================================================================================
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 811-6067
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DIMENSIONAL INVESTMENT GROUP INC.
(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
DIMENSIONAL INVESTMENT GROUP INC.,
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(NAME AND ADDRESS OF AGENT FOR SERVICE)
-----------------
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 512-306-7400
DATE OF FISCAL YEAR END: OCTOBER 31
DATE OF REPORTING PERIOD: NOVEMBER 1, 2012 - APRIL 30, 2013
================================================================================
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2013 (Unaudited)
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL EMERGING MARKETS VALUE FUND
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2013
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
Chairman and Co-Chief Executive Officer
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes.......................... 1
DFA Investment Dimensions Group Inc.
Disclosure of Fund Expenses...................................... 3
Disclosure of Portfolio Holdings................................. 9
Schedules of Investments/Summary Schedules of Portfolio Holdings. 12
Enhanced U.S. Large Company Portfolio........................ 12
U.S. Large Cap Value Portfolio............................... 16
U.S. Targeted Value Portfolio................................ 17
U.S. Small Cap Value Portfolio............................... 20
U.S. Core Equity 1 Portfolio................................. 23
U.S. Core Equity 2 Portfolio................................. 26
U.S. Vector Equity Portfolio................................. 29
U.S. Small Cap Portfolio..................................... 32
U.S. Micro Cap Portfolio..................................... 35
DFA Real Estate Securities Portfolio......................... 38
Large Cap International Portfolio............................ 40
International Core Equity Portfolio.......................... 44
International Small Company Portfolio........................ 49
Japanese Small Company Portfolio............................. 50
Asia Pacific Small Company Portfolio......................... 50
United Kingdom Small Company Portfolio....................... 51
Continental Small Company Portfolio.......................... 51
DFA International Real Estate Securities Portfolio........... 52
DFA Global Real Estate Securities Portfolio.................. 56
DFA International Small Cap Value Portfolio.................. 57
International Vector Equity Portfolio........................ 62
World ex U.S. Value Portfolio................................ 67
World ex U.S. Targeted Value Portfolio....................... 68
World ex U.S. Core Equity Portfolio.......................... 69
Selectively Hedged Global Equity Portfolio................... 70
Emerging Markets Portfolio................................... 71
Emerging Markets Small Cap Portfolio......................... 71
Emerging Markets Value Portfolio............................. 71
Emerging Markets Core Equity Portfolio....................... 72
Statements of Assets and Liabilities............................. 77
Statements of Operations......................................... 84
Statements of Changes in Net Assets.............................. 91
Financial Highlights............................................. 101
Notes to Financial Statements.................................... 118
i
TABLE OF CONTENTS
CONTINUED
Page
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DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio
Consolidated Disclosure of Fund Expenses............................. 144
Consolidated Disclosure of Portfolio Holdings........................ 145
Consolidated Schedule of Investments................................. 146
Consolidated Statement of Assets and Liabilities..................... 151
Consolidated Statement of Operations................................. 152
Consolidated Statements of Changes in Net Assets..................... 153
Consolidated Financial Highlights.................................... 154
Consolidated Notes to Financial Statements........................... 155
Dimensional Investment Group Inc.
Disclosure of Fund Expenses.......................................... 167
Disclosure of Portfolio Holdings..................................... 169
Schedule of Investments/Summary Schedule of Portfolio Holdings....... 170
DFA International Value Portfolio................................ 170
U.S. Large Company Portfolio..................................... 171
Statements of Assets and Liabilities................................. 174
Statements of Operations............................................. 175
Statements of Changes in Net Assets.................................. 176
Financial Highlights................................................. 177
Notes to Financial Statements........................................ 179
The DFA Investment Trust Company
Disclosure of Fund Expenses.......................................... 190
Disclosure of Portfolio Holdings..................................... 192
Summary Schedules of Portfolio Holdings.............................. 194
The U.S. Large Cap Value Series.................................. 194
The DFA International Value Series............................... 197
The Japanese Small Company Series................................ 201
The Asia Pacific Small Company Series............................ 204
The United Kingdom Small Company Series.......................... 207
The Continental Small Company Series............................. 210
The Canadian Small Company Series................................ 214
The Emerging Markets Series...................................... 217
The Emerging Markets Small Cap Series............................ 221
Statements of Assets and Liabilities................................. 225
Statements of Operations............................................. 227
Statements of Changes in Net Assets.................................. 229
Financial Highlights................................................. 232
Notes to Financial Statements........................................ 237
ii
TABLE OF CONTENTS
CONTINUED
Page
----
Dimensional Emerging Markets Value Fund
Disclosure of Fund Expenses................... 247
Disclosure of Portfolio Holdings.............. 248
Summary Schedule of Portfolio Holdings........ 249
Statement of Assets and Liabilities........... 253
Statement of Operations....................... 254
Statements of Changes in Net Assets........... 255
Financial Highlights.......................... 256
Notes to Financial Statements................. 257
Voting Proxies on Fund Portfolio Securities...... 263
Board Approval of Investment Advisory Agreements. 264
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
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
P.L.C. Public Limited Company
REIT Real Estate Investment Trust
SPDR Standard & Poor's Depository Receipts
AUD Australian Dollars
CAD Canadian Dollars
EUR Euro
GBP British Pounds
NOK Norwegian Krone
NZD New Zealand Dollars
SEK Swedish Krona
USD United States Dollars
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 USD, unless otherwise noted.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of April 30, 2013.
^^ Security segregated as collateral for the Open Futures Contracts.
@@ Security segregated as collateral for Swap Agreements.
(o) Security is being fair valued as of April 30, 2013.
## 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
Trustees.
(S) Affiliated Fund.
1
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
CONTINUED
Financial Highlights
--------------------
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Fund(s).
(E) Because of commencement of operations and related preliminary transaction costs, these ratios are not
necessarily indicative of future ratios.
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
RIC Registered Investment Company
SEC Securities and Exchange Commission
(a) Commencement of Operations.
2
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
Enhanced U.S. Large Company Portfolio
-------------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $1,143.50 0.25% $1.33
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,023.55 0.25% $1.25
3
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Cap Value Portfolio**
--------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,183.80 0.27% $1.46
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.46 0.27% $1.35
U.S. Targeted Value Portfolio
-----------------------------
Actual Fund Return
Class R1 Shares................. $1,000.00 $1,186.80 0.48% $2.60
Class R2 Shares................. $1,000.00 $1,185.90 0.63% $3.41
Institutional Class Shares...... $1,000.00 $1,187.20 0.37% $2.01
Hypothetical 5% Annual Return
Class R1 Shares................. $1,000.00 $1,022.41 0.48% $2.41
Class R2 Shares................. $1,000.00 $1,021.67 0.63% $3.16
Institutional Class Shares...... $1,000.00 $1,022.96 0.37% $1.86
U.S. Small Cap Value Portfolio
------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,188.30 0.52% $2.82
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,022.22 0.52% $2.61
U.S. Core Equity 1 Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,161.10 0.19% $1.02
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.85 0.19% $0.95
U.S. Core Equity 2 Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,165.90 0.22% $1.18
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.70 0.22% $1.10
U.S. Vector Equity Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,175.20 0.32% $1.73
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.21 0.32% $1.61
U.S. Small Cap Portfolio
------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,165.30 0.37% $1.99
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,022.96 0.37% $1.86
4
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
U.S. Micro Cap Portfolio
------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,164.70 0.52% $2.79
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.22 0.52% $2.61
DFA Real Estate Securities Portfolio
------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,186.10 0.18% $0.98
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.90 0.18% $0.90
Large Cap International Portfolio
---------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,149.40 0.29% $1.55
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.36 0.29% $1.45
International Core Equity Portfolio
-----------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,154.80 0.39% $2.08
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.86 0.39% $1.96
International Small Company Portfolio***
----------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,153.80 0.56% $2.99
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.02 0.56% $2.81
Japanese Small Company Portfolio**
----------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,258.20 0.57% $3.19
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,021.97 0.57% $2.86
Asia Pacific Small Company Portfolio**
--------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,104.70 0.59% $3.08
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,021.87 0.59% $2.96
United Kingdom Small Company Portfolio**
----------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,149.30 0.59% $3.14
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,021.87 0.59% $2.96
5
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
Continental Small Company Portfolio**
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,162.20 0.59% $3.16
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.87 0.59% $2.96
DFA International Real Estate Securities Portfolio
--------------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,154.20 0.40% $2.14
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.81 0.40% $2.01
DFA Global Real Estate Securities Portfolio***
----------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,171.80 0.32% $1.72
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,023.21 0.32% $1.61
DFA International Small Cap Value Portfolio
-------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,196.00 0.70% $3.81
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.32 0.70% $3.51
International Vector Equity Portfolio
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,159.60 0.52% $2.78
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.22 0.52% $2.61
World ex U.S. Value Portfolio***
--------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,129.20 0.60% $3.17
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.82 0.60% $3.01
World ex U.S. Targeted Value Portfolio@
---------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,154.90 0.80% $4.25
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,020.83 0.80% $4.01
World ex U.S. Core Equity Portfolio#
------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,016.00 0.47% $0.27
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.46 0.47% $2.36
6
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
Selectively Hedged Global Equity Portfolio***
---------------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,154.20 0.40% $2.14
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.81 0.40% $2.01
Emerging Markets Portfolio**
----------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,060.80 0.59% $3.01
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,021.87 0.59% $2.96
Emerging Markets Small Cap Portfolio**
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,128.10 0.79% $4.17
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,020.88 0.79% $3.96
Emerging Markets Value Portfolio**
----------------------------------
Actual Fund Return
Class R2 Shares.............................. $1,000.00 $1,082.70 0.84% $4.34
Institutional Class Shares................... $1,000.00 $1,084.00 0.59% $3.05
Hypothetical 5% Annual Return
Class R2 Shares.............................. $1,000.00 $1,020.63 0.84% $4.21
Institutional Class Shares................... $1,000.00 $1,021.87 0.59% $2.96
Emerging Markets Core Equity Portfolio
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,081.70 0.64% $3.30
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,021.62 0.64% $3.21
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
***The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the indirect payment of the Fund of Funds'
portion of the expenses of its Master Funds (Affiliated Investment
Companies).
@ World ex U.S. Targeted Value Portfolio is a Fund of Funds. The expenses shown
reflect the direct expenses of the Fund of Funds and the indirect payment of
the Fund of Funds' portion of the expenses of its Master Funds (Affiliated
Investment Companies). The Portfolio commenced operations on November 1,
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 (180), then divided by the number of
days in the
7
DISCLOSURE OF FUND EXPENSES
CONTINUED
year (365) to reflect the period. The "Ending Account Value" is derived from
the fund's share class actual return since inception. The "Hypothetical 5%
Annual Return" information reflects the 181 day period for the six months
ended April 30, 2013 to allow for comparability.
# World ex U.S. Core Equity Portfolio is a Fund of Funds. The expenses shown
reflect the direct expenses of the Fund of Funds and the indirect payment of
the Fund of Funds' portion of the expenses of its Master Funds (Affiliated
Investment Companies). The Portfolio commenced operations on April 9, 2013.
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 (21), then divided by the number of days in
the year (365) to reflect the period. The "Ending Account Value" is derived
from the fund's share class actual return since inception. The "Hypothetical
5% Annual Return" information reflects the 181 day period for the six months
ended April 30, 2013 to allow for comparability.
8
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 27, 2013. 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.
A 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 their Disclosures 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 Fund's 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%
World ex U.S. Targeted Value Portfolio...... 100.0%
World ex U.S. Core Equity Portfolio......... 100.0%
Selectively Hedged Global Equity Portfolio.. 100.0%
9
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
ENHANCED DOMESTIC EQUITY PORTFOLIOS
Enhanced U.S. Large Company Portfolio
Corporate.................................... 30.7%
Foreign Corporate............................ 23.1%
Foreign Government........................... 33.8%
Government................................... 5.1%
Supranational................................ 7.3%
-----
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. Targeted Value Portfolio
Consumer Discretionary....................... 15.6%
Consumer Staples............................. 4.3%
Energy....................................... 9.6%
Financials................................... 26.0%
Health Care.................................. 7.0%
Industrials.................................. 15.1%
Information Technology....................... 12.8%
Materials.................................... 7.8%
Other........................................ --
Telecommunication Services................... 1.2%
Utilities.................................... 0.6%
-----
100.0%
U.S. Small Cap Value Portfolio
Consumer Discretionary....................... 16.4%
Consumer Staples............................. 4.4%
Energy....................................... 10.1%
Financials................................... 26.6%
Health Care.................................. 4.4%
Industrials.................................. 17.0%
Information Technology....................... 12.6%
Materials.................................... 8.1%
Other........................................ --
Telecommunication Services................... 0.3%
Utilities.................................... 0.1%
-----
100.0%
U.S. Core Equity 1 Portfolio
Consumer Discretionary....................... 14.1%
Consumer Staples............................. 8.1%
Energy....................................... 10.4%
Financials................................... 17.2%
Health Care.................................. 11.1%
Industrials.................................. 12.8%
Information Technology....................... 15.6%
Materials.................................... 4.7%
Other........................................ --
Telecommunication Services................... 2.5%
Utilities.................................... 3.5%
-----
100.0%
U.S. Core Equity 2 Portfolio
Consumer Discretionary....................... 14.3%
Consumer Staples............................. 6.5%
Energy....................................... 11.3%
Financials................................... 20.1%
Health Care.................................. 10.6%
Industrials.................................. 13.5%
Information Technology....................... 13.1%
Materials.................................... 5.1%
Other........................................ --
Telecommunication Services................... 3.1%
Utilities.................................... 2.4%
-----
100.0%
U.S. Vector Equity Portfolio
Consumer Discretionary....................... 15.6%
Consumer Staples............................. 5.4%
Energy....................................... 11.0%
Financials................................... 24.1%
Health Care.................................. 8.4%
Industrials.................................. 13.6%
Information Technology....................... 12.0%
Materials.................................... 6.2%
Other........................................ --
Telecommunication Services................... 2.3%
Utilities.................................... 1.4%
-----
100.0%
U.S. Small Cap Portfolio
Consumer Discretionary....................... 19.0%
Consumer Staples............................. 4.4%
Energy....................................... 5.2%
Financials................................... 17.0%
Health Care.................................. 9.4%
Industrials.................................. 18.0%
Information Technology....................... 17.1%
Materials.................................... 5.8%
Other........................................ --
Telecommunication Services................... 0.5%
Utilities.................................... 3.6%
-----
100.0%
U.S. Micro Cap Portfolio
Consumer Discretionary....................... 19.2%
Consumer Staples............................. 4.4%
Energy....................................... 4.9%
Financials................................... 17.4%
Health Care.................................. 9.9%
Industrials.................................. 17.3%
Information Technology....................... 17.0%
Materials.................................... 6.8%
Other........................................ --
Telecommunication Services................... 1.1%
Utilities.................................... 2.0%
-----
100.0%
DFA Real Estate Securities Portfolio
Real Estate Investment Trusts................ 100.0%
-----
100.0%
Large Cap International Portfolio
Consumer Discretionary....................... 10.8%
Consumer Staples............................. 11.1%
Energy....................................... 9.0%
Financials................................... 25.9%
Health Care.................................. 9.4%
Industrials.................................. 12.1%
Information Technology....................... 4.3%
Materials.................................... 9.5%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 4.7%
Utilities.................................... 3.2%
-----
100.0%
10
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
International Core Equity Portfolio
Consumer Discretionary....................... 13.5%
Consumer Staples............................. 7.2%
Energy....................................... 8.6%
Financials................................... 26.7%
Health Care.................................. 5.3%
Industrials.................................. 16.5%
Information Technology....................... 5.5%
Materials.................................... 10.8%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 3.1%
Utilities.................................... 2.8%
-----
100.0%
DFA International Real Estate Securities Portfolio
Consumer Discretionary....................... 0.2%
Financials................................... 0.9%
Other........................................ --
Real Estate Investment Trusts................ 98.9%
-----
100.0%
DFA International Small Cap Value Portfolio
Consumer Discretionary....................... 20.5%
Consumer Staples............................. 4.0%
Energy....................................... 4.9%
Financials................................... 20.8%
Health Care.................................. 2.2%
Industrials.................................. 26.0%
Information Technology....................... 4.8%
Materials.................................... 16.1%
Other........................................ --
Telecommunication Services................... 0.3%
Utilities.................................... 0.4%
-----
100.0%
International Vector Equity Portfolio
Consumer Discretionary....................... 15.1%
Consumer Staples............................. 6.4%
Energy....................................... 7.5%
Financials................................... 26.1%
Health Care.................................. 4.2%
Industrials.................................. 18.6%
Information Technology....................... 6.1%
Materials.................................... 12.0%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 2.3%
Utilities.................................... 1.7%
-----
100.0%
Emerging Markets Core Equity Portfolio
Consumer Discretionary....................... 10.5%
Consumer Staples............................. 8.2%
Energy....................................... 8.8%
Financials................................... 26.2%
Health Care.................................. 2.4%
Industrials.................................. 10.8%
Information Technology....................... 12.3%
Materials.................................... 12.6%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 4.4%
Utilities.................................... 3.8%
-----
100.0%
11
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Face
Amount^ Value+
------- ------
(000)
BONDS -- (88.8%)
AUSTRALIA -- (4.5%)
Commonwealth Bank of Australia
^^ 3.500%, 03/19/15............................. $ 4,000 $ 4,217,724
Westpac Banking Corp.
^^ 6.500%, 06/24/13............................. EUR 3,500 4,647,861
-----------
TOTAL AUSTRALIA.................................. 8,865,585
-----------
AUSTRIA -- (4.7%)
Austria Government International Bond
^^ 5.000%, 05/19/14............................. 3,500 3,673,005
KA Finanz AG
^^ 2.250%, 03/24/14............................. EUR 4,300 5,766,835
-----------
TOTAL AUSTRIA.................................... 9,439,840
-----------
BELGIUM -- (1.3%)
Belgium Government International Bond
^^ 2.750%, 03/05/15............................. 2,500 2,598,600
-----------
CANADA -- (6.2%)
Canadian Imperial Bank of Commerce
^^ 1.450%, 09/13/13............................. 600 602,191
Enbridge, Inc.
^^ 5.800%, 06/15/14............................. 1,100 1,162,270
Encana Corp.
^^ 4.750%, 10/15/13............................. 800 814,721
Husky Energy, Inc.
^^ 5.900%, 06/15/14............................. 1,000 1,055,868
Ontario, Province of Canada
^^ 4.100%, 06/16/14............................. 1,000 1,042,656
Thomson Reuters Corp.
^^ 5.700%, 10/01/14............................. 800 856,051
Toronto-Dominion Bank (The)
^^ 1.375%, 07/14/14............................. 5,000 5,057,495
TransAlta Corp.
^^ 4.750%, 01/15/15............................. 925 976,189
TransCanada PipeLines, Ltd.
^^ 4.000%, 06/15/13............................. 685 687,645
-----------
TOTAL CANADA..................................... 12,255,086
-----------
DENMARK -- (2.0%)
Kommunekredit
^^ 1.250%, 09/03/13............................. 4,000 4,011,744
-----------
FINLAND -- (2.7%)
Municipality Finance P.L.C.
^^ 2.000%, 05/28/14............................. SEK 35,000 5,435,462
-----------
Face
Amount^ Value+
------- ------
(000)
FRANCE -- (8.3%)
BNP Paribas SA
^^ 3.250%, 03/11/15............................. $1,500 $ 1,560,724
Caisse d'Amortissement de la Dette Sociale
^^ 1.625%, 03/17/14............................. 5,000 5,056,380
France Telecom SA
^^ 4.375%, 07/08/14............................. 1,000 1,040,934
Reseau Ferre de France
^^ 4.625%, 03/17/14............................. EUR 3,000 4,100,984
Societe Financement de l'Economie Francaise
^^ 3.250%, 01/16/14............................. EUR 3,500 4,708,999
-----------
TOTAL FRANCE..................................... 16,468,021
-----------
GERMANY -- (9.2%)
KFW
^^ 4.950%, 10/14/14............................. CAD 5,000 5,223,445
Landeskreditbank Baden- Wuerttemberg Foerderbank
^^ 3.250%, 01/29/14............................. EUR 3,000 4,041,721
Landwirtschaftliche Rentenbank
^^ 4.125%, 07/15/13............................. 4,000 4,031,360
NRW Bank
^^ 1.375%, 08/26/13............................. 5,000 5,015,730
-----------
TOTAL GERMANY.................................... 18,312,256
-----------
NETHERLANDS -- (9.6%)
Bank Nederlandse Gemeenten
^^ 3.750%, 03/14/14............................. EUR 3,000 4,073,344
^^ 3.125%, 01/12/15............................. 1,500 1,567,500
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA
^^ 2.500%, 12/12/13............................. 2,000 2,022,928
^^ 4.375%, 01/22/14............................. EUR 2,000 2,710,363
Koninklijke Philips Electronics NV
^^ 7.250%, 08/15/13............................. 1,000 1,019,164
Nederlandse Waterschapsbank NV
^^ 3.000%, 03/17/15............................. 2,900 3,035,430
SNS Bank NV
^^ 3.500%, 03/10/14............................. EUR 3,500 4,739,448
-----------
TOTAL NETHERLANDS................................ 19,168,177
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (7.3%)
EUROFIMA
^^ 6.000%, 01/28/14............................. AUD 625 661,065
^^ 4.250%, 02/04/14............................. 2,500 2,573,250
12
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
European Financial Stability Facility
^^ 1.000%, 03/12/14............................. EUR 1,000 $ 1,326,696
European Investment Bank
^^ 3.125%, 06/04/14............................. 5,000 5,154,450
International Finance Facility for Immunisation
^^ 3.375%, 05/15/14............................. GBP 3,000 4,792,260
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 14,507,721
-----------
SWEDEN -- (6.4%)
Nordea Bank AB
^^ 4.500%, 05/12/14............................. EUR 3,000 4,118,984
Svensk Exportkredit AB
^^ 3.000%, 06/10/13............................. NOK 22,100 3,834,780
Svenska Handelsbanken AB
^^ 4.875%, 03/25/14............................. EUR 3,500 4,797,654
-----------
TOTAL SWEDEN..................................... 12,751,418
-----------
SWITZERLAND -- (0.3%)
Credit Suisse New York
^^ 5.000%, 05/15/13............................. 600 600,937
-----------
UNITED KINGDOM -- (1.6%)
Barclays Bank P.L.C.
^^ 5.200%, 07/10/14............................. 300 315,765
BP Capital Markets P.L.C.
^^ 5.250%, 11/07/13............................. 1,750 1,794,005
Vodafone Group P.L.C.
^^ 5.000%, 12/16/13............................. 1,000 1,028,141
-----------
TOTAL UNITED KINGDOM............................. 3,137,911
-----------
UNITED STATES -- (24.7%)
Allstate Corp. (The)
^^ 7.500%, 06/15/13............................. $ 489 493,076
American Express Credit Corp.
^^ 7.300%, 08/20/13............................. 500 510,250
American International Group, Inc.
^^ 3.000%, 03/20/15............................. 1,500 1,555,428
Assurant, Inc.
^^ 5.625%, 02/15/14............................. 1,000 1,036,696
Bank of America Corp.
^^ 7.375%, 05/15/14............................. 1,000 1,066,434
BB&T Corp.
^^ 3.375%, 09/25/13............................. 600 607,327
Boston Scientific Corp.
^^ 4.500%, 01/15/15............................. 1,000 1,058,122
Bristol-Myers Squibb Co.
^^ 5.250%, 08/15/13............................. 345 349,206
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Burlington Northern Santa Fe LLC
^^ 4.300%, 07/01/13............................. $ 600 $ 603,765
Campbell Soup Co.
^^ 4.875%, 10/01/13............................. 251 255,650
Capital One Financial Corp.
^^ 2.125%, 07/15/14............................. 1,000 1,015,775
Cisco Systems, Inc.
^^ 1.625%, 03/14/14............................. 1,000 1,011,761
Citigroup, Inc.
^^ 6.375%, 08/12/14............................. 1,500 1,603,831
Coca-Cola Enterprises, Inc.
^^ 1.125%, 11/12/13............................. 1,921 1,928,690
Consolidated Edison Co. of New York, Inc.
^^ 3.850%, 06/15/13............................. 250 250,937
Daimler Finance North America LLC
^^ 6.500%, 11/15/13............................. 1,500 1,548,193
Dell, Inc.
^^ 1.400%, 09/10/13............................. 600 600,816
DIRECTV Holdings LLC / DIRECTV Financing Co.,
Inc.
^^ 4.750%, 10/01/14............................. 1,500 1,581,633
Duke Energy Corp.
^^ 3.950%, 09/15/14............................. 1,600 1,673,486
Enterprise Products Operating LLC
^^ 9.750%, 01/31/14............................. 1,000 1,067,506
^^ 5.600%, 10/15/14............................. 500 534,972
Fifth Third Bancorp
^^ 6.250%, 05/01/13............................. 600 600,000
Freeport-McMoRan Copper & Gold, Inc.
^^ 1.400%, 02/13/15............................. 500 504,566
Georgia Power Co.
^^ 1.300%, 09/15/13............................. 700 702,526
Goldman Sachs Group, Inc. (The)
^^ 5.125%, 01/15/15............................. 894 955,507
Hartford Financial Services Group, Inc.
^^ 4.750%, 03/01/14............................. 1,580 1,629,489
Hewlett-Packard Co.
^^ 1.250%, 09/13/13............................. 500 500,860
HSBC USA, Inc.
^^ 2.375%, 02/13/15............................. 1,000 1,030,238
JPMorgan Chase & Co.
^^ 2.050%, 01/24/14............................. 1,000 1,012,450
Kimberly-Clark Corp.
^^ 5.000%, 08/15/13............................. 600 607,854
MetLife, Inc.
^^ 5.000%, 11/24/13............................. 350 359,030
Morgan Stanley
^^ 4.200%, 11/20/14............................. 1,500 1,569,693
13
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
National City Corp.
^^ 4.900%, 01/15/15............................. $ 1,500 $ 1,605,973
PACCAR Financial Corp.
^^ 2.050%, 06/17/13............................. 600 601,360
Philip Morris International, Inc.
^^ 4.875%, 05/16/13............................. 600 600,998
Praxair, Inc.
^^ 2.125%, 06/14/13............................. 815 816,728
Safeway, Inc.
^^ 5.625%, 08/15/14............................. 1,500 1,585,020
Spectra Energy Capital LLC
^^ 5.500%, 03/01/14............................. 1,500 1,558,284
St Jude Medical, Inc.
^^ 2.200%, 09/15/13............................. 1,800 1,811,781
Toyota Motor Credit Corp.
^^ 3.820%, 10/24/13............................. NZD 4,000 3,436,887
Union Bank NA
^^ 2.125%, 12/16/13............................. 1,050 1,060,372
Viacom, Inc.
^^ 4.375%, 09/15/14............................. 1,500 1,573,551
Wachovia Corp.
^^ 5.500%, 05/01/13............................. 1,000 1,000,000
WellPoint, Inc.
^^ 5.000%, 12/15/14............................. 1,572 1,679,910
Williams Partners L.P.
^^ 3.800%, 02/15/15............................. 1,000 1,051,343
Xerox Corp.
^^ 4.250%, 02/15/15............................. 1,000 1,054,714
------------
TOTAL UNITED STATES.............................. 49,262,688
------------
TOTAL BONDS...................................... 176,815,446
------------
Face
Amount^ Value+
------- ------
(000)
AGENCY OBLIGATIONS -- (5.2%)
Federal National Mortgage Association
^^ 0.750%, 12/18/13............................. $ 800 $ 803,246
Federal National Mortgage Association Discount
Note
^^ 0.117%, 06/24/13............................. 4,500 4,498,591
^^ 0.127%, 07/02/13............................. 5,000 4,999,655
------------
TOTAL AGENCY OBLIGATIONS......................... 10,301,492
------------
COMMERCIAL PAPER -- (2.5%)
UNITED STATES -- (2.5%)
Walt Disney Co. (The)
## 0.100%, 05/24/13............................. 4,900 4,899,687
------------
Shares
------
EXCHANGE-TRADED FUNDS -- (3.5%)
UNITED STATES -- (3.5%)
^^ SPDR S&P 500 ETF Trust....................... 44,100 $ 7,041,888
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $195,388,359).............................. $199,058,513
============
14
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------
Level 1 Level 2 Level 3 Total
----------- ------------ ------- ------------
Bonds
Australia.............................. -- $ 8,865,585 -- $ 8,865,585
Austria................................ -- 9,439,840 -- 9,439,840
Belgium................................ -- 2,598,600 -- 2,598,600
Canada................................. -- 12,255,086 -- 12,255,086
Denmark................................ -- 4,011,744 -- 4,011,744
Finland................................ -- 5,435,462 -- 5,435,462
France................................. -- 16,468,021 -- 16,468,021
Germany................................ -- 18,312,256 -- 18,312,256
Netherlands............................ -- 19,168,177 -- 19,168,177
Supranational Organization Obligations. -- 14,507,721 -- 14,507,721
Sweden................................. -- 12,751,418 -- 12,751,418
Switzerland............................ -- 600,937 -- 600,937
United Kingdom......................... -- 3,137,911 -- 3,137,911
United States.......................... -- 49,262,688 -- 49,262,688
Agency Obligations....................... -- 10,301,492 -- 10,301,492
Commercial Paper
United States.......................... -- 4,899,687 -- 4,899,687
Exchange-Traded Funds.................... $ 7,041,888 -- -- 7,041,888
Forward Currency Contracts**............. -- (511,511) -- (511,511)
Futures Contracts**...................... 7,774,388 -- -- 7,774,388
----------- ------------ -- ------------
TOTAL.................................... $14,816,276 $191,505,114 -- $206,321,390
=========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
15
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $10,293,125,141
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$7,006,025,277)........................................ $10,293,125,141
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
16
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (86.8%)
Consumer Discretionary -- (13.5%)
#* Cabela's, Inc.......................... 326,469 $ 20,959,310 0.6%
Dillard's, Inc. Class A................ 222,853 18,365,316 0.5%
# GameStop Corp. Class A................. 635,798 22,189,350 0.6%
# Lennar Corp. Class A................... 440,863 18,172,373 0.5%
* Mohawk Industries, Inc................. 298,339 33,079,828 0.9%
# Washington Post Co. (The) Class B...... 28,060 12,440,120 0.4%
Other Securities....................... 429,317,414 12.0%
------------ -----
Total Consumer Discretionary............... 554,523,711 15.5%
------------ -----
Consumer Staples -- (3.7%)
* Constellation Brands, Inc. Class A..... 373,609 18,437,604 0.5%
#* Hain Celestial Group, Inc. (The)....... 202,444 13,209,471 0.4%
* Smithfield Foods, Inc.................. 767,800 19,655,680 0.6%
Other Securities....................... 101,274,572 2.8%
------------ -----
Total Consumer Staples..................... 152,577,327 4.3%
------------ -----
Energy -- (8.4%)
* Helix Energy Solutions Group, Inc...... 550,015 12,672,346 0.4%
* Rowan Cos. P.L.C. Class A.............. 630,839 20,521,193 0.6%
# Tesoro Corp............................ 728,585 38,906,439 1.1%
# Tidewater, Inc......................... 256,438 13,450,173 0.4%
# Western Refining, Inc.................. 423,850 13,101,203 0.4%
Other Securities....................... 243,319,507 6.7%
------------ -----
Total Energy............................... 341,970,861 9.6%
------------ -----
Financials -- (22.6%)
Allied World Assurance Co. Holdings AG. 192,146 17,448,778 0.5%
Alterra Capital Holdings, Ltd.......... 443,922 14,449,661 0.4%
* American Capital, Ltd.................. 1,347,022 20,380,443 0.6%
American Financial Group, Inc.......... 465,600 22,474,512 0.6%
Aspen Insurance Holdings, Ltd.......... 342,379 13,075,454 0.4%
# Assurant, Inc.......................... 429,284 20,408,161 0.6%
Assured Guaranty, Ltd.................. 647,146 13,350,622 0.4%
Axis Capital Holdings, Ltd............. 593,046 26,467,643 0.8%
CNO Financial Group, Inc............... 1,174,038 13,290,110 0.4%
# Legg Mason, Inc........................ 686,279 21,864,849 0.6%
NASDAQ OMX Group, Inc. (The)........... 858,799 25,317,395 0.7%
# Old Republic International Corp........ 1,178,722 15,912,747 0.5%
# PartnerRe, Ltd......................... 301,355 28,429,831 0.8%
# People's United Financial, Inc......... 1,422,378 18,718,494 0.5%
# Protective Life Corp................... 383,246 14,586,343 0.4%
Reinsurance Group of America, Inc...... 356,518 22,300,201 0.6%
# Validus Holdings, Ltd.................. 384,059 14,828,518 0.4%
# Zions BanCorp.......................... 749,845 18,461,184 0.5%
Other Securities....................... 582,814,487 16.2%
------------ -----
Total Financials........................... 924,579,433 25.9%
------------ -----
Health Care -- (6.0%)
Community Health Systems, Inc.......... 328,963 14,990,844 0.4%
Coventry Health Care, Inc.............. 662,402 32,822,019 0.9%
17
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
# Omnicare, Inc.............................. 551,404 $ 24,134,953 0.7%
Other Securities........................... 174,964,866 4.9%
-------------- ------
Total Health Care................................ 246,912,682 6.9%
-------------- ------
Industrials -- (13.1%)
AMERCO..................................... 84,246 13,538,332 0.4%
* Avis Budget Group, Inc..................... 578,582 16,686,305 0.5%
#* Owens Corning.............................. 567,793 23,881,374 0.7%
Ryder System, Inc.......................... 245,750 14,270,702 0.4%
* Terex Corp................................. 442,498 12,655,443 0.4%
Trinity Industries, Inc.................... 409,075 17,267,056 0.5%
URS Corp................................... 294,716 12,943,927 0.4%
Other Securities........................... 425,915,873 11.7%
-------------- ------
Total Industrials................................ 537,159,012 15.0%
-------------- ------
Information Technology -- (11.1%)
AOL, Inc................................... 465,034 17,968,914 0.5%
#* Arrow Electronics, Inc..................... 463,696 18,190,794 0.5%
#* Avnet, Inc................................. 540,580 17,703,995 0.5%
* Tech Data Corp............................. 261,278 12,209,521 0.4%
Other Securities........................... 389,626,984 10.9%
-------------- ------
Total Information Technology..................... 455,700,208 12.8%
-------------- ------
Materials -- (6.8%)
# Domtar Corp................................ 168,731 11,728,492 0.3%
* Louisiana-Pacific Corp..................... 736,661 13,348,297 0.4%
# Reliance Steel & Aluminum Co............... 364,801 23,737,601 0.7%
# Rock Tenn Co. Class A...................... 203,483 20,376,788 0.6%
Other Securities........................... 208,854,485 5.8%
-------------- ------
Total Materials.................................. 278,045,663 7.8%
-------------- ------
Other -- (0.0%)
Other Securities........................... -- 0.0%
-------------- ------
Telecommunication Services -- (1.1%)
Other Securities........................... 43,220,714 1.2%
-------------- ------
Utilities -- (0.5%)
Other Securities........................... 19,372,071 0.5%
-------------- ------
TOTAL COMMON STOCKS.............................. 3,554,061,682 99.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................... 75,599 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional Liquid Reserves. 15,049,046 15,049,046 0.4%
-------------- ------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (12.8%)
(S)@ DFA Short Term Investment Fund............. 45,232,151 523,335,992 14.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,202,716,216)........................ $4,092,522,319 114.5%
============== ======
18
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary...... $ 554,523,711 -- -- $ 554,523,711
Consumer Staples............ 152,577,327 -- -- 152,577,327
Energy...................... 341,970,861 -- -- 341,970,861
Financials.................. 924,571,921 $ 7,512 -- 924,579,433
Health Care................. 246,771,362 141,320 -- 246,912,682
Industrials................. 537,049,912 109,100 -- 537,159,012
Information Technology...... 455,700,208 -- -- 455,700,208
Materials................... 278,045,663 -- -- 278,045,663
Other....................... -- -- -- --
Telecommunication Services.. 43,220,714 -- -- 43,220,714
Utilities................... 19,372,071 -- -- 19,372,071
Rights/Warrants............... -- 75,599 -- 75,599
Temporary Cash Investments.... 15,049,046 -- -- 15,049,046
Securities Lending Collateral. -- 523,335,992 -- 523,335,992
-------------- ------------ -- --------------
TOTAL......................... $3,568,852,796 $523,669,523 -- $4,092,522,319
============== ============ == ==============
See accompanying Notes to Financial Statements.
19
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (87.1%)
Consumer Discretionary -- (14.3%)
#* Cabela's, Inc........................... 753,597 $ 48,380,927 0.6%
# Dillard's, Inc. Class A................. 711,596 58,642,626 0.7%
#* Iconix Brand Group, Inc................. 2,233,461 63,988,658 0.8%
#* Live Nation Entertainment, Inc.......... 2,980,399 37,642,439 0.5%
Penske Automotive Group, Inc............ 1,250,616 38,669,047 0.5%
# Rent-A-Center, Inc...................... 1,669,788 58,325,695 0.7%
# Scholastic Corp......................... 1,407,493 38,635,683 0.5%
Other Securities........................ 964,508,688 12.1%
-------------- -----
Total Consumer Discretionary................ 1,308,793,763 16.4%
-------------- -----
Consumer Staples -- (3.9%)
# Fresh Del Monte Produce, Inc............ 1,540,549 39,145,350 0.5%
#* Prestige Brands Holdings, Inc........... 1,324,865 35,705,112 0.5%
Seaboard Corp........................... 18,588 51,042,276 0.6%
# Universal Corp.......................... 830,795 47,812,252 0.6%
Other Securities........................ 177,113,610 2.2%
-------------- -----
Total Consumer Staples...................... 350,818,600 4.4%
-------------- -----
Energy -- (8.8%)
# Bristow Group, Inc...................... 1,323,551 83,648,423 1.1%
#* Exterran Holdings, Inc.................. 2,112,961 55,824,430 0.7%
#* Helix Energy Solutions Group, Inc....... 3,427,466 78,968,817 1.0%
#* Hercules Offshore, Inc.................. 5,178,862 38,168,213 0.5%
#* Hornbeck Offshore Services, Inc......... 1,296,122 58,221,800 0.7%
#* PDC Energy, Inc......................... 877,106 37,978,690 0.5%
# Western Refining, Inc................... 1,903,294 58,830,818 0.7%
Other Securities........................ 394,702,541 4.9%
-------------- -----
Total Energy................................ 806,343,732 10.1%
-------------- -----
Financials -- (23.2%)
# Argo Group International Holdings, Ltd.. 926,512 38,403,922 0.5%
CNO Financial Group, Inc................ 8,581,021 97,137,158 1.2%
# Endurance Specialty Holdings, Ltd....... 1,100,056 53,869,742 0.7%
First American Financial Corp........... 1,333,977 35,710,564 0.5%
# Kemper Corp............................. 1,579,058 50,308,788 0.6%
#* MBIA, Inc............................... 4,001,054 37,849,971 0.5%
# Montpelier Re Holdings, Ltd............. 2,155,898 55,535,932 0.7%
#* PHH Corp................................ 1,970,813 41,544,738 0.5%
# Platinum Underwriters Holdings, Ltd..... 838,148 47,564,899 0.6%
# Radian Group, Inc....................... 3,406,246 40,704,640 0.5%
# Selective Insurance Group, Inc.......... 1,844,118 43,207,685 0.6%
# Susquehanna Bancshares, Inc............. 4,934,549 57,586,187 0.7%
# Umpqua Holdings Corp.................... 3,925,750 47,109,000 0.6%
# Webster Financial Corp.................. 2,089,538 48,832,503 0.6%
# Wintrust Financial Corp................. 1,227,565 44,020,481 0.6%
Other Securities........................ 1,379,658,082 17.1%
-------------- -----
Total Financials............................ 2,119,044,292 26.5%
-------------- -----
Health Care -- (3.8%)
#* LifePoint Hospitals, Inc................ 1,892,213 90,826,224 1.2%
Other Securities........................ 257,609,024 3.1%
-------------- -----
Total Health Care........................... 348,435,248 4.3%
-------------- -----
20
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (14.8%)
AMERCO...................................... 346,122 $ 55,621,805 0.7%
#* Avis Budget Group, Inc...................... 4,147,655 119,618,370 1.5%
* Esterline Technologies Corp................. 1,117,001 83,819,755 1.1%
# GATX Corp................................... 1,692,613 86,238,632 1.1%
#* General Cable Corp.......................... 1,363,354 47,008,446 0.6%
#* JetBlue Airways Corp........................ 10,066,250 69,356,462 0.9%
Other Securities............................ 893,175,584 11.0%
-------------- ------
Total Industrials................................. 1,354,839,054 16.9%
-------------- ------
Information Technology -- (10.9%)
#* Benchmark Electronics, Inc.................. 2,299,623 41,025,274 0.5%
#* CACI International, Inc. Class A............ 767,088 44,866,977 0.6%
# Convergys Corp.............................. 3,909,664 66,542,481 0.8%
#* Fairchild Semiconductor International, Inc.. 2,878,146 37,128,083 0.5%
#* SYNNEX Corp................................. 1,147,081 39,689,003 0.5%
#* Vishay Intertechnology, Inc................. 4,241,593 59,551,966 0.8%
Other Securities............................ 709,996,028 8.8%
-------------- ------
Total Information Technology...................... 998,799,812 12.5%
-------------- ------
Materials -- (7.0%)
#* Graphic Packaging Holding Co................ 5,789,957 43,540,477 0.5%
# Kaiser Aluminum Corp........................ 623,602 39,286,926 0.5%
#* Louisiana-Pacific Corp...................... 5,071,045 91,887,335 1.2%
Westlake Chemical Corp...................... 770,014 64,018,964 0.8%
Other Securities............................ 403,397,619 5.0%
-------------- ------
Total Materials................................... 642,131,321 8.0%
-------------- ------
Other -- (0.0%)
Other Securities............................ 85,259 0.0%
-------------- ------
Telecommunication Services -- (0.3%)
Other Securities............................ 25,631,364 0.3%
-------------- ------
Utilities -- (0.1%)
Other Securities............................ 5,505,366 0.1%
-------------- ------
TOTAL COMMON STOCKS............................... 7,960,427,811 99.5%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities............................ -- 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................ 127,077 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional Liquid Reserves.. 33,495,935 33,495,935 0.4%
-------------- ------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (12.5%)
(S)@ DFA Short Term Investment Fund.............. 99,180,485 1,147,518,217 14.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,377,560,625)......................... $9,141,569,040 114.2%
============== ======
21
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks
Consumer Discretionary...... $1,308,793,763 -- -- $1,308,793,763
Consumer Staples............ 350,818,600 -- -- 350,818,600
Energy...................... 806,343,732 -- -- 806,343,732
Financials.................. 2,118,994,389 $ 49,903 -- 2,119,044,292
Health Care................. 347,583,046 852,202 -- 348,435,248
Industrials................. 1,354,215,317 623,737 -- 1,354,839,054
Information Technology...... 998,799,812 -- -- 998,799,812
Materials................... 642,131,321 -- -- 642,131,321
Other....................... -- 85,259 -- 85,259
Telecommunication Services.. 25,631,364 -- -- 25,631,364
Utilities................... 5,505,366 -- -- 5,505,366
Preferred Stocks
Other....................... -- -- -- --
Rights/Warrants............... -- 127,077 -- 127,077
Temporary Cash Investments.... 33,495,935 -- -- 33,495,935
Securities Lending Collateral. -- 1,147,518,217 -- 1,147,518,217
-------------- -------------- -- --------------
TOTAL......................... $7,992,312,645 $1,149,256,395 -- $9,141,569,040
============== ============== == ==============
See accompanying Notes to Financial Statements.
22
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (86.9%)
Consumer Discretionary -- (12.2%)
* Amazon.com, Inc...................... 80,522 $ 20,437,289 0.3%
Comcast Corp. Class A................ 634,102 26,188,413 0.4%
Home Depot, Inc. (The)............... 327,533 24,024,546 0.4%
McDonald's Corp...................... 218,435 22,310,951 0.4%
Time Warner, Inc..................... 289,777 17,322,869 0.3%
Walt Disney Co. (The)................ 447,208 28,102,551 0.5%
Other Securities..................... 713,428,852 11.7%
-------------- -----
Total Consumer Discretionary............. 851,815,471 14.0%
-------------- -----
Consumer Staples -- (7.0%)
# Altria Group, Inc.................... 437,249 15,963,961 0.3%
Coca-Cola Co. (The).................. 875,095 37,042,771 0.6%
CVS Caremark Corp.................... 382,692 22,265,021 0.4%
Mondelez International, Inc. Class A. 517,494 16,275,186 0.3%
PepsiCo, Inc......................... 335,773 27,691,199 0.5%
Philip Morris International, Inc..... 365,866 34,973,131 0.6%
Procter & Gamble Co. (The)........... 566,788 43,512,315 0.7%
Wal-Mart Stores, Inc................. 499,081 38,788,575 0.6%
Other Securities..................... 252,485,914 4.0%
-------------- -----
Total Consumer Staples................... 488,998,073 8.0%
-------------- -----
Energy -- (9.1%)
Chevron Corp......................... 605,873 73,922,565 1.2%
ConocoPhillips....................... 368,973 22,304,418 0.4%
Exxon Mobil Corp..................... 1,342,599 119,477,885 2.0%
Occidental Petroleum Corp............ 229,346 20,471,424 0.3%
Schlumberger, Ltd.................... 275,998 20,542,531 0.3%
Other Securities..................... 373,742,419 6.1%
-------------- -----
Total Energy............................. 630,461,242 10.3%
-------------- -----
Financials -- (15.0%)
American Express Co.................. 214,443 14,670,046 0.3%
* American International Group, Inc.... 444,345 18,404,770 0.3%
Bank of America Corp................. 3,474,950 42,776,634 0.7%
* Berkshire Hathaway, Inc. Class B..... 387,167 41,163,595 0.7%
Citigroup, Inc....................... 973,938 45,443,947 0.8%
Goldman Sachs Group, Inc. (The)...... 142,009 20,743,255 0.4%
JPMorgan Chase & Co.................. 1,229,045 60,235,495 1.0%
U.S. Bancorp......................... 564,831 18,797,576 0.3%
Wells Fargo & Co..................... 1,607,133 61,038,911 1.0%
Other Securities..................... 718,338,168 11.6%
-------------- -----
Total Financials......................... 1,041,612,397 17.1%
-------------- -----
Health Care -- (9.7%)
AbbVie, Inc.......................... 326,296 15,025,931 0.3%
Amgen, Inc........................... 198,736 20,710,279 0.4%
#* Gilead Sciences, Inc................. 331,127 16,768,271 0.3%
Johnson & Johnson.................... 612,773 52,226,643 0.9%
Merck & Co., Inc..................... 801,185 37,655,695 0.6%
Pfizer, Inc.......................... 2,214,432 64,373,538 1.1%
UnitedHealth Group, Inc.............. 287,692 17,241,382 0.3%
Other Securities..................... 450,148,439 7.2%
-------------- -----
Total Health Care........................ 674,150,178 11.1%
-------------- -----
23
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (11.1%)
# 3M Co...................................... 141,624 $ 14,829,449 0.3%
General Electric Co........................ 3,238,107 72,177,405 1.2%
Union Pacific Corp......................... 144,700 21,409,812 0.4%
United Technologies Corp................... 189,500 17,299,455 0.3%
Other Securities........................... 647,855,877 10.5%
-------------- ------
Total Industrials................................ 773,571,998 12.7%
-------------- ------
Information Technology -- (13.5%)
Apple, Inc................................. 195,508 86,561,167 1.4%
Cisco Systems, Inc......................... 1,465,624 30,660,854 0.5%
* Google, Inc. Class A....................... 59,591 49,136,951 0.8%
# Intel Corp................................. 1,089,538 26,094,435 0.4%
# International Business Machines Corp....... 233,618 47,316,990 0.8%
# Microsoft Corp............................. 1,531,421 50,690,035 0.8%
Oracle Corp................................ 824,388 27,023,439 0.5%
QUALCOMM, Inc.............................. 373,897 23,039,533 0.4%
Visa, Inc. Class A......................... 116,505 19,626,432 0.3%
Other Securities........................... 581,944,942 9.6%
-------------- ------
Total Information Technology..................... 942,094,778 15.5%
-------------- ------
Materials -- (4.1%)
Other Securities........................... 287,322,356 4.7%
-------------- ------
Other -- (0.0%)
Other Securities........................... -- 0.0%
-------------- ------
Telecommunication Services -- (2.2%)
AT&T, Inc.................................. 1,714,631 64,230,077 1.1%
# Verizon Communications, Inc................ 743,452 40,079,497 0.7%
Other Securities........................... 45,371,354 0.6%
-------------- ------
Total Telecommunication Services................. 149,680,928 2.4%
-------------- ------
Utilities -- (3.0%)
Other Securities........................... 211,496,170 3.5%
-------------- ------
TOTAL COMMON STOCKS.............................. 6,051,203,591 99.3%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities........................... -- 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................... 26,070 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.7%)
State Street Institutional Liquid Reserves. 45,236,061 45,236,061 0.7%
-------------- ------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (12.4%)
(S)@ DFA Short Term Investment Fund............. 74,510,716 862,088,981 14.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,462,403,208)........................ $6,958,554,703 114.2%
============== ======
24
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary...... $ 851,815,471 -- -- $ 851,815,471
Consumer Staples............ 488,998,073 -- -- 488,998,073
Energy...................... 630,461,242 -- -- 630,461,242
Financials.................. 1,041,610,597 $ 1,800 -- 1,041,612,397
Health Care................. 674,134,720 15,458 -- 674,150,178
Industrials................. 773,555,198 16,800 -- 773,571,998
Information Technology...... 942,094,778 -- -- 942,094,778
Materials................... 287,322,356 -- -- 287,322,356
Other....................... -- -- -- --
Telecommunication Services.. 149,680,928 -- -- 149,680,928
Utilities................... 211,496,170 -- -- 211,496,170
Preferred Stocks
Other....................... -- -- -- --
Rights/Warrants............... -- 26,070 -- 26,070
Temporary Cash Investments.... 45,236,061 -- -- 45,236,061
Securities Lending Collateral. -- 862,088,981 -- 862,088,981
-------------- ------------ -- --------------
TOTAL......................... $6,096,405,594 $862,149,109 -- $6,958,554,703
============== ============ == ==============
See accompanying Notes to Financial Statements.
25
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
COMMON STOCKS -- (88.0%)
Consumer Discretionary -- (12.6%)
CBS Corp. Class B........................ 398,207 $ 18,229,916 0.2%
Comcast Corp. Class A.................... 1,099,320 45,401,916 0.6%
Home Depot, Inc. (The)................... 301,629 22,124,487 0.3%
News Corp. Class A....................... 846,333 26,210,933 0.3%
Time Warner, Inc......................... 510,336 30,507,886 0.4%
# Walt Disney Co. (The).................... 830,524 52,190,128 0.6%
Other Securities......................... 1,001,169,942 11.8%
-------------- -----
Total Consumer Discretionary................. 1,195,835,208 14.2%
-------------- -----
Consumer Staples -- (5.7%)
# Coca-Cola Co. (The)...................... 439,242 18,593,114 0.2%
CVS Caremark Corp........................ 672,828 39,145,133 0.5%
Mondelez International, Inc. Class A..... 875,793 27,543,690 0.3%
Procter & Gamble Co. (The)............... 646,219 49,610,233 0.6%
Wal-Mart Stores, Inc..................... 387,774 30,137,795 0.4%
# Walgreen Co.............................. 475,167 23,525,518 0.3%
Other Securities......................... 356,801,327 4.2%
-------------- -----
Total Consumer Staples....................... 545,356,810 6.5%
-------------- -----
Energy -- (9.9%)
Anadarko Petroleum Corp.................. 277,978 23,561,415 0.3%
Chevron Corp............................. 1,066,951 130,178,691 1.6%
ConocoPhillips........................... 632,838 38,255,057 0.5%
EOG Resources, Inc....................... 150,872 18,279,651 0.2%
Exxon Mobil Corp......................... 1,756,682 156,327,131 1.9%
Occidental Petroleum Corp................ 382,913 34,178,814 0.4%
Phillips 66.............................. 330,183 20,124,654 0.2%
Other Securities......................... 525,193,897 6.1%
-------------- -----
Total Energy................................. 946,099,310 11.2%
-------------- -----
Financials -- (17.7%)
* American International Group, Inc........ 719,365 29,796,098 0.4%
Bank of America Corp..................... 5,751,978 70,806,849 0.9%
* Berkshire Hathaway, Inc. Class B......... 232,188 24,686,228 0.3%
# BlackRock, Inc........................... 73,022 19,460,363 0.2%
Citigroup, Inc........................... 1,616,027 75,403,820 0.9%
Goldman Sachs Group, Inc. (The).......... 227,319 33,204,486 0.4%
JPMorgan Chase & Co...................... 2,076,088 101,749,073 1.2%
MetLife, Inc............................. 512,756 19,992,356 0.2%
PNC Financial Services Group, Inc. (The). 268,801 18,246,212 0.2%
Travelers Cos., Inc. (The)............... 235,445 20,109,357 0.3%
U.S. Bancorp............................. 949,300 31,592,704 0.4%
Wells Fargo & Co......................... 2,707,168 102,818,241 1.2%
Other Securities......................... 1,137,723,037 13.4%
-------------- -----
Total Financials............................. 1,685,588,824 20.0%
-------------- -----
Health Care -- (9.4%)
Amgen, Inc............................... 259,507 27,043,224 0.3%
Johnson & Johnson........................ 388,122 33,079,638 0.4%
Merck & Co., Inc......................... 1,401,705 65,880,135 0.8%
26
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ----- ---------------
Health Care -- (Continued)
Pfizer, Inc................................ 3,896,797 $ 113,279,889 1.4%
UnitedHealth Group, Inc.................... 466,552 27,960,461 0.3%
Other Securities........................... 621,897,137 7.4%
-------------- -----
Total Health Care.............................. 889,140,484 10.6%
-------------- -----
Industrials -- (11.9%)
General Electric Co........................ 5,693,661 126,911,704 1.5%
Union Pacific Corp......................... 253,811 37,553,876 0.5%
Other Securities........................... 965,441,740 11.4%
-------------- -----
Total Industrials.............................. 1,129,907,320 13.4%
-------------- -----
Information Technology -- (11.5%)
Apple, Inc................................. 123,530 54,692,907 0.7%
Cisco Systems, Inc......................... 1,850,259 38,707,418 0.5%
* Google, Inc. Class A....................... 29,049 23,952,934 0.3%
# Hewlett-Packard Co......................... 879,452 18,116,711 0.2%
# Intel Corp................................. 1,645,400 39,407,330 0.5%
International Business Machines Corp....... 104,255 21,115,808 0.3%
# Microsoft Corp............................. 928,949 30,748,212 0.4%
Visa, Inc. Class A......................... 232,750 39,209,065 0.5%
Other Securities........................... 829,257,478 9.6%
-------------- -----
Total Information Technology................... 1,095,207,863 13.0%
-------------- -----
Materials -- (4.5%)
Dow Chemical Co. (The)..................... 627,320 21,272,421 0.3%
Other Securities........................... 404,334,686 4.8%
-------------- -----
Total Materials................................ 425,607,107 5.1%
-------------- -----
Other -- (0.0%)
Other Securities........................... -- 0.0%
-------------- -----
Telecommunication Services -- (2.7%)
AT&T, Inc.................................. 3,049,991 114,252,663 1.4%
* Sprint Nextel Corp......................... 2,576,737 18,165,996 0.2%
# Verizon Communications, Inc................ 1,449,236 78,128,313 0.9%
Other Securities........................... 47,396,779 0.6%
-------------- -----
Total Telecommunication Services............... 257,943,751 3.1%
-------------- -----
Utilities -- (2.1%)
Other Securities........................... 197,670,461 2.4%
-------------- -----
TOTAL COMMON STOCKS............................ 8,368,357,138 99.5%
-------------- -----
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities........................... -- 0.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................... 63,895 0.0%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional Liquid Reserves. 33,805,971 33,805,971 0.4%
-------------- -----
27
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Shares/
Face Percentage
Amount Value+ of Net Assets**
------ ----- ---------------
(000)
SECURITIES LENDING COLLATERAL -- (11.6%)
(S)@ DFA Short Term Investment Fund.. 95,917,561 $1,109,766,178 13.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,442,495,082)............... $9,511,993,182 113.1%
============== ======
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks
Consumer Discretionary...... $1,195,835,208 -- -- $1,195,835,208
Consumer Staples............ 545,356,810 -- -- 545,356,810
Energy...................... 946,099,310 -- -- 946,099,310
Financials.................. 1,685,584,510 $ 4,314 -- 1,685,588,824
Health Care................. 889,104,511 35,973 -- 889,140,484
Industrials................. 1,129,865,099 42,221 -- 1,129,907,320
Information Technology...... 1,095,207,863 -- -- 1,095,207,863
Materials................... 425,607,107 -- -- 425,607,107
Other....................... -- -- -- --
Telecommunication Services.. 257,943,751 -- -- 257,943,751
Utilities................... 197,670,461 -- -- 197,670,461
Preferred Stocks
Other....................... -- -- -- --
Rights/Warrants............... -- 63,895 -- 63,895
Temporary Cash Investments.... 33,805,971 -- -- 33,805,971
Securities Lending Collateral. -- 1,109,766,178 -- 1,109,766,178
-------------- -------------- -- --------------
TOTAL......................... $8,402,080,601 $1,109,912,581 -- $9,511,993,182
============== ============== == ==============
See accompanying Notes to Financial Statements.
28
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (87.7%)
Consumer Discretionary -- (13.7%)
Comcast Corp. Class A.................... 322,118 $ 13,303,473 0.6%
* Jarden Corp.............................. 117,655 5,295,652 0.2%
# Lennar Corp. Class A..................... 134,243 5,533,496 0.2%
* Liberty Interactive Corp. Class A........ 267,922 5,704,059 0.2%
* Mohawk Industries, Inc................... 54,426 6,034,755 0.3%
Time Warner, Inc......................... 135,201 8,082,316 0.3%
#* Toll Brothers, Inc....................... 151,825 5,209,116 0.2%
# Walt Disney Co. (The).................... 118,253 7,431,019 0.3%
Other Securities......................... 324,853,607 13.2%
------------ -----
Total Consumer Discretionary................. 381,447,493 15.5%
------------ -----
Consumer Staples -- (4.7%)
Bunge, Ltd............................... 79,327 5,728,203 0.2%
CVS Caremark Corp........................ 121,704 7,080,739 0.3%
Mondelez International, Inc. Class A..... 260,500 8,192,725 0.3%
Procter & Gamble Co. (The)............... 91,517 7,025,760 0.3%
Other Securities......................... 103,293,668 4.2%
------------ -----
Total Consumer Staples....................... 131,321,095 5.3%
------------ -----
Energy -- (9.6%)
Anadarko Petroleum Corp.................. 72,636 6,156,627 0.3%
# Chesapeake Energy Corp................... 360,915 7,052,279 0.3%
Chevron Corp............................. 159,692 19,484,021 0.8%
ConocoPhillips........................... 175,685 10,620,158 0.4%
Exxon Mobil Corp......................... 246,627 21,947,337 0.9%
HollyFrontier Corp....................... 109,681 5,423,725 0.2%
Murphy Oil Corp.......................... 107,339 6,664,679 0.3%
Phillips 66.............................. 91,273 5,563,089 0.2%
Tesoro Corp.............................. 131,157 7,003,784 0.3%
Other Securities......................... 178,331,945 7.2%
------------ -----
Total Energy................................. 268,247,644 10.9%
------------ -----
Financials -- (21.1%)
American Financial Group, Inc............ 127,737 6,165,865 0.3%
Bank of America Corp..................... 1,263,850 15,557,993 0.6%
Citigroup, Inc........................... 300,702 14,030,755 0.6%
Goldman Sachs Group, Inc. (The).......... 47,945 7,003,326 0.3%
Hartford Financial Services Group, Inc... 216,706 6,087,272 0.3%
Invesco, Ltd............................. 186,136 5,907,957 0.3%
JPMorgan Chase & Co...................... 570,669 27,968,488 1.2%
# Lincoln National Corp.................... 152,570 5,188,906 0.2%
MetLife, Inc............................. 141,103 5,501,606 0.2%
PNC Financial Services Group, Inc. (The). 76,226 5,174,221 0.2%
Principal Financial Group, Inc........... 157,281 5,677,844 0.2%
Regions Financial Corp................... 661,387 5,615,176 0.2%
Wells Fargo & Co......................... 522,373 19,839,727 0.8%
Other Securities......................... 460,085,807 18.6%
------------ -----
Total Financials............................. 589,804,943 24.0%
------------ -----
Health Care -- (7.4%)
* Boston Scientific Corp................... 767,057 5,745,257 0.2%
Johnson & Johnson........................ 61,338 5,227,838 0.2%
Merck & Co., Inc......................... 149,737 7,037,639 0.3%
29
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
Pfizer, Inc.................................. 563,682 $ 16,386,236 0.7%
Other Securities............................. 170,918,476 7.0%
-------------- ------
Total Health Care.................................. 205,315,446 8.4%
-------------- ------
Industrials -- (11.9%)
General Electric Co.......................... 856,705 19,095,954 0.8%
Southwest Airlines Co........................ 417,610 5,721,257 0.2%
Union Pacific Corp........................... 34,880 5,160,845 0.2%
Other Securities............................. 302,960,107 12.4%
-------------- ------
Total Industrials.................................. 332,938,163 13.6%
-------------- ------
Information Technology -- (10.5%)
Fidelity National Information Services, Inc.. 150,228 6,317,087 0.3%
IAC/InterActiveCorp.......................... 115,491 5,436,161 0.2%
* Micron Technology, Inc....................... 569,578 5,365,425 0.2%
Visa, Inc. Class A........................... 37,703 6,351,447 0.3%
Western Digital Corp......................... 122,881 6,792,862 0.3%
Xerox Corp................................... 731,469 6,276,004 0.3%
Other Securities............................. 257,448,917 10.4%
-------------- ------
Total Information Technology....................... 293,987,903 12.0%
-------------- ------
Materials -- (5.5%)
Other Securities............................. 152,898,070 6.2%
-------------- ------
Other -- (0.0%)
Other Securities............................. -- 0.0%
-------------- ------
Telecommunication Services -- (2.0%)
AT&T, Inc.................................... 570,322 21,364,262 0.9%
Verizon Communications, Inc.................. 219,736 11,845,968 0.5%
Other Securities............................. 22,462,968 0.9%
-------------- ------
Total Telecommunication Services................... 55,673,198 2.3%
-------------- ------
Utilities -- (1.3%)
NRG Energy, Inc.............................. 195,195 5,440,085 0.2%
Other Securities............................. 29,615,330 1.2%
-------------- ------
Total Utilities.................................... 35,055,415 1.4%
-------------- ------
TOTAL COMMON STOCKS................................ 2,446,689,370 99.6%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................. 48,489 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves... 7,725,736 7,725,736 0.3%
-------------- ------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (12.0%)
(S)@ DFA Short Term Investment Fund............... 28,858,608 333,894,098 13.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,215,891,463).......................... $2,788,357,693 113.5%
============== ======
30
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary...... $ 381,447,493 -- -- $ 381,447,493
Consumer Staples............ 131,321,095 -- -- 131,321,095
Energy...................... 268,247,644 -- -- 268,247,644
Financials.................. 589,802,926 $ 2,017 -- 589,804,943
Health Care................. 205,289,383 26,063 -- 205,315,446
Industrials................. 332,906,327 31,836 -- 332,938,163
Information Technology...... 293,987,903 -- -- 293,987,903
Materials................... 152,898,070 -- -- 152,898,070
Other....................... -- -- -- --
Telecommunication Services.. 55,673,198 -- -- 55,673,198
Utilities................... 35,055,415 -- -- 35,055,415
Rights/Warrants............... -- 48,489 -- 48,489
Temporary Cash Investments.... 7,725,736 -- -- 7,725,736
Securities Lending Collateral. -- 333,894,098 -- 333,894,098
-------------- ------------ -- --------------
TOTAL......................... $2,454,355,190 $334,002,503 -- $2,788,357,693
============== ============ == ==============
See accompanying Notes to Financial Statements.
31
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (82.2%)
Consumer Discretionary -- (15.6%)
# Brinker International, Inc............. 322,412 $ 12,541,827 0.2%
# Brunswick Corp......................... 401,911 12,724,502 0.2%
# Buckle, Inc. (The)..................... 240,240 11,663,652 0.2%
#* Cabela's, Inc.......................... 277,885 17,840,217 0.3%
# Dillard's, Inc. Class A................ 158,530 13,064,457 0.2%
Domino's Pizza, Inc.................... 270,452 14,928,950 0.3%
# Pier 1 Imports, Inc.................... 641,193 14,882,090 0.3%
# Pool Corp.............................. 227,978 11,175,482 0.2%
# Sinclair Broadcast Group, Inc. Class A. 447,331 11,988,471 0.2%
* Tenneco, Inc........................... 302,739 11,706,917 0.2%
# Wolverine World Wide, Inc.............. 240,448 11,486,201 0.2%
Other Securities....................... 900,568,741 16.4%
-------------- -----
Total Consumer Discretionary............... 1,044,571,507 18.9%
-------------- -----
Consumer Staples -- (3.6%)
#* Hain Celestial Group, Inc. (The)....... 180,533 11,779,778 0.2%
Other Securities....................... 229,110,428 4.2%
-------------- -----
Total Consumer Staples 240,890,206 4.4%
-------------- -----
Energy -- (4.3%)
Bristow Group, Inc..................... 180,340 11,397,488 0.2%
* Gulfport Energy Corp................... 245,449 12,809,983 0.2%
* Helix Energy Solutions Group, Inc...... 491,600 11,326,464 0.2%
# Lufkin Industries, Inc................. 164,767 14,547,278 0.3%
# Western Refining, Inc.................. 371,375 11,479,201 0.2%
Other Securities....................... 225,417,420 4.1%
-------------- -----
Total Energy............................... 286,977,834 5.2%
-------------- -----
Financials -- (14.0%)
Geo Group, Inc. (The).................. 311,791 11,676,573 0.2%
* Ocwen Financial Corp................... 328,355 12,011,226 0.2%
# TCF Financial Corp..................... 832,287 12,109,776 0.2%
Other Securities....................... 902,198,385 16.3%
-------------- -----
Total Financials........................... 937,995,960 16.9%
-------------- -----
Health Care -- (7.7%)
#* Centene Corp........................... 258,159 11,926,946 0.2%
* LifePoint Hospitals, Inc............... 236,483 11,351,184 0.2%
#* Medicines Co. (The).................... 351,538 11,867,923 0.2%
#* PAREXEL International Corp............. 290,659 11,902,486 0.2%
# STERIS Corp............................ 282,552 11,751,338 0.2%
* Team Health Holdings, Inc.............. 317,151 11,823,389 0.2%
* Thoratec Corp.......................... 319,166 11,553,809 0.2%
Other Securities....................... 435,421,077 8.0%
-------------- -----
Total Health Care.......................... 517,598,152 9.4%
-------------- -----
Industrials -- (14.8%)
# Actuant Corp. Class A.................. 365,245 11,432,168 0.2%
# Alliant Techsystems, Inc............... 154,313 11,474,715 0.2%
AMERCO................................. 73,467 11,806,147 0.2%
* Avis Budget Group, Inc................. 493,987 14,246,585 0.3%
#* Chart Industries, Inc.................. 150,375 12,753,304 0.2%
32
U.S. SMALL CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
# EMCOR Group, Inc........................... 306,181 $ 11,451,169 0.2%
* EnerSys, Inc............................... 244,184 11,193,395 0.2%
Huntington Ingalls Industries, Inc......... 227,971 12,059,666 0.2%
# Manitowoc Co., Inc. (The).................. 650,586 12,204,993 0.2%
#* Middleby Corp.............................. 78,446 11,733,953 0.2%
#* US Airways Group, Inc...................... 795,980 13,452,062 0.3%
Other Securities........................... 858,631,446 15.5%
-------------- -----
Total Industrials.............................. 992,439,603 17.9%
-------------- -----
Information Technology -- (14.0%)
# Anixter International, Inc................. 161,603 11,593,399 0.2%
#* Compuware Corp............................. 995,933 11,951,196 0.2%
#* Cymer, Inc................................. 144,305 15,117,392 0.3%
# FEI Co..................................... 177,398 11,332,184 0.2%
# MAXIMUS, Inc............................... 157,974 12,588,948 0.2%
# Mentor Graphics Corp....................... 661,422 12,077,566 0.2%
#* ValueClick, Inc............................ 372,765 11,503,528 0.2%
Other Securities........................... 853,619,765 15.5%
-------------- -----
Total Information Technology................... 939,783,978 17.0%
-------------- -----
Materials -- (4.8%)
# Eagle Materials, Inc....................... 212,595 14,403,311 0.3%
* Louisiana-Pacific Corp..................... 633,346 11,476,230 0.2%
PolyOne Corp............................... 496,230 11,180,062 0.2%
Other Securities........................... 284,520,162 5.1%
-------------- -----
Total Materials................................ 321,579,765 5.8%
-------------- -----
Other -- (0.0%)
Other Securities........................... 7,948 0.0%
-------------- -----
Telecommunication Services -- (0.4%)
Other Securities........................... 27,200,521 0.5%
-------------- -----
Utilities -- (3.0%)
Portland General Electric Co............... 369,541 11,917,697 0.2%
# Southwest Gas Corp......................... 222,051 11,251,324 0.2%
Other Securities........................... 172,877,836 3.1%
-------------- -----
Total Utilities................................ 196,046,857 3.5%
-------------- -----
TOTAL COMMON STOCKS............................ 5,505,092,331 99.5%
-------------- -----
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities........................... -- 0.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................... 196,119 0.0%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional Liquid Reserves. 35,634,656 35,634,656 0.6%
-------------- -----
33
U.S. SMALL CAP PORTFOLIO
CONTINUED
Shares/
Face Percentage
Amount Value+ of Net Assets**
------- ------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (17.3%)
(S)@ DFA Short Term Investment Fund 100,407,456 $1,161,714,264 21.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,460,276,208)............... $6,702,637,370 121.1%
============== ======
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks
Consumer Discretionary...... $1,044,571,507 -- -- $1,044,571,507
Consumer Staples............ 240,890,206 -- -- 240,890,206
Energy...................... 286,977,834 -- -- 286,977,834
Financials.................. 937,980,902 $ 15,058 -- 937,995,960
Health Care................. 517,507,784 90,368 -- 517,598,152
Industrials................. 992,129,464 310,139 -- 992,439,603
Information Technology...... 939,783,978 -- -- 939,783,978
Materials................... 321,579,765 -- -- 321,579,765
Other....................... -- 7,948 -- 7,948
Telecommunication Services.. 27,200,521 -- -- 27,200,521
Utilities................... 196,046,857 -- -- 196,046,857
Preferred Stocks
Other....................... -- -- -- --
Rights/Warrants............... -- 196,119 -- 196,119
Temporary Cash Investments.... 35,634,656 -- -- 35,634,656
Securities Lending Collateral. -- 1,161,714,264 -- 1,161,714,264
-------------- -------------- -- --------------
TOTAL......................... $5,540,303,474 $1,162,333,896 -- $6,702,637,370
============== ============== == ==============
See accompanying Notes to Financial Statements.
34
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (85.7%)
Consumer Discretionary -- (16.4%)
#* Asbury Automotive Group, Inc........... 303,771 $ 12,178,179 0.3%
# Belo Corp. Class A..................... 813,649 8,722,317 0.2%
Churchill Downs, Inc................... 117,187 8,960,118 0.2%
#* Conn's, Inc............................ 311,038 13,471,056 0.3%
# Dorman Products, Inc................... 312,058 11,777,069 0.3%
#* Grand Canyon Education, Inc............ 362,840 9,277,819 0.2%
La-Z-Boy, Inc.......................... 515,798 9,315,312 0.2%
Lithia Motors, Inc. Class A............ 188,702 9,344,523 0.2%
#* Lumber Liquidators Holdings, Inc....... 138,270 11,332,609 0.3%
# Oxford Industries, Inc................. 148,270 8,767,205 0.2%
* Papa John's International, Inc......... 214,930 13,540,590 0.4%
#* Pinnacle Entertainment, Inc............ 540,950 10,310,507 0.3%
#* Quiksilver, Inc........................ 1,340,079 9,018,732 0.2%
# Ryland Group, Inc. (The)............... 206,913 9,323,500 0.2%
# Sinclair Broadcast Group, Inc. Class A. 401,740 10,766,632 0.3%
# Sturm Ruger & Co., Inc................. 185,803 9,526,120 0.2%
Other Securities....................... 587,926,550 15.1%
------------ -----
Total Consumer Discretionary............... 753,558,838 19.1%
------------ -----
Consumer Staples -- (3.8%)
# Andersons, Inc. (The).................. 159,711 8,707,444 0.2%
# Cal-Maine Foods, Inc................... 202,886 8,659,174 0.2%
#* Elizabeth Arden, Inc................... 241,815 9,902,324 0.3%
# J&J Snack Foods Corp................... 179,640 13,476,593 0.3%
* Prestige Brands Holdings, Inc.......... 356,410 9,605,249 0.3%
#* Susser Holdings Corp................... 176,060 9,361,110 0.2%
Other Securities....................... 113,777,778 2.9%
------------ -----
Total Consumer Staples..................... 173,489,672 4.4%
------------ -----
Energy -- (4.2%)
* EPL Oil & Gas, Inc..................... 290,804 9,500,567 0.2%
* Hercules Offshore, Inc................. 1,228,317 9,052,696 0.2%
Other Securities....................... 172,766,101 4.4%
------------ -----
Total Energy............................... 191,319,364 4.8%
------------ -----
Financials -- (14.9%)
# Bank of the Ozarks, Inc................ 296,309 12,127,927 0.3%
# FBL Financial Group, Inc. Class A...... 271,726 10,681,549 0.3%
Horace Mann Educators Corp............. 423,287 9,545,122 0.2%
#* Western Alliance Bancorp............... 614,415 9,038,045 0.2%
#* World Acceptance Corp.................. 153,471 13,637,433 0.4%
Other Securities....................... 629,840,256 15.9%
------------ -----
Total Financials........................... 684,870,332 17.3%
------------ -----
Health Care -- (8.5%)
* Amsurg Corp............................ 286,482 9,614,336 0.3%
# Analogic Corp.......................... 123,731 9,834,140 0.3%
#* Hanger, Inc............................ 295,250 8,972,647 0.2%
Other Securities....................... 362,734,433 9.1%
------------ -----
Total Health Care.......................... 391,155,556 9.9%
------------ -----
35
U.S. MICRO CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (14.8%)
AZZ, Inc................................... 227,597 $ 9,625,077 0.3%
#* EnPro Industries, Inc...................... 181,024 8,920,863 0.2%
# Lindsay Corp............................... 114,790 8,818,168 0.2%
Other Securities........................... 652,055,425 16.5%
-------------- -----
Total Industrials.............................. 679,419,533 17.2%
-------------- -----
Information Technology -- (14.6%)
* Electronics for Imaging, Inc............... 361,249 9,652,573 0.3%
# Forrester Research, Inc.................... 256,189 9,184,376 0.2%
# Heartland Payment Systems, Inc............. 279,163 9,181,671 0.2%
* iGATE Corp................................. 527,877 8,810,267 0.2%
* Manhattan Associates, Inc.................. 216,969 15,233,393 0.4%
# MTS Systems Corp........................... 165,039 10,059,127 0.3%
* Tyler Technologies, Inc.................... 230,600 14,583,144 0.4%
Other Securities........................... 591,619,780 14.9%
-------------- -----
Total Information Technology................... 668,324,331 16.9%
-------------- -----
Materials -- (5.8%)
# Balchem Corp............................... 221,446 9,597,470 0.2%
Buckeye Technologies, Inc.................. 257,175 9,667,208 0.3%
KapStone Paper and Packaging Corp.......... 331,563 9,807,633 0.3%
PH Glatfelter Co........................... 389,968 9,359,232 0.2%
# Stepan Co.................................. 165,990 9,451,471 0.2%
# Tredegar Corp.............................. 328,579 9,725,938 0.3%
Other Securities........................... 209,084,962 5.3%
-------------- -----
Total Materials................................ 266,693,914 6.8%
-------------- -----
Other -- (0.0%)
Other Securities........................... 58,742 0.0%
-------------- -----
Telecommunication Services -- (1.0%)
Other Securities........................... 44,711,868 1.1%
-------------- -----
Utilities -- (1.7%)
# American States Water Co................... 161,488 8,959,354 0.2%
# MGE Energy, Inc............................ 194,367 10,855,397 0.3%
Other Securities........................... 59,938,853 1.5%
-------------- -----
Total Utilities................................ 79,753,604 2.0%
-------------- -----
TOTAL COMMON STOCKS............................ 3,933,355,754 99.5%
-------------- -----
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities........................... -- 0.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................... 190,735 0.0%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional Liquid Reserves. 18,813,733 18,813,733 0.5%
-------------- -----
36
U.S. MICRO CAP PORTFOLIO
CONTINUED
Shares/
Face Percentage
Amount Value+ of Net Assets**
------- ------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (13.9%)
(S)@ DFA Short Term Investment Fund.. 55,331,133 $ 640,181,210 16.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,675,115,793)............... $4,592,541,432 116.2%
============== ======
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary...... $ 753,558,838 -- -- $ 753,558,838
Consumer Staples............ 173,489,672 -- -- 173,489,672
Energy...................... 191,319,364 -- -- 191,319,364
Financials.................. 684,850,357 $ 19,975 -- 684,870,332
Health Care................. 391,028,691 126,865 -- 391,155,556
Industrials................. 679,146,848 272,685 -- 679,419,533
Information Technology...... 668,324,331 -- -- 668,324,331
Materials................... 266,693,914 -- -- 266,693,914
Other....................... -- 58,742 -- 58,742
Telecommunication Services.. 44,711,868 -- -- 44,711,868
Utilities................... 79,753,604 -- -- 79,753,604
Preferred Stocks
Other....................... -- -- -- --
Rights/Warrants............... -- 190,735 -- 190,735
Temporary Cash Investments.... 18,813,733 -- -- 18,813,733
Securities Lending Collateral. -- 640,181,210 -- 640,181,210
-------------- ------------ -- --------------
TOTAL......................... $3,951,691,220 $640,850,212 -- $4,592,541,432
============== ============ == ==============
See accompanying Notes to Financial Statements.
37
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (90.3%)
Real Estate Investment Trusts -- (90.3%)
Alexandria Real Estate Equities, Inc.......... 577,338 $ 42,012,886 0.9%
# American Campus Communities, Inc.............. 890,610 39,756,830 0.9%
# American Tower Corp........................... 520,737 43,736,701 0.9%
# Apartment Investment & Management Co. Class A. 1,329,343 41,355,861 0.9%
# AvalonBay Communities, Inc.................... 1,082,271 143,985,334 3.1%
# BioMed Realty Trust, Inc...................... 1,536,625 34,589,429 0.7%
# Boston Properties, Inc........................ 1,364,786 149,348,532 3.2%
# BRE Properties, Inc........................... 696,475 35,158,058 0.8%
# Camden Property Trust......................... 762,773 55,178,999 1.2%
# CBL & Associates Properties, Inc.............. 1,414,994 34,157,955 0.7%
# DDR Corp...................................... 2,268,727 41,608,453 0.9%
# Digital Realty Trust, Inc..................... 1,155,672 81,497,989 1.7%
# Douglas Emmett, Inc........................... 1,227,846 32,132,730 0.7%
# Duke Realty Corp.............................. 2,894,958 51,067,059 1.1%
# EPR Properties................................ 425,310 24,047,027 0.5%
# Equity Lifestyle Properties, Inc.............. 355,621 28,894,206 0.6%
# Equity Residential............................ 3,035,682 176,251,697 3.8%
# Essex Property Trust, Inc..................... 337,696 53,035,157 1.1%
# Extra Space Storage, Inc...................... 936,883 40,829,361 0.9%
# Federal Realty Investment Trust............... 585,831 68,548,085 1.5%
# General Growth Properties, Inc................ 3,910,099 88,837,449 1.9%
HCP, Inc...................................... 4,035,325 215,082,823 4.6%
Health Care REIT, Inc......................... 2,351,323 176,278,685 3.8%
Healthcare Realty Trust, Inc.................. 798,782 23,979,436 0.5%
# Highwoods Properties, Inc..................... 725,043 29,748,514 0.6%
# Home Properties, Inc.......................... 453,491 29,232,030 0.6%
# Hospitality Properties Trust.................. 1,169,563 34,396,848 0.7%
# Host Hotels & Resorts, Inc.................... 6,540,269 119,490,715 2.6%
# Kilroy Realty Corp............................ 674,011 38,142,283 0.8%
# Kimco Realty Corp............................. 3,670,642 87,287,867 1.9%
Liberty Property Trust........................ 1,076,122 46,262,485 1.0%
# Macerich Co. (The)............................ 1,224,215 85,756,261 1.8%
# Mid-America Apartment Communities, Inc........ 376,394 25,869,560 0.6%
# National Retail Properties, Inc............... 1,021,448 40,531,057 0.9%
# Omega Healthcare Investors, Inc............... 1,005,858 33,062,552 0.7%
Piedmont Office Realty Trust, Inc. Class A.... 1,492,632 30,628,809 0.7%
# Post Properties, Inc.......................... 490,262 24,233,651 0.5%
# Prologis, Inc................................. 4,165,220 174,730,979 3.8%
# Public Storage................................ 1,315,495 217,056,675 4.7%
# Realty Income Corp............................ 1,452,697 74,043,966 1.6%
# Regency Centers Corp.......................... 806,772 45,388,993 1.0%
# Senior Housing Properties Trust............... 1,660,758 47,215,350 1.0%
# Simon Property Group, Inc..................... 2,731,455 486,390,192 10.5%
# SL Green Realty Corp.......................... 821,410 74,501,887 1.6%
# Tanger Factory Outlet Centers................. 844,545 31,349,510 0.7%
# Taubman Centers, Inc.......................... 562,976 48,140,078 1.0%
# UDR, Inc...................................... 2,242,916 55,130,875 1.2%
# Ventas, Inc................................... 2,582,823 205,670,196 4.4%
Vornado Realty Trust.......................... 1,512,590 132,442,380 2.8%
# Weingarten Realty Investors................... 1,047,119 35,675,344 0.8%
Other Securities.............................. 657,982,496 14.2%
-------------- -----
TOTAL COMMON STOCKS............................... 4,631,732,295 99.6%
-------------- -----
38
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional Liquid Reserves. 23,600,975 $ 23,600,975 0.5%
-------------- ------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (9.2%)
(S)@ DFA Short Term Investment Fund............. 40,723,526 471,171,199 10.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,410,560,413)........................ $5,126,504,469 110.2%
============== ======
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks...................
Real Estate Investment Trusts. $4,631,732,295 -- -- $4,631,732,295
Temporary Cash Investments...... 23,600,975 -- -- 23,600,975
Securities Lending Collateral... -- $471,171,199 -- 471,171,199
-------------- ------------ -- --------------
TOTAL........................... $4,655,333,270 $471,171,199 -- $5,126,504,469
============== ============ == ==============
See accompanying Notes to Financial Statements.
39
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (86.6%)
AUSTRALIA -- (7.3%)
Australia & New Zealand Banking Group, Ltd.. 500,458 $ 16,538,746 0.7%
BHP Billiton, Ltd........................... 420,944 14,151,700 0.6%
Commonwealth Bank of Australia.............. 292,747 22,313,429 0.9%
# National Australia Bank, Ltd................ 462,384 16,316,553 0.7%
Wesfarmers, Ltd............................. 189,991 8,547,373 0.4%
Westpac Banking Corp........................ 504,113 17,684,297 0.7%
Woolworths, Ltd............................. 222,524 8,404,562 0.4%
Other Securities............................ 99,621,571 3.9%
------------ -----
TOTAL AUSTRALIA................................. 203,578,231 8.3%
------------ -----
AUSTRIA -- (0.2%)
Other Securities............................ 6,398,118 0.3%
------------ -----
BELGIUM -- (0.9%)
# Anheuser-Busch InBev NV..................... 113,052 10,860,966 0.4%
Other Securities............................ 14,141,537 0.6%
------------ -----
TOTAL BELGIUM................................... 25,002,503 1.0%
------------ -----
CANADA -- (8.7%)
Bank of Nova Scotia......................... 199,837 11,522,687 0.5%
# Royal Bank of Canada........................ 243,989 14,719,987 0.6%
Suncor Energy, Inc.......................... 279,079 8,701,049 0.4%
Toronto-Dominion Bank (The)................. 160,784 13,180,952 0.6%
Other Securities............................ 195,058,674 7.9%
------------ -----
TOTAL CANADA.................................... 243,183,349 10.0%
------------ -----
DENMARK -- (1.0%)
Other Securities............................ 28,219,489 1.2%
------------ -----
FINLAND -- (0.6%)
Other Securities............................ 17,470,494 0.7%
------------ -----
FRANCE -- (7.3%)
BNP Paribas SA.............................. 193,757 10,803,483 0.5%
L'Oreal SA.................................. 45,086 8,047,433 0.3%
Sanofi...................................... 165,428 17,885,336 0.7%
Total SA.................................... 234,515 11,804,793 0.5%
Other Securities............................ 154,127,915 6.3%
------------ -----
TOTAL FRANCE.................................... 202,668,960 8.3%
------------ -----
GERMANY -- (6.2%)
Allianz SE.................................. 62,963 9,313,520 0.4%
# BASF SE..................................... 153,846 14,401,919 0.6%
# Bayer AG.................................... 111,074 11,612,392 0.5%
Daimler AG.................................. 181,449 10,060,449 0.4%
SAP AG...................................... 127,132 10,135,209 0.4%
Siemens AG.................................. 79,520 8,308,807 0.3%
Other Securities............................ 109,200,924 4.5%
------------ -----
TOTAL GERMANY................................... 173,033,220 7.1%
------------ -----
GREECE -- (0.0%)
Other Securities............................ $ 575,927 0.0%
------------ -----
40
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.5%)
AIA Group, Ltd........................... 2,032,400 $ 9,041,043 0.4%
Other Securities......................... 60,160,172 2.4%
------------ -----
TOTAL HONG KONG.............................. 69,201,215 2.8%
------------ -----
IRELAND -- (0.2%)
Other Securities......................... 6,773,985 0.3%
------------ -----
ISRAEL -- (0.4%)
Other Securities......................... 10,058,272 0.4%
------------ -----
ITALY -- (1.5%)
Other Securities......................... 42,686,772 1.7%
------------ -----
JAPAN -- (17.0%)
# Mitsubishi UFJ Financial Group, Inc. ADR. 1,455,897 9,870,982 0.4%
Sumitomo Mitsui Financial Group, Inc..... 235,240 11,119,165 0.5%
Toyota Motor Corp........................ 305,800 17,747,965 0.7%
# Toyota Motor Corp. Sponsored ADR......... 85,613 9,956,792 0.4%
Other Securities......................... 426,149,864 17.4%
------------ -----
TOTAL JAPAN.................................. 474,844,768 19.4%
------------ -----
NETHERLANDS -- (1.8%)
Unilever NV.............................. 242,733 10,343,179 0.4%
Other Securities......................... 40,082,361 1.7%
------------ -----
TOTAL NETHERLANDS............................ 50,425,540 2.1%
------------ -----
NEW ZEALAND -- (0.1%)
Other Securities......................... 2,347,543 0.1%
------------ -----
NORWAY -- (0.8%)
Other Securities......................... 23,704,773 1.0%
------------ -----
PORTUGAL -- (0.2%)
Other Securities......................... 4,299,050 0.2%
------------ -----
SINGAPORE -- (1.4%)
Other Securities......................... 38,046,883 1.6%
------------ -----
SPAIN -- (2.3%)
Banco Santander SA....................... 1,167,590 8,431,806 0.4%
Other Securities......................... 55,428,115 2.2%
------------ -----
TOTAL SPAIN.................................. 63,859,921 2.6%
------------ -----
SWEDEN -- (2.6%)
Other Securities......................... 71,261,869 2.9%
------------ -----
SWITZERLAND -- (7.1%)
Nestle SA................................ 563,769 40,203,744 1.7%
Novartis AG.............................. 260,874 19,311,868 0.8%
Novartis AG ADR.......................... 164,130 12,106,229 0.5%
Roche Holding AG......................... 125,034 31,301,060 1.3%
UBS AG................................... 640,816 11,431,139 0.5%
Zurich Insurance Group AG................ 32,332 9,034,906 0.4%
Other Securities......................... 76,284,259 3.0%
------------ -----
TOTAL SWITZERLAND............................ 199,673,205 8.2%
------------ -----
UNITED KINGDOM -- (16.5%)
BG Group P.L.C........................... 490,585 8,281,730 0.3%
BP P.L.C. Sponsored ADR.................. 539,860 23,537,896 1.0%
British American Tobacco P.L.C........... 285,586 15,831,522 0.6%
Diageo P.L.C. Sponsored ADR.............. 67,354 8,230,659 0.3%
GlaxoSmithKline P.L.C.................... 528,451 13,634,813 0.6%
# GlaxoSmithKline P.L.C. Sponsored ADR..... 166,094 8,577,094 0.4%
41
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (Continued)
HSBC Holdings P.L.C............................................ 1,623,467 $ 17,780,190 0.7%
# HSBC Holdings P.L.C. Sponsored ADR............................. 395,734 21,709,966 0.9%
Reckitt Benckiser Group P.L.C.................................. 116,476 8,502,852 0.3%
Royal Dutch Shell P.L.C. ADR................................... 392,289 27,377,849 1.1%
SABMiller P.L.C................................................ 174,605 9,421,205 0.4%
Standard Chartered P.L.C....................................... 439,931 11,071,919 0.5%
Tesco P.L.C.................................................... 1,490,002 8,475,104 0.3%
Vodafone Group P.L.C........................................... 2,847,359 8,688,131 0.4%
Vodafone Group P.L.C. Sponsored ADR............................ 614,634 18,801,654 0.8%
Other Securities............................................... 251,746,398 10.3%
-------------- ------
TOTAL UNITED KINGDOM................................................. 461,668,982 18.9%
-------------- ------
UNITED STATES -- (0.0%)
Other Securities............................................... 280,498 0.0%
-------------- ------
TOTAL COMMON STOCKS.................................................. 2,419,263,567 99.1%
-------------- ------
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities............................................... 1,512,943 0.1%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
NETHERLANDS -- (0.0%)
Other Securities............................................... 219,886 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities............................................... 248,332 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................................ 468,218 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (13.3%)
(S)@ DFA Short Term Investment Fund................................. 32,152,118 372,000,000 15.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $418,203 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $427,421) to be repurchased at
$419,042...................................................... $ 419 419,040 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................. 372,419,040 15.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,338,521,445)............................................ $2,793,663,768 114.4%
============== ======
42
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Common Stocks
Australia................... $ 7,560,611 $ 196,017,620 -- $ 203,578,231
Austria..................... 32,760 6,365,358 -- 6,398,118
Belgium..................... 3,271,730 21,730,773 -- 25,002,503
Canada...................... 243,183,349 -- -- 243,183,349
Denmark..................... 4,509,187 23,710,302 -- 28,219,489
Finland..................... 954,444 16,516,050 -- 17,470,494
France...................... 16,532,946 186,136,014 -- 202,668,960
Germany..................... 26,114,966 146,918,254 -- 173,033,220
Greece...................... -- 575,927 -- 575,927
Hong Kong................... -- 69,201,215 -- 69,201,215
Ireland..................... 1,913,058 4,860,927 -- 6,773,985
Israel...................... 5,036,730 5,021,542 -- 10,058,272
Italy....................... 5,845,964 36,840,808 -- 42,686,772
Japan....................... 40,628,291 434,216,477 -- 474,844,768
Netherlands................. 5,300,665 45,124,875 -- 50,425,540
New Zealand................. -- 2,347,543 -- 2,347,543
Norway...................... 1,566,805 22,137,968 -- 23,704,773
Portugal.................... 106,372 4,192,678 -- 4,299,050
Singapore................... -- 38,046,883 -- 38,046,883
Spain....................... 18,926,633 44,933,288 -- 63,859,921
Sweden...................... 1,079,570 70,182,299 -- 71,261,869
Switzerland................. 23,527,289 176,145,916 -- 199,673,205
United Kingdom.............. 158,479,220 303,189,762 -- 461,668,982
United States............... 280,498 -- -- 280,498
Preferred Stocks
Germany..................... -- 1,512,943 -- 1,512,943
Rights/Warrants
Netherlands................. -- 219,886 -- 219,886
Spain....................... -- 248,332 -- 248,332
Securities Lending Collateral. -- 372,419,040 -- 372,419,040
------------ -------------- -- --------------
TOTAL......................... $564,851,088 $2,228,812,680 -- $2,793,663,768
============ ============== == ==============
See accompanying Notes to Financial Statements.
43
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (86.1%)
AUSTRALIA -- (6.3%)
Australia & New Zealand Banking Group, Ltd.. 972,400 $ 32,135,117 0.4%
Commonwealth Bank of Australia.............. 291,226 22,197,496 0.3%
# National Australia Bank, Ltd................ 1,075,691 37,958,860 0.5%
Suncorp Group, Ltd.......................... 1,243,956 16,753,961 0.2%
Wesfarmers, Ltd............................. 509,296 22,912,364 0.3%
Westpac Banking Corp........................ 832,771 29,213,630 0.4%
Other Securities............................ 417,411,564 5.2%
------------ ----
TOTAL AUSTRALIA................................. 578,582,992 7.3%
------------ ----
AUSTRIA -- (0.4%)
Other Securities............................ 38,910,198 0.5%
------------ ----
BELGIUM -- (1.0%)
Other Securities............................ 90,657,468 1.2%
------------ ----
CANADA -- (7.9%)
# Bank of Montreal............................ 273,400 17,148,390 0.2%
# Royal Bank of Canada........................ 326,040 19,670,168 0.3%
Suncor Energy, Inc.......................... 654,429 20,403,607 0.3%
Toronto-Dominion Bank (The)................. 350,772 28,756,027 0.4%
Other Securities............................ 631,242,236 7.9%
------------ ----
TOTAL CANADA.................................... 717,220,428 9.1%
------------ ----
CHINA -- (0.0%)
Other Securities............................ 682,563 0.0%
------------ ----
COLOMBIA -- (0.0%)
Other Securities............................ 13,661 0.0%
------------ ----
DENMARK -- (1.0%)
Other Securities............................ 86,541,097 1.1%
------------ ----
FINLAND -- (1.3%)...............................
Other Securities............................ 113,988,028 1.4%
------------ ----
FRANCE -- (6.2%)
BNP Paribas SA.............................. 500,741 27,920,262 0.4%
Sanofi...................................... 147,180 15,912,443 0.2%
Sanofi ADR.................................. 562,231 29,995,024 0.4%
* Societe Generale SA......................... 601,863 21,863,864 0.3%
Total SA Sponsored ADR...................... 595,142 29,899,934 0.4%
Other Securities............................ 442,185,190 5.5%
------------ ----
TOTAL FRANCE.................................... 567,776,717 7.2%
------------ ----
GERMANY -- (5.1%)
Allianz SE.................................. 137,629 20,358,153 0.3%
Daimler AG.................................. 469,210 26,015,371 0.3%
# Muenchener Rueckversicherungs AG............ 92,638 18,555,974 0.2%
# Siemens AG Sponsored ADR.................... 200,444 20,948,402 0.3%
Other Securities............................ 381,750,080 4.8%
------------ ----
TOTAL GERMANY................................... 467,627,980 5.9%
------------ ----
44
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
GREECE -- (0.2%)
Other Securities...................... $ 20,568,346 0.3%
-------------- -----
HONG KONG -- (2.3%)
Other Securities...................... 212,526,628 2.7%
-------------- -----
IRELAND -- (0.5%)
Other Securities...................... 44,486,764 0.6%
-------------- -----
ISRAEL -- (0.5%)
Other Securities...................... 45,342,666 0.6%
-------------- -----
ITALY -- (1.9%)
Other Securities...................... 169,031,134 2.1%
-------------- -----
JAPAN -- (18.8%)
# Honda Motor Co., Ltd. Sponsored ADR... 417,161 16,678,097 0.2%
Mitsubishi UFJ Financial Group, Inc... 4,596,200 31,184,479 0.4%
Mizuho Financial Group, Inc........... 10,641,060 23,415,192 0.3%
Sumitomo Mitsui Financial Group, Inc.. 664,070 31,388,811 0.4%
# Toyota Motor Corp. Sponsored ADR...... 360,892 41,971,740 0.6%
Other Securities...................... 1,574,103,449 19.8%
-------------- -----
TOTAL JAPAN............................... 1,718,741,768 21.7%
-------------- -----
NETHERLANDS -- (2.1%)
Koninklijke Philips Electronics NV.... 573,294 15,867,651 0.2%
Other Securities...................... 176,107,529 2.2%
-------------- -----
TOTAL NETHERLANDS......................... 191,975,180 2.4%
-------------- -----
NEW ZEALAND -- (0.2%)
Other Securities...................... 21,504,707 0.3%
-------------- -----
NORWAY -- (1.0%)
Other Securities...................... 88,554,387 1.1%
-------------- -----
POLAND -- (0.0%)
Other Securities...................... 38,194 0.0%
-------------- -----
PORTUGAL -- (0.3%)
Other Securities...................... 26,374,756 0.3%
-------------- -----
RUSSIA -- (0.0%)
Other Securities...................... 388,092 0.0%
-------------- -----
SINGAPORE -- (1.4%)
Other Securities...................... 127,937,279 1.6%
-------------- -----
SPAIN -- (1.9%)
Banco Santander SA.................... 2,981,742 21,532,789 0.3%
# Banco Santander SA Sponsored ADR...... 2,229,277 16,162,258 0.2%
Other Securities...................... 138,497,929 1.7%
-------------- -----
TOTAL SPAIN............................... 176,192,976 2.2%
-------------- -----
SWEDEN -- (2.8%)
Other Securities...................... 253,660,357 3.2%
-------------- -----
45
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (6.3%)
ABB, Ltd............................ 1,158,384 $ 26,268,562 0.3%
Credit Suisse Group AG.............. 733,039 20,357,249 0.3%
Holcim, Ltd......................... 208,137 16,235,724 0.2%
Nestle SA........................... 587,284 41,880,656 0.5%
# Novartis AG ADR..................... 818,651 60,383,698 0.8%
Roche Holding AG.................... 81,978 20,522,404 0.3%
Swiss Re AG......................... 345,927 27,529,420 0.4%
UBS AG.............................. 1,749,489 31,208,104 0.4%
Zurich Insurance Group AG........... 145,954 40,785,621 0.5%
Other Securities.................... 286,091,352 3.5%
-------------- -----
TOTAL SWITZERLAND....................... 571,262,790 7.2%
-------------- -----
UNITED KINGDOM -- (16.7%)
Anglo American P.L.C................ 763,241 18,661,816 0.2%
# AstraZeneca P.L.C. Sponsored ADR.... 424,722 22,051,566 0.3%
# Barclays P.L.C. Sponsored ADR....... 1,811,137 32,564,243 0.4%
BG Group P.L.C...................... 933,234 15,754,237 0.2%
# BHP Billiton P.L.C. ADR............. 286,867 16,216,592 0.2%
BP P.L.C. Sponsored ADR............. 1,562,643 68,131,232 0.9%
HSBC Holdings P.L.C. Sponsored ADR.. 1,761,750 96,649,601 1.2%
* Lloyds Banking Group P.L.C.......... 23,313,762 19,804,874 0.3%
# Prudential P.L.C. ADR............... 651,676 22,508,889 0.3%
# Rio Tinto P.L.C. Sponsored ADR...... 458,818 21,133,157 0.3%
# Royal Dutch Shell P.L.C. ADR........ 1,430,280 99,819,241 1.3%
Standard Chartered P.L.C............ 1,125,564 28,327,517 0.4%
Tesco P.L.C......................... 3,732,880 21,232,553 0.3%
Vodafone Group P.L.C. Sponsored ADR. 2,394,771 73,256,045 0.9%
Other Securities.................... 964,017,666 12.0%
-------------- -----
TOTAL UNITED KINGDOM.................... 1,520,129,229 19.2%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities.................... 3,494,631 0.0%
-------------- -----
TOTAL COMMON STOCKS..................... 7,854,211,016 99.2%
-------------- -----
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities.................... 4,378,796 0.1%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities.................... 8,616 0.0%
-------------- -----
TOTAL PREFERRED STOCKS.................. 4,387,412 0.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities.................... 1,483 0.0%
-------------- -----
BELGIUM -- (0.0%)
Other Securities.................... -- 0.0%
-------------- -----
CANADA -- (0.0%)
Other Securities.................... 574 0.0%
-------------- -----
46
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (0.0%)
Other Securities............................................ $ -- 0.0%
-------------- ------
ISRAEL -- (0.0%)
Other Securities............................................ 11,543 0.0%
-------------- ------
ITALY -- (0.0%)
Other Securities............................................ 825 0.0%
-------------- ------
NETHERLANDS -- (0.0%)
Other Securities............................................ 242,608 0.0%
-------------- ------
NORWAY -- (0.0%)
Other Securities............................................ 3,770 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities............................................ 646,821 0.0%
-------------- ------
SWITZERLAND -- (0.0%)
Other Securities............................................ 53,406 0.0%
-------------- ------
UNITED STATES -- (0.0%)
Other Securities............................................ -- 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS............................................. 961,030 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (13.8%)
(S)@ DFA Short Term Investment Fund.............................. 108,038,029 1,250,000,000 15.8%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $9,993,202 FNMA, rates ranging
from 3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $10,213,462) to be repurchased at
$10,013,243................................................ $ 10,013 10,013,198 0.1%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL............................... 1,260,013,198 15.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,484,144,476)......................................... $9,119,572,656 115.2%
============== ======
47
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks
Australia................... $ 26,872,133 $ 551,710,859 -- $ 578,582,992
Austria..................... 57,330 38,852,868 -- 38,910,198
Belgium..................... 10,418,860 80,238,608 -- 90,657,468
Canada...................... 717,159,305 61,123 -- 717,220,428
China....................... 110,466 572,097 -- 682,563
Colombia.................... 13,661 -- -- 13,661
Denmark..................... 4,501,062 82,040,035 -- 86,541,097
Finland..................... 2,652,118 111,335,910 -- 113,988,028
France...................... 87,552,301 480,224,416 -- 567,776,717
Germany..................... 68,989,039 398,638,941 -- 467,627,980
Greece...................... 652,609 19,915,737 -- 20,568,346
Hong Kong................... 223,938 212,302,690 -- 212,526,628
Ireland..................... 12,143,696 32,343,068 -- 44,486,764
Israel...................... 8,896,652 36,446,014 -- 45,342,666
Italy....................... 16,578,746 152,452,388 -- 169,031,134
Japan....................... 108,686,969 1,610,054,799 -- 1,718,741,768
Netherlands................. 29,141,065 162,834,115 -- 191,975,180
New Zealand................. 122,698 21,382,009 -- 21,504,707
Norway...................... 10,233,572 78,320,815 -- 88,554,387
Poland...................... 38,194 -- -- 38,194
Portugal.................... 246,957 26,127,799 -- 26,374,756
Russia...................... -- 388,092 -- 388,092
Singapore................... 64,766 127,872,513 -- 127,937,279
Spain....................... 35,643,906 140,549,070 -- 176,192,976
Sweden...................... 9,281,144 244,379,213 -- 253,660,357
Switzerland................. 102,383,494 468,879,296 -- 571,262,790
United Kingdom.............. 551,209,957 968,919,272 -- 1,520,129,229
United States............... 3,494,631 -- -- 3,494,631
Preferred Stocks
Germany..................... -- 4,378,796 -- 4,378,796
United Kingdom.............. -- 8,616 -- 8,616
Rights/Warrants
Australia................... -- 1,483 -- 1,483
Belgium..................... -- -- -- --
Canada...................... -- 574 -- 574
Hong Kong................... -- -- -- --
Israel...................... -- 11,543 -- 11,543
Italy....................... -- 825 -- 825
Netherlands................. -- 242,608 -- 242,608
Norway...................... -- 3,770 -- 3,770
Spain....................... -- 646,821 -- 646,821
Switzerland................. -- 53,406 -- 53,406
United States............... -- -- -- --
Securities Lending Collateral. -- 1,260,013,198 -- 1,260,013,198
-------------- -------------- -- --------------
TOTAL......................... $1,807,369,269 $7,312,203,387 -- $9,119,572,656
============== ============== == ==============
See accompanying Notes to Financial Statements.
48
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Value+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company....................... $2,477,075,831
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company....................... 1,742,051,494
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company....................... 1,624,187,471
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company....................... 871,962,341
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company....................... 656,754,574
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $6,490,277,913)............................... 7,372,031,711
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,490,277,913)............................... $7,372,031,711
==============
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
-
Investments in Securities (Market Value)
---------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------- ------- --------------
Affiliated Investment Companies. $7,372,031,711 -- -- $7,372,031,711
-------------- -- -- --------------
TOTAL........................... $7,372,031,711 -- -- $7,372,031,711
============== == == ==============
See accompanying Notes to Financial Statements.
49
SCHEDULES OF INVESTMENTS
April 30, 2013
(Unaudited)
JAPANESE SMALL COMPANY PORTFOLIO
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company.................................. $495,729,468
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$479,448,060).......................................... $495,729,468
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
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.............................. $270,965,449
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$240,342,368).......................................... $270,965,449
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
50
SCHEDULES OF INVESTMENTS
April 30, 2013
(Unaudited)
UNITED KINGDOM SMALL COMPANY PORTFOLIO
Value+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The United Kingdom Small Company Series
of The DFA Investment Trust Company....................... $33,314,018
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$22,855,044)........................................... $33,314,018
===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
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.............................. $115,717,432
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$104,610,031).......................................... $115,717,432
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
51
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (84.8%)
AUSTRALIA -- (22.4%)
# CFS Retail Property Trust Group... 11,940,274 $ 27,208,429 1.4%
# Commonwealth Property Office Fund. 14,005,138 16,829,733 0.9%
Dexus Property Group.............. 27,648,805 33,074,781 1.7%
Federation Centres, Ltd........... 6,849,076 18,462,298 0.9%
Goodman Group..................... 10,331,700 55,886,587 2.8%
GPT Group......................... 8,533,209 36,304,932 1.9%
Investa Office Fund............... 3,511,193 11,941,025 0.6%
# Stockland......................... 13,283,337 53,381,870 2.7%
# Westfield Group................... 13,180,319 159,431,045 8.1%
Westfield Retail Trust............ 17,497,530 59,829,262 3.0%
Other Securities.................. 42,539,213 2.1%
------------ -----
TOTAL AUSTRALIA....................... 514,889,175 26.1%
------------ -----
BELGIUM -- (1.2%)
# Cofinimmo......................... 93,248 11,223,534 0.6%
Other Securities.................. 16,652,407 0.8%
------------ -----
TOTAL BELGIUM......................... 27,875,941 1.4%
------------ -----
CANADA -- (6.0%)
# Boardwalk REIT.................... 140,236 9,169,036 0.5%
Calloway REIT..................... 341,635 10,244,472 0.5%
Canadian REIT..................... 204,194 9,661,946 0.5%
Dundee REIT Class A............... 286,663 10,530,942 0.5%
# H&R REIT.......................... 679,897 16,703,019 0.9%
# RioCan REIT....................... 876,636 25,678,226 1.3%
Other Securities.................. 56,265,718 2.8%
------------ -----
TOTAL CANADA.......................... 138,253,359 7.0%
------------ -----
CHINA -- (0.2%)
Other Securities.................. 5,557,402 0.3%
------------ -----
FRANCE -- (3.3%)
# Fonciere Des Regions.............. 147,675 11,782,646 0.6%
# Gecina SA......................... 124,602 15,014,694 0.8%
# ICADE............................. 133,009 12,295,517 0.6%
Klepierre......................... 548,497 23,275,575 1.2%
Other Securities.................. 13,219,919 0.6%
------------ -----
TOTAL FRANCE.......................... 75,588,351 3.8%
------------ -----
GERMANY -- (0.3%)
Other Securities.................. 7,291,148 0.4%
------------ -----
GREECE -- (0.0%)
Other Securities.................. 482,139 0.0%
------------ -----
HONG KONG -- (4.0%)
Link REIT (The)................... 13,650,583 77,030,214 3.9%
Other Securities.................. 14,798,825 0.8%
------------ -----
TOTAL HONG KONG....................... 91,829,039 4.7%
------------ -----
ISRAEL -- (0.1%)
Other Securities.................. 2,795,940 0.1%
------------ -----
52
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
ITALY -- (0.2%)
Other Securities...................... $ 4,818,455 0.2%
------------ -----
JAPAN -- (15.9%)
# Advance Residence Investment Corp..... 7,394 17,719,070 0.9%
# Frontier Real Estate Investment Corp.. 1,371 14,059,135 0.7%
# Japan Logistics Fund, Inc............. 887 9,621,993 0.5%
# Japan Prime Realty Investment Corp.... 4,740 17,418,265 0.9%
# Japan Real Estate Investment Corp..... 3,641 48,910,443 2.5%
# Japan Retail Fund Investment Corp..... 12,918 30,621,784 1.6%
# Mori Trust Sogo Reit, Inc............. 1,062 10,340,547 0.5%
# Nippon Accommodations Fund, Inc....... 1,197 9,304,266 0.5%
# Nippon Building Fund, Inc............. 4,228 60,918,439 3.1%
# Nomura Real Estate Office Fund, Inc... 1,709 10,919,629 0.5%
Orix JREIT, Inc....................... 8,817 11,935,824 0.6%
# United Urban Investment Corp.......... 13,933 22,954,668 1.2%
Other Securities...................... 102,034,424 5.1%
------------ -----
TOTAL JAPAN............................... 366,758,487 18.6%
------------ -----
MALAYSIA -- (0.4%)
Other Securities...................... 8,245,008 0.4%
------------ -----
MEXICO -- (0.8%)
Fibra Uno Administracion S.A. de C.V.. 4,502,733 17,302,943 0.9%
------------ -----
NETHERLANDS -- (8.1%)
# Corio NV.............................. 398,635 18,462,200 0.9%
Unibail-Rodamco SE.................... 550,605 143,936,222 7.3%
Other Securities...................... 24,508,999 1.3%
------------ -----
TOTAL NETHERLANDS......................... 186,907,421 9.5%
------------ -----
NEW ZEALAND -- (0.6%)
Other Securities...................... 13,570,997 0.7%
------------ -----
SINGAPORE -- (7.9%)
Ascendas REIT......................... 11,813,000 26,449,812 1.4%
# CapitaCommercial Trust................ 12,234,000 17,034,412 0.9%
CapitaMall Trust...................... 15,021,300 28,323,486 1.4%
Suntec REIT........................... 12,453,000 19,690,127 1.0%
Other Securities...................... 90,032,438 4.5%
------------ -----
TOTAL SINGAPORE........................... 181,530,275 9.2%
------------ -----
SOUTH AFRICA -- (1.2%)
Capital Property Fund................. 7,569,484 9,952,737 0.5%
Other Securities...................... 16,928,470 0.9%
------------ -----
TOTAL SOUTH AFRICA........................ 26,881,207 1.4%
------------ -----
TAIWAN -- (0.6%)
Other Securities...................... 13,017,043 0.7%
------------ -----
TURKEY -- (0.6%)
Other Securities...................... 14,773,176 0.8%
------------ -----
UNITED KINGDOM -- (11.0%)
British Land Co. P.L.C................ 5,184,620 47,960,332 2.4%
Derwent London P.L.C.................. 536,276 19,241,703 1.0%
Great Portland Estates P.L.C.......... 2,038,188 16,860,786 0.9%
Hammerson P.L.C....................... 4,275,995 34,551,955 1.8%
53
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (Continued)
Intu Properties P.L.C.......................................... 3,443,362 $ 18,339,186 0.9%
Land Securities Group P.L.C.................................... 4,698,591 63,828,932 3.3%
Segro P.L.C.................................................... 4,287,510 17,753,936 0.9%
Shaftesbury P.L.C.............................................. 1,431,375 13,517,105 0.7%
Other Securities............................................... 21,335,354 1.0%
-------------- ------
TOTAL UNITED KINGDOM................................................. 253,389,289 12.9%
-------------- ------
TOTAL COMMON STOCKS.................................................. 1,951,756,795 99.1%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SOUTH AFRICA -- (0.0%)
Other Securities............................................... 15,978 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (15.2%)
(S)@ DFA Short Term Investment Fund................................. 30,337,079 351,000,000 17.8%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $184,603 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $188,671) to be repurchased at
$184,973...................................................... $185 184,972 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................. 351,184,972 17.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,902,875,464)............................................ $2,302,957,745 116.9%
============== ======
54
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Common Stocks
Australia................... -- $ 514,889,175 -- $ 514,889,175
Belgium..................... -- 27,875,941 -- 27,875,941
Canada...................... $138,253,359 -- -- 138,253,359
China....................... -- 5,557,402 -- 5,557,402
France...................... -- 75,588,351 -- 75,588,351
Germany..................... -- 7,291,148 -- 7,291,148
Greece...................... -- 482,139 -- 482,139
Hong Kong................... -- 91,829,039 -- 91,829,039
Israel...................... -- 2,795,940 -- 2,795,940
Italy....................... -- 4,818,455 -- 4,818,455
Japan....................... -- 366,758,487 -- 366,758,487
Malaysia.................... -- 8,245,008 -- 8,245,008
Mexico...................... 17,302,943 -- -- 17,302,943
Netherlands................. 143,936,222 42,971,199 -- 186,907,421
New Zealand................. -- 13,570,997 -- 13,570,997
Singapore................... -- 181,530,275 -- 181,530,275
South Africa................ -- 26,881,207 -- 26,881,207
Taiwan...................... -- 13,017,043 -- 13,017,043
Turkey...................... -- 14,773,176 -- 14,773,176
United Kingdom.............. -- 253,389,289 -- 253,389,289
Rights/Warrants
South Africa................ -- 15,978 -- 15,978
Securities Lending Collateral. -- 351,184,972 -- 351,184,972
------------ -------------- -- --------------
TOTAL......................... $299,492,524 $2,003,465,221 -- $2,302,957,745
============ ============== == ==============
See accompanying Notes to Financial Statements.
