19 0.18 0.18 0.20 0.22
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 1.25 0.56 1.15 0.55 (3.99) 0.62
---------- ---------- ---------- -------- -------- ----------
Total from Investment Operations..... 1.47 0.75 1.33 0.73 (3.79) 0.84
---------- ---------- ---------- -------- -------- ----------
Less Distributions
Net Investment Income.................... (0.22) (0.19) (0.15) (0.19) (0.22) (0.21)
---------- ---------- ---------- -------- -------- ----------
Total Distributions.................. (0.22) (0.19) (0.15) (0.19) (0.22) (0.21)
---------- ---------- ---------- -------- -------- ----------
Net Asset Value, End of Period.............. $ 11.15 $ 9.90 $ 9.34 $ 8.16 $ 7.62 $ 11.63
========== ========== ========== ======== ======== ==========
Total Return................................ 15.02% 8.09% 16.47% 10.07% (33.10)%(C) 7.71%
---------- ---------- ---------- -------- -------- ----------
Net Assets, End of Period (thousands)....... $4,037,336 $3,762,013 $3,712,973 $785,689 $729,218 $1,002,142
Ratio of Expenses to Average Net Assets..... 0.10% 0.10% 0.10%** 0.10%(D) 0.10%(B)(D) 0.10%(D)
Ratio of Expenses to Average Net Assets
(Excluding Waiversand Assumption of
Expenses and/or Recovery of Previously
Waived Fees).............................. 0.10% 0.10% 0.11%** 0.13%(D) 0.11%(B)(D) 0.11%(D)
Ratio of Net Investment Income to Average
Net Assets................................ 2.10% 1.95% 1.99% 2.53% 2.10%(B) 1.90%
Portfolio Turnover Rate..................... 4% 4% 1%* N/A N/A N/A
---------- ---------- ---------- -------- -------- ----------
* For the period September 10, 2010 through October 31, 2010. Effective
September 10, 2010, the Portfolio directly invests in securities rather than
through The U.S. Large Company Series.
** Represents the combined ratios for the portfolio and for the period
November 1, 2009 through September 9, 2010, its respective pro-rata share of
The U.S. Large Company Series.
See Page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
208
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, two of which, DFA International Value Portfolio and U.S. Large
Company Portfolio (the "Portfolios"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
DFA International Value Portfolio (the "Feeder Fund") primarily invests its
assets in The DFA International Value Series (the "Series"), a corresponding
Series of The DFA Investment Trust Company. At October 31, 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 fund is a result of the treatment of a partnership for book
purposes. The Series/Portfolio will maintain its books and records and present
its financial statements in accordance with generally accepted accounting
principles for investment partnerships.
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 (in
Fund Shares Acquiring Fund Shares thousands)
------ ---------- ----------------------------- ----------- ----------
U.S.Large U.S. Large Company
Company Portfolio 83,482,168 Institutional Index Portfolio 311,973,980 $2,731,987
209
The net assets, including net unrealized appreciation (depreciation) of the
Target Fund, immediately before the acquisition were as follows (in thousands):
Unrealized
Target Appreciation
Fund Net Assets (Depreciation) Acquiring Fund Net Assets
------ ---------- -------------- ----------------------------- ----------
U.S. Large U.S. Large Company
Company Portfolio $2,731,987 $315,984 Institutional Index Portfolio $870,696
Assuming the acquisition had been completed on November 1, 2009, U.S. Large
Company Portfolio's result of operations for the year ended October 31, 2010
would have been as follows (in thousands):
Net Investement Income................................. $ 71,681(a)
Net Realized and Unrealized Gain (Loss) on Investments. 501,073(b)
--------
Net Increase in Net Assets Resulting from Operations... $572,754
========
(a)$43,125 as reported in the Statement of Operations, plus $27,799 Net
Investment Income from U.S. Large Company Portfolio pre-merger, plus $757 of
pro-forma eliminated expenses.
(b)$596,596 as reported in the Statement of Operations, less $95,523 Net
Realized and Unrealized Gain (Loss) on Investments from U.S. Large Company
Portfolio pre-merger.
Because both U.S. Large Company Portfolio and U.S. Large Company
Institutional Index Portfolio sold and redeemed shares throughout the period,
it is not practicable to provide pro-forma information on a per-share basis.
Prior to September 10, 2010, U.S. Large Company Portfolio invested
substantially all of its assets in shares of The U.S. Large Company Series. At
the close of business on September 9, 2010, U.S. Large Company Portfolio
received its pro-rata share of cash and securities from The U.S. Large Company
Series in a complete liquidation of its interest in the Series. Effective
September 10, 2010, U.S. Large Company Portfolio invests directly in securities
rather than through the Series and maintains the same investment objective.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the 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.
210
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 Dimensional Fund Advisors LP)
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. These securities are generally categorized as Level 2 in the
hierarchy.
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 had no material transfers between Level 1 and Level 2 during
the year ended October 31, 2012.
2. Deferred Compensation Plan: Each eligible Director/Trustee 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/Trustees may defer payment of all or a portion of their total fees
earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/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 Director/Trustee ceases to be a member
of the Board of the Fund; and (ii) five years following the effective date of
the Director's/Trustee's first deferral election. If a Director/Trustee who
elects to defer fees fails to designate in the Notice a time or date as of
which payment of the Director's/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 Director/Trustee ceases to be a member of the
Board of the Fund (unless the Director/Trustee files an amended Notice
selecting a different distribution date). As of October 31, 2012, none of the
Directors/Trustees 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
211
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
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:
The Advisor, Dimensional Fund Advisors LP, provides administrative services
to the Portfolios, including supervision of services provided by others,
providing information to the shareholders and to the Board of
Directors/Trustees, and other administrative services. The Advisor provides
investment advisory services to the Portfolios and the Series. The Advisor
receives no additional compensation for the investment advisory services it
provides to the Feeder Fund. For the year ended October 31, 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 year ended October 31, 2012, the U.S. Large Company 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 year ended October 31, 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% -- $423
(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
212
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 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 year ended October 31, 2012, the total
related amounts paid by the Fund to the CCO were $31 (in thousands). The total
related amounts paid by each Portfolio are included in Other Expenses on the
Statement of Operations.
D. Deferred Compensation:
At October 31, 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............ $145
U.S. Large Company Portfolio................. 214
E. Purchases and Sales of Securities:
For the year ended October 31, 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.................................... $154,633
Sales........................................ 297,580
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, 2012, primarily attributable
to net foreign currency gains/losses and realized gains on securities
considered to be "passive foreign investment companies", 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. -- $(176) $176
U.S. Large Company Portfolio...... -- -- --
213
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2011 and October 31, 2012 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
DFA International Value Portfolio.
2011.............................. $172,660 -- $172,660
2012.............................. 180,966 -- 180,966
U.S. Large Company Portfolio......
2011.............................. 74,515 -- 74,515
2012.............................. 81,785 -- 81,785
At October 31, 2012, 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. $30,233 -- $(906,903) $(876,670)
U.S. Large Company Portfolio...... 12,462 -- (347,015) (334,553)
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.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2012, the
following Portfolios had capital loss carryforwards available to offset future
realized capital gains through the indicated expiration dates (amounts in
thousands):
Expires on October 31,
----------------------------------------
2015 2016 2017 2018 2019 Unlimited Total
------- -------- ------- ------- ------- --------- --------
DFA International Value Portfolio. -- $906,903 -- -- -- -- $906,903
U.S. Large Company Portfolio...... $34,996 100,024 $87,500 $80,822 $43,673 -- 347,015
During the year ended October 31, 2012, the following Portfolios utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes (amounts in thousands):
DFA International Value Portfolio. $74,144
U.S. Large Company Portfolio...... 69,018
At October 31, 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. $5,229,166 $ 826,481 $(567,216) $ 259,265
U.S. Large Company Portfolio...... 3,292,622 1,732,778 (430,125) 1,302,653
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
214
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 (the "IRC") (S)336(a), the master fund recognized gain or
loss as if the master fund's investment securities were sold to its
shareholders and, pursuant to IRC (S)331, each of the Portfolios recognized
gain or loss as if it liquidated its investment in the master fund. 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 (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.
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Year Year
Ended Ended
Oct. 31, 2012 Oct. 31, 2011
-------------------- -------------------
Amount Shares Amount Shares
----------- ------- ---------- -------
DFA International Value Portfolio
---------------------------------
Class R2 Shares
Shares Issued...................................... $ 2,362 154 $ 4,366 246
Shares Issued in Lieu of Cash Distributions........ 204 14 172 9
Shares Redeemed.................................... (2,235) (146) (2,617) (146)
Shares Reduced by Reverse Stock Split.............. -- -- -- (2)
----------- ------- ---------- -------
Net Increase (Decrease) -- Class R2 Shares $ 331 22 $ 1,921 107
=========== ======= ========== =======
Institutional Class Shares
Shares Issued...................................... $ 1,336,958 89,104 $1,446,027 82,420
Shares Issued in Lieu of Cash Distributions........ 168,065 11,707 162,517 9,148
Shares Redeemed.................................... (1,293,442) (86,188) (831,550) (47,145)
----------- ------- ---------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 211,581 14,623 $ 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
215
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 adjusted retroactively to reflect the reverse stock splits for the
respective Class R2 Shares.
H. Financial Instruments:
In accordance with U.S. Large Company Portfolio's investment objective 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 records a realized gain
or loss, which is presented in the Statements of Operations as a net realized
gain or loss on futures, equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that U.S. Large Company Portfolio could
lose more than the initial margin requirements. Portfolios entering into stock
index futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At October 31, 2012, U.S. Large Company Portfolio had outstanding futues
contracts (dollar amounts in thousands):
Approximate
Number of Contract Unrealized Cash
Description Expiration Date Contracts* Value Gain (Loss) Collateral
------------------ ---------------- ---------- -------- ----------- -----------
U.S. Large Company Portfolio. S&P 500 (R) Emini Index 12/21/2012 48 $3,376 $(55) $151
* During the year ended October 31, 2012, U.S. Large Company Portfolio's
average notional contract amount of outstanding futures contracts was $60,104
(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 Compnay Portfolio's
Statements of Assets and Liabilities categorized by primary risk exposure as of
October 31, 2012 (amounts in thousands):
216
Asset Derivatives Value
-----------------------
Location on the Statements
of Assets and Equity
Liabilities Contracts
-------------------------- -----------------------
Payables:
Futures
Margin
U.S. Large Company Portfolio. Variation $(55)*
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
The following is a summary of the location of realized and change in
unrealized gains and losses on U.S. Large Company Portfolio's Statement of
Operations for the Portfolio's derivative instrument holdings through the year
ended October 31, 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 year ended
October 31, 2012 (amounts in thousands):
Realized Gain (Loss)
on Derivatives
Recognized in Income
--------------------------------
Equity
Contracts
--------------------------------
U.S. Large Company Portfolio................. $12,993
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
--------------------------------
Equity
Contracts
--------------------------------
U.S. Large Company Portfolio................. $(3,799)
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,
2013. There were no borrowings by the Portfolios under this line of credit
during the year ended October 31, 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 upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line
217
of credit. The agreement of the line of credit expires on January 11, 2013. The
Fund expects to enter into a new line of credit with substantially the same
terms as its existing line of credit prior to expiration.
For the year ended October 31, 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. 0.86% $24,056 7 $4 $31,556
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2012 that the Portfolio's available line of
credit was utilized.
There were no outstanding borrowings by the Portfolios under this line of
credit as of October 31, 2012.
J. Securities Lending:
As of October 31, 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.
218
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 December 2011, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" requiring disclosure of both gross and net information related to
offsetting and related arrangements enabling users of its financial statements
to understand the effect of those arrangements on the entity's financial
position. The objective of this disclosure is to facilitate comparison between
those entities that prepare their financial statements on the basis of U.S.
Generally Accepted Accounting Principles and those entities that prepare their
financial statements on the basis of International Financial Reporting
Standards. ASU No. 2011-11 is effective for interim and annual periods
beginning on or after January 1, 2013. Management is evaluating any impact ASU
No. 2011-11 may have on the financial statements.
N. Other:
At October 31, 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 Oustanding
Shareholders Shares
------------ -------------
DFA International Value Portfolio -- Class R2
Shares............................................ 2 63%
DFA International Value Portfolio -- Institutional
Class Shares...................................... 3 56%
U.S. Large Company Portfolio........................ 3 76%
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.
219
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Portfolios, as defined, and
Board of Directors of Dimensional Investment Group Inc.:
In our opinion, the accompanying statements of assets and liabilities,
including the schedule of investments/ summary schedule of portfolio holdings,
and the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of DFA International Value Portfolio and U.S. Large Company Portfolio
(constituting portfolios within Dimensional Investment Group Inc., hereafter
referred to as the "Portfolios") at October 31, 2012, the results of each of
their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period then ended and the financial
highlights for each of the periods indicated, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Portfolios' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2012 by
correspondence with the custodian, brokers, and the transfer agents of the
investee funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2012
220
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
The U.S. Large Cap Value Series vs. Russell 1000(R) Value Index
October 31, 2002 - October 31, 2012
The U.S. Large Cap Russell 1000 (R)
BeginDate EndDate FundReturns Benchmark0Returns EndDate Value Series Value Index
--------- ---------- ----------- ----------------- ---------- ------------------ ----------------
2002-10-31 2002-11-30 7.05% 6.30% 10/2002 10000 10000
2002-11-30 2002-12-31 -4.49% -4.34% 11/2002 10705.09955 10630
2002-12-31 2003-01-31 -2.34% -2.42% 12/2002 10223.93143 10168.658
2003-01-31 2003-02-28 -2.89% -2.67% 01/2003 9984.630377 9922.576476
2003-02-28 2003-03-31 -0.47% 0.17% 02/2003 9695.818754 9657.643684
2003-03-31 2003-04-30 9.26% 8.80% 03/2003 9650.054818 9674.061679
2003-04-30 2003-05-31 6.67% 6.46% 04/2003 10543.88494 10525.37911
2003-05-31 2003-06-30 1.07% 1.25% 05/2003 11247.36235 11205.3186
2003-06-30 2003-07-31 2.56% 1.49% 06/2003 11367.86413 11345.38508
2003-07-31 2003-08-31 3.56% 1.56% 07/2003 11658.49615 11514.43132
2003-08-31 2003-09-30 -2.20% -0.98% 08/2003 12073.68476 11694.05645
2003-09-30 2003-10-31 6.70% 6.12% 09/2003 11808.29575 11579.45469
2003-10-31 2003-11-30 2.24% 1.36% 10/2003 12599.9599 12288.11732
2003-11-30 2003-12-31 6.87% 6.16% 11/2003 12882.15164 12455.23571
2003-12-31 2004-01-31 1.70% 1.76% 12/2003 13767.16864 13222.47824
2004-01-31 2004-02-29 2.57% 2.14% 01/2004 14001.78868 13455.19385
2004-02-29 2004-03-31 -0.40% -0.88% 02/2004 14362.09803 13743.135
2004-03-31 2004-04-30 -1.64% -2.44% 03/2004 14304.20495 13622.19541
2004-04-30 2004-05-31 0.54% 1.02% 04/2004 14069.15932 13289.81384
2004-05-31 2004-06-30 3.02% 2.36% 05/2004 14144.7097 13425.36995
2004-06-30 2004-07-31 -3.24% -1.41% 06/2004 14572.39314 13742.20868
2004-07-31 2004-08-31 0.00% 1.42% 07/2004 14100.68562 13548.44353
2004-08-31 2004-09-30 3.07% 1.55% 08/2004 14100.68561 13740.83143
2004-09-30 2004-10-31 1.22% 1.66% 09/2004 14533.62279 13953.81432
2004-10-31 2004-11-30 6.55% 5.06% 10/2004 14711.06819 14185.44764
2004-11-30 2004-12-31 4.01% 3.35% 11/2004 15674.34319 14903.23129
2004-12-31 2005-01-31 -2.50% -1.78% 12/2004 16302.78274 15402.48954
2005-01-31 2005-02-28 3.05% 3.31% 01/2005 15894.78818 15128.32522
2005-02-28 2005-03-31 -0.27% -1.37% 02/2005 16379.28172 15629.07279
2005-03-31 2005-04-30 -3.39% -1.79% 03/2005 16334.64384 15414.95449
2005-04-30 2005-05-31 4.26% 2.41% 04/2005 15781.35992 15139.0268
2005-05-31 2005-06-30 2.06% 1.09% 05/2005 16453.81269 15503.59603
2005-06-30 2005-07-31 4.98% 2.89% 06/2005 16793.40915 15673.12716
2005-07-31 2005-08-31 -0.82% -0.43% 07/2005 17630.09145 16126.58428
2005-08-31 2005-09-30 1.54% 1.40% 08/2005 17484.95268 16056.50454
2005-09-30 2005-10-31 -2.65% -2.54% 09/2005 17754.26361 16281.94488
2005-10-31 2005-11-30 3.99% 3.27% 10/2005 17283.21464 15868.4229
2005-11-30 2005-12-31 0.14% 0.60% 11/2005 17973.32925 16387.32032
2005-12-31 2006-01-31 4.76% 3.88% 12/2005 17997.77062 16485.2089
2006-01-31 2006-02-28 -0.33% 0.61% 01/2006 18855.23265 17125.34866
2006-02-28 2006-03-31 1.78% 1.35% 02/2006 18792.70937 17229.93488
2006-03-31 2006-04-30 2.81% 2.54% 03/2006 19126.9216 17463.32185
2006-04-30 2006-05-31 -1.82% -2.53% 04/2006 19663.94327 17907.16926
2006-05-31 2006-06-30 0.85% 0.64% 05/2006 19305.92883 17454.821
2006-06-30 2006-07-31 -1.43% 2.43% 06/2006 19470.57243 17566.36245
2006-07-31 2006-08-31 1.64% 1.67% 07/2006 19191.90773 17993.46576
2006-08-31 2006-09-30 2.77% 1.99% 08/2006 19506.52917 18294.60194
2006-09-30 2006-10-31 3.96% 3.27% 09/2006 20047.08737 18659.10808
2006-10-31 2006-11-30 1.90% 2.28% 10/2006 20841.03142 19269.99021
2006-11-30 2006-12-31 2.01% 2.24% 11/2006 21237.42278 19709.86384
2006-12-31 2007-01-31 2.92% 1.28% 12/2006 21663.51368 20152.33357
2007-01-31 2007-02-28 -1.50% -1.56% 01/2007 22295.6056 20410.05615
2007-02-28 2007-03-31 0.70% 1.55% 02/2007 21960.40534 20091.86703
2007-03-31 2007-04-30 4.25% 3.70% 03/2007 22113.36395 20402.49503
2007-04-30 2007-05-31 4.12% 3.61% 04/2007 23053.94974 21156.42585
2007-05-31 2007-06-30 -1.61% -2.34% 05/2007 24004.13334 21919.52162
2007-06-30 2007-07-31 -6.20% -4.62% 06/2007 23618.05786 21407.34852
2007-07-31 2007-08-31 -1.91% 1.12% 07/2007 22154.5663 20417.39084
2007-08-31 2007-09-30 2.61% 3.43% 08/2007 21730.924 20646.17729
2007-09-30 2007-10-31 0.56% 0.01% 09/2007 22297.72063 21355.32822
2007-10-31 2007-11-30 -5.59% -4.89% 10/2007 22423.31438 21357.68501
2007-11-30 2007-12-31 -0.33% -0.97% 11/2007 21170.47349 20313.84869
2007-12-31 2008-01-31 -3.82% -4.01% 12/2007 21099.9937 20117.41337
2008-01-31 2008-02-29 -3.07% -4.19% 01/2008 20293.31499 19311.65235
2008-02-29 2008-03-31 -0.93% -0.75% 02/2008 19671.29767 18502.53608
2008-03-31 2008-04-30 6.30% 4.87% 03/2008 19487.71443 18363.76706
2008-04-30 2008-05-31 2.40% -0.16% 04/2008 20716.05461 19258.92111
2008-05-31 2008-06-30 -10.96% -9.57% 05/2008 21213.23992 19228.35404
2008-06-30 2008-07-31 -1.09% -0.36% 06/2008 18888.12217 17387.78848
2008-07-31 2008-08-31 1.94% 1.70% 07/2008 18682.4972 17325.02215
2008-08-31 2008-09-30 -8.98% -7.35% 08/2008 19044.78881 17619.54753
2008-09-30 2008-10-31 -22.48% -17.31% 09/2008 17333.87569 16325.01114
2008-10-31 2008-11-30 -9.81% -7.17% 10/2008 13436.89087 13498.95282
2008-11-30 2008-12-31 3.25% 1.39% 11/2008 12118.96573 12530.95655
2008-12-31 2009-01-31 -11.87% -11.50% 12/2008 12513.27114 12704.88624
2009-01-31 2009-02-28 -14.01% -13.36% 01/2009 11027.63177 11243.95781
2009-02-28 2009-03-31 9.88% 8.55% 02/2009 9482.168005 9741.64674
2009-03-31 2009-04-30 16.17% 10.72% 03/2009 10419.417 10574.58917
2009-04-30 2009-05-31 7.66% 6.18% 04/2009 12104.47104 11708.0967
2009-05-31 2009-06-30 -1.22% -0.74% 05/2009 13031.74929 12432.07598
2009-06-30 2009-07-31 9.53% 8.19% 06/2009 12872.21755 12340.27168
2009-07-31 2009-08-31 6.79% 5.23% 07/2009 14098.61783 13350.3397
2009-08-31 2009-09-30 4.37% 3.86% 08/2009 15055.80829 14048.63557
2009-09-30 2009-10-31 -4.31% -3.06% 09/2009 15713.87673 14591.41079
2009-10-31 2009-11-30 5.64% 5.64% 10/2009 15035.86682 14144.84834
2009-11-30 2009-12-31 2.76% 1.77% 11/2009 15883.37921 14942.09201
2009-12-31 2010-01-31 -2.32% -2.81% 12/2009 16322.0915 15206.51837
2010-01-31 2010-02-28 4.32% 3.16% 01/2010 15943.20362 14778.85081
2010-02-28 2010-03-31 7.79% 6.51% 02/2010 16631.18426 15245.34914
2010-03-31 2010-04-30 3.17% 2.59% 03/2010 17927.37968 16237.82243
2010-04-30 2010-05-31 -8.57% -8.22% 04/2010 18495.71152 16657.98918
2010-05-31 2010-06-30 -7.55% -5.63% 05/2010 16910.36481 15288.76974
2010-06-30 2010-07-31 7.84% 6.77% 06/2010 15634.11087 14428.09848
2010-07-31 2010-08-31 -6.03% -4.28% 07/2010 16860.51115 15404.85527
2010-08-31 2010-09-30 9.75% 7.76% 08/2010 15843.49628 14745.68693
2010-09-30 2010-10-31 3.73% 3.00% 09/2010 17388.96004 15889.70571
2010-10-31 2010-11-30 -0.77% -0.53% 10/2010 18037.05775 16366.49323
2010-11-30 2010-12-31 9.75% 7.89% 11/2010 17897.46747 16279.88285
2010-12-31 2011-01-31 3.20% 2.26% 12/2010 19642.34592 17564.43559
2011-01-31 2011-02-28 5.41% 3.69% 01/2011 20270.50216 17961.76269
2011-02-28 2011-03-31 0.47% 0.40% 02/2011 21367.28289 18624.27943
2011-03-31 2011-04-30 2.55% 2.66% 03/2011 21466.99023 18698.25097
2011-04-30 2011-05-31 -1.45% -1.06% 04/2011 22015.3806 19196.15319
2011-05-31 2011-06-30 -1.75% -2.05% 05/2011 21696.31712 18993.3429
2011-06-30 2011-07-31 -4.58% -3.32% 06/2011 21317.42923 18603.9051
2011-07-31 2011-08-31 -8.43% -6.24% 07/2011 20340.29729 17986.83479
2011-08-31 2011-09-30 -10.12% -7.56% 08/2011 18625.33105 16864.3465
2011-09-30 2011-10-31 13.88% 11.45% 09/2011 16740.86233 15589.84878
2011-10-31 2011-11-30 -0.84% -0.52% 10/2011 19064.04334 17374.76545
2011-11-30 2011-12-31 0.79% 2.02% 11/2011 18904.5116 17284.71058
2011-12-31 2012-01-31 4.97% 3.78% 12/2011 19054.07261 17633.02386
2012-01-31 2012-02-29 5.78% 3.99% 01/2012 20001.29233 18300.0833
2012-02-29 2012-03-31 1.84% 2.96% 02/2012 21157.89747 19029.58134
2012-03-31 2012-04-30 -2.04% -1.02% 03/2012 21546.7561 19593.70131
2012-04-30 2012-05-31 -7.09% -5.86% 04/2012 21108.0438 19393.89913
2012-05-31 2012-06-30 5.39% 4.96% 05/2012 19612.43371 18256.62174
2012-06-30 2012-07-31 0.96% 1.03% 06/2012 20669.33152 19163.05372
2012-07-31 2012-08-31 3.97% 2.17% 07/2012 20868.74619 19361.37516
2012-08-31 2012-09-30 3.68% 3.17% 08/2012 21696.31711 19781.74826
2012-09-30 2012-10-31 0.27% -0.49% 09/2012 22493.97582 20409.66857
10/31/2012 22553.80023 20309.47599
One Year Five Years Ten Years
-------- ---------- ---------
18.31% 0.12% 8.47%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
The DFA International Value Series vs. MSCI World ex USA Index (net div.)
October 31, 2002 - October 31, 2012
The DFA International MSCI World ex
BeginDate EndDate FundReturns Benchmark0Returns EndDate Value Series USA Index (net div.)
--------- ---------- ----------- ----------------- ---------- --------------------- --------------------
2002-10-31 2002-11-30 5.98% 4.60% 10/2002 10000 10000
2002-11-30 2002-12-31 -2.54% -3.23% 11/2002 10597.61676 10460.38388
2002-12-31 2003-01-31 -3.30% -3.81% 12/2002 10328.44944 10122.31597
2003-01-31 2003-02-28 -2.05% -1.97% 01/2003 9987.201112 9736.633173
2003-02-28 2003-03-31 -2.37% -1.93% 02/2003 9782.452114 9544.699524
2003-03-31 2003-04-30 10.98% 9.60% 03/2003 9550.780104 9360.754077
2003-04-30 2003-05-31 7.53% 6.20% 04/2003 10599.31443 10259.0855
2003-05-31 2003-06-30 3.23% 2.43% 05/2003 11397.11229 10895.37242
2003-06-30 2003-07-31 4.52% 2.29% 06/2003 11764.76014 11160.05075
2003-07-31 2003-08-31 2.63% 2.58% 07/2003 12296.37013 11416.08512
2003-08-31 2003-09-30 3.83% 3.00% 08/2003 12619.95882 11710.45636
2003-09-30 2003-10-31 7.88% 6.26% 09/2003 13102.93241 12061.78555
2003-10-31 2003-11-30 2.14% 2.27% 10/2003 14135.84737 12817.10429
2003-11-30 2003-12-31 7.50% 7.67% 11/2003 14438.43632 13107.63318
2003-12-31 2004-01-31 2.56% 1.39% 12/2003 15521.92655 14112.72688
2004-01-31 2004-02-29 3.01% 2.30% 01/2004 15919.32527 14309.22909
2004-02-29 2004-03-31 1.56% 0.50% 02/2004 16398.54138 14638.3333
2004-03-31 2004-04-30 -3.02% -2.62% 03/2004 16654.53512 14711.61449
2004-04-30 2004-05-31 1.01% 0.47% 04/2004 16151.6243 14326.52241
2004-05-31 2004-06-30 4.13% 2.31% 05/2004 16315.3627 14393.48999
2004-06-30 2004-07-31 -3.69% -3.05% 06/2004 16989.36133 14725.88378
2004-07-31 2004-08-31 1.30% 0.42% 07/2004 16362.75301 14276.8102
2004-08-31 2004-09-30 3.20% 2.91% 08/2004 16575.56338 14336.16895
2004-09-30 2004-10-31 3.82% 3.59% 09/2004 17105.7883 14754.05385
2004-10-31 2004-11-30 7.43% 6.65% 10/2004 17760.04307 15284.2776
2004-11-30 2004-12-31 4.98% 4.22% 11/2004 19080.44815 16300.75747
2004-12-31 2005-01-31 -1.00% -1.97% 12/2004 20030.65334 16989.40669
2005-01-31 2005-02-28 3.96% 4.45% 01/2005 19831.34336 16654.94269
2005-02-28 2005-03-31 -2.47% -2.27% 02/2005 20616.12642 17395.84581
2005-03-31 2005-04-30 -3.04% -2.55% 03/2005 20107.18718 17000.98254
2005-04-30 2005-05-31 0.13% 0.18% 04/2005 19496.36748 16567.48433
2005-05-31 2005-06-30 1.60% 1.63% 05/2005 19521.2989 16597.69751
2005-06-30 2005-07-31 4.46% 3.23% 06/2005 19834.17061 16869.00377
2005-07-31 2005-08-31 3.29% 2.76% 07/2005 20719.06031 17413.79488
2005-08-31 2005-09-30 2.81% 4.56% 08/2005 21401.68951 17894.53946
2005-09-30 2005-10-31 -1.50% -3.23% 09/2005 22003.41229 18711.18961
2005-10-31 2005-11-30 1.78% 2.65% 10/2005 21672.91621 18106.58452
2005-11-30 2005-12-31 4.90% 4.64% 11/2005 22058.75235 18586.07722
2005-12-31 2006-01-31 6.83% 6.32% 12/2005 23139.10286 19447.8385
2006-01-31 2006-02-28 0.96% -0.34% 01/2006 24719.46276 20677.90796
2006-02-28 2006-03-31 4.22% 3.17% 02/2006 24956.51674 20608.4637
2006-03-31 2006-04-30 5.06% 4.78% 03/2006 26010.09001 21262.03853
2006-04-30 2006-05-31 -4.05% -3.80% 04/2006 27327.0566 22278.72975
2006-05-31 2006-06-30 -0.63% -0.13% 05/2006 26220.80467 21432.31082
2006-06-30 2006-07-31 1.54% 0.94% 06/2006 26055.79316 21404.7152
2006-07-31 2006-08-31 3.44% 2.84% 07/2006 26457.06307 21605.26571
2006-08-31 2006-09-30 1.38% -0.08% 08/2006 27366.60821 22219.30598
2006-09-30 2006-10-31 4.44% 3.95% 09/2006 27745.53203 22201.41652
2006-10-31 2006-11-30 3.32% 2.98% 10/2006 28977.76406 23078.81278
2006-11-30 2006-12-31 3.90% 2.87% 11/2006 29940.61772 23766.23179
2006-12-31 2007-01-31 1.89% 0.61% 12/2006 31108.24776 24447.67862
2007-01-31 2007-02-28 -0.09% 0.80% 01/2007 31694.93227 24596.81523
2007-02-28 2007-03-31 3.23% 2.56% 02/2007 31666.99492 24793.58307
2007-03-31 2007-04-30 5.05% 4.55% 03/2007 32690.61921 25428.87548
2007-04-30 2007-05-31 3.42% 2.22% 04/2007 34340.53071 26585.83302
2007-05-31 2007-06-30 -0.73% 0.10% 05/2007 35515.04397 27176.22708
2007-06-30 2007-07-31 -2.78% -1.38% 06/2007 35255.53384 27203.4992
2007-07-31 2007-08-31 -1.12% -1.45% 07/2007 34275.02927 26827.45133
2007-08-31 2007-09-30 5.22% 5.68% 08/2007 33891.35358 26439.13227
2007-09-30 2007-10-31 4.85% 4.35% 09/2007 35660.69629 27941.23223
2007-10-31 2007-11-30 -6.06% -3.91% 10/2007 37390.13287 29155.8544
2007-11-30 2007-12-31 -2.15% -1.88% 11/2007 35125.11057 28015.69869
2007-12-31 2008-01-31 -8.10% -9.02% 12/2007 34368.5365 27489.05893
2008-01-31 2008-02-29 -1.27% 1.81% 01/2008 31584.40663 25010.60702
2008-02-29 2008-03-31 1.20% -1.43% 02/2008 31182.25454 25463.85563
2008-03-31 2008-04-30 4.47% 5.56% 03/2008 31555.9937 25100.36419
2008-04-30 2008-05-31 0.05% 1.52% 04/2008 32965.71164 26495.58367
2008-05-31 2008-06-30 -9.89% -7.78% 05/2008 32981.20304 26897.647
2008-06-30 2008-07-31 -2.83% -3.56% 06/2008 29719.76771 24806.01124
2008-07-31 2008-08-31 -4.18% -3.87% 07/2008 28878.34266 23923.25865
2008-08-31 2008-09-30 -11.68% -14.44% 08/2008 27671.77089 22998.07514
2008-09-30 2008-10-31 -25.08% -20.80% 09/2008 24439.82553 19677.65227
2008-10-31 2008-11-30 -6.13% -5.42% 10/2008 18311.13706 15584.31425
2008-11-30 2008-12-31 7.56% 5.27% 11/2008 17187.75442 14739.1788
2008-12-31 2009-01-31 -13.80% -9.33% 12/2008 18487.66861 15516.16027
2009-01-31 2009-02-28 -12.29% -10.12% 01/2009 15935.98519 14068.39209
2009-02-28 2009-03-31 10.91% 6.59% 02/2009 13978.08972 12644.22388
2009-03-31 2009-04-30 18.43% 12.90% 03/2009 15502.68045 13477.42184
2009-04-30 2009-05-31 14.86% 12.65% 04/2009 18359.28203 15215.45069
2009-05-31 2009-06-30 -1.52% -1.04% 05/2009 21087.49702 17139.69107
2009-06-30 2009-07-31 11.90% 9.39% 06/2009 20766.53055 16962.2042
2009-07-31 2009-08-31 5.73% 4.79% 07/2009 23237.97237 18554.91583
2009-08-31 2009-09-30 5.09% 4.13% 08/2009 24569.98322 19444.16669
2009-09-30 2009-10-31 -3.98% -1.61% 09/2009 25821.75245 20246.4017
2009-10-31 2009-11-30 2.98% 2.47% 10/2009 24794.65975 19921.38374
2009-11-30 2009-12-31 1.13% 1.59% 11/2009 25532.88262 20414.28949
2009-12-31 2010-01-31 -5.78% -4.69% 12/2009 25821.75244 20739.71496
2010-01-31 2010-02-28 0.40% -0.10% 01/2010 24329.25836 19767.55316
2010-02-28 2010-03-31 7.88% 6.44% 02/2010 24425.54831 19747.74296
2010-03-31 2010-04-30 -1.71% -1.49% 03/2010 26351.34713 21018.97237
2010-04-30 2010-05-31 -11.71% -11.03% 04/2010 25901.99407 20705.5737
2010-05-31 2010-06-30 -1.75% -1.45% 05/2010 22868.86094 18420.71863
2010-06-30 2010-07-31 12.50% 9.24% 06/2010 22467.65284 18154.24072
2010-07-31 2010-08-31 -4.89% -2.99% 07/2010 25276.10945 19832.15152
2010-08-31 2010-09-30 10.75% 9.59% 08/2010 24040.38854 19239.37361
2010-09-30 2010-10-31 3.50% 3.56% 09/2010 26624.16861 21084.94731
2010-10-31 2010-11-30 -5.01% -4.23% 10/2010 27554.97137 21836.08012
2010-11-30 2010-12-31 9.32% 8.05% 11/2010 26174.81554 20911.33371
2010-12-31 2011-01-31 4.26% 2.15% 12/2010 28614.16071 22595.14698
2011-01-31 2011-02-28 3.34% 3.71% 01/2011 29833.8333 23081.88961
2011-02-28 2011-03-31 -2.76% -2.00% 02/2011 30828.82935 23937.75502
2011-03-31 2011-04-30 5.35% 5.45% 03/2011 29978.26821 23458.22183
2011-04-30 2011-05-31 -3.61% -2.96% 04/2011 31583.10056 24735.79508
2011-05-31 2011-06-30 -1.37% -1.42% 05/2011 30443.66959 24002.51829
2011-06-30 2011-07-31 -3.21% -1.65% 06/2011 30026.41318 23660.6711
2011-07-31 2011-08-31 -10.71% -8.45% 07/2011 29063.51377 23270.36799
2011-08-31 2011-09-30 -10.95% -10.04% 08/2011 25950.13903 21303.01857
2011-09-30 2011-10-31 9.65% 9.73% 09/2011 23109.58578 19163.70779
2011-10-31 2011-11-30 -3.29% -4.62% 10/2011 25340.30274 21027.44381
2011-11-30 2011-12-31 -2.69% -1.09% 11/2011 24505.78992 20055.70845
2011-12-31 2012-01-31 6.73% 5.40% 12/2011 23847.80865 19836.86573
2012-01-31 2012-02-29 5.23% 5.50% 01/2012 25452.641 20907.86348
2012-02-29 2012-03-31 -0.84% -0.74% 02/2012 26784.65185 22057.34745
2012-03-31 2012-04-30 -3.56% -1.70% 03/2012 26559.97531 21894.09324
2012-04-30 2012-05-31 -12.34% -11.40% 04/2012 25613.12423 21522.48712
2012-05-31 2012-06-30 7.08% 6.55% 05/2012 22451.60451 19068.8287
2012-06-30 2012-07-31 -0.40% 1.25% 06/2012 24040.38854 20318.28267
2012-07-31 2012-08-31 4.16% 2.85% 07/2012 23944.09859 20571.27444
2012-08-31 2012-09-30 3.54% 3.04% 08/2012 24939.09466 21158.19849
2012-09-30 2012-10-31 1.24% 0.70% 09/2012 25821.75245 21800.59481
10/31/2012 26142.71891 21953.36604
One Year Five Years Ten Years
-------- ---------- ---------
3.17% -6.91% 10.09%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
The Japanese Small Company Series vs. MSCI Japan Small Cap Index (net div.)
October 31, 2002 - October 31, 2012
The Japanese Small MSCI Japan Small
BeginDate EndDate FundReturns Benchmark0Returns EndDate Company Series Cap Index (net div.)
--------- ---------- ----------- ----------------- ---------- ------------------ --------------------
2002-10-31 2002-11-30 -0.79% 0.75% 10/2002 10000 10000
2002-11-30 2002-12-31 -0.80% -2.23% 11/2002 9920.844328 10075.08187
2002-12-31 2003-01-31 0.27% -0.58% 12/2002 9841.688656 9849.969381
2003-01-31 2003-02-28 7.22% 5.07% 01/2003 9868.073882 9792.859234
2003-02-28 2003-03-31 1.00% -1.62% 02/2003 10580.47494 10289.41133
2003-03-31 2003-04-30 4.44% 3.12% 03/2003 10686.01583 10122.74022
2003-04-30 2003-05-31 6.38% 4.57% 04/2003 11160.94987 10438.51008
2003-05-31 2003-06-30 8.00% 11.22% 05/2003 11873.35093 10915.49296
2003-06-30 2003-07-31 1.23% 1.17% 06/2003 12823.219 12140.63207
2003-07-31 2003-08-31 8.74% 12.61% 07/2003 12981.53034 12283.20775
2003-08-31 2003-09-30 6.54% 7.28% 08/2003 14116.09499 13831.70478
2003-09-30 2003-10-31 4.04% 7.41% 09/2003 15039.57785 14837.98823
2003-10-31 2003-11-30 -6.24% -6.87% 10/2003 15646.43801 15937.72465
2003-11-30 2003-12-31 5.94% 7.15% 11/2003 14670.18471 14842.64757
2003-12-31 2004-01-31 4.92% 3.64% 12/2003 15540.89711 15903.77806
2004-01-31 2004-02-29 0.65% -0.26% 01/2004 16306.06861 16482.86696
2004-02-29 2004-03-31 20.42% 18.33% 02/2004 16411.60951 16440.26731
2004-03-31 2004-04-30 -3.34% -3.18% 03/2004 19762.53299 19454.19207
2004-04-30 2004-05-31 -4.83% -4.97% 04/2004 19102.90239 18835.29913
2004-05-31 2004-06-30 9.72% 10.52% 05/2004 18179.41954 17899.83759
2004-06-30 2004-07-31 -6.35% -8.19% 06/2004 19947.22957 19782.60869
2004-07-31 2004-08-31 1.55% 1.04% 07/2004 18680.7388 18161.42602
2004-08-31 2004-09-30 -2.36% -3.02% 08/2004 18970.97626 18350.99444
2004-09-30 2004-10-31 1.99% 1.85% 09/2004 18522.42745 17797.06595
2004-10-31 2004-11-30 3.07% 4.35% 10/2004 18891.82059 18126.14819
2004-11-30 2004-12-31 4.88% 4.84% 11/2004 19472.29552 18914.90721
2004-12-31 2005-01-31 4.13% 3.40% 12/2004 20422.16359 19830.53329
2005-01-31 2005-02-28 3.72% 1.91% 01/2005 21266.49077 20505.07202
2005-02-28 2005-03-31 0.60% -0.23% 02/2005 22058.0475 20897.12186
2005-03-31 2005-04-30 -2.73% -0.81% 03/2005 22189.97362 20848.39852
2005-04-30 2005-05-31 -1.71% -1.84% 04/2005 21583.11347 20678.93181
2005-05-31 2005-06-30 1.87% 1.35% 05/2005 21213.72033 20298.06438
2005-06-30 2005-07-31 2.08% 2.83% 06/2005 21609.49869 20572.69895
2005-07-31 2005-08-31 5.62% 3.43% 07/2005 22058.0475 21155.3822
2005-08-31 2005-09-30 4.08% 6.25% 08/2005 23298.15305 21881.43987
2005-09-30 2005-10-31 3.16% 2.00% 09/2005 24248.02112 23249.02154
2005-10-31 2005-11-30 2.00% 4.27% 10/2005 25013.19263 23713.49078
2005-11-30 2005-12-31 11.27% 13.52% 11/2005 25514.51189 24726.96291
2005-12-31 2006-01-31 4.28% 3.19% 12/2005 28390.50134 28070.90178
2006-01-31 2006-02-28 -5.97% -6.51% 01/2006 29604.22165 28965.62742
2006-02-28 2006-03-31 4.45% 4.49% 02/2006 27836.41163 27079.52821
2006-03-31 2006-04-30 2.00% 0.50% 03/2006 29076.51717 28294.28366
2006-04-30 2006-05-31 -7.03% -8.02% 04/2006 29656.9921 28434.72936
2006-05-31 2006-06-30 -3.83% -3.13% 05/2006 27572.55938 26153.78472
2006-06-30 2006-07-31 -4.78% -6.61% 06/2006 26517.15041 25334.67345
2006-07-31 2006-08-31 1.67% 2.66% 07/2006 25250.65964 23659.84185
2006-08-31 2006-09-30 -1.54% -2.19% 08/2006 25672.82323 24289.11846
2006-09-30 2006-10-31 -0.73% -0.64% 09/2006 25277.04486 23757.55478
2006-10-31 2006-11-30 -0.63% -0.84% 10/2006 25092.34829 23605.12794
2006-11-30 2006-12-31 0.85% 0.58% 11/2006 24934.03695 23406.37397
2006-12-31 2007-01-31 2.10% 1.94% 12/2006 25145.11875 23542.69283
2007-01-31 2007-02-28 4.01% 3.95% 01/2007 25672.82323 24000.37275
2007-02-28 2007-03-31 -0.69% -0.92% 02/2007 26701.84698 24947.40195
2007-03-31 2007-04-30 -1.39% -1.71% 03/2007 26517.15041 24717.55696
2007-04-30 2007-05-31 -2.02% -2.38% 04/2007 26147.75727 24294.40116
2007-05-31 2007-06-30 1.65% 0.66% 05/2007 25620.05278 23715.33754
2007-06-30 2007-07-31 0.61% -0.03% 06/2007 26042.21638 23871.04781
2007-07-31 2007-08-31 -4.23% -6.09% 07/2007 26200.52772 23864.94367
2007-08-31 2007-09-30 -0.11% -0.61% 08/2007 25092.3483 22411.08335
2007-09-30 2007-10-31 0.63% 3.62% 09/2007 25065.96307 22275.03884
2007-10-31 2007-11-30 -2.30% -4.20% 10/2007 25224.27442 23080.52444
2007-11-30 2007-12-31 -6.21% -5.98% 11/2007 24643.79948 22110.18267
2007-12-31 2008-01-31 -2.85% -4.91% 12/2007 23113.45647 20787.37617
2008-01-31 2008-02-29 -0.71% 1.10% 01/2008 22453.82586 19766.37958
2008-02-29 2008-03-31 2.01% 0.03% 02/2008 22295.51452 19983.05381
2008-03-31 2008-04-30 0.70% 1.24% 03/2008 22744.06333 19989.52537
2008-04-30 2008-05-31 3.69% 3.08% 04/2008 22902.37468 20237.73298
2008-05-31 2008-06-30 -4.67% -6.14% 05/2008 23746.70186 20861.33463
2008-06-30 2008-07-31 -2.80% -3.27% 06/2008 22638.52244 19580.38503
2008-07-31 2008-08-31 -5.52% -4.42% 07/2008 22005.27706 18939.5221
2008-08-31 2008-09-30 -6.47% -9.76% 08/2008 20791.55674 18102.73475
2008-09-30 2008-10-31 -7.33% -10.56% 09/2008 19445.9103 16335.0643
2008-10-31 2008-11-30 2.64% 4.08% 10/2008 18021.10819 14610.87139
2008-11-30 2008-12-31 10.27% 7.79% 11/2008 18496.04223 15207.58848
2008-12-31 2009-01-31 -6.86% -5.24% 12/2008 20395.77837 16391.82817
2009-01-31 2009-02-28 -12.92% -13.15% 01/2009 18997.36148 15532.69167
2009-02-28 2009-03-31 4.47% 3.53% 02/2009 16543.53562 13490.5956
2009-03-31 2009-04-30 4.12% 5.12% 03/2009 17282.32191 13966.68196
2009-04-30 2009-05-31 12.32% 12.24% 04/2009 17994.72296 14681.2359
2009-05-31 2009-06-30 6.66% 6.36% 05/2009 20211.0818 16477.8381
2009-06-30 2009-07-31 2.08% 2.50% 06/2009 21556.72824 17526.07854
2009-07-31 2009-08-31 5.28% 5.61% 07/2009 22005.27705 17964.79588
2009-08-31 2009-09-30 -1.03% -0.39% 08/2009 23166.22692 18971.85596
2009-09-30 2009-10-31 -3.57% -3.66% 09/2009 22928.75989 18896.95379
2009-10-31 2009-11-30 -4.06% -3.57% 10/2009 22110.81795 18205.29095
2009-11-30 2009-12-31 -0.37% -1.87% 11/2009 21213.72032 17554.53077
2009-12-31 2010-01-31 1.37% 2.16% 12/2009 21134.56465 17226.74007
2010-01-31 2010-02-28 1.97% 1.90% 01/2010 21424.80211 17598.31424
2010-02-28 2010-03-31 5.07% 4.55% 02/2010 21846.9657 17932.44578
2010-03-31 2010-04-30 2.99% 2.71% 03/2010 22955.14512 18748.39441
2010-04-30 2010-05-31 -8.37% -6.94% 04/2010 23641.16094 19256.15939
2010-05-31 2010-06-30 1.58% 0.44% 05/2010 21662.26912 17920.38247
2010-06-30 2010-07-31 1.80% 1.21% 06/2010 22005.27704 17999.54236
2010-07-31 2010-08-31 -2.71% -2.12% 07/2010 22401.0554 18217.74964
2010-08-31 2010-09-30 4.36% 4.09% 08/2010 21794.19525 17832.12461
2010-09-30 2010-10-31 -2.09% -0.82% 09/2010 22744.06332 18561.32287
2010-10-31 2010-11-30 2.49% 1.95% 10/2010 22269.12928 18408.83566
2010-11-30 2010-12-31 9.25% 10.09% 11/2010 22823.21899 18767.41745
2010-12-31 2011-01-31 2.33% 1.19% 12/2010 24934.03693 20661.01405
2011-01-31 2011-02-28 4.65% 4.02% 01/2011 25514.51186 20906.71999
2011-02-28 2011-03-31 -6.23% -6.17% 02/2011 26701.84695 21747.69396
2011-03-31 2011-04-30 -0.53% 0.09% 03/2011 25039.57783 20405.73235
2011-04-30 2011-05-31 -1.69% -1.49% 04/2011 24907.65171 20424.23355
2011-05-31 2011-06-30 5.06% 3.72% 05/2011 24485.48812 20120.65268
2011-06-30 2011-07-31 3.69% 4.15% 06/2011 25725.59366 20870.11031
2011-07-31 2011-08-31 -2.67% -4.09% 07/2011 26675.46174 21737.00781
2011-08-31 2011-09-30 -0.51% 0.09% 08/2011 25963.06068 20848.50785
2011-09-30 2011-10-31 -5.11% -3.69% 09/2011 25831.13456 20867.42386
2011-10-31 2011-11-30 1.61% -2.71% 10/2011 24511.87334 20097.71099
2011-11-30 2011-12-31 -0.53% 1.56% 11/2011 24907.65171 19553.25552
2011-12-31 2012-01-31 6.39% 4.10% 12/2011 24775.72559 19858.08869
2012-01-31 2012-02-29 0.10% 1.09% 01/2012 26358.83905 20673.25987
2012-02-29 2012-03-31 2.90% 2.67% 02/2012 26385.22427 20897.89665
2012-03-31 2012-04-30 -2.04% -1.45% 03/2012 27150.39578 21455.93331
2012-04-30 2012-05-31 -8.33% -8.30% 04/2012 26596.30607 21145.10649
2012-05-31 2012-06-30 5.30% 4.27% 05/2012 24379.94724 19389.29527
2012-06-30 2012-07-31 -3.39% -1.56% 06/2012 25672.82322 20216.46374
2012-07-31 2012-08-31 0.11% -0.57% 07/2012 24802.11082 19900.07911
2012-08-31 2012-09-30 1.38% 2.77% 08/2012 24828.49605 19786.64947
2012-09-30 2012-10-31 -2.10% -2.16% 09/2012 25171.50396 20333.93316
10/31/2012 24643.79948 19894.1037
One Year Five Years Ten Years
-------- ---------- ---------
0.54% -0.46% 9.44%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
221
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
The Asia Pacific Small Company Series vs. MSCI Pacific ex Japan Small Cap Index
(net div.)
October 31, 2002 - October 31, 2012
MSCI0 Pacific ex
The Asia Pacific Japan Small
BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Company Series Cap Index (net div.)
--------- ---------- ----------- ----------------- ---------- -------------------- --------------------
2002-10-31 2002-11-30 0.96% 2.23% 10/2002 10000 10000
2002-11-30 2002-12-31 1.36% 1.63% 11/2002 10095.89041 10222.94441
2002-12-31 2003-01-31 3.21% 3.70% 12/2002 10232.87671 10389.69329
2003-01-31 2003-02-28 0.65% -1.56% 01/2003 10561.64383 10774.1636
2003-02-28 2003-03-31 -2.06% -0.24% 02/2003 10630.13699 10605.86716
2003-03-31 2003-04-30 2.89% 5.52% 03/2003 10410.9589 10580.71942
2003-04-30 2003-05-31 10.23% 7.11% 04/2003 10712.32877 11164.43722
2003-05-31 2003-06-30 4.64% 5.34% 05/2003 11808.21918 11958.2354
2003-06-30 2003-07-31 6.87% 2.28% 06/2003 12356.16438 12596.40774
2003-07-31 2003-08-31 7.16% 4.86% 07/2003 13205.47945 12883.57562
2003-08-31 2003-09-30 8.03% 7.96% 08/2003 14150.68493 13509.07737
2003-09-30 2003-10-31 5.82% 8.26% 09/2003 15287.67123 14584.14338
2003-10-31 2003-11-30 0.76% -0.44% 10/2003 16178.08219 15788.91371
2003-11-30 2003-12-31 4.45% 6.55% 11/2003 16301.36986 15719.08037
2003-12-31 2004-01-31 6.28% 4.09% 12/2003 17027.39726 16749.07389
2004-01-31 2004-02-29 3.10% 3.02% 01/2004 18095.89041 17434.54333
2004-02-29 2004-03-31 -3.16% 0.20% 02/2004 18657.53424 17961.48526
2004-03-31 2004-04-30 -7.28% -5.66% 03/2004 18068.49314 17996.98227
2004-04-30 2004-05-31 -0.74% -0.45% 04/2004 16753.42465 16979.07901
2004-05-31 2004-06-30 0.41% 0.12% 05/2004 16630.13698 16902.18495
2004-06-30 2004-07-31 1.80% 3.77% 06/2004 16698.63013 16922.1097
2004-07-31 2004-08-31 2.42% 3.29% 07/2004 16999.99999 17560.66893
2004-08-31 2004-09-30 6.14% 5.97% 08/2004 17410.9589 18139.16374
2004-09-30 2004-10-31 4.74% 6.40% 09/2004 18479.45205 19221.96752
2004-10-31 2004-11-30 7.29% 7.70% 10/2004 19356.16437 20452.36921
2004-11-30 2004-12-31 2.31% 4.23% 11/2004 20767.12328 22026.32775
2004-12-31 2005-01-31 2.26% 0.87% 12/2004 21246.57533 22957.37457
2005-01-31 2005-02-28 2.90% 3.19% 01/2005 21726.02738 23157.68602
2005-02-28 2005-03-31 -3.37% -2.84% 02/2005 22356.16437 23895.28867
2005-03-31 2005-04-30 -3.36% -1.63% 03/2005 21602.73971 23215.91272
2005-04-30 2005-05-31 -2.23% 1.28% 04/2005 20876.71232 22838.30968
2005-05-31 2005-06-30 4.50% 5.47% 05/2005 20410.95889 23131.7645
2005-06-30 2005-07-31 3.40% 4.16% 06/2005 21328.76711 24396.40581
2005-07-31 2005-08-31 2.61% -0.08% 07/2005 22054.79451 25412.08446
2005-08-31 2005-09-30 3.69% 5.04% 08/2005 22630.13697 25391.96627
2005-09-30 2005-10-31 -5.60% -5.88% 09/2005 23465.75341 26672.76016
2005-10-31 2005-11-30 2.47% 3.79% 10/2005 22150.68492 25105.66888
2005-11-30 2005-12-31 1.57% 1.96% 11/2005 22698.63012 26057.80112
2005-12-31 2006-01-31 6.77% 5.72% 12/2005 23054.7945 26569.26752
2006-01-31 2006-02-28 1.45% 1.00% 01/2006 24616.43833 28089.73876
2006-02-28 2006-03-31 5.10% 4.23% 02/2006 24972.60272 28371.87709
2006-03-31 2006-04-30 5.74% 6.45% 03/2006 26246.57533 29573.16543
2006-04-30 2006-05-31 -5.68% -5.11% 04/2006 27753.42464 31480.62173
2006-05-31 2006-06-30 -0.63% -1.22% 05/2006 26178.08218 29873.19735
2006-06-30 2006-07-31 1.95% 1.03% 06/2006 26013.69863 29509.32885
2006-07-31 2006-08-31 2.48% 3.26% 07/2006 26520.54794 29812.16571
2006-08-31 2006-09-30 1.06% 1.65% 08/2006 27178.08219 30784.60958
2006-09-30 2006-10-31 8.23% 6.97% 09/2006 27465.75342 31293.56121
2006-10-31 2006-11-30 5.58% 6.08% 10/2006 29726.02739 33475.41808
2006-11-30 2006-12-31 2.88% 3.73% 11/2006 31383.56164 35510.06393
2006-12-31 2007-01-31 2.59% 2.54% 12/2006 32287.67123 36835.73688
2007-01-31 2007-02-28 2.69% 1.91% 01/2007 33123.28767 37771.32964
2007-02-28 2007-03-31 5.24% 5.16% 02/2007 34013.69862 38491.52928
2007-03-31 2007-04-30 7.00% 6.93% 03/2007 35794.52054 40477.38445
2007-04-30 2007-05-31 8.58% 3.93% 04/2007 38301.36985 43284.20999
2007-05-31 2007-06-30 4.12% 2.60% 05/2007 41589.04108 44983.41006
2007-06-30 2007-07-31 1.58% -0.03% 06/2007 43301.36985 46153.21619
2007-07-31 2007-08-31 -7.44% -6.44% 07/2007 43986.30135 46140.90182
2007-08-31 2007-09-30 11.71% 8.87% 08/2007 40712.32875 43171.53026
2007-09-30 2007-10-31 8.77% 6.84% 09/2007 45479.45203 47002.60658
2007-10-31 2007-11-30 -6.59% -8.03% 10/2007 49465.75341 50215.50421
2007-11-30 2007-12-31 -1.69% -1.38% 11/2007 46205.47942 46181.72607
2007-12-31 2008-01-31 -10.04% -13.40% 12/2007 45424.6575 45546.18965
2008-01-31 2008-02-29 3.08% 5.94% 01/2008 40863.01367 39443.03773
2008-02-29 2008-03-31 -4.85% -6.31% 02/2008 42123.28764 41786.09735
2008-03-31 2008-04-30 7.01% 6.69% 03/2008 40082.19175 39150.03399
2008-04-30 2008-05-31 4.38% 1.08% 04/2008 42890.41093 41769.12844
2008-05-31 2008-06-30 -9.82% -11.19% 05/2008 44767.12325 42219.7361
2008-06-30 2008-07-31 -5.87% -4.60% 06/2008 40369.86297 37496.3338
2008-07-31 2008-08-31 -6.99% -8.12% 07/2008 37999.99995 35772.06782
2008-08-31 2008-09-30 -17.17% -19.52% 08/2008 35342.46571 32866.37089
2008-09-30 2008-10-31 -33.22% -35.32% 09/2008 29273.97257 26450.30161
2008-10-31 2008-11-30 -9.60% -10.91% 10/2008 19547.94518 17107.99184
2008-11-30 2008-12-31 10.93% 11.62% 11/2008 17671.23285 15240.90591
2008-12-31 2009-01-31 -12.30% -11.01% 12/2008 19602.7397 17011.6769
2009-01-31 2009-02-28 -5.50% -6.21% 01/2009 17191.7808 15138.38093
2009-02-28 2009-03-31 15.51% 14.33% 02/2009 16246.57532 14198.33404
2009-03-31 2009-04-30 14.96% 17.90% 03/2009 18767.12326 16233.2625
2009-04-30 2009-05-31 25.84% 23.98% 04/2009 21575.34243 19138.9839
2009-05-31 2009-06-30 0.81% 2.82% 05/2009 27150.68488 23727.9327
2009-06-30 2009-07-31 14.46% 14.44% 06/2009 27369.86296 24395.89769
2009-07-31 2009-08-31 4.55% 5.14% 07/2009 31328.76705 27918.80754
2009-08-31 2009-09-30 7.82% 8.38% 08/2009 32753.42459 29353.56318
2009-09-30 2009-10-31 2.25% 2.40% 09/2009 35315.06842 31812.29559
2009-10-31 2009-11-30 4.67% 2.88% 10/2009 36109.58897 32574.95601
2009-11-30 2009-12-31 2.65% 4.00% 11/2009 37794.52047 33511.53396
2009-12-31 2010-01-31 -5.40% -6.39% 12/2009 38794.52047 34850.68161
2010-01-31 2010-02-28 1.79% 1.25% 01/2010 36698.63008 32622.21372
2010-02-28 2010-03-31 8.25% 8.24% 02/2010 37356.16432 33031.08649
2010-03-31 2010-04-30 1.39% 2.80% 03/2010 40438.3561 35753.24456
2010-04-30 2010-05-31 -13.83% -15.10% 04/2010 40999.99993 36753.03781
2010-05-31 2010-06-30 -1.20% -0.57% 05/2010 35328.76706 31203.76406
2010-06-30 2010-07-31 11.11% 10.17% 06/2010 34904.10953 31025.8813
2010-07-31 2010-08-31 -0.11% -0.22% 07/2010 38780.82186 34182.58827
2010-08-31 2010-09-30 15.17% 15.01% 08/2010 38739.72596 34106.50072
2010-09-30 2010-10-31 4.33% 4.44% 09/2010 44616.43827 39227.22466
2010-10-31 2010-11-30 -1.32% -1.34% 10/2010 46547.94513 40968.50656
2010-11-30 2010-12-31 9.81% 10.09% 11/2010 45931.50678 40421.36451
2010-12-31 2011-01-31 -2.12% -2.91% 12/2010 50438.35609 44501.01994
2011-01-31 2011-02-28 0.64% 0.55% 01/2011 49369.86294 43206.90568
2011-02-28 2011-03-31 2.12% 3.07% 02/2011 49684.93144 43443.45509
2011-03-31 2011-04-30 4.27% 4.05% 03/2011 50739.72597 44776.95098
2011-04-30 2011-05-31 -2.95% -2.29% 04/2011 52904.10953 46588.20093
2011-05-31 2011-06-30 -3.36% -3.56% 05/2011 51342.4657 45521.78147
2011-06-30 2011-07-31 1.66% 1.48% 06/2011 49616.43831 43902.98932
2011-07-31 2011-08-31 -6.95% -6.96% 07/2011 50438.35613 44550.56657
2011-08-31 2011-09-30 -18.65% -18.18% 08/2011 46931.50683 41451.93249
2011-09-30 2011-10-31 15.64% 16.38% 09/2011 38178.08217 33915.26065
2011-10-31 2011-11-30 -2.67% -6.82% 10/2011 44150.68491 39471.81922
2011-11-30 2011-12-31 -5.83% -3.21% 11/2011 42972.60272 36780.00112
2011-12-31 2012-01-31 10.36% 10.38% 12/2011 40465.75341 35600.90329
2012-01-31 2012-02-29 7.55% 7.78% 01/2012 44657.53422 39297.23236
2012-02-29 2012-03-31 -1.43% -3.13% 02/2012 48027.39723 42352.65578
2012-03-31 2012-04-30 -0.41% 0.54% 03/2012 47342.46573 41026.60855
2012-04-30 2012-05-31 -12.46% -12.98% 04/2012 47150.68491 41248.3563
2012-05-31 2012-06-30 2.12% 1.40% 05/2012 41273.97258 35894.03867
2012-06-30 2012-07-31 1.49% 3.29% 06/2012 42150.68492 36396.50327
2012-07-31 2012-08-31 3.36% 1.60% 07/2012 42780.8219 37593.17588
2012-08-31 2012-09-30 4.96% 5.32% 08/2012 44219.17807 38194.19868
2012-09-30 2012-10-31 2.24% 2.06% 09/2012 46410.95889 40226.10709
10/31/2012 47452.05477 41055.3557
One Year Five Years Ten Years
-------- ---------- ---------
7.48% -0.83% 16.85%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
The United Kingdom Small Company Series vs. MSCI UK Small Cap Index (net div.)
October 31, 2002 - October 31, 2012
The United Kingdom MSCI UK Small
BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Company Series Cap Index (net div.)
--------- ---------- ----------- ----------------- ---------- -------------------- --------------------
2002-10-31 2002-11-30 3.38% 1.85% 10/2002 10000 10000
2002-11-30 2002-12-31 -0.24% -2.90% 11/2002 10337.55274 10184.73327
2002-12-31 2003-01-31 -2.37% -7.52% 12/2002 10312.23629 9889.741677
2003-01-31 2003-02-28 -3.35% -2.90% 01/2003 10067.51055 9146.50954
2003-02-28 2003-03-31 -0.87% -0.12% 02/2003 9729.957808 8880.979174
2003-03-31 2003-04-30 9.45% 13.39% 03/2003 9645.569623 8870.105074
2003-04-30 2003-05-31 11.99% 14.56% 04/2003 10556.96203 10057.78446
2003-05-31 2003-06-30 5.71% 3.29% 05/2003 11822.78481 11522.12121
2003-06-30 2003-07-31 3.98% 6.33% 06/2003 12497.8903 11901.70319
2003-07-31 2003-08-31 4.22% 4.76% 07/2003 12995.78059 12654.92432
2003-08-31 2003-09-30 3.93% 2.62% 08/2003 13544.3038 13257.17248
2003-09-30 2003-10-31 5.70% 8.11% 09/2003 14075.94937 13605.01726
2003-10-31 2003-11-30 0.51% 0.83% 10/2003 14877.63713 14708.35915
2003-11-30 2003-12-31 5.59% 5.61% 11/2003 14953.5865 14830.88245
2003-12-31 2004-01-31 7.43% 8.47% 12/2003 15789.02954 15662.49826
2004-01-31 2004-02-29 5.82% 6.77% 01/2004 16962.02532 16989.77076
2004-02-29 2004-03-31 -1.36% -0.38% 02/2004 17949.36709 18140.78167
2004-03-31 2004-04-30 -3.57% -3.48% 03/2004 17704.64135 18071.61733
2004-04-30 2004-05-31 0.15% -0.06% 04/2004 17071.72996 17442.81614
2004-05-31 2004-06-30 3.41% 3.47% 05/2004 17097.04641 17432.82714
2004-06-30 2004-07-31 -3.68% -4.53% 06/2004 17679.32489 18037.60416
2004-07-31 2004-08-31 -0.69% -1.37% 07/2004 17029.53587 17221.28795
2004-08-31 2004-09-30 2.84% 3.29% 08/2004 16911.3924 16985.59814
2004-09-30 2004-10-31 3.15% 3.81% 09/2004 17392.40506 17543.84412
2004-10-31 2004-11-30 8.09% 8.09% 10/2004 17940.92826 18211.46333
2004-11-30 2004-12-31 4.13% 5.77% 11/2004 19392.40506 19683.89242
2004-12-31 2005-01-31 2.84% 2.25% 12/2004 20194.09282 20819.35084
2005-01-31 2005-02-28 3.41% 2.37% 01/2005 20767.93248 21286.81073
2005-02-28 2005-03-31 -2.24% -1.25% 02/2005 21476.79324 21790.68621
2005-03-31 2005-04-30 -3.38% -4.52% 03/2005 20995.78058 21518.58081
2005-04-30 2005-05-31 -1.96% -0.89% 04/2005 20286.91983 20545.98101
2005-05-31 2005-06-30 1.91% 1.54% 05/2005 19890.29536 20363.7766
2005-06-30 2005-07-31 1.96% 2.97% 06/2005 20270.04219 20677.10243
2005-07-31 2005-08-31 5.63% 4.84% 07/2005 20666.66666 21291.23624
2005-08-31 2005-09-30 -1.12% 0.17% 08/2005 21831.22362 22321.6205
2005-09-30 2005-10-31 -2.81% -3.05% 09/2005 21586.49788 22360.43851
2005-10-31 2005-11-30 4.34% 4.99% 10/2005 20978.90295 21679.54278
2005-11-30 2005-12-31 4.39% 4.32% 11/2005 21890.29534 22761.64224
2005-12-31 2006-01-31 7.83% 8.14% 12/2005 22852.32066 23745.11614
2006-01-31 2006-02-28 1.37% 1.57% 01/2006 24641.3502 25678.80942
2006-02-28 2006-03-31 1.66% 2.02% 02/2006 24978.90294 26081.40403
2006-03-31 2006-04-30 5.05% 5.29% 03/2006 25392.40506 26609.0508
2006-04-30 2006-05-31 -2.02% -2.22% 04/2006 26675.10548 28017.24683
2006-05-31 2006-06-30 -0.03% -0.85% 05/2006 26135.02109 27395.40001
2006-06-30 2006-07-31 0.71% -0.78% 06/2006 26126.58227 27162.87127
2006-07-31 2006-08-31 4.20% 3.60% 07/2006 26312.23628 26951.71141
2006-08-31 2006-09-30 2.92% 2.93% 08/2006 27417.72151 27921.52946
2006-09-30 2006-10-31 5.68% 5.73% 09/2006 28219.40928 28740.12164
2006-10-31 2006-11-30 6.28% 6.48% 10/2006 29822.7848 30386.15702
2006-11-30 2006-12-31 5.46% 4.69% 11/2006 31696.20252 32355.38079
2006-12-31 2007-01-31 0.71% -0.23% 12/2006 33426.16032 33873.58226
2007-01-31 2007-02-28 -0.03% 0.31% 01/2007 33662.44723 33794.55537
2007-02-28 2007-03-31 4.71% 4.14% 02/2007 33654.00842 33900.02177
2007-03-31 2007-04-30 3.45% 4.96% 03/2007 35240.5063 35302.18758
2007-04-30 2007-05-31 1.34% 0.64% 04/2007 36455.69619 37054.44065
2007-05-31 2007-06-30 -3.65% -2.91% 05/2007 36945.14767 37292.47839
2007-06-30 2007-07-31 -0.52% -0.56% 06/2007 35594.9367 36207.10124
2007-07-31 2007-08-31 -0.57% -3.67% 07/2007 35409.28269 36003.55839
2007-08-31 2007-09-30 -3.45% -5.67% 08/2007 35206.75106 34683.7346
2007-09-30 2007-10-31 7.99% 10.99% 09/2007 33991.56119 32718.25112
2007-10-31 2007-11-30 -11.56% -11.57% 10/2007 36708.86077 36313.48132
2007-11-30 2007-12-31 -5.28% -5.02% 11/2007 32464.13503 32111.56657
2007-12-31 2008-01-31 -6.72% -8.05% 12/2007 30751.05486 30499.3662
2008-01-31 2008-02-29 1.47% 3.39% 01/2008 28683.54431 28045.22453
2008-02-29 2008-03-31 -0.38% -1.26% 02/2008 29105.48524 28995.40235
2008-03-31 2008-04-30 1.69% 1.86% 03/2008 28995.7806 28630.99404
2008-04-30 2008-05-31 0.29% 0.47% 04/2008 29485.23207 29163.51692
2008-05-31 2008-06-30 -7.96% -6.84% 05/2008 29569.62026 29301.51708
2008-06-30 2008-07-31 -3.50% -3.99% 06/2008 27215.18989 27298.28546
2008-07-31 2008-08-31 -1.61% -2.62% 07/2008 26261.60339 26209.1302
2008-08-31 2008-09-30 -15.45% -18.39% 08/2008 25839.66246 25523.09577
2008-09-30 2008-10-31 -26.84% -27.75% 09/2008 21848.10127 20829.83263
2008-10-31 2008-11-30 -7.07% -9.27% 10/2008 15983.12237 15050.14501
2008-11-30 2008-12-31 -2.22% -2.54% 11/2008 14852.32068 13654.45043
2008-12-31 2009-01-31 -2.44% -0.55% 12/2008 14523.20676 13308.06844
2009-01-31 2009-02-28 -4.11% -3.32% 01/2009 14168.77638 13235.0837
2009-02-28 2009-03-31 4.35% 5.80% 02/2009 13586.49789 12796.33037
2009-03-31 2009-04-30 20.95% 22.97% 03/2009 14177.21519 13538.45221
2009-04-30 2009-05-31 10.24% 10.56% 04/2009 17147.67933 16648.44171
2009-05-31 2009-06-30 0.49% 0.71% 05/2009 18902.95359 18406.87658
2009-06-30 2009-07-31 8.66% 9.20% 06/2009 18995.78059 18536.80413
2009-07-31 2009-08-31 7.81% 9.64% 07/2009 20641.35021 20242.59082
2009-08-31 2009-09-30 2.92% 2.31% 08/2009 22253.16456 22194.30581
2009-09-30 2009-10-31 0.15% 0.14% 09/2009 22902.95359 22706.30182
2009-10-31 2009-11-30 -0.29% -1.04% 10/2009 22936.70886 22739.17824
2009-11-30 2009-12-31 2.10% 2.47% 11/2009 22869.19831 22502.57727
2009-12-31 2010-01-31 -0.98% -0.46% 12/2009 23350.21097 23058.42647
2010-01-31 2010-02-28 -3.43% -4.48% 01/2010 23122.36287 22951.40342
2010-02-28 2010-03-31 8.39% 8.81% 02/2010 22329.11393 21923.41454
2010-03-31 2010-04-30 3.70% 3.99% 03/2010 24202.53165 23855.6759
2010-04-30 2010-05-31 -11.30% -12.02% 04/2010 25097.04642 24807.83622
2010-05-31 2010-06-30 1.90% 0.43% 05/2010 22261.60339 21825.88192
2010-06-30 2010-07-31 13.50% 12.03% 06/2010 22683.54431 21920.17077
2010-07-31 2010-08-31 -3.67% -2.72% 07/2010 25746.83545 24556.84503
2010-08-31 2010-09-30 10.68% 11.02% 08/2010 24801.68777 23889.83015
2010-09-30 2010-10-31 5.23% 4.26% 09/2010 27451.4768 26521.98383
2010-10-31 2010-11-30 -4.91% -4.16% 10/2010 28886.07596 27652.52891
2010-11-30 2010-12-31 10.23% 10.46% 11/2010 27468.35445 26500.89745
2010-12-31 2011-01-31 1.45% 0.97% 12/2010 30278.48103 29273.77513
2011-01-31 2011-02-28 3.02% 2.64% 01/2011 30717.2996 29556.91796
2011-02-28 2011-03-31 -1.84% -1.73% 02/2011 31645.56964 30336.40823
2011-03-31 2011-04-30 8.86% 9.17% 03/2011 31063.29116 29812.97875
2011-04-30 2011-05-31 -0.60% -1.27% 04/2011 33814.34601 32545.73053
2011-05-31 2011-06-30 -3.19% -3.37% 05/2011 33611.81436 32133.8104
2011-06-30 2011-07-31 -0.65% -0.28% 06/2011 32540.08441 31051.37887
2011-07-31 2011-08-31 -9.97% -10.20% 07/2011 32329.11394 30965.45914
2011-08-31 2011-09-30 -10.09% -10.55% 08/2011 29105.48524 27806.69897
2011-09-30 2011-10-31 10.61% 10.93% 09/2011 26168.77639 24874.3008
2011-10-31 2011-11-30 -3.03% -3.88% 10/2011 28945.1477 27592.49812
2011-11-30 2011-12-31 -3.10% -3.34% 11/2011 28067.51056 26521.47755
2011-12-31 2012-01-31 8.84% 10.15% 12/2011 27198.31226 25636.24738
2012-01-31 2012-02-29 8.15% 9.29% 01/2012 29603.37555 28237.12768
2012-02-29 2012-03-31 2.19% 0.33% 02/2012 32016.87766 30859.75401
2012-03-31 2012-04-30 1.73% 1.70% 03/2012 32717.2996 30961.08612
2012-04-30 2012-05-31 -11.26% -12.39% 04/2012 33282.70044 31488.06169
2012-05-31 2012-06-30 4.91% 4.76% 05/2012 29535.865 27586.66253
2012-06-30 2012-07-31 1.69% 1.82% 06/2012 30987.34179 28900.19337
2012-07-31 2012-08-31 5.49% 5.29% 07/2012 31510.54854 29426.59945
2012-08-31 2012-09-30 5.15% 5.34% 08/2012 33240.50634 30984.44922
2012-09-30 2012-10-31 2.20% 2.07% 09/2012 34953.58652 32637.78817
10/31/2012 35721.51901 33313.32062
One Year Five Years Ten Years
-------- ---------- ---------
23.41% -0.54% 13.58%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
The Continental Small Company Series vs. MSCI Europe ex UK Small Cap Index (net
div.)
October 31, 2002 - October 31, 2012
The Continental Small MSCI Europe ex UK
BeginDate EndDate FundReturns Benchmark0Returns EndDate Company Series Small Cap Index (net div.)
--------- ---------- ----------- ----------------- ---------- --------------------- --------------------------
2002-10-31 2002-11-30 5.55% 5.48% 10/2002 10000 10000
2002-11-30 2002-12-31 1.83% -2.35% 11/2002 10554.66238 10548.1194
2002-12-31 2003-01-31 -0.67% -1.33% 12/2002 10747.58843 10300.47589
2003-01-31 2003-02-28 -2.94% -4.40% 01/2003 10675.24116 10163.741
2003-02-28 2003-03-31 -0.62% -0.23% 02/2003 10361.73634 9716.82901
2003-03-31 2003-04-30 12.49% 14.70% 03/2003 10297.42765 9694.149111
2003-04-30 2003-05-31 10.20% 9.83% 04/2003 11583.60129 11119.0498
2003-05-31 2003-06-30 1.64% 1.49% 05/2003 12765.27332 12212.14227
2003-06-30 2003-07-31 3.53% 3.56% 06/2003 12974.27653 12393.71256
2003-07-31 2003-08-31 2.21% 2.88% 07/2003 13432.47589 12834.98735
2003-08-31 2003-09-30 5.15% 5.67% 08/2003 13729.90354 13204.94501
2003-09-30 2003-10-31 6.18% 8.35% 09/2003 14437.29904 13953.64386
2003-10-31 2003-11-30 5.24% 5.32% 10/2003 15329.582 15119.23334
2003-11-30 2003-12-31 6.23% 5.23% 11/2003 16133.44052 15923.77981
2003-12-31 2004-01-31 4.83% 5.03% 12/2003 17138.26367 16756.77447
2004-01-31 2004-02-29 3.36% 3.37% 01/2004 17966.23796 17599.60146
2004-02-29 2004-03-31 -2.03% -3.45% 02/2004 18569.13185 18193.34286
2004-03-31 2004-04-30 -1.19% -1.57% 03/2004 18191.31834 17565.51607
2004-04-30 2004-05-31 1.12% 0.32% 04/2004 17974.27654 17288.89996
2004-05-31 2004-06-30 3.01% 3.57% 05/2004 18175.24117 17343.96099
2004-06-30 2004-07-31 -3.22% -4.02% 06/2004 18721.86496 17962.61095
2004-07-31 2004-08-31 0.62% 0.32% 07/2004 18118.97107 17240.78711
2004-08-31 2004-09-30 5.20% 5.58% 08/2004 18231.51126 17295.45485
2004-09-30 2004-10-31 3.77% 4.24% 09/2004 19180.06431 18259.67829
2004-10-31 2004-11-30 10.70% 11.10% 10/2004 19903.53698 19033.679
2004-11-30 2004-12-31 5.18% 5.00% 11/2004 22033.76207 21146.18703
2004-12-31 2005-01-31 1.42% 1.12% 12/2004 23175.24117 22203.35873
2005-01-31 2005-02-28 6.43% 7.01% 01/2005 23504.82316 22452.31322
2005-02-28 2005-03-31 -2.73% -2.55% 02/2005 25016.07718 24025.35429
2005-03-31 2005-04-30 -2.64% -2.94% 03/2005 24332.79744 23411.81715
2005-04-30 2005-05-31 0.27% 1.42% 04/2005 23689.71063 22723.02993
2005-05-31 2005-06-30 2.71% 3.20% 05/2005 23754.01931 23046.7101
2005-06-30 2005-07-31 6.23% 6.86% 06/2005 24397.10613 23784.26566
2005-07-31 2005-08-31 3.38% 2.84% 07/2005 25916.39874 25416.03849
2005-08-31 2005-09-30 2.55% 3.41% 08/2005 26792.60453 26137.73122
2005-09-30 2005-10-31 -4.94% -6.90% 09/2005 27475.88427 27030.24424
2005-10-31 2005-11-30 0.37% 1.28% 10/2005 26117.36336 25164.72424
2005-11-30 2005-12-31 5.18% 5.80% 11/2005 26213.82639 25485.65136
2005-12-31 2006-01-31 9.59% 11.16% 12/2005 27572.34728 26962.59783
2006-01-31 2006-02-28 2.90% 2.82% 01/2006 30217.04182 29971.15851
2006-02-28 2006-03-31 6.46% 6.46% 02/2006 31093.24762 30817.39404
2006-03-31 2006-04-30 6.90% 7.09% 03/2006 33102.89392 32808.37452
2006-04-30 2006-05-31 -4.79% -5.14% 04/2006 35385.85213 35133.1297
2006-05-31 2006-06-30 -1.86% -2.28% 05/2006 33689.71065 33327.25914
2006-06-30 2006-07-31 -0.22% -1.09% 06/2006 33062.701 32567.81027
2006-07-31 2006-08-31 2.66% 2.35% 07/2006 32990.35373 32211.48678
2006-08-31 2006-09-30 1.35% 1.05% 08/2006 33866.55951 32969.36247
2006-09-30 2006-10-31 5.04% 5.34% 09/2006 34324.75886 33315.32925
2006-10-31 2006-11-30 6.96% 7.00% 10/2006 36053.05469 35095.89795
2006-11-30 2006-12-31 4.77% 4.72% 11/2006 38561.09328 37551.88191
2006-12-31 2007-01-31 4.64% 3.20% 12/2006 40401.92929 39323.27377
2007-01-31 2007-02-28 0.17% 0.43% 01/2007 42274.91964 40582.59809
2007-02-28 2007-03-31 5.85% 5.32% 02/2007 42347.26691 40756.26296
2007-03-31 2007-04-30 5.27% 6.05% 03/2007 44823.15116 42923.45286
2007-04-30 2007-05-31 1.94% 1.74% 04/2007 47186.49521 45521.16427
2007-05-31 2007-06-30 -1.09% -0.96% 05/2007 48102.89393 46314.80908
2007-06-30 2007-07-31 -0.54% -0.73% 06/2007 47580.3859 45872.16695
2007-07-31 2007-08-31 -3.55% -4.53% 07/2007 47323.15118 45536.38588
2007-08-31 2007-09-30 2.24% 1.99% 08/2007 45643.08687 43475.46067
2007-09-30 2007-10-31 4.82% 5.98% 09/2007 46663.98719 44340.52536
2007-10-31 2007-11-30 -7.38% -7.15% 10/2007 48914.79105 46993.8839
2007-11-30 2007-12-31 -1.92% -2.03% 11/2007 45305.46629 43631.74618
2007-12-31 2008-01-31 -9.52% -12.04% 12/2007 44437.29909 42747.93808
2008-01-31 2008-02-29 4.30% 6.05% 01/2008 40209.00326 37600.02267
2008-02-29 2008-03-31 3.18% 2.03% 02/2008 41937.29908 39875.47704
2008-03-31 2008-04-30 1.21% 1.71% 03/2008 43271.70422 40686.35254
2008-04-30 2008-05-31 1.93% 1.55% 04/2008 43794.21227 41381.35231
2008-05-31 2008-06-30 -8.43% -9.24% 05/2008 44638.26373 42024.81106
2008-06-30 2008-07-31 -5.29% -5.68% 06/2008 40876.20585 38141.055
2008-07-31 2008-08-31 -2.72% -2.73% 07/2008 38713.82641 35975.57986
2008-08-31 2008-09-30 -17.40% -20.70% 08/2008 37660.77175 34993.1562
2008-09-30 2008-10-31 -26.69% -28.14% 09/2008 31109.3248 27748.03106
2008-10-31 2008-11-30 -7.79% -8.29% 10/2008 22805.46627 19940.70552
2008-11-30 2008-12-31 10.44% 9.24% 11/2008 21028.93893 18287.65983
2008-12-31 2009-01-31 -11.35% -8.98% 12/2008 23223.4727 19977.57567
2009-01-31 2009-02-28 -8.63% -8.80% 01/2009 20586.81675 18183.55312
2009-02-28 2009-03-31 7.26% 7.73% 02/2009 18810.28942 16582.57441
2009-03-31 2009-04-30 16.37% 20.82% 03/2009 20176.84891 17864.77253
2009-04-30 2009-05-31 14.48% 14.93% 04/2009 23480.70744 21583.40132
2009-05-31 2009-06-30 -1.23% -1.28% 05/2009 26881.02899 24805.40199
2009-06-30 2009-07-31 7.96% 8.98% 06/2009 26551.447 24487.43905
2009-07-31 2009-08-31 8.38% 10.26% 07/2009 28665.59491 26685.87974
2009-08-31 2009-09-30 8.56% 9.58% 08/2009 31069.13189 29424.58439
2009-09-30 2009-10-31 -2.79% -2.73% 09/2009 33729.9036 32244.66525
2009-10-31 2009-11-30 3.04% 2.06% 10/2009 32789.38913 31364.64914
2009-11-30 2009-12-31 -0.31% 0.45% 11/2009 33786.1737 32009.47746
2009-12-31 2010-01-31 -1.65% -1.33% 12/2009 33681.67209 32153.78839
2010-01-31 2010-02-28 -2.11% -2.85% 01/2010 33127.00971 31725.0131
2010-02-28 2010-03-31 7.44% 8.11% 02/2010 32427.65281 30821.97022
2010-03-31 2010-04-30 -0.95% -0.63% 03/2010 34839.22837 33321.86211
2010-04-30 2010-05-31 -14.21% -15.47% 04/2010 34509.64637 33111.4966
2010-05-31 2010-06-30 -0.62% -1.49% 05/2010 29606.10938 27989.11207
2010-06-30 2010-07-31 11.97% 11.98% 06/2010 29421.22193 27570.69336
2010-07-31 2010-08-31 -4.56% -4.75% 07/2010 32942.12225 30874.03721
2010-08-31 2010-09-30 13.76% 15.43% 08/2010 31438.90682 29406.79431
2010-09-30 2010-10-31 5.78% 6.42% 09/2010 35763.66567 33944.46414
2010-10-31 2010-11-30 -7.76% -7.58% 10/2010 37829.58208 36122.0978
2010-11-30 2010-12-31 12.97% 14.00% 11/2010 34895.49848 33385.52507
2010-12-31 2011-01-31 2.85% 2.26% 12/2010 39421.22197 38059.63329
2011-01-31 2011-02-28 1.72% 1.70% 01/2011 40546.62391 38920.23437
2011-02-28 2011-03-31 3.37% 3.37% 02/2011 41245.98082 39580.17969
2011-03-31 2011-04-30 6.77% 6.99% 03/2011 42636.65605 40915.82839
2011-04-30 2011-05-31 -3.37% -3.81% 04/2011 45522.50815 43773.90829
2011-05-31 2011-06-30 -3.22% -3.23% 05/2011 43987.13836 42104.23024
2011-06-30 2011-07-31 -5.65% -6.07% 06/2011 42572.34736 40744.73056
2011-07-31 2011-08-31 -10.27% -10.45% 07/2011 40168.81038 38271.79312
2011-08-31 2011-09-30 -15.05% -15.02% 08/2011 36045.01615 34273.42512
2011-09-30 2011-10-31 10.27% 10.96% 09/2011 30618.97113 29124.54759
2011-10-31 2011-11-30 -6.60% -7.81% 10/2011 33762.05795 32316.29841
2011-11-30 2011-12-31 -3.93% -3.40% 11/2011 31535.36984 29790.89992
2011-12-31 2012-01-31 9.53% 9.92% 12/2011 30297.42772 28778.2188
2012-01-31 2012-02-29 6.42% 7.67% 01/2012 33183.27982 31632.41729
2012-02-29 2012-03-31 0.18% -0.81% 02/2012 35313.5049 34060.10035
2012-03-31 2012-04-30 -2.32% -1.67% 03/2012 35377.81357 33784.16926
2012-04-30 2012-05-31 -13.65% -13.71% 04/2012 34557.87788 33220.96598
2012-05-31 2012-06-30 4.39% 4.93% 05/2012 29839.22836 28665.408
2012-06-30 2012-07-31 -1.01% -0.36% 06/2012 31149.51774 30077.80583
2012-07-31 2012-08-31 4.56% 4.36% 07/2012 30836.01292 29970.97203
2012-08-31 2012-09-30 5.29% 5.38% 08/2012 32242.76534 31277.87995
2012-09-30 2012-10-31 1.73% 1.72% 09/2012 33946.9454 32961.53496
10/31/2012 34533.76213 33529.17158
One Year Five Years Ten Years
-------- ---------- ---------
2.29% -6.73% 13.19%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
222
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
The Canadian Small Company Series vs. MSCI Canada Small Cap Index (net div.)
April 2, 2007 - October 31, 2012
The Canadian Small MSCI Canada Small
BeginDate EndDate FundReturns Benchmark0Returns EndDate Company Series Cap Index (net div.)
--------- ---------- ----------- ----------------- ---------- ------------------ --------------------
2007-04-02 2007-04-30 7.10% 4.87% 04/2007 10000 10000
2007-04-30 2007-05-31 6.63% 8.05% 04/2007 10710 10486.77368
2007-05-31 2007-06-30 -0.44% -0.23% 05/2007 11420 11331.42466
2007-06-30 2007-07-31 -0.62% -2.49% 06/2007 11370 11305.55009
2007-07-31 2007-08-31 -6.55% -6.21% 07/2007 11300 11024.39939
2007-08-31 2007-09-30 11.08% 12.19% 08/2007 10560 10339.56745
2007-09-30 2007-10-31 10.83% 10.79% 09/2007 11730 11599.6882
2007-10-31 2007-11-30 -15.23% -15.90% 10/2007 13000 12851.68118
2007-11-30 2007-12-31 3.72% 2.78% 11/2007 11020 10808.72481
2007-12-31 2008-01-31 -9.45% -9.02% 12/2007 11430 11109.2109
2008-01-31 2008-02-29 7.83% 9.54% 01/2008 10350 10107.38383
2008-02-29 2008-03-31 -7.80% -7.88% 02/2008 11160 11071.34919
2008-03-31 2008-04-30 2.43% 3.48% 03/2008 10290 10199.20416
2008-04-30 2008-05-31 5.69% 5.21% 04/2008 10540 10554.52665
2008-05-31 2008-06-30 -4.67% -3.42% 05/2008 11140 11104.0776
2008-06-30 2008-07-31 -8.57% -8.85% 06/2008 10620 10724.57524
2008-07-31 2008-08-31 -4.12% -2.51% 07/2008 9710 9775.009579
2008-08-31 2008-09-30 -22.77% -21.23% 08/2008 9309.999999 9529.518204
2008-09-30 2008-10-31 -33.24% -33.24% 09/2008 7189.999999 7506.377885
2008-10-31 2008-11-30 -12.92% -9.02% 10/2008 4799.999999 5011.499724
2008-11-30 2008-12-31 7.66% 4.95% 11/2008 4180 4559.689916
2008-12-31 2009-01-31 0.67% 1.01% 12/2008 4500 4785.305837
2009-01-31 2009-02-28 -9.05% -7.85% 01/2009 4530 4833.486093
2009-02-28 2009-03-31 6.31% 5.72% 02/2009 4120 4453.869096
2009-03-31 2009-04-30 21.00% 16.08% 03/2009 4379.999999 4708.454728
2009-04-30 2009-05-31 19.62% 21.15% 04/2009 5299.999999 5465.620997
2009-05-31 2009-06-30 -6.15% -6.06% 05/2009 6339.999999 6621.522975
2009-06-30 2009-07-31 12.61% 12.46% 06/2009 5949.999997 6220.34334
2009-07-31 2009-08-31 3.28% 3.78% 07/2009 6699.999997 6995.572294
2009-08-31 2009-09-30 14.31% 12.36% 08/2009 6919.999997 7259.669592
2009-09-30 2009-10-31 -1.90% 0.66% 09/2009 7909.999998 8156.867881
2009-10-31 2009-11-30 8.51% 8.39% 10/2009 7759.999998 8210.753872
2009-11-30 2009-12-31 6.41% 5.88% 11/2009 8419.999999 8899.59917
2009-12-31 2010-01-31 -4.69% -4.16% 12/2009 8959.999999 9422.869902
2010-01-31 2010-02-28 5.97% 6.65% 01/2010 8539.999998 9031.077115
2010-02-28 2010-03-31 7.96% 8.53% 02/2010 9049.999999 9631.720335
2010-03-31 2010-04-30 3.58% 4.17% 03/2010 9769.999998 10453.69655
2010-04-30 2010-05-31 -9.58% -8.82% 04/2010 10120 10889.8098
2010-05-31 2010-06-30 -4.59% -4.69% 05/2010 9149.999995 9929.203615
2010-06-30 2010-07-31 8.13% 8.14% 06/2010 8729.999995 9463.812385
2010-07-31 2010-08-31 -1.17% -0.31% 07/2010 9439.999995 10233.78741
2010-08-31 2010-09-30 11.79% 10.95% 08/2010 9329.999997 10202.0054
2010-09-30 2010-10-31 6.52% 6.06% 09/2010 10430 11318.75956
2010-10-31 2010-11-30 4.86% 4.21% 10/2010 11110 12004.30943
2010-11-30 2010-12-31 10.21% 9.20% 11/2010 11650 12509.34187
2010-12-31 2011-01-31 -0.47% -1.17% 12/2010 12840 13659.8773
2011-01-31 2011-02-28 6.89% 6.61% 01/2011 12780 13499.73406
2011-02-28 2011-03-31 0.15% 0.03% 02/2011 13660 14392.30001
2011-03-31 2011-04-30 1.90% 3.03% 03/2011 13680 14395.94428
2011-04-30 2011-05-31 -4.16% -4.02% 04/2011 13940 14832.50041
2011-05-31 2011-06-30 -5.54% -5.10% 05/2011 13360 14235.57776
2011-06-30 2011-07-31 1.51% 2.65% 06/2011 12620 13509.81758
2011-07-31 2011-08-31 -7.57% -5.95% 07/2011 12810 13867.52148
2011-08-31 2011-09-30 -18.92% -18.31% 08/2011 11840 13042.66675
2011-09-30 2011-10-31 16.04% 14.26% 09/2011 9600 10655.15835
2011-10-31 2011-11-30 -3.50% -2.61% 10/2011 11140 12174.40656
2011-11-30 2011-12-31 -1.58% -2.06% 11/2011 10750 11856.58095
2011-12-31 2012-01-31 8.60% 8.20% 12/2011 10580 11612.51227
2012-01-31 2012-02-29 3.83% 3.58% 01/2012 11490 12564.44286
2012-02-29 2012-03-31 -4.44% -5.28% 02/2012 11930 13014.05863
2012-03-31 2012-04-30 -2.28% -0.81% 03/2012 11400 12326.39136
2012-04-30 2012-05-31 -11.67% -11.66% 04/2012 11140 12227.04078
2012-05-31 2012-06-30 0.20% -0.31% 05/2012 9840.000001 10801.36524
2012-06-30 2012-07-31 2.74% 3.46% 06/2012 9860 10767.51608
2012-07-31 2012-08-31 4.24% 4.15% 07/2012 10130 11140.2598
2012-08-31 2012-09-30 4.26% 5.05% 08/2012 10560 11603.05306
2012-09-30 2012-10-31 -1.36% -1.79% 09/2012 11010 12189.20224
10/31/2012 10860 11970.6149
One Year Five Years From 04/02/2007
-------- ---------- ---------------
-2.51% -3.53% 1.49%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
The Emerging Markets Series vs. MSCI Emerging Markets Index (net div.)
October 31, 2002 - October 31, 2012
The Emerging MSCI Emerging Markets
BeginDate EndDate FundReturns Benchmark0Returns EndDate Markets Series Index (net div.)
--------- ---------- ----------- ----------------- ---------- -------------- ---------------------
2002-10-31 2002-11-30 7.63% 6.88% 10/2002 10000 10000
2002-11-30 2002-12-31 -4.01% -3.33% 11/2002 10763.27434 10688.20463
2002-12-31 2003-01-31 -0.11% -0.44% 12/2002 10331.85841 10332.68124
2003-01-31 2003-02-28 -1.50% -2.81% 01/2003 10320.79646 10287.11002
2003-02-28 2003-03-31 -1.63% -2.86% 02/2003 10165.9292 9998.077641
2003-03-31 2003-04-30 13.50% 8.89% 03/2003 10000 9712.550745
2003-04-30 2003-05-31 7.31% 7.15% 04/2003 11349.55752 10576.25547
2003-05-31 2003-06-30 3.91% 5.67% 05/2003 12179.20354 11332.42116
2003-06-30 2003-07-31 2.01% 6.22% 06/2003 12654.86726 11974.8284
2003-07-31 2003-08-31 4.54% 6.69% 07/2003 12909.29204 12719.45993
2003-08-31 2003-09-30 4.51% 0.73% 08/2003 13495.57522 13570.61278
2003-09-30 2003-10-31 7.61% 8.51% 09/2003 14103.9823 13669.44466
2003-10-31 2003-11-30 -0.95% 1.22% 10/2003 15176.99115 14832.47204
2003-11-30 2003-12-31 10.52% 7.24% 11/2003 15033.18584 15012.94766
2003-12-31 2004-01-31 1.93% 3.49% 12/2003 16615.04425 16099.9853
2004-01-31 2004-02-29 4.44% 4.59% 01/2004 16935.84071 16662.21886
2004-02-29 2004-03-31 0.69% 1.25% 02/2004 17688.0531 17426.29823
2004-03-31 2004-04-30 -6.34% -8.19% 03/2004 17809.73452 17644.0921
2004-04-30 2004-05-31 -1.13% -2.00% 04/2004 16681.41593 16199.38255
2004-05-31 2004-06-30 1.81% 0.43% 05/2004 16493.36283 15876.20003
2004-06-30 2004-07-31 -0.07% -1.83% 06/2004 16792.0354 15943.82184
2004-07-31 2004-08-31 2.77% 4.15% 07/2004 16780.97346 15651.96247
2004-08-31 2004-09-30 5.64% 5.77% 08/2004 17245.57522 16301.04143
2004-09-30 2004-10-31 2.79% 2.39% 09/2004 18219.02655 17241.52745
2004-10-31 2004-11-30 8.74% 9.26% 10/2004 18727.87611 17653.47774
2004-11-30 2004-12-31 6.52% 4.80% 11/2004 20365.04425 19287.7093
2004-12-31 2005-01-31 0.82% 0.25% 12/2004 21692.47788 20214.06032
2005-01-31 2005-02-28 7.44% 8.72% 01/2005 21869.46903 20265.39862
2005-02-28 2005-03-31 -6.83% -6.61% 02/2005 23495.57523 22033.51685
2005-03-31 2005-04-30 -2.37% -2.68% 03/2005 21891.59293 20577.38623
2005-04-30 2005-05-31 3.00% 3.48% 04/2005 21371.68143 20024.99063
2005-05-31 2005-06-30 3.02% 3.40% 05/2005 22013.27435 20722.01549
2005-06-30 2005-07-31 6.44% 6.99% 06/2005 22676.99117 21426.05132
2005-07-31 2005-08-31 0.64% 0.86% 07/2005 24137.16815 22923.68229
2005-08-31 2005-09-30 7.97% 9.31% 08/2005 24292.0354 23119.9891
2005-09-30 2005-10-31 -4.98% -6.54% 09/2005 26227.87611 25272.80535
2005-10-31 2005-11-30 7.23% 8.27% 10/2005 24922.56638 23620.93331
2005-11-30 2005-12-31 5.79% 5.91% 11/2005 26725.66372 25574.955
2005-12-31 2006-01-31 9.59% 11.17% 12/2005 28274.33629 27086.60788
2006-01-31 2006-02-28 -0.29% -0.12% 01/2006 30984.51328 30111.9491
2006-02-28 2006-03-31 1.36% 0.88% 02/2006 30896.0177 30076.21583
2006-03-31 2006-04-30 6.00% 7.12% 03/2006 31316.37168 30341.27525
2006-04-30 2006-05-31 -11.53% -10.48% 04/2006 33196.90266 32501.78094
2006-05-31 2006-06-30 -0.11% -0.24% 05/2006 29369.46903 29096.49107
2006-06-30 2006-07-31 1.85% 1.43% 06/2006 29336.28319 29025.36378
2006-07-31 2006-08-31 3.15% 2.55% 07/2006 29878.31858 29440.93262
2006-08-31 2006-09-30 1.40% 0.83% 08/2006 30818.58407 30191.10507
2006-09-30 2006-10-31 5.98% 4.75% 09/2006 31250.00001 30442.48182
2006-10-31 2006-11-30 6.41% 7.43% 10/2006 33119.46903 31887.98293
2006-11-30 2006-12-31 4.05% 4.50% 11/2006 35243.36284 34258.36502
2006-12-31 2007-01-31 1.48% -1.08% 12/2006 36670.354 35800.88873
2007-01-31 2007-02-28 -1.52% -0.59% 01/2007 37212.38939 35415.39915
2007-02-28 2007-03-31 4.56% 3.98% 02/2007 36648.2301 35205.20002
2007-03-31 2007-04-30 6.41% 4.63% 03/2007 38318.58409 36607.13479
2007-04-30 2007-05-31 6.70% 4.95% 04/2007 40774.33629 38301.93602
2007-05-31 2007-06-30 1.65% 4.69% 05/2007 43506.63717 40199.01976
2007-06-30 2007-07-31 2.43% 5.28% 06/2007 44225.66372 42083.39264
2007-07-31 2007-08-31 -1.71% -2.13% 07/2007 45298.67256 44303.84785
2007-08-31 2007-09-30 8.82% 11.04% 08/2007 44524.33629 43362.3024
2007-09-30 2007-10-31 10.98% 11.15% 09/2007 48451.32743 48150.94986
2007-10-31 2007-11-30 -6.52% -7.09% 10/2007 53772.12388 53520.78318
2007-11-30 2007-12-31 -0.35% 0.35% 11/2007 50265.48672 49726.86787
2007-12-31 2008-01-31 -8.70% -12.48% 12/2007 50088.49557 49901.25085
2008-01-31 2008-02-29 3.19% 7.38% 01/2008 45730.08849 43673.8733
2008-02-29 2008-03-31 -3.09% -5.29% 02/2008 47190.26549 46897.54641
2008-03-31 2008-04-30 7.16% 8.12% 03/2008 45730.08849 44415.76252
2008-04-30 2008-05-31 0.59% 1.86% 04/2008 49004.42478 48020.26653
2008-05-31 2008-06-30 -10.26% -9.97% 05/2008 49292.03539 48911.10737
2008-06-30 2008-07-31 -1.30% -3.77% 06/2008 44236.72566 44032.83828
2008-07-31 2008-08-31 -5.93% -7.99% 07/2008 43661.50443 42371.91524
2008-08-31 2008-09-30 -13.90% -17.50% 08/2008 41073.00886 38987.53211
2008-09-30 2008-10-31 -26.34% -27.37% 09/2008 35365.04425 32164.58346
2008-10-31 2008-11-30 -9.04% -7.53% 10/2008 26050.88496 23361.83389
2008-11-30 2008-12-31 7.84% 7.80% 11/2008 23694.69027 21603.22571
2008-12-31 2009-01-31 -7.66% -6.46% 12/2008 25553.09734 23288.18785
2009-01-31 2009-02-28 -6.47% -5.64% 01/2009 23595.13275 21784.22273
2009-02-28 2009-03-31 14.44% 14.37% 02/2009 22068.58407 20555.33038
2009-03-31 2009-04-30 14.85% 16.64% 03/2009 25254.42478 23509.27602
2009-04-30 2009-05-31 17.05% 17.09% 04/2009 29004.42479 27421.45939
2009-05-31 2009-06-30 -0.85% -1.35% 05/2009 33949.11506 32106.85072
2009-06-30 2009-07-31 11.47% 11.24% 06/2009 33661.50443 31674.35664
2009-07-31 2009-08-31 0.35% -0.36% 07/2009 37522.1239 35236.07119
2009-08-31 2009-09-30 8.84% 9.08% 08/2009 37654.86726 35109.92688
2009-09-30 2009-10-31 -2.08% 0.12% 09/2009 40984.51328 38296.8602
2009-10-31 2009-11-30 5.98% 4.30% 10/2009 40132.74337 38344.23233
2009-11-30 2009-12-31 3.62% 3.95% 11/2009 42533.18585 39991.33055
2009-12-31 2010-01-31 -5.45% -5.58% 12/2009 44070.79647 41570.63621
2010-01-31 2010-02-28 1.22% 0.35% 01/2010 41670.35399 39252.15628
2010-02-28 2010-03-31 8.39% 8.07% 02/2010 42179.20354 39390.3133
2010-03-31 2010-04-30 0.60% 1.21% 03/2010 45719.02654 42570.3986
2010-04-30 2010-05-31 -9.28% -8.80% 04/2010 45995.57521 43086.13887
2010-05-31 2010-06-30 0.16% -0.74% 05/2010 41725.66372 39296.4307
2010-06-30 2010-07-31 8.81% 8.33% 06/2010 41792.0354 39007.56331
2010-07-31 2010-08-31 -2.31% -1.94% 07/2010 45475.66371 42255.92483
2010-08-31 2010-09-30 11.38% 11.11% 08/2010 44424.77876 41435.27509
2010-09-30 2010-10-31 3.04% 2.90% 09/2010 49480.08849 46039.95583
2010-10-31 2010-11-30 -2.23% -2.64% 10/2010 50984.51326 47376.79589
2010-11-30 2010-12-31 8.14% 7.14% 11/2010 49845.13274 46126.15023
2010-12-31 2011-01-31 -2.59% -2.71% 12/2010 53904.86725 49417.68963
2011-01-31 2011-02-28 -0.70% -0.93% 01/2011 52511.06194 48076.93112
2011-02-28 2011-03-31 5.58% 5.88% 02/2011 52146.01769 47628.60177
2011-03-31 2011-04-30 3.50% 3.10% 03/2011 55055.30973 50428.86654
2011-04-30 2011-05-31 -2.76% -2.62% 04/2011 56980.08848 51993.18073
2011-05-31 2011-06-30 -1.18% -1.54% 05/2011 55409.29201 50629.43612
2011-06-30 2011-07-31 -0.77% -0.44% 06/2011 54756.63715 49850.56795
2011-07-31 2011-08-31 -8.08% -8.94% 07/2011 54336.28317 49629.16113
2011-08-31 2011-09-30 -15.13% -14.58% 08/2011 49944.69025 45194.09196
2011-09-30 2011-10-31 12.53% 13.25% 09/2011 42389.38052 38605.04085
2011-10-31 2011-11-30 -3.46% -6.66% 10/2011 47699.11503 43718.55662
2011-11-30 2011-12-31 -2.91% -1.21% 11/2011 46050.88494 40804.88147
2011-12-31 2012-01-31 10.71% 11.34% 12/2011 44712.38936 40313.07288
2012-01-31 2012-02-29 5.43% 5.99% 01/2012 49502.21238 44885.64739
2012-02-29 2012-03-31 -2.59% -3.34% 02/2012 52190.26548 47574.28607
2012-03-31 2012-04-30 -1.78% -1.20% 03/2012 50840.70796 45986.28864
2012-04-30 2012-05-31 -10.77% -11.21% 04/2012 49933.62832 45436.70648
2012-05-31 2012-06-30 4.97% 3.86% 05/2012 44557.52212 40341.21113
2012-06-30 2012-07-31 0.80% 1.95% 06/2012 46769.91149 41898.19616
2012-07-31 2012-08-31 0.68% -0.33% 07/2012 47146.01769 42715.46911
2012-08-31 2012-09-30 5.59% 6.03% 08/2012 47466.81415 42573.22844
2012-09-30 2012-10-31 -0.51% -0.61% 09/2012 50121.6814 45142.17877
10/31/2012 49867.25663 44868.1269
One Year Five Years Ten Years
-------- ---------- ---------
4.55% -1.50% 17.43%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
The Emerging Markets Small Cap Series vs. MSCI Emerging Markets Index (net div.)
October 31, 2002 - October 31, 2012
The Emerging Markets MSCI Emerging Markets
BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Cap Series Index (net div.)
--------- ---------- ----------- ----------------- ---------- -------------------- ---------------------
2002-10-31 2002-11-30 7.75% 6.88% 10/2002 10000 10000
2002-11-30 2002-12-31 -3.26% -3.33% 11/2002 10774.8184 10688.20463
2002-12-31 2003-01-31 1.86% -0.44% 12/2002 10423.72881 10332.68124
2003-01-31 2003-02-28 -1.14% -2.81% 01/2003 10617.43341 10287.11002
2003-02-28 2003-03-31 -0.69% -2.86% 02/2003 10496.36804 9998.077641
2003-03-31 2003-04-30 12.89% 8.89% 03/2003 10423.72881 9712.550745
2003-04-30 2003-05-31 7.61% 7.15% 04/2003 11767.55448 10576.25547
2003-05-31 2003-06-30 4.30% 5.67% 05/2003 12663.43826 11332.42116
2003-06-30 2003-07-31 2.11% 6.22% 06/2003 13208.23245 11974.8284
2003-07-31 2003-08-31 6.01% 6.69% 07/2003 13486.68281 12719.45993
2003-08-31 2003-09-30 3.81% 0.73% 08/2003 14297.82083 13570.61278
2003-09-30 2003-10-31 8.73% 8.51% 09/2003 14842.61502 13669.44466
2003-10-31 2003-11-30 2.03% 1.22% 10/2003 16138.01454 14832.47204
2003-11-30 2003-12-31 10.00% 7.24% 11/2003 16464.89105 15012.94766
2003-12-31 2004-01-31 3.01% 3.49% 12/2003 18111.38016 16099.9853
2004-01-31 2004-02-29 4.22% 4.59% 01/2004 18656.17435 16662.21886
2004-02-29 2004-03-31 1.68% 1.25% 02/2004 19443.09929 17426.29823
2004-03-31 2004-04-30 -5.51% -8.19% 03/2004 19769.9758 17644.0921
2004-04-30 2004-05-31 -4.15% -2.00% 04/2004 18680.38743 16199.38255
2004-05-31 2004-06-30 0.81% 0.43% 05/2004 17905.56902 15876.20003
2004-06-30 2004-07-31 0.74% -1.83% 06/2004 18050.84747 15943.82184
2004-07-31 2004-08-31 3.33% 4.15% 07/2004 18184.01938 15651.96247
2004-08-31 2004-09-30 5.54% 5.77% 08/2004 18789.34626 16301.04143
2004-09-30 2004-10-31 2.56% 2.39% 09/2004 19830.50848 17241.52745
2004-10-31 2004-11-30 9.46% 9.26% 10/2004 20338.98306 17653.47774
2004-11-30 2004-12-31 5.33% 4.80% 11/2004 22263.92252 19287.7093
2004-12-31 2005-01-31 2.84% 0.25% 12/2004 23450.3632 20214.06032
2005-01-31 2005-02-28 6.33% 8.72% 01/2005 24116.22277 20265.39862
2005-02-28 2005-03-31 -6.85% -6.61% 02/2005 25641.6465 22033.51685
2005-03-31 2005-04-30 -3.65% -2.68% 03/2005 23886.19856 20577.38623
2005-04-30 2005-05-31 1.95% 3.48% 04/2005 23014.52786 20024.99063
2005-05-31 2005-06-30 2.53% 3.40% 05/2005 23462.46975 20722.01549
2005-06-30 2005-07-31 5.59% 6.99% 06/2005 24055.69009 21426.05132
2005-07-31 2005-08-31 0.67% 0.86% 07/2005 25399.51576 22923.68229
2005-08-31 2005-09-30 6.63% 9.31% 08/2005 25569.00729 23119.9891
2005-09-30 2005-10-31 -4.84% -6.54% 09/2005 27263.92255 25272.80535
2005-10-31 2005-11-30 7.14% 8.27% 10/2005 25944.30996 23620.93331
2005-11-30 2005-12-31 6.58% 5.91% 11/2005 27796.61021 25574.955
2005-12-31 2006-01-31 9.73% 11.17% 12/2005 29624.69739 27086.60788
2006-01-31 2006-02-28 1.12% -0.12% 01/2006 32506.05332 30111.9491
2006-02-28 2006-03-31 1.80% 0.88% 02/2006 32869.24945 30076.21583
2006-03-31 2006-04-30 8.21% 7.12% 03/2006 33462.46979 30341.27525
2006-04-30 2006-05-31 -10.50% -10.48% 04/2006 36210.65382 32501.78094
2006-05-31 2006-06-30 -4.37% -0.24% 05/2006 32409.20103 29096.49107
2006-06-30 2006-07-31 2.30% 1.43% 06/2006 30992.73612 29025.36378
2006-07-31 2006-08-31 3.51% 2.55% 07/2006 31707.02184 29440.93262
2006-08-31 2006-09-30 2.84% 0.83% 08/2006 32820.82328 30191.10507
2006-09-30 2006-10-31 7.57% 4.75% 09/2006 33753.02667 30442.48182
2006-10-31 2006-11-30 7.60% 7.43% 10/2006 36307.5061 31887.98293
2006-11-30 2006-12-31 4.62% 4.50% 11/2006 39067.79666 34258.36502
2006-12-31 2007-01-31 1.98% -1.08% 12/2006 40871.67076 35800.88873
2007-01-31 2007-02-28 0.84% -0.59% 01/2007 41682.80877 35415.39915
2007-02-28 2007-03-31 4.52% 3.98% 02/2007 42033.89836 35205.20002
2007-03-31 2007-04-30 7.66% 4.63% 03/2007 43934.62474 36607.13479
2007-04-30 2007-05-31 7.99% 4.95% 04/2007 47300.24218 38301.93602
2007-05-31 2007-06-30 3.01% 4.69% 05/2007 51077.48189 40199.01976
2007-06-30 2007-07-31 4.90% 5.28% 06/2007 52615.01216 42083.39264
2007-07-31 2007-08-31 -4.12% -2.13% 07/2007 55193.70464 44303.84785
2007-08-31 2007-09-30 6.89% 11.04% 08/2007 52917.67557 43362.3024
2007-09-30 2007-10-31 7.58% 11.15% 09/2007 56561.74337 48150.94986
2007-10-31 2007-11-30 -7.98% -7.09% 10/2007 60847.45766 53520.78318
2007-11-30 2007-12-31 1.17% 0.35% 11/2007 55992.73611 49726.86787
2007-12-31 2008-01-31 -11.99% -12.48% 12/2007 56646.48913 49901.25085
2008-01-31 2008-02-29 2.89% 7.38% 01/2008 49854.72158 43673.8733
2008-02-29 2008-03-31 -4.65% -5.29% 02/2008 51295.39954 46897.54641
2008-03-31 2008-04-30 6.09% 8.12% 03/2008 48910.41166 44415.76252
2008-04-30 2008-05-31 -0.56% 1.86% 04/2008 51888.61989 48020.26653
2008-05-31 2008-06-30 -11.52% -9.97% 05/2008 51598.06299 48911.10737
2008-06-30 2008-07-31 -1.51% -3.77% 06/2008 45653.75305 44032.83828
2008-07-31 2008-08-31 -6.03% -7.99% 07/2008 44963.68042 42371.91524
2008-08-31 2008-09-30 -17.99% -17.50% 08/2008 42251.81602 38987.53211
2008-09-30 2008-10-31 -30.29% -27.37% 09/2008 34648.91044 32164.58346
2008-10-31 2008-11-30 -6.07% -7.53% 10/2008 24152.54239 23361.83389
2008-11-30 2008-12-31 14.19% 7.80% 11/2008 22687.65135 21603.22571
2008-12-31 2009-01-31 -7.62% -6.46% 12/2008 25907.99034 23288.18785
2009-01-31 2009-02-28 -6.12% -5.64% 01/2009 23934.62471 21784.22273
2009-02-28 2009-03-31 13.79% 14.37% 02/2009 22469.73367 20555.33038
2009-03-31 2009-04-30 20.27% 16.64% 03/2009 25569.00729 23509.27602
2009-04-30 2009-05-31 22.72% 17.09% 04/2009 30750.60535 27421.45939
2009-05-31 2009-06-30 -0.48% -1.35% 05/2009 37736.07752 32106.85072
2009-06-30 2009-07-31 12.80% 11.24% 06/2009 37554.47945 31674.35664
2009-07-31 2009-08-31 1.20% -0.36% 07/2009 42360.77484 35236.07119
2009-08-31 2009-09-30 8.36% 9.08% 08/2009 42869.24942 35109.92688
2009-09-30 2009-10-31 -0.08% 0.12% 09/2009 46452.78453 38296.8602
2009-10-31 2009-11-30 5.95% 4.30% 10/2009 46416.46491 38344.23233
2009-11-30 2009-12-31 5.51% 3.95% 11/2009 49176.75547 39991.33055
2009-12-31 2010-01-31 -4.39% -5.58% 12/2009 51888.61987 41570.63621
2010-01-31 2010-02-28 1.73% 0.35% 01/2010 49612.59082 39252.15628
2010-02-28 2010-03-31 8.56% 8.07% 02/2010 50472.15499 39390.3133
2010-03-31 2010-04-30 1.66% 1.21% 03/2010 54794.1889 42570.3986
2010-04-30 2010-05-31 -10.02% -8.80% 04/2010 55702.17921 43086.13887
2010-05-31 2010-06-30 2.68% -0.74% 05/2010 50121.06542 39296.4307
2010-06-30 2010-07-31 9.22% 8.33% 06/2010 51464.89108 39007.56331
2010-07-31 2010-08-31 0.50% -1.94% 07/2010 56210.65379 42255.92483
2010-08-31 2010-09-30 12.17% 11.11% 08/2010 56489.10416 41435.27509
2010-09-30 2010-10-31 3.99% 2.90% 09/2010 63365.61748 46039.95583
2010-10-31 2010-11-30 -2.66% -2.64% 10/2010 65895.88383 47376.79589
2010-11-30 2010-12-31 5.76% 7.14% 11/2010 64140.43588 46126.15023
2010-12-31 2011-01-31 -4.19% -2.71% 12/2010 67832.92984 49417.68963
2011-01-31 2011-02-28 -2.91% -0.93% 01/2011 64987.89351 48076.93112
2011-02-28 2011-03-31 5.58% 5.88% 02/2011 63099.27365 47628.60177
2011-03-31 2011-04-30 5.29% 3.10% 03/2011 66622.27608 50428.86654
2011-04-30 2011-05-31 -2.23% -2.62% 04/2011 70145.2785 51993.18073
2011-05-31 2011-06-30 -0.02% -1.54% 05/2011 68583.53516 50629.43612
2011-06-30 2011-07-31 1.15% -0.44% 06/2011 68571.42864 49850.56795
2011-07-31 2011-08-31 -9.46% -8.94% 07/2011 69358.35356 49629.16113
2011-08-31 2011-09-30 -17.76% -14.58% 08/2011 62796.61021 45194.09196
2011-09-30 2011-10-31 11.09% 13.25% 09/2011 51646.48915 38605.04085
2011-10-31 2011-11-30 -4.83% -6.66% 10/2011 57372.88142 43718.55662
2011-11-30 2011-12-31 -2.66% -1.21% 11/2011 54600.4843 40804.88147
2011-12-31 2012-01-31 11.32% 11.34% 12/2011 53147.69979 40313.07288
2012-01-31 2012-02-29 8.21% 5.99% 01/2012 59164.64895 44885.64739
2012-02-29 2012-03-31 -2.53% -3.34% 02/2012 64019.3705 47574.28607
2012-03-31 2012-04-30 -2.39% -1.20% 03/2012 62397.09445 45986.28864
2012-04-30 2012-05-31 -9.10% -11.21% 04/2012 60907.99034 45436.70648
2012-05-31 2012-06-30 3.83% 3.86% 05/2012 55363.19615 40341.21113
2012-06-30 2012-07-31 -1.18% 1.95% 06/2012 57481.8402 41898.19616
2012-07-31 2012-08-31 2.62% -0.33% 07/2012 56803.8741 42715.46911
2012-08-31 2012-09-30 5.86% 6.03% 08/2012 58292.97822 42573.22844
2012-09-30 2012-10-31 -0.33% -0.61% 09/2012 61707.0218 45142.17877
10/31/2012 61501.21066 44868.1269
One Year1 Five Years Ten Years
--------- ---------- ---------
7.19% 0.21% 19.92%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
223
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. Equity Market Review 12 Months Ended October 31, 2012
The year ending October 31, 2012 saw reduced volatility for U.S. equities
with positive returns in three out of four quarters for the widely used
benchmarks. The year began in the wake of MF Global's bankruptcy filing brought
on by losses on European sovereign debt. Many headlines for the rest of the
year also originated from Europe, from the Greek debt swap to the LIBOR scandal
that reached a crescendo in July.
Broad market returns were mostly positive for the first five months through
March 2012, but negative returns following the Facebook IPO and JP Morgan's
reported $2 billion trading loss made May the worst month of the year. The last
trading day of the year followed two days of market closures in the aftermath
of Hurricane Sandy. Through all this, U.S. markets rose in 8 out of the 12
months in the period.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/ growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as earnings, dividends, and book value.
The size premium was negative during the year with small cap stocks
underperforming large cap stocks. Micro cap stocks were the strongest
performers as measured by the indices below.
Total Return for 12 Months Ended October 31, 2012
-------------------------------------------------
Russell 3000(R) Index....................................... 14.75%
Russell Microcap(R) Index (micro cap stocks)................ 16.49%
Russell 2000(R) Index (small cap stocks).................... 12.08%
Russell 1000(R) Index (large cap stocks).................... 14.97%
Dow Jones US Select REIT Index.............................. 14.09%
The value premium was positive across both large cap and small cap stocks.
Total Return for 12 Months Ended October 31, 2012
-------------------------------------------------
Russell 2000(R) Value Index (small cap value stocks)........ 14.47%
Russell 2000(R) Growth Index (small cap growth stocks)...... 9.70%
Russell 1000(R) Value Index (large cap value stocks)........ 16.89%
Russell 1000(R) Growth Index (large cap growth stocks)...... 13.02%
--------
Sources: Russell data copyright (C) Russell Investment Group 1995-2012, all
rights reserved.
For many Dimensional U.S. equity portfolios, differences in returns over the
12 months ended October 31, 2012 were attributable primarily to differences in
value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value or small-cap and micro-cap companies relative to widely
used benchmarks.
224
Domestic Equity Series' Performance Overview
The U.S. Large Cap Value Series
The U.S. Large Cap Value Series seeks to capture the returns of U.S. large
company value stocks. Value is measured primarily by book-to-market ratio. The
investment strategy is process driven, emphasizing broad diversification and
consistent exposure to large cap value stocks, and does not attempt to closely
track a specific equity index. As of October 31, 2012, the Series held
approximately 250 securities and was mostly invested in equities throughout the
year. The average cash exposure for the period was less than 1% of the Series'
assets.
For the 12 months ended October 31, 2012, total returns were 18.31% for the
Series and 16.89% for the Russell 1000(R) Value Index. As a result of the
Series' diversified investment approach, performance was determined principally
by broad structural trends in the U.S. equity market rather than the behavior
of a limited number of stocks. Value stocks, particularly in the largest size
category, generally outperformed during the period. The Series had
significantly greater exposure than the Index to value stocks, which
contributed to the relative outperformance. The Series' exclusion of REITs and
highly regulated utilities also helped performance as both of these sectors
underperformed the overall Index during the period.
International Equity Market Review 12 Months Ended October 31, 2012
The one-year period ending October 31, 2012, was characterized by generally
positive monthly returns with a sharp decline in the month of May. The MSCI
World ex USA Index (net dividends) dropped by -11.4% in the month of May due to
the deepening European debt crisis and concern over a potential Greece exit
from the euro. In response to the crisis, European leaders met and planned out
additional measures to stabilize the markets which positively impacted market
returns in the following months. As measured by the MSCI indices below for
developed markets outside the U.S., value stocks generally outperformed their
growth counterparts, while small cap stocks outperformed large caps.
12 Months Ended October 31, 2012
--------------------------------
U.S. Dollar
Return
-----------
MSCI World ex USA Index............................................ 4.40%
MSCI World ex USA Small Cap Index.................................. 4.86%
MSCI World ex USA Value Index...................................... 4.74%
MSCI World ex USA Growth Index..................................... 3.99%
--------
The US dollar (USD) generally appreciated against other major developed
markets currencies during the period. While the USD's value remained relatively
constant against the British pound and Canadian dollar, it gained significantly
against the euro and Swiss franc, and to a lesser extent, against the Japanese
yen and Australian dollar.
12 Months Ended October 31, 2012
--------------------------------
Local
Currency U.S. Dollar
Ten Largest Foreign Developed Markets by Market Cap Return Return
--------------------------------------------------- -------- -----------
United Kingdom............................................ 8.61% 8.41%
Japan..................................................... -0.86% -3.28%
Canada.................................................... 3.34% 2.69%
France.................................................... 10.04% 2.23%
Australia................................................. 10.20% 7.71%
Switzerland............................................... 17.41% 9.79%
Germany................................................... 18.18% 9.79%
225
12 Months Ended October 31, 2012
--------------------------------
Local
Currency U.S. Dollar
Ten Largest Foreign Developed Markets by Market Cap Return Return
--------------------------------------------------- -------- -----------
Spain.................................................. -6.40% -13.04%
Sweden................................................. 9.26% 6.47%
Hong Kong.............................................. 16.12% 16.34%
--------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2012, all rights reserved.
Gains in emerging markets were lower on average than in developed markets,
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2012, returns in USD were 2.63% for
the MSCI Emerging Markets Index (net dividends) versus 4.40% for the MSCI World
ex USA Index (net dividends). As measured by the MSCI indices, emerging markets
growth stocks outperformed their value counterparts, while emerging markets
small cap stocks outperformed large caps.
12 Months Ended October 31, 2012
--------------------------------
U.S. Dollar
Return
-----------
MSCI Emerging Markets Index........... 2.63%
MSCI Emerging Markets Small Cap Index. 3.74%
MSCI Emerging Markets Value Index..... 1.36%
MSCI Emerging Markets Growth Index.... 3.89%
--------
The US dollar (USD) appreciated significantly against the Brazilian real,
Indian rupee, South African rand and depreciated to a lesser extent against the
South Korean won, Mexican peso, and Taiwanese dollar.
12 Months Ended October 31, 2012
--------------------------------
Local
Currency U.S. Dollar
Ten Largest Emerging Markets by Market Cap Return Return
------------------------------------------ -------- -----------
China.................................................. 7.71% 7.92%
South Korea............................................ 1.71% 3.35%
Brazil................................................. 4.65% -12.68%
Taiwan................................................. -1.78% 0.59%
South Africa........................................... 17.70% 6.84%
India.................................................. 5.24% -4.73%
Russia................................................. -1.42% -4.50%
Mexico................................................. 16.32% 17.03%
Malaysia............................................... 11.39% 12.19%
Indonesia.............................................. 12.64% 3.82%
--------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2012, all rights reserved.
226
International Equity Series' Performance Overview
The DFA International Value Series
The DFA International Value Series seeks to capture the returns of
international large company value stocks. Value stocks are typically
characterized by low relative price, as measured by their book-to-market ratio.
The investment strategy is process driven, emphasizing broad diversification
and consistent exposure to large cap value stocks, and does not attempt to
track any specific equity index. As of October 31, 2012, the Series held
approximately 530 securities in 23 developed countries. In general, the Series
was mostly invested in equities throughout the year. The average cash exposure
for the period was less than 1% of the Series' assets.
For the 12 months ending October 31, 2012, total returns were 3.17% for the
Series and 4.40% for the MSCI World ex USA Index (net dividends). The Series
focuses on international large-cap value stocks,as measured by book-to-market,
while the Index is neutral with regard to value or growth. International
large-cap value stocks, as measured by high book-to-market ratios, generally
underperformed during the period. The Series had significantly greater exposure
than the Index to value stocks, which contributed to relative underperformance.
In particular, large-cap value stocks in Japan significantly underperformed. As
the Series has significantly more weight in these securities than the Index,
these holdings detracted from relative performance. Differences in the
valuation timing and methodology between the Series and the Index contributed
to relative performance. The Series prices foreign exchange rates at the
closing of the U.S. markets while the Index uses rates at 4 pm London time. The
Series also may use fair value pricing to price certain portfolio securities at
the closing of the U.S. markets while the Index uses local market closing
prices.
The Japanese Small Company Series
The Japanese Small Company Series seeks to capture the returns of Japanese
small company stocks. The investment strategy is process driven, emphasizing
broad diversification and consistent exposure to small company stocks, and does
not attempt to track a specific equity index. As of October 31, 2012, the
Series held approximately 1,400 securities. In general, the Series was mostly
invested in equities throughout the year. The average cash exposure for the
period was less than 1% of the Series' assets.
For the 12 months ended October 31, 2012, total returns were 0.54% for the
Series and -1.01% for the MSCI Japan Small Cap Index (net dividends). As a
result of the Series' diversified investment approach, performance was
determined principally by broad structural trends in the Japanese equity market
rather than the behavior of a limited number of stocks. The Series'
outperformance was primarily attributable to its holdings of companies with a
market capitalization below $500 million. These stocks are generally considered
too small to be included in the Index and outperformed other stocks,
contributing to the Series' relative performance. The Series' outperformance
was also attributable to differences in the valuation timing and methodology
between the Series and the Index. The Series prices foreign exchange rates at
the closing of the U.S. markets while the Index uses rates at 4 pm London time.
The Series also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. markets while the Index uses local market
closing prices.
The Asia Pacific Small Company Series
The Asia Pacific Small Company Series seeks to capture the returns of small
company stocks in Australia, Hong Kong, New Zealand, and Singapore. The
investment strategy is process driven, emphasizing broad diversification and
consistent exposure to small company stocks, and does not attempt to track a
specific equity index. As of October 31, 2012, the Series held approximately
1,000 securities across the eligible countries. In general, the Series was
mostly invested in equities throughout the year. The average cash exposure for
the period was less than 1% of the Series' assets.
For the 12 months ended October 31, 2012, total returns were 7.48% for the
Series and 4.01% for the MSCI Pacific ex Japan Small Cap Index (net dividends).
As a result of the Series' diversified investment approach, performance was
determined principally by broad structural trends in Asia Pacific equity
markets rather than the behavior of a limited number of stocks. In particular,
the Index held a number of larger Australian companies at higher weights than
the Series and these stocks underperformed, benefitting the Series' relative
performance. The
227
Series' outperformance was also attributable to differences in the valuation
timing and methodology between the Series and the Index. The Series prices
foreign exchange rates at the closing of the U.S. markets while the Index uses
rates at 4 pm London time. The Series also may use fair value pricing to price
certain portfolio securities at the closing of the U.S. markets while the Index
uses local market closing prices.
The United Kingdom Small Company Series
The United Kingdom Small Company Series seeks to capture the returns of U.K.
small company stocks. The investment strategy is process driven, emphasizing
broad diversification and consistent exposure to small company stocks, and does
not attempt to track a specific equity index. As of October 31, 2012, the
Series held approximately 360 securities. In general, the Series was mostly
invested in equities throughout the year. The average cash exposure for the
period was less than 1% of the Series' assets.
For the 12 months ended October 31, 2012, total returns were 23.41% for the
Series and 20.73% for the MSCI UK Small Cap Index (net dividends). As a result
of the Series' diversified investment approach, performance was determined
principally by broad structural trends in the U.K. equity market, rather than
the behavior of a limited number of stocks. The Series generally excluded
stocks not listed on the London Stock Exchange whereas the Index held a number
of stocks listed on other exchanges. The stocks that were excluded by the
Series significantly underperformed, contributed to the Series' relative
performance. In addition, the Series held a number of stocks that were
considered to be too large for the Index. These larger names outperformed,
which had a positive impact on relative performance. The Series' outperformance
was also attributable to differences in the valuation timing and methodology
between the Series and the Index. The Series prices foreign exchange rates at
the closing of the U.S. markets while the Index uses rates at 4 pm London time.
The Series also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. markets while the Index uses local market
closing prices.
The Continental Small Company Series
The Continental Small Company Series seeks to capture the returns of small
company stocks in developed markets of Europe (excluding the U.K.) and Israel,
by purchasing shares in such securities. The investment strategy is process
driven, emphasizing broad diversification and consistent exposure to small
company stocks, and does not attempt to track a specific equity index. As of
October 31, 2012, the Series held approximately 1,400 securities in 15
developed continental European countries and Israel. Country allocations
generally reflect the approximate weights of individual securities within a
universe of continental European and Israeli small company stocks constructed
by the Advisor. In general, the Series was mostly invested in equities
throughout the year. The average cash exposure for period was less than 1% of
the Series' assets.
For the 12 months ended October 31, 2012, total returns were 2.29% for the
Series and 3.75% for the MSCI Europe ex UK Small Cap Index (net dividends). As
a result of the Series' diversified investment approach, performance was
determined principally by broad structural trends in the continental European
(excluding the U.K.) and Israeli equity markets, rather than the behavior of a
limited number of stocks. The Series defines the small cap universe differently
than the Index. For the one-year period, this led to differences in country
weights as well as holdings within certain countries. In particular, the Series
had a lower allocation to Norway, one of the best performing countries, which
detracted from relative performance. Differences in the Series' definition of
the small cap universe also resulted in the exclusion or lower weighting of
larger securities in Norway, Germany and Sweden, which also outperformed, and
detracted from the Series' relative performance. For the period, differences in
the valuation timing and methodology between the Series and the Index
contributed to relative performance. The Series prices foreign exchange rates
at the closing of the U.S. markets while the Index uses rates at 4 pm London
time. The Series also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. markets while the Index uses local market
closing prices.
228
The Canadian Small Company Series
The Canadian Small Company Series seeks to capture the returns of Canadian
small company stocks. The investment strategy is process driven, emphasizing
broad diversification and consistent exposure to small company stocks, and does
not attempt to track a specific equity index. As of October 31, 2012, the
Series held approximately 420 securities. In general, the Series was mostly
invested in equities throughout the year. The average cash exposure for the
period was less than 1% of the Series' assets.
For the 12 months ended October 31, 2012, total returns were -2.51% for the
Series and -1.67% for the MSCI Canada Small Cap Index (net dividends). As a
result of the Series' diversified investment approach, performance was
determined principally by broad structural trends in the Canadian equity
market. The Series held smaller securities than the Index, which had a negative
impact on relative performance as larger companies in Canada outperformed. The
Series' exclusion of REITs also detracted significantly from relative
performance as Canadian REITs outperformed.
The Emerging Markets Series
The Emerging Markets Series seeks to capture the returns of large cap stocks
in selected emerging markets countries. The investment strategy is process
driven, emphasizing broad diversification and consistent exposure to large cap
emerging markets stocks, and does not attempt to track a specific equity index.
As of October 31, 2012, the Series held approximately 970 securities across 20
emerging markets. In general, the Series was mostly invested in equities
throughout the year. The average cash exposure for the period was less than 1%
of the Series' assets. The Series' country weights were capped at 15% of assets
associated with any one country at the time of purchase by the manager to limit
single-country risk exposure.
For the 12 months ended October 31, 2012, total returns were 4.55% for the
Series and 2.63% for the MSCI Emerging Markets Index (net dividends). As a
result of the Series' diversified approach, performance was generally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. Differences in the valuation timing and methodology
between the Series and the Index were the primary reason for the Series'
outperformance relative to the Index. The Series prices foreign exchange rates
at the closing of the U.S. markets while the Index uses rates at 4 pm London
time. The Series also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. markets while the Index uses local market
closing prices.
The Emerging Markets Small Cap Series
The Emerging Markets Small Cap Series seeks to capture the returns of small
company stocks in selected emerging markets. The investment strategy is process
driven, emphasizing broad diversification and consistent exposure to small
company stocks in selected emerging markets, and does not attempt to track a
specific equity index. As of October 31, 2012, the Series held approximately
2,900 securities across 16 emerging markets. In general, the Series was mostly
invested in equities throughout the year. The average cash exposure for the
period was less than 1% of the Series' assets. The Series' country weights were
capped at 15% of assets associated with any one country upon purchase by the
manager to limit single-country risk exposure.
For the 12 months ended October 31, 2012, total returns were 7.19% for the
Series and 2.63% for the MSCI Emerging Markets Index (net dividends). As a
result of the Series' diversified approach, performance was principally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. The Series focuses on small cap stocks while the
Index primarily holds mid-cap and large cap stocks. Emerging markets small cap
stocks outperformed larger companies over the period. The Series' significantly
greater exposure than the Index to small cap stocks contributed to the relative
outperformance. In addition, differences in country weights between the Series
and the Index also contributed to the Series' relative outperformance. To a
lesser extent, differences in the valuation timing and methodology between the
Series and the Index also contributed to outperformance. The Series prices
foreign exchange rates at the closing of the U.S. markets while the Index uses
rates at 4 pm London time. The Series also may use fair value pricing to price
certain portfolio securities at the closing of the U.S. markets while the Index
uses local market closing prices.
229
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return and "Expenses Paid During Period"
reflect the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2012
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/12 10/31/12 Ratio* Period*
--------- --------- ---------- --------
THE U.S. LARGE CAP VALUE SERIES....
Actual Fund Return................. $1,000.00 $1,068.50 0.12% $0.62
Hypothetical 5% Annual Return...... $1,000.00 $1,024.53 0.12% $0.61
THE DFA INTERNATIONAL VALUE SERIES.
Actual Fund Return................. $1,000.00 $1,020.68 0.24% $1.22
Hypothetical 5% Annual Return...... $1,000.00 $1,023.93 0.24% $1.22
230
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/12 10/31/12 Ratio* Period*
--------- --------- ---------- --------
The Japanese Small Company Series
---------------------------------
Actual Fund Return..................... $1,000.00 $ 926.58 0.15% $0.73
Hypothetical 5% Annual Return.......... $1,000.00 $1,024.38 0.15% $0.76
The Asia Pacific Small Company Series
-------------------------------------
Actual Fund Return..................... $1,000.00 $1,006.40 0.16% $0.81
Hypothetical 5% Annual Return.......... $1,000.00 $1,024.33 0.16% $0.81
The United Kingdom Small Company Series
---------------------------------------
Actual Fund Return..................... $1,000.00 $1,073.28 0.13% $0.68
Hypothetical 5% Annual Return.......... $1,000.00 $1,024.48 0.13% $0.66
The Continental Small Company Series
------------------------------------
Actual Fund Return..................... $1,000.00 $ 999.29 0.16% $0.80
Hypothetical 5% Annual Return.......... $1,000.00 $1,024.33 0.16% $0.81
The Canadian Small Company Series
---------------------------------
Actual Fund Return..................... $1,000.00 $ 974.87 0.15% $0.74
Hypothetical 5% Annual Return.......... $1,000.00 $1,024.38 0.15% $0.76
The Emerging Markets Series
---------------------------
Actual Fund Return..................... $1,000.00 $ 998.66 0.20% $1.00
Hypothetical 5% Annual Return.......... $1,000.00 $1,024.13 0.20% $1.02
The Emerging Markets Small Cap Series
-------------------------------------
Actual Fund Return..................... $1,000.00 $1,009.75 0.39% $1.97
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.18 0.39% $1.98
--------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
231
DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 28, 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..... 17.4%
Consumer Staples........... 8.3%
Energy..................... 19.2%
Financials................. 19.6%
Health Care................ 9.3%
Industrials................ 13.7%
Information Technology..... 3.2%
Materials.................. 2.8%
Telecommunication Services. 6.3%
Utilities.................. 0.2%
-----
100.0%
The DFA International Value Series
Consumer Discretionary..... 10.8%
Consumer Staples........... 5.5%
Energy..................... 14.5%
Financials................. 30.7%
Health Care................ 1.5%
Industrials................ 10.0%
Information Technology..... 2.9%
Materials.................. 13.0%
Telecommunication Services. 7.9%
Utilities.................. 3.2%
-----
100.0%
The Japanese Small Company Series
Consumer Discretionary..... 22.5%
Consumer Staples........... 10.1%
Energy..................... 0.9%
Financials................. 12.2%
Health Care................ 5.3%
Industrials................ 26.3%
Information Technology..... 10.9%
Materials.................. 11.0%
Telecommunication Services. 0.3%
Utilities.................. 0.5%
-----
100.0%
232
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
The Asia Pacific Small Company Series
Consumer Discretionary....... 24.0%
Consumer Staples............. 4.6%
Energy....................... 7.1%
Financials................... 11.7%
Health Care.................. 5.6%
Industrials.................. 21.3%
Information Technology....... 4.5%
Materials.................... 15.2%
Other........................ --
Telecommunication Services... 2.5%
Utilities.................... 3.5%
-----
100.0%
The United Kingdom Small Company Series
Consumer Discretionary........ 25.0%
Consumer Staples.............. 4.0%
Energy........................ 5.0%
Financials.................... 14.4%
Health Care................... 2.1%
Industrials................... 28.4%
Information Technology........ 9.1%
Materials..................... 7.4%
Telecommunication Services.... 2.2%
Utilities..................... 2.4%
-----
100.0%
The Continental Small Company Series
Consumer Discretionary........ 13.3%
Consumer Staples.............. 7.4%
Energy........................ 4.5%
Financials.................... 18.7%
Health Care................... 9.5%
Industrials................... 23.9%
Information Technology........ 10.1%
Materials..................... 8.9%
Other......................... --
Real Estate Investment Trusts. --
Telecommunication Services.... 1.6%
Utilities..................... 2.1%
-----
100.0%
The Canadian Small Company Series
Consumer Discretionary..... 11.2%
Consumer Staples........... 3.4%
Energy..................... 25.3%
Financials................. 7.8%
Health Care................ 2.0%
Industrials................ 11.9%
Information Technology..... 5.2%
Materials.................. 28.4%
Telecommunication Services. 0.5%
Utilities.................. 4.3%
-----
100.0%
The Emerging Markets Series
Consumer Discretionary..... 8.3%
Consumer Staples........... 9.7%
Energy..................... 12.4%
Financials................. 23.9%
Health Care................ 1.3%
Industrials................ 7.4%
Information Technology..... 13.5%
Materials.................. 12.4%
Other...................... --
Telecommunication Services. 7.8%
Utilities.................. 3.3%
-----
100.0%
The Emerging Markets Small Cap Series
Consumer Discretionary........ 18.4%
Consumer Staples.............. 10.1%
Energy........................ 2.1%
Financials.................... 16.9%
Health Care................... 6.1%
Industrials................... 17.2%
Information Technology........ 11.3%
Materials..................... 14.0%
Other......................... --
Real Estate Investment Trusts. --
Telecommunication Services.... 0.9%
Utilities..................... 3.0%
-----
100.0%
233
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value+ of Net Assets**
---------- -------------- ---------------
COMMON STOCKS -- (94.6%)
Consumer Discretionary -- (16.4%)
#Carnival Corp.................... 2,385,423 $ 90,359,823 0.9%
CBS Corp. Class B................ 2,414,307 78,223,547 0.7%
Comcast Corp. Class A............ 10,008,890 375,433,464 3.5%
Comcast Corp. Special Class A.... 3,843,964 140,074,048 1.3%
#News Corp. Class A............... 8,332,375 199,310,410 1.9%
News Corp. Class B............... 3,247,295 79,104,106 0.8%
Time Warner Cable, Inc........... 1,921,256 190,415,682 1.8%
Time Warner, Inc................. 4,810,759 209,027,479 2.0%
Other Securities................. 477,830,442 4.5%
-------------- ----
Total Consumer Discretionary......... 1,839,779,001 17.4%
-------------- ----
Consumer Staples -- (7.9%)
Archer-Daniels-Midland Co........ 3,155,848 84,702,960 0.8%
CVS Caremark Corp................ 5,746,668 266,645,395 2.5%
*Kraft Foods Group, Inc........... 2,376,283 108,073,351 1.0%
Mondelez International, Inc.
Class A........................ 7,128,852 189,199,732 1.8%
Other Securities................. 231,906,652 2.2%
-------------- ----
Total Consumer Staples............... 880,528,090 8.3%
-------------- ----
Energy -- (18.1%)
Anadarko Petroleum Corp.......... 2,441,476 167,997,964 1.6%
#Apache Corp...................... 1,208,836 100,031,179 0.9%
#Chesapeake Energy Corp........... 3,251,150 65,868,299 0.6%
Chevron Corp..................... 2,876,061 316,970,683 3.0%
ConocoPhillips................... 5,374,243 310,899,958 2.9%
Devon Energy Corp................ 1,094,855 63,731,510 0.6%
Hess Corp........................ 1,567,373 81,910,913 0.8%
Marathon Oil Corp................ 3,446,808 103,611,048 1.0%
Marathon Petroleum Corp.......... 1,791,952 98,431,923 0.9%
National Oilwell Varco, Inc...... 1,661,481 122,451,150 1.1%
Phillips 66...................... 2,855,170 134,649,817 1.3%
#Pioneer Natural Resources Co..... 517,832 54,708,951 0.5%
Valero Energy Corp............... 2,806,975 81,682,972 0.8%
Other Securities.................. 324,968,319 3.1%
-------------- ----
Total Energy......................... 2,027,914,686 19.1%
-------------- ----
Financials -- (18.5%)
Allstate Corp. (The)............. 1,330,135 53,178,797 0.5%
Bank of America Corp............. 29,573,320 275,623,342 2.6%
Citigroup, Inc................... 9,338,881 349,180,761 3.3%
CME Group, Inc................... 1,599,345 89,451,366 0.8%
#Goldman Sachs Group, Inc. (The).. 786,395 96,246,884 0.9%
JPMorgan Chase & Co.............. 2,316,928 96,569,559 0.9%
Loews Corp....................... 2,050,343 86,688,502 0.8%
MetLife, Inc..................... 4,759,859 168,927,396 1.6%
Morgan Stanley................... 3,953,534 68,712,421 0.7%
Prudential Financial, Inc........ 2,267,142 129,340,451 1.2%
SunTrust Banks, Inc.............. 2,564,707 69,760,030 0.7%
Other Securities................. 590,403,703 5.6%
-------------- ----
Total Financials..................... 2,074,083,212 19.6%
-------------- ----
Health Care -- (8.8%)
Aetna, Inc....................... 1,693,713 74,015,258 0.7%
Humana, Inc...................... 698,778 51,898,242 0.5%
Pfizer, Inc...................... 17,815,204 443,064,123 4.2%
Thermo Fisher Scientific, Inc.... 1,932,026 117,969,508 1.1%
234
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
----------- --------------- ---------------
Health Care -- (Continued)
#WellPoint, Inc................. 1,824,634 $ 111,813,572 1.1%
Other Securities............... 185,837,706 1.7%
--------------- -----
Total Health Care.................. 984,598,409 9.3%
--------------- -----
Industrials -- (12.9%)
CSX Corp....................... 5,517,066 112,934,341 1.1%
General Electric Co............ 21,445,555 451,643,388 4.2%
Norfolk Southern Corp.......... 1,681,939 103,186,958 1.0%
Northrop Grumman Corp.......... 1,364,645 93,737,465 0.9%
Union Pacific Corp............. 2,314,080 284,701,262 2.7%
Other Securities............... 401,626,053 3.8%
--------------- -----
Total Industrials.................. 1,447,829,467 13.7%
--------------- -----
Information Technology -- (3.1%)
Other Securities............... 342,245,409 3.2%
--------------- -----
Materials -- (2.7%)
International Paper Co......... 2,299,481 82,390,404 0.8%
Other Securities............... 214,315,526 2.0%
--------------- -----
Total Materials.................... 296,705,930 2.8%
--------------- -----
Telecommunication Services --
(6.0%)
AT&T, Inc...................... 13,051,618 451,455,467 4.3%
CenturyLink, Inc............... 2,353,137 90,313,398 0.9%
*Sprint Nextel Corp............. 13,961,200 77,345,048 0.7%
Other Securities............... 46,089,533 0.4%
--------------- -----
Total Telecommunication Services... 665,203,446 6.3%
--------------- -----
Utilities -- (0.2%)
Other Securities............... 21,403,569 0.2%
--------------- -----
TOTAL COMMON STOCKS................ 10,580,291,219 99.9%
--------------- -----
TEMPORARY CASH INVESTMENTS --
(0.1%)
BlackRock Liquidity Funds
TempCash Portfolio -
Institutional Shares......... 8,414,357 8,414,357 0.1%
--------------- -----
Shares/
Face
Amount
(000)
-----------
SECURITIES LENDING COLLATERAL --
(5.3%)
(S)@DFA Short Term Investment Fund. 51,528,378 596,183,329 5.6%
@Repurchase Agreement, JPMorgan
Securities LLC 0.30%, 11/01/12
(Collateralized by $1,620,729
FNMA, rates ranging from
2.500% to 5.500%, maturities
ranging from 10/01/22 to
07/01/42, valued at
$1,625,607) to be repurchased
at $1,573,497................... $ 1,573 1,573,484 0.0%
--------------- -----
TOTAL SECURITIES LENDING
COLLATERAL....................... 597,756,813 5.6%
--------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,371,764,356)........... $11,186,462,389 105.6%
=============== =====
235
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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..... $ 1,839,779,001 -- -- $ 1,839,779,001
Consumer Staples........... 880,528,090 -- -- 880,528,090
Energy..................... 2,027,914,686 -- -- 2,027,914,686
Financials................. 2,074,083,212 -- -- 2,074,083,212
Health Care................ 984,598,409 -- -- 984,598,409
Industrials................ 1,447,829,467 -- -- 1,447,829,467
Information Technology..... 342,245,409 -- -- 342,245,409
Materials.................. 296,705,930 -- -- 296,705,930
Telecommunication Services. 665,203,446 -- -- 665,203,446
Utilities.................. 21,403,569 -- -- 21,403,569
Temporary Cash Investments.... 8,414,357 -- -- 8,414,357
Securities Lending Collateral. -- $597,756,813 -- 597,756,813
--------------- ------------ -- ---------------
TOTAL......................... $10,588,705,576 $597,756,813 -- $11,186,462,389
=============== ============ == ===============
See accompanying Notes to Financial Statements.
236
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value++ of Net Assets**
--------- ------------ ---------------
COMMON STOCKS -- (91.9%)
AUSTRALIA -- (4.6%)
#National Australia Bank, Ltd....... 1,435,379 $ 38,360,336 0.5%
#Wesfarmers, Ltd.................... 2,578,622 92,958,107 1.3%
Other Securities................... 227,956,736 3.2%
------------ ----
TOTAL AUSTRALIA........................ 359,275,179 5.0%
------------ ----
AUSTRIA -- (0.3%)
Other Securities................... 20,298,622 0.3%
------------ ----
BELGIUM -- (0.9%)
Other Securities................... 68,961,678 0.9%
------------ ----
CANADA -- (11.6%)
Canadian Natural Resources, Ltd.... 1,668,484 50,284,224 0.7%
Goldcorp, Inc...................... 1,677,120 75,816,739 1.0%
#Manulife Financial Corp............ 4,587,163 56,676,437 0.8%
Nexen, Inc......................... 1,739,936 41,549,410 0.6%
#Sun Life Financial, Inc............ 1,565,269 38,820,238 0.5%
Suncor Energy, Inc................. 3,696,270 124,054,038 1.7%
#Teck Resources, Ltd. Class B....... 1,483,730 47,093,107 0.7%
#Thomson Reuters Corp............... 1,832,184 51,585,496 0.7%
Other Securities................... 422,824,032 5.8%
------------ ----
TOTAL CANADA........................... 908,703,721 12.5%
------------ ----
DENMARK -- (1.3%)
Other Securities................... 98,590,467 1.4%
------------ ----
FINLAND -- (0.6%)
Other Securities................... 46,534,314 0.6%
------------ ----
FRANCE -- (8.6%)
AXA SA............................. 3,557,776 56,706,072 0.8%
BNP Paribas SA..................... 1,230,991 62,480,990 0.9%
Cie de Saint-Gobain SA............. 1,039,077 36,601,589 0.5%
France Telecom SA.................. 3,875,091 43,313,653 0.6%
#GDF Suez SA........................ 3,247,974 74,548,265 1.0%
*Societe Generale SA................ 1,558,512 49,703,998 0.7%
Vivendi SA......................... 3,686,124 75,533,481 1.0%
Other Securities................... 269,050,897 3.7%
------------ ----
TOTAL FRANCE........................... 667,938,945 9.2%
------------ ----
GERMANY -- (7.6%)
Bayerische Motoren Werke AG........ 656,221 52,461,937 0.7%
Daimler AG......................... 2,088,586 97,838,982 1.4%
#Deutsche Bank AG................... 1,325,896 60,395,696 0.8%
E.ON AG............................ 3,592,972 81,793,916 1.1%
Munchener
Rueckversicherungs-Gesellschaft
AG............................... 395,244 63,595,851 0.9%
Other Securities................... 239,505,610 3.3%
------------ ----
TOTAL GERMANY.......................... 595,591,992 8.2%
------------ ----
GREECE -- (0.0%)
Other Securities................... 3,296,253 0.0%
------------ ----
HONG KONG -- (1.9%)
#Hutchison Whampoa, Ltd............. 5,618,000 55,108,769 0.8%
Other Securities................... 93,863,530 1.3%
------------ ----
TOTAL HONG KONG........................ 148,972,299 2.1%
------------ ----
237
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
---------- -------------- ---------------
IRELAND -- (0.2%)
Other Securities............................. $ 15,849,047 0.2%
-------------- ----
ISRAEL -- (0.6%)
Other Securities............................. 45,815,345 0.6%
-------------- ----
ITALY -- (1.3%)
Other Securities............................. 99,757,627 1.4%
-------------- ----
JAPAN -- (16.2%)
Mitsubishi Corp.............................. 2,732,000 48,774,242 0.7%
Mitsubishi UFJ Financial Group, Inc.......... 18,834,406 85,206,251 1.2%
Mitsui & Co., Ltd............................ 2,990,300 42,148,944 0.6%
Sumitomo Corp................................ 3,241,900 44,196,159 0.6%
#Toyota Motor Corp. Sponsored ADR............. 614,188 47,581,144 0.6%
Other Securities............................. 997,496,602 13.8%
-------------- ----
TOTAL JAPAN...................................... 1,265,403,342 17.5%
-------------- ----
NETHERLANDS -- (2.7%)
ArcelorMittal NV............................. 2,446,831 36,174,996 0.5%
*ING Groep NV................................. 4,933,987 43,903,032 0.6%
Koninklijke Philips Electronics NV........... 2,042,653 51,160,127 0.7%
Other Securities............................. 83,798,551 1.2%
-------------- ----
TOTAL NETHERLANDS................................ 215,036,706 3.0%
-------------- ----
NEW ZEALAND -- (0.1%)
Other Securities............................. 6,231,896 0.1%
-------------- ----
NORWAY -- (1.2%)
Other Securities............................. 92,125,902 1.3%
-------------- ----
PORTUGAL -- (0.1%)
Other Securities............................. 8,279,896 0.1%
-------------- ----
SINGAPORE -- (1.0%)
Other Securities............................. 81,099,619 1.1%
-------------- ----
SPAIN -- (1.9%)
Banco Santander SA........................... 7,903,716 59,508,435 0.8%
Other Securities............................. 85,860,300 1.2%
-------------- ----
TOTAL SPAIN...................................... 145,368,735 2.0%
-------------- ----
SWEDEN -- (2.9%)
Nordea Bank AB............................... 5,366,449 48,779,174 0.7%
Telefonaktiebolaget LM Ericsson AB Series B.. 4,713,081 41,753,549 0.6%
Other Securities............................. 132,823,836 1.8%
-------------- ----
TOTAL SWEDEN..................................... 223,356,559 3.1%
-------------- ----
SWITZERLAND -- (5.7%)
Holcim, Ltd.................................. 887,877 60,594,265 0.8%
Swiss Re, Ltd................................ 1,108,107 76,678,078 1.1%
UBS AG....................................... 3,833,535 57,516,804 0.8%
Zurich Insurance Group AG.................... 221,361 54,569,851 0.8%
Other Securities............................. 196,610,103 2.7%
-------------- ----
TOTAL SWITZERLAND................................ 445,969,101 6.2%
-------------- ----
UNITED KINGDOM -- (20.6%)
Aviva P.L.C.................................. 8,175,916 43,785,601 0.6%
Barclays P.L.C............................... 11,591,752 42,863,545 0.6%
#Barclays P.L.C. Sponsored ADR................ 4,327,157 64,041,924 0.9%
BP P.L.C. Sponsored ADR...................... 5,338,016 228,947,506 3.2%
238
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
----------- -------------- ---------------
UNITED KINGDOM -- (Continued)
#HSBC Holdings P.L.C. Sponsored ADR.................................... 1,453,812 $ 71,760,160 1.0%
Kingfisher P.L.C....................................................... 10,285,817 48,158,694 0.7%
*Lloyds Banking Group P.L.C............................................ 76,981,994 50,693,260 0.7%
Old Mutual P.L.C....................................................... 13,164,620 36,643,450 0.5%
Royal Dutch Shell P.L.C. ADR........................................... 3,323,210 234,718,322 3.2%
Vodafone Group P.L.C................................................... 34,976,333 94,983,682 1.3%
Vodafone Group P.L.C. Sponsored ADR.................................... 8,116,661 220,935,512 3.1%
Xstrata P.L.C.......................................................... 5,211,952 82,565,149 1.1%
Other Securities....................................................... 385,708,778 5.3%
-------------- -----
TOTAL UNITED KINGDOM...................................................... 1,605,805,583 22.2%
-------------- -----
TOTAL COMMON STOCKS....................................................... 7,168,262,828 99.0%
-------------- -----
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities....................................................... 22,268,022 0.3%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities....................................................... 3 0.0%
-------------- -----
Shares/
Face
Amount
(000) Value+
----------- --------------
SECURITIES LENDING COLLATERAL -- (7.8%)
(S)@DFA Short Term Investment Fund........................................ 52,722,558 610,000,000 8.5%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12
(Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued
at $1,715,506) to be repurchased at $1,681,885....................... $ 1,682 1,681,868 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL....................................... 611,681,868 8.5%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,402,475,403).................................................. $7,802,212,721 107.8%
============== =====
239
The DFA International Value Series
CONTINUED
Summary of the Series' investments as of October 31, 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.................. $ 3,692,761 $ 355,582,418 -- $ 359,275,179
Austria.................... -- 20,298,622 -- 20,298,622
Belgium.................... 2,022,896 66,938,782 -- 68,961,678
Canada..................... 908,703,721 -- -- 908,703,721
Denmark.................... -- 98,590,467 -- 98,590,467
Finland.................... 1,292,010 45,242,304 -- 46,534,314
France..................... 16,823,856 651,115,089 -- 667,938,945
Germany.................... 90,012,205 505,579,787 -- 595,591,992
Greece..................... -- 3,296,253 -- 3,296,253
Hong Kong.................. -- 148,972,299 -- 148,972,299
Ireland.................... 4,846,911 11,002,136 -- 15,849,047
Israel..................... 5,360,734 40,454,611 -- 45,815,345
Italy...................... 17,226,655 82,530,972 -- 99,757,627
Japan...................... 97,266,465 1,168,136,877 -- 1,265,403,342
Netherlands................ 14,913,357 200,123,349 -- 215,036,706
New Zealand................ -- 6,231,896 -- 6,231,896
Norway..................... 258,768 91,867,134 -- 92,125,902
Portugal................... -- 8,279,896 -- 8,279,896
Singapore.................. -- 81,099,619 -- 81,099,619
Spain...................... 10,329,758 135,038,977 -- 145,368,735
Sweden..................... 8,464,720 214,891,839 -- 223,356,559
Switzerland................ 50,178,730 395,790,371 -- 445,969,101
United Kingdom............. 875,824,552 729,981,031 -- 1,605,805,583
Preferred Stocks Germany...... -- 22,268,022 -- 22,268,022
Rights/Warrants Spain......... -- 3 -- 3
Securities Lending Collateral. -- 611,681,868 -- 611,681,868
-------------- -------------- -- --------------
TOTAL......................... $2,107,218,099 $5,694,994,622 -- $7,802,212,721
============== ============== == ==============
See accompanying Notes to Financial Statements.
240
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value++ of Net Assets**
--------- ------------ ---------------
COMMON STOCKS -- (88.0%)
Consumer Discretionary -- (19.8%)
Aoyama Trading Co., Ltd.......... 295,800 $ 5,845,699 0.3%
*Haseko Corp...................... 6,870,500 4,385,674 0.3%
#Nifco, Inc....................... 228,400 5,190,359 0.3%
Onward Holdings Co., Ltd......... 626,000 4,635,222 0.3%
Ryohin Keikaku Co., Ltd.......... 104,000 6,887,238 0.4%
Shimachu Co., Ltd................ 227,000 5,015,422 0.3%
Toyobo Co., Ltd.................. 4,184,000 4,611,041 0.3%
Other Securities................. 339,597,220 20.1%
------------ ----
Total Consumer Discretionary......... 376,167,875 22.3%
------------ ----
Consumer Staples -- (8.9%)
#Nichirei Corp.................... 1,248,000 6,884,055 0.4%
Sapporo Holdings, Ltd............ 1,621,000 4,526,839 0.3%
Takara Holdings, Inc............. 834,500 6,250,961 0.4%
*Tsuruha Holdings, Inc............ 73,200 5,548,589 0.3%
Other Securities................. 145,425,057 8.6%
------------ ----
Total Consumer Staples............... 168,635,501 10.0%
------------ ----
Energy -- (0.8%)
Other Securities................. 15,478,147 0.9%
------------ ----
Financials -- (10.7%)
Daishi Bank, Ltd. (The).......... 1,494,000 4,936,839 0.3%
Higo Bank, Ltd. (The)............ 818,000 4,827,321 0.3%
Hokkoku Bank, Ltd. (The)......... 1,190,000 4,296,076 0.2%
Hyakugo Bank, Ltd. (The)......... 1,116,609 4,886,171 0.3%
Hyakujishi Bank, Ltd. (The)...... 1,097,000 4,300,766 0.2%
Juroku Bank, Ltd................. 1,473,000 4,779,955 0.3%
Kiyo Holdings, Inc............... 3,313,900 4,529,074 0.3%
Musashino Bank, Ltd.............. 152,300 4,362,228 0.2%
Ogaki Kyoritsu Bank, Ltd. (The).. 1,410,000 4,963,527 0.3%
San-in Godo Bank, Ltd. (The)..... 791,000 5,471,237 0.3%
*Tokyo Tatemono Co., Ltd.......... 1,893,000 7,791,021 0.5%
Other Securities................. 147,759,131 8.8%
------------ ----
Total Financials..................... 202,903,346 12.0%
------------ ----
Health Care -- (4.7%)
Kaken Pharmaceutical Co., Ltd.... 364,000 5,637,927 0.3%
KYORIN Holdings, Inc............. 214,000 4,524,370 0.3%
Nihon Kohden Corp................ 173,900 6,468,886 0.4%
Rohto Pharmaceutical Co., Ltd.... 424,000 5,843,559 0.3%
#Sawai Pharmaceutical Co., Ltd.... 40,300 4,451,796 0.3%
Ship Healthcare Holdings, Inc.... 155,600 5,188,557 0.3%
Toho Holdings Co., Ltd........... 217,800 4,452,305 0.3%
Other Securities................. 51,968,098 3.1%
------------ ----
Total Health Care.................... 88,535,498 5.3%
------------ ----
Industrials -- (23.2%)
#Fujikura, Ltd.................... 1,656,000 4,607,975 0.3%
Glory, Ltd....................... 246,600 5,985,033 0.3%
Hitachi Zosen Corp............... 3,596,000 4,505,574 0.3%
#*Kawasaki Kisen Kaisha, Ltd....... 4,568,000 5,790,221 0.3%
#Minebea Co., Ltd................. 1,334,000 4,384,759 0.3%
Nisshinbo Holdings, Inc.......... 653,000 4,271,975 0.2%
OSG Corp......................... 329,000 4,312,629 0.3%
Sankyu, Inc...................... 1,251,000 4,358,022 0.3%
241
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
----------- -------------- ---------------
Industrials -- (Continued)
Other Securities......................................................... $ 401,944,861 23.8%
-------------- -----
Total Industrials............................................................ 440,161,049 26.1%
-------------- -----
Information Technology -- (9.6%)
#Alps Electric Co., Ltd................................................... 808,000 4,776,946 0.3%
#Anritsu Corp............................................................. 392,000 4,931,192 0.3%
Horiba, Ltd.............................................................. 179,850 4,907,305 0.3%
IT Holdings Corp......................................................... 376,801 4,696,096 0.3%
Net One Systems Co., Ltd................................................. 434,500 4,836,269 0.3%
Wacom Co., Ltd........................................................... 1,731 5,027,984 0.3%
Other Securities......................................................... 153,046,255 9.0%
-------------- -----
Total Information Technology................................................. 182,222,047 10.8%
-------------- -----
Materials -- (9.6%)
FP Corp.................................................................. 61,200 4,600,656 0.3%
#Hokuetsu Kishu Paper Co., Ltd............................................ 862,199 4,417,725 0.3%
*Mitsui Mining & Smelting Co., Ltd........................................ 2,683,000 5,679,528 0.3%
Sumitomo Osaka Cement Co., Ltd........................................... 1,848,000 6,016,617 0.3%
Toagosei Co., Ltd........................................................ 1,096,000 4,468,291 0.3%
#Tosoh Corp............................................................... 2,242,000 4,388,986 0.3%
Other Securities......................................................... 153,829,756 9.1%
-------------- -----
Total Materials.............................................................. 183,401,559 10.9%
-------------- -----
Telecommunication Services -- (0.3%)
#eAccess, Ltd............................................................. 10,102 5,098,126 0.3%
Other Securities......................................................... 117,808 0.0%
-------------- -----
Total Telecommunication Services............................................. 5,215,934 0.3%
-------------- -----
Utilities -- (0.4%)
Other Securities......................................................... 8,485,467 0.5%
-------------- -----
TOTAL COMMON STOCKS.......................................................... 1,671,206,423 99.1%
-------------- -----
Shares/
Face
Amount
(000) Value+
----------- --------------
SECURITIES LENDING COLLATERAL -- (12.0%)
(S)@DFA Short Term Investment Fund........................................... 19,446,845 225,000,000 13.4%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12
(Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at
$4,044,497) to be repurchased at $3,965,232............................. $ 3,965 3,965,193 0.2%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL.......................................... 228,965,193 13.6%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,096,684,195) $1,900,171,616 112.7%
============== =====
242
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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..... $3,783 $ 376,164,092 -- $ 376,167,875
Consumer Staples........... -- 168,635,501 -- 168,635,501
Energy..................... -- 15,478,147 -- 15,478,147
Financials................. -- 202,903,346 -- 202,903,346
Health Care................ -- 88,535,498 -- 88,535,498
Industrials................ -- 440,161,049 -- 440,161,049
Information Technology..... -- 182,222,047 -- 182,222,047
Materials.................. -- 183,401,559 -- 183,401,559
Telecommunication Services. -- 5,215,934 -- 5,215,934
Utilities.................. -- 8,485,467 -- 8,485,467
Securities Lending Collateral. -- 228,965,193 -- 228,965,193
------ -------------- -- --------------
TOTAL......................... $3,783 $1,900,167,833 -- $1,900,171,616
====== ============== == ==============
See accompanying Notes to Financial Statements.
243
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value++ of Net Assets**
- ---------- ------------ ---------------
COMMON STOCKS -- (83.0%)
AUSTRALIA -- (47.4%)
#Adelaide Brighton, Ltd............. 1,885,757 $ 6,199,102 0.6%
Ansell, Ltd........................ 503,479 8,157,816 0.8%
#Aristocrat Leisure, Ltd............ 2,580,305 7,542,048 0.8%
Arrium, Ltd........................ 6,037,433 4,903,780 0.5%
#*Aurora Oil & Gas, Ltd.............. 1,114,903 4,512,172 0.4%
Australian Infrastructure Fund NL.. 3,606,473 11,122,393 1.1%
#Beach Energy, Ltd.................. 5,525,248 7,891,340 0.8%
*BlueScope Steel, Ltd............... 13,572,369 6,673,452 0.7%
#Bradken, Ltd....................... 1,022,589 5,234,406 0.5%
#carsales.com, Ltd.................. 1,220,399 9,444,501 0.9%
Consolidated Media Holdings, Ltd... 1,276,820 4,543,366 0.5%
#CSR, Ltd........................... 2,491,176 4,522,744 0.5%
#David Jones, Ltd................... 3,152,271 8,724,565 0.9%
*Downer EDI, Ltd.................... 1,857,964 6,916,092 0.7%
DUET Group......................... 3,067,818 6,648,416 0.7%
#DuluxGroup, Ltd.................... 2,167,142 7,954,583 0.8%
#Envestra, Ltd...................... 5,566,443 5,224,266 0.5%
#*Goodman Fielder, Ltd............... 8,296,037 5,025,633 0.5%
GrainCorp, Ltd. Class A............ 828,668 10,523,403 1.0%
#Invocare, Ltd...................... 633,106 5,785,092 0.6%
IOOF Holdings, Ltd................. 1,074,600 7,031,533 0.7%
#Iress, Ltd......................... 603,773 4,795,961 0.5%
#JB Hi-Fi, Ltd...................... 582,072 6,187,633 0.6%
#Kingsgate Consolidated, Ltd........ 786,887 4,513,292 0.4%
#Medusa Mining, Ltd................. 844,923 5,382,014 0.5%
#Monadelphous Group, Ltd............ 319,624 6,988,498 0.7%
#Myer Holdings, Ltd................. 3,564,925 7,225,726 0.7%
#Navitas, Ltd....................... 1,189,617 5,081,804 0.5%
Nufarm, Ltd........................ 817,424 4,873,105 0.5%
#*Paladin Energy, Ltd................ 4,096,983 4,805,465 0.5%
#Perpetual Trustees Australia, Ltd.. 226,579 6,555,708 0.7%
Primary Health Care, Ltd........... 1,960,174 7,906,484 0.8%
Reece Australia, Ltd............... 238,457 5,014,858 0.5%
#*Resolute Mining, Ltd............... 3,133,646 6,254,867 0.6%
#SAI Global, Ltd.................... 1,203,570 5,065,529 0.5%
Spark Infrastructure Group, Ltd.... 5,307,759 9,307,506 0.9%
#Super Retail Group, Ltd............ 1,291,875 12,068,742 1.2%
Other Securities................... 319,950,832 31.9%
------------ ----
TOTAL AUSTRALIA........................ 566,558,727 56.5%
------------ ----
CHINA -- (0.0%)
Other Securities................... 287,710 0.0%
------------ ----
HONG KONG -- (17.0%)
#*Esprit Holdings, Ltd............... 5,164,900 6,678,378 0.7%
Giordano International, Ltd........ 7,246,000 6,015,664 0.6%
Luk Fook Holdings International,
Ltd.............................. 1,746,000 4,361,261 0.4%
Melco International Development,
Ltd.............................. 5,117,000 4,932,333 0.5%
#Pacific Basin Shipping, Ltd........ 9,730,000 5,180,604 0.5%
#Xinyi Glass Holdings, Ltd.......... 8,164,000 4,558,138 0.4%
Other Securities................... 172,204,874 17.2%
------------ ----
TOTAL HONG KONG........................ 203,931,252 20.3%
------------ ----
NEW ZEALAND -- (6.4%)
Fisher & Paykel Healthcare Corp.,
Ltd.............................. 3,117,358 6,022,656 0.6%
Port of Tauranga, Ltd.............. 528,322 5,622,732 0.6%
#Ryman Healthcare, Ltd.............. 1,685,604 5,610,636 0.6%
244
The Asia Pacific Small Company Series
CONTINUED
Percentage
Shares Value++ of Net Assets**
----------- -------------- ---------------
NEW ZEALAND -- (Continued)
Sky Network Television, Ltd............................................... 1,006,593 $ 4,445,634 0.4%
SKYCITY Entertainment Group, Ltd.......................................... 3,227,185 10,293,066 1.0%
Other Securities.......................................................... 44,037,042 4.4%
-------------- -----
TOTAL NEW ZEALAND............................................................ 76,031,766 7.6%
-------------- -----
SINGAPORE -- (12.2%)
Singapore Post, Ltd....................................................... 6,199,120 5,789,946 0.6%
Venture Corp., Ltd........................................................ 819,000 5,126,251 0.5%
Other Securities.......................................................... 134,956,595 13.4%
-------------- -----
TOTAL SINGAPORE.............................................................. 145,872,792 14.5%
-------------- -----
TOTAL COMMON STOCKS.......................................................... 992,682,247 98.9%
-------------- -----
RIGHTS/WARRANTS -- (0.1%)
AUSTRALIA -- (0.0%)
Other Securities.......................................................... 579,555 0.0%
-------------- -----
HONG KONG -- (0.1%)
Other Securities.......................................................... 693,092 0.1%
-------------- -----
SINGAPORE -- (0.0%)
Other Securities.......................................................... 15,070 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS........................................................ 1,287,717 0.1%
-------------- -----
Shares/
Face
Amount
(000) Value+
----------- --------------
SECURITIES LENDING COLLATERAL -- (16.9%)
(S)@DFA Short Term Investment Fund........................................... 17,286,085 200,000,000 19.9%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12
(Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at
$1,673,484) to be repurchased at $1,640,687............................. $ 1,641 1,640,671 0.2%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL.......................................... 201,640,671 20.1%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,153,289,637) $1,195,610,635 119.1%
============== =====
245
The Asia Pacific Small Company Series
CONTINUED
Summary of the Series' investments as of October 31, 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.................. -- $ 566,558,727 -- $ 566,558,727
China...................... -- 287,710 -- 287,710
Hong Kong.................. -- 203,931,252 -- 203,931,252
New Zealand................ -- 76,031,766 -- 76,031,766
Singapore.................. -- 145,872,792 -- 145,872,792
Rights/Warrants
Australia.................. -- 579,555 -- 579,555
Hong Kong.................. -- 693,092 -- 693,092
Singapore.................. -- 15,070 -- 15,070
Securities Lending Collateral. -- 201,640,671 -- 201,640,671
-- -------------- -- --------------
TOTAL......................... -- $1,195,610,635 -- $1,195,610,635
== ============== == ==============
See accompanying Notes to Financial Statements.
246
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value++ of Net Assets**
---------- ------------ ---------------
COMMON STOCKS -- (98.1%)
Consumer Discretionary -- (24.5%)
Aegis Group P.L.C.......................... 3,314,004 $ 12,583,830 0.9%
*Barratt Developments P.L.C................. 4,366,245 13,384,802 0.9%
*Berkeley Group Holdings P.L.C. (The)....... 548,179 13,489,734 0.9%
Daily Mail & General Trust P.L.C. Series A. 1,312,593 10,125,279 0.7%
Debenhams P.L.C............................ 5,756,729 11,145,139 0.8%
GKN P.L.C.................................. 3,193,432 10,740,884 0.7%
Greene King P.L.C.......................... 1,421,372 13,637,335 0.9%
Inchcape P.L.C............................. 2,005,227 13,040,981 0.9%
Informa P.L.C.............................. 2,578,346 16,689,745 1.1%
ITV P.L.C.................................. 8,151,944 11,412,918 0.8%
Ladbrokes P.L.C............................ 3,736,209 10,821,643 0.7%
Persimmon P.L.C............................ 1,429,557 18,394,004 1.3%
Rightmove P.L.C............................ 404,934 10,542,022 0.7%
Taylor Wimpey P.L.C........................ 14,517,978 14,349,169 1.0%
UBM P.L.C.................................. 1,008,603 11,402,231 0.8%
William Hill P.L.C......................... 3,062,912 16,735,721 1.2%
Other Securities........................... 155,871,714 10.6%
------------ ----
Total Consumer Discretionary.................. 364,367,151 24.9%
------------ ----
Consumer Staples -- (3.9%)
Tate & Lyle P.L.C.......................... 1,034,844 12,129,459 0.9%
Other Securities........................... 45,737,482 3.1%
------------ ----
Total Consumer Staples........................ 57,866,941 4.0%
------------ ----
Energy -- (4.9%)
*Afren P.L.C................................ 4,970,604 11,086,658 0.8%
John Wood Group P.L.C...................... 1,017,921 13,991,092 0.9%
*Premier Oil P.L.C.......................... 1,957,535 11,099,271 0.8%
Other Securities........................... 37,081,172 2.5%
------------ ----
Total Energy.................................. 73,258,193 5.0%
------------ ----
Financials -- (14.1%)
Aberdeen Asset Management P.L.C............ 2,601,039 13,663,246 0.9%
Amlin P.L.C................................ 2,265,989 13,660,008 0.9%
Catlin Group, Ltd.......................... 1,602,895 12,215,551 0.8%
Hiscox, Ltd................................ 1,714,088 13,217,072 0.9%
IG Group Holdings P.L.C.................... 1,498,282 10,550,404 0.7%
Provident Financial P.L.C.................. 496,498 11,004,838 0.8%
Other Securities........................... 135,535,536 9.3%
------------ ----
Total Financials.............................. 209,846,655 14.3%
------------ ----
Health Care -- (2.1%)
Other Securities........................... 31,080,323 2.1%
------------ ----
Industrials -- (27.8%)
Ashtead Group P.L.C........................ 2,502,187 15,116,530 1.0%
Babcock International Group P.L.C.......... 1,401,502 22,154,294 1.5%
Balfour Beatty P.L.C....................... 3,154,154 16,078,068 1.1%
Cobham P.L.C............................... 4,694,331 16,320,407 1.1%
Cookson Group P.L.C........................ 1,218,370 11,509,815 0.8%
IMI P.L.C.................................. 1,002,882 15,484,442 1.1%
Intertek Group P.L.C....................... 378,948 17,273,414 1.2%
Invensys P.L.C............................. 3,349,956 12,352,173 0.8%
Meggitt P.L.C.............................. 2,407,994 15,018,915 1.0%
Melrose P.L.C.............................. 4,749,372 18,500,491 1.3%
Qinetiq Group P.L.C........................ 3,030,205 9,651,175 0.7%
Rentokil Initial P.L.C..................... 7,256,414 10,329,224 0.7%
247
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
--------- -------------- ---------------
Industrials -- (Continued)
Rotork P.L.C.............................................................. 366,679 $ 13,509,077 0.9%
Spirax-Sarco Engineering P.L.C............................................ 320,648 10,039,086 0.7%
*Travis Perkins P.L.C...................................................... 930,166 16,254,661 1.1%
Other Securities.......................................................... 194,040,413 13.2%
-------------- -----
Total Industrials............................................................ 413,632,185 28.2%
-------------- -----
Information Technology -- (8.9%)
Halma P.L.C............................................................... 1,549,740 10,329,189 0.7%
Spectris P.L.C............................................................ 515,234 14,431,374 1.0%
Telecity Group P.L.C...................................................... 826,400 12,038,001 0.8%
Other Securities.......................................................... 95,317,734 6.5%
-------------- -----
Total Information Technology................................................. 132,116,298 9.0%
-------------- -----
Materials -- (7.3%)
Croda International P.L.C................................................. 499,699 17,791,547 1.2%
DS Smith P.L.C............................................................ 4,475,611 15,451,908 1.1%
Mondi P.L.C............................................................... 1,222,056 13,471,337 0.9%
Other Securities.......................................................... 61,388,834 4.2%
-------------- -----
Total Materials.............................................................. 108,103,626 7.4%
-------------- -----
Telecommunication Services -- (2.2%).........................................
Inmarsat P.L.C............................................................ 1,658,096 15,190,469 1.0%
Other Securities.......................................................... 17,064,461 1.2%
-------------- -----
Total Telecommunication Services............................................. 32,254,930 2.2%
-------------- -----
Utilities -- (2.4%)
Drax Group P.L.C.......................................................... 1,615,898 14,665,707 1.0%
Pennon Group P.L.C........................................................ 1,434,955 16,622,307 1.1%
Other Securities.......................................................... 3,904,650 0.3%
-------------- -----
Total Utilities.............................................................. 35,192,664 2.4%
-------------- -----
TOTAL COMMON STOCKS.......................................................... 1,457,718,966 99.5%
-------------- -----
PREFERRED STOCKS -- (0.0%)
Consumer Staples -- (0.0%)
Other Securities.......................................................... 15,064 0.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities.......................................................... -- 0.0%
-------------- -----
Shares/
Face
Amount
(000) Value+
--------- --------------
SECURITIES LENDING COLLATERAL -- (1.9%)
(S)@DFA Short Term Investment Fund........................................... 2,420,052 28,000,000 1.9%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12
(Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at
$224) to be repurchased at $220......................................... -- 220 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL.......................................... 28,000,220 1.9%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,210,154,050)..................................................... $1,485,734,250 101.4%
============== =====
248
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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..... -- $ 364,367,151 -- $ 364,367,151
Consumer Staples........... -- 57,866,941 -- 57,866,941
Energy..................... -- 73,258,193 -- 73,258,193
Financials................. -- 209,846,655 -- 209,846,655
Health Care................ -- 31,080,323 -- 31,080,323
Industrials................ -- 413,632,185 -- 413,632,185
Information Technology..... -- 132,116,298 -- 132,116,298
Materials.................. -- 108,103,626 -- 108,103,626
Telecommunication Services. -- 32,254,930 -- 32,254,930
Utilities.................. -- 35,192,664 -- 35,192,664
Preferred Stocks
Consumer Staples........... -- 15,064 -- 15,064
Rights/Warrants............... -- -- -- --
Securities Lending Collateral. -- 28,000,220 -- 28,000,220
-- -------------- -- --------------
TOTAL......................... -- $1,485,734,250 -- $1,485,734,250
== ============== == ==============
See accompanying Notes to Financial Statements.
249
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value++ of Net Assets**
--------- ------------ ---------------
COMMON STOCKS -- (88.4%)
AUSTRIA -- (2.2%)
Other Securities........... $ 56,677,767 2.5%
------------ ----
BELGIUM -- (3.2%)
Ackermans & van Haaren NV.. 118,073 9,613,309 0.4%
Other Securities........... 72,036,340 3.2%
------------ ----
TOTAL BELGIUM.................. 81,649,649 3.6%
------------ ----
DENMARK -- (3.4%)
GN Store Nord A.S.......... 803,034 12,585,533 0.5%
*Topdanmark A.S............. 53,386 10,826,718 0.5%
Other Securities........... 62,778,523 2.8%
------------ ----
TOTAL DENMARK.................. 86,190,774 3.8%
------------ ----
FINLAND -- (6.1%)
Elisa Oyj.................. 432,751 9,286,323 0.4%
#KCI Konecranes Oyj......... 245,559 7,808,333 0.3%
Kesko Oyj Series B......... 250,135 7,821,799 0.4%
Orion Oyj Series B......... 384,369 9,510,594 0.4%
#Outotec Oyj................ 163,942 8,010,462 0.4%
Yit Oyj.................... 479,016 9,445,723 0.4%
Other Securities........... 102,256,708 4.6%
------------ ----
TOTAL FINLAND.................. 154,139,942 6.9%
------------ ----
FRANCE -- (9.8%)
#*Alcatel-Lucent SA.......... 7,392,628 7,558,803 0.3%
Gemalto NV................. 97,900 8,842,316 0.4%
#Neopost SA................. 135,048 7,403,969 0.3%
Societe BIC SA............. 62,449 7,620,209 0.4%
Other Securities........... 216,651,765 9.7%
------------ ----
TOTAL FRANCE................... 248,077,062 11.1%
------------ ----
GERMANY -- (12.9%)
*Aareal Bank AG............. 423,110 9,098,181 0.4%
Aurubis AG................. 153,470 9,715,684 0.4%
#Deutsche Wohnen AG......... 646,717 11,844,087 0.5%
Fuchs Petrolub AG.......... 136,940 8,534,620 0.4%
Rhoen-Klinikum AG.......... 406,308 7,913,041 0.4%
#SGL Carbon SE.............. 229,387 9,149,090 0.4%
Stada Arzneimittel AG...... 247,784 7,504,291 0.3%
Symrise AG................. 307,713 11,068,532 0.5%
Wirecard AG................ 381,688 8,741,631 0.4%
Other Securities........... 242,716,782 10.8%
------------ ----
TOTAL GERMANY.................. 326,285,939 14.5%
------------ ----
GREECE -- (2.0%)
Other Securities........... 50,142,446 2.2%
------------ ----
IRELAND -- (2.7%)
DCC P.L.C.................. 308,989 8,838,285 0.4%
Dragon Oil P.L.C........... 990,437 8,866,393 0.4%
Paddy Power P.L.C.......... 180,573 13,336,467 0.6%
Other Securities........... 36,164,730 1.6%
------------ ----
TOTAL IRELAND.................. 67,205,875 3.0%
------------ ----
ISRAEL -- (2.6%)
Other Securities........... 64,711,886 2.9%
------------ ----
250
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
--------- -------------- ---------------
ITALY -- (7.5%)
*Banco Popolare Scarl.... 6,311,267 $ 10,071,344 0.5%
#*Finmeccanica SpA........ 1,593,106 7,900,845 0.4%
Prysmian SpA............ 494,781 9,539,788 0.4%
Other Securities........ 162,659,558 7.2%
-------------- ----
TOTAL ITALY................. 190,171,535 8.5%
-------------- ----
NETHERLANDS -- (5.2%)
Aalberts Industries NV.. 469,415 8,532,614 0.4%
CSM NV.................. 363,574 7,426,298 0.3%
Delta Lloyd NV.......... 472,377 7,855,836 0.4%
Nutreco NV.............. 173,920 13,027,581 0.6%
*PostNL NV............... 1,920,653 7,579,442 0.3%
Royal Imtech NV......... 349,305 8,780,615 0.4%
*SBM Offshore NV......... 804,422 10,530,512 0.5%
Other Securities........ 68,339,691 3.0%
-------------- ----
TOTAL NETHERLANDS........... 132,072,589 5.9%
-------------- ----
NORWAY -- (3.3%)
Other Securities........ 84,171,601 3.8%
-------------- ----
PORTUGAL -- (1.2%)
Other Securities........ 29,375,131 1.3%
-------------- ----
SPAIN -- (4.5%)
Viscofan SA............. 202,123 9,793,173 0.5%
Other Securities........ 103,986,927 4.6%
-------------- ----
TOTAL SPAIN................. 113,780,100 5.1%
-------------- ----
SWEDEN -- (9.4%)
Castellum AB............ 726,291 9,735,330 0.4%
Holmen AB Series B...... 273,916 8,072,161 0.3%
#Husqvarna AB Series B... 1,434,072 8,330,008 0.4%
Meda AB Series A........ 857,997 8,790,208 0.4%
*Securitas AB Series B... 1,133,353 8,253,893 0.4%
Trelleborg AB Series B.. 999,202 10,888,078 0.5%
Other Securities........ 183,427,230 8.2%
-------------- ----
TOTAL SWEDEN................ 237,496,908 10.6%
-------------- ----
SWITZERLAND -- (12.3%)
#Clariant AG............. 903,053 9,677,105 0.4%
#*Dufry AG................ 77,241 9,824,040 0.4%
Galenica Holding AG..... 18,828 11,057,552 0.5%
*GAM Holding AG.......... 780,910 10,921,334 0.5%
Helvetia Holding AG..... 22,754 7,989,963 0.4%
Lonza Group AG.......... 206,376 10,467,022 0.5%
PSP Swiss Property AG... 148,327 13,621,861 0.6%
Swiss Life Holding AG... 102,976 13,004,543 0.6%
Other Securities........ 225,523,358 10.0%
-------------- ----
TOTAL SWITZERLAND........... 312,086,778 13.9%
-------------- ----
UNITED KINGDOM -- (0.1%)
Other Securities........ 3,239,110 0.1%
-------------- ----
TOTAL COMMON STOCKS......... 2,237,475,092 99.7%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
BELGIUM -- (0.0%)
Other Securities........ 1,250 0.0%
-------------- ----
251
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
----------- -------------- ---------------
ITALY -- (0.0%)
Other Securities..................................................... $ 8,763 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS................................................... 10,013 0.0%
-------------- -----
Shares/
Face
Amount
(000) Value+
----------- --------------
SECURITIES LENDING COLLATERAL -- (11.6%)
(S)@DFA Short Term Investment Fund...................................... 25,324,114 293,000,000 13.1%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%,
11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%,
01/01/39, valued at $1,011,182) to be repurchased at
$991,365......................................................... $ 991 991,355 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL..................................... 293,991,355 13.1%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,583,421,711)................................................ $2,531,476,460 112.8%
============== =====
252
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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.................... -- $ 56,677,767 -- $ 56,677,767
Belgium.................... -- 81,649,649 -- 81,649,649
Denmark.................... -- 86,190,774 -- 86,190,774
Finland.................... -- 154,139,942 -- 154,139,942
France..................... -- 248,077,062 -- 248,077,062
Germany.................... -- 326,285,939 -- 326,285,939
Greece..................... -- 50,142,446 -- 50,142,446
Ireland.................... -- 67,205,875 -- 67,205,875
Israel..................... $849,217 63,862,669 -- 64,711,886
Italy...................... -- 190,171,535 -- 190,171,535
Netherlands................ -- 132,072,589 -- 132,072,589
Norway..................... -- 84,171,601 -- 84,171,601
Portugal................... -- 29,375,131 -- 29,375,131
Spain...................... -- 113,780,100 -- 113,780,100
Sweden..................... -- 237,496,908 -- 237,496,908
Switzerland................ -- 312,086,778 -- 312,086,778
United Kingdom............. -- 3,239,110 -- 3,239,110
Rights/Warrants...............