55
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Shares Value+
----------- --------------
AFFILIATED INVESTMENT COMPANIES -- (99.8%)
Investment in DFA Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc........................... 34,528,858 $1,042,426,231
Investment in DFA International Real Estate Securities
Portfolio of DFA Investment Dimensions Group Inc.......... 117,847,453 682,336,755
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES (Cost $1,248,552,266)........................ 1,724,762,986
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional Liquid Reserves (Cost $3,473,170) 3,473,170 3,473,170
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $1,252,025,436)...... $1,728,236,156
==============
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------- ------- --------------
Affiliated Investment Companies. $1,724,762,986 -- -- $1,724,762,986
Temporary Cash Investments...... 3,473,170 -- -- 3,473,170
-------------- -- -- --------------
TOTAL........................... $1,728,236,156 -- -- $1,728,236,156
============== == == ==============
See accompanying Notes to Financial Statements.
56
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (87.5%)
AUSTRALIA -- (5.8%)
* BlueScope Steel, Ltd........... 7,748,619 $ 39,899,388 0.4%
# Primary Health Care, Ltd....... 10,254,873 56,046,181 0.6%
Other Securities............... 560,630,475 5.6%
------------ ----
TOTAL AUSTRALIA.................... 656,576,044 6.6%
------------ ----
AUSTRIA -- (0.7%)
Other Securities............... 76,429,535 0.8%
------------ ----
BELGIUM -- (0.7%)
Other Securities............... 83,960,254 0.8%
------------ ----
CANADA -- (8.4%)
* Canfor Corp.................... 2,457,506 51,323,566 0.5%
#* Celestica, Inc................. 4,577,603 39,530,643 0.4%
Dorel Industries, Inc. Class B. 842,000 36,356,147 0.4%
Sherritt International Corp.... 7,426,939 34,722,202 0.4%
West Fraser Timber Co., Ltd.... 655,379 57,220,842 0.6%
Other Securities............... 729,406,222 7.2%
------------ ----
TOTAL CANADA....................... 948,559,622 9.5%
------------ ----
CHINA -- (0.0%)
Other Securities............... 2,445,750 0.0%
------------ ----
COLOMBIA -- (0.0%)
Other Securities............... 98,239 0.0%
------------ ----
DENMARK -- (0.8%)
Other Securities............... 93,597,363 0.9%
------------ ----
FINLAND -- (2.1%)
# Huhtamaki Oyj.................. 1,888,609 35,402,884 0.4%
Pohjola Bank P.L.C. Class A.... 2,606,249 44,366,834 0.5%
Other Securities............... 158,711,077 1.5%
------------ ----
TOTAL FINLAND...................... 238,480,795 2.4%
------------ ----
FRANCE -- (3.0%)
Other Securities............... 335,331,261 3.3%
------------ ----
GERMANY -- (4.3%)
Aurubis AG..................... 1,045,010 65,926,603 0.7%
# Bilfinger SE................... 536,449 53,842,934 0.5%
#* TUI AG......................... 3,402,355 36,130,570 0.4%
Other Securities............... 331,207,607 3.3%
------------ ----
TOTAL GERMANY...................... 487,107,714 4.9%
------------ ----
GREECE -- (0.2%)
Other Securities............... 18,712,784 0.2%
------------ ----
HONG KONG -- (2.2%)
Other Securities............... 253,295,780 2.5%
------------ ----
57
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
IRELAND -- (0.4%)
Other Securities............... $ 47,057,838 0.5%
-------------- -----
ISRAEL -- (0.7%)
Other Securities............... 79,706,401 0.8%
-------------- -----
ITALY -- (2.5%)
#* Banca Popolare di Milano Scarl. 77,876,899 52,150,846 0.5%
* Banco Popolare................. 39,619,058 57,232,381 0.6%
Other Securities............... 173,403,418 1.7%
-------------- -----
TOTAL ITALY........................ 282,786,645 2.8%
-------------- -----
JAPAN -- (21.8%)
Aoyama Trading Co., Ltd........ 1,396,199 41,780,501 0.4%
Fujikura, Ltd.................. 9,669,000 36,233,328 0.4%
# Kawasaki Kisen Kaisha, Ltd..... 17,701,194 38,948,563 0.4%
San-In Godo Bank, Ltd. (The)... 4,083,900 34,830,489 0.4%
Other Securities............... 2,319,826,614 23.1%
-------------- -----
TOTAL JAPAN........................ 2,471,619,495 24.7%
-------------- -----
NETHERLANDS -- (1.5%)
Delta Lloyd NV................. 2,295,384 44,136,359 0.5%
Other Securities............... 121,110,842 1.2%
-------------- -----
TOTAL NETHERLANDS.................. 165,247,201 1.7%
-------------- -----
NEW ZEALAND -- (0.4%)
Other Securities............... 39,810,592 0.4%
-------------- -----
NORWAY -- (0.8%)
Other Securities............... 94,320,128 0.9%
-------------- -----
POLAND -- (0.0%)
Other Securities............... 312,174 0.0%
-------------- -----
PORTUGAL -- (0.3%)
Other Securities............... 37,495,780 0.4%
-------------- -----
RUSSIA -- (0.1%)
Other Securities............... 9,255,097 0.1%
-------------- -----
SINGAPORE -- (1.7%)
Other Securities............... 194,099,191 1.9%
-------------- -----
SPAIN -- (1.4%)
Other Securities............... 159,345,125 1.6%
-------------- -----
SWEDEN -- (3.1%)
# BillerudKorsnas AB............. 3,506,767 34,807,430 0.4%
# Holmen AB Class B.............. 1,385,639 38,839,175 0.4%
# Trelleborg AB Class B.......... 6,786,568 101,046,379 1.0%
Other Securities............... 176,583,842 1.7%
-------------- -----
TOTAL SWEDEN....................... 351,276,826 3.5%
-------------- -----
SWITZERLAND -- (4.2%)
Clariant AG.................... 3,169,797 46,375,719 0.5%
GAM Holding AG................. 1,995,299 35,286,713 0.4%
58
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Helvetia Holding AG.................. 120,995 $ 50,761,635 0.5%
Swiss Life Holding AG................ 359,888 57,014,854 0.6%
Other Securities..................... 282,429,187 2.7%
-------------- -----
TOTAL SWITZERLAND........................ 471,868,108 4.7%
-------------- -----
UNITED KINGDOM -- (20.4%)
Amlin P.L.C.......................... 11,024,189 72,716,511 0.7%
Ashtead Group P.L.C.................. 11,493,515 105,113,361 1.1%
* Barratt Developments P.L.C........... 23,445,340 113,494,573 1.1%
Beazley P.L.C........................ 12,470,827 43,565,682 0.4%
Bellway P.L.C........................ 3,448,205 72,128,835 0.7%
Bodycote P.L.C....................... 5,109,442 41,166,775 0.4%
Bovis Homes Group P.L.C.............. 3,855,116 46,000,546 0.5%
Catlin Group, Ltd.................... 9,072,341 74,162,530 0.8%
CSR P.L.C............................ 4,886,688 37,471,349 0.4%
#* Dixons Retail P.L.C.................. 78,168,061 42,764,463 0.4%
DS Smith P.L.C....................... 15,499,530 56,312,190 0.6%
easyJet P.L.C........................ 4,026,670 70,021,729 0.7%
Greene King P.L.C.................... 4,908,532 55,476,171 0.6%
Hiscox, Ltd.......................... 9,603,622 83,710,188 0.8%
# Home Retail Group P.L.C.............. 17,508,245 42,401,436 0.4%
Inchcape P.L.C....................... 8,776,728 68,420,864 0.7%
Meggitt P.L.C........................ 5,167,155 37,659,094 0.4%
Millennium & Copthorne Hotels P.L.C.. 4,813,561 42,354,200 0.4%
Mondi P.L.C.......................... 7,456,121 99,087,976 1.0%
Persimmon P.L.C...................... 7,739,467 130,012,911 1.3%
SIG P.L.C............................ 14,122,480 35,595,134 0.4%
Taylor Wimpey P.L.C.................. 76,091,760 110,099,317 1.1%
* Thomas Cook Group P.L.C.............. 19,575,023 39,367,820 0.4%
Travis Perkins P.L.C................. 5,306,411 118,400,604 1.2%
Other Securities..................... 679,630,562 6.7%
-------------- -----
TOTAL UNITED KINGDOM..................... 2,317,134,821 23.2%
-------------- -----
TOTAL COMMON STOCKS...................... 9,915,930,563 99.1%
-------------- -----
PREFERRED STOCKS -- (0.0%)
UNITED KINGDOM -- (0.0%)
Other Securities..................... 147 0.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities..................... 297 0.0%
-------------- -----
BELGIUM -- (0.0%)
Other Securities..................... -- 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities..................... -- 0.0%
-------------- -----
ISRAEL -- (0.0%)
Other Securities..................... 140,681 0.0%
-------------- -----
NORWAY -- (0.0%)
Other Securities..................... 914 0.0%
-------------- -----
59
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (0.0%)
Other Securities............................................ $ 473,326 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS............................................. 615,218 0.0%
--------------- ------
Shares/
Face
Amount Value+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (12.5%)
(S)@ DFA Short Term Investment Fund.............................. 122,126,188 1,413,000,000 14.1%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $9,510,021 FNMA, rates ranging
from 3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $9,719,631) to be repurchased at
$9,529,092................................................. $ 9,529 9,529,050 0.1%
--------------- ------
TOTAL SECURITIES LENDING COLLATERAL............................... 1,422,529,050 14.2%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,604,711,148)........................................ $11,339,074,978 113.3%
=============== ======
60
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ --------------- ------- ---------------
Common Stocks
Australia................... -- $ 656,576,044 -- $ 656,576,044
Austria..................... $ 150,764 76,278,771 -- 76,429,535
Belgium..................... 3,318 83,956,936 -- 83,960,254
Canada...................... 947,681,153 878,469 -- 948,559,622
China....................... 996,892 1,448,858 -- 2,445,750
Colombia.................... 98,239 -- -- 98,239
Denmark..................... -- 93,597,363 -- 93,597,363
Finland..................... 3,986 238,476,809 -- 238,480,795
France...................... 1,018,187 334,313,074 -- 335,331,261
Germany..................... 149,534 486,958,180 -- 487,107,714
Greece...................... 154,310 18,558,474 -- 18,712,784
Hong Kong................... 688,622 252,607,158 -- 253,295,780
Ireland..................... -- 47,057,838 -- 47,057,838
Israel...................... -- 79,706,401 -- 79,706,401
Italy....................... -- 282,786,645 -- 282,786,645
Japan....................... -- 2,471,619,495 -- 2,471,619,495
Netherlands................. -- 165,247,201 -- 165,247,201
New Zealand................. -- 39,810,592 -- 39,810,592
Norway...................... -- 94,320,128 -- 94,320,128
Poland...................... 312,174 -- -- 312,174
Portugal.................... -- 37,495,780 -- 37,495,780
Russia...................... -- 9,255,097 -- 9,255,097
Singapore................... 212,239 193,886,952 -- 194,099,191
Spain....................... 14,443,006 144,902,119 -- 159,345,125
Sweden...................... 1,179,724 350,097,102 -- 351,276,826
Switzerland................. -- 471,868,108 -- 471,868,108
United Kingdom.............. 187,105 2,316,947,716 -- 2,317,134,821
Preferred Stocks..............
United Kingdom.............. -- 147 -- 147
Rights/Warrants...............
Australia................... -- 297 -- 297
Belgium..................... -- -- -- --
Hong Kong................... -- -- -- --
Israel...................... -- 140,681 -- 140,681
Norway...................... -- 914 -- 914
Switzerland................. -- 473,326 -- 473,326
Securities Lending Collateral. -- 1,422,529,050 -- 1,422,529,050
------------ --------------- -- ---------------
TOTAL......................... $967,279,253 $10,371,795,725 -- $11,339,074,978
============ =============== == ===============
See accompanying Notes to Financial Statements.
61
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (87.7%)
AUSTRALIA -- (6.3%)
Macquarie Group, Ltd..................... 36,077 $ 1,467,674 0.2%
# National Australia Bank, Ltd............. 55,765 1,967,829 0.3%
Origin Energy, Ltd....................... 122,076 1,562,863 0.2%
Santos, Ltd.............................. 107,485 1,380,652 0.2%
Suncorp Group, Ltd....................... 139,503 1,878,867 0.3%
Wesfarmers, Ltd.......................... 29,302 1,318,247 0.2%
Other Securities......................... 40,812,293 5.7%
----------- ----
TOTAL AUSTRALIA.............................. 50,388,425 7.1%
----------- ----
AUSTRIA -- (0.5%)
Other Securities......................... 4,022,844 0.6%
----------- ----
BELGIUM -- (1.1%)
# Ageas.................................... 45,850 1,679,168 0.3%
Other Securities......................... 7,450,396 1.0%
----------- ----
TOTAL BELGIUM................................ 9,129,564 1.3%
----------- ----
CANADA -- (7.8%)
Toronto-Dominion Bank (The).............. 21,129 1,732,140 0.3%
Other Securities......................... 60,596,811 8.5%
----------- ----
TOTAL CANADA................................. 62,328,951 8.8%
----------- ----
CHINA -- (0.0%)
Other Securities......................... 57,348 0.0%
----------- ----
COLOMBIA -- (0.0%)
Other Securities......................... 5,419 0.0%
----------- ----
DENMARK -- (1.0%)
Other Securities......................... 8,337,710 1.2%
----------- ----
FINLAND -- (1.5%)
# Nokia Oyj................................ 415,522 1,396,023 0.2%
Other Securities......................... 10,714,756 1.5%
----------- ----
TOTAL FINLAND................................ 12,110,779 1.7%
----------- ----
FRANCE -- (5.6%)
BNP Paribas SA........................... 27,532 1,535,126 0.2%
Cie de St-Gobain......................... 43,524 1,743,090 0.3%
Cie Generale des Etablissements Michelin. 15,059 1,273,418 0.2%
Lafarge SA............................... 20,467 1,324,975 0.2%
Renault SA............................... 20,445 1,411,008 0.2%
Sanofi................................... 19,474 2,105,442 0.3%
* Societe Generale SA...................... 59,410 2,158,186 0.3%
Other Securities......................... 33,149,147 4.6%
----------- ----
TOTAL FRANCE................................. 44,700,392 6.3%
----------- ----
GERMANY -- (4.5%)
Allianz SE............................... 12,466 1,843,977 0.3%
Daimler AG............................... 25,279 1,401,595 0.2%
62
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
GERMANY -- (Continued)
# Deutsche Bank AG...................... 29,192 $ 1,344,292 0.2%
Other Securities...................... 31,292,948 4.4%
------------ -----
TOTAL GERMANY............................. 35,882,812 5.1%
------------ -----
GREECE -- (0.3%)
Other Securities...................... 2,691,377 0.4%
------------ -----
HONG KONG -- (2.5%)
Other Securities...................... 19,576,074 2.8%
------------ -----
IRELAND -- (0.7%)
CRH P.L.C. Sponsored ADR.............. 59,771 1,285,674 0.2%
Other Securities...................... 4,487,568 0.6%
------------ -----
TOTAL IRELAND............................. 5,773,242 0.8%
------------ -----
ISRAEL -- (0.6%)
Other Securities...................... 4,756,456 0.7%
------------ -----
ITALY -- (2.1%)
Other Securities...................... 16,762,093 2.4%
------------ -----
JAPAN -- (20.5%)
Daiwa Securities Group, Inc........... 153,447 1,361,482 0.2%
Mitsubishi UFJ Financial Group, Inc... 340,700 2,311,595 0.3%
Mizuho Financial Group, Inc........... 580,860 1,278,157 0.2%
Sumitomo Mitsui Financial Group, Inc.. 35,841 1,694,108 0.3%
Toyota Motor Corp. Sponsored ADR...... 11,600 1,349,080 0.2%
Other Securities...................... 156,308,404 22.0%
------------ -----
TOTAL JAPAN............................... 164,302,826 23.2%
------------ -----
NETHERLANDS -- (2.1%)
# Akzo Nobel NV......................... 23,385 1,410,358 0.2%
Other Securities...................... 15,080,893 2.1%
------------ -----
TOTAL NETHERLANDS......................... 16,491,251 2.3%
------------ -----
NEW ZEALAND -- (0.3%)
Other Securities...................... 2,588,202 0.3%
------------ -----
NORWAY -- (1.1%)
Other Securities...................... 8,657,404 1.2%
------------ -----
POLAND -- (0.0%)
Other Securities...................... 1,632 0.0%
------------ -----
PORTUGAL -- (0.4%)
Other Securities...................... 2,901,596 0.4%
------------ -----
RUSSIA -- (0.0%)
Other Securities...................... 162,824 0.0%
------------ -----
SINGAPORE -- (1.5%)
Other Securities...................... 11,888,127 1.7%
------------ -----
63
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SPAIN -- (1.7%)
Banco Santander SA....................... 225,183 $ 1,626,170 0.2%
Other Securities......................... 12,060,553 1.7%
------------ -----
TOTAL SPAIN.................................. 13,686,723 1.9%
------------ -----
SWEDEN -- (2.8%)
Skandinaviska Enskilda Banken AB Class A. 137,821 1,417,813 0.2%
Svenska Cellulosa AB Class B............. 56,655 1,475,796 0.2%
Other Securities......................... 19,797,640 2.8%
------------ -----
TOTAL SWEDEN................................. 22,691,249 3.2%
------------ -----
SWITZERLAND -- (6.5%)
Aryzta AG................................ 20,455 1,270,060 0.2%
Credit Suisse Group AG................... 122,750 3,408,894 0.5%
Holcim, Ltd.............................. 27,255 2,126,026 0.3%
Julius Baer Group, Ltd................... 35,941 1,432,765 0.2%
Nestle SA................................ 29,483 2,102,505 0.3%
Novartis AG ADR.......................... 28,202 2,080,180 0.3%
Swiss Re AG.............................. 36,499 2,904,648 0.4%
Zurich Insurance Group AG................ 17,042 4,762,244 0.7%
Other Securities......................... 32,036,026 4.5%
------------ -----
TOTAL SWITZERLAND............................ 52,123,348 7.4%
------------ -----
UNITED KINGDOM -- (16.2%)
Anglo American P.L.C..................... 74,284 1,816,300 0.3%
* Barratt Developments P.L.C............... 279,427 1,352,655 0.2%
BP P.L.C. Sponsored ADR.................. 89,366 3,896,357 0.6%
# HSBC Holdings P.L.C. Sponsored ADR....... 102,908 5,645,533 0.8%
Legal & General Group P.L.C.............. 566,357 1,493,566 0.2%
* Lloyds Banking Group P.L.C............... 1,911,509 1,623,813 0.2%
Old Mutual P.L.C......................... 465,474 1,484,671 0.2%
Persimmon P.L.C.......................... 78,274 1,314,901 0.2%
Royal Dutch Shell P.L.C. ADR............. 88,550 6,179,904 0.9%
Standard Chartered P.L.C................. 70,024 1,762,322 0.3%
Taylor Wimpey P.L.C...................... 883,661 1,278,594 0.2%
Travis Perkins P.L.C..................... 58,572 1,306,902 0.2%
Vodafone Group P.L.C. Sponsored ADR...... 165,738 5,069,925 0.7%
Other Securities......................... 95,181,342 13.3%
------------ -----
TOTAL UNITED KINGDOM......................... 129,406,785 18.3%
------------ -----
UNITED STATES -- (0.1%)
Other Securities......................... 686,407 0.1%
------------ -----
TOTAL COMMON STOCKS.......................... 702,111,860 99.2%
------------ -----
PREFERRED STOCKS -- (0.0%)
GERMANY -- (0.0%)
Other Securities......................... 158,699 0.0%
------------ -----
UNITED KINGDOM -- (0.0%)
Other Securities......................... 1,265 0.0%
------------ -----
TOTAL PREFERRED STOCKS....................... 159,964 0.0%
------------ -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities......................... -- 0.0%
------------ -----
64
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
BELGIUM -- (0.0%)
Other Securities................................................. $ -- 0.0%
------------- ------
CANADA -- (0.0%)
Other Securities................................................. 426 0.0%
------------- ------
ISRAEL -- (0.0%)
Other Securities................................................. 1,855 0.0%
------------- ------
NETHERLANDS -- (0.0%)
Other Securities................................................. 10,502 0.0%
------------- ------
SPAIN -- (0.0%)
Other Securities................................................. 51,282 0.0%
------------- ------
SWITZERLAND -- (0.0%)
Other Securities................................................. 8,987 0.0%
------------- ------
UNITED STATES -- (0.0%)
Other Securities................................................. -- 0.0%
------------- ------
TOTAL RIGHTS/WARRANTS.................................................. 73,052 0.0%
------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (12.3%)
(S)@ DFA Short Term Investment Fund................................... 8,470,181 98,000,000 13.9%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $283,668 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42,
valued at $289,921) to be repurchased at $284,237............... $284 284,236 0.0%
------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................... 98,284,236 13.9%
------------- ------
TOTAL INVESTMENTS -- (100.0%) (Cost $671,847,101)...................... $800,629,112 113.1%
============= ======
65
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------
Level 1 Level 2 Level 3 Total
------------ ------------ ------- ------------
Common Stocks
Australia................... $ 1,052,170 $ 49,336,255 -- $ 50,388,425
Austria..................... -- 4,022,844 -- 4,022,844
Belgium..................... 833,392 8,296,172 -- 9,129,564
Canada...................... 62,317,745 11,206 -- 62,328,951
China....................... 16,140 41,208 -- 57,348
Colombia.................... 5,419 -- -- 5,419
Denmark..................... -- 8,337,710 -- 8,337,710
Finland..................... 35,465 12,075,314 -- 12,110,779
France...................... 1,723,499 42,976,893 -- 44,700,392
Germany..................... 2,820,102 33,062,710 -- 35,882,812
Greece...................... 7,743 2,683,634 -- 2,691,377
Hong Kong................... 27,491 19,548,583 -- 19,576,074
Ireland..................... 1,425,883 4,347,359 -- 5,773,242
Israel...................... 640,657 4,115,799 -- 4,756,456
Italy....................... 902,890 15,859,203 -- 16,762,093
Japan....................... 3,512,372 160,790,454 -- 164,302,826
Netherlands................. 2,799,764 13,691,487 -- 16,491,251
New Zealand................. 5,405 2,582,797 -- 2,588,202
Norway...................... 414,304 8,243,100 -- 8,657,404
Poland...................... 1,632 -- -- 1,632
Portugal.................... -- 2,901,596 -- 2,901,596
Russia...................... -- 162,824 -- 162,824
Singapore................... 10,315 11,877,812 -- 11,888,127
Spain....................... 1,180,790 12,505,933 -- 13,686,723
Sweden...................... 52,072 22,639,177 -- 22,691,249
Switzerland................. 4,588,197 47,535,151 -- 52,123,348
United Kingdom.............. 25,618,029 103,788,756 -- 129,406,785
United States............... 686,407 -- -- 686,407
Preferred Stocks
Germany..................... -- 158,699 -- 158,699
United Kingdom.............. -- 1,265 -- 1,265
Rights/Warrants
Australia................... -- -- -- --
Belgium..................... -- -- -- --
Canada...................... -- 426 -- 426
Israel...................... -- 1,855 -- 1,855
Netherlands................. -- 10,502 -- 10,502
Spain....................... -- 51,282 -- 51,282
Switzerland................. -- 8,987 -- 8,987
United States............... -- -- -- --
Securities Lending Collateral. -- 98,284,236 -- 98,284,236
------------ ------------ -- ------------
TOTAL......................... $110,677,883 $689,951,229 -- $800,629,112
============ ============ == ============
See accompanying Notes to Financial Statements.
66
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Shares Value+
------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $63,329,784
Investment in Dimensional Emerging Markets Value Fund....... 21,011,935
Investment in DFA International Small Cap Value Portfolio
of DFA Investment Dimensions Group Inc.................... 440,290 7,810,739
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES (Cost $83,840,660)........................... 92,152,458
-----------
TOTAL INVESTMENTS -- (100.0%) (Cost $83,840,660)......... $92,152,458
===========
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------
Level 1 Level 2 Level 3 Total
----------- ------- ------- -----------
Affiliated Investment Companies.... $92,152,458 -- -- $92,152,458
----------- -- -- -----------
TOTAL.............................. $92,152,458 -- -- $92,152,458
=========== == == ===========
See accompanying Notes to Financial Statements.
67
WORLD EX U.S. TARGETED VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Shares Value+
--------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in DFA International Small Cap Value Portfolio of
DFA Investment Dimensions Group Inc........................ 2,103,458 $37,315,347
Investment in Dimensional Emerging Markets Value Fund........ 13,834,597
Investment in International Vector Equity Portfolio of
DFA Investment Dimensions Group Inc........................ 506,865 5,423,456
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company........................... 3,572,458
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $55,344,699)...................................... 60,145,858
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $55,344,699)...................................... $60,145,858
===========
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------
Level 1 Level 2 Level 3 Total
----------- ------- ------- -----------
Affiliated Investment Companies. $60,145,858 -- -- $60,145,858
----------- -- -- -----------
TOTAL........................... $60,145,858 -- -- $60,145,858
=========== == == ===========
See accompanying Notes to Financial Statements.
68
WORLD EX U.S. CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Shares Value+
------ -----
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 53,387 $617,150
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 9,039 184,761
--------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $780,709)..................................... 801,911
--------
TOTAL INVESTMENTS -- (100.0%)
(Cost $780,709)..................................... $801,911
========
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------
Level 1 Level 2 Level 3 Total
-------- ------- ------- --------
Affiliated Investment Companies. $801,911 -- -- $801,911
-------- -- -- --------
TOTAL........................... $801,911 -- -- $801,911
======== == == ========
See accompanying Notes to Financial Statements.
69
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Shares Value+
--------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of DFA
Investment Dimensions Group Inc........................... 2,188,204 $30,044,039
Investment in International Core Equity Portfolio of DFA
Investment Dimensions Group Inc........................... 2,453,799 28,365,921
Investment in Emerging Markets Core Equity Portfolio of DFA
Investment Dimensions Group Inc........................... 684,196 13,984,960
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES (Cost $63,954,017)........................... 72,394,920
-----------
TOTAL INVESTMENTS -- (100.0%) (Cost $63,954,017)......... $72,394,920
===========
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------
Level 1 Level 2 Level 3 Total
----------- ------- ------- -----------
Affiliated Investment Companies............................. $72,394,920 -- -- $72,394,920
Futures Contracts**......................................... 129,155 -- -- 129,155
Forward Currency Contracts**................................ -- $96,531 -- 96,531
----------- ------- -- -----------
TOTAL....................................................... $72,524,075 $96,531 -- $72,620,606
=========== ======= == ===========
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
70
SCHEDULES OF INVESTMENTS
April 30, 2013
(Unaudited)
EMERGING MARKETS PORTFOLIO
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of The DFA
Investment Trust Company.................................. $3,115,578,831
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$1,999,353,541)........................................ $3,115,578,831
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
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.............................. $3,928,904,238
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$3,295,897,681)........................................ $3,928,904,238
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
EMERGING MARKETS VALUE PORTFOLIO
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in Dimensional Emerging Markets Value Fund....... $18,532,637,581
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$17,920,987,814)....................................... $18,532,637,581
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
71
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (90.7%)
BRAZIL -- (10.1%)
Banco Bradesco SA................................... 2,007,129 $ 34,359,199 0.3%
# Banco Bradesco SA ADR............................... 5,097,969 84,575,300 0.8%
Banco do Brasil SA.................................. 2,345,939 29,582,927 0.3%
BM&FBovespa SA...................................... 6,332,289 43,897,963 0.4%
# BRF SA ADR.......................................... 1,233,685 30,632,398 0.3%
# Cia de Bebidas das Americas ADR..................... 698,422 29,347,692 0.3%
# Itau Unibanco Holding SA ADR........................ 4,846,872 81,572,855 0.7%
# Petroleo Brasileiro SA ADR.......................... 3,104,177 59,444,990 0.5%
# Petroleo Brasileiro SA Sponsored ADR................ 4,254,320 84,958,770 0.8%
# Vale SA Sponsored ADR (91912E105)................... 3,105,319 53,069,902 0.5%
# Vale SA Sponsored ADR (91912E204)................... 3,660,970 59,527,372 0.5%
Other Securities.................................... 622,788,372 5.4%
-------------- -----
TOTAL BRAZIL............................................ 1,213,757,740 10.8%
-------------- -----
CHILE -- (1.6%)
Other Securities.................................... 197,585,056 1.8%
-------------- -----
CHINA -- (13.8%)
Bank of China, Ltd. Class H......................... 140,765,702 65,953,533 0.6%
China Construction Bank Corp. Class H............... 132,851,302 111,503,486 1.0%
China Mobile, Ltd. Sponsored ADR.................... 1,402,895 77,495,920 0.7%
# CNOOC, Ltd. ADR..................................... 160,515 30,070,880 0.3%
Industrial & Commercial Bank of China, Ltd. Class H. 121,753,725 85,824,770 0.8%
# PetroChina Co., Ltd. ADR............................ 229,733 29,373,661 0.3%
Tencent Holdings, Ltd............................... 910,600 31,390,492 0.3%
Other Securities.................................... 1,236,369,019 10.9%
-------------- -----
TOTAL CHINA............................................. 1,667,981,761 14.9%
-------------- -----
COLOMBIA -- (0.4%)
Other Securities.................................... 53,612,218 0.5%
-------------- -----
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 29,760,310 0.3%
-------------- -----
EGYPT -- (0.0%)
Other Securities.................................... 4,833,390 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................... 221,771 0.0%
-------------- -----
HUNGARY -- (0.3%)
Other Securities.................................... 33,209,175 0.3%
-------------- -----
INDIA -- (6.8%)
HDFC Bank, Ltd...................................... 2,322,906 29,485,935 0.3%
ICICI Bank, Ltd. Sponsored ADR...................... 621,150 29,082,243 0.3%
# Infosys, Ltd. Sponsored ADR......................... 643,017 26,839,530 0.3%
Reliance Industries, Ltd............................ 2,801,585 40,932,604 0.4%
Other Securities.................................... 693,757,088 6.0%
-------------- -----
TOTAL INDIA............................................. 820,097,400 7.3%
-------------- -----
INDONESIA -- (3.6%)
Other Securities.................................... 432,852,678 3.9%
-------------- -----
72
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
ISRAEL -- (0.0%)
Other Securities.................................... $ 237,053 0.0%
-------------- -----
MALAYSIA -- (3.7%)
CIMB Group Holdings Bhd............................. 10,654,914 27,124,760 0.3%
Malayan Banking Bhd................................. 10,127,512 32,039,011 0.3%
Other Securities.................................... 384,967,404 3.4%
-------------- -----
TOTAL MALAYSIA.......................................... 444,131,175 4.0%
-------------- -----
MEXICO -- (5.2%)
# America Movil S.A.B. de C.V. Series L ADR........... 2,487,518 53,183,134 0.5%
#* Cemex S.A.B. de C.V. Sponsored ADR.................. 5,209,612 58,608,140 0.5%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR................................................ 457,537 51,880,120 0.5%
Grupo Financiero Banorte S.A.B. de C.V.............. 7,596,080 57,241,323 0.5%
Grupo Mexico S.A.B. de C.V. Series B................ 10,271,951 36,875,579 0.3%
Grupo Televisa S.A.B. Sponsored ADR................. 1,658,173 41,984,940 0.4%
Other Securities.................................... 330,342,376 2.9%
-------------- -----
TOTAL MEXICO............................................ 630,115,612 5.6%
-------------- -----
PERU -- (0.2%)
Other Securities.................................... 20,327,704 0.2%
-------------- -----
PHILIPPINES -- (1.6%)
Other Securities.................................... 190,791,744 1.7%
-------------- -----
POLAND -- (1.4%)
Other Securities.................................... 164,142,881 1.5%
-------------- -----
RUSSIA -- (2.7%)
Gazprom OAO Sponsored ADR........................... 12,826,037 102,146,071 0.9%
Lukoil OAO Sponsored ADR............................ 897,216 57,048,513 0.5%
* Sberbank of Russia Sponsored ADR.................... 4,164,441 53,749,274 0.5%
Other Securities.................................... 115,537,590 1.0%
-------------- -----
TOTAL RUSSIA............................................ 328,481,448 2.9%
-------------- -----
SOUTH AFRICA -- (6.6%)
FirstRand, Ltd...................................... 7,501,759 26,099,386 0.2%
MTN Group, Ltd...................................... 2,946,159 53,166,336 0.5%
Naspers, Ltd. Class N............................... 566,281 37,947,970 0.3%
Sanlam, Ltd......................................... 5,593,811 28,700,810 0.3%
# Sasol, Ltd. Sponsored ADR........................... 796,453 34,581,989 0.3%
Standard Bank Group, Ltd............................ 2,847,588 35,607,610 0.3%
Other Securities.................................... 574,505,743 5.1%
-------------- -----
TOTAL SOUTH AFRICA...................................... 790,609,844 7.0%
-------------- -----
SOUTH KOREA -- (13.9%)
Hana Financial Group, Inc........................... 1,052,999 33,723,526 0.3%
# Hyundai Mobis....................................... 130,766 29,732,132 0.3%
Hyundai Motor Co.................................... 343,409 62,357,251 0.6%
Kia Motors Corp..................................... 578,175 28,839,997 0.3%
LG Electronics, Inc................................. 381,094 30,545,797 0.3%
# POSCO ADR........................................... 471,342 33,931,911 0.3%
Samsung Electronics Co., Ltd........................ 159,385 220,432,470 2.0%
Other Securities.................................... 1,230,500,499 10.8%
-------------- -----
TOTAL SOUTH KOREA....................................... 1,670,063,583 14.9%
-------------- -----
73
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (12.9%)
Hon Hai Precision Industry Co., Ltd.......... 23,259,476 $ 60,120,539 0.6%
Taiwan Semiconductor Manufacturing Co., Ltd.. 36,401,652 135,102,224 1.2%
Other Securities............................. 1,359,756,001 12.0%
--------------- -----
TOTAL TAIWAN..................................... 1,554,978,764 13.8%
--------------- -----
THAILAND -- (3.3%)
Other Securities............................. 397,586,522 3.5%
--------------- -----
TURKEY -- (2.4%)
Turkiye Garanti Bankasi A.S.................. 5,342,105 29,557,418 0.3%
Other Securities............................. 254,196,106 2.2%
--------------- -----
TOTAL TURKEY..................................... 283,753,524 2.5%
--------------- -----
TOTAL COMMON STOCKS.............................. 10,929,131,353 97.4%
--------------- -----
PREFERRED STOCKS -- (1.5%)
BRAZIL -- (1.4%)
Banco Bradesco SA............................ 1,539,800 25,312,519 0.2%
Other Securities............................. 144,020,540 1.3%
--------------- -----
TOTAL BRAZIL..................................... 169,333,059 1.5%
--------------- -----
CHILE -- (0.0%)
Other Securities............................. 2,750,066 0.0%
--------------- -----
COLOMBIA -- (0.1%)
Other Securities............................. 3,517,543 0.1%
--------------- -----
HONG KONG -- (0.0%)
Other Securities............................. 937,059 0.0%
--------------- -----
MALAYSIA -- (0.0%)
Other Securities............................. 17,566 0.0%
--------------- -----
TOTAL PREFERRED STOCKS........................... 176,555,293 1.6%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities............................. 29 0.0%
--------------- -----
CHINA -- (0.0%)
Other Securities............................. 430,643 0.0%
--------------- -----
MALAYSIA -- (0.0%)
Other Securities............................. 36,163 0.0%
--------------- -----
POLAND -- (0.0%)
Other Securities............................. -- 0.0%
--------------- -----
SOUTH KOREA -- (0.0%)
Other Securities............................. 93,261 0.0%
--------------- -----
THAILAND -- (0.0%)
Other Securities............................. 292,497 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS............................ 852,593 0.0%
--------------- -----
74
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Shares/
Face Percentage
Amount Value+ of Net Assets**
------- ------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (7.8%)
(S)@ DFA Short Term Investment Fund............................... 79,256,698 $ 917,000,000 8.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $18,991,636 FNMA, rates ranging
from 3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $19,410,231) to be repurchased at
$19,029,723................................................. $ 19,030 19,029,638 0.1%
--------------- ------
TOTAL SECURITIES LENDING COLLATERAL................................ 936,029,638 8.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,726,156,039)......................................... $12,042,568,877 107.3%
=============== ======
75
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- ---------------
Common Stocks
Brazil...................... $1,213,757,740 -- -- $ 1,213,757,740
Chile....................... 197,585,056 -- -- 197,585,056
China....................... 207,022,397 $1,460,959,364 -- 1,667,981,761
Colombia.................... 53,612,218 -- -- 53,612,218
Czech Republic.............. -- 29,760,310 -- 29,760,310
Egypt....................... -- 4,833,390 -- 4,833,390
Hong Kong................... -- 221,771 -- 221,771
Hungary..................... 332,733 32,876,442 -- 33,209,175
India....................... 73,576,965 746,520,435 -- 820,097,400
Indonesia................... 14,149,078 418,703,600 -- 432,852,678
Israel...................... -- 237,053 -- 237,053
Malaysia.................... -- 444,131,175 -- 444,131,175
Mexico...................... 630,115,612 -- -- 630,115,612
Peru........................ 20,327,704 -- -- 20,327,704
Philippines................. 2,960,841 187,830,903 -- 190,791,744
Poland...................... 110,118 164,032,763 -- 164,142,881
Russia...................... 13,016,216 315,465,232 -- 328,481,448
South Africa................ 84,699,622 705,910,222 -- 790,609,844
South Korea................. 86,292,900 1,583,770,683 -- 1,670,063,583
Taiwan...................... 26,877,229 1,528,101,535 -- 1,554,978,764
Thailand.................... 397,579,950 6,572 -- 397,586,522
Turkey...................... 4,591,140 279,162,384 -- 283,753,524
Preferred Stocks
Brazil...................... 169,333,059 -- -- 169,333,059
Chile....................... 2,750,066 -- -- 2,750,066
Colombia.................... 3,517,543 -- -- 3,517,543
Hong Kong................... 937,059 -- -- 937,059
Malaysia.................... -- 17,566 -- 17,566
Rights/Warrants
Brazil...................... -- 29 -- 29
China....................... -- 430,643 -- 430,643
Malaysia.................... -- 36,163 -- 36,163
Poland...................... -- -- -- --
South Korea................. -- 93,261 -- 93,261
Thailand.................... -- 292,497 -- 292,497
Securities Lending Collateral -- 936,029,638 -- 936,029,638
-------------- -------------- -- ---------------
TOTAL......................... $3,203,145,246 $8,839,423,631 -- $12,042,568,877
============== ============== == ===============
See accompanying Notes to Financial Statements.
76
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Enhanced
U.S. Large
Company U.S. Large Cap U.S. Targeted
Portfolio Value Portfolio Value Portfolio*
------------ --------------- ----------------
ASSETS:
Investments in Affiliated Investment Company at Value............... -- $ 10,293,125 --
Investments at Value (including $0, $0, $525,577 and $1,148,887 of
securities on loan, respectively).................................. $ 199,059 -- $ 3,554,137
Temporary Cash Investments at Value & Cost.......................... -- -- 15,049
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost............................................................... -- -- 523,336
Foreign Currencies at Value......................................... 65 -- --
Cash................................................................ 5,373 -- --
Receivables:
Investment Securities/Affiliated Investment Company Sold.......... -- -- 3,000
Dividends and Interest............................................ 2,217 -- 945
Securities Lending Income......................................... -- -- 194
Fund Shares Sold.................................................. 176 7,237 3,375
Futures Margin Variation.......................................... 498 -- --
Unrealized Gain on Forward Currency Contracts....................... 79 -- --
Prepaid Expenses and Other Assets................................... 17 50 81
------------ -------------- ------------
Total Assets.................................................... 207,484 10,300,412 4,100,117
------------ -------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. -- -- 523,336
Investment Securities/Affiliated Investment Company
Purchased........................................................ -- -- 175
Fund Shares Redeemed.............................................. 191 5,885 2,061
Due to Advisor.................................................... 33 1,243 871
Unrealized Loss on Forward Currency Contracts....................... 591 -- --
Accrued Expenses and Other Liabilities.............................. 13 309 311
------------ -------------- ------------
Total Liabilities............................................... 828 7,437 526,754
------------ -------------- ------------
NET ASSETS.......................................................... $ 206,656 $ 10,292,975 $ 3,573,363
============ ============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Class R1 Shares -- based on net assets of $0; $0; $62,651 and $0
and shares outstanding of 0; 0; 3,264,312 and 0, respectively...... N/A N/A $ 19.19
============ ============== ============
NUMBER OF SHARES AUTHORIZED......................................... N/A N/A 100,000,000
============ ============== ============
Class R2 Shares -- based on net assets of $0; $0; $17,311 and $0
and shares outstanding of 0; 0; 903,340 and 0, respectively........ N/A N/A $ 19.16
============ ============== ============
NUMBER OF SHARES AUTHORIZED......................................... N/A N/A 100,000,000
============ ============== ============
Institutional Class Shares -- based on net assets of $206,656;
$10,292,975; $3,493,401 and $8,001,377 and shares outstanding
of 19,567,123; 393,262,518; 182,001,722 and 271,381,107,
respectively....................................................... $ 10.56 $ 26.17 $ 19.19
============ ============== ============
NUMBER OF SHARES AUTHORIZED......................................... 300,000,000 2,000,000,000 700,000,000
============ ============== ============
Investments in Affiliated Investment Company at Cost................ $ -- $ 7,006,025 $ --
------------ -------------- ------------
Investments at Cost................................................. $ 195,388 $ -- $ 2,664,331
============ ============== ============
Foreign Currencies at Cost.......................................... $ 64 $ -- $ --
============ ============== ============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 225,382 $ 7,950,211 $ 2,603,117
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 1,557 17,517 2,260
Accumulated Net Realized Gain (Loss)................................ (31,229) (961,853) 78,180
Net Unrealized Foreign Exchange Gain (Loss)......................... (500) -- --
Net Unrealized Appreciation (Depreciation).......................... 11,446 3,287,100 889,806
------------ -------------- ------------
NET ASSETS.......................................................... $ 206,656 $ 10,292,975 $ 3,573,363
============ ============== ============
U.S. Small Cap
Value Portfolio*
----------------
ASSETS:
Investments in Affiliated Investment Company at Value............... --
Investments at Value (including $0, $0, $525,577 and $1,148,887 of
securities on loan, respectively).................................. $ 7,960,555
Temporary Cash Investments at Value & Cost.......................... 33,496
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost............................................................... 1,147,518
Foreign Currencies at Value......................................... --
Cash................................................................ --
Receivables:
Investment Securities/Affiliated Investment Company Sold.......... 8,850
Dividends and Interest............................................ 2,471
Securities Lending Income......................................... 488
Fund Shares Sold.................................................. 9,749
Futures Margin Variation.......................................... --
Unrealized Gain on Forward Currency Contracts....................... --
Prepaid Expenses and Other Assets................................... 55
--------------
Total Assets.................................................... 9,163,182
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. 1,147,518
Investment Securities/Affiliated Investment Company
Purchased........................................................ 7,235
Fund Shares Redeemed.............................................. 3,446
Due to Advisor.................................................... 2,767
Unrealized Loss on Forward Currency Contracts....................... --
Accrued Expenses and Other Liabilities.............................. 839
--------------
Total Liabilities............................................... 1,161,805
--------------
NET ASSETS.......................................................... $ 8,001,377
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Class R1 Shares -- based on net assets of $0; $0; $62,651 and $0
and shares outstanding of 0; 0; 3,264,312 and 0, respectively...... N/A
==============
NUMBER OF SHARES AUTHORIZED......................................... N/A
==============
Class R2 Shares -- based on net assets of $0; $0; $17,311 and $0
and shares outstanding of 0; 0; 903,340 and 0, respectively........ N/A
==============
NUMBER OF SHARES AUTHORIZED......................................... N/A
==============
Institutional Class Shares -- based on net assets of $206,656;
$10,292,975; $3,493,401 and $8,001,377 and shares outstanding
of 19,567,123; 393,262,518; 182,001,722 and 271,381,107,
respectively....................................................... $ 29.48
==============
NUMBER OF SHARES AUTHORIZED......................................... 1,700,000,000
==============
Investments in Affiliated Investment Company at Cost................ $ --
--------------
Investments at Cost................................................. $ 6,196,547
==============
Foreign Currencies at Cost.......................................... $ --
==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 6,030,103
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 879
Accumulated Net Realized Gain (Loss)................................ 206,387
Net Unrealized Foreign Exchange Gain (Loss)......................... --
Net Unrealized Appreciation (Depreciation).......................... 1,764,008
--------------
NET ASSETS.......................................................... $ 8,001,377
==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
77
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
U.S. Core U.S. Core U.S. Vector
Equity 1 Equity 2 Equity U.S. Small Cap
Portfolio* Portfolio* Portfolio* Portfolio*
-------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $854,220,
$1,103,210, $332,051 and $1,157,263 of securities
on loan, respectively).............................. $ 6,051,230 $ 8,368,421 $ 2,446,738 $ 5,505,288
Temporary Cash Investments at Value & Cost........... 45,236 33,806 7,726 35,635
Collateral from Securities on Loan Invested in
Affiliate at Value & Cost........................... 862,089 1,109,766 333,894 1,161,714
Cash................................................. -- -- -- 7
Receivables:
Investment Securities Sold......................... 55 99 48 9,853
Dividends, Interest and Tax Reclaims............... 4,543 6,624 1,203 1,612
Securities Lending Income.......................... 426 627 228 1,185
Fund Shares Sold................................... 5,469 17,274 3,376 11,522
Prepaid Expenses and Other Assets.................... 62 60 31 48
-------------- -------------- -------------- --------------
Total Assets.................................... 6,969,110 9,536,677 2,793,244 6,726,864
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... 862,089 1,109,766 333,894 1,161,714
Investment Securities Purchased.................... 12,440 12,467 1,640 27,825
Fund Shares Redeemed............................... 2,384 3,327 1,007 2,403
Due to Advisor..................................... 830 1,350 512 1,240
Accrued Expenses and Other Liabilities............... 181 305 181 531
-------------- -------------- -------------- --------------
Total Liabilities............................... 877,924 1,127,215 337,234 1,193,713
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 6,091,186 $ 8,409,462 $ 2,456,010 $ 5,533,151
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$6,091,186; $8,409,462; $2,456,010 and
$5,533,151 and shares outstanding of
437,632,343; 612,270,664; 181,890,221 and
218,757,400, respectively........................... $ 13.92 $ 13.73 $ 13.50 $ 25.29
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.......................... 1,500,000,000 2,300,000,000 1,000,000,000 1,000,000,000
============== ============== ============== ==============
Investments at Cost.................................. $ 4,555,078 $ 6,298,923 $ 1,874,271 $ 4,262,927
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 4,581,704 $ 6,299,473 $ 1,870,377 $ 4,185,361
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 12,031 16,686 3,778 6,122
Accumulated Net Realized Gain (Loss)................. 1,299 23,805 9,388 99,307
Net Unrealized Appreciation (Depreciation)........... 1,496,152 2,069,498 572,467 1,242,361
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 6,091,186 $ 8,409,462 $ 2,456,010 $ 5,533,151
============== ============== ============== ==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
78
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
DFA Real
Estate Large Cap International
U.S. Micro Cap Securities International Core Equity
Portfolio* Portfolio* Portfolio* Portfolio*
-------------- ------------ ------------- --------------
ASSETS:
Investments at Value (including $640,195, $465,614,
$363,261 and $1,226,291 of securities on loan,
respectively).............................................. $ 3,933,546 $ 4,631,732 $ 2,421,245 $ 7,859,560
Temporary Cash Investments at Value & Cost.................. 18,814 23,601 -- --
Collateral Received from Securities on Loan at Value &
Cost....................................................... -- -- 419 10,013
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... 640,181 471,171 372,000 1,250,000
Foreign Currencies at Value................................. -- -- 13,379 12,458
Cash........................................................ 98 -- 1,928 6,069
Receivables:
Investment Securities Sold................................ 3,584 -- 380 3,273
Dividends, Interest and Tax Reclaims...................... 1,035 3,459 12,780 38,874
Securities Lending Income................................. 696 34 685 2,379
Fund Shares Sold.......................................... 2,239 3,295 3,748 11,783
Unrealized Gain on Foreign Currency Contracts............... -- -- 18 52
Prepaid Expenses and Other Assets........................... 42 37 30 92
-------------- ------------ ------------ --------------
Total Assets........................................... 4,600,235 5,133,329 2,826,612 9,194,553
-------------- ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 640,181 471,171 372,419 1,260,013
Investment Securities Purchased........................... 6,152 8,403 10,968 10,235
Fund Shares Redeemed...................................... 1,133 2,083 1,147 2,808
Due to Advisor............................................ 1,278 606 486 2,187
Unrealized Loss on Foreign Currency Contracts............... -- -- 13 --
Accrued Expenses and Other Liabilities...................... 518 179 173 447
-------------- ------------ ------------ --------------
Total Liabilities...................................... 649,262 482,442 385,206 1,275,690
-------------- ------------ ------------ --------------
NET ASSETS.................................................. $ 3,950,973 $ 4,650,887 $ 2,441,406 $ 7,918,863
============== ============ ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$3,950,973; $4,650,887; $2,441,406 and $7,918,863
and shares outstanding of 243,487,676; 154,037,887;
117,122,110 and 685,251,796, respectively.................. $ 16.23 $ 30.19 $ 20.84 $ 11.56
============== ============ ============ ==============
NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000 700,000,000 500,000,000 2,000,000,000
============== ============ ============ ==============
Investments at Cost......................................... $ 3,016,121 $ 2,915,788 $ 1,966,102 $ 7,224,131
============== ============ ============ ==============
Foreign Currencies at Cost.................................. $ -- $ -- $ 13,343 $ 12,387
============== ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 2,932,169 $ 3,175,737 $ 2,201,422 $ 7,314,502
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... (633) 27,080 19,673 67,823
Accumulated Net Realized Gain (Loss)........................ 102,012 (267,874) (234,786) (98,703)
Net Unrealized Foreign Exchange Gain (Loss)................. -- -- (82) (259)
Net Unrealized Appreciation (Depreciation).................. 917,425 1,715,944 455,179 635,500
-------------- ------------ ------------ --------------
NET ASSETS.................................................. $ 3,950,973 $ 4,650,887 $ 2,441,406 $ 7,918,863
============== ============ ============ ==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
79
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
International Asia Pacific United
Small Japanese Small Small Kingdom Small
Company Company Company Company
Portfolio Portfolio Portfolio Portfolio
-------------- -------------- ------------ -------------
ASSETS:
Investments in Affiliated Investment Companies at
Value................................................ $ 7,372,032 $ 495,729 $ 270,965 $ 33,314
Cash.................................................. 16,486 -- -- --
Receivables:
Fund Shares Sold.................................... 4,184 -- 36 --
Prepaid Expenses and Other Assets..................... 32 7 7 9
-------------- ------------ ------------ ------------
Total Assets..................................... 7,392,734 495,736 271,008 33,323
-------------- ------------ ------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................ 2,162 59 1 --
Due to Advisor...................................... 2,348 155 88 10
Accrued Expenses and Other Liabilities................ 227 11 8 4
-------------- ------------ ------------ ------------
Total Liabilities................................ 4,737 225 97 14
-------------- ------------ ------------ ------------
NET ASSETS............................................ $ 7,387,997 $ 495,511 $ 270,911 $ 33,309
============== ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$7,387,997; $495,511; $270,911 and $33,309 and
shares outstanding of 425,452,438; 26,497,015;
10,918,035 and 1,055,130, respectively............... $ 17.37 $ 18.70 $ 24.81 $ 31.57
============== ============ ============ ============
NUMBER OF SHARES AUTHORIZED........................... 1,500,000,000 100,000,000 100,000,000 100,000,000
============== ============ ============ ============
Investments in Affiliated Investment Companies at
Cost................................................. $ 6,490,278 $ 479,448 $ 240,342 $ 22,855
============== ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital....................................... $ 6,370,450 $ 546,458 $ 267,020 $ 24,189
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)..................... 24,504 3,265 (3,427) 136
Accumulated Net Realized Gain (Loss).................. 111,764 (70,341) (23,302) (1,482)
Net Unrealized Foreign Exchange Gain (Loss)........... (475) (152) (3) 7
Net Unrealized Appreciation (Depreciation)............ 881,754 16,281 30,623 10,459
-------------- ------------ ------------ ------------
NET ASSETS............................................ $ 7,387,997 $ 495,511 $ 270,911 $ 33,309
============== ============ ============ ============
See accompanying Notes to Financial Statements.
80
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
DFA
Continental International DFA Global DFA
Small Real Estate Real Estate International
Company Securities Securities Small Cap
Portfolio Portfolio Portfolio Value Portfolio*
------------ ------------- ------------ ----------------
ASSETS:
Investments in Affiliated Investment Companies at Value............. $ 115,717 -- $ 1,724,763 --
Investments at Value (including $0, $331,693, $0 and
$1,396,070 of securities on loan, respectively).................... -- $ 1,951,773 -- $ 9,916,546
Temporary Cash Investments at Value & Cost.......................... -- -- 3,473 --
Collateral Received from Securities on Loan at Value & Cost......... -- 185 -- 9,529
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost............................................................... -- 351,000 -- 1,413,000
Foreign Currencies at Value......................................... -- 4,019 -- 28,750
Cash................................................................ -- 12,204 -- 10,312
Receivables:
Investment Securities/Affiliated Investment Company Sold.......... -- -- -- 7,166
Dividends, Interest and Tax Reclaims.............................. -- 9,808 -- 60,793
Securities Lending Income......................................... -- 390 -- 3,567
Fund Shares Sold.................................................. 1 2,765 3,639 7,374
Unrealized Gain on Foreign Currency Contracts....................... -- 15 -- 64
Prepaid Expenses and Other Assets................................... 10 33 9 97
------------ ------------ ------------ --------------
Total Assets................................................... 115,728 2,332,192 1,731,884 11,457,198
------------ ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. -- 351,185 -- 1,422,529
Investment Securities/Affiliated Investment Company Purchased..... -- 10,220 1,154 17,114
Fund Shares Redeemed.............................................. 33 722 1,112 2,548
Due to Advisor.................................................... 37 542 69 4,421
Unrealized Loss on Foreign Currency Contracts....................... -- -- -- 2
Accrued Expenses and Other Liabilities.............................. 7 126 35 1,625
------------ ------------ ------------ --------------
Total Liabilities.............................................. 77 362,795 2,370 1,448,239
------------ ------------ ------------ --------------
NET ASSETS.......................................................... $ 115,651 $ 1,969,397 $ 1,729,514 $ 10,008,959
============ ============ ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets of $115,651;
$1,969,397; $1,729,514 and $10,008,959 and shares
outstanding of 6,890,545; 339,913,819; 168,893,615 and
564,173,715, respectively.......................................... $ 16.78 $ 5.79 $ 10.24 $ 17.74
============ ============ ============ ==============
NUMBER OF SHARES AUTHORIZED......................................... 100,000,000 700,000,000 500,000,000 2,300,000,000
============ ============ ============ ==============
Investments in Affiliated Investment Companies at Cost.............. $ 104,610 $ -- $ 1,248,552 $ --
------------ ------------ ------------ --------------
Investments at Cost................................................. $ -- $ 1,551,690 $ -- $ 9,182,182
============ ============ ============ ==============
Foreign Currencies at Cost.......................................... $ -- $ 3,998 $ -- $ 28,500
============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 130,974 $ 1,995,572 $ 1,285,545 $ 9,143,783
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)............................................. 924 (194,025) 1,216 65,857
Accumulated Net Realized Gain (Loss)................................ (27,480) (232,198) (33,458) 65,063
Net Unrealized Foreign Exchange Gain (Loss)......................... 126 (56) -- (358)
Net Unrealized Appreciation (Depreciation).......................... 11,107 400,104 476,211 734,614
------------ ------------ ------------ --------------
NET ASSETS.......................................................... $ 115,651 $ 1,969,397 $ 1,729,514 $ 10,008,959
============ ============ ============ ==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
81
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
International World ex U.S. World ex U.S.
Vector Equity World ex U.S. Targeted Value Core Equity
Portfolio* Value Portfolio Portfolio Portfolio
------------- --------------- -------------- -------------
ASSETS:
Investments in Affiliated Investment Companies at Value..... -- $ 92,152 $ 60,146 $ 802
Investments at Value (including $97,568, $0, $0 and $0 of
securities on loan, respectively).......................... $ 702,345 -- -- --
Temporary Cash Investments at Value & Cost.................. -- 98 -- --
Collateral Received from Securities on Loan at Value &
Cost....................................................... 284 -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... 98,000 -- -- --
Foreign Currencies at Value................................. 1,468 -- -- --
Cash........................................................ 184 -- 123 25
Receivables:
Investment Securities Sold................................ 255 -- -- --
Dividends, Interest and Tax Reclaims...................... 3,598 -- -- --
Securities Lending Income................................. 233 -- -- --
Fund Shares Sold.......................................... 2,117 13 21 104
From Advisor.............................................. -- -- -- 2
Unrealized Gain on Foreign Currency Contracts............... 3 -- -- --
Deferred Offering Costs..................................... -- -- 27 --
Prepaid Expenses and Other Assets........................... 13 1 16 2
------------ ------------ ------------ ------------
Total Assets........................................... 808,500 92,264 60,333 935
------------ ------------ ------------ ------------
LIABILITIES:
Due to Custodian............................................ -- 38 -- --
Payables:
Upon Return of Securities Loaned.......................... 98,284 -- -- --
Investment Securities Purchased........................... 1,656 -- -- 26
Fund Shares Redeemed...................................... 138 6 -- --
Due to Advisor............................................ 215 27 5 --
Loan Payable.............................................. 512 -- -- --
Accrued Expenses and Other Liabilities...................... 98 18 7 2
------------ ------------ ------------ ------------
Total Liabilities...................................... 100,903 89 12 28
------------ ------------ ------------ ------------
NET ASSETS.................................................. $ 707,597 $ 92,175 $ 60,321 $ 907
============ ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$707,597; $92,175; $60,321 and $907 and shares
outstanding of 66,124,410; 8,299,417; 5,250,381 and
89,249, respectively....................................... $ 10.70 $ 11.11 $ 11.49 $ 10.16
============ ============ ============ ============
NUMBER OF SHARES AUTHORIZED................................. 500,000,000 100,000,000 100,000,000 100,000,000
============ ============ ============ ============
Investments in Affiliated Investment Companies at Cost...... $ -- $ 83,841 $ 55,345 $ 781
------------ ------------ ------------ ------------
Investments at Cost......................................... $ 573,563 $ -- $ -- $ --
============ ============ ============ ============
Foreign Currencies at Cost.................................. $ 1,460 $ -- $ -- $ --
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 568,064 $ 88,136 $ 55,028 $ 886
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 5,439 600 60 --
Accumulated Net Realized Gain (Loss)........................ 5,330 (4,836) 432 --
Net Unrealized Foreign Exchange Gain (Loss)................. (26) (36) -- --
Net Unrealized Appreciation (Depreciation).................. 128,790 8,311 4,801 21
------------ ------------ ------------ ------------
NET ASSETS.................................................. $ 707,597 $ 92,175 $ 60,321 $ 907
============ ============ ============ ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
82
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Selectively
Hedged Global Emerging Emerging Emerging
Equity Markets Markets Small Markets Value
Portfolio Portfolio Cap Portfolio Portfolio
------------- ------------ ------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value............. $ 72,395 $ 3,115,579 $ 3,928,904 $ 18,532,638
Investments at Value (including $0, $0, $0, $0 and $1,111,363
of securities on loan, respectively)............................... -- -- -- --
Temporary Cash Investments at Value & Cost.......................... 2,960 -- -- --
Collateral Received from Securities on Loan at Value & Cost......... -- -- -- --
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost............................................................... -- -- -- --
Segregated Cash for Futures Contracts............................... 125 -- -- --
Foreign Currencies at Value......................................... -- -- -- --
Cash................................................................ -- -- -- --
Receivables:
Investment Securities/Affiliated Investment Companies
Sold............................................................. -- -- -- --
Dividends, Interest and Tax Reclaims.............................. -- -- -- --
Securities Lending Income......................................... -- -- -- --
Fund Shares Sold.................................................. 24 6,363 1,818 18,209
From Advisor...................................................... 1 -- -- --
Futures Margin Variation.......................................... 7 -- -- --
Unrealized Gain on Forward Currency Contracts....................... 192 -- -- --
Unrealized Gain on Foreign Currency Contracts....................... -- -- -- --
Prepaid Expenses and Other Assets................................... 4 26 29 75
------------ ------------ ------------ --------------
Total Assets.................................................... 75,708 3,121,968 3,930,751 18,550,922
------------ ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. -- -- -- --
Investment Securities/Affiliated Investment Companies
Purchased........................................................ 200 -- -- --
Fund Shares Redeemed.............................................. -- 833 315 3,763
Due to Advisor.................................................... -- 995 1,128 5,921
Unrealized Loss on Forward Currency Contracts....................... 95 -- -- --
Unrealized Loss on Foreign Currency Contracts....................... -- -- -- --
Accrued Expenses and Other Liabilities.............................. 6 114 365 369
------------ ------------ ------------ --------------
Total Liabilities............................................... 301 1,942 1,808 10,053
------------ ------------ ------------ --------------
NET ASSETS.......................................................... $ 75,407 $ 3,120,026 $ 3,928,943 $ 18,540,869
============ ============ ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R2 Shares -- based on net assets of $0; $0; $0;
$109,510 and $0 and shares outstanding of 0; 0; 0;
3,676,337 and 0, respectively...................................... N/A N/A N/A $ 29.79
============ ============ ============ ==============
Institutional Class Shares -- based on net assets of $75,407;
$3,120,026; $3,928,943; $18,431,359 and $11,222,418 and
shares outstanding of 6,082,727; 114,599,925; 177,799,738;
618,564,039 and 548,998,291, respectively.......................... $ 12.40 $ 27.23 $ 22.10 $ 29.80
============ ============ ============ ==============
NUMBER OF SHARES AUTHORIZED......................................... 100,000,000 500,000,000 500,000,000 1,500,000,000
============ ============ ============ ==============
Investments in Affiliated Investment Companies at Cost.............. $ 63,954 $ 1,999,354 $ 3,295,898 $ 17,920,988
------------ ------------ ------------ --------------
Investments at Cost................................................. $ -- $ -- $ -- $ --
============ ============ ============ ==============
Foreign Currencies at Cost.......................................... $ -- $ -- $ -- $ --
============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 66,058 $ 1,969,315 $ 3,244,432 $ 17,528,855
Undistributed Net Investment Income (Distributions in Excess
of Net Investment Income).......................................... 177 12,930 1,305 37,641
Accumulated Net Realized Gain (Loss)................................ 505 21,591 50,204 362,568
Net Unrealized Foreign Exchange Gain (Loss)......................... 97 (35) (4) 155
Net Unrealized Appreciation (Depreciation).......................... 8,570 1,116,225 633,006 611,650
------------ ------------ ------------ --------------
NET ASSETS.......................................................... $ 75,407 $ 3,120,026 $ 3,928,943 $ 18,540,869
============ ============ ============ ==============
Emerging
Markets Core
Equity
Portfolio*
--------------
ASSETS:
Investments in Affiliated Investment Companies at Value............. --
Investments at Value (including $0, $0, $0, $0 and $1,111,363
of securities on loan, respectively)............................... $ 11,106,539
Temporary Cash Investments at Value & Cost.......................... --
Collateral Received from Securities on Loan at Value & Cost......... 19,030
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost............................................................... 917,000
Segregated Cash for Futures Contracts............................... --
Foreign Currencies at Value......................................... 9,353
Cash................................................................ 97,780
Receivables:
Investment Securities/Affiliated Investment Companies
Sold............................................................. 8,947
Dividends, Interest and Tax Reclaims.............................. 24,789
Securities Lending Income......................................... 1,744
Fund Shares Sold.................................................. 16,534
From Advisor...................................................... --
Futures Margin Variation.......................................... --
Unrealized Gain on Forward Currency Contracts....................... --
Unrealized Gain on Foreign Currency Contracts....................... 41
Prepaid Expenses and Other Assets................................... 137
--------------
Total Assets.................................................... 12,201,894
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. 936,030
Investment Securities/Affiliated Investment Companies
Purchased........................................................ 34,257
Fund Shares Redeemed.............................................. 3,022
Due to Advisor.................................................... 4,897
Unrealized Loss on Forward Currency Contracts....................... --
Unrealized Loss on Foreign Currency Contracts....................... 2
Accrued Expenses and Other Liabilities.............................. 1,268
--------------
Total Liabilities............................................... 979,476
--------------
NET ASSETS.......................................................... $ 11,222,418
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R2 Shares -- based on net assets of $0; $0; $0;
$109,510 and $0 and shares outstanding of 0; 0; 0;
3,676,337 and 0, respectively...................................... N/A
==============
Institutional Class Shares -- based on net assets of $75,407;
$3,120,026; $3,928,943; $18,431,359 and $11,222,418 and
shares outstanding of 6,082,727; 114,599,925; 177,799,738;
618,564,039 and 548,998,291, respectively.......................... $ 20.44
==============
NUMBER OF SHARES AUTHORIZED......................................... 1,000,000,000
==============
Investments in Affiliated Investment Companies at Cost.............. $ --
--------------
Investments at Cost................................................. $ 9,790,126
==============
Foreign Currencies at Cost.......................................... $ 9,307
==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 9,919,927
Undistributed Net Investment Income (Distributions in Excess
of Net Investment Income).......................................... 35,484
Accumulated Net Realized Gain (Loss)................................ (49,438)
Net Unrealized Foreign Exchange Gain (Loss)......................... (14)
Net Unrealized Appreciation (Depreciation).......................... 1,316,459
--------------
NET ASSETS.......................................................... $ 11,222,418
==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
83
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
Enhanced
U.S. Large U.S. Large U.S. Targeted U.S. Small
Company Cap Value Value Cap Value
Portfolio Portfolio* Portfolio Portfolio
---------- ---------- ------------- ----------
Investment Income
Net Investment Income Received from Affiliated Investment Company:
Dividends.............................................................. -- $ 96,608 -- --
Interest............................................................... -- 19 -- --
Income from Securities Lending......................................... -- 799 -- --
Expenses Allocated from Affiliated Investment Company.................. -- (5,232) -- --
------- ---------- -------- ----------
Total Net Investment Income Received from Affiliated Investment
Company............................................................ -- 92,194 -- --
------- ---------- -------- ----------
Fund Investment Income
Dividends.............................................................. $ 75 -- $ 32,329 $ 91,674
Interest............................................................... 829 -- 9 26
Income from Securities Lending......................................... -- -- 1,245 2,600
------- ---------- -------- ----------
Total Investment Income............................................. 904 -- 33,583 94,300
------- ---------- -------- ----------
Fund Expenses
Investment Advisory Services Fees...................................... 49 -- 1,660 7,440
Administrative Services Fees........................................... 146 6,867 4,153 11,169
Accounting & Transfer Agent Fees....................................... 18 42 154 334
S&P 500(R) Fees........................................................ 4 -- -- --
Shareholder Servicing Fees --
Class R1 Shares...................................................... -- -- 28 --
Class R2 Shares...................................................... -- -- 18 --
Custodian Fees......................................................... 6 -- 29 57
Filing Fees............................................................ 12 63 34 59
Shareholders' Reports.................................................. 3 111 54 87
Directors'/Trustees' Fees & Expenses................................... 1 36 13 31
Professional Fees...................................................... 2 31 38 92
Other.................................................................. 1 36 24 49
------- ---------- -------- ----------
Total Expenses...................................................... 242 7,186 6,205 19,318
------- ---------- -------- ----------
Fees Paid Indirectly................................................... (1) -- -- --
------- ---------- -------- ----------
Net Expenses........................................................... 241 7,186 6,205 19,318
------- ---------- -------- ----------
Net Investment Income (Loss)........................................... 663 85,008 27,378 74,982
------- ---------- -------- ----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold........................................... (491) 370,791 79,065 213,073
Futures.............................................................. 19,942 -- (402) 1,840
Foreign Currency Transactions........................................ (913) -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 1,534 1,091,167 459,962 978,070
Futures.............................................................. 4,948 -- -- --
Translation of Foreign Currency Denominated Amounts.................. 663 -- -- --
------- ---------- -------- ----------
Net Realized and Unrealized Gain (Loss)................................ 25,683 1,461,958 538,625 1,192,983
------- ---------- -------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations.......... $26,346 $1,546,966 $566,003 $1,267,965
======= ========== ======== ==========
----------
* 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.
84
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
U.S. Core U.S. Core U.S. Vector
Equity 1 Equity 2 Equity U.S. Small
Portfolio Portfolio Portfolio Cap Portfolio
--------- ---------- ----------- -------------
Investment Income
Dividends............................................. $ 57,725 $ 80,206 $ 22,542 $ 48,381
Interest.............................................. 24 26 11 21
Income from Securities Lending........................ 1,744 2,782 1,196 6,051
-------- ---------- -------- --------
Total Investment Income............................ 59,493 83,014 23,749 54,453
-------- ---------- -------- --------
Expenses
Investment Advisory Services Fees..................... 4,635 7,620 3,356 748
Administrative Services Fees.......................... -- -- -- 7,980
Accounting & Transfer Agent Fees...................... 246 340 104 224
Custodian Fees........................................ 45 50 20 44
Filing Fees........................................... 65 79 32 30
Shareholders' Reports................................. 36 65 30 57
Directors'/Trustees' Fees & Expenses.................. 21 30 9 19
Professional Fees..................................... 60 87 27 61
Other................................................. 32 46 17 33
-------- ---------- -------- --------
Total Expenses..................................... 5,140 8,317 3,595 9,196
-------- ---------- -------- --------
Net Investment Income (Loss).......................... 54,353 74,697 20,154 45,257
-------- ---------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold.......................... 15,630 26,016 10,012 119,956
Futures............................................. -- -- -- (494)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................... 746,259 1,076,031 329,248 591,079
-------- ---------- -------- --------
Net Realized and Unrealized Gain (Loss)............... 761,889 1,102,047 339,260 710,541
-------- ---------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. $816,242 $1,176,744 $359,414 $755,798
======== ========== ======== ========
See accompanying Notes to Financial Statements.
85
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
DFA Real
Estate Large Cap International
U.S. Micro Securities International Core Equity
Cap Portfolio Portfolio Portfolio Portfolio
------------- ---------- ------------- -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $16, $0, $2,907 and
$8,292, respectively)........................................... $ 35,555 $ 62,716 $ 35,977 $ 110,386
Interest......................................................... 11 17 3 2
Income from Securities Lending................................... 4,324 249 1,704 7,091
-------- -------- -------- ----------
Total Investment Income....................................... 39,890 62,982 37,684 117,479
-------- -------- -------- ----------
Expenses
Investment Advisory Services Fees................................ 1,839 3,437 2,787 12,470
Administrative Services Fees..................................... 7,359 -- -- --
Accounting & Transfer Agent Fees................................. 169 186 110 324
Custodian Fees................................................... 36 21 189 725
Filing Fees...................................................... 38 45 27 84
Shareholders' Reports............................................ 47 68 45 75
Directors'/Trustees' Fees & Expenses............................. 15 16 9 27
Professional Fees................................................ 45 50 27 86
Other............................................................ 27 23 28 61
-------- -------- -------- ----------
Total Expenses................................................ 9,575 3,846 3,222 13,852
-------- -------- -------- ----------
Fees Waived, Expenses Reimbursed, and/or Previously Waived
Fees Recovered by Advisor (Note C).............................. -- (235) -- --
Fees Paid Indirectly............................................. -- -- (6) (14)
-------- -------- -------- ----------
Net Expenses..................................................... 9,575 3,611 3,216 13,838
-------- -------- -------- ----------
Net Investment Income (Loss)..................................... 30,315 59,371 34,468 103,641
-------- -------- -------- ----------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Investment Securities... -- 8,460 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold..................................... 111,879 6,230 (15,247) 6,684
Futures........................................................ (423) -- -- --
Foreign Currency Transactions.................................. -- -- (187) (1,185)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... 414,243 637,870 293,305 916,985
Translation of Foreign Currency Denominated Amounts............ -- -- 30 (38)
-------- -------- -------- ----------
Net Realized and Unrealized Gain (Loss).......................... 525,699 652,560 277,901 922,446
-------- -------- -------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................................ $556,014 $711,931 $312,369 $1,026,087
======== ======== ======== ==========
See accompanying Notes to Financial Statements.
86
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
United
International Japanese Asia Pacific Kingdom
Small Small Small Small
Company Company Company Company
Portfolio* Portfolio* Portfolio* Portfolio*
------------- ---------- ------------ ----------
Investment Income
Net Investment Income Received from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $7,370, $455, $109 and
$2, respectively)..................................................... $ 89,043 $ 5,140 $ 3,671 $ 471
Interest............................................................... 44 -- -- --
Income from Securities Lending......................................... 9,399 349 461 4
Expenses Allocated from Affiliated Investment Companies................ (4,949) (302) (204) (20)
-------- ------- ------- ------
Total Net Investment Income Received from Affiliated Investment
Companies.......................................................... 93,537 5,187 3,928 455
-------- ------- ------- ------
Fund Investment Income
Interest............................................................... 10 -- -- --
-------- ------- ------- ------
Total Investment Income............................................. 10 -- -- --
-------- ------- ------- ------
Fund Expenses
Administrative Services Fees........................................... 13,736 785 503 65
Accounting & Transfer Agent Fees....................................... 37 9 8 7
Filing Fees............................................................ 68 15 13 9
Shareholders' Reports.................................................. 95 2 2 1
Directors'/Trustees' Fees & Expenses................................... 28 1 1 --
Professional Fees...................................................... 21 2 2 1
Other.................................................................. 28 -- 2 --
-------- ------- ------- ------
Total Expenses...................................................... 14,013 814 531 83
-------- ------- ------- ------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... -- -- -- (7)
-------- ------- ------- ------
Net Expenses........................................................... 14,013 814 531 76
-------- ------- ------- ------
Net Investment Income (Loss)............................................. 79,534 4,373 3,397 379
-------- ------- ------- ------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold........................................... 121,843 6,271 1,740 835
Futures.............................................................. (29) -- -- --
Foreign Currency Transactions**...................................... (1,145) (268) 40 (1)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 783,843 85,864 18,125 3,283
Futures.............................................................. 30 -- -- --
Translation of Foreign Currency Denominated Amounts.................. (54) (115) (7) 3
-------- ------- ------- ------
Net Realized and Unrealized Gain (Loss)................................ 904,488 91,752 19,898 4,120
-------- ------- ------- ------
Net Increase (Decrease) in Net Assets Resulting from Operations.......... $984,022 $96,125 $23,295 $4,499
======== ======= ======= ======
----------
* 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 $9, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
87
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
DFA DFA
Continental International DFA Global International
Small Real Estate Real Estate Small Cap
Company Securities Securities Value
Portfolio* Portfolio Portfolio Portfolio
----------- ------------- ----------- -------------
Investment Income
Net Investment Income Received from Affiliated Investment Company:
Dividends.............................................................. $ 1,261 -- -- --
Income Distributions Received from Affiliated Investment Companies..... -- -- $ 74,325 --
Interest............................................................... 2 -- -- --
Income from Securities Lending......................................... 225 -- -- --
Expenses Allocated from Affiliated Investment Company.................. (81) -- -- --
------- -------- -------- ----------
Total Net Investment Income Received from Affiliated Investment
Company............................................................ 1,407 -- 74,325 --
------- -------- -------- ----------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $4,294, $0 and
$9,356, respectively)................................................. -- $ 36,460 -- $ 139,615
Interest............................................................... -- -- 2 --
Income from Securities Lending......................................... -- 933 -- 12,865
------- -------- -------- ----------
Total Fund Investment Income........................................ -- 37,393 2 152,480
------- -------- -------- ----------
Fund Expenses
Investment Advisory Services Fees...................................... -- 2,916 1,962 29,673
Administrative Services Fees........................................... 221 -- -- --
Accounting & Transfer Agent Fees....................................... 8 84 14 412
Custodian Fees......................................................... -- 205 -- 1,207
Filing Fees............................................................ 10 31 52 77
Shareholders' Reports.................................................. 2 32 20 114
Directors'/Trustees' Fees & Expenses................................... -- 6 5 36
Professional Fees...................................................... 1 21 7 126
Other.................................................................. 1 13 5 78
------- -------- -------- ----------
Total Expenses...................................................... 243 3,308 2,065 31,723
------- -------- -------- ----------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... -- -- (1,672) --
Fees Paid Indirectly................................................... -- (12) -- (16)
------- -------- -------- ----------
Net Expenses........................................................... 243 3,296 393 31,707
------- -------- -------- ----------
Net Investment Income (Loss)........................................... 1,164 34,097 73,934 120,773
------- -------- -------- ----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................................. 1,466 (18,160) (2,565) 71,173
Futures.............................................................. 29 888 -- --
Foreign Currency Transactions........................................ (6) (633) -- (1,756)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 13,754 238,017 170,366 1,439,113
Futures.............................................................. (29) -- -- --
Translation of Foreign Currency Denominated Amounts.................. 4 (24) -- 182
------- -------- -------- ----------
Net Realized and Unrealized Gain (Loss)................................ 15,218 220,088 167,801 1,508,712
------- -------- -------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations.......... $16,382 $254,185 $241,735 $1,629,485
======= ======== ======== ==========
----------
* 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.
88
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
World ex U.S.
International World ex U.S. Targeted World ex U.S.
Vector Equity Value Value Core Equity
Portfolio Portfolio* Portfolio*(a) Portfolio(b)
------------- ------------- ------------- -------------
Investment Income
Net Investment Income Received from Affiliated Investment
Companies:
Dividends.............................................................. -- $ 982 $ 104 --
Income Distributions Received from Affiliated Investment Companies..... -- 40 132 --
Income from Securities Lending......................................... -- 59 12 --
Expenses Allocated from Affiliated Investment Companies................ -- (70) (12) --
------- ------ ------ ---
Total Net Investment Income Received from Affiliated Investment
Companies.......................................................... -- 1,011 236 --
------- ------ ------ ---
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $686, $0, $0 and $0,
respectively)......................................................... $ 9,518 -- -- --
Interest............................................................... 1 -- -- --
Income from Securities Lending......................................... 702 -- -- --
------- ------ ------ ---
Total Investment Income............................................. 10,221 -- -- --
------- ------ ------ ---
Fund Expenses
Investment Advisory Services Fees...................................... 1,430 166 113 --
Accounting & Transfer Agent Fees....................................... 38 8 8 $ 1
Custodian Fees......................................................... 134 -- -- --
Filing Fees............................................................ 12 18 2 --
Shareholders' Reports.................................................. 7 1 -- --
Directors'/Trustees' Fees & Expenses................................... 2 -- -- --
Professional Fees...................................................... 7 3 3 1
Organizational & Offering Costs........................................ -- -- 27 --
Other.................................................................. 8 -- -- --
------- ------ ------ ---
Total Expenses...................................................... 1,638 196 153 2
------- ------ ------ ---
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... -- (75) (101) (2)
Fees Paid Indirectly................................................... (2) -- -- --
------- ------ ------ ---
Net Expenses........................................................... 1,636 121 52 --
------- ------ ------ ---
Net Investment Income (Loss)........................................... 8,585 890 184 --
------- ------ ------ ---
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Investment Securities......... -- 64 191 --
Net Realized Gain (Loss) on:
Investment Securities Sold........................................... 6,299 1,086 242 --
Foreign Currency Transactions........................................ (100) (8) (1) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 79,234 6,399 4,801 21
Translation of Foreign Currency Denominated Amounts.................. -- (19) -- --
------- ------ ------ ---
Net Realized and Unrealized Gain (Loss)................................ 85,433 7,522 5,233 21
------- ------ ------ ---
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................................. $94,018 $8,412 $5,417 $21
======= ====== ====== ===
----------
* 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 1, 2012.
(b)The Portfolio commenced operations on April 9, 2013.
See accompanying Notes to Financial Statements.
89
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
Emerging
Selectively Markets Emerging Emerging
Hedged Emerging Small Markets Markets Core
Global Equity Markets Cap Value Equity
Portfolio Portfolio* Portfolio* Portfolio* Portfolio
------------- ---------- ---------- ---------- ------------
Investment Income
Net Investment Income Received from Affiliated Investment
Companies:
Dividends....................................................... -- $ 25,461 $ 25,818 $ 140,564 --
Income Distributions Received from Affiliated Investment
Companies...................................................... $ 352 -- -- -- --
Interest........................................................ -- -- -- 10 --
Income from Securities Lending.................................. -- 1,874 8,436 14,918 --
Expenses Allocated from Affiliated Investment Company........... -- (2,610) (5,825) (15,695) --
------ -------- -------- ---------- --------
Total Net Investment Income Received from Affiliated
Investment Companies........................................ 352 24,725 28,429 139,797 --
------ -------- -------- ---------- --------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and
$8,938, respectively).......................................... -- -- -- -- $ 80,387
Interest........................................................ 2 -- -- -- --
Income from Securities Lending.................................. -- -- -- -- 11,926
------ -------- -------- ---------- --------
Total Fund Investment Income................................. 2 -- -- -- 92,313
------ -------- -------- ---------- --------
Fund Expenses
Investment Advisory Services Fees............................... 83 -- -- -- 27,420
Administrative Services Fees.................................... -- 5,965 7,955 35,566 --
Accounting & Transfer Agent Fees................................ 8 20 20 56 447
Shareholder Servicing Fees --
Class R2 Shares............................................... -- -- -- 134 --
Custodian Fees.................................................. -- -- -- -- 3,647
Filing Fees..................................................... 18 47 65 97 118
Shareholders' Reports........................................... -- 55 29 135 104
Directors'/Trustees' Fees & Expenses............................ -- 12 12 72 36
Professional Fees............................................... 3 11 10 60 135
Organizational & Offering Costs................................. 2 -- -- -- --
Other........................................................... 1 13 12 70 70
------ -------- -------- ---------- --------
Total Expenses............................................... 115 6,123 8,103 36,190 31,977
------ -------- -------- ---------- --------
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C)...................... (102) -- -- -- --
Fees Paid Indirectly............................................ -- -- -- -- (90)
------ -------- -------- ---------- --------
Net Expenses.................................................... 13 6,123 8,103 36,190 31,887
------ -------- -------- ---------- --------
Net Investment Income (Loss).................................... 341 18,602 20,326 103,607 60,426
------ -------- -------- ---------- --------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment
Companies...................................................... 115 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold.................................... 1 23,130 63,561 377,401 (5,116)
Futures....................................................... 262 -- 457 -- --
Foreign Currency Transactions**............................... 390 34 (790) (927) (1,834)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................... 5,884 127,879 324,520 913,032 674,241
Futures....................................................... 146 -- -- -- --
Translation of Foreign Currency Denominated Amounts........... 190 (2) 45 74 (45)
------ -------- -------- ---------- --------
Net Realized and Unrealized Gain (Loss)......................... 6,988 151,041 387,793 1,289,580 667,246
------ -------- -------- ---------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations....................................................... $7,329 $169,643 $408,119 $1,393,187 $727,672
====== ======== ======== ========== ========
----------
* 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, $1, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
90
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Enhanced U.S. Large U.S. Large Cap Value U.S. Targeted Value
Company Portfolio Portfolio Portfolio
-------------------- ------------------------ ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- -------- ----------- ----------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 663 $ 1,469 $ 85,008 $ 154,843 $ 27,378 $ 29,117
Net Realized Gain (Loss) on:
Investment Securities Sold............ (491) 245 370,791 318,427 79,065 181,414
Futures............................... 19,942 30,568 -- -- (402) 3,336
Foreign Currency Transactions......... (913) 1,331 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 1,534 594 1,091,167 824,744 459,962 176,832
Futures............................... 4,948 (6,586) -- -- -- --
Translation of Foreign Currency
Denominated Amounts.................. 663 (857) -- -- -- --
-------- -------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 26,346 26,764 1,546,966 1,298,014 566,003 390,699
-------- -------- ----------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Class R1 Shares....................... -- -- -- -- (459) (374)
Class R2 Shares....................... -- -- -- -- (117) (76)
Institutional Class Shares............ (1,111) (2,785) (92,857) (150,153) (28,487) (24,124)
Net Short-Term Gains:
Class R1 Shares....................... -- -- -- -- (162) --
Class R2 Shares....................... -- -- -- -- (43) --
Institutional Class Shares............ -- -- -- -- (9,669) --
Net Long-Term Gains:
Class R1 Shares....................... -- -- -- -- (2,657) (356)
Class R2 Shares....................... -- -- -- -- (709) (86)
Institutional Class Shares............ -- -- -- -- (158,843) (19,426)
-------- -------- ----------- ----------- ---------- ----------
Total Distributions.................. (1,111) (2,785) (92,857) (150,153) (201,146) (44,442)
-------- -------- ----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued........................... 25,745 26,869 1,359,469 1,501,347 425,555 782,957
Shares Issued in Lieu of Cash
Distributions.......................... 962 2,573 85,555 139,904 179,146 40,767
Shares Redeemed......................... (35,297) (34,538) (940,743) (1,794,871) (448,004) (662,151)
-------- -------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions.......... (8,590) (5,096) 504,281 (153,620) 156,697 161,573
-------- -------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 16,645 18,883 1,958,390 994,241 521,554 507,830
Net Assets
Beginning of Period..................... 190,011 171,128 8,334,585 7,340,344 3,051,809 2,543,979
-------- -------- ----------- ----------- ---------- ----------
End of Period........................... $206,656 $190,011 $10,292,975 $ 8,334,585 $3,573,363 $3,051,809
======== ======== =========== =========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued........................... 2,615 3,051 55,665 72,600 23,623 48,542
Shares Issued in Lieu of Cash
Distributions.......................... 103 314 3,643 6,979 10,844 2,677
Shares Redeemed......................... (3,611) (3,906) (39,107) (86,993) (24,942) (40,606)
-------- -------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed.......... (893) (541) 20,201 (7,414) 9,525 10,613
======== ======== =========== =========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)....................... $ 1,557 $ 2,005 $ 17,517 $ 25,366 $ 2,260 $ 3,945
See accompanying Notes to Financial Statements.
91
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Small Cap Value
Portfolio U.S. Core Equity 1 Portfolio U.S. Core Equity 2 Portfolio
------------------------ --------------------------- ---------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- ----------- ----------- ---------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 74,982 $ 53,970 $ 54,353 $ 78,378 $ 74,697 $ 111,804
Capital Gain Distributions Received
from Investment Securities............. -- -- -- 36 -- 105
Net Realized Gain (Loss) on:
Investment Securities Sold............ 213,073 430,201 15,630 35,359 26,016 73,466
Futures............................... 1,840 954 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities................. 978,070 522,870 746,259 455,880 1,076,031 694,545
Futures............................... -- (536) -- -- -- --
----------- ----------- ---------- ---------- ---------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 1,267,965 1,007,459 816,242 569,653 1,176,744 879,920
----------- ----------- ---------- ---------- ---------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares............ (74,197) (50,536) (52,783) (73,066) (73,910) (99,623)
Net Short-Term Gains:
Institutional Class Shares............ (15,668) -- -- -- -- --
Net Long-Term Gains:
Institutional Class Shares............ (380,218) (89,379) -- -- (55,772) --
----------- ----------- ---------- ---------- ---------- -----------
Total Distributions.................. (470,083) (139,915) (52,783) (73,066) (129,682) (99,623)
----------- ----------- ---------- ---------- ---------- -----------
Capital Share Transactions (1):
Shares Issued........................... 766,673 1,130,039 864,936 1,316,460 908,382 1,284,909
Shares Issued in Lieu of Cash
Distributions.......................... 427,716 131,338 47,496 66,157 125,823 96,744
Shares Redeemed......................... (1,079,364) (1,581,314) (461,678) (733,642) (595,789) (1,057,872)
----------- ----------- ---------- ---------- ---------- -----------
Net Increase (Decrease) from
Capital Share Transactions.......... 115,025 (319,937) 450,754 648,975 438,416 323,781
----------- ----------- ---------- ---------- ---------- -----------
Total Increase (Decrease) in Net
Assets.............................. 912,907 547,607 1,214,213 1,145,562 1,485,478 1,104,078
Net Assets
Beginning of Period..................... 7,088,470 6,540,863 4,876,973 3,731,411 6,923,984 5,819,906
----------- ----------- ---------- ---------- ---------- -----------
End of Period........................... $ 8,001,377 $ 7,088,470 $6,091,186 $4,876,973 $8,409,462 $ 6,923,984
=========== =========== ========== ========== ========== ===========
(1) Shares Issued and Redeemed:
Shares Issued........................... 27,720 45,152 67,105 114,530 71,104 113,356
Shares Issued in Lieu of Cash
Distributions.......................... 16,874 5,754 3,767 5,842 10,274 8,679
Shares Redeemed......................... (39,979) (62,499) (35,797) (63,857) (46,717) (93,203)
----------- ----------- ---------- ---------- ---------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................ 4,615 (11,593) 35,075 56,515 34,661 28,832
=========== =========== ========== ========== ========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)....................... $ 879 $ 94 $ 12,031 $ 10,461 $ 16,686 $ 15,899
See accompanying Notes to Financial Statements.
92
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Vector Equity Portfolio U.S. Small Cap Portfolio U.S. Micro Cap Portfolio
--------------------------- ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- ---------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).............. $ 20,154 $ 28,165 $ 45,257 $ 47,882 $ 30,315 $ 33,720
Capital Gain Distributions Received from
Investment Securities.................... -- 18 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold.............. 10,012 41,027 119,956 254,365 111,879 220,675
Futures................................. -- (850) (494) -- (423) 385
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities................... 329,248 196,524 591,079 230,453 414,243 166,031
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................ 359,414 264,884 755,798 532,700 556,014 420,811
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares.............. (18,866) (26,665) (44,437) (41,256) (34,858) (30,423)
Net Short-Term Gains:
Institutional Class Shares.............. -- -- (8,279) -- -- --
Net Long-Term Gains:
Institutional Class Shares.............. (3,507) -- (228,672) -- (176,365) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................... (22,373) (26,665) (281,388) (41,256) (211,223) (30,423)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................. 299,986 363,121 698,941 1,000,664 319,716 389,014
Shares Issued in Lieu of Cash
Distributions............................ 21,964 26,213 259,714 38,143 196,436 28,484
Shares Redeemed........................... (212,158) (470,271) (463,259) (737,229) (347,928) (627,647)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions............ 109,792 (80,937) 495,396 301,578 168,224 (210,149)
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................ 446,833 157,282 969,806 793,022 513,015 180,239
Net Assets
Beginning of Period....................... 2,009,177 1,851,895 4,563,345 3,770,323 3,437,958 3,257,719
---------- ---------- ---------- ---------- ---------- ----------
End of Period............................. $2,456,010 $2,009,177 $5,533,151 $4,563,345 $3,950,973 $3,437,958
========== ========== ========== ========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued............................. 24,011 33,038 29,136 45,541 21,062 27,509
Shares Issued in Lieu of Cash
Distributions............................ 1,838 2,473 11,794 1,786 13,951 2,109
Shares Redeemed........................... (16,994) (42,602) (19,674) (33,325) (23,160) (44,113)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed............ 8,855 (7,091) 21,256 14,002 11,853 (14,495)
========== ========== ========== ========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)......................... $ 3,778 $ 2,490 $ 6,122 $ 5,302 $ (633) $ 3,910
See accompanying Notes to Financial Statements.
93
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Real Estate Securities Large Cap International International Core Equity
Portfolio Portfolio Portfolio
------------------------- ---------------------- -----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- ---------- ----------- ---------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).............. $ 59,371 $ 78,788 $ 34,468 $ 63,623 $ 103,641 $ 181,573
Capital Gain Distributions Received from
Investment Securities.................... 8,460 16,390 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold.............. 6,230 (1,763) (15,247) (18,104) 6,684 (40,937)
Futures................................. -- (46) -- -- -- --
Foreign Currency Transactions*.......... -- -- (187) (353) (1,185) 114
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................... 637,870 355,961 293,305 69,627 916,985 185,568
Translation of Foreign Currency
Denominated Amounts.................... -- -- 30 (82) (38) (120)
---------- ---------- ---------- ---------- ---------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................ 711,931 449,330 312,369 114,711 1,026,087 326,198
---------- ---------- ---------- ---------- ---------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares.............. (55,890) (99,783) (23,503) (60,808) (61,073) (176,198)
---------- ---------- ---------- ---------- ---------- -----------
Total Distributions.................... (55,890) (99,783) (23,503) (60,808) (61,073) (176,198)
---------- ---------- ---------- ---------- ---------- -----------
Capital Share Transactions (1):
Shares Issued............................. 544,922 826,214 345,982 634,549 1,024,387 1,839,473
Shares Issued in Lieu of Cash
Distributions............................ 54,239 96,714 22,132 57,573 58,778 169,856
Shares Redeemed........................... (320,704) (654,733) (271,333) (394,415) (612,054) (1,072,475)
---------- ---------- ---------- ---------- ---------- -----------
Net Increase (Decrease) from
Capital Share Transactions............ 278,457 268,195 96,781 297,707 471,111 936,854
---------- ---------- ---------- ---------- ---------- -----------
Total Increase (Decrease) in Net
Assets................................ 934,498 617,742 385,647 351,610 1,436,125 1,086,854
Net Assets
Beginning of Period....................... 3,716,389 3,098,647 2,055,759 1,704,149 6,482,738 5,395,884
---------- ---------- ---------- ---------- ---------- -----------
End of Period............................. $4,650,887 $3,716,389 $2,441,406 $2,055,759 $7,918,863 $ 6,482,738
========== ========== ========== ========== ========== ===========
(1) Shares Issued and Redeemed:
Shares Issued............................. 19,983 32,929 17,693 36,185 94,741 190,598
Shares Issued in Lieu of Cash
Distributions............................ 2,082 3,972 1,159 3,432 5,598 18,393
Shares Redeemed........................... (11,880) (26,322) (13,899) (22,604) (57,155) (112,419)
---------- ---------- ---------- ---------- ---------- -----------
Net Increase (Decrease) from
Shares Issued and Redeemed............ 10,185 10,579 4,953 17,013 43,184 96,572
========== ========== ========== ========== ========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)......................... $ 27,080 $ 23,599 $ 19,673 $ 8,708 $ 67,823 $ 25,255
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $1, $1 and $0,
respectively.
See accompanying Notes to Financial Statements.
94
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
International Small Japanese Small Asia Pacific Small
Company Portfolio Company Portfolio Company Portfolio
----------------------- -------------------- --------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- ----------- ----------- -------- ----------- --------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................. $ 79,534 $ 152,324 $ 4,373 $ 5,072 $ 3,397 $ 7,452
Net Realized Gain (Loss) on:
Investment Securities Sold................. 121,843 53,955 6,271 (5,341) 1,740 4,091
Futures.................................... (29) 9 -- (75) -- (33)
Foreign Currency Transactions*............. (1,145) 401 (268) 120 40 (56)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 783,843 133,610 85,864 (6,790) 18,125 6,664
Futures.................................... 30 (1) -- 1 -- 1
Translation of Foreign Currency
Denominated Amounts....................... (54) (530) (115) (23) (7) (12)
---------- ----------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 984,022 339,768 96,125 (7,036) 23,295 18,107
---------- ----------- -------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (58,320) (163,885) (2,836) (4,541) (7,603) (9,333)
Net Long-Term Gains:
Institutional Class Shares................. (39,012) (108,621) -- -- -- --
---------- ----------- -------- -------- -------- --------
Total Distributions....................... (97,332) (272,506) (2,836) (4,541) (7,603) (9,333)
---------- ----------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued................................ 587,418 1,391,405 127,552 198,642 29,434 110,755
Shares Issued in Lieu of Cash
Distributions............................... 92,887 262,078 2,638 4,202 7,183 8,531
Shares Redeemed.............................. (602,158) (1,131,600) (21,936) (60,419) (19,589) (29,131)
---------- ----------- -------- -------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions....................... 78,147 521,883 108,254 142,425 17,028 90,155
---------- ----------- -------- -------- -------- --------
Total Increase (Decrease) in Net
Assets................................... 964,837 589,145 201,543 130,848 32,720 98,929
Net Assets
Beginning of Period.......................... 6,423,160 5,834,015 293,968 163,120 238,191 139,262
---------- ----------- -------- -------- -------- --------
End of Period................................ $7,387,997 $ 6,423,160 $495,511 $293,968 $270,911 $238,191
========== =========== ======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued................................ 36,124 95,525 8,019 12,557 1,183 5,147
Shares Issued in Lieu of Cash
Distributions............................... 6,000 19,065 173 282 309 410
Shares Redeemed.............................. (37,137) (77,790) (1,309) (3,928) (834) (1,342)
---------- ----------- -------- -------- -------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 4,987 36,800 6,883 8,911 658 4,215
========== =========== ======== ======== ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)............................ $ 24,504 $ 3,290 $ 3,265 $ 1,728 $ (3,427) $ 779
----------
* Net of foreign capital gain taxes withheld of $9, $4, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
95
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
United Kingdom Small Continental Small DFA International Real
Company Portfolio Company Portfolio Estate Securities Portfolio
-------------------- -------------------- --------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- -------- ----------- -------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 379 $ 856 $ 1,164 $ 3,068 $ 34,097 $ 66,041
Net Realized Gain (Loss) on:
Investment Securities Sold................ 835 (281) 1,466 (2,677) (18,160) (33,417)
Futures................................... -- 6 29 (25) 888 --
Foreign Currency Transactions............. (1) 6 (6) (25) (633) 34
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................. 3,283 5,744 13,754 585 238,017 228,123
Futures................................... -- -- (29) -- -- --
Translation of Foreign Currency
Denominated Amounts...................... 3 (2) 4 72 (24) (24)
------- -------- -------- -------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.............................. 4,499 6,329 16,382 998 254,185 260,757
------- -------- -------- -------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................ (392) (992) (520) (2,958) (181,848) (54,030)
------- -------- -------- -------- ---------- ----------
Total Distributions...................... (392) (992) (520) (2,958) (181,848) (54,030)
------- -------- -------- -------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................... 1,093 1,858 2,664 11,823 355,649 416,378
Shares Issued in Lieu of Cash
Distributions.............................. 297 752 388 2,148 180,122 53,300
Shares Redeemed............................. (3,504) (10,500) (9,579) (23,147) (170,419) (204,853)
------- -------- -------- -------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions...................... (2,114) (7,890) (6,527) (9,176) 365,352 264,825
------- -------- -------- -------- ---------- ----------
Total Increase (Decrease) in Net
Assets.................................. 1,993 (2,553) 9,335 (11,136) 437,689 471,552
Net Assets
Beginning of Period......................... 31,316 33,869 106,316 117,452 1,531,708 1,060,156
------- -------- -------- -------- ---------- ----------
End of Period............................... $33,309 $ 31,316 $115,651 $106,316 $1,969,397 $1,531,708
======= ======== ======== ======== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued............................... 37 76 166 842 66,520 84,674
Shares Issued in Lieu of Cash
Distributions.............................. 10 34 26 166 35,388 12,309
Shares Redeemed............................. (118) (429) (630) (1,693) (32,320) (42,864)
------- -------- -------- -------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed..................... (71) (319) (438) (685) 69,588 54,119
======= ======== ======== ======== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)........................... $ 136 $ 149 $ 924 $ 280 $ (194,025) $ (46,274)
See accompanying Notes to Financial Statements.
96
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Global Real Estate DFA International Small International Vector
Securities Portfolio Cap Value Portfolio Equity Portfolio
---------------------- ------------------------ ---------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- ---------- ----------- ----------- ----------- ---------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 73,934 $ 36,495 $ 120,773 $ 176,655 $ 8,585 $ 14,617
Net Realized Gain (Loss) on:
Investment Securities Sold............ (2,565) (2,760) 71,173 130,909 6,299 2,944
Foreign Currency Transactions*........ -- 138,125 (1,756) 1,183 (100) (98)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 170,366 -- 1,439,113 203,828 79,234 13,867
Translation of Foreign Currency
Denominated Amounts.................. -- -- 182 (393) -- (30)
---------- ---------- ----------- ----------- -------- ---------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 241,735 171,860 1,629,485 512,182 94,018 31,300
---------- ---------- ----------- ----------- -------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares............ (84,341) (25,716) (69,563) (187,200) (4,602) (14,204)
Net Short-Term Gains:
Institutional Class Shares............ -- -- -- (11,429) -- --
Net Long-Term Gains:
Institutional Class Shares............ -- -- (117,102) (126,221) (2,044) (6,473)
---------- ---------- ----------- ----------- -------- ---------
Total Distributions.................. (84,341) (25,716) (186,665) (324,850) (6,646) (20,677)
---------- ---------- ----------- ----------- -------- ---------
Capital Share Transactions (1):
Shares Issued........................... 334,926 445,794 889,448 1,698,080 99,249 241,502
Shares Issued in Lieu of Cash
Distributions.......................... 82,056 25,115 173,258 304,574 6,418 19,813
Shares Redeemed......................... (160,409) (170,854) (763,177) (1,382,520) (46,841) (121,119)
---------- ---------- ----------- ----------- -------- ---------
Net Increase (Decrease) from
Capital Share Transactions.......... 256,573 300,055 299,529 620,134 58,826 140,196
---------- ---------- ----------- ----------- -------- ---------
Total Increase (Decrease) in Net
Assets.............................. 413,967 446,199 1,742,349 807,466 146,198 150,819
Net Assets
Beginning of Period..................... 1,315,547 869,348 8,266,610 7,459,144 561,399 410,580
---------- ---------- ----------- ----------- -------- ---------
End of Period........................... $1,729,514 $1,315,547 $10,008,959 $ 8,266,610 $707,597 $ 561,399
========== ========== =========== =========== ======== =========
(1) Shares Issued and Redeemed:
Shares Issued........................... 35,892 51,866 54,651 117,598 10,032 27,490
Shares Issued in Lieu of Cash
Distributions.......................... 9,335 3,385 11,209 22,510 666 2,341
Shares Redeemed......................... (17,407) (20,069) (46,870) (97,364) (4,738) (13,627)
---------- ---------- ----------- ----------- -------- ---------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................ 27,820 35,182 18,990 42,744 5,960 16,204
========== ========== =========== =========== ======== =========
Undistributed Net Investment
Income (Distributions in Excess of
Net Investment Income)................... $ 1,216 $ 11,623 $ 65,857 $ 14,647 $ 5,439 $ 1,456
----------
* Net of foreign capital gain taxes withheld of $0, $0, $6, $13, $0 and $1,
respectively.
See accompanying Notes to Financial Statements.
97
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
World ex
World ex U.S. Core
World ex U.S. Value U.S. Targeted Equity
Portfolio Value Portfolio Portfolio
------------------- --------------- -----------
Period Period
Six Months Year Nov. 1, April 9,
Ended Ended 2012(a) to 2013(a) to
April 30, Oct. 31, April 30, April 30,
2013 2012 2013 2013
----------- -------- --------------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................................... $ 890 $ 1,596 $ 184 $
Capital Gain Distributions Received from Affiliated Investment
Companies...................................................... 64 79 191 --
Net Realized Gain (Loss) on:
Investment Securities Sold.................................... 1,086 61 242 --
Futures....................................................... -- (1) -- --
Foreign Currency Transactions................................. (8) (10) (1) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................... 6,399 430 4,801 21
Translation of Foreign Currency Denominated Amounts........... (19) (1) -- --
------- ------- ------- ----
Net Increase (Decrease) in Net Assets Resulting from
Operations.................................................. 8,412 2,154 5,417 21
------- ------- ------- ----
Distributions From:
Net Investment Income:
Institutional Class Shares.................................... (620) (1,432) (124) --
Net Short-Term Gains:
Institutional Class Shares.................................... -- (6) -- --
------- ------- ------- ----
Total Distributions.......................................... (620) (1,438) (124) --
------- ------- ------- ----
Capital Share Transactions (1):
Shares Issued................................................... 29,247 15,365 55,765 949
Shares Issued in Lieu of Cash Distributions..................... 585 1,370 124 --
Shares Redeemed................................................. (2,646) (7,419) (861) (63)
------- ------- ------- ----
Net Increase (Decrease) from Capital Share Transactions...... 27,186 9,316 55,028 886
------- ------- ------- ----
Total Increase (Decrease) in Net Assets...................... 34,978 10,032 60,321 907
Net Assets
Beginning of Period............................................. 57,197 47,165 -- --
------- ------- ------- ----
End of Period................................................... $92,175 $57,197 $60,321 $907
======= ======= ======= ====
(1) Shares Issued and Redeemed:
Shares Issued................................................... 2,736 1,625 5,318 95
Shares Issued in Lieu of Cash Distributions..................... 57 152 12 --
Shares Redeemed................................................. (251) (756) (80) (6)
------- ------- ------- ----
Net Increase (Decrease) from Shares Issued and Redeemed...... 2,542 1,021 5,250 89
======= ======= ======= ====
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)........................................... $ 600 $ 330 $ 60 $ --
----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
98
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Selectively Hedged Emerging Markets Emerging Markets Small
Global Equity Portfolio Portfolio Cap Portfolio
---------------------- ---------------------- ----------------------
Period
Six Months Nov. 14, Six Months Year Six Months Year
Ended 2011(a) Ended Ended Ended Ended
April 30, to Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- ----------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 341 $ 536 $ 18,602 $ 54,306 $ 20,326 $ 46,726
Capital Gain Distributions Received
from Affiliated Investment
Companies.............................. 115 -- -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold............ 1 (275) 23,130 31,303 63,561 101,576
Futures............................... 262 110 -- -- 457 (812)
Foreign Currency Transactions*........ 390 163 34 (543) (790) (1,523)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 5,884 2,557 127,879 25,377 324,520 9,556
Futures............................... 146 (17) -- -- -- --
Translation of Foreign Currency
Denominated Amounts.................. 190 (93) (2) 18 45 (21)
------- ------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 7,329 2,981 169,643 110,461 408,119 155,502
------- ------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares............ (330) (534) (13,978) (49,445) (25,472) (40,500)
Net Short-Term Gains:
Institutional Class Shares............ (43) -- -- -- (3,428) --
Net Long-Term Gains:
Institutional Class Shares............ (56) -- (30,527) (90,351) (92,100) (37,112)
------- ------- ---------- ---------- ---------- ----------
Total Distributions.................. (429) (534) (44,505) (139,796) (121,000) (77,612)
------- ------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued........................... 34,227 32,522 503,001 860,651 820,191 1,164,899
Shares Issued in Lieu of Cash
Distributions.......................... 429 533 41,834 130,084 104,827 68,580
Shares Redeemed......................... (1,099) (552) (347,124) (477,258) (190,867) (236,441)
------- ------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions.......... 33,557 32,503 197,711 513,477 734,151 997,038
------- ------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 40,457 34,950 322,849 484,142 1,021,270 1,074,928
Net Assets
Beginning of Period..................... 34,950 -- 2,797,177 2,313,035 2,907,673 1,832,745
------- ------- ---------- ---------- ---------- ----------
End of Period........................... $75,407 $34,950 $3,120,026 $2,797,177 $3,928,943 $2,907,673
======= ======= ========== ========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued........................... 2,921 3,216 18,597 34,114 38,724 59,256
Shares Issued in Lieu of Cash
Distributions.......................... 39 53 1,554 5,452 5,106 3,782
Shares Redeemed......................... (93) (53) (12,873) (18,952) (9,052) (12,340)
------- ------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................ 2,867 3,216 7,278 20,614 34,778 50,698
======= ======= ========== ========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)....................... $ 177 $ 166 $ 12,930 $ 8,306 $ 1,305 $ 6,451
----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, $0, $13, $1 and $86,
respectively.
See accompanying Notes to Financial Statements.
99
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Emerging Markets Value Emerging Markets Core
Portfolio Equity Portfolio
------------------------ ------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012
----------- ----------- ----------- -----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................ $ 103,607 $ 308,227 $ 60,426 $ 155,928
Net Realized Gain (Loss) on:
Investment Securities Sold................................ 377,401 362,676 (5,116) (8,860)
Futures................................................... -- (1,255) -- 1,190
Foreign Currency Transactions*............................ (927) (4,701) (1,834) (1,300)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 913,032 (535,878) 674,241 122,105
Translation of Foreign Currency Denominated Amounts....... 74 (113) (45) (51)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 1,393,187 128,956 727,672 269,012
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares........................................... (519) (1,576) -- --
Institutional Class Shares................................ (105,739) (285,978) (51,518) (139,837)
Net Long-Term Gains:
Class R2 Shares........................................... (2,090) (1,207) -- --
Institutional Class Shares................................ (342,441) (187,999) -- --
----------- ----------- ----------- -----------
Total Distributions...................................... (450,789) (476,760) (51,518) (139,837)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued............................................... 1,958,779 5,108,640 2,598,499 4,068,293
Shares Issued in Lieu of Cash Distributions................. 422,106 439,131 46,677 126,291
Shares Redeemed............................................. (1,471,144) (2,319,607) (693,619) (1,096,525)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions............................................ 909,741 3,228,164 1,951,557 3,098,059
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets.................. 1,852,139 2,880,360 2,627,711 3,227,234
Net Assets
Beginning of Period......................................... 16,688,730 13,808,370 8,594,707 5,367,473
----------- ----------- ----------- -----------
End of Period............................................... $18,540,869 $16,688,730 $11,222,418 $ 8,594,707
=========== =========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued............................................... 66,301 181,833 129,044 218,730
Shares Issued in Lieu of Cash Distributions................. 14,606 16,750 2,337 7,108
Shares Redeemed............................................. (50,080) (82,979) (34,705) (60,020)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed................................................ 30,827 115,604 96,676 165,818
=========== =========== =========== ===========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)............................. $ 37,641 $ 40,292 $ 35,484 $ 26,576
----------
* Net of foreign capital gain taxes withheld of $0, $310, $0 and $541,
respectively.
See accompanying Notes to Financial Statements.
100
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio
-------------------------------------------------------------------------------- ------------------
Period
Six Months Year Year Year Year Dec. 1, Year Six Months
Ended Ended Ended Ended Ended 2007 to Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, April 30,
2013 2012 2011 2010 2009 2008 2007 2013
---------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value,
Beginning of Period.... $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95 $ 22.34
-------- -------- -------- -------- -------- -------- -------- -----------
Income from Investment
Operations
----------------------
Net Investment
Income
(Loss) (A)............ 0.03 0.07 0.07 0.07 0.05 0.39 0.30 0.22
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... 1.30 1.20 0.56 1.05 0.61 (3.74) 0.45 3.86
-------- -------- -------- -------- -------- -------- -------- -----------
Total from
Investment
Operations........... 1.33 1.27 0.63 1.12 0.66 (3.35) 0.75 4.08
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment
Income................ (0.06) (0.13) (0.01) (0.07) (0.59) (0.36) (0.36) (0.25)
Net Realized Gains..... -- -- -- -- (0.06) (0.73) (0.43) --
-------- -------- -------- -------- -------- -------- -------- -----------
Total Distributions... (0.06) (0.13) (0.01) (0.07) (0.65) (1.09) (0.79) (0.25)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $ 10.56 $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 26.17
======================== =========== ======== ======== ======== ======== ======== ======== ===========
Total Return............ 14.35%(C) 15.84% 8.41% 17.40% 12.23% (33.89)%(C) 7.13% 18.38%(C)
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)..... $206,656 $190,011 $171,128 $157,730 $165,231 $200,331 $337,050 $10,292,975
Ratio of Expenses to
Average Net
Assets................. 0.25%(B) 0.25% 0.26% 0.26% 0.29%** 0.25%(B)(D) 0.25%(D) 0.27%(B)(D)
Ratio of Expenses to
Average Net Assets
(Excluding Fees Paid
Indirectly)............ 0.25%(B) 0.25% 0.26% 0.26% 0.29%** 0.25%(B)(D) 0.25%(D) 0.27%(B)(D)
Ratio of Net Investment
Income to Average
Net Assets............. 0.68%(B) 0.80% 0.86% 0.98% 0.86% 4.74%(B) 2.67% 1.87%(B)
Portfolio Turnover
Rate................... 35%(C) 76% 140% 78% 46%* N/A N/A N/A
---------------------------------------------------------------------------------------------------------------------------------
U.S. Large 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.... $ 19.29 $ 18.58 $ 15.81 $ 14.58 $ 24.44 $ 25.40
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment
Income
(Loss) (A)............ 0.41 0.33 0.33 0.31 0.36 0.33
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... 3.04 0.70 2.76 1.28 (8.83) (0.43)
---------- ---------- ---------- ---------- ---------- ----------
Total from
Investment
Operations........... 3.45 1.03 3.09 1.59 (8.47) (0.10)
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment
Income................ (0.40) (0.32) (0.32) (0.34) (0.35) (0.32)
Net Realized Gains..... -- -- -- (0.02) (1.04) (0.54)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions... (0.40) (0.32) (0.32) (0.36) (1.39) (0.86)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $ 22.34 $ 19.29 $ 18.58 $ 15.81 $ 14.58 $ 24.44
======================== ========== ========== ========== ========== ========== ==========
Total Return............ 18.14% 5.53% 19.72% 11.76% (36.63)%(C) (0.49)%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)..... $8,334,585 $7,340,344 $6,921,036 $5,863,652 $5,330,448 $7,535,552
Ratio of Expenses to
Average Net
Assets................. 0.27%(D) 0.28%(D) 0.28%(D) 0.30%(D) 0.28%(B)(D) 0.27%(D)
Ratio of Expenses to
Average Net Assets
(Excluding Fees Paid
Indirectly)............ 0.27%(D) 0.28%(D) 0.28%(D) 0.30%(D) 0.28%(B)(D) 0.27%(D)
Ratio of Net Investment
Income to Average
Net Assets............. 1.99% 1.63% 1.86% 2.26% 1.86%(B) 1.28%
Portfolio Turnover
Rate................... N/A N/A N/A N/A N/A N/A
---------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
* 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 accompanying Notes to Financial Statements.
101
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R1 Shares+
----------------------------------------------------------
Period
Six Months Year Year Year Year Jan. 31,
Ended Ended Ended Ended Ended 2008(a) to
April 30, Oct. 31, Oct. 31, Oct.31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009 2008
---------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............. $ 17.28 $ 15.32 $ 14.75 $ 11.73 $ 10.92 $ 14.69
------- ------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.14 0.15 0.10 0.07 0.12 0.13
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 2.91 2.06 0.60 3.07 0.87 (3.76)
------- ------- ------- ------- ------- -------
Total from Investment Operations............... 3.05 2.21 0.70 3.14 0.99 (3.63)
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.16) (0.13) (0.10) (0.12) (0.18) (0.14)
Net Realized Gains.............................. (0.98) (0.12) (0.03) -- -- --
------- ------- ------- ------- ------- -------
Total Distributions............................ (1.14) (0.25) (0.13) (0.12) (0.18) (0.14)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 19.19 $ 17.28 $ 15.32 $ 14.75 $ 11.73 $ 10.92
================================================= =========== ======== ======== ======= ======== ==========
Total Return...................................... 18.68%(C) 14.67% 4.69% 26.93% 9.36% (24.96)%(C)
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $62,651 $49,423 $45,132 $41,316 $31,393 $25,599
Ratio of Expenses to Average Net Assets........... 0.48%(B) 0.48% 0.48% 0.49% 0.52% 0.50%(B)(E)
Ratio of Net Investment Income to Average Net
Assets........................................... 1.53%(B) 0.93% 0.61% 0.59% 1.12% 1.24%(B)(E)
Portfolio Turnover Rate........................... 7%(C) 20% 23% 20% 17% 20%(C)
---------------------------------------------------------------------------------------------------------------------
U.S. Targeted Value Portfolio-Class R2 Shares+
----------------------------------------------------------
Period
Six Months Year Year Year Year June 30,
Ended Ended Ended Ended Ended 2008(a) to
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009 2008
--------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............. $ 17.26 $ 15.31 $ 14.76 $11.74 $10.91 $ 13.94
------- ------- ------- ------ ------ -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.12 0.13 0.07 0.05 0.10 0.05
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 2.91 2.05 0.60 3.07 0.88 (3.02)
------- ------- ------- ------ ------ -------
Total from Investment Operations............... 3.03 2.18 0.67 3.12 0.98 (2.97)
--------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.15) (0.11) (0.09) (0.10) (0.15) (0.06)
Net Realized Gains.............................. (0.98) (0.12) (0.03) -- -- --
------- ------- ------- ------ ------ -------
Total Distributions............................ (1.13) (0.23) (0.12) (0.10) (0.15) (0.06)
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 19.16 $ 17.26 $ 15.31 $14.76 $11.74 $ 10.91
================================================= =========== ======== ======== ======== ======== ==========
Total Return...................................... 18.59%(C) 14.46% 4.50% 26.66% 9.23% (21.40)%(C)
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $17,311 $12,754 $10,918 $5,967 $2,930 $ 1,715
Ratio of Expenses to Average Net Assets........... 0.63%(B) 0.63% 0.63% 0.64% 0.67% 0.66%(B)(E)
Ratio of Net Investment Income to Average Net
Assets........................................... 1.37%(B) 0.78% 0.42% 0.44% 0.91% 1.35%(B)(E)
Portfolio Turnover Rate........................... 7%(C) 20% 23% 20% 17% 20%(C)
--------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
+ 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 accompanying Notes to Financial Statements.
102
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Institutional Class Shares
-------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
---------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period....................... $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69
---------- ---------- ---------- ---------- ---------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.15 0.17 0.12 0.09 0.12 0.18 0.20
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 2.91 2.06 0.59 3.06 0.88 (4.68) (1.32)
---------- ---------- ---------- ---------- ---------- -------- --------
Total from Investment
Operations................. 3.06 2.23 0.71 3.15 1.00 (4.50) (1.12)
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........ (0.17) (0.15) (0.12) (0.09) (0.14) (0.15) (0.20)
Net Realized Gains........... (0.98) (0.12) (0.03) -- -- (0.40) (1.48)
---------- ---------- ---------- ---------- ---------- -------- --------
Total Distributions......... (1.15) (0.27) (0.15) (0.09) (0.14) (0.55) (1.68)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period....................... $ 19.19 $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89
============================== =========== ========== ========== ========== ========== ======== ========
Total Return.................. 18.72%(C) 14.78% 4.76% 27.02% 9.47% (29.27)%(C) (6.59)%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $3,493,401 $2,989,632 $2,487,929 $2,223,982 $1,449,437 $855,448 $554,805
Ratio of Expenses to Average
Net Assets................... 0.37%(B) 0.38% 0.38% 0.38% 0.41% 0.40%(B) 0.41%(D)**
Ratio of Net Investment
Income to Average Net
Assets....................... 1.66%(B) 1.03% 0.71% 0.69% 1.19% 1.39%(B) 1.12%
Portfolio Turnover Rate....... 7%(C) 20% 23% 20% 17% 20%(C) 9%(C)*
---------------------------------------------------------------------------------------------------------------------------
U.S. Small Cap Value Portfolio
---------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period....................... $ 26.57 $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.28 0.20 0.16 0.09 0.04 0.18 0.30
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 4.43 3.38 1.00 4.79 1.54 (7.86) (2.72)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 4.71 3.58 1.16 4.88 1.58 (7.68) (2.42)
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........ (0.28) (0.18) (0.15) (0.08) (0.21) (0.22) (0.28)
Net Realized Gains........... (1.52) (0.33) -- -- -- (2.27) (2.40)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (1.80) (0.51) (0.15) (0.08) (0.21) (2.49) (2.68)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period....................... $ 29.48 $ 26.57 $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49
============================== =========== ========== ========== ========== ========== ========== ==========
Total Return.................. 18.83%(C) 15.60% 5.13% 27.69% 9.97% (31.80)%(C) (8.41)%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $8,001,377 $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%(B) 0.52% 0.52% 0.52% 0.54%++ 0.52%(B)(D) 0.52%(D)
Ratio of Net Investment
Income to Average Net
Assets....................... 2.03%(B) 0.78% 0.62% 0.43% 0.27% 0.86%(B) 0.98%
Portfolio Turnover Rate....... 6%(C) 15% 14% 19% 21%+ N/A N/A
--------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
* 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 accompanying Notes to Financial Statements.
103
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Core Equity 1 Portfolio
-----------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
-----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning
of Period................. $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............... 0.13 0.21 0.17 0.15 0.15 0.17 0.19
Net Gains (Losses) on
Securities (Realized and
Unrealized).............. 1.81 1.32 0.59 1.61 0.73 (4.03) 0.35
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............. 1.94 1.53 0.76 1.76 0.88 (3.86) 0.54
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..... (0.13) (0.20) (0.16) (0.12) (0.15) (0.16) (0.18)
Net Realized Gains........ -- -- -- -- -- -- (0.03)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions..... (0.13) (0.20) (0.16) (0.12) (0.15) (0.16) (0.21)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period.................... $ 13.92 $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83
=========================== =========== ========== ========== ========== ========== ========== ==========
Total Return............... 16.11%(C) 14.29% 7.47% 20.80% 11.64% (32.85)%(C) 4.68%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)............... $6,091,186 $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%(B) 0.19% 0.20% 0.20% 0.22% 0.20%(B) 0.20%
Ratio of Net Investment
Income to Average Net
Assets.................... 2.01%(B) 1.79% 1.49% 1.53% 2.02% 1.78%(B) 1.53%
Portfolio Turnover Rate.... 1%(C) 3% 5% 4% 7% 5%(C) 10%
-----------------------------------------------------------------------------------------------------------------------
U.S. Core Equity 2 Portfolio
-----------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning
of Period................. $ 11.99 $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............... 0.13 0.20 0.16 0.14 0.14 0.17 0.19
Net Gains (Losses) on
Securities (Realized and
Unrealized).............. 1.84 1.36 0.54 1.64 0.66 (4.04) 0.13
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............. 1.97 1.56 0.70 1.78 0.80 (3.87) 0.32
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..... (0.13) (0.18) (0.15) (0.11) (0.14) (0.17) (0.17)
Net Realized Gains........ (0.10) -- -- -- -- -- (0.03)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions..... (0.23) (0.18) (0.15) (0.11) (0.14) (0.17) (0.20)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period.................... $ 13.73 $ 11.99 $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77
=========================== =========== ========== ========== ========== ========== ========== ==========
Total Return............... 16.59%(C) 14.81% 6.98% 21.41% 10.66% (33.16)%(C) 2.78%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)............... $8,409,462 $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%(B) 0.22% 0.22% 0.23% 0.24% 0.23%(B) 0.23%
Ratio of Net Investment
Income to Average Net
Assets.................... 1.98%(B) 1.74% 1.42% 1.47% 1.89% 1.77%(B) 1.55%
Portfolio Turnover Rate.... 1%(C) 5% 9% 7% 4% 8%(C) 7%
----------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
104
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Vector Equity Portfolio
-------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
-----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 11.61 $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79
---------- ---------- ---------- ---------- ---------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.11 0.16 0.12 0.10 0.11 0.15 0.16
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 1.91 1.32 0.46 1.79 0.57 (3.89) (0.25)
---------- ---------- ---------- ---------- ---------- -------- --------
Total from Investment
Operations................. 2.02 1.48 0.58 1.89 0.68 (3.74) (0.09)
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.11) (0.15) (0.12) (0.10) (0.13) (0.16) (0.14)
Net Realized Gains............ (0.02) -- -- -- -- -- (0.18)
---------- ---------- ---------- ---------- ---------- -------- --------
Total Distributions......... (0.13) (0.15) (0.12) (0.10) (0.13) (0.16) (0.32)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 13.50 $ 11.61 $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38
============================== =========== ========== ========== ========== ========== ======== ========
Total Return................... 17.52%(C) 14.55% 5.86% 23.65% 9.47% (33.29)%(C) (0.87)%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $2,456,010 $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%(B) 0.32% 0.33% 0.33% 0.35% 0.34%(B) 0.34%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumptions of
Expenses and/or Recovery of
Previously Waived Fees)....... 0.32%(B) 0.32% 0.33% 0.33% 0.35% 0.34%(B) 0.33%
Ratio of Net Investment
Income to Average Net Assets.. 1.81%(B) 1.45% 1.11% 1.13% 1.60% 1.66%(B) 1.29%
Portfolio Turnover Rate........ 2%(C) 9% 10% 11% 11% 11%(C) 14%
-----------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
105
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Small Cap Portfolio
---------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
----------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................... 0.22 0.25 0.18 0.13 0.06 0.14 0.21
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 3.39 2.53 1.49 4.17 1.65 (6.08) (0.66)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 3.61 2.78 1.67 4.30 1.71 (5.94) (0.45)
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.23) (0.22) (0.18) (0.13) (0.17) (0.17) (0.21)
Net Realized Gains............ (1.20) -- -- -- -- (1.18) (1.16)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (1.43) (0.22) (0.18) (0.13) (0.17) (1.35) (1.37)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 25.29 $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64
=============================== =========== ========== ========== ========== ========== ========== ==========
Total Return................... 16.53%(C) 13.61% 8.76% 28.99% 13.08% (30.67)%(C) (2.17)%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $5,533,151 $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%(B) 0.37% 0.37% 0.37% 0.40%** 0.38%(B)(D) 0.38%(D)
Ratio of Net Investment Income
to Average Net Assets......... 1.83%(B) 1.14% 0.84% 0.76% 0.50% 0.86%(B) 0.95%
Portfolio Turnover Rate........ 7%(C) 16% 23% 19% 17%* N/A N/A
----------------------------------------------------------------------------------------------------------------------------------
U.S. Micro Cap Portfolio
---------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
---------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 14.84 $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................... 0.13 0.14 0.09 0.06 0.03 0.10 0.14
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 2.17 1.59 0.99 2.68 0.54 (4.32) (0.69)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 2.30 1.73 1.08 2.74 0.57 (4.22) (0.55)
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.15) (0.13) (0.09) (0.06) (0.19) (0.13) (0.13)
Net Realized Gains............ (0.76) -- -- -- -- (1.26) (1.35)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.91) (0.13) (0.09) (0.06) (0.19) (1.39) (1.48)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 16.23 $ 14.84 $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80
=============================== =========== ========== ========== ========== ========== ========== ==========
Total Return................... 16.47%(C) 13.13% 8.85% 28.77% 6.61% (31.33)%(C) (3.63)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $3,950,973 $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%(B) 0.52% 0.52% 0.52% 0.54%** 0.53%(B)(D) 0.52%(D)
Ratio of Net Investment Income
to Average Net Assets......... 1.66%(B) 0.99% 0.69% 0.58% 0.38% 0.91%(B) 0.89%
Portfolio Turnover Rate........ 7%(C) 15% 14% 9% 12%* N/A N/A
---------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
* 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 accompanying Notes to Financial Statements.
106
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Real Estate Securities Portfolio
-----------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................... $ 25.83 $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)...................... 0.40 0.57 0.40 0.58 0.58 0.64 0.62
Net Gains (Losses) on
Securities (Realized and
Unrealized)..................... 4.35 2.74 1.93 5.92 (0.62) (9.28) (5.64)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... 4.75 3.31 2.33 6.50 (0.04) (8.64) (5.02)
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............ (0.39) (0.73) (0.32) (0.55) (0.83) (0.30) (0.70)
Net Realized Gains............... -- -- -- -- -- (2.10) (0.88)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (0.39) (0.73) (0.32) (0.55) (0.83) (2.40) (1.58)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 30.19 $ 25.83 $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20
================================== =========== ========== ========== ========== ========== ========== ==========
Total Return...................... 18.61%(C) 14.45% 11.09% 43.21% 0.98% (34.46)%(C) (15.45)%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $4,650,887 $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........................... 0.18%(B) 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)...................... 0.19%(B) 0.23% 0.32% 0.33% 0.36% 0.33%(B) 0.33%
Ratio of Net Investment Income to
Average Net Assets............... 2.96%(B) 2.29% 1.76% 3.13% 4.54% 3.01%(B) 1.99%
Portfolio Turnover Rate........... 0%(C) 0% 3% 2% 2% 13%(C) 17%
-------------------------------------------------------------------------------------------------------------------------------
Large Cap International Portfolio
------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................... $ 18.33 $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)...................... 0.30 0.60 0.63 0.48 0.48 0.68 0.68
Net Gains (Losses) on
Securities (Realized and
Unrealized)..................... 2.42 0.40 (1.53) 1.43 3.16 (12.06) 3.57
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... 2.72 1.00 (0.90) 1.91 3.64 (11.38) 4.25
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............ (0.21) (0.58) (0.61) (0.51) (0.43) (0.64) (0.67)
Net Realized Gains............... -- -- -- -- -- (0.35) --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (0.21) (0.58) (0.61) (0.51) (0.43) (0.99) (0.67)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 20.84 $ 18.33 $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18
================================== =========== ========== ========== ========== ========== ========== ==========
Total Return...................... 14.94%(C) 5.89% (4.86)% 10.99% 25.20% (43.14)%(C) 18.18%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $2,441,406 $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........................... 0.29%(B) 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)...................... 0.29%(B) 0.30% 0.30% 0.30% 0.32% 0.29%(B) 0.29%
Ratio of Net Investment Income to
Average Net Assets............... 3.11%(B) 3.38% 3.19% 2.65% 3.14% 3.18%(B) 2.62%
Portfolio Turnover Rate........... 5%(C) 4% 3% 7% 12% 12%(C) 5%
------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
107
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Core Equity Portfolio
------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
---------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 10.10 $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.16 0.31 0.33 0.23 0.23 0.37 0.35
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 1.39 0.20 (0.89) 0.96 2.32 (6.76) 1.54
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 1.55 0.51 (0.56) 1.19 2.55 (6.39) 1.89
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.09) (0.30) (0.33) (0.20) (0.22) (0.35) (0.32)
Net Realized Gains............ -- -- -- -- -- (0.15) (0.04)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.09) (0.30) (0.33) (0.20) (0.22) (0.50) (0.36)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 11.56 $ 10.10 $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35
============================== =========== ========== ========== ========== ========== ========== ==========
Total Return................... 15.48%(C) 5.49% (5.49)% 12.48% 34.81% (45.76)%(C) 14.83%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $7,918,863 $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.................... 0.39%(B) 0.40% 0.40% 0.40% 0.41% 0.41%(B) 0.41%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses and/or Recovery of
Previously Waived Fees and
Fees Paid Indirectly)......... 0.39%(B) 0.40% 0.40% 0.40% 0.41% 0.41%(B) 0.41%
Ratio of Net Investment
Income to Average Net Assets.. 2.93%(B) 3.18% 2.96% 2.31% 2.84% 3.39%(B) 2.49%
Portfolio Turnover Rate........ 2%(C) 5% 3% 2% 5% 4%(C) 4%
---------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
108
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period
International Small Company Portfolio
------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 15.28 $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................... 0.19 0.38 0.40 0.28 0.28 0.44 0.43
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 2.13 0.39 (0.83) 2.13 3.91 (9.55) 2.07
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 2.32 0.77 (0.43) 2.41 4.19 (9.11) 2.50
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.14) (0.42) (0.50) (0.26) (0.27) (0.45) (0.46)
Net Realized Gains............ (0.09) (0.28) -- -- -- (1.17) (0.67)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.23) (0.70) (0.50) (0.26) (0.27) (1.62) (1.13)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 17.37 $ 15.28 $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80
=============================== =========== ========== ========== ========== ========== ========== ==========
Total Return................... 15.38%(C) 5.63% (2.92)% 17.61% 42.34% (47.13)%(C) 13.29%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $7,387,997 $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%(B) 0.56% 0.55% 0.56% 0.57% 0.55%(B) 0.55%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumptions of
Expenses and/or Recovery of
Previously Waived
Fees) (D)..................... 0.56%(B) 0.56% 0.55% 0.56% 0.57% 0.55% 0.55%
Ratio of Net Investment Income
to Average Net Assets......... 2.33%(B) 2.58% 2.37% 1.94% 2.48% 2.90%(B) 2.03%
----------------------------------------------------------------------------------------------------------------------------
Japanese Small Company Portfolio
----------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
--------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 14.99 $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23
-------- -------- -------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................... 0.18 0.29 0.27 0.22 0.22 0.29 0.27
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 3.66 (0.26) 1.08 (0.18) 2.39 (4.78) (0.52)
-------- -------- -------- -------- -------- -------- --------
Total from Investment
Operations................. 3.84 0.03 1.35 0.04 2.61 (4.49) (0.25)
--------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.13) (0.28) (0.24) (0.23) (0.26) (0.29) (0.23)
Net Realized Gains............ -- -- -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
Total Distributions......... (0.13) (0.28) (0.24) (0.23) (0.26) (0.29) (0.23)
--------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 18.70 $ 14.99 $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75
=============================== =========== ======== ======== ======== ======== ======== ========
Total Return................... 25.82%(C) 0.20% 9.57% 0.33% 22.08% (27.16)%(C) (1.51)%
--------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $495,511 $293,968 $163,120 $114,933 $114,058 $133,373 $199,080
Ratio of Expenses to Average
Net Assets (D)................ 0.57%(B) 0.57% 0.56% 0.57% 0.59% 0.58%(B) 0.56%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumptions of
Expenses and/or Recovery of
Previously Waived
Fees) (D)..................... 0.57%(B) 0.57% 0.56% 0.57% 0.59% 0.58%(B) 0.56%
Ratio of Net Investment Income
to Average Net Assets......... 2.24%(B) 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.
109
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Asia Pacific Small Company Portfolio
----------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
-------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period...... $ 23.22 $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26
-------- -------- -------- -------- -------- ------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......... 0.33 0.87 0.85 0.69 0.50 0.83 0.79
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 2.04 0.58 (2.16) 4.99 8.95 (17.04) 8.43
-------- -------- -------- -------- -------- ------- --------
Total from Investment Operations....... 2.37 1.45 (1.31) 5.68 9.45 (16.21) 9.22
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................... (0.78) (1.27) (1.29) (0.63) (0.53) (0.85) (0.75)
Net Realized Gains....................... -- -- -- -- -- -- --
Return of Capital........................ -- -- -- -- -- -- --
-------- -------- -------- -------- -------- ------- --------
Total Distributions.................... (0.78) (1.27) (1.29) (0.63) (0.53) (0.85) (0.75)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 24.81 $ 23.22 $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73
========================================== =========== ======== ======== ======== ======== ======== ========
Total Return.............................. 10.47%(C) 7.09% (5.59)% 28.36% 84.11% (57.94)%(C) 46.55%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $270,911 $238,191 $139,262 $131,511 $101,853 $64,044 $146,307
Ratio of Expenses to Average Net
Assets (D)............................... 0.59%(B) 0.59% 0.60% 0.63% 0.65% 0.62%(B) 0.62%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumptions of
Expenses and/or Recovery of Previously
Waived Fees) (D)......................... 0.59%(B) 0.59% 0.60% 0.61% 0.65% 0.61%(B) 0.59%
Ratio of Net Investment Income to Average
Net Assets............................... 2.72%(B) 3.91% 3.34% 3.14% 3.53% 3.85%(B) 3.13%
-------------------------------------------------------------------------------------------------------------------------
United Kingdom Small Company Portfolio
-----------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
-------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period...... $ 27.81 $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97
------- ------- ------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......... 0.34 0.69 0.82 0.50 0.55 0.77 0.78
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 3.77 4.47 (0.85) 4.41 5.44 (15.84) (0.08)
------- ------- ------- ------- ------- ------- -------
Total from Investment Operations....... 4.11 5.16 (0.03) 4.91 5.99 (15.07) 0.70
-------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................... (0.35) (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.................... (0.35) (0.79) (0.77) (0.50) (0.43) (1.95) (2.38)
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 31.57 $ 27.81 $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29
========================================== =========== ======== ======== ======== ======== ======== ========
Total Return.............................. 14.93%(C) 22.82% (0.28)% 25.37% 42.81% (50.97)%(C) 1.94%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $33,309 $31,316 $33,869 $33,751 $27,863 $25,883 $37,139
Ratio of Expenses to Average Net
Assets (D)............................... 0.59%(B) 0.60% 0.60% 0.60% 0.61% 0.59%(B) 0.59%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumptions of
Expenses and/or Recovery of Previously
Waived Fees) (D)......................... 0.64%(B) 0.63% 0.62% 0.64% 0.70% 0.65%(B) 0.62%
Ratio of Net Investment Income to Average
Net Assets............................... 2.36%(B) 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.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Continental Small Company Portfolio
-----------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1,
Ended Ended Ended Ended Ended 2007 to
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009 2008
-----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................... $ 14.51 $ 14.66 $ 16.93 $ 15.02 $ 10.73 $ 22.95
-------- -------- -------- -------- -------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)...................... 0.17 0.39 0.39 0.27 0.28 0.52
Net Gains (Losses) on
Securities (Realized and
Unrealized)..................... 2.17 (0.17) (2.20) 1.89 4.29 (11.32)
-------- -------- -------- -------- -------- -------
Total from Investment
Operations.................... 2.34 0.22 (1.81) 2.16 4.57 (10.80)
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............ (0.07) (0.37) (0.46) (0.25) (0.28) (0.45)
Net Realized Gains............... -- -- -- -- -- (0.96)
Return of Capital................ -- -- -- -- -- (0.01)
-------- -------- -------- -------- -------- -------
Total Distributions............ (0.07) (0.37) (0.46) (0.25) (0.28) (1.42)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 16.78 $ 14.51 $ 14.66 $ 16.93 $ 15.02 $ 10.73
================================== =========== ======== ======== ======== ======== ========
Total Return...................... 16.22%(C) 1.85% (11.09)% 14.85% 43.12% (49.89)%(C)
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $115,651 $106,316 $117,452 $128,106 $110,926 $93,988
Ratio of Expenses to Average Net
Assets........................... 0.59%(B)(D) 0.59%(D) 0.58%(D) 0.59%(D) 0.62%(D) 0.59%(B)(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%(B)(D) 0.59%(D) 0.58%(D) 0.59%(D) 0.61%(D) 0.59%(B)(D)
Ratio of Net Investment Income to
Average Net Assets............... 2.12%(B) 2.78% 2.25% 1.78% 2.39% 3.04%(B)
Portfolio Turnover Rate........... N/A N/A N/A N/A N/A N/A
-----------------------------------------------------------------------------------------------------------------------
---------
Year
Ended
Nov. 30,
2007
------------------------------------------------
Net Asset Value, Beginning of
Period........................... $ 20.47
--------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)...................... 0.40
Net Gains (Losses) on
Securities (Realized and
Unrealized)..................... 3.00
--------
Total from Investment
Operations.................... 3.40
------------------------------------------------
Less Distributions
------------------
Net Investment Income............ (0.38)
Net Realized Gains............... (0.54)
Return of Capital................ --
--------
Total Distributions............ (0.92)
------------------------------------------------
Net Asset Value, End of Period.... $ 22.95
================================== ========
Total Return...................... 16.99%
------------------------------------------------
Net Assets, End of Period
(thousands)...................... $170,909
Ratio of Expenses to Average Net
Assets........................... 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)...................... 0.57%(D)
Ratio of Net Investment Income to
Average Net Assets............... 1.70%
Portfolio Turnover Rate........... N/A
------------------------------------------------
DFA International Real Estate Securities Portfolio
-----------------------------------------------------------------------------------
Period Period
Six Months Year Year Year Year Dec. 1, March 1,
Ended Ended Ended Ended Ended 2007 to 2007(a) to
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
-----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................... $ 5.67 $ 4.90 $ 5.58 $ 5.24 $ 4.18 $ 9.35 $ 10.00
---------- ---------- ---------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)...................... 0.11 0.27 0.30 0.31 0.26 0.34 0.23
Net Gains (Losses) on
Securities (Realized and
Unrealized)..................... 0.67 0.75 (0.33) 0.58 0.91 (5.08) (0.76)
---------- ---------- ---------- -------- -------- -------- --------
Total from Investment
Operations.................... 0.78 1.02 (0.03) 0.89 1.17 (4.74) (0.53)
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............ (0.66) (0.25) (0.65) (0.55) (0.11) (0.43) (0.12)
Net Realized Gains............... -- -- -- -- -- -- --
Return of Capital................ -- -- -- -- -- -- --
---------- ---------- ---------- -------- -------- -------- --------
Total Distributions............ (0.66) (0.25) (0.65) (0.55) (0.11) (0.43) (0.12)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 5.79 $ 5.67 $ 4.90 $ 5.58 $ 5.24 $ 4.18 $ 9.35
================================== =========== ========== ========== ======== ======== ======== ==========
Total Return...................... 15.42%(C) 22.34% (0.43)% 18.96% 29.25% (52.85)%(C) (5.38)%(C)
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $1,969,397 $1,531,708 $1,060,156 $958,554 $742,329 $394,480 $336,840
Ratio of Expenses to Average Net
Assets........................... 0.40%(B) 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)...................... 0.40%(B) 0.41% 0.42% 0.41% 0.43% 0.44%(B) 0.48%(B)(E)
Ratio of Net Investment Income to
Average Net Assets............... 4.12%(B) 5.45% 5.73% 6.42% 6.40% 5.20%(B) 3.50%(B)(E)
Portfolio Turnover Rate........... 5%(C) 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.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Global Real Estate Securities Portfolio
--------------------------------------------------------------------------------
Period
Six Months Year Year Year Year June 4,
Ended Ended Ended Ended Ended 2008(a) to
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009 2008
------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................... $ 9.33 $ 8.21 $ 8.28 $ 6.75 $ 6.04 $ 10.00
---------- ---------- -------- -------- -------- -------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)...................... 0.48 0.29 0.41 0.40 0.19 --
Net Gains (Losses) on Securities
(Realized and Unrealized)....... 1.03 1.07 0.06 1.60 0.62 (3.96)
---------- ---------- -------- -------- -------- -------
Total from Investment
Operations.................... 1.51 1.36 0.47 2.00 0.81 (3.96)
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............ (0.60) (0.24) (0.54) (0.47) (0.10) --
Net Realized Gains............... -- -- -- -- -- --
---------- ---------- -------- -------- -------- -------
Total Distributions............ (0.60) (0.24) (0.54) (0.47) (0.10) --
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 10.24 $ 9.33 $ 8.21 $ 8.28 $ 6.75 $ 6.04
================================== =========== ========== ======== ======== ======== ==========
Total Return...................... 17.18%(C) 17.33% 6.17% 31.38% 13.81% (39.60)%(C)
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $1,729,514 $1,315,547 $869,348 $695,461 $432,502 $90,672
Ratio of Expenses to Average Net
Assets........................... 0.32%(B)(D) 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)... 0.55%(B)(D) 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............... 10.24%(B) 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 N/A
------------------------------------------------------------------------------------------------------------------------------
DFA International Small Cap Value Portfolio
-------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................... $ 15.16 $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71
----------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)...................... 0.22 0.34 0.34 0.24 0.26 0.52 0.46
Net Gains (Losses) on Securities
(Realized and Unrealized)....... 2.70 0.61 (0.98) 1.22 4.14 (9.60) 1.66
----------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... 2.92 0.95 (0.64) 1.46 4.40 (9.08) 2.12
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............ (0.13) (0.36) (0.38) (0.22) (0.24) (0.58) (0.53)
Net Realized Gains............... (0.21) (0.28) (0.29) -- (0.06) (1.57) (1.25)
----------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (0.34) (0.64) (0.67) (0.22) (0.30) (2.15) (1.78)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 17.74 $ 15.16 $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05
================================== =========== ========== ========== ========== ========== ========== ==========
Total Return...................... 19.60%(C) 6.92% (4.39)% 10.01% 41.42% (45.17)%(C) 10.25%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $10,008,959 $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........................... 0.70%(B) 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)... 0.70%(B) 0.71% 0.70% 0.70% 0.71% 0.69%(B) 0.69%
Ratio of Net Investment Income to
Average Net Assets............... 2.66%(B) 2.30% 2.05% 1.57% 2.19% 3.22%(B) 2.03%
Portfolio Turnover Rate........... 4%(C) 18% 16% 18% 22% 16%(C) 18%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Vector Equity Portfolio
------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period....................... $ 9.33 $ 9.34 $ 10.28 $ 9.22 $ 6.74
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.13 0.27 0.29 0.18 0.17
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. 1.34 0.14 (0.87) 1.05 2.46
-------- -------- -------- -------- --------
Total from Investment Operations........................ 1.47 0.41 (0.58) 1.23 2.63
-------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................... (0.07) (0.27) (0.29) (0.17) (0.15)
Net Realized Gains....................................... (0.03) (0.15) (0.07) -- --
-------- -------- -------- -------- --------
Total Distributions..................................... (0.10) (0.42) (0.36) (0.17) (0.15)
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................. $ 10.70 $ 9.33 $ 9.34 $ 10.28 $ 9.22
=========================================================== =========== ======== ======== ======== ========
Total Return............................................... 15.96%(C) 4.90% (5.99)% 13.62% 39.52%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)...................... $707,597 $561,399 $410,580 $363,123 $262,544
Ratio of Expenses to Average Net Assets.................... 0.52%(B) 0.54% 0.54% 0.54% 0.60%
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumption of Expenses and/or Recovery of Previously
Waived Fees and Fees Paid Indirectly)..................... 0.52%(B) 0.54% 0.54% 0.53% 0.59%
Ratio of Net Investment Income to Average Net Assets....... 2.72%(B) 2.94% 2.73% 1.91% 2.31%
Portfolio Turnover Rate.................................... 3%(C) 5% 10% 5% 8%
-------------------------------------------------------------------------------------------------------------------
---------
Period
Aug. 14,
2008(a) to
Oct. 31,
2008
----------------------------------------------------------------------------
Net Asset Value, Beginning of Period....................... $ 10.00
-------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.06
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. (3.32)
-------
Total from Investment Operations........................ (3.26)
----------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................... --
Net Realized Gains....................................... --
-------
Total Distributions..................................... --
----------------------------------------------------------------------------
Net Asset Value, End of Period............................. $ 6.74
=========================================================== ==========
Total Return............................................... (32.60)%(C)
----------------------------------------------------------------------------
Net Assets, End of Period (thousands)...................... $66,774
Ratio of Expenses to Average Net Assets.................... 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)..................... 1.15%(B)(E)
Ratio of Net Investment Income to Average Net Assets....... 3.01%(B)(E)
Portfolio Turnover Rate.................................... 0%(C)
----------------------------------------------------------------------------
World ex U.S. Value Portfolio
-------------------------------------------------
Period
Six Months Year Year Aug. 23,
Ended Ended Ended 2010(a) to
April 30, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010
-----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period....................... $ 9.94 $ 9.96 $ 11.35 $ 10.00
------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)......................... 0.13 0.29 0.30 0.02
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. 1.15 (0.05) (1.35) 1.33
------- ------- ------- -------
Total from Investment Operations........................ 1.28 0.24 (1.05) 1.35
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................... (0.11) (0.26) (0.26) --
Net Realized Gains....................................... -- -- (0.08) --
------- ------- ------- -------
Total Distributions..................................... (0.11) (0.26) (0.34) --
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................. $ 11.11 $ 9.94 $ 9.96 $ 11.35
=========================================================== =========== ======== ======== ==========
Total Return............................................... 12.92%(C) 2.70% (9.59)% 13.50%(C)
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)...................... $92,175 $57,197 $47,165 $29,616
Ratio of Expenses to Average Net Assets.................... 0.60%(B)(D) 0.60%(D) 0.60%(D) 0.90%(B)(D)(E)
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumption of Expenses and/or Recovery of Previously
Waived Fees and Fees Paid Indirectly)..................... 0.81%(B)(D) 0.84%(D) 0.91%(D) 1.37%(B)(D)(E)
Ratio of Net Investment Income to Average Net Assets....... 2.53%(B) 2.97% 2.64% 0.76%(B)(E)
Portfolio Turnover Rate.................................... N/A N/A N/A N/A
-----------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
World ex U.S. World ex U.S. Selectively Hedged
Targeted Value Portfolio Core Equity Portfolio Global Equity Portfolio
------------------------ --------------------- ----------------------
Period Period Period
Nov. 1, April 9, Six Months Nov. 14,
2012(a) to 2013(a) to Ended 2011(a) to
April 30, April 30, April 30, Oct. 31,
2013 2013 2013 2012
------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period........................ $ 10.00 $10.00 $ 10.87 $ 10.00
------- ------ ------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.05 -- 0.07 0.22
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 1.49 0.16 1.59 0.87
------- ------ ------- -------
Total from Investment
Operations................. 1.54 0.16 1.66 1.09
------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.05) -- (0.10) (0.22)
Net Realized Gains............ -- -- (0.03) --
------- ------ ------- -------
Total Distributions......... (0.05) -- (0.13) (0.22)
------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 11.49 $10.16 $ 12.40 $ 10.87
============================== ======================== ===================== =========== ==========
Total Return................... 15.49%(C) 1.60%(C) 15.42%(C) 11.11%(C)
------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $60,321 $ 907 $75,407 $34,950
Ratio of Expenses to Average
Net Assets (D)................ 0.80%(B)(E) 0.47%(B)(E) 0.40%(B) 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)... 1.32%(B)(E) 7.66%(B)(E) 0.77%(B) 1.00%(B)(E)
Ratio of Net Investment
Income to Average Net Assets.. 0.95%(B)(E) (0.07)%(B)(E) 1.25%(B) 2.13%(B)(E)
Portfolio Turnover Rate........ N/A N/A
------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Portfolio
------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
-----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period...... $ 26.06 $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.17 0.55 0.61 0.48 0.42 0.70 0.64
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 1.41 0.37 (2.53) 6.07 8.42 (16.85) 9.88
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from
Investment
Operations............ 1.58 0.92 (1.92) 6.55 8.84 (16.15) 10.52
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment
Income................. (0.13) (0.50) (0.53) (0.46) (0.41) (0.69) (0.53)
Net Realized Gains...... (0.28) (1.04) (1.77) (0.42) (0.25) (1.34) (0.16)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total
Distributions......... (0.41) (1.54) (2.30) (0.88) (0.66) (2.03) (0.69)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 27.23 $ 26.06 $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23
========================== =========== ========== ========== ========== ========== ========== ==========
Total Return.............. 6.08%(C) 4.08% (6.82)% 26.53% 53.39% (48.37)%(C) 42.08%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).............. $3,120,026 $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)............... 0.59%(B) 0.61% 0.61% 0.60% 0.62% 0.60%(B) 0.60%
Ratio of Net Investment
Income to Average Net
Assets................... 1.25%(B) 2.14% 2.07% 1.76% 2.15% 2.59%(B) 2.12%
-----------------------------------------------------------------------------------------------------------------------
Emerging Markets Small Cap Portfolio
----------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
--------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period...... $ 20.33 $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96
---------- ---------- ---------- ---------- ---------- -------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.12 0.40 0.42 0.34 0.26 0.44 0.31
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 2.42 0.83 (3.67) 6.79 8.14 (12.95) 6.86
---------- ---------- ---------- ---------- ---------- -------- ----------
Total from
Investment
Operations............ 2.54 1.23 (3.25) 7.13 8.40 (12.51) 7.17
--------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment
Income................. (0.16) (0.35) (0.40) (0.32) (0.28) (0.41) (0.26)
Net Realized Gains...... (0.61) (0.40) (0.76) -- -- (1.49) (1.13)
---------- ---------- ---------- ---------- ---------- -------- ----------
Total
Distributions......... (0.77) (0.75) (1.16) (0.32) (0.28) (1.90) (1.39)
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 22.10 $ 20.33 $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74
========================== =========== ========== ========== ========== ========== ======== ==========
Total Return.............. 12.81%(C) 6.71% (14.03)% 41.33% 91.35% (57.00)%(C) 42.58%
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).............. $3,928,943 $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)............... 0.79%(B) 0.82% 0.79% 0.78% 0.80% 0.77%(B) 0.78%
Ratio of Net Investment
Income to Average Net
Assets................... 1.16%(B) 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.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Class R2 Shares+
----------------------------------------------------------- ---------------
Period
Six Months Year Year Year Year Jan. 29, Six Months
Ended Ended Ended Ended Ended 2008(a) to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2013 2012 2011 2010 2009 2008 2013
-------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value,
Beginning of Period..... $ 28.21 $ 29.02 $ 36.35 $ 46.84 $ 85.43 $187.35 $ 28.22
-------- ------- ------- ------- ------- ------- -----------
Income from Investment
Operations
----------------------
Net Investment
Income
(Loss) (A)............ 0.13 0.50 0.20 0.56 0.56 3.93 0.17
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... 2.19 (0.45) (5.45) 9.18 21.36 (92.36) 2.18
-------- ------- ------- ------- ------- ------- -----------
Total from Investment
Operations.............. 2.32 0.05 (5.25) 9.74 21.92 (88.43) 2.35
-------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment
Income................ (0.15) (0.47) (0.45) (7.12) (6.00) (13.49) (0.18)
Net Realized Gains..... (0.59) (0.39) (1.63) (13.11) (54.52) -- (0.59)
-------- ------- ------- ------- ------- ------- -----------
Total Distributions...... (0.74) (0.86) (2.08) (20.23) (60.52) (13.49) (0.77)
-------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period.................. $ 29.79 $ 28.21 $ 29.02 $ 36.35 $ 46.83 $ 85.43 $ 29.80
======================== =========== ======== ======== ======== ======== ========== ===========
Total Return............. 8.27%(C) 0.43% (15.24)% 29.71% 78.29% (50.51)%(C) 8.40%(C)
-------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)...... $109,510 $99,111 $78,157 $39,668 $ 5,082 $ 1,799 $18,431,359
Ratio of Expenses to
Average Net
Assets (D).............. 0.84%(B) 0.86% 0.86% 0.86% 0.90% 0.92%(B)(E) 0.59%(B)
Ratio of Net Investment
Income to Average Net
Assets.................. 0.91%(B) 1.78% 1.56% 1.39% 1.39% 3.35%(B)(E) 1.17%(B)
-------------------------------------------------------------------------------------------------------------
Emerging Markets 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..... $ 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 (Realized
and 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%
---------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
+ 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 accompanying Notes to Financial Statements.
116
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Core Equity Portfolio
-------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 19.00 $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13
----------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).................. 0.12 0.41 0.43 0.30 0.25 0.43 0.35
Net Gains (Losses) on
Securities (Realized and
Unrealized)................. 1.43 0.23 (2.65) 4.81 6.56 (11.27) 6.10
----------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 1.55 0.64 (2.22) 5.11 6.81 (10.84) 6.45
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.11) (0.37) (0.36) (0.29) (0.20) (0.40) (0.32)
Net Realized Gains............ -- -- -- -- -- (0.08) (0.06)
----------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......... (0.11) (0.37) (0.36) (0.29) (0.20) (0.48) (0.38)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period. $ 20.44 $ 19.00 $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20
============================== =========== ========== ========== ========== ========== ========== ==========
Total Return................... 8.17%(C) 3.55% (10.59)% 31.30% 69.47% (51.93)%(C) 43.20%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $11,222,418 $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.................... 0.64%(B) 0.68% 0.67% 0.65% 0.67% 0.65%(B) 0.65%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumption of
Expenses and/or Recovery of
Previously Waived Fees and
Fees Paid Indirectly)......... 0.65%(B) 0.68% 0.68% 0.65% 0.67% 0.65%(B) 0.65%
Ratio of Net Investment
Income to Average Net Assets.. 1.22%(B) 2.18% 2.04% 1.63% 2.03% 2.62%(B) 1.87%
Portfolio Turnover Rate........ 1%(C) 1% 1% 4% 6% 3%(C) 2%
----------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
117
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of seventy-five
operational portfolios, of which twenty-nine (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 ("DFAITC") and one invests in the
Dimensional Emerging Markets Value Fund. International Small Company Portfolio
invests in five portfolios within DFAITC. DFA Global Real Estate Securities
Portfolio invests in two portfolios within the Fund and World ex U.S. Value
Portfolio invests in four portfolios within the Fund, DFAITC, and Dimensional
Emerging Markets Value Fund ("DEM"). World ex U.S. Targeted Value Portfolio
invests in four portfolios within the Fund. World ex U.S. Core Equity Portfolio
invests in two portfolios within the Fund. Selectively Hedged Global Equity
Portfolio invests in three portfolios within the Fund.
Percentage
Ownership
Feeder Funds Master Funds at 4/30/13
------------ ------------ ----------
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 80%
Japanese Small Company Portfolio The Japanese Small Company Series 22%
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 4%
Emerging Markets Portfolio The Emerging Markets Series 97%
Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 99%
Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 99%
Fund of Funds
------------- -
International Small Company Portfolio The Continental Small Company Series 96%
The Japanese Small Company Series 79%
The United Kingdom Small Company Series 98%
The Asia Pacific Small Company Series 77%
The Canadian Small Company Series 99%
DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 22%
DFA International Real Estate Securities 35%
Portfolio
World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund --
DFA International Small Cap Value Portfolio --
The DFA International Value Series 1%
World ex U.S. Targeted Value Portfolio DFA International Small Cap Value Portfolio --
Dimensional Emerging Markets Value Fund --
International Vector Equity Portfolio 1%
The Emerging Markets Small Cap Series --
World ex U.S. Core Equity Portfolio International Core Equity Portfolio --
Emerging Markets Core Equity Portfolio --
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%.
118
Each feeder fund and fund of funds (collectively, "Feeder Funds") invests
primarily in a corresponding master fund(s) ("Master Fund") as indicated.
International Small Company Portfolio, DFA Global Real Estate Securities
Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value
Portfolio, World ex U.S. Core Equity Portfolio, and Selectively Hedged Global
Equity Portfolio also invest in short-term temporary cash investments. In
addition, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity
Portfolio, and 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 and Fund of 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 Series is a result of the treatment of a
partnership for book purposes. The Series 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
the 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 will maintain its books and records and present its financial
statements in accordance with generally accepted accounting principles for
investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
119
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Securities held by Enhanced U.S. Large Company Portfolio, U.S. Targeted
Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio,
U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap
Portfolio, U.S. Micro Cap Portfolio and DFA Real Estate Securities Portfolio
(the "Domestic Equity Portfolios") and Large Cap International Portfolio,
International Core Equity Portfolio, DFA International Real Estate Securities
Portfolio, DFA International Small Cap Value Portfolio, International Vector
Equity Portfolio and Emerging Markets Core Equity Portfolio (the "International
Equity Portfolios"), including over-the-counter securities, are valued at the
last quoted sale price 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 the 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 the
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"), and International Equity Portfolios, 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,
120
this ordinarily will be the over-the-counter market. Securities for which
quotations are not readily available (including restricted securities), or for
which market quotations have become unreliable, are valued in good faith at
fair value in accordance with procedures adopted by the Board of
Directors/Trustees. These valuations are generally classified as Level 2 in the
hierarchy.
Listed Derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy. Over the counter derivative contracts, which include forward
currency contracts, do not require material subjectivity as pricing inputs are
observed from quoted markets and are categorized as Level 2 in the hierarchy.
Most Master Fund shares held by DFA Global Real Estate Securities Portfolio,
World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex
U.S. Core Equity Portfolio and Selectively Hedged Global Equity Portfolio are
valued at their respective daily net asset values, as these Master Funds are
treated as regulated investment companies. The Feeder Funds, International
Small Company Portfolio, World ex U.S. Value Portfolio and World ex U.S.
Targeted Value Portfolio's investments in Series of DFAITC or DEM reflect their
proportionate interest in the net assets of such corresponding Master Fund.
These valuations are classified as Level 1 in the hierarchy.
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Portfolio.
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 recent 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 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.
121
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 April 30, 2013, 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 gains 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, World ex U.S. Value Portfolio and World ex U.S. Targeted 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 Fund within DFAITC or DEM, 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.
122
For the six months ended April 30, 2013, the Portfolios' investment advisory
services fees were accrued daily and paid monthly to the Advisor based on the
following effective annual rates of average daily net assets:
Enhanced U.S. Large Company Portfolio*............. 0.05%
U.S. Targeted Value Portfolio*..................... 0.10%
U.S. Small Cap Value Portfolio*.................... 0.20%
U.S. Core Equity 1 Portfolio....................... 0.17%
U.S. Core Equity 2 Portfolio....................... 0.20%
U.S. Vector Equity Portfolio....................... 0.30%
U.S. Small Cap Portfolio*.......................... 0.03%
U.S. Micro Cap Portfolio*.......................... 0.10%
DFA Real Estate Securities Portfolio............... 0.17%
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........ 0.27%
DFA International Small Cap Value Portfolio........ 0.65%
International Vector Equity Portfolio.............. 0.45%
World ex U.S. Value Portfolio...................... 0.47%
World ex U.S. Targeted Value Portfolio............. 0.58%
World ex U.S. Core Equity Portfolio................ 0.40%
Selectively Hedged Global Equity Portfolio......... 0.30%
Emerging Markets Core Equity Portfolio............. 0.55%
For the six months ended April 30, 2013, 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.
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive certain fees, including administration/advisory fees,
123
and in certain instances, assume certain expenses of the Portfolios, as
described in the notes below. The Fee Waiver Agreement for the Portfolios below
will remain in effect through February 28, 2014, and shall continue in effect
from year to year thereafter unless terminated by the Fund or the Advisor. For
the six months ended April 30, 2013, the Portfolios had expense limits based on
a percentage of average net assets on an annualized basis, and the Advisor
recovered previously waived fees and/or expenses assumed as listed below
(amounts in thousands). Previously waived fees subject to future recovery by
the Advisor are also reflected below (amounts in thousands). The Fund, on
behalf of the Portfolios, is not obligated to reimburse the Advisor for fees
previously waived or expenses previously assumed by the Advisor more than
thirty-six months before the date of recovery.
Previously
Recovery Waived Fees/
Expense of Previously Expenses Assumed
Limitation Waived Fees/ Subject to Future
Institutional Class Shares Amount Expenses Assumed Recovery
-------------------------- ---------- ---------------- -----------------
U.S. Targeted Value Portfolio (1)...................... 0.50% -- --
U.S. Core Equity 1 Portfolio (2)....................... 0.23% -- --
U.S. Core Equity 2 Portfolio (2)....................... 0.26% -- --
U.S. Vector Equity Portfolio (2)....................... 0.36% -- --
DFA Real Estate Securities Portfolio (2)............... 0.18% -- $ 555
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% -- 31
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% -- 7,833
International Vector Equity Portfolio (2).............. 0.60% -- --
World ex U.S. Value Portfolio (6)...................... 0.60% -- 364
World ex U.S. Targeted Value Portfolio (7)............. 0.80% -- 101
World ex U.S. Core Equity Portfolio (8)................ 0.47% -- 2
Selectively Hedged Global Equity Portfolio (9)......... 0.40% $ 1 252
Emerging Markets Core Equity Portfolio (2)............. 0.85% -- --
Class R1 Shares
---------------
U.S. Targeted Value Portfolio (1)...................... 0.62% -- --
Class R2 Shares
---------------
U.S. Targeted Value Portfolio (1)...................... 0.77% -- --
Emerging Markets Value Portfolio (10).................. 0.96% -- --
(1) The Advisor has contractually agreed to waive its administration fee and
advisory fee and to assume the Portfolio's 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 a class of shares of the Portfolio
to the rate listed above for such class of shares as a percentage of average
net assets on an annualized basis (the "Expense Limitation Amount"). At any
time that the Portfolio Expenses of a class of shares of the Portfolio are less
than the Expense Limitation Amount listed above for such class of shares, 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 for such class of shares to exceed
the Expense Limitation Amount, as listed above.
(2) The Advisor has contractually agreed to waive all or a portion of its
advisory fee and assume each Portfolio's ordinary operating expenses (excluding
the expenses a Portfolio incurs indirectly through investment in other
investment companies and excluding any applicable 12b-1 fees) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of each
Portfolio to the rates listed above as a percentage of average net assets on an
annualized 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
124
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 listed above, 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 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 funds 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 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 is the amount of the Remaining Management Fee.
Further, at any time that the Portfolio
125
Expenses of the Portfolio are less than the Portfolio's Expense Limitation
Amount listed above, 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 Portfolio's annualized Portfolio
Expenses to exceed the Portfolio's Expense Limitation Amount, as listed above.
(7) The Advisor has contractually agreed to waive up to the full amount of
the Portfolio's advisory fee of 0.58% 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 has also agreed to waive all or a portion of the advisory 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 the 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 such class of the Portfolio
listed above, 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, as listed
above.
(8) The Advisor has contractually agreed to waive all or a portion of its
advisory fee and to assume the expenses of a class of the Portfolio (including
the expenses that the Portfolio bears as a shareholder of its Master Funds 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 a class of the Portfolio to the rate listed as a
percentage of average net assets 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 such class of the
Portfolio listed above, 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,
as listed above.
(9) 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 such class of the Portfolio
listed above, 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, as listed
above.
(10) 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.
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
126
the accompanying financial statements is presented before reduction for
credits. During the six months ended April 30, 2013, expenses reduced were as
follows (amounts in thousands):
Fees Paid
Indirectly
----------
Enhanced U.S. Large Company Portfolio.............. $ 1
Large Cap International Portfolio.................. 6
International Core Equity Portfolio................ 14
DFA International Real Estate Securities Portfolio. 12
DFA International Small Cap Value Portfolio........ 16
International Vector Equity Portfolio.............. 2
Emerging Markets Core Equity Portfolio............. 90
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2013, the total
related amounts paid by the Fund to the CCO were $123 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. Deferred Compensation:
At April 30, 2013, 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..................... 217
U.S. Targeted Value Portfolio...................... 57
U.S. Small Cap Value Portfolio..................... 211
U.S. Core Equity 1 Portfolio....................... 80
U.S. Core Equity 2 Portfolio....................... 140
U.S. Vector Equity Portfolio....................... 44
U.S. Small Cap Portfolio........................... 97
U.S. Micro Cap Portfolio........................... 107
DFA Real Estate Securities Portfolio............... 74
Large Cap International Portfolio.................. 50
International Core Equity Portfolio................ 129
International Small Company Portfolio.............. 151
Japanese Small Company Portfolio................... 5
Asia Pacific Small Company Portfolio............... 4
United Kingdom Small Company Portfolio............. 1
Continental Small Company Portfolio................ 4
DFA International Real Estate Securities Portfolio. 25
DFA Global Real Estate Securities Portfolio........ 15
DFA International Small Cap Value Portfolio........ 232
International Vector Equity Portfolio.............. 9
World ex U.S. Value Portfolio...................... --
World ex U.S. Targeted Value Portfolio............. --
World ex U.S. Core Equity Equity Portfolio......... --
Selectively Hedged Global Equity Portfolio......... --
Emerging Markets Portfolio......................... 69
Emerging Markets Small Cap Portfolio............... 41
Emerging Markets Value Portfolio................... 270
Emerging Markets Core Equity Portfolio............. 103
127
E. Purchases and Sales of Securities:
For the six months ended April 30, 2013, 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.............. -- $4,727 $ 72,399 $ 57,671
U.S. Targeted Value Portfolio...................... -- -- 231,122 230,526
U.S. Small Cap Value Portfolio..................... -- -- 419,118 694,051
U.S. Core Equity 1 Portfolio....................... -- -- 483,649 53,467
U.S. Core Equity 2 Portfolio....................... -- -- 454,351 97,287
U.S. Vector Equity Portfolio....................... -- -- 141,977 36,255
U.S. Small Cap Portfolio........................... -- -- 582,419 324,982
U.S. Micro Cap Portfolio........................... -- -- 264,143 253,101
DFA Real Estate Securities Portfolio............... -- -- 298,470 5,087
Large Cap International Portfolio.................. -- -- 210,651 110,782
International Core Equity Portfolio................ -- -- 630,813 149,191
DFA International Real Estate Securities Portfolio. -- -- 294,990 81,895
DFA International Small Cap Value Portfolio........ -- -- 603,395 396,154
International Vector Equity Portfolio.............. -- -- 77,841 18,608
Emerging Markets Core Equity Portfolio............. -- -- 1,976,588 59,266
For the six months ended April 30, 2013, 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
10/31/2012 04/30/2013 Purchases Sales Income Realized Gains
Affiliated Investment Companies ---------- ---------- --------- ------- -------- ----------------
DFA Real Estate Securities
Portfolio........................... $777,963 $1,042,426 $142,921 $21,153 $11,849 --
DFA International Real Estate
Securities Portfolio................ 531,474 682,337 151,315 24,485 62,476 --
World ex U.S. Value Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
10/31/2012 04/30/2013 Purchases Sales Income Realized Gains
Affiliated Investment Companies ---------- ---------- --------- ------- -------- ----------------
DFA International Small Cap Value
Portfolio........................... $ 4,703 $ 7,811 $ 2,397 $ 204 $ 40 $ 64
World ex U.S. Targeted Value Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
11/01/2012 04/30/2013 Purchases Sales Income Realized Gains
Affiliated Investment Companies ---------- ---------- --------- ------- -------- ----------------
International Vector Equity Portfolio. -- $ 5,423 $ 4,934 -- $ 18 $ 7
DFA International Small Cap Value
Portfolio........................... -- 37,315 33,318 -- 114 184
World ex U.S. Core Equity Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
04/10/2013 04/30/2013 Purchases Sales Income Realized Gains
Affiliated Investment Companies ---------- ---------- --------- ------- -------- ----------------
International Core Equity Portfolio... -- $ 617 $ 645 $ 46 -- --
Emerging Markets Core Equity
Portfolio........................... -- 185 194 13 -- --
128
Selectively Hedged Global Equity Portfolio
---------------------------------------------------------------
Balance at Balance at Dividend Distributions of
10/31/2012 04/30/2013 Purchases Sales Income Realized Gains
Affiliated Investment Companies ---------- ---------- --------- ----- -------- ----------------
U.S. Core Equity 2 Portfolio........ $14,297 $30,044 $13,469 $623 $173 $115
International Core Equity Portfolio. 12,942 28,366 13,262 385 137 --
Emerging Markets Core Equity
Portfolio......................... 6,554 13,985 7,163 171 42 --
F. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Sub-chapter 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)
129
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
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
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
-------------- ------------- --------
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
130
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
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.
131
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 Earnings
Short-Term Long-Term Capital Loss (Accumulated
Capital Gains Capital Gains Carryforwards 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
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
132
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Earnings
Short-Term Long-Term Capital Loss (Accumulated
Capital Gains Capital Gains Carryforwards Losses)
-------------- ------------- ------------- -------------
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
133
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 April 30, 2013, the total cost and aggregate gross unrealized
appreciation (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.............. $ 195,388 $ 3,914 $ (243) $ 3,671
U.S. Large Cap Value Portfolio..................... 7,006,180 3,287,100 (155) 3,286,945
U.S. Targeted Value Portfolio...................... 3,204,459 1,055,883 (167,820) 888,063
U.S. Small Cap Value Portfolio..................... 7,389,901 2,552,324 (800,656) 1,751,668
U.S. Core Equity 1 Portfolio....................... 5,463,130 1,704,514 (209,089) 1,495,425
U.S. Core Equity 2 Portfolio....................... 7,445,194 2,522,953 (456,154) 2,066,799
U.S. Vector Equity Portfolio....................... 2,216,591 746,729 (174,962) 571,767
U.S. Small Cap Portfolio........................... 5,481,185 1,635,731 (414,279) 1,221,452
U.S. Micro Cap Portfolio........................... 3,685,415 1,390,702 (483,576) 907,126
DFA Real Estate Securities Portfolio............... 3,486,844 1,758,890 (119,230) 1,639,660
Large Cap International Portfolio.................. 2,360,090 671,029 (237,455) 433,574
International Core Equity Portfolio................ 8,489,086 1,612,704 (982,217) 630,487
International Small Company Portfolio.............. 6,537,054 955,473 (120,495) 834,978
Japanese Small Company Portfolio................... 483,009 15,363 (2,643) 12,720
Asia Pacific Small Company Portfolio............... 246,479 24,989 (503) 24,486
United Kingdom Small Company Portfolio............. 23,165 10,324 (175) 10,149
Continental Small Company Portfolio................ 104,846 10,995 (124) 10,871
DFA International Real Estate Securities Portfolio. 2,151,899 242,274 (91,215) 151,059
DFA Global Real Estate Securities Portfolio........ 1,281,802 476,211 (29,777) 446,434
DFA International Small Cap Value Portfolio........ 10,643,022 2,570,259 (1,874,206) 696,053
International Vector Equity Portfolio.............. 673,900 179,533 (52,804) 126,729
World ex U.S. Value Portfolio...................... 84,024 8,264 (136) 8,128
World ex U.S. Targeted Value Portfolio............. 55,345 4,801 -- 4,801
World ex U.S. Core Equity Portfolio................ 781 21 -- 21
Selectively Hedged Global Equity Portfolio......... 64,232 8,441 (278) 8,163
Emerging Markets Portfolio......................... 2,000,880 1,116,225 (1,526) 1,114,699
Emerging Markets Small Cap Portfolio............... 3,319,158 622,746 (13,000) 609,746
Emerging Markets Value Portfolio................... 17,974,364 572,159 (13,885) 558,274
Emerging Markets Core Equity Portfolio............. 10,734,116 2,293,442 (984,989) 1,308,453
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.
134
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 positions and has concluded that no additional provision for income tax is
required in any Portfolios' financial statements. No Portfolio is aware of any
tax positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each of the Portfolio's federal tax returns for the prior three fiscal years
remains subject to examination by the Internal Revenue Service.
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in thousands):
Six Months Ended Year Ended
April 30, 2013 Oct. 31, 2012
-------------------- --------------------
Amount Shares Amount Shares
----------- ------- ----------- -------
U.S. Targeted Value Portfolio
Class R1 Shares
Shares Issued........................................ $ 6,434 352 $ 5,787 353
Shares Issued in Lieu of Cash Distributions.......... 3,278 198 730 48
Shares Redeemed...................................... (2,582) (147) (7,953) (486)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R1 Shares............ $ 7,130 403 $ (1,436) (85)
=========== ======= =========== =======
Class R2 Shares
Shares Issued........................................ $ 3,714 203 $ 4,727 288
Shares Issued in Lieu of Cash Distributions.......... 869 53 162 11
Shares Redeemed...................................... (1,627) (92) (4,413) (273)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 2,956 164 $ 476 26
=========== ======= =========== =======
Institutional Class Shares
Shares Issued........................................ $ 415,407 23,068 $ 772,443 47,901
Shares Issued in Lieu of Cash Distributions.......... 174,999 10,593 39,875 2,618
Shares Redeemed...................................... (443,795) (24,703) (649,785) (39,847)
----------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 146,611 8,958 $ 162,533 10,672
=========== ======= =========== =======
Emerging Markets Value Portfolio
Class R2 Shares
Shares Issued........................................ $ 16,973 573 $ 61,477 2,199
Shares Issued in Lieu of Cash Distributions.......... 2,609 90 2,784 106
Shares Redeemed...................................... (14,794) (500) (40,795) (1,486)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 4,788 163 $ 23,466 819
=========== ======= =========== =======
Institutional Class Shares
Shares Issued........................................ $ 1,941,806 65,728 $ 5,047,163 179,634
Shares Issued in Lieu of Cash Distributions.......... 419,497 14,516 436,347 16,644
Shares Redeemed...................................... (1,456,350) (49,580) (2,278,812) (81,493)
----------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 904,953 30,664 $ 3,204,698 114,785
=========== ======= =========== =======
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 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
135
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 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 April 30, 2013,
136
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):
Enhanced U.S. Large Company Portfolio*
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Amount April 30, 2013 Gain (Loss)
---------- -------- ------------------ -------- -------------- -----------
05/22/13 (649) Australian Dollar $ (667) $ (672) $ (5)
05/16/13 4,220 Canadian Dollar 4,108 4,187 79
05/16/13 (3,161) Canadian Dollar (3,081) (3,136) (55)
05/16/13 (6,355) Canadian Dollar (6,218) (6,306) (88)
06/17/13 31,336 Denmark Krone 5,547 5,539 (8)
06/17/13 (31,336) Denmark Krone (5,524) (5,538) (14)
06/17/13 (34,763) Euro (45,679) (45,795) (116)
06/14/13 (4,031) New Zealand Dollar (3,414) (3,445) (31)
05/23/13 (22,745) Norwegian Krone (3,843) (3,941) (98)
07/23/13 (35,300) Swedish Krona (5,328) (5,437) (109)
05/16/13 (3,089) UK Pound Sterling (4,731) (4,798) (67)
-------- -------- -----
$(68,830) $(69,342) $(512)
======== ======== =====
Selectively Hedged Global Equity Portfolio*
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Amount April 30, 2013 Gain (Loss)
---------- -------- ---------------- -------- -------------- -----------
05/24/13 (1,577) Denmark Krone $ (271) $ (279) $ (8)
05/14/13 (4,455) Euro (5,795) (5,867) (72)
05/22/13 (17,386) Hong Kong Dollar (2,240) (2,241) (1)
05/13/13 (52,794) Japanese Yen (550) (542) 8
05/13/13 (58,495) Japanese Yen (586) (600) (14)
05/13/13 (399,802) Japanese Yen (4,285) (4,101) 184
06/14/13 (1,662) Swiss Franc (1,788) (1,788) --
-------- -------- ----
$(15,515) $(15,418) $ 97
======== ======== ====
* During the six months ended April 30, 2013, Enhanced U.S. Large Company
Portfolio's and Selectively Hedged Global Equity Portfolio's average contract
amount of forward currency contracts was $81,513 and $12,065 (in thousands),
respectively.
**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.
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 use 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
137
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
Statements of Operations as a net realized gain or loss on futures, equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the 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 April 30, 2013, the following Portfolios had outstanding futures
contracts (dollar amounts in thousands):
Approximate
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
----------------------- ---------- ---------- -------- ----------- -----------
Enhanced U.S. Large
Company Portfolio. S&P 500 Index(R) 06/21/13 498 $198,229 $7,774 --
Selectively Hedged
Global Equity
Portfolio......... S&P 500 Index(R) Emini 06/21/13 36 2,866 129 $125
Securities have been segregated as collateral for open futures contracts.
* During the six months ended April 30, 2013, Enhanced U.S. Large Company
Portfolio's and Selectively Hedged Global Equity Portfolio's average notional
contract amount basis contract amount of outstanding futures contracts were
$181,605 and $2,167 (in thousands), respectively.
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of April 30, 2013:
Location on the Statements of Assets and
Liabilities
---------------------------------------------------
Derivative Type Asset Derivatives Liability Derivatives
--------------- ------------------------ ------------------------
Foreign exchange Unrealized Gain on Unrealized Loss on
contracts Forward Currency Forward Currency
Contracts Contracts
Equity contracts Payables: Futures Margin
Variation
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2013 (amounts in
thousands):
Asset Derivatives Value
---------------------------------
Total Value Foreign
at Exchange Equity
April 30, 2013 Contracts Contracts
-------------- --------- ---------
Enhanced U.S. Large Company Portfolio...... $7,853 $ 79 $7,774*
Selectively Hedged Global Equity Portfolio. 321 192 129*
Liability Derivatives Value
---------------------------------
Total Value Foreign
at Exchange Equity
April 30, 2013 Contracts Contracts
-------------- --------- ---------
Enhanced U.S. Large Company Portfolio...... $ (591) $(591) --
Selectively Hedged Global Equity Portfolio. (95) (95) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
138
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 six months ended
April 30, 2013 (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 six months ended April 30, 2013 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives Recognized in Income
-------------------------------
Foreign
Exchange Equity
Total Contracts Contracts
------- --------- ---------
Enhanced U.S. Large Company Portfolio................ $19,275 $(667) $19,942
U.S. Targeted Value Portfolio*....................... (402) -- (402)
U.S. Small Cap Value Portfolio*...................... 1,840 -- 1,840
U.S. Small Cap Portfolio*............................ (494) -- (494)
U.S. Micro Cap Portfolio*............................ (423) -- (423)
International Small Company Portfolio*............... (29) -- (29)
Continental Small Company Portfolio*................. 29 -- 29
DFA International Real Estate Securitites Portfolio*. 888 -- 888
Selectively Hedged Global Equity Portfolio........... 652 390 262
Emerging Markets Small Cap Portfolio*................ 457 -- 457
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
-------------------------------
Foreign
Exchange Equity
Total Contracts Contracts
------- --------- ---------
Enhanced U.S. Large Company Portfolio................ $ 5,617 $ 669 $ 4,948
International Small Company Portfolio*............... 30 -- 30
Continental Small Company Portfolio*................. (29) -- (29)
Selectively Hedged Global Equity Portfolio........... 337 191 146
* As of April 30, 2013, there were no futures contracts outstanding. During the
six months ended April 30, 2013, the Portfolios had limited activity in
futures contracts.
I. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, entered into a
$250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line of credit. There were no borrowings by the
Portfolios under this line of credit during the six months ended April 30, 2013.
139
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 4,
2013 with its domestic 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. 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 March 3,
2014. There were no borrowings by the Portfolios under this line of credit
during the period ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 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 10, 2014.
For the six months ended April 30, 2013, 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......... 0.91% $ 4,884 14 $ 2 $10,912
U.S. Small Cap Value Portfolio........ 0.92% 3,619 4 -- 4,137
U.S. Small Cap Portfolio.............. 0.91% 4,540 1 -- 4,540
DFA Real Estate Securities Portfolio.. 0.91% 4,838 6 1 7,104
Large Cap International Portfolio..... 0.89% 28,175 13 9 37,795
International Core Equity Portfolio... 0.91% 11,573 10 3 21,383
DFA Global Real Estate Securities
Portfolio........................... 0.84% 1,573 1 -- 1,573
DFA International Small Cap Value
Portfolio........................... 0.90% 12,305 9 3 18,353
International Vector Equity Portfolio. 0.90% 286 2 -- 512
World ex U.S. Value Portfolio......... 0.90% 101 9 -- 307
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2013 that each Portfolio's available
line of credit was utilized.
At April 30, 2013, International Vector Equity Portfolio had loans
outstanding of $512 (amount in thousands).
140
J. Securities Lending:
As of April 30, 2013, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolio received cash collateral. In
addition, the following Portfolios received non-cash collateral consisting of
short and/or long term U.S. Treasury securities (amounts in thousands):
Market
Value
--------
U.S. Targeted Value Portfolio............... $ 12,282
U.S. Small Cap Value Portfolio.............. 28,653
U.S. Core Equity 1 Portfolio................ 8,479
U.S. Core Equity 2 Portfolio................ 14,175
U.S. Vector Equity Portfolio................ 4,989
U.S. Small Cap Portfolio.................... 20,253
U.S. Micro Cap Portfolio.................... 16,554
DFA Real Estate Securities Portfolio........ 599
Large Cap International Portfolio........... 9,499
International Core Equity Portfolio......... 57,871
DFA International Small Cap Value Portfolio. 64,753
International Vector Equity Portfolio....... 4,738
Emerging Markets Core Equity Portfolio...... 249,581
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 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 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,
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
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.
141
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.
For the six months ended April 30, 2013, the Portfolios had no in-kind
redemptions.
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.
O. Other:
At April 30, 2013, the following number of shareholders held the following
approximate percentages of the stated fund outstanding shares. 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.. 4 83%
U.S. Large Cap Value Portfolio -- Institutional Class Shares......... 3 74%
U.S. Targeted Value Portfolio -- Class R1 Shares..................... 2 98%
U.S. Targeted Value Portfolio -- Class R2 Shares..................... 7 89%
U.S. Targeted Value Portfolio -- Institutional Class Shares.......... 3 61%
U.S. Small Cap Value Portfolio -- Institutional Class Shares......... 3 61%
U.S. Core Equity 1 Portfolio -- Institutional Class Shares........... 4 73%
U.S. Core Equity 2 Portfolio -- Institutional Class Shares........... 6 83%
U.S. Vector Equity Portfolio -- Institutional Class Shares........... 4 90%
U.S. Small Cap Portfolio -- Institutional Class Shares............... 4 57%
U.S. Micro Cap Portfolio -- Institutional Class Shares............... 4 71%
DFA Real Estate Securities Portfolio -- Institutional Class Shares... 4 84%
Large Cap International Portfolio -- Institutional Class Shares...... 3 73%
International Core Equity Portfolio -- Institutional Class Shares.... 4 77%
International Small Company Portfolio -- Institutional Class Shares.. 4 57%
Japanese Small Company Portfolio -- Institutional Class Shares....... 4 84%
Asia Pacific Small Company Portfolio -- Institutional Class Shares... 3 86%
United Kingdom Small Company Portfolio -- Institutional Class Shares. 3 91%
142
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
Continental Small Company Portfolio -- Institutional Class Shares................ 4 91%
DFA International Real Estate Securities Portfolio -- Institutional Class Shares. 4 92%
DFA Global Real Estate Securities Portfolio -- Institutional Class Shares........ 3 88%
DFA International Small Cap Value Portfolio -- Institutional Class Shares........ 3 58%
International Vector Equity Portfolio -- Institutional Class Shares.............. 3 87%
World ex U.S. Value Portfolio -- Institutional Class Shares...................... 5 81%
World ex U.S. Targeted Value Portfolio--Institutional Class Shares............... 3 100%
World ex U.S. Core Equity Portfolio--Institutional Class Shares.................. 2 100%
Selectively Hedged Global Equity Portfolio....................................... 2 93%
Emerging Markets Portfolio -- Institutional Class Shares......................... 3 67%
Emerging Markets Small Cap Portfolio -- Institutional Class Shares............... 4 49%
Emerging Markets Value Portfolio -- Class R2 Shares.............................. 4 82%
Emerging Markets Value Portfolio -- Institutional Class Shares................... 2 28%
Emerging Markets Core Equity Portfolio -- Institutional Class Shares............. 3 63%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
On November 1, 2010 a class action complaint was filed in Bankruptcy Court
in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in
this action include mutual funds, individuals, institutional investors and
others who owned shares in Tribune at the time of the 2007 leveraged buyout
transaction (the "LBO") and sold their shares for $34 per share in cash, such
as The U.S. Large Cap Value Series. Thereafter, two additional and
substantially similar class actions were filed and are pending in United States
District Courts (with the Bankruptcy Court action, collectively referred to as
the "Lawsuits"). The Lawsuits have been consolidated into a single
Multidistrict Litigation action in federal court for pretrial proceedings. The
Lawsuits seek to recover, for the benefit of Tribune's bankruptcy estate or
various creditors, payments to shareholders in the LBO. The Lawsuits allege
that Tribune's payment for those shares violated the rights of creditors, as
set forth in the Bankruptcy Code's and various states' fraudulent transfer
laws. However, the Lawsuits proceed on different legal theories: the Bankruptcy
Court action pleads an intentionally fraudulent transfer; the District Court
actions plead constructively fraudulent transfers.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does
not believe that it is possible, at this early stage in the proceedings, to
predict with any reasonable certainty the probable outcome of the Lawsuits or
quantify the ultimate exposure to The U.S. Large Cap Value Series arising from
the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of
the net asset value of The U.S. Large Cap Value Series will be made relating to
the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain
the full recovery they seek, the amount would be less than 1% of The U.S. Large
Cap Value Series' net asset value at this time.
The U.S. Large Cap Value Series also cannot predict what its size might be
at the time the cost of the Lawsuits might be quantifiable and thus potentially
deducted from its net asset value. Therefore, at this time, those buying or
redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the
case may be, a price based on net asset value of The U.S. Large Cap Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series as incurred and in a manner similar to any other expense incurred
by The U.S. Large Cap Value Series.
P. 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.
143
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 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 April 30, 2013
EXPENSE TABLE
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
-
Actual Fund Return............ $1,000.00 $ 946.30 0.34% $1.64
Hypothetical 5% Annual Return. $1,000.00 $1,023.11 0.34% $1.71
----------
* DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity
Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional
Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses
are equal to the fund's annualized expense ratio for the six-month period,
multiplied
by the average account value over the period, multiplied by the number of
days in the most recent six-month period (181), then divided by the number of
days in the year (365) to reflect the six-month period.
144
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 27, 2013. 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.
DFA Commodity Strategy Portfolio
Corporate.................................... 43.5%
Foreign Corporate............................ 24.1%
Foreign Government........................... 6.2%
Government................................... 17.7%
Supranational................................ 8.5%
-----
100.0%
145
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Face
Amount^ Value+
------- ------
(000)
BONDS -- (82.4%)
AUSTRALIA -- (4.3%)
BHP Billiton Finance USA, Ltd.
5.500%, 04/01/14............................. $ 960 $ 1,004,832
Commonwealth Bank of Australia
1.250%, 09/18/15............................. 4,780 4,837,599
National Australia Bank, Ltd.
5.500%, 05/20/15............................. EUR 6,500 9,435,559
Westpac Banking Corp.
4.200%, 02/27/15............................. 9,500 10,125,698
-----------
TOTAL AUSTRALIA.................................. 25,403,688
-----------
AUSTRIA -- (0.5%)
KA Finanz AG
2.250%, 03/24/14............................. EUR 700 938,787
Oesterreichische Kontrollbank AG
4.500%, 03/09/15............................. 2,000 2,150,420
-----------
TOTAL AUSTRIA.................................... 3,089,207
-----------
CANADA -- (5.8%)
Bank of Nova Scotia
1.850%, 01/12/15............................. 6,400 6,537,594
3.400%, 01/22/15............................. 1,800 1,886,994
Barrick Gold Finance Co.
4.875%, 11/15/14............................. 2,200 2,334,917
Enbridge, Inc.
5.800%, 06/15/14............................. 1,900 2,007,557
Encana Corp.
4.750%, 10/15/13............................. 1,415 1,441,037
Husky Energy, Inc.
5.900%, 06/15/14............................. 2,500 2,639,670
Ontario, Province of Canada
0.950%, 05/26/15............................. 2,000 2,020,908
Petro-Canada
4.000%, 07/15/13............................. 200 201,418
Potash Corp. of Saskatchewan, Inc.
3.750%, 09/30/15............................. 855 914,169
Royal Bank of Canada
0.800%, 10/30/15............................. 2,500 2,510,250
Thomson Reuters Corp.
5.700%, 10/01/14............................. 800 856,051
Toronto-Dominion Bank (The)
5.375%, 05/14/15............................. EUR 4,000 5,789,146
TransAlta Corp.
4.750%, 01/15/15............................. 2,508 2,646,793
TransCanada PipeLines, Ltd.
4.000%, 06/15/13............................. 1,525 1,530,890
3.400%, 06/01/15............................. 1,000 1,056,852
-----------
TOTAL CANADA..................................... 34,374,246
-----------
Face
Amount^ Value+
------- ------
(000)
FRANCE -- (4.4%)
Agence Francaise de Developpement
1.250%, 06/09/14............................. $ 5,500 $ 5,550,474
2.500%, 07/15/15............................. 3,000 3,127,449
BNP Paribas SA
3.250%, 03/11/15............................. 4,035 4,198,349
Caisse d'Amortissement de la Dette Sociale
3.625%, 04/25/15............................. EUR 5,000 7,019,346
France Telecom SA
4.375%, 07/08/14............................. 3,231 3,363,258
Societe Financement de l'Economie Francaise
3.125%, 06/30/14............................. EUR 2,000 2,724,238
Veolia Environnement SA
5.250%, 06/03/13............................. 425 426,347
-----------
TOTAL FRANCE..................................... 26,409,461
-----------
GERMANY -- (2.5%)
Deutsche Bank AG
4.875%, 05/20/13............................. 1,475 1,478,217
3.875%, 08/18/14............................. 1,750 1,820,590
Landwirtschaftliche Rentenbank
3.750%, 02/11/16............................. EUR 8,000 11,558,052
-----------
TOTAL GERMANY.................................... 14,856,859
-----------
JAPAN -- (0.6%)
Nomura Holdings, Inc.
5.000%, 03/04/15............................. 3,500 3,734,742
-----------
NETHERLANDS -- (5.2%)
Bank Nederlandse Gemeenten
2.750%, 07/01/15............................. 9,500 9,956,855
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA
3.125%, 02/05/15............................. CAD 7,000 7,112,839
2.125%, 10/13/15............................. 2,000 2,065,940
Deutsche Telekom International Finance BV
5.250%, 07/22/13............................. 525 530,365
4.875%, 07/08/14............................. 1,900 1,992,826
Nederlandse Waterschapsbank NV
2.000%, 09/09/15............................. 9,000 9,312,300
-----------
TOTAL NETHERLANDS................................ 30,971,125
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (8.6%)
Council Of Europe Development Bank
4.000%, 04/15/15............................. 8,000 8,558,960
146
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
EUROFIMA
4.500%, 03/06/15............................. $ 9,000 $ 9,675,000
European Financial Stability Facility
1.625%, 02/04/15............................. EUR 5,000 6,755,890
1.125%, 06/01/15............................. EUR 3,000 4,028,288
European Investment Bank
6.500%, 09/10/14............................. NZD 2,531 2,268,823
2.500%, 07/15/15............................. EUR 6,000 8,316,953
Inter-American Development Bank
1.000%, 01/07/15............................. 1,000 1,006,920
Nordic Investment Bank
7.500%, 04/15/15............................. NZD 11,000 10,220,326
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 50,831,160
-----------
SWEDEN -- (3.0%)
Nordea Bank AB
2.750%, 08/11/15............................. EUR 5,000 6,908,419
Svensk Exportkredit AB
3.625%, 05/27/14............................. EUR 1,212 1,653,924
Svenska Handelsbanken AB
1.500%, 07/06/15............................. EUR 7,000 9,394,186
-----------
TOTAL SWEDEN..................................... 17,956,529
-----------
SWITZERLAND -- (0.6%)
Credit Suisse New York
5.000%, 05/15/13............................. 1,275 1,276,992
5.500%, 05/01/14............................. 250 262,330
3.500%, 03/23/15............................. 1,000 1,053,200
UBS AG
2.250%, 08/12/13............................. 905 909,848
-----------
TOTAL SWITZERLAND................................ 3,502,370
-----------
UNITED KINGDOM -- (3.4%)
Barclays Bank P.L.C.
5.200%, 07/10/14............................. 1,500 1,578,823
BP Capital Markets P.L.C.
5.250%, 11/07/13............................. 3,500 3,588,011
British Telecommunications P.L.C.
2.000%, 06/22/15............................. 3,100 3,184,816
Rio Tinto Finance USA P.L.C.
1.125%, 03/20/15............................. 3,850 3,880,438
Royal Bank of Scotland Group P.L.C.
2.550%, 09/18/15............................. 3,800 3,914,224
Vodafone Group P.L.C.
4.150%, 06/10/14............................. 1,825 1,896,075
3.375%, 11/24/15............................. 2,000 2,129,572
-----------
TOTAL UNITED KINGDOM............................. 20,171,959
-----------
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (43.5%)
ACE INA Holdings, Inc.
5.875%, 06/15/14............................. $ 1,250 $1,322,381
2.600%, 11/23/15............................. 3,295 3,448,916
Aflac, Inc.
3.450%, 08/15/15............................. 3,800 4,035,292
Agilent Technologies, Inc.
2.500%, 07/15/13............................. 1,000 1,004,128
Allstate Corp. (The)
6.200%, 05/16/14............................. 2,000 2,116,346
5.000%, 08/15/14............................. 2,130 2,250,434
Altria Group, Inc.
4.125%, 09/11/15............................. 2,170 2,335,847
American Express Credit Corp.
5.875%, 05/02/13............................. 650 650,000
5.125%, 08/25/14............................. 1,700 1,802,122
1.750%, 06/12/15............................. 1,200 1,226,550
American International Group, Inc.
3.000%, 03/20/15............................. 4,000 4,147,808
Ameriprise Financial, Inc.
5.650%, 11/15/15............................. 1,625 1,823,957
Amgen, Inc.
4.850%, 11/18/14............................. 1,000 1,064,623
Anheuser-Busch InBev Worldwide, Inc.
0.800%, 07/15/15............................. 2,000 2,007,370
Assurant, Inc.
5.625%, 02/15/14............................. 2,000 2,073,392
AT&T, Inc.
2.500%, 08/15/15............................. 4,000 4,155,288
AutoZone, Inc.
4.375%, 06/01/13............................. 100 100,292
Baltimore Gas & Electric Co.
6.125%, 07/01/13............................. 500 504,505
Bank of America Corp.
1.500%, 10/09/15............................. 5,000 5,029,735
BB&T Corp.
3.375%, 09/25/13............................. 550 556,716
5.700%, 04/30/14............................. 3,087 3,248,728
Berkshire Hathaway Finance Corp.
4.850%, 01/15/15............................. 5,000 5,372,920
BlackRock, Inc.
3.500%, 12/10/14............................. 2,000 2,098,258
Boston Scientific Corp.
4.500%, 01/15/15............................. 3,005 3,179,657
Bristol-Myers Squibb Co.
5.250%, 08/15/13............................. 1,175 1,189,326
Burlington Northern Santa Fe LLC
4.300%, 07/01/13............................. 1,200 1,207,530
4.875%, 01/15/15............................. 200 214,399
Capital One Financial Corp.
6.250%, 11/15/13............................. 150 154,519
7.375%, 05/23/14............................. 1,189 1,272,300
2.150%, 03/23/15............................. 700 714,876
Cardinal Health, Inc.
4.000%, 06/15/15............................. 3,000 3,190,548
147
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Caterpillar Financial Services Corp.
6.200%, 09/30/13............................. $ 1,000 $1,024,103
Cisco Systems, Inc.
1.625%, 03/14/14............................. 1,550 1,568,230
Citigroup, Inc.
6.500%, 08/19/13............................. 625 636,184
6.375%, 08/12/14............................. 1,250 1,336,526
CNA Financial Corp.
5.850%, 12/15/14............................. 277 297,646
Coca-Cola Enterprises, Inc.
1.125%, 11/12/13............................. 1,607 1,613,433
Comerica, Inc.
3.000%, 09/16/15............................. 2,277 2,396,479
Computer Sciences Corp.
2.500%, 09/15/15............................. 3,558 3,653,717
Consolidated Edison Co. of New York, Inc.
4.700%, 02/01/14............................. 400 411,594
CSX Corp.
5.500%, 08/01/13............................. 425 430,169
Daimler Finance North America LLC
6.500%, 11/15/13............................. 2,100 2,167,471
Dell, Inc.
2.100%, 04/01/14............................. 1,500 1,512,312
2.300%, 09/10/15............................. 2,800 2,805,645
DIRECTV Holdings LLC / DIRECTV Financing Co.,
Inc.
4.750%, 10/01/14............................. 1,500 1,581,633
Dominion Resources, Inc.
5.150%, 07/15/15............................. 1,400 1,531,205
eBay, Inc.
0.875%, 10/15/13............................. 1,435 1,438,941
Ecolab, Inc.
1.000%, 08/09/15............................. 2,000 2,006,670
Emerson Electric Co.
5.625%, 11/15/13............................. 1,200 1,233,625
Enbridge Energy Partners L.P.
5.350%, 12/15/14............................. 1,475 1,577,352
Energy Transfer Partners L.P.
6.000%, 07/01/13............................. 425 428,252
5.950%, 02/01/15............................. 1,200 1,297,625
Enterprise Products Operating LLC
5.600%, 10/15/14............................. 2,666 2,852,473
EOG Resources, Inc.
2.950%, 06/01/15............................. 2,440 2,556,610
Exelon Generation Co. LLC
5.350%, 01/15/14............................. 1,100 1,136,520
Fifth Third Bancorp
6.250%, 05/01/13............................. 875 875,000
Fifth Third Bank
0.900%, 02/26/16............................. 2,000 2,000,968
Freeport-McMoRan Copper & Gold, Inc.
1.400%, 02/13/15............................. 3,996 4,032,487
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
General Electric Capital Corp.
2.100%, 01/07/14............................. $ 600 $ 607,404
2.150%, 01/09/15............................. 6,000 6,154,386
1.625%, 07/02/15............................. 2,000 2,037,442
Gilead Sciences, Inc.
2.400%, 12/01/14............................. 3,000 3,081,744
Goldman Sachs Group, Inc. (The)
5.250%, 10/15/13............................. 250 255,295
3.300%, 05/03/15............................. 3,500 3,651,375
Hartford Financial Services Group, Inc.
4.000%, 03/30/15............................. 1,400 1,481,621
Hess Corp.
7.000%, 02/15/14............................. 175 183,277
Hewlett-Packard Co.
1.250%, 09/13/13............................. 1,500 1,502,580
2.625%, 12/09/14............................. 1,300 1,329,033
HSBC Finance Corp.
4.750%, 07/15/13............................. 1,575 1,588,523
HSBC USA, Inc.
2.375%, 02/13/15............................. 1,500 1,545,357
John Deere Capital Corp.
1.875%, 06/17/13............................. 1,250 1,252,396
JPMorgan Chase & Co.
3.700%, 01/20/15............................. 2,800 2,937,869
3.400%, 06/24/15............................. 1,000 1,052,007
KeyCorp
6.500%, 05/14/13............................. 1,000 1,001,936
3.750%, 08/13/15............................. 3,000 3,195,045
Kimberly-Clark Corp.
5.000%, 08/15/13............................. 1,000 1,013,090
Lowe's Cos., Inc.
5.000%, 10/15/15............................. 1,050 1,161,893
Marathon Oil Corp.
0.900%, 11/01/15............................. 1,140 1,142,500
Marsh & McLennan Cos., Inc.
5.750%, 09/15/15............................. 4,000 4,438,156
Medtronic, Inc.
4.750%, 09/15/15............................. 1,087 1,189,847
MetLife, Inc.
2.375%, 02/06/14............................. 420 426,224
5.500%, 06/15/14............................. 1,250 1,318,041
5.000%, 06/15/15............................. 500 544,084
Morgan Stanley
4.100%, 01/26/15............................. 2,500 2,619,758
NASDAQ OMX Group, Inc. (The)
4.000%, 01/15/15............................. 2,800 2,923,200
NextEra Energy Capital Holdings, Inc.
2.550%, 11/15/13............................. 750 757,755
Northrop Grumman Corp.
3.700%, 08/01/14............................. 800 830,075
Occidental Petroleum Corp.
1.450%, 12/13/13............................. 1,000 1,007,255
148
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
PACCAR Financial Corp.
2.050%, 06/17/13............................. $ 100 $ 100,227
0.750%, 08/14/15............................. 2,000 2,008,098
Pacific Gas & Electric Co.
4.800%, 03/01/14............................. 3,000 3,104,217
Philip Morris International, Inc.
4.875%, 05/16/13............................. 1,265 1,267,105
Plains All American Pipeline L.P. / PAA Finance
Corp.
3.950%, 09/15/15............................. 1,330 1,429,283
PNC Funding Corp.
5.400%, 06/10/14............................. 2,075 2,185,695
PPG Industries, Inc.
1.900%, 01/15/16............................. 2,050 2,104,108
Praxair, Inc.
2.125%, 06/14/13............................. 1,000 1,002,120
Procter & Gamble Co. (The)
4.500%, 05/12/14............................. EUR 4,000 5,495,950
Prudential Financial, Inc.
6.200%, 01/15/15............................. 2,448 2,661,519
Quest Diagnostics, Inc.
5.450%, 11/01/15............................. 4,000 4,399,804
Qwest Corp.
7.500%, 10/01/14............................. 2,300 2,484,800
Reynolds American, Inc.
1.050%, 10/30/15............................. 4,000 4,004,812
Safeway, Inc.
5.625%, 08/15/14............................. 4,500 4,755,060
Sempra Energy
2.000%, 03/15/14............................. 416 420,823
Sherwin-Williams Co. (The)
3.125%, 12/15/14............................. 1,048 1,089,452
Southern Power Co.
4.875%, 07/15/15............................. 3,660 3,984,477
Spectra Energy Capital LLC
5.500%, 03/01/14............................. 1,500 1,558,284
5.668%, 08/15/14............................. 955 1,013,831
St Jude Medical, Inc.
2.200%, 09/15/13............................. 3,325 3,346,762
3.750%, 07/15/14............................. 100 103,992
SunTrust Banks, Inc.
3.600%, 04/15/16............................. 4,000 4,288,500
Target Corp.
4.000%, 06/15/13............................. 1,000 1,004,237
TD Ameritrade Holding Corp.
4.150%, 12/01/14............................. 2,350 2,478,470
Texas Instruments, Inc.
0.875%, 05/15/13............................. 500 500,102
Textron, Inc.
6.200%, 03/15/15............................. 1,500 1,629,525
Thermo Fisher Scientific, Inc.
3.200%, 05/01/15............................. 2,250 2,342,457
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Time Warner Cable, Inc.
3.500%, 02/01/15............................. $ 4,000 $ 4,180,420
Toyota Motor Credit Corp.
1.000%, 02/17/15............................. 3,000 3,031,458
0.875%, 07/17/15............................. 2,000 2,013,304
Union Bank NA
2.125%, 12/16/13............................. 1,400 1,413,829
UnitedHealth Group, Inc.
5.000%, 08/15/14............................. 1,170 1,237,555
Valero Energy Corp.
4.750%, 04/01/14............................. 1,125 1,167,237
4.500%, 02/01/15............................. 900 956,574
Verizon Communications, Inc.
0.700%, 11/02/15............................. 3,000 2,991,045
Viacom, Inc.
4.375%, 09/15/14............................. 1,229 1,289,263
Walt Disney Co. (The)
0.875%, 12/01/14............................. 1,500 1,512,593
WellPoint, Inc.
5.000%, 12/15/14............................. 2,500 2,671,612
5.250%, 01/15/16............................. 1,500 1,666,914
Wells Fargo & Co.
3.750%, 10/01/14............................. 2,300 2,403,939
1.250%, 02/13/15............................. 1,000 1,011,991
Western Union Co. (The)
6.500%, 02/26/14............................. 3,500 3,664,090
Williams Partners L.P.
3.800%, 02/15/15............................. 2,300 2,418,089
Xerox Corp.
4.250%, 02/15/15............................. 3,500 3,691,499
Zimmer Holdings, Inc.
1.400%, 11/30/14............................. 1,000 1,010,298
TOTAL UNITED STATES................................ 259,226,221
------------
TOTAL BONDS........................................ 490,527,567
------------
AGENCY OBLIGATIONS -- (11.3%)
Federal Home Loan Mortgage Corporation
5.250%, 04/18/16............................. 15,000 17,142,300
Federal National Mortgage Association
0.500%, 03/30/16............................. 50,000 50,125,450
------------
TOTAL AGENCY OBLIGATIONS........................... 67,267,750
------------
U.S. TREASURY OBLIGATIONS -- (6.3%)
U.S. Treasury Notes
@@^^ 0.375%, 07/31/13............................. 37,800 37,829,522
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $591,568,241).............................. $595,624,839
============
149
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-------------------------------------------
Level 1 Level 2 Level 3 Total
-------- ------------ ------- ------------
Bonds
Australia.............................. -- $ 25,403,688 -- $ 25,403,688
Austria................................ -- 3,089,207 -- 3,089,207
Canada................................. -- 34,374,246 -- 34,374,246
France................................. -- 26,409,461 -- 26,409,461
Germany................................ -- 14,856,859 -- 14,856,859
Japan.................................. -- 3,734,742 -- 3,734,742
Netherlands............................ -- 30,971,125 -- 30,971,125
Supranational Organization Obligations. -- 50,831,160 -- 50,831,160
Sweden................................. -- 17,956,529 -- 17,956,529
Switzerland............................ -- 3,502,370 -- 3,502,370
United Kingdom......................... -- 20,171,959 -- 20,171,959
United States.......................... -- 259,226,221 -- 259,226,221
Agency Obligations....................... -- 67,267,750 -- 67,267,750
U.S. Treasury Obligations................ -- 37,829,522 -- 37,829,522
Forward Currency Contracts**............. -- (1,373,105) -- (1,373,105)
Futures Contracts**...................... $297,996 -- -- 297,996
Swap Agreements**........................ -- 7,155,258 -- 7,155,258
-------- ------------ -- ------------
TOTAL.................................... $297,996 $601,406,992 -- $601,704,988
======== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
150
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investments at Value................................................................... $ 595,625
Temporary Cash Investments at Value & Cost............................................. 21,870
Foreign Currencies at Value............................................................ 931
Receivables:
Investment Securities Sold........................................................... 3,029
Interest............................................................................. 5,579
Fund Shares Sold..................................................................... 1,053
Unrealized Gain on Swap Contracts...................................................... 12,642
Prepaid Expenses and Other Assets...................................................... 11
------------
Total Assets...................................................................... 640,740
------------
LIABILITIES:
Due to Custodian....................................................................... 86
Payables:
Investment Securities Purchased...................................................... 9,322
Fund Shares Redeemed................................................................. 176
Due to Advisor....................................................................... 148
Futures Margin Variation............................................................. 346
Unrealized Loss on Swap Contracts...................................................... 5,487
Unrealized Loss on Forward Currency Contracts.......................................... 1,373
Accrued Expenses and Other Liabilities................................................. 13
------------
Total Liabilities................................................................. 16,951
------------
NET ASSETS............................................................................. $ 623,789
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 70,364,966
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 8.87
============
Investments at Cost.................................................................... $ 591,568
============
Foreign Currencies at Cost............................................................. $ 918
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 650,376
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 2,845
Accumulated Net Realized Gain (Loss)................................................... (39,607)
Net Unrealized Foreign Exchange Gain (Loss)............................................ (1,348)
Net Unrealized Appreciation (Depreciation)............................................. 11,523
------------
NET ASSETS............................................................................. $ 623,789
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 100,000,000
============
See accompanying Notes to Financial Statements.
151
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
Investment Income
Interest...................................................................................... $ 2,894
--------
Total Investment Income.................................................................... 2,894
--------
Expenses
Investment Advisory Services Fees............................................................. 965
Accounting & Transfer Agent Fees.............................................................. 37
Custodian Fees................................................................................ 11
Filing Fees................................................................................... 32
Shareholders' Reports......................................................................... 7
Directors'/Trustees' Fees & Expenses.......................................................... 2
Professional Fees............................................................................. 15
Other......................................................................................... 4
--------
Total Expenses............................................................................. 1,073
--------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note D). (144)
Fees Paid Indirectly.......................................................................... (7)
--------
Net Expenses.................................................................................. 922
--------
Net Investment Income (Loss).................................................................. 1,972
--------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................................................. 95
Futures..................................................................................... (1,738)
Swap Contracts.............................................................................. (37,340)
Foreign Currency Transactions............................................................... (528)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................................................. 1,363
Futures..................................................................................... 151
Swap Contracts.............................................................................. 5,880
Translation of Foreign Currency Denominated Amounts......................................... 139
--------
Net Realized and Unrealized Gain (Loss)....................................................... (31,978)
--------
Net Increase (Decrease) in Net Assets Resulting from Operations................................. $(30,006)
========
See accompanying Notes to Financial Statements.
152
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Six Months Year
Ended Ended
April 30, Oct. 31,
2013 2012
----------- ---------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................................................... $ 1,972 $ 2,616
Net Realized Gain (Loss) on:
Investment Securities Sold......................................................... 95 1,207
Futures............................................................................ (1,738) (2,170)
Swap Contracts..................................................................... (37,340) (17,151)
Foreign Currency Transactions...................................................... (528) 1,374
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... 1,363 1,848
Futures............................................................................ 151 112
Swap Contracts..................................................................... 5,880 3,344
Translation of Foreign Currency Denominated Amounts................................ 139 (1,489)
-------- ---------
Net Increase (Decrease) in Net Assets Resulting from Operations................... (30,006) (10,309)
-------- ---------
Distributions From:
Net Investment Income................................................................ (943) (2,038)
Net Short-Term Gains................................................................. (472) (151)
Net Long-Term Gains.................................................................. (472) --
-------- ---------
Total Distributions............................................................... (1,887) (2,189)
-------- ---------
Capital Share Transactions (1):
Shares Issued........................................................................ 246,453 371,713
Shares Issued in Lieu of Cash Distributions.......................................... 1,797 2,084
Shares Redeemed...................................................................... (50,647) (134,001)
-------- ---------
Net Increase (Decrease) from Capital Share Transactions........................... 197,603 239,796
-------- ---------
Total Increase (Decrease) in Net Assets........................................... 165,710 227,298
Net Assets
Beginning of Period.................................................................. 458,079 230,781
-------- ---------
End of Period........................................................................ $623,789 $ 458,079
======== =========
(1) Shares Issued and Redeemed:
Shares Issued........................................................................ 26,966 39,879
Shares Issued in Lieu of Cash Distributions.......................................... 195 232
Shares Redeemed...................................................................... (5,525) (14,994)
-------- ---------
Net Increase (Decrease) from Shares Issued and Redeemed........................... 21,636 25,117
======== =========
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 2,845 $ 1,816
See accompanying Notes to Financial Statements.
153
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Six Months Year
Ended Ended
April 30, Oct. 31,
2013 2012
---------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.................................................................. $ 9.40 $ 9.77
-------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).................................................................... 0.03 0.07
Net Gains (Losses) on Securities (Realized and Unrealized).......................................... (0.52) (0.37)
-------- --------
Total from Investment Operations................................................................... (0.49) (0.30)
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................................................................... (0.02) (0.06)
Net Realized Gains.................................................................................. (0.02) (0.01)
-------- --------
Total Distributions................................................................................ (0.04) (0.07)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period........................................................................ $ 8.87 $ 9.40
====================================================================================================== =========== ========
Total Return.......................................................................................... (5.37)%(C) (3.08)%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................................................................. $623,789 $458,079
Ratio of Expenses to Average Net Assets............................................................... 0.34%(B) 0.35%
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery
of Previously Waived Fees and Fees Paid Indirectly).................................................. 0.39%(B) 0.41%
Ratio of Net Investment Income to Average Net Assets.................................................. 0.73%(B) 0.79%
Portfolio Turnover Rate............................................................................... 27%(C) 69%
---------------------------------------------------------------------------------------------------------------------------------
Period
Nov. 9,
2010(a) to
Oct. 31,
2011
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.................................................................. $ 10.00
--------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).................................................................... 0.07
Net Gains (Losses) on Securities (Realized and Unrealized).......................................... (0.27)
--------
Total from Investment Operations................................................................... (0.20)
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................................................................... (0.03)
Net Realized Gains.................................................................................. --
--------
Total Distributions................................................................................ (0.03)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period........................................................................ $ 9.77
====================================================================================================== ==========
Total Return.......................................................................................... (2.02)%(C)
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................................................................. $230,781
Ratio of Expenses to Average Net Assets............................................................... 0.47%(B)(E)
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery
of Previously Waived Fees and Fees Paid Indirectly).................................................. 0.53%(B)(E)
Ratio of Net Investment Income to Average Net Assets.................................................. 0.64%(B)(E)
Portfolio Turnover Rate............................................................................... 50%(C)
-----------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
154
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, as
amended (the "1940 Act"), whose shares are generally offered, without a sales
charge, to institutional investors, retirement plans and clients of registered
investment advisors. The Fund consists of seventy-five 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
1940 Act.
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.
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy.
155
A summary of the inputs used to value the Portfolio's investments by each
major security type, industry and/or country is disclosed previously in this
note. A valuation hierarchy table has 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.
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Portfolio.
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 April 30, 2013, 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 the
Portfolio are directly charged. Common expenses of the Fund or its Portfolios
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. All intercompany accounts and transactions have been
eliminated. 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.
156
To the extent of the Portfolio's investment through the Subsidiary, it will
be subject to the risks associated with the commodities, derivatives and other
instruments in which the Subsidiary invests. By investing in the Subsidiary,
the Portfolio is indirectly exposed to the risks associated with the
Subsidiary's investments. The derivatives and other investments held by the
Subsidiary are generally similar to those that are permitted to be held by the
Portfolio and are subject to the same risks that apply to similar investments
if held directly by the Portfolio.
The Subsidiary is classified as a controlled foreign corporation under
Subchapter M of the Internal Revenue Code. Therefore, the Portfolio is required
to increase its taxable income by its share of the Subsidiary's income. Net
investment losses of the Subsidiary cannot be deducted by the Portfolio in the
current period nor carried forward to offset taxable income in future periods.
As of April 30, 2013, the Portfolio held $116,576,214 in the Subsidiary,
representing 18.19% 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 six months ended April 30, 2013, 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 an Amended and Restated Fee Waiver and/or 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 (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 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 no more than 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, 2014,
and may not be terminated by the Advisor prior to that date. At April 30, 2013,
there were no previously waived fees subjected to future recovery by the
Advisor.
The Subsidiary has entered into a separate contract with the Advisor whereby
the Advisor or its affiliates provide investment advisory and other services to
the Subsidiary. For the investment advisory services it provides, the Advisor
is entitled to a fee from the Subsidiary equal to 0.30% of the Subsidiary's
average net assets on an annualized basis; however, pursuant to a contractual
agreement, the Advisor has agreed to waive the management fee of the Subsidiary.
For the six months ended April 30, 2013, approximately $144 (in thousands)
of the Subsidiary's management fees were waived pursuant to the Subsidiary fee
waiver agreement.
Earned Income Credit:
In addition, the Portfolio has entered into an arrangement with its
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of the Portfolio's custody expenses. Custody expense in
the accompanying financial statements is presented before reduction for
credits. During the six months ended April 30, 2013, expenses reduced were as
follows (amounts in thousands):
Fees Paid
Indirectly
----------
DFA Commodity Strategy Portfolio. $7
157
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2013, the total
related amounts paid by the Fund to the CCO were $123 (in thousands). The total
related amounts paid by the Portfolio are included in Other Expenses on the
Statement of Operations.
E. Deferred Compensation:
At April 30, 2013, 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. $2
F. Purchases and Sales of Securities:
For the six months ended April 30, 2013, the Portfolio 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
--------- ------- --------- -------
DFA Commodity Strategy Portfolio. $114,384 $46,886 $183,315 $95,291
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 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 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 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 Commodity Strategy Portfolio
2011............................. $ 636 -- $ 636
2012............................. 2,410 $37 2,447
158
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 Earnings
Short-Term Long-Term Capital Loss (Accumulated
Capital Gains Capital Gains Carryforwards 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 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
Portfolio did not have any capital loss carryforwards.
At April 30, 2013, the total cost and aggregate gross unrealized
appreciation (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. $591,568 $4,462 $(405) $4,057
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolio's
tax positions 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. The Portfolio's federal tax returns for the prior three fiscal years
remain subject to examination by the Internal Revenue Service.
H. Financial Instruments:
In accordance with the Portfolio's investment objective 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.
159
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 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 the Portfolio and its wholly-owned Subsidiary.
2. Forward Currency Contracts: The 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 the 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 April 30, 2013, the 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
Value at Foreign
Settlement Currency Contract April 30, Exchange
Date Amount** Currency Amount 2013 Gain (Loss)
---------- -------- ------------------ -------- --------- -----------
07/23/13 (7,266) Canadian Dollar $ (7,066) $ (7,199) $ (133)
05/23/13 (61,537) Euro (79,975) (81,051) (1,076)
05/22/13 (14,776) New Zealand Dollar (12,484) (12,648) (164)
-------- --------- -------
$(99,525) $(100,898) $(1,373)
======== ========= =======
* During the six months ended April 30, 2013, the Portfolio's average contract
amount of forward currency contracts was $149,407 (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 Portfolio and the Subsidiary invest
in commodity-linked derivative instruments, such as swap agreements, commodity
options, futures, options on futures, and structured notes. The prices of
commodity-linked derivative instruments may move in different directions than
investments in traditional equity securities, fixed income securities and
commodity spot prices.
4. Swap Agreements: The Portfolio may enter into swap agreements with
respect to commodities, interest rates and indexes of commodities or
securities, specific securities and commodities, and mortgage, credit and
event-linked swaps, and to the extent the Portfolio may invest in foreign
currency-denominated securities, may enter into swap agreements with respect to
foreign currencies.
The Portfolio may enter into swap transactions for any legal purpose
consistent with its investment objective and policies, such as for the purpose
of attempting to obtain or preserve a particular return or spread at a lower
cost than obtaining a return or spread through purchases and/or sales of
instruments in other markets, to seek to increase total return (speculation),
to protect against currency fluctuations, as a duration management technique,
to protect against any increase in the price of securities the Portfolio
anticipates purchasing at a later date, or to gain exposure to certain markets
in the most economical way possible.
160
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 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.
161
At any time prior to the expiration of a futures contract, the Portfolio may
elect to close the position by taking an opposite position, which will operate
to terminate the Portfolio's existing position in the contract. Positions in
futures contracts and options on futures contracts (described below) may be
closed out only on the exchange on which they were entered into (or through a
linked exchange). However, there is no assurance that an active market will
exist at any particular time. Once the daily fluctuation limit has been reached
in a particular contract, most futures exchanges restrict trades at a price
beyond that limit or trading may be suspended for specified periods during the
day. Such restrictions prevent prompt liquidation of futures positions at an
advantageous price and subjecting the Portfolio to substantial losses. In such
event, and in the event of adverse price movements, the Portfolio would be
required to make daily cash payments of variation margin. Losses incurred in
futures transactions and the costs of these transactions will affect the
Portfolio's performance.
The price volatility of commodity futures contracts has been historically
greater than that for traditional securities, such as stocks and bonds, and
there are a variety of factors associated with commodity futures contracts
which may subject the Portfolio's investments in the contracts to greater
volatility than investments in traditional securities.
6. Options on Futures Contracts: The Portfolio may purchase and write put
and call options on foreign currency, interest rate and stock and commodity
index futures contracts and may enter into closing transactions with respect to
such options to terminate existing positions. There is no guarantee that such
closing transactions can be effected; the ability to establish and close out
positions on such options will be subject to the existence of a liquid market.
An option on a currency, interest rate or commodity or securities index
futures contract, as contrasted with the direct investment in such a contract,
gives the purchaser the right, in return for the premium paid, to assume a
position in a futures contract at a specified exercise price at any time prior
to the expiration date of the option. The writer of the option is required upon
exercise to assume an offsetting futures position (a short position if the
option is a call and a long position if the option is a put). Upon exercise of
an option, the delivery of the futures position by the writer of the option to
the holder of the option will be accompanied by delivery of the accumulated
balance in the writer's futures margin account, which represents the amount by
which the market price of the futures contract exceeds, in the case of a call,
or is less than, in the case of a put, the exercise price of the option on the
futures contract. The potential loss related to the purchase of an option on a
futures contract is limited to the premium paid for the option (plus
transaction costs). The value of the option changes daily, and that change
would be reflected in the net asset value of the Portfolio.
The Portfolio may enter into options and futures transactions for several
purposes, including generating current income to offset expenses or increase
return, and as hedges to reduce investment risk, generally by making an
investment expected to move in the opposite direction of a portfolio position.
A hedge is designed to offset a loss in a portfolio position with a gain in the
hedged position; at the same time, however, a properly correlated hedge will
result in a gain in the portfolio position being offset by a loss in the hedged
position.
At April 30, 2013, the Subsidiary 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 Oil Futures... 06/13/13 3 $ 306 $ 3
CBT Corn Futures.......... 09/13/13 131 3,800 173
CBT Red Wheat Futures..... 07/12/13 6 237 14
CBT Soybean Futures....... 09/13/13 50 3,162 4
CBT Soybean Meal Futures.. 07/12/13 4 166 7
CBT Soybean Oil Futures... 07/12/13 6 177 2
CBT Wheat Futures......... 07/12/13 6 219 11
Coffee 'C' Futures........ 07/19/13 3 152 (4)
Copper High Grade Futures. 07/29/13 5 398 3
Cotton No. 2 Futures...... 07/09/13 3 131 5
Gasoline RBOB Futures..... 06/28/13 2 234 4
162
Expiration Number of Contract Unrealized
Description Date Contracts* Amount Gain (Loss)
----------- ---------- ---------- -------- -----------
Gold 100oz Futures............ 06/26/13 4 589 14
Heating Oil Futures........... 06/28/13 2 239 4
LME Nickel Futures............ 07/17/13 1 92 1
LME Prime Aluminum Futures.... 07/17/13 6 280 (7)
LME Zinc Futures.............. 07/17/13 3 140 (2)
Lean Hogs Futures............. 06/14/13 4 148 4
Light Sweet Crude Oil Futures. 12/19/13 13 1,191 37
Live Cattle Futures........... 06/28/13 4 195 1
Natural Gas Futures........... 08/28/13 18 795 17
Silver Futures................ 07/29/13 2 242 7
Sugar #11 Futures............. 06/28/13 12 237 --
------- ----
$13,130 $298
======= ====
The Subsidiary's securities have been segregated as collateral for open futures
contracts.
* During the six months ended April 30, 2013 the Subsidiary's average notional
contract amount of outstanding futures contracts was $13,723 (in thousands).
At April 30, 2013, the Subsidiary had the following outstanding commodity
index total return swaps (dollar amounts in thousands):
Unrealized
Expiration Notional Appreciation
Counterparty Date Amount* (Depreciation)
------------ ---------- -------- --------------
Citibank, N.A................... 06/28/13 USD $ 2,886 $ 3,265
Deutsche Bank AG, London Branch. 05/22/13 USD 4,250 1,137
Deutsche Bank AG, London Branch. 05/22/13 USD 1,600 (96)
Deutsche Bank AG, London Branch. 05/22/13 USD (1,600) (800)
Deutsche Bank AG, London Branch. 05/22/13 USD (4,250) (1,020)
Deutsche Bank AG, London Branch. 05/29/13 USD 1,601 1,925
Deutsche Bank AG, London Branch. 05/29/13 USD 218 261
Deutsche Bank AG, London Branch. 06/19/13 USD (400) 868
Deutsche Bank AG, London Branch. 07/31/13 USD (13,000) (2,587)
Deutsche Bank AG, London Branch. 09/30/13 USD 12,999 2,834
Deutsche Bank AG, London Branch. 11/19/13 USD 400 (984)
UBS AG.......................... 07/29/13 USD 1,956 2,352
-------- -------
$ 6,660 $ 7,155
======== =======
* During the six months ended April 30, 2013 the Subsidiary's average notional
value of outstanding swap contracts was $358,702 (in thousands).