Belgium.................... -- 1,250 -- 1,250
Italy...................... -- 8,763 -- 8,763
Securities Lending Collateral. -- 293,991,355 -- 293,991,355
-------- -------------- -- --------------
TOTAL......................... $849,217 $2,530,627,243 -- $2,531,476,460
======== ============== == ==============
See accompanying Notes to Financial Statements.
253
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value++ of Net Assets**
--------- ------------ ---------------
COMMON STOCKS -- (75.6%)
Consumer Discretionary -- (8.5%)
Aimia, Inc............................. 310,251 $ 4,647,164 0.7%
Astral Media, Inc. Class A............. 197,447 8,081,736 1.2%
#Cineplex, Inc.......................... 241,959 7,510,117 1.1%
#Corus Entertainment, Inc. Class B...... 304,900 6,902,417 1.0%
#*Imax Corp.............................. 260,537 5,874,637 0.8%
Linamar Corp........................... 200,980 4,427,094 0.6%
#RONA, Inc.............................. 677,175 6,956,511 1.0%
Other Securities....................... 32,434,102 4.7%
------------ ----
Total Consumer Discretionary.............. 76,833,778 11.1%
------------ ----
Consumer Staples -- (2.5%)
Maple Leaf Foods, Inc.................. 387,979 4,311,957 0.6%
#North West Co., Inc. (The)............. 188,473 4,415,788 0.7%
Other Securities....................... 14,435,488 2.1%
------------ ----
Total Consumer Staples................. 23,163,233 3.4%
------------ ----
Energy -- (19.2%)
#*BlackPearl Resources, Inc.............. 1,165,485 3,979,278 0.6%
*Celtic Exploration, Ltd................ 323,700 8,452,662 1.2%
*Gran Tierra Energy, Inc................ 1,065,607 5,366,712 0.8%
Mullen Group, Ltd...................... 312,028 6,470,188 0.9%
#Parkland Fuel Corp..................... 265,671 4,532,700 0.7%
Pason Systems, Inc..................... 259,107 4,220,947 0.6%
#*Petrobank Energy & Resources, Ltd...... 425,702 5,847,941 0.8%
ShawCor, Ltd. Class A.................. 212,900 9,485,907 1.4%
#Trican Well Service, Ltd............... 564,307 6,734,958 1.0%
Other Securities....................... 118,885,028 17.2%
------------ ----
Total Energy.............................. 173,976,321 25.2%
------------ ----
Financials -- (5.9%)
#Canadian Western Bank.................. 271,572 8,037,715 1.2%
#Davis & Henderson Corp................. 239,699 5,030,379 0.7%
Granite Real Estate, Inc............... 143,257 5,252,637 0.8%
#Home Capital Group, Inc................ 120,600 6,140,185 0.9%
Laurentian Bank of Canada.............. 109,624 4,878,885 0.7%
Other Securities....................... 24,307,922 3.5%
------------ ----
Total Financials.......................... 53,647,723 7.8%
------------ ----
Health Care -- (1.6%)
Other Securities....................... 14,136,911 2.0%
------------ ----
Industrials -- (9.0%).....................
#Ritchie Brothers Auctioneers, Inc...... 244,637 5,425,491 0.8%
#Russel Metals, Inc..................... 246,300 6,880,370 1.0%
Stantec, Inc........................... 182,098 6,272,011 0.9%
#Superior Plus Corp..................... 559,647 5,468,991 0.8%
Toromont Industries, Ltd............... 274,167 5,380,399 0.8%
TransForce, Inc........................ 314,697 5,744,106 0.8%
#*Westport Innovations, Inc.............. 158,805 4,436,205 0.7%
Other Securities....................... 42,117,801 6.1%
------------ ----
Total Industrials......................... 81,725,374 11.9%
------------ ----
Information Technology -- (3.9%)
*Celestica, Inc......................... 874,907 6,351,015 0.9%
Constellation Software, Inc............ 36,819 4,223,264 0.6%
MacDonald Dettweiler & Associates, Ltd. 128,853 7,224,799 1.0%
254
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------------ ------------ ---------------
Information Technology -- (Continued)
Other Securities................... $ 17,654,949 2.6%
------------ -----
Total Information Technology.......... 35,454,027 5.1%
------------ -----
Materials -- (21.4%)
#Alamos Gold, Inc.................. 382,920 7,495,455 1.1%
#*AuRico Gold, Inc.................. 892,052 7,449,025 1.1%
#*B2Gold Corp....................... 1,401,050 5,793,578 0.8%
*Canfor Corp....................... 411,155 5,862,175 0.9%
#CCL Industries, Inc. Class B...... 107,585 3,983,473 0.6%
*First Majestic Silver Corp........ 431,070 9,965,869 1.4%
*Harry Winston Diamond Corp........ 284,763 4,085,761 0.6%
#HudBay Minerals, Inc.............. 734,374 6,816,167 1.0%
#*NovaGold Resources, Inc........... 845,155 4,104,132 0.6%
#*OceanaGold Corp................... 1,151,416 4,035,000 0.6%
Sherritt International Corp....... 1,571,926 6,799,219 1.0%
#*Silver Standard Resources, Inc.... 340,397 5,170,285 0.7%
#West Fraser Timber Co., Ltd....... 126,174 7,641,818 1.1%
Other Securities.................. 115,503,398 16.8%
------------ -----
Total Materials....................... 194,705,355 28.3%
------------ -----
Telecommunication Services -- (0.4%)
Other Securities................... 3,228,819 0.5%
------------ -----
Utilities -- (3.2%)
#Algonquin Power & Utilities Corp.. 574,574 3,975,275 0.6%
Capital Power Corp................ 287,449 6,161,986 0.9%
#Just Energy Group, Inc............ 583,478 5,970,608 0.9%
#Northland Power, Inc.............. 297,306 5,763,048 0.8%
Other Securities.................. 7,611,960 1.1%
------------ -----
Total Utilities.................... 29,482,877 4.3%
------------ -----
TOTAL COMMON STOCKS................... 686,354,418 99.6%
------------ -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................... 12,722 0.0%
------------ -----
Shares/
Face
Amount (000) Value+
- ------------ ------------
SECURITIES LENDING COLLATERAL --
(24.4%)
(S)@DFA Short Term Investment Fund.... 19,101,124 221,000,000 32.1%
@Repurchase Agreement, Deutsche
Bank Securities, Inc. 0.35%,
11/01/12 (Collateralized by FNMA
4.000%, 05/01/42 & 5.000%,
01/01/39, valued at $448,986) to
be repurchased at $440,186....... $ 440 440,182 0.0%
------------ -----
TOTAL SECURITIES LENDING COLLATERAL... 221,440,182 32.1%
------------ -----
TOTAL INVESTMENTS -- (100.0%) (Cost
$996,859,895) $907,807,322 131.7%
============ =====
255
The Canadian Small Company Series
CONTINUED
Summary of the Series' investments as of October 31, 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..... $ 76,833,778 -- -- $ 76,833,778
Consumer Staples........... 23,163,233 -- -- 23,163,233
Energy..................... 173,976,321 -- -- 173,976,321
Financials................. 53,647,723 -- -- 53,647,723
Health Care................ 14,136,911 -- -- 14,136,911
Industrials................ 81,725,374 -- -- 81,725,374
Information Technology..... 35,454,027 -- -- 35,454,027
Materials.................. 194,582,087 $ 123,268 -- 194,705,355
Telecommunication Services. 3,228,819 -- -- 3,228,819
Utilities.................. 29,482,877 -- -- 29,482,877
Rights/Warrants............... 1,807 10,915 -- 12,722
Securities Lending Collateral. -- 221,440,182 -- 221,440,182
------------ ------------ -- ------------
TOTAL......................... $686,232,957 $221,574,365 -- $907,807,322
============ ============ == ============
See accompanying Notes to Financial Statements.
256
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value++ of Net Assets**
---------- ------------ ---------------
COMMON STOCKS -- (87.9%)
ARGENTINA -- (0.0%)
Other Securities...................................... $ -- 0.0%
------------ ----
BRAZIL -- (5.9%)
BM&F Bovespa SA....................................... 1,665,208 10,658,381 0.3%
#BRF - Brasil Foods SA ADR............................. 594,060 10,883,179 0.4%
Petroleo Brasilerio SA ADR............................ 1,206,339 25,586,450 0.9%
#Vale SA Sponsored ADR................................. 1,090,933 19,985,893 0.7%
Other Securities...................................... 113,098,162 3.9%
------------ ----
TOTAL BRAZIL.............................................. 180,212,065 6.2%
------------ ----
CHILE -- (1.7%)
Other Securities...................................... 52,376,766 1.8%
------------ ----
CHINA -- (14.4%)
Bank of China, Ltd. Series H.......................... 54,772,100 22,439,161 0.8%
China Construction Bank Corp. Series H................ 50,081,590 37,608,762 1.3%
#China Life Insurance Co., Ltd. ADR.................... 323,770 14,304,159 0.5%
#China Mobile, Ltd. Sponsored ADR...................... 797,772 44,188,591 1.5%
China Petroleum & Chemical Corp. ADR.................. 106,449 11,199,499 0.4%
China Shenhua Energy Co., Ltd. Series H............... 2,230,500 9,451,071 0.3%
#CNOOC, Ltd. ADR....................................... 105,160 21,615,638 0.7%
Industrial & Commercial Bank of China, Ltd. Series H.. 45,200,185 29,764,290 1.0%
PetroChina Co., Ltd. ADR.............................. 145,110 19,700,134 0.7%
#Ping An Insurance Group Co. of China, Ltd. Series H... 1,230,500 9,683,465 0.3%
Tencent Holdings, Ltd................................. 700,600 24,697,196 0.9%
Other Securities...................................... 197,502,523 6.8%
------------ ----
TOTAL CHINA............................................... 442,154,489 15.2%
------------ ----
COLOMBIA -- (0.5%)
Other Securities...................................... 16,878,201 0.6%
------------ ----
CZECH REPUBLIC -- (0.5%)
Other Securities...................................... 14,157,172 0.5%
------------ ----
EGYPT -- (0.2%)
Other Securities...................................... 4,867,413 0.2%
------------ ----
HUNGARY -- (0.4%)
Other Securities...................................... 11,585,628 0.4%
------------ ----
INDIA -- (7.5%)
HDFC Bank, Ltd........................................ 1,422,205 16,628,866 0.6%
ITC, Ltd.............................................. 2,036,173 10,663,754 0.4%
Reliance Industries, Ltd.............................. 1,432,266 21,357,809 0.7%
Tata Consultancy Services, Ltd........................ 436,140 10,644,140 0.3%
Other Securities...................................... 171,927,254 5.9%
------------ ----
TOTAL INDIA............................................... 231,221,823 7.9%
------------ ----
INDONESIA -- (3.0%)
PT Astra International Tbk............................ 18,834,110 15,721,127 0.5%
Other Securities...................................... 75,273,062 2.6%
------------ ----
TOTAL INDONESIA........................................... 90,994,189 3.1%
------------ ----
ISRAEL -- (0.0%)
Other Securities...................................... 17 0.0%
------------ ----
MALAYSIA -- (3.9%)
CIMB Group Holdings Berhad............................ 3,992,654 9,978,299 0.3%
257
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
---------- ------------ ---------------
MALAYSIA -- (Continued)
Other Securities............................ $109,647,195 3.8%
------------ ----
TOTAL MALAYSIA................................. 119,625,494 4.1%
------------ ----
MEXICO -- (5.7%)
America Movil S.A.B. de C.V. Series L....... 33,690,314 42,736,835 1.5%
*Cemex S.A.B. de C.V. Sponsored ADR.......... 1,144,044 10,342,158 0.3%
Fomento Economico Mexicano S.A.B. de C.V.... 1,901,129 17,135,424 0.6%
Grupo Mexico S.A.B. de C.V. Series B........ 3,579,616 11,476,423 0.4%
#Wal-Mart de Mexico S.A.B. de C.V. Series V.. 4,944,929 14,554,572 0.5%
Other Securities............................ 80,544,258 2.8%
------------ ----
TOTAL MEXICO................................... 176,789,670 6.1%
------------ ----
PERU -- (0.4%)
Other Securities............................ 13,254,591 0.5%
------------ ----
PHILIPPINES -- (1.1%)
Other Securities............................ 34,867,739 1.2%
------------ ----
POLAND -- (1.5%)
Other Securities............................ 45,242,356 1.6%
------------ ----
RUSSIA -- (4.5%)
Gazprom OAO Sponsored ADR................... 4,557,577 41,861,317 1.4%
Lukoil OAO Sponsored ADR.................... 376,321 22,838,291 0.8%
*Sberbank of Russia Sponsored ADR............ 1,585,492 18,749,162 0.6%
Other Securities............................ 54,443,702 1.9%
------------ ----
TOTAL RUSSIA................................... 137,892,472 4.7%
------------ ----
SOUTH AFRICA -- (7.4%)
#AngloGold Ashanti, Ltd. Sponsored ADR....... 331,815 11,275,074 0.4%
MTN Group, Ltd.............................. 1,575,988 28,452,821 1.0%
Naspers, Ltd. Series N...................... 307,957 19,991,188 0.7%
Sasol, Ltd. Sponsored ADR................... 536,546 22,754,916 0.8%
Standard Bank Group, Ltd.................... 1,007,241 12,437,628 0.4%
Other Securities............................ 133,172,495 4.5%
------------ ----
TOTAL SOUTH AFRICA............................. 228,084,122 7.8%
------------ ----
SOUTH KOREA -- (14.3%)
Hyundai Mobis............................... 55,218 14,033,384 0.5%
Hyundai Motor Co., Ltd...................... 130,240 26,766,758 0.9%
#Kia Motors Corp............................. 224,568 12,449,986 0.4%
LG Chemical, Ltd............................ 37,273 10,455,811 0.4%
POSCO....................................... 50,240 15,793,173 0.6%
Samsung Electronics Co., Ltd................ 71,022 85,229,070 2.9%
Samsung Electronics Co., Ltd. GDR........... 49,372 29,919,407 1.0%
Shinhan Financial Group Co., Ltd............ 273,716 9,394,602 0.3%
Other Securities............................ 236,085,690 8.1%
------------ ----
TOTAL SOUTH KOREA.............................. 440,127,881 15.1%
------------ ----
TAIWAN -- (10.6%)
Formosa Plastics Corp....................... 3,709,648 10,098,181 0.3%
#Hon Hai Precision Industry Co., Ltd......... 8,047,506 24,400,340 0.8%
Taiwan Semiconductor Manufacturing Co., Ltd. 20,007,808 60,964,986 2.1%
Other Securities............................ 229,028,962 7.9%
------------ ----
TOTAL TAIWAN................................... 324,492,469 11.1%
------------
THAILAND -- (2.6%)
Other Securities............................ 78,635,189 2.7%
------------ ----
258
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
----------- -------------- ---------------
TURKEY -- (1.8%)
Other Securities..................................................... $ 56,233,417 1.9%
-------------- -----
TOTAL COMMON STOCKS..................................................... 2,699,693,163 92.7%
-------------- -----
PREFERRED STOCKS -- (6.4%)
BRAZIL -- (6.2%)
Banco Bradesco SA.................................................... 1,656,632 26,100,896 0.9%
Cia de Bebidas das Americas SA ADR................................... 622,039 25,372,971 0.9%
Itau Unibanco Holding SA............................................. 1,765,700 25,819,793 0.9%
Petroleo Brasilerio SA ADR........................................... 1,711,000 35,126,830 1.2%
Vale SA.............................................................. 1,412,691 25,283,138 0.9%
Other Securities..................................................... 53,718,271 1.8%
-------------- -----
TOTAL BRAZIL............................................................ 191,421,899 6.6%
-------------- -----
CHILE -- (0.2%)
Other Securities..................................................... 5,338,531 0.2%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities..................................................... 350,944 0.0%
-------------- -----
TOTAL PREFERRED STOCKS 197,111,374 6.8%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)...............................................
SOUTH AFRICA -- (0.0%)
Other Securities..................................................... 13,007 0.0%
-------------- -----
Shares/
Face
Amount
(000) Value+
----------- --------------
SECURITIES LENDING COLLATERAL -- (5.7%)
(S)@DFA Short Term Investment Fund...................................... 15,125,324 175,000,000 6.0%
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%,
11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%,
01/01/39, valued at $450,637) to be repurchased at $441,806...... $ 442 441,801 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL..................................... 175,441,801 6.0%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,006,449,577)................................................ $3,072,259,345 105.5%
============== =====
259
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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..................... $180,212,065 -- -- $ 180,212,065
Chile...................... 52,376,766 -- -- 52,376,766
China...................... 126,342,004 $ 315,812,485 -- 442,154,489
Colombia................... 16,878,201 -- -- 16,878,201
Czech Republic............. -- 14,157,172 -- 14,157,172
Egypt...................... -- 4,867,413 -- 4,867,413
Hungary.................... -- 11,585,628 -- 11,585,628
India...................... 18,446,964 212,774,859 -- 231,221,823
Indonesia.................. 55,259 90,938,930 -- 90,994,189
Israel..................... -- 17 -- 17
Malaysia................... -- 119,625,494 -- 119,625,494
Mexico..................... 176,782,316 7,354 -- 176,789,670
Peru....................... 13,254,591 -- -- 13,254,591
Philippines................ -- 34,867,739 -- 34,867,739
Poland..................... -- 45,242,356 -- 45,242,356
Russia..................... 5,524,026 132,368,446 -- 137,892,472
South Africa............... 44,801,267 183,282,855 -- 228,084,122
South Korea................ 13,060,688 427,067,193 -- 440,127,881
Taiwan..................... 8,756,012 315,736,457 -- 324,492,469
Thailand................... 78,635,189 -- -- 78,635,189
Turkey..................... 1,121,599 55,111,818 -- 56,233,417
Preferred Stocks
Brazil..................... 191,421,899 -- -- 191,421,899
Chile...................... 5,338,531 -- -- 5,338,531
Colombia................... 350,944 -- -- 350,944
Rights/Warrants
South Africa............... -- 13,007 -- 13,007
Securities Lending Collateral. -- 175,441,801 -- 175,441,801
------------ -------------- -- --------------
TOTAL......................... $933,358,321 $2,138,901,024 -- $3,072,259,345
============ ============== == ==============
See accompanying Notes to Financial Statements.
260
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value++ of Net Assets**
----------- ------------ ---------------
COMMON STOCKS -- (89.1%)
ARGENTINA -- (0.0%)
Other Securities.............................. $ -- 0.0%
------------ ----
BRAZIL -- (8.9%)
All America Latina Logistica SA............... 1,296,400 5,897,805 0.2%
Anhanguera Educacional Participacoes SA....... 613,145 10,747,132 0.4%
Cia de Saneamento de Minas Gerais-Copasa SA... 298,421 7,043,796 0.2%
Cia Hering SA................................. 340,090 7,813,003 0.3%
Diagnosticos da America SA.................... 1,189,841 7,908,645 0.3%
Duratex SA.................................... 1,087,562 7,566,161 0.3%
Energias do Brazil SA......................... 1,190,706 7,445,393 0.2%
Estacio Participacoes SA...................... 396,371 7,552,526 0.3%
*Kroton Educacional SA Unit Shares............. 367,679 7,349,778 0.2%
Localiza Rent a Car SA........................ 397,002 6,958,603 0.2%
MRV Engenharia e Participacoes SA............. 1,595,833 8,092,898 0.3%
OdontoPrev SA................................. 1,315,743 6,802,049 0.2%
PDG Realty SA Empreendimentos e Participacoes. 4,452,753 7,497,804 0.3%
Raia Drogasil SA.............................. 652,675 7,182,140 0.2%
Sul America SA................................ 872,609 6,874,147 0.2%
Totvs SA...................................... 453,100 9,213,476 0.3%
Other Securities.............................. 165,898,127 5.6%
------------ ----
TOTAL BRAZIL..................................... 287,843,483 9.7%
------------ ----
CHILE -- (1.4%)
Other Securities.............................. 45,262,428 1.5%
------------ ----
CHINA -- (14.1%)
#Geely Automobile Holdings, Ltd................ 17,610,000 7,552,943 0.3%
Kingboard Chemical Holdings, Ltd.............. 2,516,851 7,467,568 0.2%
#Sino-Ocean Land Holdings, Ltd................. 12,181,591 7,613,061 0.3%
Yuexiu Property Co., Ltd...................... 21,435,432 5,860,904 0.2%
Other Securities.............................. 431,216,407 14.6%
------------ ----
TOTAL CHINA...................................... 459,710,883 15.6%
------------ ----
COLOMBIA -- (0.0%)
Other Securities.............................. 753,689 0.0%
------------ ----
HONG KONG -- (0.0%)
Other Securities.............................. 12,892 0.0%
------------ ----
HUNGARY -- (0.1%)
Other Securities.............................. 2,091,125 0.1%
------------ ----
INDIA -- (8.4%)
Other Securities.............................. 272,539,401 9.2%
------------ ----
INDONESIA -- (4.3%)
PT Bhakti Investama Tbk....................... 103,922,400 5,917,040 0.2%
PT Lippo Karawaci Tbk......................... 78,560,312 7,581,188 0.3%
PT Mayorah Indah Tbk.......................... 2,535,500 6,225,811 0.2%
Other Securities.............................. 121,590,703 4.1%
------------ ----
TOTAL INDONESIA.................................. 141,314,742 4.8%
------------ ----
ISRAEL -- (0.0%)
Other Securities.............................. 294,542 0.0%
------------ ----
MALAYSIA -- (5.0%)
Other Securities.............................. 162,803,488 5.5%
------------ ----
261
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
--------- -------------- ---------------
MEXICO -- (3.1%)
#Arca Continental S.A.B. de C.V.................... 1,556,394 $ 11,291,999 0.4%
#*Genomma Lab Internacional S.A.B. de C.V. Series B. 4,371,954 8,714,526 0.3%
*Industrias CH S.A.B. de C.V. Series B............. 1,217,718 7,066,931 0.2%
Other Securities.................................. 73,004,310 2.5%
-------------- ----
TOTAL MEXICO......................................... 100,077,766 3.4%
-------------- ----
PHILIPPINES -- (1.8%)
Other Securities.................................. 57,524,419 2.0%
-------------- ----
POLAND -- (1.5%)
Other Securities.................................. 48,812,366 1.7%
-------------- ----
SOUTH AFRICA -- (7.9%)
Aveng, Ltd........................................ 2,057,732 7,365,511 0.3%
AVI, Ltd.......................................... 1,505,301 9,947,350 0.3%
Barloworld, Ltd................................... 854,276 6,922,746 0.2%
Clicks Group, Ltd................................. 1,482,749 10,352,580 0.4%
DataTec, Ltd...................................... 975,763 6,065,177 0.2%
Mr. Price Group, Ltd.............................. 506,742 7,804,688 0.3%
*Murray & Roberts Holdings, Ltd.................... 2,783,531 6,981,927 0.2%
Nampak, Ltd....................................... 3,859,288 12,860,050 0.4%
PPC, Ltd.......................................... 3,061,791 10,222,236 0.4%
Reunert, Ltd...................................... 945,660 8,334,441 0.3%
*Sappi, Ltd........................................ 2,855,413 8,098,615 0.3%
Spar Group, Ltd. (The)............................ 622,477 8,691,302 0.3%
Tongaat-Hulett, Ltd............................... 629,016 9,888,343 0.3%
Other Securities.................................. 142,665,475 4.8%
-------------- ----
TOTAL SOUTH AFRICA................................... 256,200,441 8.7%
-------------- ----
SOUTH KOREA -- (13.8%)
BS Financial Group, Inc........................... 572,470 6,479,633 0.2%
#*Cheil Worldwide, Inc.............................. 380,705 7,332,746 0.3%
CJ Corp........................................... 63,673 6,210,345 0.2%
DGB Financial Group, Inc.......................... 528,843 6,682,580 0.2%
Hyosung Corp...................................... 106,255 5,851,998 0.2%
Hyundai Marine & Fire Insurance Co., Ltd.......... 203,720 6,574,751 0.2%
Korea Investment Holdings Co., Ltd................ 175,310 5,992,811 0.2%
Macquarie Korea Infrastructure Fund............... 1,309,661 8,046,199 0.3%
#Woongjin Coway Co., Ltd........................... 187,030 6,814,273 0.2%
Yuhan Corp........................................ 34,258 5,913,574 0.2%
Other Securities.................................. 382,362,019 13.0%
-------------- ----
TOTAL SOUTH KOREA.................................... 448,260,929 15.2%
-------------- ----
TAIWAN -- (12.5%)
Other Securities.................................. 406,004,257 13.7%
-------------- ----
THAILAND -- (3.5%)
Other Securities.................................. 112,281,873 3.8%
-------------- ----
TURKEY -- (2.8%)
Other Securities.................................. 92,008,419 3.1%
-------------- ----
TOTAL COMMON STOCKS.................................. 2,893,797,143 98.0%
-------------- ----
PREFERRED STOCKS -- (1.6%)
BRAZIL -- (1.6%)
Marcopolo SA...................................... 1,047,700 6,143,673 0.2%
Other Securities.................................. 45,670,415 1.6%
-------------- ----
TOTAL BRAZIL......................................... 51,814,088 1.8%
-------------- ----
262
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
---------- -------------- ---------------
INDIA -- (0.0%)
Other Securities..................... $ 15,097 0.0%
-------------- -----
MALAYSIA -- (0.0%)
Other Securities..................... 83,726 0.0%
-------------- -----
TOTAL PREFERRED STOCKS.................. 51,912,911 1.8%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities..................... 11,762 0.0%
-------------- -----
INDONESIA -- (0.0%)
Other Securities..................... 540 0.0%
-------------- -----
MALAYSIA -- (0.0%)
Other Securities..................... 5,855 0.0%
-------------- -----
POLAND -- (0.0%)
Other Securities..................... 12,515 0.0%
-------------- -----
SOUTH AFRICA -- (0.0%)
Other Securities..................... 84,368 0.0%
-------------- -----
SOUTH KOREA -- (0.0%)
Other Securities..................... 21,309 0.0%
-------------- -----
TAIWAN -- (0.0%)
Other Securities..................... 1,792 0.0%
-------------- -----
THAILAND -- (0.0%)
Other Securities..................... -- 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS................... 138,141 0.0%
-------------- -----
Shares/
Face
Amount
(000) Value+
---------- --------------
SECURITIES LENDING COLLATERAL -- (9.3%)
(S)@DFA Short Term Investment Fund...... 26,101,988 302,000,000 10.2%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,930,243,382)................ $3,247,848,195 110.0%
============== =====
263
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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..................... $287,843,483 -- -- $ 287,843,483
Chile...................... 45,262,428 -- -- 45,262,428
China...................... 39,450 $ 459,671,433 -- 459,710,883
Colombia................... 753,689 -- -- 753,689
Hong Kong.................. -- 12,892 -- 12,892
Hungary.................... -- 2,091,125 -- 2,091,125
India...................... 822,501 271,716,900 -- 272,539,401
Indonesia.................. -- 141,314,742 -- 141,314,742
Israel..................... -- 294,542 -- 294,542
Malaysia................... -- 162,803,488 -- 162,803,488
Mexico..................... 99,784,365 293,401 -- 100,077,766
Philippines................ -- 57,524,419 -- 57,524,419
Poland..................... -- 48,812,366 -- 48,812,366
South Africa............... -- 256,200,441 -- 256,200,441
South Korea................ -- 448,260,929 -- 448,260,929
Taiwan..................... -- 406,004,257 -- 406,004,257
Thailand................... 112,183,894 97,979 -- 112,281,873
Turkey..................... -- 92,008,419 -- 92,008,419
Preferred Stocks
Brazil..................... 51,776,669 37,419 -- 51,814,088
India...................... -- 15,097 -- 15,097
Malaysia................... -- 83,726 -- 83,726
Rights/Warrants
Brazil..................... -- 11,762 -- 11,762
Indonesia.................. -- 540 -- 540
Malaysia................... -- 5,855 -- 5,855
Poland..................... -- 12,515 -- 12,515
South Africa............... -- 84,368 -- 84,368
South Korea................ -- 21,309 -- 21,309
Taiwan..................... -- 1,792 -- 1,792
Thailand................... -- -- -- --
Securities Lending Collateral. -- 302,000,000 -- 302,000,000
------------ -------------- -- --------------
TOTAL......................... $598,466,479 $2,649,381,716 -- $3,247,848,195
============ ============== == ==============
See accompanying Notes to Financial Statements.
264
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(Amounts in thousands)
The Japanese The Asia
The U.S. The DFA Small Pacific Small
Large Cap International Company Company
Value Series Value Series Series Series
------------ ------------- ------------ -------------
ASSETS:
Investments at Value (including $581,088,
$580,675, $211,713 and $179,249 of securities on loan, respectively). $10,580,291 $7,190,531 $1,671,206 $ 993,970
Temporary Cash Investments at Value & Cost.............................. 8,414 -- -- --
Collateral Received from Securities on Loan at
Value & Cost......................................................... 1,574 1,682 3,965 1,641
Affiliated Collateral Received from Securities on
Loan at Value & Cost................................................. 596,183 610,000 225,000 200,000
Foreign Currencies at Value............................................. -- 11,804 1,629 7,889
Cash.................................................................... -- 10,538 987 421
Receivables:
Investment Securities Sold........................................... 154 39 4,651 2,087
Dividends, Interest and Tax Reclaims................................. 13,428 25,600 12,702 2,144
Securities Lending Income............................................ 179 608 263 339
Fund Shares Sold..................................................... 202 5,782 -- 500
Prepaid Expenses and Other Assets....................................... -- 177 -- --
----------- ---------- ---------- ----------
Total Assets..................................................... 11,200,425 7,856,761 1,920,403 1,208,991
=========== ========== ========== ==========
LIABILITIES:
Payables:
Upon Return of Securities Loaned..................................... 597,757 611,682 228,965 201,641
Investment Securities Purchased...................................... 4,455 2,826 4,385 2,837
Fund Shares Redeemed................................................. 7,689 2,358 62 90
Due to Advisor....................................................... 890 1,209 141 83
Loan Payable......................................................... -- -- -- 401
Unrealized Loss on Foreign Currency Contracts........................... -- -- -- 1
Accrued Expenses and Other Liabilities.................................. 482 437 119 78
----------- ---------- ---------- ----------
Total Liabilities................................................ 611,273 618,512 233,672 205,131
----------- ---------- ---------- ----------
NET ASSETS.............................................................. $10,589,152 $7,238,249 $1,686,731 $1,003,860
=========== ========== ========== ==========
Investments at Cost..................................................... $ 7,765,593 $6,790,794 $1,867,719 $ 951,649
=========== ========== ========== ==========
Foreign Currencies at Cost.............................................. $ -- $ 11,815 $ 1,628 $ 7,863
=========== ========== ========== ==========
See accompanying Notes to Financial Statements.
265
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(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 $26,517, $274,460, $209,339,
$211,020 and $330,402 of securities on loan,respectively)....... $1,457,734 $2,237,485 $686,367 $2,896,818 $2,945,848
Collateral Received from Securities on Loan at Value & Cost....... -- 991 440 442 --
Affiliated Collateral Received from Securities on Loan at Value &
Cost............................................................ 28,000 293,000 221,000 175,000 302,000
Foreign Currencies at Value....................................... 2,526 2,359 1,190 9,517 2,718
Cash.............................................................. 187 335 466 3,867 7,127
Receivables:
Investment Securities Sold..................................... 310 1,981 772 175 138
Dividends and Tax Reclaims..................................... 4,225 2,774 421 3,133 1,986
Securities Lending Income...................................... 43 586 284 395 1,222
Fund Shares Sold............................................... -- 20 -- 4,566 115
---------- ---------- -------- ---------- ----------
Total Assets............................................... 1,493,025 2,539,531 910,940 3,093,913 3,261,154
---------- ---------- -------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................... 28,000 293,991 221,440 175,442 302,000
Investment Securities Purchased................................ -- 10 296 4,269 4,777
Fund Shares Redeemed........................................... 3 -- -- 228 --
Due to Advisor................................................. 121 188 58 242 491
Unrealized Loss on Foreign Currency Contracts..................... -- -- -- -- 1
Accrued Expenses and Other Liabilities............................ 63 163 60 425 535
---------- ---------- -------- ---------- ----------
Total Liabilities.......................................... 28,187 294,352 221,854 180,606 307,804
---------- ---------- -------- ---------- ----------
NET ASSETS........................................................ $1,464,838 $2,245,179 $689,086 $2,913,307 $2,953,350
========== ========== ======== ========== ==========
Investments at Cost............................................... $1,182,154 $2,289,430 $775,420 $1,831,008 $2,628,243
========== ========== ======== ========== ==========
Foreign Currencies at Cost........................................ $ 2,508 $ 2,355 $ 1,192 $ 9,562 $ 2,699
========== ========== ======== ========== ==========
--------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
266
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(Amounts in thousands)
The Asia
The U.S. The DFA The Japanese Pacific
Large International Small Small
Cap Value Value Company Company
Series Series Series Series
---------- ------------- ------------ --------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $20,887, $2,646 and $869,
respectively)............................................................ $ 216,492 $ 263,184 $ 35,255 $37,078
Interest................................................................... 21 2 -- --
Income from Securities Lending............................................. 7,882 13,556 2,692 3,507
---------- --------- -------- -------
Total Investment Income............................................. 224,395 276,742 37,947 40,585
---------- --------- -------- -------
Expenses
Investment Advisory Services Fees.......................................... 9,897 13,887 1,638 918
Accounting & Transfer Agent Fees........................................... 932 666 176 110
Custodian Fees............................................................. 107 1,453 481 424
Shareholders' Reports...................................................... 52 37 9 5
Directors'/Trustees' Fees & Expenses....................................... 84 59 14 8
Professional Fees.......................................................... 362 237 45 26
Other...................................................................... 114 100 24 15
---------- --------- -------- -------
Total Expenses...................................................... 11,548 16,439 2,387 1,506
---------- --------- -------- -------
Fees Paid Indirectly....................................................... -- (18) (7) (3)
---------- --------- -------- -------
Net Expenses............................................................... 11,548 16,421 2,380 1,503
---------- --------- -------- -------
Net Investment Income (Loss)............................................... 212,847 260,321 35,567 39,082
---------- --------- -------- -------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................................. 408,690 133,256 15,297 27,956
Futures................................................................ -- -- (283) (140)
Foreign Currency Transactions.......................................... -- (1,249) 593 (236)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................. 1,049,282 (157,327) (47,991) 3,183
Translation of Foreign Currency Denominated Amounts.................... -- (266) (76) (94)
---------- --------- -------- -------
Net Realized and Unrealized Gain (Loss).................................... 1,457,972 (25,586) (32,460) 30,669
---------- --------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations............... $1,670,819 $ 234,735 $ 3,107 $69,751
========== ========= ======== =======
See accompanying Notes to Financial Statements.
267
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(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 $23, $8,095,
$2,668, $8,881 and $7,052, respectively)................ $ 43,186 $56,091 $ 14,549 $ 68,066 $ 58,851
Interest.................................................. -- 20 -- -- --
Income from Securities Lending............................ 337 9,906 2,591 5,012 8,179
-------- ------- -------- -------- --------
Total Investment Income............................ 43,523 66,017 17,140 73,078 67,030
-------- ------- -------- -------- --------
Expenses
Investment Advisory Services Fees......................... 1,246 1,999 705 2,666 4,726
Accounting & Transfer Agent Fees.......................... 140 209 90 270 242
Custodian Fees............................................ 115 818 197 2,092 3,244
Shareholders' Reports..................................... 6 11 4 14 12
Directors'/Trustees' Fees & Expenses...................... 10 17 6 22 18
Professional Fees......................................... 33 77 20 111 261
Other..................................................... 18 31 8 43 36
-------- ------- -------- -------- --------
Total Expenses..................................... 1,568 3,162 1,030 5,218 8,539
-------- ------- -------- -------- --------
Fees Paid Indirectly...................................... (3) (8) (1) (19) (21)
-------- ------- -------- -------- --------
Net Expenses.............................................. 1,565 3,154 1,029 5,199 8,518
-------- ------- -------- -------- --------
Net Investment Income (Loss).............................. 41,958 62,863 16,111 67,879 58,512
-------- ------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................ (16,423) (4,064) 26,982 34,169 106,663
Futures............................................... 236 69 -- -- (389)
Foreign Currency Transactions......................... 339 (359) 111 (571)** (1,553)**
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............ 247,250 694 (63,323) 24,259 6,038
Translation of Foreign Currency Denominated
Amounts............................................. (35) (285) (7) 20 (15)
-------- ------- -------- -------- --------
Net Realized and Unrealized Gain (Loss)................... 231,367 (3,945) (36,237) 57,877 110,744
-------- ------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................. $273,325 $58,918 $(20,126) $125,756 $169,256
======== ======= ======== ======== ========
--------
** Net of foreign capital gain taxes withheld of $13 and $87, respectively.
See accompanying Notes to Financial Statements.
268
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. The DFA The Japanese
Large Cap Value International Value Small Company
Series Series Series
------------------------ ----------------------- ----------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2012 2011 2012 2011
----------- ----------- ---------- ----------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 212,847 $ 168,852 $ 260,321 $ 254,173 $ 35,567 $ 29,896
Net Realized Gain (Loss) on:
Investment Securities Sold.................. 408,690 387,017 133,256 161,341 15,297 17,637
Futures..................................... -- (12,646) -- -- (283) --
Foreign Currency Transactions............... -- -- (1,249) 506 593 93
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 1,049,282 (74,679) (157,327) (1,021,735) (47,991) 66,983
Translation of Foreign Currency
Denominated Amounts....................... -- -- (266) (517) (76) (598)
----------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 1,670,819 468,544 234,735 (606,232) 3,107 114,011
----------- ----------- ---------- ----------- ---------- ----------
Transactions in Interest:
Contributions................................... 505,769 1,230,772 699,069 900,473 385,924 212,545
Withdrawals..................................... (922,543) (1,180,609) (651,462) (257,967) (205,115) (35,341)
----------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............... (416,774) 50,163 47,607 642,506 180,809 177,204
----------- ----------- ---------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................. 1,254,045 518,707 282,342 36,274 183,916 291,215
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................................... $10,589,152 $ 9,335,107 $7,238,249 $ 6,955,907 $1,686,731 $1,502,815
=========== =========== ========== =========== ========== ==========
See accompanying Notes to Financial Statements.
269
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Asia Pacific The United Kingdom The Continental
Small Company Small Company Small Company
Series Series Series
--------------------- ---------------------- ----------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2012 2011 2012 2011
---------- --------- ---------- ---------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)....................... $ 39,082 $ 36,987 $ 41,958 $ 42,984 $ 62,863 $ 61,832
Net Realized Gain (Loss) on:
Investment Securities Sold..................... 27,956 71,818 (16,423) 18,980 (4,064) 66,872
Futures........................................ (140) -- 236 -- 69 (287)
Foreign Currency Transactions.................. (236) 521 339 33 (359) (576)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency..................................... 3,183 (158,023) 247,250 (66,130) 694 (377,057)
Translation of Foreign Currency
Denominated Amounts.......................... (94) 109 (35) 53 (285) 52
---------- --------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from Operations.......... 69,751 (48,588) 273,325 (4,080) 58,918 (249,164)
---------- --------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions...................................... 161,440 80,765 92,609 125,970 260,944 225,654
Withdrawals........................................ (134,065) (60,581) (34,941) (24,739) (76,446) (47,211)
---------- --------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest.................. 27,375 20,184 57,668 101,231 184,498 178,443
---------- --------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.................................... 97,126 (28,404) 330,993 97,151 243,416 (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...................................... $1,003,860 $ 906,734 $1,464,838 $1,133,845 $2,245,179 $2,001,763
========== ========= ========== ========== ========== ==========
See accompanying Notes to Financial Statements.
270
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Canadian The Emerging
Small Company The Emerging Markets Small Cap
Series Markets Series Series
------------------ ------------------------ ------------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2012 2011 2012 2011 2012 2011
-------- -------- ---------- ---------- ---------- ----------
Increase (Decrease) in Net
Assets
Operations:
Net Investment Income
(Loss)....................... $ 16,111 $ 13,890 $ 67,879 $ 62,989 $ 58,512 $ 46,175
Net Realized Gain (Loss)
on:
Investment Securities
Sold..................... 26,982 38,405 34,169 103,456 106,663 29,751
Futures.................... -- -- -- -- (389) --
Foreign Currency
Transactions............. 111 (110) (571)** (1,120)** (1,553)** (1,286)**
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities
and Foreign Currency..... (63,323) (68,747) 24,259 (330,512) 6,038 (364,541)
Translation of Foreign
Currency Denominated
Amounts.................. (7) 4 20 (115) (15) (32)
Change in Deferred
Thailand Capital Gains
Tax.......................... -- -- -- 4,428 -- 3,997
-------- -------- ---------- ---------- ---------- ----------
Net Increase
(Decrease) in Net
Assets Resulting
from Operations.......... (20,126) (16,558) 125,756 (160,874) 169,256 (285,936)
-------- -------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions.................. 11,500 130,949 523,537 341,207 1,002,685 472,662
Withdrawals.................... (38,550) (41,851) (175,967) (269,845) (93,517) (193,156)
-------- -------- ---------- ---------- ---------- ----------
Net Increase
(Decrease) from
Transactions in
Interest................. (27,050) 89,098 347,570 71,362 909,168 279,506
-------- -------- ---------- ---------- ---------- ----------
Total Increase
(Decrease) in Net
Assets................... (47,176) 72,540 473,326 (89,512) 1,078,424 (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.................. $689,086 $736,262 $2,913,307 $2,439,981 $2,953,350 $1,874,926
======== ======== ========== ========== ========== ==========
--------
**Net of foreign capital gain taxes withheld of $13, $903, $ 87 and $652,
respectively.
See accompanying Notes to Financial Statements.
271
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series+
-----------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
----------- ---------- ---------- ---------- ---------- -----------
Total Return.................................. 18.31% 5.69% 19.96% 11.90% (36.53)%(C) (0.32)%
----------- ---------- ---------- ---------- ---------- -----------
Net Assets, End of Period (thousands)......... $10,589,152 $9,335,107 $8,816,400 $7,508,400 $6,739,363 $10,159,322
Ratio of Expenses to Average Net Assets....... 0.12% 0.12% 0.12% 0.13% 0.11%(B) 0.11%
Ratio of Net Investment Income to Average Net
Assets...................................... 2.15% 1.79% 2.02% 2.42% 1.97%(B) 1.44%
Portfolio Turnover Rate....................... 10% 14% 28% 29% 19%(C) 9%
----------- ---------- ---------- ---------- ---------- -----------
The DFA International Value Series+
-----------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
----------- ---------- ---------- ---------- ---------- -----------
Total Return.................................. 3.17% (8.04)% 11.13% 35.41% (47.87)%(C) 17.32%
----------- ---------- ---------- ---------- ---------- -----------
Net Assets, End of Period (thousands)......... $ 7,238,249 $6,955,907 $6,919,633 $6,191,964 $4,700,337 $ 9,638,721
Ratio of Expenses to Average Net Assets....... 0.24% 0.23% 0.24% 0.24% 0.23%(B) 0.23%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............ 0.24% 0.23% 0.24% 0.24% 0.23%(B) 0.23%
Ratio of Net Investment Income to Average Net
Assets...................................... 3.75% 3.47% 2.55% 3.22% 4.15%(B) 3.04%
Portfolio Turnover Rate....................... 14% 9% 20% 18% 16%(C) 16%
----------- ---------- ---------- ---------- ---------- -----------
Seepage 1 & 2 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
272
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Japanese Small Company Series
---------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Total Return.................................. 0.54% 10.07% 0.72% 22.69% (26.87)%(C) (1.16)%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)......... $1,686,731 $1,502,815 $1,211,600 $1,183,036 $1,062,964 $1,504,821
Ratio of Expenses to Average Net Assets....... 0.15% 0.14% 0.14% 0.15% 0.13%(B) 0.13%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............ 0.15% 0.14% 0.14% 0.15% 0.13%(B) 0.13%
Ratio of Net Investment Income to Average Net
Assets...................................... 2.17% 2.07% 1.95% 2.15% 2.64%(B) 1.94%
Portfolio Turnover Rate....................... 7% 5% 10% 7% 10%(C) 9%
---------- ---------- ---------- ---------- ---------- ----------
The Asia Pacific Small Company Series
---------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Total Return.................................. 7.48% (5.15)% 28.91% 84.98% (57.75)%(C) 47.23%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)......... $1,003,860 $ 906,734 $ 935,138 $ 680,997 $ 441,237 $1,205,154
Ratio of Expenses to Average Net Assets....... 0.16% 0.16% 0.17% 0.18% 0.15%(B) 0.15%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............ 0.16% 0.16% 0.17% 0.18% 0.15%(B) 0.15%
Ratio of Net Investment Income to Average Net
Assets...................................... 4.26% 3.78% 3.64% 4.00% 4.33%(B) 3.58%
Portfolio Turnover Rate....................... 18% 17% 18% 23% 20%(C) 25%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
273
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The United Kingdom Small Company Series
---------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Total Return.................................. 23.41% 0.20% 25.94% 43.51% (50.77)%(C) 2.42%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)......... $1,464,838 $1,133,845 $1,036,694 $ 770,472 $ 555,390 $1,158,580
Ratio of Expenses to Average Net Assets....... 0.13% 0.13% 0.13% 0.14% 0.12%(B) 0.12%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............ 0.13% 0.13% 0.13% 0.14% 0.12%(B) 0.12%
Ratio of Net Investment Income to Average Net
Assets...................................... 3.37% 3.76% 2.86% 4.02% 3.79%(B) 2.72%
Portfolio Turnover Rate....................... 6% 7% 15% 10% 25%(C) 12%
---------- ---------- ---------- ---------- ---------- ----------
The Continental Small Company Series
---------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------
Total Return.................................. 2.29% (10.75)% 15.37% 43.78% (49.66)%(C) 17.49%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)......... $2,245,179 $2,001,763 $2,072,484 $1,630,892 $1,111,585 $2,256,122
Ratio of Expenses to Average Net Assets....... 0.16% 0.15% 0.15% 0.16% 0.14%(B) 0.14%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............ 0.16% 0.15% 0.15% 0.16% 0.14%(B) 0.14%
Ratio of Net Investment Income to Average Net
Assets...................................... 3.15% 2.72% 2.24% 2.93% 3.49%(B) 2.16%
Portfolio Turnover Rate....................... 9% 10% 12% 7% 18%(C) 12%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
274
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Canadian Small Company Series
-------------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Period
Ended Ended Ended Ended 2007 to April 2, 2007(a)
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, to
2012 2011 2010 2009 2008 Nov. 30, 2007
---------- ---------- ---------- ---------- ---------- ----------------
Total Return.................... (2.51)% 0.27% 43.17% 61.67% (56.44)%(C) 10.20%(C)
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)................... $ 689,086 $ 736,262 $ 663,722 $ 365,181 $ 232,873 $ 213,529
Ratio of Expenses to Average
Net Assets.................... 0.15% 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% 0.14% 0.15% 0.17% 0.18%(B) 0.26%(B)(E)
Ratio of Net Investment Income
to Average Net Assets......... 2.29% 1.72% 1.05% 1.37% 0.97%(B) 0.47%(B)(E)
Portfolio Turnover Rate......... 22% 24% 10% 23% 21%(C) 6%(C)
---------- ---------- ---------- ---------- ---------- ----------
The Emerging Markets Series
-------------------------------------------------------------------------------
Period
Year Year Year Dec. 1, Year
Year Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ---------- ----------------
Total Return.................... 4.55% (6.44)% 27.04% 53.99% (48.15)%(C) 42.62%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)................... $2,913,307 $2,439,981 $2,529,493 $2,109,316 $1,624,524 $3,707,790
Ratio of Expenses to Average
Net Assets.................... 0.20% 0.20% 0.19% 0.20% 0.18%(B) 0.19%
Ratio of Expenses to Average
Net Assets (Excluding Fees
Paid Indirectly).............. 0.20% 0.20% 0.19% 0.20% 0.18%(B) 0.19%
Ratio of Net Investment Income
to Average Net Assets......... 2.55% 2.48% 2.18% 2.57% 3.00%(B) 2.52%
Portfolio Turnover Rate......... 5% 16% 12% 14% 19%(C) 7%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
275
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Emerging Markets Small Cap Series
-------------------------------------------------------------------------
Period
Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended 2007 to Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- -------- ----------
Total Return....................................... 7.19% (12.94)% 41.96% 92.08% (56.84)%(C) 43.32%
---------- ---------- ---------- ---------- -------- ----------
Net Assets, End of Period (thousands).............. $2,953,350 $1,874,926 $1,881,356 $1,167,973 $566,379 $1,525,571
Ratio of Expenses to Average Net Assets............ 0.36% 0.33% 0.32% 0.33% 0.30%(B) 0.31%
Ratio of Expenses to Average Net Assets (Excluding
Fees Paid Indirectly)............................ 0.36% 0.33% 0.32% 0.33% 0.30%(B) 0.31%
Ratio of Net Investment Income to Average Net
Assets........................................... 2.48% 2.32% 2.16% 2.52% 3.07%(B) 1.94%
Portfolio Turnover Rate............................ 13% 18% 15% 13% 19%(C) 16%
---------- ---------- ---------- ---------- -------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
276
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twelve portfolios, nine of which are included in this section
of the report (collectively, the "Series"). The remaining operational
portfolios 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)
277
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 Dimensional Fund Advisors LP)
occur before the net asset value is calculated. When fair value pricing is
used, the prices of securities used by the Domestic Equity Portfolio and
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierachy.
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 had no material transfers between Level 1 and Level 2 during the
year ended October 31, 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
278
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 Director/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
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/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 Director/Trustee ceases to be a member
of the Board of the Fund; and (ii) five years following the effective date of
the Director's/Trustee's first deferral election. If a Director/Trustee who
elects to defer fees fails to designate in the Notice a time or date as of
which payment of the Director's/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 Director/Trustee ceases to be a member of the
Board of the Fund (unless the Director/Trustee files an amended Notice
selecting a different distribution date). As of October 31, 2012, none of the
Directors/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.
279
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.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Trust. For the year ended October 31, 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 year
ended October 31, 2012, expenses reduced were as follows (amounts in thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series...... $18
The Japanese Small Company Series....... 7
The Asia Pacific Small Company Series... 3
The United Kingdom Small Company Series. 3
The Continental Small Company Series.... 8
The Canadian Small Company Series....... 1
The Emerging Markets Series............. 19
The Emerging Markets Small Cap Series... 21
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the year ended October 31, 2012, the total
related amounts paid by the Trust to the CCO were $82 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. Deferred Compensation:
At October 31, 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.... $262
The DFA International Value Series. 202
280
The Japanese Small Company Series....... $43
The Asia Pacific Small Company Series... 21
The United Kingdom Small Company Series. 25
The Continental Small Company Series.... 51
The Canadian Small Company Series....... 12
The Emerging Markets Series............. 70
The Emerging Markets Small Cap Series... 38
E. Purchases and Sales of Securities:
For the year ended October 31, 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......... $1,030,715 $1,245,566
The DFA International Value Series...... 1,297,711 982,391
The Japanese Small Company Series....... 326,323 108,934
The Asia Pacific Small Company Series... 226,329 161,647
The United Kingdom Small Company Series. 174,201 73,000
The Continental Small Company Series.... 454,150 189,112
The Canadian Small Company Series....... 152,466 175,235
The Emerging Markets Series............. 535,514 128,836
The Emerging Markets Small Cap Series... 1,275,998 309,522
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for Federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At October 31, 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......... $8,371,961 $3,160,109 $(345,608) $2,814,501
The DFA International Value Series...... 7,407,330 1,170,704 (775,821) 394,883
The Japanese Small Company Series....... 2,103,510 190,394 (393,733) (203,339)
The Asia Pacific Small Company Series... 1,180,363 242,749 (227,501) 15,248
The United Kingdom Small Company Series. 1,220,692 426,464 (161,422) 265,042
The Continental Small Company Series.... 2,588,006 453,225 (509,755) (56,530)
The Canadian Small Company Series....... 1,004,183 105,385 (201,761) (96,376)
The Emerging Markets Series............. 2,009,168 1,170,608 (107,516) 1,063,092
The Emerging Markets Small Cap Series... 2,953,965 649,864 (355,981) 293,883
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
281
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each of the Series' federal tax returns for the prior three fiscal years
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 (the "IRC") (S)336(a), the master fund recognized gain or
loss as if the master fund's investment securities were sold to its
shareholders and, pursuant to IRC (S)331, each of the Portfolios recognized
gain or loss as if it liquidated its investment in the master fund. 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 (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.
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 (S)336(a), the master fund recognized a loss as if the master
fund's investment securities were sold to its shareholders and, pursuant to IRC
(S)331, each of the Portfolios recognized a gain as if it liquidated its
investment in the master fund. For tax purposes, pursuant to IRC (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 Series' 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.
282
These markets are generally smaller, less liquid and more volatile than the
major securities markets in the United States of America. Consequently,
acquisition and disposition of international securities by the Series may be
inhibited.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
the Series.
3. Futures Contracts: The Series may enter into futures contracts to gain
market exposure on uninvested cash pending investment in securities or to
maintain liquidity to pay redemptions. Upon entering into a futures 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 year ended October 31, 2012 (amounts in
thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income
--------------- -----------------------------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
Realized Gain (Loss)
on Derivatives
Recognized in
Income
--------------------
Equity
Contracts
--------------------
The Japanese Small Company Series*....... $(283)
The Asia Pacific Small Company Series*... (140)
The United Kingdom Small Company Series*. 236
The Continental Small Company Series*.... 69
The Emerging Markets Small Cap Series*... (389)
* As of October 31, 2012, there were no futures contracts outstanding. During
the year ended October 31, 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
283
scheduled to expire on July 6, 2013. There were no borrowings by the Series
under this line of credit during the year ended October 31, 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 upon
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. The Trust expects to enter into a new line of
credit with substantially the same terms as its existing line of credit prior
to its expiration.
For the year ended October 31, 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......... 0.89% $18,911 99 $46 $58,537
The DFA International Value Series...... 0.87% 10,399 20 5 53,091
The Japanese Small Company Series....... 0.87% 483 9 -- 1,800
The Asia Pacific Small Company Series... 0.86% 508 32 -- 2,385
The United Kingdom Small Company Series. 0.86% 304 10 -- 2,542
The Continental Small Company Series.... 0.91% 1,700 10 -- 3,042
The Canadian Small Company Series....... 0.79% 24 5 -- 121
The Emerging Markets Series............. 0.88% 4,459 28 3 10,372
The Emerging Markets Small Cap Series... 0.87% 2,241 35 2 9,738
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2012 that each Series' available line of
credit was utilized.
At October 31, 2012, only The Asia Pacific Small Company Series had a loan
outstanding in the amount of $401 (in thousands).
I. Securities Lending:
As of October 31, 2012, each 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 $47,301 and $61,083, respectively (in
thousands). Each Series invests the cash collateral, as described below, and
records a liability for the return of the collateral, during the period the
securities are on loan. Loans of securities are expected at all times to be
secured by collateral equal to at least (i) 100% of the current market value of
the loaned securities with respect to securities of the U.S. government or its
agencies, (ii) 102% of the current market value of the loaned securities with
respect to U.S. securities, and (iii) 105% of the current market value of the
loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the
284
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 will be able to terminate
the loan at any time and will receive reasonable interest on the loan, as well
as amounts equal to any dividends, interest or other distributions on the
loaned securities. However, dividend income received from loaned securities may
not be eligible to be taxed at qualified dividend income rates.
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. Recently Issued Accounting Standards:
In December 2011, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" requiring disclosure of both gross and net information related to
offsetting and related arrangements enabling users of its financial statements
to understand the effect of those arrangements on the entity's financial
position. The objective of this disclosure is to facilitate comparison between
those entities that prepare their financial statements on the basis of U.S.
Generally Accepted Accounting Principles and those entities that prepare their
financial statements on the basis of International Financial Reporting
Standards. ASU No. 2011-11 is effective for interim and annual periods
beginning on or after January 1, 2013. Management is evaluating any impact ASU
No. 2011-11 may have on the financial statements.
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
285
Cap Value Series can do so, no reduction of the net asset value of The U.S.
Large Cap Value Series will be made relating to the Lawsuits. However, even if
the plaintiffs in the Lawsuits were to obtain the full recovery they seek, the
amount would be less than 1% of The U.S. Large Cap Value Series' net asset
value at this time.
The U.S. Large Cap Value Series also cannot predict what its size might be
at the time the cost of the Lawsuits might be quantifiable and thus potentially
deducted from its net asset value. Therefore, at this time, those buying or
redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the
case may be, a price based on net asset value of The U.S. Large Cap Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series as incurred and in a manner similar to any other expense incurred
by The U.S. Large Cap Value Series.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
286
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Series, as defined, and
Board of Trustees of The DFA Investment Trust Company:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The U.S. Large Cap Value Series, The DFA International Value Series, The
Japanese Small Company Series, The Asia Pacific Small Company Series, The
United Kingdom Small Company Series, The Continental Small Company Series, The
Canadian Small Company Series, The Emerging Markets Series, and The Emerging
Markets Small Cap Series (constituting portfolios within The DFA Investment
Trust Company, hereafter referred to as the "Series") at October 31, 2012, the
results of each of their operations for the year then ended, the changes in
each of their net assets for each of the two years in the period then ended and
the financial highlights for each of the periods indicated, in conformity with
accounting principles generally accepted in the United States of America. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Series' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2012 by
correspondence with the custodians, brokers, and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2012
287
DIMENSIONAL EMERGING MARKETS VALUE FUND
PERFORMANCE CHART
Dimensional Emerging Markets Value Fund vs. MSCI Emerging Markets Index (net
div.)
October 31, 2002-October 31, 2012
Dimensional Emerging MSCI Emerging
BeginDate EndDate FundReturns Benchmark0Returns EndDate Markets Value Fund Markets Index (net div.)
--------- ---------- ----------- ----------------- ---------- -------------------- ------------------------
2002-10-31 2002-11-30 7.90% 6.88% 10/2002 10000 10000
2002-11-30 2002-12-31 -2.96% -3.33% 11/2002 10790.45027 10688.20463
2002-12-31 2003-01-31 1.54% -0.44% 12/2002 10471.01268 10332.68124
2003-01-31 2003-02-28 -0.88% -2.81% 01/2003 10632.10519 10287.11002
2003-02-28 2003-03-31 -2.17% -2.86% 02/2003 10538.84111 9998.077641
2003-03-31 2003-04-30 13.16% 8.89% 03/2003 10309.92018 9712.550745
2003-04-30 2003-05-31 7.56% 7.15% 04/2003 11666.48863 10576.25547
2003-05-31 2003-06-30 4.46% 5.67% 05/2003 12548.25812 11332.42116
2003-06-30 2003-07-31 2.26% 6.22% 06/2003 13107.84261 11974.8284
2003-07-31 2003-08-31 6.64% 6.69% 07/2003 13404.59196 12719.45993
2003-08-31 2003-09-30 4.92% 0.73% 08/2003 14294.84 13570.61278
2003-09-30 2003-10-31 8.99% 8.51% 09/2003 14998.55988 13669.44466
2003-10-31 2003-11-30 1.14% 1.22% 10/2003 16346.64978 14832.47204
2003-11-30 2003-12-31 12.10% 7.24% 11/2003 16532.94454 15012.94766
2003-12-31 2004-01-31 2.73% 3.49% 12/2003 18533.72377 16099.9853
2004-01-31 2004-02-29 6.54% 4.59% 01/2004 19039.10975 16662.21886
2004-02-29 2004-03-31 1.25% 1.25% 02/2004 20285.14759 17426.29823
2004-03-31 2004-04-30 -6.96% -8.19% 03/2004 20537.84059 17644.0921
2004-04-30 2004-05-31 -2.96% -2.00% 04/2004 19108.81816 16199.38255
2004-05-31 2004-06-30 1.91% 0.43% 05/2004 18542.43732 15876.20003
2004-06-30 2004-07-31 1.25% -1.83% 06/2004 18896.34863 15943.82184
2004-07-31 2004-08-31 4.54% 4.15% 07/2004 19133.43107 15651.96247
2004-08-31 2004-09-30 6.58% 5.77% 08/2004 20002.73335 16301.04143
2004-09-30 2004-10-31 3.19% 2.39% 09/2004 21319.3255 17241.52745
2004-10-31 2004-11-30 10.81% 9.26% 10/2004 22000.19985 17653.47774
2004-11-30 2004-12-31 6.49% 4.80% 11/2004 24378.83883 19287.7093
2004-12-31 2005-01-31 1.68% 0.25% 12/2004 25959.97635 20214.06032
2005-01-31 2005-02-28 9.13% 8.72% 01/2005 26396.27847 20265.39862
2005-02-28 2005-03-31 -7.27% -6.61% 02/2005 28805.02978 22033.51685
2005-03-31 2005-04-30 -3.54% -2.68% 03/2005 26711.67114 20577.38623
2005-04-30 2005-05-31 1.52% 3.48% 04/2005 25764.83617 20024.99063
2005-05-31 2005-06-30 3.33% 3.40% 05/2005 26156.31601 20722.01549
2005-06-30 2005-07-31 7.26% 6.99% 06/2005 27026.40266 21426.05132
2005-07-31 2005-08-31 1.65% 0.86% 07/2005 28989.11107 22923.68229
2005-08-31 2005-09-30 8.05% 9.31% 08/2005 29468.26993 23119.9891
2005-09-30 2005-10-31 -6.23% -6.54% 09/2005 31839.84165 25272.80535
2005-10-31 2005-11-30 7.42% 8.27% 10/2005 29855.64651 23620.93331
2005-11-30 2005-12-31 6.31% 5.91% 11/2005 32071.93681 25574.955
2005-12-31 2006-01-31 9.60% 11.17% 12/2005 34096.21693 27086.60788
2006-01-31 2006-02-28 0.41% -0.12% 01/2006 37368.99442 30111.9491
2006-02-28 2006-03-31 3.42% 0.88% 02/2006 37522.10682 30076.21583
2006-03-31 2006-04-30 8.73% 7.12% 03/2006 38806.22665 30341.27525
2006-04-30 2006-05-31 -10.78% -10.48% 04/2006 42195.29097 32501.78094
2006-05-31 2006-06-30 -0.89% -0.24% 05/2006 37644.53605 29096.49107
2006-06-30 2006-07-31 2.41% 1.43% 06/2006 37309.19804 29025.36378
2006-07-31 2006-08-31 1.82% 2.55% 07/2006 38209.03088 29440.93262
2006-08-31 2006-09-30 2.07% 0.83% 08/2006 38905.67565 30191.10507
2006-09-30 2006-10-31 6.98% 4.75% 09/2006 39710.00953 30442.48182
2006-10-31 2006-11-30 7.34% 7.43% 10/2006 42482.97306 31887.98293
2006-11-30 2006-12-31 3.54% 4.50% 11/2006 45599.59794 34258.36502
2006-12-31 2007-01-31 1.58% -1.08% 12/2006 47213.71624 35800.88873
2007-01-31 2007-02-28 0.60% -0.59% 01/2007 47958.60523 35415.39915
2007-02-28 2007-03-31 5.24% 3.98% 02/2007 48244.31606 35205.20002
2007-03-31 2007-04-30 8.00% 4.63% 03/2007 50771.34708 36607.13479
2007-04-30 2007-05-31 7.63% 4.95% 04/2007 54835.10208 38301.93602
2007-05-31 2007-06-30 2.87% 4.69% 05/2007 59021.69097 40199.01976
2007-06-30 2007-07-31 4.77% 5.28% 06/2007 60716.24691 42083.39264
2007-07-31 2007-08-31 -3.19% -2.13% 07/2007 63613.38825 44303.84785
2007-08-31 2007-09-30 9.03% 11.04% 08/2007 61582.29628 43362.3024
2007-09-30 2007-10-31 11.01% 11.15% 09/2007 67142.01867 48150.94986
2007-10-31 2007-11-30 -7.26% -7.09% 10/2007 74535.41778 53520.78318
2007-11-30 2007-12-31 -0.13% 0.35% 11/2007 69125.935 49726.86787
2007-12-31 2008-01-31 -9.91% -12.48% 12/2007 69038.26331 49901.25085
2008-01-31 2008-02-29 4.02% 7.38% 01/2008 62193.56065 43673.8733
2008-02-29 2008-03-31 -3.34% -5.29% 02/2008 64694.94701 46897.54641
2008-03-31 2008-04-30 7.74% 8.12% 03/2008 62533.94378 44415.76252
2008-04-30 2008-05-31 0.90% 1.86% 04/2008 67375.79586 48020.26653
2008-05-31 2008-06-30 -11.60% -9.97% 05/2008 67979.60329 48911.10737
2008-06-30 2008-07-31 -1.94% -3.77% 06/2008 60093.69775 44032.83828
2008-07-31 2008-08-31 -8.52% -7.99% 07/2008 58930.74248 42371.91524
2008-08-31 2008-09-30 -17.24% -17.50% 08/2008 53910.46039 38987.53211
2008-09-30 2008-10-31 -31.02% -27.37% 09/2008 44615.6425 32164.58346
2008-10-31 2008-11-30 -7.55% -7.53% 10/2008 30773.70777 23361.83389
2008-11-30 2008-12-31 12.34% 7.80% 11/2008 28451.60634 21603.22571
2008-12-31 2009-01-31 -8.99% -6.46% 12/2008 31962.56422 23288.18785
2009-01-31 2009-02-28 -8.50% -5.64% 01/2009 29090.05385 21784.22273
2009-02-28 2009-03-31 17.36% 14.37% 02/2009 26617.81131 20555.33038
2009-03-31 2009-04-30 19.68% 16.64% 03/2009 31239.11507 23509.27602
2009-04-30 2009-05-31 22.56% 17.09% 04/2009 37385.48175 27421.45939
2009-05-31 2009-06-30 -1.22% -1.35% 05/2009 45820.51471 32106.85072
2009-06-30 2009-07-31 13.46% 11.24% 06/2009 45263.06338 31674.35664
2009-07-31 2009-08-31 0.79% -0.36% 07/2009 51355.93966 35236.07119
2009-08-31 2009-09-30 9.26% 9.08% 08/2009 51759.75602 35109.92688
2009-09-30 2009-10-31 -2.35% 0.12% 09/2009 56553.09626 38296.8602
2009-10-31 2009-11-30 6.41% 4.30% 10/2009 55225.17228 38344.23233
2009-11-30 2009-12-31 5.00% 3.95% 11/2009 58766.64207 39991.33055
2009-12-31 2010-01-31 -5.66% -5.58% 12/2009 61703.76548 41570.63621
2010-01-31 2010-02-28 0.81% 0.35% 01/2010 58210.64339 39252.15628
2010-02-28 2010-03-31 8.82% 8.07% 02/2010 58682.03356 39390.3133
2010-03-31 2010-04-30 0.68% 1.21% 03/2010 63855.23859 42570.3986
2010-04-30 2010-05-31 -10.43% -8.80% 04/2010 64290.36798 43086.13887
2010-05-31 2010-06-30 0.63% -0.74% 05/2010 57582.12315 39296.4307
2010-06-30 2010-07-31 9.30% 8.33% 06/2010 57944.73098 39007.56331
2010-07-31 2010-08-31 -1.79% -1.94% 07/2010 63335.5007 42255.92483
2010-08-31 2010-09-30 12.05% 11.11% 08/2010 62199.32951 41435.27509
2010-09-30 2010-10-31 3.45% 2.90% 09/2010 69693.22463 46039.95583
2010-10-31 2010-11-30 -3.20% -2.64% 10/2010 72098.52321 47376.79589
2010-11-30 2010-12-31 8.35% 7.14% 11/2010 69789.92004 46126.15023
2010-12-31 2011-01-31 -3.12% -2.71% 12/2010 75615.81914 49417.68963
2011-01-31 2011-02-28 -1.62% -0.93% 01/2011 73258.86826 48076.93112
2011-02-28 2011-03-31 5.77% 5.88% 02/2011 72074.34936 47628.60177
2011-03-31 2011-04-30 3.60% 3.10% 03/2011 76232.25243 50428.86654
2011-04-30 2011-05-31 -3.78% -2.62% 04/2011 78975.98501 51993.18073
2011-05-31 2011-06-30 -2.04% -1.54% 05/2011 75990.51389 50629.43612
2011-06-30 2011-07-31 -0.80% -0.44% 06/2011 74443.38715 49850.56795
2011-07-31 2011-08-31 -10.11% -8.94% 07/2011 73851.12768 49629.16113
2011-08-31 2011-09-30 -17.92% -14.58% 08/2011 66381.40643 45194.09196
2011-09-30 2011-10-31 13.18% 13.25% 09/2011 54487.86967 38605.04085
2011-10-31 2011-11-30 -5.04% -6.66% 10/2011 61667.50467 43718.55662
2011-11-30 2011-12-31 -3.55% -1.21% 11/2011 58561.16426 40804.88147
2011-12-31 2012-01-31 13.91% 11.34% 12/2011 56482.21271 40313.07288
2012-01-31 2012-02-29 6.11% 5.99% 01/2012 64338.71567 44885.64739
2012-02-29 2012-03-31 -4.27% -3.34% 02/2012 68266.96715 47574.28607
2012-03-31 2012-04-30 -3.22% -1.20% 03/2012 65354.0176 45986.28864
2012-04-30 2012-05-31 -11.05% -11.21% 04/2012 63250.89219 45436.70648
2012-05-31 2012-06-30 4.55% 3.86% 05/2012 56264.64802 40341.21113
2012-06-30 2012-07-31 -0.60% 1.95% 06/2012 58827.07669 41898.19616
2012-07-31 2012-08-31 1.43% -0.33% 07/2012 58476.55579 42715.46911
2012-08-31 2012-09-30 6.46% 6.03% 08/2012 59310.55379 42573.22844
2012-09-30 2012-10-31 -1.26% -0.61% 09/2012 63142.10985 45142.17877
10/31/2012 62344.37264 44868.1269
One Year Five Years Ten Years
-------- ---------- ---------
1.10% -3.51% 20.08%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
288
DIMENSIONAL EMERGING MARKETS VALUE FUND
MANAGEMENT'S DISCUSSION AND ANALYSIS
International Equity Market Review 12 Months Ended October 31, 2012
Gains in emerging markets were lower on average than in developed markets,
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2012, returns in USD were 2.63% for
the MSCI Emerging Markets Index (net dividends) versus 4.40% for the MSCI World
ex USA Index (net dividends). As measured by the MSCI indices, emerging markets
growth stocks outperformed their value counterparts, while emerging markets
small cap stocks outperformed large caps.
12 Months Ended October 31, 2012
--------------------------------
U.S. Dollar
Return
-----------
MSCI Emerging Markets Index........... 2.63%
MSCI Emerging Markets Small Cap Index. 3.74%
MSCI Emerging Markets Value Index..... 1.36%
MSCI Emerging Markets Growth Index.... 3.89%
--------
The US dollar (USD) appreciated significantly against the Brazilian real,
Indian rupee, South African rand and depreciated to a lesser extent against the
South Korean won, Mexican peso, and Taiwanese dollar.
12 Months Ended October 31, 2012
--------------------------------
Local
Currency U.S. Dollar
Ten Largest Emerging Markets by Market Cap Return Return
------------------------------------------ -------- -----------
China.................................. 7.71% 7.92%
South Korea............................ 1.71% 3.35%
Brazil................................. 4.65% -12.68%
Taiwan................................. -1.78% 0.59%
South Africa........................... 17.70% 6.84%
India.................................. 5.24% -4.73%
Russia................................. -1.42% -4.50%
Mexico................................. 16.32% 17.03%
Malaysia............................... 11.39% 12.19%
Indonesia.............................. 12.64% 3.82%
--------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2012, all rights reserved.
International Equity Fund Performance Overview
Dimensional Emerging Markets Value Fund
The Dimensional Emerging Markets Value Fund seeks to capture the returns of
value stocks of any market capitalization size in selected emerging markets.
Value is measured primarily by book-to-market ratio. The investment strategy is
process driven, emphasizing broad diversification and consistent exposure to
emerging markets value stocks, and does not attempt to track a specific equity
index. As of October 31, 2012, the Fund held approximately 2,200 securities
across 18 emerging markets. In general, the Fund was mostly invested in
equities throughout the year. The average cash exposure for the period was less
than 1% of the Fund's assets. The Fund's country weights were capped at 15% of
assets associated with any one country at the time of purchase by the manager,
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor"), to limit
single-country risk exposure.
289
For the 12 months ended October 31, 2012, total returns were 1.10% for the
Fund and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result
of the Fund's diversified investment approach, performance was generally
determined by broad structural trends in emerging markets rather than the
behavior of a limited number of stocks. The Fund focuses on value stocks, as
measured by book-to-market, while the Index is neutral with regard to value or
growth. Value stocks in emerging markets significantly underperformed during
the period. The Fund had significantly greater exposure than the Index to value
stocks, which was the primary contributor to relative underperformance. In
particular, the Fund had lower exposure than the Index to large cap growth
stocks in the Information Technology sector, which significantly outperformed
and detracted from the Fund's relative performance. Differences in the
valuation timing and methodology between the Fund and the Index contributed
positively to performance of the Fund. The Fund prices foreign exchange rates
at the closing of the U.S. markets while the Index uses rates at 4 pm London
time. The Fund also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. markets while the Index uses local market
closing prices.
290
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return and "Expenses Paid During Period"
reflect the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2012
EXPENSE TABLE
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/12 10/31/12 Ratio* Period*
--------- --------- ---------- --------
Actual Fund Return............ $1,000.00 $ 985.64 0.21% $1.05
Hypothetical 5% Annual Return. $1,000.00 $1,024.08 0.21% $1.07
--------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (366) to reflect the six-month period.
291
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Emerging Markets Value Fund, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. Dimensional Emerging Markets Value Fund filed its most
recent Form N-Q with the SEC on September 28, 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........ 6.4%
Consumer Staples.............. 6.1%
Energy........................ 16.5%
Financials.................... 33.7%
Health Care................... 0.7%
Industrials................... 11.1%
Information Technology........ 6.4%
Materials..................... 15.9%
Other......................... --
Real Estate Investment Trusts. --
Telecommunication Services.... 1.6%
Utilities..................... 1.6%
-----
100.0%
292
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2012
Percentage
Shares Value++ of Net Assets**
----------- -------------- ---------------
COMMON STOCKS -- (89.7%)
BRAZIL -- (6.4%)
Banco Santander Brasil SA ADR..... 18,012,780 $ 122,486,904 0.7%
BM&F Bovespa SA................... 28,221,345 180,634,394 1.1%
Petroleo Brasileiro SA ADR........ 15,613,857 331,169,907 1.9%
Other Securities.................. 518,166,763 3.1%
-------------- ----
TOTAL BRAZIL......................... 1,152,457,968 6.8%
-------------- ----
CHILE -- (1.4%)
Empresas CMPC SA.................. 17,517,205 66,712,099 0.4%
Other Securities.................. 188,039,527 1.1%
-------------- ----
TOTAL CHILE.......................... 254,751,626 1.5%
-------------- ----
CHINA -- (15.1%)
#Agricultural Bank of China,
Ltd. Series H................... 255,464,000 109,741,972 0.6%
#Bank of China, Ltd. Series H..... 989,630,331 405,434,042 2.4%
Bank of Communications Co.,
Ltd. Series H.................. 110,893,574 79,063,779 0.5%
#China Communications
Construction Co., Ltd. Series H. 65,910,327 61,689,391 0.4%
China Construction Bank Corp.
Series H....................... 214,422,940 161,020,872 0.9%
#China Petroleum & Chemical
Corp. ADR....................... 993,796 104,557,277 0.6%
China Petroleum & Chemical
Corp. Series H................. 163,824,289 172,860,447 1.0%
#China Unicom Hong Kong, Ltd.
ADR............................. 7,316,862 117,728,310 0.7%
Other Securities................. 1,480,337,248 8.8%
-------------- ----
TOTAL CHINA.......................... 2,692,433,338 15.9%
-------------- ----
COLOMBIA -- (0.0%)
Other Securities.................. 6,305,780 0.0%
-------------- ----
CZECH REPUBLIC -- (0.3%)
Other Securities.................. 45,582,734 0.3%
-------------- ----
HONG KONG -- (0.0%)
Other Securities.................. 39,287 0.0%
-------------- ----
HUNGARY -- (0.5%)
#OTP Bank P.L.C................... 3,793,491 72,294,221 0.4%
Other Securities................. 24,821,623 0.2%
-------------- ----
TOTAL HUNGARY........................ 97,115,844 0.6%
-------------- ----
INDIA -- (7.7%)
#ICICI Bank, Ltd. Sponsored ADR... 3,805,302 149,358,103 0.9%
Reliance Industries, Ltd......... 19,097,966 284,786,980 1.7%
State Bank of India.............. 2,228,831 86,802,979 0.5%
Other Securities................. 848,004,441 5.0%
-------------- ----
TOTAL INDIA.......................... 1,368,952,503 8.1%
-------------- ----
INDONESIA -- (2.9%)
Other Securities.................. 524,481,734 3.1%
-------------- ----
ISRAEL -- (0.0%)
Other Securities.................. 864,856 0.0%
-------------- ----
MALAYSIA -- (3.2%)
Other Securities.................. 571,995,908 3.4%
-------------- ----
MEXICO -- (6.6%)
#Alfa S.A.B. de C.V. Series A..... 51,397,020 94,755,160 0.6%
*Cemex S.A.B. de C.V. Sponsored
ADR............................. 16,022,635 144,844,622 0.9%
Fomento Economico Mexicano
S.A.B. de C.V. Sponsored ADR... 2,494,369 226,014,775 1.3%
293
Dimensional Emerging Markets Value Fund
CONTINUED
Percentage
Shares Value++ of Net Assets**
----------- -------------- ---------------
MEXICO -- (Continued)
Grupo Financiero Banorte S.A.B. de
C.V. Series O......................... 23,160,991 $ 128,770,440 0.8%
Grupo Mexico S.A.B. de C.V. Series B.... 26,180,390 83,935,602 0.5%
Other Securities........................ 495,698,970 2.9%
-------------- ----
TOTAL MEXICO................................ 1,174,019,569 7.0%
-------------- ----
PHILIPPINES -- (1.1%)
Other Securities........................ 188,668,045 1.1%
-------------- ----
POLAND -- (1.4%)
*Polski Koncern Naftowy Orlen SA......... 5,693,986 78,039,888 0.5%
Other Securities........................ 173,374,865 1.0%
-------------- ----
TOTAL POLAND................................ 251,414,753 1.5%
-------------- ----
RUSSIA -- (4.3%)
Gazprom OAO Sponsored ADR............... 72,700,131 667,750,267 3.9%
Other Securities........................ 97,505,229 0.6%
-------------- ----
TOTAL RUSSIA................................ 765,255,496 4.5%
-------------- ----
SOUTH AFRICA -- (7.2%)
ABSA Group, Ltd......................... 5,160,055 82,730,749 0.5%
#Gold Fields, Ltd. Sponsored ADR......... 11,629,304 145,482,593 0.8%
Nedbank Group, Ltd...................... 3,179,691 65,565,003 0.4%
Sanlam, Ltd............................. 28,863,728 128,793,703 0.8%
Standard Bank Group, Ltd................ 14,939,038 184,470,451 1.1%
#*Steinhoff International Holdings, Ltd... 19,509,004 65,620,688 0.4%
Other Securities........................ 616,495,777 3.6%
-------------- ----
TOTAL SOUTH AFRICA.......................... 1,289,158,964 7.6%
-------------- ----
SOUTH KOREA -- (14.4%)
Hana Financial Group, Inc............... 3,300,484 96,014,717 0.6%
#Hyundai Steel Co........................ 1,031,183 74,092,555 0.4%
KB Financial Group, Inc................. 2,902,753 98,710,063 0.6%
KB Financial Group, Inc. ADR............ 3,182,416 108,361,265 0.6%
#LG Electronics, Inc..................... 1,750,233 121,766,959 0.7%
POSCO................................... 673,915 211,848,256 1.3%
#POSCO ADR............................... 1,618,522 126,859,754 0.7%
#Samsung SDI Co., Ltd.................... 500,681 62,766,213 0.4%
Shinhan Financial Group Co., Ltd........ 5,415,719 185,880,713 1.1%
SK Holdings Co., Ltd.................... 454,913 63,318,025 0.4%
#SK Innovation Co., Ltd.................. 595,603 87,545,630 0.5%
Other Securities........................ 1,326,862,243 7.9%
-------------- ----
TOTAL SOUTH KOREA........................... 2,564,026,393 15.2%
-------------- ----
TAIWAN -- (11.7%)
First Financial Holding Co., Ltd........ 110,152,437 62,493,660 0.4%
Fubon Financial Holding Co., Ltd........ 74,753,471 76,587,420 0.5%
#Mega Financial Holding Co., Ltd......... 123,517,381 89,722,186 0.5%
#United Microelectronics Corp............ 206,208,681 76,461,049 0.4%
Other Securities........................ 1,787,063,949 10.6%
-------------- ----
TOTAL TAIWAN................................ 2,092,328,264 12.4%
-------------- ----
THAILAND -- (3.0%)
PTT Global Chemical PCL (Foreign)....... 31,932,741 63,552,927 0.4%
PTT PCL (Foreign)....................... 5,915,600 61,375,556 0.4%
Other Securities........................ 411,283,606 2.4%
-------------- ----
TOTAL THAILAND.............................. 536,212,089 3.2%
-------------- ----
TURKEY -- (2.5%)
Turkiye Is Bankasi A.S.................. 26,987,224 91,891,467 0.6%
294
Dimensional Emerging Markets Value Fund
CONTINUED
Percentage
Shares Value++ of Net Assets**
----------- --------------- ---------------
TURKEY -- (Continued)
Other Securities............................ $ 359,019,734 2.1%
--------------- -----
TOTAL TURKEY.................................... 450,911,201 2.7%
--------------- -----
TOTAL COMMON STOCKS............................. 16,026,976,352 94.9%
--------------- -----
PREFERRED STOCKS -- (4.4%)
BRAZIL -- (4.4%)
#Gerdau SA Sponsored ADR..................... 10,428,393 91,665,574 0.5%
Petroleo Brasileiro SA...................... 12,506,758 128,081,813 0.8%
Petroleo Brasileiro SA ADR.................. 16,172,808 332,027,748 2.0%
Other Securities............................ 222,129,866 1.3%
--------------- -----
TOTAL BRAZIL.................................... 773,905,001 4.6%
--------------- -----
COLOMBIA -- (0.0%)
Other Securities............................ 3,489,767 0.0%
--------------- -----
INDIA -- (0.0%)
Other Securities............................ 41,292 0.0%
--------------- -----
MALAYSIA -- (0.0%)
Other Securities............................ 281,138 0.0%
--------------- -----
TOTAL PREFERRED STOCKS.......................... 777,717,198 4.6%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities............................ 50,099 0.0%
--------------- -----
MALAYSIA -- (0.0%)
Other Securities............................ 10,728 0.0%
--------------- -----
POLAND -- (0.0%)
Other Securities............................ 48,734 0.0%
--------------- -----
THAILAND -- (0.0%)
Other Securities............................ -- 0.0%
--------------- -----
TURKEY -- (0.0%)
Other Securities............................ -- 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS........................... 109,561 0.0%
--------------- -----
Shares/
Face
Amount
(000) Value+
----------- ---------------
SECURITIES LENDING COLLATERAL -- (5.9%)
(S)@DFA Short Term Investment Fund.............. 90,406,223 1,046,000,000 6.2%
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.35%, 11/01/12
(Collateralized by FNMA 4.000%, 05/01/42 &
5.000%, 01/01/39, valued at $10,294,594)
to be repurchased at $10,092,837........... $ 10,093 10,092,739 0.1%
--------------- -----
TOTAL SECURITIES LENDING COLLATERAL............. 1,056,092,739 6.3%
--------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $18,106,640,494)........................ $17,860,895,850 105.8%
=============== =====
295
Dimensional Emerging Markets Value Fund
CONTINUED
Summary of the Fund's investments as of October 31, 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.............. $1,152,457,968 -- -- $ 1,152,457,968
Chile............... 254,751,626 -- -- 254,751,626
China............... 235,243,847 $ 2,457,189,491 -- 2,692,433,338
Colombia............ 6,305,780 -- -- 6,305,780
Czech Republic...... -- 45,582,734 -- 45,582,734
Hong Kong........... -- 39,287 -- 39,287
Hungary............. -- 97,115,844 -- 97,115,844
India............... 168,733,905 1,200,218,598 -- 1,368,952,503
Indonesia........... -- 524,481,734 -- 524,481,734
Israel.............. -- 864,856 -- 864,856
Malaysia............ -- 571,995,908 -- 571,995,908
Mexico.............. 1,173,372,993 646,576 -- 1,174,019,569
Philippines......... -- 188,668,045 -- 188,668,045
Poland.............. -- 251,414,753 -- 251,414,753
Russia.............. 1,477,962 763,777,534 -- 765,255,496
South Africa........ 204,518,729 1,084,640,235 -- 1,289,158,964
South Korea......... 350,558,671 2,213,467,722 -- 2,564,026,393
Taiwan.............. 35,124,278 2,057,203,986 -- 2,092,328,264
Thailand............ 530,357,027 5,855,062 -- 536,212,089
Turkey.............. -- 450,911,201 -- 450,911,201
Preferred Stocks
Brazil.............. 773,905,001 -- -- 773,905,001
Colombia............ 3,489,767 -- -- 3,489,767
India............... -- 41,292 -- 41,292
Malaysia............ -- 281,138 -- 281,138
Rights/Warrants
Brazil.............. -- 50,099 -- 50,099
Malaysia............ -- 10,728 -- 10,728
Poland.............. -- 48,734 -- 48,734
Thailand............ -- -- -- --
Turkey.............. -- -- -- --
Securities Lending
Collateral........... -- 1,056,092,739 -- 1,056,092,739
-------------- --------------- -- ---------------
TOTAL.................. $4,890,297,554 $12,970,598,296 -- $17,860,895,850
============== =============== == ===============
296
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(Amounts in thousands)
ASSETS:
Investments at Value (including $1,186,068 of securities on loan)*...... $16,804,803
Collateral Received from Securities on Loan at Value & Cost............. 10,093
Affiliated Collateral Received from Securities on Loan at Value & Cost.. 1,046,000
Foreign Currencies at Value............................................. 45,598
Cash.................................................................... 4,151
Receivables:
Investment Securities Sold........................................... 24,446
Dividends, Interest and Tax Reclaims................................. 8,000
Fund Shares Sold..................................................... 21,560
Securities Lending Income............................................ 2,963
-----------
Total Assets..................................................... 17,967,614
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned..................................... 1,056,093
Investment Securities Purchased...................................... 23,801
Due to Advisor....................................................... 1,421
Accrued Expenses and Other Liabilities.................................. 1,977
-----------
Total Liabilities................................................ 1,083,292
-----------
NET ASSETS $16,884,322
===========
Investments at Cost..................................................... $17,050,548
===========
Foreign Currencies at Cost.............................................. $ 44,606
===========
--------
* See Note H in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
297
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(Amounts in thousands)
Investment Income
Dividends (Net of Foreign Taxes Withheld of $49,100)......... $ 377,538
Interest..................................................... 7
Income from Securities Lending............................... 28,924
---------
Total Investment Income............................... 406,469
---------
Expenses
Investment Advisory Services Fees............................ 15,417
Accounting & Transfer Agent Fees............................. 1,444
Custodian Fees............................................... 13,411
Shareholders' Reports........................................ 78
Directors'/Trustees' Fees & Expenses......................... 128
Professional Fees............................................ 555
Other........................................................ 313
---------
Total Expenses........................................ 31,346
---------
Fees Paid Indirectly......................................... (105)
---------
Net Expenses................................................. 31,241
---------
Net Investment Income (Loss)................................. 375,228
---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................... 398,744
Futures.................................................. (1,269)
Foreign Currency Transactions............................ (4,761)**
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... (574,018)
Translation of Foreign Currency Denominated Amounts...... (185)
---------
Net Realized and Unrealized Gain (Loss)...................... (181,489)
---------
Net Increase (Decrease) in Net Assets Resulting from Operations. $ 193,739
=========
--------
** Net of foreign capital gain taxes withheld of $314.
See accompanying Notes to Financial Statements.
298
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Year Year
Ended Ended
Oct. 31, Oct. 31,
2012 2011
----------- -----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................................................. $ 375,228 $ 320,817
Net Realized Gain (Loss) on:
Investment Securities Sold................................................ 398,744 201,891
Futures................................................................... (1,269) --
Foreign Currency Transactions............................................. (4,761)** (3,672)**
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................ (574,018) (2,901,288)
Translation of Foreign Currency Denominated Amounts....................... (185) (7)
Change in Deferred Thailand Capital Gains Tax................................. -- 16,303
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations........ 193,739 (2,365,956)
----------- -----------
Transactions in Interest:
Contributions................................................................. 3,560,477 5,059,674
Withdrawals................................................................... (873,473) (608,094)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.................. 2,687,004 4,451,580
----------- -----------
Total Increase (Decrease) in Net Assets................................ 2,880,743 2,085,624
Net Assets
Beginning of Period........................................................... 14,003,579 11,917,955
----------- -----------
End of Period................................................................. $16,884,322 $14,003,579
=========== ===========
--------
** Net of foreign capital gain taxes withheld of $314 and $1,707, respectively.
See accompanying Notes to Financial Statements.
299
DIMENSIONAL EMERGING MARKETS VALUE FUND+
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Year Year Year Year Period Year
Ended Ended Ended Ended Dec. 1, 2007 Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, to Nov. 30,
2012 2011 2010 2009 Oct. 31, 2008 2007
----------- ----------- ----------- ---------- ------------- ----------
Total Return.................................. 1.10% (14.47%) 30.55% 79.39% (55.47)%(C) 51.59%
----------- ----------- ----------- ---------- ---------- ----------
Net Assets, End of Period (thousands)......... $16,884,322 $14,003,579 $11,917,955 $7,965,125 $4,048,404 $8,188,710
Ratio of Expenses to Average Net Assets....... 0.20% 0.20% 0.19% 0.21% 0.19%(B) 0.19%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............ 0.20% 0.20% 0.19% 0.21% 0.19%(B) 0.19%
Ratio of Net Investment Income to Average Net
Assets...................................... 2.43% 2.29% 1.81% 2.17% 3.19%(B) 2.50%
Portfolio Turnover Rate....................... 8% 5% 15% 20% 14%(C) 14%
----------- ----------- ----------- ---------- ---------- ----------
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.
300
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a
closed-end management investment company registered under the Investment
Company Act of 1940, as amended. Effective November 21, 1997, DEM I was
reorganized as an open-end management investment company. On October 27, 2009,
the Board of Directors and shareholders of DEM I approved an Agreement and Plan
of Reorganization that provided for the reorganization of DEM I from a Maryland
corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I
transferred all of its assets and liabilities to Dimensional Emerging Markets
Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free
exchange under Internal Revenue Code (the "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
301
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 Dimensional Fund Advisors LP)
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.
These securities are generally categorized as Level 2 in the hierarchy.
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 had no material transfers between Level 1 and Level 2 during the
year ended October 31, 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/Trustee 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,
302
such Directors/Trustees may defer payment of all or a portion of their total
fees earned as a Director/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. At October 31, 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
$261 (in thousands).
Each Director/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 Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/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 Director/Trustee ceases to be a member
of the Board of the Fund; and (ii) five years following the effective date of
the Director's/Trustee's first deferral election. If a Director/Trustee who
elects to defer fees fails to designate in the Notice a time or date as of
which payment of the Director's/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 Director/Trustee ceases to be a member of the
Board of the Fund (unless the Director/Trustee files an amended Notice
selecting a different distribution date). As of October 31, 2012, none of the
Directors/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 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:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Fund. For the year ended October 31, 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
303
financial statements is presented before reduction for credits. During the year
ended October 31, 2012, expenses reduced were $105 (amount in thousands).
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the year ended October 31, 2012, the total
related amounts paid by the Fund to the CCO were $26 (in thousands). The total
related amounts paid by the Fund are included in Other Expenses on the
Statement of Operations.
D. Purchases and Sales of Securities:
For the year ended October 31, 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. $4,238,656
Sales..... 1,158,122
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 Fund is treated
as a partnership for Federal income tax purposes. Any net investment income and
realized and unrealized gains and losses have been deemed to have been "passed
down" to their respective partners.
At October 31, 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)
-------- ------------ -------------- --------------
$18,160,399 $2,642,341 $(2,941,844) $(299,503)
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's 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, made a "Check-the-Box" election for federal income tax
purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal
entity classifications from a corporation taxable as a regulated investment
company to a partnership. DEM II will maintain its books and records and
present its financial statements in accordance with generally accepted
accounting principles 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 had a shareholder owning 80% or more of its
shares, and also had shareholders owning less than 80%, the transaction created
a non-taxable transaction, pursuant to IRC (S)332, for those owning more than
80%, and a taxable transaction, pursuant to IRC (S)331, for those shareholders
owning less than 80%. Immediately after the deemed liquidation, the
shareholders contributed all of
304
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 IRC (S)336(a), the master fund
recognized gain or loss relative to the investment of the less than 80%
shareholders as if the master fund's investment securities were sold to those
shareholders and, pursuant to IRC (S)331, each of those shareholders recognized
gain or loss as if it liquidated its investment in the master fund. Pursuant to
IRC (S)334(a), each of these shareholders 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. In regards to the
shareholder owning 80% or more of the master fund, pursuant to IRC (S)332(a),
the shareholder did not recognize any gain or loss on the deemed liquidation.
However, pursuant to IRC (S)332(c), a portion of the deemed distribution, which
otherwise would have been tax-free as discussed above, since it was utilized by
the master fund to satisfy its dividends paid deduction for the tax year, had
to be recognized and treated as a dividend by the 80% or greater shareholder.
Pursuant to IRC (S)334(b)(1) and (S)1223, the 80% or greater shareholder's
basis and holding period in the securities received in liquidation was the same
as it was in the possession of the master fund. 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 objective and policies, the Fund
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant
corresponding risks are described below:
1. 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 of
America. 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. Entering into stock index futures subjects the
Fund to equity price risk from those futures contracts. Counterparty
305
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 location of realized gains and losses on
the Fund's Statement of Operations for the Fund's derivative instrument
holdings categorized by primary risk exposure through the year ended
October 31, 2012:
Realized Gain (Loss)
on Derivatives
Recognized in Income
--------------------
Location on the Statement Equity
of Operations Contracts
------------------------- --------------------
Net Realized Gain
Dimensional Emerging Markets Value Fund. (Loss) on: Futures $(1,269)*
/*/ As of October 31, 2012, the Fund had no outstanding futures contracts.
During the year ended October 31, 2012, the Fund had limited activity in
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,
2013. There were no borrowings by the Fund under this line of credit during the
year ended October 31, 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 upon
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. The Fund expects to enter into a new line of
credit with substantially the same terms as its existing line of credit prior
to its expiration.
For the year ended October 31, 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% $23,251 25 $14 $71,121
/*/ Number of Days Outstanding represents the total of single or consecutive
days during the year ended October 31, 2012 that the Fund's available line
of credit was utilized.
There were no outstanding borrowings by the Fund under this line of credit
as of October 31, 2012.
H. Securities Lending:
As of October 31, 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 $247,081 (in thousands). The Fund invests the
cash collateral, as described below,
306
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
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 December 2011, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" requiring disclosure of both gross and net information related to
offsetting and related arrangements enabling users of its financial statements
to understand the effect of those arrangements on the entity's financial
position. The objective of this disclosure is to facilitate comparison between
those entities that prepare their financial statements on the basis of U.S.
Generally Accepted Accounting Principles and those entities that prepare their
financial statements on the basis of International Financial Reporting
Standards. ASU No. 2011-11 is effective for interim and annual periods
beginning on or after January 1, 2013. Management is evaluating any impact ASU
No. 2011-11 may have on the financial statements.
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
307
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.
308
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors of Dimensional Emerging Markets
Value Fund:
In our opinion, the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Dimensional
Emerging Markets Value Fund (the "Fund") at October 31, 2012, the results of
its operations for the year then ended, the changes in its net assets for each
of the two years in the period then ended and the financial highlights for each
of the periods indicated, in conformity with accounting principles generally
accepted in the United States of America. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 2012 by correspondence with the
custodian, brokers and the transfer agent of the investee fund, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2012
309
FUND MANAGEMENT
(Unaudited)
Trustees/Directors
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and
Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has four standing committees, an Audit Committee, a Nominating
Committee, a Portfolio Performance and Service Review Committee (the
"Performance Committee") and an Independent Review Committee (the "Review
Committee"). The Audit Committee is comprised of George M. Constantinides,
Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a
disinterested Trustee/Director. The Audit Committee oversees the Fund's
accounting and financial reporting policies and practices, the Fund's internal
controls, the Fund's financial statements and the independent audits thereof
and performs other oversight functions as requested by the Board. The Audit
Committee recommends the appointment of each Fund's independent registered
certified public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2012.
Each Board's Nominating Committee is comprised of George M. Constantinides,
John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie
J. Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee did not meet during
the fiscal year ended October 31, 2012.
Each Board's Performance Committee is comprised of George M. Constantinides,
Roger G. Ibbotson, Abbie J. Smith, Edward P. Lazear, John P. Gould and Myron S.
Scholes. Each member of the Performance Committee is a disinterested
Trustee/Director. The Performance Committee regularly reviews and monitors the
investment performance of the Fund's series and reviews the performance of the
Fund's service providers. There were seven Performance Committee meetings held
during the fiscal year ended October 31, 2012.
Each Board's Review Committee consists of both interested and disinterested
Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Review Committee may (i) review the design of possible new series
of the Fund, (ii) review performance of existing portfolios of the Fund and
discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Review
Committee was formed on December 17, 2010, and there were two Review Committee
meetings held during the fiscal year ended October 31, 2012.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds
include additional information about each Trustee/Director. You may obtain
copies of the SAI and prospectus of each Fund advised by Dimensional Fund
Advisors LP by calling collect (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746. Prospectuses are also available at www.dimensional.com.
310
Name, Position Portfolios within the
with the Fund, Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
Address and Age Length of Service Overseen Other Directorships of Public Companies Held
--------------- ------------------- --------------------- --------------------------------------------------------
Disinterested Trustees/Directors
George M. Since Inception 100 portfolios in 4 Leo Melamed Professor of Finance, The University of
Constantinides Director investment companies Chicago Booth School of Business.
of DFAIDG and DIG.
Trustee of DFAITC and
DEM.
The University of
Chicago Booth School
of Business 5807
S. Woodlawn Avenue
Chicago, IL 60637
Age: 64
John P. Gould Director Since Inception 100 portfolios in 4 Steven G. Rothmeier Distinguished Service Professor of
of DFAIDG and DIG. investment companies Economics, The University of Chicago Booth School of
Trustee of DFAITC and Business (since 1965). Member and Chair, Competitive
DEM. Markets Advisory Committee, Chicago Mercantile
The University of Exchange (futures trading exchange) (since 2004).
Chicago Booth School Formerly, Director of UNext, Inc. (1999-2006). Trustee,
of Business 5807 Harbor Fund (registered investment company) (30
S. Woodlawn Avenue Portfolios) (since 1994). Formerly, Member of the Board
Chicago, IL 60637 of Milwaukee Mutal Insurance Company (1997-2010).
Age: 73
Roger G. Ibbotson Since Inception 100 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG investment companies Management (since 1984). Chairman, CIO and Partner,
and DIG. Trustee of Zebra Capital Management, LLC (hedge fund manager)
DFAITC and DEM. (since 2001). Consultant to Morningstar, Inc. (since
Yale School of 2006). Formerly, Chairman, Ibbotson Associates, Inc.,
Management P.O. Box Chicago, IL (software data publishing and consulting)
208200 New Haven, CT (1977-2006). Formerly, Director, BIRR Portfolio
06520-8200 Analysis, Inc. (software products) (1990-2010).
Age: 68
311
Name, Position Portfolios within the
with the Fund, Term of Office/1 /and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
Address and Age Length of Service Overseen Other Directorships of Public Companies Held
--------------- ------------------- --------------------- --------------------------------------------------------
Edward P. Lazear Since 2010 100 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Institution
Director of DFAIDG investment companies (since 2002). Jack Steele Parker Professor of Human
and DIG. Resources Management and Economics, Graduate
Trustee of DFAITC and School of Business, Stanford University (since 1995).
DEM. Stanford Cornerstone Research (expert testimony and economic
University Graduate and financial analysis) (since 2009). Formerly,
School of Business 518 Chairman of the President George W. Bush's Council
Memorial Way of Economic Advisers (2006-2009). Formerly,
Stanford, CA 94305- Council of Economic Advisors, State of California
5015 Age: 64 (2005-2006). Formerly, Commissioner, White House
Panel on Tax Reform (2005).
Myron S. Scholes Since Inception 100 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
Director of DFAIDG investment companies Stanford University (since 1981). Formerly,
and DIG. Trustee of Chairman, Platinum Grove Asset Management, L.P.
DFAITC and DEM. (hedge fund) (formerly, Oak Hill Platinum Partners)
c/o Dimensional Fund (1999-2009). Formerly, Managing Partner, Oak Hill
Advisors, LP 6300 Bee Capital Management (private equity firm) (until
Cave Road Building 1 2004). Director, American Century Fund Complex
Austin, TX 78746 (registered investment companies) (40 Portfolios)
Age: 70 (since 1980). Formerly, Director, Chicago Mercantile
Exchange (2001-2008).
Abbie J. Smith Director Since 2000 100 portfolios in 4 Boris and Irene Stern Distinguished Service Professor
of DFAIDG and DIG. investment companies of Accounting, The University of Chicago Booth
Trustee of DFAITC and School of Business (since 1980). Co-Director
DEM. Investment Research, Fundamental Investment
The University of Advisors (hedge fund) (since 2008). Director, HNI
Chicago Booth School Corporation (formerly known as HON Industries Inc.)
of Business 5807 (office furniture) (since 2000). Director, Ryder System
S. Woodlawn Avenue Inc. (transportation, logistics and supply-chain
Chicago, IL 60637 management) (since 2003). Trustee, UBS Funds (4
Age: 58 investment companies within the fund complex) (52
portfolios) (since 2009).
312
Name, Position Portfolios within the
with the Fund, Term of Office/1 /and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
Address and Age Length of Service Overseen Other Directorships of Public Companies Held
--------------- ------------------- --------------------- -----------------------------------------------
Interested Trustees/Directors*
David G. Booth Since Inception 100 portfolios in 4 Chairman, Director/Trustee, President,
Chairman, Director, investment companies and Co-Chief Executive Officer (since
Co-Chief Executive Officer January 2010) of Dimensional Holdings
and President of DFAIDG Inc., Dimensional Fund Advisors LP,
and DIG. Chairman, DFA Securities LLC, Dimensional
Trustee, Co-Chief Emerging Markets Value Fund, DFAIDG,
Executive Officer and Dimensional Investment Group Inc. and
President of DFAITC and The DFA Investment Trust Company.
DEM. 6300 Bee Cave Road, Director of Dimensional Fund Advisors
Building One Ltd., Dimensional Funds PLC,
Austin, Texas 78746 Dimensional Funds II PLC, DFA
Age: 65 Australia Limited, Dimensional Cayman
Commodity Fund I Ltd., Dimensional
Japan Ltd. and Dimensional Advisors Ltd.
Chairman, Director and Co-Chief
Executive Officer of Dimensional Fund
Advisors Canada ULC. President,
Dimensional SmartNest (US) LLC.
Limited Partner, Oak Hill Partners (since
2001) and VSC Investors, LLC (since
2007). Trustee, The University of
Chicago. Trustee, University of Kansas
Endowment Association. Formerly, Chief
Executive Officer (until 2010) and Chief
Investment Officer (2003-2007) of
Dimensional Fund Advisors LP, DFA
Securities LLC, Dimensional Emerging
Markets Value Fund, DFAIDG,
Dimensional Investment Group Inc., The
DFA Investment Trust Company and
Dimensional Holdings Inc. Formerly,
Chief Investment Officer of Dimensional
Fund Advisors Ltd. Formerly, President
and Chief Investment Officer of DFA
Australia Limited. Formerly, Director, SA
Funds (registered investment company).
Eduardo A. Repetto Since 2009 100 portfolios in 4 Co-Chief Executive Officer (since
Director, Co-Chief investment companies January 2010), Chief Investment Officer
Executive Officer and (since March 2007) and Director/Trustee
Chief Investment Officer of of Dimensional Holdings Inc.,
DFAIDG and DIG. Dimensional Fund Advisors LP, DFA
Trustee, Co-Chief Securities LLC, Dimensional Emerging
Executive Officer and Markets Value Fund, DFAIDG,
Chief Investment Officer of Dimensional Investment Group Inc., The
DFAITC and DEM. DFA Investment Trust Company and
6300 Bee Cave Road, Dimensional Cayman Commodity Fund I
Building One Ltd. Co-Chief Executive Officer,
Austin, TX 78746 President and Chief Investment Officer of
Age: 45 Dimensional Fund Advisors Canada
ULC. Chief Investment Officer, Vice
President and Director of DFA Australia
Limited. Director of Dimensional Fund
Advisors Ltd., Dimensional Funds PLC,
Dimensional Funds II PLC, Dimensional
Japan Ltd. and Dimensional Advisors Ltd.
Co-Chief Executive Officer of
Dimensional Retirement Plan Services
LLC. Formerly, Vice President of
Dimensional Holdings Inc., Dimensional
Fund Advisors LP, DFA Securities LLC,
Dimensional Emerging Markets Value
Fund, DFAIDG, Dimensional Investment
Group Inc., The DFA Investment Trust
Company and Dimensional Fund
Advisors Canada ULC.
--------
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which
includes the Funds.
/*/ Interested Trustees/Directors are described as such because they are
deemed to be "interested persons," as that term is defined under the
Investment Company Act of 1940, as amended, due to their positions with
Dimensional Fund Advisors LP.
313
Officers
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors LP (prior to November 3, 2006,
Dimensional Fund Advisors Inc.) ("Dimensional"), DFA Securities LLC (prior to
April 6, 2009, DFA Securities Inc.), DFAIDG, DIG, DFAITC and DEM (collectively,
the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, unless otherwise
indicated.
Term of Office/1/
Name, Position with the Fund and and Length of
Age Service Principal Occupation(s) During Past 5 Years
-------------------------------- ---------------- -----------------------------------------------------------
Officers
April A. Aandal Since 2008 Vice President of all the DFA Entities. Vice President
Vice President, Global Business Development of all the DFA Entities.
Global Business Formerly, Chief Learning Officer of Dimensional
Development (2008-2011); Regional Director of Dimensional (2004-2008).
Age: 49
Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice
Vice President President Business Development at Capson Physicians
Age: 37 Insurance Company (2010-2012); Vice President at Charles
Schwab (2007-2010).
Darryl D. Avery Since 2005 Vice President of all the DFA Entities.
Vice President
Age: 46
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities.
Vice President
Age: 56
John T. Blood Since 2011 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director for Dimensional (2010-January 2011); Chief Market
Age: 43 Strategist at Commonwealth Financial (2007-2010); Director
of Research at Commonwealth Financial (2000-2007).
Scott A. Bosworth Since 2007 Vice President of all the DFA Entities.
Vice President
Age: 43
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA
Vice President and Assistant Entities, DFA Australia Limited, Dimensional Fund Advisors
Secretary Ltd., Dimensional Cayman Commodity Fund I Ltd., Dimensional
Age: 45 Retirement Plan Services LLC, Dimensional Fund Advisors
Pte. Ltd., Dimensional Hong Kong Limited. Director, Vice
President and Assistant Secretary of Dimensional Fund
Advisors Canada ULC.
David P. Butler Since 2007 Vice President of all the DFA Entities. Head of Global
Vice President Financial Services of Dimensional (since 2008). Formerly,
Age: 48 Regional Director of Dimensional (January 1995 to January
2005).
Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director for Dimensional Fund Advisors LP (December
Age: 41 2010-January 2012); Regional Director at Russell
Investments (April 2006-December 2010).
James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director for Dimensional (2008-2010); Vice President,
Age: 56 Client Portfolio Manager at American Century Investments
(2001-2008).
Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Co-Head of
Vice President Portfolio Management of Dimensional (since March 2012). Sr.
Age: 46 Portfolio Manager of Dimensional (since January 2012).
Formerly, Portfolio Manager for Dimensional (October
2005-January 2012).
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, DFA Australia
Vice President Limited and Dimensional Fund Advisors Canada ULC. Head of
Age: 40 Institutional, North America (since March 2012). Formerly,
Head of Portfolio Management of Dimensional (January
2006-March 2012).
Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director for Dimensional Fund Advisors LP (August
Age: 36 2002-January 2012).
314
Term of Office/1/
Name, Position with the Fund and and Length of
Age Service Principal Occupation(s) During Past 5 Years
-------------------------------- ---------------- -----------------------------------------------------------
Robert P. Cornell Since 2007 Vice President of all the DFA Entities. Regional Director
Vice President of Financial Services Group of Dimensional (since August
Age: 63 1993).
George H. Crane Since 2010 Vice President of all the DFA Entities. Formerly, Senior
Vice President Vice President and Managing Director at State Street Bank &
Age: 57 Trust Company (2007-2008); Managing Director, Head of
Investment Administration and Operations at State Street
Research & Management Company (2002-2005).
Christopher S. Crossan Since 2004 Vice President and Global Chief Compliance Officer of all
Vice President and Global the DFA Entities, DFA Australia Limited, Dimensional Fund
Chief Compliance Officer Advisors Ltd., Dimensional SmartNest LLC, Dimensional
Age: 46 SmartNest (US) LLC and Dimensional Retirement Plan Services
LLC. Chief Compliance Officer of Dimensional Fund Advisors
Canada ULC.
James L. Davis Since 1999 Vice President of all the DFA Entities.
Vice President
Age: 55
Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia
Vice President Limited and Dimensional Fund Advisors Canada ULC.
Age: 55
Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate
Vice President for Dimensional (since August 2008). Formerly, Research
Age: 40 Assistant for Dimensional (April 2006-August 2008).
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Chief
Vice President and Chief Communications Officer of Dimensional (since 2010).
Communications Officer
Age: 42
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA
Vice President and Assistant Entities and DFA Australia Limited. Chief Operating Officer
Secretary of Dimensional Fund Advisors Ltd. (since July 2008).
Age: 47 Formerly, Vice President of Dimensional Fund Advisors Ltd.
Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities.
Vice President
Age: 41
Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Co-Head of
Vice President Portfolio Management of Dimensional (since March 2012). Sr.
Age: 38 Portfolio Manager of Dimensional (since January 2012).
Formerly, Portfolio Manager for Dimensional (since
September 2004).
Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology
Vice President Manager for Dimensional (since June 2006). Formerly,
Age: 41 Principal at AIM Investments/Amvescap PLC (now Invesco)
(June 1998-June 2006).
Mark R. Gochnour Since 2007 Vice President of all the DFA Entities. Regional Director
Vice President of Dimensional.
Age: 45
Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing
Vice President Director at BlackRock (2004-January 2012).
Age: 44
Henry F. Gray Since 2000 Vice President of all the DFA Entities.
Vice President
Age: 45
John T. Gray Since 2007 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director of Dimensional (January 2005 to February 2007).
Age: 38
315
Term of Office/1/
Name, Position with the Fund and and Length of
Age Service Principal Occupation(s) During Past 5 Years
-------------------------------- ---------------- ------------------------------------------------------------
Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for
Vice President Dimensional Fund Advisors LP (since 2012). Formerly, Senior
Age: 37 Trader for Dimensional Fund Advisors Ltd. (2009-2012);
Trader for Dimensional Fund Advisors Ltd. (2008-2009);
Trader for Dimensional Fund Advisors LP (2004-2008).
Joel H. Hefner Since 2007 Vice President of all the DFA Entities. Regional Director
Vice President of Dimensional (since June 1998).
Age: 44
Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities
Vice President and Fund and Dimensional Cayman Commodity Fund I Ltd. and
Controller Dimensional Japan Ltd.
Age: 38
Kevin B. Hight Since 2005 Vice President of all the DFA Entities.
Vice President
Age: 44
Christine W. Ho Since 2004 Vice President of all the DFA Entities.
Vice President
Age: 44
Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing
Vice President Director, Co-Head Global Consultant Relations at BlackRock
Age: 52 (2004-2011).
Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional
Vice President Cayman Commodity Fund I Ltd.
Age: 38
Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly,
Vice President Facilities Manager for Dimensional Fund Advisors LP
Age: 44 (October 2008-January 2012); General Manager at Intereity
Investments (March 2007-October 2008).
Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA
Vice President and Chief Entities, Dimensional Cayman Commodity Fund I Ltd.,
Operating Officer Dimensional Japan Ltd., Dimensional Advisors Ltd.,
Age: 57 Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong
Limited and Dimensional Retirement Plan Services LLC.
Director, Vice President and Chief Privacy Officer of
Dimensional Fund Advisors Canada ULC. Director of DFA
Australia Limited, Dimensional Fund Advisors Ltd.,
Dimensional Japan Ltd., Dimensional Advisors Ltd. and
Dimensional Fund Advisors Pte. Ltd. Director and Vice
President of Dimensional Hong Kong Limited.
Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director for Dimensional Fund Advisors LP (April
Age: 64 2006-January 2012).
David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager
Vice President for Dimensional (since June 2004).
Age: 41
Seyun Alice Kim Since 2012 Vice President of all the DFA Entities. Formerly,
Vice President Accounting Manager for Dimensional Fund Advisors LP
Age: 32 (January 2006-January 2012).
Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined
Vice President Contribution Sales for Dimensional (since August 2010).
Age: 41 Formerly, Chief DC Strategist, Barclays Global Investors
(2005-2009).
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Sr. Portfolio
Vice President Manager of Dimensional (since January 2012). Formerly,
Age: 40 Portfolio Manager for Dimensional (April 2007-January 2012).
Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director
Vice President for Dimensional (2007-2010).
Age: 43
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive
Vice President Officer of Dimensional SmartNest (US) LLC (since 2012).
Age: 45
316
Term of Office/1/
Name, Position with the Fund and and Length of
Age Service Principal Occupation(s) During Past 5 Years
-------------------------------- ---------------- -----------------------------------------------------------
Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice
Vice President President - Global Operations at Janus Capital Group
Age: 43 (2005-2011).
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources
Vice President Manager of Dimensional (since January 2004).
Age: 41
Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (July 2008-2010).
Age: 31
Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director
Vice President for Dimensional (since February 2004).
Age: 43
Kenneth M. Manell Since 2010 Vice President of all the DFA Entities and Dimensional
Vice President Cayman Commodity Fund I Ltd. Counsel for Dimensional (since
Age: 39 September 2006). Formerly, Assistant General Counsel at
Castle & Cooke (January 2004-September 2006).
Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global
Vice President & Head of Human Resources of Dimensional. Formerly, Global Head of
Global Human Resources Recruiting and Vice President of Goldman Sachs & Co. (June
Age: 42 2006 to January 2008).
David R. Martin Since 2007 Vice President, Chief Financial Officer and Treasurer of
Vice President, Chief all the DFA Entities. Director, Vice President, Chief
Financial Officer and Financial Officer and Treasurer of Dimensional Fund
Treasurer Advisors Ltd., DFA Australia Limited, Dimensional Advisors
Age: 55 Ltd., Dimensional Fund Advisors Pte. Ltd., Dimensional Hong
Kong Limited and Dimensional Fund Advisors Canada ULC.
Chief Financial Officer, Treasurer, and Vice President of
Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC,
Dimensional Cayman Commodity Fund I Ltd. and Dimensional
Retirement Plan Services LLC. Director of Dimensional Funds
PLC and Dimensional Funds II PLC. Statutory Auditor of
Dimensional Japan Ltd.
Catherine L. Newell Vice Vice President and Secretary of all the DFA Entities and
Vice President and Secretary President Dimensional Retirement Plan Services LLC (since June 2012).
Age: 48 since 1997 Director, Vice President and Secretary of DFA Australia
and Limited and Dimensional Fund Advisors Ltd. (since February
Secretary 2002, April 1997 and May 2002, respectively). Vice
since 2000 President and Secretary of Dimensional Fund Advisors Canada
ULC (since June 2003), Dimensional SmartNest LLC,
Dimensional SmartNest (US) LLC, Dimensional Cayman
Commodity Fund I Ltd., Dimensional Japan Ltd. (since
February 2012), Dimensional Advisors Ltd. (since March
2012), Dimensional Fund Advisors Pte. Ltd. (since June
2012) and Dimensional Hong Kong Limited (since August
2012). Director, Dimensional Funds PLC and Dimensional
Funds II PLC (since 2002 and 2006, respectively). Director
of Dimensional Japan Ltd., Dimensional Advisors Ltd.,
Dimensional Fund Advisors Pte. Ltd. and Dimensional Hong
Kong Limited (since August 2012 and July 2012).
Christian A. Newton Since 2009 Vice President of all DFA Entities. Web Services Manager
Vice President for Dimensional (since January 2008). Formerly, Design
Age: 37 Manager of Dimensional (2005-2008).
Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager
Vice President for Dimensional (2008-2010). Formerly, Vice President and
Age: 48 Portfolio Manager at USAA Investment Management Company
(2001-2006).
Carolyn L. O Vice Since 2010 Vice President of all the DFA Entities and Dimensional
President Cayman Commodity Fund I Ltd. Deputy General Counsel, Funds
Age: 38 (since 2011). Counsel for Dimensional (2007-2011).
Formerly, Associate at K&L Gates LLP (January
2004-September 2007).
317
Term of Office/1/
Name, Position with the Fund and and Length of
Age Service Principal Occupation(s) During Past 5 Years
-------------------------------- ---------------- -----------------------------------------------------------
Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate of Dimensional (2004 to 2006).
Age: 35
Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager
Vice President for Dimensional (since July 2005).
Age: 38
Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance
Vice President Officer for Dimensional (since January 2008). Formerly,
Age: 34 Compliance Officer (February 2006-December 2007) and
Compliance Analyst (August 2004-January 2006) for
Dimensional.
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia
Vice President Limited, Dimensional Fund Advisors Ltd. and Dimensional
Age: 51 Fund Advisors Canada ULC.
Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager
Vice President for Dimensional (July 2006-2010).
Age: 41
Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate of Dimensional (2006-2008). Systems Developer of
Age: 39 Dimensional (2001-2006).
Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional Fund Advisors LP (June
Age: 31 2011-January 2012); Research Assistant for Dimensional Fund
Advisors LP (July 2004-August 2007).
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities.
Vice President
Age: 41
Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems
Vice President Manager for Dimensional (since July 2008). Formerly, Senior
Age: 53 Manager at Vanguard (November 1997-July 2008).
David E. Schneider Since 2001 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada ULC.
Age: 66
Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director for Dimensional (March 2006-January 2010).
Age: 50
Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment
Vice President Operations Manager for Dimensional (since May 2007).
Age: 47 Formerly, Vice President Client and Fund Reporting at
Mellon Financial (September 2005-May 2007).
Edward R. Simpson Since 2007 Vice President of all the DFA Entities. Regional Director
Vice President of Dimensional (since December 2002).
Age: 44
Bryce D. Skaff Since 2007 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director of Dimensional (December 1999 to January 2007).
Age: 37
Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for
Vice President Dimensional (2007-2010). Formerly, Business Analyst
Age: 44 Manager, National Instruments (2003-2007).
Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada ULC.
Age: 56
Carl G. Snyder Since 2000 Vice President of all the DFA Entities.
Vice President
Age: 49
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities.
Vice President
Age: 64
318
Term of Office/1/
Name, Position with the Fund and and Length of
Age Service Principal Occupation(s) During Past 5 Years
-------------------------------- ---------------- -----------------------------------------------------------
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Director and
Vice President Vice President of Dimensional Fund Advisors Canada ULC.
Age: 39
John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director for Dimensional Fund Advisors LP (January
Age: 34 2008-January 2012).
Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager,
Vice President Technology for Dimensional (since March 2007). Formerly,
Age: 54 Director of Technology at AMVESCAP (2002-2007).
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia
Vice President Limited, Dimensional Fund Advisors Ltd., and Dimensional
Age: 46 Fund Advisors Canada ULC.
Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager
Vice President for Dimensional (since 2004).
Age: 42
Weston J. Wellington Since 1997 Vice President of all the DFA Entities.
Vice President
Age: 61
Ryan J. Wiley Since 2007 Vice President of all the DFA Entities. Senior Trader of
Vice President Dimensional (since 2007).
Age: 36
Paul E. Wise Since 2005 Vice President of all the DFA Entities. Chief Technology
Vice President Officer for Dimensional (since 2004).
Age: 57
Faith A. Yando Since 2011 Vice President of all the DFA Entities. Formerly, Senior
Vice President Vice President, Global Public Relations at Natixis Global
Age: 50 Asset Management (2008-2011); Senior Vice President, Media
Relations at Bank of America (2007-2008).
Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director for Dimensional (2005-2010).
Age: 33
/1 /Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustees/Directors and until his or her successor is elected and
qualified.
319
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.
320
NOTICE TO SHAREHOLDERS
(Unaudited)
For shareholders that do not have an October 31, 2012 tax year end, this
notice is for informational purposes only. For shareholders with an October 31,
2012 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2011 to October 31, 2012, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
Net
Investment Short-Term Long-Term Return
Income Capital Gain Capital Gain of Tax-Exempt Total
DFA Investment Dimensions Group Inc. Distributions Distributions Distributions Capital Interest Distributions
------------------------------------ ------------- ------------- ------------- ------- ---------- -------------
Enhanced U.S. Large Company Portfolio....... 100% -- -- -- -- 100%
U.S. Large Cap Value Portfolio.............. 100% -- -- -- -- 100%
U.S. Targeted Value Portfolio............... 45% 1% 54% -- -- 100%
U.S. Small Cap Value Portfolio.............. 30% 1% 69% -- -- 100%
U.S. Core Equity 1 Portfolio................ 100% -- -- -- -- 100%
U.S. Core Equity 2 Portfolio................ 98% -- 2% -- -- 100%
U.S. Vector Equity Portfolio................ 99% -- 1% -- -- 100%
U.S. Small Cap Portfolio.................... 75% 1% 24% -- -- 100%
U.S. Micro Cap Portfolio.................... 69% -- 31% -- -- 100%
DFA Real Estate Securities Portfolio........ 100% -- -- -- -- 100%
Large Cap International Portfolio........... 100% -- -- -- -- 100%
International Core Equity Portfolio......... 100% -- -- -- -- 100%
International Small Company Portfolio....... 61% -- 39% -- -- 100%
Japanese Small Company Portfolio............ 100% -- -- -- -- 100%
Asia Pacific Small Company Portfolio........ 100% -- -- -- -- 100%
United Kingdom Small Company Portfolio...... 100% -- -- -- -- 100%
Continental Small Company Portfolio......... 100% -- -- -- -- 100%
DFA International Real Estate Securities
Portfolio................................. 100% -- -- -- -- 100%
DFA Global Real Estate Securities Portfolio. 100% -- -- -- -- 100%
DFA International Small Cap Value Portfolio. 58% 3% 39% -- -- 100%
International Vector Equity Portfolio....... 69% -- 31% -- -- 100%
World ex U.S. Value Portfolio............... 100% -- -- -- -- 100%
Selectively Hedged Global Equity Portfolio.. 100% -- -- -- -- 100%
Emerging Markets Portfolio.................. 36% -- 64% -- -- 100%
Emerging Markets Small Cap Portfolio........ 51% -- 49% -- -- 100%
Emerging Markets Value Portfolio............ 60% -- 40% -- -- 100%
Emerging Markets Core Equity Portfolio...... 100% -- -- -- -- 100%
DFA Commodity Strategy Portfolio............ 91% 8% 1% -- -- 100%
Dimensional Investment Group Inc.
DFA International Value Portfolio........... 100% -- -- -- -- 100%
U.S. Large Company Portfolio................ 100% -- -- -- -- 100%
Qualifying
For Corporate
Dividends Qualifying U.S. Foreign Foreign Qualifying Qualifying
Received Dividend Government Tax Source Interest Short-Term
DFA Investment Dimensions Group Inc. Deduction(1) Income(2) Interest(3) Credit(4) Income(5) Income(6) Capital Gain(7)
------------------------------------ ------------- ---------- ----------- --------- --------- ---------- ---------------
Enhanced U.S. Large Company Portfolio.... -- -- -- -- -- 100% 100%
U.S. Large Cap Value Portfolio........... 100% 100% -- -- -- 100% 100%
U.S. Targeted Value Portfolio............ 100% 100% -- -- -- 100% 100%
U.S. Small Cap Value Portfolio........... 100% 100% -- -- -- 100% 100%
U.S. Core Equity 1 Portfolio............. 100% 100% -- -- -- 100% 100%
U.S. Core Equity 2 Portfolio............. 100% 100% -- -- -- 100% 100%
U.S. Vector Equity Portfolio............. 100% 100% -- -- -- 100% 100%
U.S. Small Cap Portfolio................. 100% 100% -- -- -- 100% 100%
U.S. Micro Cap Portfolio................. 100% 100% -- -- -- 100% 100%
DFA Real Estate Securities Portfolio..... 100% 100% -- -- -- 100% 100%
Large Cap International Portfolio........ 100% 100% -- 3% 96% 100% 100%
International Core Equity Portfolio...... 100% 100% -- 3% 94% 100% 100%
International Small Company Portfolio.... 100% 100% -- 4% 91% 100% 100%
Japanese Small Company Portfolio......... 100% 100% -- 7% 92% 100% 100%
Asia Pacific Small Company Portfolio..... 100% 100% -- 1% 92% 100% 100%
United Kingdom Small Company
Portfolio.............................. 100% 100% -- -- 100% 100% 100%
Continental Small Company Portfolio...... 100% 100% -- 5% 87% 100% 100%
DFA International Real Estate Securities
Portfolio.............................. 100% 100% -- 1% 98% 100% 100%
DFA Global Real Estate Securities
Portfolio.............................. 100% 100% -- 1% 43% 100% 100%
DFA International Small Cap Value
Portfolio.............................. 100% 100% -- 4% 90% 100% 100%
International Vector Equity Portfolio.... 100% 100% -- 3% 94% 100% 100%
World ex U.S. Value Portfolio............ 100% 100% -- 3% 95% 100% 100%
Selectively Hedged Global Equity
Portfolio.............................. 100% 100% -- 3% 58% 100% 100%
Emerging Markets Portfolio............... 100% 100% -- 6% 95% 100% 100%
Emerging Markets Small Cap Portfolio..... 100% 100% -- 5% 86% 100% 100%
Emerging Markets Value Portfolio......... 100% 100% -- 6% 95% 100% 100%
Emerging Markets Core Equity Portfolio... 100% 100% -- 6% 91% 100% 100%
DFA Commodity Strategy Portfolio......... 100% 100% 1% -- -- 100% 100%
Dimensional Investment Group Inc.
DFA International Value Portfolio........ 100% 100% -- 2% 96% 100% 100%
U.S. Large Company Portfolio............. 100% 100% -- -- -- 100% 100%
--------
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4) "Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5) "Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6) The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7) The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
321
[LOGO] Recycled Recyclable DFA103112-001A
[LOGO]
ANNUAL REPORT
year ended: October 31, 2012
DFA INVESTMENT DIMENSIONS GROUP INC.
Tax-Managed U.S. Marketwide Value Portfolio
Tax-Managed U.S. Equity Portfolio
Tax-Managed U.S. Targeted Value Portfolio
Tax-Managed U.S. Small Cap Portfolio
T.A. U.S. Core Equity 2 Portfolio
Tax-Managed DFA International Value Portfolio
T.A. World ex U.S. Core Equity Portfolio
THE DFA INVESTMENT TRUST COMPANY
Tax-Managed U.S. Marketwide Value Series
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
November 2012
Dear Fellow Shareholder,
Working to understand the needs of clients has always been among our most
important objectives at Dimensional. We believe that our ability to provide
investment solutions has helped Dimensional become a trusted partner and
resource for our clients. We've worked hard to build trust and have earned many
long-standing client relationships. This demonstrates our commitment to client
service, the stability of our organization, the breadth of our strategies, and
the consistency of our investment approach. We believe that focusing on helping
clients pursue their investment goals will benefit our clients as well as
Dimensional.
Sincerely,
/s/ David G. Booth
---------------------------------------
David G. Booth
Chairman and Co-Chief Executive Officer
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ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES ..................................... 1
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Charts .......................................................... 2
Management's Discussion and Analysis ........................................ 5
Disclosure of Fund Expenses ................................................. 10
Disclosure of Portfolio Holdings ............................................ 12
Schedule of Investments/Summary Schedules of Portfolio Holdings
Tax-Managed U.S. Marketwide Value Portfolio .............................. 14
Tax-Managed U.S. Equity Portfolio ........................................ 15
Tax-Managed U.S. Targeted Value Portfolio ................................ 18
Tax-Managed U.S. Small Cap Portfolio ..................................... 21
T.A. U.S. Core Equity 2 Portfolio ........................................ 24
Tax-Managed DFA International Value Portfolio ............................ 27
T.A. World ex U.S. Core Equity Portfolio ................................. 31
Statements of Assets and Liabilities ........................................ 37
Statements of Operations .................................................... 39
Statements of Changes in Net Assets ......................................... 41
Financial Highlights ........................................................ 43
Notes to Financial Statements ............................................... 47
Report of Independent Registered Public Accounting Firm ..................... 59
THE DFA INVESTMENT TRUST COMPANY - THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Performance Chart ........................................................... 60
Management's Discussion and Analysis ........................................ 61
Disclosure of Fund Expenses ................................................. 63
Disclosure of Portfolio Holdings ............................................ 64
Summary Schedule of Portfolio Holdings ...................................... 65
Statement of Assets and Liabilities ......................................... 68
Statement of Operations ..................................................... 69
Statements of Changes in Net Assets ......................................... 70
Financial Highlights ........................................................ 71
Notes to Financial Statements ............................................... 72
Report of Independent Registered Public Accounting Firm ..................... 78
FUND MANAGEMENT ................................................................ 79
VOTING PROXIES ON FUND PORTFOLIO SECURITIES .................................... 89
NOTICE TO SHAREHOLDERS ......................................................... 90
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
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DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
Investment Abbreviations
ADR American Depositary Receipt
FNMA Federal National Mortgage Association
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial
Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as
a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do
not represent more than 1.0% of the net assets of the Fund. Some of
the individual securities within this category may include Total or
Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Funds.
(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.
REIT Real Estate Investment Trust
SEC Securities and Exchange Commission
(a) Commencement of Operations.
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO VS.
RUSSELL 3000(R) VALUE INDEX OCTOBER 31, 2002-OCTOBER 31, 2012
TAX-MANAGED U.S.
BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE MARKETWIDE VALUE PORTFOLIO RUSSELL 3000 (R) VALUE INDEX
---------- ---------- ----------- ----------------- ---------- -------------------------- ----------------------------
2002-10-31 2002-11-30 6.94% 6.41% 10/2002 10000 10000
2002-11-30 2002-12-31 -5.76% -4.34% 11/2002 10694.1176 10641
2002-12-31 2003-01-31 -2.11% -2.45% 12/2002 10078.4616 10179.1806
2003-01-31 2003-02-28 -2.75% -2.71% 01/2003 9866.2835 9929.79068
2003-02-28 2003-03-31 0.04% 0.23% 02/2003 9595.16699 9660.69335
2003-03-31 2003-04-30 9.34% 8.85% 03/2003 9598.87646 9682.91294
2003-04-30 2003-05-31 8.43% 6.72% 04/2003 10495.0861 10539.8507
2003-05-31 2003-06-30 0.79% 1.28% 05/2003 11379.5034 11248.1287
2003-06-30 2003-07-31 3.19% 1.74% 06/2003 11469.0738 11392.1048
2003-07-31 2003-08-31 4.09% 1.72% 07/2003 11834.857 11590.3274
2003-08-31 2003-09-30 -3.18% -0.99% 08/2003 12318.6348 11789.681
2003-09-30 2003-10-31 7.13% 6.27% 09/2003 11926.4816 11672.9632
2003-10-31 2003-11-30 2.77% 1.55% 10/2003 12776.6862 12404.858
2003-11-30 2003-12-31 5.08% 5.96% 11/2003 13130.9381 12597.1333
2003-12-31 2004-01-31 2.14% 1.89% 12/2003 13797.4012 13347.9224
2004-01-31 2004-02-29 2.18% 2.13% 01/2004 14093.2289 13600.1981
2004-02-29 2004-03-31 -0.07% -0.70% 02/2004 14400.8896 13889.8824
2004-03-31 2004-04-30 -1.81% -2.66% 03/2004 14391.3998 13792.6532
2004-04-30 2004-05-31 0.75% 1.03% 04/2004 14130.8148 13425.7686
2004-05-31 2004-06-30 3.11% 2.57% 05/2004 14237.4177 13564.054
2004-06-30 2004-07-31 -3.48% -1.68% 06/2004 14679.5396 13912.6502
2004-07-31 2004-08-31 -0.59% 1.39% 07/2004 14169.2565 13678.9177
2004-08-31 2004-09-30 3.64% 1.75% 08/2004 14086.1872 13869.0546
2004-09-30 2004-10-31 1.30% 1.65% 09/2004 14598.4221 14111.7631
2004-10-31 2004-11-30 6.76% 5.38% 10/2004 14788.7846 14344.6072
2004-11-30 2004-12-31 3.27% 3.26% 11/2004 15788.1876 15116.3471
2004-12-31 2005-01-31 -2.20% -1.96% 12/2004 16303.7107 15609.14
2005-01-31 2005-02-28 3.82% 3.20% 01/2005 15945.3874 15303.2008
2005-02-28 2005-03-31 -1.03% -1.43% 02/2005 16554.537 15792.9032
2005-03-31 2005-04-30 -3.65% -2.07% 03/2005 16384.6582 15567.0647
2005-04-30 2005-05-31 4.32% 2.71% 04/2005 15786.678 15244.8265
2005-05-31 2005-06-30 2.50% 1.38% 05/2005 16468.3754 15657.5902
2005-06-30 2005-07-31 5.40% 3.14% 06/2005 16879.596 15873.0992
2005-07-31 2005-08-31 -0.13% -0.60% 07/2005 17791.3581 16371.2485
2005-08-31 2005-09-30 1.83% 1.26% 08/2005 17767.3644 16272.6461
2005-09-30 2005-10-31 -2.46% -2.54% 09/2005 18091.7308 16478.4294
2005-10-31 2005-11-30 4.02% 3.34% 10/2005 17646.655 16060.3291
2005-11-30 2005-12-31 0.43% 0.48% 11/2005 18356.3705 16596.7441
2005-12-31 2006-01-31 5.58% 4.27% 12/2005 18434.5595 16675.9835
2006-01-31 2006-02-28 -0.31% 0.55% 01/2006 19462.7337 17387.4927
2006-02-28 2006-03-31 2.39% 1.67% 02/2006 19402.2529 17483.9364
2006-03-31 2006-04-30 2.44% 2.33% 03/2006 19866.844 17775.5614
2006-04-30 2006-05-31 -2.80% -2.67% 04/2006 20351.6968 18189.6609
2006-05-31 2006-06-30 0.64% 0.69% 05/2006 19781.9948 17703.5029
2006-06-30 2006-07-31 -0.61% 2.07% 06/2006 19908.1904 17826.0771
2006-07-31 2006-08-31 0.49% 1.79% 07/2006 19786.3533 18195.7447
2006-08-31 2006-09-30 1.93% 1.90% 08/2006 19883.823 18521.878
2006-09-30 2006-10-31 3.85% 3.44% 09/2006 20267.1688 18873.9923
2006-10-31 2006-11-30 2.43% 2.33% 10/2006 21048.0831 19522.8234
2006-11-30 2006-12-31 1.93% 2.12% 11/2006 21560.5582 19978.6567
2006-12-31 2007-01-31 2.57% 1.30% 12/2006 21976.8254 20401.8935
2007-01-31 2007-02-28 -1.25% -1.53% 01/2007 22540.9626 20666.8571
2007-02-28 2007-03-31 1.12% 1.52% 02/2007 22258.894 20350.8962
2007-03-31 2007-04-30 3.55% 3.45% 03/2007 22507.4237 20659.2455
2007-04-30 2007-05-31 4.69% 3.61% 04/2007 23306.4311 21372.8228
2007-05-31 2007-06-30 -2.14% -2.34% 05/2007 24400.4566 22144.9067
2007-06-30 2007-07-31 -5.48% -4.95% 06/2007 23878.6342 21627.7995
2007-07-31 2007-08-31 -0.55% 1.19% 07/2007 22571.2297 20556.1917
2007-08-31 2007-09-30 2.52% 3.19% 08/2007 22447.8896 20801.3167
2007-09-30 2007-10-31 0.05% 0.10% 09/2007 23014.2207 21465.3455
2007-10-31 2007-11-30 -5.86% -5.10% 10/2007 23026.6006 21486.0497
2007-11-30 2007-12-31 -0.45% -0.96% 11/2007 21677.1923 20391.1786
2007-12-31 2008-01-31 -3.98% -4.01% 12/2007 21580.1305 20195.7373
2008-01-31 2008-02-29 -3.66% -4.17% 01/2008 20721.4711 19385.2837
2008-02-29 2008-03-31 -1.77% -0.58% 02/2008 19963.8305 18576.3629
2008-03-31 2008-04-30 5.62% 4.74% 03/2008 19609.8043 18468.6199
2008-04-30 2008-05-31 2.20% 0.12% 04/2008 20711.9057 19343.8748
2008-05-31 2008-06-30 -11.04% -9.57% 05/2008 21167.9477 19366.8622
2008-06-30 2008-07-31 -0.81% 0.06% 06/2008 18830.2114 17513.9124
2008-07-31 2008-08-31 2.04% 1.95% 07/2008 18677.534 17524.3396
2008-08-31 2008-09-30 -8.49% -7.13% 08/2008 19059.2275 17866.0642
2008-09-30 2008-10-31 -22.36% -17.54% 09/2008 17440.8579 16592.837
2008-10-31 2008-11-30 -9.92% -7.53% 10/2008 13540.9593 13682.2128
2008-11-30 2008-12-31 3.34% 1.76% 11/2008 12198.3713 12651.8145
2008-12-31 2009-01-31 -13.04% -11.73% 12/2008 12606.3337 12874.5332
2009-01-31 2009-02-28 -13.46% -13.40% 01/2009 10962.5921 11364.9674
2009-02-28 2009-03-31 10.51% 8.58% 02/2009 9487.10741 9841.69646
2009-03-31 2009-04-30 17.25% 11.13% 03/2009 10484.3947 10685.7798
2009-04-30 2009-05-31 7.51% 5.85% 04/2009 12292.4976 11875.2023
2009-05-31 2009-06-30 -1.31% -0.70% 05/2009 13216.0609 12569.7295
2009-06-30 2009-07-31 10.13% 8.44% 06/2009 13042.4131 12481.8663
2009-07-31 2009-08-31 6.65% 5.19% 07/2009 14363.6605 13535.8989
2009-08-31 2009-09-30 4.53% 3.95% 08/2009 15318.6216 14238.6048
2009-09-30 2009-10-31 -4.84% -3.35% 09/2009 16013.3137 14801.6901
2009-10-31 2009-11-30 4.65% 5.44% 10/2009 15238.8994 14305.911
2009-11-30 2009-12-31 3.61% 2.21% 11/2009 15947.6854 15084.7915
2009-12-31 2010-01-31 -2.79% -2.82% 12/2009 16523.3008 15418.7317
2010-01-31 2010-02-28 4.60% 3.28% 01/2010 16061.756 14983.6177
2010-02-28 2010-03-31 7.88% 6.66% 02/2010 16800.2276 15474.5742
2010-03-31 2010-04-30 3.86% 2.96% 03/2010 18123.8407 16505.0463
2010-04-30 2010-05-31 -8.56% -8.24% 04/2010 18823.9599 16993.3648
2010-05-31 2010-06-30 -7.65% -5.89% 05/2010 17212.3647 15593.1645
2010-06-30 2010-07-31 8.00% 6.80% 06/2010 15895.1851 14674.605
2010-07-31 2010-08-31 -6.56% -4.53% 07/2010 17166.8 15672.3224
2010-08-31 2010-09-30 9.93% 7.99% 08/2010 16040.891 14961.7412
2010-09-30 2010-10-31 3.84% 3.07% 09/2010 17634.0379 16156.5291
2010-10-31 2010-11-30 0.22% -0.29% 10/2010 18311.759 16652.4262
2010-11-30 2010-12-31 9.46% 7.92% 11/2010 18351.6249 16604.8873
2010-12-31 2011-01-31 2.46% 2.08% 12/2010 20087.5673 17920.7301
2011-01-31 2011-02-28 5.65% 3.80% 01/2011 20581.7429 18293.6812
2011-02-28 2011-03-31 0.62% 0.48% 02/2011 21743.7232 18988.9583
2011-03-31 2011-04-30 2.32% 2.58% 03/2011 21879.0289 19079.7873
2011-04-30 2011-05-31 -1.55% -1.12% 04/2011 22387.5323 19571.3266
2011-05-31 2011-06-30 -1.75% -2.08% 05/2011 22039.6089 19352.6553
2011-06-30 2011-07-31 -4.28% -3.32% 06/2011 21653.044 18949.1957
2011-07-31 2011-08-31 -8.35% -6.45% 07/2011 20726.7824 18320.8629
2011-08-31 2011-09-30 -10.16% -7.83% 08/2011 18995.0758 17138.6225
2011-09-30 2011-10-31 13.90% 11.68% 09/2011 17064.9181 15797.4558
2011-10-31 2011-11-30 -0.76% -0.49% 10/2011 19437.2921 17642.1459
2011-11-30 2011-12-31 0.94% 1.98% 11/2011 19289.0188 17555.1451
2011-12-31 2012-01-31 5.23% 4.01% 12/2011 19470.9615 17902.6464
2012-01-31 2012-02-29 5.30% 3.79% 01/2012 20488.6076 18620.1568
2012-02-29 2012-03-31 2.10% 2.98% 02/2012 21574.0968 19325.044
2012-03-31 2012-04-30 -1.85% -1.05% 03/2012 22027.1456 19900.0055
2012-04-30 2012-05-31 -7.05% -5.88% 04/2012 21618.9835 19690.3481
2012-05-31 2012-06-30 5.25% 4.95% 05/2012 20095.1785 18531.8864
2012-06-30 2012-07-31 0.84% 0.88% 06/2012 21150.6064 19449.5979
2012-07-31 2012-08-31 3.78% 2.24% 07/2012 21328.3426 19620.5641
2012-08-31 2012-09-30 3.60% 3.20% 08/2012 22134.9914 20059.9911
2012-09-30 2012-10-31 0.30% -0.55% 09/2012 22932.9552 20702.6588
10/31/2012 23001.5756 20589.0273
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
------ ------ -----
18.34% -0.02% 8.69%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
TAX-MANAGED U.S. EQUITY PORTFOLIO VS.
RUSSELL 3000(R) INDEX OCTOBER 31, 2002-OCTOBER 31, 2012
TAX-MANAGED
BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE U.S. EQUITY PORTFOLIO RUSSELL 3000 (R) INDEX
---------- ----------- ----------- ----------------- ---------- --------------------- ----------------------
2002-10-31 2002-11-30 5.15% 6.05% 10/2002 10000 10000
2002-11-30 2002-12-31 -5.86% -5.65% 11/2002 10514.5414 10605
2002-12-31 2003-01-31 -2.50% -2.45% 12/2002 9898.56676 10005.8175
2003-01-31 2003-02-28 -1.75% -1.65% 01/2003 9651.10259 9760.67497
2003-02-28 2003-03-31 1.07% 1.05% 02/2003 9482.37702 9599.62383
2003-03-31 2003-04-30 7.98% 8.17% 03/2003 9583.61236 9700.41988
2003-04-30 2003-05-31 5.98% 6.04% 04/2003 10348.5016 10492.9442
2003-05-31 2003-06-30 1.13% 1.35% 05/2003 10967.162 11126.718
2003-06-30 2003-07-31 3.14% 2.29% 06/2003 11090.8941 11276.9287
2003-07-31 2003-08-31 2.85% 2.22% 07/2003 11439.5936 11535.1704
2003-08-31 2003-09-30 -2.10% -1.09% 08/2003 11765.7964 11791.2512
2003-09-30 2003-10-31 6.54% 6.05% 09/2003 11518.3322 11662.7265
2003-10-31 2003-11-30 1.28% 1.38% 10/2003 12271.9731 12368.3215
2003-11-30 2003-12-31 4.03% 4.57% 11/2003 12429.4503 12539.0043
2003-12-31 2004-01-31 2.01% 2.09% 12/2003 12930.3617 13112.0368
2004-01-31 2004-02-29 1.46% 1.35% 01/2004 13190.7806 13386.0784
2004-02-29 2004-03-31 -1.27% -1.19% 02/2004 13383.2641 13566.7904
2004-03-31 2004-04-30 -1.63% -2.07% 03/2004 13213.4257 13405.3456
2004-04-30 2004-05-31 1.48% 1.45% 04/2004 12998.2971 13127.855
2004-05-31 2004-06-30 1.84% 1.99% 05/2004 13190.7806 13318.2089
2004-06-30 2004-07-31 -3.97% -3.78% 06/2004 13433.0833 13583.2412
2004-07-31 2004-08-31 0.00% 0.41% 07/2004 12899.3936 13069.7947
2004-08-31 2004-09-30 1.77% 1.54% 08/2004 12899.3936 13123.3809
2004-09-30 2004-10-31 1.39% 1.64% 09/2004 13127.8461 13325.4809
2004-10-31 2004-11-30 4.62% 4.65% 10/2004 13310.0192 13544.0188
2004-11-30 2004-12-31 3.45% 3.56% 11/2004 13924.8533 14173.8157
2004-12-31 2005-01-31 -2.39% -2.66% 12/2004 14405.7631 14678.4035
2005-01-31 2005-02-28 2.12% 2.20% 01/2005 14061.9501 14287.958
2005-02-28 2005-03-31 -1.68% -1.69% 02/2005 14359.9214 14602.2931
2005-03-31 2005-04-30 -2.36% -2.17% 03/2005 14118.3604 14355.5143
2005-04-30 2005-05-31 3.83% 3.79% 04/2005 13785.4885 14043.9997
2005-05-31 2005-06-30 0.63% 0.70% 05/2005 14313.4922 14576.134
2005-06-30 2005-07-31 4.24% 4.10% 06/2005 14403.1281 14677.9497
2005-07-31 2005-08-31 -0.77% -0.95% 07/2005 15013.3326 15280.1519
2005-08-31 2005-09-30 0.85% 0.88% 08/2005 14898.1997 15134.451
2005-09-30 2005-10-31 -1.92% -1.87% 09/2005 15024.7752 15266.9016
2005-10-31 2005-11-30 3.92% 3.89% 10/2005 14736.0593 14980.9589
2005-11-30 2005-12-31 -0.04% 0.08% 11/2005 15313.4911 15563.7182
2005-12-31 2006-01-31 3.11% 3.34% 12/2005 15307.2642 15576.5436
2006-01-31 2006-02-28 0.22% 0.18% 01/2006 15783.0776 16096.9259
2006-02-28 2006-03-31 1.60% 1.73% 02/2006 15817.8932 16125.5445
2006-03-31 2006-04-30 1.09% 1.08% 03/2006 16071.5097 16404.3113
2006-04-30 2006-05-31 -3.22% -3.20% 04/2006 16245.9472 16582.2768
2006-05-31 2006-06-30 0.00% 0.18% 05/2006 15722.6347 16051.401
2006-06-30 2006-07-31 -0.15% -0.09% 06/2006 15722.2001 16079.7547
2006-07-31 2006-08-31 2.30% 2.45% 07/2006 15698.8561 16064.7034
2006-08-31 2006-09-30 2.26% 2.24% 08/2006 16060.6885 16457.7327
2006-09-30 2006-10-31 3.21% 3.60% 09/2006 16424.1467 16826.1182
2006-10-31 2006-11-30 1.94% 2.18% 10/2006 16951.3126 17431.8151
2006-11-30 2006-12-31 1.33% 1.20% 11/2006 17279.327 17811.077
2006-12-31 2007-01-31 1.75% 1.90% 12/2006 17509.9873 18024.4036
2007-01-31 2007-02-28 -1.59% -1.64% 01/2007 17816.1471 18367.4821
2007-02-28 2007-03-31 1.16% 1.04% 02/2007 17533.5381 18066.1779
2007-03-31 2007-04-30 3.99% 3.99% 03/2007 17736.8777 18254.2167
2007-04-30 2007-05-31 3.65% 3.64% 04/2007 18445.4081 18983.4148
2007-05-31 2007-06-30 -1.66% -1.87% 05/2007 19118.5119 19675.2144
2007-06-30 2007-07-31 -3.40% -3.41% 06/2007 18801.8968 19306.8144
2007-07-31 2007-08-31 1.37% 1.44% 07/2007 18161.7313 18648.3955
2007-08-31 2007-09-30 3.55% 3.65% 08/2007 18410.6846 18916.0818
2007-09-30 2007-10-31 1.69% 1.83% 09/2007 19063.8531 19605.7067
2007-10-31 2007-11-30 -4.42% -4.50% 10/2007 19385.154 19965.3562
2007-11-30 2007-12-31 -0.53% -0.61% 11/2007 18528.3516 19066.5404
2007-12-31 2008-01-31 -6.04% -6.06% 12/2007 18429.6017 18951.1631
2008-01-31 2008-02-29 -2.90% -3.11% 01/2008 17316.6452 17802.5038
2008-02-29 2008-03-31 -0.54% -0.59% 02/2008 16814.0197 17249.564
2008-03-31 2008-04-30 4.95% 5.00% 03/2008 16723.907 17147.7916
2008-04-30 2008-05-31 2.05% 2.05% 04/2008 17552.2987 18005.3329
2008-05-31 2008-06-30 -7.90% -8.25% 05/2008 17912.469 18374.2015
2008-06-30 2008-07-31 -0.58% -0.80% 06/2008 16498.1564 16857.9467
2008-07-31 2008-08-31 1.54% 1.55% 07/2008 16401.7464 16723.4954
2008-08-31 2008-09-30 -9.12% -9.40% 08/2008 16654.8226 16982.7095
2008-09-30 2008-10-31 -17.12% -17.74% 09/2008 15135.4081 15385.9246
2008-10-31 2008-11-30 -6.95% -7.89% 10/2008 12544.2262 12657.0809
2008-11-30 2008-12-31 1.79% 1.91% 11/2008 11672.4267 11657.9414
2008-12-31 2009-01-31 -8.34% -8.39% 12/2008 11881.528 11880.9652
2009-01-31 2009-02-28 -10.11% -10.48% 01/2009 10890.381 10883.9088
2009-02-28 2009-03-31 8.21% 8.76% 02/2009 9789.10649 9743.76199
2009-03-31 2009-04-30 8.25% 10.52% 03/2009 10592.4014 10597.2557
2009-04-30 2009-05-31 4.83% 5.34% 04/2009 11465.8747 11712.4435
2009-05-31 2009-06-30 0.52% 0.34% 05/2009 12019.4846 12337.4706
2009-06-30 2009-07-31 7.47% 7.78% 06/2009 12081.9859 12379.4181
2009-07-31 2009-08-31 2.95% 3.57% 07/2009 12984.7341 13342.9817
2009-08-31 2009-09-30 4.04% 4.19% 08/2009 13368.0929 13819.7502
2009-09-30 2009-10-31 -2.32% -2.57% 09/2009 13908.6205 14398.7439
2009-10-31 2009-11-30 5.58% 5.68% 10/2009 13585.7418 14028.4123
2009-11-30 2009-12-31 2.84% 2.85% 11/2009 14343.2648 14825.5598
2009-12-31 2010-01-31 -3.64% -3.60% 12/2009 14751.2936 15248.0477
2010-01-31 2010-02-28 3.34% 3.39% 01/2010 14214.2016 14698.3915
2010-02-28 2010-03-31 6.24% 6.30% 02/2010 14688.841 15196.6931
2010-03-31 2010-04-30 2.01% 2.16% 03/2010 15605.4472 16154.4891
2010-04-30 2010-05-31 -7.87% -7.90% 04/2010 15918.5581 16503.1149
2010-05-31 2010-06-30 -5.67% -5.75% 05/2010 14666.1145 15199.416
2010-06-30 2010-07-31 7.00% 6.94% 06/2010 13834.1309 14325.633
2010-07-31 2010-08-31 -4.84% -4.71% 07/2010 14802.5201 15320.152
2010-08-31 2010-09-30 9.51% 9.44% 08/2010 14085.6606 14598.9871
2010-09-30 2010-10-31 4.01% 3.91% 09/2010 15425.5057 15977.3794
2010-10-31 2010-11-30 0.63% 0.58% 10/2010 16044.5473 16601.727
2010-11-30 2010-12-31 6.71% 6.78% 11/2010 16145.6153 16697.5683
2010-12-31 2011-01-31 2.14% 2.18% 12/2010 17228.9937 17829.4829
2011-01-31 2011-02-28 3.61% 3.64% 01/2011 17597.4603 18218.9075
2011-02-28 2011-03-31 0.45% 0.45% 02/2011 18232.7477 18882.2251
2011-03-31 2011-04-30 2.99% 2.98% 03/2011 18315.6779 18967.3946
2011-04-30 2011-05-31 -1.22% -1.14% 04/2011 18863.365 19531.952
2011-05-31 2011-06-30 -1.66% -1.80% 05/2011 18634.1006 19309.092
2011-06-30 2011-07-31 -2.30% -2.29% 06/2011 18324.579 18962.3202
2011-07-31 2011-08-31 -6.00% -6.00% 07/2011 17902.5894 18528.0849
2011-08-31 2011-09-30 -7.41% -7.76% 08/2011 16828.434 17416.4891
2011-09-30 2011-10-31 11.13% 11.51% 09/2011 15580.7141 16065.0464
2011-10-31 2011-11-30 -0.07% -0.27% 10/2011 17314.7589 17914.0143
2011-11-30 2011-12-31 0.75% 0.82% 11/2011 17301.9141 17865.5971
2011-12-31 2012-01-31 4.82% 5.05% 12/2011 17432.1248 18012.4432
2012-01-31 2012-02-29 4.39% 4.23% 01/2012 18272.6946 18921.4005
2012-02-29 2012-03-31 2.98% 3.08% 02/2012 19074.4689 19721.8328
2012-03-31 2012-04-30 -0.73% -0.66% 03/2012 19643.6853 20330.1877
2012-04-30 2012-05-31 -6.25% -6.18% 04/2012 19501.0579 20196.8482
2012-05-31 2012-06-30 3.83% 3.92% 05/2012 18282.2418 18948.2999
2012-06-30 2012-07-31 1.10% 0.99% 06/2012 18982.2445 19690.4155
2012-07-31 2012-08-31 2.51% 2.50% 07/2012 19190.6974 19885.4478
2012-08-31 2012-09-30 2.70% 2.63% 08/2012 19672.7448 20381.7513
2012-09-30 2012-10-31 -1.81% -1.72% 09/2012 20203.6807 20916.9761
10/31/2012 19837.2927 20556.1884
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
----- ------ -----
14.57% 0.46% 7.09%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO VS. RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2002-OCTOBER 31, 2012
TAX-MANAGED U.S.
BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE TARGETED VALUE PORTFOLIO RUSSELL 2000 (R) VALUE INDEX
---------- ----------- ----------- ----------------- ---------- ------------------------ -----------------------------
2002-10-31 2002-11-30 8.90% 7.98% 10/2002 10000 10000
2002-11-30 2002-12-31 -4.36% -4.27% 11/2002 10889.7959 10798
2002-12-31 2003-01-31 -2.83% -2.82% 12/2002 10415.1302 10336.9254
2003-01-31 2003-02-28 -4.04% -3.36% 01/2003 10120.8251 10045.4241
2003-02-28 2003-03-31 0.00% 1.07% 02/2003 9712.068 9707.89785
2003-03-31 2003-04-30 10.61% 9.50% 03/2003 9712.068 9811.77236
2003-04-30 2003-05-31 11.49% 10.21% 04/2003 10742.1358 10743.8907
2003-05-31 2003-06-30 3.55% 1.69% 05/2003 11976.5822 11840.842
2003-06-30 2003-07-31 6.20% 4.99% 06/2003 12401.6895 12040.9522
2003-07-31 2003-08-31 5.09% 3.80% 07/2003 13170.1528 12641.7957
2003-08-31 2003-09-30 -1.00% -1.15% 08/2003 13840.5144 13122.184
2003-09-30 2003-10-31 9.90% 8.15% 09/2003 13701.537 12971.2788
2003-10-31 2003-11-30 4.34% 3.84% 10/2003 15058.6105 14028.4381
2003-11-30 2003-12-31 3.91% 3.62% 11/2003 15712.6218 14567.1301
2003-12-31 2004-01-31 4.12% 3.46% 12/2003 16326.446 15094.4602
2004-01-31 2004-02-29 1.54% 1.94% 01/2004 16998.5186 15616.7285
2004-02-29 2004-03-31 0.90% 1.38% 02/2004 17260.7908 15919.6931
2004-03-31 2004-04-30 -4.00% -5.17% 03/2004 17416.5149 16139.3848
2004-04-30 2004-05-31 0.49% 1.21% 04/2004 16719.8543 15304.9786
2004-05-31 2004-06-30 5.23% 5.08% 05/2004 16801.8144 15490.1689
2004-06-30 2004-07-31 -5.80% -4.60% 06/2004 17680.1505 16277.0694
2004-07-31 2004-08-31 -1.23% 0.98% 07/2004 16654.6198 15528.3243
2004-08-31 2004-09-30 5.15% 3.96% 08/2004 16449.5136 15680.5018
2004-09-30 2004-10-31 0.90% 1.55% 09/2004 17296.5102 16301.4497
2004-10-31 2004-11-30 9.69% 8.87% 10/2004 17452.4825 16554.1222
2004-11-30 2004-12-31 3.82% 2.39% 11/2004 19143.5509 18022.4728
2004-12-31 2005-01-31 -3.07% -3.87% 12/2004 19875.1913 18453.2099
2005-01-31 2005-02-28 2.48% 1.99% 01/2005 19264.2907 17739.0707
2005-02-28 2005-03-31 -2.29% -2.06% 02/2005 19741.2953 18092.0782
2005-03-31 2005-04-30 -6.85% -5.16% 03/2005 19289.3962 17719.3814
2005-04-30 2005-05-31 6.01% 6.10% 04/2005 17967.1729 16805.0613
2005-05-31 2005-06-30 4.00% 4.42% 05/2005 19046.7097 17830.0251
2005-06-30 2005-07-31 7.10% 5.69% 06/2005 19808.7163 18618.4838
2005-07-31 2005-08-31 -1.18% -2.30% 07/2005 21215.8471 19677.8861
2005-08-31 2005-09-30 0.63% -0.17% 08/2005 20964.5737 19226.1098
2005-09-30 2005-10-31 -2.74% -2.51% 09/2005 21096.911 19194.3204
2005-10-31 2005-11-30 4.58% 4.06% 10/2005 20518.569 18712.2218
2005-11-30 2005-12-31 0.20% -0.77% 11/2005 21457.3271 19471.2957
2005-12-31 2006-01-31 8.66% 8.27% 12/2005 21499.2971 19321.804
2006-01-31 2006-02-28 -0.67% -0.01% 01/2006 23360.4303 20919.5884
2006-02-28 2006-03-31 5.42% 4.84% 02/2006 23204.5718 20918.162
2006-03-31 2006-04-30 1.13% 0.27% 03/2006 24463.4001 21931.3474
2006-04-30 2006-05-31 -4.56% -4.14% 04/2006 24738.7855 21989.9947
2006-05-31 2006-06-30 0.03% 1.23% 05/2006 23609.7055 21079.3913
2006-06-30 2006-07-31 -3.70% -1.39% 06/2006 23617.9598 21338.3527
2006-07-31 2006-08-31 1.94% 2.99% 07/2006 22744.2424 21042.4259
2006-08-31 2006-09-30 1.01% 0.98% 08/2006 23185.6996 21671.3671
2006-09-30 2006-10-31 5.12% 5.09% 09/2006 23420.5826 21882.9297
2006-10-31 2006-11-30 2.58% 2.85% 10/2006 24619.2738 22996.6872
2006-11-30 2006-12-31 1.18% 0.87% 11/2006 25255.5022 23652.4193
2006-12-31 2007-01-31 2.06% 1.50% 12/2006 25552.4343 23858.4881
2007-01-31 2007-02-28 -0.51% -1.23% 01/2007 26079.9161 24215.8761
2007-02-28 2007-03-31 1.21% 1.21% 02/2007 25948.0457 23918.4793
2007-03-31 2007-04-30 1.93% 1.04% 03/2007 26262.1903 24207.136
2007-04-30 2007-05-31 3.83% 3.67% 04/2007 26769.9666 24458.3304
2007-05-31 2007-06-30 -1.51% -2.33% 05/2007 27795.6747 25355.1099
2007-06-30 2007-07-31 -7.29% -8.51% 06/2007 27375.9994 24764.1251
2007-07-31 2007-08-31 -0.12% 2.00% 07/2007 25380.5751 22656.3737
2007-08-31 2007-09-30 0.04% 0.45% 08/2007 25350.0329 23110.3156
2007-09-30 2007-10-31 0.89% 1.09% 09/2007 25360.1475 23214.6644
2007-10-31 2007-11-30 -7.79% -7.49% 10/2007 25584.9353 23467.4926
2007-11-30 2007-12-31 -0.95% -0.85% 11/2007 23592.4982 21709.3184
2007-12-31 2008-01-31 -4.77% -4.10% 12/2007 23368.3366 21525.7807
2008-01-31 2008-02-29 -2.70% -3.97% 01/2008 22253.9979 20642.4418
2008-02-29 2008-03-31 0.91% 1.51% 02/2008 21653.1291 19822.0514
2008-03-31 2008-04-30 3.00% 3.16% 03/2008 21849.444 20121.3644
2008-04-30 2008-05-31 4.13% 3.42% 04/2008 22505.9121 20758.0205
2008-05-31 2008-06-30 -9.42% -9.60% 05/2008 23435.9084 21467.7223
2008-06-30 2008-07-31 0.67% 5.13% 06/2008 21227.7515 19407.8894
2008-07-31 2008-08-31 3.44% 4.75% 07/2008 21370.2932 20402.8025
2008-08-31 2008-09-30 -8.54% -4.69% 08/2008 22104.9313 21371.9356
2008-09-30 2008-10-31 -21.64% -19.98% 09/2008 20217.2072 20370.1212
2008-10-31 2008-11-30 -12.98% -11.58% 10/2008 15841.7594 16300.6447
2008-11-30 2008-12-31 5.50% 6.15% 11/2008 13785.9586 14412.8814
2008-12-31 2009-01-31 -13.58% -14.28% 12/2008 14544.4579 15299.5089
2009-01-31 2009-02-28 -13.86% -13.89% 01/2009 12569.6955 13113.9918
2009-02-28 2009-03-31 9.09% 8.88% 02/2009 10827.9107 11292.4502
2009-03-31 2009-04-30 18.74% 15.87% 03/2009 11811.8866 12295.0547
2009-04-30 2009-05-31 4.04% 2.16% 04/2009 14025.225 14245.9641
2009-05-31 2009-06-30 -0.44% -0.32% 05/2009 14592.4625 14554.0027
2009-06-30 2009-07-31 11.73% 11.56% 06/2009 14528.9102 14508.119
2009-07-31 2009-08-31 4.80% 4.73% 07/2009 16233.6059 16185.8597
2009-08-31 2009-09-30 5.30% 5.02% 08/2009 17013.5321 16951.943
2009-09-30 2009-10-31 -6.79% -6.64% 09/2009 17914.6486 17802.1551
2009-10-31 2009-11-30 3.34% 3.18% 10/2009 16698.0151 16619.9642
2009-11-30 2009-12-31 7.58% 7.57% 11/2009 17256.1038 17148.8548
2009-12-31 2010-01-31 -2.47% -2.93% 12/2009 18564.7496 18447.7194
2010-01-31 2010-02-28 5.75% 4.64% 01/2010 18105.6695 17907.0154
2010-02-28 2010-03-31 8.11% 8.32% 02/2010 19146.9974 18737.3429
2010-03-31 2010-04-30 7.41% 7.00% 03/2010 20699.0266 20295.8506
2010-04-30 2010-05-31 -8.51% -8.45% 04/2010 22233.5324 21715.9329
2010-05-31 2010-06-30 -9.05% -8.73% 05/2010 20340.6019 19880.9768
2010-06-30 2010-07-31 7.82% 7.14% 06/2010 18499.9639 18145.4653
2010-07-31 2010-08-31 -7.87% -7.52% 07/2010 19946.3247 19440.7241
2010-08-31 2010-09-30 11.81% 10.74% 08/2010 18376.6308 17978.906
2010-09-30 2010-10-31 4.37% 3.87% 09/2010 20546.2059 19909.2802
2010-10-31 2010-11-30 3.88% 2.54% 10/2010 21444.8918 20680.6323
2010-11-30 2010-12-31 8.70% 8.31% 11/2010 22276.1762 21206.2354
2010-12-31 2011-01-31 0.42% 0.05% 12/2010 24214.0352 22968.1423
2011-01-31 2011-02-28 5.66% 5.08% 01/2011 24315.5379 22980.6742
2011-02-28 2011-03-31 1.84% 1.39% 02/2011 25691.4635 24147.5498
2011-03-31 2011-04-30 1.77% 1.62% 03/2011 26165.1428 24483.1098
2011-04-30 2011-05-31 -2.37% -1.79% 04/2011 26627.544 24880.9149
2011-05-31 2011-06-30 -1.99% -2.46% 05/2011 25995.9716 24435.2112
2011-06-30 2011-07-31 -3.15% -3.31% 06/2011 25479.5444 23834.3689
2011-07-31 2011-08-31 -10.06% -8.83% 07/2011 24678.0169 23046.2218
2011-08-31 2011-09-30 -11.90% -10.92% 08/2011 22194.4105 21010.5963
2011-09-30 2011-10-31 15.79% 14.41% 09/2011 19554.3021 18716.0314
2011-10-31 2011-11-30 -0.20% -0.20% 10/2011 22641.8235 21413.067
2011-11-30 2011-12-31 0.98% 1.57% 11/2011 22596.5851 21370.2756
2011-12-31 2012-01-31 6.42% 6.65% 12/2011 22817.2263 21704.7391
2012-01-31 2012-02-29 3.74% 1.49% 01/2012 24282.3443 23147.4867
2012-02-29 2012-03-31 2.04% 3.10% 02/2012 25190.9447 23491.8428
2012-03-31 2012-04-30 -1.63% -1.45% 03/2012 25705.5293 24220.4335
2012-04-30 2012-05-31 -7.32% -6.11% 04/2012 25285.2444 23869.978
2012-05-31 2012-06-30 3.95% 4.82% 05/2012 23433.7193 22411.3443
2012-06-30 2012-07-31 -0.37% -1.02% 06/2012 24359.9768 23491.8676
2012-07-31 2012-08-31 4.51% 3.08% 07/2012 24268.7836 23251.8041
2012-08-31 2012-09-30 3.24% 3.56% 08/2012 25363.1017 23969.1165
2012-09-30 2012-10-31 -0.22% -1.25% 09/2012 26183.8254 24823.0361
10/31/2012 26126.7551 24511.7359
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
----- ------ -----
15.39% 0.42% 10.08%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
TAX-MANAGED U.S. SMALL CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX
OCTOBER 31, 2002-OCTOBER 31, 2012
TAX-MANAGED U.S.
BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE SMALL CAP PORTFOLIO RUSSELL 2000 (R) INDEX
---------- ----------- ----------- ----------------- ---------- ------------------- -----------------------
2002-10-31 2002-11-30 8.28% 8.92% 10/2002 10000 10000
2002-11-30 2002-12-31 -5.26% -5.57% 11/2002 10828.3003 10892
2002-12-31 2003-01-31 -2.86% -2.77% 12/2002 10258.5969 10285.3156
2003-01-31 2003-02-28 -3.29% -3.02% 01/2003 9965.0007 10000.4124
2003-02-28 2003-03-31 0.81% 1.29% 02/2003 9636.86376 9698.3999
2003-03-31 2003-04-30 10.04% 9.48% 03/2003 9714.58041 9823.50926
2003-04-30 2003-05-31 11.23% 10.73% 04/2003 10690.356 10754.7779
2003-05-31 2003-06-30 2.98% 1.81% 05/2003 11890.6464 11908.7656
2003-06-30 2003-07-31 6.21% 6.26% 06/2003 12244.6889 12124.3143
2003-07-31 2003-08-31 5.58% 4.58% 07/2003 13004.585 12883.2963
2003-08-31 2003-09-30 -1.19% -1.85% 08/2003 13729.9403 13473.3513
2003-09-30 2003-10-31 9.42% 8.40% 09/2003 13565.8718 13224.0943
2003-10-31 2003-11-30 3.78% 3.55% 10/2003 14843.8789 14334.9182
2003-11-30 2003-12-31 1.93% 2.03% 11/2003 15405.1657 14843.8078
2003-12-31 2004-01-31 4.57% 4.34% 12/2003 15702.4259 15145.1371
2004-01-31 2004-02-29 0.84% 0.90% 01/2004 16419.7078 15802.4361
2004-02-29 2004-03-31 0.68% 0.93% 02/2004 16557.9791 15944.658
2004-03-31 2004-04-30 -4.35% -5.10% 03/2004 16670.3244 16092.9433
2004-04-30 2004-05-31 1.03% 1.59% 04/2004 15944.4005 15272.2032
2004-05-31 2004-06-30 3.81% 4.21% 05/2004 16108.5976 15515.0313
2004-06-30 2004-07-31 -7.29% -6.73% 06/2004 16722.1761 16168.2141
2004-07-31 2004-08-31 -1.45% -0.51% 07/2004 15503.661 15080.0933
2004-08-31 2004-09-30 5.03% 4.69% 08/2004 15278.9702 15003.1848
2004-09-30 2004-10-31 1.88% 1.97% 09/2004 16048.1039 15706.8342
2004-10-31 2004-11-30 8.51% 8.67% 10/2004 16350.5722 16016.2588
2004-11-30 2004-12-31 4.09% 2.96% 11/2004 17741.9264 17404.8684
2004-12-31 2005-01-31 -3.51% -4.17% 12/2004 18467.4122 17920.0525
2005-01-31 2005-02-28 1.94% 1.69% 01/2005 17818.6741 17172.7863
2005-02-28 2005-03-31 -2.86% -2.86% 02/2005 18164.6677 17463.0064
2005-03-31 2005-04-30 -6.18% -5.73% 03/2005 17645.6772 16963.5644
2005-04-30 2005-05-31 6.79% 6.55% 04/2005 16555.7972 15991.5522
2005-05-31 2005-06-30 3.56% 3.86% 05/2005 17680.2766 17038.2117
2005-06-30 2005-07-31 7.04% 6.34% 06/2005 18309.2968 17695.4133
2005-07-31 2005-08-31 -1.15% -1.85% 07/2005 19598.562 18816.4868
2005-08-31 2005-09-30 0.94% 0.31% 08/2005 19373.5896 18467.6003
2005-09-30 2005-10-31 -3.05% -3.10% 09/2005 19555.2905 18525.5593
2005-10-31 2005-11-30 4.79% 4.85% 10/2005 18957.9841 17950.3663
2005-11-30 2005-12-31 0.06% -0.46% 11/2005 19866.9285 18821.7498
2005-12-31 2006-01-31 8.98% 8.97% 12/2005 19878.3198 18735.7439
2006-01-31 2006-02-28 -0.56% -0.28% 01/2006 21664.1611 20415.8219
2006-02-28 2006-03-31 4.60% 4.85% 02/2006 21542.7932 20359.595
2006-03-31 2006-04-30 0.50% -0.02% 03/2006 22533.8309 21347.3628
2006-04-30 2006-05-31 -5.67% -5.62% 04/2006 22646.5434 21343.8986
2006-05-31 2006-06-30 -0.44% 0.64% 05/2006 21363.3549 20145.2134
2006-06-30 2006-07-31 -4.00% -3.25% 06/2006 21270.0494 20274.7884
2006-07-31 2006-08-31 2.25% 2.96% 07/2006 20419.5945 19615.0551
2006-08-31 2006-09-30 0.69% 0.83% 08/2006 20879.5344 20195.7776
2006-09-30 2006-10-31 5.41% 5.76% 09/2006 21024.0962 20363.9253
2006-10-31 2006-11-30 2.98% 2.63% 10/2006 22162.1775 21536.4388
2006-11-30 2006-12-31 0.59% 0.33% 11/2006 22822.4384 22102.9618
2006-12-31 2007-01-31 1.82% 1.67% 12/2006 22956.5201 22176.967
2007-01-31 2007-02-28 -0.22% -0.79% 01/2007 23374.2278 22548.0879
2007-02-28 2007-03-31 1.37% 1.07% 02/2007 23322.0144 22369.1651
2007-03-31 2007-04-30 2.28% 1.80% 03/2007 23640.8958 22608.6376
2007-04-30 2007-05-31 4.18% 4.10% 04/2007 24180.7615 23014.7434
2007-05-31 2007-06-30 -1.03% -1.46% 05/2007 25190.833 23958.4963
2007-06-30 2007-07-31 -5.98% -6.84% 06/2007 24932.3381 23608.0126
2007-07-31 2007-08-31 0.71% 2.27% 07/2007 23441.107 21993.3485
2007-08-31 2007-09-30 1.65% 1.72% 08/2007 23606.7993 22491.8451
2007-09-30 2007-10-31 2.15% 2.87% 09/2007 23997.3468 22877.9141
2007-10-31 2007-11-30 -7.77% -7.18% 10/2007 24513.1368 23534.2932
2007-11-30 2007-12-31 -0.11% -0.06% 11/2007 22607.3366 21844.3955
2007-12-31 2008-01-31 -7.29% -6.82% 12/2007 22582.3496 21830.7651
2008-01-31 2008-02-29 -2.61% -3.71% 01/2008 20935.1214 20342.0288
2008-02-29 2008-03-31 0.01% 0.42% 02/2008 20389.2376 19588.0138
2008-03-31 2008-04-30 3.15% 4.19% 03/2008 20391.0782 19670.2834
2008-04-30 2008-05-31 4.61% 4.59% 04/2008 21033.6945 20493.8858
2008-05-31 2008-06-30 -7.89% -7.70% 05/2008 22002.4146 21435.3106
2008-06-30 2008-07-31 2.47% 3.70% 06/2008 20266.7704 19785.0528
2008-07-31 2008-08-31 2.45% 3.61% 07/2008 20766.4727 20517.2251
2008-08-31 2008-09-30 -9.20% -7.97% 08/2008 21275.7846 21257.8969
2008-09-30 2008-10-31 -21.05% -20.80% 09/2008 19318.8928 19564.0607
2008-10-31 2008-11-30 -12.63% -11.83% 10/2008 15252.7717 15494.1603
2008-11-30 2008-12-31 4.34% 5.80% 11/2008 13325.7001 13661.4046
2008-12-31 2009-01-31 -11.73% -11.12% 12/2008 13903.4283 14454.3276
2009-01-31 2009-02-28 -12.26% -12.15% 01/2009 12272.2999 12846.6982
2009-02-28 2009-03-31 9.72% 8.93% 02/2009 10767.3897 11285.5235
2009-03-31 2009-04-30 16.38% 15.46% 03/2009 11813.4869 12292.9478
2009-04-30 2009-05-31 3.04% 3.01% 04/2009 13748.3708 14193.2203
2009-05-31 2009-06-30 2.46% 1.47% 05/2009 14166.4612 14621.1322
2009-06-30 2009-07-31 9.46% 9.63% 06/2009 14514.7452 14835.8875
2009-07-31 2009-08-31 1.84% 2.87% 07/2009 15888.2882 16264.739
2009-08-31 2009-09-30 5.37% 5.77% 08/2009 16180.5314 16731.1224
2009-09-30 2009-10-31 -6.98% -6.79% 09/2009 17050.0729 17696.1241
2009-10-31 2009-11-30 2.34% 3.14% 10/2009 15860.0792 16494.6437
2009-11-30 2009-12-31 8.16% 8.05% 11/2009 16230.733 17012.4178
2009-12-31 2010-01-31 -3.29% -3.68% 12/2009 17554.427 18381.8165
2010-01-31 2010-02-28 4.44% 4.50% 01/2010 16977.4291 17705.1551
2010-02-28 2010-03-31 8.00% 8.14% 02/2010 17730.4603 18502.6979
2010-03-31 2010-04-30 6.54% 5.66% 03/2010 19149.6118 20008.6079
2010-04-30 2010-05-31 -7.77% -7.59% 04/2010 20402.1158 21140.9797
2010-05-31 2010-06-30 -7.68% -7.75% 05/2010 18816.9154 19537.366
2010-06-30 2010-07-31 7.10% 6.87% 06/2010 17371.5578 18023.3375
2010-07-31 2010-08-31 -7.89% -7.40% 07/2010 18605.3888 19261.8884
2010-08-31 2010-09-30 12.42% 12.46% 08/2010 17136.5423 17835.7781
2010-09-30 2010-10-31 4.23% 4.09% 09/2010 19265.5984 20058.0511
2010-10-31 2010-11-30 4.30% 3.47% 10/2010 20079.7759 20878.8555
2010-11-30 2010-12-31 7.79% 7.94% 11/2010 20943.0003 21602.8004
2010-12-31 2011-01-31 -0.09% -0.26% 12/2010 22574.6984 23318.2332
2011-01-31 2011-02-28 5.72% 5.48% 01/2011 22555.0169 23258.1475
2011-02-28 2011-03-31 3.10% 2.59% 02/2011 23844.1561 24533.6587
2011-03-31 2011-04-30 2.08% 2.64% 03/2011 24584.5067 25169.472
2011-04-30 2011-05-31 -2.08% -1.87% 04/2011 25096.4788 25834.0982
2011-05-31 2011-06-30 -1.61% -2.31% 05/2011 24574.6611 25349.741
2011-06-30 2011-07-31 -3.14% -3.61% 06/2011 24179.4431 24765.2826
2011-07-31 2011-08-31 -9.13% -8.70% 07/2011 23420.4471 23870.1356
2011-08-31 2011-09-30 -11.12% -11.21% 08/2011 21281.4584 21793.3779
2011-09-30 2011-10-31 15.19% 15.14% 09/2011 18914.6202 19350.2979
2011-10-31 2011-11-30 -0.36% -0.36% 10/2011 21787.3522 22279.1215
2011-11-30 2011-12-31 0.83% 0.66% 11/2011 21708.3767 22197.9098
2011-12-31 2012-01-31 6.75% 7.07% 12/2011 21889.0234 22344.5402
2012-01-31 2012-02-29 2.46% 2.39% 01/2012 23366.1359 23923.2044
2012-02-29 2012-03-31 2.86% 2.56% 02/2012 23941.1193 24495.7435
2012-03-31 2012-04-30 -1.37% -1.54% 03/2012 24625.1513 25123.3815
2012-04-30 2012-05-31 -6.45% -6.62% 04/2012 24288.0921 24735.3038
2012-05-31 2012-06-30 4.37% 4.99% 05/2012 22721.758 23098.0829
2012-06-30 2012-07-31 -0.71% -1.38% 06/2012 23714.5221 24250.6746
2012-07-31 2012-08-31 3.42% 3.33% 07/2012 23545.4878 23915.5526
2012-08-31 2012-09-30 3.46% 3.28% 08/2012 24350.8866 24713.0685
2012-09-30 2012-10-31 -1.46% -2.17% 09/2012 25194.1445 25524.5992
10/31/2012 24825.6926 24970.8527
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
----- ------ -----
13.95% 0.25% 9.52%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
T.A. U.S. CORE EQUITY 2 PORTFOLIO VS. RUSSELL 3000(R) INDEX
OCTOBER 4, 2007-OCTOBER 31, 2012
T.A. U.S. CORE EQUITY 2
BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE PORTFOLIO RUSSELL 3000 (R) INDEX
--------- ---------- ----------- ----------------- ---------- ----------------------------- -------------------------
2007-10-04 2007-10-31 -0.50% 0.57% 10/2007 10000 10000
2007-10-31 2007-11-30 -5.53% -4.50% 10/2007 9950 10056.9778
2007-11-30 2007-12-31 -1.01% -0.61% 11/2007 9400 9604.22508
2007-12-31 2008-01-31 -4.63% -6.06% 12/2007 9305.27233 9546.10702
2008-01-31 2008-02-29 -2.94% -3.11% 01/2008 8874.10131 8967.50272
2008-02-29 2008-03-31 -1.03% -0.59% 02/2008 8613.39325 8688.97512
2008-03-31 2008-04-30 4.83% 5.00% 03/2008 8525.0035 8637.71017
2008-04-30 2008-05-31 2.81% 2.05% 04/2008 8937.17937 9069.67212
2008-05-31 2008-06-30 -9.24% -8.25% 05/2008 9188.50613 9255.47911
2008-06-30 2008-07-31 0.97% -0.80% 06/2008 8339.28213 8491.70909
2008-07-31 2008-08-31 2.63% 1.55% 07/2008 8419.95233 8423.98305
2008-08-31 2008-09-30 -8.52% -9.40% 08/2008 8641.79538 8554.55479
2008-09-30 2008-10-31 -19.33% -17.74% 09/2008 7905.31075 7750.22
2008-10-31 2008-11-30 -8.89% -7.89% 10/2008 6376.88319 6375.64294
2008-11-30 2008-12-31 3.12% 1.91% 11/2008 5810.04913 5872.35494
2008-12-31 2009-01-31 -10.37% -8.39% 12/2008 5991.15953 5984.69683
2009-01-31 2009-02-28 -11.57% -10.48% 01/2009 5369.62767 5482.45815
2009-02-28 2009-03-31 9.96% 8.76% 02/2009 4748.09582 4908.14176
2009-03-31 2009-04-30 13.53% 10.52% 03/2009 5220.82656 5338.06486
2009-04-30 2009-05-31 4.32% 5.34% 04/2009 5927.17368 5899.80885
2009-05-31 2009-06-30 0.09% 0.34% 05/2009 6183.09655 6214.64838
2009-06-30 2009-07-31 8.97% 7.78% 06/2009 6188.38288 6235.77824
2009-07-31 2009-08-31 4.12% 3.57% 07/2009 6743.48699 6721.14589
2009-08-31 2009-09-30 4.87% 4.19% 08/2009 7021.03905 6961.30439
2009-09-30 2009-10-31 -4.34% -2.57% 09/2009 7362.97702 7252.95592
2009-10-31 2009-11-30 4.54% 5.68% 10/2009 7043.29595 7066.41195
2009-11-30 2009-12-31 4.71% 2.85% 11/2009 7362.97702 7467.95225
2009-12-31 2010-01-31 -3.23% -3.60% 12/2009 7709.6938 7680.76843
2010-01-31 2010-02-28 4.17% 3.39% 01/2010 7460.994 7403.89484
2010-02-28 2010-03-31 7.14% 6.30% 02/2010 7771.86875 7654.90003
2010-03-31 2010-04-30 3.74% 2.16% 03/2010 8326.63924 8137.36239
2010-04-30 2010-05-31 -8.05% -7.90% 04/2010 8638.10953 8312.97269
2010-05-31 2010-06-30 -7.03% -5.75% 05/2010 7942.49254 7656.27163
2010-06-30 2010-07-31 7.48% 6.94% 06/2010 7384.30558 7216.12841
2010-07-31 2010-08-31 -6.04% -4.71% 07/2010 7936.30586 7717.08894
2010-08-31 2010-09-30 10.54% 9.44% 08/2010 7457.21128 7353.82272
2010-09-30 2010-10-31 3.81% 3.91% 09/2010 8243.16159 8048.14844
2010-10-31 2010-11-30 1.71% 0.58% 10/2010 8556.98754 8362.6457
2010-11-30 2010-12-31 7.78% 6.78% 11/2010 8703.43965 8410.92304
2010-12-31 2011-01-31 2.02% 2.18% 12/2010 9380.3152 8981.09267
2011-01-31 2011-02-28 4.51% 3.64% 01/2011 9569.60407 9177.25419
2011-02-28 2011-03-31 1.22% 0.45% 02/2011 10000.7621 9511.38148
2011-03-31 2011-04-30 2.39% 2.98% 03/2011 10122.9789 9554.28317
2011-04-30 2011-05-31 -1.63% -1.14% 04/2011 10365.2563 9838.66287
2011-05-31 2011-06-30 -1.97% -1.80% 05/2011 10196.7155 9726.4035
2011-06-30 2011-07-31 -3.38% -2.29% 06/2011 9995.70098 9551.72709
2011-07-31 2011-08-31 -7.55% -6.00% 07/2011 9657.58001 9332.99349
2011-08-31 2011-09-30 -9.48% -7.76% 08/2011 8928.50669 8773.05885
2011-09-30 2011-10-31 13.25% 11.51% 09/2011 8082.24395 8092.3082
2011-10-31 2011-11-30 -0.35% -0.27% 10/2011 9153.5125 9023.67297
2011-11-30 2011-12-31 0.82% 0.82% 11/2011 9121.69264 8999.2842
2011-12-31 2012-01-31 5.45% 5.05% 12/2011 9196.55886 9073.25371
2012-01-31 2012-02-29 4.40% 4.23% 01/2012 9697.99537 9531.115
2012-02-29 2012-03-31 2.40% 3.08% 02/2012 10124.7498 9934.30989
2012-03-31 2012-04-30 -1.03% -0.66% 03/2012 10367.4128 10240.7513
2012-04-30 2012-05-31 -6.88% -6.18% 04/2012 10260.5323 10173.5853
2012-05-31 2012-06-30 3.95% 3.92% 05/2012 9555.12068 9544.66479
2012-06-30 2012-07-31 0.43% 0.99% 06/2012 9932.74144 9918.4843
2012-07-31 2012-08-31 3.23% 2.50% 07/2012 9975.69384 10016.7263
2012-08-31 2012-09-30 3.01% 2.63% 08/2012 10297.8368 10266.725
2012-09-30 2012-10-31 -0.91% -1.72% 09/2012 10607.3025 10536.3292
10/31/2012 10510.2844 10354.5927
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 10/04/2007
------ ------ ----------
14.82% 1.10% 0.99%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIV.)