The following is a summary of the location of derivatives on the Portfolio's
Statements of Assets and Liabilities as of April 30, 2013:
Location on the Statements of Assets and
Liabilities
---------------------------------------------------
Derivative Type Asset Derivatives Liability Derivatives
--------------- ------------------------ ------------------------
Commodity Contracts Payables: Futures Margin
Variation
Foreign Exchange Unrealized Gain on Unrealized Loss on
Contracts Forward Currency Forward Currency
Contracts Contracts
Other Contracts Unrealized Gain on Swap Unrealized Loss on Swap
Contracts Contracts
163
The following is a summary of the Portfolio's derivative instrument holdings
categorized by primary risk exposure as of April 30, 2013 (amounts in
thousands):
Asset Derivatives Value
-----------------------------------
Foreign
Total Value at Commodity Exchange Other
April 30, 2013 Contracts Contracts Contracts
-------------- --------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $12,940 $298* -- $12,642
LiabilityDerivatives Value
-------------------------
Foreign
Total Value at Exchange Other
April 30, 2013 Contracts Contracts
-------------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $(6,860) $(1,373) $(5,487)
* 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 Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolio's derivative instrument holdings through the six months ended
April 30, 2013 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income
--------------- -----------------------------------------------------------
Commodity Contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation
(Depreciation) of: Futures
Foreign Exchange Net Realized Gain (Loss) on: Foreign Currency Transactions Change in
Contracts 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
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 through the six months ended April 30, 2013 (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. $(40,575) $(1,738) $(1,497) $(37,340)
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
--------------------------------------
Foreign
Commodity Exchange Other
Total Contracts Contracts Contracts
-------- --------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $ 6,156 $ 151 $ 125 $ 5,880
I. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, entered into a
$250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line
164
of credit. There were no borrowings by the Portfolio under this line of credit
during the six months ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 4,
2013 with its domestic 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. 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 March 3,
2014. There were no borrowings by the Portfolio under this line of credit
during the period ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 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 10, 2014. There were no borrowings by the Portfolio under
this line of credit during the six months ended April 30, 2013.
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. In-Kind Redemptions:
In accordance with guidelines described in the Portfolio's prospectus, the
Portfolio may distribute portfolio securities rather than cash as payment for a
redemption of fund shares (in-kind redemption). For financial reporting
purposes, the 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.
For the six months ended April 30, 2013, the Portfolio had no in-kind
redemptions.
L. 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.
165
M. Other:
At April 30, 2013, three shareholders held 87% of 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.
N. 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.
166
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,137.00 0.71% $3.76
Institutional Class Shares......... $1,000.00 $1,137.80 0.44% $2.33
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,021.27 0.71% $3.56
Institutional Class Shares......... $1,000.00 $1,022.61 0.44% $2.21
167
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Company Portfolio
----------------------------
Actual Fund Return............ $1,000.00 $1,144.20 0.10% $0.53
Hypothetical 5% Annual Return. $1,000.00 $1,024.30 0.10% $0.50
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
168
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 27, 2013. 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.
A 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 are represented in its 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 reflect the
investments by category.
FEEDER FUND
Affiliated Investment Company
-----------------------------
DFA International Value Portfolio. 100.0%
DOMESTIC EQUITY PORTFOLIO
U.S. Large Company Portfolio
Consumer Discretionary....................... 11.8%
Consumer Staples............................. 11.1%
Energy....................................... 10.6%
Financials................................... 16.1%
Health Care.................................. 12.7%
Industrials.................................. 9.8%
Information Technology....................... 17.8%
Materials.................................... 3.4%
Telecommunication Services................... 3.1%
Utilities.................................... 3.6%
-----
100.0%
169
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $6,161,223,267
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $5,329,211,106)............................. $6,161,223,267
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
170
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (90.8%)
Consumer Discretionary -- (10.7%)
* Amazon.com, Inc................... 113,984 $ 28,930,279 0.6%
Comcast Corp. Class A............. 827,357 34,169,844 0.8%
Home Depot, Inc. (The)............ 468,669 34,376,871 0.8%
McDonald's Corp................... 314,328 32,105,462 0.7%
News Corp. Class A................ 626,819 19,412,584 0.4%
Walt Disney Co. (The)............. 565,920 35,562,413 0.8%
Other Securities.................. 340,269,297 7.6%
------------ -----
Total Consumer Discretionary.......... 524,826,750 11.7%
------------ -----
Consumer Staples -- (10.1%)
Altria Group, Inc................. 629,995 23,001,117 0.5%
Coca-Cola Co. (The)............... 1,201,396 50,855,093 1.1%
CVS Caremark Corp................. 385,922 22,452,942 0.5%
PepsiCo, Inc...................... 483,590 39,881,667 0.9%
Philip Morris International, Inc.. 516,504 49,372,617 1.1%
Procter & Gamble Co. (The)........ 856,245 65,733,929 1.4%
Wal-Mart Stores, Inc.............. 524,287 40,747,586 0.9%
Other Securities.................. 202,265,326 4.6%
------------ -----
Total Consumer Staples................ 494,310,277 11.0%
------------ -----
Energy -- (9.6%)
Chevron Corp...................... 608,945 74,297,379 1.6%
ConocoPhillips.................... 382,724 23,135,666 0.5%
# Exxon Mobil Corp.................. 1,404,412 124,978,624 2.8%
Occidental Petroleum Corp......... 252,490 22,537,257 0.5%
Schlumberger, Ltd................. 416,345 30,988,558 0.7%
Other Securities.................. 198,320,588 4.4%
------------ -----
Total Energy.......................... 474,258,072 10.5%
------------ -----
Financials -- (14.6%)
American Express Co............... 301,242 20,607,965 0.5%
Bank of America Corp.............. 3,391,650 41,751,211 0.9%
* Berkshire Hathaway, Inc. Class B.. 571,719 60,785,164 1.3%
Citigroup, Inc.................... 952,508 44,444,023 1.0%
Goldman Sachs Group, Inc. (The)... 137,158 20,034,669 0.4%
JPMorgan Chase & Co............... 1,199,732 58,798,865 1.3%
U.S. Bancorp...................... 584,084 19,438,315 0.4%
Wells Fargo & Co.................. 1,536,523 58,357,144 1.3%
Other Securities.................. 392,772,355 8.8%
------------ -----
Total Financials...................... 716,989,711 15.9%
------------ -----
Health Care -- (11.5%)
AbbVie, Inc....................... 495,465 22,816,163 0.5%
Amgen, Inc........................ 234,598 24,447,458 0.5%
Bristol-Myers Squibb Co........... 513,234 20,385,654 0.4%
#* Gilead Sciences, Inc.............. 477,199 24,165,357 0.5%
Johnson & Johnson................. 876,201 74,678,611 1.7%
Merck & Co., Inc.................. 947,371 44,526,437 1.0%
Pfizer, Inc....................... 2,253,435 65,507,355 1.5%
UnitedHealth Group, Inc........... 321,266 19,253,471 0.4%
Other Securities.................. 268,679,378 6.0%
------------ -----
Total Health Care..................... 564,459,884 12.5%
------------ -----
171
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (8.9%)
3M Co...................................... 198,976 $ 20,834,777 0.5%
Boeing Co. (The)........................... 213,320 19,499,581 0.4%
General Electric Co........................ 3,259,372 72,651,402 1.6%
Union Pacific Corp......................... 147,103 21,765,360 0.5%
# United Technologies Corp................... 264,337 24,131,325 0.5%
Other Securities........................... 280,194,339 6.2%
-------------- ------
Total Industrials................................ 439,076,784 9.7%
-------------- ------
Information Technology -- (16.2%)
^^ Apple, Inc................................. 294,350 130,323,462 2.9%
Cisco Systems, Inc......................... 1,671,325 34,964,119 0.8%
* Google, Inc. Class A....................... 83,700 69,016,509 1.5%
# Intel Corp................................. 1,550,340 37,130,643 0.8%
# International Business Machines Corp....... 328,386 66,511,300 1.5%
Microsoft Corp............................. 2,363,005 78,215,465 1.7%
Oracle Corp................................ 1,157,504 37,942,981 0.8%
QUALCOMM, Inc.............................. 538,553 33,185,636 0.7%
Visa, Inc. Class A......................... 161,649 27,231,391 0.6%
Other Securities........................... 281,572,689 6.4%
-------------- ------
Total Information Technology..................... 796,094,195 17.7%
-------------- ------
Materials -- (3.1%)
Other Securities........................... 151,117,051 3.4%
-------------- ------
Telecommunication Services -- (2.8%)
AT&T, Inc.................................. 1,721,362 64,482,220 1.4%
Verizon Communications, Inc................ 895,935 48,299,856 1.1%
Other Securities........................... 23,977,722 0.5%
-------------- ------
Total Telecommunication Services................. 136,759,798 3.0%
-------------- ------
Utilities -- (3.3%)
Other Securities........................... 162,966,629 3.6%
-------------- ------
TOTAL COMMON STOCKS.............................. 4,460,859,151 99.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.9%)
^^ State Street Institutional Liquid Reserves. 42,543,274 42,543,274 0.9%
-------------- ------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (8.3%)
(S)@ DFA Short Term Investment Fund............. 35,470,037 410,388,323 9.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,949,024,491)........................ $4,913,790,748 109.0%
============== ======
172
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks.................
Consumer Discretionary...... $ 524,826,750 -- -- $ 524,826,750
Consumer Staples............ 494,310,277 -- -- 494,310,277
Energy...................... 474,258,072 -- -- 474,258,072
Financials.................. 716,989,711 -- -- 716,989,711
Health Care................. 564,459,884 -- -- 564,459,884
Industrials................. 439,076,784 -- -- 439,076,784
Information Technology...... 796,094,195 -- -- 796,094,195
Materials................... 151,117,051 -- -- 151,117,051
Telecommunication Services.. 136,759,798 -- -- 136,759,798
Utilities................... 162,966,629 -- -- 162,966,629
Temporary Cash Investments.... 42,543,274 -- -- 42,543,274
Securities Lending Collateral. -- $410,388,323 -- 410,388,323
Futures Contracts**........... 924,481 -- -- 924,481
-------------- ------------ -- --------------
TOTAL......................... $4,504,326,906 $410,388,323 -- $4,914,715,229
============== ============ == ==============
**Not reflected in the Summary Schedule of Portfolio Holdings, valued at the
unrealized appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
173
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
DFA U.S. Large
International Company
Value Portfolio Portfolio*
--------------- ------------
ASSETS:
Investments in Affiliated Investment Company at Value..................................... $ 6,161,223 --
Investments at Value (including $0 and $404,497 of securities on loan, respectively)...... -- $ 4,460,859
Temporary Cash Investments at Value & Cost................................................ -- 42,543
Collateral from Securities on Loan Invested in Affiliate at Value & Cost.................. -- 410,388
Segregated Cash for Futures Contracts..................................................... -- 1,764
Receivables:
Investment Securities Sold.............................................................. -- 1,448
Dividends, Interest and Tax Reclaims.................................................... -- 4,093
Securities Lending Income............................................................... -- 25
Fund Shares Sold........................................................................ 7,223 2,334
Futures Margin Variation................................................................ -- 111
Prepaid Expenses and Other Assets......................................................... 46 34
-------------- ------------
Total Assets......................................................................... 6,168,492 4,923,599
-------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................................................ -- 410,388
Investment Securities Purchased......................................................... -- 1,303
Fund Shares Redeemed.................................................................... 5,310 3,622
Due to Advisor.......................................................................... 968 296
Accrued Expenses and Other Liabilities.................................................... 273 475
-------------- ------------
Total Liabilities.................................................................... 6,551 416,084
-------------- ------------
NET ASSETS................................................................................ $ 6,161,941 $ 4,507,515
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $7,640 and $0 and shares outstanding of
431,505 and 0, respectively.............................................................. $ 17.71 $ N/A
============== ============
NUMBER OF SHARES AUTHORIZED............................................................... 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net assets of $6,154,301 and $4,507,515 and shares
outstanding of 347,617,717 and 357,489,731, respectively................................. $ 17.70 $ 12.61
============== ============
NUMBER OF SHARES AUTHORIZED............................................................... 1,500,000,000 900,000,000
============== ============
Investments in Affiliated Investment Companies at Cost.................................... $ 5,329,211 $ --
============== ============
Investments at Cost....................................................................... $ -- $ 2,496,093
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................... $ 6,092,346 $ 3,012,131
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... 52,681 10,934
Accumulated Net Realized Gain (Loss)...................................................... (815,112) (481,240)
Net Unrealized Foreign Exchange Gain (Loss)............................................... 14 --
Net Unrealized Appreciation (Depreciation)................................................ 832,012 1,965,690
-------------- ------------
NET ASSETS................................................................................ $ 6,161,941 $ 4,507,515
============== ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
174
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
DFA U.S.
International Large
Value Company
Portfolio* Portfolio
------------- ---------
Investment Income
Net Investment Income Received from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $6,791 and $0, respectively).............. $ 92,101 --
Interest.............................................................................. 4 --
Income from Securities Lending........................................................ 4,862 --
Expenses Allocated from Affiliated Investment Company................................. (6,598) --
-------- --------
Total Net Investment Income Received from Affiliated Investment Companies.......... 90,369 --
-------- --------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0 and $50, respectively)................. -- $ 49,029
Interest.............................................................................. -- 34
Income from Securities Lending........................................................ -- 194
-------- --------
Total Investment Income............................................................ -- 49,257
-------- --------
Expenses
Investment Advisory Services Fees..................................................... -- 530
Administrative Services Fees.......................................................... 5,751 1,066
Accounting & Transfer Agent Fees...................................................... 31 195
S&P 500(R) Fees....................................................................... -- 45
Shareholder Servicing Fees --
Class R2 Shares..................................................................... 9 --
Custodian Fees........................................................................ -- 27
Filing Fees........................................................................... 63 58
Shareholders' Reports................................................................. 84 52
Directors'/Trustees' Fees & Expenses.................................................. 24 18
Professional Fees..................................................................... 56 90
Other................................................................................. 26 30
-------- --------
Total Expenses..................................................................... 6,044 2,111
-------- --------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor
(Note C)............................................................................. -- (4)
-------- --------
Net Expenses.......................................................................... 6,044 2,107
-------- --------
Net Investment Income (Loss).......................................................... 84,325 47,150
-------- --------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Investment Securities........................ -- 409
Net Realized Gain (Loss) on:
Investment Securities Sold.......................................................... 93,812 101,692
Futures............................................................................. -- 4,832
Foreign Currency Transactions**..................................................... (1,145) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................................... 569,073 420,900
Futures............................................................................. -- 979
Translation of Foreign Currency Denominated Amounts................................. 62 --
-------- --------
Net Realized and Unrealized Gain (Loss)............................................... 661,802 528,812
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations......................... $746,127 $575,962
======== ========
----------
* 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 $2 and $0, respectively.
See accompanying Notes to Financial Statements.
175
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International Value U.S. Large Company
Portfolio Portfolio
----------------------- ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012
----------- ----------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................... $ 84,325 $ 186,021 $ 47,150 $ 83,523
Capital Gain Distributions Received from Investment Securities. -- -- 409 543
Net Realized Gain (Loss) on:
Investment Securities Sold................................... 93,812 74,190 101,692 68,937
Futures...................................................... -- -- 4,832 12,993
Foreign Currency Transactions................................ (1,145) (951) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... 569,073 (96,127) 420,900 393,550
Futures...................................................... -- -- 979 (3,799)
Translation of Foreign Currency Denominated Amounts.......... 62 (209) -- --
---------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................. 746,127 162,924 575,962 555,747
---------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Class R2 Shares.............................................. (62) (205) -- --
Institutional Class Shares................................... (58,806) (180,761) (48,465) (81,785)
---------- ----------- ---------- ----------
Total Distributions......................................... (58,868) (180,966) (48,465) (81,785)
---------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued.................................................. 603,009 1,339,320 371,505 610,737
Shares Issued in Lieu of Cash Distributions.................... 55,228 168,269 41,917 70,255
Shares Redeemed................................................ (670,850) (1,295,677) (470,740) (879,631)
---------- ----------- ---------- ----------
Net Increase (Decrease) from Capital Share Transactions..... (12,613) 211,912 (57,318) (198,639)
---------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets..................... 674,646 193,870 470,179 275,323
Net Assets
Beginning of Period............................................ 5,487,295 5,293,425 4,037,336 3,762,013
---------- ----------- ---------- ----------
End of Period.................................................. $6,161,941 $ 5,487,295 $4,507,515 $4,037,336
========== =========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued.................................................. 35,976 89,258 31,720 57,663
Shares Issued in Lieu of Cash Distributions.................... 3,393 11,721 3,644 6,768
Shares Redeemed................................................ (40,456) (86,334) (39,888) (82,571)
---------- ----------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed................................................... (1,087) 14,645 (4,524) (18,140)
========== =========== ========== ==========
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income).......................................... $ 52,681 $ 27,224 $ 10,934 $ 12,249
See accompanying Notes to Financial Statements.
176
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio-Class R2 Shares+
----------------------------------------------------------- --------------
Period
Six Months Year Year Year Year April 30, Six Months
Ended Ended Ended Ended Ended 2008 (a) to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2013 2012 2011 2010 2009 2008 2013
--------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning
of Period................. $15.72 $15.83 $17.82 $17.13 $13.58 $ 26.31 $ 15.72
------ ------ ------ ------ ------ ------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).............. 0.22 0.51 0.53 0.37 0.42 0.66 0.24
Net Gains (Losses) on
Securities (Realized
and Unrealized)......... 1.92 (0.13) (2.00) 1.29 4.10 (11.73) 1.91
------ ------ ------ ------ ------ ------- ----------
Total from Investment
Operations............. 2.14 0.38 (1.47) 1.66 4.52 (11.07) 2.15
--------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment
Income.................. (0.15) (0.49) (0.52) (0.97) (0.97) (1.66) (0.17)
Net Realized Gains....... -- -- -- -- -- -- --
------ ------ ------ ------ ------ ------- ----------
Total Distributions..... (0.15) (0.49) (0.52) (0.97) (0.97) (1.66) (0.17)
--------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period.................... $17.71 $15.72 $15.83 $17.82 $17.13 $ 13.58 $ 17.70
=========================== =========== ======== ======== ======== ======== =========== ===========
Total Return............... 13.70%(C) 2.70% (8.53)% 10.60% 34.86% (44.63)%(C) 13.78%(C)
--------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)............... $7,640 $6,407 $6,102 $4,952 $3,443 $ 3,372 $6,154,301
Ratio of Expenses to
Average Net
Assets (D)................ 0.71%(B) 0.71% 0.71% 0.72% 0.74% 0.73%(B)(E) 0.44%(B)
Ratio of Net Investment
Income to Average Net
Assets.................... 2.72%(B) 3.33% 2.97% 2.11% 2.96% 7.47%(B)(E) 2.95%(B)
--------------------------------------------------------------------------------------------------------------
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 (Realized
and 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%
--------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
+ 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 accompanying Notes to Financial Statements.
177
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Company Portfolio
-----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 11.15 $ 9.90 $ 9.34 $ 8.16 $ 7.62
---------- ---------- ---------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................ 0.13 0.22 0.19 0.18 0.18
Net Gains (Losses) on Securities (Realized and Unrealized).. 1.46 1.25 0.56 1.15 0.55
---------- ---------- ---------- ---------- --------
Total from Investment Operations.......................... 1.59 1.47 0.75 1.33 0.73
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................................... (0.13) (0.22) (0.19) (0.15) (0.19)
---------- ---------- ---------- ---------- --------
Total Distributions....................................... (0.13) (0.22) (0.19) (0.15) (0.19)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 12.61 $ 11.15 $ 9.90 $ 9.34 $ 8.16
============================================================ =========== ========== ========== ========== ========
Total Return................................................. 14.42%(C) 15.02% 8.09% 16.47% 10.07%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $4,507,515 $4,037,336 $3,762,013 $3,712,973 $785,689
Ratio of Expenses to Average Net Assets...................... 0.10%(B) 0.10% 0.10% 0.10%** 0.10%(D)
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or Recovery of
Previously Waived Fees)..................................... 0.10%(B) 0.10% 0.10% 0.11%** 0.13%(D)
Ratio of Net Investment Income to Average Net Assets......... 2.24%(B) 2.10% 1.95% 1.99% 2.53%
Portfolio Turnover Rate...................................... 1%(C) 4% 4% 1%* N/A
--------------------------------------------------------------------------------------------------------------------------------
---------------------------
Period
Dec. 1, Year
2007 to Ended
Oct. 31, Nov. 30,
2008 2007
--------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period......................... $ 11.63 $ 11.00
-------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................ 0.20 0.22
Net Gains (Losses) on Securities (Realized and Unrealized).. (3.99) 0.62
-------- ----------
Total from Investment Operations.......................... (3.79) 0.84
--------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................................... (0.22) (0.21)
-------- ----------
Total Distributions....................................... (0.22) (0.21)
--------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 7.62 $ 11.63
============================================================ ======== ==========
Total Return................................................. (33.10)%(C) 7.71%
--------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $729,218 $1,002,142
Ratio of Expenses to Average Net Assets...................... 0.10%(B)(D) 0.10%(D)
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or Recovery of
Previously Waived Fees)..................................... 0.11%(B)(D) 0.11%(D)
Ratio of Net Investment Income to Average Net Assets......... 2.10%(B) 1.90%
Portfolio Turnover Rate...................................... N/A N/A
--------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
* 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 accompanying Notes to Financial Statements.
178
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group, Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, 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 April 30, 2013, the Feeder Fund
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 the Feeder Fund commenced operations on April 30, 2008.
On November 1, 2008, the 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 Series is a
result of the treatment of a partnership for book purposes. The Series 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 the Fund 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 the Fund 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:
Value
Target Fund Shares Acquiring Fund Shares (in thousands)
----------- ---------- ------------------------------ ----------- --------------
U.S. Large Company
U.S. Large Company Portfolio. 83,482,168 Institutional Index Portfolio 311,973,980 $2,731,987
The net assets, including net unrealized appreciation (depreciation) of the
Target Fund, immediately before the acquisition were as follows (in thousands):
Unrealized Appreciation
Target Fund Net Assets (Depreciation) Acquiring Fund Net Assets
----------- ---------- ----------------------- ------------------------------ ----------
U.S. Large Company
U.S. Large Company Portfolio. $2,731,987 $315,984 Institutional Index Portfolio $870,696
179
Assuming the acquisition had been completed on November 1, 2009, U.S. Large
Company Portfolio's result of operations for the year ended October 31, 2010
would have been as follows (in thousands):
Net Investment Income.................................. $ 71,681(a)
Net Realized and Unrealized Gain (Loss) on Investments. 501,073(b)
--------
Net Increase in Net Assets Resulting from Operations... $572,754
========
(a) $43,125 as reported in the Statement of Operations, plus $27,799 Net
Investment Income from U.S. Large Company Portfolio pre-merger, plus $757 of
pro-forma eliminated expenses.
(b) $596,596 as reported in the Statement of Operations, less $95,523 Net
Realized and Unrealized Gain (Loss) on Investments from U.S. Large Company
Portfolio pre-merger.
Because both U.S. Large Company Portfolio and U.S. Large Company
Institutional Index Portfolio sold and redeemed shares throughout the period,
it is not practicable to provide pro-forma information on a per-share basis.
Prior to September 10, 2010, U.S. Large Company Portfolio invested
substantially all of its assets in shares of The U.S. Large Company Series. At
the close of business on September 9, 2010, U.S. Large Company Portfolio
received its pro-rata share of cash and securities from The U.S. Large Company
Series in a complete liquidation of its interest in the Series. Effective
September 10, 2010, U.S. Large Company Portfolio invests directly in securities
rather than through the Series and maintains the same investment objective.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value 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)
The Feeder Fund's investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
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 the 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, the 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,
180
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 this
note. A valuation hierarchy table has 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.
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Portfolios.
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 April 30, 2013, 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 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 or Portfolios are allocated using
methods approved by the Board of Directors/Trustees, generally based on average
net assets.
181
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 shareholders and the Board, and other administrative
services. The Advisor provides investment advisory services to the U.S. Large
Company Portfolio and the Series. The Advisor receives no additional
compensation for the investment advisory services it provides to the Feeder
Fund. For the six months ended April 30, 2013, the Portfolios' administrative
services fees were accrued daily and paid monthly to the Advisor based on the
following effective annual rates of average daily net assets:
DFA International Value Portfolio. 0.20%
U.S. Large Company Portfolio...... 0.05%
For the six months ended April 30, 2013, the U.S. Large Company Portfolio's
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:
U.S. Large Company Portfolio. 0.025%
Pursuant to an Amended and Restated Fee Waiver and/or 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
Amended and Restated Fee Waiver and/or Expense Assumption Agreement for the
Portfolios below will remain in effect through February 28, 2014, and shall
continue in effect from year to year thereafter unless terminated by the Fund
or the Advisor. For the six months ended April 30, 2013, 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% $37 $393
(1) The Advisor has contractually agreed to assume the direct expenses of
the Class R2 shares of the Portfolio (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) of the Class R2 shares 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 expenses of the Class R2 shares 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 expenses to exceed the Expense Limitation Amount, as
listed above.
(2) The Advisor has contractually agreed to waive all or a portion of its
administration fee to the extent necessary to reduce the ordinary operating
expenses (excluding expenses incurred through investment in other investment
companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses"), so
that such Portfolio Expenses do not exceed the rate listed above as a
percentage of average net assets on an annualized basis (the
182
"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 six months ended April 30, 2013, the total
related amounts paid by the Fund to the CCO were $15 (in thousands). The total
related amounts paid by each Portfolio are included in Other Expenses on the
Statement of Operations.
D. Deferred Compensation:
At April 30, 2013, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
DFA International Value Portfolio. $153
U.S. Large Company Portfolio...... 220
E. Purchases and Sales of Securities:
For the six months ended April 30, 2013, 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 Sales
--------- --------
U.S. Large Company Portfolio. $50,259 $156,870
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 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...... -- -- --
183
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 Carryforwards 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
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 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 April 30, 2013, the total cost and aggregate gross unrealized
appreciation (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. $5,332,884 $ 829,215 $ (876) $ 828,339
U.S. Large Company Portfolio...... 3,190,237 2,091,600 (368,047) 1,723,553
184
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.
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 positions 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 remain subject to examination by the Internal Revenue Service.
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Six Months Ended Year Ended
April 30, 2013 Oct. 31, 2012
------------------ --------------------
Amount Shares Amount Shares
--------- ------- ----------- -------
DFA International Value Portfolio
Class R2 Shares
Shares Issued........................................ $ 898 53 $ 2,362 154
Shares Issued in Lieu of Cash Distributions.......... 62 4 204 14
Shares Redeemed...................................... (562) (33) (2,235) (146)
--------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 398 24 $ 331 22
========= ======= =========== =======
Institutional Class Shares
Shares Issued........................................ $ 602,111 35,923 $ 1,336,958 89,104
Shares Issued in Lieu of Cash Distributions.......... 55,166 3,389 168,065 11,707
Shares Redeemed...................................... (670,288) (40,423) (1,293,442) (86,188)
--------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ (13,011) (1,111) $ 211,581 14,623
========= ======= =========== =======
On October 29, 2010, the Board of Directors/Trustees adopted a Plan of
Recapitalization of the Feeder Fund'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 the Feeder Fund'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 R2 Shares.
H. Financial Instruments:
In accordance with U.S. Large Company Portfolio's investment objective 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. 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.
185
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
2. 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 Portfolios deposit 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 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 Statements of Operations as a net realized gain
or loss on futures, equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolios could lose more than
the initial margin requirements. Entering into stock index futures subjects the
Portfolios to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the
exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At April 30, 2013, the U.S. Large Company Portfolio had outstanding futures
contracts (dollar amounts in thousands):
Approximate
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
----------------------- ---------- ---------- -------- ----------- -----------
U.S. Large Company
Portfolio........ S&P 500(R) Emini Index 06/21/13 583 $46,413 $924 --
* During the six months ended April 30, 2013, U.S. Large Company Portfolio's
average notional contract amount of outstanding futures contracts was $48,808
(in thousands).
The following is a summary of U.S. Large Company Portfolio's location and
value of derivative instrument holdings on the Portfolio's Statements of Assets
and Liabilities categorized by primary risk exposure for the six months ended
April 30, 2013 (amounts in thousands):
Asset Derivatives Value
------------------------
Location on the
Statements of Assets and
Liabilities Equity Contracts
------------------------ ------------------------
U.S. Large Company Payables: Futures Margin $924*
Portfolio Variation
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
The following is a summary of the location of realized and change in
unrealized gains and losses on U.S. Large Company Portfolio's Statement of
Operations for the Portfolio's derivative instrument holdings through the six
months ended April 30, 2013:
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
186
The following is a summary of the realized and change in unrealized gains
and losses from U.S. Large Company Portfolio's direct investment in derivative
instrument holdings categorized by primary risk exposure for the six months
ended April 30, 2013 (amounts in thousands):
Realized Gain (Loss) on
Derivatives Recognized in Income
--------------------------------
Equity
Contracts
--------------------------------
U.S. Large Company Portfolio. $4,832
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
--------------------------------
Equity
Contracts
--------------------------------
U.S. Large Company Portfolio. $ 979
I. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, entered into a
$250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line of credit. There were no borrowings by the
Portfolios under this line of credit during the six months ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 4,
2013 with its domestic 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. 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 March 3,
2014. There were no borrowings by the Portfolios under this line of credit
during the period ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 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 10, 2014.
For the six months ended April 30, 2013, borrowings by the Portfolios under
this line of credit were as follows (amounts in thousands, except percentages
and days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
U.S. Large Company Portfolio. 0.92% $10,747 7 $2 $20,815
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2013, that the Portfolio's available
line of credit was utilized.
187
There were no outstanding borrowings by the Portfolios under this line of
credit as of April 30, 2013.
J. Securities Lending:
As of April 30, 2013, U.S. Large Company Portfolio had securities on loan to
brokers/dealers, for which the Portfolio received cash collateral. In addition,
U.S. Large Company Portfolio received non-cash collateral consisting of short
and/or long term U.S. Treasury securities with a market value of $1,297 (in
thousands). The 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 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 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 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's 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.
188
For the six months ended April 30, 2013, the Portfolios had no in-kind
redemptions.
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.
O. Other:
At April 30, 2013, the following number of shareholders held the following
approximate percentages of the stated fund outstanding shares. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
DFA International Value Portfolio -- Class R2 Shares............ 6 96%
DFA International Value Portfolio -- Institutional Class Shares. 4 66%
U.S. Large Company Portfolio.................................... 3 76%
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.
189
DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
-------------------------------
Actual Fund Return................. $1,000.00 $1,184.80 0.11% $0.60
Hypothetical 5% Annual Return...... $1,000.00 $1,024.25 0.11% $0.55
The DFA International Value Series
----------------------------------
Actual Fund Return................. $1,000.00 $1,140.00 0.23% $1.22
Hypothetical 5% Annual Return...... $1,000.00 $1,023.65 0.23% $1.15
190
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
The Japanese Small Company Series
---------------------------------
Actual Fund Return...................... $1,000.00 $1,261.20 0.15% $0.84
Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.15% $0.75
The Asia Pacific Small Company Series
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,106.80 0.16% $0.84
Hypothetical 5% Annual Return........... $1,000.00 $1,024.00 0.16% $0.80
The United Kingdom Small Company Series
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,151.90 0.12% $0.64
Hypothetical 5% Annual Return........... $1,000.00 $1,024.20 0.12% $0.60
The Continental Small Company Series
------------------------------------
Actual Fund Return...................... $1,000.00 $1,165.30 0.15% $0.81
Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.15% $0.75
The Canadian Small Company Series
---------------------------------
Actual Fund Return...................... $1,000.00 $ 980.70 0.15% $0.74
Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.15% $0.75
The Emerging Markets Series
---------------------------
Actual Fund Return...................... $1,000.00 $1,062.60 0.18% $0.92
Hypothetical 5% Annual Return........... $1,000.00 $1,023.90 0.18% $0.90
The Emerging Markets Small Cap Series
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,130.50 0.33% $1.74
Hypothetical 5% Annual Return........... $1,000.00 $1,023.16 0.33% $1.66
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
191
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 27, 2013. 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.
A 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....................... 13.4%
Consumer Staples............................. 7.7%
Energy....................................... 20.3%
Financials................................... 24.0%
Health Care.................................. 7.8%
Industrials.................................. 12.5%
Information Technology....................... 4.9%
Materials.................................... 3.4%
Telecommunication Services................... 5.6%
Utilities.................................... 0.4%
-----
100.0%
The DFA International Value Series
Consumer Discretionary....................... 9.8%
Consumer Staples............................. 5.6%
Energy....................................... 12.0%
Financials................................... 36.3%
Health Care.................................. 1.2%
Industrials.................................. 9.9%
Information Technology....................... 3.5%
Materials.................................... 11.3%
Other........................................ --
Telecommunication Services................... 7.6%
Utilities.................................... 2.8%
-----
100.0%
The Japanese Small Company Series
Consumer Discretionary....................... 22.8%
Consumer Staples............................. 8.7%
Energy....................................... 0.6%
Financials................................... 12.7%
Health Care.................................. 4.8%
Industrials.................................. 28.3%
Information Technology....................... 10.5%
Materials.................................... 11.2%
Telecommunication Services................... --
Utilities.................................... 0.4%
-----
100.0%
192
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
The Asia Pacific Small Company Series
Consumer Discretionary....................... 28.7%
Consumer Staples............................. 4.7%
Energy....................................... 6.0%
Financials................................... 12.9%
Health Care.................................. 5.1%
Industrials.................................. 21.0%
Information Technology....................... 5.1%
Materials.................................... 10.6%
Other........................................ --
Telecommunication Services................... 3.3%
Utilities.................................... 2.6%
-----
100.0%
The United Kingdom Small Company Series
Consumer Discretionary....................... 26.8%
Consumer Staples............................. 3.6%
Energy....................................... 4.9%
Financials................................... 15.0%
Health Care.................................. 2.4%
Industrials.................................. 26.9%
Information Technology....................... 8.3%
Materials.................................... 7.4%
Telecommunication Services................... 2.3%
Utilities.................................... 2.4%
-----
100.0%
The Continental Small Company Series
Consumer Discretionary....................... 13.5%
Consumer Staples............................. 6.8%
Energy....................................... 4.4%
Financials................................... 19.3%
Health Care.................................. 9.1%
Industrials.................................. 24.2%
Information Technology....................... 9.7%
Materials.................................... 8.9%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 1.9%
Utilities.................................... 2.2%
-----
100.0%
The Canadian Small Company Series
Consumer Discretionary....................... 10.2%
Consumer Staples............................. 4.3%
Energy....................................... 24.6%
Financials................................... 8.3%
Health Care.................................. 2.5%
Industrials.................................. 12.4%
Information Technology....................... 5.3%
Materials.................................... 25.9%
Other........................................ --
Real Estate Investment Trusts................ 0.6%
Telecommunication Services................... 0.3%
Utilities.................................... 5.6%
-----
100.0%
The Emerging Markets Series
Consumer Discretionary....................... 8.2%
Consumer Staples............................. 9.7%
Energy....................................... 11.3%
Financials................................... 26.5%
Health Care.................................. 1.4%
Industrials.................................. 7.3%
Information Technology....................... 14.0%
Materials.................................... 11.2%
Other........................................ --
Telecommunication Services................... 7.0%
Utilities.................................... 3.4%
-----
100.0%
The Emerging Markets Small Cap Series
Consumer Discretionary....................... 18.1%
Consumer Staples............................. 9.3%
Energy....................................... 2.2%
Financials................................... 17.7%
Health Care.................................. 6.2%
Industrials.................................. 17.1%
Information Technology....................... 12.4%
Materials.................................... 12.9%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 0.7%
Utilities.................................... 3.4%
-----
100.0%
193
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (96.2%)
Consumer Discretionary -- (12.9%)
Carnival Corp........................ 2,385,423 $ 82,320,948 0.6%
Comcast Corp. Class A................ 10,008,890 413,367,157 3.2%
Comcast Corp. Special Class A........ 3,843,964 151,029,346 1.2%
#* General Motors Co.................... 2,302,737 71,016,409 0.6%
# News Corp. Class A................... 2,241,856 69,430,280 0.5%
Time Warner Cable, Inc............... 1,921,256 180,386,726 1.4%
Time Warner, Inc..................... 4,853,977 290,170,745 2.3%
Other Securities..................... 465,752,512 3.6%
-------------- -----
Total Consumer Discretionary............. 1,723,474,123 13.4%
-------------- -----
Consumer Staples -- (7.4%)
Archer-Daniels-Midland Co............ 3,155,848 107,109,481 0.8%
CVS Caremark Corp.................... 6,004,478 349,340,530 2.7%
Mondelez International, Inc. Class A. 7,330,703 230,550,609 1.8%
Other Securities..................... 305,954,763 2.4%
-------------- -----
Total Consumer Staples................... 992,955,383 7.7%
-------------- -----
Energy -- (19.5%)
Anadarko Petroleum Corp.............. 2,478,744 210,098,341 1.6%
Apache Corp.......................... 1,208,836 89,308,804 0.7%
Chevron Corp......................... 3,863,466 471,381,487 3.7%
ConocoPhillips....................... 5,899,107 356,601,018 2.8%
# Hess Corp............................ 1,567,373 113,132,983 0.9%
Marathon Oil Corp.................... 3,447,108 112,617,018 0.9%
Marathon Petroleum Corp.............. 1,791,952 140,417,359 1.1%
National Oilwell Varco, Inc.......... 1,661,481 108,361,791 0.8%
Occidental Petroleum Corp............ 1,349,242 120,433,341 0.9%
Phillips 66.......................... 2,926,797 178,388,277 1.4%
* Transocean, Ltd...................... 1,261,179 64,912,883 0.5%
Valero Energy Corp................... 2,806,975 113,177,232 0.9%
Other Securities..................... 525,193,006 4.1%
-------------- -----
Total Energy............................. 2,604,023,540 20.3%
-------------- -----
Financials -- (23.1%)
* American International Group, Inc.... 6,622,622 274,309,003 2.1%
# Bank of America Corp................. 38,925,898 479,177,804 3.7%
# Bank of New York Mellon Corp. (The).. 3,040,229 85,795,262 0.7%
Citigroup, Inc....................... 10,372,454 483,978,704 3.8%
# CME Group, Inc....................... 1,599,345 97,336,137 0.8%
Goldman Sachs Group, Inc. (The)...... 786,395 114,868,718 0.9%
# JPMorgan Chase & Co.................. 3,775,507 185,037,598 1.4%
Loews Corp........................... 2,050,343 91,588,822 0.7%
MetLife, Inc......................... 4,759,859 185,586,902 1.4%
Morgan Stanley....................... 6,429,315 142,409,327 1.1%
Prudential Financial, Inc............ 2,287,609 138,217,336 1.1%
# SunTrust Banks, Inc.................. 2,564,707 75,017,680 0.6%
Other Securities..................... 721,595,925 5.6%
-------------- -----
Total Financials......................... 3,074,919,218 23.9%
-------------- -----
194
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (7.5%)
# Aetna, Inc................................. 1,693,713 $ 97,286,875 0.8%
Pfizer, Inc................................ 9,837,358 285,971,997 2.2%
Thermo Fisher Scientific, Inc.............. 1,932,026 155,875,858 1.2%
# WellPoint, Inc............................. 1,824,634 133,052,311 1.0%
Other Securities........................... 326,119,456 2.6%
--------------- ------
Total Health Care................................ 998,306,497 7.8%
--------------- ------
Industrials -- (12.0%)
CSX Corp................................... 5,517,066 135,664,653 1.1%
# General Electric Co........................ 19,480,526 434,220,925 3.4%
Norfolk Southern Corp...................... 1,681,939 130,215,717 1.0%
# Northrop Grumman Corp...................... 1,364,645 103,358,212 0.8%
Union Pacific Corp......................... 2,173,679 321,617,545 2.5%
Other Securities........................... 478,671,027 3.7%
--------------- ------
Total Industrials................................ 1,603,748,079 12.5%
--------------- ------
Information Technology -- (4.7%)
# Hewlett-Packard Co......................... 5,006,539 103,134,703 0.8%
* Yahoo!, Inc................................ 4,116,468 101,800,254 0.8%
Other Securities........................... 425,616,152 3.3%
--------------- ------
Total Information Technology..................... 630,551,109 4.9%
--------------- ------
Materials -- (3.3%)
# Freeport-McMoRan Copper & Gold, Inc........ 2,348,639 71,469,085 0.6%
International Paper Co..................... 2,224,458 104,505,037 0.8%
Other Securities........................... 267,195,954 2.0%
--------------- ------
Total Materials.................................. 443,170,076 3.4%
--------------- ------
Telecommunication Services -- (5.4%)
AT&T, Inc.................................. 13,051,893 488,923,912 3.8%
# CenturyLink, Inc........................... 2,353,137 88,407,357 0.7%
* Sprint Nextel Corp......................... 13,961,200 98,426,460 0.7%
Other Securities........................... 44,313,466 0.4%
--------------- ------
Total Telecommunication Services................. 720,071,195 5.6%
--------------- ------
Utilities -- (0.4%)
Other Securities........................... 46,400,297 0.4%
--------------- ------
TOTAL COMMON STOCKS.............................. 12,837,619,517 99.9%
--------------- ------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves. 37,139,776 37,139,776 0.3%
--------------- ------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (3.5%)
(S)@ DFA Short Term Investment Fund............. 40,224,004 465,391,729 3.6%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $9,150,048,349)........................ $13,340,151,022 103.8%
=============== ======
195
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- ------------ ------- ---------------
Common Stocks
Consumer Discretionary...... $ 1,723,474,123 -- -- $ 1,723,474,123
Consumer Staples............ 992,955,383 -- -- 992,955,383
Energy...................... 2,604,023,540 -- -- 2,604,023,540
Financials.................. 3,074,919,218 -- -- 3,074,919,218
Health Care................. 998,306,497 -- -- 998,306,497
Industrials................. 1,603,748,079 -- -- 1,603,748,079
Information Technology...... 630,551,109 -- -- 630,551,109
Materials................... 443,170,076 -- -- 443,170,076
Telecommunication Services.. 720,071,195 -- -- 720,071,195
Utilities................... 46,400,297 -- -- 46,400,297
Temporary Cash Investments.... 37,139,776 -- -- 37,139,776
Securities Lending Collateral. -- $465,391,729 -- 465,391,729
--------------- ------------ -- ---------------
TOTAL......................... $12,874,759,293 $465,391,729 -- $13,340,151,022
=============== ============ == ===============
See accompanying Notes to Financial Statements.
196
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (88.0%)
AUSTRALIA -- (5.0%)
Suncorp Group, Ltd............... 3,736,013 $ 50,317,710 0.6%
Wesfarmers, Ltd.................. 2,584,670 116,279,925 1.4%
Other Securities................. 291,706,689 3.6%
-------------- ------
TOTAL AUSTRALIA...................... 458,304,324 5.6%
-------------- ------
AUSTRIA -- (0.2%)
Other Securities................. 22,620,434 0.3%
-------------- ------
BELGIUM -- (1.1%)
Other Securities................. 97,018,246 1.2%
-------------- ------
CANADA -- (8.7%)
Canadian Natural Resources, Ltd.. 1,849,320 54,243,293 0.7%
Goldcorp, Inc.................... 1,686,234 49,911,656 0.6%
# Manulife Financial Corp.......... 4,587,163 67,797,764 0.8%
# Sun Life Financial, Inc.......... 1,565,269 44,155,983 0.6%
Suncor Energy, Inc............... 3,750,370 116,928,008 1.4%
# Thomson Reuters Corp............. 1,832,184 61,378,937 0.8%
Other Securities................. 404,553,580 4.9%
-------------- ------
TOTAL CANADA......................... 798,969,221 9.8%
-------------- ------
DENMARK -- (1.2%)
Other Securities................. 108,958,158 1.3%
-------------- ------
FINLAND -- (0.5%)
Other Securities................. 48,558,445 0.6%
-------------- ------
FRANCE -- (8.2%)
# AXA SA........................... 4,004,754 74,995,536 0.9%
BNP Paribas SA................... 1,973,903 110,060,678 1.4%
Cie de St-Gobain................. 1,039,077 41,613,919 0.5%
France Telecom SA................ 3,875,091 41,383,566 0.5%
# GDF Suez......................... 3,247,971 69,637,459 0.9%
* Societe Generale SA.............. 1,823,515 66,242,789 0.8%
Vivendi SA....................... 3,686,124 83,497,667 1.0%
Other Securities................. 259,788,588 3.2%
-------------- ------
TOTAL FRANCE......................... 747,220,202 9.2%
-------------- ------
GERMANY -- (7.4%)
# Allianz SE....................... 517,629 76,567,951 0.9%
# Allianz SE ADR................... 2,811,910 41,475,672 0.5%
Bayerische Motoren Werke AG...... 663,299 61,335,322 0.8%
Daimler AG....................... 2,088,586 115,801,750 1.4%
Deutsche Bank AG................. 1,538,807 70,835,958 0.9%
# E.ON SE.......................... 3,592,972 65,250,322 0.8%
# Muenchener Rueckversicherungs AG. 395,244 79,169,861 1.0%
Other Securities................. 164,745,466 2.0%
-------------- ------
TOTAL GERMANY........................ 675,182,302 8.3%
-------------- ------
GREECE -- (0.0%)
Other Securities................. 3,881,280 0.0%
-------------- ------
197
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.1%)
Hutchison Whampoa, Ltd.................. 5,818,000 $ 63,182,649 0.8%
Other Securities........................ 129,361,801 1.6%
-------------- ------
TOTAL HONG KONG............................. 192,544,450 2.4%
-------------- ------
IRELAND -- (0.1%)
Other Securities........................ 13,278,889 0.2%
-------------- ------
ISRAEL -- (0.3%)
Other Securities........................ 31,737,065 0.4%
-------------- ------
ITALY -- (1.1%)
* UniCredit SpA........................... 8,189,815 42,805,198 0.5%
Other Securities........................ 55,555,418 0.7%
-------------- ------
TOTAL ITALY................................. 98,360,616 1.2%
-------------- ------
JAPAN -- (17.8%)
Mitsubishi Corp......................... 3,047,600 54,863,679 0.7%
Mitsubishi Heavy Industries, Ltd........ 7,405,000 51,065,254 0.6%
Mitsubishi UFJ Financial Group, Inc..... 22,830,706 154,902,674 1.9%
Mitsui & Co., Ltd....................... 3,522,000 48,521,389 0.6%
Nomura Holdings, Inc.................... 7,769,100 63,494,551 0.8%
Other Securities........................ 1,260,958,457 15.4%
-------------- ------
TOTAL JAPAN................................. 1,633,806,004 20.0%
-------------- ------
NETHERLANDS -- (2.5%)
* ING Groep NV............................ 5,697,333 46,933,717 0.6%
Koninklijke Philips Electronics NV...... 1,957,968 54,192,709 0.7%
Other Securities........................ 125,436,586 1.5%
-------------- ------
TOTAL NETHERLANDS........................... 226,563,012 2.8%
-------------- ------
NEW ZEALAND -- (0.1%)
Other Securities........................ 6,442,372 0.1%
-------------- ------
NORWAY -- (1.0%)
Other Securities........................ 89,934,209 1.1%
-------------- ------
PORTUGAL -- (0.1%)
Other Securities........................ 6,134,640 0.1%
-------------- ------
SINGAPORE -- (1.2%)
Other Securities........................ 109,000,646 1.3%
-------------- ------
SPAIN -- (1.8%)
Banco Santander SA...................... 8,322,004 60,097,740 0.8%
Other Securities........................ 107,810,382 1.3%
-------------- ------
TOTAL SPAIN................................. 167,908,122 2.1%
-------------- ------
SWEDEN -- (3.1%)
Nordea Bank AB.......................... 5,366,449 64,574,595 0.8%
# Telefonaktiebolaget LM Ericsson Class B. 4,713,081 58,613,629 0.7%
Other Securities........................ 156,800,588 1.9%
-------------- ------
TOTAL SWEDEN................................ 279,988,812 3.4%
-------------- ------
198
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (6.4%)
Credit Suisse Group AG........................................ 1,685,212 $ 46,800,075 0.6%
Holcim, Ltd................................................... 887,877 69,258,838 0.8%
Swiss Re AG................................................... 1,108,107 88,184,915 1.1%
UBS AG........................................................ 5,895,747 105,170,761 1.3%
Zurich Insurance Group AG..................................... 236,698 66,143,271 0.8%
Other Securities.............................................. 212,188,323 2.6%
-------------- ------
TOTAL SWITZERLAND................................................... 587,746,183 7.2%
-------------- ------
UNITED KINGDOM -- (18.1%)
Barclays P.L.C................................................ 11,591,752 51,727,912 0.6%
# Barclays P.L.C. Sponsored ADR................................. 4,591,659 82,558,029 1.0%
# BP P.L.C. Sponsored ADR....................................... 5,486,298 239,202,592 2.9%
# HSBC Holdings P.L.C. Sponsored ADR............................ 1,661,423 91,145,665 1.1%
Kingfisher P.L.C.............................................. 10,285,817 50,118,996 0.6%
* Lloyds Banking Group P.L.C.................................... 82,680,839 70,236,780 0.9%
Old Mutual P.L.C.............................................. 13,164,620 41,989,733 0.5%
# Royal Dutch Shell P.L.C. ADR.................................. 3,323,210 231,926,826 2.8%
Vodafone Group P.L.C.......................................... 34,976,333 106,723,100 1.3%
Vodafone Group P.L.C. Sponsored ADR........................... 8,116,661 248,288,660 3.1%
Xstrata P.L.C................................................. 5,211,952 78,431,883 1.0%
Other Securities.............................................. 366,277,452 4.5%
-------------- ------
TOTAL UNITED KINGDOM................................................ 1,658,627,628 20.3%
-------------- ------
TOTAL COMMON STOCKS................................................. 8,062,785,260 98.9%
-------------- ------
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities.............................................. 26,234,060 0.3%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities.............................................. 1,722,022 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@ DFA Short Term Investment Fund................................ 92,826,275 1,074,000,000 13.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $29,728 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $30,383) to be repurchased at $29,787.... $ 30 29,787 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL................................. 1,074,029,787 13.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,013,442,781)........................................... $9,164,771,129 112.4%
============== ======
199
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks.................
Australia................... $ 3,531,691 $ 454,772,633 -- $ 458,304,324
Austria..................... -- 22,620,434 -- 22,620,434
Belgium..................... 3,306,779 93,711,467 -- 97,018,246
Canada...................... 798,969,221 -- -- 798,969,221
Denmark..................... -- 108,958,158 -- 108,958,158
Finland..................... 1,353,012 47,205,433 -- 48,558,445
France...................... 5,640,035 741,580,167 -- 747,220,202
Germany..................... 101,938,532 573,243,770 -- 675,182,302
Greece...................... -- 3,881,280 -- 3,881,280
Hong Kong................... -- 192,544,450 -- 192,544,450
Ireland..................... 5,183,802 8,095,087 -- 13,278,889
Israel...................... 2,263,802 29,473,263 -- 31,737,065
Italy....................... 15,633,330 82,727,286 -- 98,360,616
Japan....................... 107,502,998 1,526,303,006 -- 1,633,806,004
Netherlands................. 12,761,638 213,801,374 -- 226,563,012
New Zealand................. -- 6,442,372 -- 6,442,372
Norway...................... 277,936 89,656,273 -- 89,934,209
Portugal.................... -- 6,134,640 -- 6,134,640
Singapore................... -- 109,000,646 -- 109,000,646
Spain....................... 10,049,849 157,858,273 -- 167,908,122
Sweden...................... 11,721,114 268,267,698 -- 279,988,812
Switzerland................. 82,499,635 505,246,548 -- 587,746,183
United Kingdom.............. 944,918,493 713,709,135 -- 1,658,627,628
Preferred Stocks..............
Germany..................... -- 26,234,060 -- 26,234,060
Rights/Warrants...............
Spain....................... -- 1,722,022 -- 1,722,022
Securities Lending Collateral. -- 1,074,029,787 -- 1,074,029,787
-------------- -------------- -- --------------
TOTAL......................... $2,107,551,867 $7,057,219,262 -- $9,164,771,129
============== ============== == ==============
See accompanying Notes to Financial Statements.
200
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (86.9%)
Consumer Discretionary -- (19.8%)
# Accordia Golf Co., Ltd............... 5,759 $ 6,542,864 0.3%
Aoyama Trading Co., Ltd.............. 315,900 9,453,137 0.4%
Autobacs Seven Co., Ltd.............. 378,000 6,369,867 0.3%
* Haseko Corp.......................... 7,564,500 11,050,940 0.5%
Onward Holdings Co., Ltd............. 750,000 7,008,553 0.3%
Resorttrust, Inc..................... 190,308 6,484,754 0.3%
Shimachu Co., Ltd.................... 269,200 7,112,765 0.3%
# Tokyo Dome Corp...................... 984,200 7,604,167 0.3%
TS Tech Co., Ltd..................... 237,100 7,200,077 0.3%
Other Securities..................... 434,210,042 19.5%
------------ -----
Total Consumer Discretionary............. 503,037,166 22.5%
------------ -----
Consumer Staples -- (7.6%)
Nichirei Corp........................ 1,248,000 7,341,778 0.3%
Pigeon Corp.......................... 95,800 8,241,597 0.4%
Sapporo Holdings, Ltd................ 1,751,000 7,971,794 0.4%
# Takara Holdings, Inc................. 834,500 7,160,239 0.3%
Other Securities..................... 162,030,880 7.2%
------------ -----
Total Consumer Staples................... 192,746,288 8.6%
------------ -----
Energy -- (0.5%)
Other Securities..................... 13,433,176 0.6%
------------ -----
Financials -- (11.0%)
Daikyo, Inc.......................... 1,923,000 7,436,992 0.3%
Daishi Bank, Ltd. (The).............. 1,819,000 7,195,403 0.3%
Heiwa Real Estate Co., Ltd........... 252,000 6,420,815 0.3%
Higo Bank, Ltd. (The)................ 961,000 6,516,746 0.3%
Hokkoku Bank, Ltd. (The)............. 1,524,000 6,465,966 0.3%
Hyakugo Bank, Ltd. (The)............. 1,343,609 6,726,384 0.3%
Juroku Bank, Ltd. (The).............. 1,697,000 7,214,824 0.3%
Kiyo Holdings, Inc................... 3,822,900 6,672,335 0.3%
Musashino Bank, Ltd. (The)........... 179,600 7,635,869 0.3%
Ogaki Kyoritsu Bank, Ltd. (The)...... 1,749,000 6,504,081 0.3%
San-In Godo Bank, Ltd. (The)......... 902,000 7,692,916 0.3%
Tokai Tokyo Financial Holdings, Inc.. 974,500 8,862,135 0.4%
Other Securities..................... 194,388,451 8.8%
------------ -----
Total Financials......................... 279,732,917 12.5%
------------ -----
Health Care -- (4.2%)
Kaken Pharmaceutical Co., Ltd........ 364,000 6,454,551 0.3%
Nihon Kohden Corp.................... 180,400 6,927,511 0.3%
# Nipro Corp........................... 728,700 7,274,059 0.3%
Ship Healthcare Holdings, Inc........ 184,300 7,093,962 0.3%
Other Securities..................... 78,315,659 3.5%
------------ -----
Total Health Care........................ 106,065,742 4.7%
------------ -----
Industrials -- (24.6%)
Fujikura, Ltd........................ 2,032,000 7,614,657 0.3%
# Furukawa Electric Co., Ltd........... 2,638,000 6,675,660 0.3%
Glory, Ltd........................... 246,600 6,776,425 0.3%
Hitachi Zosen Corp................... 4,351,500 7,235,520 0.3%
Kawasaki Kisen Kaisha, Ltd........... 3,720,000 8,185,247 0.4%
201
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Industrials -- (Continued)
# Minebea Co., Ltd................................................. 1,975,000 $ 6,312,098 0.3%
# Mitsui Engineering & Shipbuilding Co., Ltd....................... 4,072,000 7,534,417 0.3%
# Mori Seiki Co., Ltd.............................................. 541,700 6,807,497 0.3%
# NTN Corp......................................................... 2,638,000 6,727,343 0.3%
Sankyu, Inc...................................................... 1,490,000 6,659,659 0.3%
Sanwa Holdings Corp.............................................. 1,215,000 7,373,305 0.3%
Seino Holdings Co., Ltd.......................................... 763,000 6,674,879 0.3%
Tadano, Ltd...................................................... 578,579 7,242,471 0.3%
Other Securities................................................. 534,306,169 24.0%
-------------- ------
Total Industrials...................................................... 626,125,347 28.0%
-------------- ------
Information Technology -- (9.1%)
Alps Electric Co., Ltd........................................... 1,084,100 8,264,325 0.4%
Horiba, Ltd...................................................... 218,850 7,912,424 0.4%
IT Holdings Corp................................................. 445,001 6,680,243 0.3%
Taiyo Yuden Co., Ltd............................................. 619,100 8,967,824 0.4%
Other Securities................................................. 199,744,457 8.9%
-------------- ------
Total Information Technology........................................... 231,569,273 10.4%
-------------- ------
Materials -- (9.7%)
Mitsui Mining & Smelting Co., Ltd................................ 3,218,000 7,252,983 0.3%
Sumitomo Osaka Cement Co., Ltd................................... 2,274,000 6,816,692 0.3%
# Tosoh Corp....................................................... 2,648,000 8,733,620 0.4%
# Toyobo Co., Ltd.................................................. 4,659,000 8,131,029 0.4%
Other Securities................................................. 215,713,604 9.6%
-------------- ------
Total Materials........................................................ 246,647,928 11.0%
-------------- ------
Telecommunication Services -- (0.0%)
Other Securities................................................. 778,587 0.0%
-------------- ------
Utilities -- (0.4%)
Other Securities................................................. 9,930,498 0.5%
-------------- ------
TOTAL COMMON STOCKS.................................................... 2,210,066,922 98.8%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (13.1%)
(S)@ DFA Short Term Investment Fund................................... 28,694,901 332,000,000 14.8%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $156,035 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42,
valued at $159,474) to be repurchased at $156,348............... $ 156 156,347 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................... 332,156,347 14.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,346,323,895).............................................. $2,542,223,269 113.6%
============== ======
202
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
------------------------------------------------
Level 1 Level 2 Level 3 Total
---------- -------------- ------- --------------
Common Stocks.................
Consumer Discretionary...... $2,291,045 $ 500,746,121 -- $ 503,037,166
Consumer Staples............ -- 192,746,288 -- 192,746,288
Energy...................... -- 13,433,176 -- 13,433,176
Financials.................. -- 279,732,917 -- 279,732,917
Health Care................. -- 106,065,742 -- 106,065,742
Industrials................. -- 626,125,347 -- 626,125,347
Information Technology...... -- 231,569,273 -- 231,569,273
Materials................... -- 246,647,928 -- 246,647,928
Telecommunication Services.. -- 778,587 -- 778,587
Utilities................... -- 9,930,498 -- 9,930,498
Securities Lending Collateral. -- 332,156,347 -- 332,156,347
---------- -------------- -- --------------
TOTAL......................... $2,291,045 $2,539,932,224 -- $2,542,223,269
========== ============== == ==============
See accompanying Notes to Financial Statements.
203
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (80.0%)
AUSTRALIA -- (41.8%)
Adelaide Brighton, Ltd................ 1,442,564 $ 5,090,254 0.5%
Ansell, Ltd........................... 414,608 6,798,095 0.6%
Aristocrat Leisure, Ltd............... 2,580,305 10,545,875 0.9%
Arrium, Ltd........................... 6,037,433 5,338,333 0.5%
Australian Infrastructure Fund........ 3,606,473 11,777,824 1.0%
Beach Energy, Ltd..................... 5,953,760 8,410,117 0.7%
* BlueScope Steel, Ltd.................. 2,479,552 12,767,776 1.1%
# Bradken, Ltd.......................... 1,022,589 5,457,992 0.5%
# carsales.com, Ltd..................... 1,220,399 12,244,595 1.1%
# CSR, Ltd.............................. 2,700,745 5,687,955 0.5%
# David Jones, Ltd...................... 3,152,271 9,743,769 0.9%
# Downer EDI, Ltd....................... 2,033,977 10,369,340 0.9%
# DuluxGroup, Ltd....................... 2,216,962 10,791,603 1.0%
Envestra, Ltd......................... 6,189,006 6,730,567 0.6%
# Fairfax Media, Ltd.................... 7,895,659 5,326,072 0.5%
#* Goodman Fielder, Ltd.................. 9,040,600 7,269,865 0.6%
# GrainCorp, Ltd. Class A............... 828,668 11,009,709 1.0%
Invocare, Ltd......................... 633,106 7,663,599 0.7%
IOOF Holdings, Ltd.................... 1,074,600 9,828,713 0.9%
# Iress, Ltd............................ 603,773 5,235,671 0.5%
# JB Hi-Fi, Ltd......................... 582,072 9,663,897 0.9%
# Mineral Resources, Ltd................ 535,822 5,425,566 0.5%
# Monadelphous Group, Ltd............... 232,938 5,061,629 0.5%
# Myer Holdings, Ltd.................... 3,564,925 11,873,253 1.0%
# Navitas, Ltd.......................... 1,189,617 6,676,214 0.6%
# Perpetual, Ltd........................ 226,579 9,682,608 0.9%
# Primary Health Care, Ltd.............. 1,709,571 9,343,356 0.8%
REA Group, Ltd........................ 162,151 5,232,021 0.5%
Reece Australia, Ltd.................. 238,257 5,746,614 0.5%
Spark Infrastructure Group............ 3,454,752 6,412,146 0.6%
# Super Retail Group, Ltd............... 1,291,875 17,641,955 1.6%
TPG Telecom, Ltd...................... 1,569,063 5,895,973 0.5%
# UGL, Ltd.............................. 614,661 6,415,406 0.6%
Other Securities...................... 319,052,173 27.3%
------------ -----
TOTAL AUSTRALIA........................... 592,210,535 51.8%
------------ -----
CANADA -- (0.0%)
Other Securities...................... 122,963 0.0%
------------ -----
CHINA -- (0.1%)
Other Securities...................... 1,998,166 0.2%
------------ -----
HONG KONG -- (19.6%)
# Esprit Holdings, Ltd.................. 10,193,650 14,335,770 1.3%
# Giordano International, Ltd........... 7,892,000 7,931,135 0.7%
# Luk Fook Holdings International, Ltd.. 2,042,000 5,821,518 0.5%
Melco International Development, Ltd.. 6,017,000 11,742,966 1.0%
Pacific Basin Shipping, Ltd........... 9,981,000 5,709,571 0.5%
# SA SA International Holdings, Ltd..... 6,588,000 6,902,960 0.6%
Vitasoy International Holdings, Ltd... 4,061,000 4,948,221 0.4%
204
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (Continued)
Xinyi Glass Holdings, Ltd...................................... 11,762,000 $ 8,066,281 0.7%
Other Securities............................................... 211,784,246 18.6%
-------------- ------
TOTAL HONG KONG...................................................... 277,242,668 24.3%
-------------- ------
NEW ZEALAND -- (6.1%)
# Fisher & Paykel Healthcare Corp., Ltd.......................... 3,204,679 7,286,306 0.6%
Infratil, Ltd.................................................. 2,502,956 4,946,282 0.4%
Port of Tauranga, Ltd.......................................... 528,322 7,021,580 0.6%
# Ryman Healthcare, Ltd.......................................... 1,710,210 8,947,573 0.8%
Sky Network Television, Ltd.................................... 1,006,593 4,938,815 0.4%
SKYCITY Entertainment Group, Ltd............................... 3,254,988 12,450,784 1.1%
Other Securities............................................... 41,274,728 3.7%
-------------- ------
TOTAL NEW ZEALAND.................................................... 86,866,068 7.6%
-------------- ------
SINGAPORE -- (12.4%)
* Biosensors International Group, Ltd............................ 5,439,237 5,313,428 0.5%
Singapore Post, Ltd............................................ 8,035,120 8,420,456 0.7%
Venture Corp., Ltd............................................. 1,221,000 8,247,318 0.7%
Other Securities............................................... 154,187,196 13.5%
-------------- ------
TOTAL SINGAPORE...................................................... 176,168,398 15.4%
-------------- ------
UNITED STATES -- (0.0%)
Other Securities............................................... 316,866 0.0%
-------------- ------
TOTAL COMMON STOCKS.................................................. 1,134,925,664 99.3%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities............................................... 54,322 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities............................................... -- 0.0%
-------------- ------
SINGAPORE -- (0.0%)
Other Securities............................................... 4,384 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................................ 58,706 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (20.0%)
(S)@ DFA Short Term Investment Fund................................. 24,459,810 283,000,000 24.8%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $226,399 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $231,389) to be repurchased at
$226,853...................................................... $ 227 226,852 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................. 283,226,852 24.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,293,282,212)............................................ $1,418,211,222 124.1%
============== ======
205
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
------------------------------------------------
Level 1 Level 2 Level 3 Total
---------- -------------- ------- --------------
Common Stocks
Australia................... $ 18,786 $ 592,191,749 -- $ 592,210,535
Canada...................... 2 122,961 -- 122,963
China....................... 239,332 1,758,834 -- 1,998,166
Hong Kong................... 162,511 277,080,157 -- 277,242,668
New Zealand................. -- 86,866,068 -- 86,866,068
Singapore................... 425,416 175,742,982 -- 176,168,398
United States............... 316,866 -- -- 316,866
Rights/Warrants
Australia................... -- 54,322 -- 54,322
Hong Kong................... -- -- -- --
Singapore................... -- 4,384 -- 4,384
Securities Lending Collateral. -- 283,226,852 -- 283,226,852
---------- -------------- -- --------------
TOTAL......................... $1,162,913 $1,417,048,309 -- $1,418,211,222
========== ============== == ==============
See accompanying Notes to Financial Statements.
206
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (97.1%)
Consumer Discretionary -- (26.0%)
* Barratt Developments P.L.C......... 4,717,626 $ 22,837,159 1.4%
Bellway P.L.C...................... 511,971 10,709,303 0.6%
Berkeley Group Holdings P.L.C...... 597,347 19,368,537 1.2%
Bovis Homes Group P.L.C............ 875,787 10,450,186 0.6%
Daily Mail & General Trust P.L.C... 1,312,593 14,027,068 0.8%
Greene King P.L.C.................. 1,421,372 16,064,330 1.0%
Inchcape P.L.C..................... 2,090,755 16,298,929 1.0%
Informa P.L.C...................... 2,624,520 19,528,851 1.2%
ITV P.L.C.......................... 7,691,118 15,039,393 0.9%
Ladbrokes P.L.C.................... 3,967,821 11,683,417 0.7%
Persimmon P.L.C.................... 1,455,388 24,448,613 1.5%
Taylor Wimpey P.L.C................ 15,614,170 22,592,584 1.4%
UBM P.L.C.......................... 964,330 10,967,554 0.7%
William Hill P.L.C................. 4,017,244 26,619,844 1.6%
Other Securities................... 201,412,340 11.9%
------------ -----
Total Consumer Discretionary........... 442,048,108 26.5%
------------ -----
Consumer Staples -- (3.5%)
Booker Group P.L.C................. 6,674,336 12,345,287 0.7%
Other Securities................... 47,225,018 2.9%
------------ -----
Total Consumer Staples................. 59,570,305 3.6%
------------ -----
Energy -- (4.7%)
* Afren P.L.C........................ 5,276,338 11,012,086 0.7%
* Cairn Energy P.L.C................. 2,238,951 10,053,925 0.6%
John Wood Group P.L.C.............. 1,017,921 12,286,025 0.7%
* Premier Oil P.L.C.................. 2,273,981 13,197,663 0.8%
Other Securities................... 34,092,491 2.1%
------------ -----
Total Energy........................... 80,642,190 4.9%
------------ -----
Financials -- (14.6%)
Aberdeen Asset Management P.L.C.... 1,807,795 12,618,963 0.8%
Amlin P.L.C........................ 2,325,250 15,337,552 0.9%
Catlin Group, Ltd.................. 1,706,158 13,947,116 0.8%
Close Brothers Group P.L.C......... 681,659 11,005,044 0.7%
# Henderson Group P.L.C.............. 4,716,689 12,121,738 0.7%
Hiscox, Ltd........................ 1,607,805 14,014,465 0.8%
IG Group Holdings P.L.C............ 1,481,677 12,410,176 0.8%
London Stock Exchange Group P.L.C.. 556,831 11,619,148 0.7%
Man Group P.L.C.................... 7,738,625 12,305,131 0.7%
Other Securities................... 133,154,080 8.0%
------------ -----
Total Financials....................... 248,533,413 14.9%
------------ -----
Health Care -- (2.3%)
Other Securities................... 38,931,141 2.3%
------------ -----
Industrials -- (26.1%)
Ashtead Group P.L.C................ 2,503,056 22,891,572 1.4%
Babcock International Group P.L.C.. 941,424 15,665,348 0.9%
Balfour Beatty P.L.C............... 3,201,702 10,751,168 0.6%
BBA Aviation P.L.C................. 2,792,163 10,901,701 0.7%
Bodycote P.L.C..................... 1,253,236 10,097,323 0.6%
Cobham P.L.C....................... 4,859,398 18,931,800 1.1%
207
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Industrials -- (Continued)
easyJet P.L.C.................................................. 692,439 $ 12,041,163 0.7%
IMI P.L.C...................................................... 576,558 11,113,814 0.7%
Invensys P.L.C................................................. 3,349,956 20,056,348 1.2%
Meggitt P.L.C.................................................. 2,213,833 16,134,787 1.0%
Melrose Industries P.L.C....................................... 4,640,545 17,590,114 1.1%
Rotork P.L.C................................................... 332,184 15,028,423 0.9%
Spirax-Sarco Engineering P.L.C................................. 320,648 13,098,841 0.8%
Travis Perkins P.L.C........................................... 944,677 21,078,338 1.3%
Other Securities............................................... 229,461,959 13.7%
-------------- ------
Total Industrials.................................................... 444,842,699 26.7%
-------------- ------
Information Technology -- (8.1%)
Halma P.L.C.................................................... 1,567,406 12,201,858 0.7%
Spectris P.L.C................................................. 521,339 17,113,401 1.0%
Other Securities............................................... 108,637,221 6.6%
-------------- ------
Total Information Technology......................................... 137,952,480 8.3%
-------------- ------
Materials -- (7.2%)
Croda International P.L.C...................................... 442,133 17,044,012 1.0%
DS Smith P.L.C................................................. 4,492,720 16,322,747 1.0%
Mondi P.L.C.................................................... 1,136,556 15,104,239 0.9%
Other Securities............................................... 73,639,619 4.4%
-------------- ------
Total Materials...................................................... 122,110,617 7.3%
-------------- ------
Telecommunication Services -- (2.3%)
Inmarsat P.L.C................................................. 1,776,643 19,970,025 1.2%
Other Securities............................................... 18,716,340 1.1%
-------------- ------
Total Telecommunication Services..................................... 38,686,365 2.3%
-------------- ------
Utilities -- (2.3%)
Drax Group P.L.C............................................... 1,866,554 17,814,212 1.1%
Pennon Group P.L.C............................................. 1,587,350 16,907,357 1.0%
Other Securities............................................... 4,174,174 0.2%
-------------- ------
Total Utilities...................................................... 38,895,743 2.3%
-------------- ------
TOTAL COMMON STOCKS.................................................. 1,652,213,061 99.1%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Other Securities............................................... 22,592 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (2.9%)
(S)@ DFA Short Term Investment Fund................................. 4,235,091 49,000,000 3.0%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $330,564 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $337,850) to be repurchased at
$331,226...................................................... $ 331 331,225 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................. 49,331,225 3.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,263,123,007)............................................ $1,701,566,878 102.1%
============== ======
208
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
------------------------------------------------
Level 1 Level 2 Level 3 Total
---------- -------------- ------- --------------
Common Stocks
Consumer Discretionary...... -- $ 442,048,108 -- $ 442,048,108
Consumer Staples............ -- 59,570,305 -- 59,570,305
Energy...................... -- 80,642,190 -- 80,642,190
Financials.................. -- 248,533,413 -- 248,533,413
Health Care................. -- 38,931,141 -- 38,931,141
Industrials................. $ 759,910 444,082,789 -- 444,842,699
Information Technology...... -- 137,952,480 -- 137,952,480
Materials................... 556,968 121,553,649 -- 122,110,617
Telecommunication Services.. -- 38,686,365 -- 38,686,365
Utilities................... -- 38,895,743 -- 38,895,743
Preferred Stocks.............. -- 22,592 -- 22,592
Securities Lending Collateral. -- 49,331,225 -- 49,331,225
---------- -------------- -- --------------
TOTAL......................... $1,316,878 $1,700,250,000 -- $1,701,566,878
========== ============== == ==============
See accompanying Notes to Financial Statements.
209
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (81.8%)
AUSTRIA -- (2.1%)
Other Securities.......... $ 64,941,838 2.5%
------------ -----
BELGIUM -- (2.8%)
Ackermans & van Haaren NV. 118,073 10,045,836 0.4%
Other Securities.......... 78,230,973 3.0%
------------ -----
TOTAL BELGIUM................. 88,276,809 3.4%
------------ -----
DENMARK -- (3.7%)
GN Store Nord A.S......... 812,990 14,869,013 0.6%
* Jyske Bank A.S............ 252,239 9,827,073 0.4%
* Topdanmark A.S............ 533,860 13,704,522 0.5%
Other Securities.......... 79,982,686 3.1%
------------ -----
TOTAL DENMARK................. 118,383,294 4.6%
------------ -----
FINLAND -- (5.5%)
Amer Sports Oyj........... 509,189 8,675,633 0.3%
# Elisa Oyj................. 517,952 9,824,490 0.4%
# Konecranes Oyj............ 245,559 8,930,350 0.4%
# Orion Oyj Class B......... 384,369 11,045,908 0.4%
# Outotec Oyj............... 697,608 10,205,942 0.4%
YIT Oyj................... 483,134 9,146,360 0.4%
Other Securities.......... 116,544,243 4.4%
------------ -----
TOTAL FINLAND................. 174,372,926 6.7%
------------ -----
FRANCE -- (8.9%)
#* Alcatel-Lucent............ 11,358,071 15,642,960 0.6%
# Neopost SA................ 156,473 10,314,370 0.4%
Rubis SCA................. 135,632 8,722,338 0.3%
Teleperformance........... 256,661 11,287,556 0.4%
Other Securities.......... 233,117,327 9.0%
------------ -----
TOTAL FRANCE.................. 279,084,551 10.7%
------------ -----
GERMANY -- (12.0%)
* Aareal Bank AG............ 423,110 10,197,280 0.4%
Aurubis AG................ 153,470 9,681,970 0.4%
Deutsche Wohnen AG........ 700,454 12,352,943 0.5%
# Freenet AG................ 416,629 10,387,704 0.4%
Rhoen Klinikum AG......... 449,257 9,591,339 0.4%
# Software AG............... 286,671 10,046,537 0.4%
Stada Arzneimittel AG..... 256,735 10,411,937 0.4%
Symrise AG................ 217,690 9,304,894 0.4%
Other Securities.......... 294,886,731 11.2%
------------ -----
TOTAL GERMANY................. 376,861,335 14.5%
------------ -----
GREECE -- (1.8%)
Other Securities.......... 57,606,670 2.2%
------------ -----
IRELAND -- (2.6%)
DCC P.L.C................. 308,989 11,304,049 0.4%
Dragon Oil P.L.C.......... 967,071 9,394,702 0.4%
Glanbia P.L.C............. 700,613 9,380,303 0.4%
210
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
IRELAND -- (Continued)
Paddy Power P.L.C........................... 180,573 $ 15,178,816 0.6%
Other Securities............................ 35,461,509 1.3%
--------------- -----
TOTAL IRELAND................................... 80,719,379 3.1%
--------------- -----
ISRAEL -- (2.5%)
Other Securities............................ 80,180,475 3.1%
--------------- -----
ITALY -- (7.1%)
Banca Popolare dell'Emilia Romagna S.c.r.l.. 1,388,798 11,778,122 0.5%
#* Banca Popolare di Milano Scarl.............. 13,261,458 8,880,634 0.3%
* Banco Popolare.............................. 6,663,294 9,625,574 0.4%
#* Finmeccanica SpA............................ 1,768,900 9,214,349 0.4%
Other Securities............................ 182,935,403 7.0%
--------------- -----
TOTAL ITALY..................................... 222,434,082 8.6%
--------------- -----
NETHERLANDS -- (4.6%)
Aalberts Industries NV...................... 471,042 10,571,607 0.4%
Delta Lloyd NV.............................. 761,184 14,636,283 0.6%
Nutreco NV.................................. 179,628 17,080,181 0.6%
#* SBM Offshore NV............................. 932,130 14,957,435 0.6%
Other Securities............................ 89,225,162 3.4%
--------------- -----
TOTAL NETHERLANDS............................... 146,470,668 5.6%
--------------- -----
NORWAY -- (3.0%)
Other Securities............................ 95,158,720 3.7%
--------------- -----
POLAND -- (0.0%)
Other Securities............................ 68,329 0.0%
--------------- -----
PORTUGAL -- (1.1%)
Other Securities............................ 34,486,746 1.3%
--------------- -----
RUSSIA -- (0.1%)
Other Securities............................ 1,724,655 0.1%
--------------- -----
SPAIN -- (4.3%)
# Bolsas y Mercados Espanoles SA.............. 322,643 8,757,294 0.3%
Viscofan SA................................. 213,526 11,095,865 0.4%
Other Securities............................ 114,297,497 4.5%
--------------- -----
TOTAL SPAIN..................................... 134,150,656 5.2%
--------------- -----
SWEDEN -- (8.8%)
Castellum AB................................ 739,664 11,075,385 0.4%
# Husqvarna AB Class B........................ 1,691,304 9,786,174 0.4%
Meda AB Class A............................. 857,997 10,270,604 0.4%
NCC AB Class B.............................. 364,909 8,682,687 0.3%
Securitas AB Class B........................ 1,155,760 11,373,136 0.4%
# Trelleborg AB Class B....................... 999,202 14,877,291 0.6%
Other Securities............................ 211,846,031 8.2%
--------------- -----
TOTAL SWEDEN.................................... 277,911,308 10.7%
--------------- -----
SWITZERLAND -- (10.9%)
Clariant AG................................. 1,135,163 16,608,004 0.6%
* Dufry AG.................................... 77,241 10,290,310 0.4%
# Galenica AG................................. 18,828 12,362,581 0.5%
GAM Holding AG.............................. 786,581 13,910,626 0.5%
Helvetia Holding AG......................... 25,236 10,587,385 0.4%
Lonza Group AG.............................. 239,181 16,666,614 0.6%
211
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
PSP Swiss Property AG.......................................... 148,327 $ 13,924,435 0.5%
Swiss Life Holding AG.......................................... 83,792 13,274,654 0.5%
Other Securities............................................... 236,903,412 9.3%
-------------- ------
TOTAL SWITZERLAND.................................................... 344,528,021 13.3%
-------------- ------
TOTAL COMMON STOCKS.................................................. 2,577,360,462 99.3%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
BELGIUM -- (0.0%)
Other Securities............................................... -- 0.0%
-------------- ------
ISRAEL -- (0.0%)
Other Securities............................................... 33,329 0.0%
-------------- ------
ITALY -- (0.0%)
Other Securities............................................... 2,055 0.0%
-------------- ------
NORWAY -- (0.0%)
Other Securities............................................... 12,944 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities............................................... 118,075 0.0%
-------------- ------
SWITZERLAND -- (0.0%)
Other Securities............................................... 186,637 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................................ 353,040 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (18.2%)
(S)@ DFA Short Term Investment Fund................................. 49,351,772 571,000,000 22.0%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $461,503 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $471,675) to be repurchased at
$462,428...................................................... $462 462,426 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................. 571,462,426 22.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,903,078,568)............................................... $3,149,175,928 121.3%
============== ======
212
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
------------------------------------------------
Level 1 Level 2 Level 3 Total
---------- -------------- ------- --------------
Common Stocks
Austria..................... $ 125,690 $ 64,816,148 -- $ 64,941,838
Belgium..................... -- 88,276,809 -- 88,276,809
Denmark..................... 65,207 118,318,087 -- 118,383,294
Finland..................... -- 174,372,926 -- 174,372,926
France...................... 214,884 278,869,667 -- 279,084,551
Germany..................... 290,049 376,571,286 -- 376,861,335
Greece...................... 245,504 57,361,166 -- 57,606,670
Ireland..................... 33,319 80,686,060 -- 80,719,379
Israel...................... 904,556 79,275,919 -- 80,180,475
Italy....................... -- 222,434,082 -- 222,434,082
Netherlands................. -- 146,470,668 -- 146,470,668
Norway...................... 49,225 95,109,495 -- 95,158,720
Poland...................... 68,329 -- -- 68,329
Portugal.................... 26,748 34,459,998 -- 34,486,746
Russia...................... -- 1,724,655 -- 1,724,655
Spain....................... 2,584,189 131,566,467 -- 134,150,656
Sweden...................... 1,224,773 276,686,535 -- 277,911,308
Switzerland................. 1,425,528 343,102,493 -- 344,528,021
Rights/Warrants
Belgium..................... -- -- -- --
Israel...................... -- 33,329 -- 33,329
Italy....................... -- 2,055 -- 2,055
Norway...................... -- 12,944 -- 12,944
Spain....................... -- 118,075 -- 118,075
Switzerland................. -- 186,637 -- 186,637
Securities Lending Collateral. -- 571,462,426 -- 571,462,426
---------- -------------- -- --------------
TOTAL......................... $7,258,001 $3,141,917,927 -- $3,149,175,928
========== ============== == ==============
See accompanying Notes to Financial Statements.
213
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (75.9%)
Consumer Discretionary -- (7.7%)
# Cineplex, Inc........................ 266,359 $ 9,052,690 1.4%
# Corus Entertainment, Inc. Class B.... 348,300 8,553,221 1.3%
Dorel Industries, Inc. Class B....... 116,400 5,025,957 0.8%
#* Imax Corp............................ 260,537 6,659,217 1.0%
Linamar Corp......................... 217,980 5,160,378 0.8%
# RONA, Inc............................ 677,175 7,057,757 1.1%
Other Securities..................... 26,299,100 3.8%
------------ -----
Total Consumer Discretionary............. 67,808,320 10.2%
------------ -----
Consumer Staples -- (3.3%)
Cott Corp............................ 473,596 5,203,938 0.8%
Maple Leaf Foods, Inc................ 433,719 5,734,416 0.9%
North West Co., Inc. (The)........... 203,911 5,145,087 0.8%
Other Securities..................... 12,550,956 1.8%
------------ -----
Total Consumer Staples................... 28,634,397 4.3%
------------ -----
Energy -- (18.7%)
* Advantage Oil & Gas, Ltd............. 1,098,231 4,349,538 0.7%
# Enbridge Income Fund Holdings, Inc... 203,490 5,009,233 0.8%
* Gran Tierra Energy, Inc.............. 1,176,900 6,541,903 1.0%
# Mullen Group, Ltd.................... 393,639 8,541,316 1.3%
# Parkland Fuel Corp................... 302,007 4,991,232 0.7%
# Pason Systems, Inc................... 285,137 4,882,241 0.7%
# PetroBakken Energy, Ltd.............. 705,505 6,022,478 0.9%
Secure Energy Services, Inc.......... 437,854 5,645,663 0.8%
# Trican Well Service, Ltd............. 643,185 8,401,722 1.3%
# Whitecap Resources, Inc.............. 553,803 5,683,977 0.9%
Other Securities..................... 103,790,743 15.4%
------------ -----
Total Energy............................. 163,860,046 24.5%
------------ -----
Financials -- (6.3%)
# Canadian Western Bank................ 271,572 7,671,784 1.2%
# Davis + Henderson Corp............... 263,098 6,147,528 0.9%
#* FirstService Corp.................... 135,548 4,484,406 0.7%
Home Capital Group, Inc.............. 120,600 6,919,132 1.0%
Laurentian Bank of Canada............ 127,182 5,581,137 0.8%
Other Securities..................... 24,297,778 3.6%
------------ -----
Total Financials......................... 55,101,765 8.2%
------------ -----
Health Care -- (1.9%)
Other Securities..................... 16,661,058 2.5%
------------ -----
Industrials -- (9.4%)
* ATS Automation Tooling Systems, Inc.. 423,220 4,272,319 0.6%
Genivar, Inc......................... 166,032 4,120,105 0.6%
# Ritchie Bros Auctioneers, Inc........ 244,637 4,953,690 0.7%
# Russel Metals, Inc................... 277,136 7,496,110 1.1%
Stantec, Inc......................... 200,461 8,571,998 1.3%
# Transcontinental, Inc. Class A....... 305,702 3,935,634 0.6%
TransForce, Inc...................... 337,726 6,664,343 1.0%
Other Securities..................... 42,575,993 6.5%
------------ -----
Total Industrials........................ 82,590,192 12.4%
------------ -----
214
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Information Technology -- (4.1%)
* Celestica, Inc................................................... 874,907 $ 7,555,403 1.1%
MacDonald Dettwiler & Associates, Ltd............................ 85,470 6,173,658 0.9%
Other Securities................................................. 21,901,527 3.3%
------------ ------
Total Information Technology........................................... 35,630,588 5.3%
------------ ------
Materials -- (19.7%)
# Alamos Gold, Inc................................................. 470,720 6,574,054 1.0%
# AuRico Gold, Inc................................................. 1,179,127 6,062,711 0.9%
* B2Gold Corp...................................................... 1,670,450 4,194,986 0.6%
# Canexus Corp..................................................... 434,301 4,065,173 0.6%
* Canfor Corp...................................................... 411,155 8,586,730 1.3%
CCL Industries, Inc. Class B..................................... 111,467 6,966,065 1.0%
* Dominion Diamond Corp............................................ 350,441 5,555,157 0.8%
#* First Majestic Silver Corp....................................... 431,070 5,314,301 0.8%
HudBay Minerals, Inc............................................. 804,774 6,390,582 1.0%
* Norbord, Inc..................................................... 117,968 3,934,413 0.6%
Sherritt International Corp...................................... 1,571,926 7,349,021 1.1%
West Fraser Timber Co., Ltd...................................... 126,174 11,016,194 1.7%
Other Securities................................................. 96,483,924 14.4%
------------ ------
Total Materials........................................................ 172,493,311 25.8%
------------ ------
Real Estate Investment Trusts -- (0.4%)
# Granite REIT..................................................... 99,246 3,935,554 0.6%
------------ ------
Telecommunication Services -- (0.2%)
Other Securities................................................. 1,943,926 0.3%
------------ ------
Utilities -- (4.2%)
# Algonquin Power & Utilities Corp................................. 747,582 5,906,747 0.9%
Capital Power Corp............................................... 320,785 7,008,266 1.1%
# Northland Power, Inc............................................. 250,207 4,855,374 0.7%
# Superior Plus Corp............................................... 565,997 7,303,550 1.1%
Other Securities................................................. 12,144,136 1.8%
------------ ------
Total Utilities........................................................ 37,218,073 5.6%
------------ ------
TOTAL COMMON STOCKS.................................................... 665,877,230 99.7%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. 12,594 0.0%
------------ ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (24.1%)
(S)@ DFA Short Term Investment Fund................................... 18,236,819 211,000,000 31.6%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $20,857 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42,
valued at $21,317) to be repurchased at $20,899................. $ 21 20,899 0.0%
------------ ------
TOTAL SECURITIES LENDING COLLATERAL.................................... 211,020,899 31.6%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $996,687,411)................................................ $876,910,723 131.3%
============ ======
215
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------
Level 1 Level 2 Level 3 Total
------------ ------------ ------- ------------
Common Stocks
Consumer Discretionary........ $ 67,808,320 -- -- $ 67,808,320
Consumer Staples.............. 28,634,397 -- -- 28,634,397
Energy........................ 163,815,564 $ 44,482 -- 163,860,046
Financials.................... 55,101,765 -- -- 55,101,765
Health Care................... 16,661,058 -- -- 16,661,058
Industrials................... 82,590,192 -- -- 82,590,192
Information Technology........ 35,630,588 -- -- 35,630,588
Materials..................... 172,493,283 28 -- 172,493,311
Real Estate Investment Trusts. 3,935,554 -- -- 3,935,554
Telecommunication Services.... 1,943,926 -- -- 1,943,926
Utilities..................... 37,218,073 -- -- 37,218,073
Rights/Warrants................. -- 12,594 -- 12,594
Securities Lending Collateral... -- 211,020,899 -- 211,020,899
------------ ------------ -- ------------
TOTAL........................... $665,832,720 $211,078,003 -- $876,910,723
============ ============ == ============
See accompanying Notes to Financial Statements.
216
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (89.1%)
ARGENTINA -- (0.0%)
Other Securities.................................... $ -- 0.0%
------------ -----
BRAZIL -- (8.3%)
BM&FBovespa SA...................................... 1,706,408 11,829,503 0.4%
# BRF SA ADR.......................................... 564,360 14,013,059 0.4%
# Cia de Bebidas das Americas ADR..................... 622,039 26,138,079 0.8%
# Petroleo Brasileiro SA ADR.......................... 1,246,739 23,875,052 0.7%
Petroleo Brasileiro SA Sponsored ADR................ 1,722,575 34,399,823 1.1%
# Vale SA Sponsored ADR............................... 1,249,020 21,345,752 0.7%
Other Securities.................................... 156,228,087 4.8%
------------ -----
TOTAL BRAZIL............................................ 287,829,355 8.9%
------------ -----
CHILE -- (1.9%)
Other Securities.................................... 66,458,093 2.0%
------------ -----
CHINA -- (13.8%)
Bank of China, Ltd. Class H......................... 56,613,100 26,525,169 0.8%
China Construction Bank Corp. Class H............... 54,255,590 45,537,284 1.4%
# China Life Insurance Co., Ltd. ADR.................. 329,354 13,727,475 0.4%
# China Mobile, Ltd. Sponsored ADR.................... 797,691 44,064,451 1.4%
# China Petroleum & Chemical Corp. ADR................ 106,449 11,769,001 0.4%
CNOOC, Ltd. ADR..................................... 107,285 20,098,772 0.6%
Industrial & Commercial Bank of China, Ltd. Class H. 48,967,185 34,517,198 1.1%
PetroChina Co., Ltd. ADR............................ 145,110 18,553,765 0.6%
Tencent Holdings, Ltd............................... 689,200 23,758,321 0.7%
Other Securities.................................... 241,004,490 7.4%
------------ -----
TOTAL CHINA............................................. 479,555,926 14.8%
------------ -----
COLOMBIA -- (0.6%)
Other Securities.................................... 22,560,723 0.7%
------------ -----
CZECH REPUBLIC -- (0.3%)
Other Securities.................................... 10,817,588 0.3%
------------ -----
EGYPT -- (0.1%)
Other Securities.................................... 2,439,947 0.1%
------------ -----
HUNGARY -- (0.3%)
Other Securities.................................... 11,031,169 0.3%
------------ -----
INDIA -- (7.3%)
HDFC Bank, Ltd...................................... 1,348,212 17,113,603 0.5%
ITC, Ltd............................................ 1,926,179 11,723,330 0.4%
Reliance Industries, Ltd............................ 1,432,266 20,926,146 0.7%
Other Securities.................................... 202,366,499 6.2%
------------ -----
TOTAL INDIA............................................. 252,129,578 7.8%
------------ -----
INDONESIA -- (3.4%)
Astra International Tbk PT.......................... 17,653,110 13,357,167 0.4%
Bank Central Asia Tbk PT............................ 10,755,500 11,904,930 0.4%
Other Securities.................................... 91,935,453 2.8%
------------ -----
TOTAL INDONESIA......................................... 117,197,550 3.6%
------------ -----
217
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MALAYSIA -- (3.8%)
CIMB Group Holdings Bhd.................... 4,317,654 $ 10,991,673 0.3%
Malayan Banking Bhd........................ 3,948,467 12,491,220 0.4%
Other Securities........................... 106,879,878 3.3%
------------ -----
TOTAL MALAYSIA................................. 130,362,771 4.0%
------------ -----
MEXICO -- (5.8%)
# America Movil S.A.B. de C.V. Series L...... 30,952,095 33,163,960 1.0%
#* Cemex S.A.B. de C.V. Sponsored ADR......... 1,189,806 13,385,315 0.4%
Fomento Economico Mexicano S.A.B. de C.V... 1,793,669 20,341,140 0.6%
Grupo Financiero Banorte S.A.B. de C.V..... 1,899,876 14,316,781 0.5%
Grupo Mexico S.A.B. de C.V. Series B....... 3,579,616 12,850,569 0.4%
Wal-Mart de Mexico S.A.B. de C.V. Series V. 4,498,650 14,271,431 0.4%
Other Securities........................... 91,726,621 2.9%
------------ -----
TOTAL MEXICO................................... 200,055,817 6.2%
------------ -----
PERU -- (0.3%)
Other Securities........................... 11,564,386 0.4%
------------ -----
PHILIPPINES -- (1.4%)
Other Securities........................... 48,983,992 1.5%
------------ -----
POLAND -- (1.4%)
Other Securities........................... 48,752,482 1.5%
------------ -----
RUSSIA -- (4.0%)
Gazprom OAO Sponsored ADR.................. 4,589,920 36,553,949 1.1%
Lukoil OAO Sponsored ADR................... 376,321 23,927,966 0.8%
* Sberbank of Russia Sponsored ADR........... 2,075,152 26,783,406 0.8%
Other Securities........................... 53,051,008 1.6%
------------ -----
TOTAL RUSSIA................................... 140,316,329 4.3%
------------ -----
SOUTH AFRICA -- (6.6%)
MTN Group, Ltd............................. 1,575,988 28,440,253 0.9%
Naspers, Ltd. Class N...................... 326,129 21,854,757 0.7%
# Sasol, Ltd. Sponsored ADR.................. 536,546 23,296,827 0.7%
Standard Bank Group, Ltd................... 1,027,873 12,853,018 0.4%
Other Securities........................... 142,945,694 4.4%
------------ -----
TOTAL SOUTH AFRICA............................. 229,390,549 7.1%
------------ -----
SOUTH KOREA -- (13.4%)
Hyundai Mobis.............................. 59,213 13,463,202 0.4%
Hyundai Motor Co........................... 138,348 25,121,651 0.8%
Kia Motors Corp............................ 243,530 12,147,541 0.4%
POSCO...................................... 50,240 14,440,334 0.4%
Samsung Electronics Co., Ltd............... 67,106 92,808,886 2.9%
Samsung Electronics Co., Ltd. GDR.......... 49,372 34,194,144 1.1%
Shinhan Financial Group Co., Ltd........... 311,456 10,787,931 0.3%
* SK Hynix, Inc.............................. 449,290 12,237,015 0.4%
Other Securities........................... 250,005,137 7.7%
------------ -----
TOTAL SOUTH KOREA.............................. 465,205,841 14.4%
------------ -----
TAIWAN -- (11.3%)
Hon Hai Precision Industry Co., Ltd........ 9,204,506 23,791,587 0.7%
# MediaTek, Inc.............................. 990,995 12,093,658 0.4%
218
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (Continued)
Taiwan Semiconductor Manufacturing Co., Ltd.................... 21,315,808 $ 79,112,153 2.5%
Other Securities............................................... 276,933,114 8.5%
-------------- ------
TOTAL TAIWAN......................................................... 391,930,512 12.1%
-------------- ------
THAILAND -- (3.0%)
Other Securities............................................... 102,810,136 3.2%
-------------- ------
TURKEY -- (2.1%)
Turkiye Garanti Bankasi A.S.................................... 2,049,990 11,342,423 0.4%
Other Securities............................................... 62,125,687 1.9%
-------------- ------
TOTAL TURKEY......................................................... 73,468,110 2.3%
-------------- ------
TOTAL COMMON STOCKS.................................................. 3,092,860,854 95.5%
-------------- ------
PREFERRED STOCKS -- (3.6%)
BRAZIL -- (3.5%)
Banco Bradesco SA.............................................. 1,859,495 30,567,932 1.0%
Itau Unibanco Holding SA....................................... 1,841,700 30,882,936 1.0%
Vale SA........................................................ 1,412,691 22,940,562 0.7%
Other Securities............................................... 37,412,800 1.0%
-------------- ------
TOTAL BRAZIL......................................................... 121,804,230 3.7%
-------------- ------
CHILE -- (0.0%)
Other Securities............................................... 62,886 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities............................................... 1,939,621 0.1%
-------------- ------
TOTAL PREFERRED STOCKS............................................... 123,806,737 3.8%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (7.3%)
(S)@ DFA Short Term Investment Fund................................. 21,953,328 254,000,000 7.9%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $672,232 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $687,049) to be repurchased at
$673,580...................................................... $ 674 673,577 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................. 254,673,577 7.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,273,277,183)............................................ $3,471,341,168 107.2%
============== ======
219
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks
Argentina................... -- -- -- --
Brazil...................... $ 287,829,355 -- -- $ 287,829,355
Chile....................... 66,458,093 -- -- 66,458,093
China....................... 122,663,557 $ 356,892,369 -- 479,555,926
Colombia.................... 22,560,723 -- -- 22,560,723
Czech Republic.............. -- 10,817,588 -- 10,817,588
Egypt....................... -- 2,439,947 -- 2,439,947
Hungary..................... -- 11,031,169 -- 11,031,169
India....................... 21,058,300 231,071,278 -- 252,129,578
Indonesia................... 54,580 117,142,970 -- 117,197,550
Malaysia.................... -- 130,362,771 -- 130,362,771
Mexico...................... 200,055,817 -- -- 200,055,817
Peru........................ 11,564,386 -- -- 11,564,386
Philippines................. 131,952 48,852,040 -- 48,983,992
Poland...................... -- 48,752,482 -- 48,752,482
Russia...................... 5,504,158 134,812,171 -- 140,316,329
South Africa................ 37,454,179 191,936,370 -- 229,390,549
South Korea................. 14,988,974 450,216,867 -- 465,205,841
Taiwan...................... 9,963,049 381,967,463 -- 391,930,512
Thailand.................... 102,810,136 -- -- 102,810,136
Turkey...................... 1,153,350 72,314,760 -- 73,468,110
Preferred Stocks
Brazil...................... 121,804,230 -- -- 121,804,230
Chile....................... 62,886 -- -- 62,886
Colombia.................... 1,939,621 -- -- 1,939,621
Securities Lending Collateral. -- 254,673,577 -- 254,673,577
-------------- -------------- -- --------------
TOTAL......................... $1,028,057,346 $2,443,283,822 -- $3,471,341,168
============== ============== == ==============
See accompanying Notes to Financial Statements.
220
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (90.0%)
ARGENTINA -- (0.0%)
Other Securities.............................. $ 1 0.0%
------------ -----
BRAZIL -- (8.4%)
All America Latina Logistica SA............... 1,682,200 8,508,741 0.2%
Anhanguera Educacional Participacoes SA....... 793,245 14,277,022 0.4%
Cia de Saneamento de Minas Gerais-COPASA...... 400,821 9,235,461 0.2%
Diagnosticos da America SA.................... 1,452,841 8,002,153 0.2%
EDP--Energias do Brasil SA.................... 1,513,306 9,235,270 0.2%
Equatorial Energia SA......................... 979,284 10,371,625 0.3%
Estacio Participacoes SA...................... 524,568 12,443,332 0.3%
Kroton Educacional SA......................... 703,372 9,818,908 0.3%
Mills Estruturas e Servicos de Engenharia SA.. 472,126 7,758,842 0.2%
MRV Engenharia e Participacoes SA............. 1,988,433 8,556,995 0.2%
Odontoprev SA................................. 1,987,465 9,913,733 0.3%
PDG Realty SA Empreendimentos e Participacoes. 7,343,053 8,294,539 0.2%
Sul America SA................................ 1,297,120 9,692,334 0.2%
Totvs SA...................................... 463,900 8,729,644 0.2%
Other Securities.............................. 227,488,321 5.7%
------------ -----
TOTAL BRAZIL...................................... 362,326,920 9.1%
------------ -----
CHILE -- (1.3%)
Parque Arauco SA.............................. 3,043,041 7,869,455 0.2%
Other Securities.............................. 46,969,823 1.2%
------------ -----
TOTAL CHILE....................................... 54,839,278 1.4%
------------ -----
CHINA -- (13.6%)
China Gas Holdings, Ltd....................... 9,067,500 8,924,482 0.2%
# Geely Automobile Holdings, Ltd................ 17,610,000 8,899,704 0.2%
# Shougang Fushan Resources Group, Ltd.......... 20,786,000 8,133,750 0.2%
Sino Biopharmaceutical........................ 13,536,000 9,340,178 0.2%
# Sino-Ocean Land Holdings, Ltd................. 12,290,091 8,113,188 0.2%
Other Securities.............................. 547,117,762 13.8%
------------ -----
TOTAL CHINA....................................... 590,529,064 14.8%
------------ -----
COLOMBIA -- (0.0%)
Other Securities.............................. 685,689 0.0%
------------ -----
HONG KONG -- (0.0%)
Other Securities.............................. 119,010 0.0%
------------ -----
HUNGARY -- (0.1%)
Other Securities.............................. 2,041,100 0.1%
------------ -----
INDIA -- (7.7%)
Other Securities.............................. 333,723,996 8.4%
------------ -----
INDONESIA -- (4.7%)
Alam Sutera Realty Tbk PT..................... 78,688,000 8,513,247 0.2%
Ciputra Development Tbk PT.................... 58,522,080 8,298,065 0.2%
Mayora Indah Tbk PT........................... 3,432,500 10,620,437 0.3%
221
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
INDONESIA -- (Continued)
Summarecon Agung Tbk PT................................. 33,746,532 $ 9,036,342 0.2%
Other Securities........................................ 168,486,582 4.2%
------------ ----
TOTAL INDONESIA............................................. 204,954,673 5.1%
------------ ----
ISRAEL -- (0.0%)
Other Securities........................................ 339,568 0.0%
------------ ----
MACEDONIA -- (0.0%)
Other Securities........................................ -- 0.0%
------------ ----
MALAYSIA -- (4.5%)
Bursa Malaysia Bhd...................................... 3,459,000 8,133,872 0.2%
Other Securities........................................ 185,261,929 4.7%
------------ ----
TOTAL MALAYSIA.............................................. 193,395,801 4.9%
------------ ----
MEXICO -- (3.3%)
* Alsea S.A.B. de C.V..................................... 2,790,399 8,479,919 0.2%
Arca Continental S.A.B. de C.V.......................... 1,167,783 9,556,888 0.2%
#* Genomma Lab Internacional S.A.B. de C.V. Class B........ 5,094,797 11,001,670 0.3%
* Gruma S.A.B. de C.V. Class B............................ 1,548,765 7,690,062 0.2%
#* Industrias CH S.A.B. de C.V. Series B................... 1,217,718 9,810,100 0.3%
#* Promotora y Operadora de Infraestructura S.A.B. de C.V.. 1,385,468 12,360,735 0.3%
Other Securities........................................ 84,403,826 2.1%
------------ ----
TOTAL MEXICO................................................ 143,303,200 3.6%
------------ ----
PHILIPPINES -- (1.7%)
Other Securities........................................ 75,301,883 1.9%
------------ ----
POLAND -- (1.5%)
Lubelski Wegiel Bogdanka SA............................. 223,114 8,292,032 0.2%
Other Securities........................................ 58,487,991 1.5%
------------ ----
TOTAL POLAND................................................ 66,780,023 1.7%
------------ ----
SOUTH AFRICA -- (7.0%)
Aveng, Ltd.............................................. 2,442,089 8,029,548 0.2%
AVI, Ltd................................................ 1,906,582 11,470,062 0.3%
Barloworld, Ltd......................................... 944,679 9,902,712 0.3%
Clicks Group, Ltd....................................... 1,911,109 12,190,178 0.3%
Coronation Fund Managers, Ltd........................... 1,600,756 9,584,326 0.2%
* Murray & Roberts Holdings, Ltd.......................... 3,176,473 7,784,333 0.2%
Nampak, Ltd............................................. 3,859,288 14,189,995 0.4%
PPC, Ltd................................................ 3,063,900 11,213,817 0.3%
Resilient Property Income Fund, Ltd..................... 1,225,038 8,098,156 0.2%
Reunert, Ltd............................................ 1,055,952 9,191,126 0.2%
* Sappi, Ltd.............................................. 3,763,365 11,311,683 0.3%
Spar Group, Ltd. (The).................................. 780,271 10,303,650 0.3%
Tongaat Hulett, Ltd..................................... 732,582 10,645,232 0.3%
Other Securities........................................ 169,112,785 4.1%
------------ ----
TOTAL SOUTH AFRICA.......................................... 303,027,603 7.6%
------------ ----
SOUTH KOREA -- (14.1%)
DGB Financial Group, Inc................................ 669,413 9,371,728 0.3%
# Hotel Shilla Co., Ltd................................... 161,958 8,571,748 0.2%
Macquarie Korea Infrastructure Fund..................... 1,468,851 9,310,581 0.3%
222
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SOUTH KOREA -- (Continued)
Yuhan Corp.......... 41,755 $ 7,957,729 0.2%
Other Securities.... 573,533,640 14.3%
-------------- -----
TOTAL SOUTH KOREA........... 608,745,426 15.3%
-------------- -----
TAIWAN -- (13.8%)
Other Securities.... 596,134,287 15.0%
-------------- -----
THAILAND -- (5.0%)
Other Securities.... 216,234,036 5.4%
-------------- -----
TURKEY -- (3.3%)
Other Securities.... 140,872,227 3.5%
-------------- -----
TOTAL COMMON STOCKS......... 3,893,353,785 97.8%
-------------- -----
PREFERRED STOCKS -- (1.6%)
BRAZIL -- (1.6%)
Marcopolo SA........ 1,319,600 8,778,646 0.2%
Other Securities.... 58,327,463 1.5%
-------------- -----
TOTAL BRAZIL................ 67,106,109 1.7%
-------------- -----
CHILE -- (0.0%)
Other Securities.... 25,564 0.0%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities.... 80,301 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.... 949,193 0.0%
-------------- -----
MALAYSIA -- (0.0%)
Other Securities.... 18,806 0.0%
-------------- -----
TOTAL PREFERRED STOCKS...... 68,179,973 1.7%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
CHINA -- (0.0%)
Other Securities.... 444,778 0.0%
-------------- -----
MALAYSIA -- (0.0%)
Other Securities.... 63,284 0.0%
-------------- -----
POLAND -- (0.0%)
Other Securities.... -- 0.0%
-------------- -----
SOUTH KOREA -- (0.0%)
Other Securities.... 106,626 0.0%
-------------- -----
THAILAND -- (0.0%)
Other Securities.... 784,764 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS....... 1,399,452 0.0%
-------------- -----
223
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Shares/
Face
Amount Value+ Percentage
------- ------ of Net Assets**
(000)
SECURITIES LENDING COLLATERAL -- (8.4%)
(S)@ DFA Short Term Investment Fund................................. 31,460,674 $ 364,000,000 9.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $743,925 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $760,322) to be repurchased at
$745,417...................................................... $ 745 745,414 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................. 364,745,414 9.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,681,070,667)............................................ $4,327,678,624 108.7%
============== ======
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Common Stocks
Argentina................... $ 1 -- -- $ 1
Brazil...................... 362,326,920 -- -- 362,326,920
Chile....................... 54,839,278 -- -- 54,839,278
China....................... 498,628 $ 590,030,436 -- 590,529,064
Colombia.................... 685,689 -- -- 685,689
Hong Kong................... -- 119,010 -- 119,010
Hungary..................... -- 2,041,100 -- 2,041,100
India....................... 924,778 332,799,218 -- 333,723,996
Indonesia................... 1,923,912 203,030,761 -- 204,954,673
Israel...................... -- 339,568 -- 339,568
Macedonia................... -- -- -- --
Malaysia.................... -- 193,395,801 -- 193,395,801
Mexico...................... 143,303,200 -- -- 143,303,200
Philippines................. 25,044 75,276,839 -- 75,301,883
Poland...................... 163,265 66,616,758 -- 66,780,023
South Africa................ 14,344 303,013,259 -- 303,027,603
South Korea................. 2,789,210 605,956,216 -- 608,745,426
Taiwan...................... -- 596,134,287 -- 596,134,287
Thailand.................... 216,134,381 99,655 -- 216,234,036
Turkey...................... -- 140,872,227 -- 140,872,227
Preferred Stocks
Brazil...................... 67,106,109 -- -- 67,106,109
Chile....................... 25,564 -- -- 25,564
Colombia.................... 80,301 -- -- 80,301
Hong Kong................... 949,193 -- -- 949,193
Malaysia.................... -- 18,806 -- 18,806
Rights/Warrants
China....................... -- 444,778 -- 444,778
Malaysia.................... -- 63,284 -- 63,284
Poland...................... -- -- -- --
South Korea................. -- 106,626 -- 106,626
Thailand.................... -- 784,764 -- 784,764
Securities Lending Collateral. -- 364,745,414 -- 364,745,414
------------ -------------- -- --------------
TOTAL......................... $851,789,817 $3,475,888,807 -- $4,327,678,624
============ ============== == ==============
See accompanying Notes to Financial Statements.
224
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
The Japanese The Asia
The U.S. Large The DFA Small Pacific Small
Cap Value International Company Company
Series Value Series* Series Series
-------------- ------------- ------------ -------------
ASSETS:
Investments at Value (including $460,504, $1,079,372,
$314,372 and $261,924 of securities on loan,
respectively).............................................. $12,837,620 $8,090,741 $2,210,067 $1,134,984
Temporary Cash Investments at Value & Cost.................. 37,140 -- -- --
Collateral Received from Securities on Loan at Value & Cost. -- 30 156 227
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... 465,392 1,074,000 332,000 283,000
Foreign Currencies at Value................................. -- 17,594 2,254 2,983
Cash........................................................ -- 5,476 338 7,537
Receivables:
Investment Securities Sold................................ 39,390 7,780 6,037 520
Dividends, Interest and Tax Reclaims...................... 10,844 34,835 20,683 1,763
Securities Lending Income................................. 170 3,404 237 321
Unrealized Gain on Foreign Currency Contracts............... -- 3 -- 1
Prepaid Expenses and Other Assets........................... 20 11 2 2
----------- ---------- ---------- ----------
Total Assets........................................... 13,390,576 9,233,874 2,571,774 1,431,338
----------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 465,392 1,074,030 332,156 283,227
Investment Securities Purchased........................... 65,772 2,569 1,514 4,976
Due to Advisor............................................ 1,036 1,281 174 92
Accrued Expenses and Other Liabilities...................... 511 508 148 119
----------- ---------- ---------- ----------
Total Liabilities...................................... 532,711 1,078,388 333,992 288,414
----------- ---------- ---------- ----------
NET ASSETS.................................................. $12,857,865 $8,155,486 $2,237,782 $1,142,924
=========== ========== ========== ==========
Investments at Cost......................................... $ 8,647,517 $6,939,413 $2,014,168 $1,010,055
=========== ========== ========== ==========
Foreign Currencies at Cost.................................. $ -- $ 17,474 $ 2,260 $ 2,963
=========== ========== ========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
225
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
The
The United Continental The Canadian
Kingdom Small Small Small The Emerging
Company Company Company The Emerging Markets Small
Series Series Series* Markets Series* Cap Series*
------------- ----------- ------------ --------------- -------------
ASSETS:
Investments at Value (including $46,589,
$542,176, $227,225, $291,960 and
$417,976 of securities on loan,
respectively).............................. $1,652,236 $2,577,714 $665,890 $3,216,667 $3,962,933
Collateral Received from Securities on Loan
at Value & Cost............................ 331 462 21 674 745
Collateral from Securities on Loan Invested
in Affiliate at Value & Cost............... 49,000 571,000 211,000 254,000 364,000
Foreign Currencies at Value................. 4,171 10,659 698 5,209 10,485
Cash........................................ 128 1,208 479 10,713 10,908
Receivables:
Investment Securities Sold................ 3,437 3,596 258 423 3,292
Dividends, Interest and Tax Reclaims...... 9,564 8,890 560 7,169 7,434
Securities Lending Income................. 29 1,314 269 250 1,436
Unrealized Gain on Foreign Currency
Contracts.................................. -- 5 -- 2 --
Prepaid Expenses and Other Assets........... 2 2 1 6 7
---------- ---------- -------- ---------- ----------
Total Assets........................... 1,718,898 3,174,850 879,176 3,495,113 4,361,240
---------- ---------- -------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......... 49,331 571,462 211,021 254,674 364,745
Investment Securities Purchased........... 3,009 7,094 130 3,026 12,421
Due to Advisor............................ 133 206 54 259 530
Unrealized Loss on Foreign Currency
Contracts.................................. -- -- -- -- 2
Accrued Expenses and Other Liabilities...... 60 183 76 472 829
---------- ---------- -------- ---------- ----------
Total Liabilities...................... 52,533 578,945 211,281 258,431 378,527
---------- ---------- -------- ---------- ----------
NET ASSETS.................................. $1,666,365 $2,595,905 $667,895 $3,236,682 $3,982,713
========== ========== ======== ========== ==========
Investments at Cost......................... $1,213,792 $2,331,617 $785,666 $2,018,603 $3,316,325
========== ========== ======== ========== ==========
Foreign Currencies at Cost.................. $ 4,144 $ 10,604 $ 696 $ 5,195 $ 10,401
========== ========== ======== ========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
226
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(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
------------ ------------- ------------ -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $8,987, $2,064
and $468, respectively)........................................ $ 122,006 $121,813 $ 23,598 $ 15,820
Interest........................................................ 27 4 -- 1
Income from Securities Lending.................................. 1,009 6,433 1,687 1,992
---------- -------- -------- --------
Total Investment Income...................................... 123,042 128,250 25,285 17,813
---------- -------- -------- --------
Expenses
Investment Advisory Services Fees............................... 5,788 7,612 947 546
Accounting & Transfer Agent Fees................................ 464 316 85 55
Custodian Fees.................................................. 56 596 372 258
Shareholders' Reports........................................... 22 15 4 2
Directors'/Trustees' Fees & Expenses............................ 46 32 7 4
Professional Fees............................................... 181 108 23 13
Other........................................................... 41 51 12 7
---------- -------- -------- --------
Total Expenses............................................... 6,598 8,730 1,450 885
---------- -------- -------- --------
Fees Paid Indirectly............................................ -- (10) (5) (2)
---------- -------- -------- --------
Net Expenses.................................................... 6,598 8,720 1,445 883
---------- -------- -------- --------
Net Investment Income (Loss).................................... 116,444 119,530 23,840 16,930
---------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................... 469,207 125,856 42,871 7,336
Foreign Currency Transactions*................................ -- (1,511) (1,367) 167
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................... 1,375,405 751,722 392,404 82,603
Translation of Foreign Currency Denominated Amounts........... -- 80 (399) (31)
---------- -------- -------- --------
Net Realized and Unrealized Gain (Loss)......................... 1,844,612 876,147 433,509 90,075
---------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations....................................................... $1,961,056 $995,677 $457,349 $107,005
========== ======== ======== ========
----------
* Net of foreign capital gain taxes withheld of $0, $3, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
227
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
The United The
Kingdom Continental The Canadian The Emerging
Small Small Small The Emerging Markets
Company Company Company Markets Small Cap
Series Series Series Series Series
---------- ----------- ------------ ------------ ------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of
$109, $3,973, $1,529, $3,717 and $3,007,
respectively)................................... $ 23,053 $ 28,183 $ 9,200 $ 26,463 $ 26,180
Interest......................................... -- 48 -- -- --
Income from Securities Lending................... 190 4,986 1,609 1,948 8,556
-------- -------- -------- -------- --------
Total Investment Income....................... 23,243 33,217 10,809 28,411 34,736
-------- -------- -------- -------- --------
Expenses
Investment Advisory Services Fees................ 780 1,225 342 1,555 3,591
Accounting & Transfer Agent Fees................. 73 109 38 136 152
Custodian Fees................................... 66 385 110 938 2,059
Shareholders' Reports............................ 3 5 1 6 6
Directors'/Trustees' Fees & Expenses............. 6 10 3 13 12
Professional Fees................................ 18 31 10 57 89
Other............................................ 10 14 4 24 21
-------- -------- -------- -------- --------
Total Expenses................................ 956 1,779 508 2,729 5,930
-------- -------- -------- -------- --------
Fees Paid Indirectly............................. (1) (1) (2) (15) (23)
-------- -------- -------- -------- --------
Net Expenses..................................... 955 1,778 506 2,714 5,907
-------- -------- -------- -------- --------
Net Investment Income (Loss)..................... 22,288 31,439 10,303 25,697 28,829
-------- -------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold..................... 36,199 39,886 6,848 24,873 64,640
Futures........................................ -- -- -- -- 463
Foreign Currency Transactions*................. (19) (114) (47) 35 (797)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency...................................... 162,873 298,093 (30,719) 132,313 329,068
Translation of Foreign Currency Denominated
Amounts....................................... 169 87 8 (2) 46
-------- -------- -------- -------- --------
Net Realized and Unrealized Gain (Loss).......... 199,222 337,952 (23,910) 157,219 393,420
-------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations................................... $221,510 $369,391 $(13,607) $182,916 $422,249
======== ======== ======== ======== ========
----------
* Net of foreign capital gain taxes withheld of $0, $9, $0, $0 and $1,
respectively.