OCTOBER 31, 2002-OCTOBER 31, 2012
TAX-MANAGED DFA MSCI WORLD
BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE INTERNATIONAL VALUE PORTFOLIO EX USA INDEX (NET DIV.)
---------- ---------- ----------- ----------------- ---------- ----------------------------- -----------------------
2002-10-31 2002-11-30 5.10% 4.60% 10/2002 10000 10000
2002-11-30 2002-12-31 -3.07% -3.23% 11/2002 10510.2041 10460.3839
2002-12-31 2003-01-31 -2.30% -3.81% 12/2002 10188.0128 10122.316
2003-01-31 2003-02-28 -2.22% -1.97% 01/2003 9953.80563 9736.63317
2003-02-28 2003-03-31 -1.74% -1.93% 02/2003 9732.60995 9544.69952
2003-03-31 2003-04-30 10.07% 9.60% 03/2003 9563.46031 9360.75408
2003-04-30 2003-05-31 6.92% 6.20% 04/2003 10526.3121 10259.0855
2003-05-31 2003-06-30 3.24% 2.43% 05/2003 11254.9567 10895.3724
2003-06-30 2003-07-31 4.03% 2.29% 06/2003 11619.279 11160.0507
2003-07-31 2003-08-31 3.55% 2.58% 07/2003 12087.6934 11416.0851
2003-08-31 2003-09-30 3.33% 3.00% 08/2003 12517.0732 11710.4564
2003-09-30 2003-10-31 7.14% 6.26% 09/2003 12933.4416 12061.7856
2003-10-31 2003-11-30 1.78% 2.27% 10/2003 13857.2588 12817.1043
2003-11-30 2003-12-31 7.37% 7.67% 11/2003 14104.4775 13107.6332
2003-12-31 2004-01-31 2.79% 1.39% 12/2003 15143.3565 14112.7269
2004-01-31 2004-02-29 2.72% 2.30% 01/2004 15566.577 14309.2291
2004-02-29 2004-03-31 1.49% 0.50% 02/2004 15989.7974 14638.3333
2004-03-31 2004-04-30 -3.02% -2.62% 03/2004 16227.8589 14711.6145
2004-04-30 2004-05-31 0.84% 0.47% 04/2004 15738.5103 14326.5224
2004-05-31 2004-06-30 4.11% 2.31% 05/2004 15870.7667 14393.49
2004-06-30 2004-07-31 -3.88% -3.05% 06/2004 16523.6536 14725.8838
2004-07-31 2004-08-31 0.76% 0.42% 07/2004 15882.995 14276.8102
2004-08-31 2004-09-30 2.73% 2.91% 08/2004 16003.1185 14336.1689
2004-09-30 2004-10-31 3.59% 3.59% 09/2004 16439.3982 14754.0539
2004-10-31 2004-11-30 7.41% 6.65% 10/2004 17029.8746 15284.2776
2004-11-30 2004-12-31 5.18% 4.22% 11/2004 18291.3468 16300.7575
2004-12-31 2005-01-31 -0.56% -1.97% 12/2004 19238.5594 16989.4067
2005-01-31 2005-02-28 4.03% 4.45% 01/2005 19130.4016 16654.9427
2005-02-28 2005-03-31 -2.45% -2.27% 02/2005 19901.0256 17395.8458
2005-03-31 2005-04-30 -2.99% -2.55% 03/2005 19414.3157 17000.9825
2005-04-30 2005-05-31 0.14% 0.18% 04/2005 18832.9678 16567.4843
2005-05-31 2005-06-30 1.68% 1.63% 05/2005 18860.0073 16597.6975
2005-06-30 2005-07-31 4.35% 3.23% 06/2005 19176.5289 16869.0038
2005-07-31 2005-08-31 3.56% 2.76% 07/2005 20011.4813 17413.7949
2005-08-31 2005-09-30 3.08% 4.56% 08/2005 20723.244 17894.5395
2005-09-30 2005-10-31 -1.74% -3.23% 09/2005 21360.9956 18711.1896
2005-10-31 2005-11-30 1.64% 2.65% 10/2005 20989.6196 18106.5845
2005-11-30 2005-12-31 5.11% 4.64% 11/2005 21333.4863 18586.0772
2005-12-31 2006-01-31 6.89% 6.32% 12/2005 22424.0606 19447.8385
2006-01-31 2006-02-28 1.00% -0.34% 01/2006 23968.6108 20677.908
2006-02-28 2006-03-31 3.83% 3.17% 02/2006 24207.314 20608.4637
2006-03-31 2006-04-30 5.14% 4.78% 03/2006 25134.0441 21262.0385
2006-04-30 2006-05-31 -4.09% -3.80% 04/2006 26425.8497 22278.7298
2006-05-31 2006-06-30 -0.84% -0.13% 05/2006 25344.6646 21432.3108
2006-06-30 2006-07-31 1.59% 0.94% 06/2006 25130.7234 21404.7152
2006-07-31 2006-08-31 3.30% 2.84% 07/2006 25530.9852 21605.2657
2006-08-31 2006-09-30 1.16% -0.08% 08/2006 26374.394 22219.306
2006-09-30 2006-10-31 4.43% 3.95% 09/2006 26681.2058 22201.4165
2006-10-31 2006-11-30 3.37% 2.98% 10/2006 27864.4719 23078.8128
2006-11-30 2006-12-31 3.85% 2.87% 11/2006 28802.4266 23766.2318
2006-12-31 2007-01-31 1.92% 0.61% 12/2006 29911.2382 24447.6786
2007-01-31 2007-02-28 -0.15% 0.80% 01/2007 30486.7456 24596.8152
2007-02-28 2007-03-31 3.34% 2.56% 02/2007 30441.3108 24793.5831
2007-03-31 2007-04-30 4.91% 4.55% 03/2007 31457.5908 25428.8755
2007-04-30 2007-05-31 3.35% 2.22% 04/2007 33002.4508 26585.833
2007-05-31 2007-06-30 -0.80% 0.10% 05/2007 34108.0859 27176.2271
2007-06-30 2007-07-31 -2.68% -1.38% 06/2007 33834.1951 27203.4992
2007-07-31 2007-08-31 -1.17% -1.45% 07/2007 32926.8235 26827.4513
2007-08-31 2007-09-30 5.34% 5.68% 08/2007 32542.344 26439.1323
2007-09-30 2007-10-31 4.87% 4.35% 09/2007 34278.7347 27941.2322
2007-10-31 2007-11-30 -5.84% -3.91% 10/2007 35947.1003 29155.8544
2007-11-30 2007-12-31 -2.09% -1.88% 11/2007 33846.1954 28015.6987
2007-12-31 2008-01-31 -8.34% -9.02% 12/2007 33139.8169 27489.0589
2008-01-31 2008-02-29 -1.45% 1.81% 01/2008 30375.3388 25010.607
2008-02-29 2008-03-31 1.43% -1.43% 02/2008 29934.3791 25463.8556
2008-03-31 2008-04-30 4.36% 5.56% 03/2008 30362.9249 25100.3642
2008-04-30 2008-05-31 0.05% 1.52% 04/2008 31686.7416 26495.5837
2008-05-31 2008-06-30 -9.69% -7.78% 05/2008 31703.7136 26897.647
2008-06-30 2008-07-31 -2.61% -3.56% 06/2008 28630.4603 24806.0112
2008-07-31 2008-08-31 -4.23% -3.87% 07/2008 27883.8807 23923.2586
2008-08-31 2008-09-30 -10.76% -14.44% 08/2008 26703.2431 22998.0751
2008-09-30 2008-10-31 -22.71% -20.80% 09/2008 23831.1352 19677.6523
2008-10-31 2008-11-30 -6.54% -5.42% 10/2008 18418.936 15584.3142
2008-11-30 2008-12-31 7.07% 5.27% 11/2008 17214.2852 14739.1788
2008-12-31 2009-01-31 -13.34% -9.33% 12/2008 18431.3886 15516.1603
2009-01-31 2009-02-28 -12.62% -10.12% 01/2009 15972.6909 14068.3921
2009-02-28 2009-03-31 9.96% 6.59% 02/2009 13956.205 12644.2239
2009-03-31 2009-04-30 18.01% 12.90% 03/2009 15346.3981 13477.4218
2009-04-30 2009-05-31 14.87% 12.65% 04/2009 18110.8763 15215.4507
2009-05-31 2009-06-30 -1.34% -1.04% 05/2009 20804.4704 17139.6911
2009-06-30 2009-07-31 11.66% 9.39% 06/2009 20524.7152 16962.2042
2009-07-31 2009-08-31 5.42% 4.79% 07/2009 22917.1666 18554.9158
2009-08-31 2009-09-30 4.88% 4.13% 08/2009 24158.3633 19444.1667
2009-09-30 2009-10-31 -3.85% -1.61% 09/2009 25337.1416 20246.4017
2009-10-31 2009-11-30 2.97% 2.47% 10/2009 24361.9416 19921.3837
2009-11-30 2009-12-31 1.24% 1.59% 11/2009 25084.312 20414.2895
2009-12-31 2010-01-31 -5.93% -4.69% 12/2009 25396.5539 20739.715
2010-01-31 2010-02-28 0.30% -0.10% 01/2010 23890.9011 19767.5532
2010-02-28 2010-03-31 7.56% 6.44% 02/2010 23963.4627 19747.743
2010-03-31 2010-04-30 -1.69% -1.49% 03/2010 25774.7241 21018.9724
2010-04-30 2010-05-31 -11.68% -11.03% 04/2010 25338.788 20705.5737
2010-05-31 2010-06-30 -1.70% -1.45% 05/2010 22378.0551 18420.7186
2010-06-30 2010-07-31 11.90% 9.24% 06/2010 21997.9311 18154.2407
2010-07-31 2010-08-31 -4.79% -2.99% 07/2010 24616.2934 19832.1515
2010-08-31 2010-09-30 10.67% 9.59% 08/2010 23436.1865 19239.3736
2010-09-30 2010-10-31 3.64% 3.56% 09/2010 25937.5003 21084.9473
2010-10-31 2010-11-30 -4.75% -4.23% 10/2010 26881.0185 21836.0801
2010-11-30 2010-12-31 9.31% 8.05% 11/2010 25604.4939 20911.3337
2010-12-31 2011-01-31 4.25% 2.15% 12/2010 27988.9809 22595.147
2011-01-31 2011-02-28 3.31% 3.71% 01/2011 29179.2099 23081.8896
2011-02-28 2011-03-31 -2.65% -2.00% 02/2011 30146.2711 23937.755
2011-03-31 2011-04-30 5.21% 5.45% 03/2011 29347.4889 23458.2218
2011-04-30 2011-05-31 -3.80% -2.96% 04/2011 30876.3924 24735.7951
2011-05-31 2011-06-30 -1.65% -1.42% 05/2011 29701.7471 24002.5183
2011-06-30 2011-07-31 -3.18% -1.65% 06/2011 29211.3854 23660.6711
2011-07-31 2011-08-31 -10.59% -8.45% 07/2011 28282.5354 23270.368
2011-08-31 2011-09-30 -10.83% -10.04% 08/2011 25287.468 21303.0186
2011-09-30 2011-10-31 9.90% 9.73% 09/2011 22548.4271 19163.7078
2011-10-31 2011-11-30 -3.16% -4.62% 10/2011 24780.378 21027.4438
2011-11-30 2011-12-31 -2.86% -1.09% 11/2011 23998.2413 20055.7084
2011-12-31 2012-01-31 6.69% 5.40% 12/2011 23311.6606 19836.8657
2012-01-31 2012-02-29 5.50% 5.50% 01/2012 24870.9046 20907.8635
2012-02-29 2012-03-31 -0.85% -0.74% 02/2012 26237.6494 22057.3475
2012-03-31 2012-04-30 -3.71% -1.70% 03/2012 26014.4532 21894.0932
2012-04-30 2012-05-31 -12.47% -11.40% 04/2012 25050.2407 21522.4871
2012-05-31 2012-06-30 7.11% 6.55% 05/2012 21926.1922 19068.8287
2012-06-30 2012-07-31 -0.50% 1.25% 06/2012 23485.1486 20318.2827
2012-07-31 2012-08-31 4.12% 2.85% 07/2012 23367.3301 20571.2744
2012-08-31 2012-09-30 3.46% 3.04% 08/2012 24329.5143 21158.1985
2012-09-30 2012-10-31 1.18% 0.70% 09/2012 25172.0073 21800.5948
10/31/2012 25467.9164 21953.366
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
------ ------ -----
2.77% -6.66% 9.80%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
MARCH 6, 2008-OCTOBER 31, 2012
MSCI ALL
T.A. WORLD EX COUNTRY WORLD
U.S. CORE EX USA INDEX
BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE EQUITY PORTFOLIO (NET DIV.)
---------- ----------- ----------- ----------------- ---------- ---------------- -------------------
2008-03-06 2008-03-31 1.60% -0.60% 03/2008 10000 10000
2008-03-31 2008-04-30 4.63% 6.05% 03/2008 10160 9939.64024
2008-04-30 2008-05-31 1.13% 1.58% 04/2008 10630 10541.2923
2008-05-31 2008-06-30 -9.94% -8.22% 05/2008 10750 10708.281
2008-06-30 2008-07-31 -3.35% -3.60% 06/2008 9681.27651 9828.1567
2008-07-31 2008-08-31 -4.44% -4.68% 07/2008 9357.21705 9474.26388
2008-08-31 2008-09-30 -13.25% -15.02% 08/2008 8942.01586 9030.86731
2008-09-30 2008-10-31 -23.56% -22.02% 09/2008 7756.83092 7674.33197
2008-10-31 2008-11-30 -5.82% -5.78% 10/2008 5929.30531 5984.54311
2008-11-30 2008-12-31 7.72% 5.70% 11/2008 5584.10602 5638.35663
2008-12-31 2009-01-31 -10.53% -8.84% 12/2008 6015.37264 5959.62115
2009-01-31 2009-02-28 -10.06% -9.33% 01/2009 5382.17552 5432.95784
2009-02-28 2009-03-31 10.39% 8.03% 02/2009 4840.89411 4925.89253
2009-03-31 2009-04-30 15.90% 13.63% 03/2009 5343.74965 5321.2682
2009-04-30 2009-05-31 16.03% 13.54% 04/2009 6193.42632 6046.43765
2009-05-31 2009-06-30 -0.94% -1.10% 05/2009 7186.42194 6865.02392
2009-06-30 2009-07-31 10.76% 9.78% 06/2009 7118.78102 6789.40857
2009-07-31 2009-08-31 4.07% 3.70% 07/2009 7884.46386 7453.2957
2009-08-31 2009-09-30 5.80% 5.14% 08/2009 8205.22289 7729.10426
2009-09-30 2009-10-31 -2.75% -1.24% 09/2009 8680.81349 8126.08715
2009-10-31 2009-11-30 3.57% 2.87% 10/2009 8441.98728 8025.42546
2009-11-30 2009-12-31 2.07% 2.11% 11/2009 8743.11598 8255.43213
2009-12-31 2010-01-31 -4.91% -4.89% 12/2009 8924.33763 8429.78164
2010-01-31 2010-02-28 0.49% 0.00% 01/2010 8486.46125 8017.83666
2010-02-28 2010-03-31 7.68% 6.80% 02/2010 8528.16377 8017.84251
2010-03-31 2010-04-30 -0.34% -0.88% 03/2010 9183.12706 8563.28577
2010-04-30 2010-05-31 -11.17% -10.52% 04/2010 9151.82094 8487.94174
2010-05-31 2010-06-30 -0.96% -1.28% 05/2010 8129.15452 7594.67027
2010-06-30 2010-07-31 10.22% 9.03% 06/2010 8051.24634 7497.25785
2010-07-31 2010-08-31 -3.33% -2.75% 07/2010 8874.30953 8174.25804
2010-08-31 2010-09-30 11.09% 9.95% 08/2010 8578.85095 7949.66863
2010-09-30 2010-10-31 3.44% 3.41% 09/2010 9530.55986 8740.50743
2010-10-31 2010-11-30 -3.76% -3.86% 10/2010 9858.8347 9038.24209
2010-11-30 2010-12-31 8.70% 7.83% 11/2010 9488.20182 8689.4674
2010-12-31 2011-01-31 1.14% 0.98% 12/2010 10313.9626 9369.90964
2011-01-31 2011-02-28 2.04% 2.63% 01/2011 10431.1668 9462.13259
2011-02-28 2011-03-31 0.04% -0.23% 02/2011 10644.2652 9711.3722
2011-03-31 2011-04-30 5.01% 4.89% 03/2011 10648.5571 9689.0432
2011-04-30 2011-05-31 -2.96% -2.88% 04/2011 11182.0519 10162.3924
2011-05-31 2011-06-30 -1.74% -1.45% 05/2011 10851.2851 9869.33027
2011-06-30 2011-07-31 -1.62% -1.36% 06/2011 10662.9543 9726.12514
2011-07-31 2011-08-31 -9.16% -8.57% 07/2011 10490.2749 9593.41623
2011-08-31 2011-09-30 -13.13% -11.13% 08/2011 9529.74562 8771.28321
2011-09-30 2011-10-31 10.10% 10.53% 09/2011 8278.02661 7795.47095
2011-10-31 2011-11-30 -3.46% -5.10% 10/2011 9114.52011 8616.68284
2011-11-30 2011-12-31 -2.73% -1.12% 11/2011 8799.4771 8176.9591
2011-12-31 2012-01-31 8.58% 6.78% 12/2011 8559.55668 8085.53362
2012-01-31 2012-02-29 5.54% 5.62% 01/2012 9293.85924 8634.09828
2012-02-29 2012-03-31 -0.89% -1.38% 02/2012 9808.96701 9119.136
2012-03-31 2012-04-30 -2.26% -1.58% 03/2012 9721.2521 8993.71245
2012-04-30 2012-05-31 -11.55% -11.36% 04/2012 9501.81075 8851.91165
2012-05-31 2012-06-30 5.64% 5.90% 05/2012 8404.60396 7846.70381
2012-06-30 2012-07-31 -0.13% 1.41% 06/2012 8878.33592 8309.49168
2012-07-31 2012-08-31 2.89% 2.09% 07/2012 8867.21018 8426.9202
2012-08-31 2012-09-30 4.07% 3.74% 08/2012 9123.10207 8603.12427
2012-09-30 2012-10-31 0.71% 0.39% 09/2012 9494.11477 8924.51152
10/31/2012 9561.13205 8959.19747
AVERAGE ANNUAL ONE YEAR FROM 03/06/2008
TOTAL RETURN -------- ---------------
4.90% -0.96%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
4
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2012
The year ending October 31, 2012 saw reduced volatility for U.S. equities
with positive returns in three out of four quarters for the widely used
benchmarks. The year began in the wake of MF Global's bankruptcy filing brought
on by losses on European sovereign debt. Many headlines for the rest of the year
also originated from Europe, from the Greek debt swap to the LIBOR scandal that
reached a crescendo in July.
Broad market returns were mostly positive for the first five months through
March 2012, but negative returns following the Facebook IPO and JP Morgan's
reported $2 billion trading loss made May the worst month of the year. The last
trading day of the year followed two days of market closures in the aftermath of
Hurricane Sandy. Through all this, U.S. markets rose in 8 out of the 12 months
in the period.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/ growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics such
as earnings, dividends, and book value.
The size premium was negative during the year with small cap stocks
underperforming large cap stocks. Micro cap stocks were the strongest performers
as measured by the indices below.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2012
Russell 3000(R)Index .......................... 14.75%
Russell Microcap(R)Index (micro cap stocks) ... 16.49%
Russell 2000(R)Index (small cap stocks) ....... 12.08%
Russell 1000(R)Index (large cap stocks) ....... 14.97%
Dow Jones US Select REIT Index ................ 14.09%
The value premium was positive across both large cap and small cap stocks.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2012
Russell 2000(R)Value Index (small cap value stocks) ...... 14.47%
Russell 2000(R)Growth Index (small cap growth stocks) .... 9.70%
Russell 1000(R)Value Index (large cap value stocks) ...... 16.89%
Russell 1000(R)Growth Index (large cap growth stocks) .... 13.02%
----------
Source: Russell data copyright(C)Russell Investment Group 1995-2012, all rights
reserved.
For many Dimensional U.S. equity portfolios, differences in returns over
the 12 months ended October 31, 2012 were attributable primarily to differences
in value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value or small-cap and micro-cap companies relative to widely
used benchmarks.
MASTER-FEEDER STRUCTURE
The portfolio described below, called a "Feeder Fund," does not buy
individual securities directly; instead, the portfolio invests in a
corresponding fund called a "Master Fund." The Master Fund, in turn, purchases
stocks and/or other securities.
5
DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
The Tax-Managed U.S. Marketwide Value Portfolio seeks to capture the
returns of U.S. value stocks by purchasing shares of The Tax-Managed U.S.
Marketwide Value Series, a Master Fund that invests in such stocks. Value is
measured primarily by book-to-market ratio. The Portfolio also seeks to maximize
the after-tax value of a shareholder's investment. The investment strategy is
process driven, emphasizing broad diversification and consistent exposure to
U.S. value stocks, and does not attempt to closely track a specific equity
index. As of October 31, 2012, the Master Fund held approximately 1,300
securities and was mostly invested in equities throughout the year. The average
cash exposure for the period was less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2012, total returns were 18.34% for the
Portfolio and 16.70% for the Russell 3000(R) Value Index. As a result of the
Master Fund's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market rather than the
behavior of a limited number of stocks. Value stocks generally outperformed
during the period. The Master Fund's more prominent value characteristics as
compared to the Index was the primary contributor to relative outperformance.
The Master Fund's exclusion of highly regulated utilities also helped
performance as this sector underperformed the overall Index.
TAX-MANAGED U.S. EQUITY PORTFOLIO
The Tax-Managed U.S. Equity Portfolio seeks to capture the returns
associated with the broad universe of U.S. stocks. The Portfolio also seeks to
maximize the after-tax value of a shareholder's investment. The investment
strategy is process driven, emphasizing broad diversification and comprehensive
exposure to the U.S. equity universe, and does not attempt to closely track a
specific equity index. As of October 31, 2012, the Portfolio held approximately
2,500 securities and was mostly invested in equities throughout the year. The
average cash exposure for the period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 14.57% for the
Portfolio and 14.75% for the Russell 3000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's return is net of
fees and expenses which contributed to the underperformance. The Portfolio's
exclusion of REITs detracted from relative performance as this sector
outperformed the overall Index.
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
The Tax-Managed U.S. Targeted Value Portfolio seeks to capture the returns
of U.S. small- and mid-capitalization value stocks. Value is measured primarily
by book-to-market ratio. The Portfolio also seeks to maximize the after-tax
value of a shareholder's investment. The investment strategy is process driven,
emphasizing broad diversification and consistent exposure to small- and
mid-capitalization value stocks, and does not attempt to closely track a
specific equity index. As of October 31, 2012, the Portfolio held approximately
1,500 securities and was mostly invested in equities throughout the year. The
average cash exposure for the period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 15.39% for the
Portfolio and 14.47% for the Russell 2000(R) Value Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's greater exposure
than the Index to deep value stocks in the mid-cap size range was the primary
contributor to the Portfolio's relative outperformance. Mid-caps generally
outperformed small cap stocks over the period. The Portfolio's exclusion of
highly regulated utilities also helped performance as this sector underperformed
the overall Index.
6
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
The Tax-Managed U.S. Small Cap Portfolio seeks to capture the returns of
U.S. small company stocks. The Portfolio also seeks to maximize the after-tax
value of a shareholder's investment. The investment strategy is process driven,
emphasizing broad diversification and consistent exposure to small company
stocks, and does not attempt to closely track a specific equity index. As of
October 31, 2012, the Portfolio held approximately 2,000 securities and was
mostly invested in equities throughout the year. The average cash exposure for
the period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 13.95% for the
Portfolio and 12.08% for the Russell 2000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's greater exposure
than the Index to the smallest micro cap stocks was a primary contributor to
relative outperformance. The Portfolio also had less exposure than the Index to
mid-cap stocks which contributed to outperformance as these stocks
underperformed small cap and micro cap stocks.
T.A. U.S. CORE EQUITY 2 PORTFOLIO
The T.A. U.S. Core Equity 2 Portfolio seeks to capture the returns of the
total U.S. market universe, with increased exposure to smaller company stocks
and value stocks relative to the market while considering federal income tax
implications of investment decisions. The investment strategy is process driven,
emphasizing broad diversification and comprehensive exposure to U.S. stocks, and
does not attempt to closely track a specific equity index. As of October 31,
2012, the Portfolio held approximately 2,800 securities and was mostly invested
in equities throughout the year. The average cash exposure for the period was
less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 14.82% for the
Portfolio and 14.75% for the Russell 3000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's emphasis on value
stocks across all size categories was the primary contributor to relative
outperformance. The portfolio's exclusion of REITs detracted from relative
performance as this sector outperformed the overall Index.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2012
The one-year period ending October 31, 2012, was characterized by generally
positive monthly returns with a sharp decline in the month of May. The MSCI
World ex USA Index (net dividends) dropped by -11.4% in the month of May due to
the deepening European debt crisis and concern over a potential Greece exit from
the euro. In response to the crisis, European leaders met and planned out
additional measures to stabilize the markets which positively impacted market
returns in the following months. As measured by the MSCI indices below for
developed markets outside the U.S., value stocks generally outperformed their
growth counterparts, while small cap stocks outperformed large caps.
12 MONTHS ENDED OCTOBER 31, 2012
U.S. DOLLAR
RETURN
-----------
MSCI World ex USA Index ............. 4.40%
MSCI World ex USA Small Cap Index ... 4.86%
MSCI World ex USA Value Index ....... 4.74%
MSCI World ex USA Growth Index ...... 3.99%
----------
The US dollar (USD) generally appreciated against other major developed
markets currencies during the period. While the USD's value remained relatively
constant against the British pound and Canadian dollar, it gained significantly
against the euro and Swiss franc, and to a lesser extent, against the Japanese
yen and Australian dollar.
7
12 MONTHS ENDED OCTOBER 31, 2012
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP RETURN RETURN
--------------------------------------------------- -------- -----------
United Kingdom ..................................... 8.61% 8.41%
Japan .............................................. -0.86% -3.28%
Canada ............................................. 3.34% 2.69%
France ............................................. 10.04% 2.23%
Australia .......................................... 10.20% 7.71%
Switzerland ........................................ 17.41% 9.79%
Germany ............................................ 18.18% 9.79%
Spain .............................................. -6.40% -13.04%
Sweden ............................................. 9.26% 6.47%
Hong Kong .......................................... 16.12% 16.34%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes on
dividends. Copyright MSCI 2012, all rights reserved.
Gains in emerging markets were lower on average than in developed markets,
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2012, returns in USD were 2.63% for
the MSCI Emerging Markets Index (net dividends) versus 4.40% for the MSCI World
ex USA Index (net dividends). As measured by the MSCI indices, emerging markets
growth stocks outperformed their value counterparts, while emerging markets
small cap stocks outperformed large caps.
12 MONTHS ENDED OCTOBER 31, 2012
U.S. DOLLAR
RETURN
-----------
MSCI Emerging Markets Index .............. 2.63%
MSCI Emerging Markets Small Cap Index .... 3.74%
MSCI Emerging Markets Value Index ........ 1.36%
MSCI Emerging Markets Growth Index ....... 3.89%
----------
The US dollar (USD) appreciated significantly against the Brazilian real,
Indian rupee, South African rand and depreciated to a lesser extent against the
South Korean won, Mexican peso, and Taiwanese dollar.
12 MONTHS ENDED OCTOBER 31, 2012
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST EMERGING MARKETS BY MARKET CAP RETURN RETURN
--------------------------------------------------- -------- -----------
China .............................................. 7.71% 7.92%
South Korea ........................................ 1.71% 3.35%
Brazil ............................................. 4.65% -12.68%
Taiwan ............................................. -1.78% 0.59%
South Africa ....................................... 17.70% 6.84%
India .............................................. 5.24% -4.73%
Russia ............................................. -1.42% -4.50%
Mexico ............................................. 16.32% 17.03%
Malaysia ........................................... 11.39% 12.19%
Indonesia .......................................... 12.64% 3.82%
----------
8
Source: Returns are of MSCI standard indices net of foreign withholding taxes on
dividends. Copyright MSCI 2012, all rights reserved.
INTERNATIONAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
The Tax-Managed DFA International Value Portfolio seeks to capture the
returns of international large company value stocks. Value is measured primarily
by book-to-market ratio. The Portfolio also seeks to maximize the after-tax
value of a shareholder's investment. The investment strategy is process driven,
emphasizing broad diversification and consistent exposure to large cap value
stocks, and does not attempt to track a specific equity index. As of October 31,
2012, the Portfolio held approximately 490 securities in 23 developed countries.
In general, the Portfolio was mostly invested in equities throughout the year.
The average cash exposure for the period was less than 1% of the Portfolio's
assets.
For the 12 months ending October 31, 2012, total returns were 2.77% for the
Portfolio and 4.40% for the MSCI World ex USA Index (net dividends). The
Portfolio focuses on international large-cap value stocks, as measured by
book-to-market, while the Index is neutral with regard to value or growth.
International large-cap value stocks, as measured by book-to-market, generally
underperformed during the period. The Portfolio had significantly greater
exposure than the Index to value stocks, which contributed to relative
underperformance. In particular, large-cap value stocks in Japan significantly
underperformed. As the Portfolio has significantly more weight in these
securities than the Index, these holdings detracted from relative performance.
Differences in the valuation timing and methodology between the Portfolio and
the Index contributed to relative performance. The Portfolio prices foreign
exchange rates at the closing of the U.S. markets while the Index uses rates at
4 pm London time. The Portfolio also may use fair value pricing to price certain
portfolio securities at the closing of the U.S. markets while the Index uses
local market closing prices.
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
The T.A. World ex U.S. Core Equity Portfolio seeks to capture the returns
of a broadly diversified basket of international stocks in developed and
emerging markets, with increased exposure to smaller company stocks and those
with value characteristics, while considering federal income tax implications of
investment decisions. The investment strategy is process driven, emphasizing
broad diversification, and does not attempt to track a specific equity index. As
of October 31, 2012, the Portfolio held approximately 6,300 securities in 23
developed markets and 20 emerging markets. In general, the Portfolio was mostly
invested in equities throughout the year. The average cash exposure for the
period was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 4.90% for the
Portfolio and 3.98% for the MSCI All Country World ex USA Index (net dividends).
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad structural trends in the international and
emerging equity markets rather than by the behavior of a limited number of
stocks. The Portfolio's outperformance was primarily attributable to differences
in the valuation timing and methodology between the Portfolio and the Index. The
Portfolio prices foreign exchange rates at the closing of the U.S. markets while
the Index uses rates at 4 pm London time. The Portfolio also may use fair value
pricing to price certain portfolio securities at the closing of the U.S. markets
while the Index uses local market closing prices.
9
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing costs, in dollars, of investing in the fund and to
compare these costs with those of other mutual funds. The examples are based on
an investment of $1,000 made at the beginning of the period shown and held for
the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return and "Expenses Paid
During Period" reflect the dollar amount that would have been paid by
an investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the
result by the number given for your fund under the heading "Expenses
Paid During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value"
and "Expenses Paid During Period" are derived from the fund's actual
expense ratio and an assumed 5% annual return before expenses. In this
case, because the return used is not the fund's actual return, the
results do not apply to your investment. The example is useful in
making comparisons because the SEC requires all mutual funds to
calculate expenses based on a 5% annual return. You can assess your
fund's costs by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs, if applicable. The "Annualized Expense Ratio" represents the actual
expenses for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2012
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/12 10/31/12 RATIO* PERIOD*
--------- --------- ---------- --------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO**
Actual Fund Return ............................. $1,000.00 $1,063.96 0.37% $1.92
Hypothetical 5% Annual Return .................. $1,000.00 $1,023.28 0.37% $1.88
10
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/12 10/31/12 RATIO* PERIOD*
--------- --------- ---------- --------
TAX-MANAGED U.S. EQUITY PORTFOLIO
Actual Fund Return ............................. $1,000.00 $1,017.24 0.22% $1.12
Hypothetical 5% Annual Return .................. $1,000.00 $1,024.03 0.22% $1.12
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
Actual Fund Return ............................. $1,000.00 $1,033.30 0.44% $2.25
Hypothetical 5% Annual Return .................. $1,000.00 $1,022.92 0.44% $2.24
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Actual Fund Return ............................. $1,000.00 $1,022.13 0.52% $2.64
Hypothetical 5% Annual Return .................. $1,000.00 $1,022.52 0.52% $2.64
T.A. U.S. CORE EQUITY 2 PORTFOLIO
Actual Fund Return ............................. $1,000.00 $1,024.35 0.24% $1.22
Hypothetical 5% Annual Return .................. $1,000.00 $1,023.93 0.24% $1.22
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
Actual Fund Return ............................. $1,000.00 $1,016.66 0.55% $2.79
Hypothetical 5% Annual Return .................. $1,000.00 $1,022.37 0.55% $2.80
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
Actual Fund Return ............................. $1,000.00 $1,006.25 0.49% $2.47
Hypothetical 5% Annual Return .................. $1,000.00 $1,022.67 0.49% $2.49
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (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).
11
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments
with the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 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 tables, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
are provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
The categories of industry classification for the Affiliated Investment
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere within the report. Refer to the Summary Schedule of Portfolio
Holdings for each of the underlying Master Funds' holdings which reflect the
investments by category.
FEEDER FUNDS
AFFILIATED INVESTMENT COMPANY
-----------------------------
Tax-Managed U.S. Marketwide Value Portfolio .... 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
TAX-MANAGED U.S. EQUITY PORTFOLIO
Consumer Discretionary ....... 12.7%
Consumer Staples ............. 10.2%
Energy ....................... 10.8%
Financials ................... 13.3%
Health Care .................. 12.2%
Industrials .................. 11.0%
Information Technology ....... 19.1%
Materials .................... 4.0%
Other ........................ --
Telecommunication Services ... 2.9%
Utilities .................... 3.8%
-----
100.0%
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary ....... 18.1%
Consumer Staples ............. 4.6%
Energy ....................... 8.0%
Financials ................... 25.5%
Health Care .................. 6.3%
Industrials .................. 15.8%
Information Technology ....... 11.4%
Materials .................... 9.2%
Other ........................ --
Telecommunication Services ... 0.6%
Utilities .................... 0.5%
-----
100.0%
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Consumer Discretionary ....... 16.7%
Consumer Staples ............. 4.8%
Energy ....................... 5.1%
Financials ................... 19.7%
Health Care .................. 9.7%
Industrials .................. 18.0%
Information Technology ....... 16.8%
Materials .................... 5.9%
Other ........................ --
Telecommunication Services ... 0.7%
Utilities .................... 2.6%
-----
100.0%
12
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
T.A. U.S. CORE EQUITY 2 PORTFOLIO
Consumer Discretionary ....... 14.9%
Consumer Staples ............. 6.5%
Energy ....................... 11.3%
Financials ................... 19.2%
Health Care .................. 10.8%
Industrials .................. 13.9%
Information Technology ....... 12.6%
Materials .................... 5.1%
Other ........................ --
Telecommunication Services ... 3.3%
Utilities .................... 2.4%
-----
100.0%
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
Consumer Discretionary ....... 9.3%
Consumer Staples ............. 5.3%
Energy ....................... 15.2%
Financials ................... 30.6%
Health Care .................. 1.7%
Industrials .................. 10.3%
Information Technology ....... 3.1%
Materials .................... 13.4%
Telecommunication Services ... 7.8%
Utilities .................... 3.3%
-----
100.0%
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
Consumer Discretionary ....... 12.3%
Consumer Staples ............. 7.4%
Energy ....................... 9.5%
Financials ................... 25.5%
Health Care .................. 4.6%
Industrials .................. 15.5%
Information Technology ....... 6.1%
Materials .................... 12.6%
Telecommunication Services ... 3.4%
Utilities .................... 3.1%
-----
100.0%
13
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA Investment Trust Company ... $2,345,657,128
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $1,823,671,987) ...................................................................... $2,345,657,128
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2012,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
14
TAX-MANAGED U.S. EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2012
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
COMMON STOCKS -- (91.1%)
Consumer Discretionary -- (11.5%)
*Amazon.com, Inc ...................................................... 37,203 $ 8,661,602 0.6%
Comcast Corp. Class A ................................................. 220,503 8,271,068 0.5%
#Home Depot, Inc. (The) ............................................... 169,942 10,431,040 0.7%
McDonald's Corp ....................................................... 100,226 8,699,617 0.6%
Walt Disney Co. (The) ................................................. 177,091 8,689,855 0.6%
Other Securities ...................................................... 147,174,509 9.6%
-------------- ----
Total Consumer Discretionary ............................................. 191,927,691 12.6%
-------------- ----
Consumer Staples -- (9.3%)
Altria Group, Inc ..................................................... 212,300 6,751,140 0.4%
Coca-Cola Co. (The) ................................................... 422,950 15,725,281 1.0%
CVS Caremark Corp ..................................................... 132,842 6,163,869 0.4%
PepsiCo, Inc .......................................................... 162,442 11,247,484 0.7%
Philip Morris International, Inc ...................................... 172,030 15,234,977 1.0%
Procter & Gamble Co. (The) ............................................ 286,041 19,805,479 1.3%
#Wal-Mart Stores, Inc ................................................. 194,807 14,614,421 1.0%
Other Securities ...................................................... 64,764,456 4.3%
-------------- ----
Total Consumer Staples ................................................... 154,307,107 10.1%
-------------- ----
Energy -- (9.8%)
#Chevron Corp ......................................................... 204,675 22,557,232 1.5%
#ConocoPhillips ....................................................... 121,505 7,029,064 0.5%
#Exxon Mobil Corp ..................................................... 477,512 43,534,769 2.9%
Occidental Petroleum Corp ............................................. 84,203 6,648,669 0.4%
Schlumberger, Ltd ..................................................... 138,333 9,618,293 0.6%
Other Securities ...................................................... 74,270,015 4.9%
-------------- ----
Total Energy ............................................................. 163,658,042 10.8%
-------------- ----
Financials -- (12.1%)
American Express Co ................................................... 104,890 5,870,693 0.4%
Bank of America Corp .................................................. 1,120,295 10,441,149 0.7%
*Berkshire Hathaway, Inc. Class B ..................................... 180,751 15,607,849 1.0%
Citigroup, Inc ........................................................ 303,550 11,349,735 0.7%
Goldman Sachs Group, Inc. (The) ....................................... 47,842 5,855,382 0.4%
JPMorgan Chase & Co ................................................... 395,455 16,482,564 1.1%
U.S. Bancorp .......................................................... 197,250 6,550,672 0.4%
Wells Fargo & Co ...................................................... 524,337 17,664,914 1.2%
Other Securities ...................................................... 111,667,744 7.3%
-------------- ----
Total Financials ......................................................... 201,490,702 13.2%
-------------- ----
Health Care -- (11.1%)
Abbott Laboratories ................................................... 163,800 10,732,176 0.7%
Amgen, Inc ............................................................ 80,471 6,964,363 0.5%
#Bristol-Myers Squibb Co .............................................. 175,055 5,820,579 0.4%
Johnson & Johnson ..................................................... 280,554 19,868,834 1.3%
Merck & Co., Inc ...................................................... 316,262 14,431,035 0.9%
Pfizer, Inc ........................................................... 778,022 19,349,407 1.3%
UnitedHealth Group, Inc ............................................... 107,055 5,995,080 0.4%
Other Securities ...................................................... 101,233,017 6.6%
-------------- ----
Total Health Care ........................................................ 184,394,491 12.1%
-------------- ----
Industrials -- (10.0%)
3M Co ................................................................. 66,528 5,827,853 0.4%
Caterpillar, Inc ...................................................... 64,009 5,428,603 0.4%
General Electric Co ................................................... 1,104,281 23,256,158 1.5%
Union Pacific Corp .................................................... 48,816 6,005,832 0.4%
15
TAX-MANAGED U.S. EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
Industrials -- (Continued)
United Parcel Service, Inc. Class B ................................... 73,850 $ 5,409,512 0.3%
United Technologies Corp .............................................. 89,090 6,963,274 0.5%
Other Securities ...................................................... 113,162,546 7.4%
-------------- ----
Total Industrials ........................................................ 166,053,778 10.9%
-------------- ----
Information Technology -- (17.4%)
Apple, Inc ............................................................ 99,202 59,035,110 3.9%
*Cisco Systems, Inc ................................................... 555,895 9,528,040 0.6%
*eBay, Inc ............................................................ 121,540 5,869,167 0.4%
*Google, Inc. Class A ................................................. 27,259 18,529,850 1.2%
Intel Corp ............................................................ 512,408 11,080,823 0.7%
International Business Machines Corp .................................. 113,332 22,046,474 1.5%
Microsoft Corp ........................................................ 786,236 22,435,244 1.5%
Oracle Corp ........................................................... 401,875 12,478,219 0.8%
QUALCOMM, Inc ......................................................... 174,876 10,243,362 0.7%
Visa, Inc ............................................................. 54,998 7,631,522 0.5%
Other Securities ...................................................... 110,004,680 7.2%
-------------- ----
Total Information Technology ............................................. 288,882,491 19.0%
-------------- ----
Materials -- (3.7%)
Other Securities ...................................................... 61,138,569 4.0%
-------------- ----
Other -- (0.0%)
Other Securities ...................................................... 6 0.0%
-------------- ----
Telecommunication Services -- (2.7%)
AT&T, Inc ............................................................. 608,382 21,043,933 1.4%
Verizon Communications, Inc ........................................... 294,471 13,145,185 0.8%
Other Securities ...................................................... 10,129,550 0.7%
-------------- ----
Total Telecommunication Services ......................................... 44,318,668 2.9%
-------------- ----
Utilities -- (3.5%)
Other Securities ...................................................... 57,616,276 3.8%
-------------- ----
TOTAL COMMON STOCKS ...................................................... 1,513,787,821 99.4%
-------------- ----
PREFERRED STOCKS -- (0.0%)
Energy -- (0.0%)
Other Securities ...................................................... 422 0.0%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities ...................................................... 2,280 0.0%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.4%)
BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares ... 6,980,643 6,980,643 0.5%
-------------- ----
SHARES/
FACE
AMOUNT
(000)
------------
SECURITIES LENDING COLLATERAL -- (8.5%)
(S)@ DFA Short Term Investment Fund ...................................... 12,190,220 141,040,849 9.3%
@ Repurchase Agreement, JPMorgan Securities LLC 0.30%,
11/01/12 (Collateralized by $383,421 FNMA, rates ranging from
2.500% to 5.500%, maturities ranging from 10/01/22 to
07/01/42, valued at $384,575) to be repurchased at $372,247 ........ $ 372 372,244 0.0%
-------------- ----
TOTAL SECURITIES LENDING COLLATERAL ...................................... 141,413,093 9.3%
-------------- ----
16
TAX-MANAGED U.S. EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,091,977,167) ................................................. $1,662,184,259 109.2%
============== -----
Summary of the Portfolio's investments as of October 31, 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 ....... $ 191,927,691 -- -- $ 191,927,691
Consumer Staples ............. 154,307,107 -- -- 154,307,107
Energy ....................... 163,655,061 $ 2,981 -- 163,658,042
Financials ................... 201,490,702 -- -- 201,490,702
Health Care .................. 184,392,347 2,144 -- 184,394,491
Industrials .................. 166,053,778 -- -- 166,053,778
Information Technology ....... 288,882,491 -- -- 288,882,491
Materials .................... 61,138,569 -- -- 61,138,569
Other ........................ -- 6 -- 6
Telecommunication Services ... 44,318,668 -- -- 44,318,668
Utilities .................... 57,616,276 -- -- 57,616,276
Preferred Stocks
Energy ....................... -- 422 -- 422
Rights/Warrants ................. 2,280 -- -- 2,280
Temporary Cash Investments ...... 6,980,643 -- -- 6,980,643
Securities Lending Collateral ... -- 141,413,093 -- 141,413,093
-------------- ------------ ------- --------------
TOTAL ........................... $1,520,765,613 $141,418,646 -- $1,662,184,259
============== ============ ======= ==============
See accompanying Notes to Financial Statements.
17
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2012
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
COMMON STOCKS -- (89.9%)
Consumer Discretionary -- (16.2%)
*Cabela's, Inc ........................................................ 228,775 $ 10,251,408 0.4%
#Dillard's, Inc. Class A .............................................. 355,688 27,387,976 1.1%
Foot Locker, Inc ...................................................... 315,096 10,555,716 0.4%
#GameStop Corp. Class A ............................................... 431,501 9,851,168 0.4%
#Lennar Corp. Class A ................................................. 325,800 12,207,726 0.5%
#*Mohawk Industries, Inc .............................................. 190,548 15,905,042 0.7%
Whirlpool Corp ........................................................ 89,628 8,754,863 0.4%
Wyndham Worldwide Corp ................................................ 174,630 8,801,352 0.4%
Other Securities ...................................................... 324,898,634 13.7%
-------------- -----
Total Consumer Discretionary ............................................. 428,613,885 18.0%
-------------- -----
Consumer Staples -- (4.1%)
*Constellation Brands, Inc. Class A ................................... 317,371 11,215,891 0.5%
*Hain Celestial Group, Inc. (The) ..................................... 178,430 10,313,254 0.4%
*Ralcorp Holdings, Inc ................................................ 140,259 10,125,297 0.4%
Other Securities ...................................................... 77,368,902 3.3%
-------------- -----
Total Consumer Staples ................................................... 109,023,344 4.6%
-------------- -----
Energy -- (7.2%)
Bristow Group, Inc .................................................... 174,043 8,688,227 0.4%
#*Helix Energy Solutions Group, Inc ................................... 562,740 9,729,775 0.4%
*Plains Exploration & Production Co ................................... 372,716 13,291,053 0.6%
*Rowan Cos. P.L.C. Class A ............................................ 328,885 10,428,943 0.4%
Tesoro Corp ........................................................... 419,582 15,822,437 0.7%
Western Refining, Inc ................................................. 378,467 9,412,474 0.4%
Other Securities ...................................................... 122,103,568 5.1%
-------------- -----
Total Energy ............................................................. 189,476,477 8.0%
-------------- -----
Financials -- (22.9%)
Allied World Assurance Co. Holdings AG ................................ 155,508 12,487,292 0.5%
*American Capital, Ltd ................................................ 1,164,025 13,723,855 0.6%
#American Financial Group, Inc ........................................ 370,385 14,370,938 0.6%
#Assurant, Inc ........................................................ 331,133 12,520,139 0.5%
Axis Capital Holdings, Ltd ............................................ 288,525 10,450,375 0.5%
CNO Financial Group, Inc .............................................. 1,264,042 12,109,522 0.5%
Everest Re Group, Ltd ................................................. 113,679 12,624,053 0.5%
#Legg Mason, Inc ...................................................... 349,011 8,892,800 0.4%
#NASDAQ OMX Group, Inc. (The) ......................................... 406,131 9,669,979 0.4%
PartnerRe, Ltd ........................................................ 163,753 13,263,993 0.6%
Reinsurance Group of America, Inc ..................................... 235,808 12,478,959 0.5%
Other Securities ...................................................... 470,561,099 19.8%
-------------- -----
Total Financials ......................................................... 603,153,004 25.4%
-------------- -----
Health Care -- (5.7%)
Cooper Cos., Inc. (The) ............................................... 88,522 8,496,342 0.4%
Coventry Health Care, Inc ............................................. 383,447 16,733,627 0.7%
*Hologic, Inc ......................................................... 449,308 9,264,731 0.4%
#Omnicare, Inc ........................................................ 312,425 10,788,035 0.4%
*ViroPharma, Inc ...................................................... 339,632 8,575,708 0.4%
Other Securities ...................................................... 95,696,093 4.0%
-------------- -----
Total Health Care ........................................................ 149,554,536 6.3%
-------------- -----
Industrials -- (14.2%)
Amerco, Inc ........................................................... 88,302 10,202,413 0.4%
#*Avis Budget Group, Inc .............................................. 549,560 9,084,227 0.4%
GATX Corp ............................................................. 210,036 8,708,093 0.4%
18
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
Industrials -- (Continued)
#*Owens Corning, Inc .................................................. 367,806 $ 12,354,604 0.5%
*Quanta Services, Inc ................................................. 347,012 8,998,021 0.4%
Ryder System, Inc ..................................................... 233,530 10,536,874 0.4%
Trinity Industries, Inc ............................................... 277,414 8,677,510 0.4%
Other Securities ...................................................... 305,314,935 12.8%
-------------- -----
Total Industrials ........................................................ 373,876,677 15.7%
-------------- -----
Information Technology -- (10.3%)
#*Arrow Electronics, Inc .............................................. 351,633 12,388,031 0.5%
Convergys Corp ........................................................ 551,669 9,273,556 0.4%
IAC/InterActiveCorp ................................................... 254,127 12,287,040 0.5%
Other Securities ...................................................... 237,011,914 10.0%
-------------- -----
Total Information Technology ............................................. 270,960,541 11.4%
-------------- -----
Materials -- (8.3%)
Ashland, Inc .......................................................... 210,546 14,980,348 0.6%
#Domtar Corp .......................................................... 123,167 9,822,568 0.4%
#*Louisiana-Pacific Corp .............................................. 670,853 10,592,769 0.4%
MeadWestvaco Corp ..................................................... 391,872 11,634,680 0.5%
Reliance Steel & Aluminum Co .......................................... 200,657 10,903,701 0.5%
Rock-Tenn Co. Class A ................................................. 149,967 10,976,085 0.5%
Westlake Chemical Corp ................................................ 142,636 10,848,894 0.5%
Other Securities ...................................................... 138,927,915 5.8%
-------------- -----
Total Materials .......................................................... 218,686,960 9.2%
-------------- -----
Other -- (0.0%)
Other Securities ...................................................... 294 0.0%
-------------- -----
Telecommunication Services -- (0.6%)
Other Securities ...................................................... 15,102,777 0.6%
-------------- -----
Utilities -- (0.4%)
Other Securities ...................................................... 10,749,666 0.4%
-------------- -----
TOTAL COMMON STOCKS ...................................................... 2,369,198,161 99.6%
-------------- -----
PREFERRED STOCKS -- (0.0%)
Energy -- (0.0%)
Other Securities ...................................................... 13,082 0.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities ...................................................... 39,856 0.0%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.3%)
BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares ... 8,857,353 8,857,353 0.4%
-------------- -----
SHARES/
FACE
AMOUNT
(000)
------------
SECURITIES LENDING COLLATERAL -- (9.8%)
(S)@ DFA Short Term Investment Fund ...................................... 22,132,499 256,073,011 10.8%
@ Repurchase Agreement, JPMorgan Securities LLC 0.30%,
11/01/12 (Collateralized by $696,137 FNMA, rates ranging from
2.500% to 5.500%, maturities ranging from 10/01/22 to
07/01/42, valued at $698,232) to be repurchased at $675,850 ........ $ 676 675,844 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL ...................................... 256,748,855 10.8%
-------------- -----
19
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,130,713,058) ................................................. $2,634,857,307 110.8%
============== =====
Summary of the Portfolio's investments as of October 31, 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 ....... $ 428,613,885 -- -- $ 428,613,885
Consumer Staples ............. 109,023,344 -- -- 109,023,344
Energy ....................... 189,351,831 $ 124,646 -- 189,476,477
Financials ................... 603,153,004 -- -- 603,153,004
Health Care .................. 149,395,452 159,084 -- 149,554,536
Industrials .................. 373,747,154 129,523 -- 373,876,677
Information Technology 270,960,541 -- -- 270,960,541
Materials .................... 218,686,960 -- -- 218,686,960
Other ........................ -- 294 -- 294
Telecommunication Services ... 15,102,777 -- -- 15,102,777
Utilities .................... 10,749,666 -- -- 10,749,666
Preferred Stocks
Energy ....................... -- 13,082 -- 13,082
Rights/Warrants ................. 38,173 1,683 -- 39,856
Temporary Cash Investments ...... 8,857,353 -- -- 8,857,353
Securities Lending Collateral ... -- 256,748,855 -- 256,748,855
-------------- ------------ ------- --------------
TOTAL ........................... $2,377,680,140 $257,177,167 -- $2,634,857,307
============== ============ ======= ==============
See accompanying Notes to Financial Statements.
20
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2012
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
COMMON STOCKS -- (84.9%)
Consumer Discretionary -- (14.1%)
#*Cabela's, Inc ....................................................... 79,425 $ 3,559,034 0.3%
#Dillard's, Inc. Class A .............................................. 51,751 3,984,827 0.3%
Domino's Pizza, Inc ................................................... 54,821 2,226,829 0.1%
#DSW, Inc. Class A .................................................... 38,341 2,399,763 0.2%
#Group 1 Automotive, Inc .............................................. 35,286 2,188,085 0.1%
Men's Wearhouse, Inc. (The) ........................................... 68,501 2,246,148 0.2%
#*Saks, Inc ........................................................... 221,647 2,278,531 0.2%
#*Select Comfort Corp ................................................. 89,608 2,493,791 0.2%
*Steven Madden, Ltd ................................................... 55,010 2,361,029 0.2%
Other Securities ...................................................... 196,856,976 14.8%
-------------- ----
Total Consumer Discretionary ............................................. 220,595,013 16.6%
-------------- ----
Consumer Staples -- (4.1%)
*Dean Foods Co ........................................................ 215,173 3,623,513 0.3%
*Hain Celestial Group, Inc. (The) ..................................... 53,402 3,086,636 0.2%
#PriceSmart, Inc ...................................................... 28,537 2,368,286 0.2%
Other Securities ...................................................... 54,616,524 4.1%
-------------- ----
Total Consumer Staples ................................................... 63,694,959 4.8%
-------------- ----
Energy -- (4.3%)
Bristow Group, Inc .................................................... 45,458 2,269,263 0.2%
Western Refining, Inc ................................................. 194,387 4,834,405 0.3%
Other Securities ...................................................... 59,803,732 4.5%
-------------- ----
Total Energy ............................................................. 66,907,400 5.0%
-------------- ----
Financials -- (16.7%)
*Altisource Portfolio Solutions SA .................................... 21,934 2,489,509 0.2%
CapitalSource, Inc .................................................... 302,900 2,395,939 0.2%
Cathay General Bancorp ................................................ 154,992 2,741,808 0.2%
CNO Financial Group, Inc .............................................. 336,171 3,220,518 0.2%
First American Financial Corp ......................................... 131,159 2,983,867 0.2%
*Investors Bancorp, Inc ............................................... 123,487 2,221,531 0.2%
*Ocwen Financial Corp ................................................. 87,991 3,393,813 0.2%
Primerica, Inc ........................................................ 80,041 2,261,959 0.2%
Susquehanna Bancshares, Inc ........................................... 234,498 2,431,744 0.2%
Other Securities ...................................................... 237,170,844 17.8%
-------------- ----
Total Financials ......................................................... 261,311,532 19.6%
-------------- ----
Health Care -- (8.3%)
#*Air Methods Corp .................................................... 22,944 2,515,351 0.2%
*Ariad Pharmaceuticals, Inc ........................................... 193,800 4,176,390 0.3%
*Jazz Pharmaceuticals P.L.C ........................................... 43,942 2,361,004 0.2%
#*Medicines Co. (The) ................................................. 105,773 2,318,544 0.2%
*ViroPharma, Inc ...................................................... 115,735 2,922,309 0.2%
Other Securities ...................................................... 114,659,115 8.6%
-------------- ----
Total Health Care ........................................................ 128,952,713 9.7%
-------------- ----
Industrials -- (15.3%)
Amerco, Inc ........................................................... 25,259 2,918,425 0.2%
#*Chart Industries, Inc ............................................... 32,460 2,297,843 0.2%
#*EnerSys, Inc ........................................................ 63,999 2,206,686 0.2%
#Geo Group, Inc. (The) ................................................ 93,170 2,582,672 0.2%
#Robbins & Myers, Inc ................................................. 38,214 2,265,326 0.2%
#Triumph Group, Inc ................................................... 46,890 3,067,544 0.2%
#*United Rentals, Inc ................................................. 53,799 2,187,467 0.1%
21
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
Industrials -- (Continued)
Other Securities ...................................................... $ 220,968,362 16.6%
-------------- ----
Total Industrials ........................................................ 238,494,325 17.9%
-------------- ----
Information Technology -- (14.3%)
#*3D Systems Corp ..................................................... 78,815 3,428,452 0.2%
*AOL, Inc ............................................................. 69,740 2,394,174 0.2%
#*Arris Group, Inc .................................................... 170,706 2,345,500 0.2%
#*Cirrus Logic, Inc ................................................... 109,053 4,445,000 0.3%
Convergys Corp ........................................................ 170,395 2,864,340 0.2%
#*CoStar Group, Inc ................................................... 32,679 2,709,089 0.2%
#*Cymer, Inc .......................................................... 34,206 2,725,876 0.2%
#Fair Isaac Corp ...................................................... 47,990 2,236,334 0.2%
#FEI Co ............................................................... 43,300 2,383,665 0.2%
#*OSI Systems, Inc .................................................... 29,110 2,306,968 0.2%
Other Securities ...................................................... 195,184,430 14.7%
-------------- ----
Total Information Technology ............................................. 223,023,828 16.8%
-------------- ----
Materials -- (5.0%)
American Vanguard Corp ................................................ 64,951 2,320,699 0.2%
#Eagle Materials, Inc ................................................. 49,700 2,632,609 0.2%
*Louisiana-Pacific Corp ............................................... 183,497 2,897,418 0.2%
Westlake Chemical Corp ................................................ 34,525 2,625,972 0.2%
Other Securities ...................................................... 68,066,368 5.1%
-------------- ----
Total Materials .......................................................... 78,543,066 5.9%
-------------- ----
Other -- (0.0%)
Other Securities ...................................................... 312 0.0%
-------------- ----
Telecommunication Services -- (0.6%)
Other Securities ...................................................... 9,404,001 0.7%
-------------- ----
Utilities -- (2.2%)
#PNM Resources, Inc ................................................... 99,252 2,199,424 0.2%
Other Securities ...................................................... 32,415,078 2.4%
-------------- ----
Total Utilities .......................................................... 34,614,502 2.6%
-------------- ----
TOTAL COMMON STOCKS ...................................................... 1,325,541,651 99.6%
-------------- ----
PREFERRED STOCKS -- (0.0%)
Energy -- (0.0%)
Other Securities ...................................................... 11,675 0.0%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities ...................................................... 32,981 0.0%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.4%)
BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares 5,806,401 5,806,401 0.4%
-------------- ----
22
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
SHARES/
FACE
AMOUNT PERCENTAGE
(000) VALUE+ OF NET ASSETS**
------------ -------------- ---------------
SECURITIES LENDING COLLATERAL -- (14.7%)
(S)@DFA Short Term Investment Fund ....................................... 19,745,019 $ 228,449,866 17.2%
@Repurchase Agreement, JPMorgan Securities LLC 0.30%,
11/01/12 (Collateralized by $621,042 FNMA, rates ranging from
2.500% to 5.500%, maturities ranging from 10/01/22 to
07/01/42, valued at $622,911) to be repurchased at $602,943 ........ $ 603 602,938 0.0%
-------------- ---------------
TOTAL SECURITIES LENDING COLLATERAL 229,052,804 17.2%
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,156,520,287) ................................................. $1,560,445,512 117.2%
============== ===============
Summary of the Portfolio's investments as of October 31, 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 ....... $ 220,595,013 -- -- $ 220,595,013
Consumer Staples ............. 63,694,959 -- -- 63,694,959
Energy ....................... 66,840,115 $ 67,285 -- 66,907,400
Financials ................... 261,311,532 -- -- 261,311,532
Health Care .................. 128,895,310 57,403 -- 128,952,713
Industrials .................. 238,478,409 15,916 -- 238,494,325
Information Technology ....... 223,023,828 -- -- 223,023,828
Materials .................... 78,543,066 -- -- 78,543,066
Other ........................ -- 312 -- 312
Telecommunication Services ... 9,404,001 -- -- 9,404,001
Utilities .................... 34,614,502 -- -- 34,614,502
Preferred Stocks
Energy ....................... -- 11,675 -- 11,675
Rights/Warrants ................. 32,906 75 -- 32,981
Temporary Cash Investments ...... 5,806,401 -- -- 5,806,401
Securities Lending Collateral ... -- 229,052,804 -- 229,052,804
-------------- ------------ ------- --------------
TOTAL ........................... $1,331,240,042 $229,205,470 -- $1,560,445,512
============== ============ ======= ==============
See accompanying Notes to Financial Statements.
23
T.A. U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2012
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
COMMON STOCKS -- (89.1%)
Consumer Discretionary -- (13.3%)
CBS Corp. Class B ..................................................... 197,985 $ 6,414,714 0.2%
Comcast Corp. Class A ................................................ 456,217 17,112,700 0.6%
Home Depot, Inc. (The) ................................................ 144,802 8,887,947 0.3%
*Liberty Media Corp. - Liberty Capital Class A ........................ 59,392 6,632,305 0.3%
Lowe's Cos., Inc ...................................................... 255,861 8,284,779 0.3%
News Corp. Class A .................................................... 376,280 9,000,618 0.3%
Time Warner Cable, Inc ................................................ 88,298 8,751,215 0.3%
Time Warner, Inc ...................................................... 214,866 9,335,928 0.3%
Walt Disney Co. (The) ................................................. 365,590 17,939,501 0.6%
Other Securities ...................................................... 330,521,528 11.6%
-------------- ----
Total Consumer Discretionary ............................................. 422,881,235 14.8%
-------------- ----
Consumer Staples -- (5.8%)
Coca-Cola Co. (The) ................................................... 172,706 6,421,209 0.2%
CVS Caremark Corp ..................................................... 277,652 12,883,053 0.5%
Mondelez International, Inc. Class A .................................. 366,422 9,724,840 0.3%
Procter & Gamble Co. (The) ............................................ 250,219 17,325,164 0.6%
Wal-Mart Stores, Inc .................................................. 140,778 10,561,166 0.4%
Other Securities ...................................................... 127,992,438 4.5%
-------------- ----
Total Consumer Staples ................................................... 184,907,870 6.5%
-------------- ----
Energy -- (10.1%)
Anadarko Petroleum Corp ............................................... 99,014 6,813,153 0.2%
Apache Corp ........................................................... 77,195 6,387,886 0.2%
Chevron Corp .......................................................... 424,406 46,773,785 1.6%
ConocoPhillips ........................................................ 271,234 15,690,887 0.6%
EOG Resources, Inc .................................................... 53,410 6,221,731 0.2%
Exxon Mobil Corp ...................................................... 549,998 50,143,318 1.8%
National Oilwell Varco, Inc ........................................... 87,982 6,484,273 0.2%
Occidental Petroleum Corp ............................................. 145,217 11,466,334 0.4%
Phillips 66 ........................................................... 135,617 6,395,698 0.2%
Other Securities ...................................................... 163,878,633 5.8%
-------------- ----
Total Energy ............................................................. 320,255,698 11.2%
-------------- ----
Financials -- (17.2%)
Bank of America Corp .................................................. 1,917,154 17,867,875 0.6%
#*Berkshire Hathaway, Inc. Class B .................................... 99,579 8,598,647 0.3%
Capital One Financial Corp ............................................ 117,064 7,043,741 0.3%
Citigroup, Inc ........................................................ 411,827 15,398,212 0.5%
Goldman Sachs Group, Inc. (The) ....................................... 85,641 10,481,602 0.4%
JPMorgan Chase & Co ................................................... 811,150 33,808,732 1.2%
MetLife, Inc .......................................................... 216,234 7,674,145 0.3%
PNC Financial Services Group, Inc ..................................... 115,488 6,720,247 0.2%
Travelers Cos., Inc. (The) ............................................ 100,570 7,134,436 0.3%
U.S. Bancorp .......................................................... 351,609 11,676,935 0.4%
Wells Fargo & Co ...................................................... 1,084,633 36,541,286 1.3%
Other Securities ...................................................... 383,562,279 13.4%
-------------- ----
Total Financials ......................................................... 546,508,137 19.2%
-------------- ----
Health Care -- (9.6%)
Amgen, Inc ............................................................ 85,813 7,426,686 0.3%
Johnson & Johnson ..................................................... 141,608 10,028,679 0.3%
Merck & Co., Inc ...................................................... 589,040 26,877,895 0.9%
Pfizer, Inc ........................................................... 1,598,574 39,756,535 1.4%
UnitedHealth Group, Inc ............................................... 192,286 10,768,016 0.4%
24
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
Health Care -- (Continued)
Other Securities ...................................................... $ 211,598,514 7.4%
-------------- ----
Total Health Care ........................................................ 306,456,325 10.7%
-------------- ----
Industrials -- (12.4%)
General Electric Co ................................................... 2,219,055 46,733,298 1.6%
Union Pacific Corp .................................................... 102,621 12,625,462 0.5%
Other Securities ...................................................... 336,567,784 11.8%
-------------- ----
Total Industrials ........................................................ 395,926,544 13.9%
-------------- ----
Information Technology -- (11.2%)
Apple, Inc ............................................................ 42,017 25,004,317 0.9%
*Google, Inc. Class A ................................................. 11,628 7,904,366 0.3%
Intel Corp ............................................................ 517,438 11,189,597 0.4%
International Business Machines Corp .................................. 45,323 8,816,683 0.3%
Microsoft Corp ........................................................ 327,024 9,331,630 0.3%
Oracle Corp ........................................................... 213,729 6,636,285 0.2%
Visa, Inc ............................................................. 97,604 13,543,531 0.5%
Other Securities ...................................................... 275,556,881 9.6%
-------------- ----
Total Information Technology ............................................. 357,983,290 12.5%
-------------- ----
Materials -- (4.5%)
Other Securities ...................................................... 143,579,779 5.0%
-------------- ----
Other -- (0.0%)
Other Securities ...................................................... -- 0.0%
-------------- ----
Telecommunication Services -- (2.9%)
AT&T, Inc ............................................................. 1,265,775 43,783,157 1.5%
#Verizon Communications, Inc .......................................... 581,853 25,973,918 0.9%
Other Securities ...................................................... 23,845,031 0.9%
-------------- ----
Total Telecommunication Services ......................................... 93,602,106 3.3%
-------------- ----
Utilities -- (2.1%)
Other Securities ...................................................... 67,960,515 2.4%
-------------- ----
TOTAL COMMON STOCKS ...................................................... 2,840,061,499 99.5%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities ...................................................... 4,878 0.0%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.3%)
BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares ... 1 0,736,944 10,736,944 0.4%
-------------- ----
SHARES/
FACE
AMOUNT
(000)
---------
SECURITIES LENDING COLLATERAL -- (10.6%)
(S)@DFA Short Term Investment Fund ....................................... 29,068,909 336,327,274 11.8%
@Repurchase Agreement, JPMorgan Securities LLC 0.30%,
11/01/12 (Collateralized by $914,307 FNMA, rates ranging from
2.500% to 5.500%, maturities ranging from 10/01/22 to
07/01/42, valued at $917,058) to be repurchased at $887,661 ......... $ 888 887,654 0.0%
-------------- ----
TOTAL SECURITIES LENDING COLLATERAL ...................................... 337,214,928 11.8%
-------------- ----
25
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS**
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,481,374,822) .......................................................... $3,188,018,249 111.7%
============== =====
Summary of the Portfolio's investments as of October 31, 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 ......... $ 422,861,910 $ 19,325 -- $ 422,881,235
Consumer Staples ............... 184,907,870 -- -- 184,907,870
Energy ......................... 320,245,273 10,425 -- 320,255,698
Financials ..................... 546,508,137 -- -- 546,508,137
Health Care .................... 306,442,629 13,696 -- 306,456,325
Industrials. ................... 395,911,452 15,092 -- 395,926,544
Information Technology ......... 357,983,290 -- -- 357,983,290
Materials ...................... 143,579,779 -- -- 143,579,779
Other .......................... -- -- -- --
Telecommunication Services ..... 93,602,106 -- -- 93,602,106
Utilities ...................... 67,960,515 -- -- 67,960,515
Rights/Warrants ................... 4,878 -- -- 4,878
Temporary Cash Investments ........ 10,736,944 -- -- 10,736,944
Securities Lending Collateral ..... -- 337,214,928 -- 337,214,928
-------------- ------------ ------- --------------
TOTAL ............................. $2,850,744,783 $337,273,466 -- $3,188,018,249
============== ============ ======= ==============
See accompanying Notes to Financial Statements.
26
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2012
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
COMMON STOCKS -- (97.1%)
AUSTRALIA -- (5.4%)
Wesfarmers, Ltd ................................................ 926,233 $ 33,390,263 1.7%
Other Securities ............................................... 75,529,183 3.8%
-------------- -----
TOTAL AUSTRALIA ................................................... 108,919,446 5.5%
-------------- -----
AUSTRIA -- (0.1%)
Other Securities ............................................... 2,202,939 0.1%
-------------- -----
BELGIUM -- (1.1%)
Other Securities ............................................... 21,963,139 1.1%
-------------- -----
CANADA -- (12.3%)
Canadian Natural Resources, Ltd ................................ 413,439 12,460,089 0.6%
Goldcorp, Inc .................................................. 390,268 17,642,654 0.9%
Manulife Financial Corp ........................................ 1,391,180 17,188,647 0.9%
#Sun Life Financial, Inc ....................................... 494,520 12,264,591 0.6%
Suncor Energy, Inc ............................................. 1,078,999 36,213,313 1.8%
Teck Resources, Ltd. Class B ................................... 407,968 12,948,772 0.7%
Other Securities ............................................... 139,312,477 7.1%
-------------- -----
TOTAL CANADA ...................................................... 248,030,543 12.6%
-------------- -----
DENMARK -- (1.4%)
Other Securities ............................................... 27,920,680 1.4%
-------------- -----
FINLAND -- (0.6%)
Other Securities ............................................... 11,709,008 0.6%
-------------- -----
FRANCE -- (9.4%)
AXA SA ......................................................... 948,963 15,125,169 0.8%
BNP Paribas SA ................................................. 242,688 12,318,032 0.6%
France Telecom SA .............................................. 1,431,646 16,002,158 0.8%
GDF Suez SA. ................................................... 1,001,804 22,993,642 1.2%
*Societe Generale SA ........................................... 485,354 15,478,889 0.8%
Vivendi SA ..................................................... 1,014,279 20,783,897 1.0%
Other Securities ............................................... 86,775,055 4.4%
-------------- -----
TOTAL FRANCE ...................................................... 189,476,842 9.6%
-------------- -----
GERMANY -- (7.4%)
Daimler AG ..................................................... 505,362 23,673,482 1.2%
Deutsche Bank AG (5750355) ..................................... 241,169 10,985,454 0.6%
#Deutsche Bank AG (D18190898) .................................. 239,182 10,933,009 0.6%
Deutsche Telekom AG ............................................ 920,799 10,504,881 0.5%
E.ON AG ........................................................ 993,327 22,613,064 1.1%
Munchener Rueckversicherungs-Gesellschaft AG ................... 86,591 13,932,731 0.7%
Other Securities ............................................... 55,818,989 2.8%
-------------- -----
TOTAL GERMANY ..................................................... 148,461,610 7.5%
-------------- -----
GREECE -- (0.0%)
Other Securities ............................................... 1,008,011 0.1%
-------------- -----
HONG KONG -- (2.2%)
Hutchison Whampoa, Ltd ......................................... 1,722,000 16,891,652 0.9%
Other Securities ............................................... 28,316,519 1.4%
-------------- -----
TOTAL HONG KONG ................................................... 45,208,171 2.3%
-------------- -----
IRELAND -- (0.1%)
Other Securities ............................................... 1,874,418 0.1%
-------------- -----
27
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
ISRAEL -- (0.6%)
Other Securities ............................................... $ 13,124,829 0.7%
-------------- -----
ITALY -- (1.6%)
Other Securities ............................................... 32,581,877 1.7%
-------------- -----
JAPAN -- (17.0%)
Mitsubishi Corp ................................................ 870,800 15,546,343 0.8%
Mitsubishi UFJ Financial Group, Inc ............................ 6,163,934 27,885,441 1.4%
Mitsui & Co., Ltd .............................................. 967,400 13,635,718 0.7%
Sumitomo Corp .................................................. 754,200 10,281,854 0.5%
Sumitomo Mitsui Financial Group, Inc ........................... 588,727 17,989,734 0.9%
#Toyota Motor Corp. Sponsored ADR .............................. 180,003 13,944,832 0.7%
Other Securities ............................................... 244,373,446 12.4%
-------------- -----
TOTAL JAPAN ....................................................... 343,657,368 17.4%
-------------- -----
NETHERLANDS -- (3.2%)
ArcelorMittal NV ............................................... 764,181 11,297,979 0.6%
Koninklijke Philips Electronics NV ............................. 631,760 15,823,012 0.8%
Other Securities ............................................... 36,775,911 1.8%
-------------- -----
TOTAL NETHERLANDS ................................................. 63,896,902 3.2%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities ............................................... 1,625,690 0.1%
-------------- -----
NORWAY -- (1.2%)
Other Securities ............................................... 23,831,916 1.2%
-------------- -----
PORTUGAL -- (0.1%)
Other Securities ............................................... 2,509,247 0.1%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities ............................................... 20,618,980 1.1%
-------------- -----
SPAIN -- (1.8%)
Banco Santander SA ............................................. 2,095,077 15,774,195 0.8%
Other Securities ............................................... 20,065,516 1.0%
-------------- -----
TOTAL SPAIN ....................................................... 35,839,711 1.8%
-------------- -----
SWEDEN -- (3.2%)
Nordea Bank AB ................................................. 1,822,627 16,567,052 0.8%
Svenska Cellulosa AB Series B. ................................. 566,500 11,044,601 0.6%
Telefonaktiebolaget LM Ericsson AB Series B .................... 1,563,029 13,846,995 0.7%
Other Securities ............................................... 22,092,558 1.1%
-------------- -----
TOTAL SWEDEN ...................................................... 63,551,206 3.2%
-------------- -----
SWITZERLAND -- (6.3%)
Credit Suisse Group AG ......................................... 593,214 13,795,405 0.7%
Holcim, Ltd .................................................... 241,079 16,452,735 0.8%
#Novartis AG ADR ............................................... 189,650 11,466,239 0.6%
Swiss Re, Ltd .................................................. 325,311 22,510,662 1.1%
UBS AG ......................................................... 996,451 14,950,347 0.8%
Other Securities ............................................... 47,459,982 2.4%
-------------- -----
TOTAL SWITZERLAND ................................................. 126,635,370 6.4%
-------------- -----
UNITED KINGDOM -- (21.0%)
Anglo American P.L.C ........................................... 349,868 10,781,002 0.6%
Aviva P.L.C .................................................... 2,287,715 12,251,713 0.6%
Barclays P.L.C ................................................. 3,351,289 12,392,271 0.6%
Barclays P.L.C. Sponsored ADR .................................. 1,025,997 15,184,756 0.8%
BP P.L.C. Sponsored ADR ........................................ 1,840,577 78,942,348 4.0%
28
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
UNITED KINGDOM -- (Continued)
HSBC Holdings P.L.C ............................................ 1,039,205 $ 10,245,900 0.5%
#HSBC Holdings P.L.C. Sponsored ADR. ........................... 288,640 14,247,270 0.7%
Kingfisher P.L.C ............................................... 2,319,541 10,860,203 0.6%
*Lloyds Banking Group P.L.C .................................... 23,717,729 15,618,314 0.8%
Royal Dutch Shell P.L.C. ADR. .................................. 1,012,251 71,495,288 3.6%
Vodafone Group P.L.C ........................................... 13,861,205 37,642,262 1.9%
Vodafone Group P.L.C. Sponsored ADR ............................ 1,661,870 45,236,101 2.3%
Xstrata P.L.C .................................................. 1,511,218 23,939,963 1.2%
Other Securities ............................................... 63,925,025 3.3%
-------------- -----
TOTAL UNITED KINGDOM .............................................. 422,762,416 21.5%
-------------- -----
TOTAL COMMON STOCKS ............................................... 1,957,410,319 99.3%
-------------- -----
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Other Securities ............................................... 3,082,870 0.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities ............................................... 3 0.0%
-------------- -----
SHARES/
FACE
AMOUNT
(000) VALUE+
----------- --------------
SECURITIES LENDING COLLATERAL -- (2.7%)
(S)@ DFA Short Term Investment Fund ............................... 4,667,243 54,000,000 2.7%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%,
11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%,
01/01/39, valued at $911,017) to be repurchased at $893,162 . $ 893 893,154 0.1%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL ............................... 54,893,154 2.8%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,092,870,816) .......................................... $2,015,386,346 102.2%
============== =====
29
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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 .................... $ 225,811 $ 108,693,635 -- $ 108,919,446
Austria ...................... -- 2,202,939 -- 2,202,939
Belgium ...................... 405,344 21,557,795 -- 21,963,139
Canada ....................... 248,030,543 -- -- 248,030,543
Denmark ...................... -- 27,920,680 -- 27,920,680
Finland ...................... -- 11,709,008 -- 11,709,008
France ....................... 11,105,102 178,371,740 -- 189,476,842
Germany ...................... 27,727,073 120,734,537 -- 148,461,610
Greece ....................... -- 1,008,011 -- 1,008,011
Hong Kong .................... -- 45,208,171 -- 45,208,171
Ireland ...................... 608,158 1,266,260 -- 1,874,418
Israel ....................... 1,280,585 11,844,244 -- 13,124,829
Italy ........................ 1,895,897 30,685,980 -- 32,581,877
Japan ........................ 31,991,271 311,666,097 -- 343,657,368
Netherlands .................. 1,841,197 62,055,705 -- 63,896,902
New Zealand .................. -- 1,625,690 -- 1,625,690
Norway. ...................... -- 23,831,916 -- 23,831,916
Portugal ..................... -- 2,509,247 -- 2,509,247
Singapore. ................... -- 20,618,980 -- 20,618,980
Spain ........................ 421,587 35,418,124 -- 35,839,711
Sweden ....................... 1,128,017 62,423,189 -- 63,551,206
Switzerland. ................. 13,002,478 113,632,892 -- 126,635,370
United Kingdom ............... 237,826,468 184,935,948 -- 422,762,416
Preferred Stocks
Germany ...................... -- 3,082,870 -- 3,082,870
Rights/Warrants
Spain ........................ -- 3 -- 3
Securities Lending Collateral ... -- 54,893,154 -- 54,893,154
------------ -------------- ------- --------------
TOTAL ........................... $577,489,531 $1,437,896,815 -- $2,015,386,346
============ ============== ======= ==============
See accompanying Notes to Financial Statements.
30
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2012
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
COMMON STOCKS-- (94.8%)
AUSTRALIA-- (5.0%)
Australia & New Zealand Banking Group, Ltd. .................... 117,748 $ 3,106,356 0.2%
Commonwealth Bank of Australia NL .............................. 51,776 3,100,650 0.2%
National Australia Bank, Ltd.................................... 137,265 3,668,391 0.3%
Wesfarmers, Ltd. ............................................... 69,797 2,516,149 0.2%
Westpac Banking Corp............................................ 129,797 3,431,581 0.3%
Other Securities ............................................... 49,051,546 4.0%
-------------- ----
TOTAL AUSTRALIA ................................................... 64,874,673 5.2%
-------------- ----
AUSTRIA -- (0.4%)
Other Securities ............................................... 4,475,465 0.4%
-------------- ----
BELGIUM -- (0.8%)
Other Securities ............................................... 9,670,903 0.8%
-------------- ----
BRAZIL -- (2.0%)
Other Securities ............................................... 25,130,326 2.0%
-------------- ----
CANADA -- (8.1%)
Bank of Montreal ............................................... 41,930 2,477,806 0.2%
Bank of Nova Scotia ............................................ 42,381 2,302,047 0.2%
Royal Bank of Canada ........................................... 55,774 3,179,746 0.2%
Suncor Energy, Inc.............................................. 99,388 3,335,655 0.3%
Toronto Dominion Bank. ......................................... 55,000 4,473,242 0.3%
Other Securities ............................................... 89,062,927 7.2%
-------------- ----
TOTAL CANADA 104,831,423 8.4%
-------------- ----
CHILE -- (0.5%)
Other Securities ............................................... 6,328,460 0.5%
-------------- ----
CHINA -- (4.3%)
China Construction Bank Corp. Series H ........................ 3,488,200 2,619,463 0.2%
China Mobile, Ltd. Sponsored ADR ............................... 45,500 2,520,245 0.2%
Other Securities 50,602,927 4.1%
-------------- ----
TOTAL CHINA ....................................................... 55,742,635 4.5%
-------------- ----
COLOMBIA -- (0.1%)
Other Securities ............................................... 977,780 0.1%
-------------- ----
CZECH REPUBLIC -- (0.1%)
Other Securities ............................................... 1,337,990 0.1%
-------------- ----
DENMARK -- (0.7%)
Other Securities ............................................... 9,278,629 0.7%
-------------- ----
EGYPT -- (0.0%)
Other Securities ............................................... 165,068 0.0%
-------------- ----
FINLAND -- (1.0%)
Other Securities ............................................... 12,936,435 1.0%
-------------- ----
FRANCE -- (5.2%)
BNP Paribas SA ................................................. 65,535 3,326,338 0.3%
Sanofi SA ...................................................... 41,470 3,642,185 0.3%
*Societe Generale SA ........................................... 80,296 2,560,797 0.2%
#Total SA Sponsored ADR ........................................ 85,482 4,308,293 0.3%
Other Securities ............................................... 53,542,193 4.3%
-------------- ----
TOTAL FRANCE ...................................................... 67,379,806 5.4%
-------------- ----
31
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
GERMANY -- (4.4%)
Allianz SE. .................................................... 25,596 $ 3,179,657 0.3%
Daimler AG ..................................................... 64,563 3,024,428 0.2%
Deutsche Bank AG ............................................... 57,350 2,621,469 0.2%
E.ON AG ........................................................ 111,836 2,545,944 0.2%
Munchener Rueckversicherungs-Gesellschaft AG ................... 13,177 2,120,216 0.2%
#Siemens AG Sponsored ADR ...................................... 26,107 2,634,457 0.2%
Other Securities ............................................... 40,653,364 3.3%
-------------- ----
TOTAL GERMANY 56,779,535 4.6%
-------------- ----
GREECE -- (0.2%)
Other Securities ............................................... 3,127,663 0.2%
-------------- ----
HONG KONG -- (1.8%)
Other Securities ............................................... 23,239,815 1.9%
-------------- ----
HUNGARY -- (0.1%)
Other Securities ............................................... 1,092,942 0.1%
-------------- ----
INDIA -- (1.8%)
Other Securities ............................................... 23,451,160 1.9%
-------------- ----
INDONESIA -- (0.8%)
Other Securities ............................................... 10,768,537 0.9%
-------------- ----
IRELAND -- (0.4%)
Other Securities ............................................... 5,288,975 0.4%
-------------- ----
ISRAEL -- (0.4%)
Other Securities ............................................... 4,904,229 0.4%
-------------- ----
ITALY -- (1.6%)
Other Securities ............................................... 20,820,802 1.7%
-------------- ----
JAPAN -- (13.5%)
Mizuho Financial Group, Inc..................................... 1,487,255 2,327,079 0.2%
Sumitomo Mitsui Financial Group, Inc............................ 90,383 2,761,834 0.2%
Toyota Motor Corp. Sponsored ADR ............................... 50,053 3,877,606 0.3%
Other Securities ............................................... 164,414,476 13.3%
-------------- ----
TOTAL JAPAN ....................................................... 173,380,995 14.0%
-------------- ----
MALAYSIA -- (0.9%)
Other Securities ............................................... 12,144,452 1.0%
-------------- ----
MEXICO -- (1.4%)
Other Securities ............................................... 17,879,490 1.4%
-------------- ----
NETHERLANDS -- (1.8%)
#*ING Groep NV Sponsored ADR ................................... 263,004 2,330,215 0.2%
Other Securities ............................................... 20,947,179 1.7%
-------------- ----
TOTAL NETHERLANDS ................................................. 23,277,394 1.9%
-------------- ----
NEW ZEALAND -- (0.2%)
Other Securities ............................................... 2,771,066 0.2%
-------------- ----
NORWAY -- (0.9%)
Other Securities ............................................... 11,030,807 0.9%
-------------- ----
PERU -- (0.1%)
Other Securities ............................................... 738,229 0.1%
-------------- ----
PHILIPPINES -- (0.5%)
Other Securities ............................................... 5,757,697 0.5%
-------------- ----
32
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
POLAND -- (0.4%)
Other Securities ............................................... $ 4,998,739 0.4%
-------------- ----
PORTUGAL -- (0.2%)
Other Securities ............................................... 3,130,717 0.3%
-------------- ----
RUSSIA -- (0.6%)
Gazprom OAO Sponsored ADR ...................................... 353,575 3,247,584 0.3%
Other Securities ............................................... 4,343,779 0.3%
-------------- ----
TOTAL RUSSIA ...................................................... 7,591,363 0.6%
-------------- ----
SINGAPORE -- (1.3%)
Other Securities ............................................... 16,210,710 1.3%
-------------- ----
SOUTH AFRICA -- (1.9%)
Other Securities ............................................... 23,813,214 1.9%
-------------- ----
SOUTH KOREA -- (3.8%)
Samsung Electronics Co., Ltd.................................... 4,072 4,886,553 0.4%
Other Securities ............................................... 44,507,667 3.6%
-------------- ----
TOTAL SOUTH KOREA ................................................. 49,394,220 4.0%
-------------- ----
SPAIN -- (1.6%)
Banco Santander SA ............................................. 444,394 3,345,919 0.3%
Other Securities ............................................... 17,256,688 1.4%
-------------- ----
TOTAL SPAIN ....................................................... 20,602,607 1.7%
-------------- ----
SWEDEN -- (2.3%)
Other Securities ............................................... 29,570,627 2.4%
-------------- ----
SWITZERLAND -- (4.6%)
Holcim, Ltd..................................................... 29,548 2,016,540 0.2%
Nestle SA ...................................................... 87,940 5,583,155 0.4%
Novartis AG ADR ................................................ 95,673 5,784,390 0.5%
Swiss Re, Ltd. ................................................. 43,188 2,988,496 0.2%
Zurich Insurance Group AG ...................................... 16,736 4,125,754 0.3%
Other Securities ............................................... 38,347,927 3.1%
-------------- ----
TOTAL SWITZERLAND ................................................. 58,846,262 4.7%
-------------- ----
TAIWAN -- (2.9%)
Other Securities ............................................... 37,148,344 3.0%
-------------- ----
THAILAND -- (0.8%)
Other Securities ............................................... 10,164,524 0.8%
-------------- ----
TURKEY -- (0.5%)
Other Securities ............................................... 6,271,302 0.5%
-------------- ----
UNITED KINGDOM -- (14.9%) ........................................
Anglo American P.L.C ........................................... 84,783 2,612,545 0.2%
#AstraZeneca P.L.C. Sponsored ADR .............................. 53,810 2,496,784 0.2%
BG Group P.L.C ................................................. 135,356 2,513,159 0.2%
BP P.L.C. Sponsored ADR ........................................ 219,070 9,395,912 0.8%
HSBC Holdings P.L.C ............................................ 341,216 3,364,173 0.3%
HSBC Holdings P.L.C. Sponsored ADR. ............................ 187,245 9,242,413 0.7%
Legal & General Group P.L.C .................................... 1,002,504 2,173,168 0.2%
Royal Dutch Shell P.L.C. ADR. .................................. 185,909 13,130,753 1.1%
Royal Dutch Shell P.L.C. Series B. ............................. 59,695 2,111,573 0.2%
Standard Chartered P.L.C ....................................... 170,094 4,027,270 0.3%
TESCO P.L.C .................................................... 522,999 2,706,244 0.2%
Vodafone Group P.L.C. Sponsored ADR ............................ 343,133 9,340,080 0.7%
Wolseley P.L.C ................................................. 50,810 2,227,393 0.2%
33
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- -------------- ---------------
UNITED KINGDOM -- (Continued)
Xstrata P.L.C .................................................. 176,940 $ 2,802,995 0.2%
Other Securities ............................................... 124,121,148 10.0%
-------------- ----
TOTAL UNITED KINGDOM .............................................. 192,265,610 15.5%
-------------- ----
UNITED STATES -- (0.0%)
Other Securities ............................................... 87,049 0.0%
-------------- ----
TOTAL COMMON STOCKS 1,219,678,669 98.3%
-------------- ----
PREFERRED STOCKS-- (1.2%)
BRAZIL -- (1.1%)
Banco Bradesco SA Sponsored ADR ................................ 137,903 2,159,561 0.2%
Petroleo Brasileiro SA ADR ..................................... 126,710 2,601,356 0.2%
Other Securities ............................................... 9,857,525 0.8%
-------------- ----
TOTAL BRAZIL ...................................................... 14,618,442 1.2%
-------------- ----
CHILE -- (0.0%)
Other Securities ............................................... 159,330 0.0%
-------------- ----
COLOMBIA -- (0.0%)
Other Securities ............................................... 10,645 0.0%
-------------- ----
GERMANY -- (0.1%)
Other Securities ............................................... 811,510 0.1%
-------------- ----
MALAYSIA -- (0.0%)
Other Securities ............................................... 12,235 0.0%
-------------- ----
TOTAL PREFERRED STOCKS ............................................ 15,612,162 1.3%
-------------- ----
RIGHTS/WARRANTS-- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities ............................................... 27,769 0.0%
-------------- ----
BELGIUM -- (0.0%)
Other Securities ............................................... 98 0.0%
-------------- ----
BRAZIL -- (0.0%)
Other Securities ............................................... 674 0.0%
-------------- ----
HONG KONG -- (0.0%)
Other Securities ............................................... 40,820 0.0%
-------------- ----
MALAYSIA -- (0.0%)
Other Securities ............................................... 218 0.0%
-------------- ----
POLAND -- (0.0%)
Other Securities ............................................... 684 0.0%
-------------- ----
SINGAPORE -- (0.0%)
Other Securities ............................................... 10,242 0.0%
-------------- ----
SOUTH AFRICA -- (0.0%)
Other Securities ............................................... 3,914 0.0%
-------------- ----
SOUTH KOREA -- (0.0%)
Other Securities ............................................... 627 0.0%
-------------- ----
SPAIN -- (0.0%)
Other Securities ............................................... -- 0.0%
-------------- ----
THAILAND -- (0.0%)
Other Securities ............................................... -- 0.0%
-------------- ----
TOTAL RIGHTS/WARRANTS ............................................. 85,046 0.0%
-------------- ----
34
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
SHARES/
FACE PERCENTAGE
AMOUNT VALUE++ OF NET ASSETS**
----------- -------------- ---------------
(000)
SECURITIES LENDING COLLATERAL -- (4.0%)
(S)@ DFA Short Term Investment Fund .............................. 4,407,952 $ 51,000,000 4.1%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%,
11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%,
01/01/39, valued at $337,443) to be repurchased at $330,829 $ 331 330,826 0.0%
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL .............................. 51,330,826 4.1%
-------------- -----
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,172,510,011) ......................................... $1,286,706,703 103.7%
============== =====
Summary of the Portfolio's investments as of October 31, 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 ....................... $ 1,956,441 $ 62,918,232 -- $ 64,874,673
Austria ......................... -- 4,475,465 -- 4,475,465
Belgium ......................... 1,539,175 8,131,728 -- 9,670,903
Brazil .......................... 25,130,326 -- -- 25,130,326
Canada .......................... 104,782,487 48,936 -- 104,831,423
Chile ........................... 6,328,460 -- -- 6,328,460
China ........................... 8,314,155 47,428,480 -- 55,742,635
Colombia ........................ 977,780 -- -- 977,780
Czech Republic .................. -- 1,337,990 -- 1,337,990
Denmark ......................... 613,270 8,665,359 -- 9,278,629
Egypt ........................... -- 165,068 -- 165,068
Finland ......................... 100,739 12,835,696 -- 12,936,435
France .......................... 8,583,180 58,796,626 -- 67,379,806
Germany ......................... 8,677,132 48,102,403 -- 56,779,535
Greece .......................... 382,885 2,744,778 -- 3,127,663
Hong Kong ....................... 16,888 23,222,927 -- 23,239,815
Hungary ......................... 36,808 1,056,134 -- 1,092,942
India ........................... 1,192,633 22,258,527 -- 23,451,160
Indonesia ....................... 203,518 10,565,019 -- 10,768,537
Ireland ......................... 1,270,048 4,018,927 -- 5,288,975
Israel .......................... 1,078,668 3,825,561 -- 4,904,229
Italy ........................... 2,448,104 18,372,698 -- 20,820,802
Japan ........................... 11,750,950 161,630,045 -- 173,380,995
Malaysia ........................ -- 12,144,452 -- 12,144,452
Mexico .......................... 17,879,490 -- -- 17,879,490
Netherlands ..................... 6,442,419 16,834,975 -- 23,277,394
New Zealand ..................... 30,049 2,741,017 -- 2,771,066
Norway. ......................... 1,287,091 9,743,716 -- 11,030,807
Peru ............................ 738,229 -- -- 738,229
35
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENT IN SECURITIES (MARKET VALUE)
------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ ------------ ------- --------------
Philippines ..................... $ 63,530 $ 5,694,167 -- $ 5,757,697
Poland .......................... -- 4,998,739 -- 4,998,739
Portugal ........................ -- 3,130,717 -- 3,130,717
Russia .......................... 305,373 7,285,990 -- 7,591,363
Singapore. ...................... -- 16,210,710 -- 16,210,710
South Africa .................... 3,191,248 20,621,966 -- 23,813,214
South Korea ..................... 4,224,747 45,169,473 -- 49,394,220
Spain ........................... 3,897,379 16,705,228 -- 20,602,607
Sweden .......................... 820,745 28,749,882 -- 29,570,627
Switzerland. .................... 10,505,062 48,341,200 -- 58,846,262
Taiwan .......................... 268,828 36,879,516 -- 37,148,344
Thailand ........................ 9,959,773 204,751 -- 10,164,524
Turkey .......................... 136,087 6,135,215 -- 6,271,302
United Kingdom .................. 58,860,179 133,405,431 -- 192,265,610
United States ................... 87,049 -- -- 87,049
Preferred Stocks
Brazil .......................... 14,617,943 499 -- 14,618,442
Chile ........................... 159,330 -- -- 159,330
Colombia ........................ 10,645 -- -- 10,645
Germany ......................... -- 811,510 -- 811,510
Malaysia ........................ -- 12,235 -- 12,235
Rights/Warrants
Australia ....................... -- 27,769 -- 27,769
Belgium ......................... -- 98 -- 98
Brazil .......................... -- 674 -- 674
Hong Kong ....................... -- 40,820 -- 40,820
Malaysia ........................ -- 218 -- 218
Poland .......................... -- 684 -- 684
Singapore. ...................... -- 10,242 -- 10,242
South Africa .................... -- 3,914 -- 3,914
South Korea ..................... -- 627 -- 627
Spain ........................... -- -- -- --
Thailand ........................ -- -- -- --
Securities Lending Collateral ...... -- 51,330,826 -- 51,330,826
------------ ------------ --- --------------
TOTAL .............................. $318,868,843 $967,837,860 -- $1,286,706,703
============ ============ === ==============
See accompanying Notes to Financial Statements.
36
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED
U.S. MARKETWIDE TAX-MANAGED TAX-MANAGED TAX-MANAGED
VALUE U.S. EQUITY U.S. TARGETED VALUE U.S. SMALL CAP
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ------------ ------------------- --------------
ASSETS:
Investments in Affiliated Investment Company at
Value ............................................... $ 2,345,657 -- -- --
Investments at Value (including $0, $137,973,
$249,463 and $222,669 of securities on loan,
respectively) ....................................... -- $ 1,513,790 $ 2,369,251 $ 1,325,586
Temporary Cash Investments at Value & Cost ............. -- 6,981 8,857 5,806
Collateral Received from Securities on Loan at
Value & Cost . ...................................... -- 372 676 603
Affiliated Collateral Received from Securities on
Loan at Value & Cost ................................ -- 141,041 256,073 228,450
Receivables:
Investment Securities Sold/Affiliated Investment
Company Sold ..................................... 692 134 -- 237
Dividends and Interest .............................. -- 1,708 664 428
Securities Lending Income ........................... -- 37 139 186
Fund Shares Sold .................................... 2,126 1,906 2,125 853
Prepaid Expenses and Other Assets ...................... 21 28 24 18
------------ ------------ ------------ ------------
Total Assets ........................................ 2,348,496 1,665,997 2,637,809 1,562,167
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned .................... -- 141,413 256,749 229,053
Investment Securities Purchased/Affiliated
Investment Company Purchased ..................... -- 635 -- 172
Fund Shares Redeemed ................................ 2,818 1,158 1,532 1,042
Due to Advisor ...................................... 297 261 839 560
Accrued Expenses and Other Liabilities ................. 85 119 122 74
------------ ------------ ------------ ------------
Total Liabilities ................................ 3,200 143,586 259,242 230,901
------------ ------------ ------------ ------------
NET ASSETS ............................................. $ 2,345,296 $ 1,522,411 $ 2,378,567 $ 1,331,266
============ ============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1) ................ 139,975,401 100,405,421 103,928,843 53,390,499
============ ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE .................................................. $ 16.76 $ 15.16 $ 22.89 $ 24.93
============ ============ ============ ============
Investments in Affiliated Investment Company at
Cost ................................................ $ 1,823,672 $ -- $ -- $ --
------------ ------------ ------------ ------------
Investments at Cost. ................................... $ -- $ 943,583 $ 1,865,107 $ 921,661
------------ ------------ ------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital. ....................................... $ 1,957,431 $ 1,373,223 $ 1,820,098 $ 992,531
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income) ................. 7,151 4,240 2,982 2,142
Accumulated Net Realized Gain (Loss) ................... (141,271) (425,259) 51,343 (67,332)
Net Unrealized Appreciation (Depreciation) ............. 521,985 570,207 504,144 403,925
------------ ------------ ------------ ------------
NET ASSETS ............................................. $ 2,345,296 $ 1,522,411 $ 2,378,567 $ 1,331,266
============ ============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED ........................ 700,000,000 500,000,000 700,000,000 500,000,000
============ ============ ============ ============
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
T.A. U.S. TAX-MANAGED T.A. WORLD
CORE DFA INTERNATIONAL EX U.S. CORE
EQUITY 2 VALUE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO*
-------------- ----------------- ------------
ASSETS:
Investments at Value (including $328,457, $52,123 and
$51,411 of securities on loan, respectively) ............................ $ 2,840,066 $ 1,960,493 $ 1,235,376
Temporary Cash Investments at Value & Cost ................................ 10,737 -- --
Collateral Received from Securities on Loan at Value & Cost ............... 888 893 331
Affiliated Collateral Received from Securities on Loan at Value & Cost .... 336,327 54,000 51,000
Foreign Currencies at Value ............................................... -- 8,398 2,439
Cash ...................................................................... -- 398 1,708
Receivables:
Investment Securities Sold ............................................. 434 902 35
Dividends, Interest and Tax Reclaims ................................... 2,665 7,106 3,049
Securities Lending Income .............................................. 157 101 102
Fund Shares Sold ....................................................... 3,395 2,461 1,558
Unrealized Gain on Foreign Currency Contracts ............................. -- -- 2
Prepaid Expenses and Other Assets. ........................................ 25 33 10
-------------- ------------ ------------
Total Assets ........................................................ 3,194,694 2,034,785 1,295,610
-------------- ------------ ------------
LIABILITIES:
Payables: .................................................................
Upon Return of Securities Loaned. ...................................... 337,215 54,893 51,331
Investment Securities Purchased ........................................ 4 4,492 1,845
Fund Shares Redeemed ................................................... 3,573 2,974 1,266
Due to Advisor ......................................................... 529 823 413
Unrealized Loss on Foreign Currency Contracts ............................. -- -- 2
Accrued Expenses and Other Liabilities .................................... 139 215 146
-------------- ------------ ------------
Total Liabilities ................................................... 341,460 63,397 55,003
-------------- ------------ ------------
NET ASSETS. ............................................................... $ 2,853,234 $ 1,971,388 $ 1,240,607
============== ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1) ................................... 292,570,881 152,679,690 144,958,470
============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE. ................. $ 9.75 $ 12.91 $ 8.56
============== ============ ============
Investments at Cost ....................................................... $ 2,133,423 $ 2,037,978 $ 1,121,179
-------------- ------------ ------------
Foreign Currencies at Cost ................................................ $ -- $ 8,378 $ 2,411
-------------- ------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital ........................................................... $ 2,139,276 $ 2,075,152 $ 1,122,468
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income) ..................................................... 6,522 7,757 5,850
Accumulated Net Realized Gain (Loss) ...................................... 793 (33,867) (1,893)
Net Unrealized Foreign Exchange Gain (Loss) ............................... -- (189) (43)
Net Unrealized Appreciation (Depreciation) ................................ 706,643 (77,465) 114,225
-------------- ------------ ------------
NET ASSETS. ............................................................... $ 2,853,234 $ 1,971,388 $ 1,240,607
============== ============ ============
(1) NUMBER OF SHARES AUTHORIZED 1,000,000,000 700,000,000 500,000,000
============== ============ ============
--------------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
38
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(AMOUNTS IN THOUSANDS)
TAX-MANAGED
U.S. MARKETWIDE TAX-MANAGED TAX-MANAGED
VALUE U.S. EQUITY U.S. TARGETED VALUE
PORTFOLIO* PORTFOLIO PORTFOLIO
--------------- ----------- -------------------
INVESTMENT INCOME
Dividends .................................................. $ 47,153 $ 30,149 $ 30,580
Interest ................................................... 11 8 14
Income from Securities Lending ............................. 1,480 535 1,888
Expenses Allocated from Affiliated Investment Company ...... (4,774) -- --
--------------- ----------- -------------------
Total Investment Income .............................. 43,870 30,692 32,482
--------------- ----------- -------------------
EXPENSES
Investment Advisory Services Fees .......................... -- 734 9,606
Administrative Services Fees ............................... 3,313 2,202 --
Accounting & Transfer Agent Fees ........................... 37 172 257
Custodian Fees ............................................. -- 32 43
Filing Fees ................................................ 55 46 47
Shareholders' Reports ...................................... 50 28 51
Directors'/Trustees' Fees & Expenses ....................... 19 12 19
Professional Fees .......................................... 19 39 58
Other ...................................................... 24 24 46
--------------- ----------- -------------------
Total Expenses ....................................... 3,517 3,289 10,127
--------------- ----------- -------------------
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) ............... -- (59) --
--------------- ----------- -------------------
Net Expenses ............................................... 3,517 3,230 10,127
--------------- ----------- -------------------
NET INVESTMENT INCOME (LOSS) ............................... 40,353 27,462 22,355
--------------- ----------- -------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment
Securities .............................................. -- 9 --
Net Realized Gain (Loss) on:
Investment Securities Sold .............................. 45,725 37,995 104,052
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities ................................... 285,396 132,559 200,822
--------------- ----------- -------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) .................... 331,121 170,563 304,874
--------------- ----------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS ................................................. $ 371,474 $ 198,025 $ 327,229
=============== =========== ===================
----------
* 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.
39
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(AMOUNTS IN THOUSANDS)
T.A. U.S. TAX-MANAGED T.A. WORLD
TAX-MANAGED CORE DFA INTERNATIONAL EX U.S.
U.S. SMALL CAP EQUITY 2 VALUE CORE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- --------- ----------------- -----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0,
$0, $5,696 and $3,130, respectively) .............. $ 16,193 $ 50,140 $ 70,021 $ 35,662
Interest ............................................. 10 13 1 --
Income from Securities Lending ....................... 2,036 2,278 1,566 1,197
-------------- --------- ----------------- -----------
Total Investment Income ........................ 18,239 52,431 71,588 36,859
-------------- --------- ----------------- -----------
EXPENSES
Investment Advisory Services Fees .................... 6,401 5,894 9,248 4,528
Accounting & Transfer Agent Fees ..................... 152 294 216 141
Custodian Fees ....................................... 46 56 429 664
Filing Fees .......................................... 43 79 92 54
Shareholders' Reports ................................ 34 41 50 25
Directors'/Trustees' Fees & Expenses ................. 11 23 16 9
Professional Fees .................................... 33 69 69 80
Other ................................................ 19 32 43 34
-------------- --------- ----------------- -----------
Total Expenses ................................. 6,739 6,488 10,163 5,535
-------------- --------- ----------------- -----------
Fees Paid Indirectly ................................. -- -- (6) (5)
-------------- --------- ----------------- -----------
Net Expenses ......................................... 6,739 6,488 10,157 5,530
-------------- --------- ----------------- -----------
NET INVESTMENT INCOME (LOSS) ......................... 11,500 45,943 61,431 31,329
-------------- --------- ----------------- -----------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received
from Investment Securities ........................ -- 37 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold ........................ 68,129 19,708 (1,850) 1,868
Foreign Currency Transactions ..................... -- -- (768) (3)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency .......................................... 86,134 300,040 (5,473) 26,612
Translation of Foreign Currency
Denominated Amounts ............................... -- -- (58) (108)
-------------- --------- ----------------- -----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ............................................. 154,263 319,785 (8,149) 28,369
-------------- --------- ----------------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS ............................ $ 165,763 $ 365,728 $ 53,282 $ 59,698
============== ========= ================= ===========
See accompanying Notes to Financial Statements.
40
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
TAX-MANAGED TAX-MANAGED TAX-MANAGED TAX-MANAGED
U.S. MARKETWIDE U.S. EQUITY U.S. TARGETED U.S. SMALL CAP
VALUE PORTFOLIO PORTFOLIO VALUE PORTFOLIO PORTFOLIO
---------------------- ---------------------- ---------- ---------- ---------- ----------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2012 2011 2012 2011 2012 2011 2012 2011
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) ..... $ 40,353 $ 30,707 $ 27,462 $ 23,293 $ 22,355 $ 15,488 $ 11,500 $ 8,057
Capital Gain Distributions
Received from
Investment Securites .......... -- -- 9 -- -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities
Sold/Affiliated Investment
Companies Sold ............. 45,725 55,401 37,995 16,560 104,052 163,018 68,129 86,099
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities/Affiliated
Investment Companies .......... 285,396 29,854 132,559 57,130 200,822 (52,059) 86,134 5,490
---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------
Net Increase (Decrease) in
Net Assets Resulting from
Operations .............. 371,474 115,962 198,025 96,983 327,229 126,447 165,763 99,646
---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------
Distributions From:
Net Investment Income ............ (38,619) (29,356) (26,579) (22,909) (20,027) (15,344) (10,665) (7,826)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------
Total Distributions ........... (38,619) (29,356) (26,579) (22,909) (20,027) (15,344) (10,665) (7,826)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------
Capital Share Transactions(1):
Shares Issued .................... 273,305 424,803 208,380 267,973 228,284 369,513 151,087 189,668
Shares Issued in Lieu of Cash
Distributions ................. 37,484 28,526 24,979 20,568 19,783 15,175 10,379 7,626
Shares Redeemed .................. (361,467) (373,757) (246,462) (284,783) (367,757) (450,282) (197,583) (218,323)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------
Net Increase (Decrease) from
Capital Share Transactions.. (50,678) 79,572 (13,103) 3,758 (119,690) (65,594) (36,117) (21,029)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------
Total Increase (Decrease)
in Net Assets .............. 282,177 166,178 158,343 77,832 187,512 45,509 118,981 70,791
NET ASSETS
Beginning of Period .............. 2,063,119 1,896,941 1,364,068 1,286,236 2,191,055 2,145,546 1,212,285 1,141,494
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
End of Period .................... $2,345,296 $2,063,119 $1,522,411 $1,364,068 $2,378,567 $2,191,055 $1,331,266 $1,212,285
========== ========== ========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued .................... 17,802 28,609 14,501 19,801 10,738 17,877 6,365 8,418
Shares Issued in Lieu of Cash
Distributions ................. 2,494 1,941 1,766 1,533 970 743 459 342
Shares Redeemed .................. (23,378) (25,136) (17,041) (21,432) (17,209) (21,598) (8,365) (9,600)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------
Net Increase (Decrease) from
Shares Issued and Redeemed.. (3,082) 5,414 (774) (98) (5,501) (2,978) (1,541) (840)
========== ========== ========== ========== ========== ========== ========== =========
UNDISTRIBUTED NET
INVESTMENT INCOME (DISTRIBUTIONS
IN EXCESS OF NET INVESTMENT
INCOME) .......................... $ 7,151 $ 5,375 $ 4,240 $ 3,356 $ 2,982 $ 2,021 $ 2,142 $ 1,302
See accompanying Notes to Financial Statements.
41
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
T.A. WORLD
T.A. U.S. TAX-MANAGED EX U.S.
CORE EQUITY 2 DFA INTERNATIONAL CORE EQUITY
PORTFOLIO VALUE PORTFOLIO PORTFOLIO
-------------------------- -------------------------- --------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2012 2011 2012 2011 2012 2011
------------ ------------ ------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) .......... $ 45,943 $ 32,960 $ 61,431 $ 61,460 $ 31,329 $ 28,745
Capital Gain Distributions Received
from Investment Securities ......... 37 -- -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold ......... 19,708 20,516 (1,850) 68,397 1,868 3,859
Foreign Currency Transactions ...... -- -- (768) 460** (3) (131)**
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency ........................ 300,040 80,826 (5,473) (282,899) 26,612 (128,674)
Translation of Foreign Currency
Denominated Amounts ............. -- -- (58) (385) (108) (3)
Change in Deferred Thailand Capital
Gains Tax .......................... -- -- -- -- -- 316
------------ ------------ ------------ ------------ ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations 365,728 134,302 53,282 (152,967) 59,698 (95,888)
------------ ------------ ------------ ------------ ------------ ------------
Distributions From:
Net Investment Income ................. (42,125) (31,850) (58,706) (59,500) (29,565) (27,820)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions ............. (42,125) (31,850) (58,706) (59,500) (29,565) (27,820)
------------ ------------ ------------ ------------ ------------ ------------
Capital Share Transactions(1):
Shares Issued ......................... 508,269 710,062 531,329 523,994 384,441 396,289
Shares Issued in Lieu of Cash
Distributions ...................... 41,426 31,390 57,299 58,085 28,659 26,989
Shares Redeemed ....................... (452,936) (425,616) (455,312) (360,119) (245,607) (223,588)
------------ ------------ ------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital
Share Transactions .............. 96,759 315,836 133,316 221,960 167,493 199,690
------------ ------------ ------------ ------------ ------------ ------------
Total Increase (Decrease) in Net
Assets .......................... 420,362 418,288 127,892 9,493 197,626 75,982
NET ASSETS
Beginning of Period ................... 2,432,872 2,014,584 1,843,496 1,834,003 1,042,981 966,999
------------ ------------ ------------ ------------ ------------ ------------
End of Period ......................... $ 2,853,234 $ 2,432,872 $ 1,971,388 $ 1,843,496 $ 1,240,607 $ 1,042,981
============ ============ ============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued ......................... 55,305 80,649 43,190 37,445 47,312 42,686
Shares Issued in Lieu of Cash
Distributions ...................... 4,601 3,600 4,849 3,994 3,668 2,902
Shares Redeemed ....................... (49,089) (48,716) (37,266) (25,779) (30,383) (25,134)
------------ ------------ ------------ ------------ ------------ ------------
Net Increase (Decrease) from Shares
Issued and Redeemed ............. 10,817 35,533 10,773 15,660 20,597 20,454
============ ============ ============ ============ ============ ============
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) .................... $ 6,522 $ 4,481 $ 7,757 $ 7,201 $ 5,850 $ 3,526
----------
** Net of foreign capital gain taxes withheld of $2 and $71, respectively.
See accompanying Notes to Financial Statements.
42
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
-------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED DEC. 1, ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2007 TO NOV. 30,
2012 2011 2010 2009 OCT. 31, 2008 2007
---------- ---------- ---------- ---------- ------------- ----------
Net Asset Value, Beginning
of Period ............... $ 14.42 $ 13.78 $ 11.61 $ 10.59 $ 17.51 $ 17.67
---------- ---------- ---------- ---------- ------------- ----------
Income from Investment
Operations
Net Investment Income
(Loss) (A) ........... 0.28 0.22 0.16 0.21 0.27 0.27
Net Gains (Losses) on
Securities (Realized
and Unrealized) ...... 2.33 0.63 2.17 1.06 (6.66) (0.16)
---------- ---------- ---------- ---------- ------------- ----------
Total from Investment
Operations ........ 2.61 0.85 2.33 1.27 (6.39) 0.11
---------- ---------- ---------- ---------- ------------- ----------
Less Distributions
Net Investment Income ... (0.27) (0.21) (0.16) (0.25) (0.29) (0.27)
Net Realized Gains ...... -- -- -- -- (0.24) --
---------- ---------- ---------- ---------- ------------- ----------
Total Distributions .. (0.27) (0.21) (0.16) (0.25) (0.53) (0.27)
---------- ---------- ---------- ---------- ------------- ----------
Net Asset Value, End
of Period ............... $ 16.76 $ 14.42 $ 13.78 $ 11.61 $ 10.59 $ 17.51
========== ========== ========== ========== ============= ==========
Total Return ............... 18.34% 6.15% 20.17% 12.54% (37.53)%(C) 0.54%
---------- ---------- ---------- ---------- ------------- ----------
Net Assets, End of Period
(thousands) ............. $2,345,296 $2,063,119 $1,896,941 $1,618,256 $ 1,576,757 $2,747,843
Ratio of Expenses to
Average Net Assets ...... 0.38%(D) 0.38%(D) 0.38%(D) 0.40%(D) 0.38%(B)(D) 0.37%(D)
Ratio of Expenses to
Average Net Assets
(Excluding Waivers and
Assumption of Expenses
and/or Recovery of
Previously Waived
Fees) ................ 0.38%(D) 0.38%(D) 0.38%(D) 0.40%(D) 0.38%(B)(D) 0.37%(D)
Ratio of Net Investment
Income to Average Net
Assets .................. 1.83% 1.45% 1.24% 2.07% 1.93%(B) 1.45%
Portfolio Turnover Rate .... N/A N/A N/A N/A N/A N/A
TAX-MANAGED U.S. EQUITY PORTFOLIO
-------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED DEC. 1, ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2007 TO NOV. 30,
2012 2011 2010 2009 OCT. 31, 2008 2007
---------- ---------- ---------- ---------- ------------- ----------
Net Asset Value, Beginning
of Period ............... $ 13.48 $ 12.70 $ 10.94 $ 10.36 $ 15.57 $ 14.75
---------- ---------- ---------- ---------- ------------- ----------
Income from Investment
Operations
Net Investment
Income (Loss)(A) ..... 0.27 0.23 0.20 0.22 0.23 0.25
Net Gains (Losses) on
Securities (Realized
and Unrealized) ...... 1.67 0.77 1.76 0.60 (5.19) 0.81
---------- ---------- ---------- ---------- ------------- ----------
Total from Investment
Operations ........ 1.94 1.00 1.96 0.82 (4.96) 1.06
---------- ---------- ---------- ---------- ------------- ----------
Less Distributions
Net Investment Income ... (0.26) (0.22) (0.20) (0.24) (0.25) (0.24)
Net Realized Gains ...... -- -- -- -- -- --
---------- ---------- ---------- ---------- ------------- ----------
Total Distributions .. (0.26) (0.22) (0.20) (0.24) (0.25) (0.24)
---------- ---------- ---------- ---------- ------------- ----------
Net Asset Value, End
of Period ............... $ 15.16 $ 13.48 $ 12.70 $ 10.94 $ 10.36 $ 15.57
========== ========== ========== ========== ============= ==========
Total Return ............... 14.57% 7.92% 18.10% 8.30% (32.30)%(C) 7.23%
---------- ---------- ---------- ---------- ------------- ----------
Net Assets, End of Period
(thousands) ............. $1,522,411 $1,364,068 $1,286,236 $1,141,449 $ 1,268,330 $1,823,812
Ratio of Expenses to
Average Net Assets ...... 0.22% 0.22%** 0.22%(D) 0.22%(D) 0.22%(B)(D) 0.22%(D)
Ratio of Expenses to
Average Net Assets
(Excluding Waivers and
Assumption of Expenses
and/or Recovery of
Previously Waived Fees).. 0.22% 0.23%** 0.23%(D) 0.26%(D) 0.23%(B)(D) 0.23%(D)
Ratio of Net
Investment Income to
Average Net Assets ...... 1.87% 1.65% 1.70% 2.24% 1.76%(B) 1.59%
Portfolio Turnover
Rate .................... 7% 11%* N/A N/A N/A N/A
----------
* For the period February 28, 2011 through October 31, 2011. Effective
February 28, 2011, the Portfolio invests directly in securities rather than
through The Tax-Managed U.S. Equity Series.
** Represents the combined ratios for the Portfolio and for the period
November 1, 2010 through February 27, 2011, its respective pro-rata share
of The Tax-Managed U.S. Equity Series. See page 1 for the Definitions of
Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
43
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
-------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED DEC. 1, ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2007 TO NOV. 30,
2012 2011 2010 2009 OCT. 31, 2008 2007
---------- ---------- ---------- ---------- ------------- ----------
Net Asset Value, Beginning
of Period ..... $ 20.02 $ 19.09 $ 14.96 $ 14.41 $ 23.09 $ 27.39
---------- ---------- ---------- ---------- ------------- ----------
Income from Investment
Operations
Net Investment Income
(Loss)(A) ............ 0.21 0.14 0.11 0.14 0.20 0.25
Net Gains (Losses)
on Securities
(Realized and
Unrealized) .......... 2.85 0.93 4.13 0.60 (7.29) (1.87)
---------- ---------- ---------- ---------- ------------- ----------
Total from Investment
Operations ........ 3.06 1.07 4.24 0.74 (7.09) (1.62)
---------- ---------- ---------- ---------- ------------- ----------
Less Distributions
Net Investment Income ... (0.19) (0.14) (0.11) (0.19) (0.18) (0.24)
Net Realized Gains ...... -- -- -- -- (1.41) (2.44)
---------- ---------- ---------- ---------- ------------- ----------
Total Distributions .. (0.19) (0.14) (0.11) (0.19) (1.59) (2.68)
---------- ---------- ---------- ---------- ------------- ----------
Net Asset Value, End
of Period ............... $ 22.89 $ 20.02 $ 19.09 $ 14.96 $ 14.41 $ 23.09
========== ========== ========== ========== ============= ==========
Total Return ............... 15.39% 5.58% 28.43% 5.41% (32.85)%(C) (6.58)%
---------- ---------- ---------- ---------- ------------- ----------
Net Assets, End of Period
(thousands) ............. $2,378,567 $2,191,055 $2,145,546 $1,700,343 $ 1,662,774 $2,905,694
Ratio of Expenses to
Average Net Assets ...... 0.44% 0.44% 0.45% 0.47% 0.45%(B) 0.47%
Ratio of Net
Investment Income to
Average Net Assets ...... 0.98% 0.66% 0.63% 1.04% 1.07%(B) 0.98%
Portfolio Turnover
Rate .................... 12% 21% 26% 34% 40%(C) 28%
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
-------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED DEC. 1, ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2007 TO NOV. 30,
2012 2011 2010 2009 OCT. 31, 2008 2007
---------- ---------- ---------- ---------- ------------- ----------
Net Asset Value, ...........
Beginning of Period $ 22.07 $ 20.47 $ 16.26 $ 15.83 $ 25.86 $ 26.27
---------- ---------- ---------- ---------- ------------- ----------
Income from Investment
Operations
Net Investment
Income (Loss)(A) ..... 0.21 0.15 0.11 0.13 0.19 0.18
Net Gains (Losses) on
Securities (Realized
and Unrealized) ...... 2.85 1.59 4.20 0.47 (7.87) (0.42)
---------- ---------- ---------- ---------- ------------- ----------
Total from Investment
Operations ........ 3.06 1.74 4.31 0.60 (7.68) (0.24)
---------- ---------- ---------- ---------- ------------- ----------
Less Distributions
Net Investment Income ... (0.20) (0.14) (0.10) (0.17) (0.18) (0.17)
Net Realized Gains ...... -- -- -- -- (2.17) --
---------- ---------- ---------- ---------- ------------- ----------
Total Distributions .. (0.20) (0.14) (0.10) (0.17) (2.35) (0.17)
---------- ---------- ---------- ---------- ------------- ----------
Net Asset Value, End
of Period ............... $ 24.93 $ 22.07 $ 20.47 $ 16.26 $ 15.83 $ 25.86
========== ========== ========== ========== ============= ==========
Total Return ............... 13.95% 8.50% 26.61% 3.98% (32.53)%(C) (0.94)%
---------- ---------- ---------- ---------- ------------- ----------
Net Assets, End of
Period (thousands) ...... $1,331,266 $1,212,285 $1,141,494 $ 957,145 $ 1,077,395 $1,779,245
Ratio of Expenses to
Average Net Assets ...... 0.53% 0.53% 0.53% 0.55% 0.53%(B) 0.53%
Ratio of Net
Investment Income to
Average Net Assets ...... 0.90% 0.64% 0.58% 0.88% 0.98%(B) 0.65%
Portfolio Turnover Rate .... 17% 22% 27% 28% 39%(C) 31%
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
44
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
T.A. U.S. CORE EQUITY 2 PORTFOLIO
-----------------------------------------------------------------------------------------------
PERIOD PERIOD
YEAR YEAR YEAR YEAR DEC. 1, OCT. 4,
ENDED ENDED ENDED ENDED 2007 TO 2007(a) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ------------- ----------
Net Asset Value, Beginning
of Period ............... $ 8.63 $ 8.18 $ 6.83 $ 6.31 $ 9.40 $ 10.00
---------- ---------- ---------- ---------- ------------- ----------
Income from Investment
Operations
Net Investment Income
(Loss) (A) ........... 0.16 0.12 0.11 0.11 0.13 0.02
Net Gains (Losses) on
Securities (Realized
and Unrealized) ...... 1.11 0.45 1.35 0.52 (3.12) (0.62)
---------- ---------- ---------- ---------- ------------- ----------
Total from Investment
Operations ........ 1.27 0.57 1.46 0.63 (2.99) (0.60)
---------- ---------- ---------- ---------- ------------- ----------
Less Distributions
Net Investment Income ... (0.15) (0.12) (0.11) (0.11) (0.10) --
Net Realized Gains ...... -- -- -- -- -- --
---------- ---------- ---------- ---------- ------------- ----------
Total Distributions .. (0.15) (0.12) (0.11) (0.11) (0.10) --
---------- ---------- ---------- ---------- ------------- ----------
Net Asset Value, End
of Period ............... $ 9.75 $ 8.63 $ 8.18 $ 6.83 $ 6.31 $ 9.40
========== ========== ========== ========== ============= ==========
Total Return ............... 14.82% 6.97% 21.49% 10.28% (32.16)%(C) (6.00)%(C)
---------- ---------- ---------- ---------- ------------- ----------
Net Assets, End of Period
(thousands) ...... $2,853,234 $2,432,872 $2,014,584 $1,444,886 $ 585,165 $ 106,507
Ratio of Expenses to
Average Net Assets ...... 0.24% 0.24% 0.25% 0.28% 0.29%(B) 0.30%(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) ............. 0.24% 0.24% 0.25% 0.28% 0.29%(B) 0.60%(B)(E)
Ratio of Net
Investment Income to
Average Net Assets ...... 1.71% 1.39% 1.45% 1.82% 1.75%(B) 2.09%(B)(E)
Portfolio Turnover
Rate .................... 6% 6% 5% 5% 9%(C) 0%(C)
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
-------------------------------------------------------------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR DEC. 1, YEAR
ENDED ENDED ENDED ENDED 2007 TO ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30,
2012 2011 2010 2009 2008 2007
---------- ---------- ---------- ---------- ------------- ----------
Net Asset Value, Beginning
of Period ............... $ 12.99 $ 14.53 $ 13.49 $ 10.55 $ 21.91 $ 19.96
---------- ---------- ---------- ---------- ------------- ----------
Income from Investment
Operations
Net Investment Income
(Loss) (A) ........... 0.42 0.46 0.31 0.32 0.59 0.59
Net Gains (Losses) on
Securities (Realized
and Unrealized) ...... (0.10) (1.55) 1.03 3.00 (9.60) 2.76
---------- ---------- ---------- ---------- ------------- ----------
Total from Investment
Operations ..... 0.32 (1.09) 1.34 3.32 (9.01) 3.35
---------- ---------- ---------- ---------- ------------- ----------
Less Distributions
Net Investment Income ... (0.40) (0.45) (0.30) (0.38) (0.64) (0.48)
Net Realized Gains ...... -- -- -- -- (1.71) (0.92)
---------- ---------- ---------- ---------- ------------- ----------
Total Distributions .. (0.40) (0.45) (0.30) (0.38) (2.35) (1.40)
---------- ---------- ---------- ---------- ------------- ----------
Net Asset Value, End
of Period ............... $ 12.91 $ 12.99 $ 14.53 $ 13.49 $ 10.55 $ 21.91
========== ========== ========== ========== ============= ==========
Total Return ............... 2.77% (7.81)% 10.34% 32.27% (45.58)%(C) 17.51%
---------- ---------- ---------- ---------- ------------- ----------
Net Assets, End of
Period (thousands) ...... $1,971,388 $1,843,496 $1,834,003 $1,637,834 $ 1,393,229 $2,859,270
Ratio of Expenses to
Average Net Assets ...... 0.55% 0.55% 0.55% 0.56% 0.54%(B) 0.54%
Ratio of Expenses to
Average Net Assets
(Excluding Waivers and
Assumption of Expenses
and/or Recovery of
Previously Waived Fees
and Fees Paid
Indirectly) ............. 0.55% 0.55% 0.55% 0.56% 0.54%(B) 0.54%
Ratio of Net
Investment Income to
Average Net Assets ...... 3.32% 3.16% 2.29% 2.92% 3.76%(B) 2.77%
Portfolio Turnover Rate .... 18% 16% 28% 24% 24%(C) 20%
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
45
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
T.A WORLD EX U.S. CORE EQUITY PORTFOLIO
--------------------------------------------------------------
PERIOD
MARCH 6,
YEAR YEAR YEAR YEAR 2008(a)
ENDED ENDED ENDED ENDED TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2012 2011 2010 2009 2008
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period ....................... $ 8.39 $ 9.31 $ 8.13 $ 5.85 $ 10.00
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
Net Investment Income (Loss) (A) ........................ 0.23 0.25 0.17 0.16 0.15
Net Gains (Losses) on Securities (Realized and
Unrealized) .......................................... 0.16 (0.93) 1.17 2.27 (4.15)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations ..................... 0.39 (0.68) 1.34 2.43 (4.00)
---------- ---------- ---------- ---------- ----------
Less Distributions
Net Investment Income ................................... (0.22) (0.24) (0.16) (0.15) (0.15)
---------- ---------- ---------- ---------- ----------
Total Distributions .................................. (0.22) (0.24) (0.16) (0.15) (0.15)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period ............................. $ 8.56 $ 8.39 $ 9.31 $ 8.13 $ 5.85
========== ========== ========== ========== ==========
Total Return ............................................... 4.90% (7.55)% 16.78% 42.13% (40.61)%(C)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands) ...................... $1,240,607 $1,042,981 $ 966,999 $ 668,728 $ 228,318
Ratio of Expenses to Average Net Assets .................... 0.49% 0.48% 0.48% 0.54% 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) ........ 0.49% 0.48% 0.48% 0.51% 0.85%(B)(E)
Ratio of Net Investment Income to Average Net Assets ....... 2.77% 2.63% 2.00% 2.38% 3.27%(B)(E)
Portfolio Turnover Rate .................................... 3% 5% 2% 5% 2%(C)
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
46
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of sixty-seven
operational portfolios, seven of which (the "Portfolios"), are included in this
section of the report. The remaining sixty portfolios are presented in separate
reports.
Tax-Managed U.S. Marketwide Value Portfolio (the "Feeder Fund") primarily
invests its assets in The Tax-Managed U.S. Marketwide Value Series (the
"Series"), a corresponding Series of The DFA Investment Trust Company. At
October 31, 2012, the Feeder Fund owned 71% of its 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
Feeder Fund.
Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Targeted Value
Portfolio, Tax-Managed U.S. Small Cap Portfolio, T.A. U.S. Core Equity 2
Portfolio, Tax-Managed DFA International Value Portfolio and T.A. World ex U.S.
Core Equity Portfolio are organized as stand-alone registered investment
companies.
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.
Prior to February 28, 2011, Tax-Managed U.S. Equity Portfolio invested
substantially all of its assets in The Tax-Managed U.S. Equity Series (the
"Equity Series"). At the close of business February 25, 2011, Tax-Managed U.S.
Equity Portfolio received its prorata share of cash and securities from the
Equity Series in a complete liquidation of its interest in the Equity Series.
Effective February 28, 2011, Tax-Managed U.S. Equity Portfolio invests directly
in securities rather than through the Equity Series and maintains the same
investment objective.
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)
Securities held by Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S.
Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio and T.A. U.S.
Core Equity 2 Portfolio (the "Domestic Equity Portfolios") and Tax-Managed
47
DFA International Value Portfolio and T.A. World ex U.S. 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. 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 Dimensional Fund Advisors LP) 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. These securities are generally categorized as
Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day at
the close of the Tokyo Stock Exchange (normally, 11:00 p.m. PT), which is
fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the
time that the net asset value of the International 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 has determined
that movements in relevant indices or other appropriate market indicators, after
the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate
that market quotations may be unreliable. Fair valuation of portfolio securities
may occur on a daily basis. The fair value pricing by the International Equity
Portfolios utilize data furnished by an independent pricing service (and that
data draws upon, among other information, the market values of foreign
investments). When the International Equity Portfolios use fair value pricing,
the values assigned to the International Equity Portfolios' 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 hierachy.
Futures contracts held by the Portfolios 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.
Tax-Managed U.S. Marketwide 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.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in the
Security Valuation note. Valuation hierarchy tables have been included at the
end of the 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 had no material transfers between Level 1 and Level 2 during
the year ended October 31, 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
48
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The 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 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 the amount 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 Director/Trustee 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/Trustees may defer payment of all or a portion of their total fees
earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/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 Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/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 Director/Trustee ceases to be a member of the Board
(unless the Director/Trustee files an amended Notice selecting a different
distribution date). As of October 31, 2012, none of the Directors/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 Portfolios estimate the character of distributions
received that may be considered return of capital distributions. Interest income
is recorded on the accrual basis. Expenses directly attributable to a Portfolio
are directly charged. Common expenses of the Fund or Portfolios are allocated
using methods approved by the Board, generally based on average net assets.
The Feeder Fund recognizes its pro-rata share of net investment income and
realized and unrealized gains/losses of investment securities, on a daily basis,
from its Series, which is treated as a partnership for federal income tax
purposes.
The International Equity Portfolios may be subject to taxes imposed by
countries in which it invests, with respect to its investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The International Equity 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
49
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 abroad.
T.A. World ex U.S. Core Equity Portfolio 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:
The Advisor, Dimensional Fund Advisors LP, provides administrative services
to the Feeder Fund and Tax-Managed U.S. Equity Portfolio, including supervision
of services provided by others, providing information to shareholders and the
Board, and other administrative services. The Advisor provides investment
advisory services to the Portfolios. The Advisor does not receive additional
compensation for the investment advisory services it provides for the Feeder
Fund. For the year ended October 31, 2012, the Portfolios' administrative
services fees or investment advisory services fees were accrued daily and paid
monthly to the Advisor based on the following effective annual rates of average
daily net assets:
ADMINISTRATIVE ADVISORY
SERVICES FEES SERVICES FEES
-------------- -------------
Tax-Managed U.S. Marketwide Value Portfolio ...... 0.15% --
Tax-Managed U.S. Equity Portfolio ................ 0.15% 0.05%
Tax-Managed U.S. Targeted Value Portfolio ........ -- 0.42%
Tax-Managed U.S. Small Cap Portfolio ............. -- 0.50%
T.A. U.S. Core Equity 2 Portfolio ................ -- 0.22%
Tax-Managed DFA International Value Portfolio .... -- 0.50%
T.A. World ex U.S. Core Equity Portfolio ......... -- 0.40%
Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has
contractually agreed to waive certain fees and in certain instances, assume
certain expenses of the Tax-Managed U.S. Equity Portfolio, T.A. U.S. Core Equity
2 Portfolio, and T.A. World ex U.S. Core Equity Portfolio, 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 year ended October 31, 2012, the Portfolios listed 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 listed, 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/
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE
AMOUNT EXPENSES ASSUMED RECOVERY
---------- ---------------- -----------------
Tax-Managed U.S. Equity Portfolio (1) .............. 0.22% -- $315
T.A. U.S. Core Equity 2 Portfolio (2) .............. 0.30% -- --
T.A. World ex U.S. Core Equity Portfolio (3) ....... 0.60% -- --
(1) The Advisor has contractually agreed to waive its administration fee and
advisory fee and assume the expenses of the Portfolio to the extent
necessary to reduce the Portfolio's total operating expenses 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 annualized 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 annualized expenses to exceed
the Expense Limitation Amount, as listed above.
50
(2) The Advisor has contractually agreed to waive all or a portion of its
advisory fee and to assume the Portfolio's ordinary operating 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 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
annualized 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 any 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 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 funds managed
by the Advisor but excluding the expenses that the Portfolio incurs
indirectly through its invesment 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 annualized
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 any 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.
EARNED INCOME CREDIT:
In addition, the Portfolios have entered into arrangements with their
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of each Portfolio's custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
During the year ended October 31, 2012, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
Tax-Managed DFA International Value Portfolio ...... $6
T.A. World ex U.S. Core Equity Portfolio ........... 5
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers
and Directors/Trustees of the Fund; however, such Officers and
Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO"))
receive no compensation from the Fund. For the year ended October 31, 2012, the
total related amounts paid to the CCO by the Fund were $234 (in thousands). The
total related amounts paid by each of the Portfolios are included in Other
Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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):
Tax-Managed U.S. Marketwide Value Portfolio ........ $57
Tax-Managed U.S. Equity Portfolio .................. 79
Tax-Managed U.S. Targeted Value Portfolio .......... 60
Tax-Managed U.S. Small Cap Portfolio ............... 35
T.A. U.S. Core Equity 2 Portfolio .................. 50
Tax-Managed DFA International Value Portfolio ...... 54
T.A. World ex U.S. Core Equity Portfolio ........... 22
51
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2012, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
PURCHASES SALES
--------- --------
Tax-Managed U.S. Equity Portfolio .............. $102,118 $120,824
Tax-Managed U.S. Targeted Value Portfolio ...... 266,212 391,566
Tax-Managed U.S. Small Cap Portfolio ........... 219,280 259,837
T.A. U.S. Core Equity 2 Portfolio .............. 233,403 151,375
Tax-Managed DFA International Value Portfolio .. 475,088 334,492
T.A. World ex U.S. Core Equity Portfolio ....... 201,113 34,906
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 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, 2012, primarily attributable to net realized foreign currency
gains/(losses), realized gains on securities considered to be "passive foreign
investment companies", the utilization of accumulated earnings and profits
distributed to shareholders on redemptions of shares as part of the dividends
paid deduction for income tax purposes and non-deductible expenses, 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)
--------------- -------------- --------------
Tax-Managed U.S. Marketwide Value Portfolio .... $ (3) $ 42 $ (39)
Tax Managed U.S. Equity Portfolio .............. (1) 1 --
Tax-Managed U.S. Targeted Value Portfolio ...... 4,833 (1,367) (3,466)
Tax Managed U.S. Small Cap Portfolio ........... (5) 5 --
T.A. U.S. Core Equity 2 Portfolio .............. 1,917 (1,777) (140)
Tax-Managed DFA International Value Portfolio .. 1,401 (2,169) 768
T.A. World ex U.S. Core Equity Portfolio ....... 782 560 (1,342)
52
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2011 and October 31, 2012 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAIN TOTAL
-------------- ------------ -------
Tax-Managed U.S. Marketwide Value Portfolio
2011 ........................................... $29,356 -- $29,356
2012 ........................................... 38,619 -- 38,619
Tax-Managed U.S. Equity Portfolio
2011 ........................................... 22,909 -- 22,909
2012 ........................................... 26,579 -- 26,579
Tax-Managed U.S. Targeted Value Portfolio
2011 ........................................... 15,344 -- 15,344
2012 ........................................... 21,411 $3,466 24,877
Tax-Managed U.S. Small Cap Portfolio
2011 ........................................... 7,826 -- 7,826
2012 ........................................... 10,665 -- 10,665
T.A. U.S. Core Equity 2 Portfolio
2011 ........................................... 32,785 -- 32,785
2012 ........................................... 43,904 140 44,044
Tax-Managed DFA International Value Portfolio
2011 ........................................... 61,130 -- 61,130
2012 ........................................... 60,106 -- 60,106
T.A. World ex U.S. Core Equity Portfolio
2011 ........................................... 28,920 -- 28,920
2012 ........................................... 30,337 10 30,347
At October 31, 2012, 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
-------------- ------------- ------
Tax-Managed U.S. Targeted Value Portfolio ......... $1,384 $3,466 $4,850
T.A. U.S. Core Equity 2 Portfolio ................. 1,779 140 1,919
Tax-Managed DFA International Value Portfolio ..... 1,400 -- 1,400
T.A. World ex U.S. Core Equity Portfolio .......... 772 10 782
At October 31, 2012, 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)
-------------- ------------- ------------ -------------
Tax-Managed U.S. Marketwide Value Portfolio ..... $7,429 -- $(140,771) $(133,342)
Tax-Managed U.S. Equity Portfolio ............... 4,360 -- (424,041) (419,681)
Tax-Managed U.S. Targeted Value Portfolio ....... 4,346 $51,903 -- 56,249
53
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED CAPITAL EARNINGS
SHORT-TERM LONG-TERM LOSS (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSSES)
-------------- ------------- ------------ -------------
Tax-Managed U.S. Small Cap Portfolio ............ $2,724 -- $(66,960) $(64,236)
T.A. U.S. Core Equity 2 Portfolio ............... 6,745 $3,473 -- 10,218
Tax-Managed DFA International Value Portfolio ... 7,810 -- (30,216) (22,406)
T.A. World ex U.S. Core Equity Portfolio ........ 6,458 415 -- 6,873
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.
Under the Regulated Investment Company Modernization Act of 2010, capital losses
incurred by these Portfolios after October 31, 2011 will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2012, the following
Portfolios had capital loss carryforwards available to offset future realized
capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON OCTOBER 31,
----------------------
2016 2017 UNLIMITED TOTAL
-------- -------- --------- --------
Tax-Managed U.S. Marketwide Value Portfolio ..... -- $140,771 -- $140,771
Tax-Managed U.S. Equity Portfolio ............... $137,475 286,566 -- 424,041
Tax-Managed U.S. Small Cap Portfolio ............ -- 66,960 -- 66,960
Tax-Managed DFA International Value Portfolio ... -- 28,430 $1,786 30,216
During the year ended October 31, 2012, the following Portfolios utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes (amount in thousands):
Tax-Managed U.S. Marketwide Value Portfolio ......................... $45,693
Tax-Managed U.S. Equity Portfolio ................................... 37,759
Tax Managed U.S. Targeted Value Portfolio ........................... 48,683
Tax Managed U.S. Small Cap Portfolio ................................ 68,086
T.A. U.S. Core Equity 2 Portfolio ................................... 16,156
T.A. World ex U.S. Core Equity Portfolio ............................ 120
At October 31, 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)
---------- ------------ -------------- --------------
Tax-Managed U.S. Marketwide Value Portfolio ....... $1,824,371 $681,755 $(160,469) $521,286
Tax-Managed U.S. Equity Portfolio ................. 1,093,235 601,145 (32,196) 568,949
Tax-Managed U.S. Targeted Value Portfolio ......... 2,132,577 698,539 (196,259) 502,280
Tax-Managed U.S. Small Cap Portfolio .............. 1,157,439 474,111 (71,105) 403,006
T.A. U.S. Core Equity 2 Portfolio ................. 2,484,228 821,253 (117,463) 703,790
Tax-Managed DFA International Value Portfolio ..... 2,096,521 214,191 (295,326) (81,135)
T.A. World ex U.S. Core Equity Portfolio .......... 1,175,405 267,617 (156,315) 111,302
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
54
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 Portfolio's
tax position and has concluded that no additional provision for income tax is
required in the Portfolios' financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total amounts
of unrecognized tax benefits will significantly change in the next twelve
months. Each of the Portfolio's federal tax returns for the prior three years
remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. 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 the 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 by the
Portfolios may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
3. Futures Contracts: The Portfolios 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 Portfolio deposits cash or pledges U.S. Government securities to a broker,
equal to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Subsequent payments are received from or paid to the broker
each day, based on the daily fluctuation in the market value of the contract.
These receipts or payments are known as "variation margin" and are recorded
daily by the Portfolio as unrealized gains or losses until the contracts are
closed. When the contracts are closed, the Portfolio records a realized gain or
loss, which is presented in the Statement of Operations as a net realized gain
or loss on futures, equal to the difference between the value of the contract at
the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities or indices, from the possibility of an illiquid secondary market for
these instruments and from the possibility that the Portfolio could lose more
than the initial margin requirements. The Portfolios entering into stock index
futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At October 31, 2012, the Portfolios had no outstanding futures contracts.
H. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $250 million unsecured discretionary line of credit effective June 22,
2011 with its domestic custodian bank. Each portfolio is permitted to borrow,
subject 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 are charged interest at rates agreed upon
by
55
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, 2013. There were no
borrowings by the Portfolios under this line of credit during the year ended
October 31, 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 upon 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. The Fund expects to enter into a new line of credit with substantially the
same terms as its existing line of credit prior to its expiration.
For the year ended October 31, 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
------------- ------------ ------------ -------- ---------------
Tax-Managed U.S. Equity Portfolio ................ 0.89% $1,992 11 $ 1 $ 5,858
Tax-Managed U.S. Targeted Value Portfolio ........ 0.85% 2,424 9 1 4,628
Tax-Managed U.S. Small Cap Portfolio ............. 0.92% 1,188 1 -- 1,188
T.A. U.S. Core Equity 2 Portfolio ................ 0.90% 4,108 18 2 7,484
Tax-Managed DFA International Value Portfolio .... 0.85% 2,220 49 3 13,457
T.A. World ex U.S. Core Equity Portfolio ......... 0.88% 1,871 31 1 8,826
* Number of Days Outstanding represents the total of single or consecutive
days during the year ended October 31, 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 October 31, 2012.
I. SECURITIES LENDING:
As of October 31, 2012, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolio received cash collateral. In
addition, T.A. World ex U.S. Core Equity Portfolio received non-cash collateral
consisting of short and/or long term U.S. Treasury securities with a market
value of $3,985 (in thousands). Each Portfolio 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
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, the Portfolios 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 Portfolios also may invest the cash
56
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 Portfolio with securities on loan will be able to terminate
the loan at any time and will receive reasonable interest on the loan, as well
as amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the 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 December 2011, the Financial Accounting Standards Board issued
Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting
Assets and Liabilities" requiring disclosure of both gross and net information
related to offsetting and related arrangements enabling users of its financial
statements to understand the effect of those arrangements on the entity's
financial position. The objective of this disclosure is to facilitate comparison
between those entities that prepare their financial statements on the basis of
U.S. Generally Accepted Accounting Principles and those entities that prepare
their financial statements on the basis of International Financial Reporting
Standards ASU No. 2011-11 is effective for interim and annual periods beginning
on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11
may have on the financial statements.
L. OTHER:
At October 31, 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
------------ --------------
Tax-Managed U.S. Marketwide Value Portfolio ..... 3 91%
Tax-Managed U.S. Equity Portfolio ............... 3 88%
Tax-Managed U.S. Targeted Value Portfolio ....... 3 96%
Tax-Managed U.S. Small Cap Portfolio ............ 3 95%
T.A. U.S. Core Equity 2 Portfolio ............... 3 92%
Tax-Managed DFA International Value Portfolio ... 3 94%
T.A. World ex U.S. Core Equity Portfolio ........ 3 88%
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.
57
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 Tax-Managed U.S. Marketwide Value Series. Thereafter, two additional and
substantially similar class actions were filed and are pending in United States
District Courts (with the Bankruptcy Court action, collectively referred to as
the "Lawsuits"). The Lawsuits have been consolidated into a single Multidistrict
Litigation action in federal court for pretrial proceedings. The Lawsuits seek
to recover, for the benefit of Tribune's bankruptcy estate or various creditors,
payments to shareholders in the LBO. The Lawsuits allege that Tribune's payment
for those shares violated the rights of creditors, as set forth in the
Bankruptcy Code's and various states' fraudulent transfer laws. However, the
Lawsuits proceed on different legal theories: the Bankruptcy Court action pleads
an intentionally fraudulent transfer; the District Court actions plead
constructively fraudulent transfers.
Litigation counsel to The Tax-Managed U.S. Marketwide Value Series in the
Lawsuits does not believe that it is possible, at this early stage in the
proceedings, to predict with any reasonable certainty the probable outcome of
the Lawsuits or quantify the ultimate exposure to The Tax-Managed U.S.
Marketwide Value Series arising from the Lawsuits. Until The Tax-Managed U.S.
Marketwide Value Series can do so, no reduction of the net asset value of The
Tax-Managed U.S. Marketwide Value Series will be made relating to the Lawsuits.
However, even if the plaintiffs in the Lawsuits were to obtain the full recovery
they seek, the amount would be less than 1% of The Tax-Managed U.S. Marketwide
Value Series' net asset value at this time.
The Tax-Managed U.S. Marketwide Value Series also cannot predict what its
size might be at the time the cost of the Lawsuits might be quantifiable and
thus potentially deducted from its net asset value. Therefore, at this time,
those buying or redeeming shares of The Tax-Managed U.S. Marketwide Value Series
will pay or receive, as the case may be, a price based on net asset value of The
Tax-Managed U.S. Marketwide Value Series, with no adjustment relating to the
Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be taken
as expenses by The Tax-Managed U.S. Marketwide Value Series as incurred and in a
manner similar to any other expense incurred by The Tax-Managed U.S. Marketwide
Value Series.
M. 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.
58
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND
BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.:
In our opinion, the accompanying statements of assets and liabilities, including
the schedule of investments/ summary schedules of portfolio holdings, and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Tax-Managed U.S. Marketwide Value Portfolio, Tax-Managed U.S. Equity Portfolio,
Tax-Managed U.S. Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio,
T.A. U.S. Core Equity 2 Portfolio, Tax-Managed DFA International Value
Portfolio, and T.A. World ex U.S. Core Equity Portfolio (constituting portfolios
within DFA Investment Dimensions Group Inc., hereafter referred to as the
"Portfolios") at October 31, 2012, the results of each of their operations for
the year then ended, the changes in each of their net assets for each of the two
years in the period then ended and the financial highlights for each of the
periods indicated, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolios' management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 2012 by correspondence with the
custodians, brokers, and transfer agents of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2012
59
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS.
RUSSELL 3000(R)VALUE INDEX
OCTOBER 31, 2002-OCTOBER 31, 2012
TAX-MANAGED
U.S. RUSSELL
MARKETWIDE 3000 (R) VALUE
BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE VALUE SERIES INDEX
--------- ------- ----------- ----------------- ------- ------------ ----------------
2002-10-31 2002-11-30 6.93% 6.41% 10/2002 10000 10000
2002-11-30 2002-12-31 -5.75% -4.34% 11/2002 10692.7374 10641
2002-12-31 2003-01-31 -2.11% -2.45% 12/2002 10078.2123 10179.1806
2003-01-31 2003-02-28 -2.72% -2.71% 01/2003 9865.92179 9929.79068
2003-02-28 2003-03-31 0.00% 0.23% 02/2003 9597.76536 9660.69335
2003-03-31 2003-04-30 9.43% 8.85% 03/2003 9597.76536 9682.91294
2003-04-30 2003-05-31 8.40% 6.72% 04/2003 10502.7933 10539.8507
2003-05-31 2003-06-30 0.88% 1.28% 05/2003 11385.4749 11248.1287
2003-06-30 2003-07-31 3.21% 1.74% 06/2003 11486.0335 11392.1048
2003-07-31 2003-08-31 3.96% 1.72% 07/2003 11854.7486 11590.3274
2003-08-31 2003-09-30 -3.08% -0.99% 08/2003 12324.0223 11789.681
2003-09-30 2003-10-31 7.11% 6.27% 09/2003 11944.1341 11672.9632
2003-10-31 2003-11-30 2.71% 1.55% 10/2003 12793.2961 12404.858
2003-11-30 2003-12-31 5.19% 5.96% 11/2003 13139.6648 12597.1333
2003-12-31 2004-01-31 2.18% 1.89% 12/2003 13821.2291 13347.9224
2004-01-31 2004-02-29 2.22% 2.13% 01/2004 14122.905 13600.1981
2004-02-29 2004-03-31 -0.15% -0.70% 02/2004 14435.7542 13889.8824
2004-03-31 2004-04-30 -1.78% -2.66% 03/2004 14413.4078 13792.6532
2004-04-30 2004-05-31 0.79% 1.03% 04/2004 14156.4246 13425.7686
2004-05-31 2004-06-30 3.13% 2.57% 05/2004 14268.1564 13564.054
2004-06-30 2004-07-31 -3.49% -1.68% 06/2004 14715.0838 13912.6502
2004-07-31 2004-08-31 -0.55% 1.39% 07/2004 14201.1173 13678.9177
2004-08-31 2004-09-30 3.64% 1.75% 08/2004 14122.905 13869.0546
2004-09-30 2004-10-31 1.37% 1.65% 09/2004 14636.8715 14111.7631
2004-10-31 2004-11-30 6.70% 5.38% 10/2004 14837.9888 14344.6072
2004-11-30 2004-12-31 3.25% 3.26% 11/2004 15832.4022 15116.3471
2004-12-31 2005-01-31 -2.12% -1.96% 12/2004 16346.3687 15609.14
2005-01-31 2005-02-28 3.84% 3.20% 01/2005 16000 15303.2008
2005-02-28 2005-03-31 -1.01% -1.43% 02/2005 16614.5251 15792.9032
2005-03-31 2005-04-30 -3.67% -2.07% 03/2005 16446.9274 15567.0647
2005-04-30 2005-05-31 4.37% 2.71% 04/2005 15843.5754 15244.8265
2005-05-31 2005-06-30 2.50% 1.38% 05/2005 16536.3128 15657.5902
2005-06-30 2005-07-31 5.41% 3.14% 06/2005 16949.7207 15873.0992
2005-07-31 2005-08-31 -0.13% -0.60% 07/2005 17865.9218 16371.2485
2005-08-31 2005-09-30 1.82% 1.26% 08/2005 17843.5754 16272.6461
2005-09-30 2005-10-31 -2.40% -2.54% 09/2005 18167.5978 16478.4294
2005-10-31 2005-11-30 3.97% 3.34% 10/2005 17731.8436 16060.3291
2005-11-30 2005-12-31 0.48% 0.48% 11/2005 18435.7542 16596.7441
2005-12-31 2006-01-31 5.55% 4.27% 12/2005 18525.1397 16675.9835
2006-01-31 2006-02-28 -0.23% 0.55% 01/2006 19553.0726 17387.4927
2006-02-28 2006-03-31 2.35% 1.67% 02/2006 19508.3799 17483.9364
2006-03-31 2006-04-30 2.52% 2.33% 03/2006 19966.4804 17775.5614
2006-04-30 2006-05-31 -2.84% -2.67% 04/2006 20469.2737 18189.6609
2006-05-31 2006-06-30 0.67% 0.69% 05/2006 19888.2681 17703.5029
2006-06-30 2006-07-31 -0.61% 2.07% 06/2006 20022.3464 17826.0771
2006-07-31 2006-08-31 0.51% 1.79% 07/2006 19899.4413 18195.7447
2006-08-31 2006-09-30 1.96% 1.90% 08/2006 20000 18521.878
2006-09-30 2006-10-31 3.84% 3.44% 09/2006 20391.0614 18873.9923
2006-10-31 2006-11-30 2.48% 2.33% 10/2006 21173.1843 19522.8234
2006-11-30 2006-12-31 1.91% 2.12% 11/2006 21698.324 19978.6567
2006-12-31 2007-01-31 2.63% 1.30% 12/2006 22111.7318 20401.8935
2007-01-31 2007-02-28 -1.28% -1.53% 01/2007 22692.7374 20666.8571
2007-02-28 2007-03-31 1.15% 1.52% 02/2007 22402.2346 20350.8962
2007-03-31 2007-04-30 3.55% 3.45% 03/2007 22659.2179 20659.2455
2007-04-30 2007-05-31 4.71% 3.61% 04/2007 23463.6871 21372.8228
2007-05-31 2007-06-30 -2.14% -2.34% 05/2007 24569.8324 22144.9067
2007-06-30 2007-07-31 -5.44% -4.95% 06/2007 24044.6927 21627.7995
2007-07-31 2007-08-31 -0.54% 1.19% 07/2007 22737.4302 20556.1917
2007-08-31 2007-09-30 2.52% 3.19% 08/2007 22614.5251 20801.3167
2007-09-30 2007-10-31 0.10% 0.10% 09/2007 23184.3575 21465.3455
2007-10-31 2007-11-30 -5.87% -5.10% 10/2007 23206.7039 21486.0497
2007-11-30 2007-12-31 -0.41% -0.96% 11/2007 21843.5754 20391.1786
2007-12-31 2008-01-31 -3.95% -4.01% 12/2007 21754.1899 20195.7373
2008-01-31 2008-02-29 -3.64% -4.17% 01/2008 20893.8547 19385.2837
2008-02-29 2008-03-31 -1.83% -0.58% 02/2008 20134.0782 18576.3629
2008-03-31 2008-04-30 5.65% 4.74% 03/2008 19765.3631 18468.6199
2008-04-30 2008-05-31 2.25% 0.12% 04/2008 20882.6815 19343.8748
2008-05-31 2008-06-30 -11.04% -9.57% 05/2008 21351.9553 19366.8622
2008-06-30 2008-07-31 -0.76% 0.06% 06/2008 18994.4134 17513.9124
2008-07-31 2008-08-31 2.02% 1.95% 07/2008 18849.162 17524.3396
2008-08-31 2008-09-30 -8.48% -7.13% 08/2008 19229.0503 17866.0642
2008-09-30 2008-10-31 -22.35% -17.54% 09/2008 17597.7653 16592.837
2008-10-31 2008-11-30 -9.89% -7.53% 10/2008 13664.8045 13682.2128
2008-11-30 2008-12-31 3.36% 1.76% 11/2008 12312.8492 12651.8145
2008-12-31 2009-01-31 -12.99% -11.73% 12/2008 12726.257 12874.5332
2009-01-31 2009-02-28 -13.42% -13.40% 01/2009 11072.6257 11364.9674
2009-02-28 2009-03-31 10.49% 8.58% 02/2009 9586.59217 9841.69646
2009-03-31 2009-04-30 17.30% 11.13% 03/2009 10592.1788 10685.7798
2009-04-30 2009-05-31 7.55% 5.85% 04/2009 12424.581 11875.2023
2009-05-31 2009-06-30 -1.42% -0.70% 05/2009 13363.1285 12569.7295
2009-06-30 2009-07-31 10.26% 8.44% 06/2009 13173.1843 12481.8663
2009-07-31 2009-08-31 6.62% 5.19% 07/2009 14525.1396 13535.8989
2009-08-31 2009-09-30 4.47% 3.95% 08/2009 15486.0335 14238.6048
2009-09-30 2009-10-31 -4.77% -3.35% 09/2009 16178.7709 14801.6901
2009-10-31 2009-11-30 4.64% 5.44% 10/2009 15407.8212 14305.911
2009-11-30 2009-12-31 3.67% 2.21% 11/2009 16122.905 15084.7915
2009-12-31 2010-01-31 -2.81% -2.82% 12/2009 16715.0838 15418.7317
2010-01-31 2010-02-28 4.61% 3.28% 01/2010 16245.81 14983.6177
2010-02-28 2010-03-31 7.89% 6.66% 02/2010 16994.4134 15474.5742
2010-03-31 2010-04-30 3.90% 2.96% 03/2010 18335.1955 16505.0463
2010-04-30 2010-05-31 -8.56% -8.24% 04/2010 19050.2793 16993.3648
2010-05-31 2010-06-30 -7.63% -5.89% 05/2010 17418.9944 15593.1645
2010-06-30 2010-07-31 7.99% 6.80% 06/2010 16089.3854 14674.605
2010-07-31 2010-08-31 -6.56% -4.53% 07/2010 17374.3016 15672.3224
2010-08-31 2010-09-30 9.98% 7.99% 08/2010 16234.6368 14961.7412
2010-09-30 2010-10-31 3.88% 3.07% 09/2010 17854.7486 16156.5291
2010-10-31 2010-11-30 0.24% -0.29% 10/2010 18547.486 16652.4262
2010-11-30 2010-12-31 9.44% 7.92% 11/2010 18592.1787 16604.8873
2010-12-31 2011-01-31 2.47% 2.08% 12/2010 20346.3687 17920.7301
2011-01-31 2011-02-28 5.63% 3.80% 01/2011 20849.162 18293.6812
2011-02-28 2011-03-31 0.66% 0.48% 02/2011 22022.3463 18988.9583
2011-03-31 2011-04-30 2.37% 2.58% 03/2011 22167.5977 19079.7873
2011-04-30 2011-05-31 -1.58% -1.12% 04/2011 22692.7374 19571.3266
2011-05-31 2011-06-30 -1.75% -2.08% 05/2011 22335.1955 19352.6553
2011-06-30 2011-07-31 -4.23% -3.32% 06/2011 21944.134 18949.1957
2011-07-31 2011-08-31 -8.35% -6.45% 07/2011 21016.7597 18320.8629
2011-08-31 2011-09-30 -10.15% -7.83% 08/2011 19262.5698 17138.6225
2011-09-30 2011-10-31 13.94% 11.68% 09/2011 17307.2625 15797.4558
2011-10-31 2011-11-30 -0.79% -0.49% 10/2011 19720.6703 17642.1459
2011-11-30 2011-12-31 1.03% 1.98% 11/2011 19564.2457 17555.1451
2011-12-31 2012-01-31 5.20% 4.01% 12/2011 19765.3631 17902.6464
2012-01-31 2012-02-29 5.27% 3.79% 01/2012 20793.296 18620.1568
2012-02-29 2012-03-31 2.14% 2.98% 02/2012 21888.2681 19325.044
2012-03-31 2012-04-30 -1.85% -1.05% 03/2012 22357.5418 19900.0055
2012-04-30 2012-05-31 -7.03% -5.88% 04/2012 21944.134 19690.3481
2012-05-31 2012-06-30 5.26% 4.95% 05/2012 20402.2346 18531.8864
2012-06-30 2012-07-31 0.88% 0.88% 06/2012 21474.8603 19449.5979
2012-07-31 2012-08-31 3.76% 2.24% 07/2012 21664.8044 19620.5641
2012-08-31 2012-09-30 3.58% 3.20% 08/2012 22480.4469 20059.9911
2012-09-30 2012-10-31 0.34% -0.55% 09/2012 23284.9161 20702.6588
10/31/2012 23363.1284 20589.0273
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
------ ----- -----
18.47% 0.13% 8.86%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell data copyright (C) Russell Investment Group 1995-2012, all rights
reserved.
60
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2012
The year ending October 31, 2012 saw reduced volatility for U.S. equities
with positive returns in three out of four quarters for the widely used
benchmarks. The year began in the wake of MF Global's bankruptcy filing brought
on by losses on European sovereign debt. Many headlines for the rest of the year
also originated from Europe, from the Greek debt swap to the LIBOR scandal that
reached a crescendo in July.
Broad market returns were mostly positive for the first five months through
March 2012, but negative returns following the Facebook IPO and JP Morgan's
reported $2 billion trading loss made May the worst month of the year. The last
trading day of the year followed two days of market closures in the aftermath of
Hurricane Sandy. Through all this, U.S. markets rose in 8 out of the 12 months
in the period.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/ growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics such
as earnings, dividends, and book value.
The size premium was negative during the year with small cap stocks
underperforming large cap stocks. Micro cap stocks were the strongest performers
as measured by the indices below.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2012
Russell 3000(R)Index .......................... 14.75%
Russell Microcap(R)Index (micro cap stocks) ... 16.49%
Russell 2000(R)Index (small cap stocks) ....... 12.08%
Russell 1000(R)Index (large cap stocks) ....... 14.97%
Dow Jones US Select REIT Index ................ 14.09%
The value premium was positive across both large cap and small cap stocks
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2012
Russell 2000(R)Value Index (small cap value stocks) ...... 14.47%
Russell 2000(R)Growth Index (small cap growth stocks) .... 9.70%
Russell 1000(R)Value Index (large cap value stocks) ...... 16.89%
Russell 1000(R)Growth Index (large cap growth stocks) .... 13.02%
----------
Source: Russell data copyright(C)Russell Investment Group 1995-2012 all rights
reserved.
For many Dimensional U.S. equity portfolios, differences in returns over
the 12 months ended October 31, 2012 were attributable primarily to differences
in value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value or small-cap and micro-cap companies relative to widely
used benchmarks.
DOMESTIC EQUITY SERIES' PERFORMANCE OVERVIEW
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
The Tax-Managed U.S. Marketwide Value Series seeks to capture the returns
of U.S. value stocks. Value is measured primarily by book-to-market ratio. The
Series also seeks to maximize the after-tax value of a shareholder's investment.
The investment strategy is process driven, emphasizing broad diversification and
consistent exposure to U.S. value stocks, and does not attempt to closely track
a specific equity index. As of October 31, 2012,
61
the Series held approximately 1,300 securities and was mostly invested in
equities throughout the year. The average cash exposure for the period was less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2012, total returns were 18.47% for the
Series and 16.70% for the Rus-sell 3000(R) Value Index. As a result of the
Series' diversified investment approach, performance was determined principally
by broad structural trends in the U.S. equity market rather than the behavior of
a limited number of stocks. Value stocks generally outperformed during the
period. The Series' more prominent value characteristics as compared to the
Index was the primary contributor to relative outperformance. The Series'
exclusion of highly regulated utilities also helped performance as this sector
underperformed the overall Index.
62
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing costs, in dollars, of investing in the fund and to
compare these costs with those of other mutual funds. The examples are based on
an investment of $1,000 made at the beginning of the period shown and held for
the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return and "Expenses Paid
During Period" reflect the dollar amount that would have been paid by
an investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the
result by the number given for your fund under the heading "Expenses
Paid During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value"
and "Expenses Paid During Period" are derived from the fund's actual
expense ratio and an assumed 5% annual return before expenses. In this
case, because the return used is not the fund's actual return, the
results do not apply to your investment. The example is useful in
making comparisons because the SEC requires all mutual funds to
calculate expenses based on a 5% annual return. You can assess your
fund's costs by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs, if applicable. The "Annualized Expense Ratio" represents the actual
expenses for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2012
EXPENSE TABLE
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSES DURING
05/01/12 10/31/12 RATIO* PERIOD*
--------- --------- ---------- --------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Actual Fund Return. ............................ $1,000.00 $1,064.65 0.21% $1.09
Hypothetical 5% Annual Return .................. $1,000.00 $1,024.08 0.21% $1.07
--------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (366) to reflect the six-month
period.
63
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments
with the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending January
31 and July 31. The Form N-Q filing must be made within 60 days of the end of
the quarter. The DFA Investment Trust Company filed its most recent Form N-Q
with the SEC on September 28, 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 EQUITY PORTFOLIO
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Consumer Discretionary ........ 19.8%
Consumer Staples .............. 8.0%
Energy ........................ 16.3%
Financials .................... 16.7%
Health Care ................... 9.5%
Industrials ................... 14.2%
Information Technology ........ 5.1%
Materials ..................... 3.4%
Other ......................... --
Telecommunication Services .... 6.7%
Utilities ..................... 0.3%
------
100.0%
64
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2012
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
COMMON STOCKS -- (95.0%)
Consumer Discretionary -- (18.8%)
#Carnival Corp ........................................................ 489,649 $ 18,547,904 0.6%
Comcast Corp. Class A. ................................................ 3,570,978 133,947,385 4.0%
Comcast Corp. Special Class A ......................................... 1,432,185 52,188,821 1.6%
#*General Motors Co ................................................... 674,707 17,205,028 0.5%
*Liberty Interactive Corp. Class A .................................... 882,463 17,649,260 0.5%
#News Corp. Class A ................................................... 1,631,529 39,026,174 1.2%
News Corp. Class B .................................................... 621,962 15,150,994 0.5%
Time Warner Cable, Inc ................................................ 693,942 68,776,592 2.1%
Time Warner, Inc ...................................................... 1,534,860 66,689,667 2.0%
Other Securities ...................................................... 221,766,776 6.7%
-------------- ----
Total Consumer Discretionary ............................................. 650,948,601 19.7%
-------------- ----
Consumer Staples -- (7.6%)
Archer-Daniels-Midland Co ............................................. 813,476 21,833,696 0.7%
#CVS Caremark Corp .................................................... 1,510,745 70,098,568 2.1%
*Kraft Foods Group, Inc ............................................... 693,699 31,549,431 0.9%
Mondelez International, Inc. Class A .................................. 2,081,099 55,232,367 1.7%
Other Securities ...................................................... 83,466,422 2.5%
-------------- ----
Total Consumer Staples ................................................... 262,180,484 7.9%
-------------- ----
Energy -- (15.4%)
Anadarko Petroleum Corp ............................................... 845,068 58,149,129 1.8%
Apache Corp ........................................................... 292,215 24,180,791 0.7%
Chevron Corp .......................................................... 613,078 67,567,326 2.0%
ConocoPhillips ........................................................ 1,766,829 102,211,058 3.1%
Hess Corp ............................................................. 378,130 19,761,074 0.6%
Marathon Oil Corp ..................................................... 903,937 27,172,346 0.8%
Marathon Petroleum Corp ............................................... 451,968 24,826,602 0.7%
National Oilwell Varco, Inc ........................................... 250,948 18,494,868 0.6%
Phillips 66. .......................................................... 883,414 41,661,804 1.3%
Valero Energy Corp .................................................... 658,099 19,150,681 0.6%
Other Securities ...................................................... 132,169,565 4.0%
-------------- ----
Total Energy ............................................................. 535,345,244 16.2%
-------------- ----
Financials -- (15.9%)
Bank of America Corp .................................................. 6,406,476 59,708,356 1.8%
Capital One Financial Corp ............................................ 333,920 20,091,966 0.6%
Citigroup, Inc ........................................................ 2,115,722 79,106,846 2.4%
CME Group, Inc ........................................................ 414,385 23,176,553 0.7%
Goldman Sachs Group, Inc. (The) ....................................... 143,685 17,585,607 0.5%
JPMorgan Chase & Co ................................................... 777,031 32,386,652 1.0%
MetLife, Inc .......................................................... 1,126,173 39,967,880 1.2%
Morgan Stanley ........................................................ 1,476,248 25,657,190 0.8%
Prudential Financial, Inc ............................................. 497,625 28,389,506 0.8%
SunTrust Banks, Inc ................................................... 491,691 13,373,995 0.4%
Other Securities ...................................................... 211,913,999 6.4%
-------------- ----
Total Financials ......................................................... 551,358,550 16.6%
-------------- ----
Health Care -- (9.1%)
#Aetna, Inc ........................................................... 503,313 21,994,778 0.7%
Humana, Inc ........................................................... 236,814 17,588,176 0.5%
Pfizer, Inc ........................................................... 5,208,907 129,545,517 3.9%
Thermo Fisher Scientific, Inc ......................................... 499,520 30,500,691 0.9%
WellPoint, Inc ........................................................ 504,640 30,924,339 1.0%
Other Securities ...................................................... 83,816,534 2.5%
-------------- ----
Total Health Care ........................................................ 314,370,035 9.5%
-------------- ----
65
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ -------------- ---------------
Industrials -- (13.5%)
CSX Corp .............................................................. 1,242,950 $ 25,443,186 0.8%
General Electric Co ................................................... 5,174,289 108,970,526 3.3%
Norfolk Southern Corp ................................................. 545,229 33,449,799 1.0%
#Northrop Grumman Corp ................................................ 337,038 23,151,140 0.7%
Union Pacific Corp .................................................... 444,064 54,633,194 1.6%
Other Securities ...................................................... 223,808,125 6.8%
-------------- ----
Total Industrials ........................................................ 469,455,970 14.2%
-------------- ----
Information Technology -- (4.8%)
Corning, Inc .......................................................... 1,298,385 15,256,024 0.5%
*Yahoo!, Inc .......................................................... 1,048,770 17,629,824 0.5%
Other Securities ...................................................... 135,592,556 4.1%
-------------- ----
Total Information Technology ............................................. 168,478,404 5.1%
-------------- ----
Materials -- (3.2%)
International Paper Co ................................................ 493,615 17,686,225 0.5%
Other Securities ...................................................... 94,103,607 2.9%
-------------- ----
Total Materials .......................................................... 111,789,832 3.4%
-------------- ----
Other -- (0.0%)
Other Securities ...................................................... 54 0.0%
-------------- ----
Telecommunication Services -- (6.4%)
AT&T, Inc ............................................................. 4,065,906 140,639,689 4.3%
CenturyLink, Inc ...................................................... 536,163 20,577,936 0.6%
*Sprint Nextel Corp ................................................... 3,629,981 20,110,095 0.6%
Verizon Communications, Inc ........................................... 623,041 27,812,550 0.8%
Other Securities ...................................................... 11,925,135 0.4%
-------------- ----
Total Telecommunication Services ......................................... 221,065,405 6.7%
-------------- ----
Utilities -- (0.3%)
Other Securities ...................................................... 9,656,614 0.3%
-------------- ----
TOTAL COMMON STOCKS ...................................................... 3,294,649,193 99.6%
-------------- ----
PREFERRED STOCKS -- (0.0%)
Energy -- (0.0%)
Other Securities ...................................................... 7,526 0.0%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities ...................................................... 6,576 0.0%
-------------- ----
TEMPORARY CASH INVESTMENTS -- (0.2%)
BlackRock Liquidity Funds TempCash Portfolio -
Institutional Shares ................................................ 8,034,380 8,034,380 0.3%
-------------- ----
SHARES/
FACE
AMOUNT
(000)
------------
SECURITIES LENDING COLLATERAL -- (4.8%)
(S)@DFA Short Term Investment Fund ....................................... 14,435,138 167,014,544 5.1%
@Repurchase Agreement, JPMorgan Securities LLC 0.30%,
11/01/12 (Collateralized by $454,029 FNMA, rates ranging
from 2.500% to 5.500%, maturities ranging from 10/01/22
to 07/01/42, valued at $455,396) to be repurchased at
$440,798 .............................................................. $ 441 440,794 0.0%
-------------- ----
TOTAL SECURITIES LENDING COLLATERAL ...................................... 167,455,338 5.1%
-------------- ----
66
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
VALUE+ OF NET ASSETS
-------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,736,014,230) .................................................... $3,470,153,013 105.0%
============== ===============
Summary of the Series' investments as of October 31, 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 ....... $ 650,948,601 -- -- $ 650,948,601
Consumer Staples ............. 262,180,484 -- -- 262,180,484
Energy ....................... 535,296,526 $ 48,718 -- 535,345,244
Financials ................... 551,358,550 -- -- 551,358,550
Health Care .................. 314,329,976 40,059 -- 314,370,035
Industrials. ................. 469,441,819 14,151 -- 469,455,970
Information Technology ....... 168,478,404 -- -- 168,478,404
Materials .................... 111,789,832 -- -- 111,789,832
Other ........................ -- 54 -- 54
Telecommunication Services ... 221,065,405 -- -- 221,065,405
Utilities .................... 9,656,614 -- -- 9,656,614
Preferred Stocks
Energy ....................... -- 7,526 -- 7,526
Rights/Warrants ................. 6,576 -- -- 6,576
Temporary Cash Investments ...... 8,034,380 -- -- 8,034,380
Securities Lending Collateral ... -- 167,455,338 -- 167,455,338
-------------- ------------ ------- --------------
TOTAL ........................... $3,302,587,167 $167,565,846 -- $3,470,153,013
============== ============ ======= ==============
See accompanying Notes to Financial Statements.
67
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(AMOUNTS IN THOUSANDS)
ASSETS:
Investments at Value (including $162,766 of securities on
loan) ...................................................... $ 3,294,663
Temporary Cash Investments at Value & Cost .................... 8,035
Collateral Received from Securities on Loan at Value & Cost ... 441
Affiliated Collateral Received from Securities on Loan
at Value & Cost ............................................ 167,014
Receivables:
Investment Securities Sold ................................. 54
Dividends and Interest ..................................... 4,719
Securities Lending Income .................................. 71
Fund Shares Sold ........................................... 328
------------
Total Assets ............................................ 3,475,325
------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned. .......................... 167,455
Fund Shares Redeemed ....................................... 692
Due to Advisor ............................................. 557
Accrued Expenses and Other Liabilities ........................ 145
------------
Total Liabilities ....................................... 168,849
------------
NET ASSETS. ................................................... $ 3,306,476
============
Investments at Cost ........................................... $ 2,560,524
------------
See accompanying Notes to Financial Statements.
68
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2012
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividends .................................................. $ 66,152
Interest ................................................... 15
Income from Securities Lending ............................. 2,076
------------
Total Investment Income .............................. 68,243
------------
EXPENSES
Investment Advisory Services Fees .......................... 6,199
Accounting & Transfer Agent Fees ........................... 306
Custodian Fees ............................................. 41
Shareholders' Reports ...................................... 9
Directors'/Trustees' Fees & Expenses ....................... 26
Professional Fees .......................................... 96
Other ...................................................... 21
------------
Total Expenses ....................................... 6,698
------------
NET INVESTMENT INCOME (LOSS) ............................... 61,545
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold .............................. 64,448
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities ................................... 400,114
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) .................... 464,562
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS ................................................. $ 526,107
============
See accompanying Notes to Financial Statements.
69
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
YEAR YEAR
ENDED ENDED
OCT 31, OCT. 31,
2012 2011
---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) ............................................. $ 61,545 $ 47,870
Net Realized Gain (Loss) on:
Investment Securities Sold ............................................ 64,448 84,152
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities ................................................. 400,114 37,055
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations .... 526,107 169,077
---------- ----------
Transactions in Interest:
Contributions ............................................................ 96,522 200,009
Withdrawals .............................................................. (217,478) (138,434)
---------- ----------
Net Increase (Decrease) from Transactions in Interest .............. (120,956) 61,575
---------- ----------
Total Increase (Decrease) in Net Assets ............................ 405,151 230,652
NET ASSETS
Beginning of Period ...................................................... 2,901,325 2,670,673
---------- ----------
End of Period ............................................................ $3,306,476 $2,901,325
========== ==========
See accompanying Notes to Financial Statements.
70
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
FINANCIAL HIGHLIGHTS
YEAR YEAR YEAR YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED DEC. 1, ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2007 TO NOV. 30,
2012 2011 2010 2009 OCT. 31, 2008 2007
---------- ---------- ---------- ---------- ------------- -----------
Total Return ................................. 18.47% 6.33% 20.38% 12.76% (37.44)%(C) 0.67%
---------- ---------- ---------- ---------- ------------- -----------
Net Assets, End of Period (thousands) ........ $3,306,476 $2,901,325 $2,670,673 $2,289,927 $ 2,190,724 $ 3,858,580
Ratio of Expenses to Average Net Assets ...... 0.22% 0.22% 0.22% 0.23% 0.22%(B) 0.22%
Ratio of Net Investment Income to Average Net
Assets ..................................... 1.99% 1.61% 1.40% 2.23% 2.09%(B) 1.61%
Portfolio Turnover Rate ...................... 10% 20% 25% 28% 40%(C) 21%
See page 1 for the Definitions of Abbreviations and Footnotes.
71
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twelve operational portfolios, one of which, The Tax-Managed
U.S. Marketwide Value Series (the "Series"), is presented in this section of the
report. The remaining eleven portfolios are presented in separate reports.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair value
of investments, the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of increases and decreases in net assets from operations
during the reporting period. Actual results could differ from those estimates
and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment
companies, futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit
risk, etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price at the close of the exchanges on which they
are principally traded (official closing price). Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series value the securities at the mean of the most recent quoted bid and asked
prices which approximate fair value. Price information on listed securities is
taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end investment companies are valued using their
respective net asset values or public offering prices, as appropriate, for
purchase orders placed at the close of the New York Stock Exchange (NYSE). These
securities are generally categorized as Level 1 in the hierarchy.
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. 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 Dimensional Fund Advisors LP) occur before the net asset
value is calculated. When fair value pricing is used, the prices of securities
used by the Series may differ from the quoted or published prices for the same
securities on their primary markets or exchanges. 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.
72
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. 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 Series had no material transfers between Level 1 and Level 2 during the
year ended October 31, 2012.
2. Deferred Compensation Plan: Each eligible Director/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
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/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. At October 31, 2012, the total liability for deferred compensation
to Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities in the amount of $80 (in thousands).
Each Director/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 Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/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 Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/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 Director/Trustee ceases to be a member of the Board
(unless the Director/Trustee files an amended Notice selecting a different
distribution date). As of October 31, 2012, none of the Directors/Trustees 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 Series estimate the character of distributions received
that may be considered return of capital distributions. Interest income is
recorded on the accrual basis. Discount and premium on debt 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 are allocated using methods
approved by the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Series. For the year ended October 31, 2012, the Series'
investment advisory services fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20% of average daily net assets
of the Series.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers
and Directors/Trustees of the Trust; however, such Officers and
Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO"))
receive no compensation from the Trust. For the year ended October 31, 2012, the
total related amounts paid to the CCO by the Trust were $82 (in thousands). The
total related amount paid by the Series is included in Other Expenses on the
Statement of Operations.
73
D. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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
--------- ---------
$313,706 $376,268
There were no purchases or sales of long-term U.S. government securities.
E. FEDERAL INCOME TAXES:
The Series is treated as a partnership for federal income tax purposes and
therefore, no provision for federal income taxes is required. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At October 31, 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)
---------- ------------ -------------- --------------
$2,736,971 $941,447 $(208,265) $733,182
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 Series' tax
position and has concluded that no additional provision for income tax is
required in the Series' financial statements. The Series 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 Series' federal tax returns for the prior three fiscal years remain subject
to examination by the Internal Revenue Service.
F. 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.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. 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
74
margin" requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Series as unrealized
gains or losses until the contracts are closed. When the contracts are closed,
the Series records a realized gain or loss, which is presented in the 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 Series could lose more than
the initial margin requirements. The Series entering into stock index futures
are subject to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
At October 31, 2012, the Series had no outstanding futures contracts.
G. 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,
2013. There were no borrowings by the Series under this line of credit during
the year ended October 31, 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 upon 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. The Trust expects to enter into a new line of credit with substantially
the same terms as its existing line of credit prior to its expiration.