See accompanying Notes to Financial Statements.
228
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap Value The DFA International The Japanese Small
Series Value Series Company Series
------------------------ ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- ----------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 116,444 $ 212,847 $ 119,530 $ 260,321 $ 23,840 $ 35,567
Net Realized Gain (Loss) on:
Investment Securities Sold............ 469,207 408,690 125,856 133,256 42,871 15,297
Futures............................... -- -- -- -- -- (283)
Foreign Currency Transactions*........ -- -- (1,511) (1,249) (1,367) 593
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 1,375,405 1,049,282 751,722 (157,327) 392,404 (47,991)
Translation of Foreign Currency
Denominated Amounts.................. -- -- 80 (266) (399) (76)
----------- ----------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 1,961,056 1,670,819 995,677 234,735 457,349 3,107
----------- ----------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 577,674 505,769 277,763 699,069 180,383 385,924
Withdrawals............................. (270,017) (922,543) (356,203) (651,462) (86,681) (205,115)
----------- ----------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 307,657 (416,774) (78,440) 47,607 93,702 180,809
----------- ----------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 2,268,713 1,254,045 917,237 282,342 551,051 183,916
Net Assets
Beginning of Period..................... 10,589,152 9,335,107 7,238,249 6,955,907 1,686,731 1,502,815
----------- ----------- ---------- ---------- ---------- ----------
End of Period........................... $12,857,865 $10,589,152 $8,155,486 $7,238,249 $2,237,782 $1,686,731
=========== =========== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $3, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
229
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Asia Pacific Small The United Kingdom Small The Continental Small
Company Series Company Series Company Series
---------------------- ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- ---------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 16,930 $ 39,082 $ 22,288 $ 41,958 $ 31,439 $ 62,863
Net Realized Gain (Loss) on:
Investment Securities Sold............ 7,336 27,956 36,199 (16,423) 39,886 (4,064)
Futures............................... -- (140) -- 236 -- 69
Foreign Currency Transactions*........ 167 (236) (19) 339 (114) (359)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 82,603 3,183 162,873 247,250 298,093 694
Translation of Foreign Currency
Denominated Amounts.................. (31) (94) 169 (35) 87 (285)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 107,005 69,751 221,510 273,325 369,391 58,918
---------- ---------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 91,761 161,440 13,691 92,609 42,912 260,944
Withdrawals............................. (59,702) (134,065) (33,674) (34,941) (61,577) (76,446)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 32,059 27,375 (19,983) 57,668 (18,665) 184,498
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 139,064 97,126 201,527 330,993 350,726 243,416
Net Assets
Beginning of Period..................... 1,003,860 906,734 1,464,838 1,133,845 2,245,179 2,001,763
---------- ---------- ---------- ---------- ---------- ----------
End of Period........................... $1,142,924 $1,003,860 $1,666,365 $1,464,838 $2,595,905 $2,245,179
========== ========== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $9 and $0,
respectively.
See accompanying Notes to Financial Statements.
230
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Canadian Small The Emerging The Emerging Markets
Company Series Markets Series Small Cap Series
-------------------- ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- -------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 10,303 $ 16,111 $ 25,697 $ 67,879 $ 28,829 $ 58,512
Net Realized Gain (Loss) on:
Investment Securities Sold............ 6,848 26,982 24,873 34,169 64,640 106,663
Futures............................... -- -- -- -- 463 (389)
Foreign Currency Transactions*........ (47) 111 35 (571) (797) (1,553)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. (30,719) (63,323) 132,313 24,259 329,068 6,038
Translation of Foreign Currency
Denominated Amounts.................. 8 (7) (2) 20 46 (15)
-------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... (13,607) (20,126) 182,916 125,756 422,249 169,256
-------- -------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 22,416 11,500 300,335 523,537 707,773 1,002,685
Withdrawals............................. (30,000) (38,550) (159,876) (175,967) (100,659) (93,517)
-------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ (7,584) (27,050) 140,459 347,570 607,114 909,168
-------- -------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. (21,191) (47,176) 323,375 473,326 1,029,363 1,078,424
Net Assets
Beginning of Period..................... 689,086 736,262 2,913,307 2,439,981 2,953,350 1,874,926
-------- -------- ---------- ---------- ---------- ----------
End of Period........................... $667,895 $689,086 $3,236,682 $2,913,307 $3,982,713 $2,953,350
======== ======== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $13, $1 and $87,
respectively.
See accompanying Notes to Financial Statements.
231
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series@
----------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
----------------------------------------------------------------------------------------------
(Unaudited)
-----------------------------------------------------------------------------------------------------------------------------
Total Return.................. 18.48%(C) 18.31% 5.69% 19.96% 11.90% (36.53)%(C) (0.32)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $12,857,865 $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................... 0.11%(B) 0.12% 0.12% 0.12% 0.13% 0.11%(B) 0.11%
Ratio of Net Investment
Income to Average Net Assets. 2.03%(B) 2.15% 1.79% 2.02% 2.42% 1.97%(B) 1.44%
Portfolio Turnover Rate....... 9%(C) 10% 14% 28% 29% 19%(C) 9%
-----------------------------------------------------------------------------------------------------------------------------
The DFA International Value Series@
-------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
-------------------------------------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------
Total Return.................. 14.00%(C) 3.17% (8.04)% 11.13% 35.41% (47.87)%(C) 17.32%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $8,155,486 $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................... 0.23%(B) 0.24% 0.23% 0.24% 0.24% 0.23%(B) 0.23%
Ratio of Expenses to Average
Net Assets (Excluding Fees
Paid Indirectly)............. 0.23%(B) 0.24% 0.23% 0.24% 0.24% 0.23%(B) 0.23%
Ratio of Net Investment
Income to Average Net Assets. 3.16%(B) 3.75% 3.47% 2.55% 3.22% 4.15%(B) 3.04%
Portfolio Turnover Rate....... 7%(C) 14% 9% 20% 18% 16%(C) 16%
--------------------------------------------------------------------------------------------------------------------------
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.
232
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Japanese Small Company Series
-------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
-------------------------------------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------
Total Return.................. 26.12%(C) 0.54% 10.07% 0.72% 22.69% (26.87)%(C) (1.16)%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $2,237,782 $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%(B) 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%(B) 0.15% 0.14% 0.14% 0.15% 0.13%(B) 0.13%
Ratio of Net Investment
Income to Average Net Assets. 2.54%(B) 2.17% 2.07% 1.95% 2.15% 2.64%(B) 1.94%
Portfolio Turnover Rate....... 10%(C) 7% 5% 10% 7% 10%(C) 9%
--------------------------------------------------------------------------------------------------------------------------
The Asia Pacific Small Company Series
-----------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
-----------------------------------------------------------------------------------
(Unaudited)
------------------------------------------------------------------------------------------------------------------
Total Return.................. 10.68%(C) 7.48% (5.15)% 28.91% 84.98% (57.75)%(C) 47.23%
------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $1,142,924 $1,003,860 $906,734 $935,138 $680,997 $441,237 $1,205,154
Ratio of Expenses to Average
Net Assets................... 0.16%(B) 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%(B) 0.16% 0.16% 0.17% 0.18% 0.15%(B) 0.15%
Ratio of Net Investment
Income to Average Net Assets. 3.13%(B) 4.26% 3.78% 3.64% 4.00% 4.33%(B) 3.58%
Portfolio Turnover Rate....... 7%(C) 18% 17% 18% 23% 20%(C) 25%
------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
233
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The United Kingdom Small Company Series
--------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
--------------------------------------------------------------------------------------
(Unaudited)
---------------------------------------------------------------------------------------------------------------------
Total Return.................. 15.19%(C) 23.41% 0.20% 25.94% 43.51% (50.77)%(C) 2.42%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $1,666,365 $1,464,838 $1,133,845 $1,036,694 $770,472 $555,390 $1,158,580
Ratio of Expenses to Average
Net Assets................... 0.12%(B) 0.13% 0.13% 0.13% 0.14% 0.12%(B) 0.12%
Ratio of Expenses to Average
Net Assets (Excluding Fees
Paid Indirectly)............. 0.12%(B) 0.13% 0.13% 0.13% 0.14% 0.12%(B) 0.12%
Ratio of Net Investment
Income to Average Net Assets. 2.88%(B) 3.37% 3.76% 2.86% 4.02% 3.79%(B) 2.72%
Portfolio Turnover Rate....... 7%(C) 6% 7% 15% 10% 25%(C) 12%
---------------------------------------------------------------------------------------------------------------------
The Continental Small Company Series
-------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
-------------------------------------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------
Total Return.................. 16.53%(C) 2.29% (10.75)% 15.37% 43.78% (49.66)%(C) 17.49%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $2,595,905 $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................... 0.15%(B) 0.16% 0.15% 0.15% 0.16% 0.14%(B) 0.14%
Ratio of Expenses to Average
Net Assets (Excluding Fees
Paid Indirectly)............. 0.15%(B) 0.16% 0.15% 0.15% 0.16% 0.14%(B) 0.14%
Ratio of Net Investment
Income to Average Net Assets. 2.59%(B) 3.15% 2.72% 2.24% 2.93% 3.49%(B) 2.16%
Portfolio Turnover Rate....... 7%(C) 9% 10% 12% 7% 18%(C) 12%
--------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
234
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Canadian Small Company Series
--------------------------------------------------------------------------------------
Period Period
Six Months Year Year Year Year Dec. 1, April 2,
Ended Ended Ended Ended Ended 2007 to 2007(a) to
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
--------------------------------------------------------------------------------------
(Unaudited)
---------------------------------------------------------------------------------------------------------------------
Total Return.................. (1.93)%(C) (2.51)% 0.27% 43.17% 61.67% (56.44)%(C) 10.20%(C)
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $667,895 $689,086 $736,262 $663,722 $365,181 $232,873 $213,529
Ratio of Expenses to Average
Net Assets................... 0.15%(B) 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%(B) 0.15% 0.14% 0.15% 0.17% 0.18%(B) 0.26%(B)(E)
Ratio of Net Investment
Income to Average Net Assets. 3.04%(B) 2.29% 1.72% 1.05% 1.37% 0.97%(B) 0.47%(B)(E)
Portfolio Turnover Rate....... 11%(C) 22% 24% 10% 23% 21%(C) 6%(C)
---------------------------------------------------------------------------------------------------------------------
The Emerging Markets Series
-------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
-------------------------------------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------
Total Return.................. 6.26%(C) 4.55% (6.44)% 27.04% 53.99% (48.15)%(C) 42.62%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $3,236,682 $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................... 0.18%(B) 0.20% 0.20% 0.19% 0.20% 0.18%(B) 0.19%
Ratio of Expenses to Average
Net Assets (Excluding Fees
Paid Indirectly)............. 0.18%(B) 0.20% 0.20% 0.19% 0.20% 0.18%(B) 0.19%
Ratio of Net Investment
Income to Average Net Assets. 1.67%(B) 2.55% 2.48% 2.18% 2.57% 3.00%(B) 2.52%
Portfolio Turnover Rate....... 2%(C) 5% 16% 12% 14% 19%(C) 7%
--------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
235
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Emerging Markets Small Cap Series
-----------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
-----------------------------------------------------------------------------------------
(Unaudited)
------------------------------------------------------------------------------------------------------------------------
Total Return.................. 13.05%(C) 7.19% (12.94)% 41.96% 92.08% (56.84)%(C) 43.32%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $3,982,713 $2,953,350 $1,874,926 $1,881,356 $1,167,973 $566,379 $1,525,571
Ratio of Expenses to Average
Net Assets................... 0.33%(B) 0.36% 0.33% 0.32% 0.33% 0.30%(B) 0.31%
Ratio of Expenses to Average
Net Assets (Excluding Fees
Paid Indirectly)............. 0.33%(B) 0.36% 0.33% 0.32% 0.33% 0.30%(B) 0.31%
Ratio of Net Investment
Income to Average Net Assets. 1.62%(B) 2.48% 2.32% 2.16% 2.52% 3.07%(B) 1.94%
Portfolio Turnover Rate....... 4%(C) 13% 18% 15% 13% 19%(C) 16%
------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
236
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940, The
Trust consists of eleven 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 Series is a result of the treatment of
a partnership for book purposes. Each Series 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 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)
237
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 the 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 the
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 International Equity Portfolios 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 this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules 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.
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Series.
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 recent quoted bid and asked prices for the U.S. dollar as
quoted by generally recognized
238
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 fluctuation
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 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; 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 April 30, 2013, 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 gains 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 Equity 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.
239
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 six months ended April 30, 2013, the Series'
investment advisory services fees were accrued daily and paid monthly to the
Advisor based on the following effective annual rates of average daily net
assets:
The U.S. Large Cap Value Series......... 0.10%
The DFA International Value Series...... 0.20%
The Japanese Small Company Series....... 0.10%
The Asia Pacific Small Company Series... 0.10%
The United Kingdom Small Company Series. 0.10%
The Continental Small Company Series.... 0.10%
The Canadian Small Company Series....... 0.10%
The Emerging Markets Series............. 0.10%
The Emerging Markets Small Cap Series... 0.20%
Earned Income Credit:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2013, expenses reduced were as follows (amounts in
thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series...... $10
The Japanese Small Company Series....... 5
The Asia Pacific Small Company Series... 2
The United Kingdom Small Company Series. 1
The Continental Small Company Series.... 1
The Canadian Small Company Series....... 2
The Emerging Markets Series............. 15
The Emerging Markets Small Cap Series... 23
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2013, the total
related amounts paid by the Trust to the CCO were $28 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
240
D. Deferred Compensation:
At April 30, 2013, 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......... $278
The DFA International Value Series...... 213
The Japanese Small Company Series....... 46
The Asia Pacific Small Company Series... 23
The United Kingdom Small Company Series. 27
The Continental Small Company Series.... 55
The Canadian Small Company Series....... 13
The Emerging Markets Series............. 74
The Emerging Markets Small Cap Series... 42
E. Purchases and Sales of Securities:
For the six months ended April 30, 2013, 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......... $1,428,361 $1,029,781
The DFA International Value Series...... 581,405 544,320
The Japanese Small Company Series....... 285,795 182,218
The Asia Pacific Small Company Series... 123,409 78,570
The United Kingdom Small Company Series. 110,235 112,119
The Continental Small Company Series.... 183,602 179,145
The Canadian Small Company Series....... 73,665 71,826
The Emerging Markets Series............. 227,043 64,839
The Emerging Markets Small Cap Series... 778,617 154,697
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for Federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2013, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
---------- ------------ ------------ --------------
The U.S. Large Cap Value Series......... $9,150,245 $4,325,142 $(135,235) $4,189,907
The DFA International Value Series...... 8,018,298 1,779,021 (632,548) 1,146,473
The Japanese Small Company Series....... 2,353,150 426,844 (237,771) 189,073
The Asia Pacific Small Company Series... 1,320,354 328,760 (230,904) 97,856
The United Kingdom Small Company Series. 1,273,661 564,018 (136,112) 427,906
The Continental Small Company Series.... 2,907,663 700,769 (459,256) 241,513
The Canadian Small Company Series....... 1,004,011 101,503 (228,603) (127,100)
The Emerging Markets Series............. 2,275,995 1,326,980 (131,634) 1,195,346
The Emerging Markets Small Cap Series... 3,704,792 1,014,557 (391,671) 622,886
241
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each of the Series' federal tax returns for the prior three fiscal years
remains subject to examination by the Internal Revenue Service.
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 Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held 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 deposit 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.
242
The following is a summary of the Series' location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the six months ended April 30, 2013 (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 Emerging Markets Small Cap Series*. $463
* As of April 30, 2013, there were no futures contracts outstanding. During the
six months ended April 30, 2013, the Series had limited activity in futures
contracts.
H. Line of Credit:
The Trust, together with other Dimensional-advised portfolios, entered into
a $250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line of credit. There were no borrowings by the
Series under this line of credit during the six months ended April 30, 2013.
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 4,
2013 with its domestic 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. 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 March 3,
2014. There were no borrowings by the Series under this line of credit during
the period ended April 30, 2013.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 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 10, 2014.
243
For the six months ended April 30, 2013, 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....... 0.92% $7,286 12 $ 2 $19,170
The DFA International Value Series.... 0.94% 6,138 27 4 20,182
The Japanese Small Company Series..... 0.91% 1,336 10 -- 3,693
The Asia Pacific Small Company Series. 0.91% 614 5 -- 2,155
The United Kingdom Small Company
Series.............................. 0.92% 326 2 -- 503
The Continental Small Company Series.. 0.92% 59 4 -- 208
The Emerging Markets Series........... 0.91% 5,831 26 4 31,246
The Emerging Markets Small Cap Series. 0.90% 8,707 2 -- 12,916
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2013, that each Portfolio's available
line of credit was utilized.
There were no outstanding borrowings by the Portfolios under this line of
credit as of April 30, 2013.
I. Securities Lending:
As of April 30, 2013, each Series had securities on loan to brokers/dealers,
for which each such Series received cash collateral. In addition, the following
Series received non-cash collateral consisting of short and/or long term U.S.
Treasury securities (amounts in thousands):
Market Value
------------
The U.S. Large Cap Value Series....... $ 4,855
The DFA International Value Series.... 58,525
The Canadian Small Company Series..... 28,586
The Emerging Markets Series........... 56,655
The Emerging Markets Small Cap Series. 98,136
Each Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral equal to at least (i) 100% of the current market value of the loaned
securities with respect to securities of the U.S. government or its agencies,
(ii) 102% of the current market value of the loaned securities with respect to
U.S. securities, and (iii) 105% of the current market value of the loaned
securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. 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
244
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. In-Kind Redemptions:
In accordance with guidelines described in the Series' registration
statement, the Series may distribute portfolio securities rather than cash as
payment for a redemption of fund shares (in-kind redemption). For financial
reporting purposes, a Series 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.
For the six months ended April 30, 2013, the Series had no in-kind redemptions.
L. 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.
M. 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.
245
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.
N. 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.
246
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2013
EXPENSE TABLE
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
-
Actual Fund Return............ $1,000.00 $1,086.10 0.18% $0.93
Hypothetical 5% Annual Return. $1,000.00 $1,023.90 0.18% $0.90
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
247
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 the
Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters
ending January 31 and July 31. The Form N-Q filing must be made within 60 days
of the end of the quarter. Dimensional Emerging Markets Value Fund filed its
most recent Form N-Q with the SEC on March 27, 2013. 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.
A 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....................... 6.3%
Consumer Staples............................. 5.7%
Energy....................................... 16.2%
Financials................................... 34.5%
Health Care.................................. 0.6%
Industrials.................................. 11.6%
Information Technology....................... 7.1%
Materials.................................... 14.7%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 1.4%
Utilities.................................... 1.9%
-----
100.0%
248
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (91.3%)
BRAZIL -- (8.7%)
Banco Santander Brasil SA ADR.............. 18,012,780 $ 133,654,828 0.7%
BM&FBovespa SA............................. 26,824,074 185,955,220 1.0%
# Gerdau SA Sponsored ADR.................... 12,145,574 95,342,756 0.5%
# Petroleo Brasileiro SA ADR................. 18,401,141 352,381,850 1.9%
# Petroleo Brasileiro SA Sponsored ADR....... 20,796,933 415,314,752 2.2%
Other Securities........................... 538,973,068 2.9%
---------------- ------
TOTAL BRAZIL................................... 1,721,622,474 9.2%
---------------- ------
CHILE -- (1.6%)
Enersis SA Sponsored ADR................... 5,249,009 99,101,290 0.5%
Other Securities........................... 219,401,520 1.2%
---------------- ------
TOTAL CHILE.................................... 318,502,810 1.7%
---------------- ------
CHINA -- (14.1%)
Agricultural Bank of China, Ltd. Class H... 255,464,000 122,746,565 0.7%
Bank of China, Ltd. Class H................ 989,630,331 463,675,570 2.5%
Bank of Communications Co., Ltd. Class H... 110,893,574 88,310,920 0.5%
China Construction Bank Corp. Class H...... 214,422,940 179,967,415 1.0%
# China Minsheng Banking Corp., Ltd. Class H. 57,085,500 73,292,194 0.4%
# China Petroleum & Chemical Corp. ADR....... 993,796 109,874,086 0.6%
China Petroleum & Chemical Corp. Class H... 163,824,289 180,790,542 1.0%
# China Unicom Hong Kong, Ltd. ADR........... 7,316,862 105,582,319 0.6%
Other Securities........................... 1,486,194,031 7.7%
---------------- ------
TOTAL CHINA.................................... 2,810,433,642 15.0%
---------------- ------
COLOMBIA -- (0.1%)
Other Securities........................... 13,678,500 0.1%
---------------- ------
CZECH REPUBLIC -- (0.2%)
Other Securities........................... 31,695,790 0.2%
---------------- ------
HUNGARY -- (0.5%)
# OTP Bank P.L.C............................. 3,828,061 79,923,314 0.4%
Other Securities........................... 15,773,985 0.1%
---------------- ------
TOTAL HUNGARY.................................. 95,697,299 0.5%
---------------- ------
INDIA -- (6.8%)
# ICICI Bank, Ltd. Sponsored ADR............. 3,394,535 158,932,128 0.9%
Reliance Industries, Ltd................... 20,144,977 294,328,521 1.6%
State Bank of India........................ 2,228,831 94,279,659 0.5%
Other Securities........................... 807,802,476 4.2%
---------------- ------
TOTAL INDIA.................................... 1,355,342,784 7.2%
---------------- ------
INDONESIA -- (3.2%)
Other Securities........................... 641,870,329 3.4%
---------------- ------
ISRAEL -- (0.0%)
Other Securities........................... 932,046 0.0%
---------------- ------
MALAYSIA -- (3.2%)
Other Securities........................... 642,198,061 3.4%
---------------- ------
MEXICO -- (7.1%)
Alfa S.A.B. de C.V. Class A................ 51,397,020 119,325,169 0.6%
#* Cemex S.A.B. de C.V. Sponsored ADR......... 16,663,541 187,464,831 1.0%
249
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MEXICO -- (Continued)
# Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR................................................ 2,494,369 $ 282,836,501 1.5%
Grupo Financiero Banorte S.A.B. de C.V.............. 23,160,991 174,532,887 0.9%
Other Securities.................................... 637,729,822 3.5%
---------------- ------
TOTAL MEXICO............................................ 1,401,889,210 7.5%
---------------- ------
PHILIPPINES -- (1.3%)
Other Securities.................................... 256,419,611 1.4%
---------------- ------
POLAND -- (1.4%)
* Polski Koncern Naftowy Orlen S.A.................... 5,924,385 91,988,888 0.5%
Other Securities.................................... 179,643,567 1.0%
---------------- ------
TOTAL POLAND 271,632,455 1.5%
---------------- ------
RUSSIA -- (3.8%)
Gazprom OAO Sponsored ADR........................... 92,768,535 738,805,087 3.9%
Other Securities.................................... 18,308,553 0.1%
---------------- ------
TOTAL RUSSIA............................................ 757,113,640 4.0%
---------------- ------
SOUTH AFRICA -- (6.4%)
ABSA Group, Ltd..................................... 5,161,520 85,037,070 0.5%
# Gold Fields, Ltd. Sponsored ADR..................... 13,638,573 101,743,755 0.6%
Sanlam, Ltd......................................... 26,831,075 137,665,287 0.7%
Standard Bank Group, Ltd............................ 15,879,866 198,569,484 1.1%
Other Securities.................................... 758,607,003 4.0%
---------------- ------
TOTAL SOUTH AFRICA...................................... 1,281,622,599 6.9%
---------------- ------
SOUTH KOREA -- (13.7%)
Hana Financial Group, Inc........................... 4,078,729 130,626,112 0.7%
# Hyundai Steel Co.................................... 1,197,245 83,179,821 0.5%
KB Financial Group, Inc............................. 2,902,753 94,926,902 0.5%
# KB Financial Group, Inc. ADR........................ 3,182,416 104,383,245 0.6%
# LG Electronics, Inc................................. 1,776,548 142,395,511 0.8%
# POSCO............................................... 681,110 195,769,432 1.1%
# POSCO ADR........................................... 1,626,923 117,122,187 0.6%
Shinhan Financial Group Co., Ltd.................... 5,415,719 187,584,781 1.0%
SK Holdings Co., Ltd................................ 530,249 76,530,829 0.4%
SK Innovation Co., Ltd.............................. 763,318 104,371,936 0.6%
Other Securities.................................... 1,488,107,381 7.8%
---------------- ------
TOTAL SOUTH KOREA....................................... 2,724,998,137 14.6%
---------------- ------
TAIWAN -- (13.0%)
First Financial Holding Co., Ltd.................... 114,221,437 70,358,478 0.4%
# Fubon Financial Holding Co., Ltd.................... 83,424,471 119,358,177 0.7%
#* Innolux Corp........................................ 113,184,745 70,870,943 0.4%
Mega Financial Holding Co., Ltd..................... 124,743,381 96,296,586 0.5%
# United Microelectronics Corp........................ 218,090,681 83,574,149 0.5%
Yuanta Financial Holding Co., Ltd................... 143,984,654 73,306,738 0.4%
Other Securities.................................... 2,070,352,183 10.9%
---------------- ------
TOTAL TAIWAN............................................ 2,584,117,254 13.8%
---------------- ------
THAILAND -- (3.4%)
Bangkok Bank PCL.................................... 9,300,200 71,613,124 0.4%
PTT Global Chemical PCL............................. 31,932,741 79,423,853 0.4%
250
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
THAILAND -- (Continued)
PTT PCL..................................................... 8,157,700 $ 90,610,228 0.5%
Other Securities............................................ 426,380,643 2.3%
---------------- ------
TOTAL THAILAND.................................................... 668,027,848 3.6%
---------------- ------
TURKEY -- (2.8%)
KOC Holding A.S............................................. 12,307,828 74,630,627 0.4%
Turkiye Is Bankasi.......................................... 27,763,003 107,387,000 0.6%
Other Securities............................................ 372,002,517 2.0%
---------------- ------
TOTAL TURKEY...................................................... 554,020,144 3.0%
---------------- ------
TOTAL COMMON STOCKS............................................... 18,131,814,633 97.0%
---------------- ------
PREFERRED STOCKS -- (2.0%)
BRAZIL -- (1.9%)
Petroleo Brasileiro SA...................................... 18,204,529 181,795,072 1.0%
Other Securities............................................ 210,809,044 1.1%
---------------- ------
TOTAL BRAZIL...................................................... 392,604,116 2.1%
---------------- ------
COLOMBIA -- (0.1%)
Other Securities............................................ 10,866,863 0.1%
---------------- ------
HONG KONG -- (0.0%)
Other Securities............................................ 317,409 0.0%
---------------- ------
MALAYSIA -- (0.0%)
Other Securities............................................ 8,781 0.0%
---------------- ------
TOTAL PREFERRED STOCKS............................................ 403,797,169 2.2%
---------------- ------
RIGHTS/WARRANTS -- (0.0%)
CHINA -- (0.0%)
Other Securities............................................ 1,513,523 0.0%
---------------- ------
MALAYSIA -- (0.0%)
Other Securities............................................ 76,397 0.0%
---------------- ------
POLAND -- (0.0%)
Other Securities............................................ -- 0.0%
---------------- ------
THAILAND -- (0.0%)
Other Securities............................................ 685,167 0.0%
---------------- ------
TOTAL RIGHTS/WARRANTS............................................. 2,275,087 0.0%
---------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (6.7%)
(S)@ DFA Short Term Investment Fund.............................. 115,211,755 1,333,000,000 7.1%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $169,927 FNMA, rates ranging
from 3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $173,672) to be repurchased at
$170,268................................................... $ 170 170,267 0.0%
---------------- ------
TOTAL SECURITIES LENDING COLLATERAL............................... 1,333,170,267 7.1%
---------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $19,190,568,956)........................................ $ 19,871,057,156 106.3%
================ ======
251
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of the Fund's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
------------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- --------------- ------- ---------------
Common Stocks
Brazil...................... $1,721,622,474 -- -- $ 1,721,622,474
Chile....................... 318,502,810 -- -- 318,502,810
China....................... 234,132,597 $ 2,576,301,045 -- 2,810,433,642
Colombia.................... 13,678,500 -- -- 13,678,500
Czech Republic.............. -- 31,695,790 -- 31,695,790
Hungary..................... -- 95,697,299 -- 95,697,299
India....................... 177,946,057 1,177,396,727 -- 1,355,342,784
Indonesia................... 7,281,902 634,588,427 -- 641,870,329
Israel...................... 20,321 911,725 -- 932,046
Malaysia.................... -- 642,198,061 -- 642,198,061
Mexico...................... 1,401,889,210 -- -- 1,401,889,210
Philippines................. -- 256,419,611 -- 256,419,611
Poland...................... 544,429 271,088,026 -- 271,632,455
Russia...................... 875,172 756,238,468 -- 757,113,640
South Africa................ 174,746,377 1,106,876,222 -- 1,281,622,599
South Korea................. 332,607,899 2,392,390,238 -- 2,724,998,137
Taiwan...................... 45,216,170 2,538,901,084 -- 2,584,117,254
Thailand.................... 668,027,848 -- -- 668,027,848
Turkey...................... -- 554,020,144 -- 554,020,144
Preferred Stocks
Brazil...................... 392,604,116 -- -- 392,604,116
Colombia.................... 10,866,863 -- -- 10,866,863
Hong Kong................... 317,409 -- -- 317,409
Malaysia.................... -- 8,781 -- 8,781
Rights/Warrants
China....................... -- 1,513,523 -- 1,513,523
Malaysia.................... -- 76,397 -- 76,397
Poland...................... -- -- -- --
Thailand.................... -- 685,167 -- 685,167
Securities Lending Collateral. -- 1,333,170,267 -- 1,333,170,267
-------------- --------------- -- ---------------
TOTAL......................... $5,500,880,154 $14,370,177,002 -- $19,871,057,156
============== =============== == ===============
See accompanying Notes to Financial Statements.
252
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
ASSETS:
Investments at Value (including $1,555,098 of securities on loan)*....... $18,537,887
Collateral Received from Securities on Loan at Value & Cost.............. 170
Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 1,333,000
Foreign Currencies at Value.............................................. 19,113
Cash..................................................................... 129,043
Receivables:
Investment Securities Sold............................................. 233
Dividends, Interest and Tax Reclaims................................... 46,296
Securities Lending Income.............................................. 1,942
Unrealized Gain on Foreign Currency Contracts............................ 18
Prepaid Expenses and Other Assets........................................ 28
-----------
Total Assets........................................................ 20,067,730
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................................... 1,333,170
Investment Securities Purchased........................................ 38,774
Due to Advisor......................................................... 1,493
Unrealized Loss on Foreign Currency Contracts............................ 1
Accrued Expenses and Other Liabilities................................... 2,526
-----------
Total Liabilities................................................... 1,375,964
-----------
NET ASSETS............................................................... $18,691,766
===========
Investments at Cost...................................................... $17,857,399
===========
Foreign Currencies at Cost............................................... $ 19,052
===========
----------
* See Note H in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
253
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
Investment Income
Dividends (Net of Foreign Taxes Withheld of $11,812).......... $ 141,854
Interest...................................................... 10
Income from Securities Lending................................ 15,074
----------
Total Investment Income.................................... 156,938
----------
Expenses
Investment Advisory Services Fees............................. 9,007
Accounting & Transfer Agent Fees.............................. 752
Custodian Fees................................................ 5,609
Shareholders' Reports......................................... 34
Directors'/Trustees' Fees & Expenses.......................... 73
Professional Fees............................................. 265
Other......................................................... 155
----------
Total Expenses............................................. 15,895
----------
Fees Paid Indirectly.......................................... (41)
----------
Net Expenses.................................................. 15,854
----------
Net Investment Income (Loss).................................. 141,084
----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:..................................
Investment Securities Sold.................................. 381,846
Foreign Currency Transactions............................... (938)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 925,302
Translation of Foreign Currency Denominated Amounts......... 75
----------
Net Realized and Unrealized Gain (Loss)....................... 1,306,285
----------
Net Increase (Decrease) in Net Assets Resulting from Operations. $1,447,369
==========
See accompanying Notes to Financial Statements.
254
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Six Months Year
Ended Ended
April 30, Oct. 31,
2013 2012
----------- -----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).............................................. $ 141,084 $ 375,228
Net Realized Gain (Loss) on:
Investment Securities Sold.............................................. 381,846 398,744
Futures................................................................. -- (1,269)
Foreign Currency Transactions*.......................................... (938) (4,761)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................. 925,302 (574,018)
Translation of Foreign Currency Denominated Amounts..................... 75 (185)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations...... 1,447,369 193,739
----------- -----------
Transactions in Interest:
Contributions............................................................. 1,168,731 3,560,477
Withdrawals............................................................... (808,656) (873,473)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.................. 360,075 2,687,004
----------- -----------
Total Increase (Decrease) in Net Assets................................ 1,807,444 2,880,743
Net Assets
Beginning of Period....................................................... 16,884,322 14,003,579
----------- -----------
End of Period............................................................. $18,691,766 $16,884,322
=========== ===========
----------
* Net of foreign capital gain taxes withheld of $0 and $314, respectively.
See accompanying Notes to Financial Statements.
255
DIMENSIONAL EMERGING MARKETS VALUE FUND@
FINANCIAL HIGHLIGHTS
Dimensional Emerging Markets Value Fund
-----------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1,
Ended Ended Ended Ended Ended 2007 to
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009 2008
-----------------------------------------------------------------------------------
(Unaudited)
-------------------------------------------------------------------------------------------------------------------------------
Total Return.............................. 8.61%(C) 1.10% (14.47)% 30.55% 79.39% (55.47)%(C)
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $18,691,766 $16,884,322 $14,003,579 $11,917,955 $7,965,125 $4,048,404
Ratio of Expenses to Average Net Assets... 0.18%(B) 0.20% 0.20% 0.19% 0.21% 0.19%(B)
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)......... 0.18%(B) 0.20% 0.20% 0.19% 0.21% 0.19%(B)
Ratio of Net Investment Income to Average
Net Assets............................... 1.58%(B) 2.43% 2.29% 1.81% 2.17% 3.19%(B)
Portfolio Turnover Rate................... 5%(C) 8% 5% 15% 20% 14%(C)
-------------------------------------------------------------------------------------------------------------------------------
------------
Year
Ended
Nov. 30,
2007
------------
------------------------------------------------------
Total Return.............................. 51.59%
------------------------------------------------------
Net Assets, End of Period (thousands)..... $8,188,710
Ratio of Expenses to Average Net Assets... 0.19%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)......... 0.19%
Ratio of Net Investment Income to Average
Net Assets............................... 2.50%
Portfolio Turnover Rate................... 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.
256
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a
closed-end management investment company registered under the Investment
Company Act of 1940, as amended. Effective November 21, 1997, DEM I was
reorganized as an open-end management investment company. On October 27, 2009,
the Board of Directors and shareholders of DEM I approved an Agreement and Plan
of Reorganization that provided for the reorganization of DEM I from a Maryland
corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I
transferred all of its assets and liabilities to Dimensional Emerging Markets
Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free
exchange under Internal Revenue Code (the "IRC") (S)368(a)(1)(F).
Effective November 1, 2009, the Fund, 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 the Fund is a result of the
treatment of a partnership for book purposes. The Fund 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 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 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.
257
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 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 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 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 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 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.
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 this 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.
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Fund.
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
recent 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 Fund does 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 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, 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
258
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses. At April 30, 2013, 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
$285 (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 April 30, 2013, 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 an 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 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 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 six months ended April 30, 2013, the Fund's
investment 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 an arrangement with its custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Fund's custody expense. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2013, expenses reduced were $41 (amount in thousands).
259
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2013, the total
related amounts paid by the Fund to the CCO were $14 (in thousands). The total
related amounts paid by the Fund are included in Other Expenses on the
Statement of Operations.
D. Purchases and Sales of Securities:
For the six months ended April 30, 2013, 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 Sales
---------- --------
Dimensional Emerging Markets Value Fund. $1,355,988 $938,224
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 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 April 30, 2013, the total cost and aggregate gross unrealized
appreciation (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 Emerging Markets Value Fund. $19,244,327 $3,584,802 $(2,958,072) $626,730
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Fund's tax
positions 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
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 Fund's 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 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.
260
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.
G. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, entered into a
$250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line of credit. There were no borrowings by the Fund
under this line of credit during the six months ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 4,
2013 with its domestic 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. 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 March 3,
2014. There were no borrowings by the Fund under this line of credit during the
period ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 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 10, 2014.
For the six months ended April 30, 2013, 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
------------- ------------ ------------ -------- ---------------
Dimensional Emerging Markets Value
Fund............................. 0.86% $36,348 19 $17 $86,942
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2013, 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 April 30, 2013.
H. Securities Lending:
As of April 30, 2013, 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 $336,338 (in thousands). The Fund invests the
cash collateral, as described below, and records a liability for the return of
the collateral, during the period the securities are on loan. Loans of
securities are required at all times to be secured by collateral equal to at
least (i) 100% of the current market value
261
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. In-Kind Redemptions:
In accordance with guidelines described in the Fund's registration
statement, the Fund may distribute portfolio securities rather than cash as
payment for a redemption of fund shares (in-kind redemption). For financial
reporting purposes, the Fund recognizes a gain on in-kind redemptions to the
extent the value of the distributed securities on the date of redemption
exceeds the cost of those securities. Gains and losses realized on in-kind
redemptions are not recognized for tax purposes and are reclassified from
undistributed realized gain (loss) to paid-in capital.
For the six months ended April 30, 2013, the Fund had no in-kind redemptions.
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. 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.
262
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.
263
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 14, 2012 (the "Meeting"), the Board of
Directors of DFA Investment Dimensions Group Inc. and the Boards of Trustees of
The DFA Investment Trust Company and Dimensional Emerging Markets Value Fund
(together, the "Board") considered the continuation of the investment
advisory/management agreements for each portfolio or series (collectively, the
"Funds") and, if applicable, a Fund's sub-advisory agreements. For certain
Funds, Dimensional Fund Advisors Ltd. or DFA Australia Limited serves as a
sub-advisor. (The investment advisory/management agreements and the
sub-advisory agreements are referred to as the "Advisory Agreements," and the
Advisor and sub-advisors are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that the performance of each Fund was reasonable as
compared with relevant performance standards and appropriate market indexes.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including
264
administrative fees paid by the feeder portfolios. The Board considered the
profitability to the Advisor of managing the Funds and other "non-1940 Act
registered" investment vehicles. Upon closely examining the Advisor's
profitability, the Board concluded, among other things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
265
[LOGO] DFA043013-001S
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2013 (Unaudited)
Dimensional Investment Group Inc.
LWAS/DFA U.S. High Book to Market Portfolio
LWAS/DFA Two-Year Fixed Income Portfolio
LWAS/DFA Two-Year Government Portfolio
DFA Investment Dimensions Group Inc.
LWAS/DFA International High Book to Market Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2013
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
Chairman and Co-Chief Executive Officer
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes.................................................. 1
Dimensional Investment Group Inc.
Disclosure of Fund Expenses.............................................................. 2
Disclosure of Portfolio Holdings......................................................... 4
Schedules of Investments
LWAS/DFA U.S. High Book to Market Portfolio.......................................... 5
LWAS/DFA Two-Year Fixed Income Portfolio............................................. 6
LWAS/DFA Two-Year Government Portfolio............................................... 8
Statements of Assets and Liabilities..................................................... 9
Statements of Operations................................................................. 11
Statements of Changes in Net Assets...................................................... 12
Financial Highlights..................................................................... 13
Notes to Financial Statements............................................................ 15
DFA Investment Dimensions Group Inc. - LWAS/DFA International High Book to Market Portfolio
Disclosure of Fund Expenses.............................................................. 22
Disclosure of Portfolio Holdings......................................................... 23
Schedule of Investments.................................................................. 24
Statement of Assets and Liabilities...................................................... 25
Statement of Operations.................................................................. 26
Statements of Changes in Net Assets...................................................... 27
Financial Highlights..................................................................... 28
Notes to Financial Statements............................................................ 29
The DFA Investment Trust Company
Disclosure of Fund Expenses.............................................................. 34
Disclosure of Portfolio Holdings......................................................... 35
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series...................................................... 36
The DFA International Value Series................................................... 39
Statements of Assets and Liabilities..................................................... 43
Statements of Operations................................................................. 44
Statements of Changes in Net Assets...................................................... 45
Financial Highlights..................................................................... 46
Notes to Financial Statements............................................................ 47
Voting Proxies on Fund Portfolio Securities................................................. 55
Board Approval of Investment Advisory Agreements............................................ 56
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
FNMA Federal National Mortgage Association
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the
category headings have been calculated as a percentage of total investments. "Other Securities" are
those securities that are not among the top 50 holdings of the Fund or do not represent more than
1.0% of the net assets of the Fund. Some of the individual securities within this category may include
Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of April 30, 2013.
## 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 Trustees.
(S) Affiliated Fund.
Financial Highlights
--------------------
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA U.S. High Book to Market Portfolio**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,183.50 0.34% $1.84
Hypothetical 5% Annual Return................. $1,000.00 $1,023.11 0.34% $1.71
LWAS/DFA Two-Year Fixed Income Portfolio
----------------------------------------
Actual Fund Return............................ $1,000.00 $1,002.30 0.30% $1.49
Hypothetical 5% Annual Return................. $1,000.00 $1,023.31 0.30% $1.51
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA Two-Year Government Portfolio
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,001.50 0.28% $1.39
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.41 0.28% $1.40
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 27, 2013. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following tables, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
are provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
The categories of industry classification for the Affiliated Investment
Company are represented in its 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 reflect the
investments by category.
FEEDER FUND
Affiliated Investment Company
-----------------------------
LWAS/DFA U.S. High Book to Market Portfolio. 100.0%
FIXED INCOME PORTFOLIOS
LWAS/DFA Two-Year Fixed Income Portfolio
5.2%
Corporate........................................ 10.2%
Foreign Corporate................................ 24.6%
Foreign Government............................... 17.5%
Government....................................... 36.1%
Supranational.................................... 6.4%
-----
100.0%
LWAS/DFA Two-Year Government Portfolio
Government................................... 100.0%
-----
100.0%
4
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Value+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company..................... $65,489,383
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $37,374,874)................................ $65,489,383
===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
5
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Face
Amount Value+
------ ------
(000)
AGENCY OBLIGATIONS -- (34.3%)
Federal Home Loan Bank
2.375%, 03/14/14............................. $15,300 $15,595,657
2.500%, 06/13/14............................. 2,300 2,359,644
0.250%, 02/20/15............................. 4,600 4,598,896
Federal Home Loan Mortgage Corporation
1.375%, 02/25/14............................. 600 606,002
0.375%, 02/27/14............................. 3,000 3,005,556
Federal National Mortgage Association
2.750%, 03/13/14............................. 1,000 1,022,509
4.125%, 04/15/14............................. 1,700 1,764,416
1.125%, 06/27/14............................. 1,200 1,213,378
-----------
TOTAL AGENCY OBLIGATIONS.......................... 30,166,058
-----------
BONDS -- (60.8%)
Agence Francaise de Developpement
1.250%, 06/09/14............................. 2,000 2,018,354
Australia & New Zealand Banking Group, Ltd.
3.700%, 01/13/15............................. 1,000 1,052,900
Bank Nederlandse Gemeenten
5.000%, 05/16/14............................. 500 523,731
3.125%, 01/12/15............................. 500 522,500
1.375%, 03/23/15............................. 1,000 1,017,480
Bank of Nova Scotia Floating Rate Note
(r) 0.649%, 08/01/14............................. 2,000 2,005,210
Berkshire Hathaway, Inc. Floating Rate Note
(r) 0.990%, 08/15/14............................. 1,500 1,512,489
Caisse d'Amortissement de la Dette Sociale
3.500%, 07/01/14............................. 1,000 1,036,496
1.250%, 07/11/14............................. 1,200 1,212,828
Commonwealth Bank of Australia
3.750%, 10/15/14............................. 1,500 1,570,542
3.500%, 03/19/15............................. 300 316,329
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA
1.875%, 12/15/14............................. 2,000 2,039,088
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA Floating Rate Note
(r) 0.658%, 01/17/14............................. 500 501,302
Council Of Europe Development Bank
4.500%, 06/30/14............................. 1,000 1,048,362
2.750%, 02/10/15............................. 900 938,484
EUROFIMA
4.500%, 03/06/15............................. 1,000 1,075,000
European Investment Bank
4.750%, 10/15/14............................. 900 957,690
2.875%, 01/15/15............................. 1,300 1,356,030
Face
Amount Value+
------ ------
(000)
General Electric Capital Corp.
4.875%, 03/04/15............................. $2,000 $2,154,308
JPMorgan Chase & Co.
2.050%, 01/24/14............................. 1,000 1,012,450
JPMorgan Chase & Co. Floating Rate Note
(r) 1.030%, 05/02/14............................. 700 704,876
KFW
1.500%, 04/04/14............................. 1,800 1,820,052
Kommunalbanken A.S.
1.000%, 06/16/14............................. 1,560 1,571,700
1.000%, 02/09/15............................. 500 505,566
Kommunekredit
0.750%, 09/02/14............................. 1,000 1,005,565
Manitoba, Province of Canada
1.375%, 04/28/14............................. 1,000 1,011,357
National Australia Bank, Ltd. Floating Rate Note
(r) 1.442%, 02/14/14............................. 2,000 2,018,218
Nederlandse Waterschapsbank NV
1.375%, 05/16/14............................. 1,800 1,819,814
1.250%, 10/20/14............................. 800 810,448
Nordea Bank AB
3.700%, 11/13/14............................. 2,000 2,091,610
Oesterreichische Kontrollbank AG
1.375%, 01/21/14............................. 500 503,615
Ontario, Province of Canada
4.500%, 02/03/15............................. 800 857,512
2.950%, 02/05/15............................. 1,300 1,358,384
Royal Bank of Canada
1.150%, 03/13/15............................. 250 253,095
0.560%, 05/01/15............................. 2,000 1,999,720
Sanofi
1.625%, 03/28/14............................. 2,000 2,024,600
Societe Financement de l'Economie Francaise
2.875%, 09/22/14............................. 500 517,430
State of North Rhine-Westphalia
1.625%, 09/17/14............................. 500 507,742
Svensk Exportkredit AB
3.250%, 09/16/14............................. 700 728,188
Svenska Handelsbanken AB Floating Rate Note
(r) 0.787%, 08/30/13............................. 2,000 2,003,790
(r) 0.461%, 10/06/14............................. 300 299,913
Total Capital Canada, Ltd.
1.625%, 01/28/14............................. 2,000 2,020,268
Toyota Motor Credit Corp.
1.375%, 08/12/13............................. 955 957,674
1.250%, 11/17/14............................. 645 653,193
1.000%, 02/17/15............................. 300 303,146
Toyota Motor Credit Corp. Floating Rate Note
(r) 0.454%, 12/05/14............................. 400 400,520
6
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
Face
Amount Value+
------ ------
(000)
US Bancorp
2.000%, 06/14/13............................. $ 800 $ 801,579
-----------
TOTAL BONDS...................................... 53,421,148
-----------
COMMERCIAL PAPER -- (4.8%)
Banque et Caisse d'Epargne de l'Etat
0.240%, 06/26/13............................. 1,000 999,627
0.255%, 07/18/13............................. 1,000 999,533
0.270%, 07/19/13............................. 500 499,763
Standard Chartered Bank
## 0.229%, 05/01/13............................. 600 600,000
## 0.220%, 06/04/13............................. 700 699,861
Toronto Dominion Bank (The)
## 0.190%, 06/20/13............................. 400 399,894
-----------
TOTAL COMMERCIAL PAPER........................... 4,198,678
-----------
Shares
------ -
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional Liquid Reserves... 46,166 46,166
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $87,646,153)............................. $87,832,050
===========
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------
Level 1 Level 2 Level 3 Total
------- ----------- ------- -----------
Agency Obligations......... -- $30,166,058 -- $30,166,058
Bonds...................... -- 53,421,148 -- 53,421,148
Commercial Paper........... -- 4,198,678 -- 4,198,678
Temporary Cash Investments. $46,166 -- -- 46,166
------- ----------- -- -----------
TOTAL...................... $46,166 $87,785,884 -- $87,832,050
======= =========== == ===========
See accompanying Notes to Financial Statements.
7
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Face
Amount Value+
------- ------------
(000)
AGENCY OBLIGATIONS -- (99.7%)
Federal Home Loan Bank
2.500%, 06/13/14........................................... $ 6,605 $ 6,776,281
5.250%, 06/18/14........................................... 5,050 5,341,643
1.375%, 09/12/14........................................... 19,800 20,115,533
0.875%, 12/12/14........................................... 28,500 28,797,540
0.250%, 01/16/15........................................... 10,000 10,005,120
4.500%, 02/18/15........................................... 29,500 31,739,728
2.750%, 03/13/15........................................... 35,000 36,614,095
------------
TOTAL AGENCY OBLIGATIONS.................................... 139,389,940
------------
Shares
-------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market Fund 488,992 488,992
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $139,735,102)........... $139,878,932
============
Summary of the Portfolio's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
------------------------------------------
Level 1 Level 2 Level 3 Total
-------- ------------ ------- ------------
Agency Obligations................. -- $139,389,940 -- $139,389,940
Temporary Cash Investments......... $488,992 -- -- 488,992
-------- ------------ -- ------------
TOTAL.............................. $488,992 $139,389,940 -- $139,878,932
======== ============ == ============
See accompanying Notes to Financial Statements.
8
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company
(Affiliated Investment Company) at Value.............................................. $ 65,489
Prepaid Expenses and Other Assets...................................................... 12
------------
Total Assets...................................................................... 65,501
------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................. 52
Due to Advisor....................................................................... 1
Accrued Expenses and Other Liabilities................................................. 15
------------
Total Liabilities................................................................. 68
------------
NET ASSETS............................................................................. $ 65,433
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 4,036,504
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 16.21
============
Investment in Affiliated Investment Company at Cost.................................... $ 37,375
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 38,504
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 107
Accumulated Net Realized Gain (Loss)................................................... (1,292)
Net Unrealized Appreciation (Depreciation)............................................. 28,114
------------
NET ASSETS............................................................................. $ 65,433
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000
============
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
LWAS/DFA LWAS/DFA
Two-Year Two-Year
Fixed Income Government
Portfolio Portfolio
------------ ------------
ASSETS:
Investments at Value................................................................... $ 87,786 $ 139,390
Temporary Cash Investments at Value & Cost............................................. 46 489
Receivables:
Investment Securities Sold........................................................... 2,029 --
Interest............................................................................. 439 699
Fund Shares Sold..................................................................... 59 5
Prepaid Expenses and Other Assets...................................................... 12 13
------------ ------------
Total Assets...................................................................... 90,371 140,596
------------ ------------
LIABILITIES:
Payables:
Investment Securities Purchased...................................................... 2,000 --
Fund Shares Redeemed................................................................. 17 16
Due to Advisor....................................................................... 10 16
Accrued Expenses and Other Liabilities................................................. 14 25
------------ ------------
Total Liabilities................................................................. 2,041 57
------------ ------------
NET ASSETS............................................................................. $ 88,330 $ 140,539
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 8,810,550 14,193,328
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 10.03 $ 9.90
============ ============
Investments at Cost.................................................................... $ 87,600 $ 139,246
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 88,034 $ 140,150
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 37 (9)
Accumulated Net Realized Gain (Loss)................................................... 73 254
Net Unrealized Appreciation (Depreciation)............................................. 186 144
------------ ------------
NET ASSETS............................................................................. $ 88,330 $ 140,539
============ ============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
LWAS/DFA LWAS/DFA
U.S. High Two-Year LWAS/DFA
Book to Fixed Two-Year
Market Income Government
Portfolio* Portfolio Portfolio
---------- --------- ----------
Investment Income
Net Investment Income Received from Affiliated Investment Company:
Dividends.............................................................. $ 671 -- --
Income from Securities Lending......................................... 6 -- --
Expenses Allocated from Affiliated Investment Company.................. (36) -- --
------- ---- -----
Total Net Investment Income Received from Affiliated Investment
Company............................................................ 641 -- --
------- ---- -----
Fund Investment Income
Interest............................................................... -- $268 $ 255
------- ---- -----
Total Investment Income............................................. -- 268 255
------- ---- -----
Fund Expenses
Investment Advisory Services Fees...................................... -- 66 107
Administrative Services Fees........................................... 3 -- --
Accounting & Transfer Agent Fees....................................... 6 13 15
Shareholder Servicing Fees............................................. 47 35 57
Custodian Fees......................................................... -- 1 1
Filing Fees............................................................ 9 9 9
Shareholders' Reports.................................................. 3 4 6
Directors'/Trustees' Fees & Expenses................................... -- -- 1
Professional Fees...................................................... 2 2 4
Other.................................................................. 1 2 2
------- ---- -----
Total Expenses...................................................... 71 132 202
------- ---- -----
Net Investment Income (Loss)........................................... 570 136 53
------- ---- -----
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold........................................... 2,884 82 269
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................................ 7,167 (38) (115)
------- ---- -----
Net Realized and Unrealized Gain (Loss)................................ 10,051 44 154
------- ---- -----
Net Increase (Decrease) in Net Assets Resulting from Operations.......... $10,621 $180 $ 207
======= ==== =====
----------
* 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.
11
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
LWAS/DFA U.S. High Book LWAS/DFA Two-Year LWAS/DFA Two-Year
to Market Portfolio Fixed Income Portfolio Government Portfolio
------------------------ -------------------- --------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- -------- ----------- -------- ----------- --------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 570 $ 1,193 $ 136 $ 361 $ 53 $ 295
Net Realized Gain (Loss) on:
Investment Securities Sold................ 2,884 3,324 82 400 269 974
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities..................... 7,167 5,684 (38) (100) (115) (426)
------- -------- ------- -------- -------- --------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.............................. 10,621 10,201 180 661 207 843
------- -------- ------- -------- -------- --------
Distributions From:
Net Investment Income....................... (645) (1,185) (150) (393) (101) (413)
Net Short-Term Gains........................ -- -- (360) (461) (955) (774)
Net Long-Term Gains......................... -- -- (44) (90) (29) --
------- -------- ------- -------- -------- --------
Total Distributions...................... (645) (1,185) (554) (944) (1,085) (1,187)
------- -------- ------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued............................... 2,516 2,926 6,326 10,153 11,199 17,044
Shares Issued in Lieu of Cash
Distributions.............................. 559 1,031 449 753 790 845
Shares Redeemed............................. (8,534) (14,816) (7,397) (14,194) (15,845) (50,714)
------- -------- ------- -------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions...................... (5,459) (10,859) (622) (3,288) (3,856) (32,825)
------- -------- ------- -------- -------- --------
Total Increase (Decrease) in Net
Assets.................................. 4,517 (1,843) (996) (3,571) (4,734) (33,169)
Net Assets
Beginning of Period......................... 60,916 62,759 89,326 92,897 145,273 178,442
------- -------- ------- -------- -------- --------
End of Period............................... $65,433 $ 60,916 $88,330 $ 89,326 $140,539 $145,273
======= ======== ======= ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued............................... 168 232 631 1,010 1,131 1,712
Shares Issued in Lieu of Cash
Distributions.............................. 39 83 45 75 80 85
Shares Redeemed............................. (571) (1,163) (738) (1,412) (1,600) (5,094)
------- -------- ------- -------- -------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed..................... (364) (848) (62) (327) (389) (3,297)
======= ======== ======= ======== ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)........................... $ 107 $ 182 $ 37 $ 51 $ (9) $ 39
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Period
Six Months Year Year Year Year Dec. 1,
Ended Ended Ended Ended Ended 2007 to
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009 2008
-----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 13.84 $ 11.96 $ 11.52 $ 9.80 $ 9.04 $ 15.35
------- ------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.14 0.25 0.20 0.19 0.18 0.21
Net Gains (Losses) on Securities (Realized and Unrealized). 2.38 1.87 0.44 1.72 0.79 (5.48)
------- ------- ------- ------- ------- -------
Total from Investment Operations.......................... 2.52 2.12 0.64 1.91 0.97 (5.27)
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.15) (0.24) (0.20) (0.19) (0.21) (0.21)
Net Realized Gains......................................... -- -- -- -- -- (0.83)
------- ------- ------- ------- ------- -------
Total Distributions....................................... (0.15) (0.24) (0.20) (0.19) (0.21) (1.04)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 16.21 $ 13.84 $ 11.96 $ 11.52 $ 9.80 $ 9.04
============================================================= =========== ======== ======== ======== ======== ========
Total Return................................................. 18.35%(C) 18.01% 5.48% 19.71% 11.61% (36.69)%(C)
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $65,433 $60,916 $62,759 $67,314 $65,927 $68,462
Ratio of Expenses to Average Net Assets (D).................. 0.34%(B) 0.34% 0.34% 0.35% 0.38% 0.33%(B)
Ratio of Net Investment Income to Average Net Assets......... 1.83%(B) 1.93% 1.56% 1.78% 2.20% 1.72%(B)
-----------------------------------------------------------------------------------------------------------------------------
Year
Ended
Nov. 30,
2007
------------------------------------------------------------------------
Net Asset Value, Beginning of Period......................... 16.10
--------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.20
Net Gains (Losses) on Securities (Realized and Unrealized). (0.26)
--------
Total from Investment Operations.......................... (0.06)
------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.20)
Net Realized Gains......................................... (0.49)
--------
Total Distributions....................................... (0.69)
------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 15.35
============================================================= ========
Total Return................................................. (0.51)%
------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $119,833
Ratio of Expenses to Average Net Assets (D).................. 0.32%
Ratio of Net Investment Income to Average Net Assets......... 1.20%
------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA Two-Year Fixed Income Portfolio
--------------------------------------------------------------------- -------------
Period
Six Months Year Year Year Year Dec. 1, Year Six Months
Ended Ended Ended Ended Ended 2007 to Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, April 30,
2013 2012 2011 2010 2009 2008 2007 2013
------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period........................... $ 10.07 $ 10.10 $ 10.13 $ 10.03 $ 9.84 $ 9.95 $ 9.94 $ 9.96
------- ------- ------- ------- ------- ------- ------- --------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)..................... 0.02 0.04 0.05 0.08 0.19 0.28 0.49 --
Net Gains (Losses) on
Securities (Realized and
Unrealized).................... 0.01 0.03 0.03 0.11 0.23 (0.04) -- 0.02
------- ------- ------- ------- ------- ------- ------- --------
Total from Investment
Operations.................... 0.03 0.07 0.08 0.19 0.42 0.24 0.49 0.02
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........... (0.02) (0.04) (0.06) (0.09) (0.23) (0.35) (0.48) (0.01)
Net Realized Gains.............. (0.05) (0.06) (0.05) -- -- -- -- (0.07)
------- ------- ------- ------- ------- ------- ------- --------
Total Distributions............. (0.07) (0.10) (0.11) (0.09) (0.23) (0.35) (0.48) (0.08)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 10.03 $ 10.07 $ 10.10 $ 10.13 $ 10.03 $ 9.84 $ 9.95 $ 9.90
================================== =========== ======== ======== ======== ======== ======== ======== ===========
Total Return...................... 0.23%(C) 0.75% 0.73% 1.89% 4.31% 2.46%(C) 5.03% 0.15%(C)
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $88,330 $89,326 $92,897 $89,264 $77,398 $84,065 $96,442 $140,539
Ratio of Expenses to Average Net
Assets........................... 0.30%(B) 0.30% 0.30% 0.31% 0.34% 0.31%(B) 0.31% 0.28%(B)
Ratio of Net Investment Income to
Average Net Assets............... 0.31%(B) 0.40% 0.54% 0.82% 1.92% 3.04%(B) 4.94% 0.08%(B)
Portfolio Turnover Rate........... 34%(C) 102% 98% 113% 77% 20%(C) 22% 99%(C)
------------------------------------------------------------------------------------------------------------------------
LWAS/DFA Two-Year Government 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........................... $ 9.98 $ $ 10.07 $ 10.10 $ 9.80 $ 9.89 $ 9.87
-------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)..................... 0.02 0.04 0.07 0.18 0.24 0.46
Net Gains (Losses) on
Securities (Realized and
Unrealized).................... 0.04 0.02 0.13 0.33 (0.03) 0.01
-------- -------- -------- -------- -------- --------
Total from Investment
Operations.................... 0.06 0.06 0.20 0.51 0.21 0.47
--------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........... (0.03) (0.04) (0.08) (0.21) (0.30) (0.45)
Net Realized Gains.............. (0.05) (0.11) (0.15) -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions............. (0.08) (0.15) (0.23) (0.21) (0.30) (0.45)
--------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 9.96 $ 9.98 $ 10.07 $ 10.10 $ 9.80 $ 9.89
================================== ======== ======== ======== ======== ======== ========
Total Return...................... 0.50% 0.66% 1.98% 5.21% 2.13%(C) 4.85%
--------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $145,273 $178,442 $173,724 136,508 $133,785 $110,338
Ratio of Expenses to Average Net
Assets........................... 0.28% 0.29% 0.29% 0.31% 0.30%(B) 0.31%
Ratio of Net Investment Income to
Average Net Assets............... 0.19% 0.41% 0.72% 1.76% 2.69%(B) 4.66%
Portfolio Turnover Rate........... 111% 127% 166% 112% 7% (C) 0%
--------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, three of which, LWAS/DFA U.S. High Book to Market Portfolio,
LWAS/DFA Two-Year Fixed Income Portfolio and LWAS/DFA Two-Year Government
Portfolio (the "Portfolios"), are presented in this report. The remaining
operational portfolios are presented in separate reports.
LWAS/DFA U.S. High Book to Market Portfolio ("Feeder Fund") primarily
invests its assets in The U.S. Large Cap Value Series (the "Series"), a
corresponding Series of The DFA Investment Trust Company. At April 30, 2013,
the Feeder Fund owned 1% of the Series.
Effective December 31, 2008, the 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 Series is a result of the treatment of a partnership for
book purposes. The Series will maintain its books and records and present its
financial statements in accordance with generally accepted accounting
principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt Securities held by LWAS/DFA Two-Year Fixed Income Portfolio and
LWAS/DFA Two-Year Government Portfolio are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities which are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. Securities for
which quotations are not readily available (including restricted
15
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.
These valuations are generally categorized as Level 2 in the hierarchy. Fair
value pricing may also be used if events that have a significant effect on the
value of an investment (as determined in the discretion of the Investment
Committee of 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 Portfolios may differ from the quoted or published prices for the same
securities on their primary markets or exchanges. These valuations are
generally categorized as Level 2 in the hierarchy.
The Feeder Fund'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 this
note. Valuation hierarchy tables have been included at the end of the Schedules
of Investments. The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Portfolios.
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 April 30, 2013, 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. Security transactions are accounted for as of the
trade date. Costs used in determining realized gains and losses on the sale of
investment securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on debt
securities purchased are amortized over the lives of the respective securities
utilizing the effective interest method. Expenses directly attributable to the
Portfolios are directly charged. Common expenses of the Fund or Portfolios are
allocated using methods approved by the Board, generally based on average net
assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides administrative services
to the Feeder Fund, including supervision of services provided by others,
providing information to shareholders and to the Board, and other
16
administrative services. The Advisor provides investment advisory services to
the Portfolios. The Advisor receives no compensation for the investment
advisory services provided to the Feeder Fund but is compensated for the
investment advisory services it provides to the Feeder Fund's Master Fund. For
the six months ended April 30, 2013, the Portfolios' administrative services
fees or investment advisory services fees were accrued daily and paid monthly
to the Advisor based on the following effective annual rates of average daily
net assets:
Administrative Advisory
Services Fees Services Fees
-------------- -------------
LWAS/DFA U.S. High Book to Market Portfolio. 0.01% --
LWAS/DFA Two-Year Fixed Income Portfolio.... -- 0.15%
LWAS/DFA Two-Year Government Portfolio...... -- 0.15%
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolios pay monthly Shareholder Servicing Fees to LWIF at the
following effective annual rates of their average daily net assets:
Shareholder
Servicing Fees
--------------
LWAS/DFA U.S. High Book to Market Portfolio. 0.15%
LWAS/DFA Two-Year Fixed Income Portfolio.... 0.08%
LWAS/DFA Two-Year Government Portfolio...... 0.08%
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2013, the total
related amounts paid by the Fund to the CCO were $15 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. Deferred Compensation:
At April 30, 2013, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
LWAS/DFA U.S. High Book to Market Portfolio. $2
LWAS/DFA Two-Year Fixed Income Portfolio.... 3
LWAS/DFA Two-Year Government Portfolio...... 5
E. Purchases and Sales of Securities:
For the six months ended April 30, 2013, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
(amounts in thousands):
U.S. Government Securities Other Investment Securities
-------------------------- ---------------------------
Purchases Sales Purchases Sales
--------- -------- --------- -------
LWAS/DFA Two-Year Fixed Income Portfolio. $ 4,594 $ 10,555 $23,281 $18,006
LWAS/DFA Two-Year Government Portfolio... 140,199 143,384 -- --
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.
17
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. As of October 31, 2012, the Portfolios had
no permanent differences to report.
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
-------------- ------------- ------
LWAS/DFA U.S. High Book to Market Portfolio
2011........................................ $1,098 -- $1,098
2012........................................ 1,185 -- 1,185
LWAS/DFA Two-Year Fixed Income Portfolio
2011........................................ 859 $ 81 940
2012........................................ 854 90 944
LWAS/DFA Two-Year Government Portfolio
2011........................................ 2,679 110 2,789
2012........................................ 1,187 -- 1,187
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 Carryforwards Losses)
------------- ------------- ------------- -------------
LWAS/DFA U.S. High Book to Market Portfolio. $186 -- $(4,175) $(3,989)
LWAS/DFA Two-Year Fixed Income Portfolio.... 409 $40 -- 449
LWAS/DFA Two-Year Government Portfolio...... 988 25 -- 1,013
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 Portfolio had capital loss carryforwards available to offset future
realized capital gains through the indicated expiration dates (amounts in
thousands):
Expires on October 31,
----------------------
2017 Unlimited Total
---------------------- --------- ------
LWAS/DFA U.S. High Book to Market Portfolio. $4,175 -- $4,175
During the year ended October 31, 2012, the following Portfolio utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes (amounts in thousands).
LWAS/DFA U.S. High Book to Market Portfolio. $3,323
18
At April 30, 2013, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
-------- ------------ ------------ --------------
LWAS/DFA U.S. High Book to Market Portfolio. $ 37,376 $28,114 $(1) $28,113
LWAS/DFA Two-Year Fixed Income Portfolio.... 87,646 190 (4) 186
LWAS/DFA Two-Year Government Portfolio...... 139,735 144 -- 144
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed each Portfolios'
tax positions and has concluded that no additional provision for income tax is
required in any Portfolios' financial statements. No Portfolio is aware of any
tax positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next six months.
Each of the Portfolio's federal tax returns for the prior three fiscal years
remains subject to examination by the Internal Revenue Service.
G. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, entered into a
$250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line of credit. There were no borrowings by the
Portfolios under this line of credit during the six months ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 4,
2013 with its domestic 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. 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 March 3,
2014. There were no borrowings by the Portfolios under this line of credit
during the period ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 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 10, 2014. There were no borrowings by the Portfolios under
this line of credit during the six months ended April 30, 2013.
19
H. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. 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.
For the six months ended April 30, 2013, the Portfolios had no in-kind
redemptions.
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:
At April 30, 2013, the following number of shareholders held the following
approximate percentages of outstanding shares. One or more of the shareholders
is an omnibus account, which typically hold the stated fund shares for the
benefit of several other underlying investors.
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
- ------------ --------------
LWAS/DFA U.S. High Book to Market Portfolio. 2 96%
LWAS/DFA Two-Year Fixed Income Portfolio.... 3 97%
LWAS/DFA Two-Year Government Portfolio...... 2 92%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buyout 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
20
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 the net asset value of The U.S. Large Cap Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series as incurred and in a manner similar to any other expense incurred
by The U.S. Large Cap Value Series.
L. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
21
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA International High Book to Market Portfolio
----------------------------------------------------
Actual Fund Return................................... $1,000.00 $1,138.70 0.49% $2.60
Hypothetical 5% Annual Return........................ $1,000.00 $1,022.36 0.49% $2.46
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period. The
Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of
the Feeder Fund and the indirect payment of the Feeder Fund's portion of the
expenses of its Master Fund (Affiliated Investment Company).
22
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 27, 2013. It is available upon request, without
charge, by calling collect: (512) 306-7400 or by mailing a request to
Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas
78746, or by visiting the SEC's website at http://www.sec.gov, or they may be
reviewed and copied at the SEC's Public Reference Room in Washington, D.C.
(call 1-800-732-0330 for information on the operation of the Public Reference
Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Company are represented in its 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 reflect the
investments by country.
Affiliated Investment Company. 100.0%
23
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Value+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $72,258,211
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $61,888,019)................................ $72,258,211
===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
24
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(Affiliated Investment Company) at Value.............................................. $ 72,258
Prepaid Expenses and Other Assets...................................................... 23
------------
Total Assets...................................................................... 72,281
------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................. 43
Due to Advisor....................................................................... 1
Accrued Expenses and Other Liabilities................................................. 18
------------
Total Liabilities................................................................. 62
------------
NET ASSETS............................................................................. $ 72,219
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 8,359,698
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 8.64
============
Investment in Affiliated Investment Company at Cost.................................... $ 61,888
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 60,059
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 619
Accumulated Net Realized Gain (Loss)................................................... 1,166
Net Unrealized Foreign Exchange Gain (Loss)............................................ 5
Net Unrealized Appreciation (Depreciation) 10,370
------------
NET ASSETS............................................................................. $ 72,219
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 200,000,000
============
See accompanying Notes to Financial Statements.
25
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO*
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
Investment Income
Dividends (Net of Foreign Taxes Withheld of $81).............. $1,097
Income from Securities Lending................................ 58
Expenses Allocated from Affiliated Investment Company......... (79)
------
Total Investment Income.................................... 1,076
------
Expenses
Administrative Services Fees.................................. 3
Accounting & Transfer Agent Fees.............................. 6
Shareholder Servicing Fees.................................... 66
Filing Fees................................................... 7
Shareholders' Reports......................................... 3
Professional Fees............................................. 2
Other......................................................... 1
------
Total Expenses............................................. 88
------
Net Investment Income (Loss).................................. 988
------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................. 1,197
Foreign Currency Transactions............................... (14)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 6,753
Translation of Foreign Currency Denominated Amounts......... 1
------
Net Realized and Unrealized Gain (Loss)....................... 7,937
------
Net Increase (Decrease) in Net Assets Resulting from Operations. $8,925
======
----------
*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.
26
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Six Months Year
Ended Ended
April 30, Oct. 31,
2013 2012
- ----------- --------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................................................... $ 988 $ 2,343
Net Realized Gain (Loss) on:
Investment Securities Sold......................................................... 1,197 4,492
Foreign Currency Transactions...................................................... (14) (13)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... 6,753 (5,013)
Translation of Foreign Currency Denominated Amounts................................ 1 (3)
------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations................... 8,925 1,806
------- --------
Distributions From:
Net Investment Income................................................................ (705) (2,327)
Net Long-Term Gains.................................................................. (4,494) (2,965)
------- --------
Total Distributions............................................................... (5,199) (5,292)
------- --------
Capital Share Transactions (1):
Shares Issued........................................................................ 4,047 7,815
Shares Issued in Lieu of Cash Distributions.......................................... 4,449 4,540
Shares Redeemed...................................................................... (6,903) (14,825)
------- --------
Net Increase (Decrease) from Capital Share Transactions........................... 1,593 (2,470)
------- --------
Total Increase (Decrease) in Net Assets........................................... 5,319 (5,956)
Net Assets
Beginning of Period.................................................................. 66,900 72,856
------- --------
End of Period........................................................................ $72,219 $ 66,900
======= ========
(1) Shares Issued and Redeemed:
Shares Issued........................................................................ 493 997
Shares Issued in Lieu of Cash Distributions.......................................... 566 603
Shares Redeemed...................................................................... (835) (1,858)
------- --------
Net Increase (Decrease) from Shares Issued and Redeemed........................... 224 (258)
======= ========
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 619 $ 336
See accompanying Notes to Financial Statements.
27
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
-------------------------------------------------- Six Months Year Year Year Year Period Year
Ended Ended Ended Ended Ended Dec. 1, 2007 Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, to Nov. 30,
2013 2012 2011 2010 2009 Oct. 31, 2008 2007
-----------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............. $ 8.22 $ 8.68 $ 10.38 $ 9.66 $ 11.40 $ 24.32 $ 21.89
------- ------- ------- ------- ------- ------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.12 0.28 0.32 0.22 0.25 0.66 0.65
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.96 (0.10) (1.09) 0.79 2.14 (11.36) 2.98
------- ------- ------- ------- ------- ------- --------
Total from Investment Operations............... 1.08 0.18 (0.77) 1.01 2.39 (10.70) 3.63
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.09) (0.28) (0.31) (0.23) (0.27) (0.70) (0.58)
Net Realized Gains.............................. (0.57) (0.36) (0.62) (0.06) (3.86) (1.52) (0.62)
------- ------- ------- ------- ------- ------- --------
Total Distributions............................ (0.66) (0.64) (0.93) (0.29) (4.13) (2.22) (1.20)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 8.64 $ 8.22 $ 8.68 $ 10.38 $ 9.66 $ 11.40 $ 24.32
================================================= =========== ======== ======== ======== ======== ============= ========
Total Return...................................... 13.87%(C) 2.89% (8.30)% 10.85% 34.92% (47.99)%(C) 17.05%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $72,219 $66,900 $72,856 $85,892 $85,504 $84,319 $185,239
Ratio of Expenses to Average Net Assets (D)....... 0.49%(B) 0.50% 0.49% 0.50% 0.52% 0.47%(B) 0.46%
Ratio of Net Investment Income to Average Net
Assets........................................... 2.88%(B) 3.49% 3.24% 2.29% 2.99% 3.74%(B) 2.76%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
28
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of seventy-five operational
portfolios, one of which, LWAS/DFA International High Book to Market Portfolio
(the "Portfolio"), is presented in this report. The remaining operational
portfolios are presented in separate reports.
The Portfolio primarily invests its assets in The DFA International Value
Series (the "Series"), a corresponding Series of The DFA Investment Trust
Company. At April 30, 2013, the Portfolio owned 1% of the Series.
On November 1, 2008, the 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 Series is a
result of the treatment of a partnership for book purposes. The Series will
maintain its books and records and present its financial statements in
accordance with generally accepted accounting principles for investment
partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolio from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolio utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Portfolio.
29
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. At April 30, 2013, the total liability for deferred
compensation to Directors/Trustees is included in Accrued Expenses and Other
Liabilities on the Statement of Assets and Liabilities in the amount of $3 (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 April 30, 2013, none of the
Directors/Trustees have requested or received a distribution of proceeds of a
deferred fee account.
3. Other: The Portfolio recognizes its pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Distributions received on
securities that represent a return of capital are recorded as a reduction of
cost of investments or as a realized gain, respectively. Expenses directly
attributable to the Portfolio are directly charged. Common expenses of the Fund
or its portfolios are allocated using methods approved by the Board, generally
based on average net assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides administrative services
to the Portfolio, including supervision of services provided by others,
providing information to shareholders and to the Board, and other
administrative services. The Advisor provides investment advisory services to
the Series. For the six months ended April 30, 2013, the Portfolio's
administrative services fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.01% of average daily net assets of the
Portfolio.
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolio pays a monthly Shareholder Servicing Fee to LWIF at an
effective annual rate of 0.19% of its average daily net assets.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2013, the total
related amounts paid by the Fund to the CCO were $123 (in thousands). The total
related amounts paid by the Portfolio is included in Other Expenses on the
Statement of Operations.
D. Federal Income Taxes:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
30
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 foreign
currency gains (losses) and 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)
Undistributed Accumulated
Net Investment Net Realized
Income Gains (Losses)
-------------- --------------
$(3) $3
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
-------------- ------------- ------
2011. $3,005 $4,756 $7,761
2012. 2,327 2,965 5,292
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 (Accumulated
Capital Gains Capital Gains Losses)
-------------- ------------- -------------
$374 $4,488 $4,862
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 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
Portfolio had no capital loss carryforwards available to offset future realized
capital gains.
At April 30, 2013, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
-------- ------------ ------------ --------------
LWAS/DFA International High Book to Market Portfolio. $61,934 $10,336 $(12) $10,324
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.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the
31
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolio
is not aware of any tax positions for which it is more likely than not that the
total amounts of unrecognized tax benefits will significantly change in the
next six months. The Portfolio's federal tax returns for the prior three fiscal
years remains subject to examination by the Internal Revenue Service.
E. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, entered into a
$250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line of credit. There were no borrowings by the Fund
under this line of credit during the six months ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 4,
2013 with its domestic 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. 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 March 3,
2014. There were no borrowings by the Portfolio under this line of credit
during the period ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 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 10, 2014. There were no borrowings by the Portfolio under
this line of credit during the six months ended April 30, 2013.
F. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
G. In-Kind Redemptions:
In accordance with guidelines described in the Portfolio's prospectus, the
Portfolio may distribute portfolio securities rather than cash as payment for a
redemption of fund shares (in-kind redemption). For financial reporting
purposes, the 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.
For the six months ended April 30, 2013, the Portfolio had no in-kind
redemptions.
32
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.
I. Other:
At April 30, 2013, two shareholders held approximately 97% of the
outstanding shares of the Portfolio. One or more of the shareholders is an
omnibus account, which typically hold shares for the benefit of several other
underlying investors.
J. 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.
33
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
-------------------------------
Actual Fund Return................. $1,000.00 $1,184.80 0.11% $0.60
Hypothetical 5% Annual Return...... $1,000.00 $1,024.25 0.11% $0.55
The DFA International Value Series
----------------------------------
Actual Fund Return................. $1,000.00 $1,140.00 0.23% $1.22
Hypothetical 5% Annual Return...... $1,000.00 $1,023.65 0.23% $1.15
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
34
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 27, 2013. 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.
A 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....................... 13.4%
Consumer Staples............................. 7.7%
Energy....................................... 20.3%
Financials................................... 24.0%
Health Care.................................. 7.8%
Industrials.................................. 12.5%
Information Technology....................... 4.9%
Materials.................................... 3.4%
Telecommunication Services................... 5.6%
Utilities.................................... 0.4%
-----
100.0%
The DFA International Value Series
Consumer Discretionary....................... 9.8%
Consumer Staples............................. 5.6%
Energy....................................... 12.0%
Financials................................... 36.3%
Health Care.................................. 1.2%
Industrials.................................. 9.9%
Information Technology....................... 3.5%
Materials.................................... 11.3%
Other........................................ --
Telecommunication Services................... 7.6%
Utilities.................................... 2.8%
-----
100.0%
35
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (96.2%)
Consumer Discretionary -- (12.9%)
Carnival Corp........................ 2,385,423 $ 82,320,948 0.6%
Comcast Corp. Class A................ 10,008,890 413,367,157 3.2%
Comcast Corp. Special Class A........ 3,843,964 151,029,346 1.2%
#* General Motors Co.................... 2,302,737 71,016,409 0.6%
# News Corp. Class A................... 2,241,856 69,430,280 0.5%
Time Warner Cable, Inc............... 1,921,256 180,386,726 1.4%
Time Warner, Inc..................... 4,853,977 290,170,745 2.3%
Other Securities..................... 465,752,512 3.6%
-------------- -----
Total Consumer Discretionary............. 1,723,474,123 13.4%
-------------- -----
Consumer Staples -- (7.4%)
Archer-Daniels-Midland Co............ 3,155,848 107,109,481 0.8%
CVS Caremark Corp.................... 6,004,478 349,340,530 2.7%
Mondelez International, Inc. Class A. 7,330,703 230,550,609 1.8%
Other Securities..................... 305,954,763 2.4%
-------------- -----
Total Consumer Staples................... 992,955,383 7.7%
-------------- -----
Energy -- (19.5%)
Anadarko Petroleum Corp.............. 2,478,744 210,098,341 1.6%
Apache Corp.......................... 1,208,836 89,308,804 0.7%
Chevron Corp......................... 3,863,466 471,381,487 3.7%
ConocoPhillips....................... 5,899,107 356,601,018 2.8%
# Hess Corp............................ 1,567,373 113,132,983 0.9%
Marathon Oil Corp.................... 3,447,108 112,617,018 0.9%
Marathon Petroleum Corp.............. 1,791,952 140,417,359 1.1%
National Oilwell Varco, Inc.......... 1,661,481 108,361,791 0.8%
Occidental Petroleum Corp............ 1,349,242 120,433,341 0.9%
Phillips 66.......................... 2,926,797 178,388,277 1.4%
* Transocean, Ltd...................... 1,261,179 64,912,883 0.5%
Valero Energy Corp................... 2,806,975 113,177,232 0.9%
Other Securities..................... 525,193,006 4.1%
-------------- -----
Total Energy............................. 2,604,023,540 20.3%
-------------- -----
Financials -- (23.1%)
* American International Group, Inc.... 6,622,622 274,309,003 2.1%
# Bank of America Corp................. 38,925,898 479,177,804 3.7%
# Bank of New York Mellon Corp. (The).. 3,040,229 85,795,262 0.7%
Citigroup, Inc....................... 10,372,454 483,978,704 3.8%
# CME Group, Inc....................... 1,599,345 97,336,137 0.8%
Goldman Sachs Group, Inc. (The)...... 786,395 114,868,718 0.9%
# JPMorgan Chase & Co.................. 3,775,507 185,037,598 1.4%
Loews Corp........................... 2,050,343 91,588,822 0.7%
MetLife, Inc......................... 4,759,859 185,586,902 1.4%
Morgan Stanley....................... 6,429,315 142,409,327 1.1%
Prudential Financial, Inc............ 2,287,609 138,217,336 1.1%
# SunTrust Banks, Inc.................. 2,564,707 75,017,680 0.6%
Other Securities..................... 721,595,925 5.6%
-------------- -----
Total Financials......................... 3,074,919,218 23.9%
-------------- -----
Health Care -- (7.5%)
# Aetna, Inc........................... 1,693,713 97,286,875 0.8%
Pfizer, Inc.......................... 9,837,358 285,971,997 2.2%
Thermo Fisher Scientific, Inc........ 1,932,026 155,875,858 1.2%
36
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
# WellPoint, Inc............................. 1,824,634 $ 133,052,311 1.0%
Other Securities........................... 326,119,456 2.6%
--------------- ------
Total Health Care................................ 998,306,497 7.8%
--------------- ------
Industrials -- (12.0%)
CSX Corp................................... 5,517,066 135,664,653 1.1%
# General Electric Co........................ 19,480,526 434,220,925 3.4%
Norfolk Southern Corp...................... 1,681,939 130,215,717 1.0%
# Northrop Grumman Corp...................... 1,364,645 103,358,212 0.8%
Union Pacific Corp......................... 2,173,679 321,617,545 2.5%
Other Securities........................... 478,671,027 3.7%
--------------- ------
Total Industrials................................ 1,603,748,079 12.5%
--------------- ------
Information Technology -- (4.7%)
# Hewlett-Packard Co......................... 5,006,539 103,134,703 0.8%
* Yahoo!, Inc................................ 4,116,468 101,800,254 0.8%
Other Securities........................... 425,616,152 3.3%
--------------- ------
Total Information Technology..................... 630,551,109 4.9%
--------------- ------
Materials -- (3.3%)
# Freeport-McMoRan Copper & Gold, Inc........ 2,348,639 71,469,085 0.6%
International Paper Co..................... 2,224,458 104,505,037 0.8%
Other Securities........................... 267,195,954 2.0%
--------------- ------
Total Materials.................................. 443,170,076 3.4%
--------------- ------
Telecommunication Services -- (5.4%)
AT&T, Inc.................................. 13,051,893 488,923,912 3.8%
# CenturyLink, Inc........................... 2,353,137 88,407,357 0.7%
* Sprint Nextel Corp......................... 13,961,200 98,426,460 0.7%
Other Securities........................... 44,313,466 0.4%
--------------- ------
Total Telecommunication Services................. 720,071,195 5.6%
--------------- ------
Utilities -- (0.4%)
Other Securities........................... 46,400,297 0.4%
--------------- ------
TOTAL COMMON STOCKS.............................. 12,837,619,517 99.9%
--------------- ------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves. 37,139,776 37,139,776 0.3%
--------------- ------
Shares/
Face
Amount
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (3.5%)
(S)@ DFA Short Term Investment Fund............. 40,224,004 465,391,729 3.6%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $9,150,048,349)........................ $13,340,151,022 103.8%
=============== ======
37
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- ------------ ------- ---------------
Common Stocks
Consumer Discretionary...... $ 1,723,474,123 -- -- $ 1,723,474,123
Consumer Staples............ 992,955,383 -- -- 992,955,383
Energy...................... 2,604,023,540 -- -- 2,604,023,540
Financials.................. 3,074,919,218 -- -- 3,074,919,218
Health Care................. 998,306,497 -- -- 998,306,497
Industrials................. 1,603,748,079 -- -- 1,603,748,079
Information Technology...... 630,551,109 -- -- 630,551,109
Materials................... 443,170,076 -- -- 443,170,076
Telecommunication Services.. 720,071,195 -- -- 720,071,195
Utilities................... 46,400,297 -- -- 46,400,297
Temporary Cash Investments.... 37,139,776 -- -- 37,139,776
Securities Lending Collateral. -- $465,391,729 -- 465,391,729
--------------- ------------ -- ---------------
TOTAL......................... $12,874,759,293 $465,391,729 -- $13,340,151,022
=============== ============ == ===============
See accompanying Notes to Financial Statements.
38
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (88.0%)
AUSTRALIA -- (5.0%)
Suncorp Group, Ltd............... 3,736,013 $ 50,317,710 0.6%
Wesfarmers, Ltd.................. 2,584,670 116,279,925 1.4%
Other Securities................. 291,706,689 3.6%
------------ ----
TOTAL AUSTRALIA...................... 458,304,324 5.6%
------------ ----
AUSTRIA -- (0.2%)
Other Securities................. 22,620,434 0.3%
------------ ----
BELGIUM -- (1.1%)
Other Securities................. 97,018,246 1.2%
------------ ----
CANADA -- (8.7%)
Canadian Natural Resources, Ltd.. 1,849,320 54,243,293 0.7%
Goldcorp, Inc.................... 1,686,234 49,911,656 0.6%
# Manulife Financial Corp.......... 4,587,163 67,797,764 0.8%
# Sun Life Financial, Inc.......... 1,565,269 44,155,983 0.6%
Suncor Energy, Inc............... 3,750,370 116,928,008 1.4%
# Thomson Reuters Corp............. 1,832,184 61,378,937 0.8%
Other Securities................. 404,553,580 4.9%
------------ ----
TOTAL CANADA......................... 798,969,221 9.8%
------------ ----
DENMARK -- (1.2%)
Other Securities................. 108,958,158 1.3%
------------ ----
FINLAND -- (0.5%)
Other Securities................. 48,558,445 0.6%
------------ ----
FRANCE -- (8.2%)
# AXA SA........................... 4,004,754 74,995,536 0.9%
BNP Paribas SA................... 1,973,903 110,060,678 1.4%
Cie de St-Gobain................. 1,039,077 41,613,919 0.5%
France Telecom SA................ 3,875,091 41,383,566 0.5%
# GDF Suez......................... 3,247,971 69,637,459 0.9%
* Societe Generale SA.............. 1,823,515 66,242,789 0.8%
Vivendi SA....................... 3,686,124 83,497,667 1.0%
Other Securities................. 259,788,588 3.2%
------------ ----
TOTAL FRANCE......................... 747,220,202 9.2%
------------ ----
GERMANY -- (7.4%)
# Allianz SE....................... 517,629 76,567,951 0.9%
# Allianz SE ADR................... 2,811,910 41,475,672 0.5%
Bayerische Motoren Werke AG...... 663,299 61,335,322 0.8%
Daimler AG....................... 2,088,586 115,801,750 1.4%
Deutsche Bank AG................. 1,538,807 70,835,958 0.9%
# E.ON SE.......................... 3,592,972 65,250,322 0.8%
# Muenchener Rueckversicherungs AG. 395,244 79,169,861 1.0%
Other Securities................. 164,745,466 2.0%
------------ ----
TOTAL GERMANY........................ 675,182,302 8.3%
------------ ----
GREECE -- (0.0%)
Other Securities................. 3,881,280 0.0%
------------ ----
39
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.1%)
Hutchison Whampoa, Ltd.................. 5,818,000 $ 63,182,649 0.8%
Other Securities........................ 129,361,801 1.6%
-------------- -----
TOTAL HONG KONG............................. 192,544,450 2.4%
-------------- -----
IRELAND -- (0.1%)
Other Securities........................ 13,278,889 0.2%
-------------- -----
ISRAEL -- (0.3%)
Other Securities........................ 31,737,065 0.4%
-------------- -----
ITALY -- (1.1%)
* UniCredit SpA........................... 8,189,815 42,805,198 0.5%
Other Securities........................ 55,555,418 0.7%
-------------- -----
TOTAL ITALY................................. 98,360,616 1.2%
-------------- -----
JAPAN -- (17.8%)
Mitsubishi Corp......................... 3,047,600 54,863,679 0.7%
Mitsubishi Heavy Industries, Ltd........ 7,405,000 51,065,254 0.6%
Mitsubishi UFJ Financial Group, Inc..... 22,830,706 154,902,674 1.9%
Mitsui & Co., Ltd....................... 3,522,000 48,521,389 0.6%
Nomura Holdings, Inc.................... 7,769,100 63,494,551 0.8%
Other Securities........................ 1,260,958,457 15.4%
-------------- -----
TOTAL JAPAN................................. 1,633,806,004 20.0%
-------------- -----
NETHERLANDS -- (2.5%)
* ING Groep NV............................ 5,697,333 46,933,717 0.6%
Koninklijke Philips Electronics NV...... 1,957,968 54,192,709 0.7%
Other Securities........................ 125,436,586 1.5%
-------------- -----
TOTAL NETHERLANDS........................... 226,563,012 2.8%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities........................ 6,442,372 0.1%
-------------- -----
NORWAY -- (1.0%)
Other Securities........................ 89,934,209 1.1%
-------------- -----
PORTUGAL -- (0.1%)
Other Securities........................ 6,134,640 0.1%
-------------- -----
SINGAPORE -- (1.2%)
Other Securities........................ 109,000,646 1.3%
-------------- -----
SPAIN -- (1.8%)
Banco Santander SA...................... 8,322,004 60,097,740 0.8%
Other Securities........................ 107,810,382 1.3%
-------------- -----
TOTAL SPAIN................................. 167,908,122 2.1%
-------------- -----
SWEDEN -- (3.1%)
Nordea Bank AB.......................... 5,366,449 64,574,595 0.8%
# Telefonaktiebolaget LM Ericsson Class B. 4,713,081 58,613,629 0.7%
Other Securities........................ 156,800,588 1.9%
-------------- -----
TOTAL SWEDEN................................ 279,988,812 3.4%
-------------- -----
SWITZERLAND -- (6.4%)
Credit Suisse Group AG.................. 1,685,212 46,800,075 0.6%
40
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Holcim, Ltd................................................... 887,877 $ 69,258,838 0.8%
Swiss Re AG................................................... 1,108,107 88,184,915 1.1%
UBS AG........................................................ 5,895,747 105,170,761 1.3%
Zurich Insurance Group AG..................................... 236,698 66,143,271 0.8%
Other Securities.............................................. 212,188,323 2.6%
-------------- ------
TOTAL SWITZERLAND................................................... 587,746,183 7.2%
-------------- ------
UNITED KINGDOM -- (18.1%)
Barclays P.L.C................................................ 11,591,752 51,727,912 0.6%
# Barclays P.L.C. Sponsored ADR................................. 4,591,659 82,558,029 1.0%
# BP P.L.C. Sponsored ADR....................................... 5,486,298 239,202,592 2.9%
# HSBC Holdings P.L.C. Sponsored ADR............................ 1,661,423 91,145,665 1.1%
Kingfisher P.L.C.............................................. 10,285,817 50,118,996 0.6%
* Lloyds Banking Group P.L.C.................................... 82,680,839 70,236,780 0.9%
Old Mutual P.L.C.............................................. 13,164,620 41,989,733 0.5%
# Royal Dutch Shell P.L.C. ADR.................................. 3,323,210 231,926,826 2.8%
Vodafone Group P.L.C.......................................... 34,976,333 106,723,100 1.3%
Vodafone Group P.L.C. Sponsored ADR........................... 8,116,661 248,288,660 3.1%
Xstrata P.L.C................................................. 5,211,952 78,431,883 1.0%
Other Securities.............................................. 366,277,452 4.5%
-------------- ------
TOTAL UNITED KINGDOM................................................ 1,658,627,628 20.3%
-------------- ------
TOTAL COMMON STOCKS................................................. 8,062,785,260 98.9%
-------------- ------
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities.............................................. 26,234,060 0.3%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities.............................................. 1,722,022 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@ DFA Short Term Investment Fund................................ 92,826,275 1,074,000,000 13.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $29,728 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $30,383) to be repurchased at $29,787.... $ 30 29,787 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL................................. 1,074,029,787 13.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,013,442,781)........................................... $9,164,771,129 112.4%
============== ======
41
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks
Australia................... $ 3,531,691 $ 454,772,633 -- $ 458,304,324
Austria..................... -- 22,620,434 -- 22,620,434
Belgium..................... 3,306,779 93,711,467 -- 97,018,246
Canada...................... 798,969,221 -- -- 798,969,221
Denmark..................... -- 108,958,158 -- 108,958,158
Finland..................... 1,353,012 47,205,433 -- 48,558,445
France...................... 5,640,035 741,580,167 -- 747,220,202
Germany..................... 101,938,532 573,243,770 -- 675,182,302
Greece...................... -- 3,881,280 -- 3,881,280
Hong Kong................... -- 192,544,450 -- 192,544,450
Ireland..................... 5,183,802 8,095,087 -- 13,278,889
Israel...................... 2,263,802 29,473,263 -- 31,737,065
Italy....................... 15,633,330 82,727,286 -- 98,360,616
Japan....................... 107,502,998 1,526,303,006 -- 1,633,806,004
Netherlands................. 12,761,638 213,801,374 -- 226,563,012
New Zealand................. -- 6,442,372 -- 6,442,372
Norway...................... 277,936 89,656,273 -- 89,934,209
Portugal.................... -- 6,134,640 -- 6,134,640
Singapore................... -- 109,000,646 -- 109,000,646
Spain....................... 10,049,849 157,858,273 -- 167,908,122
Sweden...................... 11,721,114 268,267,698 -- 279,988,812
Switzerland................. 82,499,635 505,246,548 -- 587,746,183
United Kingdom.............. 944,918,493 713,709,135 -- 1,658,627,628
Preferred Stocks
Germany..................... -- 26,234,060 -- 26,234,060
Rights/Warrants
Spain....................... -- 1,722,022 -- 1,722,022
Securities Lending Collateral. -- 1,074,029,787 -- 1,074,029,787
-------------- -------------- -- --------------
TOTAL......................... $2,107,551,867 $7,057,219,262 -- $9,164,771,129
============== ============== == ==============
See accompanying Notes to Financial Statements.
42
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
The U.S. The DFA
Large Cap International
Value Series Value Series*
------------ -------------
ASSETS:
Investments at Value (including $460,504 and $1,079,372 of securities on loan, respectively). $12,837,620 $8,090,741
Temporary Cash Investments at Value & Cost................................................... 37,140 --
Collateral Received from Securities on Loan at Value & Cost.................................. -- 30
Collateral from Securities on Loan Invested in Affiliate at Value & Cost..................... 465,392 1,074,000
Foreign Currencies at Value.................................................................. -- 17,594
Cash......................................................................................... -- 5,476
Receivables:
Investment Securities Sold................................................................. 39,390 7,780
Dividends, Interest and Tax Reclaims....................................................... 10,844 34,835
Securities Lending Income.................................................................. 170 3,404
Unrealized Gain on Foreign Currency Contracts................................................ -- 3
Prepaid Expenses and Other Assets............................................................ 20 11
----------- ----------
Total Assets............................................................................ 13,390,576 9,233,874
----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................................................... 465,392 1,074,030
Investment Securities Purchased............................................................ 65,772 2,569
Due to Advisor............................................................................. 1,036 1,281
Accrued Expenses and Other Liabilities....................................................... 511 508
----------- ----------
Total Liabilities....................................................................... 532,711 1,078,388
----------- ----------
NET ASSETS................................................................................... $12,857,865 $8,155,486
=========== ==========
Investments at Cost.......................................................................... $ 8,647,517 $6,939,413
=========== ==========
Foreign Currencies at Cost................................................................... $ -- $ 17,474
=========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
43
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
The U.S. The DFA
Large Cap International
Value Series Value Series
------------ -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0 and $8,987, respectively). $ 122,006 $121,813
Interest................................................................. 27 4
Income from Securities Lending........................................... 1,009 6,433
---------- --------
Total Investment Income............................................... 123,042 128,250
---------- --------
Expenses
Investment Advisory Services Fees........................................ 5,788 7,612
Accounting & Transfer Agent Fees......................................... 464 316
Custodian Fees........................................................... 56 596
Shareholders' Reports.................................................... 22 15
Directors'/Trustees' Fees & Expenses..................................... 46 32
Professional Fees........................................................ 181 108
Other.................................................................... 41 51
---------- --------
Total Expenses........................................................ 6,598 8,730
---------- --------
Fees Paid Indirectly..................................................... -- (10)
---------- --------
Net Expenses............................................................. 6,598 8,720
---------- --------
Net Investment Income (Loss)............................................. 116,444 119,530
---------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................................. 469,207 125,856
Foreign Currency Transactions*......................................... -- (1,511)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................. 1,375,405 751,722
Translation of Foreign Currency Denominated Amounts.................... -- 80
---------- --------
Net Realized and Unrealized Gain (Loss).................................. 1,844,612 876,147
---------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations............ $1,961,056 $995,677
========== ========
----------
* Net of foreign capital gain taxes withheld of $0 and $3, respectively.
See accompanying Notes to Financial Statements.
44
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap The DFA International
Value Series Value Series
------------------------ ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012
----------- ----------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................ $ 116,444 $ 212,847 $ 119,530 $ 260,321
Net Realized Gain (Loss) on:
Investment Securities Sold................................ 469,207 408,690 125,856 133,256
Foreign Currency Transactions*............................ -- -- (1,511) (1,249)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 1,375,405 1,049,282 751,722 (157,327)
Translation of Foreign Currency Denominated Amounts....... -- -- 80 (266)
----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 1,961,056 1,670,819 995,677 234,735
----------- ----------- ---------- ----------
Transactions in Interest:
Contributions............................................. 577,674 505,769 277,763 699,069
Withdrawals............................................... (270,017) (922,543) (356,203) (651,462)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest.... 307,657 (416,774) (78,440) 47,607
----------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets.................. 2,268,713 1,254,045 917,237 282,342
Net Assets
Beginning of Period......................................... 10,589,152 9,335,107 7,238,249 6,955,907
----------- ----------- ---------- ----------
End of Period............................................... $12,857,865 $10,589,152 $8,155,486 $7,238,249
=========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $3 and $0, respectively.
See accompanying Notes to Financial Statements.
45
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series
--------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Dec. 1, Year
Ended Year Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007/+/
----------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return...................... 18.48%(C) 18.31% 5.69% 19.96% 11.90% (36.53)%(C) (0.32)%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $12,857,865 $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........................... 0.11%(B) 0.12% 0.12% 0.12% 0.13% 0.11%(B) 0.11%
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)...................... 0.11%(B) 0.12% 0.12% 0.12% 0.13% 0.11%(B) 0.11%
Ratio of Net Investment Income to
Average Net Assets............... 2.03%(B) 2.15% 1.79% 2.02% 2.42% 1.97%(B) 1.44%
Portfolio Turnover Rate........... 9%(C) 10% 14% 28% 29% 19%(C) 9%
----------------------------------------------------------------------------------------------------------------------------------
The DFA International Value Series
------------------------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007/+/
------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return...................... 14.00%(C) 3.17% (8.04)% 11.13% 35.41% (47.87)%(C) 17.32%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $8,155,486 $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........................... 0.23%(B) 0.24% 0.23% 0.24% 0.24% 0.23%(B) 0.23%
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)...................... 0.23%(B) 0.24% 0.23% 0.24% 0.24% 0.23%(B) 0.23%
Ratio of Net Investment Income to
Average Net Assets............... 3.16%(B) 3.75% 3.47% 2.55% 3.22% 4.15%(B) 3.04%
Portfolio Turnover Rate........... 7%(C) 14% 9% 20% 18% 16%(C) 16%
------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
46
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940, The
Trust consists of eleven portfolios, two of which, The U.S. Large Cap Value
Series and The DFA International Value Series (the "Series"), are presented in
this section of the report. The remaining operational portfolios are presented
in separate reports.
Effective December 31, 2008, The U.S. Large Cap Value Series and on
November 1, 2008, The DFA International Value Series, respectively, each a
master fund in a RIC/RIC master-feeder structure, elected with the consent of
their respective holder(s) to change their U.S. federal income tax
classification from that of an association taxable as a corporation to a
partnership pursuant to Treasury Regulation (S) 301.7701-3. The change in
capital structure and retroactive reclassification of the statement of changes
in net assets and financial highlights for the respective Series is a result of
the treatment of a partnership for book purposes. Each Series will maintain its
books and records and present its financial statements in accordance with
generally accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices which approximate fair value. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Generally, securities issued by open-end investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
47
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 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.
The DFA International Value Series (the "International Series") 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 Series is computed. Due to the time differences between the
closings of the relevant foreign securities exchanges and the time the
International Series prices its shares at the close of the NYSE, the
International Series will fair value its foreign investments when it is
determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Series' foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Directors/Trustees of the International Series has determined that movements in
relevant indices or other appropriate market indicators, after the close of the
Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable. Fair valuation of portfolio securities may occur
on a daily basis. The fair value pricing by the International Series utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). The fair
value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of the International Series. When the International Series uses
fair value pricing, the values assigned to the International Series' foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges. These securities are generally categorized
as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules 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.
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Series.
2. Foreign Currency Translation: Securities and other assets and
liabilities of the International Series whose values are initially expressed in
foreign currencies, are translated to U.S. dollars using the mean between the
most recent 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 Series does not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the International Series'
books 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.
48
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 April 30, 2013, 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 gains 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 the Trust or Series are allocated
using methods approved by the Board of Directors/Trustees, generally based on
average net assets.
The International Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales of foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to each Series. For the six months ended April 30, 2013, the
investment advisory services fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.10% and 0.20% of average daily
net assets for The U.S. Large Cap Value Series and The DFA International Value
Series, respectively.
Earned Income Credit:
In addition, the Series entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2013, expenses reduced were as follows (amounts in
thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series. $10
49
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2013, the total
related amounts paid by the Trust to the CCO were $28 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. Deferred Compensation:
At April 30, 2013, 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.... $278
The DFA International Value Series. 213
E. Purchases and Sales of Securities:
For the six months ended April 30, 2013, the Series made the following
purchases and sales of investment securities, other than short-term investments
and U.S. government securities (amounts in thousands):
Purchases Sales
---------- ----------
The U.S. Large Cap Value Series.... $1,428,361 $1,029,781
The DFA International Value Series. 581,405 544,320
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2013, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
---------- ------------ ------------ --------------
The U.S. Large Cap Value Series.... $9,150,245 $4,325,142 $(135,235) $4,189,907
The DFA International Value Series. 8,018,298 1,779,021 (632,548) 1,146,473
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next six months.
Each of the Series' federal tax returns for the prior three fiscal years
remains subject to examination by the Internal Revenue Service.
50
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 Market 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 government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
H. Line of Credit:
The Trust, together with other Dimensional-advised portfolios, entered into
a $250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line of credit. There were no borrowings by the
Series under this line of credit during the six months ended April 30, 2013.
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 4,
2013 with its domestic 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. 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 March 3,
2014. There were no borrowings by the Series under this line of credit during
the period ended April 30, 2013.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 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 10, 2014.
51
For the six months ended April 30, 2013, borrowings under this line of
credit by the Series were as follows (amounts in thousands, except percentages
and days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred The Period
------------- ------------ ------------ -------- ---------------
The U.S. Large Cap Value Series.... 0.92% $7,286 12 $2 $19,170
The DFA International Value Series. 0.94% 6,138 27 4 20,182
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2013 that each Series' available line
of credit was utilized.
There were no outstanding borrowings by the Series under this line of credit as
of April 30, 2013.
I. Securities Lending:
As of April 30, 2013, each Series had securities on loan to brokers/dealers,
for which each such Series received cash collateral. Each Series invests the
cash collateral, as described below, and records a liability for the return of
the collateral, during the period the securities are on loan. In addition, The
U.S. Large Cap Value Series and The DFA International Value Series received
non-cash collateral consisting of short and/or long term U.S. Treasury
securities with a market value of $4,855 and $58,525 (in thousands),
respectively. Loans of securities are expected at all times to be secured by
collateral equal to at least (i) 100% of the current market value of the loaned
securities with respect to securities of the U.S. government or its agencies,
(ii) 102% of the current market value of the loaned securities with respect to
U.S. securities, and (iii) 105% of the current market value of the loaned
securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. 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 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.
52
K. In-Kind Redemptions:
In accordance with guidelines described in the Series' registration
statement, the Series may distribute portfolio securities rather than cash as
payment for a redemption of fund shares (in-kind redemption). For financial
reporting purposes, a Series 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.
For the six months ended April 30, 2013, the Series had no in-kind
redemptions.
L. 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.
M. 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 buyout transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
On November 1, 2010 a class action complaint was filed in Bankruptcy Court
in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in
this action include mutual funds, individuals, institutional investors and
others who owned shares in Tribune at the time of the 2007 leveraged buyout
transaction (the "LBO") and sold their shares for $34 per share in cash, such
as The U.S. Large Cap Value Series. Thereafter, two additional and
substantially similar class actions were filed and are pending in United States
District Courts (with the Bankruptcy Court action, collectively referred to as
the "Lawsuits"). The Lawsuits have been consolidated into a single
Multidistrict Litigation action in federal court for pretrial proceedings. The
Lawsuits seek to recover, for the benefit of Tribune's bankruptcy estate or
various creditors, payments to shareholders in the LBO. The Lawsuits allege
that Tribune's payment for those shares violated the rights of creditors, as
set forth in the Bankruptcy Code's and various states' fraudulent transfer
laws. However, the Lawsuits proceed on different legal theories: the Bankruptcy
Court action pleads an intentionally fraudulent transfer; the District Court
actions plead constructively fraudulent transfers.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does
not believe that it is possible, at this early stage in the proceedings, to
predict with any reasonable certainty the probable outcome of the Lawsuits or
quantify the ultimate exposure to The U.S. Large Cap Value Series arising from
the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of
the net asset value of The U.S. Large Cap Value Series will be made relating to
the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain
the full recovery they seek, the amount would be less than 1% of The U.S. Large
Cap Value Series' net asset value at this time.
The U.S. Large Cap Value Series also cannot predict what its size might be
at the time the cost of the Lawsuits might be quantifiable and thus potentially
deducted from its net asset value. Therefore, at this time, those buying or
redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the
case may be, a price based on the 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.
53
N. 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.
54
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust
uses in voting proxies relating to securities held in the portfolio is
available without charge, upon request, by calling collect: (512) 306-7400.
Information regarding how the Advisor votes these proxies is available from the
EDGAR database on the SEC's website at http://www.sec.gov and from the
Advisor's website at http://www.dimensional.com and reflects the twelve-month
period beginning July 1st and ending June 30th.
55
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 14, 2012 (the "Meeting"), the Board of
Directors of Dimensional Investment Group Inc. and the Board of Trustees of The
DFA Investment Trust Company (together, the "Board") considered the
continuation of the investment advisory/management agreements for each
portfolio or series (collectively, the "Funds") and the sub-advisory agreements
for The DFA International Value Series. For The DFA International Value Series,
Dimensional Fund Advisors Ltd. and DFA Australia Limited each serves as a
sub-advisor. (The investment advisory/management agreements and the
sub-advisory agreements are referred to as the "Advisory Agreements," and the
Advisor and sub-advisors are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that the performance of each Fund was reasonable as
compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including
56
administrative fees paid by the feeder portfolios. The Board considered the
profitability to the Advisor of managing the Funds and other "non-1940 Act
registered" investment vehicles. Upon closely examining the Advisor's
profitability, the Board concluded, among other things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
57
[LOGO] DFA043013-003S
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2013 (Unaudited)
Dimensional Investment Group Inc.
Global Equity Portfolio
Global Allocation 60/40 Portfolio
Global Allocation 25/75 Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2013
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
Chairman and Co-Chief Executive Officer
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes............................ 1
Disclosure of Fund Expenses........................................... 2
Disclosure of Portfolio Holdings...................................... 4
Schedules of Investments
Global Equity Portfolio............................................ 5
Global Allocation 60/40 Portfolio.................................. 6
Global Allocation 25/75 Portfolio.................................. 7
Statements of Assets and Liabilities.................................. 8
Statements of Operations.............................................. 9
Statements of Changes in Net Assets................................... 10
Financial Highlights.................................................. 11
Notes to Financial Statements......................................... 15
Voting Proxies on Fund Portfolio Securities........................... 25
Board Approval of Investment Advisory Agreements...................... 26
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments
------------------------
Investment Footnotes
+ See Note B to Financial Statements.
Financial Highlights
--------------------
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
N/A Does not apply to this fund.
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
Global Equity Portfolio**
-------------------------
Actual Fund Return
Class R2 Shares.............. $1,000.00 $1,153.70 0.60% $3.20
Institutional Class Shares... $1,000.00 $1,155.60 0.32% $1.71
Hypothetical 5% Annual Return
Class R2 Shares.............. $1,000.00 $1,021.82 0.60% $3.01
Institutional Class Shares... $1,000.00 $1,023.21 0.32% $1.61
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
Global Allocation 60/40 Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,095.00 0.55% $2.86
Institutional Class Shares......... $1,000.00 $1,096.90 0.30% $1.56
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.07 0.55% $2.76
Institutional Class Shares......... $1,000.00 $1,023.31 0.30% $1.51
Global Allocation 25/75 Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,041.60 0.57% $2.89
Institutional Class Shares......... $1,000.00 $1,043.20 0.27% $1.37
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,021.97 0.57% $2.86
Institutional Class Shares......... $1,000.00 $1,023.46 0.27% $1.35
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the indirect payment of the Fund of Funds'
portion of the expenses of its Master Funds (Affiliated Investment Companies).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 27, 2013. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
Affiliated Investment Companies
-------------------------------
Global Equity Portfolio........... 100.0%
Global Allocation 60/40 Portfolio. 100.0%
Global Allocation 25/75 Portfolio. 100.0%
4
GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Shares Value+
---------- --------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc.................... 86,834,131 $1,192,232,612
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 59,863,605 692,023,272
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc.................... 28,686,503 399,316,125
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 10,578,406 216,222,622
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc.................... 1,278,216 38,589,347
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company....................... 979
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $1,859,473,645)............................... 2,538,384,957
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional Liquid Reserves
(Cost $3,315,745)...................................... 3,315,745 3,315,745
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,862,789,390)............................... $2,541,700,702
==============
Summary of the Global Fund's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------- ------- --------------
Affiliated Investment Companies. $2,538,384,957 -- -- $2,538,384,957
Temporary Cash Investments...... 3,315,745 -- -- 3,315,745
-------------- -- -- --------------
TOTAL........................... $2,541,700,702 -- -- $2,541,700,702
============== == == ==============
See accompanying Notes to Financial Statements.
5
GLOBAL ALLOCATION 60/40 PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Shares Value+
---------- --------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................. 33,644,919 $ 461,944,735
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 23,267,713 268,974,767
Investment in DFA Selectively Hedged Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 23,383,579 241,552,370
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 14,607,485 159,951,961
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................. 11,147,034 155,166,708
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 4,077,289 83,339,791
Investment in DFA Intermediate-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 7,215,161 80,088,283
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 7,105,933 79,941,751
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 3,776,083 40,139,761
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 3,103,261 39,938,968
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 491,779 14,846,803
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $1,362,131,835)............................................ 1,625,885,898
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,362,131,835)............................................ $1,625,885,898
==============
Summary of the Global Fund's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
---------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------- ------- --------------
Affiliated Investment Companies. $1,625,885,898 -- -- $1,625,885,898
-------------- -- -- --------------
TOTAL........................... $1,625,885,898 -- -- $1,625,885,898
============== == == ==============
See accompanying Notes to Financial Statements.
6
GLOBAL ALLOCATION 25/75 PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
Shares Value+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in DFA Two-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................ 14,374,973 $144,755,974
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................ 13,219,724 144,755,974
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................ 4,254,547 58,414,930
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 4,083,812 52,558,663
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 2,947,834 34,076,956
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 1,407,342 19,590,203
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................ 1,802,136 19,156,709
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 509,677 10,417,792
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 66,945 2,021,066
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $439,258,267)............................................. 485,748,267
------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional Liquid Reserves
(Cost $527,750).................................................... 527,750 527,750
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $439,786,017)............................................. $486,276,017
============
Summary of the Global Fund's investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
-----------------------------------------
Level 1 Level 2 Level 3 Total
------------ ------- ------- ------------
Affiliated Investment Companies. $485,748,267 -- -- $485,748,267
Temporary Cash Investments...... 527,750 -- -- 527,750
------------ -- -- ------------
TOTAL........................... $486,276,017 -- -- $486,276,017
============ == == ============
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Global Global
Global Equity Allocation Allocation
Portfolio 60/40 Portfolio 25/75 Portfolio
------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Companies at Value..................... $ 2,538,385 $ 1,625,886 $ 485,748
Temporary Cash Investments at Value & Cost.................................. 3,316 -- 528
Receivables:
Affiliated Investment Companies Sold...................................... -- 525 --
Fund Shares Sold.......................................................... 2,136 2,107 574
Prepaid Expenses and Other Assets........................................... 53 30 22
------------ ------------ ------------
Total Assets........................................................... 2,543,890 1,628,548 486,872
------------ ------------ ------------
LIABILITIES:
Payables:
Affiliated Investment Companies Purchased................................. 2,868 -- 378
Fund Shares Redeemed...................................................... 982 443 111
Due to Advisor............................................................ 9 24 12
Loan Payable.............................................................. -- 225 --
Accrued Expenses and Other Liabilities...................................... 119 74 24
------------ ------------ ------------
Total Liabilities...................................................... 3,978 766 525
------------ ------------ ------------
NET ASSETS.................................................................. $ 2,539,912 $ 1,627,782 $ 486,347
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $4,919; $12,797 and $2,502 and
shares outstanding of 311,968; 881,195 and 198,992, respectively........... $ 15.77 $ 14.52 $ 12.57
============ ============ ============
NUMBER OF SHARES AUTHORIZED................................................. 500,000,000 300,000,000 300,000,000
============ ============ ============
Institutional Class Shares -- based on net assets of $2,534,993; $1,614,985
and $483,845 and shares outstanding of 162,020,735; 111,752,006 and
38,652,111, respectively................................................... $ 15.65 $ 14.45 $ 12.52
============ ============ ============
NUMBER OF SHARES AUTHORIZED................................................. 700,000,000 500,000,000 300,000,000
============ ============ ============
Investments in Affiliated Investment Companies at Cost...................... $ 1,859,474 $ 1,362,132 $ 439,258
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................. $ 2,074,144 $ 1,398,636 $ 443,542
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)......................................................... 31 (167) (170)
Accumulated Net Realized Gain (Loss)........................................ (213,174) (34,441) (3,515)
Net Unrealized Appreciation (Depreciation).................................. 678,911 263,754 46,490
------------ ------------ ------------
NET ASSETS.................................................................. $ 2,539,912 $ 1,627,782 $ 486,347
============ ============ ============
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
Global Global
Allocation Allocation
Global Equity 60/40 25/75
Portfolio* Portfolio Portfolio
------------- ---------- ----------
Investment Income
Net Investment Income Received from Affiliated Investment Companies:
Income Distributions...................................................... $ 21,189 $ 16,546 $ 3,835
-------- -------- -------
Total Investment Income Received from Affiliated Investment Companies.... 21,189 16,546 3,835
-------- -------- -------
Fund Investment Income
Interest.................................................................... 1 1 --
-------- -------- -------
Fund Expenses
Administrative Services Fees................................................ 3,482 1,862 448
Accounting & Transfer Agent Fees............................................ 19 15 11
Shareholder Servicing Fees -- Class R2 Shares............................... 6 15 3
Filing Fees................................................................. 39 35 29
Shareholders' Reports....................................................... 56 31 7
Directors'/Trustees' Fees & Expenses........................................ 9 6 2
Professional Fees........................................................... 23 16 6
Other....................................................................... 9 7 1
-------- -------- -------
Total Expenses............................................................ 3,643 1,987 507
-------- -------- -------
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered
by Advisor (Note C)........................................................ (3,433) (1,721) (379)
-------- -------- -------
Net Expenses................................................................ 210 266 128
-------- -------- -------
Net Investment Income (Loss)................................................ 20,980 16,281 3,707
-------- -------- -------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment Companies.... 7,950 4,799 1,410
Net Realized Gain (Loss) on:
Affiliated Investment Companies Shares Sold............................... (10,308) (409) 677
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares.................................... 316,601 117,862 13,249
-------- -------- -------
Net Realized and Unrealized Gain (Loss)..................................... 314,243 122,252 15,336
-------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations............... $335,223 $138,533 $19,043
======== ======== =======
----------
* Investment Income and a portion of Realized and Unrealized Gain (Loss) were
allocated from the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Global Allocation 60/40 Global Allocation 25/75
Global Equity Portfolio Portfolio Portfolio
---------------------- ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- ---------- ----------- ---------- ----------- --------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............... $ 20,980 $ 40,634 $ 16,281 $ 27,742 $ 3,707 $ 6,136
Capital Gain Distributions Received
from Affiliated Investment
Companies................................. 7,950 -- 4,799 2,141 1,410 902
Net Realized Gain (Loss) on:
Investment Securities Sold/Affiliated
Investment Companies Shares
Sold.................................... (10,308) (14,803) (409) (4,628) 677 (271)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities/Affiliated
Investment Companies Shares............. 316,601 180,403 117,862 77,591 13,249 11,974
---------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 335,223 206,234 138,533 102,846 19,043 18,741
---------- ---------- ---------- ---------- -------- --------
Distributions From:
Net Investment Income:
Class R2 Shares............................ (34) (71) (127) (130) (19) (19)
Institutional Class Shares................. (20,907) (40,678) (16,600) (27,735) (3,885) (6,199)
Net Long-Term Gains:
Class R2 Shares............................ -- -- -- (1) -- --
Institutional Class Shares................. -- -- -- (405) -- (202)
---------- ---------- ---------- ---------- -------- --------
Total Distributions..................... (20,941) (40,749) (16,727) (28,271) (3,904) (6,420)
---------- ---------- ---------- ---------- -------- --------
Capital Share Transactions:
Shares Issued.............................. 331,639 519,662 305,250 424,982 86,415 185,547
Shares Issued in Lieu of Cash
Distributions............................. 20,374 39,469 15,821 26,626 3,833 6,299
Shares Redeemed............................ (274,388) (394,201) (189,820) (284,756) (39,168) (84,660)
---------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) from
Capital Share Transactions............. 77,625 164,930 131,251 166,852 51,080 107,186
---------- ---------- ---------- ---------- -------- --------
Total Increase (Decrease) in Net
Assets................................. 391,907 330,415 253,057 241,427 66,219 119,507
Net Assets
Beginning of Period........................ 2,148,005 1,817,590 1,374,725 1,133,298 420,128 300,621
---------- ---------- ---------- ---------- -------- --------
End of Period.............................. $2,539,912 $2,148,005 $1,627,782 $1,374,725 $486,347 $420,128
========== ========== ========== ========== ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income).......................... $ 31 $ (8) $ (167) $ 279 $ (170) $ 27
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Class R2 Shares
Global Equity Portfolio
--------------------------------------------------------------------- -------------
Six Period Six
Months Year Year Year Year Dec. 1, Year Months
Ended Ended Ended Ended Ended 2007 to Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, April 30,
2013 2012 2011 2010 2009 2008 2007 2013
--------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period............................. $13.78 $12.67 $12.71 $10.82 $ 9.17 $ 15.49 $ 14.76 $ 13.40
------ ------ ------ ------ ------ ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.11 0.24 0.22 0.15 0.17 0.24 0.22 0.14
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 2.00 1.10 (0.04) 1.91 1.64 (6.06) 0.86 1.12
------ ------ ------ ------ ------ ------- ------- -------
Total from Investment
Operations...................... 2.11 1.34 0.18 2.06 1.81 (5.82) 1.08 1.26
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.12) (0.23) (0.22) (0.17) (0.16) (0.18) (0.18) (0.14)
Net Realized Gains................ -- -- -- -- -- (0.32) (0.17) --
------ ------ ------ ------ ------ ------- ------- -------
Total Distributions.............. (0.12) (0.23) (0.22) (0.17) (0.16) (0.50) (0.35) (0.14)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $15.77 $13.78 $12.67 $12.71 $10.82 $ 9.17 $ 15.49 $ 14.52
=================================== =========== ======== ======== ======== ======== ======== ======== ===========
Total Return........................ 15.37%(C) 10.78% 1.34% 19.21% 20.06% (38.72)%(C) 7.42% 9.50%(C)
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $4,919 $4,055 $4,294 $3,483 $6,782 $ 6,819 $27,904 $12,797
Ratio of Expenses to Average Net
Assets (D)......................... 0.60%(B) 0.60% 0.60% 0.59% 0.62% 0.60%(B) 0.58% 0.55%(B)
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumptions of Expenses and/or
Recovery of Previously Waived
Fees) (D).......................... 0.90%(B) 0.90% 0.90% 0.89% 0.91% 0.87%(B) 0.84% 0.78%(B)
Ratio of Net Investment Income to
Average Net Assets................. 1.52%(B) 1.85% 1.61% 1.32% 1.83% 1.99%(B) 1.38% 1.98%(B)
--------------------------------------------------------------------------------------------------------------------------
Global Allocation 60/40 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............................. $ 12.66 $12.51 $11.13 $ 9.55 $ 13.16 $12.65
------- ------ ------ ------ ------- ------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.21 0.23 0.17 0.14 0.30 0.22
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 0.78 0.16 1.37 1.60 (3.60) 0.60
------- ------ ------ ------ ------- ------
Total from Investment
Operations...................... 0.99 0.39 1.54 1.74 (3.30) 0.82
----------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.25) (0.23) (0.16) (0.12) (0.18) (0.22)
Net Realized Gains................ -- (0.01) -- (0.04) (0.13) (0.09)
------- ------ ------ ------ ------- ------
Total Distributions.............. (0.25) (0.24) (0.16) (0.16) (0.31) (0.31)
----------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 13.40 $12.66 $12.51 $11.13 $ 9.55 $13.16
=================================== ======== ======== ======== ======== ======== ========
Total Return........................ 8.05% 3.13% 14.01% 18.46% (25.63)%(C) 6.50%
----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $11,403 $3,353 $3,748 $5,187 $ 5,081 $7,631
Ratio of Expenses to Average Net
Assets (D)......................... 0.56% 0.58% 0.58% 0.60% 0.59%(B) 0.57%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumptions of Expenses and/or
Recovery of Previously Waived
Fees) (D).......................... 0.79% 0.81% 0.81% 0.83% 0.80%(B) 0.76%
Ratio of Net Investment Income to
Average Net Assets................. 1.60% 1.76% 1.44% 1.42% 2.78%(B) 1.67%
----------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Class R2 Shares
Global Allocation 25/75 Portfolio
---------------------------------------------------------------------
Six Period
Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
--------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period. $12.16 $11.78 $11.65 $10.95 $10.04 $11.42 $11.11
------ ------ ------ ------ ------ ------ ------
Income from
Investment
Operations
-----------
Net Investment
Income (Loss) (A). 0.09 0.14 0.16 0.22 0.15 0.30 0.19
Net Gains (Losses)
on Securities
(Realized and
Unrealized)....... 0.41 0.43 0.15 0.72 1.06 (1.39) 0.41
------ ------ ------ ------ ------ ------ ------
Total from
Investment
Operations....... 0.50 0.57 0.31 0.94 1.21 (1.09) 0.60
--------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment
Income............ (0.09) (0.18) (0.16) (0.24) (0.14) (0.21) (0.20)
Net Realized Gains.. -- (0.01) (0.02) -- (0.16) (0.08) (0.09)
------ ------ ------ ------ ------ ------ ------
Total
Distributions.... (0.09) (0.19) (0.18) (0.24) (0.30) (0.29) (0.29)
--------------------------------------------------------------------------------------------
Net Asset Value,
End of Period....... $12.57 $12.16 $11.78 $11.65 $10.95 $10.04 $11.42
==================== =========== ======== ======== ======== ======== ======== ========
Total Return......... 4.16%(C) 4.86% 2.71% 8.70% 12.19% (9.72)%(C) 5.47%
--------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands).. $2,502 $2,449 $ 408 $ 418 $1,701 $1,342 $1,564
Ratio of Expenses
to Average Net
Assets (D).......... 0.57%(B) 0.59% 0.77% 0.63% 0.62% 0.62%(B) 0.62%
Ratio of Expenses
to Average Net
Assets (Excluding
Waivers and
Assumptions of
Expenses and/or
Recovery of
Previously Waived
Fees) (D)........... 0.74%(B) 0.76% 0.94% 0.78% 0.77% 0.78%(B) 0.71%
Ratio of Net
Investment Income
to Average Net
Assets.............. 1.41%(B) 1.14% 1.35% 1.93% 1.49% 3.00%(B) 1.66%
--------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Institutional Class Shares
Global Equity Portfolio
---------------------------------------------------------------------------------------
Six Period
Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
---------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period....... $ 13.67 $ 12.58 $ 12.62 $ 10.74 $ 9.14 $ 15.48 $ 14.78
---------- ---------- ---------- ---------- ---------- -------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).............. 0.13 0.27 0.25 0.17 0.20 0.27 0.27
Net Gains (Losses) on
Securities (Realized
and Unrealized)......... 1.98 1.09 (0.04) 1.91 1.61 (6.02) 0.85
---------- ---------- ---------- ---------- ---------- -------- ----------
Total from Investment
Operations............. 2.11 1.36 0.21 2.08 1.81 (5.75) 1.12
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment
Income.................. (0.13) (0.27) (0.25) (0.20) (0.21) (0.27) (0.25)
Net Realized Gains....... -- -- -- -- -- (0.32) (0.17)
---------- ---------- ---------- ---------- ---------- -------- ----------
Total Distributions..... (0.13) (0.27) (0.25) (0.20) (0.21) (0.59) (0.42)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period.................... $ 15.65 $ 13.67 $ 12.58 $ 12.62 $ 10.74 $ 9.14 $ 15.48
========================== =========== ========== ========== ========== ========== ======== ==========
Total Return............... 15.56%(C) 11.00% 1.62% 19.58% 20.30% (38.50)%(C) 7.67%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)............... $2,534,993 $2,143,950 $1,813,296 $1,628,464 $1,279,862 $978,901 $1,218,439
Ratio of Expenses to
Average Net
Assets (D)................ 0.32%(B) 0.33% 0.33% 0.33% 0.35% 0.34%(B) 0.33%
Ratio of Expenses to
Average Net Assets
(Excluding Waivers and
Assumptions of
Expenses and/or
Recovery of Previously
Waived Fees (D)........... 0.62%(B) 0.63% 0.63% 0.63% 0.64% 0.61%(B) 0.59%
Ratio of Net Investment
Income to Average Net
Assets.................... 1.82%(B) 2.05% 1.90% 1.50% 2.17% 2.26%(B) 1.70%
---------------------------------------------------------------------------------------------------------------------
Global Allocation 60/40 Portfolio
---------------------------------------------------------------------------------
Six Period
Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
--------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period....... $ 13.33 $ 12.59 $ 12.45 $ 11.08 $ 9.53 $ 13.17 $ 12.67
---------- ---------- ---------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A).............. 0.15 0.28 0.26 0.19 0.18 0.27 0.25
Net Gains (Losses) on
Securities (Realized
and Unrealized)......... 1.13 0.75 0.16 1.37 1.59 (3.54) 0.60
---------- ---------- ---------- -------- -------- -------- --------
Total from Investment
Operations............. 1.28 1.03 0.42 1.56 1.77 (3.27) 0.85
--------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment
Income.................. (0.16) (0.29) (0.27) (0.19) (0.18) (0.24) (0.26)
Net Realized Gains....... -- -- (0.01) -- (0.04) (0.13) (0.09)
---------- ---------- ---------- -------- -------- -------- --------
Total Distributions..... (0.16) (0.29) (0.28) (0.19) (0.22) (0.37) (0.35)
--------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period.................... $ 14.45 $ 13.33 $ 12.59 $ 12.45 $ 11.08 $ 9.53 $ 13.17
========================== =========== ========== ========== ======== ======== ======== ========
Total Return............... 9.69%(C) 8.37% 3.34% 14.27% 18.95% (25.47)%(C) 6.79%
--------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)............... $1,614,985 $1,363,322 $1,129,945 $932,866 $730,400 $587,524 $761,093
Ratio of Expenses to
Average Net
Assets (D)................ 0.30%(B) 0.30% 0.31% 0.31% 0.33% 0.32%(B) 0.31%
Ratio of Expenses to
Average Net Assets
(Excluding Waivers and
Assumptions of
Expenses and/or
Recovery of Previously
Waived Fees (D)........... 0.53%(B) 0.53% 0.54% 0.54% 0.56% 0.53%(B) 0.51%
Ratio of Net Investment
Income to Average Net
Assets.................... 2.20%(B) 2.18% 2.03% 1.64% 1.82% 2.44%(B) 1.90%
--------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Institutional Class Shares
Global Allocation 25/75 Portfolio
----------------------------------------------------------------------------
Period
Six Months Year Year Year Year Dec. 1, Year
Ended Ended Ended Ended Ended 2007 to Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30,
2013 2012 2011 2010 2009 2008 2007
--------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value,
Beginning of Period...... $ 12.11 $ 11.73 $ 11.60 $ 10.90 $ 10.01 $ 11.46 $ 11.15
-------- -------- -------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.10 0.20 0.21 0.24 0.18 0.31 0.24
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.42 0.41 0.16 0.74 1.06 (1.37) 0.40
-------- -------- -------- -------- -------- -------- --------
Total from Investment
Operations............ 0.52 0.61 0.37 0.98 1.24 (1.06) 0.64
--------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.11) (0.22) (0.22) (0.28) (0.19) (0.31) (0.24)
Net Realized Gains....... -- (0.01) (0.02) -- (0.16) (0.08) (0.09)
-------- -------- -------- -------- -------- -------- --------
Total Distributions.... (0.11) (0.23) (0.24) (0.28) (0.35) (0.39) (0.33)
--------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 12.52 $ 12.11 $ 11.73 $ 11.60 $ 10.90 $ 10.01 $ 11.46
======================== =========== ======== ======== ======== ======== ======== ========
Total Return.............. 4.32%(C) 5.22% 3.23% 9.17% 12.67% (9.55)%(C) 5.85%
--------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $483,845 $417,679 $300,213 $232,241 $160,605 $126,169 $136,039
Ratio of Expenses to
Average Net Assets (D)... 0.27%(B) 0.28% 0.28% 0.29% 0.31% 0.30%(B) 0.31%
Ratio of Expenses to
Average Net Assets
(Excluding Waivers and
Assumptions of Expenses
and/or Recovery of
Previously Waived
Fees (D)................. 0.44%(B) 0.45% 0.45% 0.46% 0.46% 0.46%(B) 0.46%
Ratio of Net Investment
Income to Average Net
Assets................... 1.67%(B) 1.71% 1.83% 2.19% 1.81% 3.03%(B) 2.15%
--------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers fifteen portfolios,
three of which, Global Equity Portfolio, Global Allocation 60/40 Portfolio and
Global Allocation 25/75 Portfolio (each a "Global Fund" and collectively, the
"Global Funds"), are presented in this report. The remaining operational
portfolios are presented in separate reports.
The Global Funds achieve their investment objectives by primarily investing
in other portfolios within DFA Investment Dimensions Group Inc. ("IDG") and The
DFA Investment Trust Company ("ITC") (collectively, the "Master Funds").
Global Funds (Percentage of Ownership at April 30, 2013)
- ------------------------------------------------------------
Global Equity Global Allocation 60/40 Global Allocation 25/75
Master Funds Portfolio Portfolio Portfolio
------------ ------------- ----------------------- -----------------------
U.S. Core Equity 1 Portfolio (IDG)................... 7% 3% --
U.S. Core Equity 2 Portfolio (IDG)................... 14% 5% 1%
DFA Real Estate Securities Portfolio (IDG)........... 1% -- --
International Core Equity Portfolio (IDG)............ 9% 3% --
Emerging Markets Core Equity Portfolio (IDG)......... 2% 1% --
DFA Two-Year Global Fixed Income Portfolio (IDG)..... N/A N/A 3%
DFA Selectively Hedged Global Fixed Income Portfolio
(IDG).............................................. N/A 26% N/A
DFA Five-Year Global Fixed Income Portfolio (IDG).... N/A 1% N/A
DFA Inflation-Protected Securities Portfolio (IDG)... N/A 1% 2%
DFA Short-Term Extended Quality Portfolio (IDG)...... N/A 7% 6%
DFA Intermediate-Term Extended Quality Portfolio
(IDG).............................................. N/A 7% N/A
The Canadian Small Company Series (ITC).............. -- N/A N/A
DFA World ex U.S. Government Fixed Income Portfolio
(IDG).............................................. N/A 21% 10%
N/A -- Global Fund does not have any ownership in Master Fund.
Amounts designated as -- are less than 1%.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Global Funds from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the 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.
15
1. Security Valuation: The Global Funds utilize a fair value hierarchy
which prioritizes the inputs to valuation techniques used to measure fair value
into three broad levels 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 Global Funds'
own assumptions in determining the fair value of investments)
Most Master Fund shares held by the Global Funds are valued at their
respective daily net asset values, as these Master Funds are treated as
regulated investment companies. The Global Equity Portfolio's investment in The
Canadian Small Company 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 Global Funds' net assets by each
major security type is disclosed previously in this 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.
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Global
Funds.
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 April 30, 2013, 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 affiliated
investment company shares are on the basis of identified cost. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received from the investment in affiliated investment companies
that represent a return of capital or capital gains are recorded as a reduction
of cost of investments or as a realized gain, respectively. The Global Funds
estimate the character of distributions received that may be considered return
of capital distributions. Interest income is recorded on the accrual basis.
Expenses directly attributable to a Global Fund are directly charged. Common
expenses of the Fund or Global Funds are allocated using methods approved by
the Board, generally based on average net assets.
Class R2 Shares and Institutional Class Shares have equal rights to the
assets and earnings of its Global Fund. Income, gains and losses, and common
expenses of each Global Fund are allocated to each class of shares based on its
relative net assets. Each class will bear its own class-specific expenses, if
any.
16
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Master Funds. The Advisor also provides administrative services
to the Global Funds, including supervision of services provided by others,
providing information to shareholders and the Board, and other administrative
services. For the six months ended April 30, 2013, the Global Equity Portfolio,
Global Allocation 60/40 Portfolio and Global Allocation 25/75 Portfolio's
administrative services fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.30%, 0.25%, and 0.20%, respectively, of
average daily net assets. The Global Funds do not pay separate management fees
to the Advisor.
Pursuant to a Fee Waiver and Expense Assumption Agreement, in order to limit
the total administration and management fees received by the Advisor, the
Advisor has contractually agreed to waive its administration fee each Global
Fund pays to the extent necessary to limit the proportionate share of the total
combined administration fees paid by a class of each of the Global Funds and
management fees paid by each Global Fund's Master Funds to the Advisor to the
rates listed below. The maximum amount waived under this waiver is the full
amount of a Global Fund's administration fee to the Advisor. The Fee Waiver and
Expense Assumption Agreement will remain in effect through February 28, 2014,
and shall continue to remain in effect from year to year thereafter unless
terminated by the Fund or the Advisor. For the six months ended April 30, 2013,
the Global Funds had the combined administration fee limits listed below based
on a percentage of average net assets on an annualized basis.
At any time that the rate of the fees and annualized expenses of a class of
a Global Fund are less than the rates listed below for the Global Fund on an
annualized basis, the Advisor retains the right to recover any fees previously
waived and/or expenses previously assumed to the extent that such recovery will
not cause the Global Fund's Institutional Class and Class R2 Shares' annualized
expense ratios to exceed the expense limitations listed below. Previously
waived fees subject to future recovery by the Advisor are reflected below
(amounts in thousands). The Fund, on behalf of the Global Funds, is not
obligated to reimburse the Advisor for fees previously waived or expenses
previously assumed by the Advisor more than thirty-six months before the date
of recovery.
Previously
Recovery Waived Fees/
Expense of Previously Expenses Assumed
Limitation Waived Fees/ Subject to Future
Institutional Class Shares Amount Expenses Assumed Recovery
-------------------------- ---------- ---------------- -----------------
Global Equity Portfolio........... 0.27% -- $17,009
Global Allocation 60/40 Portfolio. 0.25% -- 8,158
Global Allocation 25/75 Portfolio. 0.22% -- 1,606
Class R2 Shares
---------------
Global Equity Portfolio........... 0.27% -- 38
Global Allocation 60/40 Portfolio. 0.25% -- 48
Global Allocation 25/75 Portfolio. 0.22% -- 6
Prior to March 1, 2010, the Advisor had also contractually agreed to assume
the direct operating expenses of the Institutional Class Shares of each Global
Fund (excluding administrative services fees paid to the Advisor), to the
extent necessary to limit the total expense ratios (including the expenses that
the Institutional Class Shares of each such Global Fund bears as a shareholder
of the Master Funds, but excluding expenses from investment in other investment
companies) of the Institutional Class Shares. For the period ended February 28,
2010, the Institutional Class Shares had the following expense limits based on
a percentage of average net assets on an annualized basis.
Expense
Limits
-------
Global Equity Portfolio........... 0.44%
Global Allocation 60/40 Portfolio. 0.41%
Global Allocation 25/75 Portfolio. 0.37%
17
Prior to March 1, 2010, the Advisor had contractually agreed to assume the
direct operating expenses of the Class R2 Shares of each Global Fund (excluding
administrative services fees paid to the Advisor) to the extent necessary to
limit the total expense ratios (including the expenses that the Class R2 Shares
of each such Global Fund bears as a shareholder of the Master Funds and
including Shareholder Servicing Fees, but excluding expenses from investment in
other investment companies) of the Class R2 Shares. For the period ended
February 28, 2010, the Class R2 Shares had the following expense limits based
on a percentage of average net assets on an annualized basis.
Expense
Limits
-------
Global Equity Portfolio........... 0.69%
Global Allocation 60/40 Portfolio. 0.66%
Global Allocation 25/75 Portfolio. 0.62%
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2013, the total
related amounts paid by the Fund to the CCO were $15 (in thousands). The total
related amounts paid by each of the Global Funds are included in Other Expenses
on the Statement of Operations.
D. Deferred Compensation:
At April 30, 2013, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
Global Equity Portfolio........... $47
Global Allocation 60/40 Portfolio. 28
Global Allocation 25/75 Portfolio. 7
E. Purchases and Sales of Securities:
For the six months ended April 30, 2013, the Global Funds made the following
purchases and sales of Affiliated Investment Companies (amounts in thousands):
Global Equity Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2012 04/30/2013 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------- -------- ----------------
U.S. Core Equity 2 Portfolio......... $984,805 $1,192,233 $69,700 $11,498 $10,543 $7,950
International Core Equity Portfolio.. 610,753 692,023 33,823 38,349 5,537 --
U.S. Core Equity 1 Portfolio......... 337,726 399,316 16,410 6,413 3,578 --
Emerging Markets Core Equity
Portfolio............................ 183,859 216,223 21,120 2,895 1,059 --
DFA Real Estate Securities Portfolio. 31,375 38,589 2,804 1,130 472 --
The Canadian Small Company
Series............................... 1 1 -- -- -- --
18
Global Allocation 60/40 Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2012 04/30/2013 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------- -------- ----------------
U.S. Core Equity 2 Portfolio........... $385,352 $461,945 $29,841 $10,343 $4,113 $3,118
International Core Equity Portfolio.... 226,454 268,975 17,965 8,353 2,085 --
DFA Selectively Hedged Global Fixed
Income Portfolio....................... 207,113 241,552 42,975 7,192 4,977 140
DFA Short-Term Extended Quality
Portfolio.............................. 138,151 159,952 26,654 4,544 1,306 307
U.S. Core Equity 1 Portfolio........... 128,298 155,166 13,679 6,940 1,389 --
Emerging Markets Core Equity
Portfolio.............................. 70,573 83,340 8,128 797 407 --
DFA Inflation-Protected Securities
Portfolio.............................. 33,861 80,088 6,882 502 309 199
DFA Intermediate-Term Extended Quality
Portfolio.............................. 69,916 79,942 12,460 2,452 998 44
DFA Five-Year Global Fixed Income
Portfolio.............................. 69,464 40,140 12,114 1,547 377 655
DFA Real Estate Securities Portfolio... 11,965 39,939 977 203 180 --
DFA World ex U.S. Government Fixed
Income Portfolio....................... 34,747 14,847 5,643 606 405 336
Global Allocation 25/75 Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2012 04/30/2013 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------- -------- ----------------
DFA Two-Year Global Fixed Income
Portfolio.............................. $125,438 $144,756 $20,617 $ 572 $ 988 $ 291
DFA Short-Term Extended Quality
Portfolio.............................. 126,258 144,756 19,621 823 1,183 281
DFA Inflation-Protected Securities
Portfolio.............................. 46,091 58,415 7,652 784 415 268
U.S. Core Equity 2 Portfolio........... 49,069 52,558 3,931 2,043 532 407
International Core Equity Portfolio.... 29,358 34,077 2,257 1,765 269 --
U.S. Core Equity 1 Portfolio........... 16,353 19,590 2,946 2,235 176 --
Emerging Markets Core Equity
Portfolio.............................. 8,809 19,157 955 37 51 --
DFA Real Estate Securities Portfolio... 1,655 10,418 78 -- 25 --
DFA World ex U.S. Government Fixed
Income Portfolio....................... 16,774 2,021 2,273 54 196 163
F. Federal Income Taxes:
Each Global Fund has qualified and intends to continue to qualify as a
regulated investment company under Sub-chapter 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 the utilization
of accumulated earnings and profits distributed to shareholders on redemptions
of shares as part of
19
the dividends paid deduction for income tax purposes, were reclassified to the
following accounts. These reclassifications had no effect on net assets or net
asset value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Undistributed Increase Accumulated
Net Investment (Decrease) Net Realized
Income Paid-In Capital Gains (Losses)
-------------- --------------- --------------
Global Equity Portfolio........... -- -- --
Global Allocation 60/40 Portfolio. -- -- --
Global Allocation 25/75 Portfolio. $(71) $71 --
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
-------------- ------------- -------
Global Equity Portfolio
2011.............................. $34,678 -- $34,678
2012.............................. 40,749 -- 40,749
Global Allocation 60/40 Portfolio
2011.............................. 22,629 -- 22,629
2012.............................. 28,271 -- 28,271
Global Allocation 25/75 Portfolio
2011.............................. 5,391 -- 5,391
2012.............................. 6,492 -- 6,492
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
-------------- ------------- -----
Global Allocation 25/75 Portfolio. $71 -- $71
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 Carryforwards Losses)
-------------- ------------- ------------- -------------
Global Equity Portfolio........... $ 36 -- $(93,477) $(93,441)
Global Allocation 60/40 Portfolio. 305 -- (27,570) (27,265)
Global Allocation 25/75 Portfolio. 33 -- (1,571) (1,538)
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 Global 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. In addition, such losses must be utilized prior to
the losses incurred in the years preceding
20
enactment. As of October 31, 2012, the following Global Funds 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 2018 2019 Unlimited Total
------ ------- ------- ---- --------- -------
Global Equity Portfolio........... $2,732 $74,314 $10,998 $565 $4,868 $93,477
Global Allocation 60/40 Portfolio. -- 25,132 983 -- 1,455 27,570
Global Allocation 25/75 Portfolio. -- 1,473 98 -- -- 1,571
During the year ended October 31, 2012, Global Allocation 25/75 Portfolio
utilized capital loss carryforwards to offset realized capital gain for federal
income tax purposes in the amount of $1,049 (amounts in thousands).
At April 30, 2013, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
---------- ------------ ------------ --------------
Global Equity Portfolio........... $1,980,128 $678,912 $(117,339) $561,573
Global Allocation 60/40 Portfolio. 1,373,393 263,754 (11,261) 252,493
Global Allocation 25/75 Portfolio. 443,817 48,036 (5,577) 42,459
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is attributable to the tax deferral of losses on wash sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken on a tax return. Management has analyzed each Global
Fund's tax positions and has concluded that no additional provision for income
tax is required in any Global Fund's financial statements. No Global Fund is
aware of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each of the Global Fund's federal tax returns for the prior
three fiscal years remains subject to examination by the Internal Revenue
Service.
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Six Months Ended Year Ended
April 30, 2013 Oct. 31, 2012
- ------------------ ------------------
Amount Shares Amount Shares
- --------- ------- --------- -------
Global Equity Portfolio
Class R2 Shares
Shares Issued...................................... $ 534 37 $ 2,389 176
Shares Issued in Lieu of Cash Distributions........ 34 2 71 6
Shares Redeemed.................................... (308) (21) (3,024) (227)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 260 18 $ (564) (45)
========= ======= ========= =======
Institutional Class Shares
Shares Issued...................................... $ 331,105 22,569 $ 517,273 39,667
Shares Issued in Lieu of Cash Distributions........ 20,340 1,439 39,398 3,123
Shares Redeemed.................................... (274,080) (18,847) (391,177) (30,101)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 77,365 5,161 $ 165,494 12,689
========= ======= ========= =======
21
Six Months Ended Year Ended
April 30, 2013 Oct. 31, 2012
- ------------------ ------------------
Amount Shares Amount Shares
- --------- ------- --------- -------
Global Allocation 60/40 Portfolio
Class R2 Shares
Shares Issued...................................... $ 1,109 81 $ 10,892 826
Shares Issued in Lieu of Cash Distributions........ 127 9 131 10
Shares Redeemed.................................... (852) (60) (3,263) (250)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 384 30 $ 7,760 586
========= ======= ========= =======
Institutional Class Shares
Shares Issued...................................... $ 304,141 21,965 $ 414,090 32,235
Shares Issued in Lieu of Cash Distributions........ 15,694 1,164 26,495 2,130
Shares Redeemed.................................... (188,968) (13,656) (281,493) (21,807)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 130,867 9,473 $ 159,092 12,558
========= ======= ========= =======
Six Months Ended Year Ended
April 30, 2013 Oct. 31, 2012
- ---------------- ----------------
Amount Shares Amount Shares
- -------- ------ -------- ------
Global Allocation 25/75 Portfolio
Class R2 Shares
Shares Issued...................................... $ 75 6 $ 2,024 168
Shares Issued in Lieu of Cash Distributions........ 19 2 20 2
Shares Redeemed.................................... (125) (10) (45) (4)
-------- ------ -------- ------
Net Increase (Decrease) -- Class R2 Shares............ $ (31) (2) $ 1,999 166
======== ====== ======== ======
Institutional Class Shares
Shares Issued...................................... $ 86,340 7,032 $183,523 15,450
Shares Issued in Lieu of Cash Distributions........ 3,814 314 6,279 537
Shares Redeemed.................................... (39,043) (3,184) (84,615) (7,101)
-------- ------ -------- ------
Net Increase (Decrease) -- Institutional Class Shares. $ 51,111 4,162 $105,187 8,886
======== ====== ======== ======
H. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, entered into a
$250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line of credit. There were no borrowings by the
Global Funds under this line of credit during the six months ended April 30,
2013.
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 4,
2013 with its domestic 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. 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 March 3,
2014.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 with its international custodian bank. Each portfolio is
permitted
22
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 10,
2014.
For the six months ended April 30, 2013, borrowings by the Global Funds
under this line of credit were as follows (amounts in thousands, except
percentages and days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
Global Equity Portfolio........... 0.89% $1,730 36 $ 2 $ 7,864
Global Allocation 60/40 Portfolio. 0.91% 2,360 26 2 10,737
Global Allocation 25/75 Portfolio. 0.90% 609 15 -- 1,199
* Number of Days Outstanding represents the total of single or consecutive
days during the six months ended April 30, 2013, that each Global Fund's
available line of credit was utilized.
At April 30, 2013, Global Allocation 60/40 Portfolio had loans outstanding
in the amount of $225 (in thousands).
I. Shareholder Servicing Fees:
The Class R2 Shares pay a shareholder servicing fee in the amount of 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in the Global Funds' Class R2 Shares.
J. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and
directors/trustees 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. In-Kind Redemptions:
In accordance with guidelines described in the Global Funds' prospectus, the
Global Funds may distribute portfolio securities rather than cash as payment
for a redemption of fund shares (in-kind redemption). For financial reporting
purposes, a Global Fund recognizes a gain on in-kind redemptions to the extent
the value of the distributed securities on the date of redemption exceeds the
cost of those securities. Gains and losses realized on in-kind redemptions are
not recognized for tax purposes and are reclassified from undistributed
realized gain (loss) to paid-in capital.
For the six months ended April 30, 2013, the Global Funds had no in-kind
redemptions.
L. 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.
23
M. Other:
At April 30, 2013, the following number of shareholders held the following
approximate percentages of outstanding shares of the Global Funds. One or more
of the shareholders may be omnibus accounts, which typically hold shares for
the benefit of several other underlying investors.
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
Global Equity Portfolio -- Class R2 Shares...................... 3 97%
Global Equity Portfolio -- Institutional Class Shares........... 3 82%
Global Allocation 60/40 Portfolio -- Class R2 Shares............ 2 97%
Global Allocation 60/40 Portfolio -- Institutional Class Shares. 4 82%
Global Allocation 25/75 Portfolio -- Class R2 Shares............ 2 98%
Global Allocation 25/75 Portfolio -- Institutional Class Shares. 4 91%
N. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Global
Funds and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
24
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the 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.
25
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 14, 2012 (the "Meeting"), the Board of
Directors of Dimensional Investment Group Inc. (the "Board") considered the
continuation of the investment advisory agreements for each portfolio
(collectively, the "Funds"). (The investment advisory agreements are referred
to as the "Advisory Agreements.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that the performance of each Fund was reasonable as
compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the fees paid to the Advisor in light of the services
provided to the Fund and any additional benefits received by the Advisor in
connection with providing such services, the Board noted that the Advisor did
not charge advisory fees to the Funds under the Advisory Agreements. The Board
reviewed the administrative fees charged by the Advisor to the Funds and
compared the expenses of each Fund to funds in its peer group as provided in
the Morningstar Reports. The Board concluded that the fees and total expenses
of each Fund over various periods were favorable in relation to those of its
peer funds, and that the administrative fees were fair, both on an absolute
basis and in comparison with the fees of other funds identified in the peer
groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative fees paid by the
Funds. The Board considered the profitability to the Advisor of managing the
Funds and other "non-1940 Act registered" investment vehicles. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
26
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. The Board concluded
that economies of scale and the reflection of such economies of scale in the
level of advisory fees charged were inapplicable to each Fund because the Funds
are not charged advisory fees.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
27
[LOGO] DFA043013-025S
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2013 (Unaudited)
Dimensional Investment Group Inc.
U.S. Large Cap Value Portfolio II
DFA International Value Portfolio II
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2013
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
Chairman and Co-Chief Executive Officer
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes............................ 1
Dimensional Investment Group Inc.
Disclosure of Fund Expenses........................................ 2
Disclosure of Portfolio Holdings................................... 4
Schedules of Investments
U.S. Large Cap Value Portfolio II.............................. 5
DFA International Value Portfolio II........................... 5
Statements of Assets and Liabilities............................... 6
Statements of Operations........................................... 7
Statements of Changes in Net Assets................................ 8
Financial Highlights............................................... 9
Notes to Financial Statements...................................... 10
The DFA Investment Trust Company
Disclosure of Fund Expenses........................................ 16
Disclosure of Portfolio Holdings................................... 17
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series................................ 18
The DFA International Value Series............................. 21
Statements of Assets and Liabilities............................... 25
Statements of Operations........................................... 26
Statements of Changes in Net Assets................................ 27
Financial Highlights............................................... 28
Notes to Financial Statements...................................... 29
Voting Proxies on Fund Portfolio Securities........................... 37
Board Approval of Investment Advisory Agreements...................... 38
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
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.
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Cap Value Portfolio II**
-----------------------------------
Actual Fund Return.................. $1,000.00 $1,185.30 0.18% $0.98
Hypothetical 5% Annual Return....... $1,000.00 $1,023.90 0.18% $0.90
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio II**
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,138.70 0.31% $1.64
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.26 0.31% $1.56
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 27, 2013. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Companies are represented in their Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Master Funds' holdings which reflect the
investments by category.
Affiliated Investment Company
-----------------------------
U.S. Large Cap Value Portfolio II....... 100.0%
DFA International Value Portfolio II.... 100.0%
4
SCHEDULES OF INVESTMENTS
April 30, 2013
(Unaudited)
U.S. LARGE CAP VALUE PORTFOLIO II
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $137,535,028
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$88,425,635)........................................... $137,535,028
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
DFA INTERNATIONAL VALUE PORTFOLIO II
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $102,052,328
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$87,315,047)........................................... $102,052,328
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
5
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
U.S. Large Cap DFA International
Value Portfolio II Value Portfolio II
------------------ ------------------
ASSETS:
Investments in Affiliated Investment Company at Value.......................... $ 137,535 $ 102,052
Prepaid Expenses and Other Assets.............................................. 4 3
------------ ------------
Total Assets.............................................................. 137,539 102,055
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed......................................................... 131 205
Due to Advisor............................................................... 1 1
Accrued Expenses and Other Liabilities......................................... 13 14
------------ ------------
Total Liabilities......................................................... 145 220
------------ ------------
NET ASSETS..................................................................... $ 137,394 $ 101,835
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)........................................ 11,039,449 18,694,855
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE....................... $ 12.45 $ 5.45
============ ============
Investments in Affiliated Investment Company at Cost........................... $ 88,426 $ 87,315
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................ $ 114,812 $ 84,509
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)....................................................................... 267 900
Accumulated Net Realized Gain (Loss)........................................... (26,794) 1,687
Net Unrealized Foreign Exchange Gain (Loss).................................... -- 2
Net Unrealized Appreciation (Depreciation)..................................... 49,109 14,737
------------ ------------
NET ASSETS..................................................................... $ 137,394 $ 101,835
============ ============
(1) NUMBER OF SHARES AUTHORIZED................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
U.S. Large Cap DFA International
Value Portfolio II* Value Portfolio II*
------------------- -------------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $1 and $114, respectively)......... $ 1,321 $ 1,558
Income from Securities Lending................................................. 11 56
Expenses Allocated from Affiliated Investment Company.......................... (71) (113)
------- -------
Total Investment Income.................................................... 1,261 1,501
------- -------
Expenses
Investment Advisory Services Fees.............................................. -- 5
Administrative Services Fees................................................... 6 --
Accounting & Transfer Agent Fees............................................... 6 6
Filing Fees.................................................................... 20 20
Shareholders' Reports.......................................................... 7 7
Directors'/Trustees' Fees & Expenses........................................... 1 --
Audit Fees..................................................................... 1 1
Legal Fees..................................................................... 1 1
Other.......................................................................... 1 (1)
------- -------
Total Expenses............................................................. 43 39
------- -------
Net Investment Income (Loss)................................................... 1,218 1,462
------- -------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold................................................... 5,341 1,704
Foreign Currency Transactions................................................ -- 6
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................... 14,546 9,553
Translation of Foreign Currency Denominated Amounts.......................... -- 1
------- -------
Net Realized and Unrealized Gain (Loss)........................................ 19,887 11,264
------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations................. $21,105 $12,726
======= =======
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Large Cap DFA International
Value Portfolio II Value Portfolio II
-------------------- --------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012
----------- -------- ----------- --------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)...................................... $ 1,218 $ 2,347 $ 1,462 $ 3,636
Net Realized Gain (Loss) on:
Investment Securities Sold...................................... 5,341 5,271 1,704 6,764
Foreign Currency Transactions................................... -- -- 6 (18)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... 14,546 11,165 9,553 (7,842)
Translation of Foreign Currency Denominated Amounts............. -- -- 1 (4)
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations.................................................... 21,105 18,783 12,726 2,536
-------- -------- -------- --------
Distributions From:
Net Investment Income............................................. (1,334) (2,289) (1,063) (3,645)
Net Long-Term Gains............................................... -- -- (6,754) (5,339)
-------- -------- -------- --------
Total Distributions............................................ (1,334) (2,289) (7,817) (8,984)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued..................................................... 9,280 12,049 4,635 11,787
Shares Issued in Lieu of Cash Distributions....................... 1,334 2,289 7,817 8,984
Shares Redeemed................................................... (8,782) (22,574) (9,795) (28,316)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions........ 1,832 (8,236) 2,657 (7,545)
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets........................ 21,603 8,258 7,566 (13,993)
Net Assets
Beginning of Period............................................... 115,791 107,533 94,269 108,262
-------- -------- -------- --------
End of Period..................................................... $137,394 $115,791 $101,835 $ 94,269
======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued..................................................... 802 1,258 884 2,343
Shares Issued in Lieu of Cash Distributions....................... 120 240 1,577 1,881
Shares Redeemed................................................... (782) (2,319) (1,875) (5,612)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed........ 140 (821) 586 (1,388)
======== ======== ======== ========
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. $ 267 $ 383 $ 900 $ 501
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Cap Value Portfolio II
--------------------------------------------------------------------------- -------------
Period
Six Months Year Year Year Year Dec. 1, Year Six Months
Ended Ended Ended Ended Ended 2007 to Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, April 30,
2013 2012 2011 2010 2009 2008 2007 2013
---------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period............................. $ 10.62 $ 9.18 $ 8.84 $ 7.52 $ 13.48 $ 22.87 $ 23.80 $ 5.21
-------- -------- -------- -------- -------- ------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.11 0.21 0.17 0.16 0.15 0.27 0.33 0.08
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 1.84 1.43 0.34 1.32 0.03 (8.10) (0.39) 0.60
-------- -------- -------- -------- -------- ------- -------- --------
Total from Investment
Operations...................... 1.95 1.64 0.51 1.48 0.18 (7.83) (0.06) 0.68
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.12) (0.20) (0.17) (0.16) (0.25) (0.37) (0.34) (0.06)
Net Realized Gains................ -- -- -- -- (5.89) (1.19) (0.53) (0.38)
-------- -------- -------- -------- -------- ------- -------- --------
Total Distributions.............. (0.12) (0.20) (0.17) (0.16) (6.14) (1.56) (0.87) (0.44)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 12.45 $ 10.62 $ 9.18 $ 8.84 $ 7.52 $ 13.48 $ 22.87 $ 5.45
=================================== =========== ======== ======== ======== ======== ======== ======== ===========
Total Return........................ 18.53%(C) 18.14% 5.69% 19.87% 11.79% (36.60)%(C) (0.34)% 13.87%(C)
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $137,394 $115,791 $107,533 $112,601 $100,906 $94,769 $470,014 $101,835
Ratio of Expenses to Average Net
Assets (D)......................... 0.18%(B) 0.17% 0.18% 0.18% 0.23% 0.16%(B) 0.14% 0.31%(B)
Ratio of Net Investment Income to
Average Net Assets (D)............. 1.96%(B) 2.10% 1.72% 1.95% 2.32% 1.44%(B) 1.36% 3.00%(B)
---------------------------------------------------------------------------------------------------------------------------------
DFA International Value Portfolio II
---------------------------------------------------------------
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............................. $ 5.55 $ 6.62 $ 6.18 $ 11.58 $ 23.73 $ 21.13
------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income
(Loss) (A)....................... 0.19 0.22 0.15 0.17 0.54 0.70
Net Gains (Losses) on Securities
(Realized and Unrealized)........ (0.06) (0.70) 0.50 1.23 (11.35) 2.88
------- -------- -------- -------- -------- --------
Total from Investment
Operations...................... 0.13 (0.48) 0.65 1.40 (10.81) 3.58
----------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.19) (0.22) (0.16) (0.21) (0.84) (0.64)
Net Realized Gains................ (0.28) (0.37) (0.05) (6.59) (0.50) (0.34)
------- -------- -------- -------- -------- --------
Total Distributions.............. (0.47) (0.59) (0.21) (6.80) (1.34) (0.98)
----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 5.21 $ 5.55 $ 6.62 $ 6.18 $ 11.58 $ 23.73
=================================== ======== ======== ======== ======== ======== ========
Total Return........................ 3.27% (8.13)% 11.03% 35.34% (47.93)%(C) 17.29%
----------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $94,269 $108,262 $136,065 $143,898 $113,216 $762,763
Ratio of Expenses to Average Net
Assets (D)......................... 0.30% 0.29% 0.29% 0.33% 0.26%(B) 0.25%
Ratio of Net Investment Income to
Average Net Assets (D)............. 3.69% 3.42% 2.49% 3.10% 2.84%(B) 3.02%
----------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, two of
which, U.S. Large Cap Value Portfolio II and DFA International Value Portfolio
II (the "Portfolios"), are presented in this report. The remaining portfolios
are presented in separate reports.
U.S. Large Cap Value Portfolio II and DFA International Value Portfolio II
primarily invest their assets in The U.S. Large Cap Value Series and The DFA
International Value Series (the "Series"), respectively, each a corresponding
series of The DFA Investment Trust Company. At April 30, 2013, U.S. Large Cap
Value Portfolio II and DFA International Value Portfolio II owned 1% and 1% of
their respective Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Portfolios.
Effective December 31, 2008, The U.S. Large Cap Value Series, and on
November 1, 2008, The DFA International Value Series, 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 Series is a result of the treatment of a
partnership for book purposes. Each Series will maintain its books and records
and present its financial statements in accordance with generally accepted
accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
10
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Portfolios.
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 April 30, 2013, none of the
Directors/Trustees have requested or received a distribution of proceeds of a
deferred fee account.
3. Other: The Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
are each 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 gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to the Portfolios
are directly charged. Common expenses of the Fund or Portfolios are allocated
using methods approved by the Board, generally based on average net assets.
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, and other
administrative services. The Advisor provides investment advisory services to
each Series. For the six months ended April 30, 2013, the Portfolios'
administrative services fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.01% of average daily net assets of the
Portfolios.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2013, the total
related amounts paid by the Fund to the CCO were $15 (in thousands). The total
related amounts paid by the Portfolios are included in Other Expenses on the
Statement of Operations.
11
D. Deferred Compensation:
At April 30, 2013, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
U.S. Large Cap Value Portfolio II....... $4
DFA International Value Portfolio II.... 5
E. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences as of October 31, 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. The reclassifications had no effect on net assets or net asset value
per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Undistributed Accumulated
Net Investment Net Realized
Income Gains (Losses)
-------------- --------------
U.S. Large Cap Value Portfolio II....... -- --
DFA International Value Portfolio II.... $(5) $ 5
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
-------------- ------------- -------
U.S. Large Cap Value Portfolio II
2011................................. $2,077 -- $ 2,077
2012................................. 2,289 -- 2,289
DFA International Value Portfolio II
2011................................. 4,896 $7,161 12,057
2012................................. 3,645 5,339 8,984
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 Carryforwards Losses)
-------------- ------------- ------------- -------------
U.S. Large Cap Value Portfolio II....... $388 -- $(32,132) $(31,744)
DFA International Value Portfolio II.... 552 $6,748 -- 7,300
12
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
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 U.S.
Large Cap Value Portfolio II had capital loss carryforwards of $32,132 (in
thousands) available to offset future realized capital gains through
October 31, 2017. As of October 31, 2012, the DFA International Value Portfolio
II had no capital loss carryforwards available to offset future realized
capital gains. During the year ended October 31, 2012, U.S. Large Cap Value
Portfolio II utilized capital loss carryforwards to offset realized capital
gains for federal income tax purposes in the amount of $5,270 (in thousands).
At April 30, 2013, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
-------- ------------ ------------ --------------
U.S. Large Cap Value Portfolio II....... $88,428 $49,109 $ (2) $49,107
DFA International Value Portfolio II.... 87,380 14,689 (17) 14,672
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.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolios'
tax positions and has concluded that no 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 remain subject to examination by the Internal Revenue Service.
F. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, entered into a
$250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line of credit. There were no borrowings by the
Portfolios under this line of credit during the six months ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 4,
2013 with its domestic 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. 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 March 3,
2014. There were no borrowings by the Portfolios under this line of credit
during the period ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 with its international custodian bank. Each portfolio is
permitted
13
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 10,
2014. There were no borrowings by the Portfolios under this line of credit
during the six months ended April 30, 2013.
G. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of the
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. 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.
For the six months ended April 30, 2013, the Portfolios had no in-kind
redemptions.
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 April 30, 2013, both Portfolios had two shareholders that held 100% of
their outstanding shares. One or more shareholders may be omnibus accounts,
which typically hold shares for the benefit of several other underlying
investors.
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 buyout 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
14
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 the net asset value of The U.S. Large Cap Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series as incurred and in a manner similar to any other expense incurred
by The U.S. Large Cap Value Series.
K. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
15
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
-------------------------------
Actual Fund Return................. $1,000.00 $1,184.80 0.11% $0.60
Hypothetical 5% Annual Return...... $1,000.00 $1,024.25 0.11% $0.55
The DFA International Value Series
----------------------------------
Actual Fund Return................. $1,000.00 $1,140.00 0.23% $1.22
Hypothetical 5% Annual Return...... $1,000.00 $1,023.65 0.23% $1.15
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
16
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 27, 2013. 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.
A 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....................... 13.4%
Consumer Staples............................. 7.7%
Energy....................................... 20.3%
Financials................................... 24.0%
Health Care.................................. 7.8%
Industrials.................................. 12.5%
Information Technology....................... 4.9%
Materials.................................... 3.4%
Telecommunication Services................... 5.6%
Utilities.................................... 0.4%
-----
100.0%
The DFA International Value Series
Consumer Discretionary....................... 9.8%
Consumer Staples............................. 5.6%
Energy....................................... 12.0%
Financials................................... 36.3%
Health Care.................................. 1.2%
Industrials.................................. 9.9%
Information Technology....................... 3.5%
Materials.................................... 11.3%
Other........................................ --
Telecommunication Services................... 7.6%
Utilities.................................... 2.8%
-----
100.0%
17
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (96.2%)
Consumer Discretionary -- (12.9%)
Carnival Corp........................... 2,385,423 $ 82,320,948 0.6%
Comcast Corp. Class A................... 10,008,890 413,367,157 3.2%
Comcast Corp. Special Class A........... 3,843,964 151,029,346 1.2%
#* General Motors Co....................... 2,302,737 71,016,409 0.6%
# News Corp. Class A...................... 2,241,856 69,430,280 0.5%
Time Warner Cable, Inc.................. 1,921,256 180,386,726 1.4%
Time Warner, Inc........................ 4,853,977 290,170,745 2.3%
Other Securities........................ 465,752,512 3.6%
-------------- -----
Total Consumer Discretionary................ 1,723,474,123 13.4%
-------------- -----
Consumer Staples -- (7.4%)
Archer-Daniels-Midland Co............... 3,155,848 107,109,481 0.8%
CVS Caremark Corp....................... 6,004,478 349,340,530 2.7%
Mondelez International, Inc. Class A.... 7,330,703 230,550,609 1.8%
Other Securities........................ 305,954,763 2.4%
-------------- -----
Total Consumer Staples...................... 992,955,383 7.7%
-------------- -----
Energy -- (19.5%)
Anadarko Petroleum Corp................. 2,478,744 210,098,341 1.6%
Apache Corp............................. 1,208,836 89,308,804 0.7%
Chevron Corp............................ 3,863,466 471,381,487 3.7%
ConocoPhillips.......................... 5,899,107 356,601,018 2.8%
# Hess Corp............................... 1,567,373 113,132,983 0.9%
Marathon Oil Corp....................... 3,447,108 112,617,018 0.9%
Marathon Petroleum Corp................. 1,791,952 140,417,359 1.1%
National Oilwell Varco, Inc............. 1,661,481 108,361,791 0.8%
Occidental Petroleum Corp............... 1,349,242 120,433,341 0.9%
Phillips 66............................. 2,926,797 178,388,277 1.4%
* Transocean, Ltd......................... 1,261,179 64,912,883 0.5%
Valero Energy Corp...................... 2,806,975 113,177,232 0.9%
Other Securities........................ 525,193,006 4.1%
-------------- -----
Total Energy................................ 2,604,023,540 20.3%
-------------- -----
Financials -- (23.1%)
* American International Group, Inc....... 6,622,622 274,309,003 2.1%
# Bank of America Corp.................... 38,925,898 479,177,804 3.7%
# Bank of New York Mellon Corp. (The)..... 3,040,229 85,795,262 0.7%
Citigroup, Inc.......................... 10,372,454 483,978,704 3.8%
# CME Group, Inc.......................... 1,599,345 97,336,137 0.8%
Goldman Sachs Group, Inc. (The)......... 786,395 114,868,718 0.9%
# JPMorgan Chase & Co..................... 3,775,507 185,037,598 1.4%
Loews Corp.............................. 2,050,343 91,588,822 0.7%
MetLife, Inc............................ 4,759,859 185,586,902 1.4%
Morgan Stanley.......................... 6,429,315 142,409,327 1.1%
Prudential Financial, Inc............... 2,287,609 138,217,336 1.1%
# SunTrust Banks, Inc..................... 2,564,707 75,017,680 0.6%
Other Securities........................ 721,595,925 5.6%
-------------- -----
Total Financials............................ 3,074,919,218 23.9%
-------------- -----
Health Care -- (7.5%)
# Aetna, Inc.............................. 1,693,713 97,286,875 0.8%
Pfizer, Inc............................. 9,837,358 285,971,997 2.2%
Thermo Fisher Scientific, Inc........... 1,932,026 155,875,858 1.2%
18
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
# WellPoint, Inc.......................... 1,824,634 $ 133,052,311 1.0%
Other Securities........................ 326,119,456 2.6%
--------------- ------
Total Health Care............................. 998,306,497 7.8%
--------------- ------
Industrials -- (12.0%)
CSX Corp................................ 5,517,066 135,664,653 1.1%
# General Electric Co..................... 19,480,526 434,220,925 3.4%
Norfolk Southern Corp................... 1,681,939 130,215,717 1.0%
# Northrop Grumman Corp................... 1,364,645 103,358,212 0.8%
Union Pacific Corp...................... 2,173,679 321,617,545 2.5%
Other Securities........................ 478,671,027 3.7%
--------------- ------
Total Industrials............................. 1,603,748,079 12.5%
--------------- ------
Information Technology -- (4.7%)
# Hewlett-Packard Co...................... 5,006,539 103,134,703 0.8%
* Yahoo!, Inc............................. 4,116,468 101,800,254 0.8%
Other Securities........................ 425,616,152 3.3%
--------------- ------
Total Information Technology.................. 630,551,109 4.9%
--------------- ------
Materials -- (3.3%)
# Freeport-McMoRan Copper & Gold, Inc..... 2,348,639 71,469,085 0.6%
International Paper Co.................. 2,224,458 104,505,037 0.8%
Other Securities........................ 267,195,954 2.0%
--------------- ------
Total Materials............................... 443,170,076 3.4%
--------------- ------
Telecommunication Services -- (5.4%)
AT&T, Inc............................... 13,051,893 488,923,912 3.8%
# CenturyLink, Inc........................ 2,353,137 88,407,357 0.7%
* Sprint Nextel Corp...................... 13,961,200 98,426,460 0.7%
Other Securities........................ 44,313,466 0.4%
--------------- ------
Total Telecommunication Services.............. 720,071,195 5.6%
--------------- ------
Utilities -- (0.4%)
Other Securities........................ 46,400,297 0.4%
--------------- ------
TOTAL COMMON STOCKS........................... 12,837,619,517 99.9%
--------------- ------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid
Reserves............................... 37,139,776 37,139,776 0.3%
--------------- ------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (3.5%)
(S)@ DFA Short Term Investment Fund.......... 40,224,004 465,391,729 3.6%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $9,150,048,349)....................... $13,340,151,022 103.8%
=============== ======
19
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- ------------ ------- ---------------
Common Stocks
Consumer Discretionary................. $ 1,723,474,123 -- -- $ 1,723,474,123
Consumer Staples....................... 992,955,383 -- -- 992,955,383
Energy................................. 2,604,023,540 -- -- 2,604,023,540
Financials............................. 3,074,919,218 -- -- 3,074,919,218
Health Care............................ 998,306,497 -- -- 998,306,497
Industrials............................ 1,603,748,079 -- -- 1,603,748,079
Information Technology................. 630,551,109 -- -- 630,551,109
Materials.............................. 443,170,076 -- -- 443,170,076
Telecommunication Services............. 720,071,195 -- -- 720,071,195
Utilities.............................. 46,400,297 -- -- 46,400,297
Temporary Cash Investments.............. 37,139,776 -- -- 37,139,776
Securities Lending Collateral........... -- $465,391,729 -- 465,391,729
--------------- ------------ -- ---------------
TOTAL................................... $12,874,759,293 $465,391,729 -- $13,340,151,022
=============== ============ == ===============
See accompanying Notes to Financial Statements.
20
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (88.0%)
AUSTRALIA -- (5.0%)
Suncorp Group, Ltd................. 3,736,013 $ 50,317,710 0.6%
Wesfarmers, Ltd.................... 2,584,670 116,279,925 1.4%
Other Securities................... 291,706,689 3.6%
------------ ----
TOTAL AUSTRALIA........................ 458,304,324 5.6%
------------ ----
AUSTRIA -- (0.2%)
Other Securities................... 22,620,434 0.3%
------------ ----
BELGIUM -- (1.1%)
Other Securities................... 97,018,246 1.2%
------------ ----
CANADA -- (8.7%)
Canadian Natural Resources, Ltd.... 1,849,320 54,243,293 0.7%
Goldcorp, Inc...................... 1,686,234 49,911,656 0.6%
# Manulife Financial Corp............ 4,587,163 67,797,764 0.8%
# Sun Life Financial, Inc............ 1,565,269 44,155,983 0.6%
Suncor Energy, Inc................. 3,750,370 116,928,008 1.4%
# Thomson Reuters Corp............... 1,832,184 61,378,937 0.8%
Other Securities................... 404,553,580 4.9%
------------ ----
TOTAL CANADA........................... 798,969,221 9.8%
------------ ----
DENMARK -- (1.2%)
Other Securities................... 108,958,158 1.3%
------------ ----
FINLAND -- (0.5%)
Other Securities................... 48,558,445 0.6%
------------ ----
FRANCE -- (8.2%)
# AXA SA............................. 4,004,754 74,995,536 0.9%
BNP Paribas SA..................... 1,973,903 110,060,678 1.4%
Cie de St-Gobain................... 1,039,077 41,613,919 0.5%
France Telecom SA.................. 3,875,091 41,383,566 0.5%
# GDF Suez........................... 3,247,971 69,637,459 0.9%
* Societe Generale SA................ 1,823,515 66,242,789 0.8%
Vivendi SA......................... 3,686,124 83,497,667 1.0%
Other Securities................... 259,788,588 3.2%
------------ ----
TOTAL FRANCE........................... 747,220,202 9.2%
------------ ----
GERMANY -- (7.4%)
# Allianz SE......................... 517,629 76,567,951 0.9%
# Allianz SE ADR..................... 2,811,910 41,475,672 0.5%
Bayerische Motoren Werke AG........ 663,299 61,335,322 0.8%
Daimler AG......................... 2,088,586 115,801,750 1.4%
Deutsche Bank AG................... 1,538,807 70,835,958 0.9%
# E.ON SE............................ 3,592,972 65,250,322 0.8%
# Muenchener Rueckversicherungs AG... 395,244 79,169,861 1.0%
Other Securities................... 164,745,466 2.0%
------------ ----
TOTAL GERMANY.......................... 675,182,302 8.3%
------------ ----
GREECE -- (0.0%)
Other Securities................... 3,881,280 0.0%
------------ ----
21
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.1%)
Hutchison Whampoa, Ltd........... 5,818,000 $ 63,182,649 0.8%
Other Securities................. 129,361,801 1.6%
-------------- -----
TOTAL HONG KONG...................... 192,544,450 2.4%
-------------- -----
IRELAND -- (0.1%)
Other Securities................. 13,278,889 0.2%
-------------- -----
ISRAEL -- (0.3%)
Other Securities................. 31,737,065 0.4%
-------------- -----
ITALY -- (1.1%)
* UniCredit SpA.................... 8,189,815 42,805,198 0.5%
Other Securities................. 55,555,418 0.7%
-------------- -----
TOTAL ITALY.......................... 98,360,616 1.2%
-------------- -----
JAPAN -- (17.8%)
Mitsubishi Corp.................. 3,047,600 54,863,679 0.7%
Mitsubishi Heavy Industries, Ltd. 7,405,000 51,065,254 0.6%
Mitsubishi UFJ Financial Group,
Inc............................. 22,830,706 154,902,674 1.9%
Mitsui & Co., Ltd................ 3,522,000 48,521,389 0.6%
Nomura Holdings, Inc............. 7,769,100 63,494,551 0.8%
Other Securities................. 1,260,958,457 15.4%
-------------- -----
TOTAL JAPAN.......................... 1,633,806,004 20.0%
-------------- -----
NETHERLANDS -- (2.5%)
* ING Groep NV..................... 5,697,333 46,933,717 0.6%
Koninklijke Philips Electronics
NV.............................. 1,957,968 54,192,709 0.7%
Other Securities................. 125,436,586 1.5%
-------------- -----
TOTAL NETHERLANDS.................... 226,563,012 2.8%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities................. 6,442,372 0.1%
-------------- -----
NORWAY -- (1.0%)
Other Securities................. 89,934,209 1.1%
-------------- -----
PORTUGAL -- (0.1%)
Other Securities................. 6,134,640 0.1%
-------------- -----
SINGAPORE -- (1.2%)
Other Securities................. 109,000,646 1.3%
-------------- -----
SPAIN -- (1.8%)
Banco Santander SA............... 8,322,004 60,097,740 0.8%
Other Securities................. 107,810,382 1.3%
-------------- -----
TOTAL SPAIN.......................... 167,908,122 2.1%
-------------- -----
SWEDEN -- (3.1%)
Nordea Bank AB................... 5,366,449 64,574,595 0.8%
# Telefonaktiebolaget LM Ericsson
Class B......................... 4,713,081 58,613,629 0.7%
Other Securities................. 156,800,588 1.9%
-------------- -----
TOTAL SWEDEN......................... 279,988,812 3.4%
-------------- -----
22
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (6.4%)
Credit Suisse Group AG........................................ 1,685,212 46,800,075 0.6%
Holcim, Ltd................................................... 887,877 69,258,838 0.8%
Swiss Re AG................................................... 1,108,107 88,184,915 1.1%
UBS AG........................................................ 5,895,747 105,170,761 1.3%
Zurich Insurance Group AG..................................... 236,698 $ 66,143,271 0.8%
Other Securities.............................................. 212,188,323 2.6%
-------------- ------
TOTAL SWITZERLAND................................................... 587,746,183 7.2%
-------------- ------
UNITED KINGDOM -- (18.1%)
Barclays P.L.C................................................ 11,591,752 51,727,912 0.6%
# Barclays P.L.C. Sponsored ADR................................. 4,591,659 82,558,029 1.0%
# BP P.L.C. Sponsored ADR....................................... 5,486,298 239,202,592 2.9%
# HSBC Holdings P.L.C. Sponsored ADR............................ 1,661,423 91,145,665 1.1%
Kingfisher P.L.C.............................................. 10,285,817 50,118,996 0.6%
* Lloyds Banking Group P.L.C.................................... 82,680,839 70,236,780 0.9%
Old Mutual P.L.C.............................................. 13,164,620 41,989,733 0.5%
# Royal Dutch Shell P.L.C. ADR.................................. 3,323,210 231,926,826 2.8%
Vodafone Group P.L.C.......................................... 34,976,333 106,723,100 1.3%
Vodafone Group P.L.C. Sponsored ADR........................... 8,116,661 248,288,660 3.1%
Xstrata P.L.C................................................. 5,211,952 78,431,883 1.0%
Other Securities.............................................. 366,277,452 4.5%
-------------- ------
TOTAL UNITED KINGDOM................................................ 1,658,627,628 20.3%
-------------- ------
TOTAL COMMON STOCKS................................................. 8,062,785,260 98.9%
-------------- ------
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities.............................................. 26,234,060 0.3%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities.............................................. 1,722,022 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@ DFA Short Term Investment Fund................................ 92,826,275 1,074,000,000 13.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $29,728 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $30,383) to be repurchased at $29,787.... $30 29,787 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL................................. 1,074,029,787 13.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,013,442,781)........................................... $9,164,771,129 112.4%
============== ======
23
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks
Australia............... $ 3,531,691 $ 454,772,633 -- $ 458,304,324
Austria................. -- 22,620,434 -- 22,620,434
Belgium................. 3,306,779 93,711,467 -- 97,018,246
Canada.................. 798,969,221 -- -- 798,969,221
Denmark................. -- 108,958,158 -- 108,958,158
Finland................. 1,353,012 47,205,433 -- 48,558,445
France.................. 5,640,035 741,580,167 -- 747,220,202
Germany................. 101,938,532 573,243,770 -- 675,182,302
Greece.................. -- 3,881,280 -- 3,881,280
Hong Kong............... -- 192,544,450 -- 192,544,450
Ireland................. 5,183,802 8,095,087 -- 13,278,889
Israel.................. 2,263,802 29,473,263 -- 31,737,065
Italy................... 15,633,330 82,727,286 -- 98,360,616
Japan................... 107,502,998 1,526,303,006 -- 1,633,806,004
Netherlands............. 12,761,638 213,801,374 -- 226,563,012
New Zealand............. -- 6,442,372 -- 6,442,372
Norway.................. 277,936 89,656,273 -- 89,934,209
Portugal................ -- 6,134,640 -- 6,134,640
Singapore............... -- 109,000,646 -- 109,000,646
Spain................... 10,049,849 157,858,273 -- 167,908,122
Sweden.................. 11,721,114 268,267,698 -- 279,988,812
Switzerland............. 82,499,635 505,246,548 -- 587,746,183
United Kingdom.......... 944,918,493 713,709,135 -- 1,658,627,628
Preferred Stocks
Germany................. -- 26,234,060 -- 26,234,060
Rights/Warrants
Spain................... -- 1,722,022 -- 1,722,022
Securities Lending
Collateral.............. -- 1,074,029,787 -- 1,074,029,787
-------------- -------------- -- --------------
TOTAL.................... $2,107,551,867 $7,057,219,262 -- $9,164,771,129
============== ============== == ==============
See accompanying Notes to Financial Statements.
24
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
The U.S. Large Cap The DFA International
Value Series Value Series*
------------------ ---------------------
ASSETS:
Investments at Value (including
$460,504 and $1,079,372 of
securities on loan, respectively)... $12,837,620 $8,090,741
Temporary Cash Investments at
Value & Cost........................ 37,140 --
Collateral Received from Securities
on Loan at Value & Cost............. -- 30
Collateral from Securities on Loan
Invested in Affiliate at Value &
Cost................................ 465,392 1,074,000
Foreign Currencies at Value.......... -- 17,594
Cash................................. -- 5,476
Receivables:
Investment Securities Sold.......... 39,390 7,780
Dividends, Interest and Tax Reclaims 10,844 34,835
Securities Lending Income........... 170 3,404
Unrealized Gain on Foreign Currency
Contracts........................... -- 3
Prepaid Expenses and Other Assets.... 20 11
----------- ----------
Total Assets.................... 13,390,576 9,233,874
----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.... 465,392 1,074,030
Investment Securities Purchased..... 65,772 2,569
Due to Advisor...................... 1,036 1,281
Accrued Expenses and Other
Liabilities......................... 511 508
----------- ----------
Total Liabilities............... 532,711 1,078,388
----------- ----------
NET ASSETS........................... $12,857,865 $8,155,486
=========== ==========
Investments at Cost.................. $ 8,647,517 $6,939,413
=========== ==========
Foreign Currencies at Cost........... $ -- $ 17,474
=========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
25
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
The U.S. Large Cap The DFA International
Value Series Value Series
------------------ ---------------------
Investment Income
Dividends (Net of Foreign Taxes
Withheld of $0 and $8,987,
respectively)........................ $ 122,006 $121,813
Interest............................... 27 4
Income from Securities Lending......... 1,009 6,433
---------- --------
Total Investment Income............ 123,042 128,250
---------- --------
Expenses
Investment Advisory Services Fees...... 5,788 7,612
Accounting & Transfer Agent Fees....... 464 316
Custodian Fees......................... 56 596
Shareholders' Reports.................. 22 15
Directors'/Trustees' Fees & Expenses... 46 32
Professional Fees...................... 181 108
Other.................................. 41 51
---------- --------
Total Expenses..................... 6,598 8,730
---------- --------
Fees Paid Indirectly................... -- (10)
---------- --------
Net Expenses........................... 6,598 8,720
---------- --------
Net Investment Income (Loss)........... 116,444 119,530
---------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold........... 469,207 125,856
Foreign Currency Transactions*....... -- (1,511)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency........................... 1,375,405 751,722
Translation of Foreign Currency
Denominated Amounts................ -- 80
---------- --------
Net Realized and Unrealized Gain (Loss) 1,844,612 876,147
---------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations.............. $1,961,056 $995,677
========== ========
----------
* Net of foreign capital gain taxes withheld of $0 and $3, respectively.
See accompanying Notes to Financial Statements.
26
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap The DFA International
Value Series Value Series
------------------------ ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012
----------- ----------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................ $ 116,444 $ 212,847 $ 119,530 $ 260,321
Net Realized Gain (Loss) on:
Investment Securities Sold................................ 469,207 408,690 125,856 133,256
Foreign Currency Transactions*............................ -- -- (1,511) (1,249)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 1,375,405 1,049,282 751,722 (157,327)
Translation of Foreign Currency Denominated Amounts....... -- -- 80 (266)
----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 1,961,056 1,670,819 995,677 234,735
----------- ----------- ---------- ----------
Transactions in Interest:
Contributions............................................... 577,674 505,769 277,763 699,069
Withdrawals................................................. (270,017) (922,543) (356,203) (651,462)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest.... 307,657 (416,774) (78,440) 47,607
----------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets.................. 2,268,713 1,254,045 917,237 282,342
Net Assets
Beginning of Period......................................... 10,589,152 9,335,107 7,238,249 6,955,907
End of Period............................................... $12,857,865 $10,589,152 $8,155,486 $7,238,249
=========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $3 and $0, respectively.
See accompanying Notes to Financial Statements.
27
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series+
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-----------------------------------------------------------------
(Unaudited)
-----------------------------------------------------------------------------------------------------------------------
Total Return......................................... 18.48%(C) 18.31% 5.69% 19.96% 11.90%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $12,857,865 $10,589,152 $9,335,107 $8,816,400 $7,508,400
Ratio of Expenses to Average Net Assets.............. 0.11%(B) 0.12% 0.12% 0.12% 0.13%
Ratio of Net Investment Income to Average Net Assets. 2.03%(B) 2.15% 1.79% 2.02% 2.42%
Portfolio Turnover Rate.............................. 9%(C) 10% 14% 28% 29%
-----------------------------------------------------------------------------------------------------------------------
-------------------------------
Year
Period Ended
Dec. 1, 2007 Nov. 30,
to Oct. 31, 2008 2007
--------------------------------
--------------------------------------------------------------------------------------
Total Return......................................... (36.53)%(C) (0.32)%
--------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $6,739,363 $10,159,322
Ratio of Expenses to Average Net Assets.............. 0.11%(B) 0.11%
Ratio of Net Investment Income to Average Net Assets. 1.97%(B) 1.44%
Portfolio Turnover Rate.............................. 19%(C) 9%
--------------------------------------------------------------------------------------
--------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2013 2012
---------------------------
(Unaudited)
-----------------------------------------------------------------------------------------------------
Total Return............................................................. 14.00%(C) 3.17%
-----------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................... $8,155,486 $7,238,249
Ratio of Expenses to Average Net Assets.................................. 0.23%(B) 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.23%(B) 0.24%
Ratio of Net Investment Income to Average Net Assets..................... 3.16%(B) 3.75%
Portfolio Turnover Rate.................................................. 7%(C) 14%
-----------------------------------------------------------------------------------------------------
The DFA International Value Series+
----------------------------------------------------------
Year Year Year
Ended Ended Ended Period
Oct. 31, Oct. 31, Oct. 31, Dec. 1, 2007
2011 2010 2009 to Oct. 31, 2008
--------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Total Return............................................................. (8.04)% 11.13% 35.41% (47.87)%(C)
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................... $6,955,907 $6,919,633 $6,191,964 $4,700,337
Ratio of Expenses to Average Net Assets.................................. 0.23% 0.24% 0.24% 0.23%(B)
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.23% 0.24% 0.24% 0.23%(B)
Ratio of Net Investment Income to Average Net Assets..................... 3.47% 2.55% 3.22% 4.15%(B)
Portfolio Turnover Rate.................................................. 9% 20% 18% 16%(C)
----------------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Nov. 30,
2007
-----------
-------------------------------------------------------------------------------------
Total Return............................................................. 17.32%
-------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................... $9,638,721
Ratio of Expenses to Average Net Assets.................................. 0.23%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.23%
Ratio of Net Investment Income to Average Net Assets..................... 3.04%
Portfolio Turnover Rate.................................................. 16%
-------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
28
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, two of which, The U.S. Large
Cap Value Series and The DFA International Value Series (the "Series"), are
presented in this report. The remaining portfolios are presented in separate
reports.
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 Series is a result of the treatment of
a partnership for book purposes. Each Series will maintain its books and
records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices which approximate fair value. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Generally, securities issued by open-end investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
29
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 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.
The DFA International Value Series (the "International Series") 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 Series is computed. Due to the time differences between the
closings of the relevant foreign securities exchanges and the time the
International Series prices its shares at the close of the NYSE, the
International Series will fair value its foreign investments when it is
determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Series' foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Directors/Trustees of the International Series has determined that movements in
relevant indices or other appropriate market indicators, after the close of the
Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable. Fair valuation of portfolio securities may occur
on a daily basis. The fair value pricing by the International Series utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). The fair
value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of the International Series. When the International Series uses
fair value pricing, the values assigned to International Series' foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges. These securities are generally categorized
as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules 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.
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Series.
2. Foreign Currency Translation: Securities and other assets and
liabilities of the International Series whose values are initially expressed in
foreign currencies, are translated to U.S. dollars using the mean between the
most recent 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 Series does not isolate the effect of fluctuation 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 International Series'
books 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.
30
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 April 30, 2013, 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 gains 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, generally based on average net assets.
The International Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales of foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to each Series. For the six months ended April 30, 2013, the
investment advisory services fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.10% and 0.20% of average daily
net assets for The U.S. Large Cap Value Series and The DFA International Value
Series, respectively.
Earned Income Credit:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2013, expenses reduced were as follows (amounts in
thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series. $10
31
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2013, the total
related amounts paid by the Trust to the CCO were $28 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. Deferred Compensation:
At April 30, 2013, 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......... $278
The DFA International Value Series...... 213
E. Purchases and Sales of Securities:
For the six months ended April 30, 2013, 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......... $1,428,361 $1,029,781
The DFA International Value Series...... 581,405 544,320
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2013, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
---------- ------------ ------------ --------------
The U.S. Large Cap Value Series....... $9,150,245 $4,325,142 $(135,235) $4,189,907
The DFA International Value Series.... 8,018,298 1,779,021 (632,548) 1,146,473
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next six months.
Each of the Series' federal tax returns for the prior three fiscal years
remains subject to examination by the Internal Revenue Service.
32
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 Market 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 government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities by the Series may be inhibited.
H. Line of Credit:
The Trust, together with other Dimensional-advised portfolios, entered into
a $250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line of credit. There were no borrowings by the
Series under this line of credit during the six months ended April 30, 2013.
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 4,
2013 with its domestic 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. 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 March 3,
2014. There were no borrowings by the Series under this line of credit during
the period ended April 30, 2013.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 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 10, 2014.
33
For the six months ended April 30, 2013, 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...... 0.92% $7,286 12 $2 $19,170
The DFA International Value Series... 0.94% 6,138 27 4 20,182
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2013 that each Series' available line
of credit was utilized.
There were no outstanding borrowings by the Series under this line of credit
as of April 30, 2013.
I. Securities Lending:
As of April 30, 2013, each Series had securities on loan to brokers/dealers,
for which each such Series received cash collateral. In addition, The U.S.
Large Cap Value Series and The DFA International Value Series received non-cash
collateral consisting of short and/or long term U.S. Treasury securities with a
market value of $4,855 and $58,525 (in thousands), respectively. Each Series
invests the cash collateral, as described below, and records a liability for
the return of the collateral, during the period the securities are on loan.
Loans of securities are expected at all times to be secured by collateral equal
to at least (i) 100% of the current market value of the loaned securities with
respect to securities of the U.S. government or its agencies, (ii) 102% of the
current market value of the loaned securities with respect to U.S. securities,
and (iii) 105% of the current market value of the loaned securities with
respect to foreign securities. However, daily market fluctuations could cause
the Series' collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. 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 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.
34
K. In-Kind Redemptions:
In accordance with guidelines described in the Series' registration
statement, the Series may distribute portfolio securities rather than cash as
payment for a redemption of fund shares (in-kind redemption). For financial
reporting purposes, a Series 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.
For the six months ended April 30, 2013, the Series had no in-kind
redemptions.
L. 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.
M. 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 buyout transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
On November 1, 2010 a class action complaint was filed in Bankruptcy Court
in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in
this action include mutual funds, individuals, institutional investors and
others who owned shares in Tribune at the time of the 2007 leveraged buyout
transaction (the "LBO") and sold their shares for $34 per share in cash, such
as The U.S. Large Cap Value Series. Thereafter, two additional and
substantially similar class actions were filed and are pending in United States
District Courts (with the Bankruptcy Court action, collectively referred to as
the "Lawsuits"). The Lawsuits have been consolidated into a single
Multidistrict Litigation action in federal court for pretrial proceedings. The
Lawsuits seek to recover, for the benefit of Tribune's bankruptcy estate or
various creditors, payments to shareholders in the LBO. The Lawsuits allege
that Tribune's payment for those shares violated the rights of creditors, as
set forth in the Bankruptcy Code's and various states' fraudulent transfer
laws. However, the Lawsuits proceed on different legal theories: the Bankruptcy
Court action pleads an intentionally fraudulent transfer; the District Court
actions plead constructively fraudulent transfers.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits does
not believe that it is possible, at this early stage in the proceedings, to
predict with any reasonable certainty the probable outcome of the Lawsuits or
quantify the ultimate exposure to The U.S. Large Cap Value Series arising from
the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of
the net asset value of The U.S. Large Cap Value Series will be made relating to
the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain
the full recovery they seek, the amount would be less than 1% of The U.S. Large
Cap Value Series' net asset value at this time.
The U.S. Large Cap Value Series also cannot predict what its size might be
at the time the cost of the Lawsuits might be quantifiable and thus potentially
deducted from its net asset value. Therefore, at this time, those buying or
redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the
case may be, a price based on the 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.
35
N. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
36
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the 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.
37
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 14, 2012 (the "Meeting"), the Board of
Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreements for each series
(collectively, the "Funds") and the sub-advisory agreements for The DFA
International Value Series. For the DFA International Value Series, Dimensional
Fund Advisors Ltd. and DFA Australia Limited each serves as a sub-advisor. (The
investment management agreements and the sub-advisory agreements are referred
to as the "Advisory Agreements," and the Advisor and sub-advisors are referred
to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that the performance of each Fund was reasonable as
compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative fees paid by the
feeder portfolios. The Board considered the profitability to the Advisor of
managing
38
the Funds and other "non-1940 Act registered" investment vehicles. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
39
[LOGO] DFA043013-009S
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2013 (Unaudited)
Dimensional Investment Group Inc.
DFA International Value Portfolio III
U.S. Large Cap Value Portfolio III
Tax-Managed U.S. Marketwide Value Portfolio II
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2013
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
Chairman and Co-Chief Executive Officer
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes............................ 1
Dimensional Investment Group Inc.
Disclosure of Fund Expenses........................................ 2
Disclosure of Portfolio Holdings................................... 4
Schedules of Investments
DFA International Value Portfolio III.......................... 5
U.S. Large Cap Value Portfolio III............................. 5
Tax-Managed U.S. Marketwide Value Portfolio II................. 5
Statements of Assets and Liabilities............................... 6
Statements of Operations........................................... 7
Statements of Changes in Net Assets................................ 8
Financial Highlights............................................... 9
Notes to Financial Statements...................................... 11
The DFA Investment Trust Company
Disclosure of Fund Expenses........................................ 18
Disclosure of Portfolio Holdings................................... 20
Summary Schedules of Portfolio Holdings
The DFA International Value Series............................. 21
The U.S. Large Cap Value Series................................ 25
The Tax-Managed U.S. Marketwide Value Series................... 28
Statements of Assets and Liabilities............................... 31
Statements of Operations........................................... 32
Statements of Changes in Net Assets................................ 33
Financial Highlights............................................... 34
Notes to Financial Statements...................................... 35
Voting Proxies on Fund Portfolio Securities........................... 43
Board Approval of Investment Advisory Agreements...................... 44
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedule of Portfolio Holdings
---------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
FNMA Federal National Mortgage Association
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the
category headings have been calculated as a percentage of total investments. "Other Securities" are
those securities that are not among the top 50 holdings of the Fund or do not represent more than
1.0% of the net assets of the Fund. Some of the individual securities within this category may include
Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
Financial Highlights
--------------------
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio III**
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,139.50 0.25% $1.33
Hypothetical 5% Annual Return........... $1,000.00 $1,023.55 0.25% $1.25
U.S. Large Cap Value Portfolio III**
------------------------------------
Actual Fund Return...................... $1,000.00 $1,184.50 0.13% $0.70
Hypothetical 5% Annual Return........... $1,000.00 $1,024.15 0.13% $0.65
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
Tax-Managed U.S. Marketwide Value Portfolio II**
------------------------------------------------
Actual Fund Return............................... $1,000.00 $1,185.00 0.23% $1.25
Hypothetical 5% Annual Return.................... $1,000.00 $1,023.65 0.23% $1.15
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 27, 2013. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Companies are represented in their Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Master Funds' holdings which reflect the
investments by category.
Affiliated Investment Company
-----------------------------
DFA International Value Portfolio III.......... 100.0%
U.S. Large Cap Value Portfolio III............. 100.0%
Tax-Managed U.S. Marketwide Value Portfolio II. 100.0%
4
SCHEDULE OF INVESTMENTS
April 30, 2013
(Unaudited)
DFA INTERNATIONAL VALUE PORTFOLIO III
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $1,500,976,722
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$1,294,413,596)........................................ $1,500,976,722
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
U.S. LARGE CAP VALUE PORTFOLIO III
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $2,361,715,708
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$1,538,056,079)........................................ $2,361,715,708
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series
of The DFA Investment Trust Company....................... $1,116,409,474
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$745,249,531).......................................... $1,116,409,474
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
5
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Tax-Managed U.S.
DFA International U.S. Large Cap Marketwide Value
Value Portfolio III Value Portfolio III Portfolio II
------------------- ------------------- ----------------
ASSETS:
Investments in Affiliated Investment Company at Value............... $ 1,500,977 $ 2,361,716 $ 1,116,409
Receivables:
Fund Shares Sold.................................................. 625 1,420 1,421
Prepaid Expenses and Other Assets................................... 22 23 11
------------ ------------ ------------
Total Assets................................................... 1,501,624 2,363,159 1,117,841
------------ ------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed.............................................. 1,026 1,387 304
Due to Advisor.................................................... 12 19 --
Accrued Expenses and Other Liabilities.............................. 68 95 38
------------ ------------ ------------
Total Liabilities.............................................. 1,106 1,501 342
------------ ------------ ------------
NET ASSETS.......................................................... $ 1,500,518 $ 2,361,658 $ 1,117,499
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 92,493,579 117,862,669 59,078,687
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE.............................................................. $ 16.22 $ 20.04 $ 18.92
============ ============ ============
Investments in Affiliated Investment Company at Cost................ $ 1,294,414 $ 1,538,056 $ 745,250
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 1,257,519 $ 1,590,105 $ 751,746
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 13,326 4,676 2,036
Accumulated Net Realized Gain (Loss)................................ 23,084 (56,783) (7,442)
Net Unrealized Foreign Exchange Gain (Loss)......................... 26 -- --
Net Unrealized Appreciation (Depreciation).......................... 206,563 823,660 371,159
NET ASSETS.......................................................... $ 1,500,518 $ 2,361,658 $ 1,117,499
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED..................................... 500,000,000 700,000,000 500,000,000
============ ============ ============
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
Tax-Managed U.S.
DFA International U.S. Large Cap Marketwide Value
Value Portfolio III* Value Portfolio III* Portfolio II*
-------------------- -------------------- ----------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $1,648, $0 and $0,
respectively).................................................. $ 22,285 $ 23,409 $ 11,008
Interest........................................................ -- 5 2
Income from Securities Lending.................................. 1,204 193 100
Expenses Allocated from Affiliated Investment Company........... (1,590) (1,259) (1,102)
-------- -------- --------
Total Investment Income...................................... 21,899 22,348 10,008
-------- -------- --------
Expenses
Administrative Services Fees.................................... 69 110 --
Accounting & Transfer Agent Fees................................ 12 15 10
Filing Fees..................................................... 16 19 27
Shareholders' Reports........................................... 24 29 12
Directors'/Trustees' Fees & Expenses............................ 6 9 4
Audit Fees...................................................... 2 2 2
Legal Fees...................................................... 12 19 8
Other........................................................... 6 9 5
-------- -------- --------
Total Expenses............................................... 147 212 68
-------- -------- --------
Net Investment Income (Loss).................................... 21,752 22,136 9,940
-------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................... 23,668 90,192 5,329
Foreign Currency Transactions**............................... (302) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................... 137,404 262,524 159,006
Translation of Foreign Currency Denominated Amounts........... 14 -- --
-------- -------- --------
Net Realized and Unrealized Gain (Loss)......................... 160,784 352,716 164,335
-------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations....................................................... $182,536 $374,852 $174,275
======== ======== ========
----------
* 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 and $0, respectively.
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Tax-Managed U.S.
DFA International U.S. Large Cap Marketwide Value
Value Portfolio III Value Portfolio III Portfolio II
---------------------- ---------------------- ---------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- ---------- ----------- ---------- ----------- ---------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................. $ 21,752 $ 44,232 $ 22,136 $ 41,575 $ 9,940 $ 17,555
Net Realized Gain (Loss) on:
Investment Securities Sold................. 23,668 29,744 90,192 81,667 5,329 18,722
Foreign Currency Transactions*............. (302) (209) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 137,404 (27,237) 262,524 207,690 159,006 114,719
Translation of Foreign Currency
Denominated Amounts....................... 14 (43) -- -- -- --
---------- ---------- ---------- ---------- ---------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 182,536 46,487 374,852 330,932 174,275 150,996
---------- ---------- ---------- ---------- ---------- ---------
Distributions From:
Net Investment Income........................ (13,473) (39,964) (24,336) (40,221) (10,116) (16,854)
Net Long-Term Gains.......................... (28,559) (3,912) -- -- -- --
---------- ---------- ---------- ---------- ---------- ---------
Total Distributions....................... (42,032) (43,876) (24,336) (40,221) (10,116) (16,854)
---------- ---------- ---------- ---------- ---------- ---------
Capital Share Transactions (1):
Shares Issued................................ 156,921 358,163 173,300 270,600 71,226 105,021
Shares Issued in Lieu of Cash
Distributions............................... 34,984 37,348 20,762 34,942 10,100 16,826
Shares Redeemed.............................. (128,753) (240,070) (259,367) (343,034) (88,787) (133,075)
---------- ---------- ---------- ---------- ---------- ---------
Net Increase (Decrease) from Capital
Share Transactions....................... 63,152 155,441 (65,305) (37,492) (7,461) (11,228)
---------- ---------- ---------- ---------- ---------- ---------
Total Increase (Decrease) in Net
Assets................................... 203,656 158,052 285,211 253,219 156,698 122,914
Net Assets
Beginning of Period.......................... 1,296,862 1,138,810 2,076,447 1,823,228 960,801 837,887
End of Period................................ $1,500,518 $1,296,862 $2,361,658 $2,076,447 $1,117,499 $ 960,801
========== ========== ========== ========== ========== =========
(1) Shares Issued and Redeemed:
Shares Issued................................ 10,310 25,692 9,406 17,278 4,102 7,110
Shares Issued in Lieu of Cash
Distributions............................... 2,362 2,780 1,157 2,276 600 1,164
Shares Redeemed.............................. (8,440) (17,118) (14,093) (21,608) (5,195) (9,055)
---------- ---------- ---------- ---------- ---------- ---------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 4,232 11,354 (3,530) (2,054) (493) (781)
========== ========== ========== ========== ========== =========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)............................ $ 13,326 $ 5,047 $ 4,676 $ 6,876 $ 2,036 $ 2,212
----------
* Net of foreign capital gain taxes withheld of $1, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio III
---------------------------------------------------------------------------------------- --------------
Period
Six Months Year Year Year Year Dec. 1, Year Six Months
Ended Ended Ended Ended Ended 2007 to Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, April 30,
2013 2012 2011 2010 2009 2008 2007 2013
----------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value,
Beginning of
Period................. $ 14.69 $ 14.81 $ 16.66 $ 15.41 $ 11.74 $ 24.03 $ 21.46 $ 17.11
---------- ---------- ---------- ---------- ---------- -------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment
Income
(Loss) (A)............ 0.24 0.53 0.58 0.39 0.40 0.72 0.71 0.18
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... 1.76 (0.12) (1.87) 1.25 3.66 (11.64) 2.92 2.95
---------- ---------- ---------- ---------- ---------- -------- ---------- ----------
Total from
Investment
Operations.......... 2.00 0.41 (1.29) 1.64 4.06 (10.92) 3.63 3.13
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment
Income................ (0.15) (0.48) (0.56) (0.39) (0.39) (0.80) (0.63) (0.20)
Net Realized Gains..... (0.32) (0.05) -- -- -- (0.57) (0.43) --
---------- ---------- ---------- ---------- ---------- -------- ---------- ----------
Total
Distributions....... (0.47) (0.53) (0.56) (0.39) (0.39) (1.37) (1.06) (0.20)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $ 16.22 $ 14.69 $ 14.81 $ 16.66 $ 15.41 $ 11.74 $ 24.03 $ 20.04
======================== =========== ========== ========== ========== ========== ======== ========== ===========
Total Return............ 13.95%(C) 3.14% (8.06)% 11.05% 35.37% (47.87)%(C) 17.32% 18.45%(C)
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)..... $1,500,518 $1,296,862 $1,138,810 $1,160,487 $1,008,172 $726,061 $1,190,286 $2,361,658
Ratio of Expenses to
Average Net
Assets (D)............. 0.25%(B) 0.26% 0.26% 0.26% 0.28% 0.26%(B) 0.25% 0.13%(B)
Ratio of Net Investment
Income to Average
Net Assets............. 3.16%(B) 3.71% 3.45% 2.53% 3.19% 4.03%(B) 3.02% 2.02%(B)
----------------------------------------------------------------------------------------------------------------------------------
U.S. Large Cap Value Portfolio III
---------------------------------------------------------------------------
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................. $ 14.77 $ 14.23 $ 12.10 $ 11.15 $ 18.75 $ 19.55
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment
Income
(Loss) (A)............ 0.34 0.27 0.27 0.25 0.29 0.28
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... 2.33 0.54 2.12 0.97 (6.76) (0.33)
---------- ---------- ---------- ---------- ---------- ----------
Total from
Investment
Operations.......... 2.67 0.81 2.39 1.22 (6.47) (0.05)
-----------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment
Income................ (0.33) (0.27) (0.26) (0.27) (0.29) (0.27)
Net Realized Gains..... -- -- -- -- (0.84) (0.48)
---------- ---------- ---------- ---------- ---------- ----------
Total
Distributions....... (0.33) (0.27) (0.26) (0.27) (1.13) (0.75)
-----------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $ 17.11 $ 14.77 $ 14.23 $ 12.10 $ 11.15 $ 18.75
======================== ========== ========== ========== ========== ========== ==========
Total Return............ 18.32% 5.64% 19.96% 11.88% (36.55)%(C) (0.35)%
-----------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)..... $2,076,447 $1,823,228 $1,714,304 $1,457,701 $1,227,331 $1,731,226
Ratio of Expenses to
Average Net
Assets (D)............. 0.14% 0.14% 0.14% 0.16% 0.14%(B) 0.14%
Ratio of Net Investment
Income to Average
Net Assets............. 2.13% 1.77% 2.00% 2.37% 1.98%(B) 1.41%
-----------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
--------------
Six Months
Ended
April 30,
2013
-----------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 16.13
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.17
Net Gains (Losses) on Securities (Realized and Unrealized). 2.79
----------
Total from Investment Operations.......................... 2.96
-----------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.17)
Net Realized Gains......................................... --
----------
Total Distributions....................................... (0.17)
-----------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 18.92
============================================================= ===========
Total Return................................................. 18.50%(C)
-----------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $1,117,499
Ratio of Expenses to Average Net Assets (D).................. 0.23%(B)
Ratio of Net Investment Income to Average Net Assets......... 1.95%(B)
-----------------------------------------------------------------------------
Tax-Managed U.S. Marketwide Value Portfolio II
-----------------------------------------------------------------
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......................... $ 13.88 $ 13.27 $ 11.17 $ 10.20 $ 17.41 $ 17.57
-------- -------- -------- -------- -------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.29 0.23 0.17 0.21 0.28 0.29
Net Gains (Losses) on Securities (Realized and Unrealized). 2.24 0.60 2.10 1.02 (6.42) (0.16)
-------- -------- -------- -------- -------- ----------
Total from Investment Operations.......................... 2.53 0.83 2.27 1.23 (6.14) 0.13
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.28) (0.22) (0.17) (0.26) (0.31) (0.29)
Net Realized Gains......................................... -- -- -- -- (0.76) --
-------- -------- -------- -------- -------- ----------
Total Distributions....................................... (0.28) (0.22) (0.17) (0.26) (1.07) (0.29)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 16.13 $ 13.88 $ 13.27 $ 11.17 $ 10.20 $ 17.41
============================================================= ======== ======== ======== ======== ======== ==========
Total Return................................................. 18.50% 6.26% 20.47% 12.64% (37.46)%(C) 0.67%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $960,801 $837,887 $773,434 $671,403 $613,690 $1,110,266
Ratio of Expenses to Average Net Assets (D).................. 0.23% 0.23% 0.23% 0.26% 0.23%(B) 0.23%
Ratio of Net Investment Income to Average Net Assets......... 1.97% 1.60% 1.38% 2.16% 2.07%(B) 1.59%
-------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, three
of which, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio
III and Tax-Managed U.S. Marketwide Value Portfolio II (the "Portfolios"), are
presented in this report. The remaining operational portfolios are presented in
separate reports.
DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II primarily invest their
assets in The DFA International Value Series, The U.S. Large Cap Value Series
and The Tax-Managed U.S. Marketwide Value Series (the "Series"), respectively,
each a corresponding Series of The DFA Investment Trust Company. At April 30,
2013, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II owned 19%, 18% and 29% of
their respective Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Portfolios.
On November 1, 2008, The DFA International Value Series and on December 31,
2008, The U.S. Large Cap Value Series, 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 Series is a result of the treatment of a
partnership for book purposes. Each Series will maintain its books and records
and present its financial statements in accordance with generally accepted
accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-ended investment
companies, futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
11
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Portfolios.
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 April 30, 2013, none of the
Directors/Trustees have requested or received a distribution of proceeds of a
deferred fee account.
3. Other: The Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities from their respective Series, which are each 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 gains are recorded as
a reduction of cost of investments or as a realized gain, respectively.
Expenses directly attributable to the Portfolios are directly charged. Common
expenses of Fund or Portfolios are allocated using methods approved by the
Board, generally based on average net assets.
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 shareholders and to the Board, and other
administrative services. The Advisor provides investment advisory services to
each Series. For the six months ended April 30, 2013, the Portfolios'
administrative services fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.01% of average daily net assets, except
for the Tax-Managed U.S. Marketwide Value Portfolio II, which pays no fee.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2013, the total
related amounts paid by the Fund to the CCO were $15 (in thousands). The total
related amounts paid by the Portfolios are included in Other Expenses on the
Statement of Operations.
12
D. Deferred Compensation:
At April 30, 2013, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
DFA International Value Portfolio III.......... $35
U.S. Large Cap Value Portfolio III............. 54
Tax-Managed U.S. Marketwide Value Portfolio II. 24
E. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Sub-chapter 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 foreign
currency gains (losses), gains on securities considered to be "passive foreign
investment companies", the utilization of accumulated earnings and profits
distributed to shareholders on redemptions as part of the dividends paid
deduction for income 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)
--------------- -------------- --------------
DFA International Value Portfolio III.......... $2,933 $(1,783) $(1,150)
U.S. Large Cap Value Portfolio III............. -- -- --
Tax-Managed U.S. Marketwide Value Portfolio II. 919 (903) (16)
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 III
2011........................................... $43,008 $ 256 $43,264
2012........................................... 41,721 5,087 46,808
U.S. Large Cap Value Portfolio III
2011........................................... 32,227 -- 32,227
2012........................................... 40,221 -- 40,221
Tax-Managed U.S. Marketwide Value Portfolio II
2011........................................... 13,126 -- 13,126
2012........................................... 17,774 -- 17,774
13
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 International Value Portfolio III.......... $1,757 $1,175 $2,932
Tax-Managed U.S. Marketwide Value Portfolio II. 920 -- 920
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 Carryforwards Losses)
-------------- ------------- ------------- -------------
DFA International Value Portfolio III.......... $5,760 $28,483 -- $ 34,243
U.S. Large Cap Value Portfolio II.............. 6,953 -- $(146,937) (139,984)
Tax-Managed U.S. Marketwide Value Portfolio II. 2,325 -- (12,679) (10,354)
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,
----------------------
2017 Unlimited Total
---------------------- --------- --------
U.S. Large Cap Value Portfolio III............. $146,937 -- $146,937
Tax-Managed U.S. Marketwide Value Portfolio II. 12,679 -- 12,679
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).
U.S. Large Cap Value Portfolio III............. $81,647
Tax-Managed U.S. Marketwide Value Portfolio II. 18,693
At April 30, 2013, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
---------- ------------ ------------ --------------
DFA International Value Portfolio III.......... $1,295,281 $205,902 $(206) $205,696
U.S. Large Cap Value Portfolio III............. 1,538,095 823,660 (39) 823,621
Tax-Managed U.S. Marketwide Value Portfolio II. 745,422 371,079 (92) 370,987
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.
14
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolios'
tax positions and has concluded that no 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 remain subject to examination by the Internal Revenue Service.
F. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, entered into a
$250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line of credit. There were no borrowings by the
Portfolios under this line of credit during the six months ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 4,
2013 with its domestic 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. 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 March 3,
2014. There were no borrowings by the Portfolios under this line of credit
during the period ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 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 10, 2014. There were no borrowings by the Portfolios under
this line of credit during the six months ended April 30, 2013.
G. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of 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.
H. 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.
15
For the six months ended April 30, 2013, the Portfolios had no in-kind
redemptions.
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 April 30, 2013, the following number of shareholders held the following
approximate percentages of the stated fund outstanding shares. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
DFA International Value Portfolio III.......... 4 93%
U.S. Large Cap Value Portfolio III............. 5 96%
Tax-Managed U.S. Marketwide Value Portfolio II. 3 99%
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 buyout transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
On November 1, 2010 a class action complaint was filed in Bankruptcy Court
in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in
this action include mutual funds, individuals, institutional investors and
others who owned shares in Tribune at the time of the 2007 leveraged buyout
transaction (the "LBO") and sold their shares for $34 per share in cash, such
as The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series. Thereafter, two additional and substantially similar class actions were
filed and are pending in United States District Courts (with the Bankruptcy
Court action, collectively referred to as the "Lawsuits"). The Lawsuits have
been consolidated into a single Multidistrict Litigation action in federal
court for pretrial proceedings. The Lawsuits seek to recover, for the benefit
of Tribune's bankruptcy estate or various creditors, payments to shareholders
in the LBO. The Lawsuits allege that Tribune's payment for those shares
violated the rights of creditors, as set forth in the Bankruptcy Code's and
various states' fraudulent transfer laws. However, the Lawsuits proceed on
different legal theories: the Bankruptcy Court action pleads an intentionally
fraudulent transfer; the District Court actions plead constructively fraudulent
transfers.
Litigation counsel to The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits does not believe that it is
possible, at this early stage in the proceedings, to predict with any
reasonable certainty the probable outcome of the Lawsuits or quantify the
ultimate exposure to The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series arising from the Lawsuits. Until The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset values of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will be made relating to the Lawsuits.
However, even if the plaintiffs in the Lawsuits were to obtain the full
recovery they seek, the amount would be less than 1% of The U.S. Large Cap
Value Series' and The Tax-Managed U.S. Marketwide Value Series' net asset
values at this time.
16
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot predict what their size might be at the time the cost of the
Lawsuits might be quantifiable and thus potentially deducted from their net
asset values. Therefore, at this time, those buying or redeeming shares of The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
will pay or receive, as the case may be, a price based on the net asset values
of The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series as incurred and
in a manner similar to any other expense incurred by The U.S. Large Cap Value
Series and The Tax-Managed U.S. Marketwide Value Series.
K. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
17
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
The DFA International Value Series
----------------------------------
Actual Fund Return................. $1,000.00 $1,140.00 0.23% $1.22
Hypothetical 5% Annual Return...... $1,000.00 $1,023.65 0.23% $1.15
The U.S. Large Cap Value Series
-------------------------------
Actual Fund Return................. $1,000.00 $1,184.80 0.11% $0.60
Hypothetical 5% Annual Return...... $1,000.00 $1,024.25 0.11% $0.55
18
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/12 04/30/13 Ratio* Period*
--------- --------- ---------- --------
The Tax-Managed U.S. Marketwide Value Series
--------------------------------------------
Actual Fund Return........................... $1,000.00 $1,184.60 0.22% $1.19
Hypothetical 5% Annual Return................ $1,000.00 $1,023.70 0.22% $1.10
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
19
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 27, 2013. 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.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
The DFA International Value Series
Consumer Discretionary....................... 9.8%
Consumer Staples............................. 5.6%
Energy....................................... 12.0%
Financials................................... 36.3%
Health Care.................................. 1.2%
Industrials.................................. 9.9%
Information Technology....................... 3.5%
Materials.................................... 11.3%
Other........................................ --
Telecommunication Services................... 7.6%
Utilities.................................... 2.8%
-----
100.0%
The U.S. Large Cap Value Series
Consumer Discretionary....................... 13.4%
Consumer Staples............................. 7.7%
Energy....................................... 20.3%
Financials................................... 24.0%
Health Care.................................. 7.8%
Industrials.................................. 12.5%
Information Technology....................... 4.9%
Materials.................................... 3.4%
Telecommunication Services................... 5.6%
Utilities.................................... 0.4%
-----
100.0%
The Tax-Managed U.S. Marketwide Value Series
Consumer Discretionary....................... 18.6%
Consumer Staples............................. 8.2%
Energy....................................... 16.1%
Financials................................... 17.4%
Health Care.................................. 9.8%
Industrials.................................. 14.0%
Information Technology....................... 5.7%
Materials.................................... 3.5%
Other........................................ --
Telecommunication Services................... 6.3%
Utilities.................................... 0.4%
-----
100.0%
20
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (88.0%)
AUSTRALIA -- (5.0%)
Suncorp Group, Ltd............... 3,736,013 $ 50,317,710 0.6%
Wesfarmers, Ltd.................. 2,584,670 116,279,925 1.4%
Other Securities................. 291,706,689 3.6%
------------ ----
TOTAL AUSTRALIA...................... 458,304,324 5.6%
------------ ----
AUSTRIA -- (0.2%)
Other Securities................. 22,620,434 0.3%
------------ ----
BELGIUM -- (1.1%)
Other Securities................. 97,018,246 1.2%
------------ ----
CANADA -- (8.7%)
Canadian Natural Resources, Ltd.. 1,849,320 54,243,293 0.7%
Goldcorp, Inc.................... 1,686,234 49,911,656 0.6%
# Manulife Financial Corp.......... 4,587,163 67,797,764 0.8%
# Sun Life Financial, Inc.......... 1,565,269 44,155,983 0.6%
Suncor Energy, Inc............... 3,750,370 116,928,008 1.4%
# Thomson Reuters Corp............. 1,832,184 61,378,937 0.8%
Other Securities................. 404,553,580 4.9%
------------ ----
TOTAL CANADA......................... 798,969,221 9.8%
------------ ----
DENMARK -- (1.2%)
Other Securities................. 108,958,158 1.3%
------------ ----
FINLAND -- (0.5%)
Other Securities................. 48,558,445 0.6%
------------ ----
FRANCE -- (8.2%)
# AXA SA........................... 4,004,754 74,995,536 0.9%
BNP Paribas SA................... 1,973,903 110,060,678 1.4%
Cie de St-Gobain................. 1,039,077 41,613,919 0.5%
France Telecom SA................ 3,875,091 41,383,566 0.5%
# GDF Suez......................... 3,247,971 69,637,459 0.9%
* Societe Generale SA.............. 1,823,515 66,242,789 0.8%
Vivendi SA....................... 3,686,124 83,497,667 1.0%
Other Securities................. 259,788,588 3.2%
------------ ----
TOTAL FRANCE......................... 747,220,202 9.2%
------------ ----
GERMANY -- (7.4%)
# Allianz SE....................... 517,629 76,567,951 0.9%
# Allianz SE ADR................... 2,811,910 41,475,672 0.5%
Bayerische Motoren Werke AG...... 663,299 61,335,322 0.8%
Daimler AG....................... 2,088,586 115,801,750 1.4%
Deutsche Bank AG................. 1,538,807 70,835,958 0.9%
# E.ON SE.......................... 3,592,972 65,250,322 0.8%
# Muenchener Rueckversicherungs AG. 395,244 79,169,861 1.0%
Other Securities................. 164,745,466 2.0%
------------ ----
TOTAL GERMANY........................ 675,182,302 8.3%
------------ ----
GREECE -- (0.0%)
Other Securities................. 3,881,280 0.0%
------------ ----
21
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.1%)
Hutchison Whampoa, Ltd.................. 5,818,000 $ 63,182,649 0.8%
Other Securities........................ 129,361,801 1.6%
-------------- -----
TOTAL HONG KONG............................. 192,544,450 2.4%
-------------- -----
IRELAND -- (0.1%)
Other Securities........................ 13,278,889 0.2%
-------------- -----
ISRAEL -- (0.3%)
Other Securities........................ 31,737,065 0.4%
-------------- -----
ITALY -- (1.1%)
* UniCredit SpA........................... 8,189,815 42,805,198 0.5%
Other Securities........................ 55,555,418 0.7%
-------------- -----
TOTAL ITALY................................. 98,360,616 1.2%
-------------- -----
JAPAN -- (17.8%)
Mitsubishi Corp......................... 3,047,600 54,863,679 0.7%
Mitsubishi Heavy Industries, Ltd........ 7,405,000 51,065,254 0.6%
Mitsubishi UFJ Financial Group, Inc..... 22,830,706 154,902,674 1.9%
Mitsui & Co., Ltd....................... 3,522,000 48,521,389 0.6%
Nomura Holdings, Inc.................... 7,769,100 63,494,551 0.8%
Other Securities........................ 1,260,958,457 15.4%
-------------- -----
TOTAL JAPAN................................. 1,633,806,004 20.0%
-------------- -----
NETHERLANDS -- (2.5%)
* ING Groep NV............................ 5,697,333 46,933,717 0.6%
Koninklijke Philips Electronics NV...... 1,957,968 54,192,709 0.7%
Other Securities........................ 125,436,586 1.5%
-------------- -----
TOTAL NETHERLANDS........................... 226,563,012 2.8%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities........................ 6,442,372 0.1%
-------------- -----
NORWAY -- (1.0%)
Other Securities........................ 89,934,209 1.1%
-------------- -----
PORTUGAL -- (0.1%)
Other Securities........................ 6,134,640 0.1%
-------------- -----
SINGAPORE -- (1.2%)
Other Securities........................ 109,000,646 1.3%
-------------- -----
SPAIN -- (1.8%)
Banco Santander SA...................... 8,322,004 60,097,740 0.8%
Other Securities........................ 107,810,382 1.3%
-------------- -----
TOTAL SPAIN................................. 167,908,122 2.1%
-------------- -----
SWEDEN -- (3.1%)
Nordea Bank AB.......................... 5,366,449 64,574,595 0.8%
# Telefonaktiebolaget LM Ericsson Class B. 4,713,081 58,613,629 0.7%
Other Securities........................ 156,800,588 1.9%
-------------- -----
TOTAL SWEDEN................................ 279,988,812 3.4%
-------------- -----
22
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (6.4%)
Credit Suisse Group AG...................................... 1,685,212 $ 46,800,075 0.6%
Holcim, Ltd................................................. 887,877 69,258,838 0.8%
Swiss Re AG................................................. 1,108,107 88,184,915 1.1%
UBS AG...................................................... 5,895,747 105,170,761 1.3%
Zurich Insurance Group AG................................... 236,698 66,143,271 0.8%
Other Securities............................................ 212,188,323 2.6%
-------------- ------
TOTAL SWITZERLAND................................................. 587,746,183 7.2%
-------------- ------
UNITED KINGDOM -- (18.1%)
Barclays P.L.C.............................................. 11,591,752 51,727,912 0.6%
# Barclays P.L.C. Sponsored ADR............................... 4,591,659 82,558,029 1.0%
# BP P.L.C. Sponsored ADR..................................... 5,486,298 239,202,592 2.9%
# HSBC Holdings P.L.C. Sponsored ADR.......................... 1,661,423 91,145,665 1.1%
Kingfisher P.L.C............................................ 10,285,817 50,118,996 0.6%
* Lloyds Banking Group P.L.C.................................. 82,680,839 70,236,780 0.9%
Old Mutual P.L.C............................................ 13,164,620 41,989,733 0.5%
# Royal Dutch Shell P.L.C. ADR................................ 3,323,210 231,926,826 2.8%
Vodafone Group P.L.C........................................ 34,976,333 106,723,100 1.3%
Vodafone Group P.L.C. Sponsored ADR......................... 8,116,661 248,288,660 3.1%
Xstrata P.L.C............................................... 5,211,952 78,431,883 1.0%
Other Securities............................................ 366,277,452 4.5%
-------------- ------
TOTAL UNITED KINGDOM.............................................. 1,658,627,628 20.3%
-------------- ------
TOTAL COMMON STOCKS............................................... 8,062,785,260 98.9%
-------------- ------
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities............................................ 26,234,060 0.3%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities............................................ 1,722,022 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@ DFA Short Term Investment Fund.............................. 92,826,275 1,074,000,000 13.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $29,728 FNMA, rates ranging
from 3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $30,383) to be repurchased at $29,787.. $30 29,787 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL............................... 1,074,029,787 13.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,013,442,781)......................................... $9,164,771,129 112.4%
============== ======
23
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- -------------- ------- --------------
Common Stocks
Australia................... $ 3,531,691 $ 454,772,633 -- $ 458,304,324
Austria..................... -- 22,620,434 -- 22,620,434
Belgium..................... 3,306,779 93,711,467 -- 97,018,246
Canada...................... 798,969,221 -- -- 798,969,221
Denmark..................... -- 108,958,158 -- 108,958,158
Finland..................... 1,353,012 47,205,433 -- 48,558,445
France...................... 5,640,035 741,580,167 -- 747,220,202
Germany..................... 101,938,532 573,243,770 -- 675,182,302
Greece...................... -- 3,881,280 -- 3,881,280
Hong Kong................... -- 192,544,450 -- 192,544,450
Ireland..................... 5,183,802 8,095,087 -- 13,278,889
Israel...................... 2,263,802 29,473,263 -- 31,737,065
Italy....................... 15,633,330 82,727,286 -- 98,360,616
Japan....................... 107,502,998 1,526,303,006 -- 1,633,806,004
Netherlands................. 12,761,638 213,801,374 -- 226,563,012
New Zealand................. -- 6,442,372 -- 6,442,372
Norway...................... 277,936 89,656,273 -- 89,934,209
Portugal.................... -- 6,134,640 -- 6,134,640
Singapore................... -- 109,000,646 -- 109,000,646
Spain....................... 10,049,849 157,858,273 -- 167,908,122
Sweden...................... 11,721,114 268,267,698 -- 279,988,812
Switzerland................. 82,499,635 505,246,548 -- 587,746,183
United Kingdom.............. 944,918,493 713,709,135 -- 1,658,627,628
Preferred Stocks
Germany..................... -- 26,234,060 -- 26,234,060
Rights/Warrants
Spain....................... -- 1,722,022 -- 1,722,022
Securities Lending Collateral. -- 1,074,029,787 -- 1,074,029,787
-------------- -------------- -- --------------
TOTAL......................... $2,107,551,867 $7,057,219,262 -- $9,164,771,129
============== ============== == ==============
See accompanying Notes to Financial Statements.
24
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (96.2%)
Consumer Discretionary -- (12.9%)
Carnival Corp........................ 2,385,423 $ 82,320,948 0.6%
Comcast Corp. Class A................ 10,008,890 413,367,157 3.2%
Comcast Corp. Special Class A........ 3,843,964 151,029,346 1.2%
#* General Motors Co.................... 2,302,737 71,016,409 0.6%
# News Corp. Class A................... 2,241,856 69,430,280 0.5%
Time Warner Cable, Inc............... 1,921,256 180,386,726 1.4%
Time Warner, Inc..................... 4,853,977 290,170,745 2.3%
Other Securities..................... 465,752,512 3.6%
-------------- -----
Total Consumer Discretionary............. 1,723,474,123 13.4%
-------------- -----
Consumer Staples -- (7.4%)
Archer-Daniels-Midland Co............ 3,155,848 107,109,481 0.8%
CVS Caremark Corp.................... 6,004,478 349,340,530 2.7%
Mondelez International, Inc. Class A. 7,330,703 230,550,609 1.8%
Other Securities..................... 305,954,763 2.4%
-------------- -----
Total Consumer Staples................... 992,955,383 7.7%
-------------- -----
Energy -- (19.5%)
Anadarko Petroleum Corp.............. 2,478,744 210,098,341 1.6%
Apache Corp.......................... 1,208,836 89,308,804 0.7%
Chevron Corp......................... 3,863,466 471,381,487 3.7%
ConocoPhillips....................... 5,899,107 356,601,018 2.8%
# Hess Corp............................ 1,567,373 113,132,983 0.9%
Marathon Oil Corp.................... 3,447,108 112,617,018 0.9%
Marathon Petroleum Corp.............. 1,791,952 140,417,359 1.1%
National Oilwell Varco, Inc.......... 1,661,481 108,361,791 0.8%
Occidental Petroleum Corp............ 1,349,242 120,433,341 0.9%
Phillips 66.......................... 2,926,797 178,388,277 1.4%
* Transocean, Ltd...................... 1,261,179 64,912,883 0.5%
Valero Energy Corp................... 2,806,975 113,177,232 0.9%
Other Securities..................... 525,193,006 4.1%
-------------- -----
Total Energy............................. 2,604,023,540 20.3%
-------------- -----
Financials -- (23.1%)
* American International Group, Inc.... 6,622,622 274,309,003 2.1%
# Bank of America Corp................. 38,925,898 479,177,804 3.7%
# Bank of New York Mellon Corp. (The).. 3,040,229 85,795,262 0.7%
Citigroup, Inc....................... 10,372,454 483,978,704 3.8%
# CME Group, Inc....................... 1,599,345 97,336,137 0.8%
Goldman Sachs Group, Inc. (The)...... 786,395 114,868,718 0.9%
# JPMorgan Chase & Co.................. 3,775,507 185,037,598 1.4%
Loews Corp........................... 2,050,343 91,588,822 0.7%
MetLife, Inc......................... 4,759,859 185,586,902 1.4%
Morgan Stanley....................... 6,429,315 142,409,327 1.1%
Prudential Financial, Inc............ 2,287,609 138,217,336 1.1%
# SunTrust Banks, Inc.................. 2,564,707 75,017,680 0.6%
Other Securities..................... 721,595,925 5.6%
-------------- -----
Total Financials......................... 3,074,919,218 23.9%
-------------- -----
Health Care -- (7.5%)
# Aetna, Inc........................... 1,693,713 97,286,875 0.8%
Pfizer, Inc.......................... 9,837,358 285,971,997 2.2%
Thermo Fisher Scientific, Inc........ 1,932,026 155,875,858 1.2%
25
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
# WellPoint, Inc............................. 1,824,634 $ 133,052,311 1.0%
Other Securities........................... 326,119,456 2.6%
--------------- ------
Total Health Care................................ 998,306,497 7.8%
--------------- ------
Industrials -- (12.0%)
CSX Corp................................... 5,517,066 135,664,653 1.1%
# General Electric Co........................ 19,480,526 434,220,925 3.4%
Norfolk Southern Corp...................... 1,681,939 130,215,717 1.0%
# Northrop Grumman Corp...................... 1,364,645 103,358,212 0.8%
Union Pacific Corp......................... 2,173,679 321,617,545 2.5%
Other Securities........................... 478,671,027 3.7%
--------------- ------
Total Industrials................................ 1,603,748,079 12.5%
--------------- ------
Information Technology -- (4.7%)
# Hewlett-Packard Co......................... 5,006,539 103,134,703 0.8%
* Yahoo!, Inc................................ 4,116,468 101,800,254 0.8%
Other Securities........................... 425,616,152 3.3%
--------------- ------
Total Information Technology..................... 630,551,109 4.9%
--------------- ------
Materials -- (3.3%)
# Freeport-McMoRan Copper & Gold, Inc........ 2,348,639 71,469,085 0.6%
International Paper Co..................... 2,224,458 104,505,037 0.8%
Other Securities........................... 267,195,954 2.0%
--------------- ------
Total Materials.................................. 443,170,076 3.4%
--------------- ------
Telecommunication Services -- (5.4%)
AT&T, Inc.................................. 13,051,893 488,923,912 3.8%
# CenturyLink, Inc........................... 2,353,137 88,407,357 0.7%
* Sprint Nextel Corp......................... 13,961,200 98,426,460 0.7%
Other Securities........................... 44,313,466 0.4%
--------------- ------
Total Telecommunication Services................. 720,071,195 5.6%
--------------- ------
Utilities -- (0.4%)
Other Securities........................... 46,400,297 0.4%
--------------- ------
TOTAL COMMON STOCKS.............................. 12,837,619,517 99.9%
--------------- ------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves. 37,139,776 37,139,776 0.3%
--------------- ------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (3.5%)
(S)@ DFA Short Term Investment Fund............. 40,224,004 465,391,729 3.6%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $9,150,048,349)........................ $13,340,151,022 103.8%
=============== ======
26
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- ------------ ------- ---------------
Common Stocks
Consumer Discretionary...... $ 1,723,474,123 -- -- $ 1,723,474,123
Consumer Staples............ 992,955,383 -- -- 992,955,383
Energy...................... 2,604,023,540 -- -- 2,604,023,540
Financials.................. 3,074,919,218 -- -- 3,074,919,218
Health Care................. 998,306,497 -- -- 998,306,497
Industrials................. 1,603,748,079 -- -- 1,603,748,079
Information Technology...... 630,551,109 -- -- 630,551,109
Materials................... 443,170,076 -- -- 443,170,076
Telecommunication Services.. 720,071,195 -- -- 720,071,195
Utilities................... 46,400,297 -- -- 46,400,297
Temporary Cash Investments.... 37,139,776 -- -- 37,139,776
Securities Lending Collateral. -- $465,391,729 -- 465,391,729
--------------- ------------ -- ---------------
TOTAL......................... $12,874,759,293 $465,391,729 -- $13,340,151,022
=============== ============ == ===============
See accompanying Notes to Financial Statements.
27
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2013
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (93.9%)
Consumer Discretionary -- (17.5%)
Carnival Corp........................ 489,649 $ 16,897,787 0.5%
Comcast Corp. Class A................ 3,446,875 142,355,937 3.7%
Comcast Corp. Special Class A........ 1,088,341 42,760,918 1.1%
#* General Motors Co.................... 674,707 20,807,964 0.6%
* Liberty Interactive Corp. Class A.... 882,463 18,787,637 0.5%
News Corp. Class A................... 1,608,989 49,830,389 1.3%
News Corp. Class B................... 616,492 19,185,231 0.5%
Time Warner Cable, Inc............... 693,942 65,154,214 1.7%
Time Warner, Inc..................... 1,534,860 91,753,931 2.4%
Other Securities..................... 247,918,001 6.3%
------------ -----
Total Consumer Discretionary............. 715,452,009 18.6%
------------ -----
Consumer Staples -- (7.7%)
Archer-Daniels-Midland Co............ 813,476 27,609,375 0.7%
CVS Caremark Corp.................... 1,510,745 87,895,144 2.3%
Kraft Foods Group, Inc............... 607,984 31,305,096 0.8%
Mondelez International, Inc. Class A. 2,081,099 65,450,564 1.7%
Other Securities..................... 102,028,494 2.7%
------------ -----
Total Consumer Staples................... 314,288,673 8.2%
------------ -----
Energy -- (15.1%)
Anadarko Petroleum Corp.............. 845,068 71,627,964 1.9%
Apache Corp.......................... 292,215 21,588,844 0.6%
Chevron Corp......................... 629,776 76,838,970 2.0%
# ConocoPhillips....................... 1,766,829 106,804,813 2.8%
# Hess Corp............................ 378,130 27,293,423 0.7%
Marathon Oil Corp.................... 903,937 29,531,622 0.8%
Marathon Petroleum Corp.............. 451,968 35,416,212 0.9%
National Oilwell Varco, Inc.......... 250,948 16,366,829 0.4%
Phillips 66.......................... 883,414 53,844,083 1.4%
Valero Energy Corp................... 658,099 26,534,552 0.7%
Other Securities..................... 151,994,322 3.8%
------------ -----
Total Energy............................. 617,841,634 16.0%
------------ -----
Financials -- (16.4%)
Bank of America Corp................. 6,406,476 78,863,720 2.1%
Capital One Financial Corp........... 333,920 19,293,898 0.5%
Citigroup, Inc....................... 2,115,722 98,719,589 2.6%
CME Group, Inc....................... 414,385 25,219,471 0.7%
Goldman Sachs Group, Inc. (The)...... 143,685 20,988,068 0.6%
JPMorgan Chase & Co.................. 777,031 38,082,289 1.0%
MetLife, Inc......................... 1,126,173 43,909,485 1.2%
Morgan Stanley....................... 1,476,248 32,698,893 0.9%
Prudential Financial, Inc............ 497,625 30,066,503 0.8%
Other Securities..................... 281,117,491 7.0%
------------ -----
Total Financials......................... 668,959,407 17.4%
------------ -----
Health Care -- (9.2%)
Aetna, Inc........................... 503,313 28,910,299 0.8%
Humana, Inc.......................... 236,814 17,550,286 0.5%
Pfizer, Inc.......................... 5,208,907 151,422,926 3.9%
# Thermo Fisher Scientific, Inc........ 499,520 40,301,274 1.1%
28
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
# WellPoint, Inc............................. 504,640 $ 36,798,349 1.0%
Other Securities........................... 101,977,501 2.5%
-------------- ------
Total Health Care................................ 376,960,635 9.8%
-------------- ------
Industrials -- (13.1%)
CSX Corp................................... 1,242,950 30,564,141 0.8%
General Electric Co........................ 5,021,489 111,928,990 2.9%
Norfolk Southern Corp...................... 545,229 42,211,629 1.1%
Northrop Grumman Corp...................... 337,038 25,527,258 0.7%
Union Pacific Corp......................... 444,064 65,703,709 1.7%
Other Securities........................... 260,318,337 6.7%
-------------- ------
Total Industrials................................ 536,254,064 13.9%
-------------- ------
Information Technology -- (5.3%)
Corning, Inc............................... 1,298,385 18,826,582 0.5%
Xerox Corp................................. 1,791,473 15,370,838 0.4%
* Yahoo!, Inc................................ 1,048,770 25,936,082 0.7%
Other Securities........................... 156,667,736 4.0%
-------------- ------
Total Information Technology..................... 216,801,238 5.6%
-------------- ------
Materials -- (3.3%)
International Paper Co..................... 493,615 23,190,033 0.6%
Other Securities........................... 112,004,914 2.9%
-------------- ------
Total Materials.................................. 135,194,947 3.5%
-------------- ------
Other -- (0.0%)
Other Securities........................... 54 0.0%
-------------- ------
Telecommunication Services -- (5.9%)
AT&T, Inc.................................. 4,065,906 152,308,839 4.0%
# CenturyLink, Inc........................... 536,163 20,143,644 0.5%
* Sprint Nextel Corp......................... 3,629,981 25,591,366 0.7%
# Verizon Communications, Inc................ 591,335 31,878,870 0.8%
Other Securities........................... 11,466,508 0.3%
-------------- ------
Total Telecommunication Services................. 241,389,227 6.3%
-------------- ------
Utilities -- (0.4%)
Other Securities........................... 15,540,868 0.4%
-------------- ------
TOTAL COMMON STOCKS.............................. 3,838,682,756 99.7%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities........................... -- 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves. 12,874,625 12,874,625 0.3%
-------------- ------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (5.8%)
(S)@ DFA Short Term Investment Fund............. 20,323,018 235,137,318 6.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,804,329,364)........................ $4,086,694,699 106.1%
============== ======
29
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary...... $ 715,452,009 -- -- $ 715,452,009
Consumer Staples............ 314,288,673 -- -- 314,288,673
Energy...................... 617,841,634 -- -- 617,841,634
Financials.................. 668,952,831 $ 6,576 -- 668,959,407
Health Care................. 376,920,576 40,059 -- 376,960,635
Industrials................. 536,240,178 13,886 -- 536,254,064
Information Technology...... 216,801,238 -- -- 216,801,238
Materials................... 135,194,947 -- -- 135,194,947
Other....................... -- 54 -- 54
Telecommunication Services.. 241,389,227 -- -- 241,389,227
Utilities................... 15,540,868 -- -- 15,540,868
Rights/Warrants............... -- -- -- --
Temporary Cash Investments.... 12,874,625 -- -- 12,874,625
Securities Lending Collateral. -- 235,137,318 -- 235,137,318
-------------- ------------ -- --------------
TOTAL......................... $3,851,496,806 $235,197,893 -- $4,086,694,699
============== ============ == ==============
See accompanying Notes to Financial Statements.
30
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
The DFA The U.S. The Tax-Managed
International Large Cap U.S. Marketwide
Value Series* Value Series Value Series*
------------- ------------ ---------------
ASSETS:
Investments at Value (including $1,079,372, $460,504 and $237,638 of
securities on loan, respectively of securities on loan)................. $8,090,741 $12,837,620 $3,838,683
Temporary Cash Investments at Value & Cost............................... -- 37,140 12,875
Collateral Received from Securities on Loan at Value & Cost.............. 30 -- --
Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 1,074,000 465,392 235,137
Foreign Currencies at Value.............................................. 17,594 -- --
Cash..................................................................... 5,476 -- --
Receivables:
Investment Securities Sold............................................. 7,780 39,390 25
Dividends, Interest and Tax Reclaims................................... 34,835 10,844 3,507
Securities Lending Income.............................................. 3,404 170 63
Unrealized Gain on Foreign Currency Contracts............................ 3 -- --
Prepaid Expenses and Other Assets........................................ 11 20 4
---------- ----------- ----------
Total Assets........................................................ 9,233,874 13,390,576 4,090,294
---------- ----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................................... 1,074,030 465,392 235,137
Investment Securities Purchased........................................ 2,569 65,772 2,288
Due to Advisor......................................................... 1,281 1,036 624
Accrued Expenses and Other Liabilities................................... 508 511 142
Total Liabilities................................................... 1,078,388 532,711 238,191
---------- ----------- ----------
NET ASSETS............................................................... $8,155,486 $12,857,865 $3,852,103
========== =========== ==========
Investments at Cost...................................................... $6,939,413 $ 8,647,517 $2,556,317
========== =========== ==========
Foreign Currencies at Cost............................................... $ 17,474 $ -- $ --
========== =========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
31
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
The DFA The U.S. The Tax-Managed
International Large Cap U.S. Marketwide
Value Series Value Series Value Series
------------- ------------ ---------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $8,987, $0 and $0,
respectively).................................................. $121,813 $ 122,006 $ 37,943
Interest........................................................ 4 27 7
Income from Securities Lending.................................. 6,433 1,009 345
-------- ---------- --------
Total Investment Income...................................... 128,250 123,042 38,295
-------- ---------- --------
Expenses
Investment Advisory Services Fees............................... 7,612 5,788 3,546
Accounting & Transfer Agent Fees................................ 316 464 148
Custodian Fees.................................................. 596 56 23
Shareholders' Reports........................................... 15 22 5
Directors'/Trustees' Fees & Expenses............................ 32 46 14
Professional Fees............................................... 108 181 49
Other........................................................... 51 41 14
-------- ---------- --------
Total Expenses............................................... 8,730 6,598 3,799
-------- ---------- --------
Fees Paid Indirectly............................................ (10) -- --
-------- ---------- --------
Net Expenses.................................................... 8,720 6,598 3,799
-------- ---------- --------
Net Investment Income (Loss).................................... 119,530 116,444 34,496
-------- ---------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................... 125,856 469,207 18,424
Foreign Currency Transactions*................................ (1,511) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................... 751,722 1,375,405 548,227
Translation of Foreign Currency Denominated Amounts........... 80 -- --
-------- ---------- --------
Net Realized and Unrealized Gain (Loss)......................... 876,147 1,844,612 566,651
-------- ---------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations... $995,677 $1,961,056 $601,147
======== ========== ========
----------
* Net of foreign capital gain taxes withheld of $3, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
32
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The DFA International The U.S. Large Cap The Tax-Managed U.S.
Value Series Value Series Marketwide Value Series
---------------------- ------------------------ ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- ---------- ----------- ----------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 119,530 $ 260,321 $ 116,444 $ 212,847 $ 34,496 $ 61,545
Net Realized Gain (Loss) on:
Investment Securities Sold............ 125,856 133,256 469,207 408,690 18,424 64,448
Foreign Currency Transactions*........ (1,511) (1,249) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 751,722 (157,327) 1,375,405 1,049,282 548,227 400,114
Translation of Foreign Currency
Denominated Amounts.................. 80 (266) -- -- -- --
---------- ---------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 995,677 234,735 1,961,056 1,670,819 601,147 526,107
---------- ---------- ----------- ----------- ---------- ----------
Transactions in Interest:
Contributions........................... 277,763 699,069 577,674 505,769 61,448 96,522
Withdrawals............................. (356,203) (651,462) (270,017) (922,543) (116,968) (217,478)
---------- ---------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ (78,440) 47,607 307,657 (416,774) (55,520) (120,956)
---------- ---------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 917,237 282,342 2,268,713 1,254,045 545,627 405,151
Net Assets
Beginning of Period..................... 7,238,249 6,955,907 10,589,152 9,335,107 3,306,476 2,901,325
End of Period........................... $8,155,486 $7,238,249 $12,857,865 $10,589,152 $3,852,103 $3,306,476
========== ========== =========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $3, $0, $0, $0, $0 and,
respectively.
See accompanying Notes to Financial Statements.
33
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
--------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2013 2012
-----------------------------------------------------------------------------------------------------
(Unaudited)
Total Return............................................................. 14.00%(C) 3.17%
-----------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................... $8,155,486 $7,238,249
Ratio of Expenses to Average Net Assets.................................. 0.23%(B) 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.23%(B) 0.24%
Ratio of Net Investment Income to Average Net Assets..................... 3.16%(B) 3.75%
Portfolio Turnover Rate.................................................. 7%(C) 14%
-----------------------------------------------------------------------------------------------------
The DFA International Value Series+
----------------------------------------------------------
Year Year Year
Ended Ended Ended Period
Oct. 31, Oct. 31, Oct. 31, Dec. 1, 2007
2011 2010 2009 to Oct. 31, 2008
----------------------------------------------------------------------------------------------------------------------------------
Total Return............................................................. (8.04)% 11.13% 35.41% (47.87)%(C)
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................... $6,955,907 $6,919,633 $6,191,964 $4,700,337
Ratio of Expenses to Average Net Assets.................................. 0.23% 0.24% 0.24% 0.23%(B)
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.23% 0.24% 0.24% 0.23%(B)
Ratio of Net Investment Income to Average Net Assets..................... 3.47% 2.55% 3.22% 4.15%(B)
Portfolio Turnover Rate.................................................. 9% 20% 18% 16%(C)
----------------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Nov. 30,
2007
-------------------------------------------------------------------------------------
Total Return............................................................. 17.32%
-------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................... $9,638,721
Ratio of Expenses to Average Net Assets.................................. 0.23%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.23%
Ratio of Net Investment Income to Average Net Assets..................... 3.04%
Portfolio Turnover Rate.................................................. 16%
-------------------------------------------------------------------------------------
The U.S. Large Cap Value Series+
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Total Return......................................... 18.48%(C) 18.31% 5.69% 19.96% 11.90%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $12,857,865 $10,589,152 $9,335,107 $8,816,400 $7,508,400
Ratio of Expenses to Average Net Assets.............. 0.11%(B) 0.12% 0.12% 0.12% 0.13%
Ratio of Net Investment Income to Average Net Assets. 2.03%(B) 2.15% 1.79% 2.02% 2.42%
Portfolio Turnover Rate.............................. 9%(C) 10% 14% 28% 29%
-----------------------------------------------------------------------------------------------------------------------
-------------------------------
Year
Period Ended
Dec. 1, 2007 Nov. 30,
to Oct. 31, 2008 2007
--------------------------------------------------------------------------------------
Total Return......................................... (36.53)%(C) (0.32)%
--------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $6,739,363 $10,159,322
Ratio of Expenses to Average Net Assets.............. 0.11%(B) 0.11%
Ratio of Net Investment Income to Average Net Assets. 1.97%(B) 1.44%
Portfolio Turnover Rate.............................. 19%(C) 9%
--------------------------------------------------------------------------------------
--------------
Six Months
Ended
April 30,
2013
---------------------------------------------------------------------
(Unaudited)
Total Return......................................... 18.46%(C)
---------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $3,852,103
Ratio of Expenses to Average Net Assets.............. 0.22%(B)
Ratio of Net Investment Income to Average Net Assets. 1.96%(B)
Portfolio Turnover Rate.............................. 2%(C)
---------------------------------------------------------------------
The Tax-Managed U.S. Marketwide Value Series
------------------------------------------------------------------------------
Year Year Year Year
Ended Ended Ended Ended Period
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Dec. 1, 2007
2012 2011 2010 2009 to Oct. 31, 2008
-------------------------------------------------------------------------------------------------------------------------
Total Return......................................... 18.47% 6.33% 20.38% 12.76% (37.44)%(C)
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $3,306,476 $2,901,325 $2,670,673 $2,289,927 $2,190,724
Ratio of Expenses to Average Net Assets.............. 0.22% 0.22% 0.22% 0.23% 0.22%(B)
Ratio of Net Investment Income to Average Net Assets. 1.99% 1.61% 1.40% 2.23% 2.09%(B)
Portfolio Turnover Rate.............................. 10% 20% 25% 28% 40%(C)
-------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Nov. 30,
2007
-----------------------------------------------------------------
Total Return......................................... 0.67%
-----------------------------------------------------------------
Net Assets, End of Period (thousands)................ $3,858,580
Ratio of Expenses to Average Net Assets.............. 0.22%
Ratio of Net Investment Income to Average Net Assets. 1.61%
Portfolio Turnover Rate.............................. 21%
-----------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
34
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, three of which, The DFA International
Value Series, The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series (the "Series"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
Effective December 31, 2008, The U.S. Large Cap Value Series and on
November 1, 2008, The DFA International Value Series, respectively, each a
master fund in a RIC/RIC master-feeder structure, elected with the consent of
their respective holder(s) to change their U.S. federal income tax
classification from that of an association taxable as a corporation to a
partnership pursuant to Treasury Regulation (S) 301.7701-3. The change in
capital structure and retroactive reclassification of the statement of changes
in net assets and financial highlights for the respective Series is a result of
the treatment of a partnership for book purposes. Each Series will maintain its
books and records and present its financial statements in accordance with
generally accepted accounting principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-ended investment
companies, futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series (including over-the-counter securities) are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices which approximate fair value. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Generally, securities issued by open-end investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
35
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 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.
The DFA International Value Series (the "International Series") will also
fair value price in the circumstances described below. Generally, trading in
foreign securities markets is completed each day at various times prior to the
close of the NYSE. For example, trading in the Japanese securities markets is
completed each day at the close of the Tokyo Stock Exchange (normally, 11:00
p.m. PT), which is fourteen hours prior to the close of the NYSE (normally,
1:00 p.m. PT) and the time that the net asset value of the International Series
is computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Series prices its
shares at the close of the NYSE, the International Series will fair value its
foreign investments when it is determined that the market quotations for the
foreign investments are either unreliable or not readily available. The fair
value prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on International Series' foreign investments
since the last closing prices of the foreign investments were calculated on
their primary foreign securities markets or exchanges. For these purposes, the
Board of Directors/Trustees of the International Series has determined that
movements in relevant indices or other appropriate market indicators, after the
close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate
that market quotations may be unreliable. Fair valuation of portfolio
securities may occur on a daily basis. The fair value pricing by International
Series utilizes data furnished by an independent pricing service (and that data
draws upon, among other information, the market values of foreign investments).
When the International Series uses fair value pricing, the values assigned to
the International Series' foreign investments may not be the quoted or
published prices of the investments on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules 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.
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Series.
2. Foreign Currency Translation: Securities and other assets and
liabilities of the International Series whose values are initially expressed in
foreign currencies, are translated to U.S. dollars using the mean between the
most recent 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 Series does not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the International Series'
books 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
36
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 April 30, 2013, 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 gains 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 Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales 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.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to each Series. For the six months ended April 30, 2013, the
investment advisory services fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20%, 0.10% and 0.20% of average
daily net assets for The DFA International Value Series, The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series, respectively.
Earned Income Credit:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2013, expenses reduced were as follows (amount in
thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series. $10
37
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2013, the total
related amounts paid by the Trust to the CCO were $28 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. Deferred Compensation:
At April 30, 2013, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
The DFA International Value Series........... $213
The U.S. Large Cap Value Series.............. 278
The Tax-Managed U.S. Marketwide Value Series. 84
E. Purchases and Sales of Securities:
For the six months ended April 30, 2013, 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 DFA International Value Series........... $ 581,405 $ 544,320
The U.S. Large Cap Value Series.............. 1,428,361 1,029,781
The Tax-Managed U.S. Marketwide Value Series. 56,449 80,142
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2013, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
---------- ------------ ------------ --------------
The DFA International Value Series........... $8,018,298 $1,779,021 $(632,548) $1,146,473
The U.S. Large Cap Value Series.............. 9,150,245 4,325,142 (135,235) 4,189,907
The Tax-Managed U.S. Marketwide Value Series. 2,805,286 1,383,961 (102,552) 1,281,409
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
The Series' federal tax returns for the prior three fiscal years remains
subject to examination by the Internal Revenue Service.
38
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 Market 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 government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
H. Line of Credit:
The Trust, together with other Dimensional-advised portfolios, entered into
a $250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line of credit. There were no borrowings by the
Series under this line of credit during the six months ended April 30, 2013.
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 4,
2013 with its domestic 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. 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 March 3,
2014. There were no borrowings by the Series under this line of credit during
the period ended April 30, 2013.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 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 10, 2014.
39
For the six months ended April 30, 2013, 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....... 0.92% $7,286 12 $2 $19,170
The DFA International Value Series.... 0.94% 6,138 27 4 20,182
The Tax-Managed U.S. Marketwide Value
Series.............................. 0.92% 1,895 11 1 4,797
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2013, that each Series' available line
of credit was utilized.
There were no outstanding borrowings by the Series under this line of credit
as of April 30, 2013.
I. Securities Lending:
As of April 30, 2013, each Series had securities on loan to brokers/dealers,
for which each such Series received cash collateral. Each Series invests the
cash collateral, as described below, and records a liability for the return of
the collateral, during the period the securities are on loan. In addition, the
following Series received non-cash collateral consisting of short and/or long
term U.S. Treasury securities (amounts in thousands):
Market
Value
-------
The DFA International Value Series........... $58,525
The U.S. Large Cap Value Series.............. 4,855
The Tax-Managed U.S. Marketwide Value Series. 6,650
Loans of securities are expected at all times to be secured by collateral
equal to at least (i) 100% of the current market value of the loaned securities
with respect to securities of the U.S. government or its agencies, (ii) 102% of
the current market value of the loaned securities with respect to U.S.
securities, and (iii) 105% of the current market value of the loaned securities
with respect to foreign securities. However, daily market fluctuations could
cause the Series' collateral to be lower or higher than the expected
thresholds. If this were to occur, the collateral would be adjusted the next
business day to ensure adequate collateralization. In the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings. If the borrower fails to
return loaned securities, and cash collateral being maintained by the borrower
is insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. 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 trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
40
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. In-Kind Redemptions:
In accordance with guidelines described in the Series' registration
statement, the Series may distribute portfolio securities rather than cash as
payment for a redemption of fund shares (in-kind redemption). For financial
reporting purposes, a Series 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.
For the six months ended April 30, 2013, the Series had no in-kind
redemptions.
L. 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.
M. 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 buyout transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
On November 1, 2010 a class action complaint was filed in Bankruptcy Court
in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in
this action include mutual funds, individuals, institutional investors and
others who owned shares in Tribune at the time of the 2007 leveraged buyout
transaction (the "LBO") and sold their shares for $34 per share in cash, such
as The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series. Thereafter, two additional and substantially similar class actions were
filed and are pending in United States District Courts (with the Bankruptcy
Court action, collectively referred to as the "Lawsuits"). The Lawsuits have
been consolidated into a single Multidistrict Litigation action in federal
court for pretrial proceedings. The Lawsuits seek to recover, for the benefit
of Tribune's bankruptcy estate or various creditors, payments to shareholders
in the LBO. The Lawsuits allege that Tribune's payment for those shares
violated the rights of creditors, as set forth in the Bankruptcy Code's and
various states' fraudulent transfer laws. However, the Lawsuits proceed on
different legal theories: the Bankruptcy Court action pleads an intentionally
fraudulent transfer; the District Court actions plead constructively fraudulent
transfers.
Litigation counsel to The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits does not believe that it is
possible, at this early stage in the proceedings, to predict with any
reasonable certainty the probable outcome of the Lawsuits or quantify the
ultimate exposure to The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series arising from the Lawsuits. Until The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset values of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will be made
41
relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were
to obtain the full recovery they seek, the amount would be less than 1% of The
U.S. Large Cap Value Series' and The Tax-Managed U.S. Marketwide Value Series'
net asset values at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot predict what their size might be at the time the cost of the
Lawsuits might be quantifiable and thus potentially deducted from their net
asset values. Therefore, at this time, those buying or redeeming shares of The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
will pay or receive, as the case may be, a price based on the net asset values
of The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series as incurred and
in a manner similar to any other expense incurred by The U.S. Large Cap Value
Series and The Tax-Managed U.S. Marketwide Value Series.
N. 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.
42
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.
43
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 14, 2012 (the "Meeting"), the Board of
Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreements for each series
(collectively, the "Funds") and the sub-advisory agreements for The DFA
International Value Series. For the DFA International Value Series, Dimensional
Fund Advisors Ltd. and DFA Australia Limited each serves as a sub-advisor. (The
investment management agreements and the sub-advisory agreements are referred
to as the "Advisory Agreements," and the Advisor and sub-advisors are referred
to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that the performance of each Fund was reasonable as
compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative fees paid by the
feeder portfolios. The Board considered the profitability to the Advisor of
managing
44
the Funds and other "non-1940 Act registered" investment vehicles. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
45
[LOGO] DFA043013-008S
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2013 (Unaudited)
Dimensional Investment Group Inc.
DFA International Value Portfolio IV
Emerging Markets Portfolio II
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2013
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
CHAIRMAN AND CO-CHIEF EXECUTIVE OFFICER
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes....... 1
Dimensional Investment Group Inc.
Disclosure of Fund Expenses................... 2
Disclosure of Portfolio Holdings.............. 4
Schedules of Investments......................
DFA International Value Portfolio IV...... 5
Emerging Markets Portfolio II............. 5
Statements of Assets and Liabilities.......... 6
Statements of Operations...................... 7
Statements of Changes in Net Assets........... 8
Financial Highlights.......................... 9
Notes to Financial Statements................. 10
The DFA Investment Trust Company
Disclosure of Fund Expenses................... 15
Disclosure of Portfolio Holdings.............. 16
Summary Schedules of Portfolio Holdings.......
The DFA International Value Series........ 17
The Emerging Markets Series............... 21
Statements of Assets and Liabilities.......... 25
Statements of Operations...................... 26
Statements of Changes in Net Assets........... 27
Financial Highlights.......................... 28
Notes to Financial Statements................. 29
Voting Proxies on Fund Portfolio Securities...... 35
Board Approval of Investment Advisory Agreements. 36
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
---------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
FNMA Federal National Mortgage Association
GDR Global Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the
category headings have been calculated as a percentage of total investments. "Other Securities" are
those securities that are not among the top 50 holdings of the Fund or do not represent more than
1.0% of the net assets of the Fund. Some of the individual securities within this category may include
Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Annualized
(C) Non-Annualized
(D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2013
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/12 04/30/13 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INTERNATIONAL VALUE PORTFOLIO IV**
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,139.50 0.29% $1.54
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.36 0.29% $1.45
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/12 04/30/13 RATIO* PERIOD*
--------- --------- ---------- --------
EMERGING MARKETS PORTFOLIO II**
-------------------------------
Actual Fund Return.............. $1,000.00 $1,061.60 0.38% $1.94
Hypothetical 5% Annual Return... $1,000.00 $1,022.91 0.38% $1.91
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 27, 2013. It is available upon request, without charge, by
calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Companies are represented in their Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Master Funds' holdings which reflect the
investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
DFA International Value Portfolio IV. 100.0%
Emerging Markets Portfolio II........ 100.0%
4
SCHEDULE OF INVESTMENTS
APRIL 30, 2013
(UNAUDITED)
DFA INTERNATIONAL VALUE PORTFOLIO IV
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $255,646,123
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $215,848,829)............................... $255,646,123
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
EMERGING MARKETS PORTFOLIO II
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of
The DFA Investment Trust Company..................... $120,968,302
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $41,673,492)................................ $120,968,302
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
5
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands, except share and per share amounts)
DFA International Emerging Markets
Value Portfolio IV Portfolio II
------------------ ----------------
ASSETS:
Investment in Affiliated Investment Company at Value........................... $ 255,646 $ 120,968
------------ ------------
Total Assets.............................................................. 255,646 120,968
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed......................................................... 160 112
Due to Advisor............................................................... 7 15
Accrued Expenses and Other Liabilities......................................... 21 19
------------ ------------
Total Liabilities......................................................... 188 146
------------ ------------
NET ASSETS..................................................................... $ 255,458 $ 120,822
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)........................................ 18,747,496 4,561,571
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE....................... $ 13.63 $ 26.49
============ ============
Investment in Affiliated Investment Company at Cost............................ $ 215,849 $ 41,673
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................ $ 252,642 $ 99,792
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)....................................................................... 2,751 699
Accumulated Net Realized Gain (Loss)........................................... (39,758) (58,964)
Net Unrealized Foreign Exchange Gain (Loss).................................... 26 --
Net Unrealized Appreciation (Depreciation)..................................... 39,797 79,295
------------ ------------
NET ASSETS..................................................................... $ 255,458 $ 120,822
============ ============
(1) NUMBER OF SHARES AUTHORIZED................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL EMERGING MARKETS
VALUE PORTFOLIO IV* PORTFOLIO II*
------------------- ----------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $287 and $139, respectively). $ 3,936 $1,000
Income from Securities Lending........................................... 207 74
Expenses Allocated from Affiliated Investment Company.................... (285) (103)
------- ------
Total Investment Income............................................... 3,858 971
------- ------
EXPENSES
Administrative Services Fees............................................. 40 89
Accounting & Transfer Agent Fees......................................... 7 7
Filing Fees.............................................................. 20 19
Shareholders' Reports.................................................... 4 2
Directors'/Trustees' Fees & Expenses..................................... 1 1
Audit Fees............................................................... 1 1
Legal Fees............................................................... 3 1
Other.................................................................... 1 1
------- ------
Total Expenses........................................................ 77 121
------- ------
NET INVESTMENT INCOME (LOSS)............................................. 3,781 850
------- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold............................................. 4,702 1,744
Foreign Currency Transactions.......................................... (49) 1
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................. 24,193 4,420
Translation of Foreign Currency Denominated Amounts.................... 2 (1)
------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS).................................. 28,848 6,164
------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............ $32,629 $7,014
======= ======
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International Value Emerging Markets
Portfolio IV Portfolio II
---------------------- --------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012
----------- -------- ----------- --------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................................. $ 3,781 $ 10,952 $ 850 $ 2,829
Net Realized Gain (Loss) on:
Investment Securities Sold.................................. 4,702 17,841 1,744 2,877
Foreign Currency Transactions............................... (49) (53) 1 (28)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 24,193 (21,176) 4,420 (1,136)
Translation of Foreign Currency Denominated Amounts......... 2 (7) (1) 2
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ 32,629 7,557 7,014 4,544
-------- -------- -------- --------
Distributions From:
Net Investment Income......................................... (10,308) (12,847) (2,485) (3,260)
-------- -------- -------- --------
Total Distributions........................................ (10,308) (12,847) (2,485) (3,260)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued................................................. 12,685 24,063 10,104 14,540
Shares Issued in Lieu of Cash Distributions................... 10,308 12,847 2,485 3,260
Shares Redeemed............................................... (42,819) (87,131) (10,942) (30,445)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions.... (19,826) (50,221) 1,647 (12,645)
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets.................... 2,495 (55,511) 6,176 (11,361)
Net Assets
Beginning of Period........................................... 252,963 308,474 114,646 126,007
-------- -------- -------- --------
End of Period................................................. $255,458 $252,963 $120,822 $114,646
======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued................................................. 977 1,950 385 577
Shares Issued in Lieu of Cash Distributions................... 833 1,151 95 143
Shares Redeemed............................................... (3,332) (7,170) (416) (1,234)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed.... (1,522) (4,069) 64 (514)
======== ======== ======== ========
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... $ 2,751 $ 9,278 $ 699 $ 2,334
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio IV
----------------------------------------------------------------------------- -------------
Period
Six Months Year Year Year Year Dec. 1, Year Six Months
Ended Ended Ended Ended Ended 2007 to Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, April 30,
2013 2012 2011 2010 2009 2008 2007 2013
----------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period....................... $ 12.48 $ 12.67 $ 14.14 $ 13.09 $ 10.46 $ 21.23 $ 18.85 $ 25.49
-------- -------- -------- -------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................. 0.20 0.45 0.49 0.33 0.34 0.62 0.63 0.19
Net Gains (Losses) on
Securities (Realized and
Unrealized)................ 1.49 (0.11) (1.61) 1.09 3.05 (10.29) 2.53 1.37
-------- -------- -------- -------- -------- -------- -------- --------
Total from Investment
Operations................ 1.69 0.34 (1.12) 1.42 3.39 (9.67) 3.16 1.56
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....... (0.54) (0.53) (0.35) (0.37) (0.76) (0.64) (0.48) (0.56)
Net Realized Gains.......... -- -- -- -- -- (0.46) (0.30) --
-------- -------- -------- -------- -------- -------- -------- --------
Total Distributions........ (0.54) (0.53) (0.35) (0.37) (0.76) (1.10) (0.78) (0.56)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period....................... $ 13.63 $ 12.48 $ 12.67 $ 14.14 $ 13.09 $ 10.46 $ 21.23 $ 26.49
============================== =========== ======== ======== ======== ======== ======== ======== ===========
Total Return.................. 13.95%(C) 3.20% (8.13)% 11.12% 35.27% (47.88)%(C) 17.32% 6.16%(C)
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $255,458 $252,963 $308,474 $353,536 $349,042 $303,822 $729,621 $120,822
Ratio of Expenses to Average
Net Assets (D)............... 0.29%(B) 0.28% 0.28% 0.28% 0.30% 0.26%(B) 0.25% 0.38%(B)
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumptions of
Expenses and/or Recovery
of Previously
Waived Fees) (D)............. 0.29%(B) 0.28% 0.28% 0.28% 0.30% 0.26%(B) 0.25% 0.38%(B)
Ratio of Net Investment
Income to Average Net
Assets....................... 3.07%(B) 3.76% 3.45% 2.52% 3.28% 3.93%(B) 3.07% 1.45%(B)
----------------------------------------------------------------------------------------------------------------------------
Emerging Markets Portfolio II
----------------------------------------------------------------
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....................... $ 25.14 $ 27.53 $ 22.13 $ 15.24 $ 30.01 $ 21.50
-------- -------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................. 0.58 0.63 0.48 0.41 0.68 0.53
Net Gains (Losses) on
Securities (Realized and
Unrealized)................ 0.44 (2.42) 5.37 7.29 (14.92) 8.42
-------- -------- -------- -------- -------- --------
Total from Investment
Operations................ 1.02 (1.79) 5.85 7.70 (14.24) 8.95
-----------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....... (0.67) (0.60) (0.45) (0.81) (0.31) (0.44)
Net Realized Gains.......... -- -- -- -- (0.22) --
-------- -------- -------- -------- -------- --------
Total Distributions........ (0.67) (0.60) (0.45) (0.81) (0.53) (0.44)
-----------------------------------------------------------------------------------------------
Net Asset Value, End of
Period....................... $ 25.49 $ 25.14 $ 27.53 $ 22.13 $ 15.24 $ 30.01
============================== ======== ======== ======== ======== ======== ========
Total Return.................. 4.37% (6.68)% 26.80% 53.72% (48.27)%(C) 42.40%
-----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $114,646 $126,007 $156,091 $142,206 $112,592 $310,627
Ratio of Expenses to Average
Net Assets (D)............... 0.38% 0.39% 0.37% 0.39% 0.35%(B) 0.39%
Ratio of Expenses to Average
Net Assets (Excluding
Waivers and Assumptions of
Expenses and/or Recovery
of Previously
Waived Fees) (D)............. 0.38% 0.39% 0.37% 0.39% 0.35%(B) 0.43%
Ratio of Net Investment
Income to Average Net
Assets....................... 2.33% 2.28% 2.00% 2.42% 2.82%(B) 2.13%
-----------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, two of
which, DFA International Value Portfolio IV and Emerging Markets Portfolio II
(the "Portfolios"), are presented in this report. The remaining portfolios are
presented in separate reports.
DFA International Value Portfolio IV and Emerging Markets Portfolio II
primarily invest their assets in The DFA International Value Series and The
Emerging Markets Series (the "Series"), respectively, each a corresponding
Series of The DFA Investment Trust Company. At April 30, 2013, DFA
International Value Portfolio IV and Emerging Markets Portfolio II owned 3% and
4% of their respective Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolios.
On November 1, 2008, The DFA International Value Series, a master fund in a
RIC/RIC master-feeder structure, elected with the consent of its respective
holder(s) to change its U.S. federal income tax classification from that of an
association taxable as a corporation to a partnership pursuant to Treasury
Regulation (S) 301.7701-3. The change in capital structure and retroactive
reclassification of the statement of changes in net assets and financial
highlights for the Series is a result of the treatment of a partnership for
book purposes. The Series will maintain its books and records and present its
financial statements in accordance with generally accepted accounting
principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Portfolios from November 30 to October 31.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
10
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Series.
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 April 30, 2013, none of the
Directors/Trustees have requested or received a distribution of proceeds of a
deferred fee account.
3. OTHER: The Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities from their respective Series, which are each 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 gains are recorded as
a reduction of cost of investments or as a realized gain, respectively.
Expenses directly attributable to the Portfolios are directly charged. Common
expenses of the Fund or Portfolios are allocated using methods approved by the
Board, generally based on average net assets.
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 shareholders and the Board, and other administrative
services. For the six months ended April 30, 2013, the Portfolios'
administrative services fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.20% of the first $40 million of average
daily net assets and no fees on assets exceeding $40 million for DFA
International Value Portfolio IV and based on an effective annual rate of 0.15%
of average daily net assets for Emerging Markets Portfolio II.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2013, the total
related amounts paid by the Fund to the CCO were $15 (in thousands). The total
related amounts paid by the Portfolios are included in Other Expenses on the
Statement of Operations.
11
D. DEFERRED COMPENSATION:
At April 30, 2013, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
DFA International Value Portfolio IV. $12
Emerging Markets Portfolio II........ 5
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences as of October 31, 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)
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME GAINS (LOSSES)
-------------- --------------
DFA International Value Portfolio IV. $(18) $18
Emerging Markets Portfolio II........ (24) 24
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 IV
2011................................. $ 8,815 -- $ 8,815
2012................................. 12,847 -- 12,847
Emerging Markets Portfolio II
2011................................. 3,370 -- 3,370
2012................................. 3,260 -- 3,260
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 CARRYFORWARDS (LOSSES)
-------------- ------------- ------------- -------------
DFA International Value Portfolio IV. $9,422 -- $(44,366) $(34,944)
Emerging Markets Portfolio II........ 2,340 -- (60,688) (58,348)
12
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
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, DFA
International Value Portfolio IV and Emerging Markets Portfolio II had capital
loss carryforwards of $44,366 and $60,688 (in thousands), respectively,
available to offset future realized capital gains through October 31, 2016.
During the year ended October 31, 2012, DFA International Value Portfolio IV
and Emerging Markets Portfolio II utilized capital loss carryforwards to offset
realized capital gains for federal income tax purposes in the amount of $17,839
and $2,900 (in thousands), respectively.
At April 30, 2013, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
-------- ------------ ------------ --------------
DFA International Value Portfolio IV. $216,023 $39,668 $(45) $39,623
Emerging Markets Portfolio II........ 41,694 79,295 (21) 79,274
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.
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 positions and has concluded that no additional provision for income tax is
required in any 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.
F. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, entered into a
$250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line of credit. There were no borrowings by the
Portfolios under this line of credit during the six months ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 4,
2013 with its domestic 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. 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 March 3,
2014. There were no borrowings by the Portfolios under this line of credit
during the period ended April 30, 2013.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 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
13
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 10, 2014. There were no borrowings by the
Portfolios under this line of credit during the six months ended April 30, 2013.
G. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of 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.
H. 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.
For the six months ended April 30, 2013, the Portfolios had no in-kind
redemptions.
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 April 30, 2013, the following number of shareholders held the following
approximate percentages of the stated fund outstanding shares. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
DFA International Value Portfolio IV. 1 100%
Emerging Markets Portfolio II........ 2 100%
K. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
14
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2013
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/12 04/30/13 RATIO* PERIOD*
--------- --------- ---------- --------
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return................. $1,000.00 $1,140.00 0.23% $1.22
Hypothetical 5% Annual Return...... $1,000.00 $1,023.65 0.23% $1.15
THE EMERGING MARKETS SERIES
---------------------------
Actual Fund Return................. $1,000.00 $1,062.60 0.18% $0.92
Hypothetical 5% Annual Return...... $1,000.00 $1,023.90 0.18% $0.90
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
15
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 27, 2013. 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.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors
LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the
SEC's website at http://www.sec.gov, or they may be reviewed and copied at the
SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
INTERNATIONAL EQUITY PORTFOLIOS
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary....................... 9.8%
Consumer Staples............................. 5.6%
Energy....................................... 12.0%
Financials................................... 36.3%
Health Care.................................. 1.2%
Industrials.................................. 9.9%
Information Technology....................... 3.5%
Materials.................................... 11.3%
Other........................................ --
Telecommunication Services................... 7.6%
Utilities.................................... 2.8%
-----
100.0%
THE EMERGING MARKETS SERIES
Consumer Discretionary....................... 8.2%
Consumer Staples............................. 9.7%
Energy....................................... 11.3%
Financials................................... 26.5%
Health Care.................................. 1.4%
Industrials.................................. 7.3%
Information Technology....................... 14.0%
Materials.................................... 11.2%
Other........................................ --
Telecommunication Services................... 7.0%
Utilities.................................... 3.4%
-----
100.0%
16
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2013
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (88.0%)
AUSTRALIA -- (5.0%)
Suncorp Group, Ltd............... 3,736,013 $ 50,317,710 0.6%
Wesfarmers, Ltd.................. 2,584,670 116,279,925 1.4%
Other Securities................. 291,706,689 3.6%
--------------- ------------
TOTAL AUSTRALIA...................... 458,304,324 5.6%
--------------- ------------
AUSTRIA -- (0.2%)
Other Securities................. 22,620,434 0.3%
--------------- ------------
BELGIUM -- (1.1%)
Other Securities................. 97,018,246 1.2%
--------------- ------------
CANADA -- (8.7%)
Canadian Natural Resources, Ltd.. 1,849,320 54,243,293 0.7%
Goldcorp, Inc.................... 1,686,234 49,911,656 0.6%
# Manulife Financial Corp.......... 4,587,163 67,797,764 0.8%
# Sun Life Financial, Inc.......... 1,565,269 44,155,983 0.6%
Suncor Energy, Inc............... 3,750,370 116,928,008 1.4%
# Thomson Reuters Corp............. 1,832,184 61,378,937 0.8%
Other Securities................. 404,553,580 4.9%
--------------- ------------
TOTAL CANADA......................... 798,969,221 9.8%
--------------- ------------
DENMARK -- (1.2%)
Other Securities................. 108,958,158 1.3%
--------------- ------------
FINLAND -- (0.5%)
Other Securities................. 48,558,445 0.6%
--------------- ------------
FRANCE -- (8.2%)
# AXA SA........................... 4,004,754 74,995,536 0.9%
BNP Paribas SA................... 1,973,903 110,060,678 1.4%
Cie de St-Gobain................. 1,039,077 41,613,919 0.5%
France Telecom SA................ 3,875,091 41,383,566 0.5%
# GDF Suez......................... 3,247,971 69,637,459 0.9%
* Societe Generale SA.............. 1,823,515 66,242,789 0.8%
Vivendi SA....................... 3,686,124 83,497,667 1.0%
Other Securities................. 259,788,588 3.2%
--------------- ------------
TOTAL FRANCE......................... 747,220,202 9.2%
--------------- ------------
GERMANY -- (7.4%)
# Allianz SE....................... 517,629 76,567,951 0.9%
# Allianz SE ADR................... 2,811,910 41,475,672 0.5%
Bayerische Motoren Werke AG...... 663,299 61,335,322 0.8%
Daimler AG....................... 2,088,586 115,801,750 1.4%
Deutsche Bank AG................. 1,538,807 70,835,958 0.9%
# E.ON SE.......................... 3,592,972 65,250,322 0.8%
# Muenchener Rueckversicherungs AG. 395,244 79,169,861 1.0%
Other Securities................. 164,745,466 2.0%
--------------- ------------
TOTAL GERMANY........................ 675,182,302 8.3%
--------------- ------------
GREECE -- (0.0%)
Other Securities................. 3,881,280 0.0%
--------------- ------------
17
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.1%)
Hutchison Whampoa, Ltd.................. 5,818,000 $ 63,182,649 0.8%
Other Securities........................ 129,361,801 1.6%
--------------- ------------
TOTAL HONG KONG............................. 192,544,450 2.4%
--------------- ------------
IRELAND -- (0.1%)
Other Securities........................ 13,278,889 0.2%
--------------- ------------
ISRAEL -- (0.3%)
Other Securities........................ 31,737,065 0.4%
--------------- ------------
ITALY -- (1.1%)
* UniCredit SpA........................... 8,189,815 42,805,198 0.5%
Other Securities........................ 55,555,418 0.7%
--------------- ------------
TOTAL ITALY................................. 98,360,616 1.2%
--------------- ------------
JAPAN -- (17.8%)
Mitsubishi Corp......................... 3,047,600 54,863,679 0.7%
Mitsubishi Heavy Industries, Ltd........ 7,405,000 51,065,254 0.6%
Mitsubishi UFJ Financial Group, Inc..... 22,830,706 154,902,674 1.9%
Mitsui & Co., Ltd....................... 3,522,000 48,521,389 0.6%
Nomura Holdings, Inc.................... 7,769,100 63,494,551 0.8%
Other Securities........................ 1,260,958,457 15.4%
--------------- ------------
TOTAL JAPAN................................. 1,633,806,004 20.0%
--------------- ------------
NETHERLANDS -- (2.5%)
* ING Groep NV............................ 5,697,333 46,933,717 0.6%
Koninklijke Philips Electronics NV...... 1,957,968 54,192,709 0.7%
Other Securities........................ 125,436,586 1.5%
--------------- ------------
TOTAL NETHERLANDS........................... 226,563,012 2.8%
--------------- ------------
NEW ZEALAND -- (0.1%)
Other Securities........................ 6,442,372 0.1%
--------------- ------------
NORWAY -- (1.0%)
Other Securities........................ 89,934,209 1.1%
--------------- ------------
PORTUGAL -- (0.1%)
Other Securities........................ 6,134,640 0.1%
--------------- ------------
SINGAPORE -- (1.2%)
Other Securities........................ 109,000,646 1.3%
--------------- ------------
SPAIN -- (1.8%)
Banco Santander SA...................... 8,322,004 60,097,740 0.8%
Other Securities........................ 107,810,382 1.3%
--------------- ------------
TOTAL SPAIN................................. 167,908,122 2.1%
--------------- ------------
SWEDEN -- (3.1%)
Nordea Bank AB.......................... 5,366,449 64,574,595 0.8%
# Telefonaktiebolaget LM Ericsson Class B. 4,713,081 58,613,629 0.7%
Other Securities........................ 156,800,588 1.9%
--------------- ------------
TOTAL SWEDEN................................ 279,988,812 3.4%
--------------- ------------
SWITZERLAND -- (6.4%)
Credit Suisse Group AG.................. 1,685,212 46,800,075 0.6%
Holcim, Ltd............................. 887,877 69,258,838 0.8%
Swiss Re AG............................. 1,108,107 88,184,915 1.1%
18
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
UBS AG........................................................ 5,895,747 $ 105,170,761 1.3%
Zurich Insurance Group AG..................................... 236,698 66,143,271 0.8%
Other Securities.............................................. 212,188,323 2.6%
--------------- ------------
TOTAL SWITZERLAND................................................... 587,746,183 7.2%
--------------- ------------
UNITED KINGDOM -- (18.1%)
Barclays P.L.C................................................ 11,591,752 51,727,912 0.6%
# Barclays P.L.C. Sponsored ADR................................. 4,591,659 82,558,029 1.0%
# BP P.L.C. Sponsored ADR....................................... 5,486,298 239,202,592 2.9%
# HSBC Holdings P.L.C. Sponsored ADR............................ 1,661,423 91,145,665 1.1%
Kingfisher P.L.C.............................................. 10,285,817 50,118,996 0.6%
* Lloyds Banking Group P.L.C.................................... 82,680,839 70,236,780 0.9%
Old Mutual P.L.C.............................................. 13,164,620 41,989,733 0.5%
# Royal Dutch Shell P.L.C. ADR.................................. 3,323,210 231,926,826 2.8%
Vodafone Group P.L.C.......................................... 34,976,333 106,723,100 1.3%
Vodafone Group P.L.C. Sponsored ADR........................... 8,116,661 248,288,660 3.1%
Xstrata P.L.C................................................. 5,211,952 78,431,883 1.0%
Other Securities.............................................. 366,277,452 4.5%
--------------- ------------
TOTAL UNITED KINGDOM................................................ 1,658,627,628 20.3%
--------------- ------------
TOTAL COMMON STOCKS................................................. 8,062,785,260 98.9%
--------------- ------------
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities.............................................. 26,234,060 0.3%
--------------- ------------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
Other Securities.............................................. 1,722,022 0.0%
--------------- ------------
SHARES/
FACE
AMOUNT VALUE+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@ DFA Short Term Investment Fund................................ 92,826,275 1,074,000,000 13.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $29,728 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $30,383) to be repurchased at $29,787.... $ 30 29,787 0.0%
--------------- ------------
TOTAL SECURITIES LENDING COLLATERAL................................. 1,074,029,787 13.2%
--------------- ------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,013,442,781).............................................. $ 9,164,771,129 112.4%
=============== ============
19
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- --------------
Common Stocks
Australia................... $ 3,531,691 $ 454,772,633 -- $ 458,304,324
Austria..................... -- 22,620,434 -- 22,620,434
Belgium..................... 3,306,779 93,711,467 -- 97,018,246
Canada...................... 798,969,221 -- -- 798,969,221
Denmark..................... -- 108,958,158 -- 108,958,158
Finland..................... 1,353,012 47,205,433 -- 48,558,445
France...................... 5,640,035 741,580,167 -- 747,220,202
Germany..................... 101,938,532 573,243,770 -- 675,182,302
Greece...................... -- 3,881,280 -- 3,881,280
Hong Kong................... -- 192,544,450 -- 192,544,450
Ireland..................... 5,183,802 8,095,087 -- 13,278,889
Israel...................... 2,263,802 29,473,263 -- 31,737,065
Italy....................... 15,633,330 82,727,286 -- 98,360,616
Japan....................... 107,502,998 1,526,303,006 -- 1,633,806,004
Netherlands................. 12,761,638 213,801,374 -- 226,563,012
New Zealand................. -- 6,442,372 -- 6,442,372
Norway...................... 277,936 89,656,273 -- 89,934,209
Portugal.................... -- 6,134,640 -- 6,134,640
Singapore................... -- 109,000,646 -- 109,000,646
Spain....................... 10,049,849 157,858,273 -- 167,908,122
Sweden...................... 11,721,114 268,267,698 -- 279,988,812
Switzerland................. 82,499,635 505,246,548 -- 587,746,183
United Kingdom.............. 944,918,493 713,709,135 -- 1,658,627,628
Preferred Stocks
Germany..................... -- 26,234,060 -- 26,234,060
Rights/Warrants
Spain....................... -- 1,722,022 -- 1,722,022
Securities Lending Collateral. -- 1,074,029,787 -- 1,074,029,787
-------------- -------------- -- --------------
TOTAL......................... $2,107,551,867 $7,057,219,262 -- $9,164,771,129
============== ============== == ==============
See accompanying Notes to Financial Statements.
20
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2013
(UNAUDITED)
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (89.1%)
ARGENTINA -- (0.0%)
Other Securities.................................... $ -- 0.0%
------------ -----
BRAZIL -- (8.3%)
BM&FBovespa SA...................................... 1,706,408 11,829,503 0.4%
# BRF SA ADR.......................................... 564,360 14,013,059 0.4%
# Cia de Bebidas das Americas ADR..................... 622,039 26,138,079 0.8%
# Petroleo Brasileiro SA ADR.......................... 1,246,739 23,875,052 0.7%
Petroleo Brasileiro SA Sponsored ADR................ 1,722,575 34,399,823 1.1%
# Vale SA Sponsored ADR............................... 1,249,020 21,345,752 0.7%
Other Securities.................................... 156,228,087 4.8%
------------ -----
TOTAL BRAZIL............................................ 287,829,355 8.9%
------------ -----
CHILE -- (1.9%)
Other Securities.................................... 66,458,093 2.0%
------------ -----
CHINA -- (13.8%)
Bank of China, Ltd. Class H......................... 56,613,100 26,525,169 0.8%
China Construction Bank Corp. Class H............... 54,255,590 45,537,284 1.4%
# China Life Insurance Co., Ltd. ADR.................. 329,354 13,727,475 0.4%
# China Mobile, Ltd. Sponsored ADR.................... 797,691 44,064,451 1.4%
# China Petroleum & Chemical Corp. ADR................ 106,449 11,769,001 0.4%
CNOOC, Ltd. ADR..................................... 107,285 20,098,772 0.6%
Industrial & Commercial Bank of China, Ltd. Class H. 48,967,185 34,517,198 1.1%
PetroChina Co., Ltd. ADR............................ 145,110 18,553,765 0.6%
Tencent Holdings, Ltd............................... 689,200 23,758,321 0.7%
Other Securities.................................... 241,004,490 7.4%
------------ -----
TOTAL CHINA............................................. 479,555,926 14.8%
------------ -----
COLOMBIA -- (0.6%)
Other Securities.................................... 22,560,723 0.7%
------------ -----
CZECH REPUBLIC -- (0.3%)
Other Securities.................................... 10,817,588 0.3%
------------ -----
EGYPT -- (0.1%)
Other Securities.................................... 2,439,947 0.1%
------------ -----
HUNGARY -- (0.3%)
Other Securities.................................... 11,031,169 0.3%
------------ -----
INDIA -- (7.3%)
HDFC Bank, Ltd...................................... 1,348,212 17,113,603 0.5%
ITC, Ltd............................................ 1,926,179 11,723,330 0.4%
Reliance Industries, Ltd............................ 1,432,266 20,926,146 0.7%
Other Securities.................................... 202,366,499 6.2%
------------ -----
TOTAL INDIA............................................. 252,129,578 7.8%
------------ -----
INDONESIA -- (3.4%)
Astra International Tbk PT.......................... 17,653,110 13,357,167 0.4%
Bank Central Asia Tbk PT............................ 10,755,500 11,904,930 0.4%
Other Securities.................................... 91,935,453 2.8%
------------ -----
TOTAL INDONESIA......................................... 117,197,550 3.6%
------------ -----
21
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (3.8%)
CIMB Group Holdings Bhd...................... 4,317,654 $ 10,991,673 0.3%
Malayan Banking Bhd.......................... 3,948,467 12,491,220 0.4%
Other Securities............................. 106,879,878 3.3%
------------ -----
TOTAL MALAYSIA................................... 130,362,771 4.0%
------------ -----
MEXICO -- (5.8%)
# America Movil S.A.B. de C.V. Series L........ 30,952,095 33,163,960 1.0%
#* Cemex S.A.B. de C.V. Sponsored ADR........... 1,189,806 13,385,315 0.4%
Fomento Economico Mexicano S.A.B. de C.V..... 1,793,669 20,341,140 0.6%
Grupo Financiero Banorte S.A.B. de C.V....... 1,899,876 14,316,781 0.5%
Grupo Mexico S.A.B. de C.V. Series B......... 3,579,616 12,850,569 0.4%
Wal-Mart de Mexico S.A.B. de C.V. Series V... 4,498,650 14,271,431 0.4%
Other Securities............................. 91,726,621 2.9%
------------ -----
TOTAL MEXICO..................................... 200,055,817 6.2%
------------ -----
PERU -- (0.3%)
Other Securities............................. 11,564,386 0.4%
------------ -----
PHILIPPINES -- (1.4%)
Other Securities............................. 48,983,992 1.5%
------------ -----
POLAND -- (1.4%)
Other Securities............................. 48,752,482 1.5%
------------ -----
RUSSIA -- (4.0%)
Gazprom OAO Sponsored ADR.................... 4,589,920 36,553,949 1.1%
Lukoil OAO Sponsored ADR..................... 376,321 23,927,966 0.8%
* Sberbank of Russia Sponsored ADR............. 2,075,152 26,783,406 0.8%
Other Securities............................. 53,051,008 1.6%
------------ -----
TOTAL RUSSIA..................................... 140,316,329 4.3%
------------ -----
SOUTH AFRICA -- (6.6%)
MTN Group, Ltd............................... 1,575,988 28,440,253 0.9%
Naspers, Ltd. Class N........................ 326,129 21,854,757 0.7%
# Sasol, Ltd. Sponsored ADR.................... 536,546 23,296,827 0.7%
Standard Bank Group, Ltd..................... 1,027,873 12,853,018 0.4%
Other Securities............................. 142,945,694 4.4%
------------ -----
TOTAL SOUTH AFRICA............................... 229,390,549 7.1%
------------ -----
SOUTH KOREA -- (13.4%)
Hyundai Mobis................................ 59,213 13,463,202 0.4%
Hyundai Motor Co............................. 138,348 25,121,651 0.8%
Kia Motors Corp.............................. 243,530 12,147,541 0.4%
POSCO........................................ 50,240 14,440,334 0.4%
Samsung Electronics Co., Ltd................. 67,106 92,808,886 2.9%
Samsung Electronics Co., Ltd. GDR............ 49,372 34,194,144 1.1%
Shinhan Financial Group Co., Ltd............. 311,456 10,787,931 0.3%
* SK Hynix, Inc................................ 449,290 12,237,015 0.4%
Other Securities............................. 250,005,137 7.7%
------------ -----
TOTAL SOUTH KOREA................................ 465,205,841 14.4%
------------ -----
TAIWAN -- (11.3%)
Hon Hai Precision Industry Co., Ltd.......... 9,204,506 23,791,587 0.7%
# MediaTek, Inc................................ 990,995 12,093,658 0.4%
Taiwan Semiconductor Manufacturing Co., Ltd.. 21,315,808 79,112,153 2.5%
Other Securities............................. 276,933,114 8.5%
------------ -----
TOTAL TAIWAN..................................... 391,930,512 12.1%
------------ -----
22
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
THAILAND -- (3.0%)
Other Securities............................................... $ 102,810,136 3.2%
-------------- ------
TURKEY -- (2.1%)
Turkiye Garanti Bankasi A.S.................................... 2,049,990 11,342,423 0.4%
Other Securities............................................... 62,125,687 1.9%
-------------- ------
TOTAL TURKEY......................................................... 73,468,110 2.3%
-------------- ------
TOTAL COMMON STOCKS.................................................. 3,092,860,854 95.5%
-------------- ------
PREFERRED STOCKS -- (3.6%)
BRAZIL -- (3.5%)
Banco Bradesco SA.............................................. 1,859,495 30,567,932 1.0%
Itau Unibanco Holding SA....................................... 1,841,700 30,882,936 1.0%
Vale SA........................................................ 1,412,691 22,940,562 0.7%
Other Securities............................................... 37,412,800 1.0%
-------------- ------
TOTAL BRAZIL......................................................... 121,804,230 3.7%
-------------- ------
CHILE -- (0.0%)
Other Securities............................................... 62,886 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities............................................... 1,939,621 0.1%
-------------- ------
TOTAL PREFERRED STOCKS............................................... 123,806,737 3.8%
-------------- ------
SHARES/
FACE
AMOUNT VALUE+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (7.3%)
(S)@ DFA Short Term Investment Fund................................. 21,953,328 254,000,000 7.9%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $672,232 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $687,049) to be repurchased at
$673,580...................................................... $674 673,577 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................. 254,673,577 7.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,273,277,183)............................................... $3,471,341,168 107.2%
============== ======
23
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2013, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- --------------
Common Stocks
Argentina................... -- -- -- --
Brazil...................... $ 287,829,355 -- -- $ 287,829,355
Chile....................... 66,458,093 -- -- 66,458,093
China....................... 122,663,557 $ 356,892,369 -- 479,555,926
Colombia.................... 22,560,723 -- -- 22,560,723
Czech Republic.............. -- 10,817,588 -- 10,817,588
Egypt....................... -- 2,439,947 -- 2,439,947
Hungary..................... -- 11,031,169 -- 11,031,169
India....................... 21,058,300 231,071,278 -- 252,129,578
Indonesia................... 54,580 117,142,970 -- 117,197,550
Malaysia.................... -- 130,362,771 -- 130,362,771
Mexico...................... 200,055,817 -- -- 200,055,817
Peru........................ 11,564,386 -- -- 11,564,386
Philippines................. 131,952 48,852,040 -- 48,983,992
Poland...................... -- 48,752,482 -- 48,752,482
Russia...................... 5,504,158 134,812,171 -- 140,316,329
South Africa................ 37,454,179 191,936,370 -- 229,390,549
South Korea................. 14,988,974 450,216,867 -- 465,205,841
Taiwan...................... 9,963,049 381,967,463 -- 391,930,512
Thailand.................... 102,810,136 -- -- 102,810,136
Turkey...................... 1,153,350 72,314,760 -- 73,468,110
Preferred Stocks
Brazil...................... 121,804,230 -- -- 121,804,230
Chile....................... 62,886 -- -- 62,886
Colombia.................... 1,939,621 -- -- 1,939,621
Securities Lending Collateral. -- 254,673,577 -- 254,673,577
-------------- -------------- -- --------------
TOTAL......................... $1,028,057,346 $2,443,283,822 -- $3,471,341,168
============== ============== == ==============
See accompanying Notes to Financial Statements.
24
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2013
(Unaudited)
(Amounts in thousands)
The DFA International The Emerging
Value Series* Markets Series*
--------------------- ---------------
ASSETS:
Investments at Value (including $1,079,372 and $291,960 of securities on loan,
respectively)................................................................. $8,090,741 $3,216,667
Collateral Received from Securities on Loan at Value & Cost.................... 30 674
Collateral from Securities on Loan Invested in Affiliate at Value & Cost....... 1,074,000 254,000
Foreign Currencies at Value.................................................... 17,594 5,209
Cash........................................................................... 5,476 10,713
Receivables:
Investment Securities Sold................................................... 7,780 423
Dividends, Interest and Tax Reclaims......................................... 34,835 7,169
Securities Lending Income.................................................... 3,404 250
Unrealized Gain on Foreign Currency Contracts.................................. 3 2
Prepaid Expenses and Other Assets.............................................. 11 6
---------- ----------
Total Assets.............................................................. 9,233,874 3,495,113
---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................. 1,074,030 254,674
Investment Securities Purchased.............................................. 2,569 3,026
Due to Advisor............................................................... 1,281 259
Accrued Expenses and Other Liabilities......................................... 508 472
---------- ----------
Total Liabilities......................................................... 1,078,388 258,431
---------- ----------
NET ASSETS..................................................................... $8,155,486 $3,236,682
========== ==========
Investments at Cost............................................................ $6,939,413 $2,018,603
========== ==========
Foreign Currencies at Cost..................................................... $ 17,474 $ 5,195
========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
25
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2013
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE DFA INTERNATIONAL THE EMERGING
VALUE SERIES MARKETS SERIES
--------------------- --------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $8,987 and $3,717, respectively). $121,813 $ 26,463
Interest..................................................................... 4 --
Income from Securities Lending............................................... 6,433 1,948
-------- --------
Total Investment Income................................................... 128,250 28,411
-------- --------
EXPENSES
Investment Advisory Services Fees............................................ 7,612 1,555
Accounting & Transfer Agent Fees............................................. 316 136
Custodian Fees............................................................... 596 938
Shareholders' Reports........................................................ 15 6
Directors'/Trustees' Fees & Expenses......................................... 32 13
Professional Fees............................................................ 108 57
Other........................................................................ 51 24
-------- --------
Total Expenses............................................................ 8,730 2,729
-------- --------
Fees Paid Indirectly......................................................... (10) (15)
-------- --------
Net Expenses................................................................. 8,720 2,714
-------- --------
NET INVESTMENT INCOME (LOSS)................................................. 119,530 25,697
-------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold................................................. 125,856 24,873
Foreign Currency Transactions*............................................. (1,511) 35
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................. 751,722 132,313
Translation of Foreign Currency Denominated Amounts........................ 80 (2)
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................................... 876,147 157,219
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................ $995,677 $182,916
======== ========
----------
* Net of foreign capital gain taxes withheld of $3 and $0, respectively.
See accompanying Notes to Financial Statements.
26
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The DFA International The Emerging
Value Series Markets Series
---------------------- ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2013 2012 2013 2012
----------- ---------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................ $ 119,530 $ 260,321 $ 25,697 $ 67,879
Net Realized Gain (Loss) on:
Investment Securities Sold................................ 125,856 133,256 24,873 34,169
Foreign Currency Transactions*............................ (1,511) (1,249) 35 (571)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 751,722 (157,327) 132,313 24,259
Translation of Foreign Currency Denominated Amounts....... 80 (266) (2) 20
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 995,677 234,735 182,916 125,756
---------- ---------- ---------- ----------
Transactions in Interest:
Contributions............................................... 277,763 699,069 300,335 523,537
Withdrawals................................................. (356,203) (651,462) (159,876) (175,967)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest.... (78,440) 47,607 140,459 347,570
---------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets.................. 917,237 282,342 323,375 473,326
Net Assets
Beginning of Period......................................... 7,238,249 6,955,907 2,913,307 2,439,981
---------- ---------- ---------- ----------
End of Period............................................... $8,155,486 $7,238,249 $3,236,682 $2,913,307
========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $3, $0, $0 and $13,
respectively.
See accompanying Notes to Financial Statements.
27
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
--------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2013 2012
-----------------------------------------------------------------------------------------------------
(Unaudited)
-----------------------------------------------------------------------------------------------------
Total Return............................................................. 14.00%(C) 3.17%
-----------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................... $8,155,486 $7,238,249
Ratio of Expenses to Average Net Assets.................................. 0.23%(B) 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.23%(B) 0.24%
Ratio of Net Investment Income to Average Net Assets..................... 3.16%(B) 3.75%
Portfolio Turnover Rate.................................................. 7%(C) 14%
-----------------------------------------------------------------------------------------------------
The DFA International Value Series +
----------------------------------------------------------
Year Year Year
Ended Ended Ended Period
Oct. 31, Oct. 31, Oct. 31, Dec. 1, 2007
2011 2010 2009 to Oct. 31, 2008
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Total Return............................................................. (8.04)% 11.13% 35.41% (47.87)%(C)
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................... $6,955,907 $6,919,633 $6,191,964 $4,700,337
Ratio of Expenses to Average Net Assets.................................. 0.23% 0.24% 0.24% 0.23%(B)
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.23% 0.24% 0.24% 0.23%(B)
Ratio of Net Investment Income to Average Net Assets..................... 3.47% 2.55% 3.22% 4.15%(B)
Portfolio Turnover Rate.................................................. 9% 20% 18% 16%(C)
----------------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Nov. 30,
2007
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
Total Return............................................................. 17.32%
-------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................... $9,638,721
Ratio of Expenses to Average Net Assets.................................. 0.23%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.23%
Ratio of Net Investment Income to Average Net Assets..................... 3.04%
Portfolio Turnover Rate.................................................. 16%
-------------------------------------------------------------------------------------
--------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2013 2012
-----------------------------------------------------------------------------------------------------
(Unaudited)
-----------------------------------------------------------------------------------------------------
Total Return............................................................. 6.26%(C) 4.55%
-----------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................... $3,236,682 $2,913,307
Ratio of Expenses to Average Net Assets.................................. 0.18%(B) 0.20%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.18%(B) 0.20%
Ratio of Net Investment Income to Average Net Assets..................... 1.67%(B) 2.55%
Portfolio Turnover Rate.................................................. 2%(C) 5%
-----------------------------------------------------------------------------------------------------
The Emerging Markets Series
----------------------------------------------------------
Year Year Year
Ended Ended Ended Period
Oct. 31, Oct. 31, Oct. 31, Dec. 1, 2007
2011 2010 2009 to Oct. 31, 2008
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
Total Return............................................................. (6.44)% 27.04% 53.99% (48.15)%(C)
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................... $2,439,981 $2,529,493 $2,109,316 $1,624,524
Ratio of Expenses to Average Net Assets.................................. 0.20% 0.19% 0.20% 0.18%(B)
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.20% 0.19% 0.20% 0.18%(B)
Ratio of Net Investment Income to Average Net Assets..................... 2.48% 2.18% 2.57% 3.00%(B)
Portfolio Turnover Rate.................................................. 16% 12% 14% 19%(C)
----------------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Nov. 30,
2007
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
Total Return............................................................. 42.62%
-------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................... $3,707,790
Ratio of Expenses to Average Net Assets.................................. 0.19%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.19%
Ratio of Net Investment Income to Average Net Assets..................... 2.52%
Portfolio Turnover Rate.................................................. 7%
-------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
28
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, two of which, The DFA
International Value Series and The Emerging Markets Series (the "Series"), are
presented in this report. The remaining portfolios are presented in separate
reports.
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 Series is a result of the treatment of a partnership for
book purposes. The Series will maintain its books and records and present its
financial statements in accordance with generally accepted accounting
principles for investment partnerships.
At a regular meeting of the Board of Directors/Trustees (the "Board") on
September 16, 2008, the Board voted to change the fiscal and tax year ends of
the Series from November 30 to October 31.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series (including over-the-counter securities) are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices which approximate fair value. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Generally, securities issued by open-end investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
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
29
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.
The Series 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 each Series is computed. Due to the time differences between the
closings of the relevant foreign securities exchanges and the time each Series
prices its shares at the close of the NYSE, the Series 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 each Series' foreign investments since
the last closing prices of the foreign investments were calculated on their
primary foreign securities markets or exchanges. For these purposes, the Board
of Directors/Trustees of the Series 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 Series utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the Series use fair value
pricing, the values assigned to the 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.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules 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.
For the six months ended April 30, 2013, there were no significant transfers
between Level 1 and Level 2, and no Level 3 investments held by the Series.
2. Foreign Currency Translation: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The Series 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 amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible 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
30
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 April 30, 2013, 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 gains 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 the Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board, generally based on average net assets.
The Series may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Series accrue
such taxes when the related income or capital gains are earned or throughout
the holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Emerging Markets Series is subject to a 15% tax on short-term capital
gains for investments in India. Such taxes are due upon sale of individual
securities. The capital gains taxes are recognized when the capital gains are
earned.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to each Series. For the six months ended April 30, 2013, the
investment advisory services fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20% and 0.10% of average daily
net assets for The DFA International Value Series and The Emerging Markets
Series, respectively.
Earned Income Credit:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2013, expenses reduced were as follows (amounts in
thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series. $10
The Emerging Markets Series........ 15
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2013, the total
related amounts paid by the Trust to the CCO were $28 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
31
D. Deferred Compensation:
At April 30, 2013, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
The DFA International Value Series. $213
The Emerging Markets Series........ 74
E. Purchases and Sales of Securities:
For the six months ended April 30, 2013, the Series made the following
purchases and sales of investment securities, other than short-term investments
and U.S. government securities (amounts in thousands):
Purchases Sales
--------- --------
The DFA International Value Series. $581,405 $544,320
The Emerging Markets Series........ 227,043 64,839
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2013, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
---------- ------------ ------------ --------------
The DFA International Value Series. $8,018,298 $1,779,021 $(632,548) $1,146,473
The Emerging Markets Series........ 2,275,995 1,326,980 (131,634) 1,195,346
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each of the Series' federal tax returns for the prior three fiscal years
remains subject to examination by the Internal Revenue Service.
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.
32
2. Foreign Market 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 government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of securities held
by the Series may be inhibited.
H. Line of Credit:
The Trust, together with other Dimensional-advised portfolios, entered into
a $250 million unsecured discretionary line of credit effective June 22, 2011
with The Bank of New York Mellon, which was terminated by The Bank of New York
Mellon effective March 29, 2013. Prior to termination, each portfolio was
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 did not
exceed $250 million in the aggregate. Borrowings under the line of credit were
charged interest at rates agreed upon by the parties at the time of
borrowing. Each portfolio was individually, and not jointly, liable for its
particular advances under the line of credit. There was no commitment fee on
the unused portion of the line of credit. There were no borrowings by the
Series under this line of credit during the six months ended April 30, 2013.
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million unsecured discretionary line of credit effective March 04,
2013 with its domestic 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. 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 March 3,
2014. There were no borrowings by the Series under this line of credit during
the period ended April 30, 2013.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 11, 2013 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 10, 2014.
For the six months ended April 30, 2013, 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 DFA International Value Series. 0.94% $6,138 27 $4 $20,182
The Emerging Markets Series........ 0.91% 5,831 26 4 31,246
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2013, that each Series' available line
of credit was utilized.
There were no outstanding borrowings by the Series under this line of credit
as of April 30, 2013.
I. Securities Lending:
As of April 30, 2013, each Series had securities on loan to brokers/dealers,
for which each Series received cash collateral. In addition, The DFA
International Value Series and The Emerging Markets Series received non-cash
collateral consisting of short and/or long term U.S. Treasury securities with a
market value of $58,525 and $56,655 (in thousands), respectively. 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
33
respect to U.S. securities, and (iii) 105% of the current market value of the
loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. 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 trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. In-Kind Redemptions:
In accordance with guidelines described in the Series' registration
statement, the Series may distribute portfolio securities rather than cash as
payment for a redemption of fund shares (in-kind redemption). For financial
reporting purposes, a Series 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.
For the six months ended April 30, 2013, the Series had no in-kind
redemptions.
L. 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.
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.
34
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.
35
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 14, 2012 (the "Meeting"), the Board of
Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreements and the sub-advisory
agreements for each series (collectively, the "Funds"). Dimensional Fund
Advisors Ltd. and DFA Australia Limited each serves as a sub-advisor to the
Funds. (The investment management agreements and the sub-advisory agreements
are referred to as the "Advisory Agreements," and the Advisor and sub-advisors
are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that the performance of each Fund was reasonable as
compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
36
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative fees paid by the
feeder portfolios. The Board considered the profitability to the Advisor of
managing the Funds and other "non-1940 Act registered" investment vehicles.
Upon closely examining the Advisor's profitability, the Board concluded, among
other things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
37
[LOGO] DFA043013-011S
ITEM 2.CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3.AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4.PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5.AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6.INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant or the master fund in which the series of the Registrant invests
that provided a summary schedule of portfolio holdings in a report to
stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF
INVESTMENTS IS PROVIDED RELATIONSHIP TO SERIES OF THE REGISTRANT
------------------------------------ ------------------------------------------
U.S. Large Company Portfolio Series of Registrant
The U.S. Large Cap Value Series Master fund for U.S. Large Cap Value
Portfolio II, U.S. Large Cap Value
Portfolio III and LWAS/DFA U.S. High
Book to Market Portfolio
The DFA International Value Series Master fund for DFA International Value
Portfolio, DFA International Value
Portfolio II, DFA International Value
Portfolio III and DFA International Value
Portfolio IV
The Emerging Markets Series Master fund for Emerging Markets
Portfolio II
The Tax-Managed U.S. Marketwide Value Master fund for Tax-Managed U.S.
Series Marketwide Value Portfolio II
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
------------------------
Investment Abbreviations
ADR American Depository Receipt
FNMA Federal National Mortgage Association
GDR Global Depository Receipt
NVDR Non-Voting Depository Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Security Valuation Note within the Notes to Schedules of Investments.
++ Securities have generally been fair valued. See Security Valuation
Note within the Notes to Schedules of Investments.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from securities on loan.
(o) Security is being fair valued as of April 30, 2013.
-- Amounts designated as -- are either zero or rounded to zero.
(S) Affiliated Fund.