For the year ended October 31, 2012, borrowings by the Series 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
------------- ------------ ------------ -------- ---------------
0.84% $2,426 13 $1 $7,679
* Number of Days Outstanding represents the total of a single or consecutive
days during the year ended October 31, 2012 that the Trust's available line
of credit was utilized.
There were no outstanding borrowings by the Series under this line of
credit as of October 31, 2012.
H. SECURITIES LENDING:
As of October 31, 2012, the Series had securities on loan to
brokers/dealers, for which the Series received cash collateral. The Series
invests the cash collateral, as described below, and records a liability for the
return of the collateral, during the period the securities are on loan. Loans of
securities are expected at all times to be secured by collateral equal to at
least (i) 100% of the current market value of the loaned securities with respect
to securities
75
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 its stated investment policies, the Series will generally invest
the cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average daily net assets of the Money Market Series. The
Series also may invest the cash collateral received for the loaned securities in
securities of the U.S. government or its agencies, repurchase agreements
collateralized by securities of the U.S. government or its agencies, and
affiliated 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 Series will be able to terminate
the loan at any time and will receive reasonable interest on the loan, as well
as amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
I. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
J. RECENTLY ISSUED ACCOUNTING STANDARDS:
In December 2011, the Financial Accounting Standards Board issued
Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting
Assets and Liabilities" requiring disclosure of both gross and net information
related to offsetting and related arrangements enabling users of its financial
statements to understand the effect of those arrangements on the entity's
financial position. The objective of this disclosure is to facilitate comparison
between those entities that prepare their financial statements on the basis of
U.S. Generally Accepted Accounting Principles and those entities that prepare
their financial statements on the basis of International Financial Reporting
Standards ASU No. 2011-11 is effective for interim and annual periods beginning
on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11
may have on the financial statements.
K. OTHER
The Series 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.
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
76
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 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 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 Series arising from the Lawsuits. Until the Series can
do so, no reduction of the net asset value of the 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 Series' net
asset value at this time.
The 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
Series will pay or receive, as the case may be, a price based on net asset value
of the Series, with no adjustment relating to the Lawsuits. The attorneys' fees
and costs relating to the Lawsuits will be taken as expenses by the Series as
incurred and in a manner similar to any other expense incurred by the Series.
L. 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.
77
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY:
In our opinion, the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of The Tax-Managed U.S.
Marketwide Value Series (constituting a portfolio within The DFA Investment
Trust Company, hereafter referred to as the "Series") at October 31, 2012, the
results of its operations for the year then ended, the changes in its net assets
for each of the two years in the period then ended and the financial highlights
for each of the periods indicated, in conformity with accounting principles
generally accepted in the United States of America. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Series' management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 2012 by correspondence with the
custodian, broker, and the transfer agent of the investee fund, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2012
78
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and
Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might develop
between portfolios of the Funds (the "Feeder Portfolios") that invest in certain
series of DFAITC or DEM (the "Master Funds").
Each Board has four standing committees, an Audit Committee, a Nominating
Committee, a Portfolio Performance and Service Review Committee (the
"Performance Committee") and an Independent Review Committee (the "Review
Committee"). The Audit Committee is comprised of George M. Constantinides, Roger
G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a
disinterested Trustee/Director. The Audit Committee oversees the Fund's
accounting and financial reporting policies and practices, the Fund's internal
controls, the Fund's financial statements and the independent audits thereof and
performs other oversight functions as requested by the Board. The Audit
Committee recommends the appointment of each Fund's independent registered
certified public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2012.
Each Board's Nominating Committee is comprised of George M. Constantinides,
John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie
J. Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the full
Board. The Nominating Committee evaluates a candidate's qualification for Board
membership and the independence of such candidate from the Advisor and other
principal service providers. The Nominating Committee did not meet during the
fiscal year ended October 31, 2012.
Each Board's Performance Committee is comprised of George M.
Constantinides, Roger G. Ibbotson, Abbie J. Smith, Edward P. Lazear, John P.
Gould and Myron S. Scholes. Each member of the Performance Committee is a
disinterested Trustee/Director. The Performance Committee regularly reviews and
monitors the investment performance of the Fund's series and reviews the
performance of the Fund's service providers. There were seven Performance
Committee meetings held during the fiscal year ended October 31, 2012.
Each Board's Review Committee consists of both interested and disinterested
Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review Committee assists
the Board in carrying out its fiduciary duties with respect to the oversight of
the Fund and its performance. At the request of the Board or the Advisor, the
Review Committee may (i) review the design of possible new series of the Fund,
(ii) review performance of existing portfolios of the Fund and discuss and
recommend possible enhancements to the portfolios' investment strategies, (iii)
review proposals by the Advisor to modify or enhance the investment strategies
or policies of each portfolio, and (iv) consider issues relating to investment
services for each portfolio of the Fund. The Review Committee was formed on
December 17, 2010, and there were two Review Committee meetings held during the
fiscal year ended October 31, 2012.
Certain biographical information for each disinterested Trustee/Director
and each interested Trustee/Director of the Funds is set forth in the tables
below, including a description of each Trustee/Director's experience as a
Trustee/ Director of the Funds and as a director or trustee of other funds, as
well as other recent professional experience.
The statements of additional information (together, "SAI") of the Funds
include additional information about each Trustee/Director. You may obtain
copies of the SAI and prospectus of each Fund advised by Dimensional Fund
Advisors LP by calling collect (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746. Prospectuses are also available at www.dimensional.com.
79
TERM OF OFFICE/1/ PORTFOLIOS WITHIN
NAME, POSITION WITH THE AND LENGTH OF THE DFA FUND PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
FUND, ADDRESS AND AGE SERVICE COMPLEX/2/ OVERSEEN AND OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
--------------------------- ------------------- --------------------- ------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
George M. Constantinides Since Inception 100 portfolios in 4 Leo Melamed Professor of Finance, The
Director of DFAIDG and investment companies University of Chicago Booth School of Business.
DIG.
Trustee of DFAITC and
DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn
Avenue
Chicago, IL 60637
Age: 64
John P. Gould Since Inception 100 portfolios in 4 Steven G. Rothmeier Distinguished Service
Director of DFAIDG and DIG. investment companies Professor of Economics, The University of Chicago
Trustee of DFAITC and DEM. Booth School of Business (since 1965). Member and
The University of Chicago Chair, Competitive Markets Advisory Committee,
Booth School of Business Chicago Mercantile Exchange (futures trading
5807 S. Woodlawn exchange) (since 2004). Formerly, Director of
Avenue UNext, Inc. (1999-2006). Trustee, Harbor Fund
Chicago, IL 60637 (registered investment company) (30 Portfolios)
Age: 73 (since 1994). Formerly, Member of the Board of
Milwaukee Mutal Insurance Company (1997-2010).
Roger G. Ibbotson Since Inception 100 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG. investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM. Partner, Zebra Capital Management, LLC (hedge fund
Yale School of Management manager) (since 2001). Consultant to Morningstar,
P.O.Box 208200 Inc. (since 2006). Formerly, Chairman, Ibbotson
New Haven, CT Associates, Inc., Chicago, IL (software data
06520-8200 publishing and consulting) (1977-2006). Formerly,
Age: 68 Director, BIRR Portfolio Analysis, Inc. (software
products) (1990-2010).
80
TERM OF OFFICE/1/ PORTFOLIOS WITHIN
NAME, POSITION WITH THE AND LENGTH OF THE DFA FUND PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
FUND, ADDRESS AND AGE SERVICE COMPLEX/2/ OVERSEEN AND OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
--------------------------- ------------------- --------------------- ------------------------------------------------------
Edward P. Lazear Since 2010 100 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Trustee of DFAITC and DEM. investment companies Institution (since 2002). Jack Steele Parker
Stanford University Professor of Human Resources Management and
Graduate School of Economics, Graduate School of Business, Stanford
Business University (since 1995). Cornerstone Research
518 Memorial Way (expert testimony and economic and financial
Stanford, CA 94305-5015 analysis) (since 2009). Formerly, Chairman of the
Age: 64 President George W. Bush's Council of Economic
Advisers (2006-2009). Formerly, Council of
Economic Advisors, State of California
(2005-2006). Formerly, Commissioner, White House
Panel on Tax Reform (2005).
Myron S. Scholes Since Inception 100 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
Director of DFAIDG and DIG. investment companies Stanford University (since 1981).
Trustee of DFAITC and DEM. Formerly, Chairman, Platinum Grove Asset Management,
c/o Dimensional Fund L.P. (hedge fund) (formerly, Oak Hill Platinum
Advisors, LP Partners) (1999-2009). Formerly, Managing
6300 Bee Cave Road Partner, Oak Hill Capital Management (private
Building 1 equity firm) (until 2004). Director, American
Austin, TX 78746 Century Fund Complex (registered investment
Age: 70 companies) (40 Portfolios) (since 1980).
Formerly, Director, Chicago Mercantile
Exchange (2001-2008).
Abbie J. Smith Since 2000 100 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG. investment companies Professor of Accounting, The University of
Trustee of DFAITC and DEM. Chicago Booth School of Business (since 1980).
The University of Chicago Co-Director Investment Research, Fundamental
Booth School of Business Investment Advisors (hedge fund) (since 2008).
5807 S. Woodlawn Avenue Director, HNI Corporation (formerly known as
Chicago, IL 60637 HON Industries Inc.) (office furniture) (since
Age: 58 2000). Director, Ryder System Inc.
(transportation, logistics and supply-chain
management) (since 2003). Trustee, UBS Funds
(4 investment companies within the fund
complex) (52 portfolios) (since 2009).
81
TERM OF OFFICE/1/ PORTFOLIOS WITHIN
NAME, POSITION WITH THE AND LENGTH OF THE DFA FUND PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
FUND, ADDRESS AND AGE SERVICE COMPLEX/2/ OVERSEEN AND OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
--------------------------- ------------------- --------------------- ------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
David G. Booth Since Inception 100 portfolios in 4 Chairman, Director/Trustee, President, and
Chairman, Director, investment companies Co-Chief Executive Officer (since January
Co-Chief Executive Officer 2010) of Dimensional Holdings Inc.,
and President of DFAIDG and Dimensional Fund Advisors LP, DFA Securities
DIG. Chairman, Trustee, LLC, Dimensional Emerging Markets Value Fund,
Co-Chief Executive Officer DFAIDG, Dimensional Investment Group Inc. and
and President of DFAITC The DFA Investment Trust Company. Director of
and DEM. Dimensional Fund Advisors Ltd., Dimensional
6300 Bee Cave Road, Funds PLC, Dimensional Funds II PLC, DFA
Building One Austin, Australia Limited, Dimensional Cayman
Texas 78746 Commodity Fund I Ltd., Dimensional Japan Ltd.
Age: 65 and Dimensional Advisors Ltd. Chairman,
Director and Co-Chief Executive Officer of
Dimensional Fund Advisors Canada ULC.
President, Dimensional SmartNest (US) LLC.
Limited Partner, Oak Hill Partners (since
2001) and VSC Investors, LLC (since 2007).
Trustee, The University of Chicago. Trustee,
University of Kansas Endowment Association.
Formerly, Chief Executive Officer (until 2010)
and Chief Investment Officer (2003-2007) of
Dimensional Fund Advisors LP, DFA Securities
LLC, Dimensional Emerging Markets Value Fund,
DFAIDG, Dimensional Investment Group Inc., The
DFA Investment Trust Company and Dimensional
Holdings Inc. Formerly, Chief Investment
Officer of Dimensional Fund Advisors Ltd.
Formerly, President and Chief Investment
Officer of DFA Australia Limited. Formerly,
Director, SA Funds (registered investment
company).
Eduardo A. Repetto Since 2009 100 portfolios in 4 Co-Chief Executive Officer (since January
Director, Co-Chief investment companies 2010), Chief Investment Officer (since March
Executive Officer and 2007) and Director/Trustee of Dimensional
Chief Investment Officer Holdings Inc., Dimensional Fund Advisors LP,
of DFAIDG and DIG. DFA Securities LLC, Dimensional Emerging
Trustee, Co-Chief Markets Value Fund, DFAIDG, Dimensional
Executive Officer and Investment Group Inc., The DFA Investment
Chief Investment Officer Trust Company and Dimensional Cayman Commodity
of DFAITC and DEM. Fund I Ltd. Co-Chief Executive Officer,
6300 Bee Cave Road, President and Chief Investment Officer of
Building One Austin, Dimensional Fund Advisors Canada ULC. Chief
TX 78746 Investment Officer, Vice President and
Age: 45 Director of DFA Australia Limited. Director of
Dimensional Fund Advisors Ltd., Dimensional
Funds PLC, Dimensional Funds II PLC,
Dimensional Japan Ltd. and Dimensional
Advisors Ltd. Co-Chief Executive Officer of
Dimensional Retirement Plan Services LLC.
Formerly, Vice President of Dimensional
Holdings Inc., Dimensional Fund Advisors LP,
DFA Securities LLC, Dimensional Emerging
Markets Value Fund, DFAIDG, Dimensional
Investment Group Inc., The DFA Investment
Trust Company and Dimensional Fund Advisors
Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or
her successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which
includes the Funds.
* Interested Trustees/Directors are described as such because they are
deemed to be "interested persons," as that term is defined under the
Investment Company Act of 1940, as amended, due to their positions
with Dimensional Fund Advisors LP.
82
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors LP (prior to November 3, 2006,
Dimensional Fund Advisors Inc.) ("Dimensional"), DFA Securities LLC (prior to
April 6, 2009, DFA Securities Inc.), DFAIDG, DIG, DFAITC and DEM (collectively,
the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, unless otherwise
indicated.
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------------- ----------------- ------------------------------------------------------------------------
OFFICERS
April A. Aandal Since 2008 Vice President of all the DFA Entities. Vice President Global Business
Vice President, Global Business Development of all the DFA Entities. Formerly, Chief Learning Officer
Development of Dimensional (2008-2011); Regional Director of Dimensional
Age: 49 (2004-2008).
Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice President
Vice President Business Development at Capson Physicians Insurance Company
Age: 37 (2010-2012); Vice President at Charles Schwab (2007-2010).
Darryl D. Avery Since 2005 Vice President of all the DFA Entities.
Vice President
Age: 46
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities.
Vice President
Age: 56
John T. Blood Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2010-January 2011); Chief Market Strategist at
Age: 43 Commonwealth Financial (2007-2010); Director of Research at
Commonwealth Financial (2000-2007).
Scott A. Bosworth Since 2007 Vice President of all the DFA Entities.
Vice President
Age: 43
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA
Vice President and Assistant Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Cayman
Secretary Commodity Fund I Ltd., Dimensional Retirement Plan Services LLC,
Age: 45 Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited.
Director, Vice President and Assistant Secretary of Dimensional Fund
Advisors Canada ULC.
David P. Butler Since 2007 Vice President of all the DFA Entities. Head of Global Financial
Vice President Services of Dimensional (since 2008). Formerly, Regional Director of
Age: 48 Dimensional (January 1995 to January 2005).
Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional Fund Advisors LP (December 2010-January 2012);
Age: 41 Regional Director at Russell Investments (April 2006-December 2010).
James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2008-2010); Vice President, Client Portfolio Manager
Age: 56 at American Century Investments (2001-2008).
Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio Manager of
Age: 46 Dimensional (since January 2012). Formerly, Portfolio Manager for
Dimensional (October 2005-January 2012).
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC. Head of Institutional, North
Age: 40 America (since March 2012). Formerly, Head of Portfolio Management of
Dimensional (January 2006-March 2012).
Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional Fund Advisors LP (August 2002-January 2012).
Age: 36
83
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------------- ----------------- ------------------------------------------------------------------------
Robert P. Cornell Since 2007 Vice President of all the DFA Entities. Regional Director of Financial
Vice President Services Group of Dimensional (since August 1993).
Age: 63
George H. Crane Since 2010 Vice President of all the DFA Entities. Formerly, Senior Vice
Vice President President and Managing Director at State Street Bank & Trust Company
Age: 57 (2007-2008); Managing Director, Head of Investment Administration and
Operations at State Street Research & Management Company (2002-2005).
Christopher S. Crossan Since 2004 Vice President and Global Chief Compliance Officer of all the DFA
Vice President and Global Chief Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd.,
Compliance Officer Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC and
Age: 46 Dimensional Retirement Plan Services LLC. Chief Compliance Officer of
Dimensional Fund Advisors Canada ULC.
James L. Davis Since 1999 Vice President of all the DFA Entities.
Vice President
Age: 55
Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC.
Age: 55
Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate for
Vice President Dimensional (since August 2008). Formerly, Research Assistant for
Age: 40 Dimensional (April 2006-August 2008).
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Chief Communications Officer
Vice President and Chief of Dimensional (since 2010).
Communications Officer
Age: 42
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and DFA
Vice President and Assistant Australia Limited. Chief Operating Officer of Dimensional Fund
Secretary Advisors Ltd. (since July 2008). Formerly, Vice President of
Age: 47 Dimensional Fund Advisors Ltd.
Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities.
Vice President
Age: 41
Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio Manager of
Age: 38 Dimensional (since January 2012). Formerly, Portfolio Manager for
Dimensional (since September 2004).
Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Manager for
Vice President Dimensional (since June 2006). Formerly, Principal at AIM
Age: 41 Investments/Amvescap PLC (now Invesco) (June 1998-June 2006).
Mark R. Gochnour Since 2007 Vice President of all the DFA Entities. Regional Director of
Vice President Dimensional.
Age: 45
Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director at
Vice President BlackRock (2004-January 2012).
Age: 44
Henry F. Gray Since 2000 Vice President of all the DFA Entities.
Vice President
Age: 45
John T. Gray Since 2007 Vice President of all the DFA Entities. Formerly, Regional Director of
Vice President Dimensional (January 2005 to February 2007).
Age: 38
84
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------------- ----------------- ------------------------------------------------------------------------
Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for Dimensional
Vice President Fund Advisors LP (since 2012). Formerly, Senior Trader for Dimensional
Age: 37 Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Advisors
Ltd. (2008-2009); Trader for Dimensional Fund Advisors LP (2004-2008).
Joel H. Hefner Since 2007 Vice President of all the DFA Entities. Regional Director of
Vice President Dimensional (since June 1998).
Age: 44
Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities and
Vice President and Fund Controller Dimensional Cayman Commodity Fund I Ltd. and Dimensional Japan Ltd.
Age: 38
Kevin B. Hight Since 2005 Vice President of all the DFA Entities.
Vice President
Age: 44
Christine W. Ho Since 2004 Vice President of all the DFA Entities.
Vice President
Age: 44
Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing Director,
Vice President Co-Head Global Consultant Relations at BlackRock (2004-2011).
Age: 52
Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd.
Age: 38
Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager
Vice President for Dimensional Fund Advisors LP (October 2008-January 2012); General
Age: 44 Manager at Intereity Investments (March 2007-October 2008).
Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Entities,
Vice President and Chief Operating Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd.,
Officer Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd.,
Age: 57 Dimensional Hong Kong Limited and Dimensional Retirement Plan Services
LLC. Director, Vice President and Chief Privacy Officer of Dimensional
Fund Advisors Canada ULC. Director of DFA Australia Limited,
Dimensional Fund Advisors Ltd., Dimensional Japan Ltd., Dimensional
Advisors Ltd. and Dimensional Fund Advisors Pte. Ltd. Director and
Vice President of Dimensional Hong Kong Limited.
Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional Fund Advisors LP (April 2006-January 2012).
Age: 64
David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since June 2004).
Age: 41
Seyun Alice Kim Since 2012 Vice President of all the DFA Entities. Formerly, Accounting Manager
Vice President for Dimensional Fund Advisors LP (January 2006-January 2012).
Age: 32
Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined Contribution
Vice President Sales for Dimensional (since August 2010). Formerly, Chief DC
Age: 41 Strategist, Barclays Global Investors (2005-2009).
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Sr. Portfolio Manager of
Vice President Dimensional (since January 2012).Formerly, Portfolio Manager for
Age: 40 Dimensional (April 2007-January 2012).
Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (2007-2010).
Age: 43
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Officer of
Vice President Dimensional SmartNest (US) LLC (since 2012).
Age: 45
85
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------------- ----------------- ------------------------------------------------------------------------
Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice President -
Vice President Global Operations at Janus Capital Group (2005-2011).
Age: 43
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources Manager of
Vice President Dimensional (since January 2004).
Age: 41
Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research Associate
Vice President for Dimensional (July 2008-2010).
Age: 31
Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since February 2004).
Age: 43
Kenneth M. Manell Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd. Counsel for Dimensional (since September 2006).
Age: 39 Formerly, Assistant General Counsel at Castle & Cooke (January
2004-September 2006).
Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global Human
Vice President & Head of Global Resources of Dimensional. Formerly, Global Head of Recruiting and Vice
Human Resources President of Goldman Sachs & Co. (June 2006 to January 2008).
Age: 42
David R. Martin Since 2007 Vice President, Chief Financial Officer and Treasurer of all the DFA
Vice President, Chief Financial Entities. Director, Vice President, Chief Financial Officer and
Officer and Treasurer Treasurer of Dimensional Fund Advisors Ltd., DFA Australia Limited,
Age: 55 Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd.,
Dimensional Hong Kong Limited and Dimensional Fund Advisors Canada
ULC. Chief Financial Officer, Treasurer, and Vice President of
Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC, Dimensional
Cayman Commodity Fund I Ltd. and Dimensional Retirement Plan Services
LLC. Director of Dimensional Funds PLC and Dimensional Funds II PLC.
Statutory Auditor of Dimensional Japan Ltd.
Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities and Dimensional
Vice President and Secretary since 1997 and Retirement Plan Services LLC (since June 2012). Director, Vice
Age: 48 Secretary President and Secretary of DFA Australia Limited and Dimensional Fund
since 2000 Advisors Ltd. (since February 2002, April 1997 and May 2002,
respectively). Vice President and Secretary of Dimensional Fund
Advisors Canada ULC (since June 2003), Dimensional SmartNest LLC,
Dimensional SmartNest (US) LLC, Dimensional Cayman Commodity Fund I
Ltd., Dimensional Japan Ltd. (since February 2012), Dimensional
Advisors Ltd. (since March 2012), Dimensional Fund Advisors Pte. Ltd.
(since June 2012) and Dimensional Hong Kong Limited (since August
2012). Director, Dimensional Funds PLC and Dimensional Funds II PLC
(since 2002 and 2006, respectively). Director of Dimensional Japan
Ltd., Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd.
and Dimensional Hong Kong Limited (since August 2012 and July 2012).
Christian A. Newton Since 2009 Vice President of all DFA Entities. Web Services Manager for
Vice President Dimensional (since January 2008). Formerly, Design Manager of
Age: 37 Dimensional (2005-2008).
Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (2008-2010). Formerly, Vice President and Portfolio
Age: 48 Manager at USAA Investment Management Company (2001-2006).
Carolyn L. O Vice Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
President Commodity Fund I Ltd. Deputy General Counsel, Funds (since 2011).
Age: 38 Counsel for Dimensional (2007-2011). Formerly, Associate at K&L Gates
LLP (January 2004-September 2007).
86
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------------- ----------------- ------------------------------------------------------------------------
Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate of Dimensional (2004 to 2006).
Age: 35
Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager
Vice President for Dimensional (since July 2005).
Age: 38
Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance
Vice President Officer for Dimensional (since January 2008). Formerly,
Age: 34 Compliance Officer (February 2006-December 2007) and
Compliance Analyst (August 2004-January 2006) for
Dimensional.
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia
Vice President Limited, Dimensional Fund Advisors Ltd. and Dimensional
Age: 51 Fund Advisors Canada ULC.
Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager
Vice President for Dimensional (July 2006-2010).
Age: 41
Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate of Dimensional (2006-2008). Systems Developer of
Age: 39 Dimensional (2001-2006).
Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional Fund Advisors LP (June
Age: 31 2011-January 2012); Research Assistant for Dimensional
Fund Advisors LP (July 2004-August 2007).
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities.
Vice President
Age: 41
Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems
Vice President Manager for Dimensional (since July 2008). Formerly,
Age: 53 Senior Manager at Vanguard (November 1997-July 2008).
David E. Schneider Since 2001 Vice President of all the DFA Entities and Dimensional
Vice President Fund Advisors Canada ULC.
Age: 66
Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director for Dimensional (March 2006-January 2010).
Age: 50
Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment
Vice President Operations Manager for Dimensional (since May 2007).
Age: 47 Formerly, Vice President Client and Fund Reporting at
Mellon Financial (September 2005-May 2007).
Edward R. Simpson Since 2007 Vice President of all the DFA Entities. Regional Director
Vice President of Dimensional (since December 2002).
Age: 44
Bryce D. Skaff Since 2007 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director of Dimensional (December 1999 to January 2007).
Age: 37
Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager
Vice President for Dimensional (2007-2010). Formerly, Business Analyst
Age: 44 Manager, National Instruments (2003-2007).
Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional
Vice President Fund Advisors Canada ULC.
Age: 56
Carl G. Snyder Since 2000 Vice President of all the DFA Entities.
Vice President
Age: 49
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities.
Vice President
Age: 64
87
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------------- ----------------- ------------------------------------------------------------------------
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Director and
Vice President Vice President of Dimensional Fund Advisors Canada ULC.
Age: 39
John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director for Dimensional Fund Advisors LP (January 2008-January 2012).
Age: 34
Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager,
Vice President Technology for Dimensional (since March 2007). Formerly,
Age: 54 Director of Technology at AMVESCAP (2002-2007).
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia
Vice President Limited, Dimensional Fund Advisors Ltd., and Dimensional
Age: 46 Fund Advisors Canada ULC.
Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager
Vice President for Dimensional (since 2004).
Age: 42
Weston J. Wellington Since 1997 Vice President of all the DFA Entities.
Vice President
Age: 61
Ryan J. Wiley Since 2007 Vice President of all the DFA Entities. Senior Trader of
Vice President Dimensional (since 2007).
Age: 36
Paul E. Wise Since 2005 Vice President of all the DFA Entities. Chief Technology
Vice President Officer for Dimensional (since 2004).
Age: 57
Faith A. Yando Since 2011 Vice President of all the DFA Entities. Formerly, Senior
Vice President Vice President, Global Public Relations at Natixis Global
Age: 50 Asset Management (2008-2011); Senior Vice President, Media
Relations at Bank of America (2007-2008).
Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director for Dimensional (2005-2010).
Age: 33
/1/ Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustees/Directors and until his or her successor is elected and
qualified.
88
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.
89
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2012 tax year end, this
notice is for informational purposes only. For shareholders with an October 31,
2012 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2011 to October 31, 2012, each Portfolio
is designating the following items with regard to distributions paid during the
fiscal year. All designations are based on financial information available as of
the date of this annual report and, accordingly are subject to change. For each
item, it is the intention of the Portfolios to designate the maximum amount
permitted under the Internal Revenue Code and the regulations thereunder.
QUALIFYING
NET FOR CORPORATE
INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS
INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION(1)
------------------------------------ ------------- ------------- ------------- ------------- -------------
Tax-Managed U.S. Marketwide
Value Portfolio .................. 100% -- -- 100% 100%
Tax-Managed U.S. Equity Portfolio ... 100% -- -- 100% 100%
Tax-Managed U.S. Targeted Value
Portfolio ........................ 86% -- 14% 100% 100%
Tax-Managed U.S. Small Cap
Portfolio ........................ 100% -- -- 100% 100%
T.A. U.S. Core Equity 2
Portfolio ........................ 100% -- -- 100% 100%
Tax-Managed DFA International
Value Portfolio .................. 100% -- -- 100% 100%
T.A. World ex U.S. Core Equity
Portfolio ........................ 100% -- -- 100% 100%
QUALIFYING
QUALIFYING FOREIGN FOREIGN QUALIFYING SHORT-TERM
DIVIDEND TAX SOURCE INTEREST CAPITAL
DFA INVESTMENT DIMENSIONS GROUP INC. INCOME(2) CREDIT(3) INCOME(4) INCOME(5) GAIN(6)
------------------------------------ ---------- --------- --------- ---------- ----------
Tax-Managed U.S. Marketwide
Value Portfolio .................. 100% -- -- 100% 100%
Tax-Managed U.S. Equity Portfolio ... 100% -- -- 100% 100%
Tax-Managed U.S. Targeted Value
Portfolio ........................ 100% -- -- 100% 100%
Tax-Managed U.S. Small Cap
Portfolio ........................ 100% -- -- 100% 100%
T.A. U.S. Core Equity 2
Portfolio ........................ 100% -- -- 100% 100%
Tax-Managed DFA International
Value Portfolio .................. 100% 7% 99% 100% 100%
T.A. World ex U.S. Core Equity
Portfolio ........................ 100% 7% 97% 100% 100%
----------
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3) "Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(4) "Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(5) The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The Ameri-can Jobs Creation Act of 2004. The
information is reflected as a percentage of ordinary income distributions
(the total of short-term capital gain and net investment income
distributions).
(6) The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
90
[LOGO] Recycled
Recyclable DFA103112-002A
THE DFA SHORT TERM INVESTMENT FUND
Annual Report
For the Year ended October 31, 2012
Table of Contents
Investment Summary 1
Schedule of Portfolio Holdings 2
Schedule of Investments 3
Statement of Assets and Liabilities 7
Statement of Operations 8
Statements of Changes in Net Assets 9
Financial Highlights 10
Notes to Financial Statements 11
Report of Independent Registered Public Accounting Firm 15
Supplemental Information 16
Fund Management 18
Investment Summary
Cumulative Performance of $10,000
[CHART]
2/1/2010 4/30/2010 7/31/2010 10/31/2010 1/31/2011 4/30/2011 7/31/2011 10/31/2011
--------- --------- --------- ---------- --------- --------- --------- ----------
DSTIF Growth of 10k 2/10 4/10 7/10 10/10 1/11 4/11 7/11 10/11
The DFA Short Term Investment Fund 10,000.00 10,004.43 10,010.67 10,017.06 10,022.62 10,027.23 10,031.01 10,034.84
Citi Index Growth of 10k
Citigroup One-Month U.S.
Treasury Bill Index 10,000.00 10,001.95 10,005.74 10,009.49 10,011.99 10,014.53 10,015.04 10,016.76
1/31/2012 4/30/2012 7/31/2012 10/31/2012
--------- --------- --------- ----------
DSTIF Growth of 10k 1/12 4/12 7/12 10/12
The DFA Short Term Investment Fund 10,039.68 10,044.88 10,050.54 10,056.10
Citi Index Growth of 10k
Citigroup One-Month U.S.
Treasury Bill Index 10,017.06 10,017.98 10,019.14 10,020.88
The graph represents a hypothetical investment in the Fund versus a similar
investment in the Fund's benchmark.
Average Annual Total Returns and 7-Day Yield as of 10/31/12
1 Year Since Inception 7-Day Yield
- ------ --------------- -----------
The DFA Short Term Investment Fund 0.21% 0.20% 0.22%
Citigroup One-Month U.S. Treasury Bill Index 0.04% 0.08% --
The performance data quoted represents past performance and is no guarantee of
future results. Current performance may be higher or lower than the performance
data quoted.
An investment in a money market fund is not insured or guaranteed by the FDIC
or any other government agency.
Total return equals income return and assumes reinvestment of all net
investment income and realized capital gain distributions. The total returns
quoted do not reflect adjustments made to the enclosed financial statements in
accordance with U.S. generally accepted accounting principles or the deduction
of taxes that a shareholder would pay on fund distributions or the redemption
of fund shares. Yields and returns fluctuate. The seven-day yield quotation
more closely reflects current earnings of the Fund than the total return
quotation.
1
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Schedule of Portfolio Holdings
October 31, 2012
--------------------------------------------------------------------------------
The following table indicates the allocation of investments among the asset
classes in the Fund as of October 31, 2012:
Percentage of
Security Allocation Investments
------------------- -------------
Commercial Paper 46.5%
Repurchase Agreements 24.1
U.S. Government Agency Securities 9.0
Yankee Certificates of Deposit 8.5
Yankee Dollars 7.7
Corporate Bonds 4.2
-----
Total Investments 100.0%
2
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Schedule of Investments
October 31, 2012
--------------------------------------------------------------------------------
Security Description Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- -------------
Corporate Bonds - 4.2%
(r)General Electric Capital Corp. 0.57% 11/01/12 25,000,000 25,000,000
(r)General Electric Capital Corp. 0.92% 01/07/13 30,000,000 30,039,090
(r)General Electric Capital Corp. 1.19% 01/15/13 42,820,000 42,885,557
(r)General Electric Capital Corp. 0.59% 05/08/13 12,900,000 12,909,985
(r)JPMorgan Chase & Co. 0.59% 11/01/12 2,020,000 2,020,000
(r)JPMorgan Chase & Co. 1.08% 02/26/13 71,630,000 71,794,964
(r)Toyota Motor Credit Corp. 0.59% 12/17/12 150,000,000 150,093,450
(r)Toyota Motor Credit Corp. 0.51% 04/03/13 100,000,000 100,056,000
(r)Toyota Motor Credit Corp. 0.50% 06/13/13 144,000,000 144,066,528
------------- -------------
Total Corporate Bonds (Cost $578,615,844) 578,370,000 578,865,574
------------- -------------
Yankee Dollars - 7.7%
(r)Bank of Nova Scotia 0.41% 11/01/12 125,000,000 125,000,000
(r)Bank of Nova Scotia 0.57% 07/19/13 30,000,000 30,070,500
(r)Commonwealth Bank of Australia 0.93% 03/19/13 15,000,000 15,030,900
(r)National Australia Bank NY 0.58% 02/15/13 100,000,000 100,083,200
(r)National Australia Bank NY 0.40% 04/24/13 50,000,000 50,045,450
(r)National Australia Bank NY 0.51% 05/06/13 25,000,000 25,017,575
(r)Nordea Bank Finland NY 0.79% 04/05/13 50,360,000 50,419,072
(r)NRW Bank AG 0.56% 02/01/13 12,000,000 11,999,892
(r)Rabobank Nederland NV NY 0.42% 01/18/13 64,000,000 64,047,744
(r)Rabobank Nederland NV NY 0.53% 03/19/13 100,000,000 100,090,400
(r)Rabobank Nederland NV NY 0.46% 05/02/13 50,000,000 50,031,900
(r)Royal Bank of Canada NY 0.56% 03/08/13 28,900,000 28,917,976
(r)Royal Bank of Canada NY 0.44% 04/10/13 100,000,000 100,001,000
(r)Royal Bank of Canada NY 0.40% 07/11/13 60,000,000 60,016,020
(r)Royal Bank of Canada NY 0.49% 08/12/13 100,000,000 99,986,300
(r)Svenska Handelsbanken NY 0.84% 03/18/13 25,000,000 25,041,450
(r)Toronto Dominion Bank NY 0.49% 07/26/13 6,120,000 6,130,214
(r)Westpac Banking Corp. 0.62% 02/06/13 100,000,000 100,087,000
(r)Westpac Banking Corp. 0.90% 04/08/13 15,000,000 15,038,910
------------- -------------
Total Yankee Dollars (Cost $1,056,611,344) 1,056,380,000 1,057,055,503
------------- -------------
Commercial Papers - 46.5%
(y)++ANZ National International Ltd. 0.24% 11/13/12 100,000,000 99,995,000
(y)++ANZ National International Ltd. 0.21% 01/25/13 5,750,000 5,747,183
(y)++ANZ National International Ltd. 0.30% 03/18/13 75,000,000 74,932,500
(y)++Australia & New Zealand Banking Group Ltd. 0.19% 11/27/12 32,300,000 32,297,739
(y)Bank of Nova Scotia 0.29% 11/14/12 50,000,000 49,998,000
(y)Bank of Nova Scotia 0.18% 01/08/13 30,000,000 29,988,300
(y)Banque et Caisse d'Epargne de l'Etat 0.29% 11/07/12 50,000,000 49,999,000
(y)Banque et Caisse d'Epargne de l'Etat 0.29% 11/13/12 50,000,000 49,997,500
(y)Banque et Caisse d'Epargne de l'Etat 0.31% 11/21/12 10,000,000 9,999,100
(y)Banque et Caisse d'Epargne de l'Etat 0.30% 11/28/12 75,000,000 74,990,250
(y)Banque et Caisse d'Epargne de l'Etat 0.41% 11/30/12 75,000,000 74,989,500
(y)Banque et Caisse d'Epargne de l'Etat 0.28% 12/06/12 50,000,000 49,991,000
(y)Banque et Caisse d'Epargne de l'Etat 0.36% 12/17/12 20,000,000 19,994,600
(y)Banque et Caisse d'Epargne de l'Etat 0.25% 12/21/12 75,000,000 74,977,500
(y)BNP Paribas Finance, Inc. 0.46% 11/09/12 10,000,000 9,999,600
(y)BNP Paribas Finance, Inc. 0.46% 11/14/12 40,000,000 39,997,600
(y)BNP Paribas Finance, Inc. 0.25% 11/28/12 100,000,000 99,987,000
(y)BNP Paribas Finance, Inc. 0.36% 01/02/13 50,000,000 49,979,000
(y)++BNZ International Funding Ltd. 0.22% 01/18/13 50,000,000 49,976,000
(y)++Caisse Centrale Desjardins 0.22% 11/08/12 25,000,000 24,999,250
(y)++Caisse d'Amortissement de la Dette Sociale 0.09% 11/28/12 100,000,000 99,995,000
(y)++Caisse d'Amortissement de la Dette Sociale 0.27% 12/21/12 174,000,000 173,982,600
(y)++Caisse des Depots et Consignations 0.28% 11/20/12 60,000,000 59,994,600
(y)++Caisse des Depots et Consignations 0.29% 11/28/12 50,000,000 49,994,000
(y)++Caisse des Depots et Consignations 0.25% 12/12/12 53,000,000 52,988,870
(y)++Caisse des Depots et Consignations 0.26% 12/20/12 5,000,000 4,998,750
(y)++Caisse des Depots et Consignations 0.31% 02/04/13 90,000,000 89,944,200
(y)++Caisse des Depots et Consignations 0.34% 03/28/13 80,000,000 79,917,600
See notes to financial statements.
3
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Schedule of Investments (continued)
October 31, 2012
--------------------------------------------------------------------------------
Security Description Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- ------------
Commercial Papers - 46.5% (continued)
(y)++Caisse des Depots et Consignations 0.30% 04/12/13 70,000,000 69,913,900
(y)++Coca-Cola Co. 0.19% 01/11/13 43,075,000 43,062,078
(y)++Coca-Cola Co. 0.21% 01/23/13 44,875,000 44,857,050
(y)++Coca-Cola Co. 0.24% 03/12/13 100,000,000 99,916,000
(y)++Commonwealth Bank of Australia 0.18% 11/29/12 80,000,000 79,990,400
(y)++Commonwealth Bank of Australia 0.18% 11/30/12 35,000,000 34,995,800
(y)++Commonwealth Bank of Australia 0.19% 12/10/12 40,000,000 39,992,800
(y)++Commonwealth Bank of Australia 0.19% 01/04/13 18,190,000 18,183,770
(y)++Commonwealth Bank of Australia 0.21% 01/16/13 57,200,000 57,173,688
(y)++Commonwealth Bank of Australia 0.22% 01/23/13 150,000,000 149,920,499
(y)++CPPIB Capital, Inc. 0.15% 11/20/12 75,000,000 74,993,250
(y)++CPPIB Capital, Inc. 0.17% 01/24/13 42,050,000 42,033,122
(y)++CPPIB Capital, Inc. 0.22% 04/18/13 50,000,000 49,883,500
(y)++CPPIB Capital, Inc. 0.22% 04/23/13 100,000,000 99,753,000
(y)++E.I. du Pont de Nemours & Co. 0.16% 11/07/12 32,089,000 32,088,037
(y)General Electric Capital Corp. 0.37% 12/27/12 100,000,000 99,975,000
(y)++Hydro-Quebec 0.14% 12/13/12 105,000,000 104,975,850
(y)JPMorgan Chase & Co. 0.28% 11/05/12 10,000,000 9,999,900
(y)JPMorgan Chase & Co. 0.28% 11/06/12 100,000,000 99,999,000
(y)JPMorgan Chase & Co. 0.25% 12/04/12 25,000,000 24,998,000
(y)++Kreditanstalt Fur Wiederaufbau 0.19% 11/13/12 79,000,000 78,998,420
(y)++Kreditanstalt Fur Wiederaufbau 0.22% 11/16/12 71,080,000 71,078,578
(y)++Kreditanstalt Fur Wiederaufbau 0.22% 11/19/12 40,000,000 39,998,800
(y)++Kreditanstalt Fur Wiederaufbau 0.22% 11/30/12 70,000,000 69,997,200
(y)++Kreditanstalt Fur Wiederaufbau 0.22% 12/05/12 80,000,000 79,994,400
(y)++Kreditanstalt Fur Wiederaufbau 0.20% 01/24/13 25,000,000 24,991,500
(y)++Kreditanstalt Fur Wiederaufbau 0.23% 03/18/13 48,550,000 48,512,617
(y)++Medtronic, Inc. 0.15% 11/29/12 12,400,000 12,398,512
(y)++National Australia Bank NY 0.25% 04/23/13 30,000,000 29,968,500
(y)Nordea North America, Inc. 0.22% 01/25/13 80,000,000 79,957,600
(y)Nordea North America, Inc. 0.31% 03/14/13 100,000,000 99,900,000
(y)Nordea North America, Inc. 0.32% 03/18/13 9,500,000 9,490,215
(y)Nordea North America, Inc. 0.32% 03/19/13 30,000,000 29,968,800
(y)++NRW Bank AG 0.27% 11/07/12 100,000,000 99,997,000
(y)++NRW Bank AG 0.37% 11/26/12 50,000,000 49,992,000
(y)++NRW Bank AG 0.24% 11/29/12 50,000,000 49,991,000
(y)++NRW Bank AG 0.22% 12/03/12 60,000,000 59,988,000
(y)++NRW Bank AG 0.20% 12/19/12 100,000,000 99,969,000
(y)Oesterreichische Kontrollbank AG 0.20% 12/03/12 35,180,000 35,174,371
(y)Oesterreichische Kontrollbank AG 0.21% 02/25/13 100,000,000 99,886,000
(y)++Old Line Funding LLC 0.21% 11/01/12 20,051,000 20,051,000
(y)++Old Line Funding LLC 0.18% 12/04/12 24,124,000 24,121,105
(y)++Old Line Funding LLC 0.20% 12/05/12 50,000,000 49,993,500
(y)++Old Line Funding LLC 0.18% 12/10/12 14,635,000 14,632,951
(y)++Old Line Funding LLC 0.20% 12/12/12 45,000,000 44,993,250
(y)++Old Line Funding LLC 0.18% 12/17/12 50,000,000 49,991,500
(y)++Procter & Gamble Co. 0.14% 11/13/12 25,000,000 24,999,500
(y)Province of British Columbia 0.10% 12/19/12 26,500,000 26,496,290
(y)Province of Ontario 0.14% 11/07/12 100,000,000 99,998,000
(y)Province of Ontario 0.15% 11/20/12 85,000,000 84,992,350
(y)Province of Ontario 0.11% 11/30/12 95,000,000 94,986,700
(y)Province of Ontario 0.16% 12/17/12 100,000,000 99,973,000
(y)++Province of Quebec 0.17% 11/01/12 98,000,000 97,999,020
(y)++Province of Quebec 0.14% 11/08/12 20,000,000 19,999,200
(y)++Province of Quebec 0.15% 11/13/12 75,000,000 74,994,750
(y)++Province of Quebec 0.16% 11/27/12 50,000,000 49,992,000
(y)++Province of Quebec 0.21% 11/28/12 50,000,000 49,992,000
(y)++Standard Chartered Bank PLC 0.30% 11/14/12 30,000,000 29,997,900
(y)++Standard Chartered Bank PLC 0.38% 11/19/12 98,900,000 98,890,110
(y)++Standard Chartered Bank PLC 0.29% 11/27/12 125,000,000 124,981,250
(y)++Standard Chartered Bank PLC 0.38% 12/10/12 25,000,000 24,994,000
See notes to financial statements.
4
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Schedule of Investments (continued)
October 31, 2012
--------------------------------------------------------------------------------
Security Description Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- -------------
Commercial Papers - 46.5% (continued)
(y)++Standard Chartered Bank PLC 0.37% 12/13/12 10,000,000 9,997,300
(y)++Standard Chartered Bank PLC 0.38% 12/18/12 15,000,000 14,995,350
(y)++Standard Chartered Bank PLC 0.38% 12/20/12 5,000,000 4,998,350
(y)++Standard Chartered Bank PLC 0.38% 12/24/12 65,000,000 64,975,950
(y)++Standard Chartered Bank PLC 0.36% 12/31/12 50,000,000 49,978,000
(y)++Svenska Handelsbanken NY 0.23% 11/13/12 50,000,000 49,997,500
(y)++Svenska Handelsbanken NY 0.23% 11/14/12 50,000,000 49,997,000
(y)++Svenska Handelsbanken NY 0.21% 11/26/12 11,759,000 11,757,471
(y)++Svenska Handelsbanken NY 0.22% 11/30/12 43,640,000 43,633,018
(y)++Svenska Handelsbanken NY 0.22% 12/07/12 40,000,000 39,992,000
(y)++Svenska Handelsbanken NY 0.22% 12/19/12 35,000,000 34,990,550
(y)++Svenska Handelsbanken NY 0.26% 02/14/13 100,000,000 99,922,000
(y)++Svenska Handelsbanken NY 0.26% 02/15/13 20,000,000 19,984,200
(y)++Svenska Handelsbanken NY 0.29% 04/18/13 40,000,000 39,941,200
(y)++Toronto Dominion Holdings (U.S.A), Inc. 0.28% 11/07/12 100,000,000 99,998,000
(y)++Total Capital Canada, Ltd. 0.16% 11/06/12 289,000,000 288,994,220
(y)++Total Capital Canada, Ltd. 0.14% 12/12/12 100,000,000 99,977,000
(y)Toyota Motor Credit Corp. 0.16% 01/22/13 50,000,000 49,977,500
(y)++United Technologies Corp. 0.15% 11/06/12 50,000,000 49,999,000
(y)++Westpac Banking Corp. 0.31% 11/09/12 15,000,000 14,999,700
(y)++Westpac Banking Corp. 0.32% 11/26/12 25,000,000 24,998,500
------------- -------------
Total Commercial Papers (Cost $6,402,691,659) 6,404,848,000 6,402,781,584
------------- -------------
Yankee Certificates of Deposit - 8.5%
(r)Bank of Nova Scotia 0.75% 02/15/13 75,000,000 75,090,675
(r)National Australia Bank NY 0.57% 12/06/12 100,000,000 100,054,100
(r)National Australia Bank NY 0.49% 05/29/13 50,000,000 50,045,000
(r)Nordea Bank Finland NY 0.64% 11/13/12 35,000,000 35,002,800
(r)Nordea Bank Finland NY 0.92% 02/06/13 18,500,000 18,517,742
(r)Nordea Bank Finland NY 0.92% 02/07/13 92,800,000 92,890,851
(r)Nordea Bank Finland NY 0.86% 03/08/13 12,950,000 12,963,222
(r)Rabobank Nederland NV NY 0.54% 11/09/12 47,500,000 47,502,375
(r)Rabobank Nederland NV NY 0.54% 11/16/12 50,000,000 50,006,400
(r)Rabobank Nederland NV NY 0.56% 11/30/12 140,000,000 140,022,400
(r)Royal Bank of Canada NY 0.45% 05/16/13 40,500,000 40,504,860
(r)Royal Bank of Canada NY 0.47% 08/30/13 100,000,000 99,991,000
(r)Svenska Handelsbanken NY 0.77% 01/18/13 12,840,000 12,851,389
(r)Toronto Dominion Bank NY 0.31% 02/04/13 100,000,000 100,027,200
(r)Toronto Dominion Bank NY 0.30% 05/15/13 40,000,000 40,012,800
(r)Toronto Dominion Bank NY 0.40% 09/13/13 200,000,000 200,102,000
(r)Westpac Banking Corp. 0.53% 12/20/12 50,000,000 50,033,900
------------- -------------
Total Yankee Certificates of Deposit (Cost $1,165,226,120) 1,165,090,000 1,165,618,714
------------- -------------
U.S. Government Agency Securities - 9.0%
(y)Federal Home Loan Bank 0.13% 11/14/12 100,000,000 99,997,100
(y)Federal Home Loan Bank 0.12% 11/21/12 50,000,000 49,997,800
(y)Federal Home Loan Bank 0.10% 11/28/12 100,000,000 99,994,000
(y)Federal Home Loan Bank 0.13% 12/05/12 197,600,000 197,583,204
(y)Federal Home Loan Bank 0.12% 12/19/12 52,700,000 52,693,676
(y)Federal Home Loan Bank 0.14% 12/21/12 100,000,000 99,987,500
(y)Federal Home Loan Bank 0.14% 12/26/12 50,000,000 49,993,150
(y)Federal Home Loan Bank 0.13% 01/23/13 100,000,000 99,972,300
(y)Federal Home Loan Mortgage Corp. 0.05% 11/14/12 90,000,000 89,997,390
(y)Federal Home Loan Mortgage Corp. 0.12% 11/19/12 75,000,000 74,997,000
(y)Federal Home Loan Mortgage Corp. 0.12% 12/04/12 100,000,000 99,991,800
(y)Federal National Mortgage Assoc. 0.13% 11/14/12 75,000,000 74,997,825
(y)Federal National Mortgage Assoc. 0.13% 12/19/12 100,000,000 99,988,000
(y)Federal National Mortgage Assoc. 0.13% 01/16/13 50,000,000 49,987,350
------------- -------------
Total U.S. Government Agency Securities (Cost $1,240,140,182) 1,240,300,000 1,240,178,095
------------- -------------
See notes to financial statements.
5
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Schedule of Investments (concluded)
October 31, 2012
--------------------------------------------------------------------------------
Security Description Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- ---------------
Repurchase Agreements - 24.1%
Bank of America (Purchased on 10/31/12, Proceeds at maturity $600,004,500
collateralized by U.S. Treasury Securities, 0.13% - 1.88%, 04/30/14 -
04/15/16, market value $612,000,019) 0.27% 11/01/12 600,000,000 600,000,000
Barclays Capital Group LLC (Purchased on 10/31/12, Proceeds at maturity
$550,004,583 collateralized by U.S. Treasury Securities, 0.25% - 3.13%,
04/30/13 - 04/30/16, market value $561,000,090) 0.30% 11/01/12 550,000,000 550,000,000
Deutsche Bank (Purchased on 10/31/12, Proceeds at maturity $300,002,333
collateralized by U.S. Treasury Securities, 0.25% - 3.75%, 05/31/14 -
11/15/18, market value $306,000,059) 0.28% 11/01/12 300,000,000 300,000,000
Deutsche Bank (Purchased on 10/31/12, Proceeds at maturity $115,001,022
collateralized by U.S. Government Backed Security, 0.00%, 04/29/13,
market value $117,300,832) 0.32% 11/01/12 115,000,000 115,000,000
Goldman Sachs & Co. (Purchased on 10/31/12, Proceeds at maturity
$100,000,722 collateralized by U.S. Government Backed Securities, 3.00% -
7.00%, 05/15/23 - 10/20/42, market value $102,000,000) 0.26% 11/01/12 100,000,000 100,000,000
HSBC (Purchased on 10/31/12, Proceeds at maturity $400,002,889
collateralized by U.S. Treasury Securities, 0.00% - 3.13%, 11/15/12 -
02/15/22, market value $410,674,487) 0.26% 11/01/12 400,000,000 400,000,000
JPMorgan Chase Bank (Purchased on 10/31/12, Proceeds at maturity
$600,004,500 collateralized by U.S. Government Backed Securities, 0.00% -
13.50%, 02/15/13 - 03/15/54, market value $612,003,128) 0.27% 11/01/12 600,000,000 600,000,000
The Toronto Dominion Bank NY (Purchased on 10/31/12, Proceeds at maturity
$500,003,750 collateralized by U.S. Government Backed Securities, 0.00% -
6.00%, 11/23/12 - 08/15/22, marketvalue $510,000,068) 0.27% 11/01/12 500,000,000 500,000,000
The Toronto Dominion Bank NY (Purchased on 10/31/12, Proceeds at maturity
$150,001,042 collateralized by U.S. Treasury Securities, 0.25% - 1.88%,
11/30/13 - 06/30/15, market value $153,000,065) 0.25% 11/01/12 150,000,000 150,000,000
------------- ---------------
Total Repurchase Agreements (Cost $3,315,000,000) 3,315,000,000 3,315,000,000
------------- ---------------
Total Investments (Cost $13,758,285,149) - 100.0% $13,759,499,470
===============
(r)The adjustable/variable rate shown is effective as of 10/31/12
(y)The rate shown is the effective yield.
++ Rule 144A, Section 4(2), or other security which is restricted as to resale
to institutional investors. The Fund's Advisor has deemed this security to
be liquid based upon procedures approved by the Board of Directors/Trustees.
The aggregate value of these securities at October 31, 2012 was
$4,672,120,908 which represented 33.9% of the total investments of the fund.
LLC--Limited Liability Co.
NY--New York Shares
PLC--Public Limited Company
AG--Aktiengesellschaft (German & Swiss stock corporation)
See notes to financial statements.
6
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Statement of Assets and Liabilities
October 31, 2012
--------------------------------------------------------------------------------
Assets:
Investments, at value $10,444,499,470
Repurchase agreements, at value 3,315,000,000
---------------
Total Investments 13,759,499,470
---------------
Cash 685,270,725
Interest receivable 2,475,205
Prepaid expenses and other assets 125
---------------
Total Assets 14,447,245,525
---------------
Liabilities:
Distributions payable 2,586,916
Accrued expenses and other payables:
Investment advisory 606,147
Director/Trustee 154,122
Administration 58,066
Professional 44,315
CCO 2,302
Other 6,828
---------------
Total Liabilities 3,458,696
---------------
Net Assets $14,443,786,829
===============
Net Assets consist of:
Capital $14,442,123,293
Accumulated Net Investment Income --
Accumulated Net Realized Gains from Investment Transactions 449,215
Net Unrealized Appreciation on Investments 1,214,321
---------------
Net Assets $14,443,786,829
===============
Shares of Beneficial Interest (Unlimited Number of Shares Authorized, No Par Value) 1,248,238,82
Net Asset Value (Offering and Redemption Price Per Share) $ 11.57
---------------
Investments at cost $13,758,285,149
===============
See notes to financial statements.
7
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Statement of Operations
October 31, 2012
--------------------------------------------------------------------------------
Investment Income:
Interest $41,501,575
-----------
Total Investment Income 41,501,575
-----------
Expenses:
Investment Advisory Fees 7,693,113
Administration Fees 1,077,270
Professional Fees 384,254
Director/Trustee Fees 157,044
CCO Fees 27,413
Other Expenses 100,454
-----------
Total Expenses Before Fee Reductions 9,439,548
-----------
Fees Paid Indirectly (441,745)
-----------
Net Expenses 8,997,803
-----------
Net Investment Income 32,503,772
-----------
Realized/Unrealized Gains (Losses) From Investments
Net Realized Gains from Investment Transactions 452,500
Net Change in Unrealized Appreciation on Investments 1,214,321
-----------
Net Realized/Unrealized Gains (Losses) from Investments 1,666,821
-----------
Change in Net Assets Resulting From Operations $34,170,593
===========
See notes to financial statements.
8
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Statements of Changes in Net Assets
--------------------------------------------------------------------------------
For the Year Ended For the Year Ended
October 31, 2012 October 31, 2011
------------------ ------------------
From Investment Activities:
Operations:
Net Investment Income $ 32,503,772 $ 26,013,019
Net Realized Gains from Investments Transactions 452,500 59,078
Net Change in Unrealized Appreciation/ Depreciation
Investments 1,214,321 --
---------------- ----------------
Change in Net Assets from Operations 34,170,593 26,072,097
---------------- ----------------
Distributions to Shareholders:
Net Investment Income (32,503,772) (26,013,019)
Net Realized Gains (77,359) --
---------------- ----------------
Change in Net Assets from Distributions to Shareholders (32,581,131) (26,013,019)
---------------- ----------------
Capital Transactions:
Proceeds from Shares Issued 64,025,904,825 55,113,515,363
Dividends Reinvested 17,206 --
Cost of Shares Redeemed (64,803,346,489) (53,709,001,947)
---------------- ----------------
Change in Net Assets from Capital Transactions (777,424,458) 1,404,513,416
---------------- ----------------
Change in Net Assets (775,834,996) 1,404,572,494
---------------- ----------------
Net Assets:
Beginning of Period 15,219,621,825 13,815,049,331
---------------- ----------------
End of Period $ 14,443,786,829 $ 15,219,621,825
================ ================
Accumulated Net Investment Income $ -- $ 74,074
================ ================
Shares Transactions:(a)
Shares Issued 5,533,786,070 4,763,484,474
Reinvested 1,487 --
Shares Redeemed (5,600,980,682) (4,642,091,785)
---------------- ----------------
Change in Shares (67,193,125) 121,392,689
---------------- ----------------
(a)As described in Note J, amounts have been adjusted for a 1-for-11.57 reverse
share split that occurred on May 7, 2012.
See notes to financial statements.
9
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Financial Highlights
--------------------------------------------------------------------------------
For The
For The For The Period
Year Ended Year Ended Ended
10/31/2012 (a) 10/31/2011 (a) 10/31/2010* (a)
-------------- -------------- ---------------
Net Asset Value, Beginning of Period $ 11.57 $ 11.57 $ 11.57
Investment activities:
Net Investment Income 0.02 0.02 0.02
Net Realized and Unrealized
Gain/(Losses) on Investments -- (b) -- (b) -- (b)
----------- ----------- -----------
Total from Investment Activities 0.02 0.02 0.02
----------- ----------- -----------
Distributions to shareholders from:
Net Investment Income (0.02) (0.02) (0.02)
Net Realized Gains -- (b) -- (b) -- (b)
----------- ----------- -----------
Total Distributions (0.02) (0.02) (0.02)
----------- ----------- -----------
Net Asset Value, End of Period $ 11.57 $ 11.57 $ 11.57
----------- ----------- -----------
Total Return 0.21% 0.18% 0.17%(c)
Supplemental Data:
Net Assets, End of Period (000's) $14,443,787 $15,219,622 $13,815,049
Ratios to Average Net Assets:
Net Investment Income (d) 0.21% 0.18% 0.23%
Gross Expenses (d) 0.06% 0.06% 0.06%
Net Expenses (d)(e) 0.06% 0.06% 0.06%
* For the Period February 1, 2010 (commencement of operations) to October 31,
2010.
(a)As described in Note J, amounts have been adjusted for a 1-for-11.57 reverse
share split that occurred on May 7, 2012.
(b)Amount less than $0.005.
(c)Not annualized.
(d)Annualized for period less than one year.
(e)Ratio as disclosed reflects the impact of custody fee credits earned by the
Fund on cash balances.
See notes to financial statements.
10
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Notes to Financial Statements
October 31, 2012
--------------------------------------------------------------------------------
A. Organization
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940 (the
"1940 Act"). The Trust consists of twelve portfolios one of which, The DFA
Short Term Investment Fund (the "Fund"), is included in this report. The
remaining operational portfolios are presented in separate reports.
The investment objective of the Fund is to seek to provide a high level of
current income consistent with liquidity and the preservation of capital. As a
money market fund, the Fund will pursue its investment objective by investing
in U.S. dollar-denominated short-term debt securities that meet the strict
standards established by the Board of Directors/Trustees of the Trust (the
"Board"), which seek to be in accordance with Rule 2a-7 under the 1940 Act.
The Board is responsible for establishing the Trust's policies and for
overseeing the management of the Trust. Under the Trust's organizational
documents, its officers and trustees are indemnified against certain
liabilities arising out of the performance of their duties to the Trust. In the
normal course of business, the Trust enters into contracts that contain a
variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
B. Significant Accounting Policies
The following significant accounting policies are in conformity with accounting
principles generally accepted in the United States of America ("GAAP"). Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with GAAP
requires management to make estimates and assumptions that affect the 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 - From November 1, 2011 through May 6, 2012, the Fund
sought to maintain a constant net asset value of $1.00 per share by use of the
penny-rounding method of pricing, pursuant to procedures adopted by the Board.
The penny-rounding method of pricing permits the current net asset value per
share to be rounded to the nearest one percent, provided the fund follows
certain guidelines, including guidelines relating to maturity, credit quality,
liquidity and diversification. On May 7, 2012, upon approval of the Board and
consent of the shareholders, the Fund no longer sought to maintain a stable net
asset value of $1.00 per share and, instead, adopted a floating net asset value
per share. The securities held by the Fund are valued at market value or fair
value in accordance with procedures adopted by the Board. Debt securities are
valued on the basis of evaluated bid-side prices provided by one or more
independent pricing services or other reasonably reliable sources, including
broker/dealers that typically handle the purchase and sale of such securities.
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.
The Fund utilizes a fair value hierarchy which prioritizes the inputs to
valuation techniques used to measure fair value into three broad levels
described below:
. Level 1 - quoted prices in active markets for identical securities
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
Changes in valuation techniques may result in transfers in or out of an
assigned level within the disclosure hierarchy. The Fund determines transfers
between fair value hierarchy levels at the reporting period end. The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities. During the year ended
October 31, 2012, only securities classified as Level 2 in the fair value
hierarchy were held by the Fund.
When determining the fair value of the Fund's investments, additional
consideration is given to those assets or liabilities that have experienced a
decrease in the volume or level of activity or have identified circumstances
that indicate that a transaction is not orderly.
The following table provides the fair value measurements of the Fund's
investments by level within the fair value hierarchy as of October 31, 2012:
LEVEL 1 LEVEL 2 LEVEL 3
Investments in Investments in Investments in
Securities Securities Securities
-------------- --------------- --------------
The DFA Short Term Investment Fund
Corporate Bonds $-- $ 578,865,574 $--
Yankee Dollars 1,057,055,503
Commercial Paper -- 6,402,781,584 --
Yankee Certificates of Deposit -- 1,165,618,714 --
U.S. Government Agency Securities -- 1,240,178,095 --
Repurchase Agreements 3,315,000,000
--- --------------- ---
Total $-- $13,759,499,470 $--
=== =============== ===
11
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Notes to Financial Statements - Continued
October 31, 2012
--------------------------------------------------------------------------------
2. Deferred Compensation Plan - Each eligible trustee (each a "Trustee" and
collectively, the "Trustees") 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
Director/Trustee Fees.
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; and (ii) five
years following the effective date of the Trustee's first deferral election. If
a Trustee who elects to defer fees fails to designate in the Notice a time or
date as of which payment of the Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Trustee ceases to be a member of the Board
(unless the Trustee files an amended Notice selecting a different distribution
date). As of October 31, 2012, none of the Trustees have requested or received
a distribution of proceeds of a deferred fee account.
At October 31, 2012, the Fund's total liability of $128,600 for deferred
compensation to Trustees is included in "Director/Trustee" fees payable on the
Statement of Assets and Liabilities.
3. Security Transactions and Related Income - Security transactions are
accounted for on trade date. The Fund generally declares distributions from net
investment income on a daily basis and pays dividends monthly. Any capital
gains are distributed at least annually. The Fund does not expect to realize
any long-term capital gains and losses. Interest income is recognized on an
accrual basis and includes amortization or accretion of a premium or discount
using the effective interest method. Costs used in determining net realized
gains and losses on the sales of investment securities are those of the
specific securities sold, adjusted for the accretion or amortization of
purchase discounts or premiums during the respective holding period.
4. Allocations - Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributable to the Fund are allocated among the
respective funds in the Trust based upon relative net assets or on another
reasonable basis.
C. Federal Income Taxes
The Fund is classified as a regulated investment company for tax purposes. As a
regulated investment company, the Fund generally pays no U.S. federal income
tax on the income and gains that the Fund distributes to shareholders.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S federal income tax regulation, which may
differ from those amounts determined under GAAP. These book/tax differences are
either temporary (e.g., wash losses and post-October loss deferrals) or
permanent (e.g., reclassification of market discounts, certain gain/loss,
paydowns, and distributions) 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, 2012, attributable to distribution
redesignations, were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share:
Decrease in Increase in
Undistributed Accumulated Net
Net Investment Income Realized Gains
--------------------- ---------------
The DFA Short Term Investment Fund $74,074 $74,074
As of October 31, 2012, the total cost and aggregate gross unrealized
appreciation and depreciation of securities for federal income tax purposes
were equal to the amounts reported for financial reporting purposes.
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
For all open tax years and all major taxing jurisdictions, management of the
Fund has concluded that there are no significant uncertain tax positions that
would require recognition in the Fund's financial statements. The Fund is not
aware of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Open tax years are those that are open for examination by taxing
authorities (i.e., generally, the prior three tax year ends and the interim tax
period since then).
The tax character of distributions paid to shareholders during the periods
ended October 31, 2012 and October 31, 2011 were as follows:
Distributions Paid From
-------------------------
Net Investment Tax-Exempt Total Distributions
Income Income Paid
-------------- ---------- -------------------
The DFA Short Term Investment Fund
2012 $32,581,131 $-- $32,581,131
2011 26,013,019 -- 26,013,019
12
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Notes to Financial Statements - Continued
October 31, 2012
--------------------------------------------------------------------------------
As of October 31, 2012, the components of distributable earnings (accumulated
losses) on a tax basis were as follows:
Undistributed
------------------- Total
Accumulated Unrealized Accumulated
Ordinary Tax-Exempt Accumulated Distributions Capital and Appreciation/ Earnings
Income Income Earnings Payable Other Losses (Depreciation) (Deficit)
-------- ---------- ----------- ------------- ------------ -------------- -----------
The DFA Short Term Investment Fund $633,002 $6,700 $639,702 $-- $-- $1,214,231 $1,854,023
D. Financial Instruments
Repurchase Agreements - The Fund may engage in repurchase agreement
transactions with institutions that the Advisor (as defined below) has
determined are creditworthy. The Fund, through its custodian, receives delivery
of underlying securities collateralizing a repurchase agreement. Collateral for
certain tri-party repurchase agreements is held at the counterparty's custodian
in a segregated account for the benefit of the Fund and the counterparty. The
counterparty will be required at all times, to maintain collateral with a value
at least equal, at all times, to the value of the repurchase obligation
including interest. A repurchase agreement transaction involves certain risks
in the event of default or insolvency of the counterparty. These risks include
possible delay or restrictions upon the Fund's ability to dispose of the
underlying securities and a possible decline in the value of the underlying
securities during the period while the Fund seeks to assert its rights.
E. Related Party Transactions
Investment Manager - Dimensional Fund Advisors LP (the "Advisor" or "DFA")
serves as investment advisor to the Fund. Pursuant to an investment management
agreement with the Trust with respect to the Fund (the "Investment Management
Agreement"), the Advisor manages the investment and reinvestment of the Fund's
assets. DFA has served as the Fund's investment advisor since the Fund's
commencement of operations. Pursuant to the terms of the Investment Management
Agreement, the Advisor receives a management fee calculated daily and payable
monthly from the Fund at an annual rate of 0.05% of the average daily net
assets.
Fees Paid to Officers - Certain officers of the Advisor are also officers of
the Fund; however, such officers (with the exception of the Chief Compliance
Officer ("CCO")) receive no compensation from the Fund. Amounts paid to the
Fund's CCO are reflected on the Statement of Operations as "CCO fees".
Administrator and Custodian - Citi Fund Services Ohio, Inc. serves as the
Administrator and Citibank, N.A. serves as the Custodian of the Fund. Pursuant
to the terms of the Master Services Agreement, the Administrator receives a fee
payable monthly from the Fund at an annual rate of 0.007% of the average daily
net assets.
Expense offsets to custody fees that arise from credits on cash balances
maintained on deposit are reflected on the Statement of Operations, as
applicable, as "Fees paid indirectly." Custody fees are reported gross of such
credits.
F. Interest Rate and Credit Risks
The Fund invests primarily in money market instruments maturing in 397 days or
less whose ratings are within one of the two highest ratings categories
assigned by a nationally recognized statistical rating organization, or, if not
rated, are believed by the Adviser to be of comparable quality. The ability of
the issuers of the securities held by the Fund to meet their obligations may be
affected by economic developments in a specific industry, state or region.
The Fund is subject to the risk that the Advisor's security selection and
expectations regarding interest rate trends will cause the yields of the Fund
to lag the performance of other mutual funds with similar investment objectives
or the performance of short-term debt instruments. The emphasis of the Fund on
quality and liquidity also could cause the Fund to underperform when compared
to other money market funds, particularly those that take greater maturity and
credit risks.
G. Line of Credit
The Fund, together with other Dimensional-advised portfolios have entered into
a $250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon. 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,
2013. There were no borrowings by the Fund under this line of credit during the
year ended October 31, 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. The
Fund 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 year ended
October 31, 2012.
13
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Notes to Financial Statements - Continued
October 31, 2012
--------------------------------------------------------------------------------
H. New Accounting Pronouncements
In December 2011, FASB issued ASU No. 2011-11 "Disclosures about Offsetting
Assets and Liabilities" requiring disclosure of both gross and net information
related to offsetting and related arrangements enabling users of its financial
statements to understand the effect of those arrangements on the entity's
financial position. The objective of this disclosure is to facilitate
comparison between those entities that prepare their financial statements on
the basis of U.S. GAAP and those entities that prepare their financial
statements on the basis of IFRS. ASU No. 2011-11 is effective for interim and
annual periods beginning on or after January 1, 2013. Management is evaluating
any impact ASU No. 2011-11 may have on the Fund's financial statements.
I. Other
The Fund is subject to claims and suits that arise from time to time in the
ordinary course of business (for example, in The Tribune Company bankruptcy,
certain creditors have filed actions against all shareholders of The Tribune
Company who tendered shares when the Tribune Company went private in 2007 in a
leveraged buy-out transaction, seeking the return of all proceeds received by
the shareholders). Although management currently believes that resolving claims
against us, individually or in aggregate, will not have a material adverse
impact on our financial position, our results or operations, or our cash flows,
these matters are subject to inherent uncertainties and management's view of
these matters may change in the future.
J. Reverse Share Split
On May 7, 2012, upon approval of the Board and consent of the shareholders, the
Fund no longer sought to maintain a stable net asset value of $1.00 per share
and, instead, adopted a floating net asset value per share. To accomplish the
change from a stable net asset value fund to a floating net asset value fund,
on May 7, 2012, the Fund underwent a 1-for-11.57 reverse share split. The
effect of the reverse share split transaction was to divide the number of
outstanding shares of the Fund by the reverse split factor, with a
corresponding increase in the net asset value per share. This transaction did
not change the net assets of the Fund or the value of a shareholder's
investment. The historical share transactions presented in the Statements of
Changes in Net Assets and per share data presented in the Financial Highlights
have been adjusted retroactively to show the effect of the reverse share split.
Additionally, when the application of the reverse share split results in
fractional shares for beneficial shareholders, a portion of the cost of shares
redeemed, as presented in the Statements of Changes in Net Assets, will reflect
payments of fractional share balances on beneficial shareholder accounts.
K. Subsequent Events
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.
14
Report of Independent Registered Public Accounting Firm
To the Shareholders of The DFA Short Term Investment Fund and
Board of Trustees of The DFA Investment Trust Company:
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of The DFA Short Term Investment Fund
(one of the portfolios constituting The DFA Investment Trust Company, hereafter
referred to as the "Fund") at October 31, 2012, and the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended and the financial highlights each of the
periods indicated, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 2012 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2012
15
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Supplemental Information (Unaudited)
October 31, 2012
--------------------------------------------------------------------------------
Other Federal Income Tax Information
For the period ended October 31, 2012, certain distributions paid by the Fund
may be subject to a maximum tax rate of 15% as provided by the Jobs and Growth
Relief Reconciliation Act of 2003. The Fund intends to designate the maximum
amount allowable as taxed at a maximum rate of 15%. Complete information will
be reported in conjunction with the 2011 Form 1099-DIV.
For the period ended October 31, 2012, the Fund paid qualified interest income
for purposes of a reduced individual federal income tax rate of:
Percentage
----------
The DFA Short Term Investment Fund 97.56 %
For the period ended October 31, 2012, the Fund paid qualified short-term
capital gains for purposes of a reduced individual federal income tax rate of:
Percentage
----------
The DFA Short Term Investment Fund 100%
For the period ended October 31, 2012, the Fund designated the following amount
as a short term capital gain distribution in accordance with Sections 871(k)(2)
and 881(e) of the Internal Revenue Code;
Amount
------
The DFA Short Term Investment Fund $3,285
Expense Example
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 example is based on an investment of $1,000 invested at the beginning of
the period and held for the entire period from May 1, 2012 to October 31, 2012.
Actual Expenses
_______________
The table below provides information about actual account values and actual
expenses. You may use the information below, together with the amount you
invested, to estimate the expenses that you paid over the period. Simply divide
your account value by $1,000 (for example, an $8,600 account value divided by
$1,000 = 8.6), then multiply the result by the number in the table under the
heading entitled "Expenses Paid During Period" to estimate the expenses you
paid on your account during this period.
Annualized
Beginning Ending Expense Paid Expense Ratio
Account Value Account Value During Period * During Period
5/1/12 10/31/12 5/1/12-10/31/12 5/1/12-10/31/12
------------- ------------- --------------- ---------------
The DFA Short Term Investment Fund $1,000.00 $1,001.10 $0.30 0.06%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the period from May 1, 2012 to October 31, 2012 divided by the number of days
in the fiscal year.
Hypothetical Example for Comparison Purposes
____________________________________________
The table below provides information about hypothetical account values and
hypothetical expenses based on the Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses, which is not the Fund's actual
return. The hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare this 5% hypothetical example with the
5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), redemption fees, or exchange fees. Therefore, the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
16
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2012
--------------------------------------------------------------------------------
Annualized
Beginning Ending Expense Paid Expense Ratio
Account Value Account Value During Period * During Period
5/1/12 10/31/12 5/1/12-10/31/12 5/1/12-10/31/12
------------- ------------- --------------- ---------------
The DFA Short Term Investment Fund $ 1,000.00 $ 1,024.83 $ 0.31 0.06%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the period from May 1, 2012 to October 31, 2012 divided by the number of days
in the fiscal year.
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 Advisor's website
__________________
at http://www.dimensional.com and reflects the twelve-month period beginning
__________________________
July 1st and ending June 30th.
Portfolio Holding Information
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. or the 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
quarter. The schedule of Portfolio Holdings for the Fund in this report 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.goc, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, DC (call 1-800-732-0330 for the information on
the operation of the Public Reference Room).
17
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2012
--------------------------------------------------------------------------------
FUND MANAGEMENT
Trustees/Directors
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and
Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has four standing committees, an Audit Committee, a Nominating
Committee, a Portfolio Performance and Service Review Committee (the
"Performance Committee") and an Independent Review Committee (the "Review
Committee"). The Audit Committee is comprised of George M. Constantinides,
Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a
disinterested Trustee/Director. The Audit Committee oversees the Fund's
accounting and financial reporting policies and practices, the Fund's internal
controls, the Fund's financial statements and the independent audits thereof
and performs other oversight functions as requested by the Board. The Audit
Committee recommends the appointment of each Fund's independent registered
certified public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2012.
Each Board's Nominating Committee is comprised of George M. Constantinides,
John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie
J. Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee did not meet during
the fiscal year ended October 31, 2012.
Each Board's Performance Committee is comprised of George M. Constantinides,
Roger G. Ibbotson, Abbie J. Smith, Edward P. Lazear, John P. Gould and Myron S.
Scholes. Each member of the Performance Committee is a disinterested
Trustee/Director. The Performance Committee regularly reviews and monitors the
investment performance of the Fund's series and reviews the performance of the
Fund's service providers. There were seven Performance Committee meetings held
during the fiscal year ended October 31, 2012.
Each Board's Review Committee consists of both interested and disinterested
Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Review Committee may (i) review the design of possible new series
of the Fund, (ii) review performance of existing portfolios of the Fund and
discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Review
Committee was formed on December 17, 2010, and there were two Review Committee
meetings held during the fiscal year ended October 31, 2012.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at www.dimensional.com.
18
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2012
--------------------------------------------------------------------------------
Principal Occupation(s) During Past 5 Years
Name, Position with the Term of Office\\1\\ and Portfolios within the DFA and Other Directorships of Public Companies
Fund, Address and Age Length of Service Fund Complex\\2\\ Overseen Held
----------------------- ------------------- ------------------------- --------------------------------------------
Disinterested Trustees/Directors
George M. Constantinides Since Inception 100 portfolios in 4 Leo Melamed Professor of Finance, The
Director of DFAIDG and DIG. investment companies University of Chicago Booth School of
Trustee of DFAITC and DEM. Business.
The University of Chicago
Booth School of Business 5807
S. Woodlawn Avenue Chicago,
IL 60637 Age: 64
John P. Gould Director of Since Inception 100 portfolios in 4 Steven G. Rothmeier Distinguished Service
DFAIDG and DIG. Trustee of investment companies Professor of Economics, The University of
DFAITC and DEM. The Chicago Booth School of Business (since
University of Chicago Booth 1965). Member and Chair, Competitive Markets
School of Business 5807 S. Advisory Committee, Chicago Mercantile
Woodlawn Avenue Chicago, IL Exchange (futures trading exchange) (since
60637 Age: 73 2004). Formerly, Director of UNext, Inc.
(1999-2006). Trustee, Harbor Fund
(registered investment company) (30
Portfolios) (since 1994). Formerly, Member
of the Board of Milwaukee Mutal Insurance
Company (1997-2010).
Roger G. Ibbotson Director of Since Inception 100 portfolios in 4 Professor in Practice of Finance, Yale
DFAIDG and DIG. Trustee of investment companies School of Management (since 1984). Chairman,
DFAITC and DEM. Yale CIO and Partner, Zebra Capital Management,
School of Management P.O. LLC (hedge fund manager) (since 2001).
Box 208200 New Haven, CT Consultant to Morningstar, Inc. (since
06520-8200 Age: 68 2006). Formerly, Chairman, Ibbotson
Associates, Inc., Chicago, IL (software data
publishing and consulting) (1977-2006).
Formerly, Director, BIRR Portfolio Analysis,
Inc. (software products) (1990-2010).
19
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2012
--------------------------------------------------------------------------------
Principal Occupation(s) During Past 5 Years
Term of Office\\1\\ and Portfolios within the DFA and Other Directorships of Public Companies
Length of Service Fund Complex\\2\\ Overseen Held
- ------------------- ------------------------- --------------------------------------------
Edward P. Lazear Since 2010 100 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG investment companies Institution (since 2002). Jack Steele Parker
and DIG. Trustee of Professor of Human Resources Management and
DFAITC and DEM. Economics, Graduate School of Business,
Stanford University Stanford University (since 1995).
Graduate School of Cornerstone Research (expert testimony and
Business 518 Memorial economic and financial analysis) (since
Way Stanford, CA 2009). Formerly, Chairman of the President
94305- 5015 Age: 64 George W. Bush's Council of Economic
Advisers (2006-2009). Formerly, Council of
Economic Advisors, State of California
(2005-2006). Formerly, Commissioner, White
House Panel on Tax Reform (2005).
Myron S. Scholes Since Inception 100 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
Director of DFAIDG investment companies Stanford University (since 1981). Formerly,
and DIG. Trustee of Chairman, Platinum Grove Asset Management,
DFAITC and DEM. c/o L.P. (hedge fund) (formerly, Oak Hill
Dimensional Fund Platinum Partners) (1999-2009). Formerly,
Advisors, LP 6300 Bee Managing Partner, Oak Hill Capital
Cave Road Building 1 Management (private equity firm) (until
Austin, TX 78746 Age: 2004). Director, American Century Fund
70 Complex (registered investment companies)
(40 Portfolios) (since 1980). Formerly,
Director, Chicago Mercantile Exchange
(2001-2008).
Abbie J. Smith Director Since 2000 100 portfolios in 4 Boris and Irene Stern Distinguished Service
of DFAIDG and DIG. investment companies Professor of Accounting, The University of
Trustee of DFAITC and Chicago Booth School of Business (since
DEM. The University of 1980). Co-Director Investment Research,
Chicago Booth School Fundamental Investment Advisors (hedge fund)
of Business 5807 S. (since 2008). Director, HNI Corporation
Woodlawn Avenue (formerly known as HON Industries Inc.)
Chicago, IL 60637 Age: (office furniture) (since 2000). Director,
58 Ryder System Inc. (transportation, logistics
and supply- chain management) (since 2003).
Trustee, UBS Funds (4 investment companies
within the fund complex) (52 portfolios)
(since 2009).
20
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2012
--------------------------------------------------------------------------------
Principal Occupation(s)
During Past 5 Years
Term of Office\\1\\ and Portfolios within the DFA and Other Directorships of
Length of Service Fund Complex\\2\\ Overseen Public Companies Held
Interested Trustees/Directors*
David G. Booth Since Inception 100 portfolios in 4 Chairman, Director/Trustee,
Chairman, Director, investment companies President, and Co- Chief
Co-Chief Executive Executive Officer (since
Officer and President of January 2010) of Dimensional
DFAIDG and DIG. Holdings Inc., Dimensional
Chairman, Trustee, Fund Advisors LP, DFA
Co-Chief Executive Securities LLC, Dimensional
Officer and President of Emerging Markets Value Fund,
DFAITC and DEM. DFAIDG, Dimensional
6300 Bee Cave Road, Investment Group Inc. and The
Building One Austin, DFA Investment Trust Company.
Texas 78746 Age: 65 Director of Dimensional Fund
Advisors Ltd., Dimensional
Funds PLC, Dimensional Funds
II PLC, DFA Australia
Limited, Dimensional Cayman
Commodity Fund I Ltd.,
Dimensional Japan Ltd. and
Dimensional Advisors Ltd.
Chairman, Director and
Co-Chief Executive Officer of
Dimensional Fund Advisors
Canada ULC. Limited Partner,
President, Dimensional
SmartNest (US) LLC., Oak Hill
Partners (since 2001) and VSC
Investors, LLC (since 2007).
Trustee, The University of
Chicago. Trustee, University
of Kansas Endowment
Association. Formerly, Chief
Executive Officer (until
2010) and Chief Investment
Officer (2003-2007) of
Dimensional Fund Advisors LP,
DFA Securities LLC,
Dimensional Emerging Markets
Value Fund, DFAIDG,
Dimensional Investment Group
Inc., The DFA Investment
Trust Company and Dimensional
Holdings Inc. Formerly, Chief
Investment Officer of
Dimensional Fund Advisors
Ltd. Formerly, President and
Chief Investment Officer of
DFA Australia Limited.
Formerly, Director, SA Funds
(registered investment
company).
Eduardo A. Repetto Since 2009 100 portfolios in 4 Co-Chief Executive Officer
Director, Co-Chief investment companies (since January 2010), Chief
Executive Officer and Investment Officer (since
Chief Investment March 2007) and
Officer of DFAIDG and Director/Trustee of
DIG. Trustee, Co-Chief Dimensional Holdings Inc.,
Executive Officer and Dimensional Fund Advisors LP,
Chief Investment DFA Securities LLC,
Officer of DFAITC and Dimensional Emerging Markets
DEM. 6300 Bee Cave Value Fund, DFAIDG,
Road, Building One Dimensional Investment Group
Austin, TX 78746 Age: Inc., The DFA Investment
45 Trust Company and Dimensional
Cayman Commodity Fund I Ltd.
Co-Chief Executive Officer,
President and Chief
Investment Officer of
Dimensional Fund Advisors
Canada ULC. Chief Investment
Officer, Vice President and
Director of DFA Australia
Limited. Director of
Dimensional Fund Advisors
Ltd., Dimensional Funds PLC,
Dimensional Funds II PLC,
Dimensional Japan Ltd. and
Dimensional Advisors Ltd.
Co-Chief Executive Officer of
Dimensional Retirement Plan
Services LLC. Formerly, Vice
President of Dimensional
Holdings Inc., Dimensional
Fund Advisors LP, DFA
Securities LLC, Dimensional
Emerging Markets Value Fund,
DFAIDG, Dimensional
Investment Group Inc., The
DFA Investment Trust Company
and Dimensional Fund Advisors
Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which
includes the Funds.
* Interested Trustees/Directors are described as such because they are
deemed to be "interested persons," as that term is defined under the
Investment Company Act of 1940, as amended, due to their positions with
Dimensional Fund Advisors LP.
21
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2012
--------------------------------------------------------------------------------
Officers
The name, age, and information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors LP (prior to November 3, 2006,
Dimensional Fund Advisors Inc.) ("Dimensional"), DFA Securities LLC (prior to
April 6, 2009, DFA Securities Inc.), DFAIDG, DIG, DFAITC and DEM (collectively,
the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, unless otherwise
indicated.
Term of Office\\1\\ and
Length of Service Principal Occupation(s) During Past 5 Years
------------------- ------------------------------------------------------
Officers
April A. Aandal Vice President, Since 2008 Vice President of all the DFA Entities. Vice President
Global Business Development Age: Global Business Development of all the DFA Entities.
49 Formerly, Chief Learning Officer of Dimensional
(2008-2011); Regional Director of Dimensional
(2004-2008).
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice
Age: 37 President Business Development at Capson Physicians
Insurance Company (2010-2012); Vice President at
Charles Schwab (2007- 2010).
Darryl D. Avery Vice President Age: Since 2005 Vice President of all the DFA Entities.
46
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities.
Age: 56
John T. Blood Vice President Age: Since 2011 Vice President of all the DFA Entities. Formerly,
43 Regional Director for Dimensional (2010-January 2011);
Chief Market Strategist at Commonwealth Financial
(2007-2010); Director of Research at Commonwealth
Financial (2000-2007).
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
Age: 43
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the DFA
Assistant Secretary Age: 45 Entities, DFA Australia Limited, Dimensional Fund
Advisors Ltd., Dimensional Cayman Commodity Fund I
Ltd., Dimensional Retirement Plan Services LLC,
Dimensional Fund Advisors Pte. Ltd., Dimensional Hong
Kong Limited. Director, Vice President and Assistant
Secretary of Dimensional Fund Advisors Canada ULC.
David P. Butler Vice President Age: Since 2007 Vice President of all the DFA Entities. Head of Global
48 Financial Services of Dimensional (since 2008).
Formerly, Regional Director of Dimensional (January
1995 to January 2005).
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
Age: 41 Regional Director for Dimensional Fund Advisors LP
(December 2010-January 2012); Regional Director at
Russell Investments (April 2006- December 2010).
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
Age: 56 Regional Director for Dimensional (2008-2010); Vice
President, Client Portfolio Manager at American
Century Investments (2001-2008).
Joseph H. Chi Vice President Age: Since 2009 Vice President of all the DFA Entities. Co-Head of
46 Portfolio Management of Dimensional (since March
2012). Sr. Portfolio Manager of Dimensional (since
January 2012). Formerly, Portfolio Manager for
Dimensional (October 2005-January 2012).
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities, DFA Australia
Age: 40 Limited and Dimensional Fund Advisors Canada ULC. Head
of Institutional, North America (since March 2012).
Formerly, Head of Portfolio Management of Dimensional
(January 2006-March 2012).
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
Age: 36 Regional Director for Dimensional Fund Advisors LP
(August 2002-January 2012).
22
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2012
--------------------------------------------------------------------------------
Term of Office\\1\\ and
Length of Service Principal Occupation(s) During Past 5 Years
------------------- ----------------------------------------------------------
Robert P. Cornell Vice President Age: 63 Since 2007 Vice President of all the DFA Entities. Regional Director
of Financial Services Group of Dimensional (since August
1993).
George H. Crane Vice President Age: 57 Since 2010 Vice President of all the DFA Entities. Formerly, Senior
Vice President and Managing Director at State Street Bank
& Trust Company (2007-2008); Managing Director, Head of
Investment Administration and Operations at State Street
Research & Management Company (2002-2005).
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance Officer of all
Global Chief Compliance Officer Age: 46 the DFA Entities, DFA Australia Limited, Dimensional Fund
Advisors Ltd., Dimensional SmartNest LLC, Dimensional
SmartNest (US) LLC and Dimensional Retirement Plan
Services LLC. Chief Compliance Officer of Dimensional Fund
Advisors Canada ULC.
James L. Davis Vice President Age: 55 Since 1999 Vice President of all the DFA Entities.
Robert T. Deere Vice President Age: 55 Since 1994 Vice President of all the DFA Entities, DFA Australia
Limited and Dimensional Fund Advisors Canada ULC.
Peter F. Dillard Vice President Age: 40 Since 2010 Vice President of all the DFA Entities. Research Associate
for Dimensional (since August 2008). Formerly, Research
Assistant for Dimensional (April 2006-August 2008).
Robert W. Dintzner Vice President and Since 2001 Vice President of all the DFA Entities. Chief
Chief Communications Officer Age: 42 Communications Officer of Dimensional (since 2010).
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the DFA
Assistant Secretary Age: 47 Entities and DFA Australia Limited. Chief Operating
Officer of Dimensional Fund Advisors Ltd. (since July
2008). Formerly, Vice President of Dimensional Fund
Advisors Ltd.
Gretchen A. Flicker Vice President Age: 41 Since 2004 Vice President of all the DFA Entities.
Jed S. Fogdall Vice President Age: 38 Since 2008 Vice President of all the DFA Entities. Co-Head of
Portfolio Management of Dimensional (since March 2012).
Sr. Portfolio Manager of Dimensional (since January 2012).
Formerly, Portfolio Manager for Dimensional (since
September 2004).
Jeremy P. Freeman Vice President Age: 41 Since 2009 Vice President of all the DFA Entities. Senior Technology
Manager for Dimensional (since June 2006). Formerly,
Principal at AIM Investments/Amvescap PLC (now Invesco)
(June 1998- June 2006).
Mark R. Gochnour Vice President Age: 45 Since 2007 Vice President of all the DFA Entities. Regional Director
of Dimensional.
Tom M. Goodrum Vice President Age: 44 Since 2012 Vice President of all the DFA Entities. Formerly, Managing
Director at BlackRock (2004-January 2012).
Henry F. Gray Vice President Age: 45 Since 2000 Vice President of all the DFA Entities.
John T. Gray Vice President Age: 38 Since 2007 Vice President of all the DFA Entities. Formerly, Regional
Director of Dimensional (January 2005 to February 2007).
23
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2012
--------------------------------------------------------------------------------
Term of Office\\1\\ and
Length of Service Principal Occupation(s) During Past 5 Years
------------------- ----------------------------------------------------------
Christian Gunther Vice President Age: 37 Since 2011 Vice President of all the DFA Entities. Senior Trader for
Dimensional Fund Advisors LP (since 2012). Formerly,
Senior Trader for Dimensional Fund Advisors Ltd.
(2009-2012); Trader for Dimensional Fund Advisors Ltd.
(2008-2009); Trader for Dimensional Fund Advisors LP
(2004-2008).
Joel H. Hefner Vice President Age: 44 Since 2007 Vice President of all the DFA Entities. Regional Director
of Dimensional (since June 1998).
Julie C. Henderson Vice President and Since 2005 Vice President and Fund Controller of all the DFA Entities
Fund Controller Age: 38 and Dimensional Cayman Commodity Fund I Ltd. and
Dimensional Japan Ltd.
Kevin B. Hight Vice President Age: 44 Since 2005 Vice President of all the DFA Entities.
Christine W. Ho Vice President Age: 44 Since 2004 Vice President of all the DFA Entities.
Michael C. Horvath Vice President Age: 52 Since 2011 Vice President of all the DFA Entities. Formerly, Managing
Director, Co-Head Global Consultant Relations at BlackRock
(2004-2011).
Jeff J. Jeon Vice President Age: 38 Since 2004 Vice President of all the DFA Entities and Dimensional
Cayman Commodity Fund I Ltd.
Stephen W. Jones Vice President Age: 44 Since 2012 Vice President of all the DFA Entities. Formerly,
Facilities Manager for Dimensional Fund Advisors LP
(October 2008- January 2012); General Manager at Intereity
Investments (March 2007-October 2008).
Patrick M. Keating Vice President and Chief Since 2003 Vice President and Chief Operating Officer of all the DFA
Operating Officer Age: 57 Entities, Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Japan Ltd., Dimensional Advisors Ltd.,
Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong
Limited and Dimensional Retirement Plan Services LLC.
Director, Vice President and Chief Privacy Officer of
Dimensional Fund Advisors Canada ULC. Director of DFA
Australia Limited, Dimensional Fund Advisors Ltd.,
Dimensional Japan Ltd., Dimensional Advisors Ltd. and
Dimensional Fund Advisors Pte. Ltd. Director and Vice
President of Dimensional Hong Kong Limited.
Glenn E. Kemp Vice President Age: 64 Since 2012 Vice President of all the DFA Entities. Formerly, Regional
Director for Dimensional Fund Advisors LP (April
2006-January 2012).
David M. Kershner Vice President Age: 41 Since 2010 Vice President of all the DFA Entities. Portfolio Manager
for Dimensional (since June 2004).
Seyun Alice Kim Vice President Age: 32 Since 2012 Vice President of all the DFA Entities. Formerly,
Accounting Manager for Dimensional Fund Advisors LP
(January 2006- January 2012).
Timothy R. Kohn Vice President Age: 41 Since 2011 Vice President of all the DFA Entities. Head of Defined
Contribution Sales for Dimensional (since August 2010).
Formerly, Chief DC Strategist, Barclays Global Investors
(2005-2009).
Joseph F. Kolerich Vice President Age: 40 Since 2004 Vice President of all the DFA Entities. Sr. Portfolio
Manager of Dimensional (since January 2012).Formerly,
Portfolio Manager for Dimensional (April 2007-January
2012).
Stephen W. Kurad Vice President Age: 43 Since 2011 Vice President of all the DFA Entities. Regional Director
for Dimensional (2007-2010).
Michael F. Lane Vice President Age: 45 Since 2004 Vice President of all the DFA Entities. Chief Executive
Officer of Dimensional SmartNest (US) LLC (since 2012).
24
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2012
--------------------------------------------------------------------------------
Term of Office\\1\\ and
Length of Service Principal Occupation(s) During Past 5 Years
--------------------- ----------------------------------------------------------
Francis R. Lao Vice President Age: 43 Since 2011 Vice President of all the DFA Entities. Formerly, Vice
President - Global Operations at Janus Capital Group
(2005-2011).
Juliet Lee Vice President Age: 41 Since 2005 Vice President of all the DFA Entities. Human Resources
Manager of Dimensional (since January 2004).
Marlena I. Lee Vice President Age: 31 Since 2011 Vice President of all the DFA Entities. Formerly, Research
Associate for Dimensional (July 2008-2010).
Apollo D. Lupescu Vice President Age: 43 Since 2009 Vice President of all the DFA Entities. Regional Director
for Dimensional (since February 2004).
Kenneth M. Manell Vice President Age: 39 Since 2010 Vice President of all the DFA Entities and Dimensional
Cayman Commodity Fund I Ltd. Counsel for Dimensional
(since September 2006). Formerly, Assistant General
Counsel at Castle & Cooke (January 2004-September 2006).
Aaron M. Marcus Vice President & Head of Since 2008 Vice President of all the DFA Entities and Head of Global
Global Human Resources Age: 42 Human Resources of Dimensional. Formerly, Global Head of
Recruiting and Vice President of Goldman Sachs & Co. (June
2006 to January 2008).
David R. Martin Vice President, Chief Since 2007 Vice President, Chief Financial Officer and Treasurer of
Financial Officer and Treasurer Age: 55 all the DFA Entities. Director, Vice President, Chief
Financial Officer and Treasurer of Dimensional Fund
Advisors Ltd., DFA Australia Limited, Dimensional Advisors
Ltd., Dimensional Fund Advisors Pte. Ltd., Dimensional
Hong Kong Limited and Dimensional Fund Advisors Canada
ULC. Chief Financial Officer, Treasurer, and Vice
President of Dimensional SmartNest LLC, Dimensional
SmartNest (US) LLC, Dimensional Cayman Commodity Fund I
Ltd. and Dimensional Retirement Plan Services LLC.
Director of Dimensional Funds PLC and Dimensional Funds II
PLC. Statutory Auditor of Dimensional Japan Ltd.
Catherine L. Newell Vice President and Vice President since Vice President and Secretary of all the DFA Entities and
Secretary Age: 48 1997 and Secretary Dimensional Retirement Plan Services LLC (since June
since 2000 2012). Director, Vice President and Secretary of DFA
Australia Limited and Dimensional Fund Advisors Ltd.
(since February 2002, April 1997 and May 2002,
respectively). Vice President and Secretary of Dimensional
Fund Advisors Canada ULC (since June 2003), Dimensional
SmartNest LLC, Dimensional SmartNest (US) LLC, Dimensional
Cayman Commodity Fund I Ltd., Dimensional Japan Ltd.
(since February 2012), Dimensional Advisors Ltd. (since
March 2012), Dimensional Fund Advisors Pte. Ltd. (since
June 2012) and Dimensional Hong Kong Limited (since August
2012). Director, Dimensional Funds PLC and Dimensional
Funds II PLC (since 2002 and 2006, respectively). Director
of Dimensional Japan Ltd., Dimensional Advisors Ltd.,
Dimensional Fund Advisors Pte. Ltd. and Dimensional Hong
Kong Limited (since August 2012 and July 2012).
Christian A. Newton Vice President Age: 37 Since 2009 Vice President of all DFA Entities. Web Services Manager
for Dimensional (since January 2008). Formerly, Design
Manager of Dimensional (2005-2008).
Pamela B. Noble Vice President Age: 48 Since 2011 Vice President of all the DFA Entities. Portfolio Manager
for Dimensional (2008-2010). Formerly, Vice President and
Portfolio Manager at USAA Investment Management Company
(2001- 2006).
Carolyn L. O Vice President Age: 38 Since 2010 Vice President of all the DFA Entities and Dimensional
Cayman Commodity Fund I Ltd. Deputy General Counsel, Funds
(since 2011). Counsel for Dimensional (2007-2011).
Formerly, Associate at K&L Gates LLP (January
2004-September 2007).
25
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2012
--------------------------------------------------------------------------------
Term of Office\\1\\ and
Length of Service Principal Occupation(s) During Past 5 Years
------------------- ----------------------------------------------------------
Gerard K. O'Reilly Vice President Age: 35 Since 2007 Vice President of all the DFA Entities. Formerly, Research
Associate of Dimensional (2004 to 2006).
Daniel C. Ong Vice President Age: 38 Since 2009 Vice President of all the DFA Entities. Portfolio Manager
for Dimensional (since July 2005).
Kyle K. Ozaki Vice President Age: 34 Since 2010 Vice President of all the DFA Entities. Senior Compliance
Officer for Dimensional (since January 2008). Formerly,
Compliance Officer (February 2006-December 2007) and
Compliance Analyst (August 2004-January 2006) for
Dimensional.
David A. Plecha Vice President Age: 51 Since 1993 Vice President of all the DFA Entities, DFA Australia
Limited, Dimensional Fund Advisors Ltd. and Dimensional
Fund Advisors Canada ULC.
Allen Pu Vice President Age: 41 Since 2011 Vice President of all the DFA Entities. Portfolio Manager
for Dimensional (July 2006-2010).
Theodore W. Randall Vice President Age: Since 2008 Vice President of all the DFA Entities. Formerly, Research
39 Associate of Dimensional (2006-2008). Systems Developer of
Dimensional (2001-2006).
Savina B. Rizova Vice President Age: 31 Since 2012 Vice President of all the DFA Entities. Formerly, Research
Associate for Dimensional Fund Advisors LP (June
2011-January 2012); Research Assistant for Dimensional
Fund Advisors LP (July 2004-August 2007).
L. Jacobo Rodriguez Vice President Age: 41 Since 2005 Vice President of all the DFA Entities.
Julie A. Saft Vice President Age: 53 Since 2010 Vice President of all the DFA Entities. Client Systems
Manager for Dimensional (since July 2008). Formerly,
Senior Manager at Vanguard (November 1997-July 2008).
David E. Schneider Vice President Age: 66 Since 2001 Vice President of all the DFA Entities and Dimensional
Fund Advisors Canada ULC.
Walid A. Shinnawi Vice President Age: 50 Since 2010 Vice President of all the DFA Entities. Formerly, Regional
Director for Dimensional (March 2006-January 2010).
Bruce A. Simmons Vice President Age: 47 Since 2009 Vice President of all the DFA Entities. Investment
Operations Manager for Dimensional (since May 2007).
Formerly, Vice President Client and Fund Reporting at
Mellon Financial (September 2005-May 2007).
Edward R. Simpson Vice President Age: 44 Since 2007 Vice President of all the DFA Entities. Regional Director
of Dimensional (since December 2002).
Bryce D. Skaff Vice President Age: 37 Since 2007 Vice President of all the DFA Entities. Formerly, Regional
Director of Dimensional (December 1999 to January 2007).
Andrew D. Smith Vice President Age: 44 Since 2011 Vice President of all the DFA Entities. Project Manager
for Dimensional (2007-2010). Formerly, Business Analyst
Manager, National Instruments (2003-2007).
Grady M. Smith Vice President Age: 56 Since 2004 Vice President of all the DFA Entities and Dimensional
Fund Advisors Canada ULC.
Carl G. Snyder Vice President Age: 49 Since 2000 Vice President of all the DFA Entities.
Lawrence R. Spieth Vice President Age: 64 Since 2004 Vice President of all the DFA Entities.
26
--------------------------------------------------------------------------------
The DFA Short Term Investment Fund
Supplemental Information (Unaudited) - Continued
October 31, 2012
--------------------------------------------------------------------------------
Term of Office\\1\\ and
Length of Service Principal Occupation(s) During Past 5 Years
------------------- ----------------------------------------------------------
Bradley G. Steiman Vice President Age: 39 Since 2004 Vice President of all the DFA Entities and Director and
Vice President of Dimensional Fund Advisors Canada ULC.
John H. Totten Vice President Age: 34 Since 2012 Vice President of all the DFA Entities. Formerly, Regional
Director for Dimensional Fund Advisors LP (January
2008-January 2012).
Robert C. Trotter Vice President Age: 54 Since 2009 Vice President of all the DFA Entities. Senior Manager,
Technology for Dimensional (since March 2007). Formerly,
Director of Technology at AMVESCAP (2002-2007).
Karen E. Umland Vice President Age: 46 Since 1997 Vice President of all the DFA Entities, DFA Australia
Limited, Dimensional Fund Advisors Ltd., and Dimensional
Fund Advisors Canada ULC.
Brian J. Walsh Vice President Age: 42 Since 2009 Vice President of all the DFA Entities. Portfolio Manager
for Dimensional (since 2004).
Weston J. Wellington Vice President Age: Since 1997 Vice President of all the DFA Entities.
61
Ryan J. Wiley Vice President Age: 36 Since 2007 Vice President of all the DFA Entities. Senior Trader of
Dimensional (since 2007).
Paul E. Wise Vice President Age: 57 Since 2005 Vice President of all the DFA Entities. Chief Technology
Officer for Dimensional (since 2004).
Faith A. Yando Vice President Age: 50 Since 2011 Vice President of all the DFA Entities. Formerly, Senior
Vice President, Global Public Relations at Natixis Global
Asset Management (2008-2011); Senior Vice President, Media
Relations at Bank of America (2007-2008).
Joseph L. Young Vice President Age: 33 Since 2011 Vice President of all the DFA Entities. Formerly, Regional
Director for Dimensional (2005-2010).
/1/ Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustees/Directors and until his or her successor is elected and
qualified.
27
[LOGO]
ANNUAL REPORT
period ended: October 31, 2012
DFA INVESTMENT DIMENSIONS GROUP INC.
Dimensional Retirement Equity Fund II
Dimensional Retirement Fixed Income Fund II
Dimensional Retirement Fixed Income Fund III
THE DFA INVESTMENT TRUST COMPANY
Dimensional Retirement Equity Fund I
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
November 2012
Dear Fellow Shareholder,
Working to understand the needs of clients has always been among our most
important objectives at Dimensional. We believe that our ability to provide
investment solutions has helped Dimensional become a trusted partner and
resource for our clients. We've worked hard to build trust and have earned many
long-standing client relationships. This demonstrates our commitment to client
service, the stability of our organization, the breadth of our strategies, and
the consistency of our investment approach. We believe that focusing on helping
clients pursue their investment goals will benefit our clients as well as
Dimensional.
Sincerely,
-s - David G. Booth
David G. Booth
Chairman and Co-Chief Executive Officer
[THIS PAGE INTENTIONALLY LEFT BLANK]
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES............................ 1
DFA INVESTMENT DIMENSIONS GROUP
Performance Charts................................................. 2
Management's Discussion and Analysis............................... 3
Disclosure of Fund Expenses........................................ 5
Disclosure of Portfolio Holdings................................... 7
Schedules of Investments
Dimensional Retirement Equity Fund II.......................... 8
Dimensional Retirement Fixed Income Fund II.................... 9
Dimensional Retirement Fixed Income Fund III................... 10
Statements of Assets and Liabilities............................... 11
Statements of Operations........................................... 12
Statements of Changes in Net Assets................................ 13
Financial Highlights............................................... 14
Notes to Financial Statements...................................... 15
Report of Independent Registered Public Accounting Firm............ 22
THE DFA INVESTMENT TRUST COMPANY-DIMENSIONAL RETIREMENT EQUITY FUND I
Performance Chart.................................................. 23
Management's Discussion and Analysis............................... 24
Disclosure of Fund Expenses........................................ 25
Disclosure of Portfolio Holdings................................... 27
Schedule of Investments............................................ 28
Statement of Assets and Liabilities................................ 29
Statement of Operations............................................ 30
Statement of Changes in Net Assets................................. 31
Financial Highlights............................................... 32
Notes to Financial Statements...................................... 33
Report of Independent Registered Public Accounting Firm............ 39
FUND MANAGEMENT....................................................... 40
VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................... 50
NOTICE TO SHAREHOLDERS................................................ 51
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
[THIS PAGE INTENTIONALLY LEFT BLANK]
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
Investment Footnotes
+ See Note B to Financial Statements.
FINANCIAL HIGHLIGHTS
(A) Computed using average shares outstanding.
(B) Annualized.
(C) Non-Annualized.
(D) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Funds.
(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.
SEC Securities and Exchange Commission
(a) Commencement of Operations.
(b) Commencement of Operations.
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
DIMENSIONAL RETIREMENT EQUITY FUND II VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS)
MARCH 7, 2012-OCTOBER 31, 2012
[CHART]
MSCI ALL COUNTRY
DIMENSIONAL RETIREMENT WORLD INDEX
END DATE EQUITY FUND II (NET DIV)
--------------------------------------- ---------------------- ----------------
3/7/2012 10000.00 10000.00
3/31/2012 10170.00 10286.34
4/30/2012 10050.00 10168.74
5/31/2012 9400.00 9257.01
6/30/2012 9822.30 9714.22
7/31/2012 9912.97 9847.19
8/31/2012 10174.89 10061.33
9/30/2012 10465.33 10378.24
10/31/2012 10354.10 10309.02
FROM 03/07/2012
---------------
3.54%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
DIMENSIONAL RETIREMENT FIXED INCOME FUND II VS.
BARCLAYS U.S. TREASURY INFLATION PROTECTED SECURITIES (TIPS) INDEX (SERIES-L)
MAY 16, 2012-OCTOBER 31, 2012
[CHART]
BARCLAYS U.S. TREASURY
INFLATION PROTECTED
DIMENSIONAL RETIREMENT SECURITIES (TIPS)
END DATE FIXED INCOME FUND II INDEX (SERIES-L)
--------------------------------- ---------------------- ----------------------
5/16/2012 10000.00 10000.00
5/31/2012 10070.00 10117.20
6/30/2012 10014.58 10060.85
7/31/2012 10166.16 10251.52
8/31/2012 10145.95 10222.07
9/30/2012 10216.69 10274.19
10/31/2012 10287.43 10363.16
FROM 05/16/2012
---------------
2.87%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Barclays data provided by Barclays Bank PLC.
DIMENSIONAL RETIREMENT FIXED INCOME FUND III VS.
CITIGROUP US INFLATION-LINKED SECURITIES INDEX, 20+ YEARS
MARCH 7, 2012-OCTOBER 31, 2012
[CHART]
CITIGROUP US INFLATION-
DIMENSIONAL RETIREMENT LINKED SECURITIES
END DATE FIXED INCOME III INDEX, 20+ YEARS
-------------------------------- ---------------------- -----------------------
3/7/2012 10000.00 10000.00
3/31/2012 9770.00 9821.41
4/30/2012 10310.00 10266.09
5/31/2012 10890.00 10921.48
6/30/2012 10750.85 10847.15
7/31/2012 11403.33 11424.12
8/31/2012 11152.37 11175.22
9/30/2012 11092.14 11147.83
10/31/2012 11423.40 11431.81
FROM 03/07/2012
---------------
14.23%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Citigroup bond indices copyright 2012 by Citigroup.
2
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
DIMENSIONAL RETIREMENT EQUITY FUND II PERIOD ENDED OCTOBER 31, 2012
The Dimensional Retirement Equity Fund II seeks long-term capital
appreciation generally by investing in a combination of mutual funds managed by
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor"). As of the date
of this report, the Fund's investments include the U.S. Core Equity 1
Portfolio, U.S. Large Company Portfolio, International Core Equity Portfolio,
Large Cap International Portfolio, Emerging Markets Core Equity Portfolio, and
The Emerging Markets Series (collectively, the "Underlying Funds"). The
investment strategy is process driven, emphasizing broad diversification and
consistent exposure in each Underlying Fund to stocks with desired asset class
characteristics. As of October 31, 2012, the Underlying Funds held more than
11,000 equity securities in 44 countries.
From the Fund's inception on March 7, 2012, through October 31, 2012, total
returns were 3.54% for the Fund and 3.09% for the MSCI All Country World Index
(net dividends). As a result of the Underlying Funds' diversified investment
approach, performance was determined principally by broad structural trends in
global equity markets rather than the behavior of a limited group of stocks in
a particular industry or country. The Fund had greater exposure than the Index
to U.S. stocks and less exposure to certain other countries, particularly Japan
and Brazil which underperformed during the period. These country weight
differences contributed to the Fund's relative outperformance. The Fund also
had greater exposure than the Index to value stocks, which outperformed and
benefited relative performance.
DIMENSIONAL RETIREMENT FIXED INCOME FUND II
The Dimensional Retirement Fixed Income Fund II seeks to provide total
return comprised of income and capital appreciation consistent with inflation
protected instruments. The Advisor will generally purchase shares of the DFA
Inflation-Protected Securities Portfolio, DFA One-Year Fixed Income Portfolio,
and the Dimensional Retirement Fixed Income Fund III (collectively, the
"Underlying Funds"). The average maturity of the Fund, based on the market
value-weighted average holdings of the Underlying Funds, was 9.03 years on
October 31, 2012.
From the Fund's inception on May 16, 2012, through October 31, 2012, total
returns were 2.87% for the Fund and 3.62% for the Barclays U.S. Treasury
Inflation Protected Securities (TIPS) Index (Series-L). The Fund's average
allocation during the period was approximately 89% in the DFA
Inflation-Protected Securities Portfolio, 8% in the DFA One-Year Fixed Income
Portfolio, and 3% in the Dimensional Retirement Fixed Income Fund III.
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2012
U.S. and International fixed income markets continued to grapple with
uncertainty in Europe and a lackluster U.S. recovery. Over the course of the
year, the U.S. Federal Reserve maintained the target federal funds rate between
0.00% and 0.25% and continued its accommodative stance toward liquidity. Major
central banks around the world maintained their accommodative stance as well.
Term and credit risk were rewarded during the period as interest rates declined
and credit spreads narrowed.
The one-month Treasury bill yield finished the fiscal year at 0.09%, while
the yield on 10-year U.S. Treasury notes declined to 1.69%. The U.S. yield
curve remained upwardly sloped throughout the year.
10/31/12 10/31/11 CHANGE
-------- -------- ------
One-Month Treasury Bill (yield)........................ 0.09% 0.01% 0.08%
Ten-Year U.S. Treasury Notes (yield)................... 1.69% 2.11% -0.42%
--------
Source: Bloomberg.
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the fiscal
year under review, changes in interest rates and bond prices were more
3
pronounced in some parts of the yield curve than others. For the 12 months
ended October 31, 2012, total returns were 0.09% for three-month U.S. Treasury
bills, 3.28% for five-year U.S. Treasury notes, and 10.90% for 30-year U.S.
Treasury bonds (Source: Barclays Treasury Bellwethers).
Some of Dimensional's fixed income strategies are based on a
variable-maturity strategy that identifies the maturity range with favorable
risk-adjusted expected returns. When the yield curve is flat or inverted,
short-term securities are believed to offer the most attractive opportunity on
a risk-adjusted basis. When the yield curve is upwardly sloped, maturities are
lengthened to achieve higher expected returns associated with longer
maturities. During the period under review, the Portfolios employing the
variable-maturity strategy continued to take term risk, reflecting the upward
sloping eligible yield curves.
Some fixed income strategies are based on an approach that varies exposure
to credit risk. When credit spreads are narrow, higher quality securities are
believed to offer the more attractive opportunity on a risk-adjusted basis.
When credit spreads are wide, additional credit risk is taken to achieve the
higher expected returns associated with increased risk. During the period under
review, the portfolios employing the variable-credit approach continued to take
market-like credit risk, reflecting a wide credit-spread environment.
DIMENSIONAL RETIREMENT FIXED INCOME PERIOD ENDED OCTOBER 31, 2012
FUND III
The Dimensional Retirement Fixed Income Fund III seeks to provide total
return comprised of income and capital appreciation consistent with long-term
inflation protection from investing generally in inflation-protected securities
issued by the U.S. government and its agencies and instrumentalities with
maturities greater than ten years. The average maturity was 29.06 years on
October 31, 2012.
From the Fund's inception on March 7, 2012, through October 31, 2012, total
returns were 14.23% for the Fund and 14.32% for the Citigroup U.S.
Inflation-Linked Securities Index, 20+ Years. The Fund benefited from a steep
decline in real yields, particularly in the long-term portion of the curve.
4
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 period indicated.
SIX MONTHS ENDED OCTOBER 31, 2012
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/12 10/31/12 RATIO* PERIOD*
--------- --------- ---------- --------
DIMENSIONAL RETIREMENT EQUITY FUND II**
Actual Fund Return................................. $1,000.00 $1,030.26 0.40% $2.04
Hypothetical 5% Annual Return...................... $1,000.00 $1,023.13 0.40% $2.03
DIMENSIONAL RETIREMENT FIXED INCOME FUND II**, ***
Actual Fund Return................................. $1,000.00 $1,028.74 0.40% $1.87
Hypothetical 5% Annual Return...................... $1,000.00 $1,023.13 0.40% $2.03
5
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/12 10/31/12 RATIO* PERIOD*
--------- --------- ---------- --------
DIMENSIONAL RETIREMENT FIXED INCOME FUND III
Actual Fund Return........................... $1,000.00 $1,107.99 0.40% $2.12
Hypothetical 5% Annual Return................ $1,000.00 $1,023.13 0.40% $2.03
--------
* 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 in the most recent six-month period (184), then divided by
the number of days in the year (366) to reflect the period.
** The Dimensional Retirement Equity Fund II and Dimensional Retirement Fixed
Income Fund II are 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 (Affliliated Investment
Companies).
*** The Dimensional Retirement Fixed Income Fund II commenced operations on
May 16, 2012. 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 184
day period for the six months ended October 31, 2012 to allow for
comparability.
6
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all Funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 28, 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.
FUND OF FUNDS
AFFILIATED INVESTMENT COMPANIES
-------------------------------
Dimensional Retirement Equity Fund II........... 100.0%
Dimensional Retirement Fixed Income Fund II..... 100.0%
FIXED INCOME PORTFOLIO
DIMENSIONAL RETIREMENT FIXED INCOME FUND III
Government.............................. 100.0%
-----
Total................................... 100.0%
7
DIMENSIONAL RETIREMENT EQUITY FUND II
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
SHARES VALUE+
------ --------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Large Company Portfolio of
Dimensional Investment Group Inc....................... 6,184 $ 68,952
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc.................... 5,725 69,330
Investment in Large Cap International Portfolio of
DFA Investment Dimensions Group Inc.................... 1,567 28,723
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 1,055 10,656
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 196 3,724
Investment in The Emerging Markets Series of
The DFA Investment Trust Company....................... 8,339
--------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $174,312)..................................... 189,724
--------
TEMPORARY CASH INVESTMENTS -- (0.0%)
BlackRock Liquidity Funds TempCash
Portfolio-Institutional Shares
(Cost $265)............................................ 265 265
--------
TOTAL INVESTMENTS-(100.0%) (Cost $174,577)............ $189,989
========
Summary of the Fund's investments as of October 31, 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............. $ 189,724 -- -- $189,724
Temporary Cash Investments.................. 265 -- -- 265
---------- -- -- --------
TOTAL....................................... $ 189,989 -- -- $189,989
========== == == ========
See accompanying Notes to Financial Statements.
8
DIMENSIONAL RETIREMENT FIXED INCOME FUND II
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
SHARES VALUE+
------ ------
AFFILIATED INVESTMENT COMPANIES -- (90.9%)
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc......................... 409 $5,317
Investment in DFA One-Year Fixed Income Portfolio of
DFA Investment Dimensions Group Inc......................... 58 600
Investment in Dimensional Retirement Fixed Income Fund III of
DFA Investment Dimensions Group Inc......................... 20 228
------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $6,018)............................................ 6,145
------
TEMPORARY CASH INVESTMENTS -- (9.1%)
BlackRock Liquidity Funds TempCash
Portfolio-Institutional Shares
(Cost $613)................................................. 613 613
------
TOTAL INVESTMENTS-(100.0%) (Cost $6,631)................... $6,758
======
Summary of the Fund's investments as of October 31, 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......... $6,145 -- -- $ 6,145
Temporary Cash Investments.............. 613 -- -- 613
------ -- -- --------
TOTAL................................... $6,758 -- -- $ 6,758
====== == == ========
See accompanying Notes to Financial Statements.
9
DIMENSIONAL RETIREMENT FIXED INCOME FUND III
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
FACE
AMOUNT VALUE+
------ --------
(000)
U.S. TREASURY OBLIGATIONS -- (100.0%)
U.S. Treasury Inflation Notes
2.125%, 02/15/41.............................................. $ 77 $121,509
0.750%, 02/15/42.............................................. 320 363,233
--------
TOTAL U.S. TREASURY OBLIGATIONS.................................. 484,742
--------
TOTAL INVESTMENTS -- (100.0%)
(Cost $447,660)............................................... $484,742
========
Summary of the Fund's investments as of October 31, 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
------- ---------- ------- --------
U.S. Treasury Obligations.................... -- $ 484,742 -- $484,742
-- ---------- -- --------
TOTAL........................................ -- $ 484,742 -- $484,742
== ========== == ========
See accompanying Notes to Financial Statements.
10
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DIMENSIONAL DIMENSIONAL DIMENSIONAL
RETIREMENT EQUITY RETIREMENT FIXED INCOME RETIREMENT FIXED INCOME
FUND II FUND II FUND III
----------------- ----------------------- -----------------------
ASSETS:
Investments in Affiliated
Investment Companies at Value.... $ 190 $ 6 --
Investments at Value............... -- -- $ 485
Temporary Cash Investments at
Value & Cost..................... -- 1 --
Cash............................... -- -- 3
Receivables:
Dividends and Interest.......... -- -- 1
Fund Shares Sold................ 1 -- 1
From Advisor.................... 2 1 1
------------ ------------ ------------
Total Assets................ 193 8 491
------------ ------------ ------------
LIABILITIES:
Payables:
Accrued Expenses and Other
Liabilities...................... 2 2 2
------------ ------------ ------------
Total Liabilities........... 2 2 2
------------ ------------ ------------
NET ASSETS......................... $ 191 $ 6 $ 489
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR
VALUE (1)........................ 18,599 607 42,968
============ ============ ============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE....... $ 10.24 $ 10.18 $ 11.38
============ ============ ============
Investments in Affiliated
Investment Companies at Cost..... $ 174 $ 6 $ --
------------ ------------ ------------
Investments at Cost................ $ -- $ -- $ 448
------------ ------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital.................... $ 175 $ 6 $ 450
Undistributed Net Investment
Income (Distributions in Excess
of Net Investment Income)........ -- -- 2
Net Unrealized Appreciation
(Depreciation)................... 16 -- 37
------------ ------------ ------------
NET ASSETS......................... $ 191 $ 6 $ 489
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED.... 100,000,000 100,000,000 100,000,000
============ ============ ============
See accompanying Notes to Financial Statements.
11
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED OCTOBER 31, 2012
(AMOUNTS IN THOUSANDS)
DIMENSIONAL DIMENSIONAL
DIMENSIONAL RETIREMENT RETIREMENT
RETIREMENT FIXED INCOME FIXED INCOME
EQUITY FUND II*(a) FUND II*(b) FUND III(a)
------------------ ------------ ------------
INVESTMENT INCOME
Net Investment Income Received from Affiliated Investment Companies:
Income Distributions....................................................... $ 2 -- --
Interest................................................................... -- -- --
---- ---- ----
Total Investment Income................................................ 2 -- --
---- ---- ----
FUND INVESTMENT INCOME
Interest................................................................... -- -- $ 5
---- ---- ----
Total Fund Investment Income........................................... -- -- 5
---- ---- ----
FUND EXPENSES
Investment Advisory Services Fees.......................................... -- -- 1
Accounting & Transfer Agent Fees........................................... 8 $ 5 16
Shareholders' Reports...................................................... 4 3 8
Audit Fees................................................................. 5 3 --
Organizational & Offering Costs............................................ 30 20 38
---- ---- ----
Total Expenses......................................................... 47 31 63
---- ---- ----
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered
by Advisor (Note C)...................................................... (47) (31) (62)
---- ---- ----
Net Expenses............................................................... -- -- 1
---- ---- ----
Net Investment Income (Loss)............................................... 2 -- 4
---- ---- ----
REALIZED AND UNREALIZED GAIN (LOSS)
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares................................. 16 -- 37
---- ---- ----
NET REALIZED AND UNREALIZED GAIN (LOSS).................................... 16 -- 37
---- ---- ----
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............... $ 18 $ -- $ 41
==== ==== ====
--------
* Investment Income and a portion of Realized and Unrealized Gain (Loss) were
allocated from the Fund's Master Fund (Affiliated Investment Company).
(a) The Fund commenced operations on March 7, 2012.
(b) The Fund commenced operations on May 16, 2012.
See accompanying Notes to Financial Statements.
12
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DIMENSIONAL DIMENSIONAL
DIMENSIONAL RETIREMENT RETIREMENT
RETIREMENT FIXED INCOME FIXED INCOME
EQUITY FUND II FUND II FUND III
---------------- ---------------- ----------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
MARCH 7, 2012(a) MAY 16, 2012(a) MARCH 7, 2012(a)
TO TO TO
OCTOBER 31, 2012 OCTOBER 31, 2012 OCTOBER 31, 2012
---------------- ---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).............................................. $ 2 -- $ 4
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares................................ 16 -- 37
---- ---- ----
Net Increase (Decrease) in Net Assets Resulting from
Operations....................................................... 18 -- 41
---- ---- ----
Distributions From:
Net Investment Income:
Institutional Shares.................................................. (2) -- (2)
---- ---- ----
Total Distributions................................................ (2) -- (2)
---- ---- ----
Capital Share Transactions (1):
Shares Issued............................................................. 226 $ 37 513
Shares Issued in Lieu of Cash Distributions............................... 2 -- 2
Shares Redeemed........................................................... (53) (31) (65)
---- ---- ----
Net Increase (Decrease) from Capital Share Transactions............ 175 6 450
---- ---- ----
Total Increase (Decrease) in Net Assets............................ 191 6 489
NET ASSETS
Beginning of Period....................................................... -- -- --
---- ---- ----
End of Period............................................................. $191 $ 6 $489
==== ==== ====
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................................. 24 4 49
Shares Redeemed........................................................... (5) (3) (6)
---- ---- ----
Net Increase (Decrease) from Shares Issued and Redeemed............ 19 1 43
==== ==== ====
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)......................................................... -- -- $ 2
--------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
DIMENSIONAL DIMENSIONAL
DIMENSIONAL RETIREMENT RETIREMENT
RETIREMENT FIXED INCOME FIXED INCOME
EQUITY FUND II FUND II FUND III
---------------- ---------------- ----------------
PERIOD PERIOD PERIOD
MARCH 7, 2012(a) MAY 16, 2012(a) MARCH 7, 2012(a)
TO TO TO
OCTOBER 31, 2012 OCTOBER 31, 2012 OCTOBER 31, 2012
---------------- ---------------- ----------------
Net Asset Value, Beginning of Period........................ $10.00 $ 10.00 $10.00
------ ------- ------
Income from Investment Operations
Net Investment Income (Loss)(A).......................... 0.16 0.23 0.12
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.19 0.06 1.30
------ ------- ------
Total from Investment Operations..................... 0.35 0.29 1.42
Less Distributions
Net Investment Income.................................... (0.11) (0.11) (0.04)
------ ------- ------
Total Distributions.................................. (0.11) (0.11) (0.04)
------ ------- ------
Net Asset Value, End of Period.............................. $10.24 $ 10.18 $11.38
====== ======= ======
Total Return................................................ 3.54%(C) 2.87%(C) 14.23%(C)
------ ------- ------
Net Assets, End of Period (thousands)....................... $ 191 $ 6 $ 489
Ratio of Expenses to Average Net Assets..................... 0.40%(B)(D)(E) 0.40%(B)(D)(E) 0.40%(B)(E)
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumption of Expenses and/or Recovery of Previously
Waived Fees).............................................. 52.27%(B)(D)(E) 447.64%(B)(D)(E) 29.65%(B)(E)
Ratio of Net Investment Income to Average Net Assets........ 2.40%(B)(E) 5.07%(B)(E) 1.68%(B)(E)
Portfolio Turnover Rate..................................... N/A N/A 11%(C)
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
14
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund" or "IDG") 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-seven operational portfolios, three of which, Dimensional Retirement
Equity Fund II, Dimensional Retirement Fixed Income Fund II and Dimensional
Retirement Fixed Income Fund III (each a "Retirement Fund" and collectively,
the "Retirement Funds"), are presented in this report. The remaining
operational portfolios are presented in separate reports.
Dimensional Retirement Equity Fund II and Dimensional Retirement Fixed
Income Fund II achieve their investment objectives by primarily investing in
other portfolios within IDG, Dimensional Investment Group Inc. ("DIG") and The
DFA Investment Trust Company ("ITC") (collectively, the "Master Funds"). The
Portfolios also invest in short-term temporary cash investments.
PERCENTAGE
OWNERSHIP
FUND OF FUNDS MASTER FUNDS AT 10/31/12
------------- --------------------------------------------------- -----------
Dimensional Retirement Equity Fund II U.S. Large Company Portfolio (DIG) --
U.S. Core Equity 1 Portfolio (IDG) --
Large Cap International Portfolio (IDG) --
International Core Equity Portfolio (IDG) --
Emerging Markets Core Equity Portfolio (IDG) --
The Emerging Markets Series (ITC) --
Dimensional Retirement Fixed Income Fund II DFA Inflation-Protected Securities Portfolio (IDG) --
DFA One-Year Fixed Income Portfolio (IDG) --
Dimensional Retirement Fixed Income Fund III (IDG) --
Amounts designated as -- are less than 1%
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 Retirement Funds 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.)
15
. Level 3 - significant unobservable inputs (including the Retirement
Funds' own assumptions in determining the fair value of investments)
Debt securities held by the Retirement Funds 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 (the "Board").
Most Master Fund shares held by Dimensional Retirement Equity Fund II and
Dimensional Retirement Fixed Income Fund II are valued at their respective
daily net asset values, as these Master Funds are treated as regulated
investment companies. Dimensional Retirement Equity Fund II's investment in The
Emerging Markets Series, which is taxed as a partnership, reflects its
proportionate interest in the net assets of the Series. These securities are
generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Retirement Funds' investments by
each major security type is disclosed previously in the Security Valuation
note. Valuation hierarchy tables have been included at the end of the Schedule
of Investments. The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
2. Deferred Compensation Plan: Each eligible Director/Trustee 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/Trustees may defer payment of all or a portion of their total fees
earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/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 Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/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 Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 2012, none of the
Directors/Trustees 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 Retirement Funds estimate the character of
distributions received that may be considered return of capital distributions.
Interest income is recorded on the accrual basis. Expenses directly
attributable to a Retirement Fund are directly charged. Common expenses of the
Fund are allocated using methods approved by the Board, generally based on
average net assets.
16
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Retirement Funds and the Master Funds. For the period ended
October 31, 2012, the advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.30% of the Retirement Fund's
average daily net assets.
Pursuant to an Amended and Restated Fee Waiver and Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive management fees, and in certain instances, assume certain expenses of the
Retirement Funds, as described below. The Fee Waiver Agreement for the
Retirement Funds 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.
With respect to Dimensional Retirement Equity Fund II and Dimensional
Retirement Fixed Income Fund II, the Advisor has contractually agreed to waive
up to the full amount of each Portfolio's management fee of 0.30% to the extent
necessary to offset the proportionate share of the management fees paid by
Dimensional Retirement Equity Fund II and Dimensional Retirement Fixed Income
Fund II through their investment in the Master Funds (including each
Portfolio's proportionate share of any management fees that a Master Fund paid
through its investment in an affiliated cash management fund). In addition,
under the Fee Waiver Agreement, the Advisor has also agreed to waive all or a
portion of the management fee and to assume the expenses of a class of each
Portfolio to the extent necessary to reduce the ordinary operating expenses
(including expenses incurred through its investment in other investment
companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") of
such class of the Portfolio so that the Portfolio Expenses do not exceed 0.40%
of the average net assets of the class of the Portfolio on an annualized basis.
With respect to Dimensional Retirement Fixed Income Fund III, the Advisor
has contractually agreed to waive all or a portion of its management fee and to
assume the expenses of each class of Dimensional Retirement Fixed Income Fund
III to the extent necessary to limit the ordinary operating expenses (not
including expenses incurred through an investment in other investment companies
and any applicable 12b-1 fees) ("Portfolio Expenses") of a class of Dimensional
Retirement Fixed Income Fund III so that such Portfolio Expenses do not exceed
0.40% of the average net assets of a class of Dimensional Retirement Fixed
Income Fund III on an annualized basis.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the period ended October 31, 2012, the total
related amounts paid by the Fund to the CCO were $234 (in thousands). The total
related amounts paid by each of the Retirement Funds are included in Other
Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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):
Dimensional Retirement Equity Fund II............................ --
Dimensional Retirement Fixed Income Fund II...................... --
Dimensional Retirement Fixed Income Fund III..................... --
17
E. PURCHASES AND SALES OF SECURITIES:
For the period ended October 31, 2012, Dimensional Retirement Equity Fund II
and Dimensional Retirement Fixed Income Fund II made the following purchases
and sales of Affiliated Investment Companies (amounts in thousands):
DIMENSIONAL RETIREMENT EQUITY FUND II
------------------------------------------------------------
DISTRIBUTIONS
BALANCE AT BALANCE AT DIVIDEND OF REALIZED
10/31/2011 10/31/2012 PURCHASES SALES INCOME GAINS
AFFILIATED INVESTMENT COMPANIES ---------- ---------- --------- ----- -------- -------------
U.S. Large Company Portfolio................. -- $69 $74 $10 $ 1 --
U.S. Core Equity 1 Portfolio................. -- 69 74 10 1 --
Large Cap International Portfolio............ -- 29 31 5 1 --
International Core Equity Portfolio.......... -- 11 11 2 -- --
Emerging Markets Core Equity Portfolio....... -- 4 4 1 -- --
The Emerging Markets Series.................. -- 8 9 1 -- --
DIMENSIONAL RETIREMENT FIXED INCOME FUND II
------------------------------------------------------------
DISTRIBUTIONS
BALANCE AT BALANCE AT DIVIDEND OF REALIZED
10/31/2011 10/31/2012 PURCHASES SALES INCOME GAINS
AFFILIATED INVESTMENT COMPANIES ---------- ---------- --------- ----- -------- -------------
DFA Inflation-Protected Securities Portfolio...... -- $ 5 $33 $28 -- --
DFA One-Year Fixed Income Portfolio............... -- 1 3 2 -- --
Dimensional Retirement Fixed Income Fund III...... -- -- 1 1 -- --
For the period ended October 31, 2012, Dimensional Retirement Fixed Income
Fund III 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
--------- ----- --------- -----
Dimensional Retirement Fixed Income Fund III..................... $483 $38 -- --
F. FEDERAL INCOME TAXES:
Each Retirement Fund has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which my
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, 2012, primarily attributable to net foreign
currency gains/losses, non-deductible expenses 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):
18
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
Dimensional Retirement Equity Fund II.................. -- -- --
Dimensional Retirement Fixed Income Fund II............ -- -- --
Dimensional Retirement Fixed Income Fund III........... -- -- --
The tax character of dividends and distributions declared and paid during
the year ended October 31, 2012 were as follows (amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -----
Dimensional Retirement Equity Fund II
2012......................................... $ 2 -- $ 2
Dimensional Retirement Fixed Income Fund II
2012......................................... -- -- --
Dimensional Retirement Fixed Income Fund III
2012......................................... 2 -- 2
At October 31, 2012, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED
NET TOTAL NET
INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSSES)
------------- ------------- ------------ -------------
Dimensional Retirement Equity Fund II.................. -- -- -- --
Dimensional Retirement Fixed Income Fund II............ -- -- -- --
Dimensional Retirement Fixed Income Fund III........... $ 2 -- -- $ 2
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.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Retirement Funds after October 31, 2011 will not be
subject to expiration and will retain their character as either short-term or
long-term capital losses. As of October 31, 2012, Dimensional Retirement Fixed
Income Fund III had capital loss carryforwards available to offset future
realized capital gains (amounts in thousands):
UNLIMITED TOTAL
--------- -----
Dimensional Retirement Fixed Income Fund III..................... -- --
During the year ended October 31, 2012, the Retirement Funds did not utilize
capital loss carryforwards.
19
At October 31, 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)
-------- ------------ -------------- --------------
Dimensional Retirement Equity Fund II.................. $175 $15 -- $15
Dimensional Retirement Fixed Income Fund II............ 6 -- -- --
Dimensional Retirement Fixed Income Fund III........... 448 40 $(3) 37
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 Retirement
Funds' tax position and has concluded that no additional provisions for income
tax are required in the Retirement Funds' financial statements. The Retirement
Funds 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.
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,
2013. There were no borrowings by the Retirement Funds under this line of
credit during the period ended October 31, 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 upon
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. The Fund 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 Retirement Funds under this
line of credit during the period ended October 31, 2012.
H. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
20
I. RECENTLY ISSUED ACCOUNTING STANDARDS:
In December 2011, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" requiring disclosure of both gross and net information related to
offsetting and related arrangements enabling users of its financial statements
to understand the effect of those arrangements on the entity's financial
position. The objective of this disclosure is to facilitate comparison between
those entities that prepare their financial statements on the basis of U.S.
Generally Accepted Accounting Principles and those entities that prepare their
financial statements on the basis of International Financial Reporting
Standards. ASU No. 2011-11 is effective for interim and annual periods
beginning on or after January 1, 2013. Management is evaluating any impact ASU
No. 2011-11 may have on the financial statements.
J. OTHER:
At October 31, 2012, the following number of shareholders held the following
approximate percentages of outstanding shares of the Retirement Funds. One or
more of the shareholders may be omnibus accounts, which typically hold shares
for the benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
Dimensional Retirement Equity Fund II............. 2 99%
Dimensional Retirement Fixed Income Fund II....... 2 100%
Dimensional Retirement Fixed Income Fund III...... 1 91%
The Retirement Funds are subject to claims and suits that arise from time to
time in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed an action 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.
K. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Retirement Funds and has determined that there are no subsequent events
requiring recognition or disclosure in the financial statements.
21
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND
BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Dimensional
Retirement Equity Fund II, Dimensional Retirement Fixed Income Fund II, and
Dimensional Retirement Fixed Income Fund III (constituting portfolios within
DFA Investment Dimensions Group Inc., hereafter referred to as the
"Portfolios") at October 31, 2012, and the results of each of their operations,
the changes in each of their net assets and the financial highlights for the
periods March 7, 2012, May 16, 2012, and March 7, 2012 (commencement of
operations), respectively, through October 31, 2012, in conformity with
accounting principles generally accepted in the United States of America. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolios' management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with the standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2012 by
correspondence with the custodian and the transfer agent of the investee funds,
provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2012
22
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
DIMENSIONAL RETIREMENT EQUITY FUND I VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS)
AUGUST 21, 2012-OCTOBER 31, 2012
[CHART]
MSCI ALL COUNTRY
DIMENSIONAL RETIREMENT WORLD INDEX
END DATE EQUITY FUND I (NET DIV)
--------------------------------------- ---------------------- ----------------
8/21/2012 10000.00 10000.00
8/31/2012 9890.00 9873.34
9/30/2012 10220.00 10184.32
10/31/2012 10170.00 10116.39
FROM 08/21/2012
---------------
1.70%
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2012, all rights reserved.
23
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
DIMENSIONAL RETIREMENT EQUITY FUND I PERIOD ENDED OCTOBER 31, 2012
The Dimensional Retirement Equity Fund I seeks long-term capital
appreciation generally by investing in a combination of mutual funds managed by
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor"). As of the date
of this report, the funds invested in by the Fund include U.S. Core Equity 1
Portfolio, U.S. Large Company Portfolio, International Core Equity Portfolio,
Large Cap International Portfolio, Emerging Markets Core Equity Portfolio and
The Emerging Markets Series (collectively, the "Underlying Funds"). The
investment strategy is process driven, emphasizing broad diversification and
consistent exposure in each Underlying Fund to stocks with desired asset class
characteristics. As of October 31, 2012, the Underlying Funds held more than
11,000 equity securities in 44 countries.
From the Fund's inception on August 21, 2012, through October 31, 2012,
total returns were 1.70% for the Fund and 1.16% for the MSCI All Country World
Index (net dividends). As a result of the Underlying Funds' diversified
investment approach, performance was determined principally by broad structural
trends in global equity markets rather than the behavior of a limited group of
stocks in a particular industry or country. The Fund had greater exposure than
the Index to small cap stocks and value stocks, which outperformed over the
period and contributed to the Fund's relative outperformance.
24
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2012
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/12 10/31/12 RATIO* PERIOD*
--------- --------- ---------- --------
DIMENSTIONAL RETIREMENT EQUITY FUND I**
Actual Fund Return...................... $1,000.00 $1,017.00 0.60% $1.19
Hypothetical 5% Annual Return........... $1,000.00 $1,022.12 0.60% $3.05
--------
* The Dimensional Retirement Equity Fund I commenced operations on August 21,
2012. 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 (72), 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 184 day period for
the six months ended October 31, 2012 to allow for comparability.
25
DISCLOSURE OF FUND EXPENSES
CONTINUED
** The Dimensional Retirement Equity Fund I 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
(Affliliated Investment Companies).
26
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 28, 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 EQUITY PORTFOLIO
AFFILIATED INVESTMENT COMPANIES
-------------------------------
Dimensional Retirement Equity Fund I.............. 100.0%
27
DIMENSIONAL RETIREMENT EQUITY FUND I
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
SHARES VALUE+
------ ----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Large Company Portfolio of
Dimensional Investment Group Inc....................... 72,650 $ 810,048
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc.................... 67,233 814,192
Investment in Large Cap International Portfolio of
DFA Investment Dimensions Group Inc.................... 55,674 1,020,504
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 37,459 378,336
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 6,985 132,715
Investment in The Emerging Markets Series of
The DFA Investment Trust Company....................... 295,974
----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $3,401,905)................................... 3,451,769
----------
TEMPORARY CASH INVESTMENTS -- (0.0%)
BlackRock Liquidity Funds TempCash
Portfolio--Institutional Shares
(Cost $1,514).......................................... 1,514 1,514
----------
TOTAL INVESTMENTS--(100.0%) (Cost $3,403,419)......... $3,453,283
==========
Summary of the Fund's investments as of October 31, 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........ $3,451,769 -- -- $3,451,769
Temporary Cash Investments............. 1,514 -- -- 1,514
---------- -- -- ----------
TOTAL.................................. $3,453,283 -- -- $3,453,283
========== == == ==========
See accompanying Notes to Financial Statements.
28
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL RETIREMENT EQUITY FUND I
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2012
(AMOUNTS IN THOUSANDS)
ASSETS:
Investments in Affiliated Investment Companies at Value.................... $ 3,452
Temporary Cash Investments at Value & Cost................................. 2
Receivables:
Fund Shares Sold........................................................ 23
From Advisor............................................................ 2
--------
Total Assets........................................................ 3,479
--------
LIABILITIES:
Payables:
Fund Shares Redeemed.................................................... 77
Accrued Expenses and Other Liabilities..................................... 2
--------
Total Liabilities................................................... 79
--------
NET ASSETS................................................................. $ 3,400
========
SHARES OUTSTANDING, $0.01 PAR VALUE........................................ 334,352
========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................... $ 10.17
========
Investments in Affiliated Investment Companies at Cost..................... $ 3,402
--------
NET ASSETS CONSIST OF:
Paid-In Capital............................................................ $ 3,341
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)....................................................... 14
Accumulated Net Realized Gain (Loss)....................................... (5)
Net Unrealized Appreciation (Depreciation)................................. 50
--------
NET ASSETS................................................................. $ 3,400
========
See accompanying Notes to Financial Statements.
29
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL RETIREMENT EQUITY FUND I
STATEMENT OF OPERATIONS
FOR THE PERIOD AUGUST 21, 2012(a) TO OCTOBER 31, 2012
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Net Investment Income Received from Affiliated Investment Companies:
Dividends............................................................... $ 1
Income Distributions.................................................... 15
---
Total Investment Income............................................. 16
---
EXPENSES
Investment Advisory Services Fees....................................... 3
Accounting & Transfer Agent Fees........................................ 2
Shareholders' Reports................................................... 1
Audit Fees.............................................................. 3
---
Total Expenses...................................................... 9
---
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... (7)
---
Net Expenses............................................................ 2
---
NET INVESTMENT INCOME (LOSS)............................................ 14
---
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Affiliated Investment Companies Shares.............................. (5)
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares.............................. 50
---
NET REALIZED AND UNREALIZED GAIN (LOSS)................................. 45
---
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............ $59
===
--------
See page 1 for the Definitions of Abbreviations and Footnotes.
(a) The Fund commenced operations on August 21, 2012.
See accompanying Notes to Financial Statements.
30
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL RETIREMENT EQUITY FUND I
STATEMENT OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
FOR THE PERIOD
AUGUST 21, 2012(a)
TO
OCTOBER 31,
2012
------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................................... $ 14
Net Realized Gain (Loss) on:
Affiliated Investment Companies Shares............................ (5)
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares............................ 50
------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................... 59
------
Capital Share Transactions:
Shares Issued......................................................... 3,665
Shares Redeemed....................................................... (324)
------
Net Increase (Decrease) from Capital Share Transactions........ 3,341
------
Total Increase (Decrease) in Net Assets........................ 3,400
NET ASSETS
Beginning of Period................................................... --
------
End of Period......................................................... $3,400
======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................................... 366
Shares Redeemed....................................................... (32)
------
Net Increase (Decrease) from Shares Issued and Redeemed........ 334
======
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF
NET INVESTMENT INCOME)................................................. $ 14
--------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
31
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL RETIREMENT EQUITY FUND I
FINANCIAL HIGHLIGHTS
PERIOD
AUGUST 21, 2012(a)
TO
OCTOBER 31, 2012
------------------
Net Asset Value, Beginning of Period............................. $10.00
------
Income from Investment Operations
Net Investment Income (Loss)(A)............................... 0.04
Net Gains (Losses) on Securities (Realized and Unrealized).... 0.13
------
Total from Investment Operations.......................... 0.17
------
Net Asset Value, End of Period................................... $10.17
======
Total Return..................................................... 1.70%(C)
------
Net Assets, End of Period (thousands)............................ $3,400
Ratio of Expenses to Average Net Assets.......................... 0.60%(B)(D)(E)
Ratio of Expenses to Average Net Assets (Excluding Waivers and
Assumption of Expenses and/or Recovery of Previously Waived
Fees).......................................................... 1.56%(B)(D)(E)
Ratio of Net Investment Income to Average Net Assets............. 2.01%(B)(E)
Portfolio Turnover Rate.......................................... N/A
See page 1 for the Definitions of Abbreviations and Footnotes.
32
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL RETIREMENT EQUITY FUND I
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust" or "ITC") is an open-end
management investment company registered under the Investment Company Act of
1940. The Trust consists of twelve operational portfolios, one of which,
Dimensional Retirement Equity Fund I (the "Fund"), is presented in this section
of the report. The remaining operational portfolios are presented in separate
reports.
The Fund achieves its investment objective by primarily investing in other
portfolios within DFA Investment Dimensions Group Inc. ("IDG"), Dimensional
Investment Group Inc. ("DIG") and ITC (collectively, the "Master Funds"). The
Fund also invests in short-term temporary cash investments.
PERCENTAGE OF OWNERSHIP
AT OCTOBER 31, 2012
------------------------------------
MASTER FUNDS DIMENSIONAL RETIREMENT EQUITY FUND I
------------ ------------------------------------
U.S. Large Company Portfolio (DIG) --
U.S. Core Equity 1 Portfolio (IDG) --
Large Cap International Portfolio (IDG) --
International Core Equity Portfolio (IDG) --
Emerging Markets Core Equity Portfolio (IDG) --
The Emerging Markets Series (ITC) --
Amounts designated as -- are less than 1%
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 Fund 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 Series' 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). 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
33
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 (the "Board"). 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 Dimensional Fund
Advisors LP) 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.
Most Master Fund shares held by the Fund are valued at their respective
daily net asset values, as these Master Funds are treated as regulated
investment companies. The Fund's investment in The Emerging Markets Series,
which is taxed as a partnership, reflects its proportionate interest in the net
assets of the Series. These securities 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 had no material transfers between Level 1 and Level 2 during the
year ended October 31, 2012.
2. Deferred Compensation Plan: Each eligible Director/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
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/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. At October 31, 2012, there was no total liability for deferred
compensation to Trustees.
Each Director/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 Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/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 Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/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 Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 2012, none of the
Directors/Trustees 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 Fund estimates the character of distributions
received that may be considered return of capital distributions. Interest
income is recorded on the accrual basis. Discount and premium on debt
securities purchased are amortized over the lives of the respective securities
utilizing the effective interest method. Expenses directly attributable to the
34
Fund are directly charged. Common expenses of the Trust are allocated using
methods approved by the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Fund. For the period ended October 31, 2012, advisory fees were
accrued daily and paid monthly to the Advisor based on an effective annual rate
of 0.45% of average daily net assets of the Fund.
With respect to the Fund, pursuant to a Fee Waiver and Expense Assumption
Agreement, the Advisor has contractually agreed to waive up to the full amount
of the management fee of 0.45% to the extent necessary to offset the
proportionate share of the management fees paid by the Fund through its
investment in other funds managed by the Advisor (the "Underlying Funds"). In
addition, under the Fee Waiver Agreement, the Advisor has also agreed to waive
all or a portion of the management fee and to assume the expenses of the Fund
to the extent necessary to reduce the ordinary operating expenses (including
expenses incurred through its investment in other investment companies) ("Fund
Expenses") so that such Fund Expenses do not exceed 0.60% of the average net
assets of the Fund on an annualized basis. The Fee Waiver and Expense
Assumption Agreement for the Fund will remain in effect through February 28,
2013, and may not be terminated by the Advisor prior to that date.
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 period ended October 31, 2012, the total
related amounts paid to the CCO by the Trust were $82 (in thousands). The total
related amount paid by the Fund is included in Other Expenses on the Statement
of Operations.
D. PURCHASES AND SALES OF SECURITIES:
For the period ended October 31, 2012, the Fund made the following purchases
and sales of Affiliated Investment Companies (amounts in thousands):
DIMENSIONAL RETIREMENT EQUITY FUND I
----------------------------------------------------------------------
BALANCE AT BALANCE AT DISTRIBUTIONS OF
10/31/2011 10/31/2012 PURCHASES SALES DIVIDEND INCOME REALIZED GAINS
AFFILIATED INVESTMENT COMPANIES ---------- ---------- --------- ----- --------------- ----------------
U.S. Large Company Portfolio............ -- $ 810 $ 868 $57 $ 4 --
U.S. Core Equity 1 Portfolio............ -- 814 867 58 4 --
Large Cap International Portfolio....... -- 1,021 1,072 73 4 --
International Core Equity Portfolio..... -- 378 396 28 2 --
Emerging Markets Core Equity
Portfolio............................... -- 133 140 10 1 --
The Emerging Markets Series............. -- 296 309 22 -- --
There were no purchases or sales of long-term U.S. government securities.
E. FEDERAL INCOME TAXES:
The Fund has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to its shareholders. Accordingly, no provision has been
made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which my
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
35
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, 2012, primarily attributable to net foreign
currency gains/losses, non-deductible expenses 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)
------------------------ ------------------------ ------------------------
-- -- --
The Fund commenced operations on August 21, 2012 and did not pay any
distributions for the year ended October 31, 2012.
At October 31, 2012, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND EARNINGS
SHORT-TERM CAPITAL LOSS (ACCUMULATED
CAPITAL GAINS CARRYFORWARD LOSSES)
------------------------ ------------------------ ------------------------
$13 $(4) $9
For federal income tax purposes, the Trust 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.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Fund after October 31, 2011 will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. As of October 31, 2012, the Fund had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
UNLIMITED TOTAL
--------- -----
Dimensional Retirement Equity Fund I.............. $4 $4
During the year ended October 31, 2012, the Fund did not utilize capital
loss carryforwards.
At October 31, 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)
------------------------ ------------------------ ------------------------ ------------------------
$3,404 $35 $15 $50
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.
36
F. 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,
2013. There were no borrowings by the Fund under this line of credit during the
year ended October 31, 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 upon
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. The Trust expects to enter into a new line of
credit with substantially the same terms as its existing line of credit prior
to its expiration.
For the period ended October 31, 2012, borrowings by the Fund 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
------------------------ ------------------------ ------------------------ ------------------------ ------------------------
0.90% $241 1 -- $241
*Number of Days Outstanding represents the total of a single or consecutive
days during the year ended October 31, 2012 that the Fund's available line of
credit was utilized.
There were no outstanding borrowings by the Fund under this line of credit
as of October 31, 2012.
G. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
H. RECENTLY ISSUED ACCOUNTING STANDARDS:
In December 2011, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" requiring disclosure of both gross and net information related to
offsetting and related arrangements enabling users of its financial statements
to understand the effect of those arrangements on the entity's financial
position. The objective of this disclosure is to facilitate comparison between
those entities that prepare their financial statements on the basis of U.S.
Generally Accepted Accounting Principles and those entities that prepare their
financial statements on the basis of International Financial Reporting
Standards. ASU No. 2011-11 is effective for interim and annual periods
beginning on or after January 1, 2013. Management is evaluating any impact ASU
No. 2011-11 may have on the financial statements.
37
I. OTHER
At October 31, 2012, one shareholder held 100% of the outstanding shares of
the Fund. One or more of the shareholders may be omnibus accounts, which
typically hold shares for the benefit of several other underlying investors.
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.
J. 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.
38
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF DIMENSIONAL RETIREMENT EQUITY FUND I AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY:
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Dimensional Retirement Equity Fund
I (the "Portfolio") at October 31, 2012, and the results of its operations, the
changes in its net assets and the financial highlights for the period
August 21, 2012 (commencement of operations) through October 31, 2012, in
conformity with accounting principles generally accepted in the United States
of America. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the
Portfolio's management; our responsibility is to express an opinion on these
financial statements based on our audit. We conducted our audit of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audit, which included confirmation
of securities at October 31, 2012 by correspondence with the custodian and the
transfer agent of the investee funds, provides a reasonable basis for our
opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2012
39
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and
Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has four standing committees, an Audit Committee, a Nominating
Committee, a Portfolio Performance and Service Review Committee (the
"Performance Committee") and an Independent Review Committee (the "Review
Committee"). The Audit Committee is comprised of George M. Constantinides,
Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a
disinterested Trustee/Director. The Audit Committee oversees the Fund's
accounting and financial reporting policies and practices, the Fund's internal
controls, the Fund's financial statements and the independent audits thereof
and performs other oversight functions as requested by the Board. The Audit
Committee recommends the appointment of each Fund's independent registered
certified public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2012.
Each Board's Nominating Committee is comprised of George M. Constantinides,
John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie
J. Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee did not meet during
the fiscal year ended October 31, 2012.
Each Board's Performance Committee is comprised of George M. Constantinides,
Roger G. Ibbotson, Abbie J. Smith, Edward P. Lazear, John P. Gould and Myron S.
Scholes. Each member of the Performance Committee is a disinterested
Trustee/Director. The Performance Committee regularly reviews and monitors the
investment performance of the Fund's series and reviews the performance of the
Fund's service providers. There were seven Performance Committee meetings held
during the fiscal year ended October 31, 2012.
Each Board's Review Committee consists of both interested and disinterested
Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Review Committee may (i) review the design of possible new series
of the Fund, (ii) review performance of existing portfolios of the Fund and
discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Review
Committee was formed on December 17, 2010, and there were two Review Committee
meetings held during the fiscal year ended October 31, 2012.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds
include additional information about each Trustee/Director. You may obtain
copies of the SAI and prospectus of each Fund advised by Dimensional Fund
Advisors LP by calling collect (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746. Prospectuses are also available at www.dimensional.com.
40
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND AGE LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
---------------------------- ------------------- --------------------- ---------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 100 portfolios in 4 Leo Melamed Professor of Finance, The University
Director of DFAIDG and DIG. investment companies of Chicago Booth School of Business.
Trustee of DFAITC and DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn
Avenue
Chicago, IL 60637
Age: 64
John P. Gould Director of Since Inception 100 portfolios in 4 Steven G. Rothmeier Distinguished Service
DFAIDG and DIG. investment companies Professor of Economics, The University of
Trustee of DFAITC and DEM. Chicago Booth School of Business (since 1965).
The University of Chicago Member and Chair, Competitive Markets Advisory
Booth School of Business Committee, Chicago Mercantile Exchange (futures
5807 S. Woodlawn trading exchange) (since 2004). Formerly, Director
Avenue of UNext, Inc. (1999-2006). Trustee, Harbor Fund
Chicago, IL 60637 (registered investment company) (30 Portfolios)
Age: 73 (since 1994). Formerly, Member of the Board of
Milwaukee Mutal Insurance Company (1997-
2010).
Roger G. Ibbotson Since Inception 100 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG. investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM. Partner, Zebra Capital Management, LLC (hedge
Yale School of fund manager) (since 2001). Consultant to
Management P.O. Box Morningstar, Inc. (since 2006). Formerly,
208200 New Haven, CT Chairman, Ibbotson Associates, Inc., Chicago, IL
06520-8200 (software data publishing and consulting) (1977-
Age: 68 2006). Formerly, Director, BIRR Portfolio
Analysis, Inc. (software products) (1990-2010).
41
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1 /AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND AGE LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
---------------------------- ------------------- --------------------- ----------------------------------------------------
Edward P. Lazear Director Since 2010 100 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
of DFAIDG and DIG. investment companies Institution (since 2002). Jack Steele Parker
Trustee of DFAITC and DEM. Professor of Human Resources Management and
Stanford University Economics, Graduate School of Business, Stanford
Graduate School of University (since 1995). Cornerstone Research
Business 518 Memorial (expert testimony and economic and financial
Way Stanford, CA 94305-5015 analysis) (since 2009). Formerly, Chairman of the
Age: 64 President George W. Bush's Council of Economic
Advisers (2006-2009). Formerly, Council of
Economic Advisors, State of California (2005-
2006). Formerly, Commissioner, White House
Panel on Tax Reform (2005).
Myron S. Scholes Director Since Inception 100 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
of DFAIDG and DIG. investment companies Stanford University (since 1981). Formerly,
Trustee of DFAITC and DEM. Chairman, Platinum Grove Asset Management,
c/o Dimensional Fund L.P. (hedge fund) (formerly, Oak Hill Platinum
Advisors, LP 6300 Bee Partners) (1999-2009). Formerly, Managing
Cave Road Building 1 Partner, Oak Hill Capital Management (private
Austin, TX 78746 equity firm) (until 2004). Director, American
Age: 70 Century Fund Complex (registered investment
companies) (40 Portfolios) (since 1980). Formerly,
Director, Chicago Mercantile Exchange (2001-
2008).
Abbie J. Smith Director of Since 2000 100 portfolios in 4 Boris and Irene Stern Distinguished Service
DFAIDG and DIG. investment companies Professor of Accounting, The University of
Trustee of DFAITC and DEM. Chicago Booth School of Business (since 1980).
The University of Chicago Co-Director Investment Research, Fundamental
Booth School of Business Investment Advisors (hedge fund) (since 2008).
5807 S. Woodlawn Director, HNI Corporation (formerly known as
Avenue Chicago, IL 60637 HON Industries Inc.) (office furniture) (since
Age: 58 2000). Director, Ryder System Inc. (transportation,
logistics and supply-chain management) (since
2003). Trustee, UBS Funds (4 investment
companies within the fund complex) (52
portfolios) (since 2009).
42
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1 /AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND AGE LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
----------------------------- ------------------- --------------------- --------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
------------------------------------------------------------------------------------------------------------------------------
David G. Booth Since Inception 100 portfolios in 4 Chairman, Director/Trustee, President, and Co-
Chairman, Director, investment companies Chief Executive Officer (since January 2010) of
Co-Chief Executive Dimensional Holdings Inc., Dimensional Fund
Officer and Advisors LP, DFA Securities LLC, Dimensional
President of DFAIDG Emerging Markets Value Fund, DFAIDG,
and DIG. Chairman, Dimensional Investment Group Inc. and The DFA
Trustee, Co-Chief Investment Trust Company. Director of
Executive Officer and Dimensional Fund Advisors Ltd., Dimensional
President of DFAITC and DEM. Funds PLC, Dimensional Funds II PLC, DFA
6300 Bee Cave Road, Australia Limited, Dimensional Cayman
Building One Commodity Fund I Ltd., Dimensional Japan Ltd.
Austin, Texas 78746 and Dimensional Advisors Ltd. Chairman,
Age: 65 Director and Co-Chief Executive Officer of
Dimensional Fund Advisors Canada ULC.
President, Dimensional SmartNest (US) LLC.
Limited Partner, Oak Hill Partners (since 2001)
and VSC Investors, LLC (since 2007). Trustee,
The University of Chicago. Trustee, University of
Kansas Endowment Association. Formerly, Chief
Executive Officer (until 2010) and Chief
Investment Officer (2003-2007) of Dimensional
Fund Advisors LP, DFA Securities LLC,
Dimensional Emerging Markets Value Fund,
DFAIDG, Dimensional Investment Group Inc.,
The DFA Investment Trust Company and
Dimensional Holdings Inc. Formerly, Chief
Investment Officer of Dimensional Fund Advisors
Ltd. Formerly, President and Chief Investment
Officer of DFA Australia Limited. Formerly,
Director, SA Funds (registered investment
company).
Eduardo A. Repetto Since 2009 100 portfolios in 4 Co-Chief Executive Officer (since January 2010),
Director, Co-Chief investment companies Chief Investment Officer (since March 2007) and
Executive Officer and Director/Trustee of Dimensional Holdings Inc.,
Chief Investment Officer of Dimensional Fund Advisors LP, DFA Securities
DFAIDG and DIG. LLC, Dimensional Emerging Markets Value Fund,
Trustee, Co-Chief DFAIDG, Dimensional Investment Group Inc.,
Executive Officer and The DFA Investment Trust Company and
Chief Investment Officer of Dimensional Cayman Commodity Fund I Ltd. Co-
DFAITC and DEM. Chief Executive Officer, President and Chief
6300 Bee Cave Road, Investment Officer of Dimensional Fund Advisors
Building One Canada ULC. Chief Investment Officer, Vice
Austin, TX 78746 President and Director of DFA Australia Limited.
Age: 45 Director of Dimensional Fund Advisors Ltd.,
Dimensional Funds PLC, Dimensional Funds II
PLC, Dimensional Japan Ltd. and Dimensional
Advisors Ltd. Co-Chief Executive Officer of
Dimensional Retirement Plan Services LLC.
Formerly, Vice President of Dimensional Holdings
Inc., Dimensional Fund Advisors LP, DFA
Securities LLC, Dimensional Emerging Markets
Value Fund, DFAIDG, Dimensional Investment
Group Inc., The DFA Investment Trust Company
and Dimensional Fund Advisors Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or
her successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which
includes the Funds.
* Interested Trustees/Directors are described as such because they are
deemed to be "interested persons," as that term is defined under the
Investment Company Act of 1940, as amended, due to their positions with
Dimensional Fund Advisors LP.
43
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors LP (prior to November 3, 2006,
Dimensional Fund Advisors Inc.) ("Dimensional"), DFA Securities LLC (prior to
April 6, 2009, DFA Securities Inc.), DFAIDG, DIG, DFAITC and DEM (collectively,
the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, unless otherwise
indicated.
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
-------------------------------- ---------------- --------------------------------------------------------------------
OFFICERS
------------------------------------------------------------------------------------------------------------------------
April A. Aandal Since 2008 Vice President of all the DFA Entities. Vice President Global
Vice President, Global Business Business Development of all the DFA Entities. Formerly, Chief
Development Learning Officer of Dimensional (2008-2011); Regional Director of
Age: 49 Dimensional (2004-2008).
Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice President
Vice President Business Development at Capson Physicians Insurance Company
Age: 37 (2010-2012); Vice President at Charles Schwab (2007-2010).
Darryl D. Avery Since 2005 Vice President of all the DFA Entities.
Vice President
Age: 46
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities.
Vice President
Age: 56
John T. Blood Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2010-January 2011); Chief Market Strategist at
Age: 43 Commonwealth Financial (2007-2010); Director of Research at
Commonwealth Financial (2000-2007).
Scott A. Bosworth Since 2007 Vice President of all the DFA Entities.
Vice President
Age: 43
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA
Vice President and Assistant Australia Limited, Dimensional Fund Advisors Ltd., Dimensional
Secretary Cayman Commodity Fund I Ltd., Dimensional Retirement Plan
Age: 45 Services LLC, Dimensional Fund Advisors Pte. Ltd., Dimensional
Hong Kong Limited. Director, Vice President and Assistant Secretary
of Dimensional Fund Advisors Canada ULC.
David P. Butler Since 2007 Vice President of all the DFA Entities. Head of Global Financial
Vice President Services of Dimensional (since 2008). Formerly, Regional Director
Age: 48 of Dimensional (January 1995 to January 2005).
Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional Fund Advisors LP (December 2010-January 2012);
Age: 41 Regional Director at Russell Investments (April 2006-December
2010).
James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2008-2010); Vice President, Client Portfolio
Age: 56 Manager at American Century Investments (2001-2008).
Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio
Age: 46 Manager of Dimensional (since January 2012). Formerly, Portfolio
Manager for Dimensional (October 2005-January 2012).
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC. Head of Institutional,
Age: 40 North America (since March 2012). Formerly, Head of Portfolio
Management of Dimensional (January 2006-March 2012).
Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional Fund Advisors LP (August 2002-January 2012).
Age: 36
44
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
----------------------------- ---------------- --------------------------------------------------------------------
Robert P. Cornell Since 2007 Vice President of all the DFA Entities. Regional Director of
Vice President Financial Services Group of Dimensional (since August 1993).
Age: 63
George H. Crane Since 2010 Vice President of all the DFA Entities. Formerly, Senior Vice
Vice President President and Managing Director at State Street Bank & Trust
Age: 57 Company (2007-2008); Managing Director, Head of Investment
Administration and Operations at State Street Research &
Management Company (2002-2005).
Christopher S. Crossan Since 2004 Vice President and Global Chief Compliance Officer of all the DFA
Vice President and Global Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd.,
Chief Compliance Officer Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC and
Age: 46 Dimensional Retirement Plan Services LLC. Chief Compliance
Officer of Dimensional Fund Advisors Canada ULC.
James L. Davis Since 1999 Vice President of all the DFA Entities.
Vice President
Age: 55
Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC.
Age: 55
Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate for
Vice President Dimensional (since August 2008). Formerly, Research Assistant for
Age: 40 Dimensional (April 2006-August 2008).
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Chief Communications
Vice President and Chief Officer of Dimensional (since 2010).
Communications Officer
Age: 42
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and
Vice President and Assistant DFA Australia Limited. Chief Operating Officer of Dimensional
Secretary Fund Advisors Ltd. (since July 2008). Formerly, Vice President of
Age: 47 Dimensional Fund Advisors Ltd.
Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities.
Vice President
Age: 41
Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio
Age: 38 Manager of Dimensional (since January 2012). Formerly, Portfolio
Manager for Dimensional (since September 2004).
Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Manager
Vice President for Dimensional (since June 2006). Formerly, Principal at AIM
Age: 41 Investments/Amvescap PLC (now Invesco) (June 1998-June 2006).
Mark R. Gochnour Since 2007 Vice President of all the DFA Entities. Regional Director of
Vice President Dimensional.
Age: 45
Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director
Vice President at BlackRock (2004-January 2012).
Age: 44
Henry F. Gray Since 2000 Vice President of all the DFA Entities.
Vice President
Age: 45
John T. Gray Since 2007 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President of Dimensional (January 2005 to February 2007).
Age: 38
45
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------- ---------------- ---------------------------------------------------------------------
Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for
Vice President Dimensional Fund Advisors LP (since 2012). Formerly, Senior
Age: 37 Trader for Dimensional Fund Advisors Ltd. (2009-2012); Trader for
Dimensional Fund Advisors Ltd. (2008-2009); Trader for
Dimensional Fund Advisors LP (2004-2008).
Joel H. Hefner Since 2007 Vice President of all the DFA Entities. Regional Director of
Vice President Dimensional (since June 1998).
Age: 44
Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities and
Vice President and Fund Dimensional Cayman Commodity Fund I Ltd. and Dimensional
Controller Japan Ltd.
Age: 38
Kevin B. Hight Since 2005 Vice President of all the DFA Entities.
Vice President
Age: 44
Christine W. Ho Since 2004 Vice President of all the DFA Entities.
Vice President
Age: 44
Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing Director,
Vice President Co-Head Global Consultant Relations at BlackRock (2004-2011).
Age: 52
Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd.
Age: 38
Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager
Vice President for Dimensional Fund Advisors LP (October 2008-January 2012);
Age: 44 General Manager at Intereity Investments (March 2007-October
2008).
Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Entities,
Vice President and Chief Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan
Operating Officer Ltd., Dimensional Advisors Ltd., Dimensional Fund Advisors Pte.
Age: 57 Ltd., Dimensional Hong Kong Limited and Dimensional Retirement
Plan Services LLC. Director, Vice President and Chief Privacy
Officer of Dimensional Fund Advisors Canada ULC. Director of
DFA Australia Limited, Dimensional Fund Advisors Ltd.,
Dimensional Japan Ltd., Dimensional Advisors Ltd. and Dimensional
Fund Advisors Pte. Ltd. Director and Vice President of Dimensional
Hong Kong Limited.
Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional Fund Advisors LP (April 2006-January 2012).
Age: 64
David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since June 2004).
Age: 41
Seyun Alice Kim Since 2012 Vice President of all the DFA Entities. Formerly, Accounting
Vice President Manager for Dimensional Fund Advisors LP (January 2006-January
Age: 32 2012).
Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined Contribution
Vice President Sales for Dimensional (since August 2010). Formerly, Chief DC
Age: 41 Strategist, Barclays Global Investors (2005-2009).
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Sr. Portfolio Manager of
Vice President Dimensional (since January 2012).Formerly, Portfolio Manager for
Age: 40 Dimensional (April 2007-January 2012).
Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (2007-2010).
Age: 43
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Officer of
Vice President Dimensional SmartNest (US) LLC (since 2012).
Age: 45
46
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
-------------------------------- -------------------------- ---------------------------------------------------------------------
Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice President -
Vice President Global Operations at Janus Capital Group (2005-2011).
Age: 43
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources Manager of
Vice President Dimensional (since January 2004).
Age: 41
Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research Associate
Vice President for Dimensional (July 2008-2010).
Age: 31
Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since February 2004).
Age: 43
Kenneth M. Manell Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd. Counsel for Dimensional (since September
Age: 39 2006). Formerly, Assistant General Counsel at Castle & Cooke
(January 2004-September 2006).
Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global Human
Vice President & Head of Resources of Dimensional. Formerly, Global Head of Recruiting and
Global Human Resources Vice President of Goldman Sachs & Co. (June 2006 to January
Age: 42 2008).
David R. Martin Since 2007 Vice President, Chief Financial Officer and Treasurer of all the DFA
Vice President, Chief Financial Entities. Director, Vice President, Chief Financial Officer and
Officer and Treasurer Treasurer of Dimensional Fund Advisors Ltd., DFA Australia
Age: 55 Limited, Dimensional Advisors Ltd., Dimensional Fund Advisors
Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Fund
Advisors Canada ULC. Chief Financial Officer, Treasurer, and Vice
President of Dimensional SmartNest LLC, Dimensional SmartNest
(US) LLC, Dimensional Cayman Commodity Fund I Ltd. and
Dimensional Retirement Plan Services LLC. Director of Dimensional
Funds PLC and Dimensional Funds II PLC. Statutory Auditor of
Dimensional Japan Ltd.
Catherine L. Newell Vice President since 1997 Vice President and Secretary of all the DFA Entities and
Vice President and Secretary and Secretary since 2000 Dimensional Retirement Plan Services LLC (since June 2012).
Age: 48 Director, Vice President and Secretary of DFA Australia Limited and
Dimensional Fund Advisors Ltd. (since February 2002, April 1997
and May 2002, respectively). Vice President and Secretary of
Dimensional Fund Advisors Canada ULC (since June 2003),
Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC,
Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan
Ltd. (since February 2012), Dimensional Advisors Ltd. (since March
2012), Dimensional Fund Advisors Pte. Ltd. (since June 2012) and
Dimensional Hong Kong Limited (since August 2012). Director,
Dimensional Funds PLC and Dimensional Funds II PLC (since 2002
and 2006, respectively). Director of Dimensional Japan Ltd.,
Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd.
and Dimensional Hong Kong Limited (since August 2012 and July
2012).
Christian A. Newton Since 2009 Vice President of all DFA Entities. Web Services Manager for
Vice President Dimensional (since January 2008). Formerly, Design Manager of
Age: 37 Dimensional (2005-2008).
Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (2008-2010). Formerly, Vice President and Portfolio
Age: 48 Manager at USAA Investment Management Company (2001-2006).
Carolyn L. O Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd. Deputy General Counsel, Funds (since
Age: 38 2011). Counsel for Dimensional (2007-2011). Formerly, Associate at
K&L Gates LLP (January 2004-September 2007).
47
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------- ---------------- ---------------------------------------------------------------------
Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities. Formerly, Research Associate
Vice President of Dimensional (2004 to 2006).
Age: 35
Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since July 2005).
Age: 38
Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Officer
Vice President for Dimensional (since January 2008). Formerly, Compliance Officer
Age: 34 (February 2006-December 2007) and Compliance Analyst (August
2004-January 2006) for Dimensional.
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors
Age: 51 Canada ULC.
Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (July 2006-2010).
Age: 41
Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research Associate
Vice President of Dimensional (2006-2008). Systems Developer of Dimensional
Age: 39 (2001-2006).
Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research Associate
Vice President for Dimensional Fund Advisors LP (June 2011-January 2012);
Age: 31 Research Assistant for Dimensional Fund Advisors LP (July 2004-
August 2007).
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities.
Vice President
Age: 41
Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Manager for
Vice President Dimensional (since July 2008). Formerly, Senior Manager at
Age: 53 Vanguard (November 1997-July 2008).
David E. Schneider Since 2001 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada ULC.
Age: 66
Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (March 2006-January 2010).
Age: 50
Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Operations
Vice President Manager for Dimensional (since May 2007). Formerly, Vice
Age: 47 President Client and Fund Reporting at Mellon Financial (September
2005-May 2007).
Edward R. Simpson Since 2007 Vice President of all the DFA Entities. Regional Director of
Vice President Dimensional (since December 2002).
Age: 44
Bryce D. Skaff Since 2007 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President of Dimensional (December 1999 to January 2007).
Age: 37
Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for
Vice President Dimensional (2007-2010). Formerly, Business Analyst Manager,
Age: 44 National Instruments (2003-2007).
Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada ULC.
Age: 56
Carl G. Snyder Since 2000 Vice President of all the DFA Entities.
Vice President
Age: 49
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities.
Vice President
Age: 64
48
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------- ---------------- ---------------------------------------------------------------------
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Director and Vice
Vice President President of Dimensional Fund Advisors Canada ULC.
Age: 39
John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional Fund Advisors LP (January 2008-January 2012).
Age: 34
Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Technology
Vice President for Dimensional (since March 2007). Formerly, Director of
Age: 54 Technology at AMVESCAP (2002-2007).
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors
Age: 46 Canada ULC.
Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since 2004).
Age: 42
Weston J. Wellington Since 1997 Vice President of all the DFA Entities.
Vice President
Age: 61
Ryan J. Wiley Since 2007 Vice President of all the DFA Entities. Senior Trader of Dimensional
Vice President (since 2007).
Age: 36
Paul E. Wise Since 2005 Vice President of all the DFA Entities. Chief Technology Officer for
Vice President Dimensional (since 2004).
Age: 57
Faith A. Yando Since 2011 Vice President of all the DFA Entities. Formerly, Senior Vice
Vice President President, Global Public Relations at Natixis Global Asset
Age: 50 Management (2008-2011); Senior Vice President, Media Relations at
Bank of America (2007-2008).
Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2005-2010).
Age: 33
/1/ Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustees/Directors and until his or her successor is elected and
qualified.
49
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available 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.
50
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2012 tax year end, this
notice is for informational purposes only. For shareholders with an October 31,
2012 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2011 to October 31, 2012, the Portfolio
is designating the following items with regard to distributions paid during the
period. All designations are based on financial information available as of the
date of this annual report and, accordingly are subject to change. For each
item, it is the intention of the Portfolio to designate the maximum amount
permitted under the Internal Revenue Code and the regulations thereunder.
QUALIFYING FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM U.S. DIVIDENDS QUALIFYING
DFA INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN TOTAL GOVERNMENT RECEIVED DIVIDEND
DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS INTEREST (1) DEDUCTION(2) INCOME(3)
--------------------- ------------- ------------- ------------- ------------- ------------ -------------- ----------
Dimensional Retirement
Equity Fund II.......... 100% -- -- 100% -- 100% 100%
Dimensional Retirement
Fixed Income Fund II.... 98% 2% -- 100% -- -- --
Dimensional Retirement
Fixed Income Fund III... 100% -- -- 100% 100% -- --
THE DFA INVESTMENT
TRUST COMPANY
Dimensional Retirement
Equity Fund I........... -- -- -- -- -- 100% 100%
FOREIGN FOREIGN QUALIFIED QUALIFIED
DFA INVESTMENT TAX SOURCE INTEREST SHORT-TERM
DIMENSIONS GROUP INC. CREDIT(4) INCOME(5) INCOME(6) CAPITAL GAIN(7)
--------------------- --------- --------- --------- ---------------
Dimensional Retirement
Equity Fund II.......... 2% 38% 100% 100%
Dimensional Retirement
Fixed Income Fund II.... -- -- 100% 100%
Dimensional Retirement
Fixed Income Fund III... -- -- 100% 100%
THE DFA INVESTMENT
TRUST COMPANY
Dimensional Retirement
Equity Fund I........... 3% 52% 100% 100%
(1) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(2) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(3) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(4) "Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income (the total of short-term capital gain and net investment
income distributions).
(5) "Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income (the total of short-term capital gain and net investment
income distrbutions).
(6) The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage of ordinary income distributions
(the total of short-term capital gain and net investment income
distributions).
(7) The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
51
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[LOGO] DFA103112-034A
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this Form
N-CSR (the "Report"), a code of ethics that applies to the Registrant's
principal executive officer and principal financial officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to
the Code of Business Ethics during the period covered by this Report. The
Registrant also has not granted any waiver from any provisions of the Code of
Business Ethics during the period covered by this Report. A copy of the Code of
Business Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Trustees has determined that Abbie J. Smith possesses
the technical attributes to qualify as an "audit committee financial expert"
serving on the Registrant's Audit Committee and has designated Ms. Smith as the
"audit committee financial expert." Ms. Smith
earned a Ph.D. in Accounting, and has taught Accounting at the graduate level
since 1980. Ms. Smith's education and career have provided her with an
understanding of generally accepted accounting principles and financial
statements; the ability to assess the general application of such principles in
connection with the accounting for estimates, accruals and reserves; and
experience preparing, analyzing and evaluating financial statements that
present a breadth and level of complexity of issues that can reasonably be
expected to be raised by the Registrant's financial statements. In addition,
Ms. Smith has served on the boards of directors and audit committees of
entities other than the Registrant. Ms. Smith is independent under the
standards set forth in Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a)Audit Fees
Fiscal Year Ended October 31, 2012: $209,708
Fiscal Year Ended October 31, 2011: $438,670
(b)Audit-Related Fees
Fees for Registrant - Fiscal Year Ended October 31, 2012: $19,329
Fiscal Year Ended October 31, 2011: $26,396
For fiscal years ended October 31, 2012 and October 31, 2011,
Audited-Related Fees included fees for services related to limited
procedures performed in connection with the production of the Registrant's
semi-annual financial statements.
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X
Fiscal Year Ended October 31, 2012: $170,000
Fiscal Year Ended October 31, 2011: $160,000
For the fiscal years ended October 31, 2012 and October 31, 2011,
Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii)
of Rule 2-01 of Regulation S-X included fees for services rendered in
connection with the issuance of a Type II SSAE 16 over controls at the
Registrant's investment adviser.
(c)Tax Fees
Fees for Registrant - Fiscal Year Ended October 31, 2012: $108,440
Fiscal Year Ended October 31, 2011: $110,635
Tax Fees included, for the fiscal years ended October 31, 2012 and
October 31, 2011, fees for tax services in connection with the Registrant's
excise tax calculations, review of the Registrant's applicable tax returns
and capital gains tax services in India.
There were no Tax Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(d)All Other Fees
Fees for Registrant - Fiscal Year Ended October 31, 2012: $0
Fiscal Year Ended October 31, 2011: $0
There were no "All Other Fees" required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(e)(1)Audit Committee's Pre-Approval Policies and Procedures
Pre-Approval Policies and Procedures
as adopted by the
Audit Committees
of
DFA Investment Dimensions Group Inc.
Dimensional Emerging Markets Value Fund
Dimensional Investment Group Inc.
The DFA Investment Trust Company
(together, the "Funds")
The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules")
adopted by the U.S. Securities and Exchange Commission (the "SEC") require
that the Funds' Audit Committees (together, the "Committee") pre-approve all
audit services and non-audit services provided to the Funds by their
independent registered public accounting firm (the "Auditor"). The Act and
the Rules also require that the Committee pre-approve all non-audit services
provided by the Auditor to Dimensional Fund Advisors LP ("Dimensional"), the
Funds' investment advisor, and to affiliates of Dimensional that provide
ongoing services to the Funds (with Dimensional, together the "Service
Affiliates") if the services directly impact the Funds' operations and
financial reporting.
The following policies and procedures govern the ways in which the Committee
will pre-approve audit and various types of non-audit services that the
Auditor provides to the Funds and to Service Affiliates. These policies and
procedures do not apply in the case of audit services that the Auditor
provides to Service Affiliates, nor do they apply to services that an audit
firm other than the Auditor provides to such entities.
These policies and procedures comply with the requirements for pre-approval,
but also provide mechanisms by which management of the Funds may request and
secure pre-approval of audit and non-audit services in an orderly manner
with minimal disruption to normal business operations. Pre-approval of
non-audit services may be achieved through a combination of the procedures
described in Sections C and D below.
A. General
1. The Committee must pre-approve all audit services and non-audit
services that the Auditor provides to the Funds.
2. The Committee must pre-approve any engagement of the Auditor to
provide non-audit services to any Service Affiliate during the period
of the
Auditor's engagement to provide audit services to the Funds, if the
non-audit services to the Service Affiliate directly impact the
Funds' operations and financial reporting.
B. Pre-Approval of Audit Services to the Funds
1. The Committee shall approve the engagement of an independent
registered public accounting firm to certify the Funds' financial
statements for each fiscal year (the "Engagement"). The approval of
the Engagement shall not be delegated to a Designated Member (as that
term is defined in Section D below). In approving the Engagement, the
Committee shall obtain, review and consider sufficient information
concerning the proposed Auditor to enable the Committee to make a
reasonable evaluation of the Auditor's qualifications and
independence. The Committee also shall consider the Auditor's
proposed fees for the Engagement, in light of the scope and nature of
the audit services that the Funds will receive.
2. The Committee shall report to the Boards of Directors/Trustees of the
Funds (together, the "Board") regarding its approval of the
Engagement and of the proposed fees for the Engagement, and the basis
for such approval.
3. Unless otherwise in accordance with applicable law, the Engagement,
in any event, shall require that the Auditor be selected by the vote,
cast in person, of a majority of the members of the Board who are not
"interested persons" of the Funds (as that term is defined in
Section 2(a)(19) of the Investment Company Act of 1940) (the
"Independent Directors").
C. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--by Types of Services
1. The Committee may pre-approve types of non-audit services (including
tax services) to the Funds and their Service Affiliates pursuant to
this Section C.
2. Annually, at such time as the Committee considers the Engagement of
the Auditor, management of the Funds, in consultation with the
Auditor, shall provide to the Committee, for its consideration and
action, the following: (a) a list of those types of non-audit
services, if any, that the Funds may request from the Auditor during
the fiscal year; and (b) a list of those types of non-audit services
directly impacting the Funds' operations and financial reporting that
Service Affiliates may request from the Auditor during the fiscal
year.
3. The lists submitted to the Committee shall describe the types of
non-audit services in reasonable detail (which may include a range of
tax services) and shall include an estimated budget (or budgeted
range) of fees, where
possible, and such other information as the Committee may request. If
management and the Auditor desire the Committee to preapprove the
furnishing of a range of tax services, the Auditor shall provide an
estimated range of fees for such tax services for the consideration
and approval by the Committee.
4. The Committee's pre-approval of the types of non-audit services
submitted pursuant to this Section C shall constitute authorization
for management of the Funds to utilize the Auditor for the types of
non-audit services so pre-approved, if needed or desired during the
fiscal year.
5. A list of the types of non-audit services pre-approved by the
Committee pursuant to this Section C will be distributed to
management of the Service Affiliates and the appropriate partners of
the Auditor. Periodically, the Auditor will discuss with the
Committee those non-audit services that have been or are being
provided pursuant to this Section C.
D. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--Project-by-Project Basis
1. The Committee also may pre-approve non-audit services on a
project-by-project basis pursuant to this Section D.
2. Management of the Funds, in consultation with the Auditor, may submit
either to the Committee or to the Designated Member, as provided in
this Section D, for their consideration and action, a pre-approval
request identifying one or more non-audit service projects. The
request so submitted shall describe the project(s) in reasonable
detail and shall include an estimated budget (or budgeted range) of
fees and such other information as the Committee or the Designated
Member, as appropriate, shall request.
3. The Committee, from time to time, shall designate one or more of its
members who are Independent Directors (each a "Designated Member") to
consider, on the Committee's behalf, any non-audit services, whether
to the Funds or to any Service Affiliate, that have not been
pre-approved by the Committee. The Designated Member also shall
review, on the Committee's behalf, any proposed material change in
the nature or extent of any non-audit services previously approved.
The Funds' management, in consultation with the Auditor, shall
explain why such non-audit services or material change in non-audit
services are necessary and appropriate and the anticipated costs
thereof.
4. The Designated Member will review the requested non-audit services or
proposed material change in such services and will either:
(a)pre-approve, pre-approve subject to conditions, or disapprove any
such requested services, or any proposed material change in
services, whether to the Funds or to a Service Affiliate; or
(b)refer such matter to the full Committee for its consideration and
action.
In considering any requested non-audit services or proposed material
change in such services, the Designated Member's authority shall be
limited to approving non-audit services or proposed material changes
that do not exceed $10,000 in value.
5. The Designated Member's pre-approval (or pre-approval subject to
conditions) of the requested non-audit services or proposed material
change in services pursuant to this Section D shall constitute
authorization for the management of the Funds or the Service
Affiliate, as the case may be, to utilize the Auditor for the
non-audit services so pre-approved. Any action by the Designated
Member in approving a requested non-audit service shall be presented
for ratification by the Committee not later than at its next
scheduled meeting. If the Designated Member does not approve the
Auditor providing the requested non-audit service, the matter may be
presented to the full Committee for its consideration and action.
E. Amendment; Annual Review
1. The Committee may amend these procedures from time to time.
2. These procedures shall be reviewed annually by the Committee.
F. Recordkeeping
1. The Funds shall maintain a written record of all decisions made by
the Committee or by a Designated Member pursuant to these procedures,
together with appropriate supporting materials.
2. In connection with the approval of any non-audit service pursuant to
the de minimis exception provided in the Rules, a record shall be
made indicating that each of the conditions for this exception, as
set forth in the Rules, has been satisfied.
3. A copy of these Procedures (and of any amendments to these
Procedures) shall be maintained and preserved permanently in an
easily accessible place. The written records referred to in
paragraphs 1 and 2 of this Section F shall be maintained and
preserved for six years from the end of the fiscal year in which the
actions recorded were taken, for at least the first two years in an
easily accessible location.
(e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by the
Registrant's Audit Committee but not pursuant to paragraph (c)(7)(i)(C) of
Rule 2-01 of Regulation S-X.
(f) The percentage of hours expended on the principal accountant's
engagement to audit the Registrant's financial statements for the fiscal
year ended October 31, 2012 that were attributed to work performed by
persons other than the principal accountant's full time, permanent employees
was not greater than 50%.
___
(g) Aggregate Non-Audit Fees
Fiscal Year Ended October 31, 2012: $1,854,127
Fiscal Year Ended October 31, 2011: $1,362,840
(h) The Registrant's Audit Committee has considered whether the provision of
non-audit services that were rendered to the Registrant's investment
adviser, and any entity controlling, controlled by, or under common control
with the investment adviser that provides ongoing services to the
Registrant, that were not pre-approved pursuant to paragraph (c)(7)(ii) of
Rule 2-01 of Regulation S-X is compatible with maintaining the principal
accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant that provided a summary schedule of portfolio holdings in a report
to stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
Name of Entity for which Schedule of Investments is Provided
------------------------------------------------------------
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
The Tax-Managed U.S. Marketwide Value Series
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
------------------------
Investment Abbreviations
ADR American Depository Receipt
FNMA Federal National Mortgage Association
GDR Global Depository Receipt
NVDR Non-Voting Depository Receipt
P.L.C. Public Limited Company
REIT Real Estate Investment Trust
STRIP Separate Trading of Registered Interest and Principal of Securities
Investment Footnotes
+ See Security Valuation Note within the Notes to Schedules of
Investments.
++ Securities have generally been fair valued. See Security Valuation
Note within the Notes to Schedules of Investments.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from securities on loan.
. Security is being fair valued as of October 31, 2012.
-- Amounts designated as -- are either zero or rounded to zero.
(S) Affiliated Fund.
1
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
SHARES VALUE+
---------- --------------
COMMON STOCKS -- (94.6%)
Consumer Discretionary -- (16.4%)
#Autoliv, Inc...................................... 14,452 $ 832,435
#Best Buy Co., Inc................................. 238,090 3,621,349
#Carnival Corp..................................... 2,385,423 90,359,823
CBS Corp. Class A................................. 7,236 235,170
CBS Corp. Class B................................. 2,414,307 78,223,547
Comcast Corp. Class A............................. 10,008,890 375,433,464
Comcast Corp. Special Class A..................... 3,843,964 140,074,048
#D.R. Horton, Inc.................................. 1,448,033 30,350,772
#Dillard's, Inc. Class A........................... 111,517 8,586,809
Foot Locker, Inc.................................. 485,935 16,278,822
#GameStop Corp. Class A............................ 598,147 13,655,696
#Gannett Co., Inc.................................. 334,290 5,649,501
#*General Motors Co................................. 1,090,977 27,819,913
*Hyatt Hotels Corp. Class A........................ 26,422 964,403
#J.C. Penney Co., Inc.............................. 1,068,585 25,656,726
*Johnson Controls, Inc............................. 37,387 962,715
#*Kohl's Corp....................................... 15,587 830,475
Lear Corp......................................... 3,560 151,656
#Lennar Corp. Class A.............................. 802,616 30,074,022
Lennar Corp. Class B Voting....................... 4,809 136,479
*Liberty Interactive Corp. Class A................. 2,586,058 51,721,160
*Liberty Ventures Series A......................... 122,067 6,946,833
*Madison Square Garden Co. Class A (The)........... 5,030 207,035
#*MGM Resorts International......................... 2,389,018 24,630,776
#*Mohawk Industries, Inc............................ 365,371 30,497,517
#News Corp. Class A................................ 8,332,375 199,310,410
News Corp. Class B................................ 3,247,295 79,104,106
#*Orchard Supply Hardware Stores Corp. Class A...... 21,284 264,347
#*Penn National Gaming, Inc......................... 286,620 11,588,047
*PulteGroup, Inc................................... 20,241 350,979
#Royal Caribbean Cruises, Ltd...................... 1,043,290 35,127,574
*Sears Canada, Inc................................. 227,173 2,468,916
#*Sears Holdings Corp............................... 530,407 33,240,607
#Service Corp. International....................... 219,283 3,078,733
Signet Jewelers, Ltd. ADR......................... 6,556 339,339
#Staples, Inc...................................... 696,416 8,019,230
Time Warner Cable, Inc............................ 1,921,256 190,415,682
Time Warner, Inc.................................. 4,810,759 209,027,479
#*Toll Brothers, Inc................................ 912,316 30,115,551
*TRW Automotive Holdings Corp...................... 18,051 839,552
#Washington Post Co. Class B (The)................. 32,261 10,759,366
Whirlpool Corp.................................... 219,825 21,472,506
Wyndham Worldwide Corp............................ 800,703 40,355,431
--------------
Total Consumer Discretionary......................... 1,839,779,001
--------------
Consumer Staples -- (7.9%)
Archer-Daniels-Midland Co......................... 3,155,848 84,702,960
#Beam, Inc......................................... 155,582 8,644,136
Bunge, Ltd........................................ 535,848 38,061,283
*Constellation Brands, Inc. Class A................ 933,566 32,992,222
*Constellation Brands, Inc. Class B................ 153 5,427
CVS Caremark Corp................................. 5,746,668 266,645,395
#Energizer Holdings, Inc........................... 2,485 181,330
#Hillshire Brands Co............................... 12,364 321,588
#Ingredion, Inc.................................... 5,663 348,048
J.M. Smucker Co. (The)............................ 539,640 46,214,770
*Kraft Foods Group, Inc............................ 2,376,283 108,073,351
#Molson Coors Brewing Co. Class B.................. 763,563 32,940,108
2
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Consumer Staples -- (Continued)
Mondelez International, Inc. Class A.............. 7,128,852 $ 189,199,732
*Post Holdings, Inc................................ 32,650 1,030,107
#*Ralcorp Holdings, Inc............................. 194,641 14,051,134
#Safeway, Inc...................................... 1,082,518 17,655,869
#*Smithfield Foods, Inc............................. 756,389 15,483,283
Tyson Foods, Inc. Class A......................... 1,426,374 23,977,347
--------------
Total Consumer Staples............................... 880,528,090
--------------
Energy -- (18.1%)
Anadarko Petroleum Corp........................... 2,441,476 167,997,964
#Apache Corp....................................... 1,208,836 100,031,179
*Atwood Oceanics, Inc.............................. 4,143 198,035
#Baker Hughes, Inc................................. 134,664 5,651,848
#Chesapeake Energy Corp............................ 3,251,150 65,868,299
Chevron Corp...................................... 2,876,061 316,970,683
Cimarex Energy Co................................. 390 22,300
ConocoPhillips.................................... 5,374,243 310,899,958
*Denbury Resources, Inc............................ 1,415,410 21,698,235
Devon Energy Corp................................. 1,094,855 63,731,510
#Diamond Offshore Drilling, Inc.................... 5,125 354,855
EOG Resources, Inc................................ 179,332 20,890,385
#Helmerich & Payne, Inc............................ 513,387 24,539,899
Hess Corp......................................... 1,567,373 81,910,913
HollyFrontier Corp................................ 191,938 7,414,565
Marathon Oil Corp................................. 3,446,808 103,611,048
Marathon Petroleum Corp........................... 1,791,952 98,431,923
*McDermott International, Inc...................... 8,791 94,152
Murphy Oil Corp................................... 689,754 41,385,240
*Nabors Industries, Ltd............................ 1,355,841 18,290,295
National Oilwell Varco, Inc....................... 1,661,481 122,451,150
*Newfield Exploration Co........................... 13,842 375,395
Noble Corp........................................ 563,513 21,266,981
Noble Energy, Inc................................. 42,446 4,032,794
Occidental Petroleum Corp......................... 215,034 16,979,085
#Patterson-UTI Energy, Inc......................... 732,485 11,851,607
#Peabody Energy Corp............................... 95,576 2,666,570
Phillips 66....................................... 2,855,170 134,649,817
#Pioneer Natural Resources Co...................... 517,832 54,708,951
*Plains Exploration & Production Co................ 664,529 23,697,104
QEP Resources, Inc................................ 434,902 12,612,158
*Rowan Cos. P.L.C. Class A......................... 595,894 18,895,799
Tesoro Corp....................................... 605,336 22,827,221
Tidewater, Inc.................................... 273,815 13,008,951
Transocean, Ltd................................... 474,606 21,684,748
Valero Energy Corp................................ 2,806,975 81,682,972
*Weatherford International, Ltd.................... 1,009,406 11,406,288
*Whiting Petroleum Corp............................ 74,341 3,123,809
--------------
Total Energy......................................... 2,027,914,686
--------------
Financials -- (18.5%)
Allied World Assurance Co. Holdings AG............ 188,355 15,124,906
Allstate Corp. (The).............................. 1,330,135 53,178,797
Alterra Capital Holdings, Ltd..................... 35,444 865,897
*American Capital, Ltd............................. 789,016 9,302,499
#American Financial Group, Inc..................... 491,543 19,071,868
*American International Group, Inc................. 893,402 31,206,532
American National Insurance Co.................... 80,626 5,890,536
#Assurant, Inc..................................... 396,269 14,982,931
Assured Guaranty, Ltd............................. 18,939 263,063
Axis Capital Holdings, Ltd........................ 613,817 22,232,452
Bank of America Corp.............................. 29,573,320 275,623,342
3
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Financials -- (Continued)
#Bank of New York Mellon Corp. (The)............... 995,423 $ 24,596,902
Capital One Financial Corp........................ 560,973 33,753,745
*CIT Group, Inc.................................... 84,121 3,130,984
Citigroup, Inc.................................... 9,338,881 349,180,761
CME Group, Inc.................................... 1,599,345 89,451,366
#CNA Financial Corp................................ 880,977 25,883,104
*E*Trade Financial Corp............................ 57,660 482,038
Everest Re Group, Ltd............................. 231,133 25,667,320
First Niagara Financial Group, Inc................ 53,740 444,967
#*Genworth Financial, Inc. Class A.................. 2,390,330 14,246,367
#Goldman Sachs Group, Inc. (The)................... 786,395 96,246,884
Hartford Financial Services Group, Inc............ 2,129,402 46,229,317
#Hudson City Bancorp, Inc.......................... 74,986 636,256
JPMorgan Chase & Co............................... 2,316,928 96,569,559
#KeyCorp........................................... 3,863,464 32,530,367
#Legg Mason, Inc................................... 659,937 16,815,195
Lincoln National Corp............................. 1,442,787 35,766,690
Loews Corp........................................ 2,050,343 86,688,502
MetLife, Inc...................................... 4,759,859 168,927,396
Morgan Stanley.................................... 3,953,534 68,712,421
#NASDAQ OMX Group, Inc. (The)...................... 815,514 19,417,388
NYSE Euronext..................................... 89,026 2,204,284
Old Republic International Corp................... 1,267,693 12,524,807
PartnerRe, Ltd.................................... 190,433 15,425,073
People's United Financial, Inc.................... 71,810 863,874
#Principal Financial Group, Inc.................... 471,960 12,997,778
Prudential Financial, Inc......................... 2,267,142 129,340,451
Regions Financial Corp............................ 5,735,171 37,393,315
#Reinsurance Group of America, Inc................. 363,743 19,249,280
SunTrust Banks, Inc............................... 2,564,707 69,760,030
Unum Group........................................ 1,374,339 27,871,595
Validus Holdings, Ltd............................. 311,103 11,137,487
XL Group P.L.C.................................... 1,435,288 35,509,025
#Zions Bancorporation.............................. 777,171 16,685,861
--------------
Total Financials..................................... 2,074,083,212
--------------
Health Care -- (8.8%)
Aetna, Inc........................................ 1,693,713 74,015,258
*Bio-Rad Laboratories, Inc. Class A................ 1,004 101,755
*Boston Scientific Corp............................ 6,689,559 34,384,333
*CareFusion Corp................................... 917,825 24,377,432
Cigna Corp........................................ 241,752 12,329,352
Coventry Health Care, Inc......................... 670,877 29,277,072
#*Endo Health Solutions, Inc........................ 173,568 4,974,459
*Forest Laboratories, Inc.......................... 292,168 9,848,983
#*HealthSouth Corp.................................. 4,158 92,017
*Hologic, Inc...................................... 1,229,548 25,353,280
*Hospira, Inc...................................... 8,010 245,827
Humana, Inc....................................... 698,778 51,898,242
*Life Technologies Corp............................ 97,451 4,766,328
#*MEDNAX, Inc....................................... 2,282 157,412
#Omnicare, Inc..................................... 574,710 19,844,736
#PerkinElmer, Inc.................................. 438,767 13,571,063
Pfizer, Inc....................................... 17,815,204 443,064,123
Teleflex, Inc..................................... 90,735 6,165,443
Thermo Fisher Scientific, Inc..................... 1,932,026 117,969,508
Universal Health Services, Inc. Class B........... 8,413 348,214
#WellPoint, Inc.................................... 1,824,634 111,813,572
--------------
Total Health Care.................................... 984,598,409
--------------
4
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Industrials -- (12.9%)
*ADT Corp. (The)................................... 719,909 $ 29,883,423
*AGCO Corp......................................... 252,065 11,471,478
*CNH Global NV..................................... 6,633 297,158
CSX Corp.......................................... 5,517,066 112,934,341
Dover Corp........................................ 28,815 1,677,609
#Eaton Corp........................................ 50,900 2,403,498
#*Engility Holdings, Inc............................ 67,955 1,291,145
FedEx Corp........................................ 347,925 32,005,621
*Fortune Brands Home & Security, Inc............... 742,497 21,116,615
*General Dynamics Corp............................. 81,086 5,520,335
General Electric Co............................... 21,445,555 451,643,388
#*Hertz Global Holdings, Inc........................ 884,299 11,734,648
Ingersoll-Rand P.L.C.............................. 933,314 43,893,757
*Jacobs Engineering Group, Inc..................... 15,956 615,742
#L-3 Communications Holdings, Inc.................. 407,736 30,090,917
#Manpower, Inc..................................... 6,983 264,935
Norfolk Southern Corp............................. 1,681,939 103,186,958
Northrop Grumman Corp............................. 1,364,645 93,737,465
#*Owens Corning, Inc................................ 579,048 19,450,222
*Pentair, Inc...................................... 345,474 14,592,822
*Quanta Services, Inc.............................. 504,054 13,070,120
#Regal-Beloit Corp................................. 6,450 420,411
Republic Services, Inc............................ 1,113,520 31,568,292
#Southwest Airlines Co............................. 3,905,821 34,449,341
*Spirit Aerosystems Holdings, Inc. Class A......... 21,667 338,655
SPX Corp.......................................... 12,057 826,990
Stanley Black & Decker, Inc....................... 528,407 36,618,605
Towers Watson & Co................................ 1,662 89,266
#Trinity Industries, Inc........................... 200 6,256
Triumph Group, Inc................................ 81,035 5,301,310
Tyco International, Ltd........................... 1,439,819 38,687,937
Union Pacific Corp................................ 2,314,080 284,701,262
URS Corp.......................................... 378,541 12,673,553
#*Waste Connections, Inc............................ 8,626 283,192
#Waste Management, Inc............................. 30,000 982,200
--------------
Total Industrials.................................... 1,447,829,467
--------------
Information Technology -- (3.1%)
#Activision Blizzard, Inc.......................... 2,620,144 28,533,369
Amdocs, Ltd....................................... 15,840 523,829
*AOL, Inc.......................................... 60,911 2,091,075
#Applied Materials, Inc............................ 330,860 3,507,116
#*Arrow Electronics, Inc............................ 568,882 20,041,713
*Avnet, Inc........................................ 711,662 20,389,116
*Brocade Communications Systems, Inc............... 363,088 1,924,366
*Cisco Systems, Inc................................ 95,875 1,643,297
Computer Sciences Corp............................ 783,742 23,864,944
Corning, Inc...................................... 2,542,083 29,869,475
Fidelity National Information Services, Inc....... 1,328,465 43,666,645
#Hewlett-Packard Co................................ 1,097,035 15,193,935
#IAC/InterActiveCorp............................... 271,160 13,110,586
*Ingram Micro, Inc. Class A........................ 741,670 11,273,384
*Juniper Networks, Inc............................. 81,071 1,343,346
*Micron Technology, Inc............................ 3,322,059 18,022,170
#Molex, Inc........................................ 12,162 315,847
Molex, Inc. Class A............................... 1,663 35,655
*NVIDIA Corp....................................... 47,749 571,556
#*SAIC, Inc......................................... 129,331 1,421,348
*Sandisk Corp...................................... 130,053 5,431,013
*TE Connectivity, Ltd.............................. 36,987 1,190,242
Western Digital Corp.............................. 792,967 27,143,260
5
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- ---------------
Information Technology -- (Continued)
Xerox Corp....................................... 5,490,094 $ 35,356,205
*Yahoo!, Inc...................................... 2,128,609 35,781,917
---------------
Total Information Technology........................ 342,245,409
---------------
Materials -- (2.7%)
#Alcoa, Inc....................................... 5,212,834 44,673,987
#Ashland, Inc..................................... 376,837 26,811,953
#Cliffs Natural Resources, Inc.................... 147,736 5,358,385
Cytec Industries, Inc............................ 69,176 4,760,692
#Domtar Corp...................................... 171,393 13,668,592
Dow Chemical Co. (The)........................... 18,250 534,725
Freeport-McMoRan Copper & Gold, Inc.............. 53,170 2,067,250
Huntsman Corp.................................... 238,618 3,588,815
International Paper Co........................... 2,299,481 82,390,404
MeadWestvaco Corp................................ 848,260 25,184,839
*Mosaic Co. (The)................................. 29,366 1,537,016
*Newmont Mining Corp.............................. 6,191 337,719
#Nucor Corp....................................... 327,312 13,135,031
Reliance Steel & Aluminum Co..................... 363,907 19,774,706
Rock-Tenn Co. Class A............................ 77,608 5,680,130
#Sealed Air Corp.................................. 311,965 5,060,072
#Steel Dynamics, Inc.............................. 893,527 11,303,117
#United States Steel Corp......................... 204,541 4,170,591
Vulcan Materials Co.............................. 576,439 26,498,901
Westlake Chemical Corp........................... 2,222 169,005
---------------
Total Materials..................................... 296,705,930
---------------
Telecommunication Services -- (6.0%)
AT&T, Inc........................................ 13,051,618 451,455,467
CenturyLink, Inc................................. 2,353,137 90,313,398
#Frontier Communications Corp..................... 1,836,528 8,668,412
*MetroPCS Communications, Inc..................... 1,453,136 14,836,519
*Sprint Nextel Corp............................... 13,961,200 77,345,048
#Telephone & Data Systems, Inc.................... 501,530 12,473,051
#*United States Cellular Corp...................... 261,250 9,663,638
#Windstream Corp.................................. 46,951 447,913
---------------
Total Telecommunication Services.................... 665,203,446
---------------
Utilities -- (0.2%)
#NRG Energy, Inc.................................. 987,176 21,283,515
UGI Corp......................................... 3,718 120,054
---------------
Total Utilities..................................... 21,403,569
---------------
TOTAL COMMON STOCKS................................. 10,580,291,219
---------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
BlackRock Liquidity Funds TempCash Portfolio -
Institutional Shares........................... 8,414,357 8,414,357
---------------
6
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES/
FACE
AMOUNT
(000) VALUE+
----------- ---------------
SECURITIES LENDING COLLATERAL -- (5.3%)
(S)@ DFA Short Term Investment Fund................ 51,528,378 $ 596,183,329
@ Repurchase Agreement, JPMorgan Securities LLC
0.30%, 11/01/12 (Collateralized by $1,620,729
FNMA, rates ranging from 2.500% to 5.500%,
maturities ranging from 10/01/22 to 07/01/42,
valued at $1,625,607) to be repurchased at
$1,573,497.................................... $ 1,573 1,573,484
---------------
TOTAL SECURITIES LENDING COLLATERAL................ 597,756,813
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,371,764,356)............................ $11,186,462,389
===============
7
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
SHARES VALUE++
--------- ------------
COMMON STOCKS -- (91.9%)
AUSTRALIA -- (4.6%)
#Alumina, Ltd......................................... 2,919,489 $ 2,914,312
#Alumina, Ltd. Sponsored ADR.......................... 172,484 676,137
Amcor, Ltd. Sponsored ADR............................ 55,031 1,805,017
Asciano Group, Ltd................................... 1,437,095 6,801,797
#*Atlas Iron, Ltd...................................... 170,863 271,341
#Bank of Queensland, Ltd.............................. 508,163 3,990,555
Bendigo and Adelaide Bank, Ltd....................... 821,518 6,880,755
Boral, Ltd........................................... 1,592,505 5,931,404
Caltex Australia, Ltd................................ 341,805 6,039,639
Crown, Ltd........................................... 270,208 2,723,410
*Downer EDI, Ltd...................................... 132,490 493,181
Echo Entertainment Group, Ltd........................ 1,832,302 6,659,348
GrainCorp, Ltd. Class A.............................. 745,945 9,472,889
#Harvey Norman Holdings, Ltd.......................... 991,617 1,958,743
Incitec Pivot, Ltd................................... 4,149,937 13,592,313
Insurance Australia Group, Ltd....................... 1,103,362 5,246,797
Lend Lease Group NL.................................. 773,285 6,942,391
Macquarie Group, Ltd................................. 631,291 20,852,646
#National Australia Bank, Ltd......................... 1,435,379 38,360,336
New Hope Corp., Ltd.................................. 51,436 233,767
Newcrest Mining, Ltd................................. 276,510 7,626,169
Origin Energy, Ltd................................... 2,415,837 28,437,264
OZ Minerals, Ltd..................................... 497,884 4,224,576
#Primary Health Care, Ltd............................. 46,378 187,069
*Qantas Airways, Ltd.................................. 2,850,317 3,929,654
Santos, Ltd.......................................... 1,809,934 21,580,245
#Seven Group Holdings, Ltd............................ 361,999 2,592,255
#Sims Metal Management, Ltd........................... 124,128 1,213,783
Sims Metal Management, Ltd. Sponsored ADR............ 124,013 1,211,607
Sonic Healthcare, Ltd................................ 45,616 615,132
#Suncorp Group, Ltd................................... 3,327,424 32,411,070
TABCORP Holdings, Ltd................................ 1,716,068 5,053,674
Tatts Group, Ltd..................................... 2,784,856 8,088,155
Toll Holdings, Ltd................................... 943,858 4,348,205
Treasury Wine Estates, Ltd........................... 264,848 1,357,006
#Washington H. Soul Pattinson & Co., Ltd.............. 113,801 1,594,430
#Wesfarmers, Ltd...................................... 2,578,622 92,958,107
------------
TOTAL AUSTRALIA......................................... 359,275,179
------------
AUSTRIA -- (0.3%)
*Erste Group Bank AG.................................. 342,508 8,633,792
OMV AG............................................... 257,719 9,431,253
#Raiffeisen Bank International AG..................... 55,762 2,233,577
------------
TOTAL AUSTRIA........................................... 20,298,622
------------
BELGIUM -- (0.9%)
Ageas................................................ 360,540 9,191,959
Belgacom SA.......................................... 49,889 1,458,553
Delhaize Group SA.................................... 235,124 9,002,149
Delhaize Group SA Sponsored ADR...................... 52,900 2,022,896
D'ieteren SA NV...................................... 1,857 89,630
KBC Groep NV......................................... 356,956 8,396,831
Solvay SA............................................ 180,191 21,695,262
UCB SA............................................... 292,847 17,104,398
------------
TOTAL BELGIUM........................................... 68,961,678
------------
CANADA -- (11.6%)
Agnico-Eagle Mines, Ltd.............................. 70 3,952
8
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
CANADA -- (Continued)
Aimia, Inc........................................... 211,202 $ 3,163,536
#Astral Media, Inc. Class A........................... 37,438 1,532,381
*AuRico Gold, Inc..................................... 404,755 3,379,704
#Barrick Gold Corp.................................... 666,135 26,978,468
#Bell Aliant, Inc..................................... 162,757 4,419,494
#Bonavista Energy Corp................................ 2,000 35,865
Cameco Corp. (13321L108)............................. 112,600 2,178,810
Cameco Corp. (2166160)............................... 506,586 9,824,852
Canadian Natural Resources, Ltd. (136385101)......... 297,269 8,977,524
Canadian Natural Resources, Ltd. (2171573)........... 1,668,484 50,284,224
#Canadian Tire Corp. Class A.......................... 214,347 15,336,408
Empire Co., Ltd. Class A............................. 65,500 3,816,215
#Encana Corp.......................................... 851,501 19,182,751
#Enerplus Corp........................................ 384,038 6,171,524
#Ensign Energy Services, Inc.......................... 452,198 6,759,766
Fairfax Financial Holdings, Ltd...................... 54,622 20,263,326
Genworth MI Canada, Inc.............................. 84,524 1,731,525
George Weston, Ltd................................... 132,852 8,624,905
Goldcorp, Inc........................................ 1,677,120 75,816,739
#Husky Energy, Inc.................................... 828,618 22,442,170
IAMGOLD Corp. (2446646).............................. 231,424 3,591,561
IAMGOLD Corp. (450913108)............................ 573,940 8,947,725
Industrial Alliance Insurance & Financial
Services, Inc..................................... 168,485 4,613,832
Inmet Mining Corp.................................... 154,478 7,965,574
Kinross Gold Corp.................................... 2,678,826 26,607,213
#Loblaw Cos., Ltd..................................... 221,495 7,677,754
*Lundin Mining Corp................................... 1,008,210 5,249,254
#Magna International, Inc............................. 583,936 25,959,207
#Manulife Financial Corp.............................. 4,587,163 56,676,437
#Methanex Corp........................................ 68,615 2,056,904
Nexen, Inc........................................... 1,739,936 41,549,410
#Pan American Silver Corp. (2669272).................. 131,923 2,894,051
*Pan American Silver Corp. (697900108)................ 118,576 2,608,672
#Pengrowth Energy Corp................................ 669,191 4,013,471
#Penn West Petroleum, Ltd............................. 1,011,032 13,129,497
#PetroBakken Energy, Ltd. Class A..................... 62,100 784,061
*Precision Drilling Corp.............................. 706,616 5,058,628
Progress Energy Resources Corp....................... 394,565 7,948,584
#Progressive Waste Solutions, Ltd..................... 122,391 2,368,779
Quebecor, Inc. Class B............................... 72,190 2,518,247
#*Research In Motion, Ltd. (760975102)................. 354,800 2,813,564
#*Research In Motion, Ltd. (2117265)................... 435,600 3,436,824
*Sears Canada, Inc.................................... 2,159 25,054
#Sun Life Financial, Inc.............................. 1,565,269 38,820,238
Suncor Energy, Inc................................... 3,696,270 124,054,038
#Talisman Energy, Inc................................. 2,251,645 25,520,522
Teck Resources, Ltd. Class A......................... 4,115 138,025
#Teck Resources, Ltd. Class B......................... 1,483,730 47,093,107
#Thomson Reuters Corp................................. 1,832,184 51,585,496
#TransAlta Corp....................................... 602,148 9,598,194
#TransCanada Corp..................................... 776,817 34,977,182
#*Uranium One, Inc..................................... 632,800 1,374,895
Viterra, Inc......................................... 861,686 13,579,913
#West Fraser Timber Co., Ltd.......................... 61,827 3,744,596
Westjet Airlines, Ltd................................ 1,000 18,023
#Yamana Gold, Inc..................................... 1,425,140 28,781,050
------------
TOTAL CANADA............................................ 908,703,721
------------
DENMARK -- (1.3%)
A.P. Moeller-Maersk A.S. Series A.................... 884 5,857,226
A.P. Moeller-Maersk A.S. Series B.................... 3,855 26,906,551
9
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
DENMARK -- (Continued)
Carlsberg A.S. Series B.............................. 334,440 $ 28,868,235
*Danske Bank A.S...................................... 1,677,313 26,239,359
*FLSmidth & Co. A.S................................... 23,118 1,364,307
H. Lundbeck A.S...................................... 135,698 2,360,716
Rockwool International A.S. Series A................. 62 5,825
Rockwool International A.S. Series B................. 1,631 153,525
TDC A.S.............................................. 991,299 6,834,723
------------
TOTAL DENMARK........................................... 98,590,467
------------
FINLAND -- (0.6%)
*Kesko Oyj Series A................................... 662 21,190
Kesko Oyj Series B................................... 138,917 4,343,978
#Neste Oil Oyj........................................ 69,191 866,462
#Nokia Oyj............................................ 3,809,609 10,242,044
Sampo Oyj Series A................................... 179,583 5,630,538
Stora Enso Oyj Series R.............................. 1,437,068 9,090,292
Stora Enso Oyj Sponsored ADR......................... 91,500 560,895
UPM-Kymmene Oyj...................................... 1,401,530 15,047,800
#UPM-Kymmene Oyj Sponsored ADR........................ 69,300 731,115
------------
TOTAL FINLAND........................................... 46,534,314
------------
FRANCE -- (8.6%)
Arkema SA............................................ 161,047 14,695,401
AXA SA............................................... 3,557,776 56,706,072
AXA SA Sponsored ADR................................. 140,900 2,244,537
BNP Paribas SA....................................... 1,230,991 62,480,990
Bollore SA........................................... 22,288 6,609,383
Bouygues SA.......................................... 305,569 7,344,188
Cap Gemini SA........................................ 324,351 13,644,869
Casino Guichard Perrachon SA......................... 142,758 12,461,427
Cie de Saint-Gobain SA............................... 1,039,077 36,601,589
*Cie Generale de Geophysique - Veritas SA............. 304,853 9,924,398
#*Cie Generale de Geophysique - Veritas SA Sponsored
ADR................................................. 141,089 4,582,571
Cie Generale des Etablissements Michelin SA Series B. 349,857 30,159,232
Ciments Francais SA.................................. 26,702 1,623,862
CNP Assurances SA.................................... 345,228 4,878,379
*Credit Agricole SA................................... 2,838,495 21,425,480
Eiffage SA........................................... 31,691 1,090,529
Electricite de France SA............................. 498,285 10,544,254
Eramet SA............................................ 5,005 636,472
France Telecom SA.................................... 3,875,091 43,313,653
#GDF Suez SA.......................................... 3,247,974 74,548,265
Groupe Eurotunnel SA................................. 791,479 6,027,446
Lafarge SA........................................... 505,082 29,612,516
Lagardere SCA........................................ 243,906 6,677,753
Natixis SA........................................... 2,034,211 6,676,420
PPR SA............................................... 127,812 22,531,643
Renault SA........................................... 500,585 22,445,589
Rexel SA............................................. 254,866 4,616,121
Sanofi SA............................................ 16,328 1,434,039
#Sanofi SA ADR........................................ 227,976 9,996,748
SCOR SE.............................................. 198,036 5,287,774
*Societe Generale SA.................................. 1,558,512 49,703,998
STMicroelectronics NV................................ 1,542,301 9,083,744
Thales SA............................................ 27,549 969,751
Vallourec SA......................................... 44,398 1,826,371
Vivendi SA........................................... 3,686,124 75,533,481
------------
TOTAL FRANCE............................................ 667,938,945
------------
10
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
GERMANY -- (7.6%)
Allianz SE........................................... 257,741 $ 32,017,814
#Allianz SE Sponsored ADR............................. 2,811,910 35,289,471
Bayerische Motoren Werke AG.......................... 656,221 52,461,937
*Celesio AG........................................... 108,168 2,096,974
*Commerzbank AG....................................... 6,626,325 12,729,635
Daimler AG........................................... 2,088,586 97,838,982
#Deutsche Bank AG (5750355)........................... 1,325,896 60,395,696
#Deutsche Bank AG (D18190898)......................... 420,711 19,230,700
Deutsche Lufthansa AG................................ 464,311 7,103,492
Deutsche Telekom AG.................................. 2,858,403 32,609,921
#Deutsche Telekom AG Sponsored ADR.................... 3,099,741 35,492,034
E.ON AG.............................................. 3,592,972 81,793,916
Fraport AG........................................... 37,336 2,190,998
Hannover Rueckversicherung AG........................ 23,549 1,659,095
#Heidelberger Zement AG............................... 243,824 12,957,197
Merck KGaA........................................... 50,209 6,421,894
Munchener Rueckversicherungs-Gesellschaft AG......... 395,244 63,595,851
#RWE AG............................................... 355,536 16,270,915
SCA Hygiene Products SE.............................. 3,195 1,415,915
Suedzucker AG........................................ 36,201 1,403,326
ThyssenKrupp AG...................................... 368,208 8,390,520
Volkswagen AG........................................ 62,518 12,225,709
------------
TOTAL GERMANY........................................... 595,591,992
------------
GREECE -- (0.0%)
Coca-Cola Hellenic Bottling Co. S.A.................. 8,492 181,873
Hellenic Petroleum S.A............................... 334,517 2,621,836
*National Bank of Greece S.A.......................... 210,246 492,544
------------
TOTAL GREECE............................................ 3,296,253
------------
HONG KONG -- (1.9%)
#*Cathay Pacific Airways, Ltd.......................... 2,051,000 3,714,747
Dah Sing Banking Group, Ltd.......................... 18,400 18,241
#*Foxconn International Holdings, Ltd.................. 3,787,000 1,309,012
Great Eagle Holdings, Ltd............................ 860,324 2,539,374
Hang Lung Group, Ltd................................. 116,000 683,394
Henderson Land Development Co., Ltd.................. 3,364,064 23,221,252
Hong Kong & Shanghai Hotels, Ltd..................... 1,903,131 2,509,825
Hopewell Holdings, Ltd............................... 1,244,169 4,488,617
#Hutchison Whampoa, Ltd............................... 5,618,000 55,108,769
Hysan Development Co., Ltd........................... 766,285 3,400,054
Kowloon Development Co., Ltd......................... 313,000 359,213
New World Development Co., Ltd....................... 8,542,100 13,142,723
Orient Overseas International, Ltd................... 488,000 3,085,036
Wharf Holdings, Ltd.................................. 2,944,990 20,136,610
Wheelock & Co., Ltd.................................. 3,482,000 15,255,432
------------
TOTAL HONG KONG......................................... 148,972,299
------------
IRELAND -- (0.2%)
CRH P.L.C............................................ 590,083 10,983,571
CRH P.L.C. Sponsored ADR............................. 259,888 4,846,911
*Governor & Co. of the Bank of Ireland P.L.C. (The)... 157,165 18,565
------------
TOTAL IRELAND........................................... 15,849,047
------------
ISRAEL -- (0.6%)
*Bank Hapoalim B.M.................................... 2,961,906 11,652,405
*Bank Leumi Le-Israel B.M............................. 2,937,459 9,468,190
Bezeq Israeli Telecommunication Corp., Ltd........... 2,928,603 3,567,884
Elbit Systems, Ltd................................... 34,203 1,204,194
Israel Chemicals, Ltd................................ 904,178 11,311,829
11
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- -----------
ISRAEL -- (Continued)
*Israel Discount Bank, Ltd. Series A.................. 381,656 $ 538,384
*Mellanox Technologies, Ltd........................... 23,772 1,794,012
*NICE Systems, Ltd.................................... 11,443 382,227
*NICE Systems, Ltd. Sponsored ADR..................... 160,983 5,360,734
*Oil Refineries, Ltd.................................. 613,622 295,463
Paz Oil Co., Ltd..................................... 321 42,300
*Strauss Group, Ltd................................... 17,492 197,723
-----------
TOTAL ISRAEL............................................ 45,815,345
-----------
ITALY -- (1.3%)
#*Banca Monte Dei Paschi di Siena SpA.................. 11,927,018 3,296,991
*Banco Popolare Scarl................................. 2,933,385 4,681,014
#*Fiat SpA............................................. 1,512,718 7,403,205
#*Finmeccanica SpA..................................... 995,867 4,938,900
Intesa Sanpaolo SpA.................................. 16,289,288 26,240,185
Parmalat SpA......................................... 602,705 1,365,934
Telecom Italia SpA................................... 5,476,933 5,053,075
#Telecom Italia SpA Sponsored ADR..................... 1,874,500 17,226,655
*UniCredit SpA........................................ 5,298,670 23,436,805
Unione di Banche Italiane ScpA....................... 1,552,315 6,114,863
-----------
TOTAL ITALY............................................. 99,757,627
-----------
JAPAN -- (16.2%)
77 Bank, Ltd. (The).................................. 737,372 2,808,022
#Aeon Co., Ltd........................................ 1,886,800 20,578,442
Aisin Seiki Co., Ltd................................. 66,100 1,930,406
Ajinomoto Co., Inc................................... 851,000 12,993,006
Alfresa Holdings Corp................................ 85,700 3,874,326
Amada Co., Ltd....................................... 821,000 4,168,786
Aoyama Trading Co., Ltd.............................. 1,000 19,762
Aozora Bank, Ltd..................................... 631,000 1,779,431
Asahi Glass Co., Ltd................................. 1,871,000 12,718,755
Asahi Kasei Corp..................................... 2,342,000 12,883,937
Asatsu-DK, Inc....................................... 32,500 746,728
#Autobacs Seven Co., Ltd.............................. 71,600 2,938,187
Awa Bank, Ltd. (The)................................. 65,600 392,087
#Bank of Kyoto, Ltd. (The)............................ 709,400 6,097,477
Bank of Yokohama, Ltd. (The)......................... 1,220,000 5,614,500
Canon Marketing Japan, Inc........................... 124,900 1,820,353
#Casio Computer Co., Ltd.............................. 157,200 1,202,970
Chiba Bank, Ltd. (The)............................... 980,000 5,724,342
Chugoku Bank, Ltd. (The)............................. 391,800 5,392,149
Citizen Holdings Co., Ltd............................ 511,000 2,593,456
Coca-Cola West Co., Ltd.............................. 109,007 1,671,087
COMSYS Holdings Corp................................. 151,700 2,016,626
Cosmo Oil Co., Ltd................................... 1,212,364 2,156,340
#Dai Nippon Printing Co., Ltd......................... 1,815,000 12,861,180
Daicel Corp.......................................... 515,000 3,092,002
Daido Steel Co., Ltd................................. 324,000 1,405,095
Dainippon Sumitomo Pharma Co., Ltd................... 309,400 3,558,654
#Daiwa Securities Group, Inc.......................... 2,988,000 11,919,617
#Denki Kagaku Kogyo K.K............................... 227,000 700,915
Ebara Corp........................................... 239,000 937,272
Fuji Heavy Industries, Ltd........................... 925,000 8,917,096
Fuji Media Holdings, Inc............................. 1,128 1,670,532
#FUJIFILM Holdings Corp............................... 1,327,000 22,400,263
Fujitsu, Ltd......................................... 1,291,000 4,966,932
Fukuoka Financial Group, Inc......................... 1,800,000 7,039,045
#Fukuyama Transporting Co., Ltd....................... 71,000 372,694
Glory, Ltd........................................... 119,600 2,902,717
Gunma Bank, Ltd. (The)............................... 921,397 4,445,198
12
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- -----------
JAPAN -- (Continued)
H2O Retailing Corp................................... 198,000 $ 2,036,742
Hachijuni Bank, Ltd. (The)........................... 993,231 5,130,839
Hakuhodo DY Holdings, Inc............................ 39,920 2,392,349
Hankyu Hanshin Holdings, Inc......................... 582,000 3,221,885
Higo Bank, Ltd. (The)................................ 282,000 1,664,186
Hiroshima Bank, Ltd. (The)........................... 300,000 1,067,154
Hitachi Capital Corp................................. 105,100 2,018,399
Hitachi High-Technologies Corp....................... 139,900 3,066,025
Hitachi Transport System, Ltd........................ 94,400 1,417,030
Hokuhoku Financial Group, Inc........................ 2,620,000 4,165,631
House Foods Corp..................................... 148,300 2,393,476
Ibiden Co., Ltd...................................... 174,900 2,205,602
Idemitsu Kosan Co., Ltd.............................. 51,124 4,400,079
Inpex Corp........................................... 4,265 24,297,137
Isetan Mitsukoshi Holdings, Ltd...................... 884,200 8,655,060
ITOCHU Corp.......................................... 183,800 1,839,757
Iyo Bank, Ltd. (The)................................. 551,000 4,260,197
J. Front Retailing Co., Ltd.......................... 1,136,000 5,907,421
JFE Holdings, Inc.................................... 882,500 12,455,549
Joyo Bank, Ltd. (The)................................ 1,376,000 6,659,184
JTEKT Corp........................................... 463,200 3,478,435
JX Holdings, Inc..................................... 5,553,333 29,577,407
Kagoshima Bank, Ltd. (The)........................... 358,143 2,283,372
Kajima Corp.......................................... 1,544,000 4,276,080
Kamigumi Co., Ltd.................................... 519,000 4,185,743
Kaneka Corp.......................................... 653,542 3,188,164
Keiyo Bank, Ltd. (The)............................... 418,000 1,832,515
Kewpie Corp.......................................... 99,900 1,649,915
Kinden Corp.......................................... 285,000 1,784,370
Kirin Holdings Co., Ltd.............................. 134,000 1,682,119
*Kobe Steel, Ltd...................................... 3,785,000 3,322,688
Konica Minolta Holdings, Inc......................... 721,000 4,796,721
Kyocera Corp......................................... 308,700 27,152,832
Kyocera Corp. Sponsored ADR.......................... 13,600 1,207,680
Kyowa Hakko Kirin Co., Ltd........................... 571,000 6,077,858
LIXIL Group Corp..................................... 371,200 8,206,589
#Mabuchi Motor Co., Ltd............................... 36,100 1,529,804
Marui Group Co., Ltd................................. 542,642 3,903,452
Maruichi Steel Tube, Ltd............................. 104,400 2,171,065
*Mazda Motor Corp..................................... 3,005,000 3,584,132
Medipal Holdings Corp................................ 339,800 4,327,508
MEIJI Holdings Co., Ltd.............................. 135,895 6,217,754
Mitsubishi Chemical Holdings Corp.................... 3,885,000 15,386,810
Mitsubishi Corp...................................... 2,732,000 48,774,242
Mitsubishi Gas Chemical Co., Inc..................... 948,000 4,683,874
Mitsubishi Heavy Industries, Ltd..................... 7,830,000 32,980,614
#Mitsubishi Logistics Corp............................ 236,000 3,043,600
Mitsubishi Materials Corp............................ 2,533,000 7,364,688
Mitsubishi Tanabe Pharma Corp........................ 400,000 5,765,856
Mitsubishi UFJ Financial Group, Inc.................. 18,834,406 85,206,251
Mitsubishi UFJ Financial Group, Inc. ADR............. 4,781,372 21,468,360
Mitsui & Co., Ltd.................................... 2,990,300 42,148,944
Mitsui & Co., Ltd. Sponsored ADR..................... 11,723 3,298,501
#Mitsui Chemicals, Inc................................ 1,861,800 3,848,788
*Mitsui Mining & Smelting Co., Ltd.................... 69,030 146,127
Mitsui O.S.K. Lines, Ltd............................. 983,000 2,356,182
Mizuho Financial Group, Inc.......................... 293,760 459,640
#Mizuho Financial Group, Inc. ADR..................... 285,159 886,845
MS&AD Insurance Group Holdings, Inc.................. 715,053 12,126,438
Nagase & Co., Ltd.................................... 235,889 2,516,366
Nanto Bank, Ltd. (The)............................... 319,000 1,626,587
13
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- -----------
JAPAN -- (Continued)
*NEC Corp............................................. 5,425,101 $10,405,622
Nippon Electric Glass Co., Ltd....................... 554,000 2,819,672
Nippon Express Co., Ltd.............................. 1,952,238 7,144,180
Nippon Meat Packers, Inc............................. 429,536 5,330,591
#Nippon Paper Group, Inc.............................. 231,700 2,649,826
Nippon Shokubai Co., Ltd............................. 234,000 2,295,066
#Nippon Steel & Sumitomo Metal Corp................... 13,103,940 28,924,615
Nippon Television Network Corp....................... 123,800 1,601,250
#Nippon Yusen K.K..................................... 3,032,000 5,779,407
Nishi-Nippon Bank, Ltd............................... 1,412,569 3,220,972
Nissan Shatai Co., Ltd............................... 216,000 2,363,606
Nisshin Seifun Group, Inc............................ 394,500 4,929,833
*Nisshin Steel Holdings Co., Ltd...................... 143,100 948,264
Nisshinbo Holdings, Inc.............................. 305,000 1,995,333
NKSJ Holdings, Inc................................... 60,350 1,100,153
NOK Corp............................................. 82,320 1,320,694
Nomura Holdings, Inc................................. 7,245,200 26,190,347
Nomura Real Estate Holdings, Inc..................... 45,600 818,510
Obayashi Corp........................................ 1,650,682 7,384,582
#Oji Holdings Corp.................................... 1,997,000 5,856,001
Onward Holdings Co., Ltd............................. 278,000 2,058,453
#Panasonic Corp....................................... 4,044,917 24,534,694
#Panasonic Corp. Sponsored ADR........................ 302,421 1,672,388
#*Renesas Electronics Corp............................. 121,800 451,101
Rengo Co., Ltd....................................... 421,000 1,840,088
#Ricoh Co., Ltd....................................... 1,666,000 13,942,569
Rohm Co., Ltd........................................ 230,500 7,444,291
Sankyo Co., Ltd...................................... 74,800 3,388,913
#SBI Holdings, Inc.................................... 458,200 3,208,757
Seino Holdings Co., Ltd.............................. 295,000 1,700,915
Sekisui Chemical Co., Ltd............................ 736,000 6,044,505
Sekisui House, Ltd................................... 1,354,000 13,844,609
Seven & I Holdings Co., Ltd.......................... 145,300 4,480,967
#Sharp Corp........................................... 2,998,000 6,467,524
Shiga Bank, Ltd...................................... 451,185 2,951,414
Shimizu Corp......................................... 1,371,000 4,586,714
Shinsei Bank, Ltd.................................... 2,164,000 3,172,640
Shizuoka Bank, Ltd................................... 785,000 8,028,966
#Showa Denko K.K...................................... 1,456,000 2,227,186
Showa Shell Sekiyu K.K............................... 224,000 1,247,052
SKY Perfect JSAT Holdings, Inc....................... 3,029 1,384,042
Sohgo Security Services Co., Ltd..................... 82,600 1,160,760
Sojitz Corp.......................................... 2,593,100 3,219,064
Sony Corp............................................ 768,200 9,095,791
#Sony Corp. Sponsored ADR............................. 1,801,665 21,151,547
Sumitomo Bakelite Co., Ltd........................... 347,000 1,238,527
#Sumitomo Chemical Co., Ltd........................... 2,006,000 5,637,414
Sumitomo Corp........................................ 3,241,900 44,196,159
Sumitomo Electric Industries, Ltd.................... 2,606,700 28,042,086
Sumitomo Forestry Co., Ltd........................... 161,400 1,444,387
Sumitomo Heavy Industries, Ltd....................... 297,000 1,064,798
Sumitomo Metal Mining Co., Ltd....................... 414,000 5,452,311
Sumitomo Mitsui Financial Group, Inc................. 872,600 26,664,042
#Sumitomo Mitsui Trust Holdings, Inc.................. 5,755,629 17,467,194
Suzuken Co., Ltd..................................... 149,300 4,712,907
Suzuki Motor Corp.................................... 519,200 11,774,850
Taisei Corp.......................................... 2,110,703 5,819,584
Taisho Pharmaceutical Holdings Co., Ltd.............. 59,299 4,789,034
Takashimaya Co., Ltd................................. 615,634 4,049,228
#TDK Corp............................................. 173,300 6,516,763
#Teijin, Ltd.......................................... 1,535,450 3,521,280
14
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- --------------
JAPAN -- (Continued)
Tokai Rika Co., Ltd................................ 61,200 $ 768,068
Tokyo Broadcasting System, Inc..................... 85,300 829,438
*Tokyo Tatemono Co., Ltd............................ 442,000 1,819,140
Toppan Printing Co., Ltd........................... 1,312,000 7,582,923
#Tosoh Corp......................................... 1,044,000 2,043,756
Toyo Seikan Kaisha, Ltd............................ 346,349 3,682,148
Toyobo Co., Ltd.................................... 664,000 731,771
Toyoda Gosei Co., Ltd.............................. 13,800 271,765
Toyota Motor Corp.................................. 175,379 6,762,117
#Toyota Motor Corp. Sponsored ADR................... 614,188 47,581,144
Toyota Tsusho Corp................................. 434,400 9,488,496
#UNY Co., Ltd....................................... 393,050 2,796,995
Wacoal Corp........................................ 179,000 2,013,900
#*Yamada Denki Co., Ltd.............................. 96,810 4,199,778
Yamaguchi Financial Group, Inc..................... 492,148 4,077,645
Yamaha Corp........................................ 327,300 2,941,243
#Yamato Kogyo Co., Ltd.............................. 82,600 2,320,178
Yamazaki Baking Co., Ltd........................... 128,000 1,538,417
Yokohama Rubber Co., Ltd........................... 13,000 91,377
--------------
TOTAL JAPAN........................................... 1,265,403,342
--------------
NETHERLANDS -- (2.7%)
Aegon NV........................................... 3,831,576 21,428,566
Akzo Nobel NV...................................... 444,472 24,191,645
ArcelorMittal NV................................... 2,446,831 36,174,996
*ING Groep NV....................................... 4,933,987 43,903,032
#*ING Groep NV Sponsored ADR......................... 1,273,519 11,283,378
Koninklijke DSM NV................................. 452,418 23,264,983
Koninklijke Philips Electronics NV................. 2,042,653 51,160,127
Philips Electronics NV ADR......................... 144,736 3,629,979
--------------
TOTAL NETHERLANDS..................................... 215,036,706
--------------
NEW ZEALAND -- (0.1%)
Auckland International Airport, Ltd................ 138,487 305,483
Contact Energy, Ltd................................ 1,292,916 5,887,475
Fletcher Building, Ltd............................. 6,732 38,938
--------------
TOTAL NEW ZEALAND..................................... 6,231,896
--------------
NORWAY -- (1.2%)
Aker ASA Series A.................................. 72,828 2,571,509
Cermaq ASA......................................... 27,247 372,865
DNB ASA............................................ 1,512,837 18,912,900
*Marine Harvest ASA................................. 7,530,562 5,908,627
Norsk Hydro ASA.................................... 3,357,025 15,113,416
Norsk Hydro ASA Sponsored ADR...................... 59,900 258,768
Orkla ASA.......................................... 2,797,062 22,157,276
Petroleum Geo-Services ASA......................... 400,136 6,914,159
Stolt-Nielsen, Ltd................................. 8,425 154,462
*Storebrand ASA..................................... 1,082,306 5,446,559
Subsea 7 SA........................................ 590,207 12,938,550
*Veripos, Inc....................................... 54,011 156,071
Wilh Wilhelmsen Holding ASA........................ 212 4,767
Yara International ASA............................. 25,801 1,215,973
--------------
TOTAL NORWAY.......................................... 92,125,902
--------------
PORTUGAL -- (0.1%)
*Banco Espirito Santo SA............................ 2,631,973 2,561,546
Cimpor Cimentos de Portugal SA..................... 139,544 623,407
*EDP Renovaveis SA.................................. 515,052 2,453,224
15
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
PORTUGAL -- (Continued)
Portugal Telecom SA................................. 525,319 $ 2,641,719
------------
TOTAL PORTUGAL......................................... 8,279,896
------------
SINGAPORE -- (1.0%)
CapitaLand, Ltd..................................... 5,036,000 13,411,619
CapitaMalls Asia, Ltd............................... 1,863,000 2,811,294
DBS Group Holdings, Ltd............................. 1,185,831 13,466,807
Fraser & Neave, Ltd................................. 724,450 5,427,666
Golden Agri-Resources, Ltd.......................... 13,990,000 7,145,200
*Indofood Agri Resources, Ltd........................ 198,000 203,732
Keppel Land, Ltd.................................... 781,000 2,163,370
#*Neptune Orient Lines, Ltd........................... 1,228,004 1,162,253
*Noble Group, Ltd.................................... 2,997,000 3,199,976
#Overseas Union Enterprise, Ltd...................... 405,000 878,109
Singapore Airlines, Ltd............................. 1,585,600 13,741,718
Singapore Land, Ltd................................. 532,000 2,988,245
#United Industrial Corp., Ltd........................ 2,152,000 4,917,753
UOL Group, Ltd...................................... 1,376,600 6,369,561
Venture Corp., Ltd.................................. 307,000 1,921,562
Wheelock Properties, Ltd............................ 870,000 1,290,754
------------
TOTAL SINGAPORE........................................ 81,099,619
------------
SPAIN -- (1.9%)
#Acciona SA.......................................... 114,419 7,032,865
#Banco Bilbao Vizcaya Argentaria SA.................. 668,228 5,583,652
#*Banco de Sabadell SA................................ 5,239,933 12,777,234
Banco Espanol de Credito SA......................... 392,975 1,438,533
#Banco Popular Espanol SA............................ 4,288,643 6,706,472
Banco Santander SA.................................. 7,903,716 59,508,435
Banco Santander SA Sponsored ADR.................... 1,384,686 10,329,758
#CaixaBank SA........................................ 2,838,816 10,781,310
Gas Natural SDG SA.................................. 928,566 14,426,758
Iberdrola SA........................................ 1,285,750 6,658,812
Repsol SA........................................... 505,218 10,124,906
------------
TOTAL SPAIN............................................ 145,368,735
------------
SWEDEN -- (2.9%)
Boliden AB.......................................... 612,180 10,727,659
Holmen AB Series A.................................. 6,300 184,927
Meda AB Series A.................................... 280,396 2,872,667
Nordea Bank AB...................................... 5,366,449 48,779,174
Skandinaviska Enskilda Banken AB Series A........... 3,481,813 28,891,356
Skandinaviska Enskilda Banken AB Series C........... 16,918 133,137
SSAB AB Series A.................................... 51,620 369,794
Svenska Cellulosa AB Series A....................... 66,476 1,307,031
Svenska Cellulosa AB Series B....................... 1,586,671 30,934,064
Swedbank AB Series A................................ 1,086,067 20,173,140
Tele2 AB Series B................................... 18,381 306,831
Telefonaktiebolaget LM Ericsson AB Series A......... 27,246 233,719
Telefonaktiebolaget LM Ericsson AB Series B......... 4,713,081 41,753,549
#Telefonaktiebolaget LM Ericsson AB Sponsored ADR.... 952,162 8,464,720
TeliaSonera AB...................................... 3,717,354 24,438,753
Volvo AB Series A................................... 281,193 3,786,038
------------
TOTAL SWEDEN........................................... 223,356,559
------------
SWITZERLAND -- (5.7%)
*ABB, Ltd............................................ 1,234,095 22,287,665
Adecco SA........................................... 358,259 17,372,851
#Alpiq Holding AG.................................... 1,593 259,954
Aryzta AG........................................... 163,797 8,182,891
16
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
SWITZERLAND -- (Continued)
Baloise Holding AG.................................. 200,163 $ 16,706,798
Banque Cantonale Vaudoise AG........................ 732 388,175
#Clariant AG......................................... 429,492 4,602,431
Credit Suisse Group AG.............................. 1,314,363 30,565,985
Credit Suisse Group AG Sponsored ADR................ 838,229 19,564,265
Givaudan SA......................................... 14,257 14,261,106
Holcim, Ltd......................................... 887,877 60,594,265
Lonza Group AG...................................... 7,458 378,256
Novartis AG......................................... 16,632 1,002,919
Novartis AG ADR..................................... 506,359 30,614,465
PSP Swiss Property AG............................... 77,670 7,132,956
St. Galler Kantonalbank AG.......................... 2,834 1,162,008
Sulzer AG........................................... 44,989 6,523,720
Swiss Life Holding AG............................... 123,557 15,603,658
Swiss Re, Ltd....................................... 1,108,107 76,678,078
UBS AG.............................................. 3,833,535 57,516,804
Zurich Insurance Group AG........................... 221,361 54,569,851
------------
TOTAL SWITZERLAND...................................... 445,969,101
------------
UNITED KINGDOM -- (20.6%)
Anglo American P.L.C................................ 1,002,219 30,882,863
Associated British Foods P.L.C...................... 426,591 9,546,557
Aviva P.L.C......................................... 8,175,916 43,785,601
Barclays P.L.C...................................... 11,591,752 42,863,545
#Barclays P.L.C. Sponsored ADR....................... 4,327,157 64,041,924
BP P.L.C............................................ 1,395,752 9,967,984
BP P.L.C. Sponsored ADR............................. 5,338,016 228,947,506
Carnival P.L.C...................................... 658,867 26,244,512
#Carnival P.L.C. ADR................................. 241,674 9,553,373
Eurasian Natural Resources Corp. P.L.C.............. 404,841 2,146,111
Evraz P.L.C......................................... 525,138 2,003,719
HSBC Holdings P.L.C................................. 724,498 7,143,090
#HSBC Holdings P.L.C. Sponsored ADR.................. 1,453,812 71,760,160
*International Consolidated Airlines Group SA........ 3,847,175 10,029,325
Investec P.L.C...................................... 1,195,168 7,048,073
John Wood Group P.L.C............................... 97,712 1,343,029
Kazakhmys P.L.C..................................... 690,345 7,920,547
Kingfisher P.L.C.................................... 10,285,817 48,158,694
Legal & General Group P.L.C......................... 1,085,509 2,353,101
*Lloyds Banking Group P.L.C.......................... 76,981,994 50,693,260
*Lloyds Banking Group P.L.C. Sponsored ADR........... 2,857,128 7,485,675
Mondi P.L.C......................................... 1,450,865 15,993,614
Old Mutual P.L.C.................................... 13,164,620 36,643,450
Pearson P.L.C. Sponsored ADR........................ 1,619,661 32,555,186
Resolution, Ltd..................................... 3,422,696 12,067,276
Rexam P.L.C......................................... 4,056,789 29,292,674
*Royal Bank of Scotland Group P.L.C.................. 3,500,216 15,628,912
#*Royal Bank of Scotland Group P.L.C. Sponsored ADR... 377,000 3,370,380
Royal Dutch Shell P.L.C. ADR........................ 3,323,210 234,718,322
Royal Dutch Shell P.L.C. Series A................... 9,655 331,292
Royal Dutch Shell P.L.C. Series B................... 255,146 9,025,204
RSA Insurance Group P.L.C........................... 4,956,241 8,996,370
Sainsbury (J.) P.L.C................................ 5,529,939 31,706,793
*Travis Perkins P.L.C................................ 38,182 667,231
#Vedanta Resources P.L.C............................. 189,404 3,480,148
Vodafone Group P.L.C................................ 34,976,333 94,983,682
Vodafone Group P.L.C. Sponsored ADR................. 8,116,661 220,935,512
William Morrison Supermarkets P.L.C................. 8,127,143 35,188,788
Wolseley P.L.C...................................... 505,787 22,172,536
WPP P.L.C........................................... 2,251,996 29,107,901
WPP P.L.C. Sponsored ADR............................ 38,003 2,456,514
17
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
----------- --------------
UNITED KINGDOM -- (Continued)
Xstrata P.L.C.................................. 5,211,952 $ 82,565,149
--------------
TOTAL UNITED KINGDOM.............................. 1,605,805,583
--------------
TOTAL COMMON STOCKS............................... 7,168,262,828
--------------
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Porsche Automobil Holding SE................... 334,085 22,268,022
--------------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
*Banco Bilbao Vizcaya Argentaria SA Tradeable
Coupons....................................... 28 3
--------------
SHARES/
FACE
AMOUNT
(000) VALUE+
----------- --------------
SECURITIES LENDING COLLATERAL -- (7.8%)
(S)@DFA Short Term Investment Fund................ 52,722,558 610,000,000
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.35%, 11/01/12
(Collateralized by FNMA 4.000%, 05/01/42 &
5.000%, 01/01/39, valued at $1,715,506) to
be repurchased at $1,681,885................. $ 1,682 1,681,868
--------------
TOTAL SECURITIES LENDING COLLATERAL............... 611,681,868
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,402,475,403).......................... $7,802,212,721
==============
18
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
SHARES VALUE++
------- ----------
COMMON STOCKS -- (88.0%)
Consumer Discretionary -- (19.8%)
Accordia Golf Co., Ltd................................. 5,176 $3,683,799
Aeon Fantasy Co., Ltd.................................. 57,832 774,747
Ahresty Corp........................................... 74,500 297,933
Aigan Co., Ltd......................................... 96,200 374,809
Aisan Industry Co., Ltd................................ 168,600 1,282,820
#Akebono Brake Industry Co., Ltd........................ 362,300 1,561,513
#Alpen Co., Ltd......................................... 83,400 1,530,047
Alpha Corp............................................. 30,400 335,696
Alpine Electronics, Inc................................ 217,400 1,889,487
Amiyaki Tei Co., Ltd................................... 235 581,471
Amuse, Inc............................................. 31,699 607,817
#*Anrakutei Co., Ltd..................................... 47,000 234,815
AOI Pro, Inc........................................... 39,000 264,548
AOKI Holdings, Inc..................................... 97,100 2,158,533
Aoyama Trading Co., Ltd................................ 295,800 5,845,699
*Arata Corp............................................. 48,000 196,562
Arcland Sakamoto Co., Ltd.............................. 58,400 846,493
Arnest One Corp........................................ 216,200 3,207,510
#Asahi Co., Ltd......................................... 65,600 986,852
Asatsu-DK, Inc......................................... 135,800 3,120,174
*Ashimori Industry Co., Ltd............................. 319,000 408,698
ASKUL Corp............................................. 96,100 1,443,780
Asti Corp.............................................. 46,000 114,063
#Atom Corp.............................................. 181,200 917,238
Atsugi Co., Ltd........................................ 784,000 894,066
#Autobacs Seven Co., Ltd................................ 89,900 3,689,148
Avex Group Holdings, Inc............................... 160,000 3,164,325
Belluna Co., Ltd....................................... 36,950 274,184
Best Bridal, Inc....................................... 104 115,131
*Best Denki Co., Ltd.................................... 304,500 424,012
#Bic Camera, Inc........................................ 3,323 1,623,533
Bookoff Corp........................................... 43,300 356,990
Calsonic Kansei Corp................................... 739,000 2,986,791
#Can Do Co., Ltd........................................ 551 750,686
*Carchs Holdings Co., Ltd............................... 707,200 309,981
#Central Sports Co., Ltd................................ 8,800 125,875
Chiyoda Co., Ltd....................................... 121,500 3,475,556
Chofu Seisakusho Co., Ltd.............................. 88,800 2,043,009
#Chori Co., Ltd......................................... 69,200 756,247
Chuo Spring Co., Ltd................................... 202,000 689,444
#*Clarion Co., Ltd....................................... 591,000 924,125
Cleanup Corp........................................... 131,900 864,999
Colowide Co., Ltd...................................... 148,950 1,319,029
Corona Corp............................................ 76,200 939,114
#Cross Plus, Inc........................................ 22,000 225,967
#Daido Metal Co., Ltd................................... 144,000 985,459
#Daidoh, Ltd............................................ 119,400 681,800
#*Daiei, Inc. (The)...................................... 521,250 986,421
*Daiichikosho Co., Ltd.................................. 61,400 1,519,128
#Daikoku Denki Co., Ltd................................. 38,700 979,785
Daimaruenawin Co., Ltd................................. 400 3,281
Dainichi Co., Ltd...................................... 54,900 540,030
#Daisyo Corp............................................ 54,300 682,030
#DCM Holdings Co., Ltd.................................. 435,600 2,968,047
Descente, Ltd.......................................... 232,000 1,357,791
#Doshisha Co., Ltd...................................... 55,400 1,541,893
Doutor Nichires Holdings Co., Ltd...................... 143,886 1,811,111
Dunlop Sports Co., Ltd................................. 46,700 595,304
19
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Consumer Discretionary -- (Continued)
Dynic Corp............................................. 128,000 $ 243,748
Eagle Industry Co., Ltd................................ 119,000 744,548
#Edion Corp............................................. 376,200 1,607,800
Exedy Corp............................................. 146,700 2,867,539
F&A Aqua Holdings, Inc................................. 70,220 830,362
#FCC Co., Ltd........................................... 152,200 2,733,458
#Fields Corp............................................ 31,100 447,904
Fine Sinter Co., Ltd................................... 49,000 150,735
*First Juken Co., Ltd................................... 8,300 87,210
Foster Electric Co., Ltd............................... 111,200 1,619,134
France Bed Holdings Co., Ltd........................... 687,000 1,456,733
Freesia Macross Corp................................... 252,000 37,898
#F-Tech, Inc............................................ 29,000 455,478
#Fuji Co., Ltd.......................................... 97,000 2,045,978
Fuji Corp, Ltd......................................... 111,800 601,557
#*Fuji Kiko Co., Ltd..................................... 148,000 458,338
Fuji Kyuko Co., Ltd.................................... 306,000 1,916,643
Fuji Oozx, Inc......................................... 6,000 22,754
#Fujibo Holdings, Inc................................... 429,000 1,772,678
Fujikura Rubber, Ltd................................... 72,900 241,312
#Fujita Kanko, Inc...................................... 383,100 1,237,050
Fujitsu General, Ltd................................... 285,000 2,474,641
FuKoKu Co., Ltd........................................ 13,200 115,275
Funai Electric Co., Ltd................................ 84,200 1,137,760
#Furukawa Battery Co., Ltd.............................. 71,000 305,245
#*Futaba Industrial Co., Ltd............................. 257,900 969,460
G-7 Holdings, Inc...................................... 29,200 149,271
*Gajoen Kanko Co........................................ 37,000 --
Gakken Holdings Co., Ltd............................... 322,000 883,159
Genki Sushi Co., Ltd................................... 19,600 255,182
#Geo Holdings Corp...................................... 1,509 1,696,041
GLOBERIDE, Inc......................................... 476,000 650,582
#Goldwin, Inc........................................... 180,000 1,102,888
#*Gourmet Kineya Co., Ltd................................ 87,000 568,808
GSI Creos Corp......................................... 239,000 323,172
#G-Tekt Corp............................................ 17,600 335,050
#Gulliver International Co., Ltd........................ 28,270 1,082,428
Gunze, Ltd............................................. 878,000 2,198,841
#H.I.S. Co., Ltd........................................ 101,800 3,076,945
#Hagihara Industries, Inc............................... 4,300 66,383
*HAJIME CONSTRUCTION Co., Ltd........................... 34,400 1,084,271
Hakuyosha Co., Ltd..................................... 86,000 225,369
#Happinet Corp.......................................... 73,400 618,892
Hard Off Corp Co., Ltd................................. 33,200 230,377
Haruyama Trading Co., Ltd.............................. 47,900 237,940
*Haseko Corp............................................ 6,870,500 4,385,674
Hiday Hidaka Corp...................................... 37,120 606,360
#*Higashi Nihon House Co., Ltd........................... 172,000 618,760
*HI-LEX Corp............................................ 9,700 144,283
#Himaraya Co., Ltd...................................... 35,900 298,931
Hiramatsu, Inc......................................... 178 159,854
H-One Co., Ltd......................................... 26,100 203,320
#Honeys Co., Ltd........................................ 81,930 1,305,432
#Hoosiers Corp.......................................... 1,227 948,127
I Metal Technology Co., Ltd............................ 142,000 218,482
#Ichibanya Co., Ltd..................................... 33,700 1,082,054
Ichikawa Co., Ltd...................................... 63,000 118,262
#*Ichikoh Industries, Ltd................................ 285,000 400,955
Ikyu Corp.............................................. 731 376,784
Imasen Electric Industrial Co., Ltd.................... 65,000 754,625
Imperial Hotel, Ltd.................................... 11,500 303,697
20
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Consumer Discretionary -- (Continued)
Impress Holdings, Inc.................................. 41,800 $ 66,067
Intage, Inc............................................ 22,900 472,948
*Izuhakone Railway Co., Ltd............................. 300 20,293
#*Izutsuya Co., Ltd...................................... 375,000 230,085
*Janome Sewing Machine Co., Ltd......................... 880,000 628,410
Japan Vilene Co., Ltd.................................. 145,000 615,834
Japan Wool Textile Co., Ltd. (The)..................... 310,000 2,128,302
Jidosha Buhin Kogyo Co., Ltd........................... 79,000 247,284
*Joban Kosan Co., Ltd................................... 189,000 258,089
#Joshin Denki Co., Ltd.................................. 205,000 2,244,853
#JVC Kenwood Holdings, Inc.............................. 809,630 2,873,783
#Kadokawa Group Holdings, Inc........................... 88,600 2,723,555
#Kappa Create Holdings Co., Ltd......................... 63,450 1,367,426
Kasai Kogyo Co., Ltd................................... 122,000 496,309
#Kawai Musical Instruments Manufacturing Co., Ltd....... 384,000 803,679
#Keihin Corp............................................ 204,700 2,471,293
#Keiyo Co., Ltd......................................... 175,100 934,315
Kentucky Fried Chicken Japan, Ltd...................... 78,000 1,996,874
Kimoto Co., Ltd........................................ 77,300 412,897
#*Kinki Nippon Tourist Co., Ltd.......................... 300,000 360,653
#Kinugawa Rubber Industrial Co., Ltd.................... 233,000 1,362,811
#Kisoji Co., Ltd........................................ 81,900 1,679,727
#Kohnan Shoji Co., Ltd.................................. 139,700 1,691,587
#Kojima Co., Ltd........................................ 145,700 509,219
Komatsu Seiren Co., Ltd................................ 146,000 676,890
Komeri Co., Ltd........................................ 146,000 3,523,839
#Konaka Co., Ltd........................................ 116,660 1,152,199
*Koshidaka Holdings Co., Ltd............................ 5,500 150,850
#Kourakuen Corp......................................... 31,600 459,897
*K's Holdings Corp...................................... 400 10,697
KU Holdings Co., Ltd................................... 68,200 383,774
#Kura Corp.............................................. 55,400 771,880
Kurabo Industries, Ltd................................. 1,090,000 1,679,797
Kuraudia Co., Ltd...................................... 5,700 71,276
Kuroganeya Co., Ltd.................................... 11,100 43,505
#KYB Co., Ltd........................................... 733,000 2,638,094
Kyoritsu Maintenance Co., Ltd.......................... 52,560 1,124,971
Kyoto Kimono Yuzen Co., Ltd............................ 57,300 692,785
#*Laox Co., Ltd.......................................... 322,000 96,759
LEC, Inc............................................... 24,200 302,420
#Look, Inc.............................................. 184,000 906,249
Mamiya-Op Co., Ltd..................................... 285,000 528,447
#Marche Corp............................................ 23,000 208,322
Mars Engineering Corp.................................. 45,700 1,088,816
#*Maruei Department Store Co., Ltd....................... 142,000 145,917
*Maruzen CHI Holdings Co., Ltd.......................... 11,800 32,691
Maruzen Co., Ltd....................................... 46,000 320,588
#*Matsuya Co., Ltd....................................... 139,800 1,466,299
Matsuya Foods Co., Ltd................................. 47,300 856,811
#Megane TOP Co., Ltd.................................... 141,300 1,625,929
#Meiko Network Japan Co., Ltd........................... 47,100 477,884
Meiwa Estate Co., Ltd.................................. 23,500 104,032
Meiwa Industry Co., Ltd................................ 7,000 14,064
Mikuni Corp............................................ 108,000 224,646
Misawa Homes Co., Ltd.................................. 109,100 1,604,945
Mitsuba Corp........................................... 161,690 1,026,026
Mitsui Home Co., Ltd................................... 155,000 755,816
Mizuno Corp............................................ 447,000 2,084,106
*Monogatari Corp. (The)................................. 1,900 42,724
MOS Food Services, Inc................................. 120,300 2,301,047
Mr Max Corp............................................ 119,000 463,642
21
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Consumer Discretionary -- (Continued)
Murakami Corp.......................................... 7,000 $ 80,186
#Musashi Seimitsu Industry Co., Ltd..................... 102,700 2,144,781
Nafco Co., Ltd......................................... 1,300 21,975
*Nagawa Co., Ltd........................................ 4,400 82,748
*Naigai Co., Ltd........................................ 2,643,000 1,555,663
*Nakayamafuku Co., Ltd.................................. 4,200 32,764
NEC Mobiling, Ltd...................................... 46,800 1,946,954
#Nice Holdings, Inc..................................... 460,000 991,052
#Nidec Copal Corp....................................... 88,700 670,513
#Nidec Tosok Corp....................................... 109,300 718,442
#Nifco, Inc............................................. 228,400 5,190,359
Nihon Eslead Corp...................................... 29,500 253,854
#Nihon Plast Co., Ltd................................... 1,600 8,113
Nihon Tokushu Toryo Co., Ltd........................... 56,000 239,104
Nikkato Corp........................................... 700 3,780
*Nippon Columbia Co., Ltd............................... 707,000 203,600
Nippon Felt Co., Ltd................................... 67,200 334,895
#Nippon Piston Ring Co., Ltd............................ 350,000 564,761
Nippon Seiki Co., Ltd.................................. 186,400 1,791,370
#Nishimatsuya Chain Co., Ltd............................ 259,200 2,088,302
Nissan Shatai Co., Ltd................................. 298,023 3,261,153
#*Nissan Tokyo Sales Holdings Co., Ltd................... 236,000 957,834
#Nissen Holdings Co., Ltd............................... 181,591 709,106
Nissin Kogyo Co., Ltd.................................. 178,000 2,558,240
Nittan Valve Co., Ltd.................................. 82,800 268,639
Noritsu Koki Co., Ltd.................................. 101,700 407,873
Ohashi Technica, Inc................................... 600 4,065
*Ohsho Food Service Corp................................ 15,200 367,676
Omikenshi Co., Ltd..................................... 22,000 12,407
Onward Holdings Co., Ltd............................... 626,000 4,635,222
*OPT, Inc............................................... 18 21,096
*Otsuka Kagu, Ltd....................................... 3,400 33,242
Pacific Industrial Co., Ltd............................ 185,500 1,090,577
*Pal Co., Ltd........................................... 26,400 1,348,152
Paltac Corp............................................ 107,434 1,573,437
PanaHome Corp.......................................... 398,200 2,489,259
#Parco Co., Ltd......................................... 53,600 562,480
Paris Miki Holdings, Inc............................... 160,600 872,970
PIA Corp............................................... 25,200 363,093
Piolax, Inc............................................ 47,300 983,840
#*Pioneer Electronic Corp................................ 1,294,100 3,100,263
Plenus Co., Ltd........................................ 101,200 1,646,328
#Point, Inc............................................. 79,640 3,033,238
Press Kogyo Co., Ltd................................... 488,000 2,040,998
Pressance Corp......................................... 12,400 228,673
Proto Corp............................................. 15,900 261,981
Renaissance, Inc....................................... 9,000 58,396
#*Renown, Inc............................................ 242,600 315,689
#Resort Solution Co., Ltd............................... 180,000 360,698
Resorttrust, Inc....................................... 163,508 3,048,195
#Rhythm Watch Co., Ltd.................................. 650,000 1,206,632
Right On Co., Ltd...................................... 67,325 556,033
Riken Corp............................................. 458,000 1,533,330
#Ringer Hut Co., Ltd.................................... 79,500 1,015,519
#Riso Kyoiku Co., Ltd................................... 10,250 767,515
Roland Corp............................................ 92,800 622,163
Round One Corp......................................... 352,300 1,782,442
#Royal Holdings Co., Ltd................................ 140,200 1,748,891
Ryohin Keikaku Co., Ltd................................ 104,000 6,887,238
#*Sagami Chain Co., Ltd.................................. 84,000 682,000
#Saizeriya Co., Ltd..................................... 150,900 2,120,094
22
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
------- ----------
Consumer Discretionary -- (Continued)
#Sakai Ovex Co., Ltd...................................... 297,000 $ 416,732
SAN HOLDINGS, Inc........................................ 13,600 231,834
#Sanden Corp.............................................. 615,000 1,849,704
Sangetsu Co., Ltd........................................ 125,925 3,352,827
#Sanko Marketing Foods Co., Ltd........................... 120 146,637
#Sankyo Seiko Co., Ltd.................................... 102,400 344,975
Sanoh Industrial Co., Ltd................................ 126,700 747,744
*Sanyo Electric Railway Co., Ltd.......................... 1,000 3,783
Sanyo Housing Nagoya Co., Ltd............................ 415 441,422
Sanyo Shokai, Ltd........................................ 678,000 1,995,957
Scroll Corp.............................................. 99,500 308,383
*Seiko Holdings Corp...................................... 479,407 1,262,191
Seiren Co., Ltd.......................................... 239,700 1,493,924
#Senshukai Co., Ltd....................................... 165,200 1,040,690
Septeni Holdings Co., Ltd................................ 339 326,783
*Seria Co., Ltd........................................... 49,800 1,006,863
*Seven Seas Holdings Co., Ltd............................. 549,200 89,420
*Shidax Corp.............................................. 9,500 44,890
Shikibo, Ltd............................................. 590,000 701,810
Shimachu Co., Ltd........................................ 227,000 5,015,422
#Shimojima Co., Ltd....................................... 19,600 227,283
Shiroki Corp............................................. 285,000 622,812
Shobunsha Publications, Inc.............................. 320,700 2,122,247
Shochiku Co., Ltd........................................ 344,400 3,356,628
Shoei Co., Ltd........................................... 1,600 8,716
Showa Corp............................................... 320,400 2,964,674
SKY Perfect JSAT Holdings, Inc........................... 8,199 3,746,371
SNT Corp................................................. 103,800 420,291
Soft99 Corp.............................................. 70,600 421,760
Sotoh Co., Ltd........................................... 49,700 471,127
SPK Corp................................................. 16,800 283,510
St. Marc Holdings Co., Ltd............................... 39,600 1,477,173
*Starbucks Coffee Japan, Ltd.............................. 304 214,030
#*Start Today Co., Ltd..................................... 218,500 2,394,260
Starts Corp., Inc........................................ 1,000 6,241
Studio Alice Co., Ltd.................................... 45,400 698,205
Suminoe Textile Co., Ltd................................. 328,000 608,225
Sumitomo Forestry Co., Ltd............................... 436,666 3,907,773
#*SxL Corp................................................. 460,000 728,288
T. RAD Co., Ltd.......................................... 296,000 675,758
Tachikawa Corp........................................... 50,800 285,996
Tachi-S Co., Ltd......................................... 112,840 2,070,721
Tact Home Co., Ltd....................................... 516 543,786
Taiho Kogyo Co., Ltd..................................... 92,800 898,537
Takamatsu Construction Group Co., Ltd.................... 90,500 1,482,860
Taka-Q Co., Ltd.......................................... 10,000 32,908
Take & Give Needs Co., Ltd............................... 3,610 296,406
Takihyo Co., Ltd......................................... 41,000 211,272
Tamron Co., Ltd.......................................... 76,900 2,089,871
#TBK Co., Ltd............................................. 89,000 437,689
*Ten Allied Co., Ltd...................................... 50,000 169,620
#T-GAIA Corp.............................................. 125,800 1,209,734
Tigers Polymer Corp...................................... 59,000 194,565
Toa Corp................................................. 32,000 227,555
Toabo Corp............................................... 183,000 123,918
*Toei Animation Co., Ltd.................................. 6,400 152,674
Toei Co., Ltd............................................ 344,000 1,887,351
*Tohokushinsha Film Corp.................................. 2,800 19,635
Tokai Rika Co., Ltd...................................... 224,600 2,818,761
Tokai Rubber Industries, Ltd............................. 188,700 1,671,674
#Token Corp............................................... 35,150 1,543,438
23
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
Consumer Discretionary -- (Continued)
#Tokyo Derica Co., Ltd................................ 37,900 $ 593,354
#*Tokyo Dome Corp...................................... 806,200 2,718,214
Tokyo Kaikan Co., Ltd................................ 12,000 44,159
Tokyo Soir Co., Ltd.................................. 49,000 134,893
#Tokyotokeiba Co., Ltd................................ 828,000 1,234,800
Tokyu Recreation Co., Ltd............................ 77,000 443,335
#Tomy Co., Ltd........................................ 297,893 1,643,806
Topre Corp........................................... 189,000 1,631,967
Toridoll.Corp........................................ 79,600 1,199,557
Touei Housing Corp................................... 76,240 811,549
Tow Co., Ltd......................................... 3,200 20,809
Toyo Tire & Rubber Co., Ltd.......................... 916,000 2,225,460
Toyobo Co., Ltd...................................... 4,184,000 4,611,041
TPR Co., Ltd......................................... 104,400 1,168,809
TS Tech Co., Ltd..................................... 232,200 3,955,138
TSI Holdings Co., Ltd................................ 409,495 2,499,119
*Tsukamoto Co., Ltd.................................. 124,000 197,277
Tsutsumi Jewelry Co., Ltd............................ 49,300 1,132,106
TV Asahi Corp........................................ 32,600 420,318
TV Tokyo Holdings Corp............................... 17,200 193,304
Umenohana Co., Ltd................................... 44 95,081
Unipres Corp......................................... 166,700 3,842,968
#United Arrows, Ltd................................... 97,600 2,500,721
#*Unitika, Ltd......................................... 2,595,000 1,299,730
#*Usen Corp............................................ 355,450 369,802
U-Shin, Ltd.......................................... 112,900 484,160
*Village Vanguard Co., Ltd............................ 120 119,074
VT Holdings Co., Ltd................................. 104,800 743,976
Watabe Wedding Corp.................................. 29,500 240,320
#WATAMI Co., Ltd...................................... 105,600 2,362,040
#West Holdings Corp................................... 32,000 407,468
Wowow, Inc........................................... 89 208,402
Xebio Co., Ltd....................................... 120,600 2,359,859
#*Yamatane Corp........................................ 361,000 470,033
Yamato International, Inc............................ 4,200 18,688
#Yellow Hat, Ltd...................................... 84,100 1,128,609
Yomiuri Land Co., Ltd................................ 225,000 709,978
Yonex Co., Ltd....................................... 40,000 230,155
Yorozu Corp.......................................... 70,000 1,038,738
#Yoshinoya Holdings Co., Ltd.......................... 2,328 2,952,417
Zenrin Co., Ltd...................................... 131,800 1,614,637
#Zensho Co., Ltd...................................... 313,600 3,814,086
#*Zojirushi Corp....................................... 16,000 54,931
------------
Total Consumer Discretionary............................ 376,167,875
------------
Consumer Staples -- (8.9%)
*Aderans Co., Ltd..................................... 82,650 1,081,583
*Aeon Hokkaido Corp................................... 389,700 1,742,309
Ahjikan Co., Ltd..................................... 10,500 97,368
Ain Pharmaciez, Inc.................................. 48,100 3,406,124
Arcs Co., Ltd........................................ 139,700 2,948,545
Ariake Japan Co., Ltd................................ 103,700 2,211,230
Artnature, Inc....................................... 6,700 105,677
Belc Co., Ltd........................................ 13,400 197,919
Cawachi, Ltd......................................... 81,900 1,747,043
Chubu Shiryo Co., Ltd................................ 89,000 569,197
Chuo Gyorui Co., Ltd................................. 93,000 215,605
Coca-Cola Central Japan Co., Ltd..................... 121,400 1,492,185
Cocokara fine, Inc................................... 69,260 2,332,495
#Cosmos Pharmaceutical Corp........................... 37,300 3,678,433
*CREATE SD HOLDINGS Co., Ltd.......................... 12,300 327,441
24
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Consumer Staples -- (Continued)
CVS Bay Area, Inc...................................... 27,000 $ 25,679
Daikokutenbussan Co., Ltd.............................. 22,200 705,644
#Dr. Ci:Labo Co., Ltd................................... 617 1,983,096
Dydo Drinco, Inc....................................... 49,800 2,124,910
Echo Trading Co., Ltd.................................. 11,000 95,618
#Ensuiko Sugar Refining Co., Ltd........................ 102,000 233,861
Ezaki Glico Co., Ltd................................... 5,000 56,378
Fancl Corp............................................. 181,300 1,948,245
#*First Baking Co., Ltd.................................. 183,000 183,572
Fuji Oil Co., Ltd...................................... 268,900 3,579,115
Fujicco Co., Ltd....................................... 116,600 1,495,445
#*Fujiya Co., Ltd........................................ 375,000 930,469
*HABA Laboratories, Inc................................. 100 3,365
Hagoromo Foods Corp.................................... 40,000 550,892
Harashin Narus Holdings Co., Ltd....................... 61,500 1,145,894
*Hayashikane Sangyo Co., Ltd............................ 284,000 228,042
Heiwado Co., Ltd....................................... 152,800 2,126,346
Hohsui Corp............................................ 127,000 162,428
Hokkaido Coca-Cola Bottling Co., Ltd................... 87,000 434,772
#Hokuto Corp............................................ 113,700 2,272,553
Inageya Co., Ltd....................................... 172,800 2,111,716
#Ito En, Ltd............................................ 18,300 344,366
Itochu-Shokuhin Co., Ltd............................... 27,400 1,001,647
Itoham Foods, Inc...................................... 674,800 2,696,635
Izumiya Co., Ltd....................................... 447,000 2,212,376
J-Oil Mills, Inc....................................... 477,000 1,237,399
#Kameda Seika Co., Ltd.................................. 70,100 1,740,206
Kasumi Co., Ltd........................................ 210,300 1,372,711
Kato Sangyo Co., Ltd................................... 109,300 1,976,914
*Kenko Mayonnaise Co., Ltd.............................. 900 8,850
Key Coffee, Inc........................................ 73,600 1,431,100
Kirindo Co., Ltd....................................... 28,300 187,942
Kose Corp.............................................. 150,100 3,239,496
Kusuri No Aoki Co., Ltd................................ 20,100 1,047,009
Kyodo Shiryo Co., Ltd.................................. 387,000 441,749
#Kyokuyo Co., Ltd....................................... 371,000 823,350
#Life Corp.............................................. 183,400 2,832,577
#Lion Corp.............................................. 57,000 329,317
#Mandom Corp............................................ 91,000 2,401,540
Marudai Food Co., Ltd.................................. 465,000 1,631,417
#Maruetsu, Inc. (The)................................... 375,000 1,235,510
Maruha Nichiro Holdings, Inc........................... 2,030,069 3,335,894
#Matsumotokiyoshi Holdings Co., Ltd..................... 152,100 3,662,852
*Maxvalu Tohok Co., Ltd................................. 15,800 137,219
Maxvalu Tokai Co., Ltd................................. 57,500 812,123
Megmilk Snow Brand Co., Ltd............................ 222,200 3,751,649
Meito Sangyo Co., Ltd.................................. 53,600 681,680
Mikuni Coca-Cola Bottling Co., Ltd..................... 171,600 1,425,616
Milbon Co., Ltd........................................ 52,314 1,692,486
Ministop Co., Ltd...................................... 75,800 1,279,234
#Mitsubishi Shokuhin Co., Ltd........................... 87,800 2,140,536
#Mitsui Sugar Co., Ltd.................................. 454,850 1,465,481
Miyoshi Oil & Fat Co., Ltd............................. 261,000 323,928
Morinaga & Co., Ltd.................................... 933,000 2,055,602
Morinaga Milk Industry Co., Ltd........................ 921,000 3,045,581
#Morishita Jinton Co., Ltd.............................. 47,800 226,365
Morozoff, Ltd.......................................... 127,000 442,182
Nagatanien Co., Ltd.................................... 123,000 1,210,485
Nakamuraya Co., Ltd.................................... 198,000 977,224
Natori Co., Ltd........................................ 2,500 27,321
#Nichimo Co., Ltd....................................... 161,000 330,689
25
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
Consumer Staples -- (Continued)
#Nichirei Corp........................................ 1,248,000 $ 6,884,055
#Nihon Chouzai Co., Ltd............................... 20,300 539,258
Niitaka Co., Ltd..................................... 7,260 85,519
Nippon Beet Sugar Manufacturing Co., Ltd............. 543,000 1,040,161
Nippon Flour Mills Co., Ltd.......................... 557,000 2,330,628
#Nippon Formula Feed Manufacturing Co., Ltd........... 363,000 464,373
#Nippon Suisan Kaisha, Ltd............................ 1,182,600 2,592,458
Nisshin Oillio Group, Ltd. (The)..................... 550,000 2,024,970
Nissin Sugar Holdings Co., Ltd....................... 15,500 294,825
Nitto Fuji Flour Milling Co., Ltd.................... 64,000 235,754
#Noevir Holdings Co., Ltd............................. 34,300 524,085
Oenon Holdings, Inc.................................. 261,000 641,550
#Oie Sangyo Co., Ltd.................................. 20,900 211,677
Okuwa Co., Ltd....................................... 115,000 1,548,732
Olympic Corp......................................... 64,900 560,509
*OUG Holdings, Inc.................................... 9,000 16,691
Pietro Co., Ltd...................................... 5,100 54,645
Pigeon Corp.......................................... 91,800 4,229,895
#Poplar Co., Ltd...................................... 25,760 165,185
Prima Meat Packers, Ltd.............................. 701,000 1,265,569
*Qol Co., Ltd......................................... 200 1,833
#Riken Vitamin Co., Ltd............................... 79,200 2,081,120
Rock Field Co., Ltd.................................. 50,100 898,876
S Foods, Inc......................................... 73,762 688,276
S.T. Chemical Co., Ltd............................... 75,100 830,416
Sakata Seed Corp..................................... 164,600 2,126,954
San-A Co., Ltd....................................... 29,200 1,133,740
Sapporo Holdings, Ltd................................ 1,621,000 4,526,839
#Shoei Foods Corp..................................... 44,000 329,608
Showa Sangyo Co., Ltd................................ 524,000 1,752,117
Sogo Medical Co., Ltd................................ 23,300 839,958
Starzen Co., Ltd..................................... 293,000 873,352
Takara Holdings, Inc................................. 834,500 6,250,961
Three F Co., Ltd..................................... 4,100 23,427
#Tobu Store Co., Ltd.................................. 205,000 664,905
Toho Co., Ltd........................................ 170,000 655,822
#Tohto Suisan Co., Ltd................................ 138,000 210,925
Torigoe Co., Ltd. (The).............................. 86,600 676,352
Toyo Sugar Refining Co., Ltd......................... 157,000 167,335
*Tsuruha Holdings, Inc................................ 73,200 5,548,589
Uoriki Co., Ltd...................................... 1,500 18,207
Valor Co., Ltd....................................... 175,400 2,999,455
Warabeya Nichiyo Co., Ltd............................ 51,360 1,048,756
Welcia Holdings Co., Ltd............................. 25,500 937,094
Yaizu Suisankagaku Industry Co., Ltd................. 41,000 378,416
Yamaya Corp.......................................... 10,400 149,418
Yaoko Co., Ltd....................................... 40,800 1,666,609
#Yokohama Reito Co., Ltd.............................. 189,100 1,284,264
Yomeishu Seizo Co., Ltd.............................. 100,000 882,609
Yonekyu Corp......................................... 100,000 812,399
Yuasa Funashoku Co., Ltd............................. 112,000 260,910
#Yukiguni Maitake Co., Ltd............................ 99,056 323,897
Yutaka Foods Corp.................................... 6,000 114,071
------------
Total Consumer Staples.................................. 168,635,501
------------
Energy -- (0.8%)
AOC Holdings, Inc.................................... 182,800 627,654
BP Castrol K.K....................................... 66,500 288,320
#*Fuji Kosan Co., Ltd.................................. 33,100 182,207
Itochu Enex Co., Ltd................................. 302,200 1,579,981
Japan Drilling Co., Ltd.............................. 22,200 642,747
26
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- -----------
Energy -- (Continued)
Japan Oil Transportation Co., Ltd..................... 79,000 $ 178,056
Kanto Natural Gas Development Co., Ltd................ 155,000 819,978
#*Kyoei Tanker Co., Ltd................................. 111,000 231,763
Mitsuuroko Holdings Co., Ltd.......................... 166,300 1,083,496
Modec, Inc............................................ 50,100 1,017,588
#Nippon Gas Co., Ltd................................... 148,900 2,603,182
Nippon Seiro Co., Ltd................................. 64,000 177,238
#Sala Corp............................................. 128,500 789,513
San-Ai Oil Co., Ltd................................... 273,000 1,196,988
Shinko Plantech Co., Ltd.............................. 188,400 1,547,811
Sinanen Co., Ltd...................................... 251,000 1,072,930
Toa Oil Co., Ltd...................................... 352,000 396,989
Toyo Kanetsu K.K...................................... 536,000 1,041,706
-----------
Total Energy............................................. 15,478,147
-----------
Financials -- (10.7%)
77 Bank, Ltd. (The)................................... 155,000 590,263
Aichi Bank, Ltd. (The)................................ 54,200 3,000,817
Airport Facilities Co., Ltd........................... 125,070 576,718
*Aizawa Securities Co., Ltd............................ 300 536
Akita Bank, Ltd. (The)................................ 895,400 2,457,897
Aomori Bank, Ltd. (The)............................... 900,000 2,673,081
Asax Co., Ltd......................................... 17 16,552
Awa Bank, Ltd. (The).................................. 673,000 4,022,474
Bank of Iwate, Ltd. (The)............................. 72,700 3,369,803
Bank of Kochi, Ltd. (The)............................. 3,000 2,971
Bank of Nagoya, Ltd. (The)............................ 752,297 2,575,420
Bank of Okinawa, Ltd. (The)........................... 96,000 3,996,314
Bank of Saga, Ltd. (The).............................. 626,000 1,373,186
Bank of the Ryukyus, Ltd.............................. 177,580 2,233,074
*Chiba Kogyo Bank, Ltd. (The).......................... 181,900 912,428
Chukyo Bank, Ltd. (The)............................... 675,000 1,521,063
*Cosmos Initia Co., Ltd................................ 53,000 351,379
Daibiru Corp.......................................... 238,900 1,932,870
Daikyo, Inc........................................... 1,585,000 4,228,516
Daisan Bank, Ltd. (The)............................... 674,000 1,198,020
Daishi Bank, Ltd. (The)............................... 1,494,000 4,936,839
Daito Bank, Ltd. (The)................................ 562,000 492,729
Ehime Bank, Ltd. (The)................................ 664,000 1,697,874
Eighteenth Bank, Ltd. (The)........................... 1,088,000 2,852,620
FIDEA Holdings Co., Ltd............................... 396,600 785,221
Fukui Bank, Ltd. (The)................................ 1,003,000 2,114,541
Fukushima Bank, Ltd. (The)............................ 1,026,000 655,383
Fuyo General Lease Co., Ltd........................... 84,500 2,364,507
Goldcrest Co., Ltd.................................... 84,690 1,273,361
Heiwa Real Estate Co., Ltd............................ 174,300 2,039,045
Higashi-Nippon Bank, Ltd.............................. 662,000 1,427,634
Higo Bank, Ltd. (The)................................. 818,000 4,827,321
Hokkoku Bank, Ltd. (The).............................. 1,190,000 4,296,076
Hokuetsu Bank, Ltd. (The)............................. 965,000 1,850,251
*Hulic Co., Ltd........................................ 48,000 381,971
Hyakugo Bank, Ltd. (The).............................. 1,116,609 4,886,171
Hyakujishi Bank, Ltd. (The)........................... 1,097,000 4,300,766
IBJ Leasing Co., Ltd.................................. 85,800 2,168,568
*Ichigo Group Holdings Co., Ltd........................ 19 2,714
Ichiyoshi Securities Co., Ltd......................... 166,400 869,919
#Iida Home Max Co., Ltd................................ 88,100 777,302
Iwai Cosmo Holdings, Inc.............................. 53,800 182,532
J Trust Co., Ltd...................................... 17,200 253,101
*Japan Asia Investment Co., Ltd........................ 469,000 282,990
#*Jimoto Holdings, Inc.................................. 132,800 213,501
27
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Financials -- (Continued)
*Jowa Holdings Co., Ltd................................. 700 $ 12,843
Juroku Bank, Ltd....................................... 1,473,000 4,779,955
#kabu.com Securities Co., Ltd........................... 438,600 1,210,591
Kabuki-Za Co., Ltd..................................... 39,000 2,244,717
#Kagoshima Bank, Ltd. (The)............................. 668,000 4,258,892
*Kansai Urban Banking Corp.............................. 160,000 196,629
Keihanshin Building Co., Ltd........................... 33,600 160,883
Keiyo Bank, Ltd. (The)................................. 709,000 3,108,261
*Kenedix, Inc........................................... 11,449 1,487,416
Kita-Nippon Bank, Ltd. (The)........................... 49,406 1,349,780
Kiyo Holdings, Inc..................................... 3,313,900 4,529,074
Kobayashi Yoko Co., Ltd................................ 208,500 465,280
#Kosei Securities Co., Ltd.............................. 285,000 265,169
Kyokuto Securities Co., Ltd............................ 100,900 766,558
*Leopalace21 Corp....................................... 646,085 1,945,226
Marusan Securities Co., Ltd............................ 303,000 936,606
#Matsui Securities Co., Ltd............................. 525,200 3,541,825
Michinoku Bank, Ltd. (The)............................. 736,000 1,437,895
Mie Bank, Ltd. (The)................................... 208,000 443,277
Minato Bank, Ltd. (The)................................ 1,063,000 1,903,855
Mito Securities Co., Ltd............................... 263,000 466,386
Miyazaki Bank, Ltd. (The).............................. 703,000 1,726,380
#Monex Group, Inc....................................... 10,334 1,761,112
Musashino Bank, Ltd.................................... 152,300 4,362,228
Nagano Bank, Ltd. (The)................................ 360,000 685,314
Nanto Bank, Ltd. (The)................................. 550,000 2,804,461
*New Real Property K.K.................................. 43,900 --
Nisshin Fudosan Co., Ltd............................... 95,000 506,992
*North Pacific Bank, Ltd................................ 770,300 1,990,612
Ogaki Kyoritsu Bank, Ltd. (The)........................ 1,410,000 4,963,527
Oita Bank, Ltd. (The).................................. 789,900 2,652,826
Okasan Securities Group, Inc........................... 832,000 3,143,114
*Osaka Securities Exchange Co., Ltd..................... 193 719,420
*Relo Holdings, Inc..................................... 19,000 631,932
Ricoh Leasing Co., Ltd................................. 84,600 1,970,679
San-in Godo Bank, Ltd. (The)........................... 791,000 5,471,237
*Sawada Holdings Co., Ltd............................... 6,500 35,785
#SBI Holdings, Inc...................................... 70,160 491,328
Senshu Ikeda Holdings, Inc............................. 234,100 1,459,537
#Shiga Bank, Ltd........................................ 206,000 1,347,543
Shikoku Bank, Ltd...................................... 893,000 2,214,979
*SHIMANE BANK, Ltd. (The)............................... 600 8,033
Shimizu Bank, Ltd...................................... 40,300 1,182,933
#*Sparx Group Co., Ltd................................... 1,477 96,814
Sumitomo Real Estate Sales Co., Ltd.................... 45,150 2,125,942
Sun Frontier Fudousan Co., Ltd......................... 208 66,815
Taiko Bank, Ltd. (The)................................. 84,000 206,394
*Takagi Securities Co., Ltd............................. 206,000 215,117
*Takara Leben Co., Ltd.................................. 168,200 1,803,333
TOC Co., Ltd........................................... 435,250 2,317,834
Tochigi Bank, Ltd...................................... 726,000 2,547,864
Toho Bank, Ltd......................................... 947,200 3,167,725
Toho Real Estate Co., Ltd.............................. 140,700 769,379
Tohoku Bank, Ltd. (The)................................ 433,000 624,076
Tokai Tokyo Financial Holdings, Inc.................... 1,129,000 4,067,662
#Tokyo Rakutenchi Co., Ltd.............................. 218,000 817,247
*Tokyo Tatemono Co., Ltd................................ 1,893,000 7,791,021
#Tokyo Theatres Co., Inc................................ 362,000 462,521
Tokyo Tomin Bank, Ltd.................................. 151,400 1,303,300
#Tokyu Livable, Inc..................................... 110,800 1,442,768
Tomato Bank, Ltd....................................... 422,000 745,995
28
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
Financials -- (Continued)
TOMONY Holdings, Inc................................. 691,550 $ 2,902,394
Tosei Corp........................................... 1,398 523,692
Tottori Bank, Ltd.................................... 330,000 678,304
Towa Bank, Ltd....................................... 1,384,000 1,368,829
Toyo Securities Co., Ltd............................. 331,000 570,083
Tsukuba Bank, Ltd. (The)............................. 282,200 905,231
Yachiyo Bank, Ltd. (The)............................. 42,500 758,789
Yamagata Bank, Ltd................................... 681,500 3,005,490
Yamanashi Chuo Bank, Ltd............................. 744,000 3,011,318
------------
Total Financials........................................ 202,903,346
------------
Health Care -- (4.7%)
As One Corp.......................................... 72,368 1,495,964
Asahi Intecc Co., Ltd................................ 6,400 189,980
ASKA Pharmaceutical Co., Ltd......................... 106,000 552,345
BML, Inc............................................. 45,100 1,136,844
CMIC Holdings Co., Ltd............................... 37,000 564,919
Create Medic Co., Ltd................................ 28,000 280,838
Daito Pharmaceutical Co., Ltd........................ 23,700 405,968
Eiken Chemical Co., Ltd.............................. 74,800 1,027,868
EPS Corp............................................. 583 1,739,879
FALCO SD HOLDINGS Co., Ltd........................... 36,300 428,923
Fuso Pharmaceutical Industries, Ltd.................. 344,000 1,111,107
Hitachi Medical Corp................................. 85,000 1,044,570
Hogy Medical Co., Ltd................................ 57,400 2,936,786
Iwaki & Co., Ltd..................................... 66,000 142,050
#Japan Medical Dynamic Marketing, Inc................. 44,900 134,549
JCR Pharmaceuticals Co., Ltd......................... 10,200 118,767
*Jeol, Ltd............................................ 296,000 616,135
JMS Co., Ltd......................................... 126,000 394,226
Kaken Pharmaceutical Co., Ltd........................ 364,000 5,637,927
Kawanishi Holdings, Ltd.............................. 3,000 27,825
Kawasumi Laboratories, Inc........................... 46,300 252,365
Kissei Pharmaceutical Co., Ltd....................... 106,300 1,812,061
KYORIN Holdings, Inc................................. 214,000 4,524,370
*Mani, Inc............................................ 10,000 371,402
#Medical System Network Co., Ltd...................... 27,400 149,425
#*Message Co., Ltd..................................... 433 1,335,317
#Mochida Pharmaceutical Co., Ltd...................... 295,000 3,805,742
#Nagaileben Co., Ltd.................................. 50,900 747,389
*Nakanishi, Inc....................................... 2,900 316,498
Nichii Gakkan Co..................................... 234,000 2,131,110
Nichi-iko Pharmaceutical Co., Ltd.................... 21,100 446,397
Nihon Kohden Corp.................................... 173,900 6,468,886
Nikkiso Co., Ltd..................................... 303,000 3,618,127
Nippon Chemiphar Co., Ltd............................ 151,000 1,002,377
Nippon Shinyaku Co., Ltd............................. 239,000 2,879,212
#Nipro Corp........................................... 585,900 4,005,903
Nissui Pharmaceutical Co., Ltd....................... 64,200 671,212
Paramount Bed Holdings Co., Ltd...................... 47,000 1,638,445
Rion Co., Ltd........................................ 5,000 34,216
Rohto Pharmaceutical Co., Ltd........................ 424,000 5,843,559
#Sawai Pharmaceutical Co., Ltd........................ 40,300 4,451,796
Seikagaku Corp....................................... 179,800 2,061,135
#*Shin Nippon Biomedical Laboratories, Ltd............. 24,700 118,187
Ship Healthcare Holdings, Inc........................ 155,600 5,188,557
Shofu, Inc........................................... 4,000 44,771
Taiko Pharmaceutical Co., Ltd........................ 22,500 211,070
Techno Medica Co., Ltd............................... 24 139,842
Toho Holdings Co., Ltd............................... 217,800 4,452,305
Tokai Corp........................................... 18,200 448,652
29
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
------- -----------
Health Care -- (Continued)
Torii Pharmaceutical Co., Ltd........................... 65,200 $ 1,443,252
#Towa Pharmaceutical Co., Ltd............................ 46,900 2,980,142
#Tsukui Corp............................................. 60,700 1,414,962
Vital KSK Holdings, Inc................................. 151,300 1,532,391
#*Wakamoto Pharmaceutical Co., Ltd........................ 100,000 265,977
#ZERIA Pharmaceutical Co., Ltd........................... 109,000 1,740,976
-----------
Total Health Care.......................................... 88,535,498
-----------
Industrials -- (23.2%)
#*A&A Material Corp....................................... 235,000 197,335
Advan Co., Ltd.......................................... 96,900 1,016,602
#*Advanex, Inc............................................ 73,000 66,794
#Aeon Delight Co., Ltd................................... 87,100 1,792,145
#Aica Kogyo Co., Ltd..................................... 246,200 4,167,837
Aichi Corp.............................................. 132,000 526,393
Aida Engineering, Ltd................................... 276,800 1,761,887
Airtech Japan, Ltd...................................... 2,600 10,913
Alinco, Inc............................................. 4,800 38,963
Alps Logistics Co., Ltd................................. 50,700 499,924
Altech Co., Ltd......................................... 5,300 14,310
#Altech Corp............................................. 37,150 294,573
Ando Corp............................................... 450,000 507,544
Anest Iwata Corp........................................ 155,000 587,167
#*Arrk Corp............................................... 221,700 482,312
Asahi Diamond Industrial Co., Ltd....................... 253,200 2,242,333
Asahi Kogyosha Co., Ltd................................. 109,000 360,461
#*Asanuma Corp............................................ 796,000 539,425
Asia Air Survey Co., Ltd................................ 30,000 99,849
Asunaro Aoki Construction Co., Ltd...................... 154,000 833,906
Ataka Construction & Engineering Co., Ltd............... 60,000 243,694
Bando Chemical Industries, Ltd.......................... 360,000 1,096,115
#Benefit One, Inc........................................ 143 146,962
Bunka Shutter Co., Ltd.................................. 227,000 969,203
Central Glass Co., Ltd.................................. 898,000 2,599,139
Central Security Patrols Co., Ltd....................... 43,700 432,425
Chiyoda Integre Co., Ltd................................ 14,400 148,378
Chudenko Corp........................................... 130,500 1,161,805
#Chugai Ro Co., Ltd...................................... 342,000 916,924
CKD Corp................................................ 262,700 1,339,948
COMSYS Holdings Corp.................................... 5,900 78,432
#Cosel Co., Ltd.......................................... 111,900 1,444,946
CTI Engineering Co., Ltd................................ 44,600 271,876
Dai-Dan Co., Ltd........................................ 156,000 921,632
Daido Kogyo Co., Ltd.................................... 145,000 232,807
Daifuku Co., Ltd........................................ 406,500 2,032,094
*Daihatsu Diesel Manufacturing Co., Ltd.................. 12,000 30,385
#Daihen Corp............................................. 487,000 1,305,181
Daiho Corp.............................................. 763,000 889,588
#*Daiichi Chuo K.K........................................ 596,000 470,394
Daiichi Jitsugyo Co., Ltd............................... 198,000 828,523
#Daiseki Co., Ltd........................................ 179,263 2,418,095
#Daiseki Eco. Solution Co., Ltd.......................... 97 136,189
*Daisue Construction Co., Ltd............................ 117,500 66,300
Daiwa Industries, Ltd................................... 178,000 756,427
Daiwa Odakyu Construction Co., Ltd...................... 48,500 91,664
*Danto Holdings Corp..................................... 206,000 209,168
Denyo Co., Ltd.......................................... 85,100 901,934
Dijet Industrial Co., Ltd............................... 80,000 137,427
DMW Corp................................................ 4,800 83,151
*Dream Incubator, Inc.................................... 173 146,201
Duskin Co., Ltd......................................... 223,500 4,244,799
30
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Industrials -- (Continued)
Ebara Jitsugyo Co., Ltd................................ 8,900 $ 135,626
Eidai Co., Ltd......................................... 17,000 68,167
Emori & Co., Ltd....................................... 10,300 104,390
#*en-japan, Inc.......................................... 108 115,530
*Enshu, Ltd............................................. 194,000 150,769
#*Fudo Tetra Corp........................................ 317,300 418,044
#Fujikura, Ltd.......................................... 1,656,000 4,607,975
#*Fujisash Co., Ltd...................................... 72,000 63,276
Fujitec Co., Ltd....................................... 323,000 1,935,605
#Fukuda Corp............................................ 575,000 2,182,878
Fukushima Industries Corp.............................. 29,700 522,397
#Fukuyama Transporting Co., Ltd......................... 629,400 3,303,851
Funai Consulting, Inc.................................. 101,600 668,207
*Furukawa Co., Ltd...................................... 1,407,000 1,252,037
#*Furukawa Electric Co., Ltd............................. 2,035,000 4,058,161
#Furusato Industries, Ltd............................... 50,600 443,863
Futaba Corp............................................ 154,300 1,821,536
Gecoss Corp............................................ 112,400 762,429
Glory, Ltd............................................. 246,600 5,985,033
Hamakyorex Co., Ltd.................................... 19,700 614,132
Hanwa Co., Ltd......................................... 883,000 3,086,635
#Hazama Corp............................................ 390,600 865,990
#Hibiya Engineering, Ltd................................ 125,900 1,420,732
Hisaka Works, Ltd...................................... 81,000 563,568
*Hitachi Cable, Ltd..................................... 823,000 1,081,538
Hitachi Koki Co., Ltd.................................. 233,100 1,671,996
Hitachi Metals Techno, Ltd............................. 56,500 344,395
Hitachi Tool Engineering, Ltd.......................... 94,000 879,594
Hitachi Zosen Corp..................................... 3,596,000 4,505,574
Hokuetsu Industries Co., Ltd........................... 85,000 181,233
Hokuriku Electrical Construction Co., Ltd.............. 56,000 160,824
Hoshizaki Electric Co., Ltd............................ 27,700 754,219
Hosokawa Micron Corp................................... 142,000 785,754
Howa Machinery, Ltd.................................... 524,000 492,957
Ichiken Co., Ltd....................................... 87,000 162,499
Ichinen Holdings Co., Ltd.............................. 74,800 453,952
Idec Corp.............................................. 137,300 1,078,124
#Iino Kaiun Kaisha, Ltd................................. 401,600 1,146,883
Inaba Denki Sangyo Co., Ltd............................ 87,400 2,385,844
Inaba Seisakusho Co., Ltd.............................. 58,800 722,645
Inabata & Co., Ltd..................................... 317,300 2,050,848
#*Inui Steamship Co., Ltd................................ 95,900 235,387
Iseki & Co., Ltd....................................... 765,000 1,755,106
Ishii Iron Works Co., Ltd.............................. 114,000 184,353
*Ishikawa Seisakusho, Ltd............................... 101,000 78,530
#Itoki Corp............................................. 174,200 1,083,689
#*Iwasaki Electric Co., Ltd.............................. 221,000 316,027
Iwatani Corp........................................... 887,000 3,476,470
Jalux, Inc............................................. 40,800 425,837
Jamco Corp............................................. 80,000 385,536
#Japan Airport Terminal Co., Ltd........................ 182,600 1,984,872
*Japan Bridge Corp...................................... 11,300 36,200
#Japan Foundation Engineering Co., Ltd.................. 162,500 599,391
Japan Pulp & Paper Co., Ltd............................ 464,000 1,383,167
Japan Transcity Corp................................... 231,000 790,131
JK Holdings Co., Ltd................................... 92,540 449,295
#JP-Holdings, Inc....................................... 43,700 544,056
#Juki Corp.............................................. 345,000 423,597
Kamei Corp............................................. 153,000 1,321,878
Kanaden Corp........................................... 116,000 675,719
Kanagawa Chuo Kotsu Co., Ltd........................... 192,000 1,130,004
31
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Industrials -- (Continued)
#Kanamoto Co., Ltd...................................... 124,000 $1,513,324
Kandenko Co., Ltd...................................... 461,000 2,147,099
*Kanematsu Corp......................................... 2,078,625 2,451,964
#*Kanematsu-NNK Corp..................................... 125,000 205,251
*Katakura Industries Co., Ltd........................... 115,100 994,588
Kato Works Co., Ltd.................................... 287,000 792,377
KAWADA TECHNOLOGIES, Inc............................... 100,200 1,298,136
Kawasaki Kinkai Kisen Kaisha, Ltd...................... 99,000 234,365
#*Kawasaki Kisen Kaisha, Ltd............................. 4,568,000 5,790,221
Keihin Co., Ltd. (The)................................. 199,000 229,442
*KI Holdings Co., LTD................................... 92,000 117,588
Kimura Chemical Plants Co., Ltd........................ 74,900 236,512
King Jim Co., Ltd...................................... 19,300 155,325
Kinki Sharyo Co., Ltd.................................. 185,000 596,123
Kintetsu World Express, Inc............................ 79,000 2,225,082
#Kitagawa Iron Works Co., Ltd........................... 369,000 614,951
Kitano Construction Corp............................... 242,000 585,133
Kitazawa Sangyo Co., Ltd............................... 54,500 104,015
Kito Corp.............................................. 99 82,875
Kitz Corp.............................................. 443,300 1,872,180
Kodensha Co., Ltd. (The)............................... 14,000 26,892
Koike Sanso Kogyo Co., Ltd............................. 149,000 315,546
Kokusai Co., Ltd....................................... 5,500 42,001
Kokuyo Co., Ltd........................................ 372,325 2,892,829
KOMAIHALTEC, Inc....................................... 167,000 441,334
Komatsu Wall Industry Co., Ltd......................... 48,300 649,613
Komori Corp............................................ 407,800 2,135,987
Kondotec, Inc.......................................... 81,600 479,878
#*Kosaido Co., Ltd....................................... 356,100 1,248,449
#KRS Corp............................................... 37,200 438,177
*Kumagai Gumi Co., Ltd.................................. 626,800 565,721
Kuroda Electric Co., Ltd............................... 134,700 1,517,913
Kyodo Printing Co., Ltd................................ 540,000 1,211,082
*Kyokuto Boeki Kaisha, Ltd.............................. 58,000 87,293
Kyokuto Kaihatsu Kogyo Co., Ltd........................ 210,100 1,749,819
Kyoritsu Printing Co., Ltd............................. 5,400 19,133
Kyosan Electric Manufacturing Co., Ltd................. 225,000 732,975
Kyowa Exeo Corp........................................ 390,700 4,100,745
Kyudenko Corp.......................................... 204,000 923,191
*Lonseal Corp........................................... 116,000 114,900
Maeda Corp............................................. 845,000 3,737,980
Maeda Road Construction Co., Ltd....................... 291,000 3,653,982
Maezawa Industries, Inc................................ 35,700 83,309
Maezawa Kasei Industries Co., Ltd...................... 50,700 529,642
Maezawa Kyuso Industries Co., Ltd...................... 50,400 637,266
#Makino Milling Machine Co., Ltd........................ 481,000 2,261,527
Marubeni Construction Material Lease Co., Ltd.......... 75,000 111,874
Marufuji Sheet Piling Co., Ltd......................... 1,000 2,245
Maruka Machinery Co., Ltd.............................. 28,100 340,435
Maruwn Corp............................................ 59,400 139,289
Maruyama Manufacturing Co., Inc........................ 158,000 303,099
Maruzen Showa Unyu Co., Ltd............................ 306,000 893,055
Matsuda Sangyo Co., Ltd................................ 80,682 1,073,038
Matsui Construction Co., Ltd........................... 128,600 447,843
Max Co., Ltd........................................... 189,000 2,067,378
#Meidensha Corp......................................... 807,050 2,842,881
#Meiji Shipping Co., Ltd................................ 107,200 390,628
Meisei Industrial Co., Ltd............................. 44,000 139,015
Meitec Corp............................................ 144,000 3,170,488
*Meito Transportation Co., Ltd.......................... 22,000 163,135
#Meiwa Trading Co., Ltd................................. 140,000 555,686
32
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Industrials -- (Continued)
Mesco, Inc............................................. 30,000 $ 228,643
#Minebea Co., Ltd....................................... 1,334,000 4,384,759
Mirait Holdings Corp................................... 281,685 2,282,739
Mitani Corp............................................ 53,700 584,173
Mitsubishi Kakoki Kaisha, Ltd.......................... 230,000 377,693
Mitsubishi Pencil Co., Ltd............................. 104,500 1,849,663
Mitsubishi Research Institute, Inc..................... 7,100 157,849
Mitsuboshi Belting Co., Ltd............................ 287,000 1,589,769
Mitsui Engineering & Shipbuilding Co., Ltd............. 2,593,000 3,118,696
*Mitsui Matsushima Co., Ltd............................. 601,000 851,273
Mitsui-Soko Co., Ltd................................... 492,000 1,504,572
Mitsumura Printing Co., Ltd............................ 93,000 278,503
#Miura Co., Ltd......................................... 137,600 3,144,655
Miyachi Corp........................................... 24,500 155,044
#*Miyaji Engineering Group, Inc.......................... 851,175 1,450,099
#Mori Seiki Co., Ltd.................................... 474,500 2,971,917
Morita Holdings Corp................................... 156,000 1,310,664
Moshi Moshi Hotline, Inc............................... 217,300 3,272,790
#NAC Co., Ltd........................................... 25,400 563,023
Nachi-Fujikoshi Corp................................... 785,000 2,440,547
Nagase & Co., Ltd...................................... 23,400 249,622
Nakano Corp............................................ 5,500 10,077
Namura Shipbuilding Co., Ltd........................... 14,500 43,230
Narasaki Sangyo Co., Ltd............................... 56,000 88,510
NEC Capital Solutions, Ltd............................. 45,100 633,180
#Nichias Corp........................................... 436,000 2,136,756
Nichiban Co., Ltd...................................... 122,000 382,317
*Nichiden Corp.......................................... 19,000 512,547
Nichiha Corp........................................... 107,480 1,153,871
Nichireki Co., Ltd..................................... 96,000 455,126
#Nihon M&A Center, Inc.................................. 51,900 1,559,975
Nihon Trim Co., Ltd.................................... 6,300 170,617
Nikko Co., Ltd......................................... 127,000 477,268
Nippo Corp............................................. 259,000 2,935,556
Nippon Carbon Co., Ltd................................. 533,000 909,005
Nippon Conveyor Co., Ltd............................... 194,000 172,589
Nippon Densetsu Kogyo Co., Ltd......................... 191,000 1,738,089
Nippon Denwa Shisetsu Co., Ltd......................... 203,000 617,627
Nippon Filcon Co., Ltd................................. 70,900 346,817
Nippon Hume Corp....................................... 112,000 568,437
Nippon Jogesuido Sekkei Co., Ltd....................... 295 414,056
#Nippon Kanzai Co., Ltd................................. 43,000 797,267
Nippon Koei Co., Ltd................................... 282,000 921,124
Nippon Konpo Unyu Soko Co., Ltd........................ 263,100 3,170,044
#Nippon Parking Development Co., Ltd.................... 7,133 386,845
Nippon Road Co., Ltd. (The)............................ 254,000 938,893
Nippon Seisen Co., Ltd................................. 103,000 366,450
#Nippon Sharyo, Ltd..................................... 324,000 1,177,854
#*Nippon Sheet Glass Co., Ltd............................ 4,441,000 3,678,326
#Nippon Signal Co., Ltd................................. 234,600 1,314,481
Nippon Steel Trading Co., Ltd.......................... 294,000 685,457
Nippon Thompson Co., Ltd............................... 297,000 1,027,572
Nippon Tungsten Co., Ltd............................... 80,000 121,213
Nippon Yusoki Co., Ltd................................. 138,000 370,259
Nishimatsu Construction Co., Ltd....................... 1,855,000 2,904,239
Nishio Rent All Co., Ltd............................... 15,900 189,064
*Nishishiba Electric Co., Ltd........................... 45,000 54,708
Nissei Corp............................................ 104,600 926,281
Nissei Plastic Industrial Co., Ltd..................... 337,000 1,276,409
#*Nissha Printing Co., Ltd............................... 139,400 1,064,993
Nisshinbo Holdings, Inc................................ 653,000 4,271,975
33
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Industrials -- (Continued)
Nissin Corp............................................ 350,000 $ 868,108
#Nissin Electric Co., Ltd............................... 203,000 1,174,825
Nitchitsu Co., Ltd..................................... 58,000 120,009
Nitta Corp............................................. 107,400 1,652,052
Nitto Boseki Co., Ltd.................................. 905,000 2,975,346
Nitto Kogyo Corp....................................... 149,000 2,281,474
#Nitto Kohki Co., Ltd................................... 68,300 1,543,804
Nitto Seiko Co., Ltd................................... 122,000 319,273
#Nittoc Construction Co., Ltd........................... 113,000 406,671
#Nittoku Engineering Co., Ltd........................... 58,200 650,040
#Noda Corp.............................................. 169,300 722,822
Nomura Co., Ltd........................................ 205,000 741,287
Noritake Co., Ltd...................................... 531,000 1,238,394
Noritz Corp............................................ 132,900 2,183,371
*NS United Kaiun Kaisha, Ltd............................ 470,000 512,413
#*NTN Corp............................................... 2,301,000 4,128,033
Obara Corp............................................. 36,200 396,850
#Obayashi Road Corp..................................... 175,000 445,303
*Odelic Co., Ltd........................................ 1,400 28,537
Oiles Corp............................................. 123,842 2,327,402
*Okamoto Machine Tool Works, Ltd........................ 163,000 167,546
Okamura Corp........................................... 289,900 2,103,667
Okano Valve Manufacturing Co., Ltd..................... 42,000 107,747
Oki Electric Cable Co., Ltd............................ 90,000 132,013
*OKK Corp............................................... 288,000 328,319
OKUMA Corp............................................. 656,000 4,009,393
Okumura Corp........................................... 780,400 2,512,185
Onoken Co., Ltd........................................ 58,900 470,981
Organo Corp............................................ 174,000 1,027,681
OSG Corp............................................... 329,000 4,312,629
Oyo Corp............................................... 100,900 1,226,243
#P.S. Mitsubishi Construction Co., Ltd.................. 76,800 323,188
#Pasco Corp............................................. 74,000 211,247
Pasona Group, Inc...................................... 359 221,574
#Penta-Ocean Construction Co., Ltd...................... 1,411,500 3,394,298
Pilot Corp............................................. 774 1,392,572
Pronexus, Inc.......................................... 133,200 782,421
#Raito Kogyo Co., Ltd................................... 238,500 1,139,368
Rheon Automatic Machinery Co., Ltd..................... 64,000 142,025
Ryobi, Ltd............................................. 583,200 1,187,246
#Sakai Heavy Industries, Ltd............................ 190,000 521,712
Sakai Moving Service Co., Ltd.......................... 2,000 43,151
*Sakurada Co., Ltd...................................... 10,000 1,634
#*Sanix, Inc............................................. 126,100 369,585
Sanki Engineering Co., Ltd............................. 340,000 1,571,488
#Sanko Metal Industrial Co., Ltd........................ 122,000 301,259
Sankyo-Tateyama Holdings, Inc.......................... 1,710,000 3,706,721
Sankyu, Inc............................................ 1,251,000 4,358,022
Sanritsu Corp.......................................... 16,700 102,454
Sanwa Holdings Corp.................................... 1,039,000 4,153,730
Sanyo Denki Co., Ltd................................... 210,000 1,137,932
Sanyo Engineering & Construction, Inc.................. 48,000 151,291
Sanyo Industries, Ltd.................................. 77,000 144,759
Sasebo Heavy Industries Co., Ltd....................... 584,000 519,820
#*Sata Construction Co., Ltd............................. 128,000 88,012
Sato Holdings Corp..................................... 111,200 1,547,465
Sato Shoji Corp........................................ 65,300 392,312
Sawafuji Electric Co., Ltd............................. 30,000 73,320
Secom Joshinetsu Co., Ltd.............................. 33,900 880,882
Seibu Electric Industry Co., Ltd....................... 67,000 286,225
Seika Corp............................................. 285,000 742,542
34
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Industrials -- (Continued)
#*Seikitokyu Kogyo Co., Ltd.............................. 542,000 $ 346,077
Seino Holdings Co., Ltd................................ 720,000 4,151,386
Sekisui Jushi Co., Ltd................................. 144,000 1,403,445
#Senko Co., Ltd......................................... 400,000 1,618,796
#Senshu Electric Co., Ltd............................... 37,300 436,746
Shibusawa Warehouse Co., Ltd........................... 231,000 669,343
Shibuya Kogyo Co., Ltd................................. 80,100 903,649
#Shima Seiki Manufacturing Co., Ltd..................... 123,700 1,574,239
Shin Nippon Air Technologies Co., Ltd.................. 88,780 486,161
Shin-Keisei Electric Railway Co., Ltd.................. 174,000 782,277
#Shinmaywa Industries, Ltd.............................. 440,000 2,387,528
Shinnihon Corp......................................... 194,800 453,688
Shinsho Corp........................................... 205,000 365,152
Shinwa Co., Ltd........................................ 7,100 79,025
SHO-BOND Holdings Co., Ltd............................. 101,600 3,072,690
Shoko Co., Ltd......................................... 323,000 493,757
Showa Aircraft Industry Co., Ltd....................... 112,000 550,522
#Sinfonia Technology Co., Ltd........................... 502,000 837,079
Sintokogio, Ltd........................................ 201,000 1,418,476
Soda Nikka Co., Ltd.................................... 67,000 286,223
Sodick Co., Ltd........................................ 217,900 827,854
Sohgo Security Services Co., Ltd....................... 269,300 3,784,416
Sotetsu Holdings, Inc.................................. 597,000 2,026,057
#Space Co., Ltd......................................... 73,420 660,856
Subaru Enterprise Co., Ltd............................. 59,000 183,191
Sugimoto & Co., Ltd.................................... 34,100 318,123
Sumikin Bussan Corp.................................... 228,000 557,247
#*Sumiseki Holdings, Inc................................. 133,200 116,661
Sumitomo Densetsu Co., Ltd............................. 98,100 884,935
#*Sumitomo Mitsui Construction Co., Ltd.................. 1,020,000 639,559
Sumitomo Precision Products Co., Ltd................... 156,000 660,623
Sumitomo Warehouse Co., Ltd............................ 608,000 2,543,728
Suzuki Metal Industry Co., Ltd......................... 1,000 1,316
SWCC Showa Holdings Co., Ltd........................... 1,732,000 1,236,592
Tadano, Ltd............................................ 509,579 3,759,339
Taihei Dengyo Kaisha, Ltd.............................. 158,000 1,021,179
Taihei Kogyo Co., Ltd.................................. 256,000 1,020,202
Taiheiyo Kouhatsu, Inc................................. 166,000 149,836
Taikisha, Ltd.......................................... 136,700 2,902,418
Takada Kiko Co., Ltd................................... 247,000 472,997
Takano Co., Ltd........................................ 51,100 253,111
#*Takaoka Toko Holdings Co., Ltd......................... 44,820 656,888
#Takara Printing Co., Ltd............................... 38,055 276,140
Takara Standard Co., Ltd............................... 501,000 3,759,850
Takasago Thermal Engineering Co., Ltd.................. 291,400 2,292,885
#Takashima & Co., Ltd................................... 211,000 708,728
*Takeuchi Manufacturing Co., Ltd........................ 10,600 93,853
Takigami Steel Construction Co., Ltd................... 50,000 133,307
Takisawa Machine Tool Co., Ltd......................... 244,000 290,519
Takuma Co., Ltd........................................ 365,000 1,857,675
#Tanseisha Co., Ltd..................................... 84,000 249,625
#Tatsuta Electric Wire & Cable Co., Ltd................. 237,000 2,357,613
TECHNO ASSOCIE Co., Ltd................................ 58,400 465,297
Techno Ryowa, Ltd...................................... 71,390 342,576
Teikoku Electric Manufacturing Co., Ltd................ 31,800 404,923
Teikoku Sen-I Co., Ltd................................. 97,000 727,242
Tekken Corp............................................ 763,000 974,984
#Temp Holdings Co., Ltd................................. 48,600 583,905
Teraoka Seisakusho Co., Ltd............................ 53,600 211,599
TOA Corp............................................... 784,000 1,120,746
#TOA ROAD Corp.......................................... 161,000 429,591
35
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
Industrials -- (Continued)
*Tobishima Corp....................................... 479,600 $ 444,738
Tocalo Co., Ltd...................................... 68,300 992,648
Toda Corp............................................ 1,019,000 3,076,754
Toenec Corp.......................................... 212,000 1,163,171
TOKAI Holdings Corp.................................. 229,700 935,026
Tokai Lease Co., Ltd................................. 98,000 205,078
Tokyo Energy & Systems, Inc.......................... 143,000 622,802
Tokyo Keiki, Inc..................................... 287,000 453,986
*Tokyo Kikai Seisakusho, Ltd.......................... 300,000 146,450
Tokyo Sangyo Co., Ltd................................ 78,000 248,170
Tokyu Community Corp................................. 32,900 1,180,355
Tokyu Construction Co., Ltd.......................... 191,490 350,110
Toli Corp............................................ 236,000 484,604
#Tomoe Corp........................................... 115,500 377,823
#Tomoe Engineering Co., Ltd........................... 20,800 350,978
Tonami Holdings Co., Ltd............................. 331,000 734,332
Toppan Forms Co., Ltd................................ 213,400 2,010,269
Torishima Pump Manufacturing Co., Ltd................ 90,400 631,765
Toshiba Machine Co., Ltd............................. 563,000 2,442,184
Toshiba Plant Systems & Services Corp................ 191,450 2,590,332
Tosho Printing Co., Ltd.............................. 243,000 380,838
Totetsu Kogyo Co., Ltd............................... 129,400 1,482,216
#Toyo Construction Co., Ltd........................... 287,300 875,819
Toyo Electric Manufacturing Co., Ltd................. 162,000 443,944
Toyo Engineering Corp................................ 581,400 2,406,470
Toyo Machinery & Metal Co., Ltd...................... 42,400 97,241
#Toyo Tanso Co., Ltd.................................. 51,600 978,922
#Toyo Wharf & Warehouse Co., Ltd...................... 274,000 433,398
#Trancom Co., Ltd..................................... 19,400 366,993
Trinity Industrial Corp.............................. 56,000 177,238
Trusco Nakayama Corp................................. 98,900 1,783,049
Tsubakimoto Chain Co., Ltd........................... 620,700 3,040,807
Tsubakimoto Kogyo Co., Ltd........................... 97,000 280,878
#*Tsudakoma Corp....................................... 211,000 269,562
#Tsugami Corp......................................... 333,000 2,077,456
Tsukishima Kikai Co., Ltd............................ 127,000 1,074,552
Tsurumi Manufacturing Co., Ltd....................... 94,000 706,492
TTK Co., Ltd......................................... 62,000 279,563
Uchida Yoko Co., Ltd................................. 331,000 899,901
#Ueki Corp............................................ 406,000 793,841
#Union Tool Co., Ltd.................................. 59,700 903,957
Utoc Corp............................................ 92,900 271,131
#*Wakachiku Construction Co., Ltd...................... 1,204,000 1,071,306
*Wakita & Co., Ltd.................................... 47,000 331,552
#Weathernews, Inc..................................... 33,000 1,093,380
Yahagi Construction Co., Ltd......................... 141,500 602,777
Yamabiko Corp........................................ 28,882 371,919
Yamato Corp.......................................... 82,000 274,284
Yamaura Corp......................................... 34,500 96,059
Yamazen Co., Ltd..................................... 305,500 1,883,270
Yasuda Warehouse Co., Ltd. (The)..................... 95,800 629,270
Yokogawa Bridge Holdings Corp........................ 140,400 1,021,730
Yondenko Corp........................................ 132,800 481,098
Yuasa Trading Co., Ltd............................... 894,000 1,479,770
Yuken Kogyo Co., Ltd................................. 157,000 269,600
Yurtec Corp.......................................... 256,000 857,500
Yusen Logistics Co., Ltd............................. 85,400 723,361
#Yushin Precision Equipment Co., Ltd.................. 53,034 930,157
------------
Total Industrials....................................... 440,161,049
------------
36
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
------- ----------
Information Technology -- (9.6%)
*1st Holdings, Inc........................................ 20,700 $ 133,169
A&D Co., Ltd............................................. 44,300 142,632
Ai Holdings Corp......................................... 251,400 1,600,438
Aichi Tokei Denki Co., Ltd............................... 113,000 386,863
Aiphone Co., Ltd......................................... 71,400 1,237,393
Allied Telesis Holdings K.K.............................. 470,700 419,039
Alpha Systems, Inc....................................... 32,760 386,887
#Alps Electric Co., Ltd................................... 808,000 4,776,946
Amano Corp............................................... 281,000 2,306,092
#Anritsu Corp............................................. 392,000 4,931,192
AOI Electronic Co., Ltd.................................. 35,200 519,822
Argo Graphics, Inc....................................... 5,100 66,236
Arisawa Manufacturing Co., Ltd........................... 138,600 329,745
Asahi Net, Inc........................................... 63,000 305,220
Axell Corp............................................... 33,500 822,271
*Bit-isle, Inc............................................ 57,800 537,368
CAC Corp................................................. 63,500 534,688
Canon Electronics, Inc................................... 102,600 2,162,191
#Capcom Co., Ltd.......................................... 74,900 1,428,479
Chino Corp............................................... 151,000 370,954
CMK Corp................................................. 263,200 858,966
Computer Engineering & Consulting, Ltd................... 61,500 353,100
Core Corp................................................ 45,700 418,300
Cresco, Ltd.............................................. 23,200 152,186
Cybernet Systems Co., Ltd................................ 85 23,388
#Cybozu, Inc.............................................. 1,347 428,384
*DA Consortium, Inc....................................... 9 2,699
*Dai-ichi Seiko Co., Ltd.................................. 40,400 552,524
Daishinku Corp........................................... 97,000 275,018
Daito Electron Co., Ltd.................................. 5,900 24,417
Daiwabo Holdings Co., Ltd................................ 971,000 1,799,248
#Denki Kogyo Co., Ltd..................................... 319,000 1,467,489
#*Digital Garage, Inc...................................... 783 1,510,044
DKK TOA Corp............................................. 31,000 108,638
DTS Corp................................................. 101,400 1,400,783
Dwango Co., Ltd.......................................... 308 509,427
Eizo Nanao Corp.......................................... 81,900 1,284,895
Elecom Co., Ltd.......................................... 16,700 264,818
#Elematec Corp............................................ 20,271 259,352
EM Systems Co., Ltd...................................... 8,400 190,643
#Enplas Corp.............................................. 42,400 1,514,655
ESPEC Corp............................................... 96,800 775,676
Excel Co., Ltd........................................... 12,800 107,578
*F@N Communications, Inc.................................. 76 150,907
Faith, Inc............................................... 1,942 204,912
#*FDK Corp................................................. 355,000 284,588
*Ferrotec Corp............................................ 131,700 518,378
Fuji Electronics Co., Ltd................................ 28,600 383,227
#Fuji Soft, Inc........................................... 100,600 2,135,786
Fujitsu Frontech, Ltd.................................... 77,500 411,369
Furuno Electric Co., Ltd................................. 10,000 38,843
Furuya Metal Co., Ltd.................................... 1,800 48,870
Future Architect, Inc.................................... 1,172 453,479
#GMO Internet, Inc........................................ 321,000 2,246,764
GMO Payment Gateway, Inc................................. 8,100 131,116
#*GungHo Online Entertainment, Inc......................... 185 907,653
Gurunavi, Inc............................................ 25,800 286,015
Hakuto Co., Ltd.......................................... 73,700 671,410
Hioki EE Corp............................................ 28,200 481,313
Hitachi Kokusai Electric, Inc............................ 249,500 1,692,719
Hochiki Corp............................................. 97,000 491,329
37
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
------- ----------
Information Technology -- (Continued)
#Hokuriku Electric Industry Co., Ltd...................... 330,000 $ 360,028
Horiba, Ltd.............................................. 179,850 4,907,305
Hosiden Corp............................................. 275,600 1,494,641
Icom, Inc................................................ 49,700 1,038,833
*Ikegami Tsushinki Co., Ltd............................... 174,000 102,493
Ines Corp................................................ 202,300 1,290,780
I-Net Corp............................................... 47,800 341,980
*Infocom Corp............................................. 76 94,856
Information Services International-Dentsu, Ltd........... 76,700 668,694
Innotech Corp............................................ 61,800 258,037
Internet Initiative Japan, Inc........................... 102,200 2,670,395
*Iriso Electronics Co., Ltd............................... 13,900 192,702
IT Holdings Corp......................................... 376,801 4,696,096
ITC Networks Corp........................................ 85,900 688,386
ITFOR, Inc............................................... 34,300 122,871
*Iwatsu Electric Co., Ltd................................. 354,000 248,385
Japan Aviation Electronics Industry, Ltd................. 252,600 2,013,882
#Japan Cash Machine Co., Ltd.............................. 79,315 676,078
Japan Digital Laboratory Co., Ltd........................ 109,700 1,143,185
#*Japan Radio Co., Ltd..................................... 230,000 527,726
#Jastec Co., Ltd.......................................... 61,400 422,226
JBCC Holdings, Inc....................................... 75,900 525,368
JFE Systems, Inc......................................... 163 145,521
JIEC Co., Ltd............................................ 156 184,695
*Justsystems Corp......................................... 28,600 76,381
Kaga Electronics Co., Ltd................................ 103,300 941,125
Kanematsu Electronics, Ltd............................... 83,100 923,413
Koa Corp................................................. 157,400 1,230,981
Kyoden Co., Ltd.......................................... 156,900 232,426
#Kyoei Sangyo Co., Ltd.................................... 97,000 159,118
Kyowa Electronic Instruments Co., Ltd.................... 56,000 173,660
Lasertec Corp............................................ 41,000 745,508
Macnica, Inc............................................. 50,100 987,116
#Macromill, Inc........................................... 105,800 1,293,985
Marubun Corp............................................. 98,500 410,718
#Maruwa Co., Ltd.......................................... 45,400 1,337,270
*Marvelous AQL, Inc....................................... 1,031 336,169
#Megachips Corp........................................... 99,400 2,220,758
#Meiko Electronics Co., Ltd............................... 31,700 245,683
Meisei Electric Co., Ltd................................. 307,000 257,676
#Melco Holdings, Inc...................................... 62,700 1,308,708
*Micronics Japan Co., Ltd................................. 8,000 29,091
Mimasu Semiconductor Industry Co., Ltd................... 86,881 682,900
*Miraial Co., Ltd......................................... 7,400 141,049
Miroku Jyoho Service Co., Ltd............................ 105,000 450,096
*Mitsui High-Tec, Inc..................................... 131,600 978,336
Mitsui Knowledge Industry Co., Ltd....................... 3,643 594,728
*Mitsumi Electric Co., Ltd................................ 424,500 2,043,200
MTI, Ltd................................................. 383 369,374
#Mutoh Holdings Co., Ltd.................................. 160,000 350,925
*Nagano Japan Radio Co., Ltd.............................. 44,000 56,191
Nagano Keiki Co., Ltd.................................... 5,300 46,867
Nakayo Telecommunications, Inc........................... 485,000 1,603,711
NEC Fielding, Ltd........................................ 95,000 1,115,363
NEC Networks & System Integration Corp................... 109,600 2,002,215
Net One Systems Co., Ltd................................. 434,500 4,836,269
*New Japan Radio Co., Ltd................................. 2,000 3,713
Nichicon Corp............................................ 270,300 1,840,139
Nidec Copal Electronics Corp............................. 56,800 290,291
Nifty Corp............................................... 324 503,493
#Nihon Dempa Kogyo Co., Ltd............................... 83,400 905,328
38
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Information Technology -- (Continued)
Nihon Unisys, Ltd...................................... 251,575 $1,829,210
#Nippon Ceramic Co., Ltd................................ 88,600 1,186,323
#*Nippon Chemi-Con Corp.................................. 655,000 952,682
Nippon Kodoshi Corp.................................... 2,300 20,723
Nippon Systemware Co., Ltd............................. 27,900 110,779
Nohmi Bosai, Ltd....................................... 123,000 778,717
NS Solutions Corp...................................... 79,400 1,607,145
NSD Co., Ltd........................................... 183,000 1,751,916
#*Nuflare Technology, Inc................................ 117 890,443
Obic Business Consultants Co., Ltd..................... 23,550 1,244,257
Ohara, Inc............................................. 14,300 108,929
Okaya Electric Industries Co., Ltd..................... 73,000 288,940
#*Oki Electric Industry Co., Ltd......................... 3,198,000 3,212,793
ONO Sokki Co., Ltd..................................... 103,000 453,548
#Optex Co., Ltd......................................... 38,200 409,230
Origin Electric Co., Ltd............................... 141,000 547,185
Osaki Electric Co., Ltd................................ 152,000 815,227
Panasonic Industrial Devices SUNX Co., Ltd............. 110,800 446,962
Panasonic Information Systems Co., Ltd................. 13,600 326,111
PCA Corp............................................... 17,500 218,725
#*Renesas Electronics Corp............................... 153,200 567,395
Riken Keiki Co., Ltd................................... 78,500 487,814
Riso Kagaku Corp....................................... 71,100 1,153,566
Roland DG Corp......................................... 54,400 587,279
Ryoden Trading Co., Ltd................................ 147,000 832,478
Ryosan Co., Ltd........................................ 158,500 2,675,469
Ryoyo Electro Corp..................................... 113,200 1,131,124
#Sanken Electric Co., Ltd............................... 531,000 1,658,727
Sanko Co., Ltd......................................... 9,000 24,819
Sanshin Electronics Co., Ltd........................... 139,500 1,048,127
Satori Electric Co., Ltd............................... 79,080 428,223
Saxa Holdings, Inc..................................... 307,000 503,574
SCSK Corp.............................................. 145,263 2,473,606
#Seiko Epson Corp....................................... 663,300 3,688,714
*Shibaura Electronics Co., Ltd.......................... 5,700 65,238
#*Shibaura Mechatronics Corp............................. 147,000 244,915
#Shindengen Electric Manufacturing Co., Ltd............. 346,000 802,771
Shinkawa, Ltd.......................................... 68,300 292,131
Shinko Electric Industries Co., Ltd.................... 342,500 2,132,507
Shinko Shoji Co., Ltd.................................. 89,900 777,886
Shizuki Electric Co., Inc.............................. 103,000 361,274
#Siix Corp.............................................. 83,900 1,236,936
Simplex Holdings, Inc.................................. 1,569 477,712
#SMK Corp............................................... 294,000 737,234
Softbank Technology Corp............................... 500 4,961
Soshin Electric Co., Ltd............................... 4,600 17,104
SRA Holdings, Inc...................................... 49,700 541,749
Star Micronics Co., Ltd................................ 196,400 1,838,473
Sumida Corp............................................ 53,049 248,564
Sun-Wa Technos Corp.................................... 12,600 92,615
Systena Corp........................................... 1,117 963,662
Tachibana Eletech Co., Ltd............................. 62,400 506,611
#Taiyo Yuden Co., Ltd................................... 499,400 4,236,718
Tamura Corp............................................ 344,000 753,970
#*Teac Corp.............................................. 351,000 114,277
Tecmo Koei Holdings Co., Ltd........................... 150,730 1,233,800
Teikoku Tsushin Kogyo Co., Ltd......................... 176,000 290,921
*Thine Electronics, Inc................................. 33 27,284
TKC Corp............................................... 86,800 1,694,256
#*Toko, Inc.............................................. 232,000 532,047
#Tokyo Electron Device, Ltd............................. 342 577,329
39
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
------- ------------
Information Technology -- (Continued)
Tokyo Seimitsu Co., Ltd............................... 183,100 $ 2,766,587
Tomen Devices Corp.................................... 2,400 51,683
Tomen Electronics Corp................................ 52,600 667,415
#Topcon Corp........................................... 198,200 940,354
Tose Co., Ltd......................................... 22,100 138,329
Toshiba TEC Corp...................................... 631,000 2,948,840
#Toukei Computer Co., Ltd.............................. 26,810 378,958
#Towa Corp............................................. 95,200 534,717
Toyo Corp............................................. 139,400 1,593,786
Transcosmos, Inc...................................... 122,300 1,362,218
UKC Holdings Corp..................................... 24,600 459,182
#*Ulvac, Inc............................................ 211,000 1,335,832
Uniden Corp........................................... 377,000 880,189
*UT Holdings Co., Ltd.................................. 113 60,976
#V Technology Co., Ltd................................. 195 348,570
Wacom Co., Ltd........................................ 1,731 5,027,984
*Wellnet Corp.......................................... 10,700 90,873
Y.A.C. Co., Ltd....................................... 37,700 228,073
*Yamaichi Electronics Co., Ltd......................... 75,700 122,575
*Yashima Denki Co., Ltd................................ 100 426
Yokowo Co., Ltd....................................... 69,500 336,481
*Zappallas, Inc........................................ 374 333,718
Zuken, Inc............................................ 94,600 592,908
------------
Total Information Technology............................. 182,222,047
------------
Materials -- (9.6%)
Achilles Corp......................................... 703,000 907,159
Adeka Corp............................................ 389,900 2,940,581
Agro-Kanesho Co., Ltd................................. 14,000 75,192
Aichi Steel Corp...................................... 484,000 1,802,354
Alconix Corp.......................................... 16,600 272,359
Arakawa Chemical Industries, Ltd...................... 67,700 527,203
Araya Industrial Co., Ltd............................. 276,000 370,009
#Asahi Holdings, Inc................................... 115,950 1,955,572
Asahi Organic Chemicals Industry Co., Ltd............. 343,000 812,337
#Asahi Printing Co., Ltd............................... 800 21,268
*C Uyemura & Co., Ltd.................................. 2,700 88,917
Chuetsu Pulp & Paper Co., Ltd......................... 568,000 967,938
#*Chugai Mining Co., Ltd................................ 852,400 149,713
Chugoku Marine Paints, Ltd............................ 287,000 1,416,891
*Chugokukogyo Co., Ltd................................. 62,000 62,230
Chuo Denki Kogyo Co., Ltd............................. 90,000 304,539
#*Co-Op Chemical Co., Ltd............................... 159,000 178,959
Dai Nippon Toryo, Ltd................................. 533,000 561,676
#Daiichi Kigenso Kagaku-Kyogyo Co., Ltd................ 14,300 210,345
Daiichi Kogyo Seiyaku Co., Ltd........................ 146,000 355,096
Daiken Corp........................................... 401,000 884,647
Daiki Aluminium Industry Co., Ltd..................... 66,000 170,421
Dainichiseika Colour & Chemicals Manufacturing
Co., Ltd........................................... 319,000 1,338,760
#Daio Paper Corp....................................... 411,500 2,273,096
Daiso Co., Ltd........................................ 355,000 983,567
DC Co., Ltd........................................... 113,900 334,442
Dynapac Co., Ltd...................................... 25,000 68,932
Earth Chemical Co., Ltd............................... 50,100 1,860,283
FP Corp............................................... 61,200 4,600,656
Fuji Seal International, Inc.......................... 88,400 1,883,257
Fujikura Kasei Co., Ltd............................... 96,500 408,054
Fujimi, Inc........................................... 59,700 1,165,821
Fujimori Kogyo Co., Ltd............................... 26,000 615,968
Fumakilla, Ltd........................................ 85,000 289,240
#Furukawa-Sky Aluminum Corp............................ 409,000 959,237
40
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Materials -- (Continued)
Geostar Corp........................................... 14,000 $ 24,587
Godo Steel, Ltd........................................ 899,000 1,340,483
Gun Ei Chemical Industry Co., Ltd...................... 347,000 843,169
Harima Chemicals, Inc.................................. 73,300 336,751
#Hodogaya Chemical Co., Ltd............................. 265,000 494,777
Hokkan Holdings, Ltd................................... 283,000 797,872
Hokko Chemical Industry Co., Ltd....................... 90,000 247,043
#Hokuetsu Kishu Paper Co., Ltd.......................... 862,199 4,417,725
#*Hokushin Co., Ltd...................................... 61,400 137,087
Honshu Chemical Industry Co., Ltd...................... 32,000 159,362
Ihara Chemical Industry Co., Ltd....................... 161,000 761,542
Ise Chemical Corp...................................... 83,000 521,528
#*Ishihara Sangyo Kaisha, Ltd............................ 1,503,500 1,167,836
Ishizuka Glass Co., Ltd................................ 109,000 181,416
Japan Carlit Co., Ltd.................................. 59,800 300,383
Japan Pure Chemical Co., Ltd........................... 59 133,045
JCU Corp............................................... 5,600 194,768
JSP Corp............................................... 103,900 1,344,626
#Kanto Denka Kogyo Co., Ltd............................. 203,000 320,870
Katakura Chikkarin Co., Ltd............................ 43,000 99,278
Kawakin Holdings Co., Ltd.............................. 11,000 39,698
Kawasaki Kasei Chemicals, Ltd.......................... 121,000 136,577
Koatsu Gas Kogyo Co., Ltd.............................. 163,493 850,738
*KOGI Corp.............................................. 30,000 52,558
Kohsoku Corp........................................... 61,900 531,349
Konishi Co., Ltd....................................... 66,900 1,002,749
#*Kumiai Chemical Industry Co., Ltd...................... 242,000 1,097,098
Kureha Corp............................................ 594,500 2,312,052
#Kurimoto, Ltd.......................................... 702,000 2,146,613
Kurosaki Harima Corp................................... 221,000 509,946
#Kyoei Steel, Ltd....................................... 76,600 1,194,512
Kyowa Leather Cloth Co., Ltd........................... 71,700 234,553
Lintec Corp............................................ 218,400 3,777,789
MEC Co., Ltd........................................... 63,300 177,674
*Mitsubishi Paper Mills, Ltd............................ 1,159,000 987,025
Mitsubishi Steel Manufacturing Co., Ltd................ 593,000 1,011,894
*Mitsui Mining & Smelting Co., Ltd...................... 2,683,000 5,679,528
Mory Industries, Inc................................... 154,000 426,460
Nakabayashi Co., Ltd................................... 181,000 382,990
#*Nakayama Steel Works, Ltd.............................. 639,000 312,232
Neturen Co., Ltd....................................... 152,800 932,628
#*New Japan Chemical Co., Ltd............................ 115,700 393,619
Nichia Steel Works, Ltd................................ 175,900 405,623
Nihon Kagaku Sangyo Co., Ltd........................... 78,000 485,407
Nihon Nohyaku Co., Ltd................................. 230,000 1,020,190
Nihon Parkerizing Co., Ltd............................. 240,000 3,622,056
Nihon Yamamura Glass Co., Ltd.......................... 490,000 1,019,044
#Nippon Carbide Industries Co., Inc..................... 270,000 671,150
*Nippon Chemical Industrial Co., Ltd.................... 297,000 368,736
Nippon Chutetsukan K.K................................. 50,000 111,098
Nippon Chuzo K.K....................................... 111,000 118,358
Nippon Coke & Engineering Co., Ltd..................... 1,032,500 1,216,653
#Nippon Concrete Industries Co., Ltd.................... 180,000 558,950
Nippon Denko Co., Ltd.................................. 444,000 1,039,843
Nippon Fine Chemical Co., Ltd.......................... 85,600 566,456
#Nippon Kasei Chemical Co., Ltd......................... 309,000 387,347
#*Nippon Kinzoku Co., Ltd................................ 222,000 292,293
Nippon Koshuha Steel Co., Ltd.......................... 376,000 344,285
*Nippon Light Metal Holdings Co., Ltd................... 2,388,000 2,155,822
#Nippon Paper Group, Inc................................ 139,700 1,597,673
Nippon Pigment Co., Ltd................................ 9,000 19,158
41
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Materials -- (Continued)
Nippon Pillar Packing Co., Ltd........................ 83,000 $ 518,203
Nippon Soda Co., Ltd.................................. 655,000 2,847,172
Nippon Synthetic Chemical Industry Co., Ltd. (The).... 256,000 1,680,416
Nippon Valqua Industries, Ltd......................... 340,000 912,129
#*Nippon Yakin Kogyo Co., Ltd........................... 618,500 550,785
#*Nisshin Steel Holdings Co., Ltd....................... 318,892 2,113,164
Nittetsu Mining Co., Ltd.............................. 375,000 1,508,470
Nitto FC Co., Ltd..................................... 72,000 454,209
NOF Corp.............................................. 728,000 3,475,952
Okabe Co., Ltd........................................ 190,900 1,203,656
Okamoto Industries, Inc............................... 400,000 1,557,684
Okura Industrial Co., Ltd............................. 305,000 829,905
#Osaka Organic Chemical Industry, Ltd.................. 66,000 296,522
Osaka Steel Co., Ltd.................................. 77,700 1,286,223
#Osaka Titanium Technologies Co., Ltd.................. 89,600 1,774,132
#Pacific Metals Co., Ltd............................... 735,000 2,498,511
Pack Corp. (The)...................................... 66,300 1,178,483
#*Rasa Industries, Ltd.................................. 370,000 329,434
Rengo Co., Ltd........................................ 915,000 3,999,241
Riken Technos Corp.................................... 197,000 496,681
*S Science Co., Ltd.................................... 2,704,000 67,744
Sakai Chemical Industry Co., Ltd...................... 410,000 1,104,027
Sakata INX Corp....................................... 196,000 968,977
Sanyo Chemical Industries, Ltd........................ 305,000 1,720,944
Sanyo Special Steel Co., Ltd.......................... 522,300 1,557,334
Sekisui Plastics Co., Ltd............................. 209,000 474,314
Shikoku Chemicals Corp................................ 184,000 998,929
Shinagawa Refractories Co., Ltd....................... 224,000 438,151
Shin-Etsu Polymer Co., Ltd............................ 224,100 747,195
Shinko Wire Co., Ltd.................................. 184,000 283,737
Somar Corp............................................ 42,000 86,781
Stella Chemifa Corp................................... 45,900 862,368
#Sumitomo Bakelite Co., Ltd............................ 922,000 3,290,841
#Sumitomo Light Metal Industries, Ltd.................. 2,296,000 1,869,545
Sumitomo Osaka Cement Co., Ltd........................ 1,848,000 6,016,617
Sumitomo Pipe & Tube Co., Ltd......................... 108,100 757,389
Sumitomo Seika Chemicals Co., Ltd..................... 223,000 779,795
T&K Toka Co., Ltd..................................... 2,000 24,937
T. Hasegawa Co., Ltd.................................. 121,300 1,535,812
Taisei Lamick Co., Ltd................................ 21,300 625,479
Taiyo Holdings Co., Ltd............................... 74,400 2,093,404
Takasago International Corp........................... 356,000 1,812,952
Takiron Co., Ltd...................................... 304,000 1,085,218
*Tanaka Chemical Corp.................................. 1,100 4,442
Tayca Corp............................................ 151,000 426,148
Tenma Corp............................................ 87,000 863,332
#Titan Kogyo K.K....................................... 111,000 303,089
Toagosei Co., Ltd..................................... 1,096,000 4,468,291
#Toda Kogyo Corp....................................... 161,000 478,008
#Toho Titanium Co., Ltd................................ 85,300 758,545
Toho Zinc Co., Ltd.................................... 624,000 2,119,639
Tokai Carbon Co., Ltd................................. 1,004,000 3,225,506
Tokushu Tokai Paper Co., Ltd.......................... 501,580 1,237,154
#Tokuyama Corp......................................... 1,639,000 3,144,841
Tokyo Ohka Kogyo Co., Ltd............................. 180,800 3,686,263
#Tokyo Rope Manufacturing Co., Ltd..................... 581,000 641,365
Tokyo Steel Manufacturing Co., Ltd.................... 555,700 1,785,364
Tokyo Tekko Co., Ltd.................................. 94,000 324,000
TOMOEGAWA CO., LTD.................................... 125,000 223,957
Tomoku Co., Ltd....................................... 294,000 805,953
#Topy Industries, Ltd.................................. 848,000 1,647,131
42
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
----------- --------------
Materials -- (Continued)
#Tosoh Corp....................................... 2,242,000 $ 4,388,986
Toyo Ink SC Holdings Co., Ltd.................... 867,000 3,194,599
Toyo Kohan Co., Ltd.............................. 247,000 616,363
TYK Corp......................................... 138,000 262,871
Ube Material Industries, Ltd..................... 226,000 616,790
Wood One Co., Ltd................................ 169,000 476,242
Yodogawa Steel Works, Ltd........................ 786,500 2,532,949
*Yuki Gosei Kogyo Co., Ltd........................ 64,000 173,244
Yushiro Chemical Industry Co., Ltd............... 47,100 451,734
--------------
Total Materials..................................... 183,401,559
--------------
Telecommunication Services -- (0.3%)
#eAccess, Ltd..................................... 10,102 5,098,126
*Japan Communications, Inc........................ 767 49,073
Okinawa Cellular Telephone Co.................... 3,300 68,735
--------------
Total Telecommunication Services.................... 5,215,934
--------------
Utilities -- (0.4%)
#Hokkaido Gas Co., Ltd............................ 210,000 594,596
Hokuriku Gas Co., Ltd............................ 99,000 254,186
Okinawa Electric Power Co., Ltd.................. 70,571 2,161,361
Saibu Gas Co., Ltd............................... 1,406,000 3,699,081
Shizuoka Gas Co., Ltd............................ 249,500 1,776,243
--------------
Total Utilities..................................... 8,485,467
--------------
TOTAL COMMON STOCKS................................. 1,671,206,423
--------------
SHARES/
FACE
AMOUNT
(000) VALUE+
----------- --------------
SECURITIES LENDING COLLATERAL -- (12.0%)
(S)@DFA Short Term Investment Fund.................. 19,446,845 225,000,000
@Repurchase Agreement, Deutsche Bank Securities,
Inc. 0.35%, 11/01/12 (Collateralized by FNMA
4.000%, 05/01/42 & 5.000%, 01/01/39, valued at
$4,044,497) to be repurchased at $3,965,232.... $ 3,965 3,965,193
--------------
TOTAL SECURITIES LENDING COLLATERAL................. 228,965,193
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,096,684,195)............................. $1,900,171,616
==============
43
THE ASIA PACIFIC SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
SHARES VALUE++
--------- -----------
COMMON STOCKS -- (83.0%)
AUSTRALIA -- (47.4%)
*AAT Corp., Ltd........................................ 9,992 $ --
*ABM Resources NL...................................... 4,447,721 239,793
#*Acer Energy, Ltd...................................... 229,729 68,252
Acrux, Ltd............................................ 703,625 2,363,956
#Adelaide Brighton, Ltd................................ 1,885,757 6,199,102
#Aditya Birla Minerals, Ltd............................ 878,000 418,219
*AED Oil, Ltd.......................................... 363,401 --
#*Ainsworth Game Technology, Ltd........................ 361,760 893,570
*AJ Lucas Group, Ltd................................... 317,969 263,762
*Alchemia, Ltd......................................... 724,903 407,801
*Alcyone Resources, Ltd................................ 4,043,277 205,481
#*Alkane Resources, Ltd................................. 1,255,636 1,104,448
*Alliance Resources, Ltd............................... 444,483 112,728
*Altona Mining, Ltd.................................... 1,108,169 309,930
#Alumina, Ltd.......................................... 79,006 78,866
*Amadeus Energy, Ltd................................... 819,137 165,959
Amalgamated Holdings, Ltd............................. 462,896 3,266,040
#Amcom Telecommunications, Ltd......................... 556,812 738,767
*Ampella Mining, Ltd................................... 108,829 54,146
Ansell, Ltd........................................... 503,479 8,157,816
#*Antares Energy, Ltd................................... 937,175 504,742
AP Eagers, Ltd........................................ 225,085 888,258
#APN News & Media, Ltd................................. 2,209,800 846,930
#*Aquarius Platinum, Ltd................................ 1,550,854 920,168
#*Aquila Resources, Ltd................................. 171,615 477,707
#*Arafura Resources, Ltd................................ 1,093,749 226,701
ARB Corp., Ltd........................................ 347,600 3,703,932
#Aristocrat Leisure, Ltd............................... 2,580,305 7,542,048
Arrium, Ltd........................................... 6,037,433 4,903,780
#ASG Group, Ltd. (6207214)............................. 514,931 336,307
*ASG Group, Ltd. (B844JF1)............................. 737 482
*Aspire Mining, Ltd.................................... 636,763 55,907
*Astron Corp., Ltd..................................... 33,786 42,756
#*Atlantic, Ltd......................................... 238,482 74,328
*Atlas Iron, Ltd....................................... 1,147,150 1,821,748
#*Aurora Oil & Gas, Ltd................................. 1,114,903 4,512,172
Ausdrill, Ltd......................................... 1,466,628 4,328,026
Ausenco, Ltd.......................................... 343,044 1,122,532
#*Ausgold, Ltd.......................................... 52,096 8,633
#*Austal, Ltd........................................... 581,980 739,810
Austbrokers Holdings, Ltd............................. 103,298 836,289
Austin Engineering, Ltd............................... 188,444 845,989
*Austpac Resources NL.................................. 2,524,951 94,315
*Australian Agricultural Co., Ltd...................... 923,263 1,245,148
Australian Infrastructure Fund NL..................... 3,606,473 11,122,393
Australian Pharmaceutical Industries, Ltd............. 2,452,401 1,196,525
Automotive Holdings Group, Ltd........................ 586,489 1,940,569
#*Avanco Resources, Ltd................................. 2,010,636 260,300
*Avita Medical, Ltd.................................... 58,058 7,853
#AVJennings, Ltd....................................... 5,185,036 1,751,655
AWE, Ltd.............................................. 2,111,897 2,909,476
#*Azimuth Resources, Ltd................................ 334,414 128,439
#*Azumah Resources, Ltd................................. 737,953 95,582
*Ballarat South Gold, Ltd.............................. 1,996 --
#*Bandanna Energy, Ltd.................................. 622,869 219,008
Bank of Queensland, Ltd............................... 94,112 739,052
#*Bannerman Resources, Ltd.............................. 332,217 28,908
#*Bathurst Resources, Ltd............................... 767,231 345,280
44
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
---------- ----------
AUSTRALIA -- (Continued)
#BC Iron, Ltd.......................................... 258,613 $ 743,423
#Beach Energy, Ltd..................................... 5,525,248 7,891,340
#*Beadell Resources, Ltd................................ 1,500,515 1,514,583
*Berkeley Resources, Ltd............................... 434,006 211,499
Beyond International, Ltd............................. 61,256 76,305
#Billabong International, Ltd.......................... 1,600,753 1,466,159
*Bionomics, Ltd........................................ 345,313 112,973
#*Biota Holdings, Ltd................................... 1,027,571 634,672
*Bisalloy Steel Group, Ltd............................. 93,800 132,427
#Blackmores, Ltd....................................... 79,054 2,435,634
#*Blackthorn Resources, Ltd............................. 123,339 155,075
*BlueScope Steel, Ltd.................................. 13,572,369 6,673,452
Boart Longyear, Ltd................................... 2,638,658 3,985,039
*Boom Logistics, Ltd................................... 763,163 245,353
*Boulder Steel, Ltd.................................... 1,285,101 42,106
#Bradken, Ltd.......................................... 1,022,589 5,234,406
#Breville Group, Ltd................................... 598,466 3,715,325
Brickworks, Ltd....................................... 132,797 1,533,558
BSA, Ltd.............................................. 666,656 124,342
#BT Investment Management, Ltd......................... 193,869 446,791
*Buccaneer Energy, Ltd................................. 3,660,894 227,966
*Buru Energy, Ltd. (B3CCKH1)........................... 373,526 1,074,150
*Buru Energy, Ltd. (B83VSV2)........................... 32,251 93,070
#Cabcharge Australia, Ltd.............................. 562,463 3,450,894
*Calliden Group, Ltd................................... 389,687 65,906
#*Cape Lambert Resources, Ltd........................... 373,413 98,744
*Capral, Ltd........................................... 58,499 12,423
Cardno, Ltd........................................... 505,707 4,215,933
#*Carnarvon Petroleum, Ltd.............................. 4,479,867 375,570
*Carnegie Wave Energy, Ltd............................. 263,165 10,917
#carsales.com, Ltd..................................... 1,220,399 9,444,501
#Cash Converters International, Ltd.................... 1,192,545 1,095,093
*CDS Technologies, Ltd................................. 13,276 --
Cedar Woods Properties, Ltd........................... 136,814 602,270
*Centaurus Metals, Ltd................................. 143,557 49,976
#*Central Petroleum, Ltd................................ 1,759,865 355,947
*Centrebet International, Ltd. Claim Units............. 81,336 --
*Centrex Metals, Ltd................................... 13,701 2,629
#*Ceramic Fuel Cells, Ltd............................... 3,882,106 318,027
#*Cerro Resources NL.................................... 1,961,035 196,959
#*CGA Mining, Ltd....................................... 10,124 29,939
#*Chalice Gold Mines, Ltd............................... 320,684 85,120
Challenger, Ltd....................................... 198,545 664,730
Chandler Macleod Group, Ltd........................... 338,118 150,754
*ChemGenex Pharmaceuticals, Ltd........................ 115,291 --
*Chesser Resources, Ltd................................ 148,340 66,151
*Citigold Corp., Ltd................................... 3,765,806 219,181
#Clarius Group, Ltd.................................... 1,126,662 455,590
*Clinuvel Pharmaceuticals, Ltd......................... 118,435 198,663
#Clough, Ltd........................................... 1,527,345 1,235,354
Clover Corp., Ltd..................................... 269,348 148,175
*CO2 Group, Ltd........................................ 774,201 84,444
*Coal of Africa, Ltd................................... 668,800 148,652
#*Coalspur Mines, Ltd................................... 1,239,823 1,206,639
*Cobar Consolidated Resources, Ltd..................... 75,663 44,734
#*Cockatoo Coal, Ltd.................................... 3,318,970 566,694
#Codan, Ltd............................................ 170,881 381,084
#*Coffey International, Ltd............................. 1,048,636 407,043
Collection House, Ltd................................. 1,909,459 1,940,538
Consolidated Media Holdings, Ltd...................... 1,276,820 4,543,366
*Continental Coal, Ltd................................. 658,378 37,516
45
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
---------- ----------
AUSTRALIA -- (Continued)
#*Cooper Energy, Ltd.................................... 336,842 $ 205,568
Coventry Group, Ltd................................... 144,778 447,626
Credit Corp. Group, Ltd............................... 110,382 804,852
*Crusader Resources, Ltd............................... 155,861 85,870
#CSG, Ltd.............................................. 674,612 339,225
#CSR, Ltd.............................................. 2,491,176 4,522,744
CTI Logistics, Ltd.................................... 7,200 10,366
#*Cudeco, Ltd........................................... 399,317 1,935,776
*Cue Energy Resources, Ltd............................. 1,378,665 192,708
Data#3, Ltd........................................... 305,808 364,991
#David Jones, Ltd...................................... 3,152,271 8,724,565
#Decmil Group, Ltd..................................... 655,425 1,759,229
*Deep Yellow, Ltd...................................... 1,039,981 81,898
Devine, Ltd........................................... 497,498 377,510
#*Discovery Metals, Ltd................................. 1,368,337 2,450,958
Domino's Pizza Enterprises, Ltd....................... 14,892 145,782
*Downer EDI, Ltd....................................... 1,857,964 6,916,092
*Dragon Mining, Ltd.................................... 171,966 137,989
#*Drillsearch Energy, Ltd............................... 1,599,467 2,510,767
DUET Group............................................ 3,067,818 6,648,416
#DuluxGroup, Ltd....................................... 2,167,142 7,954,583
DWS, Ltd.............................................. 278,315 437,345
*Dyesol, Ltd........................................... 16,947 2,640
#*Elders, Ltd........................................... 1,419,921 242,999
#*Elemental Minerals, Ltd............................... 388,188 235,242
*Ellect Holdings, Ltd.................................. 482 --
#Emeco Holdings, Ltd................................... 2,172,998 1,564,917
*Empire Oil & Gas NL................................... 427,500 6,664
#*Energy Resources of Australia, Ltd.................... 684,442 1,000,342
*Energy World Corp., Ltd............................... 4,025,738 1,520,113
*Enero Group, Ltd...................................... 20,635 8,589
*Engenco, Ltd.......................................... 22,880 9,516
*Entek Energy, Ltd..................................... 920,744 64,907
#Envestra, Ltd......................................... 5,566,443 5,224,266
#*Equatorial Resources, Ltd............................. 176,571 325,330
*Ethane Pipeline Income Fund........................... 13,710 24,816
#Euroz, Ltd............................................ 81,100 86,774
#*Evolution Mining, Ltd................................. 1,644,550 3,417,837
Exco Resources, Ltd................................... 429,909 116,147
#Fairfax Media, Ltd.................................... 3,329,535 1,363,151
Fantastic Holdings, Ltd............................... 355,613 1,051,622
*FAR, Ltd.............................................. 8,225,394 280,964
Finbar Group, Ltd..................................... 58,051 71,409
*Finders Resources, Ltd................................ 7,442 1,349
#FKP Property Group, Ltd............................... 5,902,095 1,352,077
#Fleetwood Corp., Ltd.................................. 316,248 3,378,625
FlexiGroup, Ltd....................................... 597,372 2,455,729
Flight Centre, Ltd.................................... 11,770 324,731
*Flinders Mines, Ltd................................... 6,909,293 615,746
*Focus Minerals, Ltd................................... 19,167,915 715,815
#Forge Group, Ltd...................................... 252,731 1,044,237
*Forte Energy NL....................................... 471,243 9,798
G8 Education, Ltd..................................... 77,843 111,776
#*Galaxy Resources, Ltd................................. 760,450 397,143
Gazal Corp., Ltd...................................... 100,938 214,887
#*Geodynamics, Ltd...................................... 1,015,653 136,738
#*Gindalbie Metals, Ltd................................. 2,600,255 928,143
*Global Construction Services, Ltd..................... 1,832 1,167
*Gold Road Resources, Ltd.............................. 141,504 22,873
*Golden Rim Resources, Ltd............................. 722,577 82,452
#*Goodman Fielder, Ltd.................................. 8,296,037 5,025,633
46
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- -----------
AUSTRALIA -- (Continued)
GrainCorp, Ltd. Class A............................... 828,668 $10,523,403
#Grange Resources, Ltd................................. 1,245,669 322,163
#*Great Southern, Ltd................................... 9,302,784 --
*Greenland Minerals & Energy, Ltd...................... 796,390 255,847
#*Gryphon Minerals, Ltd................................. 1,673,195 1,353,812
#GUD Holdings, Ltd..................................... 469,856 4,089,811
*Gujarat NRE Coking Coal, Ltd.......................... 119,865 19,871
#*Gunns, Ltd............................................ 2,872,620 --
#GWA Group, Ltd........................................ 1,263,740 2,288,957
*Hastie Group, Ltd..................................... 81,042 --
*Havilah Resources NL.................................. 245,913 118,624
HFA Holdings, Ltd..................................... 235,865 188,411
HGL, Ltd.............................................. 87,337 48,936
*Highlands Pacific, Ltd................................ 2,651,500 384,401
*Hillgrove Resources, Ltd.............................. 1,123,437 102,376
#Hills Holdings, Ltd................................... 1,006,582 794,151
*Horizon Oil, Ltd...................................... 4,487,756 1,810,362
*Hutchison Telecommunications Australia, Ltd........... 2,944,144 98,741
#*Icon Energy, Ltd...................................... 1,701,528 458,238
*IDM International, Ltd................................ 23,969 970
#iiNet, Ltd............................................ 664,344 2,866,956
#Imdex, Ltd............................................ 1,061,080 1,471,137
#IMF Australia, Ltd.................................... 314,016 483,492
*IMX Resources, Ltd.................................... 456,257 68,569
#Independence Group NL................................. 1,024,848 4,234,731
*Indo Mines, Ltd....................................... 22,124 3,448
*Indophil Resources NL................................. 3,118,946 906,030
#Industrea, Ltd........................................ 1,478,422 1,933,549
#*Infigen Energy, Ltd................................... 1,798,730 447,294
Infomedia, Ltd........................................ 1,458,074 544,840
*Integra Mining, Ltd................................... 3,714,022 2,092,681
Integrated Research, Ltd.............................. 261,513 324,348
#*Intrepid Mines, Ltd................................... 1,794,707 633,428
#Invocare, Ltd......................................... 633,106 5,785,092
IOOF Holdings, Ltd.................................... 1,074,600 7,031,533
#Iress, Ltd............................................ 603,773 4,795,961
*Iron Ore Holdings, Ltd................................ 336,216 285,749
#*Ivanhoe Australia, Ltd................................ 396,947 360,214
#JB Hi-Fi, Ltd......................................... 582,072 6,187,633
*Jupiter Mines, Ltd.................................... 465,443 64,944
#K&S Corp., Ltd........................................ 228,651 403,633
#*Kagara, Ltd........................................... 1,945,393 242,331
#*Kangaroo Resources, Ltd............................... 2,874,627 125,537
*Karoon Gas Australia, Ltd............................. 667,086 3,849,352
*Kasbah Resources, Ltd................................. 478,599 79,333
#Kingsgate Consolidated, Ltd........................... 786,887 4,513,292
#Kingsrose Mining, Ltd................................. 688,387 699,058
*Lednium, Ltd.......................................... 195,019 16,195
#*Linc Energy, Ltd...................................... 1,497,847 852,317
#*Liquefied Natural Gas, Ltd............................ 595,144 188,042
Lycopodium, Ltd....................................... 57,046 362,796
#M2 Telecommunications Group, Ltd...................... 611,388 2,426,240
Macmahon Holdings, Ltd................................ 3,791,959 1,254,261
*Macquarie Atlas Roads Group NL........................ 1,535,838 2,462,690
Macquarie Telecom Group, Ltd.......................... 35,019 350,502
#*Marengo Mining, Ltd................................... 1,428,204 236,894
#Matrix Composites & Engineering, Ltd.................. 158,693 272,924
#*Maverick Drilling & Exploration, Ltd.................. 114,368 122,380
MaxiTRANS Industries, Ltd............................. 942,578 948,131
*Mayne Pharma Group, Ltd............................... 505,278 133,615
McGuigan Simeon Wines, Ltd............................ 2,437,348 1,305,000
47
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
AUSTRALIA -- (Continued)
#McMillan Shakespeare, Ltd............................. 235,687 $3,154,201
McPherson's, Ltd...................................... 303,441 582,834
#Medusa Mining, Ltd.................................... 844,923 5,382,014
Melbourne IT, Ltd..................................... 440,506 813,889
#*MEO Australia, Ltd.................................... 681,039 165,679
#Mermaid Marine Australia, Ltd......................... 1,099,905 3,696,672
#*Mesoblast, Ltd........................................ 169,618 1,017,252
*Metals X, Ltd......................................... 238,372 30,876
*Metgasco, Ltd......................................... 667,052 145,081
*Metminco, Ltd......................................... 1,879,249 159,724
*MetroCoal, Ltd........................................ 68,725 15,645
#*MHM Metals, Ltd....................................... 287,217 77,518
Miclyn Express Offshore, Ltd.......................... 662,257 1,525,234
#Mincor Resources NL................................... 1,004,969 1,245,444
*Minemakers, Ltd....................................... 113,803 17,666
#*Mineral Deposits, Ltd................................. 306,156 1,550,338
#Mineral Resources, Ltd................................ 484,937 4,358,291
#*Mirabela Nickel, Ltd.................................. 2,693,751 1,253,843
#*Molopo Energy, Ltd.................................... 1,186,993 676,836
#*Moly Mines, Ltd....................................... 25,253 3,411
#Monadelphous Group, Ltd............................... 319,624 6,988,498
*Morning Star Gold NL.................................. 332,749 37,995
#Mortgage Choice, Ltd.................................. 631,109 1,133,592
Mount Gibson Iron, Ltd................................ 3,121,745 2,277,582
Murchison Metals, Ltd................................. 685,443 31,276
#Myer Holdings, Ltd.................................... 3,564,925 7,225,726
MyState, Ltd.......................................... 43,788 170,572
*Nanosonics, Ltd....................................... 259,364 141,458
#Navitas, Ltd.......................................... 1,189,617 5,081,804
*Neon Energy, Ltd...................................... 65,782 18,096
*New Guinea Energy, Ltd................................ 79,187 2,542
*NewSat, Ltd........................................... 405,515 210,332
*Nexus Energy, Ltd..................................... 4,998,176 621,107
NIB Holdings, Ltd..................................... 1,322,671 2,487,422
*Nido Petroleum, Ltd................................... 6,093,154 226,661
#*Noble Mineral Resources, Ltd.......................... 859,168 120,368
Norfolk Group, Ltd.................................... 361,653 243,875
#*Northern Iron, Ltd.................................... 799,125 501,493
*Northern Star Resources, Ltd.......................... 1,454,940 1,939,634
NRW Holdings, Ltd..................................... 1,174,775 2,491,755
*NuCoal Resources, Ltd................................. 429,538 64,532
Nufarm, Ltd........................................... 817,424 4,873,105
#Oakton, Ltd........................................... 378,695 491,007
*Oilex, Ltd............................................ 23,182 1,342
*OPUS Group, Ltd....................................... 65,187 31,639
#*Orocobre, Ltd......................................... 257,530 496,075
#OrotonGroup, Ltd...................................... 89,607 604,276
*Otto Energy, Ltd...................................... 1,936,175 174,688
Pacific Brands, Ltd................................... 4,412,120 2,837,818
*Pacific Niugini, Ltd.................................. 200,616 33,310
#*Paladin Energy, Ltd................................... 4,096,983 4,805,465
*Pan Pacific Petroleum NL.............................. 1,094,343 119,274
PanAust, Ltd.......................................... 1,025,303 3,534,660
*Pancontinental Oil & Gas NL........................... 1,006,891 87,295
Panoramic Resources, Ltd.............................. 971,509 627,823
*PaperlinX, Ltd........................................ 2,814,406 151,843
*Papillon Resources, Ltd............................... 32,010 61,468
Patties Foods, Ltd.................................... 39,601 67,789
*Peak Resources, Ltd................................... 288,357 56,683
#*Peet, Ltd............................................. 1,096,798 1,058,783
*Peninsula Energy, Ltd................................. 5,178,834 192,706
48
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
AUSTRALIA -- (Continued)
#*Perilya, Ltd........................................... 1,482,070 $ 475,586
#Perpetual Trustees Australia, Ltd...................... 226,579 6,555,708
#*Perseus Mining, Ltd.................................... 1,605,654 4,309,705
#*Pharmaxis, Ltd......................................... 1,018,699 1,365,308
*Phosphagenics, Ltd..................................... 1,659,005 265,907
#*Platinum Australia, Ltd................................ 1,442,661 100,337
#*Pluton Resources, Ltd.................................. 538,056 103,357
PMP, Ltd............................................... 2,395,607 496,580
*Poseidon Nickel, Ltd................................... 436,181 51,950
#Premier Investments, Ltd............................... 278,643 1,781,621
#*Prima Biomed, Ltd...................................... 2,338,194 302,939
Primary Health Care, Ltd............................... 1,960,174 7,906,484
Prime Media Group, Ltd................................. 1,777,139 1,455,403
*PrimeAg, Ltd........................................... 213,399 254,567
Programmed Maintenance Service, Ltd.................... 550,149 1,179,887
*QRxPharma, Ltd......................................... 167,593 125,451
*Quickstep Holdings, Ltd................................ 462,355 81,256
*Ramelius Resources, Ltd................................ 1,512,836 692,945
*Range Resources, Ltd................................... 1,456,711 90,557
#RCR Tomlinson, Ltd..................................... 1,056,974 2,011,646
REA Group, Ltd......................................... 189,011 3,383,011
#Reckon, Ltd............................................ 271,858 696,410
*Red 5, Ltd............................................. 9,022 11,700
#*Red Fork Energy, Ltd................................... 1,175,289 839,337
Redflex Holdings, Ltd.................................. 377,855 599,346
Reece Australia, Ltd................................... 238,457 5,014,858
*Reed Resources, Ltd.................................... 698,001 130,464
*Regis Resources, Ltd................................... 515,563 2,874,665
#Reject Shop, Ltd. (The)................................ 122,036 1,797,826
#*Resolute Mining, Ltd................................... 3,133,646 6,254,867
#*Resource & Investment NL............................... 353,895 73,277
*Resource Equipment, Ltd................................ 118,411 41,406
*Resource Generation, Ltd............................... 338,381 140,522
#Retail Food Group, Ltd................................. 89,936 296,904
#*Rex Minerals, Ltd...................................... 469,315 388,700
*Rialto Energy, Ltd..................................... 1,967,580 244,541
#Ridley Corp., Ltd...................................... 1,283,068 1,532,395
*RiverCity Motorway Group, Ltd.......................... 1,563,354 --
*Robust Resources, Ltd.................................. 136,513 89,233
*Roc Oil Co., Ltd....................................... 6,490,268 2,888,811
Runge, Ltd............................................. 30,702 13,371
#Ruralco Holdings, Ltd.................................. 88,651 297,716
#SAI Global, Ltd........................................ 1,203,570 5,065,529
#*Salinas Energy, Ltd.................................... 1,842,511 506,472
#Salmat, Ltd............................................ 664,807 1,779,897
#*Samson Oil & Gas, Ltd.................................. 7,175,499 254,871
*Sandfire Resources NL.................................. 299,154 2,612,129
*Saracen Mineral Holdings, Ltd.......................... 2,686,129 1,402,007
Schaffer Corp., Ltd.................................... 33,766 132,310
Sedgman, Ltd........................................... 443,054 454,487
Seek, Ltd.............................................. 4 28
#Select Harvests, Ltd................................... 311,834 378,403
#*Senex Energy, Ltd...................................... 3,522,445 2,701,597
Servcorp, Ltd.......................................... 301,327 976,118
Service Stream, Ltd.................................... 1,432,710 572,200
#Seven West Media, Ltd.................................. 447,449 564,107
#Sigma Pharmaceuticals, Ltd............................. 4,898,960 3,427,443
*Sihayo Gold, Ltd....................................... 603,971 78,538
*Silex System, Ltd...................................... 545,788 1,969,212
#*Silver Lake Resources, Ltd............................. 1,125,179 4,123,914
*Sipa Resources International NL........................ 706,804 48,994
49
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
AUSTRALIA -- (Continued)
#*Sirtex Medical, Ltd.................................. 219,105 $ 2,500,206
Skilled Group, Ltd................................... 492,016 1,356,516
Slater & Gordon, Ltd................................. 24,701 50,740
#SMS Management & Technology, Ltd..................... 435,122 2,247,122
Southern Cross Electrical Engineering, Ltd........... 21,171 26,771
Southern Cross Media Group, Ltd...................... 2,546,520 2,745,745
Spark Infrastructure Group, Ltd...................... 5,307,759 9,307,506
#*Specialty Fashion Group, Ltd......................... 809,557 504,178
*St. Barbara, Ltd..................................... 1,946,083 3,843,800
#*Starpharma Holdings, Ltd............................. 938,555 1,582,706
#*Straits Resources, Ltd............................... 917,602 92,169
*Strike Energy, Ltd................................... 1,230,120 261,139
Structural Systems, Ltd.............................. 138,772 90,679
STW Communications Group, Ltd........................ 1,095,072 1,147,155
#*Sundance Energy Australia, Ltd....................... 1,009,945 830,902
*Sundance Resources, Ltd.............................. 8,756,539 3,222,143
*Sunland Group, Ltd................................... 741,191 797,285
#Super Retail Group, Ltd.............................. 1,291,875 12,068,742
Swick Mining Services, Ltd........................... 87,194 28,060
*Talisman Mining, Ltd................................. 217,981 54,223
#*Tanami Gold NL....................................... 569,930 432,312
*Tap Oil, Ltd......................................... 1,450,696 1,060,222
Tassal Group, Ltd.................................... 626,912 942,089
#Technology One, Ltd.................................. 1,322,653 1,912,561
#Ten Network Holdings, Ltd............................ 5,185,547 1,507,673
#*Texon Petroleum, Ltd................................. 871,211 347,319
#TFS Corp., Ltd....................................... 1,393,854 556,436
Thorn Group, Ltd..................................... 370,228 758,655
*Tiger Resources, Ltd................................. 1,751,101 561,394
*Tissue Therapies, Ltd................................ 41,469 15,903
*Toro Energy, Ltd..................................... 70,156 9,464
#*Tox Free Solutions, Ltd.............................. 461,406 1,353,963
#TPG Telecom, Ltd..................................... 1,569,063 3,883,595
Transfield Services, Ltd............................. 2,144,148 3,531,666
*Transpacific Industries Group, Ltd................... 4,533,180 3,590,693
#Troy Resources, Ltd.................................. 415,918 1,912,038
Trust Co., Ltd. (The)................................ 89,605 432,806
#*UGL, Ltd............................................. 29,808 330,281
*Unity Mining, Ltd.................................... 2,433,889 344,245
#UXC, Ltd............................................. 1,169,545 1,066,424
*VDM Group, Ltd....................................... 1,684,753 19,135
#*Venture Minerals, Ltd................................ 450,858 126,216
*Venturex Resources, Ltd.............................. 42,171 1,750
Village Roadshow, Ltd................................ 855,994 3,322,767
#*Virgin Australia Holdings, Ltd. (B43DQC7)............ 7,648,897 3,884,086
*Virgin Australia Holdings, Ltd. (B7L5734)............ 7,648,897 39,700
Warrnambool Cheese & Butter Factory Co. Holding, Ltd. 1,203 4,673
#Watpac, Ltd.......................................... 711,698 442,838
WDS, Ltd............................................. 375,342 249,189
#Webjet, Ltd.......................................... 356,064 1,477,954
Webster, Ltd......................................... 180,921 112,300
#Western Areas NL..................................... 765,031 3,472,009
#*Western Desert Resouurces, Ltd....................... 225,143 151,235
#*White Energy Co., Ltd................................ 643,913 233,411
WHK Group, Ltd....................................... 1,202,433 1,316,878
#Wide Bay Australia, Ltd.............................. 84,697 580,518
#*Windimurra Vanadium, Ltd............................. 537,429 --
#Wotif.com Holdings, Ltd.............................. 588,604 2,834,354
*Yancoal Australia, Ltd............................... 213,764 225,688
#*YTC Resources, Ltd................................... 104,200 26,435
------------
TOTAL AUSTRALIA......................................... 566,558,727
------------
50
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
---------- ----------
CHINA -- (0.0%)
#*China Public Procurement, Ltd......................... 5,230,000 $ --
*Madex International Holdings, Ltd..................... 3,182,000 51,246
*Skyfame Realty Holdings, Ltd.......................... 2,659,625 236,464
----------
TOTAL CHINA.............................................. 287,710
----------
HONG KONG -- (17.0%)
Aeon Credit Service (Asia) Co., Ltd................... 580,000 533,325
#Aeon Stores Hong Kong Co., Ltd........................ 242,000 602,632
Alco Holdings, Ltd.................................... 1,426,000 299,577
Allan International Holdings, Ltd..................... 720,000 186,421
Allied Group, Ltd..................................... 683,200 1,813,449
Allied Overseas, Ltd.................................. 50,000 27,568
Allied Properties, Ltd................................ 12,297,857 1,701,401
*Apac Resources, Ltd................................... 12,720,000 433,988
APT Satellite Holdings, Ltd........................... 1,275,000 352,708
*Artel Solutions Group Holdings, Ltd................... 6,645,000 72,914
Arts Optical International Holdings, Ltd.............. 730,000 210,833
Asia Financial Holdings, Ltd.......................... 2,474,908 961,963
Asia Satellite Telecommunications Holdings, Ltd....... 962,000 3,066,878
*Asia Standard Hotel Group, Ltd........................ 11,777,218 1,080,365
Asia Standard International Group, Ltd................ 13,425,937 2,383,441
#Associated International Hotels, Ltd.................. 980,000 2,427,372
Aupu Group Holding Co., Ltd........................... 2,504,000 212,626
*Auto Italia Holdings.................................. 875,000 30,388
Automated Systems Holdings, Ltd....................... 318,000 46,237
Bauhaus International Holdings, Ltd................... 462,000 84,415
*Beijing Yu Sheng Tang Pharmaceutical Group, Ltd....... 1,154,000 14,646
*Bel Global Resources Holdings, Ltd.................... 2,576,000 47,199
*Bio-Dynamic Group, Ltd................................ 2,916,000 217,411
*Birmingham International Holdings, Ltd................ 6,502,000 127,522
#Bonjour Holdings, Ltd................................. 8,720,000 1,122,102
Bossini International Holdings, Ltd................... 3,871,500 194,041
*Brightoil Petroleum Holdings, Ltd..................... 2,777,000 556,779
#*Brockman Mining, Ltd.................................. 23,270,814 1,152,512
#*Burwill Holdings, Ltd................................. 8,888,960 113,096
Cafe de Coral Holdings, Ltd........................... 866,000 2,561,114
*Capital Estate, Ltd................................... 684,000 11,851
*Carico Holdings, Ltd.................................. 22,420,000 924,433
Century City International Holdings, Ltd.............. 6,419,460 421,317
Century Sunshine Group Holdings, Ltd.................. 3,655,000 197,967
Champion Technology Holdings, Ltd..................... 14,881,730 201,001
*Chaoyue Group, Ltd.................................... 1,735,000 101,321
Chen Hsong Holdings, Ltd.............................. 1,042,000 281,619
Cheuk Nang Holdings, Ltd.............................. 442,457 244,202
Chevalier International Holdings, Ltd................. 737,482 940,741
*China Best Group Holding, Ltd......................... 1,581,400 17,518
*China Billion Resources, Ltd.......................... 4,876,000 --
*China Boon Holdings, Ltd.............................. 6,200,000 71,069
*China Daye Non-Ferrous Metals Mining, Ltd............. 3,467,837 140,963
*China Digicontent Co., Ltd............................ 2,710,000 3,497
*China Electronics Corp. Holdings Co., Ltd............. 2,888,250 248,794
*China Energy Development Holdings, Ltd................ 23,576,000 381,753
*China Environmental Investment Holdings, Ltd.......... 7,470,000 181,126
*China Financial Services Holdings, Ltd................ 954,000 58,143
*China Flavors & Fragrances Co., Ltd................... 156,137 28,447
*China Gamma Group, Ltd................................ 7,400,000 114,459
*China Infrastructure Investment, Ltd.................. 7,918,000 183,048
#*China Mandarin Holdings, Ltd.......................... 501,400 36,150
China Metal International Holdings, Ltd............... 2,582,000 449,039
China Motor Bus Co., Ltd.............................. 50,000 409,150
*China Nuclear Industry 23 International Corp., Ltd.... 1,024,000 229,550
51
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
---------- ----------
HONG KONG -- (Continued)
*China Oriental Culture Group, Ltd..................... 312,000 $ 13,453
*China Outdoor Media Group, Ltd........................ 710,000 7,218
*China Renji Medical Group, Ltd........................ 12,784,000 --
#*China Resources & Transportation Group, Ltd........... 32,900,000 1,185,561
*China Solar Energy Holdings, Ltd...................... 37,990,000 141,778
*China Strategic Holdings, Ltd......................... 12,585,000 267,452
China Ting Group Holdings, Ltd........................ 2,443,151 125,900
*China Tycoon Beverage Holdings, Ltd................... 2,732,000 29,964
China WindPower Group, Ltd............................ 15,410,000 409,132
China-Hongkong Photo Products Holdings, Ltd........... 2,123,000 152,910
Chinney Investments, Ltd.............................. 1,144,000 156,382
Chong Hing Bank, Ltd.................................. 878,000 1,593,353
Chow Sang Sang Holdings International, Ltd............ 1,100,000 2,335,512
Chu Kong Shipping Enterprise Group Co., Ltd........... 2,188,000 357,846
Chuang's China Investments, Ltd....................... 3,550,494 198,588
Chuang's Consortium International, Ltd................ 5,210,781 617,282
Chun Wo Development Holdings, Ltd..................... 2,002,926 152,120
Citic Telecom International Holdings, Ltd............. 5,543,000 1,270,274
#City Telecom, Ltd..................................... 2,401,751 541,663
CK Life Sciences International Holdings, Inc.......... 15,060,000 1,202,313
CNT Group, Ltd........................................ 8,315,264 407,171
COL Capital, Ltd...................................... 2,457,840 290,573
*Continental Holdings, Ltd............................. 2,508,250 29,391
Cosmos Machinery Enterprises, Ltd..................... 1,292,400 75,614
*CP Lotus Corp., Ltd................................... 11,420,000 207,204
Cross-Harbour Holdings, Ltd. (The).................... 659,520 537,186
CSI Properties, Ltd................................... 17,906,383 739,578
*CST Mining Group, Ltd................................. 71,688,000 1,013,695
*Culture Landmark Investment, Ltd...................... 509,800 40,126
*Culturecom Holdings, Ltd.............................. 2,475,000 472,013
Dah Sing Banking Group, Ltd........................... 1,481,197 1,468,363
Dah Sing Financial Holdings, Ltd...................... 651,027 2,497,700
Dan Form Holdings Co., Ltd............................ 3,668,260 509,381
*Dejin Resources Group Co., Ltd........................ 947,500 9,141
Dickson Concepts International, Ltd................... 1,066,500 549,437
*Dingyi Group Investment, Ltd.......................... 5,497,500 209,227
Dorsett Hospitality International, Ltd................ 2,179,000 482,205
*DVN Holdings, Ltd..................................... 1,631,000 53,538
Dynamic Holdings, Ltd................................. 56,000 10,596
Eagle Nice International Holdings, Ltd................ 1,078,000 234,182
EcoGreen Fine Chemicals Group, Ltd.................... 1,112,000 202,118
*EganaGoldpfeil Holdings, Ltd.......................... 4,121,757 --
Emperor Entertainment Hotel, Ltd...................... 3,140,000 586,074
Emperor International Holdings, Ltd................... 6,208,753 1,484,468
Emperor Watch & Jewellery, Ltd........................ 23,650,000 2,243,876
*ENM Holdings, Ltd..................................... 15,112,000 1,260,848
*Enviro Energy International Holdings, Ltd............. 4,138,000 70,750
*EPI Holdings, Ltd..................................... 12,819,927 346,829
#*Esprit Holdings, Ltd.................................. 5,164,900 6,678,378
*eSun Holdings, Ltd.................................... 2,790,000 416,259
EVA Precision Industrial Holdings, Ltd................ 6,292,000 654,822
*Ezcom Holdings, Ltd................................... 72,576 450
Fairwood, Ltd......................................... 423,600 887,397
#Far East Consortium International, Ltd................ 4,773,539 949,638
#*Fook Woo Group Holdings, Ltd.......................... 952,000 167,060
Fountain SET Holdings, Ltd............................ 4,622,000 392,549
Four Seas Mercantile Holdings, Ltd.................... 592,000 157,797
*Frasers Property China, Ltd........................... 17,131,000 958,747
Get Nice Holdings, Ltd................................ 19,348,000 808,395
Giordano International, Ltd........................... 7,246,000 6,015,664
*Global Tech Holdings, Ltd............................. 4,598,000 16,516
52
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
---------- ----------
HONG KONG -- (Continued)
Glorious Sun Enterprises, Ltd......................... 2,682,000 $ 739,622
Gold Peak Industries Holding, Ltd..................... 3,118,642 293,715
Golden Resources Development International, Ltd....... 3,330,500 154,468
*Goldin Financial Holdings, Ltd........................ 480,000 61,303
*Goldin Properties Holdings, Ltd....................... 3,044,000 1,761,833
*Good Fellow Resources Holdings, Ltd................... 810,000 24,670
*Grande Holdings, Ltd.................................. 882,000 46,660
Great Eagle Holdings, Ltd............................. 70,160 207,088
*Greenheart Group, Ltd................................. 876,000 58,482
*G-Resources Group, Ltd................................ 80,853,000 3,897,642
*Group Sense International, Ltd........................ 2,378,000 53,179
Guangnan Holdings, Ltd................................ 2,249,600 269,119
Guotai Junan International Holdings, Ltd.............. 1,152,000 339,382
Haitong International Securities Group, Ltd........... 1,367,586 472,199
*Hang Fung Gold Technology, Ltd........................ 1,972,482 --
*Hans Energy Co., Ltd.................................. 4,504,000 51,185
#Harbour Centre Development, Ltd....................... 957,500 1,457,520
High Fashion International, Ltd....................... 268,000 89,443
HKR International, Ltd................................ 5,895,136 2,819,319
Hon Kwok Land Investment Co., Ltd..................... 314,800 117,083
Hong Kong & Shanghai Hotels, Ltd...................... 191,500 252,548
*Hong Kong Aircraft Engineering Co., Ltd............... 12,800 174,404
Hong Kong Ferry Holdings, Ltd......................... 809,300 763,394
Hongkong Chinese, Ltd................................. 5,024,000 828,753
*Hop Fung Group Holdings, Ltd.......................... 452,000 14,433
Hsin Chong Construction Group, Ltd.................... 1,711,658 235,739
*Huafeng Group Holdings, Ltd........................... 5,113,325 155,828
Hung Hing Printing Group, Ltd......................... 1,298,000 190,563
Hutchison Telecommunications Hong Kong Holdings, Ltd.. 5,248,000 2,169,665
*Hybrid Kinetic Group, Ltd............................. 12,788,000 155,677
*HyComm Wireless, Ltd.................................. 89,090 17,395
*IDT International, Ltd................................ 1,704,183 28,512
*Imagi International Holdings, Ltd..................... 26,656,000 380,627
IPE Group, Ltd........................................ 2,060,000 151,103
*IRC, Ltd,............................................. 3,210,000 395,223
IT, Ltd............................................... 3,012,532 1,192,943
ITC Corp., Ltd........................................ 659,645 41,998
ITC Properties Group, Ltd............................. 3,645,747 1,176,646
*Jinhui Holdings, Ltd.................................. 207,000 37,403
Jiuzhou Development Co., Ltd.......................... 2,558,000 270,283
*JLF Investment Co., Ltd............................... 3,173,500 147,109
Johnson Electric Holdings, Ltd........................ 1,229,500 784,598
Joyce Boutique Holdings, Ltd.......................... 1,530,000 112,086
K Wah International Holdings, Ltd..................... 6,354,390 2,875,434
Kam Hing International Holdings, Ltd.................. 1,974,000 153,877
Kantone Holdings, Ltd................................. 9,835,145 85,697
*Karfun Investment, Ltd................................ 538,000 5,554
*Karl Thomson Holdings, Ltd............................ 436,000 70,644
Karrie International Holdings, Ltd.................... 1,951,200 50,514
Keck Seng Investments (Hong Kong), Ltd................ 904,600 407,331
Kin Yat Holdings, Ltd................................. 586,000 68,728
*King Pacific International Holdings, Ltd.............. 1,404,200 22,105
*King Stone Energy Group, Ltd.......................... 3,925,000 247,318
Kingmaker Footwear Holdings, Ltd...................... 1,484,955 211,436
Kingston Financial Group, Ltd......................... 13,039,000 1,006,280
*Ko Yo Chemical Group, Ltd............................. 16,260,000 253,628
Kowloon Development Co., Ltd.......................... 1,738,000 1,994,609
*Kwoon Chung Bus Holdings, Ltd......................... 530,000 114,756
*Lai Sun Development Co., Ltd.......................... 65,128,466 1,602,236
*Lai Sun Garment International, Ltd.................... 2,824,000 360,698
Lam Soon Hong Kong, Ltd............................... 302,310 138,024
53
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
---------- ----------
HONG KONG -- (Continued)
*Leading Spirit High-Tech Holdings Co., Ltd............ 2,310,000 $ 2,981
Lee & Man Chemical Co., Ltd........................... 1,420,000 745,367
Lee's Pharmaceutical Holdings, Ltd.................... 150,000 91,872
Lerado Group Holdings Co., Ltd........................ 1,900,000 181,088
Lippo China Resources, Ltd............................ 9,850,000 253,464
Lippo, Ltd............................................ 1,195,700 512,937
*Lisi Group Holdings, Ltd.............................. 4,214,000 168,203
Liu Chong Hing Investment, Ltd........................ 775,200 805,958
Luen Thai Holdings, Ltd............................... 849,000 113,855
Luk Fook Holdings International, Ltd.................. 1,746,000 4,361,261
Luks Group (Vietnam Holdings) Co., Ltd................ 428,913 98,724
*Lung Cheong International Holdings, Ltd............... 6,790,000 240,157
Lung Kee (Bermuda) Holdings, Ltd...................... 1,597,875 494,295
Magnificent Estates, Ltd.............................. 13,184,000 637,998
Mainland Headwear Holdings, Ltd....................... 663,600 86,336
#*Man Wah Holdings, Ltd................................. 976,800 596,528
Man Yue Technology Holdings, Ltd...................... 1,064,000 175,274
Matrix Holdings, Ltd.................................. 1,067,414 250,445
*Mei Ah Entertainment Group, Ltd....................... 11,040,000 194,420
Melbourne Enterprises, Ltd............................ 40,500 727,978
Melco International Development, Ltd.................. 5,117,000 4,932,333
#Midland Holdings, Ltd................................. 3,646,000 1,834,139
Ming Fai International Holdings, Ltd.................. 1,680,000 151,349
*Ming Fung Jewellery Group, Ltd........................ 9,390,000 428,248
Miramar Hotel & Investment Co., Ltd................... 839,000 1,054,936
Modern Beauty Salon Holdings, Ltd..................... 160,000 19,776
*Mongolia Energy Corp., Ltd............................ 10,603,000 497,266
#*Mongolian Mining Corp................................. 4,552,500 2,224,299
*Nan Nan Resources Enterprise, Ltd..................... 194,000 21,245
Nanyang Holdings, Ltd................................. 137,500 475,097
National Electronics Holdings, Ltd.................... 2,434,000 320,053
Natural Beauty Bio-Technology, Ltd.................... 4,470,000 449,502
#*Neo-Neon Holdings, Ltd................................ 3,033,000 654,120
*Neptune Group, Ltd.................................... 80,000 1,575
*Net2Gather China Holdings, Ltd........................ 349,572 27,669
New Century Group Hong Kong, Ltd...................... 13,351,464 271,868
*New Focus Auto Tech Holdings, Ltd..................... 104,000 14,973
*New Smart Energy Group, Ltd........................... 23,975,000 228,592
#*New Times Energy Corp., Ltd........................... 1,297,600 166,859
NewOcean Green Energy Holdings, Ltd................... 4,380,000 1,681,749
*Next Media, Ltd....................................... 3,931,183 833,912
*Norstar Founders Group, Ltd........................... 3,256,000 --
*North Asia Resources Holdings, Ltd.................... 1,438,600 59,366
*Orange Sky Golden Harvest Entertainment Holdings, Ltd. 6,229,706 316,971
*Orient Power Holdings, Ltd............................ 804,000 19,503
#Oriental Watch Holdings, Ltd.......................... 2,846,800 848,620
Pacific Andes International Holdings, Ltd............. 10,279,378 575,778
#Pacific Basin Shipping, Ltd........................... 9,730,000 5,180,604
Pacific Textile Holdings, Ltd......................... 2,091,000 1,379,107
Paliburg Holdings, Ltd................................ 3,152,830 991,684
*Pan Asia Environmental Protection Group, Ltd.......... 1,140,000 83,170
#*Peace Mark Holdings, Ltd.............................. 2,738,022 --
*Pearl Oriental Oil, Ltd............................... 12,756,800 1,099,743
Pegasus International Holdings, Ltd................... 226,000 31,919
Pico Far East Holdings, Ltd........................... 4,276,000 1,047,401
Playmates Holdings, Ltd............................... 174,000 100,927
*PME Group, Ltd........................................ 5,360,000 117,515
*PNG Resources Holdings, Ltd........................... 17,018,362 263,330
Pokfulam Development Co., Ltd......................... 234,000 387,298
Polytec Asset Holdings, Ltd........................... 10,763,526 1,258,081
Public Financial Holdings, Ltd........................ 3,194,000 1,439,013
54
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
---------- ----------
HONG KONG -- (Continued)
*PYI Corp., Ltd........................................ 14,249,973 $ 301,255
*Pyxis Group, Ltd...................................... 1,936,000 42,467
Raymond Industrial, Ltd............................... 1,383,400 144,454
Regal Hotels International Holdings, Ltd.............. 2,539,800 1,115,029
Richfield Group Holdings, Ltd......................... 6,456,000 306,859
*Rising Development Holdings, Ltd...................... 2,278,000 93,915
Rivera Holdings, Ltd.................................. 5,710,000 170,972
S.A.S. Dragon Holdings, Ltd........................... 1,052,000 217,040
SA SA International Holdings, Ltd..................... 3,572,000 2,445,801
Safety Godown Co., Ltd................................ 398,000 592,115
*San Miguel Brewery Hong Kong, Ltd..................... 408,800 59,320
*Sandmartin International Holdings, Ltd................ 84,000 9,652
*Sanyuan Group, Ltd.................................... 415,000 8,032
SEA Holdings, Ltd..................................... 1,158,000 803,784
*SEEC Media Group, Ltd................................. 136,000 3,964
*Sheng Yuan Holdings, Ltd.............................. 210,000 10,824
#Shenyin Wanguo, Ltd................................... 1,412,500 380,487
Shenzhen High-Tech Holdings, Ltd...................... 812,000 95,461
*Shougang Concord Technology Holdings, Ltd............. 4,201,809 230,175
*Shun Ho Resources Holdings, Ltd....................... 483,000 80,024
*Shun Ho Technology Holdings, Ltd...................... 1,037,452 169,261
Shun Tak Holdings, Ltd................................ 8,089,419 3,223,300
*Sing Pao Media Enterprises, Ltd....................... 250,511 485
Sing Tao News Corp., Ltd.............................. 1,974,000 274,278
Singamas Container Holdings, Ltd...................... 7,906,000 1,988,177
*Sinocan Holdings, Ltd................................. 350,000 1,761
*Sinocop Resources Holdings, Ltd....................... 3,370,000 269,601
*Sino-Tech International Holdings, Ltd................. 29,380,000 265,366
SIS International Holdings, Ltd....................... 34,000 12,270
SmarTone Telecommunications Holdings, Ltd............. 1,644,500 3,309,357
SOCAM Development, Ltd................................ 1,036,771 1,064,823
*Solomon Systech International, Ltd.................... 6,312,000 175,437
Soundwill Holdings, Ltd............................... 150,000 272,081
*South China (China), Ltd.............................. 6,744,000 521,052
*South China Financial Holdings, Ltd................... 2,022,000 13,793
*South China Land, Ltd................................. 20,095,170 294,776
Southeast Asia Properties & Finance, Ltd.............. 131,891 38,299
Stella International Holdings, Ltd.................... 152,000 399,422
Stelux Holdings International, Ltd.................... 1,617,400 361,829
*Styland Holdings, Ltd................................. 137,438 2,341
*Success Universe Group, Ltd........................... 5,552,000 128,105
Sun Hing Vision Group Holdings, Ltd................... 358,000 119,987
#Sun Hung Kai & Co., Ltd............................... 1,848,429 1,054,995
*Sun Innovation Holdings, Ltd.......................... 10,945,655 112,244
Sunwah Kingsway Capital Holdings, Ltd................. 1,160,000 19,499
*Sunway International Holdings, Ltd.................... 850,000 19,747
*Superb Summit International Group, Ltd................ 16,746,600 490,883
#*Sustainable Forest Holdings, Ltd...................... 13,677,750 280,613
Tai Cheung Holdings, Ltd.............................. 1,975,000 1,564,896
Tai Sang Land Development, Ltd........................ 598,984 262,056
*Talent Property Group, Ltd............................ 5,106,420 94,985
#Tan Chong International, Ltd.......................... 1,212,000 333,350
#Tao Heung Holdings, Ltd............................... 230,000 125,576
#*Taung Gold International, Ltd......................... 14,590,000 299,328
Termbray Industries International (Holdings), Ltd..... 2,304,900 252,089
Tern Properties Co., Ltd.............................. 51,200 19,608
Texwinca Holdings, Ltd................................ 1,676,000 1,328,223
*Theme International Holdings, Ltd..................... 3,370,000 56,376
Tian Teck Land, Ltd................................... 1,054,000 1,082,858
#*Titan Petrochemicals Group, Ltd....................... 13,140,000 4,239
*Tom Group, Ltd........................................ 3,638,000 435,496
55
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
---------- ------------
HONG KONG -- (Continued)
Tongda Group Holdings, Ltd.......................... 11,860,000 $ 487,778
*Topsearch International Holdings, Ltd............... 2,420,000 68,839
*Town Health International Investments, Ltd.......... 1,175,165 62,819
Tradelink Electronic Commerce, Ltd.................. 1,470,000 240,226
#Transport International Holdings, Ltd............... 954,941 1,962,014
Trinity, Ltd........................................ 3,520,000 2,455,722
Tristate Holdings, Ltd.............................. 188,000 92,102
*TSC Group Holdings, Ltd............................. 1,928,000 299,930
#Tse Sui Luen Jewellery International, Ltd........... 300,000 154,888
Tungtex Holdings Co., Ltd........................... 642,000 68,679
Tysan Holdings, Ltd................................. 1,040,773 198,595
#*United Laboratories International Holdings, Ltd.
(The).............................................. 3,210,000 1,699,732
Universal Technologies Holdings, Ltd................ 6,630,000 384,208
*Up Energy Development Group, Ltd.................... 674,000 66,965
*U-Right International Holdings, Ltd................. 4,746,000 8,573
*Value Convergence Holdings, Ltd..................... 1,216,000 187,586
#Value Partners Group, Ltd........................... 3,517,000 1,909,232
Van Shung Chong Holdings, Ltd....................... 1,601,335 115,328
Varitronix International, Ltd....................... 1,097,293 396,931
Vedan International Holdings, Ltd................... 3,272,000 214,997
Veeko International Holdings, Ltd................... 1,267,116 31,444
#Victory City International Holdings, Ltd............ 3,704,249 390,822
*Vision Values Holdings, Ltd......................... 121,400 3,139
Vitasoy International Holdings, Ltd................. 3,769,000 3,564,786
*Vongroup, Ltd....................................... 4,085,000 19,482
VST Holdings, Ltd................................... 3,000,000 524,553
Wai Kee Holdings, Ltd............................... 7,946,738 1,492,060
Wang On Group, Ltd.................................. 15,191,286 165,951
*Warderly International Holdings, Ltd................ 520,000 32,206
Water Oasis Group, Ltd.............................. 1,560,000 197,664
Win Hanverky Holdings, Ltd.......................... 1,712,000 171,909
Wing On Co. International, Ltd...................... 781,000 2,169,295
Wing Tai Properties, Ltd............................ 1,957,331 1,208,980
Wong's International (Holdings), Ltd................ 737,641 203,892
Wong's Kong King International Holdings, Ltd........ 120,000 12,697
Xingye Copper International Group, Ltd.............. 716,000 82,870
#Xinyi Glass Holdings, Ltd........................... 8,164,000 4,558,138
Y. T. Realty Group, Ltd............................. 749,000 193,999
Yangtzekiang Garment, Ltd........................... 606,500 224,469
Yau Lee Holdings, Ltd............................... 534,000 88,752
Yeebo (International Holdings), Ltd................. 572,000 84,653
#YGM Trading, Ltd.................................... 426,000 1,021,634
*Yugang International, Ltd........................... 93,492,000 664,041
------------
TOTAL HONG KONG........................................ 203,931,252
------------
NEW ZEALAND -- (6.4%)
*Abano Healthcare Group, Ltd......................... 29,157 137,952
Air New Zealand, Ltd................................ 2,261,316 2,303,593
Auckland International Airport, Ltd................. 1,137,263 2,508,643
*Cavalier Corp., Ltd................................. 283,674 440,827
CDL Investments New Zealand, Ltd.................... 395,965 139,137
Chorus, Ltd......................................... 279,041 775,152
Colonial Motor Co., Ltd............................. 148,846 458,513
*Diligent Board Member Services, Inc................. 6,215 19,423
Ebos Group, Ltd..................................... 203,702 1,374,484
*Fisher & Paykel Appliances Holdings, Ltd............ 3,131,412 3,284,557
Fisher & Paykel Healthcare Corp., Ltd............... 3,117,358 6,022,656
#Freightways, Ltd.................................... 793,614 2,792,775
Hallenstein Glasson Holdings, Ltd................... 243,961 996,771
*Heartland New Zealand, Ltd.......................... 173,369 98,273
Hellaby Holdings, Ltd............................... 353,056 898,918
56
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- -----------
NEW ZEALAND -- (Continued)
Infratil, Ltd......................................... 2,312,698 $ 4,297,908
*Kathmandu Holdings, Ltd............................... 36,968 54,739
#Mainfreight, Ltd...................................... 439,219 3,844,692
Methven, Ltd.......................................... 70,490 77,629
Michael Hill International, Ltd....................... 1,534,152 1,500,361
Millennium & Copthorne Hotels (New Zealand), Ltd...... 1,387,344 536,578
New Zealand Oil & Gas, Ltd............................ 2,036,646 1,446,982
#New Zealand Refining Co., Ltd......................... 591,259 1,371,363
Northland Port Corp. (New Zealand), Ltd............... 192,300 336,174
#Nuplex Industries, Ltd................................ 1,013,819 2,515,860
NZX, Ltd.............................................. 880,152 903,578
#Opus International Consultants, Ltd................... 12,925 22,111
*Pike River Coal, Ltd.................................. 490,805 --
Port of Tauranga, Ltd................................. 528,322 5,622,732
#*Pumpkin Patch, Ltd.................................... 606,913 623,807
*Pyne Gould Guinness, Ltd.............................. 554,775 154,763
*Rakon, Ltd............................................ 346,364 119,697
#Restaurant Brands New Zealand, Ltd.................... 413,600 867,326
*Richina Pacific, Ltd.................................. 274,180 81,175
*Rubicon, Ltd.......................................... 1,485,105 340,402
#Ryman Healthcare, Ltd................................. 1,685,604 5,610,636
Sanford, Ltd.......................................... 393,618 1,408,126
Scott Technology, Ltd................................. 36,510 63,078
*Seafresh Fisheries, Ltd............................... 80,520 1,854
Skellerup Holdings, Ltd............................... 361,864 496,520
Sky Network Television, Ltd........................... 1,006,593 4,445,634
SKYCITY Entertainment Group, Ltd...................... 3,227,185 10,293,066
South Port New Zealand, Ltd........................... 27,744 74,690
#Steel & Tube Holdings, Ltd............................ 389,046 693,584
Tourism Holdings, Ltd................................. 274,867 162,524
Tower, Ltd............................................ 967,919 1,535,599
#TrustPower, Ltd....................................... 55,801 391,790
Vector, Ltd........................................... 986,035 2,203,960
Warehouse Group, Ltd.................................. 588,314 1,523,015
*Xero, Ltd............................................. 35,277 158,139
-----------
TOTAL NEW ZEALAND........................................ 76,031,766
-----------
SINGAPORE -- (12.2%)
#*Abterra, Ltd.......................................... 531,800 371,312
Amtek Engineering, Ltd................................ 918,000 449,949
Armstrong Industrial Corp., Ltd....................... 1,264,000 273,727
#*Asiasons Capital, Ltd................................. 1,048,000 590,235
*Asiatravel.com Holdings, Ltd.......................... 17,000 4,170
#ASL Marine Holdings, Ltd.............................. 721,600 393,297
*AusGroup, Ltd......................................... 2,951,000 1,116,019
#Baker Technology, Ltd................................. 1,272,000 330,602
*Banyan Tree Holdings, Ltd............................. 960,000 525,588
Beng Kuang Marine, Ltd................................ 922,000 87,159
#BH Global Marine, Ltd................................. 621,000 95,677
#*Biosensors International Group, Ltd................... 4,355,237 3,859,154
Bonvests Holdings, Ltd................................ 978,000 832,928
Boustead Singapore, Ltd............................... 1,155,000 899,204
Breadtalk Group, Ltd.................................. 650,800 319,632
#Broadway Industrial Group, Ltd........................ 1,093,000 254,754
#Bukit Sembawang Estates, Ltd.......................... 492,003 2,167,076
*Bund Center Investment, Ltd........................... 1,100,000 157,709
#Cerebos Pacific, Ltd.................................. 545,000 2,944,723
CH Offshore, Ltd...................................... 1,539,400 655,666
China Aviation Oil Singapore Corp., Ltd............... 1,061,000 841,333
*China Dairy Group, Ltd................................ 675,000 55,137
*China Energy, Ltd..................................... 768,000 33,113
57
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
---------- ----------
SINGAPORE -- (Continued)
China Merchants Holdings Pacific, Ltd................. 813,000 $ 480,403
Chip Eng Seng Corp., Ltd.............................. 2,467,800 937,472
Chosen Holdings, Ltd.................................. 681,000 69,974
Chuan Hup Holdings, Ltd............................... 3,967,000 910,586
#*Cosco Corp Singapore, Ltd............................. 4,839,000 3,473,656
Creative Technology, Ltd.............................. 272,200 697,862
*CSC Holdings, Ltd..................................... 1,849,000 164,312
CSE Global, Ltd....................................... 2,383,000 1,686,616
CWT, Ltd.............................................. 1,072,700 1,095,762
Datapulse Technology, Ltd............................. 27,000 4,867
#*Delong Holdings, Ltd.................................. 1,361,000 309,737
DMX Technologies Group, Ltd........................... 1,211,000 212,435
#*Dyna-Mac Holdings, Ltd................................ 1,084,000 398,693
Ellipsiz, Ltd......................................... 123,000 8,434
EnGro Corp, Ltd....................................... 354,000 266,042
Enviro-Hub Holdings, Ltd.............................. 1,445,666 118,119
Eu Yan Sang International, Ltd........................ 673,800 336,520
*euNetworks Group, Ltd................................. 411,000 4,529
#Ezion Holdings, Ltd................................... 3,014,000 3,181,306
#*Ezra Holdings, Ltd.................................... 3,489,000 3,174,317
F.J. Benjamin Holdings, Ltd........................... 1,305,000 346,961
*Falcon Energy Group, Ltd.............................. 1,180,000 230,402
Food Empire Holdings, Ltd............................. 1,094,400 432,912
Fragrance Group, Ltd.................................. 5,816,000 1,258,973
Freight Links Express Holdings, Ltd................... 6,042,111 326,363
*Fu Yu Corp., Ltd...................................... 611,500 30,643
*Gallant Venture, Ltd.................................. 3,789,000 849,599
GK Goh Holdings, Ltd.................................. 1,458,000 885,278
Global Yellow Pages, Ltd.............................. 299,000 21,319
#GMG Global, Ltd....................................... 15,662,000 1,612,669
Goodpack, Ltd......................................... 1,184,000 1,879,358
GP Batteries International, Ltd....................... 343,000 267,300
GP Industries, Ltd.................................... 2,732,209 858,642
*Grand Banks Yachts, Ltd............................... 166,000 48,013
GuocoLand, Ltd........................................ 447,314 793,228
#GuocoLeisure, Ltd..................................... 2,512,000 1,273,848
Guthrie GTS, Ltd...................................... 888,000 442,652
Hanwell Holdings, Ltd................................. 1,823,419 380,623
*Healthway Medical Corp., Ltd.......................... 5,065,776 336,003
HG Metal Manufacturing, Ltd........................... 426,000 27,905
Hiap Seng Engineering, Ltd............................ 612,000 148,402
Hi-P International, Ltd............................... 1,279,000 750,905
*HLH Group, Ltd........................................ 604,000 12,305
Ho Bee Investment, Ltd................................ 1,196,000 1,442,058
*Hong Fok Corp., Ltd................................... 3,323,640 1,369,879
*Hong Fok Land, Ltd.................................... 1,210,000 1,561
Hong Leong Asia, Ltd.................................. 591,000 815,352
Hotel Grand Central, Ltd.............................. 1,266,047 936,391
#Hotel Properties, Ltd................................. 1,346,400 2,906,831
Hour Glass, Ltd....................................... 622,744 861,277
HTL International Holdings, Ltd....................... 1,063,843 298,000
*Huan Hsin Holdings, Ltd............................... 770,400 30,460
HupSteel, Ltd......................................... 1,572,875 255,513
Hwa Hong Corp., Ltd................................... 2,186,000 647,889
#Hyflux, Ltd........................................... 3,141,500 3,463,212
IFS Capital, Ltd...................................... 248,080 78,283
#*Indofood Agri Resources, Ltd.......................... 2,464,000 2,535,330
*Inno-Pacific Holdings, Ltd............................ 2,303,000 88,557
InnoTek, Ltd.......................................... 950,000 252,298
*Interra Resources, Ltd................................ 1,370,000 442,207
IPC Corp., Ltd........................................ 4,067,000 435,403
58
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
---------- ----------
SINGAPORE -- (Continued)
Isetan (Singapore), Ltd............................... 122,500 $ 513,103
*Jaya Holdings, Ltd.................................... 1,468,000 666,419
*JES International Holdings, Ltd....................... 1,938,000 231,792
*Jiutian Chemical Group, Ltd........................... 2,337,000 91,328
#*Jurong Technologies Industrial Corp., Ltd............. 2,227,680 --
K1 Ventures, Ltd...................................... 3,382,500 346,302
#Keppel Telecommunications & Transportation, Ltd....... 1,409,600 1,487,928
K-Green Trust, Ltd.................................... 539,000 446,445
Kian Ann Engineering, Ltd............................. 1,276,000 443,017
Koh Brothers Group, Ltd............................... 1,312,000 247,385
Lafe Corp., Ltd....................................... 1,234,800 76,935
LC Development, Ltd................................... 3,036,504 392,880
Lee Kim Tah Holdings, Ltd............................. 1,600,000 982,031
*Li Heng Chemical Fibre Technologies, Ltd.............. 2,053,000 238,404
*Lian Beng Group, Ltd.................................. 1,149,000 365,947
Lion Asiapac, Ltd..................................... 142,000 21,540
*LionGold Corp., Ltd................................... 298,000 260,096
*Low Keng Huat Singapore, Ltd.......................... 211,000 82,773
Lum Chang Holdings, Ltd............................... 1,042,030 277,047
M1, Ltd............................................... 1,154,000 2,467,111
*Manhattan Resources, Ltd.............................. 957,000 383,640
Marco Polo Marine, Ltd................................ 608,000 166,996
Memstar Technology, Ltd............................... 4,404,000 226,700
Memtech International, Ltd............................ 1,222,000 75,736
#Mercator Lines Singapore, Ltd......................... 555,000 52,769
Metro Holdings, Ltd................................... 2,085,792 1,348,822
*Mewah International, Inc.............................. 835,000 296,795
#Midas Holdings, Ltd................................... 5,800,000 1,914,925
Nam Cheong, Ltd....................................... 3,341,740 655,322
Nera Telecommunications, Ltd.......................... 1,079,000 459,641
New Toyo International Holdings, Ltd.................. 1,624,000 358,315
NSL, Ltd.............................................. 422,000 490,941
*Oceanus Group, Ltd.................................... 8,780,000 221,915
#OKP Holdings, Ltd..................................... 207,000 85,552
Orchard Parade Holdings, Ltd.......................... 990,359 2,063,514
OSIM International, Ltd............................... 1,465,000 1,945,552
*Ossia International, Ltd.............................. 398,554 37,411
#*Otto Marine, Ltd...................................... 4,977,500 341,974
#Overseas Union Enterprise, Ltd........................ 1,255,000 2,721,053
Pan Pacific Hotels Group, Ltd......................... 1,669,500 3,097,251
Pan-United Corp., Ltd................................. 2,006,000 1,114,079
*Penguin International, Ltd............................ 400,000 23,368
Petra Foods, Ltd...................................... 876,000 1,878,406
Popular Holdings, Ltd................................. 2,763,650 565,086
QAF, Ltd.............................................. 1,040,151 676,552
Qian Hu Corp., Ltd.................................... 481,600 34,788
#Raffles Education Corp., Ltd.......................... 3,580,710 965,883
#Raffles Medical Group, Ltd............................ 1,040,223 2,084,128
*Rickmers Maritime..................................... 53,000 15,817
Rotary Engineering, Ltd............................... 1,167,600 400,832
Roxy-Pacific Holdings, Ltd............................ 445,000 191,476
*S i2i, Ltd............................................ 14,461,000 284,045
San Teh, Ltd.......................................... 999,087 241,769
*Sapphire Corp., Ltd................................... 704,000 67,618
SBS Transit, Ltd...................................... 953,500 1,144,096
SC Global Developments, Ltd........................... 517,000 472,920
See Hup Seng, Ltd..................................... 64,000 9,913
*Seroja Investments, Ltd............................... 17,767 2,447
#*Sheng Siong Group, Ltd................................ 602,000 233,891
Sim Lian Group, Ltd................................... 2,281,855 1,528,000
Sinarmas Land, Ltd.................................... 4,095,000 927,529
59
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
SINGAPORE -- (Continued)
*Sing Holdings, Ltd................................... 548,000 $ 172,597
Sing Investments & Finance, Ltd...................... 198,450 223,522
#Singapore Land, Ltd.................................. 60,000 337,020
Singapore Post, Ltd.................................. 6,199,120 5,789,946
Singapore Reinsurance Corp., Ltd..................... 1,514,530 295,477
Singapore Shipping Corp., Ltd........................ 1,689,000 249,981
Singapura Finance, Ltd............................... 174,062 227,127
*Sinostar PEC Holdings, Ltd........................... 160,000 16,444
#Sound Global, Ltd.................................... 1,432,000 589,932
Stamford Land Corp., Ltd............................. 2,938,000 1,335,405
Straco Corp., Ltd.................................... 130,000 26,300
STX OSV Holdings, Ltd................................ 3,176,000 3,965,561
Sunningdale Tech, Ltd................................ 2,398,000 243,259
#*Sunvic Chemical Holdings, Ltd........................ 1,213,000 355,989
#Super Group, Ltd..................................... 1,064,000 2,125,212
#*Swiber Holdings, Ltd................................. 2,521,000 1,194,856
Tat Hong Holdings, Ltd............................... 1,241,800 1,337,701
#Technics Oil & Gas, Ltd.............................. 947,000 801,868
Thakral Corp., Ltd................................... 6,028,000 137,505
*Tiger Airways Holdings, Ltd.......................... 1,970,500 1,197,690
Tiong Woon Corp. Holding, Ltd........................ 1,498,250 343,105
*Transcu Group, Ltd................................... 4,936,000 64,745
Trek 2000 International, Ltd......................... 714,000 147,087
#*Triyards Holdings, Ltd............................... 348,900 233,115
#Tuan Sing Holdings, Ltd.............................. 3,747,475 931,397
UMS Holdings, Ltd.................................... 1,178,000 389,456
#United Engineers, Ltd................................ 1,015,014 2,050,418
#United Envirotech, Ltd............................... 1,440,000 429,286
United Industrial Corp., Ltd......................... 163,000 372,488
United Overseas Insurance, Ltd....................... 187,250 549,525
UOB-Kay Hian Holdings, Ltd........................... 1,584,400 2,082,050
Venture Corp., Ltd................................... 819,000 5,126,251
Vicom, Ltd........................................... 120,000 480,823
#WBL Corp., Ltd....................................... 615,000 1,782,205
Wee Hur Holdings, Ltd................................ 1,207,000 276,985
Wheelock Properties, Ltd............................. 1,210,000 1,795,186
Wing Tai Holdings, Ltd............................... 1,874,567 2,652,645
Xpress Holdings, Ltd................................. 3,079,000 65,216
YHI International, Ltd............................... 1,174,000 314,569
Yoma Strategic Holdings, Ltd......................... 2,000 865
Yongnam Holdings, Ltd................................ 4,419,000 851,423
------------
TOTAL SINGAPORE......................................... 145,872,792
------------
TOTAL COMMON STOCKS..................................... 992,682,247
------------
RIGHTS/WARRANTS -- (0.1%)
AUSTRALIA -- (0.0%)
*Centrebet International, Ltd. Litigation Rights...... 81,336 --
*Gujarat NRE Coking Coal, Ltd. Rights 11/15/12........ 29,966 --
*Yancoal Australia, Ltd. Contigent Value Rights....... 232,730 579,555
------------
TOTAL AUSTRALIA......................................... 579,555
------------
HONG KONG -- (0.1%)
*Esprit Holdings, Ltd. Rights 11/19/12................ 2,582,450 693,092
------------
SINGAPORE -- (0.0%)
*Sing Investments & Finance, Ltd. Rights 11/05/12..... 99,225 14,235
*Transcu Group, Ltd. Warrants 09/01/13................ 1,018,000 835
------------
TOTAL SINGAPORE......................................... 15,070
------------
TOTAL RIGHTS/WARRANTS................................... 1,287,717
------------
60
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES/
FACE
AMOUNT
(000) VALUE+
----------- --------------
SECURITIES LENDING COLLATERAL -- (16.9%)
(S)@DFA Short Term Investment Fund.................. 17,286,085 200,000,000
@Repurchase Agreement, Deutsche Bank Securities,
Inc. 0.35%, 11/01/12 (Collateralized by FNMA
4.000%, 05/01/42 & 5.000%, 01/01/39, valued at
$1,673,484) to be repurchased at $1,640,687.... $ 1,641 1,640,671
--------------
TOTAL SECURITIES LENDING COLLATERAL................. 201,640,671
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,153,289,637)............................ $1,195,610,635
==============
61
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
SHARES VALUE++
---------- -----------
COMMON STOCKS -- (98.1%)
Consumer Discretionary -- (24.5%)
4imprint Group P.L.C................................. 96,735 $ 543,525
888 Holdings P.L.C................................... 508,610 861,283
Aegis Group P.L.C.................................... 3,314,004 12,583,830
Aga Rangemaster Group P.L.C.......................... 453,866 399,923
*Barratt Developments P.L.C........................... 4,366,245 13,384,802
Bellway P.L.C........................................ 481,114 7,864,489
*Berkeley Group Holdings P.L.C. (The)................. 548,179 13,489,734
Betfair Group P.L.C.................................. 91,793 1,115,154
Bloomsbury Publishing P.L.C.......................... 272,216 565,717
Bovis Homes Group P.L.C.............................. 875,787 7,249,764
Bwin.Party Digital Entertainment P.L.C............... 2,344,508 4,554,800
*Carpetright P.L.C.................................... 177,223 1,974,132
Centaur Media P.L.C.................................. 556,967 457,811
Chime Communications P.L.C........................... 246,173 858,453
Cineworld Group P.L.C................................ 198,435 776,982
*Clinton Cards P.L.C.................................. 740,506 --
Creston P.L.C........................................ 22,394 30,349
Daily Mail & General Trust P.L.C. Series A........... 1,312,593 10,125,279
Darty P.L.C.......................................... 2,066,186 1,796,501
Debenhams P.L.C...................................... 5,756,729 11,145,139
Dignity P.L.C........................................ 218,423 3,297,087
*Dixons Retail P.L.C.................................. 15,301,236 5,105,084
Domino's Pizza Group P.L.C........................... 465,012 3,800,122
Dunelm Group P.L.C................................... 188,285 2,040,143
*Enterprise Inns P.L.C................................ 2,178,467 2,561,410
Euromoney Institutional Investor P.L.C............... 295,537 3,820,353
Fiberweb P.L.C....................................... 531,419 566,810
*Findel P.L.C......................................... 4,998,346 548,300
*Forminster P.L.C..................................... 43,333 2,622
French Connection Group P.L.C........................ 205,623 80,126
Fuller Smith & Turner P.L.C. Series A................ 132,875 1,588,719
*Future P.L.C......................................... 1,301,863 360,702
Games Workshop Group P.L.C........................... 101,889 1,109,098
GKN P.L.C............................................ 3,193,432 10,740,884
Greene King P.L.C.................................... 1,421,372 13,637,335
Halfords Group P.L.C................................. 792,627 4,430,415
Headlam Group P.L.C.................................. 336,384 1,736,703
Henry Boot P.L.C..................................... 430,392 904,753
#*hibu P.L.C........................................... 4,312,932 25,756
*HMV Group P.L.C...................................... 791,347 35,342
#Home Retail Group P.L.C.............................. 3,162,895 5,839,305
Hornby P.L.C......................................... 154,220 149,341
Howden Joinery Group P.L.C........................... 2,315,316 6,365,464
Huntsworth P.L.C..................................... 854,940 646,224
Inchcape P.L.C....................................... 2,005,227 13,040,981
Informa P.L.C........................................ 2,578,346 16,689,745
ITV P.L.C............................................ 8,151,944 11,412,918
JD Sports Fashion P.L.C.............................. 120,013 1,471,955
JD Wetherspoon P.L.C................................. 462,380 3,746,651
John Menzies P.L.C................................... 244,534 2,392,948
*Johnston Press P.L.C................................. 507,412 102,458
Ladbrokes P.L.C...................................... 3,736,209 10,821,643
Laura Ashley Holdings P.L.C.......................... 1,500,394 640,612
Lookers P.L.C........................................ 1,114,193 1,365,690
Low & Bonar P.L.C.................................... 831,280 727,128
M.J. Gleeson Group P.L.C............................. 195,875 475,612
Marston's P.L.C...................................... 2,854,528 5,653,375
Mecom Group P.L.C.................................... 274,098 344,488
62
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
---------- ------------
Consumer Discretionary -- (Continued)
Millennium & Copthorne Hotels P.L.C................. 1,048,561 $ 8,508,761
*Mitchells & Butlers P.L.C........................... 987,029 5,222,667
#Mothercare P.L.C.................................... 436,844 1,960,059
*MWB Group Holdings P.L.C............................ 335,122 26,364
N Brown Group P.L.C................................. 874,754 4,751,622
#*Ocado Group P.L.C................................... 717,280 768,503
*Pendragon P.L.C..................................... 2,748,586 620,979
*Perform Group PLC................................... 8,744 56,712
Persimmon P.L.C..................................... 1,429,557 18,394,004
Photo-Me International P.L.C........................ 17,330 14,006
*Punch Taverns P.L.C................................. 2,380,301 249,276
Rank Group P.L.C.................................... 3,252 7,692
*Redrow P.L.C........................................ 1,498,271 3,821,045
Restaurant Group P.L.C.............................. 794,689 4,815,167
Rightmove P.L.C..................................... 404,934 10,542,022
Smiths News P.L.C................................... 805,283 2,020,271
Spirit Pub Co. P.L.C................................ 2,505,265 2,448,933
*Sportech P.L.C...................................... 361,100 373,447
#Sportingbet P.L.C................................... 983,711 852,335
*Sports Direct International P.L.C................... 710,804 4,580,439
*SuperGroup P.L.C.................................... 118,236 1,276,712
Taylor Wimpey P.L.C................................. 14,517,978 14,349,169
Ted Baker P.L.C..................................... 148,966 2,274,888
*Thomas Cook Group P.L.C............................. 3,320,407 1,100,079
Topps Tiles P.L.C................................... 810,881 617,189
*Torotrak P.L.C...................................... 45,292 21,846
*Trinity Mirror P.L.C................................ 1,688,565 1,653,544
TUI Travel P.L.C.................................... 1,536,840 6,235,459
UBM P.L.C........................................... 1,008,603 11,402,231
UTV Media P.L.C..................................... 230,855 496,458
Vitec Group P.L.C. (The)............................ 160,973 1,850,631
#WH Smith P.LC....................................... 620,413 6,225,889
Whitbread P.L.C..................................... 34,852 1,324,493
William Hill P.L.C.................................. 3,062,912 16,735,721
Wilmington Group P.L.C.............................. 346,234 712,569
------------
Total Consumer Discretionary........................... 364,367,151
------------
Consumer Staples -- (3.9%)
#A.G. Barr P.L.C..................................... 424,100 3,045,773
Anglo-Eastern Plantations P.L.C..................... 108,153 1,221,816
Booker Group P.L.C.................................. 5,398,487 8,938,689
Britvic P.L.C....................................... 961,388 5,579,509
Cranswick P.L.C..................................... 215,761 2,601,564
Dairy Crest Group P.L.C............................. 639,100 3,685,047
Devro P.L.C......................................... 672,640 3,565,512
*European Home Retail P.L.C.......................... 109,256 --
Greencore Group P.L.C............................... 1,566,557 2,300,488
Greggs P.L.C........................................ 479,826 3,628,784
Hilton Food Group, Ltd.............................. 11,461 51,709
*McBride P.L.C....................................... 832,651 1,841,618
*McBride P.L.C. Redeemable B Shares.................. 24,979,530 40,311
*Premier Foods P.L.C................................. 860,448 1,484,965
#PZ Cussons P.L.C.................................... 1,287,639 7,041,764
R.E.A. Holdings P.L.C............................... 50,639 392,914
Tate & Lyle P.L.C................................... 1,034,844 12,129,459
Thorntons P.L.C..................................... 179,394 88,926
Young & Co.'s Brewery P.L.C. Non-Voting Shares...... 26,250 228,093
------------
Total Consumer Staples................................. 57,866,941
------------
Energy -- (4.9%)
*Afren P.L.C......................................... 4,970,604 11,086,658
63
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- -----------
Energy -- (Continued)
Anglo Pacific Group P.L.C............................. 438,805 $ 1,773,306
*Cadogan Petroleum P.L.C............................... 39,742 9,823
*Cairn Energy P.L.C.................................... 1,353,844 6,136,442
*EnQuest P.L.C......................................... 2,767,503 5,188,032
#*Essar Energy P.L.C.................................... 572,688 1,269,119
*Exillon Energy P.L.C.................................. 162,141 408,683
*Fortune Oil P.L.C..................................... 6,170,225 847,154
*Hardy Oil & Gas P.L.C................................. 74,781 156,569
*Heritage Oil P.L.C.................................... 653,846 2,045,410
Hunting P.L.C......................................... 541,277 6,556,258
James Fisher & Sons P.L.C............................. 178,323 2,251,005
*JKX Oil & Gas P.L.C................................... 456,676 590,848
John Wood Group P.L.C................................. 1,017,921 13,991,092
#Lamprell P.L.C........................................ 596,806 714,651
*Petroceltic International P.L.C....................... 5,866,873 654,351
*Premier Oil P.L.C..................................... 1,957,535 11,099,271
*Salamander Energy P.L.C............................... 976,320 3,034,643
*SOCO International P.L.C.............................. 970,105 5,300,652
*UK Coal P.L.C......................................... 1,282,146 144,226
-----------
Total Energy............................................. 73,258,193
-----------
Financials -- (14.1%)
Aberdeen Asset Management P.L.C....................... 2,601,039 13,663,246
Admiral Group P.L.C................................... 41,232 738,864
Amlin P.L.C........................................... 2,265,989 13,660,008
Arbuthnot Banking Group P.L.C......................... 48,497 505,733
Ashmore Group P.L.C................................... 1,141,118 6,568,968
Beazley P.L.C......................................... 2,304,463 6,589,227
Brewin Dolphin Holdings P.L.C......................... 1,089,299 3,178,539
Capital & Counties Properties P.L.C................... 472,683 1,726,612
*Capital & Regional P.L.C.............................. 1,493,345 579,093
Catlin Group, Ltd..................................... 1,602,895 12,215,551
#Charles Stanley Group P.L.C........................... 126,349 586,856
Charles Taylor P.L.C.................................. 139,215 405,243
Chesnara P.L.C........................................ 367,992 1,115,581
Close Brothers Group P.L.C............................ 637,738 8,726,585
Daejan Holdings P.L.C................................. 32,083 1,497,609
Development Securities P.L.C.......................... 474,030 1,224,870
F&C Asset Management P.L.C............................ 2,141,878 3,426,195
Hansard Global P.L.C.................................. 16,468 22,901
Hargreaves Lansdown P.L.C............................. 734,280 8,763,124
Helical Bar P.L.C..................................... 660,484 2,056,719
Henderson Group P.L.C................................. 4,116,420 7,791,870
Hiscox, Ltd........................................... 1,714,088 13,217,072
ICAP P.L.C............................................ 1,805,106 9,496,771
IG Group Holdings P.L.C............................... 1,498,282 10,550,404
*Industrial & Commercial Holdings P.L.C................ 5,000 121
Intermediate Capital Group P.L.C...................... 572,350 2,825,037
International Personal Finance P.L.C.................. 690,825 3,880,579
#*IP Group P.L.C........................................ 851,769 1,624,970
Jardine Lloyd Thompson Group P.L.C.................... 518,004 6,226,680
Jupiter Fund Management P.L.C......................... 605,835 2,563,270
Lancashire Holdings, Ltd.............................. 685,288 9,556,371
*Liontrust Asset Management P.L.C...................... 129,935 235,053
London Stock Exchange Group P.L.C..................... 579,642 9,146,032
LSL Property Services P.L.C........................... 162,024 590,418
Man Group P.L.C....................................... 4,362,669 5,543,977
Novae Group P.L.C..................................... 217,826 1,308,824
Phoenix Group Holdings P.L.C.......................... 121,881 972,335
Provident Financial P.L.C............................. 496,498 11,004,838
*Puma Brandenburg, Ltd. Class A........................ 1,193,004 92,829
64
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
Financials -- (Continued)
*Puma Brandenburg, Ltd. Class B....................... 1,193,004 $ 38,678
*Quintain Estates & Development P.L.C................. 1,564,238 1,352,637
Rathbone Brothers P.L.C.............................. 165,692 3,466,529
*Raven Russia, Ltd.................................... 252,791 265,357
S&U P.L.C............................................ 21,140 303,695
Safestore Holdings P.L.C............................. 599,761 1,056,444
Savills P.L.C........................................ 574,918 3,757,301
Shore Capital Group, Ltd............................. 890,380 237,145
St. James's Place P.L.C.............................. 846,493 5,435,424
St. Modwen Properties P.L.C.......................... 667,078 2,173,933
Tullett Prebon P.L.C................................. 1,003,860 4,437,965
Unite Group P.L.C.................................... 751,758 3,441,897
*Waterloo Investment Holdings, Ltd.................... 5,979 675
------------
Total Financials........................................ 209,846,655
------------
Health Care -- (2.1%)
#*Alizyme P.L.C........................................ 660,805 --
Assura Group, Ltd.................................... 55,851 30,261
Bioquell P.L.C....................................... 90,893 193,755
*BTG P.L.C............................................ 1,273,722 7,032,917
Consort Medical P.L.C................................ 119,338 1,474,871
Corin Group P.L.C.................................... 126,637 117,379
Dechra Pharmaceuticals P.L.C......................... 343,154 3,414,171
Genus P.L.C.......................................... 250,709 5,905,930
Hikma Pharmaceuticals P.L.C.......................... 590,810 7,056,284
*Optos P.L.C.......................................... 78,266 257,193
*Oxford Biomedica P.L.C............................... 2,821,652 115,891
*Renovo Group P.L.C................................... 87,461 23,996
*Southern Cross Healthcare Group P.L.C................ 191,826 --
Synergy Health P.L.C................................. 221,547 3,322,624
*Vectura Group P.L.C.................................. 1,514,341 2,127,145
*Vernalis P.L.C....................................... 19,974 7,906
------------
Total Health Care....................................... 31,080,323
------------
Industrials -- (27.8%)
#Air Partner P.L.C.................................... 37,086 185,555
Alumasc Group P.L.C.................................. 124,366 164,660
Ashtead Group P.L.C.................................. 2,502,187 15,116,530
Avon Rubber P.L.C.................................... 31,280 161,419
Babcock International Group P.L.C.................... 1,401,502 22,154,294
Balfour Beatty P.L.C................................. 3,154,154 16,078,068
BBA Aviation P.L.C................................... 2,792,163 9,122,178
Berendsen P.L.C...................................... 773,744 7,035,834
Bodycote P.L.C....................................... 1,253,236 7,651,954
Braemar Shipping Services P.L.C...................... 81,108 546,733
Brammer P.L.C........................................ 244,607 949,530
Bunzl P.L.C.......................................... 147,479 2,442,920
Camellia P.L.C....................................... 2,481 387,764
Cape P.L.C........................................... 432,603 1,881,522
Carillion P.L.C...................................... 1,787,034 8,894,503
Carr's Milling Industries P.L.C...................... 35,330 537,483
Castings P.L.C....................................... 162,757 911,981
Chemring Group P.L.C................................. 783,476 3,976,353
Clarkson P.L.C....................................... 61,518 1,322,809
Cobham P.L.C......................................... 4,694,331 16,320,407
Communisis P.L.C..................................... 561,718 335,858
Cookson Group P.L.C.................................. 1,218,370 11,509,815
#Costain Group P.L.C.................................. 157,259 598,352
De La Rue P.L.C...................................... 446,761 7,640,869
easyJet P.L.C........................................ 692,439 6,997,805
*Eleco P.L.C.......................................... 80,000 10,020
65
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- -----------
Industrials -- (Continued)
Fenner P.L.C.......................................... 719,811 $ 4,205,451
Firstgroup P.L.C...................................... 1,842,109 5,672,508
Galliford Try P.L.C................................... 249,089 2,970,718
Go-Ahead Group P.L.C.................................. 187,428 3,932,585
*Hampson Industries P.L.C.............................. 110,209 409
Harvey Nash Group P.L.C............................... 8,623 7,985
Hays P.L.C............................................ 5,445,665 7,180,401
Hogg Robinson Group P.L.C............................. 250,887 198,572
Homeserve P.L.C....................................... 1,233,259 4,398,496
Hyder Consulting P.L.C................................ 171,856 1,095,617
IMI P.L.C............................................. 1,002,882 15,484,442
Interserve P.L.C...................................... 576,831 3,633,984
Intertek Group P.L.C.................................. 378,948 17,273,414
Invensys P.L.C........................................ 3,349,956 12,352,173
ITE Group P.L.C....................................... 1,059,501 3,305,306
Keller Group P.L.C.................................... 280,343 2,749,917
Kier Group P.L.C...................................... 168,347 3,502,140
Latchways P.L.C....................................... 36,248 585,018
Lavendon Group P.L.C.................................. 512,546 1,167,947
Management Consulting Group P.L.C..................... 1,290,496 516,423
#Mears Group P.L.C..................................... 263,980 1,253,498
Meggitt P.L.C......................................... 2,407,994 15,018,915
Melrose P.L.C......................................... 4,749,372 18,500,491
Michael Page International P.L.C...................... 1,310,832 7,650,621
Mitie Group P.L.C..................................... 1,526,552 7,192,493
Morgan Crucible Co. P.L.C............................. 1,297,193 5,299,961
Morgan Sindall Group P.L.C............................ 170,811 1,824,263
National Express Group P.L.C.......................... 1,725,133 4,745,183
Northgate P.L.C....................................... 503,561 2,058,185
PayPoint P.L.C........................................ 132,776 1,649,580
Porvair P.L.C......................................... 146,460 324,684
Qinetiq Group P.L.C................................... 3,030,205 9,651,175
Regus P.L.C........................................... 3,337,697 5,411,927
*Renold P.L.C.......................................... 89,220 27,128
Rentokil Initial P.L.C................................ 7,256,414 10,329,224
Ricardo P.L.C......................................... 217,815 1,271,551
*Richmond Oil & Gas P.L.C.............................. 220,000 --
Robert Walters P.L.C.................................. 387,999 1,249,681
Rotork P.L.C.......................................... 366,679 13,509,077
RPS Group P.L.C....................................... 892,257 3,384,468
Senior P.L.C.......................................... 1,849,203 5,811,564
Severfield-Rowen P.L.C................................ 371,550 845,669
Shanks Group P.L.C.................................... 1,786,148 2,362,814
SIG P.L.C............................................. 2,467,815 4,180,720
Speedy Hire P.L.C..................................... 1,341,345 698,883
Spirax-Sarco Engineering P.L.C........................ 320,648 10,039,086
St. Ives Group P.L.C.................................. 665,998 1,102,060
Stagecoach Group P.L.C................................ 1,869,535 8,291,263
Sthree P.L.C.......................................... 353,790 1,720,244
T. Clarke P.L.C....................................... 147,457 108,529
Tarsus Group P.L.C.................................... 212,372 643,035
*Travis Perkins P.L.C.................................. 930,166 16,254,661
Tribal Group P.L.C.................................... 139,275 211,088
Trifast P.L.C......................................... 359,985 254,234
UK Mail Group P.L.C................................... 197,261 838,700
Ultra Electronics Holdings P.L.C...................... 285,303 7,807,153
#Volex P.L.C........................................... 229,354 602,309
Vp P.L.C.............................................. 167,297 884,883
*Wincanton P.L.C....................................... 462,355 506,133
WS Atkins P.L.C....................................... 501,683 5,785,306
66
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
Industrials -- (Continued)
#XP Power, Ltd........................................ 73,546 $ 1,163,024
------------
Total Industrials....................................... 413,632,185
------------
Information Technology -- (8.9%)
Acal P.L.C........................................... 104,729 293,040
Anite P.L.C.......................................... 1,253,216 2,861,159
Aveva Group P.L.C.................................... 289,692 9,322,073
Computacenter P.L.C.................................. 460,793 2,728,327
CSR P.L.C............................................ 837,090 4,778,596
Dialight P.L.C....................................... 126,282 2,268,618
Diploma P.L.C........................................ 505,533 3,652,449
Domino Printing Sciences P.L.C....................... 475,431 4,168,220
E2V Technologies P.L.C............................... 415,037 778,743
Electrocomponents P.L.C.............................. 1,877,117 6,519,602
Fidessa Group P.L.C.................................. 138,383 2,971,089
Halma P.L.C.......................................... 1,549,740 10,329,189
*Imagination Technologies Group P.L.C................. 928,414 6,859,020
*Innovation Group P.L.C............................... 3,551,263 1,262,926
*Kofax P.L.C.......................................... 317,667 1,447,479
Laird P.L.C.......................................... 1,133,292 3,855,314
Micro Focus International P.L.C...................... 556,396 5,160,899
Moneysupermarket.com Group P.L.C..................... 676,611 1,465,350
NCC Group P.L.C...................................... 17,999 261,794
Oxford Instruments P.L.C............................. 226,537 4,915,896
Pace P.L.C........................................... 1,356,764 4,073,114
Phoenix IT Group, Ltd................................ 204,614 570,543
Premier Farnell P.L.C................................ 1,467,203 3,926,043
*PV Crystalox Solar P.L.C............................. 384,786 45,789
Renishaw P.L.C....................................... 188,423 5,372,296
RM P.L.C............................................. 363,499 473,661
SDL P.L.C............................................ 347,207 2,976,087
Sepura P.L.C......................................... 5,137 7,476
Spectris P.L.C....................................... 515,234 14,431,374
Spirent Communications P.L.C......................... 2,633,737 6,149,662
Telecity Group P.L.C................................. 826,400 12,038,001
TT electronics P.L.C................................. 643,621 1,300,719
Vislink P.L.C........................................ 274,226 115,160
*Wolfson Microelectronics P.L.C....................... 504,759 1,697,318
Xaar P.L.C........................................... 252,429 1,072,512
*Xchanging P.L.C...................................... 1,100,065 1,966,760
------------
Total Information Technology............................ 132,116,298
------------
Materials -- (7.3%)
African Barrick Gold P.L.C........................... 361,989 2,481,984
AZ Electronic Materials SA........................... 292,428 1,677,416
British Polythene Industries P.L.C................... 119,701 736,714
Carclo P.L.C......................................... 221,307 1,290,230
*Centamin P.L.C....................................... 3,531,782 3,647,652
Croda International P.L.C............................ 499,699 17,791,547
DS Smith P.L.C....................................... 4,475,611 15,451,908
Elementis P.L.C...................................... 1,966,934 6,657,512
Ferrexpo P.L.C....................................... 888,830 3,001,341
Filtrona P.L.C....................................... 802,884 7,438,164
*Gem Diamonds, Ltd.................................... 431,630 1,177,475
Hill & Smith Holdings P.L.C.......................... 311,720 1,874,496
#Hochschild Mining P.L.C.............................. 647,638 5,177,851
*International Ferro Metals, Ltd...................... 423,652 94,132
#Lonmin P.L.C......................................... 428,276 3,553,829
Marshalls P.L.C...................................... 722,366 1,045,594
Mondi P.L.C.......................................... 1,222,056 13,471,337
New World Resources P.L.C. Series A.................. 132,319 548,215
67
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- --------------
Materials -- (Continued)
*Petra Diamonds, Ltd................................ 362,381 $ 583,475
Petropavlovsk P.L.C................................ 646,643 4,222,023
RPC Group P.L.C.................................... 707,602 4,842,279
#*Talvivaara Mining Co. P.L.C........................ 418,283 881,222
Victrex P.L.C...................................... 340,523 7,849,216
Yule Catto & Co. P.L.C............................. 962,661 2,285,497
Zotefoams P.L.C.................................... 96,852 322,517
--------------
Total Materials....................................... 108,103,626
--------------
Telecommunication Services -- (2.2%)
Cable & Wireless Communications P.L.C.............. 9,991,391 6,049,966
*Colt Group SA...................................... 1,298,816 2,317,964
Inmarsat P.L.C..................................... 1,658,096 15,190,469
KCOM Group P.L.C................................... 2,643,350 3,243,205
TalkTalk Telecom Group P.L.C....................... 1,776,695 5,453,326
--------------
Total Telecommunication Services...................... 32,254,930
--------------
Utilities -- (2.4%)
Dee Valley Group P.L.C............................. 12,109 260,115
Drax Group P.L.C................................... 1,615,898 14,665,707
Pennon Group P.L.C................................. 1,434,955 16,622,307
Telecom Plus P.L.C................................. 265,603 3,644,535
--------------
Total Utilities....................................... 35,192,664
--------------
TOTAL COMMON STOCKS................................... 1,457,718,966
--------------
PREFERRED STOCKS -- (0.0%)
Consumer Staples -- (0.0%)
*R.E.A. Holdings P.L.C.............................. 8,452 15,064
--------------
RIGHTS/WARRANTS -- (0.0%)
*SFI Holdings, Ltd. Litigation Certificate.......... 26,713 --
--------------
TOTAL RIGHTS/WARRANTS................................. --
--------------
SHARES/
FACE
AMOUNT
(000) VALUE+
--------- --------------
SECURITIES LENDING COLLATERAL -- (1.9%)
(S)@DFA Short Term Investment Fund.................... 2,420,052 28,000,000
@Repurchase Agreement, Deutsche Bank Securities,
Inc. 0.35%, 11/01/12 (Collateralized by FNMA
4.000%, 05/01/42 & 5.000%, 01/01/39, valued at
$224) to be repurchased at $220.................. -- 220
--------------
TOTAL SECURITIES LENDING COLLATERAL................... 28,000,220
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,210,154,050).............................. $1,485,734,250
==============
68
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
SHARES VALUE++
------- -----------
COMMON STOCKS -- (88.4%)
AUSTRIA -- (2.2%)
Agrana Beteiligungs AG.................................. 17,322 $ 2,086,369
*AMAG Austria Metall AG.................................. 13,167 364,864
*A-TEC Industries AG..................................... 21,828 --
Atrium European Real Estate, Ltd........................ 610,894 3,464,231
Austria Email AG........................................ 715 5,666
Austria Technologie & Systemtechnik AG.................. 42,211 371,216
BKS Bank AG............................................. 3,120 70,267
#BWT AG.................................................. 39,087 808,228
CA Immobilien Anlagen AG................................ 163,483 2,027,165
DO & CO AG.............................................. 2,924 120,468
*EAG-Beteiligungs AG..................................... 1,650 1,069
#EVN AG.................................................. 147,842 2,091,265
Flughafen Wien AG....................................... 45,527 2,064,513
Frauenthal Holding AG................................... 4,212 50,124
#*Intercell AG............................................ 254,689 626,995
Josef Manner & Co. AG................................... 870 56,393
Kapsch TrafficCom AG.................................... 22,171 1,294,428
#Lenzing AG.............................................. 50,402 4,486,569
Mayr-Melnhof Karton AG.................................. 39,013 3,856,345
#Oberbank AG............................................. 37,973 2,352,401
#Oesterreichischen Post AG............................... 147,545 5,686,026
Palfinger AG............................................ 55,397 1,113,768
#*Polytec Holding AG...................................... 79,815 569,658
RHI AG.................................................. 112,207 3,175,268
Rosenbauer International AG............................. 13,836 724,485
#S IMMO AG............................................... 226,536 1,446,437
*S&T System Integration & Technology Distribution AG..... 6,318 24,437
Schoeller-Bleckmann Oilfield Equipment AG............... 51,365 4,955,866
Semperit Holding AG..................................... 47,021 1,981,734
Strabag SE.............................................. 102,680 2,581,393
UBM Realitaetenentwicklung AG........................... 2,880 47,408
#*Uniqa Versicherungen AG................................. 248,568 2,872,784
#Wienerberger AG......................................... 496,488 3,561,534
Wolford AG.............................................. 11,252 364,403
Zumtobel AG............................................. 128,443 1,373,990
-----------
TOTAL AUSTRIA.............................................. 56,677,767
-----------
BELGIUM -- (3.2%)
#*Ablynx NV............................................... 88,257 595,520
Ackermans & van Haaren NV............................... 118,073 9,613,309
*Agfa-Gevaert NV......................................... 769,380 1,257,195
Arseus NV............................................... 94,203 1,763,355
Atenor Group NV......................................... 4,672 211,470
Banque Nationale de Belgique............................ 955 3,042,741
Barco NV................................................ 58,733 4,040,279
#Bekaert NV.............................................. 136,903 3,738,318
Co.Br.Ha Societe Commerciale de Brasserie SA............ 115 245,670
Compagnie d'Entreprises SA.............................. 41,428 2,038,337
*Compagnie du Bois Sauvage SA............................ 87 5
Compagnie Immobiliere de Belgique SA.................... 10,604 361,037
Compagnie Maritime Belge SA............................. 66,098 1,182,497
#*Deceuninck NV........................................... 298,827 496,562
#*Devgen NV............................................... 73,663 1,516,299
D'ieteren SA NV......................................... 129,060 6,229,223
Duvel Moorgat SA........................................ 8,799 1,060,600
Econocom Group.......................................... 265,744 1,844,115
Elia System Operator SA................................. 131,072 5,354,602
*Euronav SA.............................................. 88,337 487,785
69
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
------- -----------
BELGIUM -- (Continued)
EVS Broadcast Equipment SA............................. 56,205 $ 3,262,713
Exmar NV............................................... 132,340 987,261
Floridienne SA......................................... 2,033 292,421
*Galapagos NV........................................... 99,665 2,026,835
#Gimv NV................................................ 13,215 638,937
Hamon SA............................................... 4,148 58,465
Image Recognition Integrated Systems (I.R.I.S.) SA..... 6,284 342,324
*Ion Beam Applications SA............................... 81,148 683,237
Jensen-Group NV........................................ 12,030 182,555
Kinepolis Group NV..................................... 19,582 1,953,895
Lotus Bakeries NV...................................... 1,361 1,010,899
Melexis NV............................................. 93,665 1,480,708
Mobistar SA............................................ 84,370 2,230,962
Nyrstar NV............................................. 616,535 3,585,618
*Picanol NV............................................. 17,778 431,388
*RealDolmen NV (5529094)................................ 120 20
*RealDolmen NV (B3M0622)................................ 7,555 180,695
Recticel SA............................................ 87,697 581,620
Resilux SA............................................. 4,095 262,929
Rosier SA.............................................. 655 188,635
Roularta Media Group NV................................ 8,707 131,555
SAPEC SA............................................... 3,419 176,980
Sioen Industries NV.................................... 52,140 418,151
Sipef NV............................................... 29,621 2,258,025
Softimat SA............................................ 22,765 101,017
Telenet Group Holding NV............................... 606 27,763
Ter Beke NV............................................ 2,260 140,750
Tessenderlo Chemie NV.................................. 122,318 3,549,307
#*ThromboGenics NV....................................... 152,765 7,335,477
Van de Velde NV........................................ 33,273 1,534,979
VPK Packaging Group SA................................. 12,084 514,609
-----------
TOTAL BELGIUM............................................. 81,649,649
-----------
DENMARK -- (3.4%)
Alk-Abello A.S......................................... 28,123 1,871,400
*Alm. Brand A.S......................................... 484,611 1,207,289
*Amagerbanken A.S....................................... 647,900 --
Ambu A.S. Series B..................................... 26,910 716,997
*Arkil Holdings A.S. Series B........................... 586 40,179
*Auriga Industries A.S. Series B........................ 96,829 1,438,589
#*Bang & Olufsen Holdings A.S............................ 147,514 1,820,773
*BankNordik A.S......................................... 292 3,123
#*Bavarian Nordic A.S.................................... 100,943 920,384
BoConcept Holding A.S.................................. 5,650 127,759
Brodrene Hartmann A.S. Series B........................ 11,730 250,270
*Brondbyernes IF Fodbold A.S. Series B.................. 12,915 32,581
D/S Norden A.S......................................... 110,869 2,924,056
*Dalhoff Larsen & Horneman A.S.......................... 9,669 6,130
DFDS A.S............................................... 18,568 900,236
*Djursland Bank A.S..................................... 8,970 216,155
East Asiatic Co., Ltd. A.S............................. 55,571 1,073,159
F.E. Bording A.S....................................... 576 68,055
Fluegger A.S. Series B................................. 4,198 240,764
#*Genmab A.S............................................. 174,543 2,430,351
GN Store Nord A.S...................................... 803,034 12,585,533
*GPV Industri A.S. Series B............................. 2,200 11,468
*Greentech Energy Systems A.S........................... 8,355 16,839
Gronlandsbanken A.S.................................... 768 63,162
*H&H International A.S. Series B........................ 18,111 92,099
Harboes Bryggeri A.S................................... 12,252 186,187
*Hojgaard Holding A.S. Series B......................... 2,727 35,473
70
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
------- -----------
DENMARK -- (Continued)
#IC Companys A.S....................................... 35,278 $ 617,996
*Incentive A.S......................................... 3,575 11,491
Jeudan A.S............................................ 4,620 358,008
*Jyske Bank A.S........................................ 229,630 6,990,086
Lan & Spar Bank A.S................................... 5,150 254,567
*Lastas A.S. Series B.................................. 9,839 27,182
*Lollands Bank A.S..................................... 209 4,031
*Mols-Linien A.S....................................... 23,640 64,077
*NeuroSearch A.S....................................... 43,007 33,923
#NKT Holding A.S....................................... 92,105 3,087,266
Nordjyske Bank A.S.................................... 17,600 251,187
Norresundby Bank A.S.................................. 7,350 217,112
North Media A.S....................................... 36,665 124,114
*Ostjydsk Bank A.S..................................... 3,305 128,754
#*Pandora A.S........................................... 236,869 3,761,058
#*Parken Sport & Entertainment A.S...................... 33,556 393,125
Per Aarsleff A.S. Series B............................ 7,235 502,789
#Ringkjoebing Landbobank A.S........................... 17,872 2,473,888
Roblon A.S. Series B.................................. 540 78,517
Rockwool International A.S. Series B.................. 28,851 2,715,724
Royal Unibrew A.S..................................... 45,850 3,649,711
*Salling Bank A.S...................................... 384 14,815
Schouw & Co. A.S...................................... 74,017 1,691,619
SimCorp A.S........................................... 19,486 4,252,211
*Skjern Bank A.S....................................... 2,897 46,397
Solar Holdings A.S. Series B.......................... 22,263 1,379,635
*Spar Nord Bank A.S.................................... 274,852 1,211,212
*Sparbank A.S.......................................... 7,749 66,881
*Sparekassen Faaborg A.S............................... 1,972 62,808
*Sydbank A.S........................................... 307,380 5,630,616
Tivoli A.S............................................ 969 497,858
#*TK Development A.S.................................... 153,640 373,934
*Topdanmark A.S........................................ 53,386 10,826,718
*TopoTarget A.S........................................ 332,263 140,545
*Topsil Semiconductor Materials A.S.................... 194,350 12,244
*Torm A.S.............................................. 116,681 60,350
*United International Enterprises A.S.................. 6,796 1,159,308
#*Vestas Wind Systems A.S............................... 588,304 3,401,289
*Vestjysk Bank A.S..................................... 29,541 73,492
*Zealand Pharma A.S.................................... 14,793 265,225
-----------
TOTAL DENMARK............................................ 86,190,774
-----------
FINLAND -- (6.1%)
#Ahlstrom Oyj.......................................... 29,300 487,487
Aktia Oyj Series A.................................... 14,830 110,107
#Alma Media Oyj........................................ 277,852 1,715,228
Amer Sports Oyj....................................... 495,357 7,019,289
Aspo Oyj.............................................. 83,192 634,457
Atria P.L.C........................................... 23,261 156,194
*Bank of Aland P.L.C. Series B......................... 22,078 215,814
BasWare Oyj........................................... 34,550 962,103
*Biotie Therapies Corp. Oyj............................ 917,186 461,918
#Cargotec Oyj Series B................................. 134,915 2,975,615
Citycon Oyj........................................... 982,759 3,218,976
*Componenta Oyj........................................ 34,813 94,274
Comptel P.L.C......................................... 337,600 179,236
#Cramo Oyj............................................. 148,755 1,513,054
Digia P.L.C........................................... 48,912 185,283
Efore Oyj............................................. 60,233 52,386
*Elcoteq SE............................................ 3,041 --
*Elektrobit Corp. Oyj.................................. 16,849 15,385
71
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
FINLAND -- (Continued)
Elisa Oyj............................................ 432,751 $ 9,286,323
eQ P.L.C............................................. 67,120 161,107
Etteplan Oyj......................................... 57,413 200,161
*Finnair Oyj.......................................... 298,520 851,016
*Finnlines Oyj........................................ 124,906 1,276,664
Fiskars Oyj Abp...................................... 182,790 3,771,952
F-Secure Oyj......................................... 463,536 975,175
*GeoSentric Oyj....................................... 244,900 3,174
*Glaston Oyj Abp...................................... 56,393 19,666
HKScan Oyj Series A.................................. 101,202 442,768
Huhtamaki Oyj........................................ 373,956 6,322,742
Ilkka-Yhtyma Oyj..................................... 61,503 398,650
#KCI Konecranes Oyj................................... 245,559 7,808,333
#Kemira Oyj........................................... 459,125 6,108,053
Kesko Oyj Series B................................... 250,135 7,821,799
Laennen Tehtaat Oyj.................................. 18,920 347,214
Lassila & Tikanoja Oyj............................... 137,644 2,110,841
#Lemminkainen Oyj..................................... 22,983 470,051
#*Mesta Board Oyj...................................... 1,549,706 4,651,911
*Neo Industrial Oyj................................... 14,567 33,828
#Neste Oil Oyj........................................ 477,554 5,980,291
Okmetic Oyj.......................................... 54,991 330,162
Olvi Oyj Series A.................................... 62,708 1,629,592
#Oriola-KD Oyj Series A............................... 5,045 14,379
Oriola-KD Oyj Series B............................... 450,090 1,219,361
Orion Oyj Series A................................... 130,940 3,245,195
Orion Oyj Series B................................... 384,369 9,510,594
#*Outokumpu Oyj........................................ 3,488,317 2,964,328
#Outotec Oyj.......................................... 163,942 8,010,462
PKC Group Oyj........................................ 73,207 1,329,514
Pohjola Bank P.L.C. Series A......................... 331,849 4,526,882
#Ponsse Oyj........................................... 25,697 204,620
#Poyry Oyj............................................ 187,165 777,080
Raisio P.L.C. Series V............................... 541,284 2,139,118
Ramirent Oyj......................................... 314,761 2,355,602
Rapala VMC Oyj....................................... 113,258 728,285
#Rautaruukki Oyj Series K............................. 373,835 2,370,641
Raute Oyj Series A................................... 9,858 94,327
*Ruukki Group Oyj..................................... 604,909 378,681
Saga Furs Oyj........................................ 11,244 283,369
#Sanoma Oyj........................................... 328,616 3,195,438
*Scanfil P.L.C........................................ 123,479 136,393
Sievi Capital P.L.C.................................. 123,479 153,478
SRV Group P.L.C...................................... 7,277 31,894
Stockmann Oyj Abp Series A........................... 43,914 857,285
#Stockmann Oyj Abp Series B........................... 132,971 2,501,296
#*Stonesoft Oyj........................................ 69,779 114,163
Technopolis Oyj...................................... 301,916 1,373,463
Teleste Oyj.......................................... 53,559 276,928
#Tieto Oyj............................................ 291,983 5,604,136
#Tikkurila Oyj........................................ 168,347 3,190,089
*Tulikivi Oyj......................................... 4,463 3,239
#Uponor Oyj Series A.................................. 241,740 2,727,429
Vacon Oyj............................................ 45,416 2,330,350
Vaisala Oyj Series A................................. 39,132 812,070
Viking Line Abp...................................... 10,366 235,851
Yit Oyj.............................................. 479,016 9,445,723
------------
TOTAL FINLAND........................................... 154,139,942
------------
FRANCE -- (9.8%)
ABC Arbitrage SA..................................... 22,399 179,912
72
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
FRANCE -- (Continued)
#*Air France-KLM......................................... 722,730 $6,041,925
Akka Technologies SA................................... 22,790 644,127
#*Alcatel-Lucent SA...................................... 7,392,628 7,558,803
Ales Groupe SA......................................... 29,486 531,704
Altamir Amboise SA..................................... 81,618 732,381
Alten SA............................................... 80,004 2,517,695
*Altran Technologies SA................................. 676,432 4,556,571
April SA............................................... 74,171 1,311,924
#*Archos SA.............................................. 75,094 303,886
Arkema SA.............................................. 27,360 2,496,577
*Artprice.com SA........................................ 10,649 440,219
Assystem............................................... 56,624 1,050,794
*Atari SA............................................... 93,971 116,862
AtoS SA................................................ 21,169 1,421,323
Aubay SA............................................... 10,285 62,666
#Audika Groupe SA....................................... 21,251 252,277
#Aurea SA............................................... 3,637 20,639
Avenir Telecom SA...................................... 8,000 4,666
Axway Software SA...................................... 22,982 359,650
*Baccarat SA............................................ 377 78,392
Banque Tarneaud SA..................................... 1,430 152,097
#Beneteau SA............................................ 179,820 1,797,051
#*Bigben Interactive SA.................................. 13,117 151,878
*BioAlliance Pharma SA.................................. 35,932 190,664
Boiron SA.............................................. 29,066 930,500
Boizel Chanoine Champagne SA........................... 7,266 349,316
Bonduelle SCA.......................................... 16,034 1,475,163
Bongrain SA............................................ 34,266 2,047,059
Bourbon SA............................................. 184,935 4,993,033
*Boursorama SA.......................................... 69,079 414,658
*Bull SA................................................ 351,752 1,027,272
#Burelle SA............................................. 3,866 905,857
Cafom SA............................................... 3,655 18,431
Catering International Services SA..................... 1,111 143,995
*Cegedim SA............................................. 16,591 296,406
Cegid Group............................................ 17,915 345,695
CFAO SA................................................ 83,122 4,012,603
Cie des Alpes.......................................... 6,721 120,078
Ciments Francais SA.................................... 10,266 624,319
*Club Mediterranee SA................................... 87,746 1,394,815
Compagnie Industrielle et Financiere D'Entreprises SA.. 1,200 65,341
Damartex SA............................................ 20,518 346,322
Derichebourg SA........................................ 548,515 1,551,410
Devoteam SA............................................ 24,812 286,313
*Dynaction SA........................................... 4,262 40,888
Eiffage SA............................................. 136,700 4,704,027
Electricite de Strasbourg SA........................... 21,886 2,682,632
Eramet SA.............................................. 13 1,653
Esso SA Francaise...................................... 9,436 675,319
Establissements Maurel et Prom SA...................... 328,284 4,575,625
*Etam Developpement SA.................................. 1,949 35,228
Euler Hermes SA........................................ 52,633 3,631,988
*Euro Disney SCA........................................ 138,383 927,945
Eurofins Scientific SA................................. 26,702 4,133,376
Exel Industries SA Series A............................ 10,680 523,528
Faiveley Transport SA.................................. 25,507 1,422,710
Faurecia SA............................................ 142,901 2,151,589
Fimalac SA............................................. 31,490 1,404,605
Fleury Michon SA....................................... 4,694 224,837
*GameLoft SA............................................ 225,468 1,545,817
*Gascogne SA............................................ 6,907 29,950
73
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
FRANCE -- (Continued)
Gaumont SA............................................. 13,980 $ 715,533
GEA SA................................................. 1,000 85,453
#*GECI International SA.................................. 59,392 137,795
Gemalto NV............................................. 97,900 8,842,316
Gevelot SA............................................. 3,584 223,107
GFI Informatique SA.................................... 139,600 508,550
GL Events SA........................................... 27,467 605,389
*GPE Groupe Pizzorno SA................................. 3,499 54,862
#Groupe Crit SA......................................... 24,255 388,694
Groupe Flo SA.......................................... 29,358 112,708
Groupe Gorge SA........................................ 13,211 119,865
Groupe Guillin SA...................................... 1,061 84,752
Groupe Open SA......................................... 27,590 154,679
*Groupe Partouche SA.................................... 61,786 71,360
Groupe Steria SCA...................................... 86,854 1,403,888
Guerbet SA............................................. 6,577 717,938
*Haulotte Group SA...................................... 61,352 379,679
Havas SA............................................... 1,086,746 5,499,932
#*Hi-Media SA............................................ 134,290 347,264
*Idsud SA............................................... 1,395 31,715
Ingenico SA............................................ 120,489 6,379,679
#Interparfums SA........................................ 21,452 567,081
Ipsen SA............................................... 83,088 2,146,408
Ipsos SA............................................... 128,384 4,513,352
Jacquet Metal Service SA............................... 48,343 471,362
*Kaufman & Broad SA..................................... 270 6,171
Korian SA.............................................. 8,745 134,834
L.D.C. SA.............................................. 19 1,873
Laurent-Perrier SA..................................... 12,546 1,070,118
Lectra SA.............................................. 83,499 486,496
Lisi SA................................................ 16,907 1,122,136
M6 Metropole Television SA............................. 192,886 2,690,878
Maisons France Confort SA.............................. 12,636 377,852
#Manitou BF SA.......................................... 48,911 759,790
Manutan International SA............................... 14,553 585,248
*Maurel et Prom Nigeria SA.............................. 323,678 814,221
Medica SA.............................................. 146,000 2,610,521
Mersen SA.............................................. 70,824 1,792,554
MGI Coutier SA......................................... 2,753 117,659
Montupet SA............................................ 8,127 72,443
#Mr. Bricolage SA....................................... 30,731 348,038
*Naturex SA............................................. 12,649 885,319
#Neopost SA............................................. 135,048 7,403,969
#Nexans SA.............................................. 131,823 5,613,234
Nexity SA.............................................. 99,242 3,059,898
NextRadioTV SA......................................... 3,451 50,924
*NicOx SA............................................... 252,978 787,837
Norbert Dentressangle SA............................... 20,989 1,427,239
NRJ Group SA........................................... 37,352 251,255
Oeneo SA............................................... 158,017 428,509
#Orpea SA............................................... 113,448 4,638,599
Osiatis SA............................................. 685 4,609
#*PagesJaunes Groupe SA.................................. 384,634 700,090
*Parrot SA.............................................. 29,582 1,026,272
#*Peugeot SA............................................. 597,148 3,830,406
Pierre & Vacances SA................................... 18,411 310,749
#Plastic Omnium SA...................................... 96,698 2,673,506
Plastivaloire SA....................................... 4,552 79,593
PSB Industries SA...................................... 8,438 246,564
Rallye SA.............................................. 99,265 3,028,913
#*Recylex SA............................................. 66,087 355,061
74
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
------- ------------
FRANCE -- (Continued)
Remy Cointreau SA...................................... 65,997 $ 6,842,601
Robertet SA............................................ 3,167 529,667
*Rodriguez Group SA..................................... 3,886 20,074
*Rougier SA............................................. 1,843 80,454
Rubis SCA.............................................. 108,827 6,640,032
*S.T. Dupont SA......................................... 334,647 143,306
SA des Ciments Vicat................................... 45,541 2,454,793
Sabeton SA............................................. 13,500 215,771
Saft Groupe SA......................................... 98,568 2,192,299
Samse SA............................................... 8,342 568,648
Sartorius Stedim Biotech SA............................ 9,046 818,597
#Seche Environnement SA................................. 6,437 210,900
#Sechilienne SA......................................... 74,888 1,284,269
Securidev SA........................................... 2,500 74,457
*Sequana SA............................................. 211,916 328,937
Societe Anonyme d'Explosifs et de Produits
Chimiques SA........................................ 485 113,444
Societe BIC SA......................................... 62,449 7,620,209
Societe d'Edition de Canal Plus SA..................... 306,157 1,838,106
Societe des Bains de Mer et du Cercle des Etrangers a
Monaco SA............................................ 46,150 1,707,450
Societe Internationale de Plantations d'Heveas SA...... 5,133 398,509
#Societe Pour l'Informatique Industrielle SA............ 40,908 243,284
Societe Television Francaise 1 SA...................... 416,273 3,577,458
#*Soitec SA.............................................. 400,615 1,204,787
Somfy SA............................................... 21,738 3,739,126
Sopra Group SA......................................... 22,982 1,084,709
*Spir Communication SA.................................. 4,687 89,318
Stallergenes SA........................................ 11,930 692,622
*Ste Industrielle d'Aviation Latecoere SA............... 27,234 309,276
Stef SA................................................ 29,121 1,517,217
Store Electronic SA.................................... 3,620 42,803
#Sword Group SA......................................... 22,260 360,249
Synergie SA............................................ 60,624 559,176
*Technicolor SA......................................... 525,779 1,335,740
Teleperformance SA..................................... 223,377 6,764,033
Tessi SA............................................... 5,374 501,650
#*Theolia SA............................................. 182,298 340,598
Thermador Groupe....................................... 4,528 342,198
Tonnellerie Francois Freres SA......................... 3,898 179,816
Total Gabon SA......................................... 937 419,932
Touax SA............................................... 2,639 85,524
#*Transgene SA........................................... 42,377 448,539
Trigano SA............................................. 32,351 350,988
*UbiSoft Entertainment SA............................... 398,686 3,709,528
Union Financiere de France Banque SA................... 16,828 400,029
Valeo SA............................................... 149,480 6,582,118
Viel et Compagnie SA................................... 158,130 551,280
#Vilmorin & Cie SA...................................... 20,195 2,399,615
Virbac SA.............................................. 17,539 3,055,264
*Vivalis SA............................................. 25,963 247,488
VM Materiaux SA........................................ 6,914 145,464
Vranken-Pommery Monopole SA............................ 14,162 448,724
Zodiac Aerospace SA.................................... 47,538 4,874,261
------------
TOTAL FRANCE.............................................. 248,077,062
------------
GERMANY -- (12.9%)
A.S. Creation Tapeton AG............................... 6,853 304,225
*AAP Implantate AG...................................... 25,576 42,984
*Aareal Bank AG......................................... 423,110 9,098,181
*Abwicklungsgesellschaft Roesch AG Medizintechnik....... 7,300 255
*ADVA Optical Networking SE............................. 169,035 950,953
AGROB Immobilien AG.................................... 5,800 79,135
75
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
------- -----------
GERMANY -- (Continued)
#*Air Berlin P.L.C....................................... 156,429 $ 310,211
#Aixtron SE............................................. 352,829 4,628,050
ALBA SE................................................ 21,642 1,745,321
*Aligna AG.............................................. 318,087 7,833
Allgeier SE............................................ 19,930 274,599
Amadeus Fire AG........................................ 17,321 803,891
*Analytik Jena AG....................................... 597 7,676
*Andreae-Noris Zahn AG.................................. 26,412 1,044,409
Asian Bamboo AG........................................ 29,133 223,723
Atoss Software AG...................................... 303 7,991
Aurubis AG............................................. 153,470 9,715,684
Baader Bank AG......................................... 118,094 278,736
Balda AG............................................... 127,634 838,470
#Bauer AG............................................... 34,231 741,068
#BayWa AG............................................... 45,827 2,076,871
Bechtle AG............................................. 63,405 2,392,760
Bertrandt AG........................................... 23,001 1,925,019
*Beta Systems Software AG............................... 8,020 16,668
#Bijou Brigitte AG...................................... 11,350 792,659
Bilfinger SE........................................... 62,183 6,093,431
Biotest AG............................................. 20,784 1,279,624
*BKN International AG................................... 33,408 130
*BMP Media Vestors AG................................... 8,724 8,038
*Borussia Dortmund GmbH & Co. KGaA...................... 241,558 803,508
CANCOM AG.............................................. 39,490 612,543
Carl Zeiss Meditec AG.................................. 114,703 3,148,265
CAT Oil AG............................................. 51,243 370,178
*Celesio AG............................................. 143,486 2,781,658
CENIT AG............................................... 19,347 165,893
Centrotec Sustainable AG............................... 42,634 770,325
#*Centrotherm Photovoltaics AG........................... 10,160 11,646
Cewe Color Holding AG.................................. 16,681 734,989
*Colonia Real Estate AG................................. 16,334 83,344
Comdirect Bank AG...................................... 139,558 1,371,610
*CompuGroup Medical AG.................................. 46,927 853,207
*Conergy AG............................................. 264,578 108,907
*Constantin Medien AG................................... 359,780 669,202
CropEnergies AG........................................ 77,958 473,802
CTS Eventim AG......................................... 106,100 3,150,234
#*Curanum AG............................................. 108,695 264,581
#DAB Bank AG............................................ 130,043 569,816
Data Modul AG.......................................... 11,455 216,284
#Delticom AG............................................ 15,867 889,780
Deufol AG.............................................. 112,955 119,225
Deutsche Beteiligungs AG............................... 29,148 736,161
#Deutsche Wohnen AG..................................... 646,717 11,844,087
*Deutz AG............................................... 263,835 1,157,307
*Dialog Semiconductor P.L.C............................. 221,152 4,404,049
DIC Asset AG........................................... 13,115 122,395
Dierig Holding AG...................................... 9,408 125,678
#Douglas Holding AG..................................... 105,346 5,142,377
Dr. Hoenle AG.......................................... 14,858 219,278
Draegerwerk AG & Co. KGaA.............................. 3,020 243,590
Drillisch AG........................................... 172,204 2,122,553
Duerr AG............................................... 40,668 3,050,739
DVB Bank SE............................................ 173,470 5,393,186
Eckert & Ziegler AG.................................... 12,438 363,461
Elmos Semiconductor AG................................. 35,507 307,573
ElreingKlinger AG...................................... 106,886 2,979,682
Erlus AG............................................... 2,970 128,927
#Euromicron AG.......................................... 25,641 668,219
76
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
GERMANY -- (Continued)
Euwax AG............................................... 14,880 $1,055,692
#*Evotec AG.............................................. 1,165,338 4,179,266
Fielmann AG............................................ 32,343 3,151,324
#*First Sensor AG........................................ 18,636 205,979
*FJA AG................................................. 217 262
#Freenet AG............................................. 381,911 6,321,467
Fuchs Petrolub AG...................................... 136,940 8,534,620
*GAGFAH SA.............................................. 281,532 3,204,062
GBW AG................................................. 28,417 837,939
Gerresheimer AG........................................ 117,580 5,836,134
Gerry Weber International AG........................... 89,108 4,051,965
Gesco AG............................................... 10,279 869,814
GFK SE................................................. 72,083 3,283,764
GFT Technologies AG.................................... 66,050 279,249
#*Gigaset AG............................................. 175,782 243,968
Gildemeister AG........................................ 200,603 3,723,063
Grammer AG............................................. 46,658 909,204
Grenkeleasing AG....................................... 32,703 2,207,305
*GSW Immobilien AG...................................... 39,738 1,633,392
H&R AG................................................. 49,089 808,752
Hamborner REIT AG...................................... 22,740 209,188
#Hamburger Hafen und Logistik AG........................ 70,353 1,710,555
#*Hansa Group AG......................................... 146,815 429,009
Hawesko Holding AG..................................... 19,463 968,932
#*Heidelberger Druckmaschinen AG......................... 822,580 1,234,592
Highlight Communications AG............................ 72,348 340,259
*Homag Group AG......................................... 14,489 186,974
Indus Holding AG....................................... 79,715 2,006,945
Innovation in Traffic Systems AG....................... 23,949 772,936
*Intershop Communications AG............................ 62,598 155,392
Isra Vision AG......................................... 11,143 310,333
#*IVG Immobilien AG...................................... 400,498 997,068
Jenoptik AG............................................ 180,277 1,708,122
*Joyou AG............................................... 4,817 54,670
*Kampa AG............................................... 35,505 1,335
*Kloeckner & Co. SE..................................... 381,858 3,462,048
*Koenig & Bauer AG...................................... 9,557 173,902
Kontron AG............................................. 189,937 892,809
#Krones AG.............................................. 72,618 4,284,051
KSB AG................................................. 3,584 1,907,911
*Kuka AG................................................ 102,786 3,085,492
KWS Saat AG............................................ 17,224 4,947,117
Leifheit AG............................................ 12,500 432,797
Leoni AG............................................... 126,718 4,233,795
*Loewe AG............................................... 25,187 118,879
*Lotto24 AG............................................. 543 2,395
#LPKF Laser & Electronics AG............................ 33,127 678,113
#*Manz AG................................................ 6,640 180,815
*Masterflex SE.......................................... 19,347 125,646
*Maxdata Computer AG.................................... 94,120 14,761
*Mediclin AG............................................ 119,554 644,271
#*Medigene AG............................................ 95,039 134,365
Mensch und Maschine Software AG........................ 10,746 69,770
#MLP AG................................................. 216,957 1,395,988
#Mobotix AG............................................. 13,494 334,029
*Mologen AG............................................. 26,889 446,959
#*Morphosys AG........................................... 79,379 2,698,569
MTU Aero Engines Holding AG............................ 69,681 5,857,687
Muehlbauer Holding & Co. AG............................ 14,905 379,067
#MVV Energie AG......................................... 114,055 3,269,280
#Nemetschek AG.......................................... 24,668 1,098,939
77
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- -----------
GERMANY -- (Continued)
Nexus AG.............................................. 33,813 $ 412,395
#*Nordex SE............................................. 194,652 681,160
NORMA Group AG........................................ 58,517 1,617,824
OHB AG................................................ 35,659 697,258
*Oldenburgische Landesbank AG.......................... 4,234 115,297
P&I Personal & Informatik AG.......................... 17,889 708,516
*Patrizia Immobilien AG................................ 76,360 539,303
Pfeiffer Vacuum Technology AG......................... 36,268 3,707,878
#PNE Wind AG........................................... 186,108 460,870
#*Praktiker AG.......................................... 217,326 405,931
Progress-Werk Oberkirch AG............................ 7,812 290,565
PSI AG Gesellschaft Fuer Produkte und Systeme der
Informationstechnologie............................. 33,752 645,028
PVA TePla AG.......................................... 46,019 138,378
QSC AG................................................ 411,987 1,124,020
*R Stahl AG............................................ 14,410 498,672
Rational AG........................................... 15,420 3,903,402
REALTECH AG........................................... 11,124 63,386
Rheinmetall AG........................................ 152,317 7,279,886
Rhoen-Klinikum AG..................................... 406,308 7,913,041
*RIB Software AG....................................... 5,493 34,119
Ruecker AG............................................ 10,247 216,060
S.A.G. Solarstrom AG.................................. 1,968 8,134
*SAF-Holland SA........................................ 167,238 1,087,946
Salzgitter AG......................................... 110,698 4,787,236
Schaltbau Holding AG.................................. 9,506 318,520
*Sedo Holding AG....................................... 65,721 137,146
Sektkellerei Schloss Wachenheim AG.................... 7,479 87,141
*SER Systems AG........................................ 9,400 207
#SGL Carbon SE......................................... 229,387 9,149,090
*SHW AG................................................ 1,716 64,467
#*Singulus Technologies AG.............................. 236,814 382,211
Sinner AG............................................. 2,660 52,375
#Sixt AG............................................... 81,198 1,510,909
SKW Stahl-Metallurgie Holding AG...................... 18,284 340,414
#*Sky Deutschland AG.................................... 1,121,049 4,886,199
*SM Wirtschaftsberatungs AG............................ 18,126 117,469
#*SMA Solar Technology AG............................... 27,498 590,659
SMT Scharf AG......................................... 9,389 273,130
Software AG........................................... 173,056 6,949,619
#Solarworld AG......................................... 294,977 510,102
Stada Arzneimittel AG................................. 247,784 7,504,291
STINAG Stuttgart Invest AG............................ 35,003 717,137
*Stoehr & Co. AG....................................... 6,000 14,901
*STRATEC Biomedical AG................................. 32,070 1,351,329
*Stroer Out-of-Home Media AG........................... 57,987 511,332
*Suss Microtec AG...................................... 73,062 689,580
Symrise AG............................................ 307,713 11,068,532
Syzygy AG............................................. 30,656 135,186
#TAG Immobilien AG..................................... 352,218 4,071,242
Takkt AG.............................................. 126,507 1,624,289
Telegate AG........................................... 16,807 130,507
*Tipp24 SE............................................. 16,840 830,725
Tom Tailor Holding AG................................. 66,580 1,419,731
Tomorrow Focus AG..................................... 113,715 505,627
*TUI AG................................................ 550,143 5,162,297
UMS United Medical Systems International AG........... 3,304 38,217
UmweltBank AG......................................... 17,656 771,410
*VBH Holding AG........................................ 9,415 31,728
*Verbio AG............................................. 52,498 112,037
#Vossloh AG............................................ 37,975 3,830,512
VTG AG................................................ 34,864 547,784
78
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
GERMANY -- (Continued)
Wacker Chemie AG..................................... 418 $ 23,611
#Wacker Neuson SE..................................... 58,348 795,312
*Wanderer-Werke AG.................................... 7,903 2,397
*Washtec AG........................................... 5,625 66,448
Wincor Nixdorf AG.................................... 119,287 5,319,427
Wirecard AG.......................................... 381,688 8,741,631
Wuerttembergische Lebensversicherung AG.............. 23,873 516,531
XING AG.............................................. 11,101 631,583
*zooplus AG........................................... 5,878 254,802
------------
TOTAL GERMANY........................................... 326,285,939
------------
GREECE -- (2.0%)
*Aegean Airlines S.A.................................. 5,746 11,693
*Aegek S.A............................................ 26,135 4,266
*Alfa Alfa Energy S.A................................. 3,810 6,864
*Alpha Bank A.E....................................... 674,977 1,582,482
*Alumil Aluminum Industry S.A......................... 39,150 14,989
*Alysida S.A.......................................... 2,376 6,132
*Anek Lines S.A....................................... 494,192 81,294
*Astir Palace Hotels S.A.............................. 93,886 406,493
*Athens Medical Center S.A............................ 105,147 62,903
*Atlantic Supermarkets S.A............................ 34,730 3,601
*Attica Bank S.A...................................... 120,802 95,601
Autohellas S.A....................................... 73,796 116,720
*Babis Vovos International Construction S.A........... 21,073 8,303
*Balafas S.A.......................................... 15,200 3,743
*Balkan Real Estate S.A............................... 5,450 2,260
*Bank of Cyprus P.L.C................................. 4,342,301 1,837,133
Bank of Greece S.A................................... 133,571 2,230,582
*Cyprus Popular Bank PCL.............................. 662,422 53,654
*Daios Plastics S.A................................... 16,350 105,324
*Diagnostic & Therapeutic Center of Athens
Hygeia S.A......................................... 125,558 49,887
*Elastron S.A......................................... 76,043 55,535
*Elektrak S.A......................................... 33,937 72,562
*Elektroniki Athinon SA............................... 7,497 4,664
*Ellaktor S.A......................................... 544,614 1,065,177
*Elval - Hellenic Aluminium Industry S.A.............. 28,590 44,162
*Etma Rayon S.A....................................... 11,242 20,545
Euro Reliance General Insurance Co. S.A.............. 40,957 31,911
*Eurobank Ergasias SA................................. 971,907 1,132,535
*Euromedica S.A....................................... 33,079 16,510
EYDAP Athens Water Supply & Sewage Co. S.A........... 116,677 666,530
*Folli Follie Group S.A............................... 150,049 2,049,635
*Forthnet S.A......................................... 21,107 25,433
*Fourlis Holdings S.A................................. 146,787 379,528
*Frigoglass S.A....................................... 115,348 669,033
*GEK Terna Holding Real Estate Construction S.A....... 296,155 521,186
*Halkor S.A........................................... 186,762 128,895
*Hellenic Cables S.A.................................. 54,724 88,431
Hellenic Exchanges S.A............................... 296,505 1,324,660
Hellenic Petroleum S.A............................... 326,121 2,556,031
*Hellenic Sugar Industry S.A.......................... 33,478 39,343
*Hellenic Telecommunication Organization Co. S.A...... 707,121 3,118,247
*Heracles General Cement Co. S.A...................... 33,094 90,450
*Iaso S.A............................................. 206,042 187,965
*Inform P. Lykos S.A.................................. 16,186 21,673
*Informatics S.A...................................... 3,778 1,518
*Intracom Holdings S.A................................ 247,375 102,256
*Intracom Technical & Steel Constructions S.A......... 13,420 12,747
Intralot S.A.-Integrated Lottery Systems & Services.. 551,157 1,108,735
*Ionian Hotel Enterprises S.A......................... 16,914 306,921
79
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- -----------
GREECE -- (Continued)
*Ipirotiki Software & Publications S.A................. 22,110 $ 55,596
JUMBO S.A............................................. 400,965 2,654,772
Karelia Tobacco Co., Inc. S.A......................... 3,613 514,966
*Kathimerini Publishing S.A............................ 25,040 13,372
*Lamda Development S.A................................. 905 4,019
*Lan-Net S.A........................................... 12,688 19,735
*Loulis Mills S.A...................................... 25,704 54,923
*Marfin Investment Group Holdings S.A.................. 2,380,237 1,060,299
Metka S.A............................................. 101,638 924,732
*Michaniki S.A......................................... 155,442 38,280
Motor Oil (Hellas) Corinth Refineries S.A............. 246,966 2,151,470
*Mytilineos Holdings S.A............................... 367,558 1,668,808
*National Bank of Greece S.A........................... 1,343,567 3,147,579
*Neorion Holdings S.A.................................. 14,991 2,429
OPAP S.A.............................................. 168,712 1,078,344
*Piraeus Bank S.A...................................... 4,777,477 2,578,847
Piraeus Port Authority S.A............................ 21,267 346,953
*Promota Hellas S.A.................................... 8,860 2,641
*Proton Bank S.A....................................... 141,214 --
*Public Power Corp. S.A................................ 528,487 3,034,329
*Real Estate Development & Services S.A................ 87,302 69,278
S&B Industrial Minerals S.A........................... 68,336 479,816
*Sarantis S.A.......................................... 74,884 250,332
*Selected Textile S.A.................................. 60,619 29,311
*Sfakianakis S.A....................................... 16,775 19,134
*Sidenor Steel Products Manufacturing Co. S.A.......... 105,996 153,732
*T Bank S.A............................................ 228,007 --
*Technical Olympic S.A................................. 2,237 3,816
*Teletypos S.A. Mega Channel........................... 77,669 26,663
Terna Energy S.A...................................... 144,697 432,337
*Themeliodomi S.A...................................... 37,422 17,947
Thessaloniki Port Authority S.A....................... 6,936 129,927
Thessaloniki Water Supply & Sewage Co. S.A............ 15,807 89,008
*Thrace Plastics Co. S.A............................... 33,856 33,241
*Titan Cement Co. S.A.................................. 203,501 3,791,759
*TT Hellenic Postbank S.A.............................. 695,353 151,414
*Viohalco Hellenic Copper & Aluminum Industry S.A...... 603,593 2,585,895
-----------
TOTAL GREECE............................................. 50,142,446
-----------
IRELAND -- (2.7%)
Aer Lingus Group P.L.C................................ 752,359 1,005,119
*Aminex P.L.C.......................................... 496,086 36,972
C&C Group P.L.C. (B010DT8)............................ 399,607 1,918,593
C&C Group P.L.C. (B011Y09)............................ 1,014,594 4,860,715
DCC P.L.C. (0242493).................................. 308,989 8,838,285
DCC P.L.C. (4189477).................................. 19,143 546,947
Donegal Creameries P.L.C.............................. 23,135 98,955
Dragon Oil P.L.C...................................... 990,437 8,866,393
*Elan Corp. P.L.C...................................... 45,034 490,108
FBD Holdings P.L.C.................................... 125,728 1,572,655
Fyffes P.L.C.......................................... 760,156 493,836
Glanbia P.L.C. (0066950).............................. 700,613 6,647,356
Glanbia P.L.C. (4058629).............................. 69,229 656,257
Grafton Group P.L.C................................... 584,079 2,546,481
IFG Group P.L.C....................................... 337,495 612,593
*Independent News & Media P.L.C. (B59HWB1)............. 406,791 44,827
*Independent News & Media P.L.C. (B5TR5N4)............. 318,060 35,041
Irish Continental Group P.L.C......................... 23,420 571,465
*Kenmare Resources P.L.C. (0487948).................... 4,136,548 2,615,262
*Kenmare Resources P.L.C. (4490737).................... 409,813 258,728
Kingspan Group P.L.C.................................. 450,404 4,697,362
80
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- -----------
IRELAND -- (Continued)
*McInerney Holdings P.L.C.............................. 697,135 $ --
Paddy Power P.L.C. (0258810).......................... 180,573 13,336,467
Paddy Power P.L.C. (4828974).......................... 10,071 742,983
*Providence Resources P.L.C............................ 17,054 171,530
Smurfit Kappa Group P.L.C............................. 475,119 5,238,349
Total Produce P.L.C................................... 479,366 302,596
-----------
TOTAL IRELAND............................................ 67,205,875
-----------
ISRAEL -- (2.6%)
*Africa Israel Investments, Ltd........................ 326,135 830,002
*Africa Israel Properties, Ltd......................... 37,844 293,801
Africa Israel Residences, Ltd......................... 594 6,483
*Airport City, Ltd..................................... 107,236 483,836
*Allot Communications, Ltd............................. 13,400 302,522
*Alon Holdings Blue Square Israel, Ltd................. 46,194 119,723
*AL-ROV Israel, Ltd.................................... 15,910 357,465
*Alrov Properties & Lodgings, Ltd...................... 5,723 100,618
*Alvarion, Ltd......................................... 84,517 38,195
Amot Investments, Ltd................................. 200,291 466,908
*AudioCodes, Ltd....................................... 159,083 361,052
Avgol Industries 1953, Ltd............................ 353,269 265,927
*Azorim Investment Development & Construction Co., Ltd. 302 292
Babylon, Ltd.......................................... 129,307 1,067,224
Bayside Land Corp..................................... 2,413 452,568
Big Shopping Centers 2004, Ltd........................ 2,001 45,179
*Biocell, Ltd.......................................... 16,731 97,401
*BioLineRX, Ltd........................................ 499,334 158,990
Blue Square Real Estate, Ltd.......................... 3,782 72,856
*Cellcom Israel, Ltd................................... 104,952 936,690
*Ceragon Networks, Ltd................................. 71,706 314,816
*Clal Biotechnology Industries, Ltd.................... 146,663 453,201
Clal Industries, Ltd.................................. 285,112 1,007,008
Clal Insurance Enterprises Holdings, Ltd.............. 83,321 1,132,475
*Compugen, Ltd......................................... 37,175 135,106
Delek Automotive Systems, Ltd......................... 124,131 776,797
Delek Group, Ltd...................................... 2,224 422,904
Delta-Galil Industries, Ltd........................... 32,226 338,834
Direct Insurance - I.D.I. Insurance Co., Ltd.......... 35,764 91,795
DS Apex Holdings, Ltd................................. 38,130 178,893
*El Al Israel Airlines, Ltd............................ 421,312 49,636
*Elbit Medical Imaging, Ltd............................ 53,265 123,257
Elbit Systems, Ltd.................................... 70,858 2,494,716
Electra, Ltd.......................................... 6,502 551,126
Elron Electronic Industries, Ltd...................... 57,768 273,537
*Evogene, Ltd.......................................... 90,699 397,878
*EZchip Semiconductor, Ltd............................. 106,730 3,352,308
*First International Bank of Israel, Ltd............... 98,118 1,165,396
FMS Enterprises Migun, Ltd............................ 10,300 137,876
*Formula Systems (1985), Ltd........................... 36,549 581,380
Frutarom Industries, Ltd.............................. 162,348 1,748,421
*Gilat Satellite Networks, Ltd......................... 87,921 391,864
*Given Imaging, Ltd.................................... 48,376 870,980
Golf & Co., Ltd....................................... 57,649 179,355
*Hadera Paper, Ltd..................................... 9,516 414,648
Harel Insurance Investments & Finances, Ltd........... 37,881 1,427,352
Hot Telecommunications Systems, Ltd................... 92,836 921,909
*Industrial Building Corp., Ltd........................ 342,619 456,272
*Israel Cold Storage & Supply Co., Ltd................. 1,076 12,302
*Israel Discount Bank, Ltd. Series A................... 2,459,139 3,468,988
Israel Land Development Co., Ltd. (The)............... 22,615 86,044
Ituran Location & Control, Ltd........................ 84,441 1,051,743
81
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
---------- -----------
ISRAEL -- (Continued)
*Jerusalem Oil Exploration, Ltd....................... 39,274 $ 660,581
*Kamada, Ltd.......................................... 110,315 879,002
*Kardan Yazamut, Ltd.................................. 95,268 9,981
Maabarot Products, Ltd............................... 21,999 194,984
*Magic Software Enterprises, Ltd...................... 38,625 175,665
Matrix IT, Ltd....................................... 181,750 792,577
Melisron, Ltd........................................ 49,762 833,567
*Mellanox Technologies, Ltd........................... 93,933 7,088,884
*Menorah Mivtachim Holdings, Ltd...................... 108,046 827,963
Migdal Insurance & Financial Holding, Ltd............ 1,008,721 1,359,198
*Mizrahi Tefahot Bank, Ltd............................ 64,217 583,122
*Naphtha Israel Petroleum Corp., Ltd.................. 129,930 498,424
Neto Me Holdings, Ltd................................ 5,411 180,968
*NICE Systems, Ltd.................................... 2,772 92,592
*NICE Systems, Ltd. Sponsored ADR..................... 25,502 849,217
*Nitsba Holdings (1995), Ltd.......................... 106,360 841,481
*Nova Measuring Instruments, Ltd...................... 45,138 318,525
*Oil Refineries, Ltd.................................. 3,533,465 1,701,386
Ormat Industries, Ltd................................ 293,852 1,560,850
Osem Investments, Ltd................................ 124,960 1,887,046
Partner Communications Co., Ltd...................... 191,918 1,104,521
Paz Oil Co., Ltd..................................... 18,628 2,454,728
*Phoenix Holdings, Ltd. (The)......................... 200,757 417,480
Plasson Industries, Ltd.............................. 8,863 239,974
Rami Levi Chain Stores Hashikma Marketing 2006, Ltd.. 27,880 831,132
*Retalix, Ltd......................................... 72,061 1,421,604
*Scailex Corp, Ltd.................................... 7,701 6,812
Shikun & Binui, Ltd.................................. 864,351 1,442,313
*Space Communication, Ltd............................. 13,852 171,456
*Strauss Group, Ltd................................... 145,239 1,641,730
*Suny Electronic, Ltd................................. 21,817 18,531
Super-Sol, Ltd. Series B............................. 368,517 995,493
*Tower Semiconductor, Ltd............................. 88,339 734,952
*Union Bank of Israel, Ltd............................ 130,630 428,598
-----------
TOTAL ISRAEL............................................ 64,711,886
-----------
ITALY -- (7.5%)
#*A2A SpA.............................................. 3,304,676 1,628,388
ACEA SpA............................................. 280,731 1,544,854
Acegas-APS SpA....................................... 110,973 799,678
#*Acotel Group SpA..................................... 3,478 112,032
*Aedes SpA............................................ 1,494,875 123,770
Aeroporto de Firenze SpA............................. 17,390 231,595
*Aion Renewables SpA.................................. 12,160 13,028
Alerion Cleanpower SpA............................... 74,701 364,790
Amplifon SpA......................................... 320,929 1,488,505
Ansaldo STS SpA...................................... 352,492 2,868,571
*Arnoldo Mondadori Editore SpA........................ 419,339 566,981
*Ascopiave SpA........................................ 164,564 283,499
Astaldi SpA.......................................... 228,281 1,469,688
Autogrill SpA........................................ 437,299 4,476,307
Azimut Holding SpA................................... 454,770 5,777,415
#*Banca Carige SpA..................................... 2,142,365 1,983,355
#Banca Finnat Euramerica SpA.......................... 685,945 230,995
Banca Generali SpA................................... 156,535 2,298,834
Banca IFIS SpA....................................... 102,347 702,891
#*Banca Monte Dei Paschi di Siena SpA.................. 8,733,630 2,414,241
Banca Piccolo Credito Valtellinese Scarl............. 1,015,903 1,617,665
Banca Popolare dell'Emilia Romagna Scarl............. 1,085,022 6,465,667
*Banca Popolare dell'Etruria e del Lazio Scarl........ 297,428 328,070
*Banca Popolare di Milano Scarl....................... 12,870,403 7,092,416
82
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- -----------
ITALY -- (Continued)
Banca Popolare di Sondrio Scarl....................... 1,122,536 $ 6,429,349
Banca Profilo SpA..................................... 732,338 228,810
Banco di Desio e della Brianza SpA.................... 232,296 617,228
*Banco Popolare Scarl.................................. 6,311,267 10,071,344
BasicNet SpA.......................................... 105,627 242,331
Beghelli SpA.......................................... 427,981 227,677
*Biesse SpA............................................ 54,004 184,259
Bonifica Terreni Ferraresi e Imprese Agricole SpA..... 10,867 579,309
Brembo SpA............................................ 162,145 1,655,495
*Brioschi Sviluppo Immobiliare SpA..................... 174,780 19,855
#Buzzi Unicem SpA...................................... 291,869 3,473,124
C.I.R. SpA - Compagnie Industriali Riunite............ 1,627,217 1,863,260
Cairo Communication SpA............................... 86,858 272,676
Caltagirone Editore SpA............................... 6,277 7,415
Caltagirone SpA....................................... 242,875 356,171
#*Carraro SpA........................................... 113,633 295,666
Cembre SpA............................................ 40,330 321,467
Cementir Holding SpA.................................. 336,239 709,476
Credito Bergamasco SpA................................ 129,374 2,358,318
Credito Emiliano SpA.................................. 376,390 1,817,892
CSP International Fashion Group SpA................... 8,113 9,839
*d'Amico International Shipping S.A.................... 98,072 42,124
#Danieli & Co. SpA..................................... 58,099 1,664,239
Datalogic SpA......................................... 65,558 562,622
Davide Campari - Milano SpA........................... 523,862 4,251,455
*DeA Capital SpA....................................... 241,155 400,395
*Delclima SpA.......................................... 238,104 204,309
De'Longhi SpA......................................... 305,654 4,075,104
DiaSorin SpA.......................................... 77,818 2,613,254
*EEMS Italia SpA....................................... 33,167 15,487
*EI Towers SpA......................................... 39,294 1,037,160
*Engineering Ingegneria Informatica SpA................ 15,735 556,723
ERG SpA............................................... 242,145 1,757,947
Esprinet SpA.......................................... 104,855 429,122
#*Eurotech SpA.......................................... 103,698 152,113
#Falck Renewables SpA.................................. 452,790 553,218
Fiera Milano SpA...................................... 37,863 192,101
#*Finmeccanica SpA...................................... 1,593,106 7,900,845
*Fondiaria-Sai SpA..................................... 943,740 1,227,456
*Gas Plus SpA.......................................... 14,596 92,429
Gefran SpA............................................ 31,923 116,905
*Gemina SpA............................................ 2,562,430 2,446,794
#Geox SpA.............................................. 343,770 982,933
*Gruppo Ceramiche Ricchetti SpA........................ 19,666 4,544
Gruppo Editoriale L'Espresso SpA...................... 670,242 665,521
Gruppo MutuiOnline SpA................................ 51,809 236,505
#Hera SpA.............................................. 1,822,830 3,073,159
*I Grandi Viaggi SpA................................... 96,916 54,218
Immsi SpA............................................. 743,533 370,239
Impregilo SpA......................................... 1,252,064 5,056,053
Indesit Co. SpA....................................... 185,473 1,150,533
Industria Macchine Automatiche SpA.................... 58,626 1,026,810
Industria Romagnola Conduttori Elettrici SpA.......... 43,300 81,326
*Intek SpA............................................. 267,440 149,110
#Interpump Group SpA................................... 275,866 2,099,673
Iren SpA.............................................. 1,758,434 991,205
#Italcementi SpA....................................... 279,135 1,412,708
*Italmobiliare SpA..................................... 46,873 722,681
*Juventus Football Club SpA............................ 1,255,083 349,345
*KME Group SpA......................................... 1,654,192 749,153
*Landi Renzo SpA....................................... 203,171 369,887
83
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
ITALY -- (Continued)
Lottomatica Group SpA................................ 185,318 $ 3,988,670
*Maire Tecnimont SpA.................................. 541,573 432,404
Marcolin SpA......................................... 60,205 327,506
#*Mariella Burani SpA.................................. 32,721 --
Marr SpA............................................. 131,906 1,245,928
#Mediaset SpA......................................... 2,909,042 5,110,042
Mediobanca SpA....................................... 8,209 46,936
#Mediolanum SpA....................................... 758,652 3,724,227
#*Milano Assicurazioni SpA............................. 2,324,306 989,441
*Molecular Medicine SpA............................... 300,810 165,738
*Monrif SpA........................................... 290,064 115,169
Nice SpA............................................. 40,195 133,537
*Pagnossin SpA........................................ 9,000 --
#Piaggio & C. SpA..................................... 682,441 1,683,000
*Pininfarina SpA...................................... 73,457 294,940
Pirelli & C. SpA..................................... 11,737 136,344
*Poltrona Frau SpA.................................... 152,285 192,413
#*Prelios SpA.......................................... 2,389,900 256,951
#*Premafin Finanziaria SpA............................. 961,257 194,153
*Prima Industrie SpA.................................. 88 1,066
Prysmian SpA......................................... 494,781 9,539,788
#*RCS MediaGroup SpA................................... 450,383 821,214
Recordati SpA........................................ 408,182 3,270,424
Reply SpA............................................ 12,998 338,186
*Retelit SpA.......................................... 177,195 124,082
*Richard-Ginori 1735 SpA.............................. 8,489 768
Sabaf SpA............................................ 24,109 272,933
SAES Getters SpA..................................... 30,068 277,481
*Safilo Group SpA..................................... 140,163 1,184,826
*Saras SpA............................................ 1,351,714 1,808,842
SAVE SpA............................................. 11,877 110,293
*Screen Service Broadcasting Technologies SpA......... 5,366 1,448
*Seat Pagine Gialle SpA............................... 2,034,205 20,545
*Snai SpA............................................. 95,483 88,034
*Societa Cattolica di Assicurazioni Scrl.............. 189,771 2,957,185
Societa Iniziative Autostradali e Servizi SpA........ 220,635 1,837,294
Sogefi SpA........................................... 186,290 447,459
Sol SpA.............................................. 166,511 1,008,630
*Sorin SpA............................................ 1,151,064 2,700,166
Tamburi Investment Partners SpA...................... 37,478 71,668
#*Telecom Italia Media SpA............................. 1,649,819 351,255
#*Tiscali SpA.......................................... 3,467,783 202,360
Tod's SpA............................................ 47,508 5,568,387
#Trevi Finanziaria SpA................................ 154,707 1,045,470
*Uni Land SpA......................................... 51,835 --
Unione di Banche Italiane ScpA....................... 1,040,716 4,099,577
#*Unipol Gruppo Finanziario SpA........................ 970,174 2,124,082
Vianini Industria SpA................................ 57,659 80,331
Vianini Lavori SpA................................... 175,180 707,247
Vittoria Assicurazioni SpA........................... 121,346 737,335
*Yoox SpA............................................. 157,902 2,392,856
Zignago Vetro SpA.................................... 83,038 481,303
------------
TOTAL ITALY............................................. 190,171,535
------------
NETHERLANDS -- (5.2%)
Aalberts Industries NV............................... 469,415 8,532,614
#Accell Group NV...................................... 93,631 1,544,281
*AFC Ajax NV.......................................... 18,134 160,779
#*AMG Advanced Metallurgical Group NV.................. 137,180 1,075,328
#*Amsterdam Commodities NV............................. 73,969 1,333,484
APERAM NV............................................ 247,006 3,582,067
84
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
NETHERLANDS -- (Continued)
#Arcadis NV........................................... 270,260 $ 5,773,645
#ASM International NV................................. 215,172 6,812,916
*Atag Group NV........................................ 4,630 1,740
Ballast Nedam NV..................................... 702 9,103
Batenburg Techniek NV................................ 7,085 125,070
#BE Semiconductor Industries NV....................... 154,577 1,042,807
Beter Bed Holding NV................................. 83,095 1,535,546
BinckBank NV......................................... 251,217 2,013,859
Brunel International NV.............................. 51,660 2,490,908
*Crown Van Gelder NV.................................. 9,818 62,910
CSM NV............................................... 363,574 7,426,298
Delta Lloyd NV....................................... 472,377 7,855,836
DOCdata NV........................................... 22,463 375,731
#Exact Holding NV..................................... 64,260 1,442,007
#*Grontmij NV.......................................... 244,473 920,620
Heijmans NV.......................................... 79,498 674,391
Hunter Douglas NV.................................... 8,764 324,577
*Kardan NV............................................ 75,774 78,542
#KAS Bank NV.......................................... 54,562 547,437
Kendrion NV.......................................... 41,207 832,161
#Koninklijke Bam Groep NV............................. 1,185,068 4,411,164
Koninklijke Ten Cate NV.............................. 140,083 3,105,364
#Koninklijke Wessanen NV.............................. 380,493 1,075,578
#*LBi International NV................................. 515,485 1,908,630
Macintosh Retail Group NV............................ 52,801 596,006
Mediq NV............................................. 274,364 4,453,143
Nederlandsche Apparatenfabriek NV.................... 28,810 1,066,383
Nutreco NV........................................... 173,920 13,027,581
*Ordina NV............................................ 330,458 437,187
*PostNL NV............................................ 1,920,653 7,579,442
*Roto Smeets Group NV................................. 10,393 100,272
Royal Imtech NV...................................... 349,305 8,780,615
Royal Reesink NV..................................... 1,239 118,309
*SBM Offshore NV...................................... 804,422 10,530,512
Sligro Food Group NV................................. 104,081 2,833,129
#*SNS Reaal Groep NV................................... 705,718 1,039,112
#Stern Groep NV....................................... 1,100 21,042
#Telegraaf Media Groep NV............................. 163,812 1,520,951
TKH Group NV......................................... 177,347 4,057,380
#*TomTom NV............................................ 547,355 2,733,313
Unit4 NV............................................. 129,411 3,554,210
USG People NV........................................ 330,320 2,320,126
Van Lanschot NV...................................... 54 1,036
*Xeikon NV............................................ 58,445 227,447
------------
TOTAL NETHERLANDS....................................... 132,072,589
------------
NORWAY -- (3.3%)
#ABG Sundal Collier Holding ASA....................... 1,097,526 783,144
AF Gruppen ASA....................................... 2,718 27,361
#*Agasti Holding ASA................................... 227,087 59,348
*Algeta ASA........................................... 145,487 3,913,014
*Archer, Ltd.......................................... 492,707 651,228
Arendals Fosse Kompani ASA........................... 90 26,039
Atea ASA............................................. 296,910 3,145,321
Austevoll Seafood ASA................................ 347,903 1,646,707
*Bakkafrost........................................... 4,578 38,948
*Bionor Pharma ASA.................................... 67,738 40,678
Bonheur ASA.......................................... 68,100 1,459,131
BW Offshore, Ltd..................................... 1,221,619 718,664
*BWG Homes ASA........................................ 346,255 708,105
Cermaq ASA........................................... 285,677 3,909,381
85
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- -----------
NORWAY -- (Continued)
*Clavis Pharma ASA..................................... 139,784 $ 1,659,620
Copeinca ASA.......................................... 98,638 764,893
*Deep Sea Supply P.L.C................................. 371,781 566,969
#*Det Norske Oljeselskap ASA............................ 173,708 2,676,083
#*DNO International ASA................................. 3,907,920 6,831,052
*Dockwise, Ltd......................................... 70,575 1,129,092
#*DOF ASA............................................... 186,228 768,484
Ekornes ASA........................................... 112,551 1,721,217
*Electromagnetic GeoServices ASA....................... 566,149 1,233,199
*Eltek ASA............................................. 1,292,456 861,849
EVRY ASA.............................................. 267,383 393,073
Farstad Shipping ASA.................................. 63,540 1,359,896
#*Frontline, Ltd........................................ 214,780 673,433
Ganger Rolf ASA....................................... 54,510 1,145,190
Golar LNG, Ltd........................................ 8,434 334,753
*Golden Ocean Group, Ltd............................... 1,019,402 771,211
*Grieg Seafood ASA..................................... 144,008 254,291
*Havila Shipping ASA................................... 22,400 121,249
*Hoegh LNG Holdings, Ltd............................... 8,442 62,118
*Hurtigruten ASA....................................... 759,030 402,290
*Intex Resources ASA................................... 45,445 29,336
*Jason Shipping ASA.................................... 5,518 1,921
*Kongsberg Automotive Holding ASA...................... 1,784,754 538,087
Kongsberg Gruppen ASA................................. 10,370 200,316
Kvaerner ASA.......................................... 807,447 2,049,368
Leroey Seafood Group ASA.............................. 81,749 1,684,741
*Morpol ASA............................................ 12,028 19,093
*Natural ASA........................................... 476,317 107,956
#*Nordic Semiconductor ASA.............................. 580,280 1,673,509
#*Norske Skogindustrier ASA Series A.................... 660,997 554,004
Northern Offshore, Ltd................................ 348,830 635,010
#*Norwegian Air Shuttle ASA............................. 130,053 2,811,075
#*Norwegian Energy Co. ASA.............................. 809,521 516,720
Odfjell ASA Series A.................................. 138,810 442,184
Olav Thon Eiendomsselskap ASA......................... 12,852 1,980,573
#Opera Software ASA.................................... 349,386 1,922,983
#*Panoro Energy ASA..................................... 520,180 359,009
*PCI Biotech Holding ASA............................... 3,157 18,135
*PetroliaE & P Holdings................................ 43,748 49,877
#*Photocure ASA......................................... 34,222 220,969
*Pronova BioPharma ASA................................. 717,584 1,419,744
Prosafe ASA........................................... 781,319 6,497,719
*Q-Free ASA............................................ 139,029 390,388
#*Renewable Energy Corp. ASA............................ 3,941,817 690,679
*Salmar ASA............................................ 27,303 170,495
*Scana Industrier ASA.................................. 548,479 120,207
#*Sevan Drilling AS..................................... 330,159 255,684
*Sevan Marine ASA...................................... 122,199 322,545
*Siem Offshore, Inc. ASA............................... 567,901 768,266
Solstad Offshore ASA.................................. 58,705 870,505
#*Songa Offshore SE..................................... 845,806 1,037,683
SpareBank 1 SMN....................................... 394,981 2,559,213
*SpareBank 1 SR Bank ASA............................... 67,432 435,257
Stolt-Nielsen, Ltd.................................... 46,134 845,808
*Storebrand ASA........................................ 132,651 667,548
Tomra Systems ASA..................................... 669,803 5,502,605
TTS Marine ASA........................................ 180,762 299,113
Veidekke ASA.......................................... 333,849 2,779,882
#*Wilh Wilhelmsen ASA................................... 56,941 406,228
Wilh Wilhelmsen Holding ASA........................... 64,934 1,460,135
-----------
TOTAL NORWAY............................................. 84,171,601
-----------
86
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
---------- -----------
PORTUGAL -- (1.2%)
Altri SGPS SA....................................... 594,472 $ 1,048,161
#*Banco BPI SA........................................ 2,123,556 2,368,448
#*Banco Comercial Portugues SA........................ 38,839,916 3,531,849
*Banco Espirito Santo SA............................. 7,130,880 6,940,071
#*Banif SGPS SA....................................... 686,791 128,175
Corticeira Amorim SGPS SA........................... 208,154 380,160
Ibersol SGPS SA..................................... 20,401 89,782
*Impresa SGPS SA..................................... 319,594 132,306
*INAPA - Investimentos Participacoes e Gestao SA..... 232,518 39,275
Mota-Engil SGPS SA.................................. 359,581 608,859
Novabase SGPS SA.................................... 65,729 176,222
*ParaRede SGPS SA.................................... 65,791 10,241
Portucel-Empresa Produtora de Pasta de Papel SA..... 881,646 2,458,623
REN - Redes Energeticas Nacionais SGPS SA........... 832,962 2,148,971
*SAG GEST - Solucoes Automovel Globais SGPS SA....... 241,182 122,058
#Sociedade de Investimento e Gestao SGPS SA.......... 315,078 2,229,855
*Sonae Capital SGPS SA............................... 37,542 7,260
#*Sonae Industria SGPS SA............................. 443,755 301,417
#Sonae SGPS SA....................................... 3,774,580 2,802,019
Sonaecom SGPS SA.................................... 565,634 1,027,771
Sumol & Compal SA................................... 67,967 98,591
*Teixeira Duarte SA.................................. 734,737 247,571
*Toyota Caetano Portugal SA.......................... 53,308 109,170
Zon Multimedia Servicos de Telecomunicacoes e
Multimedia SGPS SA................................ 746,473 2,368,276
-----------
TOTAL PORTUGAL......................................... 29,375,131
-----------
SPAIN -- (4.5%)
#Abengoa SA.......................................... 199,714 698,999
#*Abengoa SA Series B................................. 798,856 2,767,708
Acciona SA.......................................... 19,537 1,200,859
#*Acerinox SA......................................... 236,733 2,471,061
*Adolfo Dominguez SA................................. 19,487 100,148
Adveo Group International SA........................ 47,385 697,500
#*Almirall SA......................................... 221,459 1,983,102
*Amper SA............................................ 96,925 237,678
Antena 3 de Television SA........................... 307,606 1,234,548
*Azkoyen SA.......................................... 62,948 135,940
Banco de Sabadell SA Convertible Shares............. 212,446 662,242
#Banco Espanol de Credito SA......................... 30,648 112,191
Banco Popular Espanol SA............................ 86,168 134,747
#Bankinter SA........................................ 1,126,294 4,473,496
#*Baron de Ley SA..................................... 13,910 785,893
#Bolsas y Mercados Espanoles SA...................... 304,982 6,589,836
#*Caja de Ahorros del Mediterraneo SA................. 116,412 --
*Campofrio Food Group SA............................. 95,179 697,514
#*Cementos Portland Valderrivas SA.................... 45,565 218,723
#Cie Automotive SA................................... 131,131 909,413
*Codere SA........................................... 73,816 309,663
Compania Vinicola del Norte de Espana SA............ 16,119 305,064
Construcciones y Auxiliar de Ferrocarriles SA....... 7,740 3,685,075
*Deoleo SA........................................... 1,893,651 810,600
Dinamia Capital Privado Sociedad de Capital Riesgo
SA................................................ 20,438 138,305
Distribuidora Internacional de Alimentacion SA...... 96,278 583,264
Duro Felguera SA.................................... 276,209 1,672,053
Ebro Foods SA....................................... 368,664 6,771,446
#Elecnor SA.......................................... 198,254 2,356,622
Ence Energia y Celulosa SA.......................... 925,182 2,258,852
*Ercros SA........................................... 347,602 240,582
#Faes Farma SA....................................... 867,236 1,502,728
*Fersa Energias Renovables SA........................ 93,691 44,979
Fluidra SA.......................................... 51,811 132,806
87
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
SPAIN -- (Continued)
#Fomento de Construcciones y Contratas SA............. 196,344 $ 2,572,335
#Gamesa Corp Tecnologica SA........................... 1,113,758 2,275,406
*Grifols SA........................................... 1,193 41,434
#Grupo Catalana Occidente SA.......................... 191,220 3,122,654
*Grupo Ezentis SA..................................... 1,019,505 235,430
*Grupo Tavex SA....................................... 244,131 79,740
Iberpapel Gestion SA................................. 25,850 442,125
#Indra Sistemas SA.................................... 462,730 5,294,527
#*Inmobiliaria Colonial SA............................. 108,920 212,739
Inmobiliaria del Sur SA.............................. 2,902 15,666
*Jazztel P.L.C........................................ 957,794 6,349,140
*La Seda de Barcelona SA.............................. 80,921 112,133
Laboratorios Farmaceuticos Rovi SA................... 58,812 395,611
#Mediaset Espana Comunicacion SA...................... 772,677 4,158,770
#Melia Hotels International SA........................ 232,123 1,727,324
Miquel y Costas & Miquel SA.......................... 35,995 980,490
*Natra SA............................................. 86,085 117,715
*Natraceutical SA..................................... 270,920 50,228
#*NH Hoteles SA........................................ 521,131 1,891,975
*Nicolas Correa SA.................................... 14,074 14,212
Obrascon Huarte Lain SA.............................. 180,950 4,743,459
Papeles y Cartones de Europa SA...................... 226,938 545,555
#Pescanova SA......................................... 65,593 1,217,611
Prim SA.............................................. 39,424 243,267
#*Promotora de Informaciones SA Series A............... 1,297,266 565,565
#Prosegur Cia de Seguridad SA......................... 875,740 4,777,912
*Realia Business SA................................... 297,777 227,773
#*Sacyr Vallehermoso SA................................ 645,056 1,285,221
*Service Point Solutions SA........................... 351,017 63,940
*Sociedad Nacional Industrias Aplicaciones Celulosa
Espanola SA......................................... 227,522 238,775
Solaria Energia y Medio Ambiente SA.................. 98,171 111,099
Tecnicas Reunidas SA................................. 128,763 6,342,583
Telecomunicaciones y Energia SA...................... 146,125 222,507
#*Tubacex SA........................................... 455,998 1,176,991
Tubos Reunidos SA.................................... 468,386 1,168,348
Vidrala SA........................................... 73,575 1,902,671
Viscofan SA.......................................... 202,123 9,793,173
*Vocento SA........................................... 196,990 249,996
#*Vueling Airlines SA.................................. 72,219 482,953
#*Zeltia SA............................................ 820,890 1,407,410
------------
TOTAL SPAIN............................................. 113,780,100
------------
SWEDEN -- (9.4%)
Aarhuskarlshamn AB................................... 111,342 4,385,979
Acando AB............................................ 282,290 667,301
*Active Biotech AB.................................... 179,412 1,650,436
#AddNode Group AB..................................... 22,291 110,828
#AddTech AB Series B.................................. 76,643 1,910,822
*Aerocrine AB Series B................................ 11,711 25,205
AF AB Series B....................................... 129,635 2,879,523
#*Alliance Oil Co., Ltd. SDR........................... 350,897 2,700,089
*Anoto Group AB....................................... 80,683 29,108
AQ Group AB.......................................... 26,029 174,389
*Arise Windpower AB................................... 16,677 58,896
*Atrium Ljungberg AB Series B......................... 31,048 408,271
Avanza Bank Holding AB............................... 77,172 1,516,889
Axfood AB............................................ 94,702 3,505,672
#Axis Communications AB............................... 183,851 4,297,359
B&B Tools AB Series B................................ 97,424 668,902
BE Group AB.......................................... 215,340 525,772
Beiger Electronics AB................................ 53,856 409,622
88
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
SWEDEN -- (Continued)
Beijer Alma AB......................................... 79,816 $1,344,257
*Betsson AB............................................. 136,308 3,724,452
Bilia AB Series A...................................... 113,425 1,456,065
#Billerud AB............................................ 427,537 4,078,275
BioGaia AB Series B.................................... 59,469 1,537,418
Biotage AB............................................. 143,915 173,995
*Bjorn Borg AB.......................................... 81,716 430,987
#*Black Earth Farming, Ltd. SDR.......................... 82,755 152,122
*Bong Ljungdahl AB...................................... 24,800 34,962
*Boras Waefveri AB Series B............................. 6,564 1,306
Bure Equity AB......................................... 326,825 1,133,421
Byggmax Group AB....................................... 150,938 695,078
Cantena AB............................................. 56,202 493,589
Castellum AB........................................... 726,291 9,735,330
*Catella AB............................................. 215,308 181,313
*CDON Group AB.......................................... 207,523 1,166,308
*Cision AB.............................................. 11,445 89,739
Clas Ohlson AB Series B................................ 152,790 1,952,892
*Cloetta AB............................................. 59,529 125,199
#Concentric AB.......................................... 202,603 1,527,236
Concordia Maritime AB Series B......................... 78,854 119,239
#Connecta AB............................................ 37,403 277,031
*Corem Property Group AB Class B........................ 120 341
*CyberCom Group AB...................................... 191,193 35,480
#DORO AB................................................ 94,731 303,044
Duni AB................................................ 140,875 1,276,695
East Capital Explorer AB............................... 47,726 352,620
Elekta AB Series B..................................... 502,184 7,148,728
#*Enea AB................................................ 63,008 402,041
#*Eniro AB............................................... 420,612 592,855
Fabege AB.............................................. 577,549 5,735,995
Fagerhult AB........................................... 18,323 453,043
*Fastighets AB Balder Series B.......................... 279,717 1,533,969
Fenix Outdoor AB....................................... 6,455 150,971
G & L Beijer AB Series B............................... 59,356 923,074
Gunnebo AB............................................. 190,542 738,219
Hakon Invest AB........................................ 223,343 3,838,082
#Haldex AB.............................................. 218,520 954,840
Heba Fastighets AB Series B............................ 43,722 421,735
Hexpol AB.............................................. 115,947 5,184,598
*HIQ International AB................................... 246,152 1,123,591
HMS Networks AB........................................ 7,040 112,442
Hoganas AB Series B.................................... 115,764 3,860,644
Holmen AB Series B..................................... 273,916 8,072,161
Hufvudstaden AB Series A............................... 189,483 2,406,675
Husqvarna AB Series A.................................. 37,223 215,854
#Husqvarna AB Series B.................................. 1,434,072 8,330,008
Industrial & Financial Systems AB Series B............. 89,522 1,379,156
Indutrade AB........................................... 54,779 1,536,670
Intrum Justitia AB..................................... 288,215 4,170,251
#JM AB.................................................. 372,482 6,709,537
#*KappAhl AB............................................. 730,234 527,038
#*Karo Bio AB............................................ 1,017,632 52,099
Klovern AB............................................. 387,861 1,502,265
KNOW IT AB............................................. 75,523 546,956
Kungsleden AB.......................................... 621,807 3,041,476
Lagercrantz Group AB Series B.......................... 76,298 683,087
Lindab International AB................................ 330,563 2,481,080
Loomis AB Series B..................................... 318,925 4,382,666
Meda AB Series A....................................... 857,997 8,790,208
#*Medivir AB Series B.................................... 125,346 1,143,993
89
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
SWEDEN -- (Continued)
Mekonomen AB......................................... 93,177 $ 2,612,735
*Micronic Mydata AB................................... 390,070 605,557
Modern Times Group AB Series B....................... 14,189 432,115
MQ Holding AB........................................ 37,437 106,193
NCC AB Series A...................................... 22,771 421,345
NCC AB Series B...................................... 364,909 6,837,356
Nederman Holding AB.................................. 3,537 69,232
*Net Entertainment NE AB.............................. 132,617 1,463,354
#*Net Insight AB Series B.............................. 1,189,130 283,415
#New Wave Group AB Series B........................... 197,176 597,310
#NIBE Industrier AB Series B.......................... 344,688 5,219,502
#*Nobia AB............................................. 666,139 2,684,066
Nolato AB Series B................................... 88,207 1,023,141
#*Nordic Mines AB...................................... 177,844 131,670
Nordnet AB Series B.................................. 385,945 956,037
OEM International AB Series B........................ 45,688 443,327
#*Orexo AB............................................. 76,505 554,507
Oriflame Cosmetics SA SDR............................ 152,281 4,208,214
*PA Resources AB...................................... 2,515,097 171,273
*Partnertech AB....................................... 26,634 89,945
#Peab AB Series B.................................... 714,633 3,374,657
Poolia AB Series B................................... 26,319 47,307
#Pricer AB Series B................................... 452,718 600,822
ProAct IT Group AB................................... 31,571 452,242
Probi AB............................................. 28,553 211,970
Proffice AB Series B................................. 261,425 756,825
*RaySearch Laboratories AB............................ 73,879 198,455
Readsoft AB Series B................................. 87,941 259,881
*Rederi AB Transatlantic.............................. 112,133 98,534
*Rezidor Hotel Group AB............................... 347,496 1,237,087
*RNB Retail & Brands AB............................... 411,548 120,819
Rottneros AB......................................... 207,512 57,856
Saab AB Series B..................................... 253,292 4,818,837
Sagax AB............................................. 3,119 82,430
#*SAS AB............................................... 581,421 566,117
*Sectra AB............................................ 22,873 141,617
*Securitas AB Series B................................ 1,133,353 8,253,893
*Semcon AB............................................ 63,596 423,744
Sigma AB Series B.................................... 20,898 16,772
Sintercast AB........................................ 13,048 88,841
Skistar AB........................................... 97,008 1,165,722
#SSAB AB Series A..................................... 824,806 5,908,719
SSAB AB Series B..................................... 304,782 1,884,924
Studsvik AB.......................................... 18,826 72,542
Sweco AB Series B.................................... 187,009 1,969,767
*Swedish Orphan Biovitrum AB.......................... 596,468 3,367,947
Swedol AB Class B.................................... 29,796 101,096
Systemair AB......................................... 18,266 211,204
*TradeDoubler AB...................................... 181,607 319,354
*Transmode Holding AB................................. 11,431 118,698
Trelleborg AB Series B............................... 999,202 10,888,078
#Unibet Group P.L.C. SDR.............................. 134,781 3,801,141
Uniflex AB Series B.................................. 17,950 77,003
VBG AB Series B...................................... 137 1,666
Vitrolife AB......................................... 60,303 395,952
Wallenstam AB Series B............................... 398,541 4,380,964
Wihlborgs Fastigheter AB............................. 288,130 4,398,197
#*Xvivo Perfusion AB................................... 60,303 245,470
------------
TOTAL SWEDEN............................................ 237,496,908
------------
90
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
------- -----------
SWITZERLAND -- (12.3%)
Acino Holding AG....................................... 15,421 $ 1,890,822
*Addex Pharmaceuticals, Ltd............................. 1,491 16,972
*Advanced Digital Broadcast Holdings SA................. 2,024 28,264
*AFG Arbonia-Forster Holding AG......................... 48,048 1,089,029
Allreal Holding AG..................................... 42,229 6,384,386
ALSO-Actebis Holding AG................................ 16,195 789,410
AMS AG................................................. 35,754 3,808,754
APG SGA SA............................................. 5,937 1,131,059
Aryzta AG.............................................. 130,432 6,516,059
Ascom Holding AG....................................... 160,822 1,375,641
*Autoneum Holding AG.................................... 15,956 816,084
#Bachem Holdings AG..................................... 24,136 967,880
Baloise Holding AG..................................... 13,573 1,132,884
Bank Coop AG........................................... 31,671 1,877,126
Banque Cantonale de Geneve SA.......................... 4,021 889,682
Banque Cantonale du Jura SA............................ 4,442 310,906
Banque Cantonale Vaudoise AG........................... 5,168 2,740,561
Banque Privee Edmond de Rothschild SA.................. 157 3,200,291
Barry Callebaut AG..................................... 2,352 2,246,322
*Basilea Pharmaceutica AG............................... 21,943 1,079,073
#Basler Kantonalbank AG................................. 192 20,892
Belimo Holdings AG..................................... 1,851 3,262,423
Bell AG................................................ 177 376,291
Bellevue Group AG...................................... 27,519 274,508
#Berner Kantonalbank AG................................. 23,232 6,326,813
BKW AG................................................. 27,437 1,061,431
*Bobst Group AG......................................... 39,735 1,213,284
Bossard Holding AG..................................... 9,822 1,317,189
Bucher Industries AG................................... 33,342 6,256,438
Burckhardt Compression Holding AG...................... 9,355 2,681,322
Burkhalter Holding AG.................................. 1,159 379,550
Calida Holding AG...................................... 5,995 164,340
Carlo Gavazzi Holding AG............................... 1,069 223,647
Centralschweizerische Kraftwerke AG.................... 122 43,345
*Cham Paper Holding AG.................................. 791 134,471
*Charles Voegele Holding AG............................. 32,044 568,815
*Cicor Technologies..................................... 4,889 167,219
Cie Financiere Tradition SA............................ 8,027 486,941
#Clariant AG............................................ 903,053 9,677,105
Coltene Holding AG..................................... 16,008 465,625
Conzzeta AG............................................ 1,345 2,472,203
*Cosmo Pharmaceuticals SpA.............................. 665 20,217
Daetwyler Holding AG................................... 29,754 2,588,567
#*Dufry AG............................................... 77,241 9,824,040
#EFG International AG................................... 205,905 1,883,077
*ELMA Electronic AG..................................... 472 207,078
Emmi AG................................................ 13,244 3,289,846
EMS-Chemie Holding AG.................................. 21,344 5,149,691
Energiedienst Holding AG............................... 71,249 3,233,684
Flughafen Zuerich AG................................... 15,028 6,431,100
Forbo Holding AG....................................... 6,494 4,104,208
Galenica Holding AG.................................... 18,828 11,057,552
*GAM Holding AG......................................... 780,910 10,921,334
Gategroup Holding AG................................... 88,404 2,342,953
George Fisher AG....................................... 15,889 5,582,685
*Gottex Fund Management Holdings, Ltd................... 824 2,393
Gurit Holding AG....................................... 1,799 733,361
Helvetia Holding AG.................................... 22,754 7,989,963
Huber & Suhner AG...................................... 36,607 1,627,790
Implenia AG............................................ 65,242 2,770,127
Inficon Holding AG..................................... 6,097 1,304,260
91
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
------- -----------
SWITZERLAND -- (Continued)
Interroll Holding AG................................... 2,404 $ 907,578
Intershop Holding AG................................... 3,991 1,388,540
Jungfraubahn Holding AG................................ 1,336 90,087
#Kaba Holding AG........................................ 11,858 4,483,878
*Kardex AG.............................................. 21,055 555,718
Komax Holding AG....................................... 11,434 831,589
Kudelski SA............................................ 173,269 1,894,556
*Kuoni Reisen Holding AG Series B....................... 14,420 3,856,152
#LEM Holding SA......................................... 3,667 1,843,433
*Liechtensteinische Landesbank AG....................... 11,378 371,085
*LifeWatch AG........................................... 53,006 423,311
#Logitech International SA.............................. 676,961 4,902,474
Lonza Group AG......................................... 206,376 10,467,022
Luzerner Kantonalbank AG............................... 17,399 6,296,506
*MCH Group AG........................................... 116 6,000
#Metall Zug AG.......................................... 391 822,083
#*Meyer Burger Technology AG............................. 222,481 2,161,994
Micronas Semiconductor Holding AG...................... 155,041 1,333,145
Mikron Holding AG...................................... 585 3,380
Mobilezone Holding AG.................................. 138,514 1,450,683
Mobimo Holding AG...................................... 25,751 5,971,639
*Myriad Group AG........................................ 75,277 202,109
Nobel Biocare Holding AG............................... 478,680 4,288,009
*OC Oerlikon Corp. AG................................... 637,624 6,421,927
*Orascom Development Holding AG......................... 12,879 220,309
Orell Fuessli Holding AG............................... 4,930 513,417
Orior AG............................................... 14,800 773,482
Panalpina Welttransport Holding AG..................... 45,690 4,321,551
*Parco Industriale e Immobiliare SA..................... 600 2,255
Phoenix Mecano AG...................................... 3,100 1,529,519
PSP Swiss Property AG.................................. 148,327 13,621,861
PubliGroupe SA......................................... 2,764 376,428
Rieters Holdings AG.................................... 15,956 2,551,478
Romande Energie Holding SA............................. 2,714 3,491,767
Schaffner Holding AG................................... 2,066 511,926
#Schmolz & Bickenbach AG................................ 139,656 528,150
Schweiter Technologies AG.............................. 4,424 2,166,411
Schweizerische National-Versicherungs-Gesellschaft AG.. 54,960 2,223,247
*Siegfried Holding AG................................... 13,144 1,638,472
Societa Elettrica Sopracenerina SA..................... 2,340 458,579
St. Galler Kantonalbank AG............................. 10,021 4,108,852
#Straumann Holding AG................................... 24,168 2,978,065
Sulzer AG.............................................. 30,255 4,387,187
Swiss Life Holding AG.................................. 102,976 13,004,543
Swisslog Holding AG.................................... 914,407 982,296
Swissquote Group Holding SA............................ 47,450 1,465,017
Tamedia AG............................................. 14,891 1,664,227
Tecan Group AG......................................... 39,704 2,962,819
*Temenos Group AG....................................... 207,131 3,412,156
*Tornos Holding AG...................................... 38,028 263,372
U-Blox AG.............................................. 19,001 841,719
*Valartis Group AG...................................... 936 18,620
Valiant Holding AG..................................... 47,292 4,658,021
Valora Holding AG...................................... 12,202 2,319,287
*Vaudoise Assurances Holding SA......................... 3,614 1,118,705
Verwaltungs und Privat-Bank AG......................... 8,823 658,230
Vetropack Holding AG................................... 488 832,070
Villars Holding SA..................................... 150 78,607
#*Von Roll Holding AG.................................... 187,632 424,720
Vontobel Holdings AG................................... 121,104 3,377,433
VZ Holding AG.......................................... 801 95,517
92
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
----------- --------------
SWITZERLAND -- (Continued)
Walliser Kantonalbank AG......................... 1,416 $ 1,334,092
WMH Walter Meier Holding AG...................... 4,738 1,063,028
Ypsomed Holdings AG.............................. 8,003 476,006
Zehnder Group AG................................. 39,704 2,338,328
*Zueblin Immobilien Holding AG.................... 261,040 781,644
*Zug Estates Holding AG Class B................... 258 339,820
Zuger Kantonalbank AG............................ 623 3,271,664
--------------
TOTAL SWITZERLAND................................... 312,086,778
--------------
UNITED KINGDOM -- (0.1%)
United Drug P.L.C................................ 888,565 3,239,110
--------------
TOTAL COMMON STOCKS................................. 2,237,475,092
--------------
RIGHTS/WARRANTS -- (0.0%)
BELGIUM -- (0.0%)
*Agfa-Gevaert NV STRIP VVPR...................... 122,950 159
*Deceuninck NV STRIP VVPR........................ 247,412 321
*Nyrstar NV STRIP VVPR........................... 178,031 231
*RealDolmen NV STRIP VVPR (5640683).............. 20 --
*RealDolmen NV STRIP VVPR (B3B08L5).............. 6,067 8
*SAPEC SA STRIP VVPR............................. 75 68
*Tessenderlo Chemie NV STRIP VVPR................ 9,955 452
*Zenitel NV STRIP VVPR........................... 8,654 11
--------------
TOTAL BELGIUM....................................... 1,250
--------------
ITALY -- (0.0%)
*Seat Pagine Gialle SpA Warrants 08/31/14........ 2,988,837 8,763
--------------
TOTAL RIGHTS/WARRANTS............................... 10,013
--------------
SHARES/
FACE
AMOUNT
(000) VALUE+
----------- --------------
SECURITIES LENDING COLLATERAL -- (11.6%)
(S)@DFA Short Term Investment Fund.................. 25,324,114 293,000,000
@Repurchase Agreement, Deutsche Bank Securities,
Inc. 0.35%, 11/01/12 (Collateralized by FNMA
4.000%, 05/01/42 & 5.000%, 01/01/39, valued at
$1,011,182) to be repurchased at $991,365...... $ 991 991,355
--------------
TOTAL SECURITIES LENDING COLLATERAL................. 293,991,355
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,583,421,711)............................ $2,531,476,460
==============
93
THE CANADIAN SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
SHARES VALUE++
------- -----------
COMMON STOCKS -- (75.6%)
Consumer Discretionary -- (8.5%)
Aimia, Inc............................................. 310,251 $ 4,647,164
AlarmForce Industries, Inc............................. 4,310 49,584
Astral Media, Inc. Class A............................. 197,447 8,081,736
AutoCanada, Inc........................................ 30,477 424,160
#*Ballard Power Systems, Inc............................. 559,352 403,237
BMTC Group, Inc. Class A............................... 16,581 235,579
Brick, Ltd. (The)...................................... 203,090 671,036
*Brookfield Residential Properties, Inc................. 13,737 237,535
#Cineplex, Inc.......................................... 241,959 7,510,117
#*Coastal Contacts, Inc.................................. 117,872 826,140
Cogeco Cable, Inc...................................... 61,264 2,340,760
Cogeco, Inc............................................ 8,522 285,759
#Corus Entertainment, Inc. Class B...................... 304,900 6,902,417
*DHX Media, Ltd......................................... 12,600 22,078
Dollarama, Inc......................................... 57,546 3,635,121
Dorel Industries, Inc. Class B......................... 111,100 3,972,346
easyhome, Ltd.......................................... 3,600 22,889
Gamehost, Inc.......................................... 10,774 136,462
Glacier Media, Inc..................................... 137,300 254,323
Glentel, Inc........................................... 65,122 1,075,206
*Great Canadian Gaming Corp............................. 293,000 2,816,320
#*Imax Corp.............................................. 260,537 5,874,637
Indigo Books & Music, Inc.............................. 746 7,462
Le Chateau, Inc. Class A............................... 59,800 233,512
Leon's Furniture, Ltd.................................. 143,275 1,661,201
Linamar Corp........................................... 200,980 4,427,094
*Martinrea International, Inc........................... 318,256 2,287,938
*MEGA Brands, Inc....................................... 41,106 400,462
#*Mood Media Corp........................................ 208,174 487,737
*MTY Food Group, Inc.................................... 1,500 29,437
Quebecor, Inc. Class B................................. 97,793 3,411,372
Reitmans Canada, Ltd................................... 14,256 173,855
Reitmans Canada, Ltd. Class A.......................... 204,000 2,536,851
#RONA, Inc.............................................. 677,175 6,956,511
*Sears Canada, Inc...................................... 8,849 102,688
Torstar Corp. Class B.................................. 236,877 1,909,246
*TVA Group, Inc. Class B................................ 7,000 49,412
#Uni-Select, Inc........................................ 63,381 1,455,145
#Whistler Blackcomb Holdings, Inc....................... 23,437 279,249
-----------
Total Consumer Discretionary.............................. 76,833,778
-----------
Consumer Staples -- (2.5%)
#Alliance Grain Traders, Inc............................ 73,950 1,021,787
Andrew Peller, Ltd. Class A............................ 400 4,005
*Atrium Innovations, Inc................................ 130,236 1,341,806
Canada Bread Co., Ltd.................................. 13,521 679,198
Colabor Group, Inc..................................... 72,724 609,462
Corby Distilleries, Ltd. Class A....................... 70,235 1,227,838
*Cott Corp.............................................. 473,596 3,618,060
High Liner Foods, Inc.................................. 7,297 178,270
Liquor Stores N.A., Ltd................................ 86,917 1,596,053
Maple Leaf Foods, Inc.................................. 387,979 4,311,957
#North West Co., Inc. (The)............................. 188,473 4,415,788
#Premium Brands Holdings Corp........................... 86,016 1,565,728
Rogers Sugar, Inc...................................... 216,966 1,362,079
*SunOpta, Inc........................................... 205,185 1,230,596
*Sun-Rype Products, Ltd................................. 100 606
-----------
Total Consumer Staples.................................... 23,163,233
-----------
94
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Energy -- (19.2%)
*Advantage Oil & Gas, Ltd............................... 1,098,231 $3,958,580
Akita Drilling, Ltd. Class A........................... 42,000 464,681
#*Anderson Energy, Ltd................................... 722,895 235,235
*Angle Energy, Inc...................................... 310,632 1,166,328
#*Antrim Energy, Inc..................................... 680,756 565,735
*Arsenal Energy, Inc.................................... 533,150 325,629
#AvenEx Energy Corp..................................... 174,033 601,165
#*Bankers Petroleum, Ltd................................. 942,620 2,680,391
*Bellatrix Exploration, Ltd............................. 569,051 2,370,215
*Bengal Energy, Ltd..................................... 600 469
#*Birchcliff Energy, Ltd................................. 359,000 2,943,890
#*BlackPearl Resources, Inc.............................. 1,165,485 3,979,278
#*BNK Petroleum, Inc..................................... 290,319 188,944
#Bonterra Energy Corp................................... 61,962 2,779,372
*C&C Energia, Ltd....................................... 90,405 526,816
Calfrac Well Services, Ltd............................. 138,582 3,178,887
#*Calmena Energy Services, Inc........................... 119,771 24,584
*Calvalley Petroleums, Inc. Class A..................... 348,139 766,864
#*Canacol Energy, Ltd.................................... 1,262,416 448,719
#Canadian Energy Services & Technology Corp............. 179,083 1,836,105
*CanElson Drilling, Inc................................. 8,100 38,523
#Canyon Services Group, Inc............................. 190,870 2,041,043
#Cathedral Energy Services, Ltd......................... 140,033 841,250
*Celtic Exploration, Ltd................................ 323,700 8,452,662
*Cequence Energy, Ltd................................... 524,063 970,730
*Chinook Energy, Inc.................................... 131,919 244,356
#*Connacher Oil & Gas, Ltd............................... 2,187,935 985,803
#*Corridor Resources, Inc................................ 367,780 272,498
#*Crew Energy, Inc....................................... 416,069 3,203,575
*Crocotta Energy, Inc................................... 202,420 652,608
*Crown Point Energy, Inc................................ 6,915 2,527
#*DeeThree Exploration, Ltd.............................. 314,494 2,179,022
#*Delphi Energy Corp..................................... 564,604 763,169
#*Denison Mines Corp..................................... 2,168,583 2,800,973
#Enbridge Income Fund Holdings, Inc..................... 133,783 3,114,348
#Enerflex, Ltd.......................................... 279,959 3,231,967
Ensign Energy Services, Inc............................ 226,952 3,392,634
#*Epsilon Energy, Ltd.................................... 211,658 608,219
*Equal Energy, Ltd...................................... 121,446 375,738
*Essential Energy Services, Ltd......................... 478,578 1,015,855
#*Fairborne Energy, Ltd.................................. 544,251 866,442
#*Forsys Metals Corp..................................... 109,974 79,280
*Gran Tierra Energy, Inc................................ 1,065,607 5,366,712
#*Ithaca Energy, Inc..................................... 485,500 938,188
#*Ivanhoe Energy, Inc.................................... 988,849 613,854
*Laramide Resources, Ltd................................ 20,368 18,558
*Legacy Oil & Gas, Inc.................................. 530,751 3,794,305
*Long Run Exploration, Ltd.............................. 439,756 1,805,256
*Mega Uranium, Ltd...................................... 796,410 119,611
*MGM Energy Corp........................................ 19,000 4,471
Mullen Group, Ltd...................................... 312,028 6,470,188
*Niko Resources, Ltd.................................... 137,364 1,749,457
#*North American Energy Partners, Inc.................... 60,356 179,482
#*Nuvista Energy, Ltd.................................... 481,347 2,515,776
#*Pace Oil & Gas, Ltd.................................... 199,507 561,316
#*Paramount Resources, Ltd. Class A...................... 27,330 924,910
*Parex Resources, Inc................................... 184,101 827,648
#Parkland Fuel Corp..................................... 265,671 4,532,700
Pason Systems, Inc..................................... 259,107 4,220,947
#Pembina Pipeline Corp.................................. 94,580 2,644,912
#Pengrowth Energy Corp.................................. 410,832 2,463,964
95
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ------------
Energy -- (Continued)
#*Perpetual Energy, Inc................................ 395,093 $ 577,558
#PetroBakken Energy, Ltd. Class A..................... 186,105 2,349,721
#*Petrobank Energy & Resources, Ltd.................... 425,702 5,847,941
#Petrominerales, Ltd.................................. 366,131 2,936,380
#Peyto Exploration & Development Corp................. 80,520 1,967,156
#PHX Energy Services Corp............................. 67,529 574,715
*Pine Cliff Energy, Ltd............................... 63,810 41,528
#Poseidon Concepts Corp............................... 165,977 2,454,548
Progress Energy Resources Corp....................... 13,766 277,319
#Pulse Seismic, Inc................................... 271,180 705,950
#*Questerre Energy Corp. Class A....................... 736,160 545,440
*RMP Energy, Inc...................................... 477,526 1,109,247
#*Rock Energy, Inc..................................... 114,652 132,015
#Savanna Energy Services Corp......................... 355,777 2,475,745
*Second Wave Petroleum, Inc........................... 12,200 9,650
#*Secure Energy Services, Inc.......................... 254,412 2,432,675
ShawCor, Ltd. Class A................................ 212,900 9,485,907
*Sonde Resources Corp................................. 87,173 82,045
#*Southern Pacific Resource Corp....................... 1,650,425 2,230,862
#*SouthGobi Resources, Ltd............................. 455,682 926,192
#*Sprott Resource Corp................................. 410,237 1,597,819
Strad Energy Services, Ltd........................... 9,200 38,965
*Surge Energy, Inc.................................... 217,909 1,472,727
*TAG Oil, Ltd......................................... 43,300 303,479
#*Tethys Petroleum, Ltd................................ 340,989 184,364
Total Energy Services, Inc........................... 124,973 1,895,711
*TransGlobe Energy Corp............................... 286,808 3,089,916
#Trican Well Service, Ltd............................. 564,307 6,734,958
Trinidad Drilling, Ltd............................... 506,051 3,354,250
#*Tuscany International Drilling, Inc.................. 275,042 85,370
#Twin Butte Energy, Ltd............................... 799,666 2,377,980
*UEX Corp............................................. 608,088 334,867
#*Uranium One, Inc..................................... 42,037 91,334
#*Ur-Energy, Inc....................................... 309,416 278,823
#Veresen, Inc......................................... 278,043 3,588,460
#Vero Energy, Inc..................................... 231,935 622,364
*Western Energy Services Corp......................... 17,900 128,145
#*Whitecap Resources, Inc.............................. 490,635 3,905,430
#*Winstar Resources, Ltd............................... 78,401 257,477
*Xtreme Drilling & Coil Services Corp................. 128,043 179,485
#Zargon Oil & Gas, Ltd................................ 105,225 902,907
ZCL Composite, Inc................................... 93,500 461,532
------------
Total Energy............................................ 173,976,321
------------
Financials -- (5.9%)
#AGF Management, Ltd. Class B......................... 334,079 3,334,936
*Alaris Royalty Corp.................................. 5,513 124,198
Altus Group, Ltd..................................... 40,245 329,616
#Brookfield Real Estate Services, Inc................. 8,075 97,991
Canaccord Financial, Inc............................. 327,281 1,635,176
#Canadian Western Bank................................ 271,572 8,037,715
#Cash Store Financial Services, Inc. (The)............ 51,170 246,948
Clairvest Group, Inc................................. 1,900 33,853
#Davis & Henderson Corp............................... 239,699 5,030,379
*EGI Financial Holdings, Inc.......................... 14,650 130,548
E-L Financial Corp., Ltd............................. 1,043 417,273
Equitable Group, Inc................................. 52,295 1,549,869
*Equity Financial Holdings, Inc....................... 800 6,440
Fiera Capital Corp................................... 36,300 290,763
Firm Capital Mortgage Investment Corp................ 2,494 34,161
First National Financial Corp........................ 20,340 345,194
96
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
------- -----------
Financials -- (Continued)
*FirstService Corp...................................... 135,548 $ 3,896,454
#*Genesis Land Development Corp.......................... 70,317 242,193
Genworth MI Canada, Inc................................ 149,254 3,057,559
Gluskin Sheff & Associates, Inc........................ 62,507 898,098
#GMP Capital, Inc....................................... 264,670 1,393,907
Granite Real Estate, Inc............................... 143,257 5,252,637
Guardian Capital Group, Ltd. Class A................... 11,327 114,092
#Home Capital Group, Inc................................ 120,600 6,140,185
#Killam Properties, Inc................................. 206,566 2,665,968
*Kingsway Financial Services, Inc....................... 46,281 153,846
Laurentian Bank of Canada.............................. 109,624 4,878,885
#*Mainstreet Equity Corp................................. 13,494 428,160
Melcor Developments, Ltd............................... 12,081 186,280
*Pacific & Western Credit Corp.......................... 8,800 13,657
#Sprott Resource Lending Corp........................... 750,703 1,067,332
Sprott, Inc............................................ 248,356 1,099,107
*TMX Group, Ltd......................................... 10,056 514,303
-----------
Total Financials.......................................... 53,647,723
-----------
Health Care -- (1.6%)
*AEterna Zentaris, Inc.................................. 54,327 116,949
*Amica Mature Lifestyles, Inc........................... 1,600 15,331
*Bioniche Life Sciences, Inc............................ 46,000 21,186
#*Burcon NutraScience Corp............................... 57,338 243,991
*Cangene Corp........................................... 140,432 232,003
*Cardiome Pharma Corp................................... 53,665 15,045
#CML HealthCare, Inc.................................... 356,997 3,027,549
*Helix BioPharma Corp................................... 1,954 1,819
#*IMRIS, Inc............................................. 88,979 358,143
#Leisureworld Senior Care Corp.......................... 109,653 1,376,770
#Medical Facilities Corp................................ 10,510 149,429
#Nordion, Inc........................................... 464,108 3,020,478
*Oncolytics Biotech, Inc................................ 194,221 402,541
*Paladin Labs, Inc...................................... 50,700 2,163,538
*Patheon, Inc........................................... 18,420 68,424
*ProMetic Life Sciences, Inc............................ 247,137 34,642
*QLT, Inc............................................... 226,610 1,703,971
#*Resverlogix Corp....................................... 112,020 234,415
#*Theratechnologies, Inc................................. 277,500 86,133
*Transition Therapeutics, Inc........................... 50,610 114,522
*TSO3, Inc.............................................. 187,345 196,958
#*YM Biosciences, Inc.................................... 343,095 553,074
-----------
Total Health Care......................................... 14,136,911
-----------
Industrials -- (9.0%)
#Aecon Group, Inc....................................... 242,867 2,798,898
#AG Growth International, Inc........................... 61,828 1,981,591
*Air Canada Class A..................................... 313,328 555,285
Algoma Central Corp.................................... 2,669 315,336
#*Armtec Infrastructure, Inc............................. 48,017 110,577
*ATS Automation Tooling System, Inc..................... 370,020 3,445,493
Badger Daylighting, Ltd................................ 12,046 351,339
#Bird Construction, Inc................................. 97,110 1,417,636
#Black Diamond Group, Ltd............................... 119,791 2,588,325
#CanWel Building Materials Group, Ltd................... 95,000 252,065
Cervus Equipment Corp.................................. 500 10,643
Chorus Aviation, Inc................................... 3,981 12,197
Churchill Corp. Class A (The).......................... 91,759 771,740
Clarke, Inc............................................ 44,894 198,230
Contrans Group, Inc. Class A........................... 89,385 839,481
DirectCash Payments, Inc............................... 26,395 642,201
97
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
------- -----------
Industrials -- (Continued)
#Exchange Income Corp................................... 31,527 $ 830,198
Exco Technologies, Ltd................................. 22,200 108,027
*Garda World Security Corp. Class A..................... 114,740 1,375,157
Genivar, Inc........................................... 129,906 2,836,796
*GLV, Inc. Class A...................................... 86,250 193,442
*Heroux-Devtek, Inc..................................... 98,475 1,309,385
HNZ Group, Inc......................................... 21,888 542,187
Horizon North Logistics, Inc........................... 330,070 2,524,891
IBI Group, Inc......................................... 32,601 303,569
K-Bro Linen, Inc....................................... 10,198 299,175
#Morneau Shepell, Inc................................... 127,575 1,641,390
New Flyer Industries, Inc.............................. 7,700 59,750
Newalta Corp........................................... 166,722 2,345,376
Richelieu Hardware, Ltd................................ 63,793 2,218,304
#Ritchie Brothers Auctioneers, Inc...................... 244,637 5,425,491
Rocky Mountain Dealerships, Inc........................ 55,341 608,959
#Russel Metals, Inc..................................... 246,300 6,880,370
Stantec, Inc........................................... 182,098 6,272,011
#Student Transportation, Inc............................ 264,696 1,701,475
#Superior Plus Corp..................................... 559,647 5,468,991
Toromont Industries, Ltd............................... 274,167 5,380,399
Transcontinental, Inc. Class A......................... 287,702 2,967,039
TransForce, Inc........................................ 314,697 5,744,106
Vicwest, Inc........................................... 32,393 384,337
#Wajax Corp............................................. 67,648 3,027,650
WaterFurnace Renewable Energy, Inc..................... 31,626 524,065
Westjet Airlines, Ltd.................................. 1,420 25,592
#*Westport Innovations, Inc.............................. 158,805 4,436,205
-----------
Total Industrials......................................... 81,725,374
-----------
Information Technology -- (3.9%)
#*5N Plus, Inc........................................... 183,848 404,972
Aastra Technologies, Ltd............................... 32,028 525,917
*Absolute Software Corp................................. 175,557 703,107
Calian Technologies, Ltd............................... 16,706 343,738
*Celestica, Inc......................................... 874,907 6,351,015
*COM DEV International, Ltd............................. 309,553 945,318
Computer Modelling Group, Ltd.......................... 127,087 2,513,110
Constellation Software, Inc............................ 36,819 4,223,264
*Descartes Systems Group, Inc. (The).................... 241,645 2,104,943
#*DragonWave, Inc........................................ 159,183 393,674
Enghouse Systems, Ltd.................................. 52,143 743,968
Evertz Technologies, Ltd............................... 133,981 1,943,814
*EXFO, Inc.............................................. 101,377 456,767
*Hemisphere GPS, Inc.................................... 20,300 14,025
MacDonald Dettweiler & Associates, Ltd................. 128,853 7,224,799
Mediagrif Interactive Technologies, Inc................ 6,876 122,133
*Points International, Ltd.............................. 53,347 496,748
*Redknee Solutions, Inc................................. 122,928 180,930
#*Sandvine Corp.......................................... 590,976 704,142
*Sierra Wireless, Inc................................... 127,100 1,018,073
*Smart Technologies, Inc. Class A....................... 13,981 18,898
Softchoice Corp........................................ 21,172 262,225
*Vecima Network, Inc.................................... 21,676 113,290
#Wi-Lan, Inc........................................... 671,909 3,579,030
*Wireless Matrix Corp................................... 111,939 66,127
-----------
Total Information Technology.............................. 35,454,027
-----------
Materials -- (21.4%)
Aberdeen International, Inc............................ 122,333 42,870
#*Ainsworth Lumber Co., Ltd.............................. 229,138 619,447
98
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Materials -- (Continued)
*Alacer Gold Corp....................................... 423,558 $2,324,003
#Alamos Gold, Inc....................................... 382,920 7,495,455
*Alexco Resource Corp................................... 272,868 1,051,857
#*Almaden Minerals, Ltd.................................. 98,343 251,089
*Altius Minerals Corp................................... 112,600 1,167,996
Amerigo Resources, Ltd................................. 522,854 303,635
#*Argonaut Gold, Inc..................................... 368,728 3,924,484
#*Atna Resource, Ltd..................................... 507,501 660,577
#*Augusta Resource Corp.................................. 308,545 834,114
#*Aura Minerals, Inc..................................... 530,169 159,250
#*AuRico Gold, Inc....................................... 892,052 7,449,025
#*Aurizon Mines, Ltd..................................... 694,168 3,176,318
#*Avalon Rare Metals, Inc................................ 352,025 563,945
#*B2Gold Corp............................................ 1,401,050 5,793,578
#*Brigus Gold Corp....................................... 717,805 697,142
*Canada Lithium Corp.................................... 652,000 417,802
*Canadian Zinc Corp..................................... 32,925 14,835
*Canam Group, Inc. Class A.............................. 194,100 1,088,320
Canexus Corp........................................... 409,254 3,515,794
*Canfor Corp............................................ 411,155 5,862,175
#Canfor Pulp Products, Inc.............................. 202,846 1,838,054
#*Capstone Mining Corp................................... 1,198,432 2,963,832
*Cardero Resource Corp.................................. 319,643 176,024
*Carpathian Gold, Inc................................... 587,371 179,372
Cascades, Inc.......................................... 489,976 2,394,075
#CCL Industries, Inc. Class B........................... 107,585 3,983,473
#*China Gold International Resources Corp., Ltd.......... 722,757 3,075,562
*Claude Resources, Inc.................................. 934,700 673,826
#*Cline Mining Corp...................................... 519,100 135,135
*Colossus Minerals, Inc................................. 219,716 1,247,349
#*Copper Mountain Mining Corp............................ 366,515 1,482,574
#*Duluth Metals, Ltd..................................... 388,214 874,575
#*Dundee Precious Metals, Inc............................ 410,967 3,781,514
#*Dynasty Metals & Mining, Inc........................... 108,369 213,754
#*Eastern Platinum, Ltd.................................. 3,177,460 524,937
*Eastmain Resources, Inc................................ 274,250 233,404
#*Eco Oro Minerals Corp.................................. 261,445 319,362
*EcoSynthetix, Inc...................................... 1,500 4,446
#*Endeavour Mining Corp.................................. 1,378,843 3,175,309
#*Endeavour Silver Corp.................................. 389,940 3,541,182
#*Energy Fuels, Inc...................................... 2,398,488 408,253
#*Entree Gold, Inc....................................... 286,898 132,138
#*Excellon Resources, Inc................................ 870,400 374,740
#*Exeter Resource Corp................................... 70,137 98,315
*First Majestic Silver Corp............................. 431,070 9,965,869
*Formation Metals, Inc.................................. 140,581 36,597
*Fortress Paper, Ltd. Class A........................... 69,284 903,900
#*Fortuna Silver Mines, Inc.............................. 481,068 2,668,452
*Fortune Minerals, Ltd.................................. 214,672 103,172
#*Golden Star Resources, Ltd............................. 1,045,709 2,104,506
#*Goldgroup Mining, Inc.................................. 112,715 42,885
*Great Basin Gold, Ltd.................................. 1,537,875 123,184
#*Great Panther Silver, Ltd.............................. 675,880 1,346,685
#*Guyana Goldfields, Inc................................. 297,242 883,914
*Hanfeng Evergreen, Inc................................. 47,637 78,938
*Harry Winston Diamond Corp............................. 284,763 4,085,761
*High River Gold Mines, Ltd............................. 600,542 835,798
#HudBay Minerals, Inc................................... 734,374 6,816,167
*Imperial Metals Corp................................... 181,428 2,319,735
#*Inter-Citic Minerals, Inc.............................. 283,484 567,678
*International Forest Products, Ltd. Class A............ 201,050 1,288,330
99
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
--------- ----------
Materials -- (Continued)
#*International Minerals Corp............................ 75,200 $ 425,412
#*International Tower Hill Mines, Ltd.................... 220,027 533,132
Intertape Polymer Group, Inc........................... 270,787 1,881,614
#*Jaguar Mining, Inc..................................... 274,437 283,024
#*Katanga Mining, Ltd.................................... 1,007,162 484,043
*Keegan Resources, Inc.................................. 271,644 1,071,617
#*Kimber Resources, Inc.................................. 21,200 12,736
#*Kirkland Lake Gold, Inc................................ 247,980 2,448,143
#*Labrador Iron Mines Holdings, Ltd...................... 123,133 118,356
#*Lake Shore Gold Corp................................... 1,419,989 1,137,413
#*MAG Silver Corp........................................ 156,360 1,991,388
#Major Drilling Group International, Inc................ 322,900 3,339,732
*MBAC Fertilizer Corp................................... 80,639 258,368
#*Mercator Minerals, Ltd................................. 905,221 448,645
#Migao Corp............................................. 164,100 377,902
*Minco Base Metals Corp................................. 2,780 --
#*Minco Silver Corp...................................... 125,224 240,731
*Minera Andes Acquisition Corp.......................... 316,695 1,531,551
#*Nautilus Minerals, Inc................................. 89,354 62,626
#*Nevada Copper Corp..................................... 160,491 564,028
*Nevsun Resources, Ltd.................................. 308,402 1,460,567
*New Millennium Iron Corp............................... 23,800 32,647
*NGEx Resources, Inc.................................... 260,900 820,251
#*Norbord, Inc........................................... 112,168 2,331,522
#*North American Palladium, Ltd.......................... 565,789 866,741
*Northern Dynasty Minerals, Ltd......................... 148,624 528,276
*NovaCopper, Inc........................................ 46,923 103,830
#*NovaGold Resources, Inc................................ 845,155 4,104,132
#*OceanaGold Corp........................................ 1,151,416 4,035,000
*Oromin Explorations, Ltd............................... 168,799 133,518
#*Orvana Minerals Corp................................... 302,452 263,463
*Peregrine Diamonds, Ltd................................ 120,403 66,305
*Petaquilla Minerals, Ltd............................... 528,482 338,652
*Phoscan Chemical Corp.................................. 432,579 125,605
#*Pilot Gold, Inc........................................ 76,450 120,177
#*Platinum Group Metals, Ltd............................. 241,887 244,612
#*PolyMet Mining Corp.................................... 423,377 462,058
#*Primero Mining Corp.................................... 230,277 1,708,488
#*Queenston Mining, Inc.................................. 220,773 901,881
*Resolute Forest Products............................... 2,488 30,342
*Richmont Mines, Inc.................................... 114,244 455,260
#*Rubicon Minerals Corp.................................. 508,405 1,802,006
#*Sabina Gold & Silver Corp.............................. 383,055 1,112,250
#*San Gold Corp.......................................... 1,018,995 999,865
#*Scorpio Mining Corp.................................... 842,899 886,152
#*Seabridge Gold, Inc.................................... 121,852 2,088,717
#SEMAFO, Inc............................................ 978,485 3,918,839
Sherritt International Corp............................ 1,571,926 6,799,219
*Shore Gold, Inc........................................ 364,464 82,107
#*Silver Standard Resources, Inc......................... 340,397 5,170,285
*St. Andrew Goldfields, Ltd............................. 646,028 294,311
Stella-Jones, Inc...................................... 33,040 2,015,316
*Stornoway Diamond Corp................................. 297,297 181,578
#*Sulliden Gold Corp., Ltd............................... 659,525 607,522
#*Tanzanian Royalty Exploration Corp..................... 350,339 1,771,426
*Taseko Mines, Ltd...................................... 810,234 2,214,707
*Tembec, Inc............................................ 358,859 812,036
*Teranga Gold Corp...................................... 109,840 235,352
#*Thompson Creek Metals Co., Inc......................... 650,871 1,707,416
*Timminco, Ltd.......................................... 69,822 84
*Timmins Gold Corp...................................... 435,398 1,342,704
100
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
SHARES VALUE++
----------- ------------
Materials -- (Continued)
*Torex Gold Resources, Inc.......................... 23,993 $ 49,968
#*Veris Gold Corp.................................... 174,268 526,948
*Virginia Mines, Inc................................ 95,762 1,028,812
*Wesdome Gold Mines, Ltd............................ 325,464 306,319
#West Fraser Timber Co., Ltd........................ 126,174 7,641,818
*Western Forest Products, Inc....................... 221,019 289,897
Winpak, Ltd........................................ 67,395 1,059,426
------------
Total Materials....................................... 194,705,355
------------
Telecommunication Services -- (0.4%)
*AXIA NetMedia Corp................................. 182,767 226,915
Manitoba Telecom Services, Inc..................... 89,417 3,001,904
------------
Total Telecommunication Services...................... 3,228,819
------------
Utilities -- (3.2%)
#Algonquin Power & Utilities Corp................... 574,574 3,975,275
*Alterra Power Corp................................. 1,033,070 449,948
*Boralex, Inc. Class A.............................. 97,733 944,304
Capital Power Corp................................. 287,449 6,161,986
Capstone Infrastructure Corp....................... 277,990 1,146,752
#Innergex Renewable Energy, Inc..................... 291,261 3,167,053
#Just Energy Group, Inc............................. 583,478 5,970,608
*Maxim Power Corp................................... 92,234 159,765
#Northland Power, Inc............................... 297,306 5,763,048
*Ram Power Corp..................................... 577,537 167,695
#*Valener, Inc....................................... 98,899 1,576,443
------------
Total Utilities....................................... 29,482,877
------------
TOTAL COMMON STOCKS................................... 686,354,418
------------
RIGHTS/WARRANTS -- (0.0%)
#*Duluth Metals, Ltd. Warrants 01/18/13.............. 24,225 10,915
*MGM Energy Corp. Rights 12/04/12................... 19,000 1,807
------------
TOTAL RIGHTS/WARRANTS................................. 12,722
------------
SHARES/
FACE
AMOUNT
(000) VALUE+
----------- ------------
SECURITIES LENDING COLLATERAL -- (24.4%)
(S)@DFA Short Term Investment Fund.................... 19,101,124 221,000,000
@Repurchase Agreement, Deutsche Bank Securities,
Inc. 0.35%, 11/01/12 (Collateralized by FNMA
4.000%, 05/01/42 & 5.000%, 01/01/39, valued at
$448,986) to be repurchased at $440,186.......... $ 440 440,182
------------
TOTAL SECURITIES LENDING COLLATERAL................... 221,440,182
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $996,859,895)................................. $907,807,322
============
101
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
SHARES VALUE++
--------- -----------
COMMON STOCKS -- (87.9%)
ARGENTINA -- (0.0%)
*Celulosa Argentina SA Series B........................ -- $ --
-----------
BRAZIL -- (5.9%)
AES Tiete SA.......................................... 42,245 402,264
All America Latina Logistica SA....................... 377,131 1,715,709
Amil Participacoes SA................................. 119,903 1,803,519
Banco Bradesco SA..................................... 392,200 5,161,619
Banco do Brasil SA.................................... 507,354 5,413,142
Banco Santander Brasil SA............................. 52,300 359,216
Banco Santander Brasil SA ADR......................... 665,784 4,527,331
BM&F Bovespa SA....................................... 1,665,208 10,658,381
BR Malls Participacoes SA............................. 286,523 3,766,605
#BRF - Brasil Foods SA ADR............................. 594,060 10,883,179
CCR SA................................................ 652,568 5,738,344
Centrais Eletricas Brasileiras SA..................... 70,900 389,225
#Centrais Eletricas Brasileiras SA ADR................. 86,923 695,384
Centrais Eletricas Brasileiras SA Sponsored ADR....... 100,200 557,112
CETIP SA - Mercados Organizados....................... 147,600 1,700,519
Cia de Saneamento Basico do Estado de Sao Paulo....... 22,000 931,321
Cia de Saneamento Basico do Estado de Sao Paulo ADR... 29,318 2,463,005
Cia Energetica de Minas Gerais SA..................... 46,775 508,962
Cia Hering SA......................................... 95,300 2,189,359
*Cia Paranaense de Energia SA.......................... 7,400 88,718
Cia Siderurgica Nacional SA........................... 704,052 3,892,816
Cielo SA.............................................. 217,396 5,378,582
Cosan SA Industria e Comercio......................... 130,069 2,494,369
CPFL Energia SA....................................... 62,260 723,437
#CPFL Energia SA ADR................................... 26,753 623,077
Cyrela Brazil Realty SA Empreendimentos e
Participacoes....................................... 295,797 2,507,877
Duratex SA............................................ 208,900 1,453,316
EcoRodovias Infraestrutura e Logistica SA............. 115,988 1,013,085
Embraer SA............................................ 164,400 1,149,396
#Embraer SA ADR........................................ 86,000 2,400,260
Energias do Brazil SA................................. 236,900 1,481,318
#*Fibria Celulose SA Sponsored ADR...................... 514,098 4,529,203
Gerdau SA............................................. 131,807 958,514
Guararapes Confeccoes SA.............................. 800 47,266
*Hypermarcas SA........................................ 939,724 7,472,264
Itau Unibanco Holding SA.............................. 187,342 2,453,557
*JBS SA................................................ 701,336 2,268,668
Light SA.............................................. 34,700 373,302
Localiza Rent a Car SA................................ 90,000 1,577,509
Lojas Americanas SA................................... 96,510 731,767
Lojas Renner SA....................................... 92,200 3,413,722
*M. Dias Branco SA..................................... 22,400 752,163
MRV Engenharia e Participacoes SA..................... 203,540 1,032,206
Multiplan Empreendimentos Imobiliarios SA............. 59,200 1,734,275
*Multiplus SA.......................................... 36,457 847,052
Natura Cosmeticos SA.................................. 117,400 3,130,012
Obrascon Huarte Lain Brasil SA........................ 94,600 889,619
OdontoPrev SA......................................... 7,800 40,324
Oi SA................................................. 179,758 849,649
Oi SA ADR (670851104)................................. 7,319 34,107
#Oi SA ADR (670851203)................................. 107,889 431,556
Petroleo Brasileiro SA................................ 98,000 1,037,394
Petroleo Brasilerio SA ADR............................ 1,206,339 25,586,450
Porto Seguro SA....................................... 110,264 1,172,646
Raia Drogasil SA...................................... 155,100 1,706,745
Souza Cruz SA......................................... 356,670 4,653,630
102
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
BRAZIL -- (Continued)
Telefonica Brasil SA................................ 8,036 $ 152,724
*Terna Participacoes SA.............................. 23,200 765,318
Tim Participacoes SA................................ 288,200 1,021,659
Tim Participacoes SA ADR............................ 47,642 828,018
Totvs SA............................................ 82,275 1,673,005
Tractebel Energia SA................................ 111,900 1,928,313
Usinas Siderurgicas de Minas Gerais SA.............. 39,100 204,447
#Vale SA Sponsored ADR.............................. 1,090,933 19,985,893
WEG SA.............................................. 248,866 2,858,641
------------
TOTAL BRAZIL........................................... 180,212,065
------------
CHILE -- (1.7%)
AES Gener SA........................................ 1,202,095 716,510
Aguas Andinas SA Series A........................... 1,425,070 959,297
#Banco de Chile SA Series F ADR...................... 37,057 3,276,580
Banco de Credito e Inversiones SA................... 26,330 1,692,210
#Banco Santander Chile SA ADR........................ 124,303 3,379,799
CAP SA.............................................. 55,691 1,918,136
Cencosud SA......................................... 740,464 4,053,123
*CFR Pharmaceuticals SA.............................. 416,529 100,507
Cia Cervecerias Unidas SA........................... 8,013 116,500
Cia Cervecerias Unidas SA ADR....................... 14,357 1,018,342
*Colbun SA........................................... 5,081,989 1,418,605
Corpbanca SA........................................ 94,605,487 1,238,336
#Corpbanca SA ADR.................................... 22,366 458,503
E.CL SA............................................. 309,077 755,493
Embotelladora Andina SA Series A ADR................ 23,068 706,342
Embotelladora Andina SA Series B ADR................ 19,587 741,956
Empresa Nacional de Electricidad SA Sponsored ADR... 101,485 4,858,087
Empresas CMPC SA.................................... 878,369 3,345,159
Empresas Copec SA................................... 355,393 5,118,206
Enersis SA Sponsored ADR............................ 270,752 4,586,539
ENTEL Chile SA...................................... 87,440 1,789,053
Inversiones Aguas Metropolitanas SA................. 16,528 30,744
#Latam Airlines Group SA Sponsored ADR............... 176,701 4,380,418
Molibdenos y Metales SA............................. 8,896 153,459
Ripley Corp. SA..................................... 650,492 613,786
S.A.C.I. Falabella SA............................... 332,696 3,412,770
Sigdo Koppers SA.................................... 338,893 813,512
Sonda SA............................................ 236,896 724,794
------------
TOTAL CHILE............................................ 52,376,766
------------
CHINA -- (14.4%)
#Agile Property Holdings, Ltd........................ 1,754,000 1,981,759
Agricultural Bank of China, Ltd. Series H........... 14,912,000 6,405,882
*Air China, Ltd. Series H............................ 1,312,000 927,010
#*Aluminum Corp. of China, Ltd. ADR................... 112,680 1,213,564
#*Angang Steel Co., Ltd. Series H..................... 1,422,000 847,180
#Anhui Conch Cement Co., Ltd. Series H............... 797,500 2,739,225
Bank of China, Ltd. Series H........................ 54,772,100 22,439,161
#Bank of Communications Co., Ltd. Series H........... 5,151,515 3,672,875
*BBMG Corp. Series H................................. 753,500 644,290
Beijing Capital International Airport Co., Ltd.
Series H.......................................... 198,000 127,037
Beijing Enterprises Holdings, Ltd................... 668,972 4,320,712
Belle International Holdings, Ltd................... 2,719,000 5,028,216
*Brilliance China Automotive Holdings, Ltd........... 1,576,000 1,947,337
#*BYD Co., Ltd. Series H.............................. 415,886 816,239
China Agri-Industries Holdings, Ltd................. 1,958,202 1,225,411
China BlueChemical, Ltd. Series H................... 1,502,000 950,305
China Citic Bank Corp., Ltd. Series H............... 5,827,928 2,961,168
China Coal Energy Co., Ltd. Series H................ 3,184,777 3,151,289
103
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- -----------
CHINA -- (Continued)
China Communications Construction Co., Ltd. Series H. 3,342,000 $ 3,127,976
China Communications Services Corp., Ltd. Series H... 2,892,000 1,617,636
China Construction Bank Corp. Series H............... 50,081,590 37,608,762
#*China COSCO Holdings Co., Ltd. Series H.............. 1,911,500 943,476
*China Eastern Airlines Corp., Ltd. ADR............... 2,800 47,992
*China Eastern Airlines Corp., Ltd. Series H.......... 870,000 302,214
#China Foods, Ltd..................................... 472,000 476,984
#China Life Insurance Co., Ltd. ADR................... 323,770 14,304,159
#China Longyuan Power Group Corp. Series H............ 1,387,000 901,406
China Mengniu Dairy Co., Ltd......................... 805,000 2,434,473
*China Merchants Bank Co., Ltd. Series H.............. 2,871,534 5,335,387
China Merchants Holdings International Co., Ltd...... 979,321 3,230,544
#China Minsheng Banking Corp., Ltd. Series H.......... 4,072,000 3,693,112
#China Mobile, Ltd. Sponsored ADR..................... 797,772 44,188,591
*China Molybdenum Co., Ltd. Series H.................. 170,322 72,395
#*China National Building Material Co., Ltd. Series H.. 2,083,916 2,637,521
China Oilfield Services, Ltd. Series H............... 950,000 1,787,622
#China Overseas Land & Investment, Ltd................ 2,588,000 6,771,955
China Pacific Insurance Group Co., Ltd. Series H..... 1,245,200 3,890,385
China Petroleum & Chemical Corp. ADR................. 106,449 11,199,499
China Petroleum & Chemical Corp. Series H............ 2,542,000 2,682,211
#China Railway Construction Corp., Ltd. Series H...... 2,554,000 2,533,018
China Railway Group, Ltd. Series H................... 2,017,000 1,025,194
#*China Resources Cement Holdings, Ltd................. 1,416,000 955,402
China Resources Enterprise, Ltd...................... 1,035,000 3,373,296
China Resources Gas Group, Ltd....................... 510,000 1,133,219
#China Resources Land, Ltd............................ 1,430,000 3,247,501
China Resources Power Holdings Co., Ltd.............. 978,000 2,101,279
China Shenhua Energy Co., Ltd. Series H.............. 2,230,500 9,451,071
#*China Shipping Container Lines Co., Ltd. Series H.... 4,653,000 1,234,323
#China Shipping Development Co., Ltd. Series H........ 1,414,000 740,494
China Southern Airlines Co., Ltd. ADR................ 10,900 253,207
China Southern Airlines Co., Ltd. Series H........... 980,000 463,373
China State Construction International Holdings, Ltd. 1,068,000 1,264,564
*China Taiping Insurance Holdings Co., Ltd............ 536,800 914,022
#China Telecom Corp., Ltd. ADR........................ 49,067 2,892,500
China Telecom Corp., Ltd. Series H................... 2,804,000 1,655,386
China Unicom Hong Kong, Ltd. ADR..................... 470,600 7,571,954
*Chongqing Rural Commercial Bank Series H............. 26,000 12,170
#Citic Pacific, Ltd................................... 1,669,000 2,119,587
CNOOC, Ltd........................................... 1,238,000 2,544,610
#CNOOC, Ltd. ADR...................................... 105,160 21,615,638
COSCO Pacific, Ltd................................... 2,165,997 3,162,676
*Country Garden Holdings Co., Ltd..................... 3,626,769 1,447,678
#CSR Corp., Ltd. Series H............................. 1,251,000 967,494
Datang International Power Generation Co., Ltd.
Series H........................................... 1,532,000 543,239
#Dongfang Electric Corp., Ltd. Series H............... 229,600 382,066
Dongfeng Motor Group Co., Ltd. Series H.............. 1,918,000 2,372,183
ENN Energy Holdings, Ltd............................. 476,000 1,976,719
#Evergrande Real Estate Group, Ltd.................... 5,180,000 2,246,622
Fosun International, Ltd............................. 1,717,441 841,443
#GCL-Poly Energy Holdings, Ltd........................ 5,633,814 995,912
#Geely Automobile Holdings, Ltd....................... 2,550,000 1,093,697
#Golden Eagle Retail Group, Ltd....................... 414,000 903,894
Great Wall Motor Co., Ltd. Series H.................. 798,500 2,183,823
Guangdong Investment, Ltd............................ 1,564,000 1,278,706
#Guangshen Railway Co., Ltd. Series H................. 346,000 119,325
#Guangshen Railway Co., Ltd. Sponsored ADR............ 29,254 501,999
Guangzhou Automobile Group Co., Ltd. Series H........ 1,852,259 1,268,338
#Guangzhou Pharmaceutical Co., Ltd. Series H.......... 112,000 216,958
#Guangzhou R&F Properties Co., Ltd. Series H.......... 1,225,600 1,497,960
104
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
CHINA -- (Continued)
*Haier Electronics Group Co., Ltd.................... 506,000 $ 644,358
Hengan International Group Co., Ltd................. 450,500 4,102,108
*Huadian Power International Corp. Series H.......... 856,000 216,674
Huaneng Power International, Inc. ADR............... 34,452 1,096,952
Huaneng Power International, Inc. Series H.......... 274,000 218,904
Industrial & Commercial Bank of China, Ltd. Series
H................................................. 45,200,185 29,764,290
Jiangsu Express Co., Ltd. Series H.................. 764,000 656,775
Jiangxi Copper Co., Ltd. Series H................... 888,000 2,281,578
Kunlun Energy Co., Ltd.............................. 1,964,000 3,635,537
Lenovo Group, Ltd................................... 3,789,278 3,038,862
Longfor Properties Co., Ltd......................... 942,000 1,661,852
#*Maanshan Iron & Steel Co., Ltd. Series H............ 1,620,000 417,184
#*Metallurgical Corp of China, Ltd. Series H.......... 2,646,000 486,422
#*MMG, Ltd............................................ 388,000 153,260
New World China Land, Ltd........................... 2,554,000 1,182,433
#Nine Dragons Paper Holdings, Ltd.................... 1,905,000 1,325,212
#Parkson Retail Group, Ltd........................... 841,500 709,545
PetroChina Co., Ltd. ADR............................ 145,110 19,700,134
PICC Property & Casualty Co., Ltd. Series H......... 1,608,000 2,128,754
#Ping An Insurance Group Co. of China, Ltd. Series H. 1,230,500 9,683,465
Shandong Weigao Group Medical Polymer Co., Ltd.
Series H.......................................... 812,000 1,095,076
Shanghai Electric Group Co., Ltd. Series H.......... 2,392,000 966,907
Shanghai Industrial Holdings, Ltd................... 701,274 2,243,928
#Shimao Property Holdings, Ltd....................... 1,956,371 3,710,687
#Sino-Ocean Land Holdings, Ltd....................... 2,300,312 1,437,613
Sinopec Shanghai Petrochemical Co., Ltd. Series H... 952,000 271,610
Sinopec Shanghai Petrochemical Co., Ltd. Sponsored
ADR............................................... 6,545 186,860
#Sinopec Yizheng Chemical Fibre Co., Ltd. Series H... 888,000 186,003
#Sinopharm Group Co., Ltd. Series H.................. 480,800 1,614,284
Soho China, Ltd..................................... 2,899,263 1,961,767
*Sun Art Retail Group, Ltd........................... 989,500 1,342,839
Tencent Holdings, Ltd............................... 700,600 24,697,196
Tingyi (Cayman Islands) Holding Corp................ 1,192,000 3,539,096
#Tsingtao Brewery Co., Ltd. Series H................. 178,000 960,211
Uni-President China Holdings, Ltd................... 759,000 953,302
Want Want China Holdings, Ltd....................... 3,614,000 4,920,169
#Weichai Power Co., Ltd. Series H.................... 325,200 1,146,464
Wumart Stores, Inc. Series H........................ 108,000 191,591
#Yanzhou Coal Mining Co., Ltd. Series H.............. 228,000 339,863
#Yanzhou Coal Mining Co., Ltd. Sponsored ADR......... 105,796 1,568,955
Zhaojin Mining Industry Co., Ltd. Series H.......... 553,000 929,736
Zhejiang Expressway Co., Ltd. Series H.............. 876,000 638,276
#Zhongsheng Group Holdings, Ltd...................... 231,000 296,653
#Zhuzhou CSR Times Electric Co., Ltd. Series H....... 276,000 807,007
#Zijin Mining Group Co., Ltd. Series H............... 3,693,000 1,483,992
#Zoomlion Heavy Industry Science & Technology Co.,
Ltd. Series H...................................... 866,000 1,158,449
#ZTE Corp. Series H.................................. 460,838 646,156
------------
TOTAL CHINA............................................ 442,154,489
------------
COLOMBIA -- (0.5%)
*Almacenes Exito SA.................................. 41,506 793,066
*Banco de Bogota SA.................................. 4,768 141,861
Bancolombia SA...................................... 23,420 364,642
Bancolombia SA Sponsored ADR........................ 64,224 4,111,620
*Cementos Argos SA................................... 45,372 218,467
#Ecopetrol SA Sponsored ADR.......................... 158,655 9,393,963
*Empresa de Energia de Bogota SA..................... 406,613 289,682
Grupo Aval Acciones y Valores SA.................... 422,408 298,629
*Interconexion Electrica SA ESP...................... 133,897 722,201
*Isagen SA ESP....................................... 389,300 544,070
------------
TOTAL COLOMBIA......................................... 16,878,201
------------
105
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
------- -----------
CZECH REPUBLIC -- (0.5%)
CEZ A.S................................................ 221,903 $ 8,200,285
Komercni Banka A.S..................................... 14,730 3,014,213
Philip Morris CR A.S................................... 185 99,345
Telefonica Czech Republic A.S.......................... 142,100 2,830,544
*Unipetrol A.S.......................................... 1,473 12,785
-----------
TOTAL CZECH REPUBLIC...................................... 14,157,172
-----------
EGYPT -- (0.2%)
Commercial International Bank Egypt S.A.E. Sponsored
GDR.................................................. 215,316 1,314,497
*Egyptian Financial Group-Hermes Holding GDR............ 563 2,151
*Orascom Construction Industries GDR.................... 61,755 2,528,231
*Orascom Telecom Holding S.A.E. GDR..................... 340,034 1,022,534
-----------
TOTAL EGYPT............................................... 4,867,413
-----------
HUNGARY -- (0.4%)
EGIS Pharmaceuticals P.L.C............................. 2,156 173,508
ELMU NYRT.............................................. 108 7,870
Magyar Telekom Telecommunications P.L.C................ 296,916 550,983
#MOL Hungarian Oil & Gas P.L.C.......................... 40,682 3,538,890
#OTP Bank P.L.C......................................... 237,504 4,526,218
Richter Gedeon NYRT.................................... 13,851 2,578,830
*Tisza Chemical Group P.L.C............................. 24,314 209,329
-----------
TOTAL HUNGARY............................................. 11,585,628
-----------
INDIA -- (7.5%)
ABB, Ltd............................................... 44,672 611,227
ACC, Ltd............................................... 43,053 1,096,575
Adani Enterprises, Ltd................................. 140,472 559,599
*Adani Power, Ltd....................................... 459,932 409,259
Aditya Birla Nuvo, Ltd................................. 33,850 571,142
Allahabad Bank, Ltd.................................... 168,800 425,380
Ambuja Cements, Ltd.................................... 692,303 2,595,527
Andhra Bank, Ltd....................................... 59,863 115,009
Apollo Hospitals Enterprise, Ltd....................... 48,159 696,712
Ashok Leyland, Ltd..................................... 667,374 289,686
Asian Paints, Ltd...................................... 28,298 2,024,406
Axis Bank, Ltd......................................... 227,042 4,959,642
Bajaj Auto, Ltd........................................ 88,932 2,989,497
Bajaj Finserv, Ltd..................................... 38,658 607,089
Bajaj Holdings & Investment, Ltd....................... 24,719 399,121
Bank of India.......................................... 104,465 533,645
*Bharat Electronics, Ltd................................ 13,836 316,330
Bharat Forge, Ltd...................................... 64,036 323,354
Bharat Heavy Electricals, Ltd.......................... 435,992 1,811,227
Bharat Petroleum Corp., Ltd............................ 148,062 930,873
Bharti Airtel, Ltd..................................... 867,263 4,340,827
Bhushan Steel, Ltd..................................... 43,488 397,179
Biocon, Ltd............................................ 21,170 104,496
Bosch, Ltd............................................. 12,035 1,986,883
Cadila Healthcare, Ltd................................. 25,295 408,553
*Cairn India, Ltd....................................... 401,975 2,511,771
Canara Bank............................................ 81,642 608,430
Cipla, Ltd............................................. 335,370 2,272,819
Colgate-Palmolive (India), Ltd......................... 21,803 515,949
Container Corp. of India............................... 25,662 476,210
Coromandel International, Ltd.......................... 44,218 234,237
Corporation Bank....................................... 6,356 47,095
Crisil, Ltd............................................ 6,575 115,698
Crompton Greaves, Ltd.................................. 169,046 390,955
Cummins India, Ltd..................................... 42,903 389,858
106
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
INDIA -- (Continued)
Dabur India, Ltd...................................... 495,434 $ 1,144,072
*Dish TV (India), Ltd.................................. 218,853 305,843
Divi's Laboratories, Ltd.............................. 33,413 745,387
DLF, Ltd.............................................. 350,610 1,311,437
Dr. Reddy's Laboratories, Ltd......................... 22,080 718,219
Dr. Reddy's Laboratories, Ltd. ADR.................... 74,598 2,427,419
*Emami, Ltd............................................ 5,441 57,562
Engineers India, Ltd.................................. 66,837 293,704
*Essar Oil, Ltd........................................ 220,565 256,319
Exide Industries, Ltd................................. 194,971 511,699
Federal Bank, Ltd..................................... 83,714 750,942
GAIL India, Ltd....................................... 112,799 729,453
GAIL India, Ltd. GDR.................................. 28,791 1,178,049
*Gillette India, Ltd................................... 2,685 110,208
GlaxoSmithKline Consumer Healthcare, Ltd.............. 6,800 384,121
GlaxoSmithKline Pharmaceuticals, Ltd.................. 24,027 894,355
Glenmark Pharmaceuticals, Ltd......................... 101,902 809,318
*GMR Infrastructure, Ltd............................... 684,313 253,999
Godrej Consumer Products, Ltd......................... 58,902 786,438
Godrej Industries, Ltd................................ 58,303 325,274
Grasim Industries, Ltd................................ 6,300 387,801
Havells India, Ltd.................................... 13,283 141,932
HCL Technologies, Ltd................................. 82,032 920,140
HDFC Bank, Ltd........................................ 1,422,205 16,628,866
Hero Honda Motors, Ltd. Series B...................... 37,077 1,287,492
Hindalco Industries, Ltd.............................. 914,963 1,972,545
Hindustan Petroleum Corp, Ltd......................... 43,688 241,943
Hindustan Unilever, Ltd............................... 804,144 8,165,831
*Hindustan Zinc, Ltd................................... 94,424 234,618
ICICI Bank, Ltd. Sponsored ADR........................ 208,679 8,190,651
IDBI Bank, Ltd........................................ 346,191 592,878
*Idea Cellular, Ltd.................................... 805,036 1,273,626
IDFC, Ltd............................................. 601,656 1,798,921
Indian Bank........................................... 126,858 395,067
Indian Oil Corp., Ltd................................. 210,491 1,023,984
Indian Overseas Bank.................................. 62,877 83,278
IndusInd Bank, Ltd.................................... 51,381 345,533
Infosys, Ltd.......................................... 214,112 9,381,745
#Infosys, Ltd. Sponsored ADR........................... 135,241 5,872,164
ITC, Ltd.............................................. 2,036,173 10,663,754
Jaiprakash Associates, Ltd............................ 1,336,264 2,148,433
*Jaiprakash Power Ventures, Ltd........................ 432,110 307,813
Jindal Steel & Power, Ltd............................. 373,815 2,683,216
JSW Energy, Ltd....................................... 473,835 560,182
JSW Steel, Ltd........................................ 124,632 1,698,878
*Jubilant Foodworks, Ltd............................... 14,391 338,372
Kotak Mahindra Bank, Ltd.............................. 190,324 2,131,246
Larsen & Toubro, Ltd.................................. 194,792 5,870,307
LIC Housing Finance, Ltd.............................. 53,635 242,345
Lupin, Ltd............................................ 146,419 1,541,596
Mahindra & Mahindra, Ltd.............................. 298,575 4,887,634
Mangalore Refinery & Petrochemicals, Ltd.............. 399,619 467,471
Marico, Ltd........................................... 116,346 453,868
Maruti Suzuki India, Ltd.............................. 39,141 1,042,598
Motherson Sumi Systems, Ltd........................... 93,608 272,200
Mphasis, Ltd.......................................... 57,057 411,190
Mundra Port & Special Economic Zone, Ltd.............. 223,856 521,132
National Aluminium Co., Ltd........................... 104,051 90,163
Nestle India, Ltd..................................... 5,477 478,073
NHPC, Ltd............................................. 1,831,020 729,255
NTPC, Ltd............................................. 339,288 1,042,117
107
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
INDIA -- (Continued)
Oberoi Realty, Ltd.................................. 7,939 $ 40,397
Oil & Natural Gas Corp., Ltd........................ 699,873 3,483,008
Oil India, Ltd...................................... 64,082 574,747
*Oracle Financial Services Software, Ltd............. 17,900 964,916
Oriental Bank of Commerce........................... 85,829 492,282
Petronet LNG, Ltd................................... 129,567 402,804
Pidilite Industries, Ltd............................ 97,657 349,341
Piramal Enterprises, Ltd............................ 58,908 541,040
Power Grid Corp. of India, Ltd...................... 741,612 1,570,700
Proctor & Gamble Hygiene & Health Care, Ltd......... 7,710 353,248
*Ranbaxy Laboratories, Ltd........................... 131,027 1,275,363
Reliance Capital, Ltd............................... 97,310 686,077
Reliance Communications, Ltd........................ 523,134 521,400
Reliance Energy, Ltd................................ 111,967 968,740
Reliance Industries, Ltd............................ 1,432,266 21,357,809
*Reliance Power, Ltd................................. 469,672 802,253
Rural Electrification Corp., Ltd.................... 47,495 189,298
*Satyam Computer Services, Ltd....................... 401,693 814,904
Sesa Goa, Ltd....................................... 563,951 1,783,760
Shree Cement, Ltd................................... 4,414 345,191
Shriram Transport Finance Co., Ltd.................. 76,457 885,285
Siemens, Ltd........................................ 11,127 141,556
SJVN, Ltd........................................... 381,249 141,539
State Bank of India................................. 112,142 4,367,428
Steel Authority of India, Ltd....................... 311,336 462,966
Sterlite Industries (India), Ltd.................... 1,725,980 3,182,857
Sun Pharmaceuticals Industries, Ltd................. 288,573 3,721,545
Sun TV Network, Ltd................................. 57,384 349,024
Tata Chemicals, Ltd................................. 85,384 501,530
Tata Communications, Ltd............................ 36,123 162,960
Tata Consultancy Services, Ltd...................... 436,140 10,644,140
Tata Motors, Ltd.................................... 679,237 3,227,409
#Tata Motors, Ltd. Sponsored ADR..................... 81,024 1,956,730
Tata Power Co., Ltd................................. 763,990 1,494,310
Tata Steel, Ltd..................................... 259,060 1,874,063
Tata Tea, Ltd....................................... 245,594 677,852
Tech Mahindra, Ltd.................................. 21,607 381,122
Titan Industries, Ltd............................... 144,838 689,500
Torrent Power, Ltd.................................. 79,357 225,823
Ultratech Cement, Ltd............................... 40,093 1,483,085
*Unitech, Ltd........................................ 1,144,527 488,683
United Breweries, Ltd............................... 33,290 476,005
United Phosphorus, Ltd.............................. 135,349 285,469
United Spirits, Ltd................................. 69,742 1,526,411
Wipro, Ltd.......................................... 480,402 3,096,658
*Wockhardt, Ltd...................................... 7,247 202,377
Yes Bank, Ltd....................................... 161,542 1,232,640
Zee Entertainment Enterprises, Ltd.................. 355,088 1,244,642
------------
TOTAL INDIA............................................ 231,221,823
------------
INDONESIA -- (3.0%)
PT Adaro Energy Tbk................................. 12,163,000 1,724,968
PT AKR Corporindo Tbk............................... 545,000 251,086
PT Astra Agro Lestari Tbk........................... 317,000 688,751
PT Astra International Tbk.......................... 18,834,110 15,721,127
PT Bank Central Asia Tbk............................ 9,352,500 7,959,524
PT Bank Danamon Indonesia Tbk....................... 3,627,079 2,299,356
PT Bank Mandiri Persero Tbk......................... 7,886,117 6,736,956
PT Bank Negara Indonesia Persero Tbk................ 6,723,722 2,682,857
*PT Bank Pan Indonesia Tbk........................... 8,354,000 632,304
PT Bank Rakyat Indonesia Persero Tbk................ 8,971,000 6,874,553
108
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- -----------
INDONESIA -- (Continued)
*PT Bank Tabungan Pensiunan Nasional Tbk............. 749,500 $ 412,627
PT Bayan Resources Tbk.............................. 79,500 86,981
PT Bhakti Investama Tbk............................. 2,882,500 164,121
PT Bumi Serpong Damai Tbk........................... 5,554,500 711,819
PT Charoen Pokphand Indonesia Tbk................... 5,893,500 1,908,234
PT Global Mediacom Tbk.............................. 5,250,000 1,240,380
PT Gudang Garam Tbk................................. 388,000 1,978,551
PT Harum Energy Tbk................................. 621,000 347,286
PT Holcim Indonesia Tbk............................. 1,409,000 475,452
PT Indo Tambangraya Megah Tbk....................... 295,500 1,244,355
PT Indocement Tunggal Prakarsa Tbk.................. 1,083,000 2,403,839
*PT Indofood CBP Sukses Makmur Tbk................... 560,000 415,594
PT Indofood Sukses Makmur Tbk....................... 4,001,000 2,367,348
*PT Indomobil Sukses Internasional Tbk............... 35,000 18,439
PT Indosat Tbk...................................... 798,000 538,416
PT Indosat Tbk ADR.................................. 1,674 55,259
*PT Inovisi Infracom Tbk............................. 10,000 6,499
PT Jasa Marga Persero Tbk........................... 1,362,000 820,210
PT Kalbe Farma Tbk.................................. 15,180,000 1,529,292
PT Lippo Karawaci Tbk............................... 6,850,000 661,035
PT Mayorah Indah Tbk................................ 47,500 116,634
PT Media Nusantara Citra Tbk........................ 2,911,000 853,691
*PT Panasia Indo Resources Tbk....................... 75,100 2,385
PT Perusahaan Gas Negara Persero Tbk................ 6,978,500 3,365,772
PT Perusahaan Perkebunan London Sumatra Indonesia
Tbk............................................... 2,878,500 693,596
PT Semen Gresik Persero Tbk......................... 2,453,500 3,793,173
PT Sinar Mas Agro Resources & Technology Tbk........ 1,116,500 807,707
*PT Sumber Alfaria Trijaya Tbk....................... 4,000 2,274
*PT Surya Citra Media Tbk............................ 1,172,500 238,040
PT Tambang Batubara Bukit Asam Persero Tbk.......... 639,500 1,060,590
PT Telekomunikasi Indonesia Persero Tbk............. 7,835,140 7,957,833
*PT Tower Bersama Infrastructure Tbk................. 821,500 426,694
PT Unilever Indonesia Tbk........................... 1,417,000 3,832,460
PT United Tractors Tbk.............................. 1,366,696 2,984,183
PT Vale Indonesia Tbk............................... 2,957,000 825,258
PT XL Axiata Tbk.................................... 1,513,500 1,076,680
-----------
TOTAL INDONESIA........................................ 90,994,189
-----------
ISRAEL -- (0.0%)
*IDB Holding Corp., Ltd.............................. -- 2
*Koor Industries, Ltd................................ 1 7
Osem Investments, Ltd............................... 1 8
-----------
TOTAL ISRAEL........................................... 17
-----------
MALAYSIA -- (3.9%)
Affin Holdings Berhad............................... 318,200 353,243
AirAsia Berhad...................................... 1,110,100 1,101,807
Alliance Financial Group Berhad..................... 1,021,000 1,362,069
AMMB Holdings Berhad................................ 1,358,359 2,840,192
Axiata Group Berhad................................. 2,221,275 4,754,199
Batu Kawan Berhad................................... 61,600 363,079
Berjaya Corp. Berhad................................ 191,400 40,136
Berjaya Land Berhad................................. 95,000 25,269
Berjaya Sports Toto Berhad.......................... 709,264 1,033,513
Boustead Holdings Berhad............................ 359,386 590,474
British American Tobacco Malaysia Berhad............ 109,600 2,271,317
*Bumi Armada Berhad.................................. 244,900 314,704
CIMB Group Holdings Berhad.......................... 3,992,654 9,978,299
Dialog Group Berhad................................. 1,046,300 822,626
DiGi.Com Berhad..................................... 2,913,420 5,069,106
DRB-Hicom Berhad.................................... 784,000 636,263
109
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
MALAYSIA -- (Continued)
Fraser & Neave Holdings Berhad...................... 61,000 $ 396,206
Gamuda Berhad....................................... 1,485,900 1,757,144
Genting (Malaysia) Berhad........................... 2,820,500 3,318,625
Genting Berhad...................................... 1,994,000 5,778,084
Genting Plantations Berhad.......................... 239,300 704,467
Hong Leong Bank Berhad.............................. 537,760 2,589,088
Hong Leong Financial Group Berhad................... 205,729 869,570
IJM Corp. Berhad.................................... 1,165,260 1,912,504
IOI Corp. Berhad.................................... 2,999,805 4,973,052
Kuala Lumpur Kepong Berhad.......................... 443,400 3,113,437
Kulim (Malaysia) Berhad............................. 460,600 756,262
Lafarge Malayan Cement Berhad....................... 259,580 830,689
Malayan Banking Berhad.............................. 2,760,567 8,166,430
Malaysia Airports Holdings Berhad................... 254,400 484,949
*Malaysia Marine and Heavy Engineering Holdings
Berhad............................................. 175,700 277,894
*Malaysian Airlines System Berhad.................... 696,334 234,766
Maxis Berhad........................................ 1,579,100 3,605,573
*MISC Berhad......................................... 1,391,098 1,932,203
MMC Corp. Berhad.................................... 1,092,100 932,327
Nestle (Malaysia) Berhad............................ 191,600 4,378,323
Parkson Holdings Berhad............................. 515,320 818,962
Petronas Chemicals Group Berhad..................... 2,194,100 4,673,401
Petronas Dagangan Berhad............................ 257,600 1,864,319
Petronas Gas Berhad................................. 468,300 3,007,830
PPB Group Berhad.................................... 392,300 1,731,392
Public Bank Berhad.................................. 67,739 353,102
Public Bank Berhad Foreign Market Shares............ 989,601 5,157,517
RHB Capital Berhad.................................. 586,478 1,441,420
*Sapurakencana Petroleum Berhad...................... 938,300 770,925
Shell Refining Co. Federation of Malaysia Berhad.... 127,200 367,121
Sime Darby Berhad................................... 2,342,720 7,514,957
Telekom Malaysia Berhad............................. 957,700 1,877,595
Tenaga Nasional Berhad.............................. 2,144,050 4,877,936
*UEM Land Holdings Berhad............................ 1,277,737 885,197
UMW Holdings Berhad................................. 475,466 1,549,530
United Plantations Berhad........................... 33,700 278,384
YTL Corp. Berhad.................................... 5,406,186 3,097,170
YTL Power International Berhad...................... 1,480,740 790,847
------------
TOTAL MALAYSIA......................................... 119,625,494
------------
MEXICO -- (5.7%)
Alfa S.A.B. de C.V. Series A........................ 2,766,000 5,099,377
America Movil S.A.B. de C.V. Series L............... 33,690,314 42,736,835
America Movil S.A.B. de C.V. Series L ADR........... 22,528 569,733
#Arca Continental S.A.B. de C.V...................... 349,300 2,534,252
*Cemex S.A.B. de C.V................................. 301,238 272,619
*Cemex S.A.B. de C.V. Sponsored ADR.................. 1,144,044 10,342,158
#Coca-Cola Femsa S.A.B. de C.V. Series L............. 298,900 3,828,586
Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR........ 1,250 159,887
#Controladora Comercial Mexicana S.A.B. de C.V.
Series B........................................... 134,556 377,135
*Corporacion Interamericana de Entramiento S.A.B. de
C.V. Series B...................................... 15,626 7,876
El Puerto de Liverpool S.A.B. de C.V. Series C-1.... 123,184 1,103,331
Fomento Economico Mexicano S.A.B. de C.V............ 1,901,129 17,135,424
#*Genomma Lab Internacional S.A.B. de C.V. Series B... 264,900 528,020
Grupo Aeroportuario del Pacifico S.A.B. de
C.V. ADR......................................... 3,339 159,003
Grupo Aeroportuario del Pacifico S.A.B. de C.V.
Series B.......................................... 80,378 385,807
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR.. 34,897 3,370,003
#Grupo Bimbo S.A.B. de C.V. Series A................. 1,538,500 3,580,120
Grupo Carso S.A.B. de C.V. Series A-1............... 639,132 2,307,299
Grupo Comercial Chedraui S.A. de C.V................ 132,479 357,149
Grupo Elektra S.A.B. de C.V......................... 47,746 1,969,058
110
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
MEXICO -- (Continued)
Grupo Financiero Banorte S.A.B. de C.V. Series O..... 1,508,429 $ 8,386,561
Grupo Financiero Inbursa S.A.B. de C.V. Series O..... 1,863,628 4,951,552
Grupo Industrial Maseca S.A.B. de C.V. Series B...... 204,746 246,120
Grupo Mexico S.A.B. de C.V. Series B................. 3,579,616 11,476,423
#Grupo Modelo S.A.B. de C.V. Series C................. 661,784 5,821,314
*Grupo Qumma S.A. de C.V. Series B.................... 1,591 22
#Grupo Televisa S.A.B................................. 1,704,800 7,728,496
Grupo Televisa S.A.B. Sponsored ADR.................. 128,240 2,898,224
*Impulsora del Desarrollo y El Empleo en America
Latina S.A.B. de C.V................................ 2,373,426 4,081,988
#*Industrias CH S.A.B. de C.V. Series B................ 134,712 781,790
#Industrias Penoles S.A.B. de C.V..................... 99,638 4,984,183
*Inmuebles Carso S.A.B. de C.V. Series B-1............ 132 103
Kimberly Clark de Mexico S.A.B. de C.V. Series A..... 1,823,400 4,419,942
Mexichem S.A.B. de C.V. Series *..................... 518,325 2,571,041
#*Minera Frisco S.A.B. de C.V. Series A-1.............. 783,633 3,112,030
*OHL Mexico S.A.B. de C.V............................. 124,561 207,380
Organizacion Soriana S.A.B. de C.V. Series B......... 1,112,075 3,736,925
*Savia S.A. de C.V. Series A.......................... 120,000 7,332
#Wal-Mart de Mexico S.A.B. de C.V. Series V........... 4,944,929 14,554,572
------------
TOTAL MEXICO............................................ 176,789,670
------------
PERU -- (0.4%)
Cia de Minas Buenaventura S.A. ADR................... 143,300 5,124,408
Credicorp, Ltd....................................... 62,859 8,130,183
------------
TOTAL PERU.............................................. 13,254,591
------------
PHILIPPINES -- (1.1%)
Aboitiz Equity Ventures, Inc......................... 1,519,900 1,778,650
Aboitiz Power Corp................................... 1,446,200 1,161,589
Alliance Global Group, Inc........................... 6,710,300 2,419,850
Ayala Corp. Series A................................. 194,815 2,091,246
Ayala Land, Inc...................................... 4,735,418 2,706,605
Bank of the Philippine Islands....................... 844,014 1,657,540
*BDO Unibank, Inc..................................... 1,519,961 2,358,479
DMCI Holdings, Inc................................... 588,210 770,290
Energy Development Corp.............................. 5,710,100 924,528
*Filipina Water Bottling Corp......................... 2,006,957 --
*First Gen Corp....................................... 51,000 27,655
Globe Telecom, Inc................................... 26,545 733,604
International Container Terminal Services, Inc....... 723,570 1,245,603
JG Summit Holdings, Inc.............................. 168,900 135,162
Jollibee Foods Corp.................................. 354,660 910,027
Manila Electric Co................................... 168,020 1,138,048
Metro Bank & Trust Co................................ 881,923 2,033,577
Metro Pacific Investments Corp....................... 7,894,000 792,097
Philippine Long Distance Telephone Co................ 42,445 2,724,084
Robinson's Land Corp. Series B....................... 1,087,600 501,508
San Miguel Corp...................................... 413,770 1,094,657
Security Bank Corp................................... 181,170 711,303
*Semirara Mining Corp................................. 112,800 599,371
SM Investments Corp.................................. 168,010 3,272,470
SM Prime Holdings, Inc............................... 4,396,710 1,545,265
Universal Robina Corp................................ 879,930 1,534,531
------------
TOTAL PHILIPPINES....................................... 34,867,739
------------
POLAND -- (1.5%)
Asseco Poland SA..................................... 9,607 120,375
Bank Handlowy w Warszawie SA......................... 37,967 1,107,950
*Bank Millennium SA................................... 701,813 929,732
Bank Pekao SA........................................ 110,245 5,295,724
111
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
POLAND -- (Continued)
*BRE Bank SA.......................................... 13,064 $ 1,234,480
Browary Zywiec SA.................................... 12,621 1,954,692
*Cyfrowy Polsat SA.................................... 79,369 360,115
Enea SA.............................................. 48,415 233,926
Eurocash SA.......................................... 42,530 521,844
*Getin Noble Bank SA.................................. 1,028,245 537,408
*Grupa Lotos SA....................................... 38,603 407,889
*ING Bank Slaski SA................................... 27,713 756,233
*Jastrzebska Spolka Weglowa SA........................ 4,815 131,215
*Kernel Holding SA.................................... 46,175 965,339
KGHM Polska Miedz SA................................. 127,397 6,420,166
*Kredyt Bank SA....................................... 65,825 319,997
LPP SA............................................... 262 323,862
Lubelski Wegiel Bogdanka SA.......................... 23,499 884,802
PGE SA............................................... 599,978 3,255,470
*Polski Koncern Naftowy Orlen SA...................... 311,446 4,268,576
*Polskie Gornictwo Naftowe I Gazownictwo SA........... 1,130,284 1,400,205
Powszechna Kasa Oszczednosci Bank Polski SA.......... 491,758 5,497,096
Powszechny Zaklad Ubezpieczen SA..................... 44,325 5,184,981
Synthos SA........................................... 436,090 727,201
Tauron Polska Energia SA............................. 115,622 159,910
Telekomunikacja Polska SA............................ 591,537 2,243,168
------------
TOTAL POLAND............................................ 45,242,356
------------
RUSSIA -- (4.5%)
*Eurasia Drilling Co., Ltd. GDR....................... 52,125 1,807,256
Federal Hydrogenerating Co. ADR...................... 954,715 2,274,457
Gazprom Neft OAO Sponsored ADR....................... 876 21,683
Gazprom OAO Sponsored ADR............................ 4,557,577 41,861,317
*Globaltrans Investment P.L.C. Sponsored GDR.......... 37,715 699,100
Lukoil OAO Sponsored ADR............................. 376,321 22,838,291
*Magnitogorsk Iron & Steel Works Sponsored GDR........ 127,856 555,073
Mail.ru Group, Ltd. GDR.............................. 43,846 1,465,318
#*Mechel Sponsored ADR................................. 170,001 1,079,506
MMC Norilsk Nickel JSC ADR........................... 532,268 8,181,242
*NOMOS-BANK GDR....................................... 28,982 387,068
Novolipetsk Steel OJSC GDR........................... 83,762 1,586,921
Novorossiysk Sea Trade Port GDR...................... 33,800 226,689
*O'Key Group SA GDR................................... 7,099 68,906
*PIK Group GDR........................................ 36,593 79,424
Rosneft OAO GDR...................................... 1,181,607 8,779,692
*Rostelecom OJSC Sponsored ADR........................ 20,505 471,720
*Sberbank of Russia Sponsored ADR..................... 1,585,492 18,749,162
Severstal OAO GDR.................................... 148,190 1,799,744
Tatneft OAO Sponsored ADR............................ 164,755 6,406,518
TMK OAO GDR.......................................... 52,030 772,656
Uralkali OJSC GDR.................................... 216,536 8,512,514
VimpelCom, Ltd. Sponsored ADR........................ 403,314 4,444,520
VTB Bank OJSC GDR.................................... 1,024,422 3,547,722
*X5 Retail Group NV GDR............................... 67,053 1,275,973
------------
TOTAL RUSSIA............................................ 137,892,472
------------
SOUTH AFRICA -- (7.4%)
ABSA Group, Ltd...................................... 365,243 5,855,912
African Bank Investments, Ltd........................ 670,424 2,273,567
African Rainbow Minerals, Ltd........................ 105,298 2,206,589
#Anglo American Platinum, Ltd......................... 63,581 2,965,167
#AngloGold Ashanti, Ltd. Sponsored ADR................ 331,815 11,275,074
*ArcelorMittal South Africa, Ltd...................... 236,779 912,815
Aspen Pharmacare Holdings, Ltd....................... 232,479 4,240,169
#Assore, Ltd.......................................... 25,939 1,072,674
112
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
SOUTH AFRICA -- (Continued)
AVI, Ltd............................................. 28,062 $ 185,440
Barloworld, Ltd...................................... 239,472 1,940,595
Bidvest Group, Ltd................................... 240,239 5,711,414
Capitec Bank Holdings, Ltd........................... 25,222 560,461
Discovery Holdings, Ltd.............................. 357,805 2,289,230
Exxaro Resources, Ltd................................ 97,700 1,969,794
FirstRand, Ltd....................................... 2,569,186 8,536,168
Foschini Group, Ltd. (The)........................... 162,399 2,353,370
Gold Fields, Ltd. Sponsored ADR...................... 640,851 8,017,046
Growthpoint Properties, Ltd.......................... 764,019 2,083,176
Harmony Gold Mining Co., Ltd......................... 132,269 1,083,228
Harmony Gold Mining Co., Ltd. Sponsored ADR.......... 331,569 2,752,023
Impala Platinum Holdings, Ltd........................ 482,008 8,687,465
Imperial Holdings, Ltd............................... 164,782 3,736,305
Investec, Ltd........................................ 218,353 1,287,424
#Kumba Iron Ore, Ltd.................................. 63,653 3,981,538
Liberty Holdings, Ltd................................ 155,216 1,799,794
Life Healthcare Group Holdings, Ltd.................. 666,212 2,511,231
Massmart Holdings, Ltd............................... 74,393 1,496,469
Mediclinic International, Ltd........................ 240,544 1,301,721
MMI Holdings, Ltd.................................... 1,197,522 2,889,585
Mondi, Ltd........................................... 116,207 1,260,328
Mr. Price Group, Ltd................................. 200,893 3,094,094
MTN Group, Ltd....................................... 1,575,988 28,452,821
Nampak, Ltd.......................................... 99,910 332,923
Naspers, Ltd. Series N............................... 307,957 19,991,188
Nedbank Group, Ltd................................... 190,671 3,931,623
Network Healthcare Holdings, Ltd..................... 811,118 1,676,814
#Pick'n Pay Stores, Ltd............................... 244,318 1,190,608
PSG Group, Ltd....................................... 64,012 466,951
Sanlam, Ltd.......................................... 1,568,615 6,999,364
*Santam, Ltd.......................................... 4,722 98,206
*Sappi, Ltd. Sponsored ADR............................ 800 2,208
Sasol, Ltd. Sponsored ADR............................ 536,546 22,754,916
Shoprite Holdings, Ltd............................... 395,299 8,143,150
Spar Group, Ltd. (The)............................... 122,791 1,714,463
Standard Bank Group, Ltd............................. 1,007,241 12,437,628
#*Steinhoff International Holdings, Ltd................ 1,093,754 3,678,962
Tiger Brands, Ltd.................................... 92,531 2,942,026
Truworths International, Ltd......................... 297,934 3,253,822
Tsogo Sun Holdings, Ltd.............................. 288,868 767,909
Vodacom Group, Ltd................................... 345,509 4,350,800
Woolworths Holdings, Ltd............................. 604,872 4,567,874
------------
TOTAL SOUTH AFRICA...................................... 228,084,122
------------
SOUTH KOREA -- (14.3%)
#Amorepacific Corp.................................... 3,479 3,953,363
Amorepacific Group................................... 1,903 820,284
BS Financial Group, Inc.............................. 143,130 1,620,050
Cheil Industrial, Inc................................ 40,171 3,438,874
*Cheil Worldwide, Inc................................. 45,180 870,210
#CJ Cheiljedang Corp.................................. 6,747 2,117,134
CJ Corp.............................................. 12,499 1,219,090
*CJ Korea Express Co., Ltd............................ 442 45,995
Daelim Industrial Co., Ltd........................... 30,614 2,127,651
#*Daewoo Engineering & Construction Co., Ltd........... 125,248 1,064,856
#Daewoo International Corp............................ 38,863 1,490,815
Daewoo Securities Co., Ltd........................... 220,281 2,218,157
#Daewoo Shipbuilding & Marine Engineering Co., Ltd.... 109,830 2,351,934
Dongbu Insurance Co., Ltd............................ 34,530 1,564,686
Doosan Corp.......................................... 7,623 880,083
113
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
------- -----------
SOUTH KOREA -- (Continued)
#Doosan Heavy Industries & Construction Co., Ltd........ 50,399 $ 2,156,061
#*Doosan Infracore Co., Ltd.............................. 85,690 1,262,706
E-Mart Co., Ltd........................................ 18,626 4,037,227
#GS Engineering & Construction Corp..................... 32,543 1,828,825
GS Holdings Corp....................................... 58,759 3,690,692
Hana Financial Group, Inc.............................. 201,701 5,867,704
*Hankook Tire Co., Ltd.................................. 66,995 2,825,756
#Hankook Tire Worldwide Co., Ltd........................ 15,314 197,655
#Hanwha Chemical Corp................................... 94,470 1,566,662
Hanwha Corp............................................ 45,190 1,289,058
Hanwha Life Insurance Co., Ltd......................... 141,910 1,000,195
#Honam Petrochemical Corp............................... 11,566 2,363,554
#Hyundai Department Store Co., Ltd...................... 14,194 1,761,158
Hyundai Engineering & Construction Co., Ltd............ 52,362 3,150,288
#Hyundai Glovis Co., Ltd................................ 8,941 1,859,348
*Hyundai Heavy Industries Co., Ltd...................... 39,020 8,177,074
Hyundai Hysco Co., Ltd................................. 23,394 934,055
Hyundai Marine & Fire Insurance Co., Ltd............... 51,730 1,669,507
#*Hyundai Merchant Marine Co., Ltd....................... 31,751 764,026
Hyundai Mobis.......................................... 55,218 14,033,384
Hyundai Motor Co., Ltd................................. 130,240 26,766,758
Hyundai Steel Co....................................... 58,560 4,207,653
#*Hyundai Wia Corp....................................... 8,842 1,425,862
Industrial Bank of Korea, Ltd.......................... 180,660 1,986,001
#Kangwon Land, Inc...................................... 114,660 2,668,642
KB Financial Group, Inc................................ 235,705 8,015,307
KB Financial Group, Inc. ADR........................... 73,168 2,491,370
KCC Corp............................................... 5,799 1,626,347
#KEPCO Engineering & Construction Co., Inc.............. 5,254 309,072
*KEPCO Plant Service & Engineering Co., Ltd............. 3,305 181,525
#Kia Motors Corp........................................ 224,568 12,449,986
*Korea Electric Power Corp.............................. 190,290 4,935,739
*Korea Exchange Bank.................................... 323,750 2,243,936
Korea Gas Corp......................................... 15,875 1,113,839
Korea Zinc Co., Ltd.................................... 6,026 2,468,511
*Korean Air Co., Ltd.................................... 27,415 1,229,233
KT Corp................................................ 23,160 786,201
#KT&G Corp.............................................. 96,630 7,353,154
#Kumho Petro chemical Co., Ltd.......................... 10,762 1,055,870
LG Chemical, Ltd....................................... 37,273 10,455,811
LG Corp................................................ 96,081 5,859,566
*LG Display Co., Ltd.................................... 11,540 342,478
#*LG Display Co., Ltd. ADR............................... 390,619 5,796,786
#LG Electronics, Inc.................................... 97,300 6,769,342
LG Household & Healthcare Co., Ltd..................... 6,362 3,736,363
LG Uplus Corp.......................................... 259,030 1,654,230
#Lotte Confectionary Co., Ltd........................... 139 200,139
Lotte Shopping Co., Ltd................................ 9,769 3,020,394
#LS Corp................................................ 9,875 806,366
#*Mando Corp............................................. 10,391 1,368,664
NCsoft Corp............................................ 11,526 2,209,637
#NHN Corp............................................... 30,603 7,078,787
#OCI Co., Ltd........................................... 14,368 2,024,934
ORION Corp............................................. 2,446 2,297,126
POSCO.................................................. 50,240 15,793,173
POSCO ADR.............................................. 25,311 1,983,876
*S1 Corp................................................ 11,769 709,407
Samsung C&T Corp....................................... 101,656 5,521,661
Samsung Card Co., Ltd.................................. 23,720 916,370
#Samsung Electro-Mechanics Co., Ltd..................... 47,732 4,082,163
Samsung Electronics Co., Ltd........................... 71,022 85,229,070
114
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
SOUTH KOREA -- (Continued)
Samsung Electronics Co., Ltd. GDR................... 49,372 $ 29,919,407
Samsung Engineering Co., Ltd........................ 23,077 3,012,309
Samsung Fire & Marine Insurance, Ltd................ 32,937 7,190,315
Samsung Heavy Industries Co., Ltd................... 129,740 3,959,479
Samsung Life Insurance Co., Ltd..................... 46,732 4,024,674
Samsung SDI Co., Ltd................................ 36,298 4,550,378
Samsung Securities Co., Ltd......................... 54,656 2,445,088
#Samsung Techwin Co., Ltd............................ 27,239 1,424,081
Shinhan Financial Group Co., Ltd.................... 273,716 9,394,602
Shinhan Financial Group Co., Ltd. ADR............... 81,492 2,788,656
*Shinsegae Co., Ltd.................................. 6,575 1,174,894
SK C&C Co., Ltd..................................... 16,273 1,426,582
SK Holdings Co., Ltd................................ 28,989 4,034,895
#*SK Hynix, Inc....................................... 377,340 8,590,072
SK Innovation Co., Ltd.............................. 51,889 7,626,985
SK Networks Co., Ltd................................ 119,800 1,047,919
SK Telecom Co., Ltd................................. 7,048 995,572
#S-Oil Corp.......................................... 38,905 3,557,533
Woongjin Coway Co., Ltd............................. 37,470 1,365,186
Woori Finance Holdings Co., Ltd..................... 336,530 3,176,898
Woori Investment & Securities Co., Ltd.............. 106,990 1,032,890
------------
TOTAL SOUTH KOREA...................................... 440,127,881
------------
TAIWAN -- (10.6%)
#*Acer, Inc........................................... 2,794,040 2,156,855
Advanced Semiconductor Engineering, Inc............. 5,256,922 3,967,033
Advanced Semiconductor Engineering, Inc. ADR........ 77,739 295,408
Advantech Co., Ltd.................................. 221,200 764,264
#Asia Cement Corp.................................... 2,095,846 2,610,168
#Asustek Computer, Inc............................... 575,180 6,153,527
#*AU Optronics Corp................................... 4,551,873 1,723,204
#*AU Optronics Corp. Sponsored ADR.................... 295,728 1,117,852
Catcher Technology Co., Ltd......................... 471,429 2,046,149
#Cathay Financial Holdings Co., Ltd.................. 5,968,301 5,984,300
Chang Hwa Commercial Bank........................... 3,218,723 1,622,457
Cheng Shin Rubber Industry Co., Ltd................. 1,595,753 4,015,751
Cheng Uei Precision Industry Co., Ltd............... 384,109 849,511
Chicony Electronics Co., Ltd........................ 425,806 933,438
#*Chimei Innolux Corp................................. 6,039,341 2,249,273
*China Airlines, Ltd................................. 2,710,536 1,056,889
*China Development Financial Holding Corp............ 9,666,121 2,157,327
*China Life Insurance Co., Ltd....................... 1,697,401 1,321,745
#China Motor Corp.................................... 649,000 581,618
#China Petrochemical Development Corp................ 1,583,500 1,099,398
China Steel Chemical Corp........................... 111,000 482,583
#China Steel Corp.................................... 9,995,481 8,582,883
Chinatrust Financial Holdings Co., Ltd.............. 10,406,959 5,728,480
Chunghwa Telecom Co., Ltd........................... 428,000 1,339,166
#Chunghwa Telecom Co., Ltd. ADR...................... 226,956 7,053,792
Clevo Co., Ltd...................................... 63,000 82,276
Compal Electronics, Inc............................. 4,252,541 2,674,920
CTCI Corp........................................... 459,000 912,095
#Delta Electronics, Inc.............................. 1,683,366 5,742,126
#E Ink Holdings, Inc................................. 767,000 616,954
#E.Sun Financial Holding Co., Ltd.................... 4,629,047 2,316,511
#Epistar Corp........................................ 841,000 1,335,980
*Eva Airways Corp.................................... 1,344,600 779,428
*Evergreen Marine Corp., Ltd......................... 1,868,249 961,557
#Far Eastern Department Stores Co., Ltd.............. 891,634 838,091
Far Eastern New Century Corp........................ 3,261,192 3,371,589
Far EasTone Telecommunications Co., Ltd............. 1,264,000 2,917,757
115
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- -----------
TAIWAN -- (Continued)
Farglory Land Development Co., Ltd.................. 342,229 $ 575,873
First Financial Holding Co., Ltd.................... 6,525,415 3,702,116
Formosa Chemicals & Fiber Co., Ltd.................. 2,923,445 6,918,184
Formosa International Hotels Corp................... 28,600 305,540
Formosa Petrochemical Corp.......................... 903,000 2,624,788
Formosa Plastics Corp............................... 3,709,648 10,098,181
Formosa Taffeta Co., Ltd............................ 848,000 746,909
Foxconn Technology Co., Ltd......................... 690,369 2,393,970
Fubon Financial Holding Co., Ltd.................... 5,408,233 5,540,915
Giant Manufacturing Co., Ltd........................ 225,506 1,164,781
*Gourmet Master Co., Ltd............................. 33,000 233,706
Highwealth Construction Corp........................ 354,000 515,625
#Hiwin Technologies Corp............................. 141,100 906,172
#Hon Hai Precision Industry Co., Ltd................. 8,047,506 24,400,340
#Hotai Motor Co., Ltd................................ 235,000 1,671,375
#HTC Corp............................................ 612,235 4,417,991
Hua Nan Financial Holding Co., Ltd.................. 5,749,170 3,017,782
#*Inotera Memories, Inc............................... 1,642,000 222,666
Inventec Corp....................................... 2,430,551 830,464
#Kinsus Interconnect Technology Corp................. 260,000 713,359
#Largan Precision Co., Ltd........................... 81,860 1,741,018
LCY Chemical Corp................................... 395,123 408,041
Lite-On Technology Corp............................. 1,980,910 2,520,151
Lung Yen Life Service Corp.......................... 101,000 311,723
#Macronix International Co., Ltd..................... 4,110,218 1,067,820
#Media Tek, Inc...................................... 801,995 8,896,431
Mega Financial Holding Co., Ltd..................... 6,588,000 4,785,478
Merida Industry Co., Ltd............................ 162,750 623,378
Nan Ya Plastic Corp................................. 4,377,564 7,709,986
#Nan Ya Printed Circuit Board Corp................... 206,968 237,322
#Nankang Rubber Tire Co., Ltd........................ 448,782 518,380
Novatek Microelectronics Corp....................... 419,000 1,575,829
#Oriental Union Chemical Corp........................ 456,000 483,437
*Pegatron Corp....................................... 1,674,345 2,110,956
Phison Electronics Corp............................. 103,000 790,204
Pou Chen Corp....................................... 2,386,487 2,412,580
Powertech Technology, Inc........................... 619,819 961,533
President Chain Store Corp.......................... 535,831 2,648,162
Quanta Computer, Inc................................ 2,120,000 4,838,432
#Radiant Opto-Electronics Corp....................... 351,360 1,459,337
Realtek Semiconductor Corp.......................... 291,000 547,082
#Ruentex Development Co., Ltd........................ 523,000 875,924
Ruentex Industries, Ltd............................. 374,937 844,669
*ScinoPharm Taiwan, Ltd.............................. 214,000 416,740
Senao International Co., Ltd........................ 67,000 217,931
*Shin Kong Financial Holding Co., Ltd................ 6,325,344 1,636,310
#Siliconware Precision Industries Co................. 2,179,324 2,117,715
Siliconware Precision Industries Co. Sponsored ADR.. 60,200 288,960
#Simplo Technology Co., Ltd.......................... 224,000 1,104,790
SinoPac Financial Holdings Co., Ltd................. 6,815,992 2,633,604
Standard Foods Taiwan, Ltd.......................... 212,160 543,157
Synnex Technology International Corp................ 1,019,756 2,155,564
Taishin Financial Holdings Co., Ltd................. 6,602,981 2,358,746
*Taiwan Business Bank................................ 3,452,338 959,542
Taiwan Cement Corp.................................. 2,650,720 3,394,130
Taiwan Cooperative Financial Holding, Ltd........... 4,163,539 2,164,402
Taiwan FamilyMart Co., Ltd.......................... 16,000 76,142
#Taiwan Fertilizer Co., Ltd.......................... 631,000 1,501,720
#Taiwan Glass Industry Corp.......................... 1,136,253 1,085,757
Taiwan Mobile Co., Ltd.............................. 1,340,300 4,675,777
Taiwan Semiconductor Manufacturing Co., Ltd......... 20,007,808 60,964,986
116
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
TAIWAN -- (Continued)
Teco Electric & Machinery Co., Ltd.................. 1,854,000 $ 1,258,807
Transcend Information, Inc.......................... 176,181 442,832
Tripod Technology Corp.............................. 401,870 775,944
TSRC Corp........................................... 450,300 918,615
U-Ming Marine Transport Corp........................ 551,860 836,172
Unimicron Technology Corp........................... 1,378,896 1,408,883
Uni-President Enterprises Corp...................... 3,842,090 6,782,867
United Microelectronics Corp........................ 12,235,000 4,536,671
USI Corp............................................ 573,700 431,612
*Vanguard International Semiconductor Corp........... 517,000 334,910
*Walsin Lihwa Corp................................... 3,329,000 910,147
*Wan Hai Lines Co., Ltd.............................. 953,800 466,264
*Wintek Corp......................................... 1,832,760 723,114
Wistron Corp........................................ 1,837,947 1,763,145
WPG Holdings, Ltd................................... 1,248,869 1,506,330
*Yang Ming Marine Transport Corp..................... 1,741,300 678,982
Yuanta Financial Holding Co., Ltd................... 6,823,577 3,079,254
#Yulon Motor Co., Ltd................................ 879,000 1,530,982
------------
TOTAL TAIWAN........................................... 324,492,469
------------
THAILAND -- (2.6%)
Advance Info Service PCL (Foreign).................. 946,200 6,097,047
Airports of Thailand PCL (Foreign).................. 372,200 995,772
Bangkok Bank PCL (Foreign).......................... 329,000 1,942,871
Bangkok Bank PCL (Foreign) NVDR..................... 435,100 2,512,649
Bangkok Dusit Medical Services PCL (Foreign)........ 428,300 1,488,220
Bangkok Life Assurance PCL (Foreign) NVDR........... 435,800 600,736
Bank of Ayudhya PCL (Foreign)....................... 2,590,200 2,535,269
Banpu PCL (Foreign)................................. 109,250 1,425,775
BEC World PCL (Foreign)............................. 645,300 1,242,176
Big C Supercenter PCL (Foreign)..................... 24,600 152,496
Big C Supercenter PCL (Foreign) NVDR................ 178,400 1,091,354
Bumrungrad Hospital PCL (Foreign)................... 170,800 422,124
Central Pattana PCL (Foreign)....................... 575,600 1,333,364
Charoen Pokphand Foods PCL (Foreign)................ 2,655,800 3,054,387
CP ALL PCL (Foreign)................................ 2,829,000 3,668,931
Electricity Generating PCL (Foreign)................ 149,800 640,254
Glow Energy PCL (Foreign)........................... 309,000 720,832
Home Product Center PCL (Foreign)................... 2,012,280 748,450
IRPC PCL (Foreign).................................. 8,859,600 1,242,946
Kasikornbank PCL (Foreign).......................... 1,146,600 6,733,703
Krung Thai Bank PCL (Foreign)....................... 5,908,587 3,489,247
Land & Houses PCL (Foreign) NVDR.................... 3,235,600 907,868
*Minor International PCL (Foreign)................... 1,073,600 641,007
PTT Exploration & Production PCL (Foreign).......... 865,800 4,689,161
PTT Exploration & Production PCL (Foreign) NVDR..... 54,700 296,254
PTT Global Chemical PCL (Foreign)................... 1,669,872 3,323,399
PTT PCL (Foreign)................................... 794,900 8,247,250
Ratchaburi Electricity Generating Holding PCL
(Foreign)......................................... 521,300 918,440
*Robinson Department Store PCL (Foreign)............. 317,500 629,303
Siam Cement PCL (Foreign) (The)..................... 124,800 1,693,860
Siam Cement PCL (Foreign) NVDR (The)................ 121,400 1,481,357
Siam City Cement PCL (Foreign)...................... 94,913 1,319,182
Siam Commercial Bank PCL (Foreign).................. 984,466 5,171,257
Siam Makro PCL (Foreign)............................ 68,600 1,029,560
*Thai Airways International PCL (Foreign)............ 108,100 81,472
Thai Oil PCL (Foreign).............................. 669,200 1,457,393
Thai Union Frozen Products PCL (Foreign)............ 360,860 847,697
TMB Bank PCL (Foreign).............................. 19,864,000 1,192,488
Total Access Communication PCL (Foreign)............ 214,100 607,723
Total Access Communication PCL (Foreign) NVDR....... 441,400 1,249,313
117
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- --------------
THAILAND -- (Continued)
*True Corp. PCL (Foreign)........................... 4,282,600 $ 712,602
--------------
TOTAL THAILAND........................................ 78,635,189
--------------
TURKEY -- (1.8%)
Akbank T.A.S....................................... 1,366,292 6,592,333
Anadolu Efes Biracilik ve Malt Sanayi A.S.......... 206,111 3,095,828
Arcelik A.S........................................ 223,462 1,476,910
Aselsan Elektronik Sanayi Ve Ticaret A.S........... 84,683 320,451
BIM BirlesikMagazalar A.S.......................... 72,827 3,383,128
Coca-Cola Icecek A.S............................... 45,013 874,636
*Dogan Sirketler Grubu Holding A.S.................. 1 --
*Dogan Yayin Holding A.S............................ 1 --
Enka Insaat ve Sanayi A.S.......................... 308,554 819,441
Eregli Demir ve Celik Fabrikalari T.A.S............ 873,611 1,038,050
Ford Otomotiv Sanayi A.S........................... 74,222 761,340
KOC Holding A.S. Series B.......................... 789,123 3,707,446
Koza Altin Isletmeleri A.S......................... 33,500 729,926
*Migros Ticaret A.S................................. 33,309 353,898
Petkim Petrokimya Holding A.S...................... 380,618 435,367
TAV Havalimanlari Holding A.S...................... 122,935 610,558
Tekfen Holding A.S................................. 190,435 689,096
Tofas Turk Otomobil Fabrikasi A.S.................. 97,163 542,427
Tupras Turkiye Petrol Rafinerileri A.S............. 120,082 2,936,974
*Turk Hava Yollari A.S.............................. 924,662 2,141,806
Turk Telekomunikasyon A.S.......................... 375,345 1,467,147
*Turkcell Iletisim Hizmetleri A.S................... 426,492 2,605,681
*Turkcell Iletisim Hizmetleri A.S. ADR.............. 73,838 1,121,599
Turkiye Garanti Bankasi A.S........................ 1,830,798 8,747,483
Turkiye Halk Bankasi A.S........................... 234,311 2,067,215
Turkiye Is Bankasi A.S............................. 1,484,267 5,053,928
Turkiye Sise ve Cam Fabrikalari A.S................ 679,332 993,163
Turkiye Vakiflar Bankasi T.A.O..................... 719,719 1,695,303
Ulker Biskuvi Sanayi A.S........................... 1,859 8,434
*Yapi ve Kredi Bankasi A.S.......................... 764,565 1,963,849
--------------
TOTAL TURKEY.......................................... 56,233,417
--------------
TOTAL COMMON STOCKS................................... 2,699,693,163
--------------
PREFERRED STOCKS -- (6.4%)
BRAZIL -- (6.2%)
AES Tiete SA....................................... 71,898 816,665
Banco Bradesco SA.................................. 1,656,632 26,100,896
Banco do Estado do Rio Grande do Sul SA............ 155,700 1,230,391
Braskem SA Preferred Series A...................... 73,800 487,628
#Braskem SA Sponsored ADR........................... 153,394 2,006,394
Centrais Eletricas Brasileiras SA Preferred
Series B........................................ 72,700 578,078
#Cia Brasileira de Distribuicao Grupo Pao de Acucar
Series A Sponsored ADR............................ 95,430 4,460,398
Cia de Bebidas das Americas SA..................... 415 16,959
Cia de Bebidas das Americas SA ADR................. 622,039 25,372,971
Cia de Transmissao de Energia Eletrica Paulista SA
Series A......................................... 30,889 495,033
Cia Energetica de Minas Gerais SA.................. 364,776 4,364,276
Cia Energetica de Sao Paulo SA Preferred Series B.. 117,010 1,051,393
Cia Paranaense de Energia SA Series B.............. 16,600 245,193
Cia Paranaense de Energia SA Sponsored ADR
Series A........................................ 55,300 816,228
Empresa Nasional de Comercio Redito e
Participacoes SA................................. 380 7,669
Gerdau SA.......................................... 836,068 7,306,667
Gerdau SA Sponsored ADR............................ 9,025 79,330
Itau Unibanco Holding SA........................... 1,765,700 25,819,793
Itau Unibanco Holding SA ADR....................... 153,946 2,244,533
Klabin SA.......................................... 663,777 3,898,899
Lojas Americanas SA................................ 304,167 2,545,894
Oi SA.............................................. 463,558 1,857,840
118
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
----------- --------------
BRAZIL -- (Continued)
Petroleo Brasileiro SA......................... 106,500 $ 1,090,667
Petroleo Brasilerio SA ADR..................... 1,711,000 35,126,830
Telefonica Brasil SA........................... 232,784 5,157,569
Ultrapar Participacoes SA Sponsored ADR........ 254,308 5,297,236
Usinas Siderurgicas de Minas Gerais SA
Perferred Series A........................... 609,817 2,945,425
Vale SA (2257127).............................. 1,412,691 25,283,138
*Vale SA (B011X91).............................. 81,160 3,556
#Vale SA Sponsored ADR.......................... 265,000 4,714,350
--------------
TOTAL BRAZIL...................................... 191,421,899
--------------
CHILE -- (0.2%)
*Embotelladora Andina SA Preferred Series B..... 9,255 58,504
Sociedad Quimica y Minera de Chile SA
Sponsored ADR................................ 91,271 5,280,027
--------------
TOTAL CHILE....................................... 5,338,531
--------------
COLOMBIA -- (0.0%)
*Banco Davivienda SA............................ 18,546 229,222
Grupo Aval Acciones y Valores.................. 84,928 60,273
Grupo de Inversiones Suramericana SA........... 3,000 61,449
--------------
TOTAL COLOMBIA.................................... 350,944
--------------
TOTAL PREFERRED STOCKS............................ 197,111,374
--------------
RIGHTS/WARRANTS -- (0.0%)
SOUTH AFRICA -- (0.0%)
*Capitec Bank Holdings, Ltd. Rights 11/09/12.... 3,531 13,007
--------------
SHARES/
FACE
AMOUNT
(000) VALUE+
----------- --------------
SECURITIES LENDING COLLATERAL -- (5.7%)
(S)@DFA Short Term Investment Fund................ 15,125,324 175,000,000
@Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.35%, 11/01/12
(Collateralized by FNMA 4.000%, 05/01/42 &
5.000%, 01/01/39, valued at $450,637) to be
repurchased at $441,806...................... $ 442 441,801
--------------
TOTAL SECURITIES LENDING COLLATERAL............... 175,441,801
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,006,449,577)........................... $3,072,259,345
==============
119
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
SHARES VALUE++
--------- -----------
COMMON STOCKS -- (89.1%)
ARGENTINA -- (0.0%)
*Celulosa Argentina SA Series B........................ 1 $ --
Ferrum SA de Ceramica y Metalurgia.................... 1 --
-----------
TOTAL ARGENTINA.......................................... --
-----------
BRAZIL -- (8.9%)
*Abril Educacao SA..................................... 19,500 352,355
Aliansce Shopping Centers SA.......................... 426,543 4,851,256
All America Latina Logistica SA....................... 1,296,400 5,897,805
Alpargatas SA......................................... 109,040 797,245
Amil Participacoes SA................................. 125,108 1,881,810
Anhanguera Educacional Participacoes SA............... 613,145 10,747,132
Arezzo Industria e Comercio SA........................ 250,128 4,464,262
Autometal SA.......................................... 179,179 1,499,738
*B2W Cia Global Do Varejo SA........................... 449,260 2,185,416
Banco Alfa de Investimento SA......................... 500 1,356
Banco Mercantil do Brasil SA.......................... 1,327 10,388
Bematech SA........................................... 115,900 276,761
*BHG SA - Brazil Hospitality Group..................... 12,400 122,715
Brasil Brokers Participacoes SA....................... 701,711 1,969,303
*BrasilAgro - Companhia Brasileira de Propriedades
Agricolas SA......................................... 11,500 52,374
Brookfield Incorporacoes SA........................... 1,161,112 2,029,466
*Brookfield Incorporacoes SA Receipt................... 337,902 593,934
*CCX Carvao da Colombia SA............................. 112,241 121,578
CETIP SA - Mercados Organizados....................... 307,059 3,537,668
Cia de Saneamento de Minas Gerais-Copasa SA........... 298,421 7,043,796
Cia Hering SA......................................... 340,090 7,813,003
Cia Providencia Industria e Comercio SA............... 57,050 227,239
Contax Participacoes SA............................... 1,400 16,888
CR2 Empreendimentos Imobiliarios SA................... 9,400 22,539
Cremer SA............................................. 92,646 637,695
CSU Cardsystem SA..................................... 74,700 155,575
Cyrela Brazil Realty SA Empreendimentos e
Participacoes....................................... 123,033 1,043,120
Cyrela Commercial Properties SA Empreendimentos e
Participacoes....................................... 44,500 578,201
Diagnosticos da America SA............................ 1,189,841 7,908,645
Direcional Engenharia SA.............................. 222,809 1,333,969
Duratex SA............................................ 1,087,562 7,566,161
Energias do Brazil SA................................. 1,190,706 7,445,393
Equatorial Energia SA................................. 335,068 2,969,510
Estacio Participacoes SA.............................. 396,371 7,552,526
Eternit SA............................................ 411,589 1,702,246
Even Construtora e Incorporadora SA................... 992,867 3,959,638
EZ Tec Empreendimentos e Participacoes SA............. 254,258 3,342,453
*Fertilizantes Heringer SA............................. 115,300 630,700
Fleury SA............................................. 269,251 3,167,035
Forjas Taurus SA...................................... 35,969 56,494
*Gafisa SA............................................. 835,900 1,535,121
*Gafisa SA ADR......................................... 1,003,681 3,683,509
*General Shopping Brasil SA............................ 111,117 585,388
#*Gol Linhas Aereas Inteligentes SA ADR................. 398,527 1,988,650
Grendene SA........................................... 445,334 3,365,686
Guararapes Confeccoes SA.............................. 28,700 1,695,675
Helbor Empreendimentos SA............................. 654,272 3,688,444
*IdeiasNet SA.......................................... 216,400 207,764
Iguatemi Empresa de Shopping Centers SA............... 313,800 3,986,135
*Industrias Romi SA.................................... 91,400 240,307
*Inepar SA Industria e Construcoes..................... 20,840 19,701
International Meal Co. Holdings SA.................... 163,073 1,678,061
Iochpe-Maxion SA...................................... 350,208 4,293,434
120
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
BRAZIL -- (Continued)
JHSF Participacoes SA.................................. 456,747 $1,983,461
Joao Fortes Engenharia SA.............................. 49,455 172,881
JSL SA................................................. 364,000 2,114,768
*Kepler Weber SA........................................ 64,046 318,803
*Kroton Educacional SA Common Shares.................... 16,713 49,249
*Kroton Educacional SA Unit Shares...................... 367,679 7,349,778
Light SA............................................... 388,907 4,183,855
*LLX Logistica SA....................................... 179,225 200,311
Localiza Rent a Car SA................................. 397,002 6,958,603
*Log-in Logistica Intermodal SA......................... 137,550 406,342
Lojas Renner SA........................................ 70,200 2,599,168
LPS Brasil Consultoria de Imoveis SA................... 166,970 2,869,084
*Lupatech SA............................................ 41,000 52,081
*M. Dias Branco SA...................................... 164,941 5,538,503
Magnesita Refratarios SA............................... 876,704 3,271,912
Mahle-Metal Leve SA Industria e Comercio............... 262,900 3,312,381
Marcopolo SA........................................... 13,500 67,664
*Marfrig Alimentos SA................................... 746,307 3,858,213
Marisa Lojas SA........................................ 228,464 3,353,198
*Metalfrio Solutions SA................................. 13,600 29,797
Mills Estruturas e Servicos de Engenharia SA........... 380,526 5,834,214
Minerva SA............................................. 246,358 1,334,255
*MMX Mineracao e Metalicos SA........................... 1,308,574 2,590,024
*MPX Energia SA......................................... 336,723 1,778,901
MRV Engenharia e Participacoes SA...................... 1,595,833 8,092,898
Multiplan Empreendimentos Imobiliarios SA.............. 21,046 616,547
*Multiplus SA........................................... 174,784 4,060,982
Obrascon Huarte Lain Brasil SA......................... 430,500 4,048,423
OdontoPrev SA.......................................... 1,315,743 6,802,049
*OSX Brasil SA.......................................... 325,250 1,833,590
*Paranapanema SA........................................ 914,800 1,535,889
PDG Realty SA Empreendimentos e Participacoes.......... 4,452,753 7,497,804
Plascar Participacoes Industriais SA................... 141,200 55,617
Porto Seguro SA........................................ 306,400 3,258,531
*Positivo Informatica SA................................ 125,500 325,019
Profarma Distribuidora de Produtos Farmaceuticos SA.... 43,500 311,839
*QGEP Participacoes SA.................................. 445,994 2,758,024
Raia Drogasil SA....................................... 652,675 7,182,140
Redentor Energia SA.................................... 11,500 42,183
*Refinaria de Petroleos Manguinhos SA................... 1,088,589 182,231
Restoque Comercio e Confeccoes de Roupas SA............ 443,587 1,891,368
Rodobens Negocios Imobiliarios SA...................... 53,646 338,086
Rossi Residencial SA................................... 760,790 1,599,455
Santos Brasil Participacoes SA......................... 224,488 3,227,419
Sao Carlos Empreendimentos e Participacoes SA.......... 47,859 1,074,504
Sao Martinho SA........................................ 263,664 3,294,745
SLC Agricola SA........................................ 260,653 2,489,682
Sonae Sierra Brasil SA................................. 153,346 2,567,029
*Springs Global Participacoes SA........................ 94,700 125,891
Sul America SA......................................... 872,609 6,874,147
*T4F Entretenimento SA.................................. 52,800 298,959
*Technos SA............................................. 24,400 283,518
Tecnisa SA............................................. 513,831 2,125,098
Tegma Gestao Logistica SA.............................. 128,835 2,220,145
*Tempo Participacoes SA................................. 260,902 475,290
Tereos Internacional SA................................ 227,483 306,887
*Terna Participacoes SA................................. 5,300 174,836
Totvs SA............................................... 453,100 9,213,476
*Trisul SA.............................................. 2,838 3,395
Triunfo Participacoes e Investimentos SA............... 91,196 500,645
Valid Solucoes e Servicos de Seguranca em Meios de
Pagamento e Identificacao SA......................... 250,350 4,712,282
121
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ------------
BRAZIL -- (Continued)
*Vanguarda Agro SA................................... 4,496,967 $ 774,938
*Via Varejo SA....................................... 55,603 499,621
*Viver Incorporadora e Construtora SA................ 673,040 407,592
------------
TOTAL BRAZIL........................................... 287,843,483
------------
CHILE -- (1.4%)
AFP Cuprum SA....................................... 1,398 109,829
Almendral SA........................................ 283,561 42,709
*AquaChile SA........................................ 31,819 22,745
*Azul Azul SA........................................ 3,811 11,089
Banmedica SA........................................ 1,312,094 2,863,346
Besalco SA.......................................... 1,578,222 2,872,945
*Cementos Bio-Bio SA................................. 452,622 620,868
Cia General de Electricidad SA...................... 110,134 567,666
Cintac SA........................................... 324,650 141,695
*Coca-Cola Embonor SA Series B....................... 8,190 21,699
*Compania Sud Americana de Vapores SA................ 23,585,920 2,254,915
Corpbanca SA........................................ 64,675,782 846,572
Cristalerias de Chile SA............................ 156,836 1,245,170
*Cruz Blanca Salud SA................................ 40,160 52,567
Empresa Electrica Pilmaiquen SA..................... 46,897 185,190
Empresas Hites SA................................... 484,341 377,990
Empresas Iansa SA................................... 12,263,867 955,825
*Empresas La Polar SA................................ 214,214 102,443
*Enjoy SA............................................ 2,450 553
Forus SA............................................ 202,573 1,103,068
Gasco SA............................................ 76,599 573,119
Grupo Security SA................................... 429,864 156,347
Inversiones Aguas Metropolitanas SA................. 1,830,555 3,405,064
*Latam Airlines Group SA............................. 122,220 2,978,701
#Latam Airlines Group SA Sponsored ADR............... 34,290 850,049
Madeco SA........................................... 27,288,748 983,450
Masisa SA........................................... 6,347,820 686,037
Molibdenos y Metales SA............................. 5,009 86,407
Multiexport Foods SA................................ 1,994,554 476,720
Parque Arauco SA.................................... 2,533,043 5,780,487
PAZ Corp. SA........................................ 518,992 327,532
Ripley Corp. SA..................................... 2,114,283 1,994,980
Salfacorp SA........................................ 996,276 2,352,218
Sigdo Koppers SA.................................... 658,257 1,580,145
*Sociedad Matriz SAAM SA............................. 4,636,827 542,079
Socovesa SA......................................... 1,768,010 929,661
Sonda SA............................................ 725,744 2,220,446
Soquimic Comercial SA............................... 562,478 137,945
Vina Concha Y Toro SA............................... 2,220,094 4,488,313
Vina Concha Y Toro SA Sponsored ADR................. 1,725 69,690
Vina San Pedro Tarapaca SA.......................... 40,093,814 244,154
------------
TOTAL CHILE............................................ 45,262,428
------------
CHINA -- (14.1%)
#361 Degrees International, Ltd...................... 2,971,000 852,029
#Ajisen China Holdings, Ltd.......................... 2,292,000 1,571,372
AMVIG Holdings, Ltd................................. 1,934,000 572,826
Anhui Expressway Co., Ltd. Series H................. 2,418,000 1,158,759
#Anta Sports Products, Ltd........................... 3,773,000 3,211,669
Anton Oilfield Services Group....................... 4,904,000 1,476,202
Anxin-China Holdings, Ltd........................... 8,479,000 1,875,717
*Apollo Solar Energy Technology Holdings, Ltd........ 22,080,000 591,134
Asia Cement China Holdings Corp..................... 2,176,500 923,007
*Asia Energy Logistics Group, Ltd.................... 26,160,000 360,001
Asian Citrus Holdings, Ltd.......................... 2,927,000 1,635,150
122
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ----------
CHINA -- (Continued)
*Ausnutria Dairy Corp., Ltd............................ 365,000 $ 68,761
AviChina Industry & Technology Co., Ltd. Series H..... 7,662,788 3,146,166
Baoye Group Co., Ltd. Series H........................ 1,860,000 949,470
#*BaWang International Group Holding, Ltd............... 5,190,000 473,113
Beijing Capital International Airport Co., Ltd.
Series H............................................ 6,690,000 4,292,322
Beijing Capital Land, Ltd. Series H................... 6,142,500 1,831,837
*Beijing Development HK, Ltd........................... 548,000 100,898
#Beijing Enterprises Water Group, Ltd.................. 12,179,660 2,770,829
Beijing Jingkelong Co., Ltd. Series H................. 558,749 324,254
Beijing North Star Co., Ltd. Series H................. 2,190,000 452,235
*Beijing Properties Holdings, Ltd...................... 4,615,061 169,279
*Besunyen Holdings Co., Ltd............................ 2,476,000 191,149
#Billion Industrial Holdings, Ltd...................... 185,500 96,567
#Biostime International Holdings, Ltd.................. 593,000 1,518,409
Boer Power Holdings, Ltd.............................. 985,000 354,028
Bosideng International Holdings, Ltd.................. 11,860,000 3,764,196
BYD Electronic International Co., Ltd................. 3,864,815 819,671
C C Land Holdings, Ltd................................ 6,224,343 1,417,090
#C.P. Pokphand Co., Ltd................................ 16,580,594 1,964,815
*Carnival Group International Holdings, Ltd............ 2,058,000 94,379
Catic Shenzhen Holdings, Ltd. Series H................ 310,000 113,507
Central China Real Estate, Ltd........................ 2,591,626 627,006
*CGN Mining Co., Ltd................................... 5,265,000 548,241
Changshouhua Food Co., Ltd............................ 1,493,000 767,975
#*Chaoda Modern Agriculture Holdings, Ltd............... 6,771,138 155,735
#Chaowei Power Holdings, Ltd........................... 1,786,000 966,184
#*Chigo Holding, Ltd.................................... 18,886,000 466,120
*Chiho-Tiande Group, Ltd............................... 114,000 56,360
China Aerospace International Holdings, Ltd........... 9,854,500 784,578
China Agri-Industries Holdings, Ltd................... 6,806,000 4,259,085
#China All Access Holdings, Ltd........................ 2,474,000 471,294
China Aoyuan Property Group, Ltd...................... 3,092,000 425,885
China Automation Group, Ltd........................... 2,529,000 598,170
China BlueChemical, Ltd. Series H..................... 674,000 426,435
*China Chengtong Development Group, Ltd................ 2,298,000 86,207
China Communications Services Corp., Ltd. Series H.... 1,567,200 876,611
*China Datang Corp Renewable Power Co., Ltd. Class H... 2,070,000 225,830
#China Dongxiang Group Co., Ltd........................ 13,246,985 1,651,154
*China Energine International Holdings, Ltd............ 208,000 8,422
#China Everbright International, Ltd................... 8,414,800 4,316,194
China Everbright, Ltd................................. 3,480,000 5,045,389
*China Fiber Optic Network System Group, Ltd........... 1,500,000 257,347
#China Foods, Ltd...................................... 3,088,000 3,120,605
China Gas Holdings, Ltd............................... 9,067,500 4,938,540
China Glass Holdings, Ltd............................. 3,396,000 470,006
*China Grand Forestry Green Resources Group, Ltd....... 362,987 26,167
#*China Green Holdings, Ltd............................. 2,820,000 619,612
China Haidian Holdings, Ltd........................... 6,936,000 749,216
#China High Precision Automation Group, Ltd............ 1,289,000 206,239
#*China High Speed Transmission Equipment Group
Co., Ltd............................................ 5,250,000 1,791,194
*China Hongqiao Group, Ltd............................. 162,500 75,077
*China Huiyuan Juice Group, Ltd........................ 2,643,500 833,688
*China ITS Holdings Co., Ltd........................... 3,756,000 588,287
China Liansu Group Holdings, Ltd...................... 3,469,000 2,033,371
#China Lilang, Ltd..................................... 1,751,000 994,256
#China Lumena New Materials Corp....................... 14,530,000 2,944,087
#China Medical System Holdings, Ltd.................... 4,204,500 2,424,908
#China Metal Recycling Holdings, Ltd................... 2,401,686 2,392,083
*China Mining Resources Group, Ltd..................... 25,526,000 372,183
*China Mobile Games & Entertainment Group, Ltd......... 6,575 39,450
#*China Modern Dairy Holdings, Ltd...................... 2,411,000 623,925
123
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ----------
CHINA -- (Continued)
#*China Molybdenum Co., Ltd. Series H................... 5,059,000 $2,150,319
#China National Materials Co., Ltd. Series H........... 5,054,000 1,567,335
*China New Town Development Co., Ltd................... 6,403,148 243,704
China Nickel Resources Holdings Co., Ltd.............. 358,000 28,530
*China Oil & Gas Group, Ltd............................ 15,940,000 1,905,932
China Oriental Group Co., Ltd......................... 10,000 2,168
China Overseas Grand Oceans Group, Ltd................ 3,221,500 3,352,478
*China Pharmaceutical Group, Ltd....................... 3,869,877 1,126,058
#China Power International Development, Ltd............ 6,913,000 1,869,053
*China Power New Energy Development Co., Ltd........... 19,520,000 788,816
#*China Precious Metal Resources Holdings Co., Ltd...... 11,262,318 2,177,869
*China Properties Group, Ltd........................... 2,248,000 695,979
*China Qinfa Group, Ltd................................ 3,446,000 517,508
#China Rare Earth Holdings, Ltd........................ 5,968,000 1,356,548
China Resources Gas Group, Ltd........................ 208,000 462,176
#China Rongsheng Heavy Industries Group Holdings, Ltd.. 15,329,000 3,260,946
China Sanjiang Fine Chemicals Co., Ltd................ 2,284,000 734,485
China SCE Property Holdings, Ltd...................... 1,838,000 424,394
China Shanshui Cement Group, Ltd...................... 7,297,000 5,389,107
#China Shineway Pharmaceutical Group, Ltd.............. 1,353,200 2,142,792
#China Shipping Development Co., Ltd. Series H......... 8,656,000 4,533,040
China Singyes Solar Technologies Holdings, Ltd........ 1,875,200 1,105,719
#China South City Holdings, Ltd........................ 7,994,000 1,264,875
China Starch Holdings, Ltd............................ 6,190,000 183,874
China State Construction International Holdings, Ltd.. 54,960 65,075
China Sunshine Paper Holdings Co., Ltd................ 119,078 13,485
China Suntien Green Energy Corp., Ltd. Series H....... 5,846,000 1,187,915
*China Taiping Insurance Holdings Co., Ltd............. 1,588,800 2,705,286
*China Tian Lun Gas Holdings, Ltd...................... 288,000 114,515
*China Tianyi Holdings, Ltd............................ 992,000 143,105
China Tontine Wines Group, Ltd........................ 4,536,000 466,745
China Travel International Investment Hong Kong, Ltd.. 14,349,900 2,767,456
#China Vanadium Titano - Magnetite Mining Co., Ltd..... 5,311,000 1,014,917
#China Water Affairs Group, Ltd........................ 5,186,000 1,362,768
China Wireless Technologies, Ltd...................... 5,732,000 1,662,568
#*China Yurun Food Group, Ltd........................... 5,792,000 4,225,390
#*China ZhengTong Auto Services Holdings, Ltd........... 3,593,000 2,420,988
#*China Zhongwang Holdings, Ltd......................... 6,138,000 2,445,098
*Chinasoft International, Ltd.......................... 3,230,000 788,951
*ChinaVision Media Group, Ltd.......................... 320,000 11,544
#*Chongqing Iron & Steel Co., Ltd. Series H............. 2,253,400 353,047
Chongqing Machinery & Electric Co., Ltd. Series H..... 5,334,000 807,568
Chu Kong Petroleum & Natural Gas Steel Pipe
Holdings, Ltd...................................... 2,254,000 914,802
#CIMC Enric Holdings, Ltd.............................. 1,482,000 1,074,598
#*Citic 21CN Co., Ltd................................... 6,319,200 389,932
*Citic Resources Holdings, Ltd......................... 11,586,600 1,768,973
Clear Media, Ltd...................................... 79,000 40,741
*Coastal Greenland, Ltd................................ 1,384,000 58,798
#*Comba Telecom Systems Holdings, Ltd................... 3,895,577 1,515,628
*Comtec Solar Systems Group, Ltd....................... 1,198,000 139,774
COSCO International Holdings, Ltd..................... 2,703,000 1,091,838
#CPMC Holdings, Ltd.................................... 1,131,000 796,586
Da Ming International Holdings, Ltd................... 20,000 3,049
DaChan Food Asia, Ltd................................. 1,537,955 218,025
Dah Chong Hong Holdings, Ltd.......................... 3,360,000 3,159,924
Dalian Port (PDA) Co., Ltd. Series H.................. 3,822,000 841,120
#Daphne International Holdings, Ltd.................... 4,032,000 4,844,838
#*Daqing Dairy Holdings, Ltd............................ 922,000 --
Dawnrays Pharmaceutical Holdings, Ltd................. 1,182,943 250,080
#DBA Telecommunication Asia Holdings, Ltd.............. 2,060,000 1,123,115
Digital China Holdings, Ltd........................... 2,997,800 5,017,516
124
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ----------
CHINA -- (Continued)
#Dongiang Environmental Co., Ltd. Series H........... 67,600 $ 270,210
#Dongyue Group Co., Ltd.............................. 4,539,000 2,582,100
#*Dynasty Fine Wines Group, Ltd....................... 1,580,000 260,220
Embry Holdings, Ltd................................. 473,000 224,594
ENN Energy Holdings, Ltd............................ 158,000 656,138
Evergreen International Holdings, Ltd............... 1,172,000 234,982
*Extrawell Pharmaceutical Holdings, Ltd.............. 7,297,921 436,615
Fantasia Holdings Group Co., Ltd.................... 5,347,500 528,288
*First Tractor Co., Ltd. Series H.................... 3,351,176 2,783,156
#Franshion Properties China, Ltd..................... 13,062,300 3,977,093
#Fufeng Group, Ltd................................... 3,282,000 1,245,394
#GCL-Poly Energy Holdings, Ltd....................... 28,403,000 5,020,913
#Geely Automobile Holdings, Ltd...................... 17,610,000 7,552,943
Global Bio-Chem Technology Group Co., Ltd........... 9,198,800 1,063,814
*Global Sweeteners Holdings, Ltd..................... 1,202,951 83,616
*Glorious Property Holdings, Ltd..................... 11,403,501 1,772,703
*Goldbond Group Holdings, Ltd........................ 210,000 7,834
#Golden Meditech Holdings, Ltd....................... 3,708,000 439,026
Goldlion Holdings, Ltd.............................. 910,962 414,335
*GOME Electrical Appliances Holding, Ltd............. 42,920,000 4,458,118
Good Friend International Holdings, Inc............. 436,667 152,806
*Goodbaby International Holdings, Ltd................ 666,000 220,643
*Goodtop Tin International Holdings, Ltd............. 7,020,000 361,105
Great Wall Technology Co., Ltd. Series H............ 1,758,950 313,821
Greatview Aseptic Packaging Co., Ltd................ 456,000 238,510
#Greentown China Holdings, Ltd....................... 2,464,648 3,027,915
#Guangzhou Pharmaceutical Co., Ltd. Series H......... 834,000 1,615,564
#*Guangzhou Shipyard International Co., Ltd.
Series H.......................................... 773,400 577,633
*Haier Electronics Group Co., Ltd.................... 2,450,000 3,119,914
Hainan Meilan International Airport Co., Ltd.
Series H.......................................... 517,000 322,331
Haitian International Holdings, Ltd................. 2,059,000 2,537,170
Harbin Electric Co., Ltd. Series H.................. 2,973,413 2,447,302
Henderson Investment, Ltd........................... 596,000 46,002
*Heng Tai Consumables Group, Ltd..................... 20,348,193 429,372
#Hengdeli Holdings, Ltd.............................. 10,114,000 3,149,970
#*Hi Sun Technology, Ltd.............................. 4,446,000 457,672
#Hidili Industry International Development, Ltd...... 5,439,000 1,373,710
*Hilong Holding, Ltd................................. 447,000 121,833
*Hisense Kelon Electrical Holdings Co., Ltd.
Series H.......................................... 1,079,000 345,302
HKC Holdings, Ltd................................... 17,896,447 714,100
Hong Kong Resources Holdings Co., Ltd............... 357,450 13,806
Honghua Group, Ltd.................................. 5,221,000 1,213,906
Hopefluent Group Holdings, Ltd...................... 59,670 17,076
#Hopewell Highway Infrastructure, Ltd................ 2,974,000 1,581,821
#*Hopson Development Holdings, Ltd.................... 3,476,000 3,355,276
Hua Han Bio-Pharmaceutical Holdings, Ltd............ 6,179,360 1,423,684
#Huabao International Holdings, Ltd.................. 7,816,014 3,880,076
*Huadian Power International Corp. Series H.......... 34,000 8,606
#*Hunan Nonferrous Metal Corp., Ltd. Series H......... 8,774,000 2,594,935
*Huscoke Resources Holdings, Ltd..................... 8,002,000 81,293
Hutchison Harbour Ring, Ltd......................... 6,888,000 584,784
Inspur International, Ltd........................... 8,685,000 279,141
*Interchina Holdings Co., Ltd........................ 18,175,000 1,156,910
International Taifeng Holdings, Ltd................. 1,238,000 375,314
#Intime Department Store Group Co., Ltd.............. 4,317,500 5,070,704
#*Jinchuan Group International Resources Co., Ltd..... 2,837,000 546,916
Jingwei Textile Machinery Co., Ltd. Series H........ 1,272,000 678,352
Ju Teng International Holdings, Ltd................. 3,458,000 1,377,956
*Kai Yuan Holdings, Ltd.............................. 10,460,000 283,058
#*Kaisa Group Holdings, Ltd........................... 6,868,000 1,280,353
*Kasen International Holdings, Ltd................... 222,000 42,893
125
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ----------
CHINA -- (Continued)
Kingboard Chemical Holdings, Ltd...................... 2,516,851 $7,467,568
Kingboard Laminates Holdings, Ltd..................... 4,029,000 1,710,850
#*Kingdee International Software Group Co., Ltd......... 7,499,200 1,549,237
#Kingsoft Corp., Ltd................................... 3,169,000 1,828,542
Kingway Brewery Holdings, Ltd......................... 4,396,800 1,558,101
KWG Property Holding, Ltd............................. 5,039,450 2,977,621
Lai Fung Holdings, Ltd................................ 20,284,440 423,552
Le Saunda Holdings, Ltd............................... 954,000 280,140
Lee & Man Paper Manufacturing, Ltd.................... 7,404,000 3,867,258
Leoch International Technology, Ltd................... 10,000 1,570
#*Li Ning Co., Ltd...................................... 3,169,000 1,675,155
#Lianhua Supermarket Holdings Co., Ltd. Series H....... 1,698,600 1,370,899
#Lijun International Pharmaceutical Holding, Ltd....... 6,948,000 1,879,762
Lingbao Gold Co., Ltd. Series H....................... 1,424,000 627,143
LK Technology Holdings, Ltd........................... 837,500 142,296
#Lonking Holdings, Ltd................................. 8,937,000 2,082,390
*Loudong General Nice Resources China Holdings, Ltd.... 7,842,140 338,505
#*Maanshan Iron & Steel Co., Ltd. Series H.............. 7,620,000 1,962,310
Magic Holdings International, Ltd..................... 1,839,600 702,351
Maoye International Holdings, Ltd..................... 5,860,000 1,172,793
Microport Scientific Corp............................. 1,532,000 787,888
*MIE Holdings Corp..................................... 3,438,000 939,063
Min Xin Holdings, Ltd................................. 418,000 229,232
#Mingfa Group International Co., Ltd................... 4,638,000 1,312,154
*Mingyuan Medicare Development Co., Ltd................ 6,700,000 136,252
Minmetals Land, Ltd................................... 5,220,000 697,025
Minth Group, Ltd...................................... 1,959,000 1,978,906
#*MMG, Ltd.............................................. 6,030,000 2,381,845
*Nam Fong International Holdings, Ltd.................. 306,758 40,016
*Nan Hai Corp, Ltd..................................... 9,800,000 39,124
Nanjing Panda Electronics Co., Ltd. Series H.......... 246,000 57,068
NetDragon Websoft, Inc................................ 320,044 341,451
#New World Department Store China, Ltd................. 2,044,462 1,222,948
#Nine Dragons Paper Holdings, Ltd...................... 6,497,000 4,519,633
*North Mining Shares Co., Ltd.......................... 12,790,000 717,224
#NVC Lighting Holdings, Ltd............................ 5,410,000 1,425,917
#O-Net Communications Group, Ltd....................... 1,308,000 344,048
Overseas Chinese Town Asia Holdings, Ltd.............. 408,183 149,135
Pacific Online, Ltd................................... 711,365 223,588
#Parkson Retail Group, Ltd............................. 328,000 276,567
*PAX Global Technology, Ltd............................ 187,000 33,708
PCD Stores Group, Ltd................................. 11,880,000 1,113,863
#Peak Sport Products Co., Ltd.......................... 3,086,000 586,799
*PetroAsian Energy Holdings, Ltd....................... 3,192,000 66,089
#Phoenix Satellite Television Holdings, Ltd............ 4,376,000 1,387,821
#*Poly Property Group Co., Ltd.......................... 8,436,000 5,055,704
#Ports Design, Ltd..................................... 1,584,000 1,125,125
*Pou Sheng International Holdings, Ltd................. 4,121,806 262,734
Powerlong Real Estate Holdings, Ltd................... 5,149,000 865,843
*Prosperity International Holdings HK, Ltd............. 5,020,000 255,856
Qingling Motors Co., Ltd. Series H.................... 1,694,000 407,476
Qunxing Paper Holdings Co., Ltd....................... 669,913 174,597
#Real Gold Mining, Ltd................................. 300,500 341,598
#Real Nutriceutical Group, Ltd......................... 3,324,000 1,182,343
Regent Manner International Holdings, Ltd............. 2,667,000 555,435
#*Renhe Commercial Holdings Co., Ltd.................... 47,532,000 2,007,992
REXLot Holdings, Ltd.................................. 32,950,000 2,417,501
*Richly Field China Development, Ltd................... 6,980,000 79,256
Road King Infrastructure, Ltd......................... 1,083,000 752,943
Royale Furniture Holdings, Ltd........................ 1,909,000 159,339
Samson Holding, Ltd................................... 1,122,000 160,307
126
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ----------
CHINA -- (Continued)
#Sany Heavy Equipment International Holdings
Co., Ltd........................................... 3,577,000 $1,870,485
Sateri Holdings, Ltd................................. 71,000 15,688
*Semiconductor Manufacturing International Corp....... 94,444,000 3,691,157
#Shandong Chenming Paper Holdings, Ltd. Series H...... 1,308,000 483,849
Shandong Molong Petroleum Machinery Co., Ltd.
Series H.......................................... 1,516,562 526,874
*Shanghai Industrial Urban Development Group, Ltd..... 6,750,000 1,125,687
#Shanghai Jin Jiang International Hotels Group Co.,
Ltd. Series H....................................... 4,088,000 631,375
Shanghai Prime Machinery Co., Ltd. Series H.......... 4,298,000 608,055
*Shanghai Zendai Property, Ltd........................ 7,225,000 118,141
Shengli Oil & Gas Pipe Holdings, Ltd................. 5,022,000 458,152
Shenguan Holdings Group, Ltd......................... 4,596,000 2,527,052
Shenzhen Expressway Co., Ltd. Series H............... 3,068,400 1,160,998
Shenzhen International Holdings, Ltd................. 42,879,300 3,586,911
Shenzhen Investment, Ltd............................. 11,974,000 3,182,049
Shenzhou International Group, Ltd.................... 1,910,000 3,713,315
*Shougang Concord Century Holdings, Ltd............... 1,137,153 41,702
#*Shougang Concord International Enterprises Co., Ltd.. 22,396,000 1,193,398
#Shougang Fushan Resources Group, Ltd................. 12,800,000 4,453,622
#Shui On Land, Ltd.................................... 12,783,483 5,386,371
Sichuan Expressway Co., Ltd. Series H................ 3,736,000 1,211,867
#Sihuan Pharmaceutical Holdings Group, Ltd............ 8,615,000 3,358,096
Sijia Group Co., Ltd................................. 1,076,350 221,700
#Silver Base Group Holdings, Ltd...................... 2,108,424 894,196
Silver Grant International Industries, Ltd........... 5,220,000 919,752
*SIM Technology Group, Ltd............................ 340,000 15,292
Sino Biopharmaceutical, Ltd.......................... 13,536,000 5,403,981
*Sino Dragon New Energy Holdings, Ltd................. 5,056,000 119,277
#*Sino Oil & Gas Holdings, Ltd......................... 35,607,766 687,559
*Sino Prosper State Gold Resources Holdings, Ltd...... 2,110,000 95,290
Sinofert Holdings, Ltd............................... 10,033,327 2,112,648
*Sinolink Worldwide Holdings, Ltd..................... 10,218,800 747,204
SinoMedia Holding, Ltd............................... 742,000 361,568
#Sino-Ocean Land Holdings, Ltd........................ 12,181,591 7,613,061
#Sinopec Kantons Holdings, Ltd........................ 2,864,000 2,128,133
Sinotrans Shipping, Ltd.............................. 4,974,086 1,222,356
Sinotrans, Ltd. Series H............................. 6,526,000 998,755
#Sinotruk Hong Kong, Ltd.............................. 2,888,000 1,656,546
*SITC International Holdings Co., Ltd................. 189,000 49,338
#Skyworth Digital Holdings, Ltd....................... 8,930,234 4,799,898
*SMI Corp., Ltd....................................... 7,948,066 187,019
#*Solargiga Energy Holdings, Ltd....................... 3,870,000 215,906
*Sparkle Roll Group, Ltd.............................. 6,960,000 407,290
*SPG Land Holdings, Ltd............................... 714,000 177,345
*Springland International Holdings, Ltd............... 123,000 60,427
*SRE Group, Ltd....................................... 13,894,346 544,040
#Sunac China Holdings, Ltd............................ 3,491,000 1,844,024
Sunny Optical Technology Group Co., Ltd.............. 1,834,000 1,074,368
Tak Sing Alliance Holdings, Ltd...................... 253,257 31,248
#TCC International Holdings, Ltd...................... 4,185,098 1,135,068
TCL Communication Technology Holdings, Ltd........... 2,237,198 683,864
TCL Multimedia Technology Holdings, Ltd.............. 2,684,510 1,486,286
*Tech Pro Technology Development, Ltd................. 2,828,000 1,053,154
*Texhong Textile Group, Ltd........................... 626,000 294,635
Tian An China Investments Co., Ltd................... 1,193,000 692,116
Tian Shan Development Holdings, Ltd.................. 908,000 217,774
Tiangong International Co., Ltd...................... 5,802,000 1,393,855
Tianjin Capital Environmental Protection Group Co.,
Ltd. Series H...................................... 1,572,000 365,756
*Tianjin Development Holdings, Ltd.................... 1,870,000 887,465
Tianjin Port Development Holdings, Ltd............... 7,404,800 914,262
Tianneng Power International, Ltd.................... 3,112,048 2,097,624
#Tomson Group, Ltd.................................... 1,060,443 251,297
127
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ------------
CHINA -- (Continued)
Tong Ren Tang Technologies Co., Ltd. Series H....... 1,085,000 $ 1,947,101
#Towngas China Co., Ltd.............................. 2,893,000 2,273,070
TPV Technology, Ltd................................. 3,915,964 869,560
Trauson Holdings Co., Ltd........................... 1,381,000 718,733
Travelsky Technology, Ltd. Series H................. 3,659,090 1,884,922
*Trony Solar Holdings Co., Ltd....................... 1,757,000 142,826
Truly International Holdings, Ltd................... 5,411,573 820,766
Uni-President China Holdings, Ltd................... 1,151,000 1,445,653
*United Energy Group, Ltd............................ 12,306,450 1,948,892
#Vinda International Holdings, Ltd................... 2,394,000 3,324,669
VODone, Ltd......................................... 13,151,600 1,281,909
#Wasion Group Holdings, Ltd.......................... 2,018,000 736,357
Weiqiao Textile Co., Ltd. Series H.................. 2,212,000 862,436
Welling Holding, Ltd................................ 3,410,000 416,021
#West China Cement, Ltd.............................. 13,716,000 2,462,591
*Winsway Coking Coal Holdings, Ltd................... 4,046,000 650,304
Winteam Pharmaceutical Group, Ltd................... 2,538,000 490,636
#Wumart Stores, Inc. Series H........................ 969,000 1,718,993
Xiamen International Port Co., Ltd. Series H........ 5,166,000 598,729
Xingda International Holdings, Ltd.................. 3,691,000 1,284,539
Xinhua Winshare Publishing & Media Co., Ltd.
Series H......................................... 307,103 164,469
#Xinjiang Goldwind Science & Technology Co., Ltd.
Series H........................................... 1,615,400 611,233
#Xinjiang Xinxin Mining Industry Co., Ltd. Series H.. 3,350,598 701,548
Xiwang Sugar Holdings Co., Ltd...................... 3,103,178 326,867
#XTEP International Holdings, Ltd.................... 2,858,500 1,237,247
*Yanchang Petroleum International, Ltd............... 13,980,000 917,693
Yantai North Andre Juice Co. Series H............... 3,885,000 152,489
*Yashili International Holdings, Ltd................. 1,814,000 424,585
#Yingde Gases Group Co., Ltd......................... 3,468,500 3,297,133
Yip's Chemical Holdings, Ltd........................ 984,000 665,978
#Youyuan International Holdings, Ltd................. 139,000 34,008
*Yuanda China Holdings, Ltd.......................... 2,162,000 252,921
Yuexiu Property Co., Ltd............................ 21,435,432 5,860,904
#Yuexiu Transport Infrastructure, Ltd................ 2,788,018 1,250,541
#Yuzhou Properties Co................................ 1,023,600 237,049
Zhejiang Expressway Co., Ltd. Series H.............. 3,868,000 2,818,325
#*Zhejiang Glass Co., Ltd. Series H................... 445,000 --
*Zhong An Real Estate, Ltd........................... 1,078,400 111,243
#Zhongsheng Group Holdings, Ltd...................... 2,344,000 3,010,197
#Zhuzhou CSR Times Electric Co., Ltd. Series H....... 1,367,000 3,997,022
------------
TOTAL CHINA............................................ 459,710,883
------------
COLOMBIA -- (0.0%)
*Constructora Conconcreto SA......................... 39,186 28,238
*Empresa de Telecomunicaciones de Bogota............. 81,012 20,432
*Fabricato SA........................................ 13,257,120 658,599
*Mineros SA.......................................... 17,678 46,420
------------
TOTAL COLOMBIA......................................... 753,689
------------
HONG KONG -- (0.0%)
*Qualipak International Holdings, Ltd................ 113,153 12,892
------------
HUNGARY -- (0.1%)
*Danubius Hotel & Spa P.L.C.......................... 45,091 551,761
EGIS Pharmaceuticals P.L.C.......................... 11,973 963,549
#*FHB Mortgage Bank NYRT.............................. 42,048 91,551
*Fotex Holding SE.................................... 119,895 95,696
*PannErgy P.L.C...................................... 127,046 349,799
Zwack Unicum NYRT................................... 679 38,769
------------
TOTAL HUNGARY.......................................... 2,091,125
------------
128
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
INDIA -- (8.4%)
*3M India, Ltd.......................................... 5,008 $ 357,126
Aban Offshore, Ltd..................................... 66,736 544,646
*ABG Shipyard, Ltd...................................... 88,327 609,668
Aditya Birla Nuvo, Ltd................................. 27,473 463,544
*Advanta India, Ltd..................................... 13,420 203,323
Agro Tech Foods, Ltd................................... 42,808 335,361
AIA Engineering, Ltd................................... 44,197 319,846
Ajmera Realty & Infra India, Ltd....................... 4,949 10,525
Akzo Nobel India, Ltd.................................. 53,147 955,758
Alembic Pharmaceuticals, Ltd........................... 406,588 511,721
*Alembic, Ltd........................................... 93,083 26,955
Allahabad Bank, Ltd.................................... 661,286 1,666,455
Allcargo Logistics, Ltd................................ 3,483 8,526
Alok Industries, Ltd................................... 1,894,319 405,367
Alstom India, Ltd...................................... 109,848 834,927
Alstom T&D India, Ltd.................................. 161,059 612,479
Amara Raja Batteries, Ltd.............................. 193,202 816,343
Amtek Auto, Ltd........................................ 465,354 623,463
*Amtek India, Ltd....................................... 239,652 421,500
Anant Raj Industries, Ltd.............................. 665,541 1,001,986
Andhra Bank, Ltd....................................... 649,159 1,247,166
*Andhra Pradesh Paper Mills............................. 35,816 197,349
Apollo Hospitals Enterprise, Ltd....................... 249,642 3,611,548
Apollo Tyres, Ltd...................................... 663,125 1,053,577
Arvind, Ltd............................................ 806,648 1,215,822
*Asahi India Glass, Ltd................................. 178,126 215,485
Ashok Leyland, Ltd..................................... 6,477,083 2,811,497
Asian Hotels East, Ltd................................. 11,929 49,975
*Atul, Ltd.............................................. 17,216 126,599
Aurobindo Pharma, Ltd.................................. 631,240 1,854,981
Automotive Axles, Ltd.................................. 19,185 132,093
*Bajaj Corp., Ltd....................................... 113,243 388,979
Bajaj Electricals, Ltd................................. 163,219 617,370
Bajaj Finance, Ltd..................................... 54,152 1,289,894
Bajaj Finserv, Ltd..................................... 126,975 1,994,027
Bajaj Hindusthan, Ltd.................................. 1,198,145 655,158
Bajaj Holdings & Investment, Ltd....................... 86,830 1,401,984
Balkrishna Industries, Ltd............................. 107,110 528,429
Ballarpur Industries, Ltd.............................. 1,049,577 427,796
Balmer Lawrie & Co., Ltd............................... 26,892 319,854
*Balrampur Chini Mills, Ltd............................. 869,619 1,099,487
Bank of Maharashtra, Ltd............................... 644,948 629,041
Bannari Amman Sugars, Ltd.............................. 15,663 261,859
BASF India, Ltd........................................ 34,835 420,988
Bata India, Ltd........................................ 116,451 1,834,071
BEML, Ltd.............................................. 58,553 313,987
Berger Paints India, Ltd............................... 573,500 1,498,707
*BF Utilities, Ltd...................................... 53,450 358,080
BGR Energy Systems, Ltd................................ 126,429 616,847
Bharat Forge, Ltd...................................... 455,615 2,300,654
Bhushan Steel, Ltd..................................... 369,371 3,373,492
Biocon, Ltd............................................ 248,587 1,227,030
Birla Corp., Ltd....................................... 104,359 502,477
Blue Dart Express, Ltd................................. 19,330 626,591
Blue Star, Ltd......................................... 134,898 498,708
Bombay Burmah Trading Co............................... 6,216 65,731
Bombay Dyeing & Manufacturing Co., Ltd................. 785,565 1,635,529
*Bombay Rayon Fashions, Ltd............................. 17,322 84,028
Britannia Industries, Ltd.............................. 212,180 1,904,951
Cadila Healthcare, Ltd................................. 2,373 38,328
Carborundum Universal, Ltd............................. 307,291 870,768
129
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
INDIA -- (Continued)
Central Bank of India.................................. 1,147,333 $1,474,307
Centum Electronics, Ltd................................ 5,834 8,373
*Century Plyboards India, Ltd........................... 137,796 153,493
Century Textiles & Industries, Ltd..................... 291,473 2,096,498
CESC, Ltd.............................................. 339,963 1,729,852
Chambal Fertilizers & Chemicals, Ltd................... 805,294 998,835
Chennai Petroleum Corp., Ltd........................... 185,135 443,852
Cholamandalam Investment & Finance Co., Ltd............ 71,956 293,115
City Union Bank, Ltd................................... 746,017 781,190
Clariant Chemicals (India), Ltd........................ 28,856 350,926
*Claris Lifesciences, Ltd............................... 58,414 259,879
CMC, Ltd............................................... 55,642 1,156,890
Core Education & Technologies, Ltd..................... 167,913 965,777
Coromandel International, Ltd.......................... 436,371 2,311,601
Corporation Bank....................................... 171,930 1,273,915
Crisil, Ltd............................................ 112,761 1,984,213
Crompton Greaves, Ltd.................................. 65,078 150,507
Dalmia Bharat Enterprises, Ltd......................... 57,965 173,404
DB Corp., Ltd.......................................... 1,695 6,563
*DB Realty, Ltd......................................... 368,728 668,317
DCM Shriram Consolidated, Ltd.......................... 231,503 306,388
Deepak Fertilizers & Petrochemicals Corp., Ltd......... 147,728 364,452
Delta Corp., Ltd....................................... 308,489 372,882
*DEN Networks, Ltd...................................... 192,940 631,761
Dena Bank.............................................. 127,628 250,723
*Development Credit Bank, Ltd........................... 756,069 601,207
Dewan Housing Finance Corp., Ltd....................... 110,571 389,279
*Dish TV (India), Ltd................................... 1,980,742 2,768,051
*Dredging Corp. of India, Ltd........................... 21,673 94,177
E.I.D.--Parry (India), Ltd............................. 311,709 1,349,027
eClerx Services, Ltd................................... 20,502 259,985
Edelweiss Financial Services, Ltd...................... 353,351 221,524
Educomp Solutions, Ltd................................. 267,067 725,792
Eicher Motors, Ltd..................................... 46,375 2,000,505
EIH, Ltd............................................... 432,476 608,691
Elder Pharmaceuticals, Ltd............................. 41,972 222,006
Elgi Equipments, Ltd................................... 224,474 379,844
*Emami, Ltd............................................. 79,112 836,950
Engineers India, Ltd................................... 46,626 204,890
*Entertainment Network India, Ltd....................... 30,173 135,268
Era Infra Engineering, Ltd............................. 352,519 893,620
*Eros International Media, Ltd.......................... 97,084 293,213
Escorts, Ltd........................................... 346,480 424,455
*Essar Oil, Ltd......................................... 1,455,331 1,691,241
Essar Ports, Ltd....................................... 383,771 719,662
*Essar Shipping, Ltd.................................... 112,311 60,746
Essel Propack, Ltd..................................... 100,852 71,477
FAG Bearings (India), Ltd.............................. 27,899 899,404
FDC, Ltd............................................... 277,766 440,943
Federal Bank, Ltd...................................... 572,364 5,134,295
*Federal-Mogul Goetze (India), Ltd...................... 61,495 226,097
Financial Technologies (India), Ltd.................... 110,345 2,034,548
Finolex Cables, Ltd.................................... 106,873 84,722
Finolex Industries, Ltd................................ 184,311 221,042
*Fortis Healthcare, Ltd................................. 444,769 838,916
*Fresenius Kabi Oncology, Ltd........................... 203,183 346,080
Future Capital Holdings, Ltd........................... 68,029 194,105
Gammon India, Ltd...................................... 105,203 79,340
*Gammon Infrastructure Projects, Ltd.................... 30,123 7,770
Gateway Distriparks, Ltd............................... 230,383 610,953
*Geodesic, Ltd.......................................... 72,614 53,737
130
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
INDIA -- (Continued)
*Gillette India, Ltd.................................... 10,058 $ 412,840
Gitanjali Gems, Ltd.................................... 263,212 1,951,204
GlaxoSmithKline Consumer Healthcare, Ltd............... 32,351 1,827,454
*Glodyne Technoserve, Ltd............................... 30,130 30,724
*GMR Infrastructure, Ltd................................ 2,603,093 966,201
Godfrey Phillips India, Ltd............................ 3,364 208,028
Godrej Industries, Ltd................................. 263,939 1,472,524
Godrej Properties, Ltd................................. 60,544 647,751
*Gokul Refoils & Solvent, Ltd........................... 27,697 22,311
Graphite India, Ltd.................................... 247,564 382,997
*Gravita India, Ltd..................................... 42,956 134,925
Great Eastern Shipping Co., Ltd........................ 331,753 1,579,710
Greaves Cotton, Ltd.................................... 461,835 665,614
Grindwell Norton, Ltd.................................. 18,171 87,651
GRUH Finance, Ltd...................................... 111,195 398,286
*GTL Infrastructure, Ltd................................ 2,080,092 301,345
Gujarat Alkalies & Chemicals, Ltd...................... 140,126 340,846
Gujarat Ambuja Exports, Ltd............................ 53,836 22,112
Gujarat Fluorochemicals, Ltd........................... 156,927 957,617
Gujarat Gas Co., Ltd................................... 192,163 1,066,160
Gujarat Industries Power Co., Ltd...................... 44,878 55,660
Gujarat Mineral Development Corp., Ltd................. 374,530 1,464,124
Gujarat Narmada Valley Fertilizers Co., Ltd............ 203,908 307,709
Gujarat NRE Coke, Ltd.................................. 1,359,957 459,291
Gujarat State Fertilisers & Chemicals, Ltd............. 603,965 834,125
Gujarat State Petronet, Ltd............................ 734,688 1,024,599
Gulf Oil Corp., Ltd.................................... 118,401 195,397
*GVK Power & Infrastructure, Ltd........................ 3,866,606 903,426
*Hathway Cable & Datacom, Ltd........................... 182,163 785,185
Havells India, Ltd..................................... 202,899 2,168,029
HCL Infosystems, Ltd................................... 625,558 489,844
HEG, Ltd............................................... 63,423 269,348
*HeidelbergCement India, Ltd............................ 329,788 297,306
*Hexa Tradex, Ltd....................................... 73,518 47,960
Hexaware Technologies, Ltd............................. 1,209,540 2,512,008
*Himachal Futuristic Communications, Ltd................ 2,651,709 527,369
Hinduja Global Solutions, Ltd.......................... 35,626 212,626
Hinduja Ventures, Ltd.................................. 36,075 314,815
*Hindustan Construction Co., Ltd........................ 1,799,218 567,028
*Hindustan Oil Exploration Co., Ltd..................... 189,536 353,849
Honeywell Automation India, Ltd........................ 10,066 503,404
*Hotel Leelaventure, Ltd................................ 536,623 295,515
*Housing Development & Infrastructure, Ltd.............. 1,358,320 2,402,631
HSIL, Ltd.............................................. 72,596 160,309
HT Media, Ltd.......................................... 80,932 153,974
*ICRA, Ltd.............................................. 1,534 39,004
India Cements, Ltd..................................... 955,552 1,694,348
India Infoline, Ltd.................................... 887,635 1,138,553
Indiabulls Financial Services, Ltd..................... 357,294 1,643,091
Indian Bank............................................ 153,164 476,990
Indian Hotels Co., Ltd................................. 1,875,878 2,184,318
Indian Overseas Bank................................... 879,677 1,165,096
Indo Rama Synthetics (India), Ltd...................... 82,034 37,451
Indoco Remedies, Ltd................................... 92,250 110,374
Indraprastha Gas, Ltd.................................. 320,817 1,530,756
IndusInd Bank, Ltd..................................... 108,813 731,760
Info Edge (India), Ltd................................. 87,014 572,488
Infotech Enterprises, Ltd.............................. 182,267 632,382
ING Vysya Bank, Ltd.................................... 21,126 179,733
Ingersoll-Rand India, Ltd.............................. 33,356 298,934
Ipca Laboratories, Ltd................................. 282,189 2,404,786
131
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
INDIA -- (Continued)
IRB Infrastructure Developers, Ltd..................... 608,470 $1,371,182
*IVRCL Infrastructures & Projects, Ltd.................. 1,362,161 999,346
J.B. Chemicals & Pharmaceuticals, Ltd.................. 31,979 40,739
Jagran Prakashan, Ltd.................................. 319,553 590,746
Jai Corp., Ltd......................................... 13,886 14,485
*Jain Irrigation Systems, Ltd........................... 1,123,832 1,362,887
Jammu & Kashmir Bank, Ltd.............................. 105,080 2,405,795
Jaypee Infratech, Ltd.................................. 1,095,948 965,813
JBF Industries, Ltd.................................... 124,773 327,147
*Jet Airways (India), Ltd............................... 159,407 991,258
Jindal Drilling & Industries, Ltd...................... 13,908 65,558
Jindal Poly Films, Ltd................................. 90,006 336,111
Jindal Saw, Ltd........................................ 551,637 1,165,489
*Jindal Stainless, Ltd.................................. 275,537 337,179
JK Cement, Ltd......................................... 80,243 375,447
JK Lakshmi Cement, Ltd................................. 176,171 406,554
JM Financial, Ltd...................................... 1,525,085 460,067
JSW Energy, Ltd........................................ 62,695 74,120
*JSW ISPAT Steel, Ltd................................... 3,544,973 648,092
*Jubilant Foodworks, Ltd................................ 45,893 1,079,070
Jubilant Organosys, Ltd................................ 222,295 916,617
Jyothy Laboratories, Ltd............................... 278,070 913,514
Kajaria Ceramics, Ltd.................................. 113,245 446,463
Kakinada Fertilizers, Ltd.............................. 632,948 131,896
Kalpataru Power Transmission, Ltd...................... 34,721 56,590
Kansai Nerolac Paints, Ltd............................. 2,133 37,646
Karnataka Bank, Ltd.................................... 860,948 2,158,530
Karur Vysya Bank, Ltd.................................. 159,651 1,373,977
*Karuturi Global, Ltd................................... 408,138 33,704
Kaveri Seed Co., Ltd................................... 16,079 327,877
KEC International, Ltd................................. 348,094 410,797
Kesoram Industries, Ltd................................ 56,319 152,805
Kewal Kiran Clothing, Ltd.............................. 1,598 20,598
Kirloskar Brothers, Ltd................................ 817 2,251
Kirloskar Industries, Ltd.............................. 8,177 47,883
Kirloskar Oil Engines, Ltd............................. 218,179 772,220
KPIT Cummins Infosystems, Ltd.......................... 339,910 786,135
KSB Pumps, Ltd......................................... 31,790 135,582
*KSK Energy Ventures, Ltd............................... 39,524 44,898
Lakshmi Machine Works, Ltd............................. 13,190 504,704
*Lanco Infratech, Ltd................................... 2,883,805 636,422
Madras Cements, Ltd.................................... 273,238 1,028,606
*Mahanagar Telephone Nigam, Ltd......................... 782,757 381,114
Maharashtra Scooters, Ltd.............................. 3,473 23,754
Maharashtra Seamless, Ltd.............................. 107,476 659,511
Mahindra & Mahindra Financial Services, Ltd............ 100,699 1,617,997
Mahindra Holidays & Resorts India, Ltd................. 7,323 37,298
Mahindra Lifespace Developers, Ltd..................... 49,080 369,836
*Man Infraconstruction, Ltd............................. 26,686 88,730
Mandhana Industries, Ltd............................... 29,389 128,630
Marico, Ltd............................................ 514,259 2,006,133
*MAX India, Ltd......................................... 562,020 2,522,032
McLeod Russel (India), Ltd............................. 228,565 1,287,903
*Mercator Lines, Ltd.................................... 649,167 254,474
*Merck, Ltd............................................. 20,801 239,595
MindTree, Ltd.......................................... 53,931 656,849
MOIL, Ltd.............................................. 88,839 402,938
Monnet Ispat, Ltd...................................... 84,484 460,569
Monsanto India, Ltd.................................... 26,377 304,329
Motherson Sumi Systems, Ltd............................ 942,232 2,739,875
*Motilal Oswal Financial Services, Ltd.................. 18,723 41,447
132
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
INDIA -- (Continued)
Mphasis, Ltd........................................... 134,399 $ 968,568
MRF, Ltd............................................... 6,556 1,236,646
Nagarjuna Construction Co., Ltd........................ 1,064,726 862,434
*Nagarjuna Oil Refinery, Ltd............................ 575,408 57,521
Nahar Capital & Financial Services, Ltd................ 10,494 9,148
Nahar Poly Films, Ltd.................................. 28,311 11,487
Natco Pharma, Ltd...................................... 62,273 432,855
Nava Bharat Ventures, Ltd.............................. 13,117 43,576
Navneet Publications India, Ltd........................ 272,516 295,562
NESCO, Ltd............................................. 29,209 368,970
NIIT Technologies, Ltd................................. 198,527 1,081,978
NIIT, Ltd.............................................. 167,888 103,593
Nitin Fire Protection Industries, Ltd.................. 499,985 616,943
Noida Toll Bridge Co., Ltd............................. 180,315 84,398
Oberoi Realty, Ltd..................................... 5,185 26,383
OCL India, Ltd......................................... 51,578 149,127
*OMAXE, Ltd............................................. 302,896 881,048
Opto Circuits India, Ltd............................... 489,236 1,093,174
Orchid Chemicals & Pharmaceuticals, Ltd................ 137,657 266,098
Orient Paper & Industries, Ltd......................... 284,026 403,265
Oriental Bank of Commerce.............................. 301,950 1,731,868
Orissa Minerals Development Co., Ltd................... 9,760 787,404
*Oswal Chemical & Fertilizers, Ltd...................... 29,723 16,632
Page Industries, Ltd................................... 8,896 552,444
*Panacea Biotec, Ltd.................................... 33,715 66,560
Pantaloon Retail India, Ltd............................ 2,575 8,516
*Parsvnath Developers, Ltd.............................. 446,760 305,160
Peninsula Land, Ltd.................................... 196,077 265,519
Persistent Systems, Ltd................................ 19,797 175,480
Petronet LNG, Ltd...................................... 276,925 860,918
Pfizer, Ltd............................................ 11,684 247,178
Phoenix Mills, Ltd..................................... 92,407 343,539
Pidilite Industries, Ltd............................... 856,406 3,063,555
*Pipavav Defence & Offshore Engineering Co., Ltd........ 1,077,246 1,577,662
Piramal Enterprises, Ltd............................... 237,828 2,184,327
*Plethico Pharmaceuticals, Ltd.......................... 50,065 229,022
Polaris Financial Technology, Ltd...................... 125,423 278,154
Praj Industries, Ltd................................... 112,064 94,058
Prakash Industries, Ltd................................ 15,110 14,062
Prestige Estates Projects, Ltd......................... 91,900 266,041
*Prime Focus, Ltd....................................... 93,405 83,221
Prism Cement, Ltd...................................... 530,226 546,461
Proctor & Gamble Hygiene & Health Care, Ltd............ 2,985 136,763
PTC (India), Ltd....................................... 1,029,885 1,214,036
*PTC India Financial Services, Ltd...................... 127,153 35,019
Punj Lloyd, Ltd........................................ 1,156,124 1,078,370
Punjab & Sind Bank..................................... 142,243 170,152
Radico Khaitan, Ltd.................................... 344,454 767,571
Rain Commodities, Ltd.................................. 417,422 300,386
Rajesh Exports, Ltd.................................... 106,849 241,872
Rallis India, Ltd...................................... 381,154 1,007,057
Raymond, Ltd........................................... 198,416 1,407,691
Redington India, Ltd................................... 569,553 855,490
REI Agro, Ltd.......................................... 2,693,851 510,010
*REI Six Ten Retail, Ltd................................ 159,806 11,374
Rolta (India), Ltd..................................... 548,321 659,018
Ruchi Soya Industries, Ltd............................. 516,585 636,614
*S Mobility, Ltd........................................ 70,822 51,492
Sadbhav Engineering, Ltd............................... 109,117 294,501
Sanofi India, Ltd...................................... 24,044 993,560
*Sanwaria Agro Oils, Ltd................................ 86,525 64,004
133
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
INDIA -- (Continued)
*Satyam Computer Services, Ltd.......................... 1,448,406 $2,938,345
Schneider Electric Infrastructure, Ltd................. 184,541 311,621
*SEAMEC, Ltd............................................ 8,256 13,947
*Shasun Pharmaceuticals, Ltd............................ 66,364 182,480
*Shipping Corp. of India, Ltd........................... 841,621 790,654
Shiv-Vani Oil & Gas Exploration Services, Ltd.......... 1,193 2,888
Shoppers Stop, Ltd..................................... 126,444 1,012,739
Shree Cement, Ltd...................................... 17,365 1,358,006
Shree Renuka Sugars, Ltd............................... 1,992,569 1,160,306
Simplex Infrastructures, Ltd........................... 1,045 3,944
Sintex Industries, Ltd................................. 889,996 1,059,749
*SITI Cable Network, Ltd................................ 214,796 82,435
SJVN, Ltd.............................................. 198,665 73,754
SKF (India), Ltd....................................... 72,466 870,695
Sobha Developers, Ltd.................................. 255,673 1,696,963
Solar Industries India, Ltd............................ 15,578 282,454
South Indian Bank, Ltd................................. 1,981,190 848,547
SREI Infrastructure Finance, Ltd....................... 297,648 151,404
SRF, Ltd............................................... 101,277 419,167
State Bank of Bikaner & Jaipur......................... 56,517 396,989
*Sterling Biotech, Ltd.................................. 305,767 30,759
Sterlite Technologies, Ltd............................. 413,985 229,145
Strides Arcolab, Ltd................................... 225,600 3,730,557
Styrolution ABS India, Ltd............................. 23,441 279,163
*Sun Pharma Advanced Research Co., Ltd.................. 423,174 763,974
Sundaram Finance, Ltd.................................. 17,281 293,686
*Sundaram Investment, Ltd............................... 3,890 10,087
Sundaram-Clayton, Ltd.................................. 3,890 22,503
Sundram Fastners, Ltd.................................. 306,501 272,288
Supreme Industries, Ltd................................ 130,761 706,976
Supreme Petrochem, Ltd................................. 112,393 117,027
Surana Industries, Ltd................................. 14,879 38,659
*Suzlon Energy, Ltd..................................... 3,471,114 1,011,366
Swaraj Engines, Ltd.................................... 3,100 24,609
Syndicate Bank......................................... 700,985 1,525,753
Tata Chemicals, Ltd.................................... 116,319 683,237
Tata Communications, Ltd............................... 335,937 1,515,496
#Tata Communications, Ltd. ADR.......................... 92,938 822,501
Tata Elxsi, Ltd........................................ 51,574 208,489
Tata Investment Corp., Ltd............................. 38,471 316,258
Tata Tea, Ltd.......................................... 1,271,119 3,508,352
*Tata Teleservices Maharashtra, Ltd..................... 2,003,794 400,629
Tech Mahindra, Ltd..................................... 86,951 1,533,714
*Techno Electric & Engineering Co., Ltd................. 15,540 58,006
Texmaco Rail & Engineering, Ltd........................ 155,901 178,431
Thermax India, Ltd..................................... 122,976 1,339,232
Time Technoplast, Ltd.................................. 90,263 76,256
Timken India, Ltd...................................... 42,048 149,991
Titagarh Wagons, Ltd................................... 17,656 107,554
Torrent Pharmaceuticals, Ltd........................... 139,005 1,738,480
Torrent Power, Ltd..................................... 111,188 316,404
Trent, Ltd............................................. 36,504 750,979
Triveni Turbine, Ltd................................... 146,168 149,696
TTK Prestige, Ltd...................................... 20,253 1,201,040
Tube Investments of India, Ltd......................... 368,027 1,182,249
*Tulip IT Services, Ltd................................. 73,866 50,851
TVS Motor Co., Ltd..................................... 1,228,130 875,761
UCO Bank............................................... 765,697 1,031,326
Uflex, Ltd............................................. 11,351 21,229
Unichem Laboratories, Ltd.............................. 174,457 617,742
*Unitech, Ltd........................................... 7,368,179 3,146,017
134
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
----------- ------------
INDIA -- (Continued)
*United Bank of India............................... 290,520 $ 340,342
United Phosphorus, Ltd............................. 1,095,227 2,309,981
*Usha Martin, Ltd................................... 514,903 276,118
*Vardhman Special Steels, Ltd....................... 15,258 9,303
Vardhman Textiles, Ltd............................. 76,291 350,839
Vesuvius India, Ltd................................ 1,802 11,354
*V-Guard Industries, Ltd............................ 28,075 229,254
Videocon Industries, Ltd........................... 440,953 1,398,409
Vijaya Bank, Ltd................................... 663,648 660,431
VIP Industries, Ltd................................ 149,430 226,593
Voltas, Ltd........................................ 809,977 1,658,785
VST Industries, Ltd................................ 13,177 428,712
WABCO India, Ltd................................... 8,387 248,553
Welspun Corp., Ltd................................. 646,946 1,165,572
*Wockhardt, Ltd..................................... 78,177 2,183,137
Wyeth, Ltd......................................... 38,992 628,337
*Zee Learn, Ltd..................................... 57,229 29,766
Zensar Technologies, Ltd........................... 100,258 428,278
*Zuari Agro Chemicals, Ltd.......................... 42,970 267,030
Zuari Global, Ltd.................................. 42,970 96,531
Zydus Wellness, Ltd................................ 53,022 432,105
Zylog Systems, Ltd................................. 63,881 177,437
------------
TOTAL INDIA........................................... 272,539,401
------------
INDONESIA -- (4.3%)
*PT Lippo Cikarang Tbk.............................. 989,000 381,598
PT Ace Hardware Indonesia Tbk...................... 899,000 653,350
PT Adhi Karya Persero Tbk.......................... 4,865,500 712,613
*PT Agis Tbk........................................ 12,930,500 584,190
PT Agung Podomoro Land Tbk......................... 16,715,500 631,346
PT AKR Corporindo Tbk.............................. 12,350,700 5,690,078
*PT Alam Sutera Realty Tbk.......................... 51,369,500 3,085,258
PT Aneka Tambang Persero Tbk....................... 20,265,000 2,688,689
PT Asahimas Flat Glass Tbk......................... 983,000 796,310
PT Astra Graphia Tbk............................... 1,904,000 276,521
*PT Bakrie & Brothers Tbk........................... 319,498,500 1,295,672
PT Bakrie Sumatera Plantations Tbk................. 58,132,000 716,612
*PT Bakrie Telecom Tbk.............................. 87,585,398 546,117
*PT Bakrieland Development Tbk...................... 204,925,750 1,378,760
PT Bank Bukopin Tbk................................ 22,426,666 1,484,690
*PT Bank Pan Indonesia Tbk.......................... 7,399,000 560,022
*PT Bank Pembangunan Daerah Jawa Barat Dan Banten
Tbk............................................... 10,678,500 1,216,464
PT Bank Tabungan Negara Persero Tbk................ 14,634,712 2,303,348
*PT Barito Pacific Tbk.............................. 9,296,000 481,925
*PT Benakat Petroleum Energy Tbk.................... 26,180,000 483,659
*PT Berau Coal Energy Tbk........................... 12,182,000 278,543
*PT Berlian Laju Tanker Tbk......................... 35,106,366 --
PT Bhakti Investama Tbk............................ 103,922,400 5,917,040
PT Bisi International Tbk.......................... 7,499,000 832,026
*PT Borneo Lumbung Energi & Metal Tbk............... 8,237,000 528,283
*PT Budi Acid Jaya Tbk.............................. 5,947,000 87,167
*PT Bumi Resources Minerals Tbk..................... 7,618,000 343,199
PT Bumi Serpong Damai Tbk.......................... 30,256,200 3,877,388
*PT BW Plantation Tbk............................... 8,541,000 1,276,109
*PT Central Proteinaprima Tbk....................... 21,920,000 76,452
PT Chandra Asri Petrochemical Tbk.................. 13,500 3,608
PT Charoen Pokphand Indonesia Tbk.................. 10,683,000 3,459,008
PT Ciputra Development Tbk......................... 48,487,080 3,414,701
PT Ciputra Property Tbk............................ 8,242,500 564,379
PT Ciputra Surya Tbk............................... 4,670,500 847,584
PT Citra Marga Nusaphala Persada Tbk............... 8,433,000 2,034,527
135
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
----------- ----------
INDONESIA -- (Continued)
PT Clipan Finance Indonesia Tbk..................... 1,482,000 $ 61,437
*PT Darma Henwa Tbk.................................. 72,303,600 374,669
*PT Davomas Adabi Tbk................................ 37,629,500 195,885
*PT Delta Dunia Makmur Tbk........................... 25,748,000 468,977
*PT Energi Mega Persada Tbk.......................... 175,439,000 1,650,305
PT Ever Shine Textile Tbk........................... 3,654,640 60,498
*PT Exploitasi Energi Indonesia Tbk.................. 6,807,500 254,261
PT Fajar Surya Wisesa Tbk........................... 5,000 1,263
PT Gajah Tunggal Tbk................................ 8,244,000 1,856,863
*PT Garda Tujuh Buana Tbk............................ 61,500 24,971
*PT Garuda Indonesia Persero Tbk..................... 18,790,000 1,346,669
PT Global Mediacom Tbk.............................. 19,838,000 4,686,984
PT Gozco Plantations Tbk............................ 11,983,200 267,311
*PT Hanson International Tbk......................... 18,249,500 426,665
PT Harum Energy Tbk................................. 4,330,500 2,421,773
*PT Hexindo Adiperkasa Tbk........................... 1,108,000 821,208
PT Holcim Indonesia Tbk............................. 9,852,500 3,324,619
*PT Indah Kiat Pulp & Paper Corp. Tbk................ 10,970,500 1,115,860
PT Indika Energy Tbk................................ 8,123,500 1,303,911
*PT Indomobil Sukses Internasional Tbk............... 3,826,000 2,015,654
PT Indorama Synthetics Tbk.......................... 485,000 76,013
*PT Inovisi Infracom Tbk............................. 194,700 126,536
PT Intiland Development Tbk......................... 22,418,032 732,490
PT Japfa Comfeed Indonesia Tbk...................... 4,380,500 2,218,186
PT Jaya Real Property Tbk........................... 1,967,500 563,313
*PT Kawasan Industri Jababeka Tbk.................... 95,760,000 2,031,528
*PT Krakatau Steel Persero Tbk....................... 4,611,000 334,947
PT Lippo Karawaci Tbk............................... 78,560,312 7,581,188
*PT Malindo Feedmill Tbk............................. 4,277,000 727,930
PT Matahari Putra Prima Tbk......................... 9,979,628 1,565,641
PT Mayorah Indah Tbk................................ 2,535,500 6,225,811
PT Medco Energi Internasional Tbk................... 7,612,000 1,247,477
PT Media Nusantara Citra Tbk........................ 15,695,985 4,603,064
PT Mitra Adiperkasa Tbk............................. 5,442,000 3,696,014
*PT Mitra International Resources Tbk................ 6,855,000 106,340
*PT Modern Internasional Tbk......................... 91,000 6,982
PT Multistrada Arah Sarana Tbk...................... 6,255,000 243,093
*PT Myoh Technology Tbk.............................. 586,500 65,869
PT Nippon Indosari Corpindo Tbk..................... 473,500 295,088
*PT Nusantara Infrastructure Tbk..................... 5,654,500 99,742
PT Pabrik Kertas Tjiwi Kimia Tbk.................... 557,500 128,885
*PT Pakuwon Jati Tbk................................. 70,747,200 2,053,570
PT Pan Brothers Tbk................................. 207,000 9,027
*PT Panasia Indo Resources Tbk....................... 79,000 2,509
*PT Panin Financial Tbk.............................. 79,117,500 1,091,611
PT Panin Insurance Tbk.............................. 6,780,000 378,212
PT Pembangunan Perumahan Persero Tbk................ 6,331,500 505,104
PT Perusahaan Perkebunan London Sumatra Indonesia
Tbk............................................... 12,771,000 3,077,269
*PT Polaris Investama Tbk............................ 2,730,500 387,611
*PT Polychem Indonesia Tbk........................... 4,562,500 172,482
PT Ramayana Lestari Sentosa Tbk..................... 17,032,000 1,960,439
PT Resource Alam Indonesia Tbk...................... 2,071,000 610,974
PT Sampoerna Agro Tbk............................... 3,638,500 914,676
PT Samudera Indonesia Tbk........................... 142,500 56,723
PT Selamat Sempurna Tbk............................. 4,185,500 1,064,165
*PT Sentul City Tbk.................................. 115,702,500 2,307,096
PT Sinar Mas Agro Resources & Technology Tbk........ 1,037,460 750,527
PT Sinar Mas Multiartha Tbk......................... 3,500 1,655
PT Summarecon Agung Tbk............................. 27,073,532 4,929,473
*PT Sunson Textile Manufacturer Tbk.................. 2,325,500 47,938
*PT Surabaya Agung Industri Pulp & Kertas Tbk........ 64,500 1,690
136
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ------------
INDONESIA -- (Continued)
*PT Surya Dumai Industri Tbk......................... 3,298,500 $ --
PT Surya Semesta Internusa Tbk...................... 19,654,500 2,403,443
*PT Suryainti Permata Tbk............................ 7,252,000 67,197
*PT Texmaco Jaya Tbk................................. 93,000 28,563
PT Tiga Pilar Sejahtera Food Tbk.................... 10,096,000 942,106
PT Timah Persero Tbk................................ 13,764,500 2,039,016
PT Total Bangun Persada TbK......................... 6,019,500 449,342
*PT Tower Bersama Infrastructure Tbk................. 4,208,000 2,185,668
*PT Trada Maritime Tbk............................... 32,333,513 3,186,994
PT Trias Sentosa Tbk................................ 38,725,600 1,225,734
*PT Trimegah Securities Tbk.......................... 9,741,000 119,186
*PT Truba Alam Manunggal Engineering Tbk............. 21,316,500 110,966
PT Tunas Baru Lampung Tbk........................... 9,083,500 480,022
PT Tunas Ridean Tbk................................. 13,838,000 1,293,840
PT Ultrajaya Milk Industry & Trading Co. Tbk........ 390,000 51,004
PT Unggul Indah Cahaya Tbk.......................... 48,239 10,421
PT Wijaya Karya Persero Tbk......................... 10,797,500 1,535,333
------------
TOTAL INDONESIA........................................ 141,314,742
------------
ISRAEL -- (0.0%)
*Alony Hetz Properties & Investments, Ltd............ 1 3
Beit Shemesh Engines Holdings, Ltd.................. -- --
Delta-Galil Industries, Ltd......................... 1 7
*Electra Real Estate, Ltd............................ 1 2
*Feuchtwanger Investments, Ltd....................... 4,200 13
*Formula Systems (1985), Ltd......................... -- 3
*Formula Vision Technologies, Ltd.................... 1 --
*Jerusalem Oil Exploration, Ltd...................... -- 3
*Knafaim Holdings, Ltd............................... 19,085 56,219
*Metis Capital, Ltd.................................. 919 1,070
*Mivtach Shamir Holdings, Ltd........................ 13,006 237,207
*Naphtha Israel Petroleum Corp., Ltd................. 1 4
Osem Investments, Ltd............................... 1 10
Super-Sol, Ltd. Series B............................ -- 1
------------
TOTAL ISRAEL........................................... 294,542
------------
MALAYSIA -- (5.0%)
*Adventa Berhad...................................... 4,600 2,864
Aeon Co. (M) Berhad................................. 1,009,700 4,133,867
Aeon Credit Service M Berhad........................ 46,800 183,296
Affin Holdings Berhad............................... 929,300 1,031,644
*Alam Maritim Resources Berhad....................... 67,200 15,939
Amway (Malaysia) Holdings Berhad.................... 396,700 1,580,802
Ann Joo Resources Berhad............................ 981,750 476,329
*Anson Perdana Berhad................................ 10,000 148
APM Automotive Holdings Berhad...................... 329,700 526,316
Asas Dunia Berhad................................... 100,400 49,622
*Benalec Holdings Berhad............................. 1,776,500 820,275
Berjaya Assets Berhad............................... 810,100 238,378
Berjaya Corp. Berhad................................ 12,830,500 2,690,490
Berjaya Land Berhad................................. 3,734,000 993,215
BIMB Holdings Berhad................................ 1,896,600 1,881,657
Bintulu Port Holdings Berhad........................ 25,900 60,204
BLD Plantation Berhad............................... 6,600 17,267
*Bolton Berhad....................................... 689,430 182,086
*Bonia Corp. Berhad.................................. 21,400 17,188
*Boustead Heavy Industries Corp. Berhad.............. 2,600 2,158
Boustead Holdings Berhad............................ 616,272 1,012,540
Bursa Malaysia Berhad............................... 2,077,000 4,293,842
Cahya Mata Sarawak Berhad........................... 859,300 938,095
Carlsberg Brewery Berhad............................ 769,300 3,306,189
137
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
MALAYSIA -- (Continued)
*Carotech Berhad........................................ 230,650 $ 1,514
CB Industrial Product Holding Berhad................... 920,820 821,624
Chemical Co. of Malaysia Berhad........................ 443,200 190,165
Chin Teck Plantations Berhad........................... 33,000 97,542
CI Holdings Berhad..................................... 29,900 9,608
Coastal Contracts Berhad............................... 639,866 400,206
CSC Steel Holdings Berhad.............................. 534,600 213,893
Cycle & Carriage Bintang Berhad........................ 15,000 13,708
Daibochi Plastic & Packaging Industry Berhad........... 34,700 30,050
*Datuk Keramik Holdings Berhad.......................... 24,000 --
Dayang Enterprise Holdings Berhad...................... 835,231 621,352
Dialog Group Berhad.................................... 4,126,992 3,244,741
Dijaya Corp. Berhad.................................... 579,500 201,589
DRB-Hicom Berhad....................................... 4,781,100 3,880,149
Dutch Lady Milk Industries Berhad...................... 129,000 2,114,579
Eastern & Oriental Berhad.............................. 3,813,700 2,046,994
ECM Libra Financial Group Berhad....................... 1,372,801 400,058
Encorp Berhad.......................................... 55,200 10,405
Eng Kah Corp. Berhad................................... 21,890 26,225
Evergreen Fibreboard Berhad............................ 1,239,400 262,332
Faber Group Berhad..................................... 1,012,500 484,319
Far East Holdings Berhad............................... 61,500 146,302
*Fountain View Development Berhad....................... 808,200 --
Fraser & Neave Holdings Berhad......................... 190,500 1,237,331
George Kent (Malaysia) Berhad.......................... 34,200 10,948
Glenealy Plantations Berhad............................ 2,900 7,141
Globetronics Technology Berhad......................... 587,560 290,730
Glomac Berhad.......................................... 1,293,800 357,923
*Golden Plus Holdings Berhad............................ 216,000 74,458
Goldis Berhad.......................................... 524,250 345,654
*Guan Chong Berhad...................................... 76,500 47,664
Guinness Anchor Berhad................................. 841,900 4,583,989
GuocoLand (Malaysia) Berhad............................ 719,200 185,278
Hai-O Enterprise Berhad................................ 398,680 290,210
Hap Seng Consolidated Berhad........................... 3,960,240 2,114,803
Hap Seng Plantations Holdings Berhad................... 1,014,300 977,865
Hartalega Holdings Berhad.............................. 859,800 1,314,592
*Hiap Teck Venture Berhad............................... 220,800 36,182
*Ho Wah Genting Berhad.................................. 3,176,000 327,213
Hock Seng Lee Berhad................................... 1,070,416 554,026
Hong Leong Industries Berhad........................... 605,900 932,942
*Hovid Berhad........................................... 922,600 74,110
Hunza Properties Berhad................................ 446,200 223,695
Hwang-DBS (Malaysia) Berhad............................ 293,200 242,826
IGB Corp. Berhad....................................... 4,943,755 3,948,960
*IGB Real Estate Investment Trust....................... 1,240,638 537,637
IJM Land Berhad........................................ 2,136,700 1,542,738
IJM Plantations Berhad................................. 1,533,300 1,573,428
*Inch Kenneth Kajang Rubber Berhad...................... 252,900 60,835
*Insas Berhad........................................... 1,724,481 226,182
Integrated Logistics Berhad............................ 260,515 78,500
Integrax Berhad........................................ 36,600 16,681
*Iris Corp. Berhad...................................... 3,556,800 203,407
*Jaks Resources Berhad.................................. 1,842,000 222,869
Jaya Tiasa Holdings Berhad............................. 1,561,527 1,177,241
*JCY International Berhad............................... 2,789,700 684,449
JobStreet Corp. Berhad................................. 26,700 18,849
JT International Berhad................................ 554,100 1,235,751
K & N Kenanga Holdings Berhad.......................... 898,100 197,446
*Karambunai Corp. Berhad................................ 4,654,100 181,880
Keck Seng (Malaysia) Berhad............................ 828,150 1,067,821
138
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
MALAYSIA -- (Continued)
*KFC Holdings (Malaysia) Berhad......................... 2,239,200 $2,860,980
Kian Joo Can Factory Berhad............................ 1,305,480 1,014,161
Kim Loong Resources Berhad............................. 284,960 211,195
*Kinsteel Berhad........................................ 1,838,700 237,819
KLCC Property Holdings Berhad.......................... 926,400 1,804,626
*KNM Group Berhad....................................... 4,458,150 780,660
Kossan Rubber Industries Berhad........................ 863,700 864,363
KPJ Healthcare Berhad.................................. 2,493,850 4,934,436
KrisAssets Holdings Berhad............................. 323,363 293,614
*KSK Group Berhad....................................... 3,263,700 731,429
*KSL Holdings Berhad.................................... 730,166 340,537
*KUB (Malaysia) Berhad.................................. 1,353,500 216,995
Kulim (Malaysia) Berhad................................ 960,700 1,577,380
*Kumpulan Europlus Berhad............................... 1,280,200 440,386
*Kumpulan Fima Berhad................................... 587,450 373,593
Kumpulan Perangsang Selangor Berhad.................... 597,200 189,784
Kwantas Corp. Berhad................................... 390,200 254,231
*Land & General Berhad.................................. 2,455,000 368,322
*Landmarks Berhad....................................... 983,200 304,551
Latexx Partners Berhad................................. 687,600 513,880
LBS Bina Group Berhad.................................. 1,041,200 297,071
Lingkaran Trans Kota Holdings Berhad................... 915,600 1,177,174
Lingui Development Berhad.............................. 266,600 142,584
*Lion Corp. Berhad...................................... 535,800 49,971
Lion Industries Corp. Berhad........................... 2,379,000 826,423
LPI Capital Berhad..................................... 82,980 382,270
Mah Sing Group Berhad.................................. 1,906,840 1,403,046
Malayan Flour Mills Berhad............................. 1,205,250 541,170
Malaysia Building Society Berhad....................... 1,463,200 1,125,109
*Malaysian Airlines System Berhad....................... 4,794,600 1,616,480
Malaysian Bulk Carriers Berhad......................... 1,419,100 674,309
Malaysian Pacific Industries Berhad.................... 364,713 315,969
Malaysian Resources Corp. Berhad....................... 7,860,749 4,522,320
*Mancon Berhad.......................................... 12,000 3,427
Marco Holdings Berhad.................................. 1,304,500 66,113
*Masterskill Education Group Berhad..................... 123,600 29,425
MBM Resources Berhad................................... 781,196 870,820
*Media Chinese International, Ltd....................... 995,000 537,528
Media Prima Berhad..................................... 4,137,403 3,092,841
Mega First Corp. Berhad................................ 404,800 219,100
*MEMS Technology Berhad................................. 1,917,000 37,761
*MHC Plantations Berhad................................. 22,300 7,827
*MK Land Holdings Berhad................................ 775,500 94,729
MKH Berhad............................................. 655,392 503,959
*MNRB Holdings Berhad................................... 646,200 613,205
Mudajaya Group Berhad.................................. 922,766 807,377
Muhibbah Engineering Berhad............................ 1,608,350 487,055
*Mulpha International Berhad............................ 7,825,300 1,050,990
*Multi-Purpose Holdings Berhad.......................... 297,100 353,471
My EG Services Berhad.................................. 1,619,100 413,564
Naim Holdings Berhad................................... 691,100 450,554
NCB Holdings Berhad.................................... 1,147,200 1,658,579
*Nikko Electronics Berhad............................... 36,600 120
Notion VTEC Berhad..................................... 688,216 232,245
NTPM Holdings Berhad................................... 1,203,180 173,789
*Nylex (Malaysia) Berhad................................ 390,457 68,541
Oriental Holdings Berhad............................... 204,200 522,167
OSK Holdings Berhad.................................... 2,213,270 1,059,168
P.I.E. Industrial Berhad............................... 140,100 203,798
Padini Holdings Berhad................................. 2,134,000 1,432,905
Panasonic Manufacturing (Malaysia) Berhad.............. 157,184 1,134,196
139
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
MALAYSIA -- (Continued)
*Panglobal Berhad....................................... 14,000 $ 8,687
Paramount Corp. Berhad................................. 291,300 144,174
PBA Holdings Berhad.................................... 274,100 80,993
Pelikan International Corp. Berhad..................... 768,519 188,739
*Perdana Petroleum Berhad............................... 1,534,600 484,635
*Perisai Petroleum Teknologi Berhad..................... 2,323,100 783,100
Perusahaan Sadur Timah Malaysia (Perstima) Berhad...... 5,000 5,249
PJ Development Holdings Berhad......................... 1,247,700 329,208
POS (Malaysia) Berhad.................................. 1,697,600 1,679,724
Press Metal Berhad..................................... 928,900 529,835
*Prime Utilities Berhad................................. 3,000 89
Protasco Berhad........................................ 575,600 173,637
*Puncak Niaga Holding Berhad............................ 744,520 323,812
QL Resources Berhad.................................... 1,905,520 1,980,412
*QSR Brands Berhad...................................... 148,433 320,200
RCE Capital Berhad..................................... 1,535,850 155,898
*Rimbunan Sawit Berhad.................................. 1,151,400 354,293
Salcon Berhad.......................................... 749,400 108,132
*Sapurakencana Petroleum Berhad......................... 3,394,424 2,788,923
Sarawak Oil Palms Berhad............................... 279,360 571,000
Sarawak Plantation Berhad.............................. 106,600 91,214
Scientex Berhad........................................ 280,762 295,517
*Scomi Group Berhad..................................... 5,612,000 752,310
Selangor Dredging Berhad............................... 1,118,200 280,202
Selangor Properties Berhad............................. 141,900 162,466
Shangri-La Hotels (Malaysia) Berhad.................... 240,000 333,421
Shell Refining Co. Federation of Malaysia Berhad....... 7,900 22,801
SHL Consolidated Berhad................................ 277,400 104,784
Southern Acids (Malaysia) Berhad....................... 41,000 32,892
*SPK Sentosa Corp. Berhad............................... 130,200 12,396
*SRI Hartemas Berhad.................................... 65,000 --
Star Publications (Malaysia) Berhad.................... 712,900 732,365
Subur Tiasa Holdings Berhad............................ 386,085 286,831
*Sunway Berhad.......................................... 2,682,570 2,072,667
Supermax Corp. Berhad.................................. 2,989,400 1,978,238
Suria Capital Holdings Berhad.......................... 672,800 319,986
Ta Ann Holdings Berhad................................. 886,608 1,104,515
TA Enterprise Berhad................................... 5,362,200 895,573
TA Global Berhad....................................... 3,284,040 274,255
TAHPS Group Berhad..................................... 4,000 7,157
Tan Chong Motor Holdings Berhad........................ 1,383,200 2,009,816
Tasek Corp. Berhad..................................... 58,200 263,210
TDM Berhad............................................. 483,800 561,573
*TH Heavy Engineering Berhad............................ 2,725,000 526,184
TH Plantations Berhad.................................. 1,087,500 823,463
Three-A Resources Berhad............................... 11,100 4,257
*Time Dotcom Berhad..................................... 1,821,888 2,087,921
Time Engineering Berhad................................ 1,664,600 168,872
Top Glove Corp. Berhad................................. 1,963,660 3,443,986
Tradewinds (Malaysia) Berhad........................... 508,100 1,221,504
Tradewinds Corp. Berhad................................ 725,000 241,884
Tradewinds Plantation Berhad........................... 318,700 446,739
TRC Synergy Berhad..................................... 155,520 30,305
TSH Resources Berhad................................... 1,490,700 1,162,951
Uchi Technologies Berhad............................... 889,900 338,581
Unico-Desa Plantations Berhad.......................... 1,853,775 772,095
Unisem (Malaysia) Berhad............................... 2,627,090 875,311
United Malacca Berhad.................................. 391,050 918,704
United Plantations Berhad.............................. 508,900 4,203,840
*UOA Development Berhad................................. 877,000 485,807
VS Industry Berhad..................................... 344,026 169,144
140
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ------------
MALAYSIA -- (Continued)
Wah Seong Corp. Berhad............................... 1,732,993 $ 993,709
WCT Berhad........................................... 2,987,300 2,701,264
*Wellcall Holdings Berhad............................. 18,000 14,220
Wing Tai (Malaysia) Berhad........................... 551,500 327,561
WTK Holdings Berhad.................................. 1,574,800 541,214
Yeo Hiap Seng (Malaysia) Berhad...................... 164,560 191,688
YNH Property Berhad.................................. 918,198 573,348
YTL e-Solutions Berhad............................... 3,485,600 834,548
*YTL Land & Development Berhad........................ 1,050,700 333,482
Zhulian Corp Berhad.................................. 443,033 377,865
------------
TOTAL MALAYSIA.......................................... 162,803,488
------------
MEXICO -- (3.1%)
#*Alsea S.A.B. de C.V.................................. 2,300,186 3,694,281
#Arca Continental S.A.B. de C.V....................... 1,556,394 11,291,999
#*Axtel S.A.B. de C.V.................................. 4,137,360 922,643
*Banregio Grupo Financiero S.A.B. de C.V.............. 171,188 679,706
*Bio Pappel S.A.B. de C.V............................. 87,067 85,046
Bolsa Mexicana de Valores S.A. de C.V................ 1,947,055 4,312,250
#Cia Minera Autlan S.A.B. de C.V. Series B............ 402,599 398,479
#Compartamos S.A.B. de C.V............................ 3,957,362 5,295,019
#*Consorcio ARA S.A.B. de C.V. Series *................ 4,323,189 1,356,981
*Consorcio Hogar S.A.B. de C.V. Series B.............. 50,193 10,733
*Corporacion GEO S.A.B. de C.V. Series B.............. 2,649,410 3,180,749
*Corporacion Interamericana de Entramiento S.A.B. de
C.V. Series B....................................... 960,372 484,073
*Corporacion Mexicana de Restaurantes S.A.B. de C.V.
Series B............................................ 1,323 328
Corporacion Moctezuma S.A.B. de C.V. Series *........ 858,200 1,972,798
Corporativo Fragua S.A.B. de C.V..................... 3 47
*Corporativo GBM S.A.B. de C.V........................ 26,419 13,316
#*Desarrolladora Homex S.A.B. de C.V................... 1,235,743 2,730,262
#*Desarrolladora Homex S.A.B. de C.V. ADR.............. 38,266 507,024
*Empaques Ponderosa S.A. de C.V. Series B............. 206,000 14,159
#*Empresas ICA S.A.B. de C.V........................... 1,729,536 3,718,225
#*Empresas ICA S.A.B. de C.V. Sponsored ADR............ 626,760 5,415,206
#*Financiera Independencia S.A.B. de C.V............... 215,935 66,624
#*Genomma Lab Internacional S.A.B. de C.V. Series B.... 4,371,954 8,714,526
#*Gruma S.A.B. de C.V. ADR............................. 33,070 383,612
*Gruma S.A.B. de C.V. Series B........................ 1,253,434 3,647,154
#*Grupo Aeromexico S.A.B. de C.V....................... 274,987 429,680
Grupo Aeroportuario del Centro Norte S.A.B. de C.V... 491,270 1,167,957
Grupo Aeroportuario del Centro Norte S.A.B. de C.V.
ADR................................................ 3,642 70,181
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR.. 11,942 568,678
Grupo Aeroportuario del Pacifico S.A.B. de C.V.
Series B........................................... 624,635 2,998,191
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR... 16,100 1,554,777
Grupo Aeroportuario del Sureste S.A.B. de C.V.
Series B........................................... 234,096 2,270,520
*Grupo Cementos de Chihuahua S.A.B. de C.V............ 822,000 2,780,386
#*Grupo Famsa S.A.B. de C.V. Series A.................. 1,085,351 1,284,782
Grupo Herdez S.A.B. de C.V. Series *................. 809,116 2,193,029
Grupo Industrial Maseca S.A.B. de C.V. Series B...... 578,600 695,522
Grupo Industrial Saltillo S.A.B. de C.V.............. 165,733 296,811
Grupo Kuo S.A.B. de C.V. Series B.................... 297,061 626,610
Grupo Nutrisa S.A.B. de C.V.......................... 88 477
*Grupo Pochteca S.A.B. de C.V......................... 1,119,594 386,480
*Grupo Posadas S.A.B. de C.V. Series L................ 198,900 240,005
*Grupo Qumma S.A. de C.V. Series B.................... 105,334 1,448
#*Grupo Simec S.A. de C.V. Series B.................... 597,774 2,388,083
*Grupo Simec S.A. de C.V. Sponsored ADR............... 4,051 49,179
*Grupo Sports World S.A.B. de C.V..................... 13,430 15,528
#Industrias Bachoco S.A.B. de C.V. Series B........... 258,048 545,105
Industrias Bachoco S.A.B. de C.V. Sponsored ADR...... 6,571 165,918
*Industrias CH S.A.B. de C.V. Series B................ 1,217,718 7,066,931
141
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
----------- ------------
MEXICO -- (Continued)
*Inmuebles Carso S.A.B. de C.V. Series B-1.......... 340,447 $ 264,422
*Megacable Holdings S.A.B. de C.V................... 173,130 440,295
#*OHL Mexico S.A.B. de C.V........................... 817,889 1,361,691
*Promotora y Operadora de Infraestructura S.A.B. de
C.V............................................... 838,891 4,356,544
*Qualitas Controladora S.A.B. de C.V................ 12,200 18,169
*Sanluis Rassini S.A.P.I. de C.V. Series A.......... 3,300 --
*Sanluis Rassini S.A.P.I. de C.V. Series B.......... 4,642 --
*Sanluis Rassini S.A.P.I. de C.V. Series C.......... 4,642 --
*Savia S.A. de C.V. Series A........................ 610,700 37,312
TV Azteca S.A.B. de C.V............................ 6,952,715 4,359,385
*Urbi Desarrollos Urbanos S.A.B. de C.V............. 2,371,991 1,480,004
*Vitro S.A.B. de C.V. Series A...................... 736,702 1,068,426
------------
TOTAL MEXICO.......................................... 100,077,766
------------
PHILIPPINES -- (1.8%)
A. Soriano Corp.................................... 3,430,211 412,708
Aboitiz Equity Ventures, Inc....................... 1,737,030 2,032,744
Alsons Consolidated Resources, Inc................. 3,263,000 111,720
*Atlas Consolidated Mining & Development............ 2,598,700 1,120,528
*Belle Corp......................................... 16,036,900 2,089,164
*Cebu Air, Inc...................................... 799,120 1,109,509
Cebu Holdings, Inc................................. 3,291,900 393,128
China Banking Corp................................. 323,270 414,815
EEI Corp........................................... 532,300 114,937
*Empire East Land Holdings, Inc..................... 13,528,000 324,941
Filinvest Development Corp......................... 13,970,922 1,521,329
Filinvest Land, Inc................................ 72,127,577 2,553,026
*First Gen Corp..................................... 4,412,400 2,392,685
First Philippines Holdings Corp.................... 1,527,600 3,202,184
Ginebra San Miguel, Inc............................ 999,000 437,645
*Global Estate Resorts, Inc......................... 7,760,000 357,954
House of Investments, Inc.......................... 100,000 14,105
International Container Terminal Services, Inc..... 717,048 1,234,376
Jollibee Foods Corp................................ 913,448 2,343,828
*Lepanto Consolidated Mining Co. Series B........... 22,365,000 645,109
Lopez Holdings Corp................................ 8,021,700 1,060,746
Macroasia Corp..................................... 447,500 29,769
*Manila Mining Corp. Series B....................... 144,762,500 214,029
Manila Water Co., Inc.............................. 2,838,200 1,997,199
Megaworld Corp..................................... 42,309,000 2,510,293
*Metro Pacific Corp. Series A....................... 1,827,193 92,258
Metro Pacific Investments Corp..................... 22,626,000 2,270,330
*Pepsi-Cola Products Philippines, Inc............... 4,387,000 574,878
*Philex Petroleum Corp.............................. 179,700 111,107
*Philippine Bank of Communications.................. 14,726 26,943
*Philippine National Bank........................... 1,243,335 2,173,515
*Philippine National Construction Corp.............. 173,000 20,578
Philippine Savings Bank............................ 356,863 744,908
Philippine Stock Exchange, Inc..................... 79,730 715,992
*Philippine Townships, Inc.......................... 318,732 36,751
Philodrill Corp.................................... 220,000,000 224,213
*Philtown Properties, Inc........................... 111,562 4,171
PhilWeb Corp....................................... 1,898,640 644,835
Phinma Corp........................................ 135,549 35,137
RFM Corp........................................... 8,590,268 844,211
Rizal Commercial Banking Corp...................... 1,126,100 1,253,837
Robinson's Land Corp. Series B..................... 7,630,305 3,518,446
Security Bank Corp................................. 984,610 3,865,737
*Semirara Mining Corp............................... 312,750 1,661,821
Shang Properties, Inc.............................. 1,759,970 117,768
SM Development Corp................................ 17,568,317 2,658,927
142
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- -----------
PHILIPPINES -- (Continued)
*Southeast Asia Cement Holdings, Inc.................. 8,621,000 $ 537,047
Union Bank of Philippines............................ 581,230 1,510,412
*Universal Rightfield Property Holdings, Inc.......... 1,062,000 722
Universal Robina Corp................................ 2,100,475 3,663,069
Vista Land & Lifescapes, Inc......................... 13,556,000 1,578,335
*Yehey! Corp.......................................... 29,670 --
-----------
TOTAL PHILIPPINES....................................... 57,524,419
-----------
POLAND -- (1.5%)
Agora SA............................................. 207,049 551,090
*Alchemia SA.......................................... 261,604 422,556
*AmRest Holdings SE................................... 48,333 1,192,257
Apator SA............................................ 38,625 359,693
Asseco Poland SA..................................... 379,007 4,748,949
*ATM SA............................................... 57,593 150,160
ATM Systemy Informatyczne SA......................... 49,983 17,456
*Bioton SA............................................ 10,026,087 282,633
*Boryszew SA.......................................... 8,149,922 1,352,937
Budimex SA........................................... 53,091 901,594
*CD Projekt Red SA.................................... 477,157 789,299
*Ciech SA............................................. 176,603 1,176,460
*Cinema City International NV......................... 41,638 399,019
*City Interactive SA.................................. 25,647 181,539
ComArch SA........................................... 1,416 31,514
Debica SA............................................ 29,862 476,879
Dom Development SA................................... 4,673 42,737
*Dom Maklerski IDM SA................................. 37,181 2,335
Elektrobudowa SA..................................... 8,568 293,500
Emperia Holding SA................................... 49,051 829,914
Eurocash SA.......................................... 223,804 2,746,082
Fabryki Mebli Forte SA............................... 48,823 173,087
*Famur SA............................................. 220,704 326,704
*Farmacol SA.......................................... 50,868 432,397
*Getin Holding SA..................................... 1,499,933 1,082,113
Grupa Kety SA........................................ 39,026 1,580,982
*Grupa Lotos SA....................................... 341,609 3,609,524
*Hawe SA.............................................. 267,688 345,573
*Impexmetal SA........................................ 515,799 586,055
Inter Cars SA........................................ 14,871 415,339
Koelner SA........................................... 800 2,273
*Kopex SA............................................. 133,380 810,106
*Kredyt Bank SA....................................... 177,872 864,695
*LC Corp. SA.......................................... 9,839 3,539
LPP SA............................................... 2,011 2,485,825
Lubelski Wegiel Bogdanka SA.......................... 137,714 5,185,313
*MCI Management SA.................................... 30,766 45,812
*MNI SA............................................... 37,046 17,976
*Mostostal Warszawa SA................................ 37,200 151,927
*Netia SA............................................. 1,355,780 2,467,755
NG2 SA............................................... 56,591 1,040,741
Orbis SA............................................. 130,535 1,456,603
Pelion SA............................................ 36,136 296,290
*Pfleiderer Grajewo SA................................ 22,957 80,398
*Pol-Aqua SA.......................................... 1,485 1,734
*Polimex-Mostostal SA................................. 2,699,832 475,671
*Polnord SA........................................... 70,941 276,528
*Polski Koncern Miesny Duda SA........................ 719,202 92,659
*PZ Cormay SA......................................... 93,401 348,533
*Qumak-Sekom SA....................................... 894 2,600
*Raciborska Fabryka Kotlow SA......................... 234,071 640,119
*Rovese SA............................................ 491,968 370,508
143
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- -----------
POLAND -- (Continued)
*Stalexport SA........................................ 109,683 $ 38,858
*Stalprodukt SA....................................... 8,713 502,893
*Sygnity SA........................................... 46,479 174,035
Synthos SA........................................... 898,855 1,498,884
TVN SA............................................... 716,211 1,570,061
Warsaw Stock Exchange SA............................. 88,374 1,038,829
Zaklady Azotowe Pulawy SA............................ 26,539 993,249
*Zaklady Azotowe w Tarnowie-Moscicach SA.............. 2,314 34,910
*Zaklady Chemiczne Police SA.......................... 21,364 72,612
*Zaklady Lentex SA.................................... 121,070 182,479
Zaklady Tluszcowe Kruszwica SA....................... 4,938 40,360
Zelmer SA............................................ 4,811 47,214
-----------
TOTAL POLAND............................................ 48,812,366
-----------
SOUTH AFRICA -- (7.9%)
Acucap Properties, Ltd............................... 184,773 947,411
Adcock Ingram Holdings, Ltd.......................... 846,657 5,635,190
Adcorp Holdings, Ltd................................. 275,666 960,064
Advtech, Ltd......................................... 1,408,898 921,258
AECI, Ltd............................................ 547,971 4,647,917
Afgri, Ltd........................................... 1,287,216 777,483
African Oxygen, Ltd.................................. 787,278 1,770,461
*AG Industries, Ltd................................... 32,496,618 74,958
Allied Electronics Corp., Ltd........................ 192,133 482,882
Allied Technologies, Ltd............................. 194,422 898,549
*ArcelorMittal South Africa, Ltd...................... 132,917 512,413
Argent Industrial, Ltd............................... 37,236 25,829
#Astral Foods, Ltd.................................... 192,472 2,127,131
Aveng, Ltd........................................... 2,057,732 7,365,511
AVI, Ltd............................................. 1,505,301 9,947,350
Barloworld, Ltd...................................... 854,276 6,922,746
*Basil Read Holdings, Ltd............................. 225,857 256,515
*Bell Equipment, Ltd.................................. 158,539 365,606
Blue Label Telecoms, Ltd............................. 1,705,489 1,334,277
Brait SE............................................. 647,373 2,544,170
Business Connexion Group, Ltd........................ 1,436,866 811,955
#Capitec Bank Holdings, Ltd........................... 163,600 3,635,373
Cashbuild, Ltd....................................... 116,121 2,007,694
Caxton & CTP Publishers & Printers, Ltd.............. 36,508 69,627
Ceramic Industries, Ltd.............................. 31,493 453,944
Cipla Medpro South Africa, Ltd....................... 2,107,539 1,826,438
City Lodge Hotels, Ltd............................... 192,784 2,048,194
Clicks Group, Ltd.................................... 1,482,749 10,352,580
*Clover Industries, Ltd............................... 223,275 364,498
*Consolidated Infrastructure Group, Ltd............... 20,853 31,683
Coronation Fund Managers, Ltd........................ 1,261,015 4,878,212
*Corpgro, Ltd......................................... 241,136 --
Cullinan Holdings, Ltd............................... 434,430 55,089
Datacentrix Holdings, Ltd............................ 642,400 306,092
DataTec, Ltd......................................... 975,763 6,065,177
Delta EMD, Ltd....................................... 61,447 40,510
Distell Group, Ltd................................... 283,884 3,146,214
*Distribution & Warehousing Network, Ltd.............. 258,997 187,283
*Dorbyl, Ltd.......................................... 179,838 14,585
#DRDGOLD, Ltd......................................... 2,010,416 1,437,040
ElementOne, Ltd...................................... 325,845 365,562
EOH Holdings, Ltd.................................... 448,755 1,913,002
Eqstra Holdings, Ltd................................. 943,105 710,551
*Evraz Highveld Steel & Vanadium, Ltd................. 147,791 288,405
Famous Brands, Ltd................................... 210,023 1,704,942
*Gijima Group, Ltd.................................... 2,803,267 125,658
144
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- -----------
SOUTH AFRICA -- (Continued)
Grindrod, Ltd......................................... 2,313,541 $ 3,947,209
Group Five, Ltd....................................... 494,537 1,415,785
*Holdsport, Ltd........................................ 23,475 121,839
Hudaco Industries, Ltd................................ 189,971 2,367,073
*Hulamin, Ltd.......................................... 328,014 129,636
Iliad Africa, Ltd..................................... 300,748 169,377
Illovo Sugar, Ltd..................................... 1,322,089 4,826,097
*JCI, Ltd.............................................. 3,131,151 --
#JD Group, Ltd......................................... 983,807 5,252,231
JSE, Ltd.............................................. 471,088 3,815,821
Kagiso Media, Ltd..................................... 116,149 268,282
*Kap International Holdings, Ltd....................... 1,870,705 679,077
Lewis Group, Ltd...................................... 525,698 4,179,248
*Litha Healthcare Group, Ltd........................... 46,892 23,275
Mediclinic International, Ltd......................... 658,182 3,561,798
*Merafe Resources, Ltd................................. 6,009,510 479,979
Metair Investments, Ltd............................... 489,998 1,725,044
Mpact, Ltd............................................ 208,559 450,799
Mr. Price Group, Ltd.................................. 506,742 7,804,688
*Murray & Roberts Holdings, Ltd........................ 2,783,531 6,981,927
*Mustek, Ltd........................................... 784,364 516,906
*Mvelaphanda Group, Ltd................................ 607,754 146,777
Mvelaserve, Ltd....................................... 144,333 144,375
Nampak, Ltd........................................... 3,859,288 12,860,050
Network Healthcare Holdings, Ltd...................... 1,145,560 2,368,201
Northam Platinum, Ltd................................. 1,136,248 4,262,733
Nu-World Holdings, Ltd................................ 28,894 62,169
Oceana Group, Ltd..................................... 236,995 1,637,382
*Octodec Investments, Ltd.............................. 4,248 8,900
Omnia Holdings, Ltd................................... 227,872 3,362,270
Palabora Mining Co., Ltd.............................. 84,457 828,450
Peregrine Holdings, Ltd............................... 614,892 773,635
Petmin, Ltd........................................... 1,215,428 301,364
Pinnacle Technology Holdings, Ltd..................... 732,843 1,436,837
#Pioneer Foods, Ltd.................................... 371,877 2,380,275
PPC, Ltd.............................................. 3,061,791 10,222,236
Premium Properties, Ltd............................... 34,094 64,826
PSG Group, Ltd........................................ 742,484 5,416,228
Rainbow Chicken, Ltd.................................. 128,455 191,189
Raubex Group, Ltd..................................... 449,552 864,223
Resilient Property Income Fund, Ltd................... 1,102,911 5,787,791
Reunert, Ltd.......................................... 945,660 8,334,441
*Royal Bafokeng Platinum, Ltd.......................... 146,719 942,933
*Santam, Ltd........................................... 126,274 2,626,188
*Sappi, Ltd............................................ 2,855,413 8,098,615
*Sentula Mining, Ltd................................... 1,367,857 267,362
Spar Group, Ltd. (The)................................ 622,477 8,691,302
Spur Corp., Ltd....................................... 472,394 1,197,562
Stefanutti Stocks Holdings, Ltd....................... 432,875 502,162
Sun International, Ltd................................ 474,631 5,295,679
*Super Group, Ltd...................................... 1,776,232 3,170,069
*Telkom South Africa, Ltd.............................. 1,194,450 2,519,728
*Times Media Group, Ltd................................ 85,496 135,285
Tongaat-Hulett, Ltd................................... 629,016 9,888,343
*Trans Hex Group, Ltd.................................. 91,401 33,280
Trencor, Ltd.......................................... 807,295 5,128,300
Tsogo Sun Holdings, Ltd............................... 57,655 153,267
Value Group, Ltd...................................... 363,719 218,144
Village Main Reef, Ltd................................ 163,218 23,067
Vukile Property Fund, Ltd............................. 85,171 167,144
*Wesizwe Platinum, Ltd................................. 188,468 13,841
145
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ------------
SOUTH AFRICA -- (Continued)
Wilson Bayly Holme-Ovcon, Ltd........................ 304,606 $ 4,979,152
Woolworths Holdings, Ltd............................. 2,818 21,281
Zeder Investments, Ltd............................... 1,791,947 599,265
------------
TOTAL SOUTH AFRICA...................................... 256,200,441
------------
SOUTH KOREA -- (13.8%)
#*3S Korea Co., Ltd.................................... 133,782 1,105,928
#*Actoz Soft Co., Ltd.................................. 8,832 300,088
*Aekyung Petrochemical Co., Ltd....................... 5,759 312,078
#*Agabang&Company...................................... 89,798 768,570
#*Ahnlab, Inc.......................................... 17,412 994,004
AK Holdings, Inc..................................... 10,238 209,798
#Amorepacific Group................................... 10,111 4,358,324
*Anapass, Inc......................................... 11,555 113,122
#Asia Cement Co., Ltd................................. 11,586 610,099
#*Asia Pacific Systems, Inc............................ 79,193 486,711
Asia Paper Manufacturing Co., Ltd.................... 8,190 103,191
*Asiana Airlines, Inc................................. 422,920 2,440,281
#*AtlasBX Co., Ltd..................................... 19,328 599,355
#*AUK Corp............................................. 199,140 387,714
*Autech Corp.......................................... 13,000 85,156
#*Basic House Co., Ltd. (The).......................... 35,470 381,948
*BH Co., Ltd.......................................... 22,530 167,668
#*BHI Co., Ltd......................................... 21,588 489,140
Binggrae Co., Ltd.................................... 22,631 2,459,789
#*Bioland, Ltd......................................... 23,325 367,027
*Biotoxtech Co., Ltd.................................. 3,121 15,104
*Bongshin Co., Ltd.................................... 64 54
Bookook Securities Co., Ltd.......................... 7,410 119,278
*Boryung Medience Co., Ltd............................ 6,228 67,144
#Boryung Pharmaceutical Co., Ltd...................... 12,336 280,817
#*Brain Technology Industries Co., Ltd................. 164,680 427,703
BS Financial Group, Inc.............................. 572,470 6,479,633
#Bu Kwang Pharmaceutical Co., Ltd..................... 69,715 1,064,342
BYC Co., Ltd......................................... 710 120,521
#*Byucksan Corp........................................ 97,000 184,199
#Capro Corp........................................... 112,810 1,334,728
*Celltrion Pharm, Inc................................. 10,537 166,940
#*Chabio & Diostech Co., Ltd........................... 148,781 1,121,462
Charm Engineering Co., Ltd........................... 42,800 75,280
#*Cheil Worldwide, Inc................................. 380,705 7,332,746
*Chemtronics Co., Ltd................................. 8,959 111,565
#*Chin Hung International, Inc......................... 465,277 275,648
*China Great Star International, Ltd.................. 70,146 96,404
#China Ocean Resources Co., Ltd....................... 174,610 616,933
*Choa Pharmaceutical Co............................... 47,413 205,378
#Chong Kun Dang Pharmaceutical Corp................... 47,332 1,505,004
#*Choong Ang Vaccine Laboratory........................ 4,530 55,431
Chosun Refractories Co., Ltd......................... 2,777 161,180
#CJ CGV Co., Ltd...................................... 51,840 1,605,409
CJ Corp.............................................. 63,673 6,210,345
*CJ E&M Corp.......................................... 59,550 1,601,303
*CJ Korea Express Co., Ltd............................ 28,793 2,996,229
#*CJ Seafood Corp...................................... 60,610 171,991
#*CNK International Co., Ltd........................... 41,424 218,137
Cosmax, Inc.......................................... 45,880 2,046,297
#*CosmoAM&T Co., Ltd................................... 20,020 86,360
#*Cosmochemical Co., Ltd............................... 42,160 370,648
*Credu Corp........................................... 2,387 100,659
Crown Confectionery Co., Ltd......................... 2,794 489,137
#*CrucialTec Co., Ltd.................................. 68,719 531,598
146
THE EMERGING MARKETS SMALL CAP SERIES
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SOUTH KOREA -- (Continued)
#*CTC BIO, Inc............................................. 29,932 $ 747,446
Dae Dong Industrial Co., Ltd............................. 31,970 180,106
#Dae Han Flour Mills Co., Ltd............................. 4,399 504,161
*Dae Ho Corp.............................................. 543 65
Dae Won Kang Up Co., Ltd................................. 104,164 725,474
*Dae Young Packaging Co., Ltd............................. 168,970 144,031
*Daechang Co., Ltd........................................ 256,350 293,639
#Daeduck Electronics Co., Ltd............................. 137,537 1,162,333
#Daeduck GDS Co., Ltd..................................... 86,996 948,420
#Daegu Department Store Co., Ltd.......................... 31,060 387,358
#Daehan Steel Co., Ltd.................................... 49,990 416,084
*Daehwa Pharmaceutical Co., Ltd........................... 10,568 102,535
#*Dae-Il Corp.............................................. 45,790 176,249
Daekyo Co., Ltd.......................................... 72,780 401,592
#*Daekyung Machinery & Engineering Co., Ltd................ 67,570 123,284
Daelim Trading Co., Ltd.................................. 17,730 67,585
Daesang Corp............................................. 92,810 2,249,913
Daesang Holdings Co., Ltd................................ 49,362 266,430
Daesung Group Partners Co., Ltd.......................... 1,411 48,093
Daesung Holdings Co., Ltd................................ 18,044 115,231
*Daesung Industrial Co., Ltd.............................. 6,113 101,278
*Daewon Pharmaceutical Co., Ltd........................... 16,360 162,594
Daewoong Co., Ltd........................................ 4,772 91,566
#*Daewoong Pharmaceutical Co., Ltd......................... 18,306 808,956
Dahaam E-Tec Co., Ltd.................................... 2,100 34,245
Daishin Securities Co., Ltd.............................. 188,700 1,503,001
*Daou Data Corp........................................... 28,962 95,667
#Daou Technology, Inc..................................... 167,950 2,384,762
*Dasan Networks, Inc...................................... 38,476 172,370
#*Daum Communications Corp................................. 49,343 4,236,982
#*Dayou Automotive Seat Technology Co., Ltd................ 210,330 332,347
DGB Financial Group, Inc................................. 528,843 6,682,580
#Digital Power Communications Co., Ltd.................... 50,540 126,825
#*Digitech Systems Co., Ltd................................ 56,422 601,169
*DIO Corp................................................. 27,788 303,327
Dong Ah Tire & Rubber Co., Ltd........................... 23,935 337,135
#*Dong Yang Gang Chul Co., Ltd............................. 135,820 274,490
#Dong-A Pharmaceutical Co., Ltd........................... 31,865 3,305,469
*Dong-Ah Geological Engineering Co., Ltd.................. 20,410 169,518
#Dongaone Co., Ltd........................................ 97,470 274,462
Dongbang Agro Co., Ltd................................... 19,470 114,782
Dongbang Transport Logistics Co., Ltd.................... 84,660 307,041
#*Dongbu Corp.............................................. 35,710 111,331
#*Dongbu HiTek Co., Ltd.................................... 118,433 734,494
Dongbu Insurance Co., Ltd................................ 26,510 1,201,269
Dongbu Securities Co., Ltd............................... 105,161 327,806
#*Dongbu Steel Co., Ltd.................................... 108,016 358,904
Dong-Il Corp............................................. 3,283 130,072
Dongil Industries Co., Ltd............................... 4,963 220,814
#*Dongjin Semichem Co., Ltd................................ 54,706 219,613
*Dongkook Industrial Co., Ltd............................. 1,110 2,906
#Dongkuk Steel Mill Co., Ltd.............................. 173,430 2,223,344
*Dongkuk Structure & Construction Co., Ltd................ 13,681 27,765
#*Dongsung Holdings Co., Ltd............................... 71,860 393,599
*Dongsung Pharmaceutical Co., Ltd......................... 27,780 121,908
#Dongwha Pharm Co., Ltd................................... 80,200 477,254
#Dongwon F&B Co., Ltd..................................... 5,751 371,575
Dongwon Industries Co., Ltd.............................. 4,660 1,217,222
*Dongwon Systems Corp..................................... 115,137 109,704
#Dongyang Mechatronics Corp............................... 104,961 883,581
#*Doosan Engineering & Construction Co., Ltd............... 130,020 280,201
147
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
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SOUTH KOREA -- (Continued)
#*Dragonfly GF Co., Ltd.................................... 18,566 $ 278,388
#DRB Holding Co., Ltd..................................... 28,692 152,727
#*DRB Industrial Co., Ltd.................................. 24,966 180,847
#*Duksan Hi-Metal Co., Ltd................................. 57,500 1,074,544
#*DuzonBIzon Co., Ltd...................................... 88,310 890,208
#E1 Corp.................................................. 11,522 655,819
*Eagon Industrial Co., Ltd................................ 530 3,053
*Easy Bio, Inc............................................ 95,290 292,718
*EG Corp.................................................. 11,853 431,158
*e-LITECOM Co., Ltd....................................... 9,681 133,070
#*ELK Corp................................................. 43,460 946,779
*ENF Technology Co., Ltd.................................. 23,120 293,545
*Estechpharma Co., Ltd.................................... 18,250 331,925
*ESTsoft Corp............................................. 2,881 71,868
*Eugene Corp.............................................. 165,308 468,632
*Eugene Investment & Securities Co., Ltd.................. 218,823 501,469
#*Eugene Technology Co., Ltd............................... 55,014 690,001
F&F Co., Ltd............................................. 2,620 14,658
#Fila Korea, Ltd.......................................... 37,181 2,096,426
*Finetex EnE, Inc......................................... 7,215 16,006
*Firstec Co., Ltd......................................... 39,730 68,818
*Flexcom, Inc............................................. 19,256 223,966
#*Foosung Co., Ltd......................................... 276,549 1,297,539
Fursys, Inc.............................................. 14,315 356,682
#*Gamevil, Inc............................................. 15,670 1,634,767
#Gaon Cable Co., Ltd...................................... 1,754 34,798
GIIR, Inc................................................ 10,990 68,961
Global & Yuasa Battery Co., Ltd.......................... 24,460 1,037,225
#Grand Korea Leisure Co., Ltd............................. 117,960 3,318,634
#Green Cross Corp......................................... 21,466 3,108,162
Green Cross Holdings Corp................................ 80,610 1,256,738
*Green Non-Life Insurance Co., Ltd........................ 22,357 --
#GS Global Corp........................................... 53,086 670,937
Gwangju Shinsegae Co., Ltd............................... 2,615 565,678
*Haesung Industrial Co., Ltd.............................. 1,070 30,773
Halla Climate Control Corp............................... 130,180 2,428,105
#Halla Engineering & Construction Corp.................... 74,642 585,832
#Han Kuk Carbon Co., Ltd.................................. 92,113 596,884
#*Hanall Biopharma Co., Ltd................................ 109,748 884,039
Handok Pharmaceuticals Co., Ltd.......................... 13,730 218,776
#Handsome Co., Ltd........................................ 59,419 1,506,714
Hanil Cement Co., Ltd.................................... 16,554 670,451
#*Hanil E-Wha Co., Ltd..................................... 97,050 627,434
#*Hanjin Heavy Industries & Construction Co., Ltd.......... 152,814 1,650,627
#Hanjin Heavy Industries & Construction
Holdings Co., Ltd...................................... 50,610 323,176
*Hanjin P&C Co., Ltd...................................... 23,889 78,897
#*Hanjin Shipping Co., Ltd................................. 379,348 4,221,122
*Hanjin Shipping Holdings Co., Ltd........................ 45,364 230,014
#Hanjin Transportation Co., Ltd........................... 42,781 903,971
#Hankook Shell Oil Co., Ltd............................... 2,802 632,064
*Hankook Synthetics, Inc.................................. 550 48
Hankuk Glass Industries, Inc............................. 11,460 245,659
#*Hanmi Pharm Co., Ltd..................................... 23,028 2,334,654
*Hanmi Science Co., Ltd................................... 13,315 57,341
#Hanmi Semiconductor Co., Ltd............................. 44,760 284,962
#Hansae Co., Ltd.......................................... 15,016 200,207
#Hansae Yes24 Holdings Co., Ltd........................... 36,870 250,218
Hanshin Construction Co., Ltd............................ 6,070 39,598
#Hansol Chemical Co., Ltd................................. 38,900 848,173
#Hansol CSN Co., Ltd...................................... 205,620 542,367
Hansol Paper Co., Ltd.................................... 192,560 1,616,799
148
THE EMERGING MARKETS SMALL CAP SERIES
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SOUTH KOREA -- (Continued)
#*Hansol Technics Co., Ltd................................. 46,531 $ 597,038
#Hanssem Co., Ltd......................................... 40,650 684,559
Hanwha Corp.............................................. 148,570 4,238,003
*Hanwha General Insurance Co., Ltd........................ 71,108 482,355
Hanwha Investment & Securities Co., Ltd.................. 248,311 891,221
Hanwha Timeworld Co., Ltd................................ 8,190 148,616
Hanyang Securities Co., Ltd.............................. 15,710 98,409
#*Heung-A Shipping Co., Ltd................................ 276,430 277,661
*Heungkuk Fire & Marine Insurance Co., Ltd................ 74,867 342,373
#Hite Jinro Co., Ltd...................................... 133,008 3,931,513
Hite Jinro Holdings Co., Ltd............................. 26,810 344,130
HMC Investment Securities Co., Ltd....................... 76,200 899,702
#*HNK Machine Tool Co., Ltd................................ 5,524 56,687
#Hotel Shilla Co., Ltd.................................... 138,708 5,850,171
#Huchems Fine Chemical Corp............................... 102,428 2,221,485
*Huons Co., Ltd........................................... 3,032 35,450
#Husteel Co., Ltd......................................... 17,350 435,902
*Huvitz Co., Ltd.......................................... 9,819 152,004
Hwacheon Machine Tool Co., Ltd........................... 4,979 193,152
*Hwashin Co., Ltd......................................... 85,740 686,393
#*Hy-Lok Corp.............................................. 16,378 330,114
Hyosung Corp............................................. 106,255 5,851,998
*Hyundai BNG Steel Co., Ltd............................... 41,180 371,816
#Hyundai Corp............................................. 48,401 860,511
#Hyundai Development Co................................... 263,190 4,724,226
Hyundai Elevator Co., Ltd................................ 19,777 1,495,573
#Hyundai Engineering Plastics Co., Ltd.................... 75,500 347,434
#Hyundai Greenfood Co., Ltd............................... 187,160 3,104,573
Hyundai Home Shopping Network Corp....................... 27,099 3,216,447
*Hyundai Hy Communications & Networks Co., Ltd............ 650 3,097
Hyundai Marine & Fire Insurance Co., Ltd................. 203,720 6,574,751
Hyundai Mipo Dockyard Co., Ltd........................... 2,711 289,104
Hyundai Securities Co., Ltd.............................. 529,150 4,057,421
#*Hyunjin Materials Co., Ltd............................... 42,833 262,371
*ICD Co., Ltd............................................. 22,074 268,980
#*IHQ, Inc................................................. 126,510 292,534
Il Dong Pharmaceutical Co., Ltd.......................... 39,675 324,306
*IL Yang Pharmaceutical Co., Ltd.......................... 52,958 1,225,269
#Iljin Display Co., Ltd................................... 68,318 1,344,800
#Iljin Electric Co., Ltd.................................. 80,209 337,978
Iljin Holdings Co., Ltd.................................. 8,182 12,589
*Iljin Materials Co., Ltd................................. 14,040 119,505
Ilshin Spinning Co., Ltd................................. 5,058 367,021
Ilsung Pharmaceutical Co., Ltd........................... 2,864 217,508
#iMarketKorea, Inc........................................ 67,570 1,602,334
*INFINITT Co., Ltd........................................ 34,394 279,037
#*Infopia Co., Ltd......................................... 16,625 198,186
#*Infraware, Inc........................................... 62,289 570,967
*InkTec Co., Ltd.......................................... 11,133 255,135
*InnoWireless, Inc........................................ 13,520 257,760
#*Innox Corp............................................... 26,041 464,202
#*Interflex Co., Ltd....................................... 30,388 1,730,898
*Interojo Co., Ltd........................................ 12,840 157,272
#*Interpark Corp........................................... 117,758 899,825
INTOPS Co., Ltd.......................................... 18,951 424,357
Inzi Controls Co., Ltd................................... 14,730 98,380
*INZI Display Co., Ltd.................................... 13,867 41,774
#IS Dongseo Co., Ltd...................................... 43,612 433,501
#ISU Chemical Co., Ltd.................................... 52,430 1,016,755
#IsuPetasys Co., Ltd...................................... 121,160 481,764
#Jahwa Electronics Co., Ltd............................... 36,390 484,743
149
THE EMERGING MARKETS SMALL CAP SERIES
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SOUTH KOREA -- (Continued)
#*JCEntertainment Corp................................... 28,723 $ 616,275
#Jeil Pharmaceutical Co................................. 23,990 379,197
#Jeonbuk Bank, Ltd...................................... 240,199 914,157
#*Jinsung T.E.C.......................................... 39,895 351,887
*Joymax Co.,Ltd......................................... 8,913 248,293
#*JVM Co., Ltd........................................... 7,576 333,383
JW Holdings Corp....................................... 118,294 261,118
#JW Pharmaceutical Corp................................. 32,787 420,968
*JYP Entertainment Corp................................. 15,554 80,942
*KC Cottrell Co., Ltd................................... 10,480 134,479
#KC Tech Co., Ltd....................................... 94,692 327,942
KCC Corp............................................... 3,737 1,048,053
*KCO Energy, Inc........................................ 120 550
Keangnam Enterprises, Ltd.............................. 5,833 31,167
#*KEC Corp............................................... 269,880 133,914
KEPCO Engineering & Construction Co., Inc.............. 6,673 392,546
#*KEPCO Plant Service & Engineering Co., Ltd............. 36,128 1,984,302
#Keyang Electric Machinery Co., Ltd..................... 66,240 150,542
#*Keystone Global........................................ 96,405 240,830
#*KGMobilians Co., Ltd................................... 16,101 158,602
*KH Vatec Co., Ltd...................................... 38,064 399,380
KISCO Corp............................................. 17,070 460,808
KISCO Holdings Co., Ltd................................ 2,292 78,490
Kishin Corp............................................ 49,420 270,385
KISWIRE, Ltd........................................... 21,229 615,947
#Kiwoom Securities Co., Ltd............................. 49,371 2,496,658
*Koentec Co., Ltd....................................... 62,030 122,392
#*Koh Young Technology, Inc.............................. 15,015 347,376
#*Kolao Holdings......................................... 53,870 962,946
#Kolon Corp............................................. 20,079 316,525
#Kolon Global Corp...................................... 165,790 477,205
Kolon Industries, Inc.................................. 74,646 3,799,574
#*Komipharm International Co., Ltd....................... 70,184 602,314
#*Kona@I Co., Ltd........................................ 28,888 460,730
Korea Airport Service Co., Ltd......................... 5,490 143,308
Korea Cast Iron Pipe Industries Co., Ltd............... 8,530 27,261
#*Korea Circuit Co., Ltd................................. 39,170 681,940
*Korea District Heating Corp............................ 2,163 141,372
Korea Electric Terminal Co., Ltd....................... 25,880 616,593
Korea Export Packing Industries Co., Ltd............... 3,990 59,484
Korea Flange Co., Ltd.................................. 1,140 12,954
*Korea Info & Comm...................................... 7,581 28,883
Korea Investment Holdings Co., Ltd..................... 175,310 5,992,811
#*Korea Kolmar Co., Ltd.................................. 58,990 1,568,595
#Korea Kolmar Holdings Co., Ltd......................... 28,403 265,684
#Korea Petrochemical Industrial Co., Ltd................ 12,064 550,678
*Korea Real Estate Investment Trust Co.................. 413,841 537,840
*Korea Reinsurance Co., Ltd............................. 345,047 3,381,279
Korea United Pharm, Inc................................ 27,470 218,912
*Kortek Corp............................................ 25,506 296,946
KP Chemical Corp....................................... 209,271 2,071,391
*KPF.................................................... 10,459 95,803
KPX Chemical Co., Ltd.................................. 5,257 242,063
#*KPX Fine Chemical Co., Ltd............................. 3,376 84,362
*KTB Investment & Securities Co., Ltd................... 232,640 440,152
Kukdo Chemical Co., Ltd................................ 16,872 660,099
Kumho Electric Co., Ltd................................ 16,580 417,407
#*Kumho Industrial Co., Ltd.............................. 43,345 86,404
*Kumho Tire Co., Inc.................................... 210,269 2,520,936
Kunsul Chemical Industrial Co., Ltd.................... 8,190 147,881
#Kwang Dong Pharmaceutical Co., Ltd..................... 161,360 779,181
150
THE EMERGING MARKETS SMALL CAP SERIES
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SOUTH KOREA -- (Continued)
#*Kwang Myung Electric Engineering Co., Ltd.............. 192,960 $ 422,666
Kyeryong Construction Industrial Co., Ltd.............. 16,350 131,309
Kyobo Securities Co., Ltd.............................. 77,310 326,796
#Kyung Dong Navien Co., Ltd............................. 8,700 91,377
*Kyungbang Co., Ltd..................................... 1,150 107,030
Kyungdong City Gas Co., Ltd............................ 7,798 529,296
#Kyung-In Synthetic Corp................................ 58,490 147,204
Kyungnam Energy Co., Ltd............................... 43,020 167,418
*LB Semicon, Inc........................................ 1,590 6,183
*LEENO Industrial, Inc.................................. 5,276 158,251
#LG Fashion Corp........................................ 84,755 2,362,301
#LG Hausys, Ltd......................................... 29,255 2,102,099
#*LG Innotek Co., Ltd.................................... 43,722 3,014,820
#LG International Corp.................................. 123,771 4,489,728
#*LG Life Sciences, Ltd.................................. 51,795 2,167,488
LIG Insurance Co., Ltd................................. 164,230 4,176,808
#Livart Furniture Co., Ltd.............................. 21,190 136,973
#*Lock & Lock Co., Ltd................................... 42,730 812,691
#Lotte Chilsung Beverage Co., Ltd....................... 2,821 3,682,437
#Lotte Confectionary Co., Ltd........................... 2,711 3,903,435
Lotte Midopa Co., Ltd.................................. 73,740 847,395
*Lotte Non-Life Insurance Co., Ltd...................... 56,430 206,528
#Lotte Samkang Co., Ltd................................. 3,138 2,101,900
*Lotte Tour Development Co., Ltd........................ 2,720 30,905
LS Corp................................................ 14,951 1,220,858
#LS Industrial Systems Co., Ltd......................... 63,554 3,968,791
#*Lumens Co., Ltd........................................ 126,762 841,682
Macquarie Korea Infrastructure Fund.................... 1,309,661 8,046,199
*Macrogen, Inc.......................................... 14,277 400,073
*Maeil Dairy Industry Co., Ltd.......................... 28,417 839,564
*Mando Corp............................................. 53 6,981
*Medifron DBT Co., Ltd.................................. 36,454 129,906
#*Medipost Co., Ltd...................................... 26,928 2,119,990
#*Medy-Tox, Inc.......................................... 17,819 1,340,274
*MegaStudy Co., Ltd..................................... 8,839 548,329
#*Melfas, Inc............................................ 64,519 1,241,246
*Meritz Finance Group, Inc.............................. 37,832 125,594
Meritz Fire Marine Insurance Co., Ltd.................. 228,355 3,095,948
Meritz Securities Co., Ltd............................. 823,165 984,913
Mi Chang Oil Industrial Co., Ltd....................... 981 46,768
Mirae Asset Securities Co., Ltd........................ 97,814 2,649,873
*Miwon Chemicals Co., Ltd............................... 1,890 41,901
Miwon Commercial Co., Ltd.............................. 702 85,617
*Miwon Specialty Chemical Co., Ltd...................... 466 87,336
*MK Electron Co., Ltd................................... 14,754 57,891
*MNTech Co., Ltd........................................ 45,825 493,198
#*Modetour Network, Inc.................................. 46,181 1,300,189
#*Monalisa Co., Ltd...................................... 29,240 112,376
#*MonAmi Co., Ltd........................................ 26,170 114,539
#Moorim P&P Co., Ltd.................................... 130,920 427,144
Motonic Corp........................................... 38,180 431,758
#Namhae Chemical Corp................................... 101,184 916,649
#Namyang Dairy Products Co., Ltd........................ 1,390 1,204,747
#National Plastic Co................................... 56,060 130,296
*Neowiz Corp............................................ 9,213 134,625
*Neowiz Games Corp...................................... 50,338 1,137,216
*Neowiz Internet Corp................................... 24,776 307,480
#*NEPES Corp............................................. 69,954 890,402
#Nexen Corp............................................. 33,168 2,560,304
#Nexen Tire Corp........................................ 138,140 2,152,507
NH Investment & Securities Co., Ltd.................... 130,310 602,355
151
THE EMERGING MARKETS SMALL CAP SERIES
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SOUTH KOREA -- (Continued)
NICE Holdings Co., Ltd................................. 311 $ 16,488
NICE Information Service Co., Ltd...................... 485 2,137
#NK Co., Ltd............................................ 76,630 266,571
#Nong Shim Holdings Co., Ltd............................ 6,132 348,382
#NongShim Co., Ltd...................................... 13,669 3,228,633
*Nowcom Co., Ltd........................................ 17,103 172,499
*OCI Materials Co., Ltd................................. 25,097 743,633
#*OPTRON-TEC, Inc........................................ 27,455 256,541
#*Orientbio, Inc......................................... 176,570 131,776
#*Osstem Implant Co., Ltd................................ 52,165 1,511,041
#*Osung LST Co., Ltd..................................... 79,101 245,542
Ottogi Corp............................................ 5,166 1,122,125
Pacific Pharmaceutical Co., Ltd........................ 480 14,865
*Paik Kwang Industrial Co., Ltd......................... 11,300 43,949
*PaperCorea, Inc........................................ 147,900 108,438
#*Partron Co, Ltd........................................ 115,221 1,756,455
#*Pharmicell Co., Ltd.................................... 150,094 801,145
Poongsan Corp.......................................... 86,191 2,509,689
Poongsan Holdings Corp................................. 12,277 261,640
*POSCO Chemtech Co., Ltd................................ 2,941 411,100
POSCO Coated & Color Steel Co., Ltd.................... 6,320 90,911
#*Posco ICT Co., Ltd..................................... 171,688 1,094,507
*Power Logics Co., Ltd.................................. 11,926 43,917
Pulmuone Co., Ltd...................................... 3,026 104,051
Pusan City Gas Co., Ltd................................ 21,570 435,157
*Pyeong Hwa Automotive Co., Ltd......................... 50,980 749,566
*Redrover Co., Ltd...................................... 14,814 81,871
*RFsemi Technologies, Inc............................... 3,800 35,215
#*RNL BIO Co., Ltd....................................... 353,450 1,300,373
#*S&T Corp............................................... 5,003 71,261
#S&T Dynamics Co., Ltd.................................. 104,352 1,043,553
S&T Holdings Co., Ltd.................................. 21,808 187,799
#S&T Motiv Co., Ltd..................................... 34,860 605,550
*S&T Motors Co., Ltd.................................... 188,180 95,537
*S1 Corp................................................ 68,527 4,130,643
Saeron Automotive Corp................................. 10,060 52,315
#Sajo Industries Co., Ltd............................... 10,232 528,440
Sajodaerim Corp........................................ 4,360 56,768
#Sam Jin Pharmaceutical Co., Ltd........................ 42,246 470,864
Sam Lip General Foods Co., Ltd......................... 9,230 216,174
#Sam Young Electronics Co., Ltd......................... 47,570 380,093
Sam Yung Trading Co., Ltd.............................. 40,552 394,577
*Sambu Construction Co., Ltd............................ 2,172 8,030
#Samchully Co., Ltd..................................... 11,307 1,009,633
Samhwa Paints Industrial Co., Ltd...................... 14,530 58,234
#Samick Musical Instruments Co., Ltd.................... 245,620 353,449
Samick THK Co., Ltd.................................... 35,630 193,335
SamkwangGlass Co., Ltd................................. 10,990 687,949
#Samsung Fine Chemicals Co., Ltd........................ 78,296 4,993,788
*Samwhan Corp........................................... 5,480 10,494
#Samyang Foods Co., Ltd................................. 13,450 349,606
Samyang Holdings Corp.................................. 20,208 1,324,822
Samyang Tongsang Co., Ltd.............................. 1,760 36,951
#*Samyoung Chemical Co., Ltd............................. 173,170 530,671
*Sangbo Corp............................................ 23,368 302,799
*Satrec Initiative Co., Ltd............................. 5,805 114,071
SAVEZONE I&C Corp...................................... 24,070 58,919
#SBS Media Holdings Co., Ltd............................ 192,730 1,166,508
#Seah Besteel Corp...................................... 53,905 1,259,133
SeAH Holdings Corp..................................... 4,622 398,072
SeAH Steel Corp........................................ 9,747 840,382
152
THE EMERGING MARKETS SMALL CAP SERIES
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SOUTH KOREA -- (Continued)
Sebang Co., Ltd........................................ 45,065 $ 735,589
#*Seegene, Inc........................................... 24,361 1,746,438
#Sejong Industrial Co., Ltd............................. 38,260 436,835
*Sempio Foods Co........................................ 180 4,470
*S-Energy Co., Ltd...................................... 9,256 79,225
*Seohan Co., Ltd........................................ 128,003 156,001
Seoul City Gas Co., Ltd................................ 389 23,198
#Seowon Co., Ltd........................................ 51,670 167,926
#*Sewon Cellontech Co., Ltd.............................. 103,421 290,486
*SEWOONMEDICAL Co., Ltd................................. 16,668 51,063
*SG Corp................................................ 65,100 38,740
#*SH Energy & Chemical Co., Ltd.......................... 267,990 224,130
#Shinpoong Pharmaceutical Co., Ltd...................... 96,352 451,968
*Shinsegae Co., Ltd..................................... 31,431 5,616,439
Shinsegae Information & Communication Co., Ltd......... 2,612 139,721
*Shinsung Solar Energy Co., Ltd......................... 141,180 230,187
#Shinsung Tongsang Co., Ltd............................. 236,010 274,387
Shinyoung Securities Co., Ltd.......................... 14,050 390,076
*Signetics Corp......................................... 55,612 140,272
#*Silicon Works Co., Ltd................................. 31,316 801,187
Silla Co., Ltd......................................... 20,350 452,575
#*Simm Tech Co., Ltd..................................... 90,780 897,424
*SIMPAC, Inc............................................ 41,370 284,194
Sindoh Co., Ltd........................................ 10,939 663,949
SJM Co., Ltd........................................... 19,030 125,384
SJM Holdings Co., Ltd.................................. 7,727 26,266
*SK Broadband Co., Ltd.................................. 278,839 1,019,768
#SK Chemicals Co., Ltd.................................. 62,098 3,827,445
#*SK Communications Co., Ltd............................. 68,168 557,784
#SK Gas Co., Ltd........................................ 15,519 1,123,784
#SK Networks Co., Ltd................................... 487,040 4,260,256
#SK Securities Co., Ltd................................. 1,165,660 1,238,233
#SKC Co., Ltd........................................... 86,357 3,530,886
#SL Corp................................................ 54,320 629,420
#*S-MAC Co., Ltd......................................... 63,567 887,569
#*Solco Biomedical Co., Ltd.............................. 188,292 245,074
#*Songwon Industrial Co., Ltd............................ 66,030 653,463
#*Sonokong Co., Ltd...................................... 48,235 158,004
#*Ssangbangwool & Trygroup............................... 277,790 304,281
*Ssangyong Cement Industrial Co., Ltd................... 92,691 469,732
#STX Corp............................................... 159,588 1,168,383
#STX Engine Co., Ltd.................................... 103,132 755,246
STX Metal Co, Ltd...................................... 15,830 76,739
#STX Offshore & Shipbuilding Co., Ltd................... 247,140 1,787,535
#STX Pan Ocean Co., Ltd................................. 480,700 1,518,274
#Suheung Capsule Co., Ltd............................... 20,170 338,210
#*Sung Jin Geotec Co., Ltd............................... 70,710 686,333
#Sungchang Enterprise Holdings, Ltd..................... 20,340 445,875
Sunjin Co., Ltd........................................ 11,625 141,722
*Sunjin Holdings Co., Ltd............................... 199 3,659
#*Suprema, Inc........................................... 47,205 808,567
*Synopex, Inc........................................... 226,237 541,310
#Tae Kyung Industrial Co., Ltd.......................... 33,700 104,609
TaeKwang Industrial Co., Ltd........................... 1,485 1,379,867
*Taesan LCD Co., Ltd.................................... 17,008 8,019
#*Taewoong Co., Ltd...................................... 34,187 554,184
#Taeyoung Engineering & Construction Co., Ltd........... 173,010 869,606
*Taihan Electric Wire Co., Ltd.......................... 645,733 956,225
#Tailim Packaging Industries Co., Ltd................... 125,830 194,511
#TCC Steel.............................................. 33,782 147,116
#*Tera Resource Co., Ltd................................. 919,272 1,062,418
153
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ------------
SOUTH KOREA -- (Continued)
#Tong Yang Moolsan Co., Ltd........................... 22,590 $ 326,165
Tong Yang Securities, Inc............................ 12,966 45,686
*Tongyang Life Insurance.............................. 169,210 1,829,220
*Tongyang, Inc........................................ 242,448 179,925
#*Toptec Co., Ltd...................................... 31,498 501,676
*Trais Co., Ltd....................................... 2,787 9,004
*Trigem Computer, Inc................................. 1 --
#TS Corp.............................................. 15,430 374,244
*UBCare Co., Ltd...................................... 63,818 187,201
*Ubivelox, Inc........................................ 6,656 161,897
#*Uju Electronics Co., Ltd............................. 16,116 373,631
#Unid Co., Ltd........................................ 14,854 497,890
Union Steel.......................................... 10,192 116,264
#*Unison Co., Ltd...................................... 106,912 759,462
*VGX International, Inc............................... 4,580 6,812
#*Vieworks Co., Ltd.................................... 32,811 480,585
#*Visang Education, Inc................................ 16,072 191,458
#*Webzen, Inc.......................................... 38,191 322,878
Whanin Pharmaceutical Co., Ltd....................... 37,560 330,846
#*Will-Bes & Co., Ltd. (The)........................... 238,240 636,819
*WiSoL Co., Ltd....................................... 23,449 296,580
#*Woongjin Chemical Co., Inc........................... 1,019,400 541,975
#Woongjin Coway Co., Ltd.............................. 187,030 6,814,273
#*Woongjin Energy Co., Ltd............................. 208,040 357,186
#*Woongjin Holdings Co., Ltd........................... 94,257 147,375
*Woongjin Thinkbig Co., Ltd........................... 80,049 467,645
*Wooree ETI Co., Ltd.................................. 62,889 280,046
Woori Financial Co., Ltd............................. 40,288 607,273
Woori Investment & Securities Co., Ltd............... 578,522 5,585,099
#*WooSung Feed Co., Ltd................................ 81,260 388,448
#*Y G-1 Co., Ltd....................................... 31,254 376,285
*Yedang Company Co., Ltd.............................. 286,173 563,321
YESCO Co., Ltd....................................... 11,440 315,118
#Youlchon Chemical Co., Ltd........................... 41,570 328,093
#Young Poong Corp..................................... 2,754 2,543,456
*Young Poong Mining & Construction Corp............... 1,580 80
#*Young Poong Precision Corp........................... 11,332 124,666
#Youngone Corp........................................ 87,944 2,728,182
#Youngone Holdings Co., Ltd........................... 23,919 1,330,268
Yuhan Corp........................................... 34,258 5,913,574
Yuhwa Securities Co., Ltd............................ 13,060 154,463
#*Yungjin Pharm Co., Ltd............................... 413,212 717,443
*ZeroOne Interactive Co., Ltd......................... 3,200 44
------------
TOTAL SOUTH KOREA....................................... 448,260,929
------------
TAIWAN -- (12.5%)
*A.G.V. Products Corp................................. 1,785,801 549,330
Ability Enterprise Co., Ltd.......................... 1,377,076 1,238,597
AcBel Polytech, Inc.................................. 1,428,599 927,712
Accton Technology Corp............................... 1,924,763 954,120
#Ace Pillar Co., Ltd.................................. 199,008 163,920
ACES Electronic Co., Ltd............................. 287,000 375,855
#ACHEM Technology Corp................................ 619,764 273,580
Acme Electronics Corp................................ 374,295 422,772
Acter Co., Ltd....................................... 139,000 494,961
*Action Electronics Co., Ltd.......................... 892,635 211,897
Actron Technology Corp............................... 192,150 427,989
*A-DATA Technology Co., Ltd........................... 633,000 620,123
#Adlink Technology, Inc............................... 406,985 414,212
Advanced Ceramic X Corp.............................. 173,000 470,745
*Advanced International Multitech Co., Ltd............ 157,000 205,648
154
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
TAIWAN -- (Continued)
#Advancetek Enterprise Co., Ltd......................... 505,917 $ 412,021
*AimCore Technology Co., Ltd............................ 126,000 216,380
#Alcor Micro Corp....................................... 266,000 288,405
#ALI Corp............................................... 1,030,000 1,116,054
Allis Electric Co., Ltd................................ 54,000 15,164
*Alltop Technology Co., Ltd............................. 52,000 56,654
#Alpha Networks, Inc.................................... 1,192,763 758,827
#Altek Corp............................................. 1,587,637 778,884
#Ambassador Hotel (The)................................. 1,057,000 1,089,770
#Ampoc Far-East Co., Ltd................................ 344,444 290,337
AmTRAN Technology Co., Ltd............................. 2,895,951 2,446,152
Anpec Electronics Corp................................. 398,000 237,500
*Apacer Technology, Inc................................. 390,000 328,452
#APCB, Inc.............................................. 544,000 346,949
#Apex Biotechnology Corp................................ 371,483 925,182
Apex Medical Corp...................................... 212,500 218,536
Apex Science & Engineering Corp........................ 134,198 41,396
*Ardentec Corp.......................................... 506,795 314,682
#Arima Communications Corp.............................. 780,719 298,768
*Asia Optical Co., Inc.................................. 928,000 844,719
#*Asia Plastic Recycling Holding, Ltd.................... 106,146 317,386
Asia Polymer Corp...................................... 1,167,484 933,067
#Asia Vital Components Co., Ltd......................... 1,283,052 587,606
#Asrock, Inc............................................ 168,000 580,411
Aten International Co., Ltd............................ 331,479 492,605
Audix Corp............................................. 406,000 328,377
#Aurora Corp............................................ 541,499 813,308
Aurora Systems Corp.................................... 268,244 231,699
AV Tech Corp........................................... 164,000 496,604
Avermedia Technologies, Inc............................ 865,446 400,896
#Avision, Inc........................................... 687,000 179,723
*AVY Precision Technology, Inc.......................... 131,000 223,663
Awea Mechantronic Co., Ltd............................. 137,200 137,719
*Bank of Kaohsiung...................................... 1,547,645 444,403
Basso Industry Corp., Ltd.............................. 509,000 287,357
*BenQ Materials Corp.................................... 505,000 177,719
BES Engineering Corp................................... 6,859,750 1,674,651
Bin Chuan Enterprise Co., Ltd.......................... 150,000 166,099
*Bionet Corp............................................ 136,000 162,813
Biostar Microtech International Corp................... 619,975 207,624
*Boardtek Electronics Corp.............................. 484,000 272,510
Bright Led Electronics Corp............................ 502,520 204,411
#C Sun Manufacturing, Ltd............................... 525,221 335,006
#*Cameo Communications, Inc.............................. 921,818 204,956
Capella Microsystems Taiwan, Inc....................... 106,000 665,171
Capital Securities Corp................................ 6,679,142 2,218,018
#Career Technology (MFG.) Co., Ltd...................... 1,034,000 1,338,950
#*Carnival Industrial Corp............................... 1,266,000 399,009
Cathay Chemical Works, Inc............................. 30,000 12,318
Cathay Real Estate Development Co., Ltd................ 3,127,000 1,438,694
*Celxpert Energy Corp................................... 100,000 67,133
*Center Laboratories, Inc............................... 102,000 110,205
*Central Reinsurance Co., Ltd........................... 826,402 363,085
ChainQui Construction Development Co., Ltd............. 347,083 206,079
#Champion Building Materials Co., Ltd................... 1,349,851 466,115
#Chang Wah Electromaterials, Inc........................ 125,517 363,962
Charoen Pokphand Enterprises Co., Ltd.................. 771,000 364,015
*Chaun-Choung Technology Corp........................... 212,000 297,158
#CHC Resources Corp..................................... 308,348 489,343
*Chen Full International Co., Ltd....................... 9,000 4,942
*Chenbro Micom Co., Ltd................................. 108,000 113,004
155
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ----------
TAIWAN -- (Continued)
Cheng Loong Corp...................................... 3,528,383 $1,412,547
Cheng Uei Precision Industry Co., Ltd................. 1,509,331 3,338,099
#*Chenming Mold Industrial Corp......................... 462,437 423,869
Chia Hsin Cement Corp................................. 1,674,121 753,089
Chicony Electronics Co., Ltd.......................... 1,226,729 2,689,195
#Chien Kuo Construction Co., Ltd....................... 1,111,312 494,190
*Chien Shing Stainless Steel Co., Ltd.................. 70,000 7,325
#Chilisin Electronics Corp............................. 315,535 169,374
*Chimei Materials Technology Corp...................... 500,000 479,722
#China Chemical & Pharmaceutical Co., Ltd.............. 1,041,000 649,090
#China Ecotek Corp..................................... 187,000 408,224
#China Electric Manufacturing Corp..................... 1,148,900 669,858
*China General Plastics Corp........................... 1,086,000 478,973
#China Glaze Co., Ltd.................................. 518,139 226,625
*China ManMade Fibers Corp............................. 4,563,879 1,535,277
China Metal Products Co., Ltd......................... 1,023,278 931,094
China Motor Corp...................................... 1,379,609 1,236,373
*China Rebar Co., Ltd.................................. 55,174 --
China Steel Chemical Corp............................. 543,554 2,363,154
China Steel Structure Co., Ltd........................ 474,000 465,562
China Synthetic Rubber Corp........................... 1,851,563 1,979,637
*China United Trust & Investment Corp.................. 164,804 --
*China Wire & Cable Co., Ltd........................... 592,000 203,453
#Chinese Gamer International Corp...................... 151,000 252,793
Chinese Maritime Transport, Ltd....................... 436,850 502,044
#Chin-Poon Industrial Co., Ltd......................... 1,459,207 1,584,270
Chipbond Technology Corp.............................. 1,481,000 2,506,794
#Chong Hong Construction Co............................ 564,646 1,291,101
*Chou Chin Industrial Co., Ltd......................... 825 --
#Chroma Ate, Inc....................................... 1,189,821 2,262,157
*Chun Yu Works & Co., Ltd.............................. 822,000 283,925
#Chun Yuan Steel Industrial Co., Ltd................... 1,637,529 619,050
*Chung Hung Steel Corp................................. 3,418,979 862,198
#*Chung Hwa Pulp Corp................................... 2,081,031 632,150
Chung-Hsin Electric & Machinery Manufacturing Corp.... 1,533,000 805,040
*Chunghwa Chemical Synthesis & Biotech Co., Ltd........ 195,000 334,606
*Chungwa Picture Tubes Co., Ltd........................ 16,175,000 502,853
Clevo Co., Ltd........................................ 1,613,000 2,106,539
#*CMC Magnetics Corp.................................... 10,279,960 1,532,474
*CoAsia Microelectronics Corp.......................... 200,000 157,586
#Collins Co., Ltd...................................... 555,431 213,687
#*Compal Communications, Inc............................ 1,153,000 1,026,862
#Compeq Manufacturing Co., Ltd......................... 3,744,000 1,381,392
*Concord Securities Corp............................... 643,000 133,486
Continental Holdings Corp............................. 1,599,067 574,511
*Coretronic Corp....................................... 2,328,000 1,685,850
*Cosmo Electronics Corp................................ 244,137 207,240
#*Cosmos Bank Taiwan.................................... 1,145,000 273,835
#Coxon Precise Industrial Co., Ltd..................... 416,000 788,023
Creative Sensor, Inc.................................. 85,000 41,567
*Crystalwise Technology, Inc........................... 266,000 190,992
CSBC Corp. Taiwan..................................... 1,325,610 771,148
CTCI Corp............................................. 878,013 1,744,731
#CviLux Corp........................................... 238,039 334,500
#Cyberlink Corp........................................ 301,281 1,087,229
*CyberPower Systems, Inc............................... 67,000 120,284
#Cybertan Technology, Inc.............................. 1,152,779 803,860
#Da Cin Construction Co., Ltd.......................... 639,711 414,693
Dah Fung CATV Co., Ltd................................ 201,400 373,007
*Da-Li Construction Co., Ltd........................... 40,000 36,995
Darfon Electronics Corp............................... 1,186,550 673,440
156
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
TAIWAN -- (Continued)
#Davicom Semiconductor, Inc............................. 127,888 $ 66,447
De Licacy Industries Co., Ltd.......................... 70,000 21,128
Delpha Construction Co., Ltd........................... 859,931 258,643
Depo Auto Parts Industrial Co., Ltd.................... 387,000 807,380
*Der Pao Construction Co., Ltd.......................... 2,523 13,360
DFI, Inc............................................... 143,524 108,288
*Dimerco Express Corp................................... 347,000 218,645
D-Link Corp............................................ 2,537,665 1,423,652
Dynamic Electronics Co., Ltd........................... 993,312 311,475
*Dynapack International Technology Corp................. 490,000 1,777,388
*Eastern Media International Corp....................... 3,279,337 431,655
Eclat Textile Co., Ltd................................. 543,022 1,604,641
*Edimax Technology Co., Ltd............................. 587,000 218,777
*Edison Opto Corp....................................... 301,000 324,071
Edom Technology Co., Ltd............................... 172,776 57,097
*eGalax_eMPIA Technology, Inc........................... 150,000 251,946
Elan Microelectronics Corp............................. 1,342,715 2,074,303
#*E-Lead Electronic Co., Ltd............................. 228,942 196,627
#E-LIFE MALL Corp., Ltd................................. 313,000 698,323
#Elite Advanced Laser Corp.............................. 263,000 293,891
#Elite Material Co., Ltd................................ 1,083,350 1,070,401
Elite Semiconductor Memory Technology, Inc............. 1,008,200 668,434
#Elitegroup Computer Systems Co., Ltd................... 2,567,182 694,509
eMemory Technology, Inc................................ 237,000 449,825
ENG Electric Co., Ltd.................................. 467,580 382,538
#EnTie Commercial Bank.................................. 1,567,603 756,114
*Episil Technologies, Inc............................... 484,000 124,229
#Eternal Chemical Co., Ltd.............................. 2,732,794 2,125,646
#*E-Ton Solar Tech Co., Ltd.............................. 746,000 227,281
*Etron Technology Inc................................... 605,000 138,836
*Everest Textile Co., Ltd............................... 978,562 252,161
Evergreen International Storage & Transport Corp....... 2,334,000 1,439,720
#Everlight Chemical Industrial Corp..................... 1,338,175 809,611
#Everlight Electronics Co., Ltd......................... 1,352,000 1,408,953
Excel Cell Electronics Co., Ltd........................ 105,000 36,630
#Excelsior Medical Co., Ltd............................. 335,654 612,675
Far Eastern International Bank......................... 5,021,770 1,847,297
#Faraday Technology Corp................................ 1,207,648 1,477,348
*Farglory F T Z Investment Holding Co., Ltd............. 235,000 149,770
Federal Corp........................................... 1,432,682 924,185
*Feedback Technology Corp............................... 107,000 216,102
Feng Hsin Iron & Steel Co., Ltd........................ 1,664,100 2,630,285
#Feng Tay Enterprise Co., Ltd........................... 891,006 999,870
*Firich Enterprises Co., Ltd............................ 561,610 647,684
*First Copper Technology Co., Ltd....................... 834,000 285,365
#First Hotel............................................ 562,019 363,323
First Insurance Co., Ltd............................... 883,179 445,245
First Steamship Co., Ltd............................... 554,200 427,418
#FLEXium Interconnect, Inc.............................. 579,362 2,355,524
#Flytech Technology Co., Ltd............................ 278,206 576,718
Forhouse Corp.......................................... 1,683,635 819,977
#Formosa Advanced Technologies Co., Ltd................. 550,000 291,556
#*Formosa Epitaxy, Inc................................... 1,263,811 828,951
Formosa International Hotels Corp...................... 143,858 1,536,867
*Formosa Laboratories, Inc.............................. 114,000 174,927
Formosa Oilseed Processing Co., Ltd.................... 304,567 133,952
*Formosa Optical Technology Co., Ltd.................... 133,000 341,470
Formosan Rubber Group, Inc............................. 1,698,000 1,147,860
Formosan Union Chemical Corp........................... 1,114,218 622,218
#Fortune Electric Co., Ltd.............................. 502,078 204,379
Founding Construction & Development Co., Ltd........... 643,745 391,693
157
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ----------
TAIWAN -- (Continued)
*Foxlink Image Technology Co., Ltd..................... 410,000 $ 302,144
*Froch Enterprise Co., Ltd............................. 620,000 209,566
FSP Technology, Inc................................... 642,887 567,293
Fu I Industrial Co., Ltd.............................. 6,701 12,135
#Fullerton Technology Co., Ltd......................... 398,600 317,021
*Fulltech Fiber Glass Corp............................. 709,000 311,220
Fwusow Industry Co., Ltd.............................. 694,477 358,778
#G Shank Enterprise Co., Ltd........................... 669,013 376,407
Gamania Digital Entertainment Co., Ltd................ 356,000 303,038
Gem Terminal Industries Co., Ltd...................... 23,386 9,440
Gemtek Technology Corp................................ 1,217,219 1,198,713
General Plastic Industrial Co., Ltd................... 137,553 115,730
#*Genesis Photonics, Inc................................ 903,363 615,978
#Genius Electronic Optical Co., Ltd.................... 161,030 1,077,973
*Genmont Biotech, Inc.................................. 126,000 175,065
GeoVision, Inc........................................ 152,207 572,333
#Getac Technology Corp................................. 1,446,360 652,639
Giant Manufacturing Co., Ltd.......................... 112,776 582,509
#*Giantplus Technology Co., Ltd......................... 816,900 232,833
*Giga Solar Materials Corp............................. 52,000 350,557
Giga Solution Tech Co., Ltd........................... 365,446 187,409
#Gigabyte Technology Co., Ltd.......................... 1,996,800 1,645,713
#Gigastorage Corp...................................... 1,087,561 572,003
#*Gintech Energy Corp................................... 1,351,936 970,401
#Global Brands Manufacture, Ltd........................ 1,002,359 341,549
#Global Mixed Mode Technology, Inc..................... 286,000 920,686
#Global Unichip Corp................................... 307,000 972,811
#Globe Union Industrial Corp........................... 950,944 411,597
Gloria Material Technology Corp....................... 1,582,015 1,243,410
*Gold Circuit Electronics, Ltd......................... 1,804,227 341,225
Goldsun Development & Construction Co., Ltd........... 5,187,722 1,827,236
Good Will Instrument Co., Ltd......................... 191,146 114,836
#Grand Pacific Petrochemical Corp...................... 3,821,000 1,966,151
#Grape King, Inc....................................... 419,000 966,589
#Great China Metal Industry Co., Ltd................... 576,000 631,404
Great Taipei Gas Co., Ltd............................. 1,220,000 795,325
#Great Wall Enterprise Co., Ltd........................ 1,476,057 1,262,110
#*Green Energy Technology, Inc.......................... 1,128,457 540,122
#*G-Tech Optoelectronics Corp........................... 353,000 855,300
*GTM Corp.............................................. 524,000 235,569
Hannstar Board Corp................................... 1,049,049 491,218
*HannStar Display Corp................................. 10,217,494 805,938
*HannsTouch Solution, Inc.............................. 2,778,130 773,237
#Harvatek Corp......................................... 672,623 252,924
#Hey Song Corp......................................... 1,487,000 1,737,538
Highwealth Construction Corp.......................... 251,000 365,599
#Hiti Digital, Inc..................................... 374,573 154,443
#Hitron Technologies, Inc.............................. 650,213 320,087
#*Ho Tung Holding Corp.................................. 2,522,182 1,251,498
Hocheng Corp.......................................... 957,700 287,650
Hold-Key Electric Wire & Cable Co., Ltd............... 360,191 120,234
#Holiday Entertainment Co., Ltd........................ 248,800 343,764
Holtek Semiconductor, Inc............................. 640,000 632,643
Holy Stone Enterprise Co., Ltd........................ 1,166,183 941,495
Hong Ho Precision Textile Co., Ltd.................... 4,000 2,341
Hong Tai Electric Industrial Co., Ltd................. 918,000 296,781
Hong Yi Fiber Industry Co., Ltd....................... 75,652 23,287
*Horizon Securities Co., Ltd........................... 616,000 139,135
#*Hota Industrial Manufacturing Co., Ltd................ 706,000 420,886
Howarm Construction Co., Ltd.......................... 307,813 231,652
#Hsin Kuang Steel Co., Ltd............................. 1,012,443 580,020
158
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
TAIWAN -- (Continued)
*Hsin Yung Chien Co., Ltd............................... 120,000 $ 321,007
Hsing Ta Cement Co., Ltd............................... 620,000 222,824
Hu Lane Associate, Inc................................. 114,559 181,289
*Hua Eng Wire & Cable Co., Ltd.......................... 1,815,565 661,358
Huaku Development Co., Ltd............................. 911,816 1,854,886
#Huang Hsiang Construction Co........................... 432,800 1,021,436
*Huga Optotech, Inc..................................... 137,000 44,026
Hung Ching Development & Construction Co., Ltd......... 449,000 175,818
Hung Poo Real Estate Development Corp.................. 939,185 864,882
Hung Sheng Construction Co., Ltd....................... 2,016,400 1,089,755
*Hwa Fong Rubber Co., Ltd............................... 796,670 164,247
Ibase Technology, Inc.................................. 332,247 391,776
#*Ichia Technologies, Inc................................ 1,433,000 553,533
#*I-Chiun Precision Industry Co., Ltd.................... 822,313 491,856
*ICP Electronics, Inc................................... 742,300 922,576
#ILI Technology Corp.................................... 196,000 600,185
#*Infortrend Technology, Inc............................. 1,012,163 529,304
#*Inotera Memories, Inc.................................. 6,159,000 835,201
#Insyde Software Corp................................... 100,000 294,964
#*Integrated Memory Logic, Ltd........................... 201,001 663,294
*International Games System Co., Ltd.................... 217,000 776,315
Inventec Corp.......................................... 2,692,014 919,800
#I-Sheng Electric Wire & Cable Co., Ltd................. 419,000 565,826
#*ITE Technology, Inc.................................... 706,408 503,481
ITEQ Corp.............................................. 1,127,614 1,178,033
*J Touch Corp........................................... 322,000 213,693
*Janfusun Fancyworld Corp............................... 655,000 101,937
*Jenn Feng New Energy Co., Ltd.......................... 33,000 9,035
Jentech Precision Industrial Co., Ltd.................. 213,868 432,754
#*Jess-Link Products Co., Ltd............................ 622,900 489,415
*Jih Sun Financial Holdings Co., Ltd.................... 949,154 247,345
Johnson Health Tech Co., Ltd........................... 217,758 528,348
Jui Li Enterprise Co., Ltd............................. 241,080 63,211
Kang Na Hsiung Enterprise Co., Ltd..................... 377,020 158,015
*Kao Hsing Chang Iron & Steel Corp...................... 784,000 158,663
Kaori Heat Treatment Co., Ltd.......................... 233,200 301,046
#Kaulin Manufacturing Co., Ltd.......................... 498,330 279,495
*KD Holding Corp........................................ 7,000 33,541
#Kee Tai Properties Co., Ltd............................ 1,362,473 885,403
#Kenda Rubber Industrial Co., Ltd....................... 1,778,449 2,067,282
*Kenmec Mechanical Engineering Co., Ltd................. 277,000 78,875
Kerry TJ Logistics Co., Ltd............................ 1,241,000 1,977,674
Kian Shen Corp......................................... 1,000 1,580
King Core Electronics, Inc............................. 10,729 6,109
#King Slide Works Co., Ltd.............................. 176,550 990,028
King Yuan Electronics Co., Ltd......................... 4,525,979 2,459,330
Kingdom Construction Co., Ltd.......................... 1,482,000 951,145
*King's Town Bank....................................... 3,069,701 2,098,471
King's Town Construction Co., Ltd...................... 758,210 730,725
Kinik Co............................................... 495,000 673,363
#Kinko Optical Co., Ltd................................. 570,000 752,986
Kinpo Electronics, Inc................................. 4,020,157 808,556
#KS Terminals, Inc...................................... 320,482 233,039
#Kung Long Batteries Industrial Co., Ltd................ 271,000 545,663
*Kung Sing Engineering Corp............................. 330,000 93,850
*Kuo Toong International Co., Ltd....................... 256,000 149,074
#Kuoyang Construction Co., Ltd.......................... 1,588,000 719,522
*Kwong Fong Industries Corp............................. 1,307,200 719,491
#*KYE Systems Corp....................................... 1,054,903 302,980
L&K Engineering Co., Ltd............................... 523,048 492,999
Lan Fa Textile Co., Ltd................................ 761,933 202,969
159
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ----------
TAIWAN -- (Continued)
Laser Tek Taiwan Co., Ltd............................. 45,150 $ 29,651
LCY Chemical Corp..................................... 345,383 356,674
Leader Electronics, Inc............................... 316,000 174,500
#Leadtrend Technology Corp............................. 136,086 212,175
Lealea Enterprise Co., Ltd............................ 2,630,542 921,263
Ledtech Electronics Corp.............................. 189,000 58,216
#Lee Chi Enterprises Co., Ltd.......................... 687,000 253,663
#*Leofoo Development Co., Ltd........................... 914,000 471,836
#Les Enphants Co., Ltd................................. 666,754 461,613
*Lextar Electronics Corp............................... 620,000 489,387
#*Li Peng Enterprise Co., Ltd........................... 1,970,722 557,597
Lian HWA Food Corp.................................... 215,157 253,744
Lien Hwa Industrial Corp.............................. 1,842,676 1,154,536
#Lingsen Precision Industries, Ltd..................... 1,361,506 656,212
#LITE-ON IT Corp....................................... 1,579,423 1,323,409
#Lite-On Semiconductor Corp............................ 1,108,730 473,757
*Long Bon International Co., Ltd....................... 1,100,945 719,371
*Long Chen Paper Co., Ltd.............................. 1,514,674 388,096
*Longwell Co........................................... 382,000 386,551
#Lotes Co., Ltd........................................ 226,778 681,318
*Lucky Cement Corp..................................... 677,000 143,154
#Lumax International Corp., Ltd........................ 368,770 699,942
Macroblock, Inc....................................... 107,000 397,438
Macronix International Co., Ltd....................... 13,013,481 3,380,857
*MacroWell OMG Digital Entertainment Co., Ltd.......... 35,000 110,416
*Makalot Industrial Co., Ltd........................... 479,202 1,446,386
#Marketech International Corp.......................... 517,000 252,786
Masterlink Securities Corp............................ 3,843,000 1,121,649
#*Mayer Steel Pipe Corp................................. 760,567 286,309
Maywufa Co., Ltd...................................... 170,322 89,785
*Medigen Biotechnology Corp............................ 284,000 1,149,659
*Meiloon Co., Ltd...................................... 428,053 150,824
Mercuries & Associates, Ltd........................... 1,142,438 976,225
Merida Industry Co., Ltd.............................. 747,696 2,863,884
Merry Electronics Co., Ltd............................ 813,481 959,407
#Microbio Co., Ltd..................................... 933,180 916,118
#*Microelectronics Technology, Inc...................... 1,557,527 590,594
*Microlife Corp........................................ 34,000 55,983
Micro-Star International Co., Ltd..................... 3,209,075 1,448,953
#Min Aik Technology Co., Ltd........................... 561,316 1,511,790
#Mirle Automation Corp................................. 512,009 324,948
#Mitac International Corp.............................. 4,439,000 1,467,353
*Mosel Vitelic, Inc.................................... 23,644 1,481
#*Motech Industries, Inc................................ 1,116,000 859,593
MPI Corp.............................................. 239,000 351,856
#Nak Sealing Technologies Corp......................... 213,954 345,139
#Namchow Chemical Industrial Co., Ltd.................. 660,000 630,426
*Nan Ren Lake Leisure Amusement Co., Ltd............... 276,000 94,515
Nankang Rubber Tire Co., Ltd.......................... 2,148,952 2,482,215
#Nantex Industry Co., Ltd.............................. 903,138 576,552
*Nanya Technology Corp................................. 2,937,000 140,514
#National Petroleum Co., Ltd........................... 711,824 713,653
#*Neo Solar Power Corp.................................. 2,040,000 982,802
*Netronix, Inc......................................... 236,000 413,334
New Asia Construction & Development Co., Ltd.......... 489,137 135,262
*New Era Electronics Co., Ltd.......................... 245,000 209,239
Newmax Technology Co., Ltd............................ 247,000 347,568
*Nexcom International Co., Ltd......................... 117,000 99,914
#Nichidenbo Corp....................................... 286,984 197,714
#Nien Hsing Textile Co., Ltd........................... 1,032,612 706,801
*Nishoku Technology, Inc............................... 55,000 100,596
160
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ----------
TAIWAN -- (Continued)
*Nuvoton Technology Corp............................... 213,000 $ 205,916
*Ocean Plastics Co., Ltd............................... 580,200 466,545
OptoTech Corp......................................... 2,171,886 805,263
*Orient Semiconductor Electronics, Ltd................. 1,846,000 252,431
#Oriental Union Chemical Corp.......................... 2,601,267 2,757,785
#Orise Technology Co., Ltd............................. 322,000 356,986
Pacific Construction Co., Ltd......................... 661,921 176,772
*Pan Jit International, Inc............................ 1,280,541 424,530
*Pan-International Industrial Corp..................... 1,366,893 1,127,790
#Paragon Technologies Co., Ltd......................... 276,571 318,775
PChome Online, Inc.................................... 53,000 239,607
#Phihong Technology Co., Ltd........................... 936,901 613,191
*Phoenix Tours International, Inc...................... 171,000 366,585
#*Phytohealth Corp...................................... 561,926 874,342
*Picvue Electronics, Ltd............................... 72,760 --
#*Pihsiang Machinery Manufacturing Co., Ltd............. 505,534 597,601
#*Pixart Imaging, Inc................................... 303,150 626,957
Plotech Co., Ltd...................................... 146,000 56,421
#Polytronics Technology Corp........................... 223,027 388,992
*Portwell, Inc......................................... 292,000 279,557
*Posiflex, Inc......................................... 21,000 40,325
*Potrans Electrical Corp............................... 228,000 34,029
*Power Quotient International Co., Ltd................. 905,000 377,262
Powercom Co., Ltd..................................... 677,140 151,100
#*Powertech Industrial Co., Ltd......................... 363,000 233,490
*Poya Co., Ltd......................................... 93,000 218,290
*President Securities Corp............................. 2,848,488 1,534,353
Prime Electronics and Satellitics, Inc................ 490,879 429,768
Prince Housing & Development Corp..................... 3,051,782 2,050,250
*Procomp Informatics, Ltd.............................. 21,675 --
*Prodisc Technology, Inc............................... 1,707,199 9,935
#Promate Electronic Co., Ltd........................... 602,000 480,973
#*Promise Technology, Inc............................... 503,286 189,224
*Protop Technology Co., Ltd............................ 192,000 1,380
*P-Two Industries, Inc................................. 13,000 7,071
#*Qisda Corp............................................ 5,565,900 1,198,639
*Quanta Storage, Inc................................... 352,000 209,186
#Quintain Steel Co., Ltd............................... 1,312,824 280,505
#Radium Life Tech Corp................................. 2,143,902 1,332,960
Ralec Electronic Corp................................. 103,209 95,852
#Realtek Semiconductor Corp............................ 1,659,420 3,119,720
#Rechi Precision Co., Ltd.............................. 1,012,387 721,863
*Rexon Industrial Corp., Ltd........................... 126,000 23,445
*Rich Development Co., Ltd............................. 1,063,974 515,171
Richtek Technology Corp............................... 539,000 2,929,959
#*Ritek Corp............................................ 10,463,387 1,069,488
*Ruentex Engineering & Construction Co................. 14,000 17,227
*Run Long Construction Co., Ltd........................ 296,000 351,257
*Sainfoin Technology Corp.............................. 131,260 --
Sampo Corp............................................ 2,369,327 732,361
San Fang Chemical Industry Co., Ltd................... 487,789 384,633
*San Shing Fastech Corp................................ 18,000 26,195
#*Sanyang Industrial Co., Ltd........................... 2,704,628 1,719,689
#Sanyo Electric Taiwan Co., Ltd........................ 508,000 513,594
SCI Pharmtech, Inc.................................... 71,936 153,006
#SDI Corp.............................................. 446,000 293,490
Senao International Co., Ltd.......................... 375,541 1,221,521
#*Sercomm Corp.......................................... 649,000 871,778
#Sesoda Corp........................................... 489,250 517,182
Shan-Loong Transportation Co., Ltd.................... 24,000 17,536
Sheng Yu Steel Co., Ltd............................... 552,980 338,711
161
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
TAIWAN -- (Continued)
#ShenMao Technology, Inc................................ 341,891 $ 368,700
Shih Wei Navigation Co., Ltd........................... 650,598 536,551
#Shihlin Electric & Engineering Corp.................... 1,191,000 1,414,082
#*Shihlin Paper Corp..................................... 446,000 681,748
Shin Hai Gas Corp...................................... 1,050 1,355
#Shin Zu Shing Co., Ltd................................. 394,144 1,361,091
#*Shining Building Business Co., Ltd..................... 855,882 593,405
#Shinkong Insurance Co., Ltd............................ 798,131 509,374
Shinkong Synthetic Fibers Co., Ltd..................... 7,179,395 2,201,323
Shiny Chemical Industrial Co., Ltd..................... 186,000 246,936
*Shuttle, Inc........................................... 1,025,152 348,790
#Sigurd Microelectronics Corp........................... 1,526,974 1,266,433
*Silicon Integrated Systems Corp........................ 2,289,820 837,792
#Silitech Technology Corp............................... 495,533 736,801
#Sinbon Electronics Co., Ltd............................ 640,000 561,313
Sincere Navigation Corp................................ 1,244,786 1,043,215
*Singatron Enterprise Co., Ltd.......................... 163,000 128,160
Sinkang Industries, Ltd................................ 153,521 51,832
#Sinkong Textile Co., Ltd............................... 695,542 835,013
Sinmag Equipment Corp.................................. 109,200 450,573
#*Sino-American Silicon Products, Inc.................... 1,231,000 1,187,699
#Sinon Corp............................................. 1,348,510 590,567
#Sinphar Pharmaceutical Co., Ltd........................ 464,588 451,336
#Sinyi Realty Co., Ltd.................................. 610,636 816,834
*Sirtec International Co., Ltd.......................... 295,000 327,747
#Sitronix Technology Corp............................... 427,879 535,947
*Siward Crystal Technology Co., Ltd..................... 447,000 124,255
Skymedi Corp........................................... 205,000 190,311
*Soft-World International Corp.......................... 390,000 594,109
Solar Applied Materials Technology Co.................. 980,581 1,092,738
*Solomon Technology Corp................................ 147,138 55,621
#*Solytech Enterprise Corp............................... 702,000 203,944
#Sonix Technology Co., Ltd.............................. 625,000 772,863
Southeast Cement Co., Ltd.............................. 899,700 392,289
Spirox Corp............................................ 66,000 25,172
Sporton International, Inc............................. 79,960 181,402
*St. Shine Optical Co., Ltd............................. 146,000 1,906,941
#Standard Chemical & Pharmaceutical Co., Ltd............ 331,571 274,387
Star Comgistic Capital Co., Ltd........................ 344,785 123,620
#Stark Technology, Inc.................................. 445,860 366,689
#Sunonwealth Electric Machine Industry Co., Ltd......... 576,487 345,143
*Sunplus Technology Co., Ltd............................ 2,080,000 579,813
#Sunrex Technology Corp................................. 768,736 322,255
Sunspring Metal Corp................................... 167,000 153,418
#Super Dragon Technology Co., Ltd....................... 202,382 160,637
#Supreme Electronics Co., Ltd........................... 743,000 270,655
*Swancor Ind Co., Ltd................................... 70,000 93,409
Sweeten Construction Co., Ltd.......................... 386,889 211,366
Syncmold Enterprise Corp............................... 398,000 685,690
*Synmosa Biopharma Corp................................. 175,000 177,265
*Sysage Technology Co., Ltd............................. 100,000 84,298
Sysware Systex Corp.................................... 242,388 255,856
Ta Chen Stainless Pipe Co., Ltd........................ 1,927,953 933,477
*Ta Chong Bank, Ltd..................................... 5,718,322 1,793,477
*Ta Chong Securities Co., Ltd........................... 84,000 20,856
Ta Ya Electric Wire & Cable Co., Ltd................... 2,147,306 494,373
#Ta Yih Industrial Co., Ltd............................. 194,000 318,196
#Tah Hsin Industrial Corp............................... 455,000 427,920
*TAI Roun Products Co., Ltd............................. 239,000 85,047
#TA-I Technology Co., Ltd............................... 655,778 372,306
Taichung Commercial Bank............................... 6,136,592 1,941,231
162
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
TAIWAN -- (Continued)
*TaiDoc Technology Corp................................. 87,000 $ 126,860
#*Taiflex Scientific Co., Ltd............................ 626,000 653,582
*Taimide Tech, Inc...................................... 162,000 168,577
#Tainan Enterprises Co., Ltd............................ 465,370 452,085
#Tainan Spinning Co., Ltd............................... 3,639,988 1,605,370
#Taisun Enterprise Co., Ltd............................. 1,127,428 601,330
Taita Chemical Co., Ltd................................ 724,952 214,486
#Taiwan Acceptance Corp................................. 264,480 567,665
*Taiwan Business Bank................................... 758,933 210,938
#Taiwan Cogeneration Corp............................... 1,235,566 792,407
#Taiwan Fire & Marine Insurance Co., Ltd................ 853,338 598,452
*Taiwan Flourescent Lamp Co., Ltd....................... 176,000 17,954
Taiwan Fu Hsing Industrial Co., Ltd.................... 506,000 400,043
Taiwan Hon Chuan Enterprise Co., Ltd................... 938,814 1,997,210
*Taiwan Hopax Chemicals Manufacturing Co., Ltd.......... 192,120 76,285
*Taiwan Kolin Co., Ltd.................................. 1,356,000 --
*Taiwan Land Development Corp........................... 2,458,483 957,241
#*Taiwan Life Insurance Co., Ltd......................... 1,360,232 806,459
#Taiwan Line Tek Electronic Co., Ltd.................... 301,529 304,715
Taiwan Mask Corp....................................... 791,412 250,462
Taiwan Navigation Co., Ltd............................. 610,777 478,783
Taiwan Paiho Co., Ltd.................................. 1,041,287 568,010
*Taiwan PCB Techvest Co., Ltd........................... 665,548 919,675
#Taiwan Prosperity Chemical Corp........................ 442,000 504,863
#Taiwan Pulp & Paper Corp............................... 1,554,980 455,779
#Taiwan Sakura Corp..................................... 934,003 498,271
Taiwan Secom Co., Ltd.................................. 939,332 1,998,936
*Taiwan Semiconductor Co., Ltd.......................... 335,000 143,170
#Taiwan Sogo Shinkong Security Co., Ltd................. 997,278 1,128,324
*Taiwan Styrene Monomer Corp............................ 2,280,303 577,848
*Taiwan Surface Mounting Technology Co., Ltd............ 707,000 1,048,637
#Taiwan Tea Corp........................................ 2,487,897 1,203,016
*Taiwan Union Technology Corp........................... 560,000 270,295
Taiyen Biotech Co., Ltd................................ 710,000 473,690
*Tang Eng Iron Works Co., Ltd........................... 54,000 49,703
#*Tatung Co., Ltd........................................ 8,166,455 1,872,950
*Te Chang Construction Co., Ltd......................... 107,000 111,700
Teco Electric & Machinery Co., Ltd..................... 4,753,000 3,227,136
*Tecom, Ltd............................................. 108,114 7,097
*Tekcore Co., Ltd....................................... 127,000 49,646
#Ten Ren Tea Co., Ltd................................... 178,980 274,471
#Test Research, Inc..................................... 575,926 941,080
Test-Rite International Co., Ltd....................... 1,270,495 940,860
*ThaiLin Semiconductor Corp............................. 120,000 40,183
#Thinking Electronic Industrial Co., Ltd................ 319,204 303,921
#Thye Ming Industrial Co., Ltd.......................... 671,360 637,411
TNC Industrial Corp., Ltd.............................. 197,000 137,820
Ton Yi Industrial Corp................................. 2,949,644 1,659,582
#Tong Hsing Electronic Industries, Ltd.................. 431,963 1,497,671
#Tong Yang Industry Co., Ltd............................ 1,490,382 1,201,114
#Tong-Tai Machine & Tool Co., Ltd....................... 709,313 528,882
#Topco Scientific Co., Ltd.............................. 541,082 799,512
*Topco Technologies Corp................................ 46,000 92,594
Topoint Technology Co., Ltd............................ 565,111 317,963
*Toung Loong Textile Manufacturing...................... 88,000 68,763
*Transasia Airways Corp................................. 232,000 110,334
Transcend Information, Inc............................. 724,651 1,821,416
#Tsann Kuen Enterprise Co., Ltd......................... 399,686 826,026
*TSC Auto ID Technology Co., Ltd........................ 17,000 49,598
#TTET Union Corp........................................ 270,000 459,783
#*TTY Biopharm Co., Ltd................................. 555,280 1,733,163
163
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ----------
TAIWAN -- (Continued)
#Tung Ho Steel Enterprise Corp......................... 2,725,000 $2,582,190
#Tung Ho Textile Co., Ltd.............................. 598,000 164,565
Tung Thih Electronic Co., Ltd......................... 167,000 384,707
TXC Corp.............................................. 1,074,053 1,865,407
TYC Brother Industrial Co., Ltd....................... 717,218 254,769
#*Tycoons Group Enterprise Co., Ltd..................... 1,896,182 286,631
#*Tyntek Corp........................................... 1,341,393 290,326
*Tze Shin International Co., Ltd....................... 356,416 170,208
*Ubright Optronics Corp................................ 88,000 415,107
#*Union Bank of Taiwan.................................. 3,222,537 1,102,492
Unitech Electronics Co., Ltd.......................... 281,804 134,550
#Unitech Printed Circuit Board Corp.................... 2,274,370 666,226
United Integration Service Co., Ltd................... 881,439 773,034
#*Unity Opto Technology Co., Ltd........................ 1,024,500 831,571
Universal Cement Corp................................. 1,409,191 672,449
*Universal Microelectronics Co., Ltd................... 84,000 18,499
Universal, Inc........................................ 98,971 55,552
Unizyx Holding Corp................................... 1,515,430 616,600
#UPC Technology Corp................................... 2,893,910 1,489,843
Userjoy Technology Co., Ltd........................... 41,000 66,918
USI Corp.............................................. 2,917,734 2,195,102
*Vanguard International Semiconductor Corp............. 1,143,000 740,431
Ve Wong Corp.......................................... 433,696 286,436
*Veutron Corp.......................................... 51,628 5,329
*Via Technologies, Inc................................. 1,520,500 696,174
Viking Tech Corp...................................... 43,000 32,687
#Visual Photonics Epitacy Co., Ltd..................... 859,696 900,556
*Vivotek, Inc.......................................... 187,000 584,818
#*Wafer Works Corp...................................... 411,580 162,696
*Wah Hong Industrial Corp.............................. 91,000 125,675
Wah Lee Industrial Corp............................... 693,000 886,441
*Walsin Lihwa Corp..................................... 3,797,000 1,038,098
*Walsin Technology Corp., Ltd.......................... 2,165,873 480,490
*Walton Advanced Engineering, Inc...................... 1,137,197 296,949
*Walton Chaintech Corp................................. 171,526 268,214
*Wan Hai Lines Co., Ltd................................ 1,866,000 912,191
WAN HWA Enterprise Co., Ltd........................... 609,608 298,223
Waterland Financial Holdings Co., Ltd................. 5,179,131 1,566,362
*Ways Technical Corp., Ltd............................. 203,000 370,273
*WEI Chih Steel Industrial Co., Ltd.................... 433,000 65,893
#Wei Chuan Foods Corp.................................. 1,542,000 1,640,201
*Wei Mon Industry Co., Ltd............................. 975,000 463,860
#Weikeng Industrial Co., Ltd........................... 795,100 553,513
Well Shin Technology Co., Ltd......................... 226,000 310,029
*Wellypower Optronics Corp............................. 491,000 190,514
#*Weltrend Semiconductor, Inc........................... 951,833 335,101
#*Win Semiconductors Corp............................... 1,253,000 1,279,291
#*Winbond Electronics Corp.............................. 11,263,138 1,516,173
*Wintek Corp........................................... 6,673,000 2,632,828
Wisdom Marine Lines Co., Ltd.......................... 235,400 307,532
#Wistron NeWeb Corp.................................... 802,069 1,192,389
#WT Microelectronics Co., Ltd.......................... 1,087,879 1,314,867
*WUS Printed Circuit Co., Ltd.......................... 1,301,000 527,093
*XAC Automation Corp................................... 107,000 92,500
*Xxentria Technology Materials Corp.................... 469,000 699,065
#*Yageo Corp............................................ 7,705,000 2,228,708
*Yang Ming Marine Transport Corp....................... 2,097,000 817,680
YC INOX Co., Ltd...................................... 1,182,171 622,678
*YeaShin International Development Co., Ltd............ 312,000 231,666
#Yem Chio Co., Ltd..................................... 1,061,576 753,578
YFY, Inc.............................................. 4,607,212 1,875,440
164
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ------------
TAIWAN -- (Continued)
#*Yi Jinn Industrial Co., Ltd......................... 424,312 $ 100,825
Yieh Phui Enterprise Co., Ltd....................... 4,115,338 1,146,193
#Young Fast Optoelectronics Co., Ltd................. 530,872 909,279
#Young Optics, Inc................................... 209,111 461,612
#*Youngtek Electronics Corp........................... 347,532 713,876
*Yufo Electronics Co., Ltd........................... 37,000 24,442
Yung Chi Paint & Varnish Manufacturing Co., Ltd..... 270,869 511,625
Yung Tay Engineering Co., Ltd....................... 1,170,000 2,330,244
#YungShin Global Holding Corp........................ 635,300 861,830
Zeng Hsing Industrial Co., Ltd...................... 151,000 507,658
#Zenitron Corp....................................... 740,000 447,982
#Zig Sheng Industrial Co., Ltd....................... 1,626,270 495,862
Zinwell Corp........................................ 1,171,586 945,236
#Zippy Technology Corp............................... 397,948 277,590
------------
TOTAL TAIWAN........................................... 406,004,257
------------
THAILAND -- (3.5%)
A.J. Plast PCL (Foreign)............................ 770,388 379,539
Aapico Hitech PCL (Foreign)......................... 425,400 308,120
Aeon Thana Sinsap (Thailand) PCL (Foreign).......... 142,500 324,286
Amata Corp. PCL (Foreign)........................... 1,818,700 913,800
*Apex Development PCL (Foreign)...................... 3,536 --
*Asia Green Energy PCL (Foreign)..................... 619,900 75,642
Asia Plus Securities PCL (Foreign).................. 3,856,000 286,841
Asian Property Development PCL (Foreign)............ 5,334,160 1,514,101
Bangchak Petroleum PCL (Foreign).................... 2,535,700 2,171,684
Bangkok Aviation Fuel Services PCL (Foreign)........ 1,095,917 593,547
Bangkok Chain Hospital PCL (Foreign)................ 4,195,650 1,279,913
Bangkok Expressway PCL (Foreign).................... 1,473,100 1,333,720
Bangkok Insurance PCL (Foreign)..................... 127,501 1,110,694
Bangkok Life Assurance PCL (Foreign) NVDR........... 1,718,600 2,369,033
*Bangkok Metro PCL (Foreign)......................... 8,870,600 193,909
*Bangkok Rubber PCL (Foreign)........................ 14,600 1,181
Bangkokland PCL (Foreign)........................... 39,025,670 1,680,714
Bumrungrad Hospital PCL (Foreign)................... 1,241,000 3,067,072
C.S. Loxinfo PCL (Foreign).......................... 694,200 208,373
Cal-Comp Electronics (Thailand) PCL (Foreign)....... 5,047,200 438,028
*Central Paper Industry PCL (Foreign)................ 20 1,370
Central Plaza Hotel PCL (Foreign)................... 2,548,900 1,621,649
CH Karnchang PCL (Foreign).......................... 5,219,100 1,472,927
Charoong Thai Wire & Cable PCL (Foreign)............ 452,700 144,007
Delta Electronics Thailand PCL (Foreign)............ 1,879,600 1,793,746
Dhipaya Insurance PCL (Foreign)..................... 69,500 57,255
Diamond Building Products PCL (Foreign)............. 1,542,400 395,036
*DSG International Thailand PCL (Foreign)............ 938,500 270,986
Dynasty Ceramic PCL (Foreign)....................... 777,200 1,204,470
Eastern Water Resources Development & Management
PCL (Foreign)..................................... 3,141,200 1,301,574
Electricity Generating PCL (Foreign)................ 747,700 3,195,716
Electricity Generating PCL (Foreign) NVDR........... 26,300 112,408
Erawan Group PCL (Foreign).......................... 4,321,970 482,256
Esso (Thailand) PCL (Foreign)....................... 6,185,400 2,179,521
*G J Steel PCL (Foreign)............................. 47,637,200 217,592
*G Steel PCL (Foreign)............................... 27,015,300 308,494
*GFPT PCL(Foreign)................................... 2,406,300 573,115
*GMM Grammy PCL (Foreign)............................ 1,031,700 649,651
Hana Microelectronics PCL (Foreign)................. 1,561,696 1,120,956
Hermraj Land & Development PCL (Foreign)............ 18,324,100 1,877,249
Home Product Center PCL (Foreign)................... 2,257,073 839,499
ICC International PCL (Foreign)..................... 204,600 277,028
*Italian-Thai Development PCL (Foreign) NVDR......... 8,107,230 1,068,620
*ITV PCL (Foreign)................................... 2,785,600 95,428
165
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ----------
THAILAND -- (Continued)
Jasmine International PCL (Foreign)................... 12,427,200 $1,962,403
Kang Yong Electric PCL (Foreign)...................... 23,900 253,426
*KCE Electronics PCL (Foreign)......................... 553,400 175,138
KGI Securities (Thailand) PCL (Foreign)............... 3,114,900 223,582
Khon Kaen Sugar Industry PCL (Foreign)................ 2,760,900 1,216,057
Kiatnakin Bank PCL (Foreign).......................... 256,000 371,680
Kiatnakin Bank PCL (Foreign) NVDR..................... 1,157,400 1,680,401
L.P.N. Development PCL (Foreign) NVDR................. 411,500 243,007
*Laguna Resorts & Hotels PCL (Foreign)................. 80,500 93,895
Lanna Resources PCL (Foreign)......................... 869,500 695,033
Loxley PCL (Foreign).................................. 3,670,520 555,668
LPN Development PCL (Foreign)......................... 1,488,000 878,721
Major Cineplex Group PCL (Foreign).................... 1,940,700 1,247,367
MBK PCL (Foreign)..................................... 330,900 1,192,967
MCOT PCL (Foreign).................................... 1,172,500 1,281,525
*Minor International PCL (Foreign)..................... 5,404,213 3,226,659
Modernform Group PCL (Foreign)........................ 331,400 74,065
Muang Thai Insurance PCL (Foreign).................... 19,588 47,292
Muramoto Electronic (Thailand) PCL (Foreign).......... 14,000 82,675
Patum Rice Mill & Granary PCL (Foreign)............... 5,500 17,765
Polyplex PCL (Foreign)................................ 1,497,100 674,061
Precious Shipping PCL (Foreign)....................... 2,003,100 875,744
*President Rice Products PCL (Foreign)................. 2,700 5,638
Preuksa Real Estate PCL (Foreign)..................... 3,724,700 2,381,864
Property Perfect PCL (Foreign)........................ 12,220,600 442,573
Quality Houses PCL (Foreign).......................... 18,063,608 1,261,211
*Raimon Land PCL (Foreign)............................. 13,557,900 884,692
Ratchaburi Electricity Generating Holding PCL
(Foreign)........................................... 37,300 65,716
*Regional Container Lines PCL (Foreign)................ 1,850,300 422,581
*Robinson Department Store PCL (Foreign)............... 1,029,325 2,040,179
*Rojana Industrial Park PCL (Foreign).................. 3,199,300 1,007,284
Saha Pathana Inter-Holding PCL (Foreign).............. 680,300 654,775
Saha-Union PCL (Foreign).............................. 581,000 720,326
*Sahaviriya Steel Industries PCL (Foreign)............. 36,151,800 778,473
Samart Corp. PCL (Foreign)............................ 1,860,900 680,003
Samart I-Mobile PCL (Foreign)......................... 8,442,100 600,450
Samart Telcoms PCL (Foreign).......................... 1,181,000 739,811
Sansiri PCL (Foreign)................................. 12,672,108 1,273,412
SC Asset Corp. PCL (Foreign).......................... 1,443,300 904,123
SE-Education PCL (Foreign)............................ 152,790 55,333
Siam City Cement PCL (Foreign)........................ 127,600 1,773,494
Siam Future Development PCL (Foreign)................. 2,177,775 540,003
*Siam Global House PCL (Foreign)....................... 1,066,800 577,777
Siam Makro PCL (Foreign).............................. 117,200 1,758,956
Siamgas & Petrochemicals PCL (Foreign)................ 1,753,100 829,362
Sino-Thai Engineering & Construction PCL (Foreign).... 2,222,600 1,551,832
SNC Former PCL (Foreign).............................. 569,600 429,291
Somboon Advance Technology PCL........................ 15,850 14,609
Somboon Advance Technology PCL (Foreign).............. 728,000 670,995
*SPCG PCL (Foreign).................................... 666,000 332,457
Sri Trang Agro Industry PCL (Foreign)................. 2,357,590 1,215,332
*Srithai Superware PCL (Foreign)....................... 531,700 503,077
STP & I PCL (Foreign)................................. 746,935 1,389,080
Supalai PCL (Foreign)................................. 2,942,733 1,843,409
*SVI PCL (Foreign)..................................... 3,904,200 496,782
*Tata Steel (Thailand) PCL (Foreign)................... 9,617,100 251,017
*Thai Airways International PCL (Foreign).............. 3,877,100 2,922,056
*Thai Airways International PCL (Foreign) NVDR......... 141,400 106,569
Thai Carbon Black PCL (Foreign)....................... 278,400 252,059
*Thai Central Chemical PCL (Foreign)................... 105,300 71,803
Thai Rayon PCL (Foreign).............................. 1,700 2,829
166
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- ------------
THAILAND -- (Continued)
*Thai Reinsurance PCL (Foreign)...................... 5,072,500 $ 655,370
*Thai Reinsurance PCL (Foreign) NVDR................. 833,200 107,650
*Thai Rung Union Car PCL (Foreign)................... 397,300 141,291
Thai Stanley Electric PCL (Foreign)................. 156,000 1,109,560
Thai Tap Water Supply PCL (Foreign)................. 7,007,700 1,806,226
Thai Union Frozen Products PCL (Foreign)............ 116,290 273,177
Thai Vegetable Oil PCL (Foreign).................... 1,833,175 1,471,325
Thai Wacoal PCL (Foreign)........................... 78,000 121,517
*Thaicom PCL (Foreign)............................... 2,518,100 1,807,445
Thai-German Ceramic Industry PCL (Foreign).......... 1,267,900 183,670
Thanachart Capital PCL (Foreign).................... 2,352,200 2,839,524
Thoresen Thai Agencies PCL (Foreign)................ 1,429,700 746,336
Ticon Industrial Connection PCL (Foreign)........... 1,844,587 788,388
*Tipco Asphalt PCL (Foreign)......................... 306,190 459,535
TIPCO Foods PCL (Foreign)........................... 130,682 24,729
Tisco Financial Group PCL (Foreign)................. 1,212,500 1,770,290
*Toyo-Thai Corp PCL (Foreign)........................ 690,600 613,992
TPI Polene PCL (Foreign)............................ 3,716,960 1,709,923
*True Corp. PCL (Foreign)............................ 23,704,694 3,944,337
*Tycoons Worldwide Group PCL (Foreign)............... 804,700 169,341
Univanich Palm Oil PCL (Foreign).................... 60,700 188,140
Vanachai Group PCL (Foreign)........................ 2,634,566 417,748
Vibhavadi Medical Center PCL (Foreign).............. 585,600 134,698
Vinythai PCL (Foreign).............................. 2,273,034 1,364,562
Workpoint Entertainment PCL (Foreign)............... 407,300 401,985
------------
TOTAL THAILAND......................................... 112,281,873
------------
TURKEY -- (2.8%)
Adana Cimento Sanayii T.A.S. Series A............... 314,641 619,813
Adana Cimento Sanayii T.A.S. Series C............... 68,238 26,660
*Afyon Cimento Sanayi T.A.S.......................... 6,850 273,352
Akcansa Cimento A.S................................. 278,579 1,371,964
*Akenerji Elektrik Uretim A.S........................ 686,112 800,183
*Akfen Holding A.S................................... 261,434 1,324,653
Aksa Akrilik Kimya Sanayii A.S...................... 573,911 1,507,618
Aksigorta A.S....................................... 791,541 892,670
*Aktas Elektrik Ticaret A.S.......................... 370 30,962
Alarko Holding A.S.................................. 463,399 1,075,773
*Albaraka Turk Katilim Bankasi A.S................... 1,724,147 1,366,406
*Alcatel-Lucent Teletas Telekomunikasyon A.S......... 1 1
*Altinyildiz Mensucat ve Konfeksiyon Fabrikalari A.S. 110,344 2,203,504
*Anadolu Anonim Tuerk Sigorta Sirketi A.S............ 1,341,783 688,254
*Anadolu Cam Sanayii A.S............................. 678,223 1,014,551
Anadolu Hayat Sigorta A.S........................... 472,005 1,180,362
Aselsan Elektronik Sanayi Ve Ticaret A.S............ 269,268 1,018,944
*Asya Katilim Bankasi A.S............................ 3,162,283 3,549,216
Ayen Enerji A.S..................................... -- --
Aygaz A.S........................................... 124,525 574,164
Bagfas Bandirma Gubre Fabrikalari A.S............... 34,971 1,078,268
*Banvit Bandirma Vitaminli Yem Sanayii A.S........... 210,446 431,960
Baticim Bati Anabolu Cimento Sanayii A.S............ 220,953 828,434
Bizim Toptan Satis Magazalari A.S................... 112,998 1,547,402
Bolu Cimento Sanayii A.S............................ 359,959 264,988
Borusan Mannesmann Boru Sanayi ve Ticaret A.S....... 59,854 898,290
*Bosch Fren Sistemleri Sanayi ve Ticaret A.S......... 989 87,825
*Boyner Buyuk Magazacilik A.S........................ 217,168 499,530
Bursa Cimento Fabrikasi A.S......................... 194,283 515,585
*Celebi Hava Servisi A.S............................. 36,194 413,105
Cimsa Cimento Sanayi ve Ticaret A.S................. 262,753 1,242,366
*Deva Holding A.S.................................... 212,008 239,093
*Dogan Gazetecilik A.S............................... 114,947 93,077
167
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
--------- ----------
TURKEY -- (Continued)
*Dogan Sirketler Grubu Holding A.S...................... 5,005,457 $2,177,539
*Dogan Yayin Holding A.S................................ 2,912,329 1,055,863
Dogus Otomotiv Servis ve Ticaret A.S................... 490,086 1,822,621
*Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S........ 218,428 614,563
Eczacibasi Yatirim Holding Ortakligi A.S............... 220,616 721,337
EGE Seramik Sanayi ve Ticaret A.S...................... 393,240 498,240
EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar
Sanayi ve Ticaret A.S................................ 1,137,642 1,205,862
*Fenerbahce Sportfi Hizmetler Sanayi ve Ticaret A.S..... 19,461 431,807
*Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S.
(B03MSV9)............................................. 10,276 226,445
Gentas Genel Metal Sanayi ve Ticaret A.S............... 463,448 341,156
*Global Yatirim Holding A.S............................. 1,487,444 1,045,178
*Goldas Kuyumculuk Sanayi Ithalat ve Ihracat A.S........ 8,540 2,382
Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S.... 28,745 862,037
Goodyear Lastikleri T.A.S.............................. 31,518 922,889
*GSD Holding A.S........................................ 1,349,296 519,209
*Gubre Fabrikalari Ticaret A.S.......................... 140,650 985,455
*Gunes Sigorta A.S...................................... 254,048 296,375
Hektas Ticaret T.A.S................................... -- --
*Hurriyet Gazetecilik ve Matbaacilik A.S................ 821,279 370,802
*Ihlas EV Aletleri A.S.................................. 387,355 153,410
*Ihlas Holding A.S...................................... 4,740,263 3,463,524
*Ipek Dogal Enerji Kaynaklari Ve Uretim A.S............. 599,231 1,511,859
*Is Finansal Kiralama A.S............................... 872,130 476,518
Is Yatirim Menkul Degerler A.S......................... 234,612 227,976
*Isiklar Yatirim Holding A.S............................ 237,725 84,828
*Izmir Demir Celik Sanayi A.S........................... 429,065 973,694
Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S.
Class A.............................................. 1,003,252 823,068
Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S.
Class B.............................................. 488,477 566,805
Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S.
Class D.............................................. 3,162,228 2,327,942
*Karsan Otomotiv Sanayii Ve Ticaret A.S................. 266,647 165,074
Kartonsan Karton Sanayi ve Ticaret A.S................. 5,266 708,428
*Kerevitas Gida Sanayii ve Ticaret A.S.................. 8,607 211,816
Konya Cimento Sanayii A.S.............................. 5,538 958,422
Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve
Ticaret A.S.......................................... 128,742 257,894
*Koza Anadolu Metal Madencilik Isletmeleri A.S.......... 1,246,039 3,163,627
Mardin Cimento Sanayii ve Ticaret A.S.................. 256,931 736,615
*Marshall Boya ve Vernik A.S............................ 20,057 562,370
*Marti Otel Isletmeleri A.S............................. -- --
*Menderes Tekstil Sanayi ve Ticaret A.S................. 831,656 278,193
*Metro Ticari ve Mali Yatirimlar Holding A.S............ 899,014 236,064
*Mondi Tire Kutsan Kagit Ve Ambalaj Sanayii A.S......... 149,549 91,756
*Mudurnu Tavukculuk A.S................................. 1,740 437
*Nergis Holding A.S..................................... 1,784 3,682
*Net Holding A.S........................................ 1,294,842 1,287,109
*Net Turizm Ticaret ve Sanayi A.S....................... 1,076,216 384,562
Netas Telekomunikasyon A.S............................. 139,160 806,697
Nuh Cimento Sanayi A.S................................. 266,953 1,463,022
Otokar Otomotive Ve Savunma Sanayi A.S................. 51,928 1,150,076
Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S.. 389,187 1,428,805
Petkim Petrokimya Holding A.S.......................... 2,162,168 2,473,179
Pinar Entegre Et ve Un Sanayi A.S...................... 111,334 356,692
Pinar SUT Mamulleri Sanayii A.S........................ 119,566 976,720
*Polyester Sanayi A.S................................... 569,907 381,492
*Raks Elektronik Sanayi ve Ticaret A.S.................. 2,730 1,203
*Reysas Tasimacilik ve Lojistik Ticaret A.S............. 8,051 3,324
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S..... 238,910 306,690
*Sekerbank T.A.S........................................ 2,204,122 1,881,824
Selcuk Ecza Deposu Ticaret ve Sanayi A.S............... 851,455 1,021,649
*Soda Sanayii A.S....................................... 249,252 386,816
Soktas Tekstil Sanayi ve Ticaret A.S................... -- 1
*TAT Konserve Sanayii A.S............................... 414,156 559,429
168
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- --------------
TURKEY -- (Continued)
Tekfen Holding A.S................................ 916,171 $ 3,315,197
*Tekstil Bankasi A.S............................... 870,891 335,205
Tofas Turk Otomobil Fabrikasi A.S................. 1 6
*Trabzonspor Sportif Yatirim ve T.A.S.............. 2,812 17,290
*Trakya Cam Sanayii A.S............................ 1,329,358 1,626,630
Turcas Petrol A.S................................. 472,965 765,444
Turk Traktor ve Ziraat Makineleri A.S............. 76,602 1,675,666
Turkiye Sinai Kalkinma Bankasi A.S................ 3,267,245 3,756,235
Ulker Biskuvi Sanayi A.S.......................... 585,505 2,656,343
*Uzel Makina Sanayii A.S........................... 172,635 --
*Vakif Finansal Kiralama A.S....................... 1 --
*Vestel Beyaz Esya Sanayi ve Ticaret A.S........... 374,093 534,312
*Vestel Elektronik Sanayi ve Ticaret A.S........... 587,101 590,058
Yapi Kredi Sigorta A.S............................ 167,272 1,504,298
*Zorlu Enerji Elektrik Uretim A.S.................. 1,047,913 619,710
--------------
TOTAL TURKEY......................................... 92,008,419
--------------
TOTAL COMMON STOCKS.................................. 2,893,797,143
--------------
PREFERRED STOCKS -- (1.6%)
BRAZIL -- (1.6%)
Alpargatas SA..................................... 534,600 4,048,225
Banco ABC Brasil SA............................... 434,709 2,469,925
Banco Alfa de Investimento SA..................... 2,600 6,516
Banco Daycoval SA................................. 126,800 661,142
Banco do Estado do Rio Grande do Sul SA........... 403,347 3,187,376
Banco Industrial e Comercial SA................... 321,920 1,055,605
*Banco Indusval SA................................. 11,800 39,158
Banco Mercantil do Brasil SA...................... 8,069 44,694
Banco Panamericano SA............................. 552,900 1,268,563
Banco Pine SA..................................... 96,735 676,320
Banco Sofisa SA................................... 92,600 162,764
Bardella SA Industrias Mecanicas.................. 500 19,864
*Battistella Adm Participacoes SA.................. 35,500 20,450
*Bombril SA........................................ 17,600 63,691
Centrais Eletricas de Santa Catarina SA........... 75,400 1,103,686
Cia de Gas de Sao Paulo SA Preferred Series A..... 109,272 2,875,650
Cia de Saneamento do Parana SA.................... 181,700 787,258
*Cia de Tecidos Norte de Minas - Coteminas SA...... 161,842 223,115
Cia Energetica do Ceara SA Preferred Series A..... 135,700 2,448,687
Cia Ferro Ligas da Bahia-Ferbasa.................. 214,931 1,055,051
Contax Participacoes SA........................... 158,500 1,870,582
Eletropaulo Metropolitana Eletricidade de Sao
Paulo SA........................................ 707,800 5,621,139
*Empressa Metropolitanade Aguas e Energia SA....... 24,000 101,977
Energisa SA....................................... 126,700 159,073
Eucatex SA Industria e Comercio SA................ 73,627 291,456
Forjas Taurus SA.................................. 288,032 469,405
Fras-Le Middle East SA Preferred Series A......... 30,300 73,846
*Gol Linhas Aereas Inteligentes SA................. 155,600 777,598
*Industria de Bebidas Antarctica Polar SA.......... 23,000 29,726
*Inepar SA Industria e Construcoes................. 279,068 263,810
Klabin SA......................................... 743,800 4,368,939
*Kroton Educacional SA............................. 2,934 7,396
*Mangels Industrial SA............................. 14,600 23,147
Marcopolo SA...................................... 1,047,700 6,143,673
Parana Banco SA................................... 41,600 277,326
Randon Participacoes SA........................... 708,226 3,745,032
Saraiva SA Livreiros Editores..................... 100,273 1,245,606
Schulz SA......................................... 9,000 37,444
*Sharp SA Equipamentos Eletronicos................. 30,200,000 297
Suzano Papel e Celulose SA........................ 1,276,798 3,319,216
Unipar Participacoes SA Preferred Series B........ 1,603,879 323,769
169
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE++
---------- --------------
BRAZIL -- (Continued)
Whirlpool SA...................................... 288,416 $ 445,891
--------------
TOTAL BRAZIL......................................... 51,814,088
--------------
INDIA -- (0.0%)
*JSW ISPAT Steel, Ltd.............................. 178,432 15,097
--------------
MALAYSIA -- (0.0%)
*TA Global Berhad.................................. 1,041,678 83,726
--------------
TOTAL PREFERRED STOCKS............................... 51,912,911
--------------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
*OSX Brasil SA Rights 11/26/12..................... 14,965 147
*Viver Incorporadora e Construtora SA Rights
11/05/12......................................... 117,949 11,615
--------------
TOTAL BRAZIL......................................... 11,762
--------------
INDONESIA -- (0.0%)
*PT Modern Internasional Tbk Rights 11/08/12....... 27,300 540
--------------
MALAYSIA -- (0.0%)
*Eng Kah Corp. Berhad 09/25/17..................... 1,990 519
*Hartalega Holdings Berhad Warrants 05/29/15....... 12,250 4,544
*Malayan Flour Mills Berhad Warrants 05/09/17...... 850 98
*Notion VTEC Berhad Warrants 05/02/17.............. 10,316 694
*RCE Capital Berhad Rights 11/19/12................ 614,340 --
--------------
TOTAL MALAYSIA....................................... 5,855
--------------
POLAND -- (0.0%)
*Polimex-Mostostal SA Rights....................... 2,699,832 12,515
--------------
SOUTH AFRICA -- (0.0%)
#*Capitec Bank Holdings, Ltd. Rights 11/09/12....... 22,904 84,368
--------------
SOUTH KOREA -- (0.0%)
*Lotte Non-Life Insurance Co., Ltd.
Rights 12/04/12.................................. 28,515 21,309
--------------
TAIWAN -- (0.0%)
*Chang Wah Electromaterials, Inc. Rights 11/08/12.. 10,904 1,792
*Howarm Construction Co., Ltd. Rights 10/17/12..... 91,237 --
--------------
TOTAL TAIWAN......................................... 1,792
--------------
THAILAND -- (0.0%)
*Sahaviriya Steel Industries PCL (Foreign) Rights
11/30/12......................................... 3,615,180 --
--------------
TOTAL RIGHTS/WARRANTS................................ 138,141
--------------
SHARES/
FACE
AMOUNT
(000) VALUE+
---------- --------------
SECURITIES LENDING COLLATERAL -- (9.3%)
(S)@DFA Short Term Investment Fund................... 26,101,988 302,000,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,930,243,382).............................. $3,247,848,195
==============
170
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2012
SHARES VALUE+
--------- ------------
COMMON STOCKS -- (95.0%)
Consumer Discretionary -- (18.8%)
*1-800-FLOWERS.COM, Inc. Class A...................... 47,037 $ 170,744
A.H. Belo Corp. Class A.............................. 2,236 11,180
#*ALCO Stores, Inc..................................... 700 6,944
#American Greetings Corp. Class A..................... 62,335 1,070,292
*America's Car-Mart, Inc.............................. 1,104 46,213
*Arctic Cat, Inc...................................... 18,032 654,021
*Ascent Capital Group, Inc. Class A................... 8,564 509,130
#Autoliv, Inc......................................... 9,404 541,670
*Ballantyne Strong, Inc............................... 16,433 66,225
#*Barnes & Noble, Inc.................................. 26,500 446,260
Bassett Furniture Industries, Inc.................... 2,900 33,263
#*Beasley Broadcast Group, Inc. Class A................ 9,471 46,029
#*Beazer Homes USA, Inc................................ 12,516 206,389
bebe stores, Inc..................................... 24,465 99,083
Belo Corp. Class A................................... 58,727 439,278
#Best Buy Co., Inc.................................... 197,800 3,008,538
Big 5 Sporting Goods Corp............................ 8,301 74,128
*Biglari Holdings, Inc................................ 1,657 585,932
*Bluegreen Corp....................................... 13,073 77,523
Bob Evans Farms, Inc................................. 52,387 1,994,373
Bon-Ton Stores, Inc. (The)........................... 2,986 36,668
#*Books-A-Million, Inc................................. 16,487 48,637
#*Boyd Gaming Corp..................................... 25,600 157,952
Brown Shoe Co., Inc.................................. 74,697 1,178,719
*Build-A-Bear Workshop, Inc........................... 26,974 96,837
#*Cabela's, Inc........................................ 53,051 2,377,215
*Cache, Inc........................................... 19,581 53,848
Callaway Golf Co..................................... 128,624 702,287
*Cambium Learning Group, Inc.......................... 37,733 34,337
Canterbury Park Holding Corp......................... 2,755 27,688
#Carnival Corp........................................ 489,649 18,547,904
Carriage Services, Inc............................... 20,916 222,337
*Casual Male Retail Group, Inc........................ 12,931 49,914
*Cavco Industries, Inc................................ 6,960 336,446
CBS Corp. Class A.................................... 28,712 933,140
CBS Corp. Class B.................................... 276,866 8,970,458
Christopher & Banks Corp............................. 58,754 183,312
Churchill Downs, Inc................................. 8,167 533,550
*Coast Distribution System, Inc. (The)................ 547 1,078
Comcast Corp. Class A................................ 3,570,978 133,947,385
Comcast Corp. Special Class A........................ 1,432,185 52,188,821
#*Conn's, Inc.......................................... 25,450 644,648
Core-Mark Holding Co., Inc........................... 24,059 1,151,704
#*Corinthian Colleges, Inc............................. 29,915 81,668
CSS Industries, Inc.................................. 13,050 262,305
Culp, Inc............................................ 10,036 126,855
*Cybex International, Inc............................. 29,063 71,786
#D.R. Horton, Inc..................................... 208,125 4,362,300
*dELiA*s, Inc......................................... 22,143 29,229
*Delta Apparel, Inc................................... 7,832 118,576
Destination Maternity Corp........................... 2,583 48,974
#Dillard's, Inc. Class A.............................. 120,300 9,263,100
*Discovery Communications, Inc. Class B............... 3,762 227,262
*Discovery Communications, Inc. Class C............... 5,089 278,775
*Dixie Group, Inc. (The).............................. 11,800 46,728
#*Dorman Products, Inc................................. 20,712 632,752
Dover Downs Gaming & Entertainment, Inc.............. 5,935 14,125
*Dover Motorsports, Inc............................... 15,098 22,345
171
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Consumer Discretionary -- (Continued)
#*DreamWorks Animation SKG, Inc. Class A................. 46,429 $ 945,759
*E.W. Scripps Co. Class A (The)......................... 41,061 435,657
#*Education Management Corp.............................. 14,803 47,074
Educational Development Corp........................... 1,679 6,649
Escalade, Inc.......................................... 377 1,960
*Exide Technologies..................................... 12,523 38,195
*Federal-Mogul Corp..................................... 38,585 290,931
*Fisher Communications, Inc............................. 9,042 228,220
#*Flanigan's Enterprises, Inc............................ 865 6,340
Flexsteel Industries, Inc.............................. 2,068 41,629
Foot Locker, Inc....................................... 120,973 4,052,595
Fred's, Inc. Class A................................... 45,730 619,641
Frisch's Restaurants, Inc.............................. 600 10,728
*Fuel Systems Solutions, Inc............................ 9,636 156,778
*Full House Resorts, Inc................................ 2,574 8,108
*Gaiam, Inc. Class A.................................... 5,988 19,701
#GameStop Corp. Class A................................. 104,752 2,391,488
Gaming Partners International Corp..................... 800 5,000
#Gannett Co., Inc....................................... 119,639 2,021,899
#*General Motors Co...................................... 674,707 17,205,028
*Genesco, Inc........................................... 6,456 369,929
*G-III Apparel Group, Ltd............................... 1,807 66,787
*Gray Television, Inc................................... 5,550 11,821
#Group 1 Automotive, Inc................................ 57,936 3,592,611
*Hallwood Group, Inc. (The)............................. 296 1,909
Harte-Hanks, Inc....................................... 12,006 66,873
*Hastings Entertainment, Inc............................ 400 800
Haverty Furniture Cos., Inc............................ 33,479 502,520
*Helen of Troy, Ltd..................................... 64,389 1,945,836
#*hhgregg, Inc........................................... 36,388 219,784
*Hollywood Media Corp................................... 19,037 25,319
Hooker Furniture Corp.................................. 14,814 202,063
Hot Topic, Inc......................................... 4,456 38,322
*Hyatt Hotels Corp. Class A............................. 12,101 441,686
#*Iconix Brand Group, Inc................................ 95,618 1,769,889
International Speedway Corp. Class A................... 24,844 633,522
*Isle of Capri Casinos, Inc............................. 15,434 93,839
#J.C. Penney Co., Inc................................... 206,990 4,969,830
#JAKKS Pacific, Inc..................................... 13,103 169,160
Jarden Corp............................................ 108,050 5,380,890
*Johnson Outdoors, Inc. Class A......................... 15,588 304,122
Jones Group, Inc. (The)................................ 103,143 1,218,119
*Journal Communications, Inc. Class A................... 77,674 435,751
KB Home................................................ 30,800 492,184
*Kid Brands, Inc........................................ 10,476 18,962
#*K-Swiss, Inc. Class A.................................. 1,039 2,369
*Lakeland Industries, Inc............................... 11,757 71,718
*La-Z-Boy, Inc.......................................... 58,432 947,767
*LeapFrog Enterprises, Inc.............................. 2,499 22,091
#*Lee Enterprises, Inc................................... 38,128 56,429
#Lennar Corp. Class A................................... 224,100 8,397,027
Lennar Corp. Class B Voting............................ 7,868 223,294
*Liberty Interactive Corp. Class A...................... 882,463 17,649,260
*Liberty Interactive Corp. Class B...................... 35,706 698,766
*Liberty Media Corp. - Liberty Capital Class A.......... 96,382 10,763,010
*Liberty Media Corp. - Liberty Capital Class B.......... 7,622 832,322
*Liberty Ventures Series A.............................. 38,401 2,185,401
*Liberty Ventures Series B.............................. 1,785 93,677
Lifetime Brands, Inc................................... 16,635 184,648
Lithia Motors, Inc. Class A............................ 34,933 1,194,709
#*Live Nation Entertainment, Inc......................... 145,347 1,329,925
172
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Consumer Discretionary -- (Continued)
Lowe's Cos., Inc...................................... 188,546 $ 6,105,119
*Luby's, Inc........................................... 44,483 284,246
*M/I Homes, Inc........................................ 37,930 843,942
Mac-Gray Corp......................................... 13,366 173,758
Macy's, Inc........................................... 2,016 76,749
*Madison Square Garden Co. Class A (The)............... 29,558 1,216,607
Marcus Corp........................................... 28,765 313,538
*MarineMax, Inc........................................ 25,977 213,791
*Martha Stewart Living Omnimedia Class A............... 12,239 35,371
#*McClatchy Co. Class A (The)........................... 58,519 166,779
MDC Holdings, Inc..................................... 18,400 703,616
#*Media General, Inc. Class A........................... 25,196 105,823
Men's Wearhouse, Inc. (The)........................... 52,860 1,733,279
#Meredith Corp......................................... 32,676 1,093,666
*Meritage Homes Corp................................... 28,156 1,041,209
*MGM Resorts International............................. 251,100 2,588,841
*Mohawk Industries, Inc................................ 98,740 8,241,828
*Monarch Casino & Resort, Inc.......................... 2,661 24,268
#*Motorcar Parts of America, Inc........................ 11,374 53,458
Movado Group, Inc..................................... 36,900 1,169,361
*MTR Gaming Group, Inc................................. 24,536 85,631
*Multimedia Games Holding Co., Inc..................... 26,639 423,560
NACCO Industries, Inc. Class A........................ 6,123 310,069
*Nautilus, Inc......................................... 1,532 4,305
*Navarre Corp.......................................... 336 568
*New Frontier Media, Inc............................... 20,483 41,376
*New York & Co., Inc................................... 7,626 25,700
#News Corp. Class A.................................... 1,631,529 39,026,174
News Corp. Class B.................................... 621,962 15,150,994
*Office Depot, Inc..................................... 39,945 99,064
OfficeMax, Inc........................................ 32,198 236,655
#*Orchard Supply Hardware Stores Corp. Class A.......... 5,557 69,018
*Orient-Express Hotels, Ltd. Class A................... 78,398 919,609
Outdoor Channel Holdings, Inc......................... 35,808 259,966
#*Pacific Sunwear of California, Inc.................... 48,428 82,328
#*Penn National Gaming, Inc............................. 63,446 2,565,122
Penske Automotive Group, Inc.......................... 43,845 1,341,657
Pep Boys - Manny, Moe & Jack (The).................... 69,700 696,303
*Perfumania Holdings, Inc.............................. 541 3,078
*Perry Ellis International, Inc........................ 23,892 493,131
*Pinnacle Entertainment, Inc........................... 71,930 917,827
*PulteGroup, Inc....................................... 143,221 2,483,452
PVH Corp.............................................. 31,964 3,515,720
*Quiksilver, Inc....................................... 74,010 236,832
#*Radio One, Inc. Class D............................... 14,255 12,117
#RadioShack Corp....................................... 90,200 202,048
*Red Lion Hotels Corp.................................. 18,401 121,263
*Red Robin Gourmet Burgers, Inc........................ 31,175 1,041,245
Regis Corp............................................ 65,192 1,086,099
Rent-A-Center, Inc.................................... 78,435 2,614,239
*Rick's Cabaret International, Inc..................... 13,375 109,809
*Rocky Brands, Inc..................................... 10,329 124,051
Royal Caribbean Cruises, Ltd.......................... 322,500 10,858,575
*Ruby Tuesday, Inc..................................... 64,362 464,694
#*Ryman Hospitality Properties.......................... 45,753 1,784,825
*Saga Communications, Inc. Class A..................... 6,520 276,578
#*Saks, Inc............................................. 105,202 1,081,477
Salem Communications Corp. Class A.................... 12,746 75,966
Scholastic Corp....................................... 34,600 1,141,454
*Scientific Games Corp. Class A........................ 41,635 342,656
*Sears Canada, Inc..................................... 48,227 524,131
173
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Discretionary -- (Continued)
#*Sears Holdings Corp.................................. 112,601 $ 7,056,705
Service Corp. International.......................... 277,569 3,897,069
Shiloh Industries, Inc............................... 24,793 282,144
Shoe Carnival, Inc................................... 33,450 782,061
*Skechers U.S.A., Inc. Class A........................ 49,610 823,526
Spartan Motors, Inc.................................. 24,675 115,972
Speedway Motorsports, Inc............................ 52,382 853,827
*Sport Chalet, Inc. Class A........................... 875 1,278
*Sport Chalet, Inc. Class B........................... 299 499
Stage Stores, Inc.................................... 60,550 1,483,475
Standard Motor Products, Inc......................... 37,342 701,283
*Stanley Furniture Co., Inc........................... 16,198 75,321
#Staples, Inc......................................... 497,525 5,729,000
*Stein Mart, Inc...................................... 25,015 196,618
*Steinway Musical Instruments, Inc.................... 14,858 358,672
#Stewart Enterprises, Inc. Class A.................... 85,569 664,871
Strattec Security Corp............................... 5,556 126,232
Superior Industries International, Inc............... 44,353 757,993
Superior Uniform Group, Inc.......................... 8,978 105,312
*Systemax, Inc........................................ 11,951 130,744
*Tandy Brands Accessories, Inc........................ 7,878 11,896
Tandy Leather Factory, Inc........................... 500 2,650
Time Warner Cable, Inc............................... 693,942 68,776,592
Time Warner, Inc..................................... 1,534,860 66,689,667
*Toll Brothers, Inc................................... 203,299 6,710,900
*Trans World Entertainment Corp....................... 5,781 19,655
*Tuesday Morning Corp................................. 60,500 361,185
*Unifi, Inc........................................... 43,422 609,211
#Vail Resorts, Inc.................................... 11,600 658,648
*VOXX International Corp.............................. 37,868 235,539
Walt Disney Co. (The)................................ 26,220 1,286,615
#Washington Post Co. Class B (The).................... 5,780 1,927,688
Wendy's Co. (The).................................... 244,750 1,045,082
*West Marine, Inc..................................... 27,355 282,851
*Wet Seal, Inc. Class A (The)......................... 17,331 49,567
Whirlpool Corp....................................... 30,049 2,935,186
*WMS Industries, Inc.................................. 41,662 684,507
Wyndham Worldwide Corp............................... 262,116 13,210,646
*Zale Corp............................................ 2,242 16,098
------------
Total Consumer Discretionary............................ 650,948,601
------------
Consumer Staples -- (7.6%)
Alico, Inc........................................... 960 30,134
*Alliance One International, Inc...................... 44,074 133,985
Andersons, Inc. (The)................................ 18,233 716,192
Archer-Daniels-Midland Co............................ 813,476 21,833,696
B&G Foods, Inc....................................... 4,883 147,808
Beam, Inc............................................ 131,553 7,309,085
Bunge, Ltd........................................... 121,368 8,620,769
CCA Industries, Inc.................................. 8,323 36,205
*Central Garden & Pet Co.............................. 32,000 354,560
*Central Garden & Pet Co. Class A..................... 60,653 683,559
*Chiquita Brands International, Inc................... 63,990 461,368
*Constellation Brands, Inc. Class A................... 249,042 8,801,144
*Constellation Brands, Inc. Class B................... 12,715 451,001
*Craft Brew Alliance, Inc............................. 11,669 88,451
#CVS Caremark Corp.................................... 1,510,745 70,098,568
#*Dole Food Co., Inc................................... 19,567 246,349
*Farmer Bros. Co...................................... 10,645 103,576
#Fresh Del Monte Produce, Inc......................... 39,780 1,001,263
Griffin Land & Nurseries, Inc........................ 1,500 38,925
174
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Staples -- (Continued)
*Hain Celestial Group, Inc. (The)..................... 43,646 $ 2,522,739
Ingles Markets, Inc. Class A......................... 14,812 239,954
Ingredion, Inc....................................... 62,117 3,817,711
J.M. Smucker Co. (The)............................... 108,204 9,266,591
*John B. Sanfilippo & Son, Inc........................ 9,100 153,062
*Kraft Foods Group, Inc............................... 693,699 31,549,431
*Mannatech, Inc....................................... 717 3,485
MGP Ingredients, Inc................................. 4,788 16,902
Molson Coors Brewing Co. Class A..................... 1,908 83,189
#Molson Coors Brewing Co. Class B..................... 190,750 8,228,955
Mondelez International, Inc. Class A................. 2,081,099 55,232,367
Nash Finch Co........................................ 3,714 71,420
*Nutraceutical International Corp..................... 17,801 282,324
Oil-Dri Corp. of America............................. 5,047 113,053
*Omega Protein Corp................................... 27,752 180,666
*Pantry, Inc. (The)................................... 26,158 346,986
*Physicians Formula Holdings, Inc..................... 15,201 74,333
*Post Holdings, Inc................................... 52,917 1,669,531
*Prestige Brands Holdings, Inc........................ 111,489 1,938,794
*Ralcorp Holdings, Inc................................ 52,833 3,814,014
#Safeway, Inc......................................... 157,807 2,573,832
#Sanderson Farms, Inc................................. 16,100 729,169
*Seneca Foods Corp. Class A........................... 6,301 180,114
*Seneca Foods Corp. Class B........................... 300 8,550
*Smart Balance, Inc................................... 76,099 905,578
#*Smithfield Foods, Inc................................ 185,173 3,790,491
Snyders-Lance, Inc................................... 13,134 332,816
Spartan Stores, Inc.................................. 39,175 562,553
*Spectrum Brands Holdings, Inc........................ 46,130 2,098,454
#SUPERVALU, Inc....................................... 149,746 465,710
*Susser Holdings Corp................................. 12,360 444,218
*TreeHouse Foods, Inc................................. 16,925 906,334
Tyson Foods, Inc. Class A............................ 405,030 6,808,554
#Universal Corp....................................... 22,890 1,134,428
Weis Markets, Inc.................................... 11,602 477,538
------------
Total Consumer Staples.................................. 262,180,484
------------
Energy -- (15.4%)
Adams Resources & Energy, Inc........................ 6,758 205,578
Alon USA Energy, Inc................................. 33,484 439,645
Anadarko Petroleum Corp.............................. 845,068 58,149,129
Apache Corp.......................................... 292,215 24,180,791
#*Approach Resources, Inc.............................. 6,883 169,528
#*Atwood Oceanics, Inc................................. 4,600 219,880
Baker Hughes, Inc.................................... 3,891 163,305
*Barnwell Industries, Inc............................. 8,038 26,847
#Berry Petroleum Co. Class A.......................... 8,108 312,239
#*Bill Barrett Corp.................................... 51,500 1,179,865
Bolt Technology Corp................................. 9,574 137,866
Bristow Group, Inc................................... 42,400 2,116,608
Cabot Oil & Gas Corp................................. 284 13,342
*Cal Dive International, Inc.......................... 55,437 69,851
#Chesapeake Energy Corp............................... 624,655 12,655,510
Chevron Corp......................................... 613,078 67,567,326
*Cloud Peak Energy, Inc............................... 16,788 354,227
*Comstock Resources, Inc.............................. 32,421 555,048
ConocoPhillips....................................... 1,766,829 102,211,058
*Crimson Exploration, Inc............................. 35,050 126,881
Crosstex Energy, Inc................................. 29,972 410,017
*Dawson Geophysical Co................................ 19,178 458,162
#Delek US Holdings, Inc............................... 52,256 1,345,592
175
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Energy -- (Continued)
#*Denbury Resources, Inc................................. 289,460 $ 4,437,422
Devon Energy Corp...................................... 42,463 2,471,771
*Double Eagle Petroleum Co.............................. 5,932 29,719
#*Endeavour International Corp........................... 3,044 22,099
EOG Resources, Inc..................................... 6,045 704,182
*EPL Oil & Gas, Inc..................................... 27,489 594,862
#EXCO Resources, Inc.................................... 9,488 76,853
#*Exterran Holdings, Inc................................. 79,513 1,588,670
*Forest Oil Corp........................................ 93,816 711,125
#*Green Plains Renewable Energy, Inc..................... 28,557 220,746
Gulf Island Fabrication, Inc........................... 15,757 373,914
*Gulfmark Offshore, Inc. Class A........................ 35,505 1,147,522
#*Harvest Natural Resources, Inc......................... 45,263 395,146
#*Helix Energy Solutions Group, Inc...................... 103,010 1,781,043
Helmerich & Payne, Inc................................. 95,808 4,579,622
*Hercules Offshore, Inc................................. 78,413 373,246
Hess Corp.............................................. 378,130 19,761,074
.*HKN, Inc............................................... 24,730 48,718
HollyFrontier Corp..................................... 7,105 274,466
#*Hornbeck Offshore Services, Inc........................ 29,719 1,029,466
*Key Energy Services, Inc............................... 68,300 446,682
Marathon Oil Corp...................................... 903,937 27,172,346
Marathon Petroleum Corp................................ 451,968 24,826,602
*Matrix Service Co...................................... 8,596 90,172
*McDermott International, Inc........................... 63,698 682,206
*Mitcham Industries, Inc................................ 4,120 55,826
Murphy Oil Corp........................................ 189,426 11,365,560
*Nabors Industries, Ltd................................. 276,982 3,736,487
National Oilwell Varco, Inc............................ 250,948 18,494,868
*Natural Gas Services Group, Inc........................ 15,930 252,650
*Newpark Resources, Inc................................. 97,395 661,312
Noble Corp............................................. 76,711 2,895,073
Noble Energy, Inc...................................... 66,897 6,355,884
Occidental Petroleum Corp.............................. 29,242 2,308,948
#Overseas Shipholding Group, Inc........................ 2,355 2,638
*Parker Drilling Co..................................... 136,762 592,179
#Patterson-UTI Energy, Inc.............................. 152,325 2,464,618
*PDC Energy, Inc........................................ 26,743 809,511
Penn Virginia Corp..................................... 7,265 32,838
*PHI, Inc. Non-Voting................................... 21,843 683,467
*PHI, Inc. Voting....................................... 1,099 32,915
Phillips 66............................................ 883,414 41,661,804
*Pioneer Energy Services Corp........................... 67,927 448,318
Pioneer Natural Resources Co........................... 88,400 9,339,460
*Plains Exploration & Production Co..................... 162,430 5,792,254
#QEP Resources, Inc..................................... 33,043 958,247
*REX American Resources Corp............................ 4,050 71,320
*Rex Energy Corp........................................ 12,200 161,528
*Rowan Cos. P.L.C. Class A.............................. 121,858 3,864,117
*SEACOR Holdings, Inc................................... 36,653 3,214,835
*SemGroup Corp. Class A................................. 4,727 182,651
#Ship Finance International, Ltd........................ 12,481 191,958
*Superior Energy Services, Inc.......................... 32,408 658,855
*Swift Energy Co........................................ 57,500 960,825
Teekay Corp............................................ 37,720 1,154,609
Tesoro Corp............................................ 168,807 6,365,712
*TETRA Technologies, Inc................................ 13,307 71,192
*TGC Industries, Inc.................................... 1,702 12,527
Tidewater, Inc......................................... 53,204 2,527,722
Transocean, Ltd........................................ 274,265 12,531,168
*Triangle Petroleum Corp................................ 21,479 137,251
176
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Energy -- (Continued)
*Union Drilling, Inc................................. 23,405 $ 151,898
*Unit Corp........................................... 57,000 2,299,950
#*USEC, Inc........................................... 152,791 103,210
Valero Energy Corp.................................. 658,099 19,150,681
*Warren Resources, Inc............................... 963 2,745
*Weatherford International, Ltd...................... 282,083 3,187,538
Western Refining, Inc............................... 68,485 1,703,222
*Whiting Petroleum Corp.............................. 16,007 672,614
*Willbros Group, Inc................................. 22,366 114,290
------------
Total Energy........................................... 535,345,244
------------
Financials -- (15.9%)
1st Source Corp..................................... 41,894 930,466
*1st United Bancorp, Inc............................. 1,769 10,632
ACE, Ltd............................................ 46,348 3,645,270
*Alexander & Baldwin, Inc............................ 66,838 1,933,623
*Allegheny Corp...................................... 2,626 912,798
Alliance Bancorp, Inc. of Pennsylvania.............. 180 2,233
Allied World Assurance Co. Holdings AG.............. 8,435 677,330
Allstate Corp. (The)................................ 157,339 6,290,413
Alterra Capital Holdings, Ltd....................... 26,764 653,845
*American Capital, Ltd............................... 422,803 4,984,847
American Equity Investment Life Holding Co.......... 88,700 1,020,937
American Financial Group, Inc....................... 173,596 6,735,525
*American Independence Corp.......................... 866 4,313
*American International Group, Inc................... 4,900 171,157
American National Insurance Co...................... 37,287 2,724,188
*American Safety Insurance Holdings, Ltd............. 15,149 255,412
#*Ameris Bancorp...................................... 13,214 140,993
*AmeriServ Financial, Inc............................ 33,075 96,910
*Arch Capital Group, Ltd............................. 2,027 89,492
Argo Group International Holdings, Ltd.............. 38,796 1,334,582
Aspen Insurance Holdings, Ltd....................... 102,623 3,319,854
Associated Banc-Corp................................ 31,434 405,184
Assurant, Inc....................................... 65,820 2,488,654
Assured Guaranty, Ltd............................... 122,989 1,708,317
Astoria Financial Corp.............................. 12,038 120,741
*Atlantic Coast Financial Corp....................... 379 760
*AV Homes, Inc....................................... 16,343 240,242
Axis Capital Holdings, Ltd.......................... 800 28,976
#Baldwin & Lyons, Inc. Class A....................... 300 7,110
Baldwin & Lyons, Inc. Class B....................... 6,856 166,944
*Bancorp, Inc. (The)................................. 459 5,219
*BancTrust Financial Group, Inc...................... 33,553 95,291
Bank Mutual Corp.................................... 56,876 256,511
Bank of America Corp................................ 6,406,476 59,708,356
Bank of New York Mellon Corp. (The)................. 442,815 10,941,959
BankFinancial Corp.................................. 39,867 320,132
Banner Corp......................................... 7,943 230,268
BCB Bancorp, Inc.................................... 1,359 13,685
Berkshire Hills Bancorp, Inc........................ 32,139 754,624
*BofI Holding, Inc................................... 8,208 230,809
Boston Private Financial Holdings, Inc.............. 608 5,606
*Capital Bank Financial Corp. Class A................ 1,367 23,964
#*Capital City Bank Group, Inc........................ 16,844 170,967
Capital One Financial Corp.......................... 333,920 20,091,966
Capital Southwest Corp.............................. 7,189 774,615
Cathay General Bancorp.............................. 17,730 313,644
Centerstate Banks, Inc.............................. 747 6,476
Century Bancorp, Inc. Class A....................... 595 19,462
CFS Bancorp, Inc.................................... 14,148 81,351
177
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
Chemical Financial Corp............................... 394 $ 9,267
*Chicopee Bancorp, Inc................................. 1,000 14,990
*CIT Group, Inc........................................ 39,411 1,466,877
Citigroup, Inc........................................ 2,115,722 79,106,846
*Citizens Community Bancorp, Inc....................... 10,355 57,574
CME Group, Inc........................................ 414,385 23,176,553
CNA Financial Corp.................................... 285,034 8,374,299
#CNO Financial Group, Inc.............................. 301,264 2,886,109
CoBiz Financial, Inc.................................. 1,468 10,467
Codorus Valley Bancorp, Inc........................... 121 1,847
*Community West Bancshares............................. 400 1,108
#*CompuCredit Holdings Corp............................. 19,218 73,605
*Cowen Group, Inc. Class A............................. 29,912 75,976
Donegal Group, Inc. Class A........................... 27,981 362,634
Donegal Group, Inc. Class B........................... 300 5,407
*E*Trade Financial Corp................................ 89,699 749,884
Eastern Insurance Holdings, Inc....................... 23,026 387,297
*Eastern Virginia Bankshares, Inc...................... 260 1,331
EMC Insurance Group, Inc.............................. 19,181 429,271
Endurance Specialty Holdings, Ltd..................... 76,288 3,093,478
Enterprise Financial Services Corp.................... 3,235 45,290
ESB Financial Corp.................................... 360 4,856
ESSA Bancorp, Inc..................................... 8,617 86,859
#Evans Bancorp, Inc.................................... 1,681 27,148
Everest Re Group, Ltd................................. 34,913 3,877,089
*Farmers Capital Bank Corp............................. 302 3,606
FBL Financial Group, Inc. Class A..................... 24,660 841,646
Federal Agricultural Mortgage Corp. Class A........... 177 4,105
Federal Agricultural Mortgage Corp. Class C........... 9,200 259,164
*Federated National Holding Co......................... 13,665 85,406
Fidelity Bancorp, Inc................................. 400 8,836
Fidelity National Financial, Inc. Class A............. 46,321 991,733
Fidelity Southern Corp................................ 6,983 68,365
Fifth Third Bancorp................................... 9,458 137,425
*First Acceptance Corp................................. 39,006 47,197
First American Financial Corp......................... 61,982 1,410,090
First Bancorp......................................... 14,448 150,982
*First Bancshares, Inc................................. 400 2,250
First Bancshares, Inc. (The).......................... 300 3,150
First Busey Corp...................................... 5,621 26,531
First Business Financial Services, Inc................ 482 11,876
*First California Financial Group, Inc................. 3,631 24,509
First Citizens BancShares, Inc. Class A............... 8,627 1,455,806
First Commonwealth Financial Corp..................... 37,876 248,088
First Community Bancshares, Inc....................... 1,216 18,216
First Defiance Financial Corp......................... 11,998 212,365
*First Federal of Northern Michigan Bancorp, Inc....... 900 4,248
First Financial Holdings, Inc......................... 18,933 266,955
*First Financial Northwest, Inc........................ 25,471 201,221
*First Financial Service Corp.......................... 130 344
First Interstate BancSystem, Inc...................... 2,459 36,959
First Merchants Corp.................................. 38,531 566,791
First Midwest Bancorp, Inc............................ 7,168 88,668
First Pactrust Bancorp, Inc........................... 536 6,303
*First South Bancorp, Inc.............................. 1,978 10,681
*FirstCity Financial Corp.............................. 5,872 47,504
Flagstone Reinsurance Holdings SA..................... 45,783 404,722
#Fox Chase Bancorp, Inc................................ 351 5,462
*Genworth Financial, Inc. Class A...................... 34,964 208,385
#German American Bancorp, Inc.......................... 7,459 168,200
*Gleacher & Co., Inc................................... 35,033 24,523
178
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
*Global Indemnity P.L.C................................ 7,702 $ 170,830
Goldman Sachs Group, Inc. (The)....................... 143,685 17,585,607
Great Southern Bancorp, Inc........................... 2,301 65,279
*Guaranty Bancorp...................................... 79,339 145,190
#*Guaranty Federal Bancshares, Inc...................... 1,684 11,956
*Hallmark Financial Services, Inc...................... 25,992 198,319
Hampden Bancorp, Inc.................................. 5,886 76,224
Hanover Insurance Group, Inc. (The)................... 88,829 3,207,615
*Harris & Harris Group, Inc............................ 4,587 15,733
Hartford Financial Services Group, Inc................ 366,250 7,951,287
#HCC Insurance Holdings, Inc........................... 17,700 630,828
Heartland Financial USA, Inc.......................... 565 16,215
*Heritage Commerce Corp................................ 14,483 95,443
HF Financial Corp..................................... 400 5,112
*Hilltop Holdings, Inc................................. 26,171 355,664
Hingham Institution for Savings....................... 500 33,975
*HMN Financial, Inc.................................... 3,456 11,543
*Home Bancorp, Inc..................................... 719 13,596
Home Federal Bancorp, Inc............................. 9,720 111,002
HopFed Bancorp, Inc................................... 6,781 53,231
Horace Mann Educators Corp............................ 58,206 1,118,137
Horizon Bancorp....................................... 450 13,050
Hudson City Bancorp, Inc.............................. 28,191 239,201
*ICG Group, Inc........................................ 8,684 91,008
*Imperial Holdings, Inc................................ 2,882 10,145
Independence Holding Co............................... 24,172 211,263
Infinity Property & Casualty Corp..................... 15,800 902,338
International Bancshares Corp......................... 2,167 39,331
*Intervest Bancshares Corp. Class A.................... 2,078 8,624
*Investment Technology Group, Inc...................... 32,540 274,638
#Investors Title Co.................................... 1,169 76,686
Janus Capital Group, Inc.............................. 24,840 211,140
JPMorgan Chase & Co................................... 777,031 32,386,652
Kemper Corp........................................... 76,602 2,374,662
Kentucky First Federal Bancorp........................ 2,800 22,960
KeyCorp............................................... 526,210 4,430,688
Lakeland Bancorp, Inc................................. 4,701 46,681
Landmark Bancorp, Inc................................. 1,786 36,613
Legg Mason, Inc....................................... 128,883 3,283,939
Lincoln National Corp................................. 378,093 9,372,925
LNB Bancorp, Inc...................................... 13,395 79,968
Loews Corp............................................ 243,798 10,307,779
*Louisiana Bancorp, Inc................................ 5,606 91,770
*Macatawa Bank Corp.................................... 19,092 58,994
#*Magyar Bancorp, Inc................................... 500 2,420
Maiden Holdings, Ltd.................................. 23,954 202,411
MainSource Financial Group, Inc....................... 47,000 588,440
Marlin Business Services Corp......................... 14,241 321,704
MB Financial, Inc..................................... 19,678 398,676
#*MBIA, Inc............................................. 82,267 814,443
#*MBT Financial Corp.................................... 23,185 66,773
MCG Capital Corp...................................... 29,676 138,290
Meadowbrook Insurance Group, Inc...................... 38,553 216,668
Medallion Financial Corp.............................. 16,525 206,728
*Mercantile Bank Corp.................................. 4,748 78,484
Meta Financial Group, Inc............................. 1,083 25,732
MetLife, Inc.......................................... 1,126,173 39,967,880
*Metro Bancorp, Inc.................................... 27,098 351,732
*MetroCorp Bancshares, Inc............................. 2,250 22,815
#*MGIC Investment Corp.................................. 72,733 125,101
MicroFinancial, Inc................................... 5,900 46,492
179
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
MidWestOne Financial Group, Inc....................... 474 $ 9,575
Montpelier Re Holdings, Ltd........................... 38,746 886,121
Morgan Stanley........................................ 1,476,248 25,657,190
MutualFirst Financial, Inc............................ 2,300 27,968
#NASDAQ OMX Group, Inc. (The).......................... 42,129 1,003,091
National Western Life Insurance Co. Class A........... 900 126,333
*Navigators Group, Inc. (The).......................... 4,219 223,945
*New Century Bancorp, Inc.............................. 600 3,210
New Hampshire Thrift Bancshares, Inc.................. 3,667 48,331
*NewBridge Bancorp..................................... 11,513 49,621
*Newport Bancorp, Inc.................................. 700 11,693
*NewStar Financial, Inc................................ 41,166 514,575
*North Valley Bancorp.................................. 907 12,625
Northeast Community Bancorp, Inc...................... 18,190 98,590
Northrim Bancorp, Inc................................. 6,358 143,246
NYSE Euronext......................................... 8,639 213,902
Old Republic International Corp....................... 357,183 3,528,968
#*Old Second Bancorp, Inc............................... 4,874 6,824
Oppenheimer Holdings, Inc. Class A.................... 2,297 37,395
Oriental Financial Group, Inc......................... 30,191 355,650
#*Pacific Mercantile Bancorp............................ 16,756 120,141
*Park Sterling Corp.................................... 3,854 19,270
PartnerRe, Ltd........................................ 52,224 4,230,144
Peoples Bancorp of North Carolina..................... 250 2,500
Peoples Bancorp, Inc.................................. 17,708 377,180
People's United Financial, Inc........................ 68,700 826,461
#*PHH Corp.............................................. 92,304 1,920,846
*Phoenix Cos, Inc. (The)............................... 4,308 129,843
*Pinnacle Financial Partners, Inc...................... 23,924 467,714
*Piper Jaffray Cos., Inc............................... 312 8,377
Platinum Underwriters Holdings, Ltd................... 18,979 842,668
*Popular, Inc.......................................... 56,536 1,092,841
*Porter Bancorp, Inc................................... 1,737 2,536
Premier Financial Bancorp, Inc........................ 1,301 12,451
Presidential Life Corp................................ 33,374 466,569
#Principal Financial Group, Inc........................ 217,722 5,996,064
#Protective Life Corp.................................. 98,037 2,676,410
Provident Financial Holdings, Inc..................... 544 8,035
Provident Financial Services, Inc..................... 16,554 248,310
Provident New York Bancorp............................ 71,474 652,558
Prudential Financial, Inc............................. 497,625 28,389,506
Pulaski Financial Corp................................ 4,550 38,948
#Radian Group, Inc..................................... 161,945 759,522
Regions Financial Corp................................ 1,304,230 8,503,580
Reinsurance Group of America, Inc..................... 169,166 8,952,265
Renasant Corp......................................... 42,102 775,098
*Republic First Bancorp, Inc........................... 2,474 5,270
Resource America, Inc. Class A........................ 21,102 142,650
*Riverview Bancorp, Inc................................ 15,319 25,276
Safety Insurance Group, Inc........................... 11,042 511,797
Sandy Spring Bancorp, Inc............................. 10,125 193,590
*Savannah Bancorp, Inc. (The).......................... 2,998 29,081
SeaBright Holdings, Inc............................... 40,890 448,563
Selective Insurance Group, Inc........................ 45,200 835,748
SI Financial Group, Inc............................... 5,444 59,884
Simmons First National Corp. Class A.................. 1,549 38,555
Somerset Hills Bancorp................................ 4,317 36,565
*Southern First Bancshares, Inc........................ 1,106 10,949
*Southwest Bancorp, Inc................................ 23,408 252,572
State Auto Financial Corp............................. 56,823 917,123
StellarOne Corp....................................... 28,368 389,209
180
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Financials -- (Continued)
#Stewart Information Services Corp.................... 12,271 $ 286,160
*Stratus Properties, Inc.............................. 3,069 28,235
*Suffolk Bancorp...................................... 205 3,079
*Sun Bancorp, Inc..................................... 4,075 12,592
SunTrust Banks, Inc.................................. 491,691 13,373,995
Susquehanna Bancshares, Inc.......................... 94,247 977,341
Symetra Financial Corp............................... 23,030 275,208
Synovus Financial Corp............................... 138,359 338,980
#*Taylor Capital Group, Inc............................ 826 15,430
Teche Holding Co..................................... 600 24,048
TF Financial Corp.................................... 630 14,112
*Timberland Bancorp, Inc.............................. 2,500 15,500
#TowneBank............................................ 8,298 129,200
Travelers Cos., Inc. (The)........................... 28,000 1,986,320
*Tree.com, Inc........................................ 5,635 81,426
Umpqua Holdings Corp................................. 55,877 675,553
#Unico American Corp.................................. 1,900 21,641
Union First Market Bankshares Corp................... 13,914 218,450
*United Community Banks, Inc.......................... 2,891 25,152
United Financial Bancorp, Inc........................ 11,124 170,976
United Fire Group, Inc............................... 40,312 958,216
*United Security Bancshares........................... 378 1,135
*Unity Bancorp, Inc................................... 3,306 20,167
Unum Group........................................... 517,445 10,493,785
*Virginia Commerce Bancorp, Inc....................... 22,274 204,030
*Waterstone Financial, Inc............................ 1,300 7,020
WesBanco, Inc........................................ 31,131 684,882
West Bancorporation, Inc............................. 13,957 152,271
Westfield Financial, Inc............................. 895 6,525
White River Capital, Inc............................. 300 6,788
#Wintrust Financial Corp.............................. 24,524 906,162
WR Berkley Corp...................................... 3,678 143,037
*WSB Holdings, Inc.................................... 100 570
XL Group P.L.C....................................... 240,766 5,956,551
*Yadkin Valley Financial Corp......................... 16,710 53,472
Zions Bancorporation................................. 53,325 1,144,888
*ZipRealty, Inc....................................... 10,028 26,474
------------
Total Financials........................................ 551,358,550
------------
Health Care -- (9.1%)
*Addus HomeCare Corp.................................. 2,044 11,099
#Aetna, Inc........................................... 503,313 21,994,778
*Affymax, Inc......................................... 6,200 141,298
#*Affymetrix, Inc...................................... 61,586 195,228
*Albany Molecular Research, Inc....................... 29,820 105,563
*Alere, Inc........................................... 74,130 1,423,296
*Allied Healthcare Products, Inc...................... 1,000 2,730
*Almost Family, Inc................................... 1,789 37,086
*Alphatec Holdings, Inc............................... 17,739 30,511
#*Amedisys, Inc........................................ 12,879 142,184
*AMN Healthcare Services, Inc......................... 15,078 149,574
*Amsurg Corp.......................................... 30,743 876,790
Analogic Corp........................................ 5,606 412,938
*AngioDynamics, Inc................................... 53,413 573,121
*Anika Therapeutics, Inc.............................. 20,716 232,226
Arrhythmia Research Technology, Inc.................. 1,200 2,964
Assisted Living Concepts, Inc. Class A............... 33,042 261,362
*Astex Pharmaceuticals, Inc........................... 200 476
*BioClinica, Inc...................................... 9,810 61,509
*BioScrip, Inc........................................ 36,570 336,810
*Boston Scientific Corp............................... 1,204,199 6,189,583
181
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Health Care -- (Continued)
*Cambrex Corp........................................ 43,567 $ 526,289
Cantel Medical Corp................................. 5,040 131,090
*Capital Senior Living Corp.......................... 58,814 945,729
*CardioNet, Inc...................................... 5,628 13,676
*CareFusion Corp..................................... 207,163 5,502,249
#*Celldex Therapeutics, Inc........................... 4,759 26,222
Cigna Corp.......................................... 42,954 2,190,654
#*Community Health Systems, Inc....................... 105,314 2,887,710
CONMED Corp......................................... 43,239 1,195,991
Cooper Cos., Inc. (The)............................. 50,100 4,808,598
Coventry Health Care, Inc........................... 141,956 6,194,960
*Cross Country Healthcare, Inc....................... 36,190 159,236
CryoLife, Inc....................................... 17,502 108,337
*Cumberland Pharmaceuticals, Inc..................... 26,419 155,080
*Cutera, Inc......................................... 23,864 176,832
*Cynosure, Inc. Class A.............................. 8,077 212,748
#Daxor Corp.......................................... 545 4,409
*Digirad Corp........................................ 29,411 63,234
*Dynacq Healthcare, Inc.............................. 909 9
*Endo Health Solutions, Inc.......................... 54,588 1,564,492
*Enzo Biochem, Inc................................... 50,065 100,130
*Enzon Pharmaceuticals, Inc.......................... 2,309 15,170
*Exactech, Inc....................................... 3,390 56,613
*Five Star Quality Care, Inc......................... 28,953 152,293
*Forest Laboratories, Inc............................ 82,171 2,769,984
*Gentiva Health Services, Inc........................ 26,039 244,767
*Greatbatch, Inc..................................... 41,672 915,951
*Hanger, Inc......................................... 2,200 55,770
*Harvard Bioscience, Inc............................. 32,625 131,152
*Health Net, Inc..................................... 25,498 548,717
*Healthways, Inc..................................... 31,930 310,679
*Hologic, Inc........................................ 305,036 6,289,842
#*Horizon Pharma, Inc................................. 1,574 4,061
Humana, Inc......................................... 236,814 17,588,176
Invacare Corp....................................... 24,528 334,807
Kewaunee Scientific Corp............................ 1,631 18,398
*Kindred Healthcare, Inc............................. 50,544 495,331
*Lannet Co., Inc..................................... 3,649 16,092
*LCA-Vision, Inc..................................... 1,000 3,820
LeMaitre Vascular, Inc.............................. 5,100 30,600
#*Life Technologies Corp.............................. 94,990 4,645,961
*LifePoint Hospitals, Inc............................ 82,208 2,905,231
*Magellan Health Services, Inc....................... 9,739 488,411
Maxygen, Inc........................................ 43,805 106,884
*MedAssets, Inc...................................... 44,682 792,212
.*MedCath Corp........................................ 29,240 40,059
*Medical Action Industries, Inc...................... 24,809 73,187
#*MediciNova, Inc..................................... 225 477
*Misonix, Inc........................................ 4,083 18,047
*Molina Healthcare, Inc.............................. 24,941 625,271
*Myrexis, Inc........................................ 14,306 34,334
National Healthcare Corp............................ 7,274 346,388
*Natus Medical, Inc.................................. 7,661 86,569
Omnicare, Inc....................................... 197,388 6,815,808
*Omnicell, Inc....................................... 26,113 380,728
*Palomar Medical Technologies, Inc................... 6,712 57,925
*PDI, Inc............................................ 14,979 102,606
PerkinElmer, Inc.................................... 76,500 2,366,145
Pfizer, Inc......................................... 5,208,907 129,545,517
*PharMerica Corp..................................... 11,664 142,534
*Repligen Corp....................................... 21,271 108,482
182
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
Health Care -- (Continued)
*RTI Biologics, Inc..................................... 80,268 $ 325,888
*Select Medical Holdings Corp........................... 51,009 540,185
*Skilled Healthcare Group, Inc. Class A................. 12,180 94,639
*Solta Medical, Inc..................................... 6,017 17,750
*Sucampo Pharmaceuticals, Inc. Class A.................. 7,965 39,745
*Sun Healthcare Group, Inc.............................. 8,903 75,319
*SunLink Health Systems, Inc............................ 1,750 1,838
*SurModics, Inc......................................... 5,593 100,562
*Symmetry Medical, Inc.................................. 78,674 720,654
Teleflex, Inc.......................................... 37,423 2,542,893
*Theragenics Corp....................................... 21,383 32,716
Thermo Fisher Scientific, Inc.......................... 499,520 30,500,691
#*TranS1, Inc............................................ 6,097 16,767
*Triple-S Management Corp. Class B...................... 21,673 390,981
UnitedHealth Group, Inc................................ 45,732 2,560,992
*Universal American Corp................................ 85,628 774,077
#*VCA Antech, Inc........................................ 49,047 960,340
*ViroPharma, Inc........................................ 103,479 2,612,845
*WellCare Health Plans, Inc............................. 9,700 461,720
WellPoint, Inc......................................... 504,640 30,924,339
#*Wright Medical Group, Inc.............................. 38,748 787,359
Young Innovations, Inc................................. 2,165 73,935
------------
Total Health Care......................................... 314,370,035
------------
Industrials -- (13.5%)
*A.T. Cross Co. Class A................................. 18,022 170,668
AAR Corp............................................... 32,906 496,552
ABM Industries, Inc.................................... 64,500 1,225,500
Aceto Corp............................................. 37,486 375,610
Acme United Corp....................................... 1,030 11,670
#Actuant Corp. Class A.................................. 44,986 1,270,405
*Adept Technology, Inc.................................. 21,309 85,236
*ADT Corp. (The)........................................ 197,193 8,185,481
*AECOM Technology Corp.................................. 23,177 497,610
*Aegion Corp............................................ 5,916 109,269
*AGCO Corp.............................................. 58,973 2,683,861
*Air Transport Services Group, Inc...................... 17,784 68,468
Aircastle, Ltd......................................... 41,608 463,097
Alamo Group, Inc....................................... 22,951 768,858
*Alaska Air Group, Inc.................................. 52,626 2,012,418
Albany International Corp. Class A..................... 20,551 451,505
.*Allied Defense Group, Inc. (The)....................... 2,645 14,151
Amerco, Inc............................................ 29,431 3,400,458
*American Railcar Industries, Inc....................... 20,003 587,688
#*American Superconductor Corp........................... 432 1,551
Ampco-Pittsburgh Corp.................................. 4,007 70,764
*AMREP Corp............................................. 966 6,279
Apogee Enterprises, Inc................................ 36,374 740,938
Argan, Inc............................................. 21 374
Arkansas Best Corp..................................... 27,325 219,966
*Ascent Solar Technologies, Inc......................... 7,857 6,403
#*Asset Acceptance Capital Corp.......................... 5,900 37,642
Asta Funding, Inc...................................... 8,975 84,185
*Astec Industries, Inc.................................. 22,925 660,240
#*Atlas Air Worldwide Holdings, Inc...................... 36,746 2,020,663
#*Avis Budget Group, Inc................................. 94,608 1,563,870
Baltic Trading, Ltd.................................... 1,681 5,732
Barnes Group, Inc...................................... 36,400 832,832
Barrett Business Services, Inc......................... 12,955 386,448
*BlueLinx Holdings, Inc................................. 12,553 26,487
Brady Corp. Class A.................................... 44,400 1,365,744
183
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Industrials -- (Continued)
#Briggs & Stratton Corp................................ 45,533 $ 899,277
*Builders FirstSource, Inc............................. 12,182 67,123
*CAI International, Inc................................ 12,482 276,601
Cascade Corp.......................................... 5,840 379,542
*Casella Waste Systems, Inc. Class A................... 14,362 65,778
#*CBIZ, Inc............................................. 46,963 259,236
CDI Corp.............................................. 43,399 746,029
CECO Environmental Corp............................... 3,291 29,125
Celadon Group, Inc.................................... 23,892 408,553
Ceradyne, Inc......................................... 26,425 923,818
*Champion Industries, Inc.............................. 686 137
#Chicago Rivet & Machine Co............................ 700 12,908
CIRCOR International, Inc............................. 6,338 218,598
*CNH Global NV......................................... 6,958 311,718
*Columbus McKinnon Corp................................ 17,542 262,604
Comfort Systems USA, Inc.............................. 38,440 418,996
CompX International, Inc.............................. 500 7,015
*Consolidated Graphics, Inc............................ 12,008 354,356
Corrections Corp. of America.......................... 7,040 236,896
Courier Corp.......................................... 8,245 99,352
#Covanta Holding Corp.................................. 94,292 1,714,229
*Covenant Transportation Group, Inc. Class A........... 7,080 32,851
*CPI Aerostructures, Inc............................... 5,826 64,144
*CRA International, Inc................................ 7,613 127,442
CSX Corp.............................................. 1,242,950 25,443,186
Curtiss-Wright Corp................................... 46,353 1,430,917
*Dolan Co. (The)....................................... 10,818 50,087
Douglas Dynamics, Inc................................. 30,234 459,254
*Ducommun, Inc......................................... 16,345 222,946
*Dycom Industries, Inc................................. 37,387 532,391
Eastern Co. (The)..................................... 10,193 163,088
#Eaton Corp............................................ 24,778 1,170,017
Ecology & Environment, Inc. Class A................... 900 11,043
EMCOR Group, Inc...................................... 25,273 812,780
Encore Wire Corp...................................... 19,966 616,151
*Energy Recovery, Inc.................................. 1,783 5,296
*EnergySolutions, Inc.................................. 21,233 60,726
#*EnerSys, Inc.......................................... 43,239 1,490,881
*Engility Holdings, Inc................................ 7,988 151,772
Ennis, Inc............................................ 48,483 741,790
*EnPro Industries, Inc................................. 18,700 683,672
ESCO Technologies, Inc................................ 16,950 634,608
Espey Manufacturing & Electronics Corp................ 1,671 45,886
*Esterline Technologies Corp........................... 44,968 2,598,701
*Excel Maritime Carriers, Ltd.......................... 37,958 15,866
Exelis, Inc........................................... 25,093 277,529
*Federal Signal Corp................................... 68,080 392,822
FedEx Corp............................................ 142,324 13,092,385
*Flow International Corp............................... 27,022 89,713
*Fortune Brands Home & Security, Inc................... 149,626 4,255,363
*Franklin Covey Co..................................... 3,046 36,613
FreightCar America, Inc............................... 11,505 221,471
*Frozen Food Express Industries........................ 8,986 15,815
#*FTI Consulting, Inc................................... 16,180 420,033
*Furmanite Corp........................................ 31,044 156,772
G & K Services, Inc. Class A.......................... 29,714 958,276
GATX Corp............................................. 65,445 2,713,350
#*Genco Shipping & Trading, Ltd......................... 2,100 6,384
*Gencor Industries, Inc................................ 8,766 63,028
#*General Cable Corp.................................... 26,404 753,306
*General Dynamics Corp................................. 28,674 1,952,126
184
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Industrials -- (Continued)
General Electric Co.................................. 5,174,289 $108,970,526
Geo Group, Inc. (The)................................ 24,086 667,664
*Gibraltar Industries, Inc............................ 43,711 544,639
*GP Strategies Corp................................... 18,583 357,723
#Granite Construction, Inc............................ 26,636 804,674
Great Lakes Dredge & Dock Corp....................... 69,820 555,069
*Greenbrier Cos., Inc................................. 21,793 379,416
#Griffon Corp......................................... 67,323 683,328
H&E Equipment Services, Inc.......................... 59,629 907,553
Hardinge, Inc........................................ 19,132 198,590
Harsco Corp.......................................... 36,812 735,872
*Hawaiian Holdings, Inc............................... 23,212 137,647
Heidrick & Struggles International, Inc.............. 18,234 215,891
#*Hertz Global Holdings, Inc........................... 278,411 3,694,514
*Hill International, Inc.............................. 27,154 92,052
*Hudson Global, Inc................................... 15,603 63,036
#*Huntington Ingalls Industries, Inc................... 48,170 2,041,445
*Hurco Cos., Inc...................................... 8,210 188,666
*Hyster-Yale Materials Handling, Inc.................. 6,123 251,533
*Hyster-Yale Materials Handling, Inc. Class B......... 6,123 251,533
*ICF International, Inc............................... 31,660 580,961
Ingersoll-Rand P.L.C................................. 250,943 11,801,849
Insteel Industries, Inc.............................. 16,378 189,985
International Shipholding Corp....................... 12,152 203,181
Intersections, Inc................................... 29,079 270,144
#*JetBlue Airways Corp................................. 324,893 1,718,684
*Kadant, Inc.......................................... 6,383 155,043
Kansas City Southern................................. 11,967 962,865
*KAR Auction Services, Inc............................ 18,100 362,000
Kaydon Corp.......................................... 6,284 140,510
Kelly Services, Inc. Class A......................... 44,445 590,674
Kennametal, Inc...................................... 6,400 226,688
*Key Technology, Inc.................................. 3,199 27,895
Kimball International, Inc. Class B.................. 28,589 341,353
*Korn/Ferry International............................. 30,127 403,401
L.B. Foster Co. Class A.............................. 3,502 115,601
L.S. Starrett Co. Class A (The)...................... 4,097 46,993
#L-3 Communications Holdings, Inc..................... 100,470 7,414,686
Lawson Products, Inc................................. 10,838 77,058
*Layne Christensen Co................................. 34,461 768,136
*LMI Aerospace, Inc................................... 14,655 294,272
LSI Industries, Inc.................................. 28,715 194,688
*Lydall, Inc.......................................... 18,720 241,675
#Manpower, Inc........................................ 1,358 51,523
Marten Transport, Ltd................................ 31,855 589,317
Matson, Inc.......................................... 62,316 1,324,215
McGrath RentCorp..................................... 20,487 537,989
*Metalico, Inc........................................ 72,047 153,460
Met-Pro Corp......................................... 2,998 27,222
*MFRI, Inc............................................ 8,900 48,950
*Michael Baker Corp................................... 969 21,909
Miller Industries, Inc............................... 19,874 305,066
*Mobile Mini, Inc..................................... 54,461 948,711
*Moog, Inc. Class A................................... 35,339 1,307,896
Mueller Industries, Inc.............................. 20,587 901,711
Mueller Water Products, Inc. Class A................. 185,957 968,836
*MYR Group, Inc....................................... 794 16,817
*National Technical Systems, Inc...................... 15,600 125,268
*Navigant Consulting, Inc............................. 22,179 230,440
NL Industries, Inc................................... 51,251 521,223
*NN, Inc.............................................. 16,796 139,071
185
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Industrials -- (Continued)
Norfolk Southern Corp.................................. 545,229 $33,449,799
#Northrop Grumman Corp.................................. 337,038 23,151,140
*Northwest Pipe Co...................................... 10,675 245,311
*Ocean Power Technologies, Inc.......................... 8,400 20,832
*On Assignment, Inc..................................... 53,951 1,029,385
*Orbital Sciences Corp.................................. 36,476 488,778
*Orion Energy Systems, Inc.............................. 1,043 1,711
*Orion Marine Group, Inc................................ 758 5,071
#*Oshkosh Corp........................................... 14,466 433,691
#*Owens Corning, Inc..................................... 149,300 5,014,987
P.A.M. Transportation Services, Inc.................... 19,428 193,309
*Pentair, Inc........................................... 117,934 4,981,532
#*PGT, Inc............................................... 500 2,160
*Pike Electric Corp..................................... 16,826 153,285
#*Portfolio Recovery Associates, Inc..................... 9,401 983,815
*Powell Industries, Inc................................. 5,907 234,980
*PowerSecure International, Inc......................... 8,626 55,724
Providence & Worcester Railroad Co..................... 850 12,325
#*Quad/Graphics, Inc..................................... 799 14,646
Quanex Building Products Corp.......................... 19,678 389,034
*Quanta Services, Inc................................... 168,307 4,364,201
Raytheon Co............................................ 133,501 7,550,817
*RCM Technologies, Inc.................................. 21,593 120,489
*Real Goods Solar, Inc. Class A......................... 2,572 1,299
#Regal-Beloit Corp...................................... 16,070 1,047,443
*Republic Airways Holdings, Inc......................... 53,999 252,175
Republic Services, Inc................................. 429,755 12,183,554
Resources Connection, Inc.............................. 19,847 244,912
*Roadrunner Transportation Systems, Inc................. 879 15,321
Robbins & Myers, Inc................................... 8,889 526,940
*Rush Enterprises, Inc. Class A......................... 33,446 635,474
*Rush Enterprises, Inc. Class B......................... 18,522 321,727
Ryder System, Inc...................................... 89,844 4,053,761
*Saia, Inc.............................................. 17,104 386,550
Schawk, Inc............................................ 44,735 552,030
*Seaboard Corp.......................................... 1,812 4,133,770
SeaCube Container Leasing, Ltd......................... 223 4,130
SIFCO Industries, Inc.................................. 6,623 110,935
#Simpson Manufacturing Co., Inc......................... 2,609 79,470
SkyWest, Inc........................................... 46,706 511,431
*SL Industries, Inc..................................... 300 4,200
Southwest Airlines Co.................................. 645,761 5,695,612
*Sparton Corp........................................... 9,132 123,282
SPX Corp............................................... 11,003 754,696
Standard Register Co. (The)............................ 30,430 19,475
Standex International Corp............................. 22,341 1,033,048
Stanley Black & Decker, Inc............................ 154,919 10,735,887
Steelcase, Inc. Class A................................ 55,469 555,245
*Sterling Construction Co., Inc......................... 20,061 178,543
*Supreme Industries, Inc. Class A....................... 1,365 4,832
*SYKES Enterprises, Inc................................. 20,092 273,653
Sypris Solutions, Inc.................................. 9,636 60,707
#TAL International Group, Inc........................... 22,054 752,924
*Tecumseh Products Co. Class A.......................... 11,200 56,336
*Tecumseh Products Co. Class B.......................... 1,400 7,280
*Terex Corp............................................. 13,778 310,694
*Tetra Tech, Inc........................................ 10,810 280,411
*Titan Machinery, Inc................................... 7,257 171,628
*TRC Cos., Inc.......................................... 28,708 206,985
Trinity Industries, Inc................................ 91,907 2,874,851
Triumph Group, Inc..................................... 57,456 3,758,772
186
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
Industrials -- (Continued)
*Tufco Technologies, Inc................................ 900 $ 4,149
*Tutor Perini Corp...................................... 40,371 409,362
Twin Disc, Inc......................................... 3,866 58,609
Tyco International, Ltd................................ 394,386 10,597,152
*Ultralife Corp......................................... 10,940 33,586
UniFirst Corp.......................................... 18,705 1,301,307
Union Pacific Corp..................................... 444,064 54,633,194
Universal Forest Products, Inc......................... 31,800 1,224,300
URS Corp............................................... 84,698 2,835,689
*USA Truck, Inc......................................... 15,105 43,049
*Versar, Inc............................................ 6,026 22,658
Viad Corp.............................................. 28,614 606,903
*Virco Manufacturing Corp............................... 12,601 30,368
VSE Corp............................................... 305 7,213
*Waste Connections, Inc................................. 2,800 91,924
Watts Water Technologies, Inc. Class A................. 53,615 2,156,931
#*WESCO International, Inc............................... 11,687 758,253
*Willdan Group, Inc..................................... 1,000 1,530
*Willis Lease Finance Corp.............................. 7,150 101,673
#*XPO Logistics, Inc..................................... 4,427 60,783
------------
Total Industrials......................................... 469,455,970
------------
Information Technology -- (4.8%)
*Accelrys, Inc.......................................... 41,733 373,510
#Activision Blizzard, Inc............................... 982,162 10,695,744
*Acxiom Corp............................................ 7,769 141,784
*Advanced Energy Industries, Inc........................ 48,663 574,710
*Agilysys, Inc.......................................... 17,299 141,333
*Alpha & Omega Semiconductor, Ltd....................... 1,319 11,238
*Amkor Technology, Inc.................................. 9,870 42,638
#*Amtech Systems, Inc.................................... 10,600 34,132
*ANADIGICS, Inc......................................... 2,092 3,054
*Anaren, Inc............................................ 9,602 173,124
*AOL, Inc............................................... 105,592 3,624,973
#*Arris Group, Inc....................................... 146,928 2,018,791
#*Arrow Electronics, Inc................................. 182,170 6,417,849
Astro-Med, Inc......................................... 2,897 23,842
*ATMI, Inc.............................................. 33,934 670,196
*Aviat Networks, Inc.................................... 46,325 105,621
*Avid Technology, Inc................................... 17,366 101,938
*Avnet, Inc............................................. 139,400 3,993,810
AVX Corp............................................... 175,587 1,727,776
Aware, Inc............................................. 22,140 134,833
*AXT, Inc............................................... 25,915 83,187
Bel Fuse, Inc. Class A................................. 4,174 63,862
Bel Fuse, Inc. Class B................................. 18,986 314,408
*Benchmark Electronics, Inc............................. 93,903 1,391,642
Black Box Corp......................................... 26,530 581,538
*Blucora, Inc........................................... 81,156 1,424,288
*Brocade Communications Systems, Inc.................... 461,513 2,446,019
Brooks Automation, Inc................................. 63,950 461,719
*Bsquare Corp........................................... 4,665 13,762
*BTU International, Inc................................. 1,600 3,120
#*CACI International, Inc. Class A....................... 25,642 1,293,126
#*Calix, Inc............................................. 20,031 133,206
*Cascade Microtech, Inc................................. 24,071 126,373
*Checkpoint Systems, Inc................................ 21,800 177,016
*CIBER, Inc............................................. 81,980 255,778
Cohu, Inc.............................................. 41,810 367,928
Communications Systems, Inc............................ 12,712 131,696
#Computer Sciences Corp................................. 220,553 6,715,839
187
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Information Technology -- (Continued)
Comtech Telecommunications Corp...................... 17,877 $ 449,964
Concurrent Computer Corp............................. 13,740 71,860
Convergys Corp....................................... 197,364 3,317,689
*CoreLogic, Inc....................................... 96,545 2,297,771
Corning, Inc......................................... 1,298,385 15,256,024
*Cray, Inc............................................ 12,866 156,579
CSP, Inc............................................. 2,414 12,142
CTS Corp............................................. 33,460 277,049
*CyberOptics Corp..................................... 9,134 68,505
*Datalink Corp........................................ 1,412 11,494
*Dataram Corp......................................... 7,544 4,376
*Digi International, Inc.............................. 42,904 404,156
*Diodes, Inc.......................................... 8,664 131,346
*DSP Group, Inc....................................... 49,501 272,255
*Dynamics Research Corp............................... 17,372 112,049
EarthLink, Inc....................................... 86,935 551,168
*EchoStar Corp. Class A............................... 23,551 747,980
*Edgewater Technology, Inc............................ 13,603 47,338
Electro Rent Corp.................................... 42,586 669,452
Electro Scientific Industries, Inc................... 37,240 397,723
*Electronics for Imaging, Inc......................... 58,881 1,022,174
#*EMCORE Corp.......................................... 744 3,460
*Emulex Corp.......................................... 68,369 475,848
*Entropic Communications, Inc......................... 11,600 55,796
EPIQ Systems, Inc.................................... 20,815 254,151
*ePlus, Inc........................................... 8,445 302,078
*Euronet Worldwide, Inc............................... 26,878 545,355
*Exar Corp............................................ 59,230 506,416
#*Fairchild Semiconductor International, Inc........... 118,008 1,387,774
Fidelity National Information Services, Inc.......... 150,627 4,951,109
*FormFactor, Inc...................................... 23,819 108,615
*Frequency Electronics, Inc........................... 16,953 142,236
*Global Cash Access Holdings, Inc..................... 32,796 231,212
#*Globecomm Systems, Inc............................... 34,871 378,350
*GSE Systems, Inc..................................... 17,638 31,572
*GSI Group, Inc....................................... 1,451 11,274
*GSI Technology, Inc.................................. 5,864 32,780
*Hackett Group, Inc. (The)............................ 54,740 212,939
*Harmonic, Inc........................................ 26,825 116,420
#Hewlett-Packard Co................................... 65,635 909,045
#*Hutchinson Technology, Inc........................... 643 900
*I.D. Systems, Inc.................................... 17,291 90,778
IAC/InterActiveCorp.................................. 125,298 6,058,158
*Identive Group, Inc.................................. 19,075 22,890
*Imation Corp......................................... 33,998 155,371
*Ingram Micro, Inc. Class A........................... 277,679 4,220,721
*Insight Enterprises, Inc............................. 42,100 680,757
*Integrated Device Technology, Inc.................... 70,084 381,257
*Integrated Silicon Solution, Inc..................... 51,460 439,983
*Intermec, Inc........................................ 15,705 106,480
*Internap Network Services Corp....................... 35,546 243,490
#*International Rectifier Corp......................... 79,000 1,223,710
*Interphase Corp...................................... 2,999 6,418
Intersil Corp. Class A............................... 119,798 844,576
*Intevac, Inc......................................... 8,654 43,270
*IntriCon Corp........................................ 2,835 13,977
*Itron, Inc........................................... 14,842 609,413
*IXYS Corp............................................ 11,466 109,156
*Kemet Corp........................................... 6,536 29,673
*Key Tronic Corp...................................... 17,923 203,426
Keynote Systems, Inc................................. 24,195 345,747
188
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ----------
Information Technology -- (Continued)
#*KIT Digital, Inc........................................ 28,934 $ 80,437
*Kulicke & Soffa Industries, Inc......................... 71,688 735,519
*KVH Industries, Inc..................................... 600 8,292
*Lattice Semiconductor Corp.............................. 36,888 143,125
*LGL Group, Inc. (The)................................... 269 1,646
*Limelight Networks, Inc................................. 35,344 74,576
*LookSmart, Ltd.......................................... 25,479 20,893
Loral Space & Communications, Inc....................... 26,050 2,049,093
*LTX-Credence Corp....................................... 14,158 78,860
ManTech International Corp. Class A..................... 21,353 490,478
Marchex, Inc. Class B................................... 32,883 134,491
*Measurement Specialties, Inc............................ 5,113 166,735
#*MEMC Electronic Materials, Inc.......................... 39,439 99,386
*Mentor Graphics Corp.................................... 35,620 552,822
*Mercury Computer Systems, Inc........................... 8,133 66,650
Methode Electronics, Inc................................ 37,682 381,342
*Micron Technology, Inc.................................. 758,908 4,117,076
MKS Instruments, Inc.................................... 61,200 1,446,156
*ModusLink Global Solutions, Inc......................... 68,955 202,038
*Multi-Fineline Electronix, Inc.......................... 1,598 33,782
*NCI, Inc. Class A....................................... 686 3,855
*Newport Corp............................................ 72,548 784,969
*Novatel Wireless, Inc................................... 18,279 30,160
*Official Payments Holdings, Inc......................... 2,151 10,992
*OmniVision Technologies, Inc............................ 12,800 183,040
*Online Resources Corp................................... 18,720 53,914
*Oplink Communications, Inc.............................. 35,876 533,117
Optical Cable Corp...................................... 10,793 45,546
*PAR Technology Corp..................................... 22,705 121,472
PC Connection, Inc...................................... 41,156 423,495
*PC Mall, Inc............................................ 10,772 68,510
PC-Tel, Inc............................................. 36,106 235,411
*Perceptron, Inc......................................... 6,669 35,212
*Perficient, Inc......................................... 707 8,039
*Performance Technologies, Inc........................... 24,790 29,500
*Pericom Semiconductor Corp.............................. 41,261 318,948
*Pervasive Software, Inc................................. 35,664 305,997
*Photronics, Inc......................................... 69,687 340,769
*Planar Systems, Inc..................................... 11,933 15,752
*Plexus Corp............................................. 4,712 126,800
*PMC-Sierra, Inc......................................... 146,588 686,032
#*Power-One, Inc.......................................... 20,527 82,724
*Presstek, Inc........................................... 7,000 3,465
*Qualstar Corp........................................... 12,400 17,236
*Radisys Corp............................................ 18,198 51,682
*RealNetworks, Inc....................................... 33,702 255,124
*Reis, Inc............................................... 13,511 158,011
RF Industries, Ltd...................................... 2,823 12,449
Richardson Electronics, Ltd............................. 25,225 293,871
Rimage Corp............................................. 159 951
*Rofin-Sinar Technologies, Inc........................... 199 3,624
*Rosetta Stone, Inc...................................... 2,676 31,336
*Rudolph Technologies, Inc............................... 25,605 243,504
*Sandisk Corp............................................ 13,097 546,931
*Sanmina-SCI Corp........................................ 13,303 118,264
*SeaChange International, Inc............................ 32,298 292,297
*Sigma Designs, Inc...................................... 23,129 137,386
*Smith Micro Software, Inc............................... 3,626 4,532
*SMTC Corp............................................... 1,300 3,640
*Spansion, Inc. Class A.................................. 14,343 159,064
#*SS&C Technologies Holdings, Inc......................... 25,793 619,806
189
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Information Technology -- (Continued)
*StarTek, Inc......................................... 27,060 $ 78,474
#*SunPower Corp........................................ 1,500 6,465
*Supertex, Inc........................................ 10,688 204,248
*Support.com, Inc..................................... 25,400 117,856
*Sycamore Networks, Inc............................... 44,477 257,077
*Symmetricom, Inc..................................... 89,726 551,815
#*SYNNEX Corp.......................................... 57,400 1,859,186
*Tech Data Corp....................................... 82,952 3,675,603
*TechTarget, Inc...................................... 23,606 112,837
*TeleCommunication Systems, Inc. Class A.............. 47,407 100,503
Tellabs, Inc......................................... 241,591 705,446
Telular Corp......................................... 24,938 249,131
Tessco Technologies, Inc............................. 11,228 233,542
Tessera Technologies, Inc............................ 48,635 689,158
TheStreet, Inc....................................... 36,857 59,708
*TriQuint Semiconductor, Inc.......................... 41,280 194,016
*TSR, Inc............................................. 650 2,762
*TTM Technologies, Inc................................ 62,635 563,715
*Ultra Clean Holdings................................. 4,755 22,016
United Online, Inc................................... 121,790 652,794
*UTStarcom Holdings Corp.............................. 1,311 1,298
*Vicon Industries, Inc................................ 5,787 17,072
*Video Display Corp................................... 600 2,136
*Virtusa Corp......................................... 30,064 515,898
#*Vishay Intertechnology, Inc.......................... 228,349 1,890,730
*Vishay Precision Group, Inc.......................... 9,781 127,642
*Web.com Group, Inc................................... 22,102 348,770
*Westell Technologies, Inc. Class A................... 33,494 68,328
Western Digital Corp................................. 212,781 7,283,494
*WPCS International, Inc.............................. 8,861 4,519
Xerox Corp........................................... 1,791,473 11,537,086
*XO Group, Inc........................................ 12,200 98,210
Xyratex, Ltd......................................... 28,253 233,652
*Yahoo!, Inc.......................................... 1,048,770 17,629,824
*Zygo Corp............................................ 18,340 341,491
------------
Total Information Technology............................ 168,478,404
------------
Materials -- (3.2%)
A. Schulman, Inc..................................... 33,740 865,768
*A.M. Castle & Co..................................... 38,646 469,549
Alcoa, Inc........................................... 1,145,369 9,815,812
*American Pacific Corp................................ 7,647 101,093
Ashland, Inc......................................... 112,560 8,008,644
#Bemis Co., Inc....................................... 24,092 796,241
Boise, Inc........................................... 68,104 571,393
Buckeye Technologies, Inc............................ 37,822 990,936
Cabot Corp........................................... 46,280 1,654,973
*Century Aluminum Co.................................. 32,155 229,908
*Chemtura Corp........................................ 54,541 868,838
*Clearwater Paper Corp................................ 7,599 300,464
*Coeur d'Alene Mines Corp............................. 133,765 4,134,676
Commercial Metals Co................................. 85,208 1,172,462
*Continental Materials Corp........................... 100 1,221
*Core Molding Technologies, Inc....................... 2,988 20,976
Cytec Industries, Inc................................ 64,700 4,452,654
#Domtar Corp.......................................... 30,917 2,465,631
Dow Chemical Co. (The)............................... 14,000 410,200
Friedman Industries, Inc............................. 16,610 178,225
Georgia Gulf Corp.................................... 26,423 935,110
#*Golden Minerals Co................................... 9,036 39,487
*Graphic Packaging Holding Co......................... 154,000 911,680
190
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Materials -- (Continued)
Haynes International, Inc............................ 1,905 $ 96,545
*Headwaters, Inc...................................... 23,663 170,137
*Horsehead Holding Corp............................... 45,617 412,834
Huntsman Corp........................................ 50,242 755,640
International Paper Co............................... 493,615 17,686,225
Kaiser Aluminum Corp................................. 27,181 1,646,625
*KapStone Paper & Packaging Corp...................... 40,492 889,609
*Landec Corp.......................................... 37,056 400,946
*Louisiana-Pacific Corp............................... 173,457 2,738,886
*LyondellBasell Industries NV Class A................. 121,873 6,506,799
Materion Corp........................................ 17,760 372,072
MeadWestvaco Corp.................................... 188,451 5,595,110
*Mercer International, Inc............................ 19,608 137,060
*Metals USA Holdings Corp............................. 9,196 134,078
Minerals Technologies, Inc........................... 17,140 1,228,252
*Mod-Pac Corp......................................... 1,501 10,072
Myers Industries, Inc................................ 65,520 971,662
Neenah Paper, Inc.................................... 13,402 347,112
*Northern Technologies International Corp............. 3,035 33,719
Nucor Corp........................................... 89,274 3,582,566
Olin Corp............................................ 45,661 947,009
Olympic Steel, Inc................................... 10,414 187,452
*OM Group, Inc........................................ 42,299 855,709
P.H. Glatfelter Co................................... 54,200 965,302
*Penford Corp......................................... 26,922 207,299
Reliance Steel & Aluminum Co......................... 93,801 5,097,146
Rock-Tenn Co. Class A................................ 26,305 1,925,263
*RTI International Metals, Inc........................ 50,032 1,140,229
Schnitzer Steel Industries, Inc. Class A............. 21,397 610,028
Sealed Air Corp...................................... 45,299 734,750
*Spartech Corp........................................ 30,589 261,842
Steel Dynamics, Inc.................................. 94,919 1,200,725
#*Stillwater Mining Co................................. 43,300 450,753
*SunCoke Energy, Inc.................................. 62,210 999,715
Synalloy Corp........................................ 5,144 70,833
#*Texas Industries, Inc................................ 33,762 1,456,155
Tredegar Corp........................................ 40,177 681,804
*Universal Stainless & Alloy Products, Inc............ 9,714 334,162
Vulcan Materials Co.................................. 58,246 2,677,569
Wausau Paper Corp.................................... 18,658 154,302
#Westlake Chemical Corp............................... 84,076 6,394,821
Worthington Industries, Inc.......................... 47,320 1,023,058
#*Zoltek Cos., Inc..................................... 44,090 302,016
------------
Total Materials......................................... 111,789,832
------------
Other -- (0.0%)
.*Gerber Scientific, Inc. Escrow Shares................ 47,409 --
.*Petrocorp, Inc. Escrow Shares........................ 900 54
.*Price Communications Liquidation Trust............... 47,738 --
------------
Total Other............................................. 54
------------
Telecommunication Services -- (6.4%)
AT&T, Inc............................................ 4,065,906 140,639,689
Atlantic Tele-Network, Inc........................... 84 3,481
*Cbeyond, Inc......................................... 9,743 74,631
CenturyLink, Inc..................................... 536,163 20,577,936
Consolidated Communications Holdings, Inc............ 1,781 27,498
#Frontier Communications Corp......................... 696,949 3,289,599
*General Communications, Inc. Class A................. 44,167 386,020
*Iridium Communications, Inc.......................... 14,157 104,620
#*Leap Wireless International, Inc..................... 8,393 44,819
191
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
----------- --------------
Telecommunication Services -- (Continued)
#*MetroPCS Communications, Inc.................... 227,572 $ 2,323,510
*Neutral Tandem, Inc.............................. 5,043 23,299
*ORBCOMM, Inc..................................... 43,899 153,646
*Premiere Global Services, Inc.................... 1,201 10,208
Primus Telecommunications Group, Inc............. 1,537 22,486
Shenandoah Telecommunications Co................. 2,126 33,421
*Sprint Nextel Corp............................... 3,629,981 20,110,095
Telephone & Data Systems, Inc.................... 154,629 3,845,623
*United States Cellular Corp...................... 33,568 1,241,680
USA Mobility, Inc................................ 30,823 340,594
Verizon Communications, Inc...................... 623,041 27,812,550
--------------
Total Telecommunication Services.................... 221,065,405
--------------
Utilities -- (0.3%)
#*Calpine Corp.................................... 147,764 2,600,646
#Consolidated Water Co., Ltd...................... 5,093 39,980
Genie Energy, Ltd. Class B....................... 5,687 39,866
*GenOn Energy, Inc................................ 540,175 1,388,250
#NRG Energy, Inc.................................. 220,130 4,746,003
#Ormat Technologies, Inc.......................... 20,134 383,150
SJW Corp......................................... 6,569 159,233
*Synthesis Energy Systems, Inc.................... 1,048 1,352
UGI Corp......................................... 9,233 298,134
--------------
Total Utilities..................................... 9,656,614
--------------
TOTAL COMMON STOCKS................................. 3,294,649,193
--------------
PREFERRED STOCKS -- (0.0%)
Energy -- (0.0%)
.DHT Holdings, Inc................................ 107 7,526
--------------
RIGHTS/WARRANTS -- (0.0%)
*Capital Bank Financial Corp. Contingent Value
Rights.......................................... 29,890 6,576
.*CVR Energy, Inc. Contingent Value Rights......... 44,674 --
--------------
TOTAL RIGHTS/WARRANTS............................... 6,576
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
BlackRock Liquidity Funds TempCash Portfolio -
Institutional Shares........................... 8,034,380 8,034,380
--------------
SHARES/
FACE
AMOUNT
(000)
-----------
SECURITIES LENDING COLLATERAL -- (4.8%)
(S)@DFA Short Term Investment Fund.................. 14,435,138 167,014,544
@Repurchase Agreement, JPMorgan Securities LLC
0.30%, 11/01/12 (Collateralized by $454,029
FNMA, rates ranging from 2.500% to 5.500%,
maturities ranging from 10/01/22 to 07/01/42,
valued at $455,396) to be repurchased at
$440,798....................................... $ 441 440,794
--------------
TOTAL SECURITIES LENDING COLLATERAL................. 167,455,338
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,736,014,230)............................ $3,470,153,013
==============
192
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of
The DFA Investment Trust Company:
We have audited, in accordance with the standards of the Public Company
Accounting Oversight Board (United States), the financial statements of The
U.S. Large Cap Value Series, The DFA International Value Series, The Japanese
Small Company Series, The Asia Pacific Small Company Series, The United Kingdom
Small Company Series, The Continental Small Company Series, The Canadian Small
Company Series, The Emerging Markets Series, The Emerging Markets Small Cap
Series, and The Tax-Managed U.S. Marketwide Value Series (constituting series
within The DFA Investment Trust Company, hereafter referred to as the "Series")
as of October 31, 2012, and for the year then ended and have issued our
unqualified report thereon dated December 21, 2012 (which report and financial
statements are included in Item 1 of this Certified Shareholder Report on Form
N-CSR). Our audits included an audit of the Series' investment portfolios (the
"Portfolios") as of October 31, 2012 appearing in Item 6 of this Form N-CSR.
These Portfolios are the responsibility of the Series' management. Our
responsibility is to express an opinion on these Portfolios based on our
audits. In our opinion, the Portfolios referred to above, when read in
conjunction with the financial statements of the Series referred to above,
present fairly, in all material respects, the information set forth therein.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 21, 2012
(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)Code of Ethics is filed herewith.
(a)(2)Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
are filed herewith.
(a)(3)This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
The DFA Investment Trust Company
By: /s/ David G. Booth
--------------------------------
David G. Booth
Chairman, Trustee, President and
Co-Chief Executive Officer
Date: January 3, 2013
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ David G. Booth
--------------------------------
David G. Booth
Principal Executive Officer
The DFA Investment Trust Company
Date: January 3, 2013
By: /s/ David R. Martin
--------------------------------
David R. Martin
Principal Financial Officer
The DFA Investment Trust Company
Date: January 3, 2013