1
U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2013
(UNAUDITED)
SHARES VALUE+
--------- -----------
COMMON STOCKS -- (90.8%)
Consumer Discretionary -- (10.7%)
#Abercrombie & Fitch Co. Class A................................... 24,939 $ 1,235,977
*Amazon.com, Inc................................................... 113,984 28,930,279
#*Apollo Group, Inc. Class A........................................ 31,395 576,726
*AutoNation, Inc................................................... 12,135 552,264
#*AutoZone, Inc..................................................... 11,387 4,658,308
#*Bed Bath & Beyond, Inc............................................ 70,883 4,876,750
#Best Buy Co., Inc................................................. 83,368 2,166,734
*BorgWarner, Inc................................................... 36,247 2,833,428
#Cablevision Systems Corp. Class A................................. 67,231 999,053
#*CarMax, Inc....................................................... 71,520 3,292,781
Carnival Corp..................................................... 139,246 4,805,379
CBS Corp. Class B................................................. 183,407 8,396,372
#*Chipotle Mexican Grill, Inc....................................... 9,726 3,532,386
#Coach, Inc........................................................ 88,012 5,180,386
Comcast Corp. Class A............................................. 827,357 34,169,844
Darden Restaurants, Inc........................................... 40,547 2,093,442
Delphi Automotive P.L.C........................................... 91,913 4,247,300
*DIRECTV........................................................... 179,646 10,160,778
#*Discovery Communications, Inc. Class A............................ 76,875 6,059,288
*Dollar General Corp............................................... 94,792 4,937,715
*Dollar Tree, Inc.................................................. 71,218 3,387,128
#DR Horton, Inc.................................................... 87,626 2,285,286
Expedia, Inc...................................................... 29,282 1,635,107
#Family Dollar Stores, Inc......................................... 30,128 1,848,955
Ford Motor Co..................................................... 1,229,442 16,855,650
*Fossil, Inc....................................................... 16,741 1,642,627
#GameStop Corp. Class A............................................ 37,984 1,325,642
#Gannett Co., Inc.................................................. 72,027 1,452,064
Gap, Inc. (The)................................................... 93,171 3,539,566
#Garmin, Ltd....................................................... 34,332 1,204,367
#Genuine Parts Co.................................................. 48,543 3,705,287
*Goodyear Tire & Rubber Co. (The).................................. 76,921 961,128
#H&R Block, Inc.................................................... 85,037 2,358,926
Harley-Davidson, Inc.............................................. 70,871 3,873,100
Harman International Industries, Inc.............................. 21,294 952,055
#Hasbro, Inc....................................................... 35,915 1,701,294
Home Depot, Inc. (The)............................................ 468,669 34,376,871
International Game Technology..................................... 82,877 1,404,765
Interpublic Group of Cos., Inc. (The)............................. 129,741 1,795,615
#JC Penney Co., Inc................................................ 44,669 733,465
Johnson Controls, Inc............................................. 214,502 7,509,715
#Kohl's Corp....................................................... 66,329 3,121,443
L Brands, Inc..................................................... 75,024 3,781,960
#Leggett & Platt, Inc.............................................. 44,751 1,442,772
#Lennar Corp. Class A.............................................. 51,751 2,133,176
Lowe's Cos., Inc.................................................. 347,933 13,367,586
Macy's, Inc....................................................... 123,900 5,525,940
#Marriott International, Inc. Class A.............................. 76,366 3,288,320
Mattel, Inc....................................................... 107,987 4,930,686
McDonald's Corp................................................... 314,328 32,105,462
#*Netflix, Inc...................................................... 17,551 3,792,245
2
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Discretionary -- (Continued)
Newell Rubbermaid, Inc............................................ 89,773 $ 2,364,621
News Corp. Class A................................................ 626,819 19,412,584
NIKE, Inc......................................................... 227,418 14,463,785
#Nordstrom, Inc.................................................... 46,930 2,655,769
*O'Reilly Automotive, Inc.......................................... 34,888 3,744,180
#Omnicom Group, Inc................................................ 81,938 4,897,434
#PetSmart, Inc..................................................... 33,688 2,298,869
*priceline.com, Inc................................................ 15,632 10,879,716
*PulteGroup, Inc................................................... 106,639 2,238,353
PVH Corp.......................................................... 24,483 2,825,583
Ralph Lauren Corp................................................. 19,051 3,459,281
Ross Stores, Inc.................................................. 69,706 4,605,475
#Scripps Networks Interactive, Inc. Class A........................ 26,975 1,795,996
#Staples, Inc...................................................... 211,230 2,796,685
Starbucks Corp.................................................... 234,870 14,289,491
Starwood Hotels & Resorts Worldwide, Inc.......................... 60,721 3,917,719
Target Corp....................................................... 203,993 14,393,746
#Tiffany & Co...................................................... 37,353 2,752,169
Time Warner Cable, Inc............................................ 92,629 8,696,937
Time Warner, Inc.................................................. 293,012 17,516,257
TJX Cos., Inc..................................................... 228,586 11,148,139
#*TripAdvisor, Inc.................................................. 34,491 1,813,537
*Urban Outfitters, Inc............................................. 34,302 1,421,475
VF Corp........................................................... 27,642 4,926,357
Viacom, Inc. Class B.............................................. 142,738 9,133,805
Walt Disney Co. (The)............................................. 565,920 35,562,413
#Washington Post Co. (The) Class B................................. 1,419 629,099
Whirlpool Corp.................................................... 24,619 2,813,459
Wyndham Worldwide Corp............................................ 42,828 2,573,106
#Wynn Resorts, Ltd................................................. 25,005 3,433,187
Yum! Brands, Inc.................................................. 141,282 9,624,130
------------
Total Consumer Discretionary......................................... 524,826,750
------------
Consumer Staples -- (10.1%)
Altria Group, Inc................................................. 629,995 23,001,117
Archer-Daniels-Midland Co......................................... 206,438 7,006,506
Avon Products, Inc................................................ 135,499 3,138,157
Beam, Inc......................................................... 50,254 3,251,936
#Brown-Forman Corp. Class B........................................ 47,507 3,349,244
#Campbell Soup Co.................................................. 56,176 2,607,128
#Clorox Co. (The).................................................. 41,050 3,540,562
Coca-Cola Co. (The)............................................... 1,201,396 50,855,093
Coca-Cola Enterprises, Inc........................................ 82,255 3,013,001
Colgate-Palmolive Co.............................................. 137,805 16,455,295
ConAgra Foods, Inc................................................ 129,724 4,588,338
*Constellation Brands, Inc. Class A................................ 47,778 2,357,844
Costco Wholesale Corp............................................. 136,551 14,806,225
CVS Caremark Corp................................................. 385,922 22,452,942
#*Dean Foods Co..................................................... 58,277 1,115,422
Dr Pepper Snapple Group, Inc...................................... 63,829 3,116,770
#Estee Lauder Cos., Inc. (The) Class A............................. 75,141 5,211,028
General Mills, Inc................................................ 202,677 10,218,974
3
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Staples -- (Continued)
#Hershey Co. (The)................................................. 47,061 $ 4,195,959
HJ Heinz Co....................................................... 100,509 7,278,862
#Hormel Foods Corp................................................. 42,141 1,739,159
JM Smucker Co. (The).............................................. 33,619 3,470,489
Kellogg Co........................................................ 78,271 5,090,746
#Kimberly-Clark Corp............................................... 121,501 12,537,688
Kraft Foods Group, Inc............................................ 185,733 9,563,392
Kroger Co. (The).................................................. 162,505 5,586,922
Lorillard, Inc.................................................... 118,911 5,100,093
#McCormick & Co., Inc.............................................. 41,589 2,991,913
Mead Johnson Nutrition Co......................................... 63,480 5,147,593
Molson Coors Brewing Co. Class B.................................. 48,919 2,524,220
Mondelez International, Inc. Class A.............................. 557,409 17,530,513
*Monster Beverage Corp............................................. 45,144 2,546,122
PepsiCo, Inc...................................................... 483,590 39,881,667
Philip Morris International, Inc.................................. 516,504 49,372,617
Procter & Gamble Co. (The)........................................ 856,245 65,733,929
#Reynolds American, Inc............................................ 100,853 4,782,449
#Safeway, Inc...................................................... 75,103 1,691,320
#Sysco Corp........................................................ 183,681 6,403,120
#Tyson Foods, Inc. Class A......................................... 88,904 2,189,706
Wal-Mart Stores, Inc.............................................. 524,287 40,747,586
#Walgreen Co....................................................... 269,583 13,347,054
#Whole Foods Market, Inc........................................... 54,026 4,771,576
------------
Total Consumer Staples............................................... 494,310,277
------------
Energy -- (9.6%)
Anadarko Petroleum Corp........................................... 156,903 13,299,098
Apache Corp....................................................... 122,797 9,072,242
Baker Hughes, Inc................................................. 138,485 6,285,834
Cabot Oil & Gas Corp.............................................. 65,960 4,488,578
*Cameron International Corp........................................ 77,690 4,781,820
Chesapeake Energy Corp............................................ 163,216 3,189,241
Chevron Corp...................................................... 608,945 74,297,379
ConocoPhillips.................................................... 382,724 23,135,666
CONSOL Energy, Inc................................................ 71,509 2,405,563
*Denbury Resources, Inc............................................ 117,063 2,094,257
#Devon Energy Corp................................................. 118,353 6,516,516
#Diamond Offshore Drilling, Inc.................................... 21,789 1,505,620
Ensco P.L.C. Class A.............................................. 72,862 4,202,680
EOG Resources, Inc................................................ 85,180 10,320,409
EQT Corp.......................................................... 47,190 3,544,913
#Exxon Mobil Corp.................................................. 1,404,412 124,978,624
*FMC Technologies, Inc............................................. 74,517 4,046,273
Halliburton Co.................................................... 292,079 12,492,219
#Helmerich & Payne, Inc............................................ 33,309 1,952,574
Hess Corp......................................................... 93,136 6,722,556
Kinder Morgan, Inc................................................ 198,026 7,742,817
Marathon Oil Corp................................................. 221,834 7,247,317
Marathon Petroleum Corp........................................... 103,889 8,140,742
#Murphy Oil Corp................................................... 56,776 3,525,222
Nabors Industries, Ltd............................................ 91,226 1,349,233
4
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Energy -- (Continued)
National Oilwell Varco, Inc....................................... 133,731 $ 8,721,936
*Newfield Exploration Co........................................... 42,385 923,569
Noble Corp........................................................ 79,216 2,970,600
Noble Energy, Inc................................................. 56,287 6,376,754
Occidental Petroleum Corp......................................... 252,490 22,537,257
Peabody Energy Corp............................................... 84,516 1,695,391
Phillips 66....................................................... 194,813 11,873,852
Pioneer Natural Resources Co...................................... 41,488 5,071,078
#QEP Resources, Inc................................................ 55,967 1,606,813
Range Resources Corp.............................................. 51,043 3,752,681
*Rowan Cos. P.L.C. Class A......................................... 38,946 1,266,913
Schlumberger, Ltd................................................. 416,345 30,988,558
*Southwestern Energy Co............................................ 110,033 4,117,435
#Spectra Energy Corp............................................... 209,428 6,603,265
Tesoro Corp....................................................... 43,076 2,300,258
#Valero Energy Corp................................................ 173,318 6,988,182
Williams Cos., Inc. (The)......................................... 213,628 8,145,636
#*WPX Energy, Inc................................................... 62,732 980,501
------------
Total Energy......................................................... 474,258,072
------------
Financials -- (14.6%)
ACE, Ltd.......................................................... 106,360 9,480,930
#Aflac, Inc........................................................ 146,615 7,981,721
Allstate Corp. (The).............................................. 149,657 7,372,104
American Express Co............................................... 301,242 20,607,965
*American International Group, Inc................................. 462,757 19,167,395
American Tower Corp............................................... 123,846 10,401,826
Ameriprise Financial, Inc......................................... 63,779 4,753,449
Aon P.L.C......................................................... 97,663 5,893,962
Apartment Investment & Management Co. Class A..................... 45,707 1,421,945
Assurant, Inc..................................................... 24,702 1,174,333
AvalonBay Communities, Inc........................................ 35,664 4,744,739
Bank of America Corp.............................................. 3,391,650 41,751,211
Bank of New York Mellon Corp. (The)............................... 364,700 10,291,834
BB&T Corp......................................................... 219,362 6,749,769
*Berkshire Hathaway, Inc. Class B.................................. 571,719 60,785,164
#BlackRock, Inc.................................................... 39,422 10,505,963
Boston Properties, Inc............................................ 47,531 5,201,317
Capital One Financial Corp........................................ 182,508 10,545,312
*CBRE Group, Inc. Class A.......................................... 95,353 2,309,450
#Charles Schwab Corp. (The)........................................ 344,506 5,842,822
Chubb Corp. (The)................................................. 81,803 7,204,390
Cincinnati Financial Corp......................................... 46,047 2,252,159
Citigroup, Inc.................................................... 952,508 44,444,023
CME Group, Inc.................................................... 96,197 5,854,549
#Comerica, Inc..................................................... 58,825 2,132,406
Discover Financial Services....................................... 155,283 6,792,078
*E*TRADE Financial Corp............................................ 89,449 920,430
Equity Residential................................................ 100,411 5,829,863
Fifth Third Bancorp............................................... 274,359 4,672,334
#First Horizon National Corp....................................... 76,295 793,468
Franklin Resources, Inc........................................... 43,301 6,696,933
5
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Financials -- (Continued)
*Genworth Financial, Inc. Class A.................................. 154,442 $ 1,549,053
Goldman Sachs Group, Inc. (The)................................... 137,158 20,034,669
#Hartford Financial Services Group, Inc............................ 136,852 3,844,173
HCP, Inc.......................................................... 142,113 7,574,623
Health Care REIT, Inc............................................. 81,760 6,129,547
#Host Hotels & Resorts, Inc........................................ 227,786 4,161,650
Hudson City Bancorp, Inc.......................................... 149,007 1,238,248
Huntington Bancshares, Inc........................................ 263,929 1,892,371
#*IntercontinentalExchange, Inc..................................... 22,773 3,710,405
Invesco, Ltd...................................................... 138,212 4,386,849
JPMorgan Chase & Co............................................... 1,199,732 58,798,865
KeyCorp........................................................... 289,586 2,887,172
Kimco Realty Corp................................................. 127,852 3,040,321
Legg Mason, Inc................................................... 35,974 1,146,132
Leucadia National Corp............................................ 91,943 2,840,119
Lincoln National Corp............................................. 85,091 2,893,945
Loews Corp........................................................ 97,041 4,334,821
#M&T Bank Corp..................................................... 38,332 3,840,866
Marsh & McLennan Cos., Inc........................................ 171,889 6,533,501
McGraw-Hill Cos., Inc. (The)...................................... 88,017 4,762,600
MetLife, Inc...................................................... 342,789 13,365,343
#Moody's Corp...................................................... 60,739 3,695,968
Morgan Stanley.................................................... 430,333 9,531,876
NASDAQ OMX Group, Inc. (The)...................................... 36,871 1,086,957
#Northern Trust Corp............................................... 68,217 3,678,261
NYSE Euronext..................................................... 76,169 2,956,119
#People's United Financial, Inc.................................... 106,157 1,397,026
#Plum Creek Timber Co., Inc........................................ 50,882 2,622,458
PNC Financial Services Group, Inc. (The).......................... 165,639 11,243,575
#Principal Financial Group, Inc.................................... 86,449 3,120,809
Progressive Corp. (The)........................................... 174,156 4,404,405
Prologis, Inc..................................................... 154,784 6,493,189
Prudential Financial, Inc......................................... 145,756 8,806,577
Public Storage.................................................... 45,215 7,460,475
Regions Financial Corp............................................ 443,032 3,761,342
Simon Property Group, Inc......................................... 98,322 17,508,199
SLM Corp.......................................................... 142,101 2,934,386
State Street Corp................................................. 143,210 8,373,489
SunTrust Banks, Inc............................................... 168,933 4,941,290
#T Rowe Price Group, Inc........................................... 81,187 5,886,057
Torchmark Corp.................................................... 29,356 1,822,127
Travelers Cos., Inc. (The)........................................ 118,471 10,118,608
U.S. Bancorp...................................................... 584,084 19,438,315
Unum Group........................................................ 84,568 2,358,602
Ventas, Inc....................................................... 91,511 7,287,021
Vornado Realty Trust.............................................. 53,095 4,648,998
Wells Fargo & Co.................................................. 1,536,523 58,357,144
#Weyerhaeuser Co................................................... 170,923 5,214,861
XL Group P.L.C.................................................... 92,455 2,879,049
Zions BanCorp..................................................... 57,734 1,421,411
------------
Total Financials..................................................... 716,989,711
------------
6
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- -----------
Health Care -- (11.5%)
Abbott Laboratories............................................... 492,334 $18,176,971
AbbVie, Inc....................................................... 495,465 22,816,163
*Actavis, Inc...................................................... 40,069 4,236,495
Aetna, Inc........................................................ 102,813 5,905,579
Agilent Technologies, Inc......................................... 108,758 4,506,932
*Alexion Pharmaceuticals, Inc...................................... 61,189 5,996,522
Allergan, Inc..................................................... 96,402 10,946,447
AmerisourceBergen Corp............................................ 72,148 3,904,650
Amgen, Inc........................................................ 234,598 24,447,458
Baxter International, Inc......................................... 171,123 11,956,364
#Becton Dickinson and Co........................................... 60,798 5,733,251
*Biogen Idec, Inc.................................................. 74,072 16,216,583
#*Boston Scientific Corp............................................ 425,489 3,186,913
Bristol-Myers Squibb Co........................................... 513,234 20,385,654
Cardinal Health, Inc.............................................. 106,843 4,724,597
*CareFusion Corp................................................... 69,771 2,333,142
*Celgene Corp...................................................... 131,257 15,497,514
#*Cerner Corp....................................................... 45,882 4,440,001
Cigna Corp........................................................ 89,633 5,931,016
Coventry Health Care, Inc......................................... 42,192 2,090,614
Covidien P.L.C.................................................... 147,963 9,445,958
CR Bard, Inc...................................................... 23,843 2,369,040
*DaVita HealthCare Partners, Inc................................... 26,455 3,138,886
DENTSPLY International, Inc....................................... 44,776 1,896,264
#*Edwards Lifesciences Corp......................................... 35,765 2,281,449
Eli Lilly & Co.................................................... 312,914 17,329,177
*Express Scripts Holding Co........................................ 256,561 15,232,027
*Forest Laboratories, Inc.......................................... 73,451 2,747,802
#*Gilead Sciences, Inc.............................................. 477,199 24,165,357
#*Hospira, Inc...................................................... 51,846 1,717,140
Humana, Inc....................................................... 49,637 3,678,598
#*Intuitive Surgical, Inc........................................... 12,577 6,191,531
Johnson & Johnson................................................. 876,201 74,678,611
#*Laboratory Corp. of America Holdings.............................. 29,182 2,724,432
*Life Technologies Corp............................................ 53,931 3,974,175
McKesson Corp..................................................... 72,999 7,724,754
Medtronic, Inc.................................................... 317,013 14,798,167
Merck & Co., Inc.................................................. 947,371 44,526,437
*Mylan, Inc........................................................ 123,986 3,609,232
#Patterson Cos., Inc............................................... 26,219 995,011
PerkinElmer, Inc.................................................. 35,650 1,092,673
Perrigo Co........................................................ 27,692 3,306,702
Pfizer, Inc....................................................... 2,253,435 65,507,355
#Quest Diagnostics, Inc............................................ 49,594 2,793,630
St Jude Medical, Inc.............................................. 88,666 3,654,813
#Stryker Corp...................................................... 90,647 5,944,630
*Tenet Healthcare Corp............................................. 32,688 1,482,728
Thermo Fisher Scientific, Inc..................................... 112,098 9,044,067
UnitedHealth Group, Inc........................................... 321,266 19,253,471
#*Varian Medical Systems, Inc....................................... 34,201 2,227,853
#*Waters Corp....................................................... 26,921 2,487,500
WellPoint, Inc.................................................... 95,300 6,949,276
7
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Health Care -- (Continued)
Zimmer Holdings, Inc.............................................. 53,084 $ 4,058,272
------------
Total Health Care.................................................... 564,459,884
------------
Industrials -- (8.9%)
3M Co............................................................. 198,976 20,834,777
ADT Corp. (The)................................................... 69,113 3,016,091
Avery Dennison Corp............................................... 31,378 1,300,618
Boeing Co. (The).................................................. 213,320 19,499,581
#Caterpillar, Inc.................................................. 205,326 17,384,952
CH Robinson Worldwide, Inc........................................ 50,482 2,998,126
#Cintas Corp....................................................... 32,847 1,473,845
CSX Corp.......................................................... 319,971 7,868,087
Cummins, Inc...................................................... 55,341 5,887,729
Danaher Corp...................................................... 181,742 11,075,358
#Deere & Co........................................................ 122,107 10,904,155
#Dover Corp........................................................ 54,753 3,776,862
#Dun & Bradstreet Corp. (The)...................................... 12,812 1,133,221
Eaton Corp. P.L.C................................................. 147,667 9,068,230
#Emerson Electric Co............................................... 226,335 12,563,856
Equifax, Inc...................................................... 37,756 2,310,667
Expeditors International of Washington, Inc....................... 64,727 2,325,641
#Fastenal Co....................................................... 84,613 4,150,268
FedEx Corp........................................................ 91,669 8,617,803
#Flowserve Corp.................................................... 15,084 2,385,082
Fluor Corp........................................................ 50,938 2,902,447
General Dynamics Corp............................................. 104,141 7,702,268
General Electric Co............................................... 3,259,372 72,651,402
Honeywell International, Inc...................................... 245,680 18,067,307
#Illinois Tool Works, Inc.......................................... 130,183 8,404,614
Ingersoll-Rand P.L.C.............................................. 86,389 4,647,728
Iron Mountain, Inc................................................ 52,447 1,985,643
#*Jacobs Engineering Group, Inc..................................... 40,859 2,062,562
Joy Global, Inc................................................... 33,290 1,881,551
L-3 Communications Holdings, Inc.................................. 28,178 2,289,463
#Lockheed Martin Corp.............................................. 83,925 8,316,128
Masco Corp........................................................ 111,766 2,172,731
Norfolk Southern Corp............................................. 98,585 7,632,451
Northrop Grumman Corp............................................. 74,328 5,629,603
PACCAR, Inc....................................................... 110,796 5,515,425
Pall Corp......................................................... 34,821 2,322,909
#Parker Hannifin Corp.............................................. 46,754 4,141,002
Pentair, Ltd...................................................... 64,614 3,511,771
#Pitney Bowes, Inc................................................. 63,112 862,741
Precision Castparts Corp.......................................... 45,906 8,781,359
*Quanta Services, Inc.............................................. 66,842 1,836,818
Raytheon Co....................................................... 101,983 6,259,717
Republic Services, Inc............................................ 93,198 3,176,188
#Robert Half International, Inc.................................... 43,742 1,435,612
Rockwell Automation, Inc.......................................... 43,821 3,715,144
#Rockwell Collins, Inc............................................. 42,808 2,693,479
Roper Industries, Inc............................................. 30,997 3,708,791
Ryder System, Inc................................................. 16,136 937,018
8
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Industrials -- (Continued)
Snap-on, Inc...................................................... 18,264 $ 1,574,357
Southwest Airlines Co............................................. 228,224 3,126,669
Stanley Black & Decker, Inc....................................... 50,230 3,757,706
#*Stericycle, Inc................................................... 26,985 2,923,015
#Textron, Inc...................................................... 85,116 2,191,737
Tyco International, Ltd........................................... 146,074 4,691,897
Union Pacific Corp................................................ 147,103 21,765,360
#United Parcel Service, Inc. Class B............................... 224,146 19,240,693
#United Technologies Corp.......................................... 264,337 24,131,325
#Waste Management, Inc............................................. 137,069 5,617,088
WW Grainger, Inc.................................................. 18,740 4,618,848
#Xylem, Inc........................................................ 58,352 1,619,268
------------
Total Industrials.................................................... 439,076,784
------------
Information Technology -- (16.2%)
Accenture P.L.C. Class A.......................................... 201,968 16,448,274
*Adobe Systems, Inc................................................ 156,347 7,048,123
#*Advanced Micro Devices, Inc....................................... 190,255 536,519
#*Akamai Technologies, Inc.......................................... 55,757 2,448,290
Altera Corp....................................................... 100,226 3,208,234
#Amphenol Corp. Class A............................................ 50,058 3,780,380
Analog Devices, Inc............................................... 95,912 4,219,169
++Apple, Inc........................................................ 294,350 130,323,462
Applied Materials, Inc............................................ 376,157 5,458,038
*Autodesk, Inc..................................................... 70,433 2,773,652
#Automatic Data Processing, Inc.................................... 152,029 10,237,633
*BMC Software, Inc................................................. 41,206 1,874,049
Broadcom Corp. Class A............................................ 164,086 5,907,096
CA, Inc........................................................... 104,324 2,813,618
Cisco Systems, Inc................................................ 1,671,325 34,964,119
*Citrix Systems, Inc............................................... 58,429 3,632,531
*Cognizant Technology Solutions Corp. Class A...................... 94,594 6,129,691
Computer Sciences Corp............................................ 48,110 2,253,954
Corning, Inc...................................................... 461,528 6,692,156
Dell, Inc......................................................... 457,775 6,134,185
*eBay, Inc......................................................... 365,756 19,161,957
#*Electronic Arts, Inc.............................................. 94,059 1,656,379
*EMC Corp.......................................................... 659,640 14,795,725
*F5 Networks, Inc.................................................. 24,634 1,882,777
Fidelity National Information Services, Inc....................... 91,904 3,864,563
#*First Solar, Inc.................................................. 18,850 877,656
#*Fiserv, Inc....................................................... 41,846 3,812,589
FLIR Systems, Inc................................................. 45,441 1,104,671
*Google, Inc. Class A.............................................. 83,700 69,016,509
#Harris Corp....................................................... 35,373 1,634,233
Hewlett-Packard Co................................................ 612,087 12,608,992
#Intel Corp........................................................ 1,550,340 37,130,643
#International Business Machines Corp.............................. 328,386 66,511,300
#Intuit, Inc....................................................... 87,329 5,208,302
#Jabil Circuit, Inc................................................ 57,659 1,026,330
#*JDS Uniphase Corp................................................. 73,707 995,045
*Juniper Networks, Inc............................................. 161,608 2,674,612
9
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Information Technology -- (Continued)
KLA-Tencor Corp................................................... 52,078 $ 2,825,232
#*Lam Research Corp................................................. 50,888 2,352,043
Linear Technology Corp............................................ 72,898 2,660,777
*LSI Corp.......................................................... 172,318 1,126,960
Mastercard, Inc. Class A.......................................... 33,095 18,299,218
Microchip Technology, Inc......................................... 61,237 2,230,252
*Micron Technology, Inc............................................ 320,280 3,017,038
Microsoft Corp.................................................... 2,363,005 78,215,465
#Molex, Inc........................................................ 43,395 1,196,400
Motorola Solutions, Inc........................................... 86,508 4,948,258
*NetApp, Inc....................................................... 112,970 3,941,523
NVIDIA Corp....................................................... 195,861 2,697,006
Oracle Corp....................................................... 1,157,504 37,942,981
#Paychex, Inc...................................................... 101,467 3,694,413
QUALCOMM, Inc..................................................... 538,553 33,185,636
*Red Hat, Inc...................................................... 60,557 2,902,497
#SAIC, Inc......................................................... 88,942 1,328,793
#*Salesforce.com, Inc............................................... 168,927 6,944,589
*SanDisk Corp...................................................... 75,807 3,975,319
#Seagate Technology P.L.C.......................................... 100,112 3,674,110
*Symantec Corp..................................................... 216,028 5,249,480
TE Connectivity, Ltd.............................................. 131,731 5,736,885
*Teradata Corp..................................................... 51,970 2,654,108
#*Teradyne, Inc..................................................... 59,654 980,712
#Texas Instruments, Inc............................................ 346,298 12,539,451
Total System Services, Inc........................................ 50,366 1,189,645
#*VeriSign, Inc..................................................... 47,820 2,203,067
Visa, Inc. Class A................................................ 161,649 27,231,391
Western Digital Corp.............................................. 67,893 3,753,125
#Western Union Co. (The)........................................... 178,281 2,640,342
Xerox Corp........................................................ 383,615 3,291,417
Xilinx, Inc....................................................... 81,987 3,108,127
*Yahoo!, Inc....................................................... 303,780 7,512,479
------------
Total Information Technology......................................... 796,094,195
------------
Materials -- (3.1%)
#Air Products & Chemicals, Inc..................................... 65,080 5,659,357
Airgas, Inc....................................................... 21,416 2,069,856
#Alcoa, Inc........................................................ 335,183 2,849,056
#Allegheny Technologies, Inc....................................... 33,688 908,902
Ball Corp......................................................... 46,842 2,066,669
#Bemis Co., Inc.................................................... 32,285 1,270,415
CF Industries Holdings, Inc....................................... 19,748 3,683,199
#Cliffs Natural Resources, Inc..................................... 47,489 1,013,415
Dow Chemical Co. (The)............................................ 377,511 12,801,398
Eastman Chemical Co............................................... 48,258 3,216,396
Ecolab, Inc....................................................... 83,209 7,041,146
EI du Pont de Nemours & Co........................................ 292,855 15,963,526
FMC Corp.......................................................... 43,153 2,619,387
#Freeport-McMoRan Copper & Gold, Inc............................... 297,633 9,056,972
International Flavors & Fragrances, Inc........................... 25,566 1,973,440
International Paper Co............................................ 138,298 6,497,240
10
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Materials -- (Continued)
LyondellBasell Industries NV Class A.............................. 119,018 $ 7,224,393
MeadWestvaco Corp................................................. 55,063 1,898,572
Monsanto Co....................................................... 167,952 17,940,633
Mosaic Co. (The).................................................. 86,732 5,341,824
Newmont Mining Corp............................................... 155,703 5,044,777
Nucor Corp........................................................ 99,577 4,343,549
*Owens-Illinois, Inc............................................... 51,429 1,351,554
#PPG Industries, Inc............................................... 44,775 6,588,193
Praxair, Inc...................................................... 92,841 10,611,726
Sealed Air Corp................................................... 60,996 1,349,232
Sherwin-Williams Co. (The)........................................ 26,901 4,925,842
#Sigma-Aldrich Corp................................................ 37,754 2,970,862
#United States Steel Corp.......................................... 45,225 805,005
Vulcan Materials Co............................................... 40,708 2,030,515
------------
Total Materials...................................................... 151,117,051
------------
Telecommunication Services -- (2.8%)
AT&T, Inc......................................................... 1,721,362 64,482,220
#CenturyLink, Inc.................................................. 196,166 7,369,957
#*Crown Castle International Corp................................... 91,893 7,075,761
#Frontier Communications Corp...................................... 312,912 1,301,714
#*Sprint Nextel Corp................................................ 943,735 6,653,332
Verizon Communications, Inc....................................... 895,935 48,299,856
#Windstream Corp................................................... 185,089 1,576,958
------------
Total Telecommunication Services..................................... 136,759,798
------------
Utilities -- (3.3%)
AES Corp.......................................................... 194,023 2,689,159
#AGL Resources, Inc................................................ 36,948 1,620,170
Ameren Corp....................................................... 76,054 2,756,958
American Electric Power Co., Inc.................................. 152,234 7,829,395
CenterPoint Energy, Inc........................................... 134,055 3,308,477
#CMS Energy Corp................................................... 83,016 2,485,499
#Consolidated Edison, Inc.......................................... 91,803 5,843,261
Dominion Resources, Inc........................................... 180,646 11,142,245
#DTE Energy Co..................................................... 54,084 3,941,642
Duke Energy Corp.................................................. 220,876 16,609,875
Edison International.............................................. 102,126 5,494,379
Entergy Corp...................................................... 55,823 3,976,272
#Exelon Corp....................................................... 268,008 10,052,980
#FirstEnergy Corp.................................................. 131,091 6,108,841
#Integrys Energy Group, Inc........................................ 24,574 1,512,775
NextEra Energy, Inc............................................... 132,862 10,898,670
NiSource, Inc..................................................... 97,543 2,997,496
Northeast Utilities............................................... 98,530 4,466,365
NRG Energy, Inc................................................... 101,297 2,823,147
#ONEOK, Inc........................................................ 64,237 3,299,212
#Pepco Holdings, Inc............................................... 77,798 1,758,235
#PG&E Corp......................................................... 137,492 6,660,113
#Pinnacle West Capital Corp........................................ 34,402 2,095,082
PPL Corp.......................................................... 182,695 6,098,359
Public Service Enterprise Group, Inc.............................. 158,594 5,806,126
11
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
---------- --------------
Utilities -- (Continued)
SCANA Corp....................................... 43,601 $ 2,363,174
Sempra Energy.................................... 70,921 5,875,805
#Southern Co. (The)............................... 272,381 13,136,936
#TECO Energy, Inc................................. 64,014 1,224,588
#Wisconsin Energy Corp............................ 71,781 3,225,838
Xcel Energy, Inc................................. 153,053 4,865,555
--------------
Total Utilities..................................... 162,966,629
--------------
TOTAL COMMON STOCKS................................. 4,460,859,151
--------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional Liquid Reserves....... 42,543,274 42,543,274
--------------
SHARES/
FACE
AMOUNT
(000)
----------
SECURITIES LENDING COLLATERAL -- (8.3%)
(S)@++ DFA Short Term Investment Fund............... 35,470,037 410,388,323
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $2,949,024,491). $4,913,790,748
==============
12
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2013
(UNAUDITED)
SHARES VALUE+
---------- --------------
COMMON STOCKS -- (96.2%)
Consumer Discretionary -- (12.9%)
#Autoliv, Inc...................................................... 39,769 $ 3,039,147
#Best Buy Co., Inc................................................. 18,980 493,290
Carnival Corp..................................................... 2,385,423 82,320,948
CBS Corp. Class A................................................. 7,236 331,698
CBS Corp. Class B................................................. 36,528 1,672,252
Comcast Corp. Class A............................................. 10,008,890 413,367,157
Comcast Corp. Special Class A..................................... 3,843,964 151,029,346
Dillard's, Inc. Class A........................................... 112,692 9,286,948
#DR Horton, Inc.................................................... 782,660 20,411,773
#GameStop Corp. Class A............................................ 598,147 20,875,330
#Gannett Co., Inc.................................................. 236,540 4,768,646
#*General Motors Co................................................. 2,302,737 71,016,409
#*Hyatt Hotels Corp. Class A........................................ 26,622 1,136,227
#JC Penney Co., Inc................................................ 1,068,585 17,546,166
Johnson Controls, Inc............................................. 168,677 5,905,382
#Kohl's Corp....................................................... 38,274 1,801,174
#Lear Corp......................................................... 53,423 3,086,781
#Lennar Corp. Class A.............................................. 565,943 23,328,170
Lennar Corp. Class B.............................................. 4,312 140,614
*Liberty Interactive Corp. Class A................................. 2,586,058 55,057,175
*Liberty Ventures Series A......................................... 122,067 8,968,263
*Madison Square Garden Co. (The) Class A........................... 5,030 303,158
#*MGM Resorts International......................................... 2,389,018 33,732,934
*Mohawk Industries, Inc............................................ 365,371 40,512,336
#News Corp. Class A................................................ 2,241,856 69,430,280
#News Corp. Class B................................................ 1,484,251 46,189,891
#*Orchard Supply Hardware Stores Corp. Class A...................... 19,473 38,557
#*Penn National Gaming, Inc......................................... 286,620 16,781,601
Royal Caribbean Cruises, Ltd...................................... 1,043,290 38,111,384
#Sears Canada, Inc................................................. 188,040 1,761,747
#*Sears Holdings Corp............................................... 530,407 27,231,095
Service Corp. International/US.................................... 219,283 3,701,497
#Staples, Inc...................................................... 1,175,834 15,568,042
Time Warner Cable, Inc............................................ 1,921,256 180,386,726
Time Warner, Inc.................................................. 4,853,977 290,170,745
#*Toll Brothers, Inc................................................ 329,804 11,315,575
*TRW Automotive Holdings Corp...................................... 18,951 1,138,387
#Washington Post Co. (The) Class B................................. 32,261 14,302,592
Whirlpool Corp.................................................... 219,325 25,064,461
Wyndham Worldwide Corp............................................ 202,234 12,150,219
--------------
Total Consumer Discretionary......................................... 1,723,474,123
--------------
Consumer Staples -- (7.4%)
Archer-Daniels-Midland Co......................................... 3,155,848 107,109,481
Beam, Inc......................................................... 69,924 4,524,782
Bunge, Ltd........................................................ 553,069 39,937,113
*Constellation Brands, Inc. Class A................................ 933,566 46,071,482
*Constellation Brands, Inc. Class B................................ 153 7,491
CVS Caremark Corp................................................. 6,004,478 349,340,530
JM Smucker Co. (The).............................................. 539,640 55,707,037
Kraft Foods Group, Inc............................................ 789,819 40,667,780
13
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
--------- --------------
Consumer Staples -- (Continued)
Molson Coors Brewing Co. Class B.................................. 763,563 $ 39,399,851
Mondelez International, Inc. Class A.............................. 7,330,703 230,550,609
#Safeway, Inc...................................................... 1,082,518 24,378,305
*Smithfield Foods, Inc............................................. 756,389 19,363,559
Tyson Foods, Inc. Class A......................................... 1,426,374 35,131,592
#Walgreen Co....................................................... 15,467 765,771
--------------
Total Consumer Staples............................................... 992,955,383
--------------
Energy -- (19.5%)
Anadarko Petroleum Corp........................................... 2,478,744 210,098,341
Apache Corp....................................................... 1,208,836 89,308,804
#*Atwood Oceanics, Inc.............................................. 4,143 203,214
Baker Hughes, Inc................................................. 699,019 31,728,472
#Chesapeake Energy Corp............................................ 3,251,150 63,527,471
Chevron Corp...................................................... 3,863,466 471,381,487
Cimarex Energy Co................................................. 44,015 3,221,018
ConocoPhillips.................................................... 5,899,107 356,601,018
*Denbury Resources, Inc............................................ 1,418,579 25,378,378
#Devon Energy Corp................................................. 1,094,855 60,282,716
EOG Resources, Inc................................................ 179,823 21,787,355
#Helmerich & Payne, Inc............................................ 513,387 30,094,746
#Hess Corp......................................................... 1,567,373 113,132,983
HollyFrontier Corp................................................ 247,434 12,235,611
Marathon Oil Corp................................................. 3,447,108 112,617,018
Marathon Petroleum Corp........................................... 1,791,952 140,417,359
#Murphy Oil Corp................................................... 728,510 45,233,186
Nabors Industries, Ltd............................................ 1,355,841 20,052,888
National Oilwell Varco, Inc....................................... 1,661,481 108,361,791
*Newfield Exploration Co........................................... 13,842 301,617
Noble Corp........................................................ 563,513 21,131,738
#Noble Energy, Inc................................................. 42,446 4,808,707
Occidental Petroleum Corp......................................... 1,349,242 120,433,341
Patterson-UTI Energy, Inc......................................... 732,485 15,448,109
Peabody Energy Corp............................................... 99,715 2,000,283
Phillips 66....................................................... 2,926,797 178,388,277
Pioneer Natural Resources Co...................................... 331,087 40,468,764
*Plains Exploration & Production Co................................ 664,529 30,036,711
QEP Resources, Inc................................................ 436,302 12,526,230
*Rowan Cos. P.L.C. Class A......................................... 595,894 19,384,432
*Superior Energy Services, Inc..................................... 53,220 1,468,340
Tesoro Corp....................................................... 605,336 32,324,942
#Tidewater, Inc.................................................... 227,025 11,907,461
*Transocean, Ltd................................................... 1,261,179 64,912,883
Valero Energy Corp................................................ 2,806,975 113,177,232
*Weatherford International, Ltd.................................... 1,009,406 12,910,303
*Whiting Petroleum Corp............................................ 151,243 6,730,314
--------------
Total Energy......................................................... 2,604,023,540
--------------
Financials -- (23.1%)
Allied World Assurance Co. Holdings AG............................ 188,355 17,104,518
Allstate Corp. (The).............................................. 788,418 38,837,471
Alterra Capital Holdings, Ltd..................................... 27,565 897,241
14
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Financials -- (Continued)
*American Capital, Ltd............................................. 802,500 $ 12,141,825
American Financial Group, Inc..................................... 491,543 23,726,781
*American International Group, Inc................................. 6,622,622 274,309,003
American National Insurance Co.................................... 70,315 6,611,719
Assurant, Inc..................................................... 396,269 18,838,628
Assured Guaranty, Ltd............................................. 29,746 613,660
Axis Capital Holdings, Ltd........................................ 613,817 27,394,653
#Bank of America Corp.............................................. 38,925,898 479,177,804
#Bank of New York Mellon Corp. (The)............................... 3,040,229 85,795,262
Capital One Financial Corp........................................ 1,100,720 63,599,602
*CIT Group, Inc.................................................... 84,121 3,575,984
Citigroup, Inc.................................................... 10,372,454 483,978,704
#CME Group, Inc.................................................... 1,599,345 97,336,137
CNA Financial Corp................................................ 666,819 22,478,468
#Comerica, Inc..................................................... 5,333 193,321
*E*TRADE Financial Corp............................................ 76,389 786,043
Everest Re Group, Ltd............................................. 189,760 25,615,702
#First Niagara Financial Group, Inc................................ 53,740 511,067
*Genworth Financial, Inc. Class A.................................. 2,390,330 23,975,010
Goldman Sachs Group, Inc. (The)................................... 786,395 114,868,718
Hartford Financial Services Group, Inc............................ 2,129,813 59,826,447
Hudson City Bancorp, Inc.......................................... 74,986 623,134
#JPMorgan Chase & Co............................................... 3,775,507 185,037,598
#KeyCorp........................................................... 3,863,464 38,518,736
#Legg Mason, Inc................................................... 659,937 21,025,593
#Lincoln National Corp............................................. 1,442,787 49,069,186
Loews Corp........................................................ 2,050,343 91,588,822
MetLife, Inc...................................................... 4,759,859 185,586,902
Morgan Stanley.................................................... 6,429,315 142,409,327
NASDAQ OMX Group, Inc. (The)...................................... 815,514 24,041,353
#NYSE Euronext..................................................... 89,026 3,455,099
Old Republic International Corp................................... 1,267,693 17,113,855
PartnerRe, Ltd.................................................... 193,939 18,296,205
#People's United Financial, Inc.................................... 136,346 1,794,313
#PNC Financial Services Group, Inc. (The).......................... 58,440 3,966,907
#Principal Financial Group, Inc.................................... 472,548 17,058,983
Prudential Financial, Inc......................................... 2,287,609 138,217,336
Regions Financial Corp............................................ 5,736,388 48,701,934
Reinsurance Group of America, Inc................................. 363,743 22,752,125
#SunTrust Banks, Inc............................................... 2,564,707 75,017,680
Unum Group........................................................ 1,374,339 38,330,315
Validus Holdings, Ltd............................................. 162,943 6,291,229
#XL Group P.L.C.................................................... 1,435,288 44,694,868
Zions BanCorp..................................................... 777,171 19,133,950
--------------
Total Financials..................................................... 3,074,919,218
--------------
Health Care -- (7.5%)
#Aetna, Inc........................................................ 1,693,713 97,286,875
*Bio-Rad Laboratories, Inc. Class A................................ 1,222 146,334
*Boston Scientific Corp............................................ 6,689,559 50,104,797
*CareFusion Corp................................................... 917,825 30,692,068
Cigna Corp........................................................ 360,321 23,842,440
Community Health Systems, Inc..................................... 7,703 351,026
15
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- ------------
Health Care -- (Continued)
Coventry Health Care, Inc......................................... 670,877 $ 33,241,955
*Forest Laboratories, Inc.......................................... 419,797 15,704,606
*Hologic, Inc...................................................... 1,229,548 25,045,893
#*Hospira, Inc...................................................... 23,305 771,862
Humana, Inc....................................................... 698,778 51,786,437
*Life Technologies Corp............................................ 112,073 8,258,659
Omnicare, Inc..................................................... 574,710 25,155,057
PerkinElmer, Inc.................................................. 288,919 8,855,367
Pfizer, Inc....................................................... 9,837,358 285,971,997
#Teleflex, Inc..................................................... 91,713 7,165,537
Thermo Fisher Scientific, Inc..................................... 1,932,026 155,875,858
UnitedHealth Group, Inc........................................... 741,485 44,437,196
Universal Health Services, Inc. Class B........................... 8,413 560,222
#WellPoint, Inc.................................................... 1,824,634 133,052,311
------------
Total Health Care.................................................... 998,306,497
------------
Industrials -- (12.0%)
ADT Corp. (The)................................................... 686,732 29,968,984
*AECOM Technology Corp............................................. 9,284 269,886
#AGCO Corp......................................................... 253,578 13,503,028
CNH Global NV..................................................... 6,633 272,815
CSX Corp.......................................................... 5,517,066 135,664,653
Eaton Corp. P.L.C................................................. 692,188 42,507,265
#*Engility Holdings, Inc............................................ 65,200 1,562,192
FedEx Corp........................................................ 173,312 16,293,061
#*Fortune Brands Home & Security, Inc............................... 699,657 25,460,518
General Dynamics Corp............................................. 235,904 17,447,460
#General Electric Co............................................... 19,480,526 434,220,925
#*Hertz Global Holdings, Inc........................................ 1,017,021 24,489,866
#Ingersoll-Rand P.L.C.............................................. 235,365 12,662,637
#*Jacobs Engineering Group, Inc..................................... 98,508 4,972,684
KBR, Inc.......................................................... 40,646 1,222,632
#Kennametal, Inc................................................... 20,362 814,276
#L-3 Communications Holdings, Inc.................................. 407,736 33,128,550
Manpowergroup, Inc................................................ 15,678 833,442
Norfolk Southern Corp............................................. 1,681,939 130,215,717
#Northrop Grumman Corp............................................. 1,364,645 103,358,212
*Owens Corning..................................................... 579,048 24,354,759
Pentair, Ltd...................................................... 486,116 26,420,405
*Quanta Services, Inc.............................................. 554,686 15,242,771
#Regal-Beloit Corp................................................. 6,550 514,961
#Republic Services, Inc............................................ 1,124,706 38,329,980
Southwest Airlines Co............................................. 3,905,821 53,509,748
SPX Corp.......................................................... 22,870 1,704,044
Stanley Black & Decker, Inc....................................... 551,768 41,277,764
Trinity Industries, Inc........................................... 16,136 681,101
Triumph Group, Inc................................................ 82,311 6,576,649
Tyco International, Ltd........................................... 749,272 24,066,617
Union Pacific Corp................................................ 2,173,679 321,617,545
#*United Rentals, Inc............................................... 59,353 3,122,561
URS Corp.......................................................... 378,541 16,625,521
Waste Connections, Inc............................................ 8,626 327,357
16
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
--------- --------------
Industrials -- (Continued)
#*WESCO International, Inc.......................................... 7,079 $ 507,493
--------------
Total Industrials.................................................... 1,603,748,079
--------------
Information Technology -- (4.7%)
Activision Blizzard, Inc.......................................... 2,620,144 39,171,153
AOL, Inc.......................................................... 60,911 2,353,601
*Arrow Electronics, Inc............................................ 568,882 22,317,241
*Avnet, Inc........................................................ 711,662 23,306,930
*Brocade Communications Systems, Inc............................... 363,088 2,113,172
Computer Sciences Corp............................................ 783,742 36,718,313
Corning, Inc...................................................... 3,856,600 55,920,700
Fidelity National Information Services, Inc....................... 1,328,465 55,861,953
#*First Solar, Inc.................................................. 12,149 565,657
#Hewlett-Packard Co................................................ 5,006,539 103,134,703
IAC/InterActiveCorp............................................... 271,160 12,763,501
*Ingram Micro, Inc. Class A........................................ 741,670 13,209,143
#Jabil Circuit, Inc................................................ 8,210 146,138
*Juniper Networks, Inc............................................. 547,475 9,060,711
#*Lam Research Corp................................................. 115,753 5,350,104
Marvell Technology Group, Ltd..................................... 150,218 1,616,346
*Micron Technology, Inc............................................ 3,654,213 34,422,686
#Molex, Inc........................................................ 12,162 335,306
Molex, Inc. Class A............................................... 1,663 38,765
#NVIDIA Corp....................................................... 229,588 3,161,427
#SAIC, Inc......................................................... 146,538 2,189,278
#*SanDisk Corp...................................................... 139,356 7,307,829
TE Connectivity, Ltd.............................................. 16,236 707,078
Western Digital Corp.............................................. 902,209 49,874,113
Xerox Corp........................................................ 5,490,094 47,105,007
*Yahoo!, Inc....................................................... 4,116,468 101,800,254
--------------
Total Information Technology......................................... 630,551,109
--------------
Materials -- (3.3%)
#Alcoa, Inc........................................................ 5,212,834 44,309,089
Ashland, Inc...................................................... 376,837 32,110,281
#Cliffs Natural Resources, Inc..................................... 147,736 3,152,686
Cytec Industries, Inc............................................. 69,176 5,040,163
Domtar Corp....................................................... 164,843 11,458,237
Dow Chemical Co. (The)............................................ 242,048 8,207,848
#Freeport-McMoRan Copper & Gold, Inc............................... 2,348,639 71,469,085
International Paper Co............................................ 2,224,458 104,505,037
MeadWestvaco Corp................................................. 848,260 29,248,005
#Mosaic Co. (The).................................................. 217,589 13,401,307
#Newmont Mining Corp............................................... 381,443 12,358,753
Nucor Corp........................................................ 591,895 25,818,460
Reliance Steel & Aluminum Co...................................... 363,907 23,679,428
Rock Tenn Co. Class A............................................. 91,221 9,134,871
Sealed Air Corp................................................... 311,965 6,900,666
Steel Dynamics, Inc............................................... 893,527 13,438,646
Vulcan Materials Co............................................... 576,439 28,752,777
17
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- ---------------
Materials -- (Continued)
Westlake Chemical Corp............................................ 2,222 $ 184,737
---------------
Total Materials...................................................... 443,170,076
---------------
Telecommunication Services -- (5.4%)
AT&T, Inc......................................................... 13,051,893 488,923,912
#CenturyLink, Inc.................................................. 2,353,137 88,407,357
#Frontier Communications Corp...................................... 1,836,528 7,639,956
*MetroPCS Communications, Inc...................................... 1,453,136 17,205,130
*Sprint Nextel Corp................................................ 13,961,200 98,426,460
Telephone & Data Systems, Inc..................................... 402,224 9,025,907
#*United States Cellular Corp....................................... 261,250 10,042,450
#Windstream Corp................................................... 46,951 400,023
---------------
Total Telecommunication Services 720,071,195
---------------
Utilities -- (0.4%)
NRG Energy, Inc................................................... 1,633,752 45,532,668
UGI Corp.......................................................... 21,172 867,629
---------------
Total Utilities...................................................... 46,400,297
---------------
TOTAL COMMON STOCKS.................................................. 12,837,619,517
---------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves........................ 37,139,776 37,139,776
---------------
SHARES/
FACE
AMOUNT
(000)
----------
SECURITIES LENDING COLLATERAL -- (3.5%)
(S)@ DFA Short Term Investment Fund.................................. 40,224,004 465,391,729
---------------
TOTAL INVESTMENTS -- (100.0%) (Cost $9,150,048,349).................. $13,340,151,022
===============
18
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2013
(UNAUDITED)
SHARES VALUE++
--------- ------------
COMMON STOCKS -- (88.0%)
AUSTRALIA -- (5.0%)
#*Alumina, Ltd...................................................... 3,614,178 $ 3,614,159
#*Alumina, Ltd. Sponsored ADR....................................... 172,484 689,936
#Amcor, Ltd. Sponsored ADR......................................... 39,142 1,602,865
Asciano, Ltd...................................................... 2,038,775 11,421,707
Atlas Iron, Ltd................................................... 63,084 54,872
Bank of Queensland, Ltd........................................... 605,906 6,307,770
#Bendigo and Adelaide Bank, Ltd.................................... 903,546 10,369,990
#*BlueScope Steel, Ltd.............................................. 478,016 2,461,412
#Boral, Ltd........................................................ 1,608,469 8,348,882
Caltex Australia, Ltd............................................. 341,805 7,635,279
#Downer EDI, Ltd................................................... 328,846 1,676,477
Echo Entertainment Group, Ltd..................................... 1,832,302 6,876,616
GrainCorp, Ltd. Class A........................................... 745,945 9,910,648
#Harvey Norman Holdings, Ltd....................................... 991,617 3,087,085
Incitec Pivot, Ltd................................................ 4,149,937 12,452,087
Insurance Australia Group, Ltd.................................... 1,103,362 6,661,646
Lend Lease Group.................................................. 805,101 8,998,607
Macquarie Group, Ltd.............................................. 735,198 29,909,110
National Australia Bank, Ltd...................................... 767,550 27,085,216
New Hope Corp., Ltd............................................... 58,484 226,988
Newcrest Mining, Ltd.............................................. 551,252 9,657,055
Origin Energy, Ltd................................................ 2,528,225 32,367,292
OZ Minerals, Ltd.................................................. 498,564 2,234,650
#Primary Health Care, Ltd.......................................... 417,406 2,281,258
*Qantas Airways, Ltd............................................... 2,850,317 5,617,352
#QBE Insurance Group, Ltd.......................................... 298,674 4,145,281
#Rio Tinto, Ltd.................................................... 120,548 7,015,621
Santos, Ltd....................................................... 2,166,939 27,834,468
Seven Group Holdings, Ltd......................................... 361,999 3,490,778
Seven West Media, Ltd............................................. 46,084 95,635
#Sims Metal Management, Ltd........................................ 209,772 2,104,346
#Sims Metal Management, Ltd. Sponsored ADR......................... 124,013 1,238,890
Suncorp Group, Ltd................................................ 3,736,013 50,317,710
Tabcorp Holdings, Ltd............................................. 1,777,555 6,362,926
Tatts Group, Ltd.................................................. 3,356,237 11,381,702
#Toll Holdings, Ltd................................................ 1,325,037 7,838,862
Treasury Wine Estates, Ltd........................................ 1,144,329 6,935,703
Washington H Soul Pattinson & Co., Ltd............................ 113,801 1,713,518
Wesfarmers, Ltd................................................... 2,584,670 116,279,925
------------
TOTAL AUSTRALIA...................................................... 458,304,324
------------
AUSTRIA -- (0.2%)
*Erste Group Bank AG............................................... 342,508 10,735,458
OMV AG............................................................ 210,056 9,867,296
#Raiffeisen Bank International AG................................. 57,158 2,017,680
------------
TOTAL AUSTRIA........................................................ 22,620,434
------------
BELGIUM -- (1.1%)
#Ageas............................................................. 508,017 18,605,226
#Belgacom SA....................................................... 52,454 1,207,646
19
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- -----------
BELGIUM -- (Continued)
D'ieteren SA...................................................... 1,857 $ 85,550
Delhaize Group SA................................................. 235,124 14,712,498
#Delhaize Group SA Sponsored ADR................................... 52,900 3,306,779
KBC Groep NV...................................................... 393,886 15,417,064
Solvay SA......................................................... 180,191 26,400,161
#UCB SA............................................................ 292,847 17,283,322
-----------
TOTAL BELGIUM........................................................ 97,018,246
-----------
CANADA -- (8.7%)
Aimia, Inc........................................................ 183,964 2,903,397
Astral Media, Inc. Class A........................................ 37,438 1,820,896
#AuRico Gold, Inc.................................................. 404,755 2,092,583
Barrick Gold Corp................................................. 1,551,822 30,586,412
#Bell Aliant, Inc.................................................. 162,757 4,352,249
Bonavista Energy Corp............................................. 21,258 336,558
Cameco Corp. (13321L108).......................................... 112,600 2,196,826
Cameco Corp. (2166160)............................................ 506,586 9,875,775
Canadian Natural Resources, Ltd. (136385101)...................... 600,503 17,618,758
Canadian Natural Resources, Ltd. (2171573)........................ 1,849,320 54,243,293
#Canadian Tire Corp., Ltd. Class A................................. 214,347 15,786,935
Centerra Gold, Inc................................................ 19,843 82,921
#Crescent Point Energy Corp........................................ 203,430 7,770,099
Eldorado Gold Corp. (284902103)................................... 109,318 865,799
Eldorado Gold Corp. (2307873)..................................... 175,726 1,390,179
Empire Co., Ltd................................................... 65,500 4,453,571
#Enerplus Corp..................................................... 395,129 5,577,184
Ensign Energy Services, Inc....................................... 452,198 7,612,564
Fairfax Financial Holdings, Ltd................................... 54,622 21,912,235
First Quantum Minerals, Ltd....................................... 388,324 6,780,104
Genworth MI Canada, Inc........................................... 84,524 2,101,669
#George Weston, Ltd................................................ 132,852 10,234,397
Goldcorp, Inc. (2676302).......................................... 1,686,234 49,911,656
Goldcorp, Inc. (380956409)........................................ 23,874 706,193
#Husky Energy, Inc................................................. 839,318 24,260,202
IAMGOLD Corp. (450913108)......................................... 573,940 3,082,058
IAMGOLD Corp. (2446646)........................................... 231,424 1,242,745
Industrial Alliance Insurance & Financial Services, Inc........... 168,485 6,224,638
Kinross Gold Corp................................................. 2,678,826 14,598,000
#Loblaw Cos., Ltd.................................................. 221,495 9,398,890
#*Lundin Mining Corp................................................ 1,008,210 3,962,987
Magna International, Inc.......................................... 583,936 35,124,842
#Manulife Financial Corp........................................... 4,587,163 67,797,764
*Osisko Mining Corp................................................ 6,000 25,311
Pacific Rubiales Energy Corp...................................... 99,193 2,097,187
#Pan American Silver Corp. (697900108)............................. 118,576 1,565,203
Pan American Silver Corp. (2669272)............................... 131,923 1,735,054
#Pengrowth Energy Corp............................................. 689,605 3,518,358
#Penn West Petroleum, Ltd.......................................... 1,011,032 9,333,066
#PetroBakken Energy, Ltd........................................... 62,701 535,241
Precision Drilling Corp........................................... 706,616 5,730,362
#Progressive Waste Solutions, Ltd.................................. 122,391 2,727,359
Quebecor, Inc. Class B............................................ 72,190 3,360,674
20
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
CANADA -- (Continued)
#*Research In Motion, Ltd. (760975102).............................. 477,288 $ 7,775,022
#*Research In Motion, Ltd. (2117265)................................ 435,600 7,134,250
#Sun Life Financial, Inc........................................... 1,565,269 44,155,983
Suncor Energy, Inc................................................ 3,750,370 116,928,008
#Talisman Energy, Inc.............................................. 2,444,889 29,315,856
Teck Resources, Ltd. Class A...................................... 4,115 116,369
#Teck Resources, Ltd. Class B...................................... 1,483,730 39,469,913
#Thomson Reuters Corp.............................................. 1,832,184 61,378,937
#TransAlta Corp.................................................... 602,148 8,851,866
Trican Well Service, Ltd.......................................... 6,065 79,225
*Turquoise Hill Resources, Ltd. (900435108)........................ 63,691 447,748
#*Turquoise Hill Resources, Ltd. (B7WJ1F5).......................... 136,558 962,392
#*Uranium One, Inc.................................................. 632,800 1,758,737
#West Fraser Timber Co., Ltd....................................... 61,827 5,398,087
Westjet Airlines, Ltd............................................. 1,000 24,557
Yamana Gold, Inc.................................................. 1,425,140 17,640,077
------------
TOTAL CANADA......................................................... 798,969,221
------------
DENMARK -- (1.2%)
AP Moeller--Maersk A.S. Class A................................... 900 6,160,119
AP Moeller--Maersk A.S. Class B................................... 3,855 27,451,437
Carlsberg A.S. Class B............................................ 334,440 31,092,326
*Danske Bank A.S................................................... 1,678,386 31,783,282
#FLSmidth & Co. A.S................................................ 23,118 1,347,391
H Lundbeck A.S.................................................... 135,698 2,717,161
Rockwool International A.S. Class A............................... 62 8,161
Rockwool International A.S. Class B............................... 1,631 215,843
TDC A.S........................................................... 1,008,307 8,182,438
------------
TOTAL DENMARK........................................................ 108,958,158
------------
FINLAND -- (0.5%)
Kesko Oyj Class A................................................. 662 21,053
#Kesko Oyj Class B................................................. 138,917 4,170,899
Neste Oil Oyj..................................................... 69,191 1,080,474
#Nokia Oyj......................................................... 4,254,629 14,294,215
#Sampo Class A..................................................... 67,852 2,715,090
#Stora Enso Oyj Class R............................................ 1,455,180 10,148,434
Stora Enso Oyj Sponsored ADR...................................... 91,500 629,520
#UPM-Kymmene Oyj................................................... 1,403,467 14,775,268
UPM-Kymmene Oyj Sponsored ADR..................................... 69,300 723,492
------------
TOTAL FINLAND........................................................ 48,558,445
------------
FRANCE -- (8.2%)
Arkema SA......................................................... 42,863 4,018,313
#AXA SA............................................................ 4,004,754 74,995,536
AXA SA Sponsored ADR.............................................. 140,900 2,627,785
BNP Paribas SA.................................................... 1,973,903 110,060,678
Bollore SA........................................................ 22,288 9,395,576
#Bouygues SA....................................................... 305,569 8,538,477
Cap Gemini SA..................................................... 324,351 14,954,567
#Casino Guichard Perrachon SA...................................... 142,758 15,441,268
21
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
FRANCE -- (Continued)
Cie de St-Gobain.................................................. 1,039,077 $ 41,613,919
*Cie Generale de Geophysique--Veritas.............................. 304,853 6,594,771
Cie Generale de Geophysique--Veritas Sponsored ADR................ 141,089 3,012,250
Cie Generale des Etablissements Michelin.......................... 349,857 29,584,587
#Ciments Francais SA............................................... 26,702 1,458,417
#CNP Assurances.................................................... 345,228 4,893,046
*Credit Agricole SA................................................ 2,838,495 26,002,533
#Eiffage SA........................................................ 31,691 1,405,439
Electricite de France SA.......................................... 498,285 11,155,529
Eramet............................................................ 5,005 537,156
France Telecom SA................................................. 3,875,091 41,383,566
#GDF Suez.......................................................... 3,247,971 69,637,459
Groupe Eurotunnel SA.............................................. 746,306 6,252,726
Lafarge SA........................................................ 505,082 32,697,554
Lagardere SCA..................................................... 243,906 9,065,494
Natixis........................................................... 2,034,211 8,916,932
Renault SA........................................................ 500,585 34,547,781
Rexel SA.......................................................... 254,866 5,613,390
#SCOR SE........................................................... 195,156 5,922,920
*Societe Generale SA............................................... 1,823,515 66,242,789
STMicroelectronics NV............................................. 1,542,301 13,419,528
Thales SA......................................................... 27,549 1,197,053
Vallourec SA...................................................... 52,828 2,535,496
Vivendi SA........................................................ 3,686,124 83,497,667
------------
TOTAL FRANCE......................................................... 747,220,202
------------
GERMANY -- (7.4%)
#Allianz SE........................................................ 517,629 76,567,951
#Allianz SE ADR.................................................... 2,811,910 41,475,672
Bayerische Motoren Werke AG....................................... 663,299 61,335,322
#Celesio AG........................................................ 108,168 2,141,829
#*Commerzbank AG.................................................... 662,633 8,943,427
Daimler AG........................................................ 2,088,586 115,801,750
#Deutsche Bank AG (D18190898)...................................... 511,964 23,575,942
Deutsche Bank AG (5750355)........................................ 1,538,807 70,835,958
Deutsche Lufthansa AG............................................. 464,311 9,296,617
Deutsche Telekom AG............................................... 2,858,403 33,855,333
#Deutsche Telekom AG Sponsored ADR................................. 3,099,741 36,886,918
#E.ON SE........................................................... 3,592,972 65,250,322
Fraport AG Frankfurt Airport Services Worldwide................... 37,336 2,233,881
GEA Group AG...................................................... 4,719 159,907
Hannover Rueckversicherung SE..................................... 870 73,607
#HeidelbergCement AG............................................... 243,824 17,601,265
*Hochtief AG....................................................... 8,149 566,975
Metro AG.......................................................... 29,254 913,696
#Muenchener Rueckversicherungs AG.................................. 395,244 79,169,861
RWE AG............................................................ 392,339 14,139,610
SCA Hygiene Products SE........................................... 3,195 2,064,289
Volkswagen AG..................................................... 62,518 12,180,889
#Wacker Chemie AG.................................................. 1,454 111,281
------------
TOTAL GERMANY........................................................ 675,182,302
------------
22
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
GREECE -- (0.0%)
Hellenic Petroleum SA............................................. 334,517 $ 3,700,488
*National Bank of Greece SA........................................ 210,246 180,792
------------
TOTAL GREECE......................................................... 3,881,280
------------
HONG KONG -- (2.1%)
Cathay Pacific Airways, Ltd....................................... 2,051,000 3,615,118
Cheung Kong Holdings, Ltd......................................... 750,000 11,338,166
#*Foxconn International Holdings, Ltd............................... 3,787,000 1,464,308
Great Eagle Holdings, Ltd......................................... 860,324 3,641,347
Hang Lung Group, Ltd.............................................. 43,000 253,842
Henderson Land Development Co., Ltd............................... 3,364,064 24,476,669
Hongkong & Shanghai Hotels (The).................................. 1,903,131 3,096,256
Hopewell Holdings, Ltd............................................ 1,244,169 4,799,798
Hutchison Whampoa, Ltd............................................ 5,818,000 63,182,649
Kerry Properties, Ltd............................................. 574,500 2,614,153
Kowloon Development Co., Ltd...................................... 202,000 266,448
New World Development Co., Ltd.................................... 8,740,122 15,210,832
Orient Overseas International, Ltd................................ 488,000 2,904,692
Wharf Holdings, Ltd............................................... 4,047,990 36,209,246
Wheelock & Co., Ltd............................................... 3,482,000 19,470,926
------------
TOTAL HONG KONG...................................................... 192,544,450
------------
IRELAND -- (0.1%)
*Bank of Ireland................................................... 1,963,417 437,432
CRH P.L.C......................................................... 355,614 7,657,655
CRH P.L.C. Sponsored ADR.......................................... 240,995 5,183,802
------------
TOTAL IRELAND........................................................ 13,278,889
------------
ISRAEL -- (0.3%)
*Bank Hapoalim BM.................................................. 2,961,906 13,778,060
*Bank Leumi Le-Israel BM........................................... 2,937,459 10,440,958
Elbit Systems, Ltd................................................ 2,644 110,364
Israel Chemicals, Ltd............................................. 377,816 4,502,242
*Israel Discount Bank, Ltd. Class A................................ 381,656 641,639
*NICE Systems, Ltd. Sponsored ADR.................................. 63,823 2,263,802
------------
TOTAL ISRAEL......................................................... 31,737,065
------------
ITALY -- (1.1%)
#*Banca Monte dei Paschi di Siena SpA............................... 12,934,984 3,650,220
#*Banco Popolare.................................................... 2,933,385 4,237,471
#*Fiat SpA.......................................................... 1,512,718 9,064,853
#*Finmeccanica SpA.................................................. 995,867 5,187,555
Intesa Sanpaolo SpA............................................... 2,159,588 3,922,064
Parmalat SpA...................................................... 470,471 1,450,971
#Telecom Italia SpA................................................ 5,476,933 4,652,108
#Telecom Italia SpA Sponsored ADR.................................. 1,874,500 15,633,330
*UniCredit SpA..................................................... 8,189,815 42,805,198
Unione di Banche Italiane SCPA.................................... 1,854,721 7,756,846
------------
TOTAL ITALY.......................................................... 98,360,616
------------
23
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- -----------
JAPAN -- (17.8%)
77 Bank, Ltd. (The)............................................... 737,372 $ 4,377,663
Aeon Co., Ltd..................................................... 1,886,800 26,712,091
Aisin Seiki Co., Ltd.............................................. 131,900 4,761,165
#Alfresa Holdings Corp............................................. 85,700 5,098,611
Amada Co., Ltd.................................................... 821,000 6,587,916
Aoyama Trading Co., Ltd........................................... 1,000 29,924
Asahi Glass Co., Ltd.............................................. 1,910,000 15,007,277
Asahi Kasei Corp.................................................. 2,700,000 18,150,345
Asatsu-DK, Inc.................................................... 32,500 832,523
#Autobacs Seven Co., Ltd........................................... 214,800 3,619,702
Awa Bank, Ltd. (The).............................................. 65,600 387,882
#Azbil Corp........................................................ 23,600 509,596
Bank of Kyoto, Ltd. (The)......................................... 709,400 7,463,737
Bank of Yokohama, Ltd. (The)...................................... 1,939,000 11,796,405
Canon Marketing Japan, Inc........................................ 124,900 1,819,298
Chiba Bank, Ltd. (The)............................................ 1,189,000 9,232,166
Chugoku Bank, Ltd. (The).......................................... 391,800 6,831,403
Citizen Holdings Co., Ltd......................................... 511,000 3,023,069
Coca-Cola West Co., Ltd........................................... 109,007 2,027,413
COMSYS Holdings Corp.............................................. 151,700 2,008,906
*Cosmo Oil Co., Ltd................................................ 1,212,364 2,895,488
Dai Nippon Printing Co., Ltd...................................... 1,815,000 17,771,829
Daicel Corp....................................................... 515,000 4,156,466
#Daido Steel Co., Ltd.............................................. 437,000 2,381,814
Denki Kagaku Kogyo KK............................................. 456,000 1,668,248
#Ebara Corp........................................................ 413,000 1,734,107
Fuji Media Holdings, Inc.......................................... 1,128 2,451,742
FUJIFILM Holdings Corp............................................ 1,327,000 27,261,255
Fujitsu, Ltd...................................................... 3,968,000 16,665,909
Fukuoka Financial Group, Inc...................................... 1,800,000 9,208,291
#Fukuyama Transporting Co., Ltd.................................... 75,000 418,809
#Furukawa Electric Co., Ltd........................................ 633,000 1,601,855
Glory, Ltd........................................................ 119,600 3,286,539
#Gunma Bank, Ltd. (The)............................................ 921,397 5,861,718
H2O Retailing Corp................................................ 198,000 2,206,249
Hachijuni Bank, Ltd. (The)........................................ 993,231 6,762,291
Hakuhodo DY Holdings, Inc......................................... 39,920 3,289,947
Hankyu Hanshin Holdings, Inc...................................... 582,000 3,768,592
Higo Bank, Ltd. (The)............................................. 282,000 1,912,302
#Hiroshima Bank, Ltd. (The)........................................ 621,000 3,273,660
#Hitachi Capital Corp.............................................. 105,100 2,620,269
Hitachi Chemical Co., Ltd......................................... 54,800 859,080
#Hitachi High-Technologies Corp.................................... 139,900 3,494,878
Hitachi Transport System, Ltd..................................... 94,400 1,500,690
Hokuhoku Financial Group, Inc..................................... 2,620,000 6,114,002
House Foods Corp.................................................. 148,300 2,586,142
Ibiden Co., Ltd................................................... 183,400 3,214,798
Idemitsu Kosan Co., Ltd........................................... 51,124 4,325,092
Inpex Corp........................................................ 4,490 21,728,481
Isetan Mitsukoshi Holdings, Ltd................................... 884,200 14,092,266
ITOCHU Corp....................................................... 752,200 9,326,860
Iyo Bank, Ltd. (The).............................................. 551,000 5,770,960
24
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
JAPAN -- (Continued)
J Front Retailing Co., Ltd........................................ 1,136,000 $ 9,543,835
#JFE Holdings, Inc................................................. 1,065,900 23,142,729
Joyo Bank, Ltd. (The)............................................. 1,376,000 8,458,263
JTEKT Corp........................................................ 463,200 4,722,952
JX Holdings, Inc.................................................. 5,553,333 30,153,798
K's Holdings Corp................................................. 41,100 1,448,914
Kagoshima Bank, Ltd. (The)........................................ 358,143 2,622,427
Kajima Corp....................................................... 1,544,000 4,930,155
Kamigumi Co., Ltd................................................. 519,000 4,866,527
Kaneka Corp....................................................... 653,542 3,937,033
Kawasaki Kisen Kaisha, Ltd........................................ 775,000 1,705,260
Keiyo Bank, Ltd. (The)............................................ 418,000 2,571,231
Kewpie Corp....................................................... 22,100 333,233
Kinden Corp....................................................... 285,000 2,079,241
*Kobe Steel, Ltd................................................... 3,785,000 4,943,503
Konica Minolta, Inc............................................... 762,000 5,383,426
Kurita Water Industries, Ltd...................................... 13,500 277,140
Kyocera Corp...................................................... 318,100 32,357,940
Kyocera Corp. Sponsored ADR....................................... 13,600 1,379,040
Kyowa Hakko Kirin Co., Ltd........................................ 571,000 7,008,719
Lintec Corp....................................................... 5,100 92,860
LIXIL Group Corp.................................................. 371,200 8,345,075
Mabuchi Motor Co., Ltd............................................ 36,100 1,960,148
Maeda Road Construction Co., Ltd.................................. 36,000 544,641
Marubeni Corp..................................................... 621,000 4,457,691
Marui Group Co., Ltd.............................................. 542,642 6,298,811
#Maruichi Steel Tube, Ltd.......................................... 104,400 2,640,014
Medipal Holdings Corp............................................. 339,800 5,331,489
MEIJI Holdings Co., Ltd........................................... 135,895 6,134,844
Mitsubishi Chemical Holdings Corp................................. 3,885,000 18,947,616
Mitsubishi Corp................................................... 3,047,600 54,863,679
#Mitsubishi Gas Chemical Co., Inc.................................. 948,000 7,247,881
Mitsubishi Heavy Industries, Ltd.................................. 7,405,000 51,065,254
Mitsubishi Logistics Corp......................................... 132,000 2,359,757
Mitsubishi Materials Corp......................................... 2,533,000 7,265,674
#Mitsubishi Tanabe Pharma Corp..................................... 415,400 6,318,786
Mitsubishi UFJ Financial Group, Inc............................... 22,830,706 154,902,674
#Mitsubishi UFJ Financial Group, Inc. ADR.......................... 4,781,372 32,417,702
Mitsui & Co., Ltd................................................. 3,522,000 48,521,389
Mitsui & Co., Ltd. Sponsored ADR.................................. 11,723 3,206,475
#Mitsui Chemicals, Inc............................................. 1,861,800 4,308,639
#Mitsui Engineering & Shipbuilding Co., Ltd........................ 620,000 1,147,185
Mitsui Mining & Smelting Co., Ltd................................. 69,030 155,585
#*Mitsui OSK Lines, Ltd............................................. 1,596,000 6,646,273
#Mizuho Financial Group, Inc. ADR.................................. 205,757 905,331
MS&AD Insurance Group Holdings.................................... 759,753 20,384,681
Nagase & Co., Ltd................................................. 235,889 3,020,124
Nanto Bank, Ltd. (The)............................................ 319,000 1,407,630
NEC Corp.......................................................... 5,425,101 14,093,349
Nippo Corp........................................................ 35,000 524,519
Nippon Electric Glass Co., Ltd.................................... 642,000 3,276,902
Nippon Express Co., Ltd........................................... 1,952,238 10,161,251
25
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- -----------
JAPAN -- (Continued)
Nippon Meat Packers, Inc.......................................... 429,536 $ 6,596,338
#*Nippon Paper Industries Co., Ltd.................................. 231,700 3,470,570
Nippon Shokubai Co., Ltd.......................................... 234,000 2,302,303
Nippon Steel & Sumitomo Metal Corp................................ 13,103,940 34,902,008
Nippon Television Holdings, Inc................................... 123,800 2,188,599
#Nippon Yusen KK................................................... 3,062,000 7,993,520
Nishi-Nippon City Bank, Ltd. (The)................................ 1,412,569 4,712,325
#Nissan Shatai Co., Ltd............................................ 216,000 2,882,140
#Nisshin Seifun Group, Inc......................................... 394,500 5,097,045
Nisshin Steel Holdings Co., Ltd................................... 143,100 1,204,273
Nisshinbo Holdings, Inc........................................... 305,000 2,215,704
NOK Corp.......................................................... 144,220 2,079,749
Nomura Holdings, Inc.............................................. 7,769,100 63,494,551
#NTN Corp.......................................................... 339,000 864,507
NTT DOCOMO, Inc................................................... 2,827 4,681,223
NTT DOCOMO, Inc. Sponsored ADR.................................... 6,118 101,375
Obayashi Corp..................................................... 1,650,682 10,156,102
#Oji Holdings Corp................................................. 1,997,000 7,128,077
Onward Holdings Co., Ltd.......................................... 278,000 2,597,837
Panasonic Corp.................................................... 3,358,217 24,202,253
*Panasonic Corp. Sponsored ADR..................................... 215,674 1,548,539
Pola Orbis Holdings, Inc.......................................... 23,800 842,833
*Renesas Electronics Corp.......................................... 8,300 24,158
Rengo Co., Ltd.................................................... 421,000 2,038,247
Ricoh Co., Ltd.................................................... 1,666,000 18,537,743
#Rohm Co., Ltd..................................................... 230,500 8,148,541
Sankyo Co., Ltd................................................... 74,800 3,409,193
SBI Holdings, Inc................................................. 458,200 8,875,819
#Seiko Epson Corp.................................................. 98,600 1,130,384
Seino Holdings Co., Ltd........................................... 295,000 2,580,720
Sekisui Chemical Co., Ltd......................................... 372,000 4,684,426
#Sekisui House, Ltd................................................ 1,354,000 20,295,558
Shiga Bank, Ltd. (The)............................................ 451,185 3,178,028
Shimadzu Corp..................................................... 102,000 745,309
#Shimizu Corp...................................................... 1,371,000 5,518,016
Shinsei Bank, Ltd................................................. 2,090,000 5,866,005
Shizuoka Bank, Ltd. (The)......................................... 1,051,000 12,864,645
#Showa Denko KK.................................................... 2,260,000 3,649,319
Showa Shell Sekiyu KK............................................. 263,200 2,112,468
SKY Perfect JSAT Holdings, Inc.................................... 3,029 1,523,955
Sohgo Security Services Co., Ltd.................................. 82,600 1,320,985
Sojitz Corp....................................................... 2,593,100 4,071,378
Sony Corp......................................................... 768,200 12,627,664
#Sony Corp. Sponsored ADR.......................................... 1,801,665 29,601,356
Sumitomo Bakelite Co., Ltd........................................ 347,000 1,408,154
Sumitomo Chemical Co., Ltd........................................ 2,108,000 7,059,015
Sumitomo Corp..................................................... 3,241,900 40,585,446
#Sumitomo Electric Industries, Ltd................................. 2,606,700 34,665,615
Sumitomo Forestry Co., Ltd........................................ 161,400 1,923,808
Sumitomo Heavy Industries, Ltd.................................... 582,000 2,591,497
#Sumitomo Metal Mining Co., Ltd.................................... 414,000 5,795,720
Sumitomo Mitsui Financial Group, Inc.............................. 872,600 41,245,467
26
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- --------------
JAPAN -- (Continued)
Sumitomo Mitsui Trust Holdings, Inc............................... 7,364,629 $ 37,010,991
Sumitomo Osaka Cement Co., Ltd.................................... 196,000 587,543
#Suzuken Co. Ltd/Aichi Japan....................................... 149,300 5,813,809
#Suzuki Motor Corp................................................. 519,200 13,341,456
Taisei Corp....................................................... 2,110,703 7,049,819
Taisho Pharmaceutical Holdings Co., Ltd........................... 59,299 4,396,665
Takashimaya Co., Ltd.............................................. 615,634 7,277,017
Takata Corp....................................................... 2,100 40,400
#TDK Corp.......................................................... 218,300 7,982,506
#Teijin, Ltd....................................................... 1,566,450 3,773,967
Toho Holdings Co., Ltd............................................ 12,800 293,629
Tokai Rika Co., Ltd............................................... 61,200 1,240,054
Tokyo Broadcasting System Holdings, Inc........................... 85,300 1,350,538
Toppan Printing Co., Ltd.......................................... 1,312,000 9,996,748
Toshiba TEC Corp.................................................. 36,000 212,726
Tosoh Corp........................................................ 1,044,000 3,443,315
Toyo Seikan Group Holdings, Ltd................................... 346,349 4,746,470
#Toyobo Co., Ltd................................................... 664,000 1,158,833
Toyoda Gosei Co., Ltd............................................. 13,800 358,149
#Toyota Motor Corp. Sponsored ADR.................................. 329,692 38,343,180
Toyota Tsusho Corp................................................ 434,400 12,098,708
Ube Industries, Ltd............................................... 1,332,000 2,693,177
UNY Group Holdings Co., Ltd....................................... 393,050 2,797,352
Ushio, Inc........................................................ 10,900 111,061
Wacoal Holdings Corp.............................................. 179,000 1,976,550
#Yamada Denki Co., Ltd............................................. 153,000 7,383,542
Yamaguchi Financial Group, Inc.................................... 492,148 5,344,663
Yamaha Corp....................................................... 327,300 3,509,819
#Yamato Kogyo Co., Ltd............................................. 82,600 2,731,955
Yamazaki Baking Co., Ltd.......................................... 160,000 2,093,836
--------------
TOTAL JAPAN.......................................................... 1,633,806,004
--------------
NETHERLANDS -- (2.5%)
Aegon NV.......................................................... 3,831,576 25,593,967
#Akzo Nobel NV..................................................... 448,015 27,019,950
ArcelorMittal..................................................... 2,499,882 30,900,103
*ING Groep NV...................................................... 5,697,333 46,933,717
#*ING Groep NV Sponsored ADR........................................ 1,297,167 10,649,741
Koninklijke DSM NV................................................ 452,418 29,160,928
Koninklijke Philips Electronics NV (500472303).................... 76,518 2,111,897
Koninklijke Philips Electronics NV (5986622)...................... 1,957,968 54,192,709
--------------
TOTAL NETHERLANDS.................................................... 226,563,012
--------------
NEW ZEALAND -- (0.1%)
Auckland International Airport, Ltd............................... 222,333 590,991
Contact Energy, Ltd............................................... 1,292,916 5,851,381
--------------
TOTAL NEW ZEALAND.................................................... 6,442,372
--------------
NORWAY -- (1.0%)
Aker ASA Class A.................................................. 70,039 2,165,903
#Cermaq ASA........................................................ 27,247 406,943
27
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
NORWAY -- (Continued)
#DNB ASA........................................................... 1,528,374 $ 25,027,898
*Marine Harvest ASA................................................ 2,870,400 2,986,698
#Norsk Hydro ASA................................................... 3,357,025 15,810,285
Norsk Hydro ASA Sponsored ADR..................................... 59,900 277,936
Orkla ASA......................................................... 2,797,062 25,221,991
Stolt-Nielsen, Ltd................................................ 8,425 174,076
*Storebrand ASA.................................................... 1,082,306 4,937,154
#Subsea 7 SA....................................................... 590,207 12,741,549
#*Veripos, Inc...................................................... 52,267 177,868
#Wilh Wilhelmsen Holding ASA Class A............................... 212 5,908
------------
TOTAL NORWAY......................................................... 89,934,209
------------
PORTUGAL -- (0.1%)
*Banco Espirito Santo SA........................................... 2,631,973 3,015,703
Cimpor Cimentos de Portugal SGPS SA............................... 93,325 420,945
*EDP Renovaveis SA................................................. 517,656 2,697,992
------------
TOTAL PORTUGAL....................................................... 6,134,640
------------
SINGAPORE -- (1.2%)
CapitaLand, Ltd................................................... 9,878,000 30,124,411
CapitaMalls Asia, Ltd............................................. 1,863,000 3,185,375
DBS Group Holdings, Ltd........................................... 1,213,831 16,558,194
Golden Agri-Resources, Ltd........................................ 13,990,000 6,028,580
Indofood Agri Resources, Ltd...................................... 198,000 171,598
Keppel Land, Ltd.................................................. 1,214,000 4,010,839
#*Neptune Orient Lines, Ltd......................................... 1,228,004 1,095,573
Noble Group, Ltd.................................................. 5,748,000 5,272,592
#Olam International, Ltd........................................... 706,000 964,743
#Overseas Union Enterprise, Ltd.................................... 405,000 1,024,970
Singapore Airlines, Ltd........................................... 1,585,600 14,318,116
#Singapore Land, Ltd............................................... 532,000 3,823,756
United Industrial Corp., Ltd...................................... 2,152,000 5,263,341
UOL Group, Ltd.................................................... 1,376,600 7,992,712
Venture Corp., Ltd................................................ 307,000 2,073,650
Wheelock Properties Singapore, Ltd................................ 870,000 1,386,294
Wilmar International, Ltd......................................... 2,102,000 5,705,902
------------
TOTAL SINGAPORE...................................................... 109,000,646
------------
SPAIN -- (1.8%)
#Acciona SA........................................................ 114,419 7,485,404
Banco Bilbao Vizcaya Argentaria SA................................ 195,030 1,898,532
#Banco de Sabadell SA.............................................. 5,307,715 11,025,736
#*Banco Espanol de Credito SA....................................... 392,975 1,810,345
#*Banco Popular Espanol SA.......................................... 17,154,572 13,356,520
Banco Santander SA................................................ 8,322,004 60,097,740
Banco Santander SA Sponsored ADR.................................. 1,386,186 10,049,849
#CaixaBank......................................................... 2,901,900 10,729,929
Gas Natural SDG SA................................................ 651,261 13,637,183
Iberdrola SA...................................................... 4,567,914 24,559,692
28
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
SPAIN -- (Continued)
Repsol SA......................................................... 565,470 $ 13,257,192
------------
TOTAL SPAIN.......................................................... 167,908,122
------------
SWEDEN -- (3.1%)
Boliden AB........................................................ 612,180 9,776,476
Holmen AB Class A................................................. 6,300 188,658
Meda AB Class A................................................... 280,396 3,356,464
Nordea Bank AB.................................................... 5,366,449 64,574,595
Skandinaviska Enskilda Banken AB.................................. 16,918 166,660
Skandinaviska Enskilda Banken AB Class A.......................... 3,481,813 35,818,631
#SSAB AB Class A................................................... 51,620 380,332
Svenska Cellulosa AB Class A...................................... 66,476 1,822,798
Svenska Cellulosa AB Class B...................................... 1,586,671 41,330,918
Swedbank AB Class A............................................... 952,040 23,442,697
Telefonaktiebolaget LM Ericsson Class A........................... 28,098 339,278
#Telefonaktiebolaget LM Ericsson Class B........................... 4,713,081 58,613,629
#Telefonaktiebolaget LM Ericsson Sponsored ADR..................... 952,162 11,721,114
TeliaSonera AB.................................................... 3,717,354 25,648,834
Volvo AB Class A.................................................. 203,375 2,807,728
------------
TOTAL SWEDEN......................................................... 279,988,812
------------
SWITZERLAND -- (6.4%)
ABB, Ltd.......................................................... 820,669 18,610,232
Adecco SA......................................................... 358,259 19,162,822
#Alpiq Holding AG.................................................. 1,593 202,233
Aryzta AG......................................................... 163,797 10,170,225
Baloise Holding AG................................................ 200,163 20,631,825
Banque Cantonale Vaudoise......................................... 468 259,310
Clariant AG....................................................... 435,532 6,372,051
*Coca-Cola HBC AG ADR.............................................. 8,492 218,669
Credit Suisse Group AG............................................ 1,685,212 46,800,075
#Credit Suisse Group AG Sponsored ADR.............................. 998,235 28,729,203
Givaudan SA....................................................... 14,257 18,360,576
Holcim, Ltd....................................................... 887,877 69,258,838
Lonza Group AG.................................................... 7,458 519,688
Novartis AG....................................................... 16,632 1,231,227
#Novartis AG ADR................................................... 506,359 37,349,040
PSP Swiss Property AG............................................. 60,354 5,665,829
St Galler Kantonalbank AG......................................... 2,834 1,240,118
Sulzer AG......................................................... 44,989 7,688,172
Swiss Life Holding AG............................................. 123,557 19,574,380
Swiss Re AG....................................................... 1,108,107 88,184,915
#UBS AG (H89231338)................................................ 910,777 16,202,723
UBS AG (B18YFJ4).................................................. 5,895,747 105,170,761
Zurich Insurance Group AG......................................... 236,698 66,143,271
------------
TOTAL SWITZERLAND.................................................... 587,746,183
------------
UNITED KINGDOM -- (18.1%)
Anglo American P.L.C.............................................. 1,123,359 27,466,971
Aviva P.L.C....................................................... 8,175,916 38,815,249
Barclays P.L.C.................................................... 11,591,752 51,727,912
29
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- --------------
UNITED KINGDOM -- (Continued)
#Barclays P.L.C. Sponsored ADR..................................... 4,591,659 $ 82,558,029
BP P.L.C.......................................................... 1,395,752 10,113,815
#BP P.L.C. Sponsored ADR........................................... 5,486,298 239,202,592
Carnival P.L.C.................................................... 658,867 23,787,702
#Carnival P.L.C. ADR............................................... 241,674 8,731,682
#Eurasian Natural Resources Corp. P.L.C............................ 408,931 1,758,514
Evraz P.L.C....................................................... 525,138 1,277,919
HSBC Holdings P.L.C............................................... 1,433,172 15,696,082
#HSBC Holdings P.L.C. Sponsored ADR................................ 1,661,423 91,145,665
*International Consolidated Airlines Group SA...................... 3,847,175 16,300,334
Investec P.L.C.................................................... 1,195,168 8,463,281
J Sainsbury P.L.C................................................. 5,529,939 32,772,849
Kazakhmys P.L.C................................................... 690,345 3,752,356
Kingfisher P.L.C.................................................. 10,285,817 50,118,996
*Lloyds Banking Group P.L.C........................................ 82,680,839 70,236,780
#*Lloyds Banking Group P.L.C. ADR................................... 3,082,996 10,574,676
Mondi P.L.C....................................................... 1,319,308 17,532,918
Old Mutual P.L.C.................................................. 13,164,620 41,989,733
#Pearson P.L.C. Sponsored ADR...................................... 1,446,476 26,427,117
Resolution, Ltd................................................... 3,422,696 14,055,681
Rexam P.L.C....................................................... 2,747,821 22,063,503
*Royal Bank of Scotland Group P.L.C................................ 3,847,507 18,359,637
#*Royal Bank of Scotland Group P.L.C. Sponsored ADR................. 400,166 3,825,587
#Royal Dutch Shell P.L.C. ADR...................................... 3,323,210 231,926,826
Royal Dutch Shell P.L.C. Class A.................................. 9,655 328,707
Royal Dutch Shell P.L.C. Class B.................................. 255,146 8,949,866
RSA Insurance Group P.L.C......................................... 4,956,241 8,582,149
Travis Perkins P.L.C.............................................. 38,182 851,945
Vedanta Resources P.L.C........................................... 189,404 3,583,948
Vodafone Group P.L.C.............................................. 34,976,333 106,723,100
Vodafone Group P.L.C. Sponsored ADR............................... 8,116,661 248,288,660
WM Morrison Supermarkets P.L.C.................................... 8,127,143 36,882,790
Wolseley P.L.C.................................................... 62,277 3,084,515
WPP P.L.C. Sponsored ADR.......................................... 27,110 2,237,659
Xstrata P.L.C..................................................... 5,211,952 78,431,883
--------------
TOTAL UNITED KINGDOM................................................. 1,658,627,628
--------------
TOTAL COMMON STOCKS.................................................. 8,062,785,260
--------------
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
#Porsche Automobil Holding SE...................................... 334,085 26,234,060
--------------
RIGHTS/WARRANTS -- (0.0%)
SPAIN -- (0.0%)
#*Banco Santander SA Rights 05/02/13................................ 8,096,488 1,722,022
--------------
30
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES/
FACE
AMOUNT
(000) VALUE+
----------- --------------
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@DFA Short Term Investment Fund.......................................................... 92,826,275 $1,074,000,000
@Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%, 05/01/13 (Collateralized by
$29,728 FNMA, rates ranging from 3.000% to 3.500%, maturities ranging from 09/01/32 to
08/01/42, valued at $30,383) to be repurchased at $29,787............................... $ 30 29,787
--------------
TOTAL SECURITIES LENDING COLLATERAL......................................................... 1,074,029,787
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $8,013,442,781)......................................... $9,164,771,129
==============
31
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2013
(UNAUDITED)
SHARES VALUE++
--------- -----------
COMMON STOCKS -- (89.1%)
ARGENTINA -- (0.0%)
*Celulosa Argentina................................................ 1 $ --
-----------
BRAZIL -- (8.3%)
AES Tiete SA...................................................... 42,384 390,422
All America Latina Logistica SA................................... 441,531 2,233,309
Arteris SA........................................................ 100,300 1,110,406
Banco Bradesco SA................................................. 543,682 9,307,064
Banco do Brasil SA................................................ 587,392 7,407,172
Banco Santander Brasil SA......................................... 52,300 384,261
Banco Santander Brasil SA ADR..................................... 726,366 5,389,636
BM&FBovespa SA.................................................... 1,706,408 11,829,503
BR Malls Participacoes SA......................................... 302,923 3,574,666
#Braskem SA Sponsored ADR.......................................... 153,394 2,707,404
BRF SA............................................................ 7,600 188,523
#BRF SA ADR........................................................ 564,360 14,013,059
CCR SA............................................................ 668,168 6,545,592
Centrais Eletricas Brasileiras SA................................. 70,900 191,358
#Centrais Eletricas Brasileiras SA ADR............................. 86,923 449,392
#Centrais Eletricas Brasileiras SA Sponsored ADR................... 100,200 269,538
CETIP SA - Mercados Organizados................................... 147,600 1,743,240
#Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR............ 85,830 4,768,715
#Cia de Bebidas das Americas ADR................................... 622,039 26,138,079
Cia de Saneamento Basico do Estado de Sao Paulo................... 66,000 927,942
#Cia de Saneamento Basico do Estado de Sao Paulo ADR............... 178,668 2,554,952
Cia Energetica de Minas Gerais.................................... 46,775 589,845
Cia Hering........................................................ 108,600 2,209,182
Cia Paranaense de Energia......................................... 8,900 125,443
Cia Paranaense de Energia Sponsored ADR........................... 55,300 986,552
Cia Siderurgica Nacional SA....................................... 633,652 2,511,488
#Cia Siderurgica Nacional SA Sponsored ADR......................... 44,469 177,876
Cielo SA.......................................................... 273,475 7,212,944
Cosan SA Industria e Comercio..................................... 130,069 3,066,527
CPFL Energia SA................................................... 62,260 665,932
#CPFL Energia SA ADR............................................... 33,459 716,023
Cyrela Brazil Realty SA Empreendimentos e Participacoes........... 295,797 2,670,046
Duratex SA........................................................ 258,830 1,945,672
EcoRodovias Infraestrutura e Logistica SA......................... 126,788 1,099,474
EDP - Energias do Brasil SA....................................... 236,900 1,445,732
Embraer SA........................................................ 164,400 1,434,674
Embraer SA ADR.................................................... 94,082 3,286,284
#*Fibria Celulose SA Sponsored ADR.................................. 514,098 5,495,708
Gerdau SA......................................................... 128,907 882,038
#Gerdau SA Sponsored ADR........................................... 9,025 70,846
Grendene SA....................................................... 1,000 11,396
Guararapes Confeccoes SA.......................................... 6,056 315,399
*Hypermarcas SA.................................................... 939,724 7,505,580
Itau Unibanco Holding SA.......................................... 204,042 3,456,195
Itau Unibanco Holding SA ADR...................................... 153,946 2,590,911
JBS SA............................................................ 701,336 2,211,886
Kroton Educacional SA............................................. 158,184 2,208,212
Localiza Rent a Car SA............................................ 107,200 1,903,694
32
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
----------- ------------
BRAZIL -- (Continued)
Lojas Americanas SA............................................... 106,410 $ 850,961
Lojas Renner SA................................................... 103,287 3,921,370
M Dias Branco SA.................................................. 26,000 1,162,804
MRV Engenharia e Participacoes SA................................. 203,540 875,911
Multiplan Empreendimentos Imobiliarios SA......................... 65,800 1,878,215
Multiplus SA...................................................... 38,657 637,215
Natura Cosmeticos SA.............................................. 117,400 2,940,941
Odontoprev SA..................................................... 7,800 38,907
Oi SA............................................................. 179,758 522,900
Oi SA ADR (670851104)............................................. 7,319 20,713
#Oi SA ADR (670851203)............................................. 107,889 257,855
Petroleo Brasileiro SA............................................ 98,000 937,998
#Petroleo Brasileiro SA ADR........................................ 1,246,739 23,875,052
Petroleo Brasileiro SA Sponsored ADR.............................. 1,722,575 34,399,823
Porto Seguro SA................................................... 121,199 1,503,516
Raia Drogasil SA.................................................. 172,800 1,856,904
Souza Cruz SA..................................................... 320,870 4,926,716
Tim Participacoes SA.............................................. 288,200 1,205,665
Tim Participacoes SA ADR.......................................... 63,679 1,328,344
Totvs SA.......................................................... 92,875 1,747,716
Tractebel Energia SA.............................................. 115,000 2,046,807
Transmissora Alianca de Energia Eletrica SA....................... 167,020 1,925,854
Ultrapar Participacoes SA......................................... 9,500 252,653
Ultrapar Participacoes SA Sponsored ADR........................... 254,308 6,782,394
*Usinas Siderurgicas de Minas Gerais SA............................ 39,100 196,599
#Vale SA Sponsored ADR (91912E105)................................. 1,249,020 21,345,752
Vale SA Sponsored ADR (91912E204)................................. 502,843 8,176,227
WEG SA............................................................ 248,866 3,293,751
------------
TOTAL BRAZIL......................................................... 287,829,355
------------
CHILE -- (1.9%)
AES Gener SA...................................................... 1,535,803 1,115,287
Aguas Andinas SA Class A.......................................... 1,645,260 1,310,059
#Banco de Chile ADR................................................ 34,582 3,230,304
Banco de Credito e Inversiones.................................... 27,121 1,946,479
#Banco Santander Chile ADR......................................... 124,303 3,311,432
Banmedica SA...................................................... 18,056 47,921
CAP SA............................................................ 60,471 1,906,772
Cencosud SA....................................................... 906,073 5,116,874
Cencosud SA ADR................................................... 8,408 143,020
CFR Pharmaceuticals SA............................................ 1,737,925 448,366
Cia Cervecerias Unidas SA......................................... 8,013 138,669
Cia Cervecerias Unidas SA ADR..................................... 37,792 1,304,958
Colbun SA......................................................... 5,243,789 1,614,501
Corpbanca SA...................................................... 109,762,582 1,503,278
Corpbanca SA ADR.................................................. 22,366 458,056
E.CL SA........................................................... 346,010 722,216
Embotelladora Andina SA Class A ADR............................... 23,068 728,718
#Embotelladora Andina SA Class B ADR............................... 19,587 800,129
Empresa Nacional de Electricidad SA Sponsored ADR................. 86,185 4,594,522
Empresas CMPC SA.................................................. 938,934 3,469,042
Empresas COPEC SA................................................. 378,881 5,430,400
33
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- -----------
CHILE -- (Continued)
Enersis SA Sponsored ADR.......................................... 478,616 $ 9,036,270
ENTEL Chile SA.................................................... 101,164 1,950,460
Inversiones Aguas Metropolitanas SA............................... 70,279 149,213
#Latam Airlines Group SA Sponsored ADR............................. 179,633 3,718,403
Molibdenos y Metales SA........................................... 20,809 368,946
Ripley Corp. SA................................................... 704,487 732,984
SACI Falabella.................................................... 394,826 4,514,573
Sigdo Koppers SA.................................................. 338,893 891,578
#Sociedad Quimica y Minera de Chile SA Sponsored ADR............... 91,271 4,517,002
Sonda SA.......................................................... 357,593 1,237,661
-----------
TOTAL CHILE.......................................................... 66,458,093
-----------
CHINA -- (13.8%)
Agile Property Holdings, Ltd...................................... 1,754,000 2,273,954
Agricultural Bank of China, Ltd. Class H.......................... 16,186,000 7,777,127
Air China, Ltd. Class H........................................... 1,312,000 1,065,271
#*Aluminum Corp. of China, Ltd. ADR................................. 112,680 1,087,362
*Aluminum Corp. of China, Ltd. Class H............................. 212,000 81,202
#*Angang Steel Co., Ltd. Class H.................................... 1,422,000 839,050
#Anhui Conch Cement Co., Ltd. Class H.............................. 825,500 2,997,023
Bank of China, Ltd. Class H....................................... 56,613,100 26,525,169
Bank of Communications Co., Ltd. Class H.......................... 6,152,515 4,899,601
BBMG Corp. Class H................................................ 753,500 607,756
Beijing Capital International Airport Co., Ltd. Class H........... 198,000 137,043
#Beijing Enterprises Holdings, Ltd................................. 668,972 5,003,987
Belle International Holdings, Ltd................................. 2,941,000 4,815,639
*Brilliance China Automotive Holdings, Ltd......................... 1,614,000 1,980,258
*Byd Co., Ltd. Class H............................................. 415,886 1,494,324
China Agri-Industries Holdings, Ltd............................... 93,662 45,910
China BlueChemical, Ltd........................................... 1,502,000 919,552
China CITIC Bank Corp., Ltd. Class H.............................. 6,000,928 3,385,811
China Coal Energy Co., Ltd. Class H............................... 3,309,777 2,554,951
China Communications Construction Co., Ltd. Class H............... 3,568,000 3,429,133
China Communications Services Corp., Ltd. Class H................. 2,892,000 2,114,887
China Construction Bank Corp. Class H............................. 54,255,590 45,537,284
*China COSCO Holdings Co., Ltd. Class H............................ 1,911,500 807,441
#*China Eastern Airlines Corp., Ltd. ADR............................ 2,800 57,540
#*China Eastern Airlines Corp., Ltd. Class H........................ 1,032,000 414,613
China Foods, Ltd.................................................. 20,000 10,217
China Gas Holdings, Ltd........................................... 1,114,000 1,096,429
#China Life Insurance Co., Ltd. ADR................................ 329,354 13,727,475
China Longyuan Power Group Corp. Class H.......................... 1,387,000 1,272,176
China Mengniu Dairy Co., Ltd...................................... 805,000 2,271,169
China Merchants Bank Co., Ltd. Class H............................ 2,871,534 6,133,920
China Merchants Holdings International Co., Ltd................... 979,321 3,094,001
#China Minsheng Banking Corp., Ltd. Class H........................ 4,072,000 5,228,049
#China Mobile, Ltd. Sponsored ADR.................................. 797,691 44,064,451
China Molybdenum Co., Ltd. Class H................................ 798,322 309,501
#China National Building Material Co., Ltd. Class H................ 2,083,916 2,469,834
#China Oilfield Services, Ltd. Class H............................. 1,028,000 2,032,341
China Overseas Land & Investment, Ltd............................. 2,694,000 8,242,839
China Pacific Insurance Group Co., Ltd. Class H................... 1,642,000 5,907,556
34
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- -----------
CHINA -- (Continued)
#China Petroleum & Chemical Corp. ADR.............................. 106,449 $11,769,001
China Petroleum & Chemical Corp. Class H.......................... 4,096,000 4,520,197
China Railway Construction Corp., Ltd. Class H.................... 2,554,000 2,581,980
China Railway Group, Ltd. Class H................................. 2,143,000 1,131,179
#China Resources Cement Holdings, Ltd.............................. 1,416,000 819,792
#China Resources Enterprise, Ltd................................... 1,025,000 3,518,965
China Resources Gas Group, Ltd.................................... 572,000 1,606,036
China Resources Land, Ltd......................................... 1,430,000 4,325,003
China Resources Power Holdings Co., Ltd........................... 1,024,000 3,366,095
China Shenhua Energy Co., Ltd. Class H............................ 2,425,500 8,600,491
*China Shipping Container Lines Co., Ltd. Class H.................. 4,653,000 1,113,205
China Southern Airlines Co., Ltd. Class H......................... 980,000 518,172
#China Southern Airlines Co., Ltd. Sponsored ADR................... 10,900 290,485
China State Construction International Holdings, Ltd.............. 1,120,000 1,634,018
*China Taiping Insurance Holdings Co., Ltd......................... 536,800 912,994
#China Telecom Corp., Ltd. ADR..................................... 49,067 2,526,950
China Telecom Corp., Ltd. Class H................................. 2,804,000 1,433,019
#China Unicom Hong Kong, Ltd. ADR.................................. 470,600 6,790,758
Chongqing Rural Commercial Bank Class H........................... 26,000 14,181
#CITIC Pacific, Ltd................................................ 1,669,000 2,028,056
#CITIC Securities Co., Ltd. Class H................................ 653,500 1,485,144
CNOOC, Ltd........................................................ 1,170,000 2,185,437
CNOOC, Ltd. ADR................................................... 107,285 20,098,772
COSCO Pacific, Ltd................................................ 2,165,997 2,877,536
*Country Garden Holdings Co., Ltd.................................. 3,626,769 2,059,448
#CSR Corp., Ltd.................................................... 1,377,000 905,560
Datang International Power Generation Co., Ltd. Class H........... 1,532,000 671,550
#Dongfang Electric Corp., Ltd. Class H............................. 255,600 359,816
Dongfeng Motor Group Co., Ltd. Class H............................ 2,002,000 3,001,307
#ENN Energy Holdings, Ltd.......................................... 476,000 2,758,901
#Evergrande Real Estate Group, Ltd................................. 5,626,000 2,309,229
Fosun International, Ltd.......................................... 1,717,441 1,224,150
#GCL-Poly Energy Holdings, Ltd..................................... 5,826,814 1,184,108
Geely Automobile Holdings, Ltd.................................... 3,120,000 1,576,779
#Golden Eagle Retail Group, Ltd.................................... 414,000 726,366
#Great Wall Motor Co., Ltd. Class H................................ 703,500 3,056,691
Guangdong Investment, Ltd......................................... 1,564,000 1,508,176
#Guangshen Railway Co., Ltd. Sponsored ADR......................... 29,254 731,057
Guangzhou Automobile Group Co., Ltd. Class H...................... 1,996,259 1,645,398
#*Guangzhou Pharmaceutical Co., Ltd. Class H........................ 138,000 451,245
#Guangzhou R&F Properties Co., Ltd................................. 1,225,600 2,224,012
*Haier Electronics Group Co., Ltd.................................. 568,000 1,015,541
Hengan International Group Co., Ltd............................... 467,500 4,851,555
*Huadian Power International Co. Class H........................... 856,000 470,327
Huaneng Power International, Inc. Class H......................... 368,000 426,388
#Huaneng Power International, Inc. Sponsored ADR................... 34,452 1,598,573
Industrial & Commercial Bank of China, Ltd. Class H............... 48,967,185 34,517,198
Jiangsu Expressway Co., Ltd. Class H.............................. 764,000 840,084
Jiangxi Copper Co., Ltd. Class H.................................. 1,023,000 2,002,127
Kunlun Energy Co., Ltd............................................ 2,042,000 4,012,396
Lenovo Group, Ltd................................................. 3,967,278 3,634,307
#Longfor Properties Co., Ltd....................................... 942,000 1,573,580
35
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
CHINA -- (Continued)
#*Metallurgical Corp. of China, Ltd. Class H........................ 2,646,000 $ 540,068
New China Life Insurance Co., Ltd. Class H........................ 84,700 316,207
New World China Land, Ltd......................................... 2,554,000 1,127,821
#Nine Dragons Paper Holdings, Ltd.................................. 1,905,000 1,659,737
PetroChina Co., Ltd. ADR.......................................... 145,110 18,553,765
PetroChina Co., Ltd. Class H...................................... 546,000 695,947
PICC Property & Casualty Co., Ltd. Class H........................ 1,672,000 2,151,455
Ping An Insurance Group Co. of China, Ltd. Class H................ 1,270,500 10,075,614
Shandong Weigao Group Medical Polymer Co., Ltd. Class H........... 1,004,000 967,159
Shanghai Electric Group Co., Ltd. Class H......................... 2,392,000 837,590
Shanghai Industrial Holdings, Ltd................................. 701,274 2,228,172
Shanghai Pharmaceuticals Holding Co., Ltd. Class H................ 226,400 466,912
Shenzhou International Group Holdings, Ltd........................ 11,000 32,246
#Shimao Property Holdings, Ltd..................................... 1,956,371 4,227,231
#Sino-Ocean Land Holdings, Ltd..................................... 2,300,315 1,518,531
Sinopec Shanghai Petrochemical Co., Ltd. Class H.................. 952,000 328,290
Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR............ 6,545 222,661
#Sinopec Yizheng Chemical Fibre Co., Ltd. Class H.................. 888,000 199,475
#Sinopharm Group Co., Ltd. Class H................................. 526,400 1,568,679
#SOHO China, Ltd................................................... 2,899,263 2,505,231
#Sun Art Retail Group, Ltd......................................... 1,511,000 2,105,171
Tencent Holdings, Ltd............................................. 689,200 23,758,321
Tingyi Cayman Islands Holding Corp................................ 1,242,000 3,444,307
Tsingtao Brewery Co., Ltd. Class H................................ 178,000 1,192,809
Uni-President China Holdings, Ltd................................. 759,000 826,229
Want Want China Holdings, Ltd..................................... 3,772,000 5,992,222
#Weichai Power Co., Ltd. Class H................................... 364,200 1,274,565
#Yanzhou Coal Mining Co., Ltd. Class H............................. 326,000 341,137
#Yanzhou Coal Mining Co., Ltd. Sponsored ADR....................... 108,916 1,144,707
Zhaojin Mining Industry Co., Ltd.................................. 553,000 618,276
Zhejiang Expressway Co., Ltd. Class H............................. 876,000 688,810
#Zhuzhou CSR Times Electric Co., Ltd. Class H...................... 276,000 761,528
#Zijin Mining Group Co., Ltd. Class H.............................. 3,841,000 1,139,344
#Zoomlion Heavy Industry Science and Technology Co., Ltd........... 1,066,200 1,071,541
#ZTE Corp. Class H................................................. 460,838 778,987
------------
TOTAL CHINA.......................................................... 479,555,926
------------
COLOMBIA -- (0.6%)
Almacenes Exito SA................................................ 122,048 2,000,825
Banco de Bogota SA................................................ 6,512 224,787
Bancolombia SA.................................................... 75,718 1,244,622
#Bancolombia SA Sponsored ADR...................................... 76,040 5,153,231
Cementos Argos SA................................................. 155,751 695,513
#Ecopetrol SA Sponsored ADR........................................ 220,479 10,488,186
Empresa de Energia de Bogota SA................................... 703,596 526,227
Grupo Aval Acciones y Valores..................................... 429,243 297,516
Grupo Nutresa SA.................................................. 7,131 98,306
Interconexion Electrica SA ESP.................................... 209,669 965,007
Isagen SA ESP..................................................... 622,615 866,503
------------
TOTAL COLOMBIA....................................................... 22,560,723
------------
36
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
------- -----------
CZECH REPUBLIC -- (0.3%)
CEZ A.S........................................................... 198,179 $ 5,749,420
Komercni Banka A.S................................................ 14,730 2,820,578
Philip Morris CR A.S.............................................. 276 157,338
Telefonica Czech Republic A.S..................................... 142,100 2,055,839
*Unipetrol A.S..................................................... 3,920 34,413
-----------
TOTAL CZECH REPUBLIC................................................. 10,817,588
-----------
EGYPT -- (0.1%)
Commercial International Bank Egypt S.A.E. GDR.................... 243,279 1,060,891
*Egyptian Financial Group-Hermes Holding GDR....................... 563 1,688
*Orascom Telecom Holding S.A.E. GDR................................ 408,269 1,377,368
-----------
TOTAL EGYPT.......................................................... 2,439,947
-----------
HUNGARY -- (0.3%)
EGIS Pharmaceuticals P.L.C........................................ 3,146 248,633
Magyar Telekom Telecommunications P.L.C........................... 361,187 668,028
MOL Hungarian Oil and Gas P.L.C................................... 40,682 2,891,727
OTP Bank P.L.C.................................................... 237,504 4,958,674
Richter Gedeon Nyrt............................................... 13,851 2,056,056
*Tisza Chemical Group P.L.C........................................ 23,981 208,051
-----------
TOTAL HUNGARY........................................................ 11,031,169
-----------
INDIA -- (7.3%)
ABB, Ltd.......................................................... 46,035 448,385
ACC, Ltd.......................................................... 49,848 1,143,063
Adani Enterprises, Ltd............................................ 179,122 725,142
Adani Ports and Special Economic Zone............................. 308,041 828,961
*Adani Power, Ltd.................................................. 722,177 652,857
Aditya Birla Nuvo, Ltd............................................ 33,850 660,389
Allahabad Bank.................................................... 168,800 422,216
Ambuja Cements, Ltd............................................... 692,303 2,418,751
Apollo Hospitals Enterprise, Ltd.................................. 61,825 954,058
Ashok Leyland, Ltd................................................ 667,374 288,462
Asian Paints, Ltd................................................. 26,431 2,301,701
Axis Bank, Ltd.................................................... 227,689 6,307,567
Bajaj Auto, Ltd................................................... 88,932 3,107,639
Bajaj Finserv, Ltd................................................ 38,658 533,104
Bajaj Holdings and Investment, Ltd................................ 25,772 425,440
Bank of Baroda.................................................... 46,962 609,951
Bank of India..................................................... 129,585 795,053
Bharat Electronics, Ltd........................................... 13,836 300,733
Bharat Forge, Ltd................................................. 17,323 74,377
Bharat Heavy Electricals, Ltd..................................... 565,087 2,031,353
Bharat Petroleum Corp., Ltd....................................... 148,062 1,142,662
Bharti Airtel, Ltd................................................ 712,612 4,210,165
Bhushan Steel, Ltd. (6288521)..................................... 44,525 376,010
*Bhushan Steel, Ltd. (B8KHHS3)..................................... 2,899 13,937
Bosch, Ltd........................................................ 11,944 1,972,486
Cadila Healthcare, Ltd............................................ 25,295 373,431
Cairn India, Ltd.................................................. 401,975 2,331,006
Canara Bank....................................................... 102,716 794,042
37
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
INDIA -- (Continued)
Cipla, Ltd........................................................ 319,836 $ 2,414,468
Colgate-Palmolive India, Ltd...................................... 32,290 868,923
Container Corp. Of India.......................................... 29,463 614,925
Coromandel International, Ltd..................................... 25,233 91,161
Corp. Bank........................................................ 6,356 44,705
CRISIL, Ltd....................................................... 6,575 109,484
Crompton Greaves, Ltd............................................. 169,046 288,988
Cummins India, Ltd................................................ 54,426 515,049
Dabur India, Ltd.................................................. 495,434 1,362,039
*Dish TV India, Ltd................................................ 218,853 276,842
Divi's Laboratories, Ltd.......................................... 34,074 678,299
DLF, Ltd.......................................................... 409,046 1,807,283
Dr Reddy's Laboratories, Ltd...................................... 18,968 714,895
#Dr Reddy's Laboratories, Ltd. ADR................................. 74,598 2,825,772
Emami, Ltd........................................................ 25,753 305,260
Engineers India, Ltd.............................................. 66,837 216,069
*Essar Oil, Ltd.................................................... 395,013 560,679
Exide Industries, Ltd............................................. 217,474 536,753
Federal Bank, Ltd................................................. 91,176 774,210
GAIL India, Ltd................................................... 200,948 1,308,898
GAIL India, Ltd. GDR.............................................. 28,791 1,140,859
Gillette India, Ltd............................................... 2,685 102,767
GlaxoSmithKline Consumer Healthcare, Ltd.......................... 47 3,543
GlaxoSmithKline Pharmaceuticals, Ltd.............................. 24,027 1,007,588
Glenmark Pharmaceuticals, Ltd..................................... 101,902 921,236
*GMR Infrastructure, Ltd........................................... 684,313 260,374
Godrej Consumer Products, Ltd..................................... 73,412 1,123,400
Godrej Industries, Ltd............................................ 74,747 429,272
Grasim Industries, Ltd............................................ 6,300 342,947
Havells India, Ltd................................................ 13,283 162,389
HCL Technologies, Ltd............................................. 169,596 2,264,469
HDFC Bank, Ltd.................................................... 1,348,212 17,113,603
Hero Motocorp, Ltd................................................ 32,865 1,002,766
Hindalco Industries, Ltd.......................................... 914,963 1,654,007
Hindustan Petroleum Corp., Ltd.................................... 60,878 347,594
Hindustan Unilever, Ltd........................................... 769,678 8,332,856
ICICI Bank, Ltd. Sponsored ADR.................................... 208,679 9,770,351
IDBI Bank, Ltd.................................................... 346,191 567,703
*Idea Cellular, Ltd................................................ 805,036 1,993,647
IDFC, Ltd......................................................... 601,656 1,712,230
Indian Bank....................................................... 126,858 404,722
Indian Oil Corp., Ltd............................................. 327,576 1,816,234
IndusInd Bank, Ltd................................................ 126,014 1,092,933
Infosys, Ltd...................................................... 214,112 8,855,026
#Infosys, Ltd. Sponsored ADR....................................... 148,942 6,216,839
ING Vysya Bank, Ltd............................................... 2,621 29,433
ITC, Ltd.......................................................... 1,926,179 11,723,330
Jaiprakash Associates, Ltd........................................ 1,336,264 1,866,228
*Jaiprakash Power Ventures, Ltd.................................... 454,730 215,275
Jindal Steel & Power, Ltd......................................... 381,409 2,163,150
JSW Energy, Ltd................................................... 592,161 718,145
JSW Steel, Ltd.................................................... 124,632 1,639,944
38
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
INDIA -- (Continued)
*Jubilant Foodworks, Ltd........................................... 18,139 $ 374,101
Kotak Mahindra Bank, Ltd.......................................... 263,290 3,458,788
Larsen & Toubro, Ltd.............................................. 185,052 5,209,110
LIC Housing Finance, Ltd.......................................... 53,635 242,501
Lupin, Ltd........................................................ 134,973 1,761,415
Mahindra & Mahindra, Ltd.......................................... 298,575 5,140,787
Mangalore Refinery & Petrochemicals, Ltd.......................... 399,619 353,132
Marico, Ltd....................................................... 116,346 485,995
Maruti Suzuki India, Ltd.......................................... 33,769 1,046,430
Motherson Sumi Systems, Ltd....................................... 121,314 442,652
Mphasis, Ltd...................................................... 60,703 419,577
National Aluminium Co., Ltd....................................... 109,139 70,761
Nestle India, Ltd................................................. 10,176 931,912
NHPC, Ltd......................................................... 2,574,565 1,040,941
NTPC, Ltd......................................................... 445,654 1,297,895
Oberoi Realty, Ltd................................................ 12,234 55,299
Oil & Natural Gas Corp., Ltd...................................... 699,873 4,242,814
Oil India, Ltd.................................................... 100,495 1,029,914
*Oracle Financial Services Software, Ltd........................... 19,531 947,108
Oriental Bank of Commerce......................................... 85,829 429,298
Petronet LNG, Ltd................................................. 176,542 459,376
Pidilite Industries, Ltd.......................................... 122,889 569,462
Piramal Enterprises, Ltd.......................................... 60,551 628,686
Power Grid Corp. of India, Ltd.................................... 751,873 1,562,662
Procter & Gamble Hygiene & Health Care, Ltd....................... 7,710 394,627
*Ranbaxy Laboratories, Ltd......................................... 131,027 1,102,628
Reliance Capital, Ltd............................................. 97,310 635,477
Reliance Communications, Ltd...................................... 594,072 1,064,363
Reliance Industries, Ltd.......................................... 1,432,266 20,926,146
Reliance Infrastructure, Ltd...................................... 111,967 782,250
*Reliance Power, Ltd............................................... 582,298 770,589
Rural Electrification Corp., Ltd.................................. 47,495 198,099
*Satyam Computer Services, Ltd..................................... 401,693 832,059
Sesa Goa, Ltd..................................................... 563,951 1,683,473
Shree Cement, Ltd................................................. 6,717 564,379
Shriram Transport Finance Co., Ltd................................ 76,457 1,064,342
Siemens, Ltd...................................................... 44,573 451,533
SJVN, Ltd......................................................... 381,249 141,919
State Bank of India............................................... 124,989 5,287,041
Steel Authority of India, Ltd..................................... 383,707 440,909
Sterlite Industries India, Ltd.................................... 1,725,980 3,116,765
Sun Pharmaceutical Industries, Ltd................................ 276,489 4,874,393
Sun TV Network, Ltd............................................... 63,475 490,806
Tata Chemicals, Ltd............................................... 85,384 518,959
Tata Communications, Ltd.......................................... 36,123 153,104
Tata Consultancy Services, Ltd.................................... 408,957 10,451,792
Tata Global Beverages, Ltd........................................ 257,537 703,105
Tata Motors, Ltd.................................................. 679,237 3,748,273
Tata Motors, Ltd. Sponsored ADR................................... 81,024 2,231,401
Tata Power Co., Ltd............................................... 763,990 1,346,718
Tata Steel, Ltd................................................... 301,827 1,708,377
Tech Mahindra, Ltd................................................ 24,688 443,547
39
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
INDIA -- (Continued)
Titan Industries, Ltd............................................. 173,170 $ 871,943
Torrent Power, Ltd................................................ 79,357 208,462
Ultratech Cement, Ltd............................................. 40,093 1,422,986
Union Bank of India............................................... 73,846 334,994
*Unitech, Ltd...................................................... 1,237,337 622,798
United Breweries, Ltd............................................. 53,764 733,096
United Phosphorus, Ltd............................................ 7,908 20,842
United Spirits, Ltd............................................... 76,192 3,147,044
Wipro, Ltd........................................................ 438,772 3,179,774
*Wockhardt, Ltd.................................................... 14,237 507,713
Yes Bank, Ltd..................................................... 161,542 1,504,361
Zee Entertainment Enterprises, Ltd................................ 389,718 1,695,372
------------
TOTAL INDIA.......................................................... 252,129,578
------------
INDONESIA -- (3.4%)
Adaro Energy Tbk PT............................................... 12,163,000 1,541,507
AKR Corporindo Tbk PT............................................. 878,500 465,908
Alam Sutera Realty Tbk PT......................................... 12,012,500 1,299,631
Astra Agro Lestari Tbk PT......................................... 403,000 734,592
Astra International Tbk PT........................................ 17,653,110 13,357,167
Bank Central Asia Tbk PT.......................................... 10,755,500 11,904,930
Bank Danamon Indonesia Tbk PT..................................... 3,627,079 2,408,133
Bank Mandiri Persero Tbk PT....................................... 9,040,117 9,779,859
Bank Negara Indonesia Persero Tbk PT.............................. 7,388,222 4,108,888
*Bank Pan Indonesia Tbk PT......................................... 7,175,000 591,365
Bank Rakyat Indonesia Persero Tbk PT.............................. 10,236,500 9,914,300
*Bank Tabungan Pensiunan Nasional Tbk PT........................... 768,500 419,025
Bayan Resources Tbk PT............................................ 79,500 65,127
Bhakti Investama Tbk PT........................................... 13,972,500 705,508
Bumi Serpong Damai PT............................................. 6,655,500 1,183,181
Charoen Pokphand Indonesia Tbk PT................................. 6,039,000 3,138,145
Global Mediacom Tbk PT............................................ 6,334,000 1,418,813
Gudang Garam Tbk PT............................................... 443,500 2,256,196
Harum Energy Tbk PT............................................... 621,000 265,552
Holcim Indonesia Tbk PT........................................... 1,596,000 599,796
Indo Tambangraya Megah Tbk PT..................................... 355,000 1,343,225
Indocement Tunggal Prakarsa Tbk PT................................ 1,284,500 3,495,179
Indofood CBP Sukses Makmur Tbk PT................................. 998,500 1,176,748
Indofood Sukses Makmur Tbk PT..................................... 4,360,000 3,300,077
Indomobil Sukses Internasional Tbk PT............................. 35,000 19,108
Indosat Tbk PT.................................................... 885,000 546,561
Indosat Tbk PT ADR................................................ 1,674 49,366
*Inovisi Infracom Tbk PT........................................... 117,500 76,883
Japfa Comfeed Indonesia Tbk PT.................................... 437,500 86,891
Jasa Marga Persero Tbk PT......................................... 1,526,500 1,053,430
Kalbe Farma Tbk PT................................................ 18,613,000 2,666,081
Lippo Karawaci Tbk PT............................................. 31,991,000 4,446,321
Mayora Indah Tbk PT............................................... 173,000 535,276
Media Nusantara Citra Tbk PT...................................... 3,417,000 1,099,946
*Panasia Indo Resources Tbk PT..................................... 75,100 5,214
Perusahaan Gas Negara Persero Tbk PT.............................. 8,045,500 5,175,078
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT............. 2,010,500 314,685
40
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
INDONESIA -- (Continued)
Semen Indonesia Persero Tbk PT.................................... 2,585,500 $ 4,900,111
Sinar Mas Agro Resources and Technology Tbk PT.................... 1,116,500 769,790
Sumber Alfaria Trijaya Tbk PT..................................... 4,000 2,468
Surya Citra Media Tbk PT.......................................... 1,607,000 462,803
Tambang Batubara Bukit Asam Persero Tbk PT........................ 768,500 1,206,138
Telekomunikasi Indonesia Persero Tbk PT........................... 7,835,140 9,439,643
*Tower Bersama Infrastructure Tbk PT............................... 967,000 562,448
Unilever Indonesia Tbk PT......................................... 1,381,500 3,732,730
United Tractors Tbk PT............................................ 1,408,696 2,576,486
Vale Indonesia Tbk PT............................................. 2,957,000 870,356
XL Axiata Tbk PT.................................................. 2,147,500 1,126,885
------------
TOTAL INDONESIA...................................................... 117,197,550
------------
MALAYSIA -- (3.8%)
Affin Holdings Bhd................................................ 318,200 370,526
AirAsia BHD....................................................... 1,135,500 1,094,425
Alliance Financial Group Bhd...................................... 1,216,400 1,783,695
AMMB Holdings Bhd................................................. 1,492,359 3,287,305
Axiata Group Bhd.................................................. 2,221,275 4,945,409
Batu Kawan BHD.................................................... 76,300 456,929
Berjaya Land Bhd.................................................. 95,000 25,578
Berjaya Sports Toto Bhd........................................... 725,025 1,000,888
Boustead Holdings Bhd............................................. 398,086 670,125
British American Tobacco Malaysia Bhd............................. 102,200 2,128,403
*Bumi Armada Bhd................................................... 823,300 1,079,800
CIMB Group Holdings Bhd........................................... 4,317,654 10,991,673
Dialog Group BHD.................................................. 1,127,300 878,956
DiGi.Com Bhd...................................................... 2,767,720 4,222,728
DRB-Hicom Bhd..................................................... 784,000 647,480
Fraser & Neave Holdings Bhd....................................... 80,000 479,601
Gamuda Bhd........................................................ 1,674,400 2,241,486
Genting Bhd....................................................... 1,894,300 6,542,209
Genting Malaysia Bhd.............................................. 2,893,800 3,579,572
Genting Plantations Bhd........................................... 239,300 673,639
Guinness Anchor Bhd............................................... 12,800 77,677
Hong Leong Bank Bhd............................................... 507,160 2,411,266
Hong Leong Financial Group Bhd.................................... 209,629 1,068,519
IJM Corp. Bhd..................................................... 1,245,881 2,234,108
IOI Corp. Bhd..................................................... 2,849,805 4,712,714
Kuala Lumpur Kepong Bhd........................................... 423,700 3,004,137
Kulim Malaysia BHD................................................ 470,200 553,508
Lafarge Malayan Cement Bhd........................................ 280,980 916,695
Malayan Banking Bhd............................................... 3,948,467 12,491,220
Malaysia Airports Holdings Bhd.................................... 257,627 509,637
Malaysia Marine and Heavy Engineering Holdings Bhd................ 367,600 459,976
Maxis Bhd......................................................... 1,801,000 4,001,945
*MISC Bhd.......................................................... 1,391,098 1,994,064
MMC Corp. Bhd..................................................... 1,092,100 914,716
Multi-Purpose Holdings BHD........................................ 39,300 45,506
Nestle Malaysia Bhd............................................... 189,300 3,849,491
Parkson Holdings Bhd.............................................. 585,720 812,275
Petronas Chemicals Group Bhd...................................... 2,316,600 4,973,297
41
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
MALAYSIA -- (Continued)
Petronas Dagangan BHD............................................. 241,400 $ 1,873,445
Petronas Gas Bhd.................................................. 468,300 3,035,778
PPB Group Bhd..................................................... 427,000 1,796,638
Public Bank Bhd (B012W42)......................................... 67,739 365,733
Public Bank Bhd (B012W53)......................................... 940,101 5,074,838
RHB Capital Bhd................................................... 636,983 1,776,655
*Sapurakencana Petroleum Bhd....................................... 1,898,700 1,985,474
Shell Refining Co. Federation of Malaya Bhd....................... 116,500 323,281
Sime Darby Bhd.................................................... 2,351,220 7,298,185
SP Setia Bhd...................................................... 247,600 278,966
Telekom Malaysia Bhd.............................................. 792,900 1,438,575
Tenaga Nasional Bhd............................................... 2,144,050 5,532,161
*UEM Land Holdings Bhd............................................. 1,468,537 1,212,010
UMW Holdings Bhd.................................................. 475,466 2,235,543
United Plantations BHD............................................ 33,700 308,501
YTL Corp. Bhd..................................................... 5,406,186 2,913,471
YTL Power International Bhd....................................... 1,575,940 782,339
------------
TOTAL MALAYSIA....................................................... 130,362,771
------------
MEXICO -- (5.8%)
Alfa S.A.B. de C.V. Class A....................................... 2,945,100 6,837,450
#America Movil S.A.B. de C.V. Series L............................. 30,952,095 33,163,960
America Movil S.A.B. de C.V. Series L ADR......................... 22,528 481,649
Arca Continental S.A.B. de C.V.................................... 349,300 2,858,597
#*Cemex S.A.B. de C.V............................................... 313,287 353,478
#*Cemex S.A.B. de C.V. Sponsored ADR................................ 1,189,806 13,385,315
Coca-Cola Femsa S.A.B. de C.V. Series L........................... 298,900 4,828,758
Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR...................... 7,008 1,130,881
#Controladora Comercial Mexicana S.A.B. de C.V..................... 375,559 1,444,731
*Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B.... 8,726 6,288
El Puerto de Liverpool S.A.B. de C.V.............................. 152,687 1,931,112
Fomento Economico Mexicano S.A.B. de C.V.......................... 1,793,669 20,341,140
#*Genomma Lab Internacional S.A.B. de C.V. Class B.................. 264,900 572,023
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR............... 4,358 252,241
Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B........... 192,400 1,114,409
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR................ 34,897 4,331,067
#Grupo Bimbo S.A.B. de C.V. Series A............................... 1,538,500 5,011,215
#Grupo Carso S.A.B. de C.V. Series A1.............................. 639,132 3,642,994
Grupo Comercial Chedraui S.A. de C.V.............................. 297,766 1,134,926
Grupo Financiero Banorte S.A.B. de C.V............................ 1,899,876 14,316,781
Grupo Financiero Inbursa S.A.B. de C.V............................ 1,863,628 5,405,646
Grupo Industrial Maseca S.A.B. de C.V. Class B.................... 147,287 246,604
Grupo Mexico S.A.B. de C.V. Series B.............................. 3,579,616 12,850,569
#Grupo Modelo S.A.B. de C.V. Series C.............................. 661,784 6,018,151
*Grupo Qumma S.A. de C.V. Series B................................. 1,591 --
Grupo Televisa S.A.B. Series CPO.................................. 1,765,070 8,945,785
Grupo Televisa S.A.B. Sponsored ADR............................... 145,475 3,683,427
#*Impulsora del Desarrollo y El Empleo en America Latina S.A.B. de
C.V............................................................... 2,373,426 5,752,611
#*Industrias CH S.A.B. de C.V. Series B............................. 190,049 1,531,060
#Industrias Penoles S.A.B. de C.V.................................. 103,055 4,328,084
Kimberly-Clark de Mexico S.A.B. de C.V. Class A................... 1,823,400 6,385,196
Mexichem S.A.B. de C.V............................................ 780,133 3,979,595
42
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
MEXICO -- (Continued)
#*Minera Frisco S.A.B. de C.V....................................... 783,633 $ 3,353,366
#*OHL Mexico S.A.B. de C.V.......................................... 512,424 1,585,935
#Organizacion Soriana S.A.B. de C.V. Class B....................... 1,112,075 4,579,342
*Savia SA Class A.................................................. 120,000 --
Wal-Mart de Mexico S.A.B. de C.V. Series V........................ 4,498,650 14,271,431
------------
TOTAL MEXICO......................................................... 200,055,817
------------
PERU -- (0.3%)
Cementos Pacasmayo SAA ADR........................................ 1,159 16,469
Cia de Minas Buenaventura SA ADR.................................. 103,995 2,081,980
Credicorp, Ltd.................................................... 62,859 9,465,937
------------
TOTAL PERU........................................................... 11,564,386
------------
PHILIPPINES -- (1.4%)
Aboitiz Equity Ventures, Inc...................................... 1,519,900 2,105,735
Aboitiz Power Corp................................................ 1,446,200 1,310,746
Alliance Global Group, Inc........................................ 6,710,300 3,868,930
Ayala Corp........................................................ 174,775 2,724,444
Ayala Land, Inc................................................... 4,800,318 3,791,020
Bank of the Philippine Islands.................................... 844,014 2,107,824
*BDO Unibank, Inc.................................................. 1,519,961 3,388,969
DMCI Holdings, Inc................................................ 726,690 1,007,218
Energy Development Corp........................................... 6,478,700 1,025,719
*First Gen Corp.................................................... 764,700 419,166
Fwbc Holdings, Inc................................................ 2,006,957 --
Globe Telecom, Inc................................................ 33,060 1,148,892
International Container Terminal Services, Inc.................... 723,570 1,617,925
JG Summit Holdings, Inc........................................... 168,900 194,905
Jollibee Foods Corp............................................... 354,660 1,107,881
Manila Electric Co................................................ 126,130 1,146,580
Megaworld Corp.................................................... 13,439,000 1,356,947
Metro Pacific Investments Corp.................................... 7,894,000 1,168,438
Metropolitan Bank & Trust......................................... 881,923 2,669,385
Philippine Long Distance Telephone Co............................. 35,545 2,627,080
Philippine Long Distance Telephone Co. Sponsored ADR.............. 1,796 131,952
*Philippine National Bank.......................................... 44,530 124,513
Robinsons Land Corp............................................... 1,553,700 971,347
San Miguel Corp................................................... 418,720 1,230,595
Security Bank Corp................................................ 181,170 868,497
Semirara Mining Corp.............................................. 112,800 822,661
SM Investments Corp............................................... 180,820 5,033,998
SM Prime Holdings, Inc............................................ 5,081,710 2,472,822
Universal Robina Corp............................................. 879,930 2,539,803
------------
TOTAL PHILIPPINES.................................................... 48,983,992
------------
POLAND -- (1.4%)
Bank Handlowy w Warszawie SA...................................... 34,275 1,020,905
*Bank Millennium SA................................................ 701,813 1,072,523
Bank Pekao SA..................................................... 101,972 4,892,105
Bank Zachodni WBK SA.............................................. 2,519 209,741
*BRE Bank SA....................................................... 13,122 1,436,951
43
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
POLAND -- (Continued)
*Cyfrowy Polsat SA................................................. 79,369 $ 419,528
Enea SA........................................................... 59,258 243,909
Eurocash SA....................................................... 48,245 869,941
*Getin Noble Bank SA............................................... 1,028,245 511,773
Grupa Azoty SA.................................................... 3,303 63,703
*Grupa Lotos SA.................................................... 38,603 464,994
Grupa Zywiec SA................................................... 12,604 1,778,087
*ING Bank Slaski SA................................................ 27,713 789,645
Jastrzebska Spolka Weglowa SA..................................... 36,212 963,860
*Kernel Holding SA................................................. 46,175 838,599
KGHM Polska Miedz SA.............................................. 127,397 5,994,134
LPP SA............................................................ 262 530,596
Lubelski Wegiel Bogdanka SA....................................... 23,499 873,340
PGE SA............................................................ 613,911 3,190,478
*Polski Koncern Naftowy Orlen S.A.................................. 314,502 4,883,324
*Polskie Gornictwo Naftowe i Gazownictwo SA........................ 1,217,981 2,059,291
Powszechna Kasa Oszczednosci Bank Polski SA....................... 679,879 7,079,581
Powszechny Zaklad Ubezpieczen SA.................................. 45,504 6,276,383
Synthos SA........................................................ 436,090 650,478
Tauron Polska Energia SA.......................................... 239,037 318,967
Telekomunikacja Polska SA......................................... 591,537 1,319,646
------------
TOTAL POLAND......................................................... 48,752,482
------------
RUSSIA -- (4.0%)
Eurasia Drilling Co., Ltd. GDR.................................... 92,166 3,610,725
Federal Hydrogenerating Co. JSC ADR............................... 1,056,935 1,825,430
Gazprom OAO Sponsored ADR......................................... 4,589,920 36,553,949
Globaltrans Investment P.L.C. GDR................................. 40,377 573,629
Lukoil OAO Sponsored ADR.......................................... 376,321 23,927,966
Magnitogorsk Iron & Steel Works GDR............................... 127,856 386,354
Mail.ru Group, Ltd. GDR........................................... 46,941 1,269,441
#Mechel Sponsored ADR.............................................. 170,001 693,604
*MMC Norilsk Nickel OJSC ADR....................................... 532,268 8,215,919
Novolipetsk Steel OJSC GDR........................................ 71,198 1,196,051
Novorossiysk Commercial Sea Port PJSC GDR......................... 33,800 233,334
O'Key Group SA GDR................................................ 25,463 306,200
*PIK Group GDR..................................................... 26,823 53,330
Rosneft OAO GDR................................................... 1,181,607 8,104,089
Rostelecom OJSC Sponsored ADR..................................... 39,449 883,019
*Sberbank of Russia Sponsored ADR.................................. 2,075,152 26,783,406
Severstal OAO GDR................................................. 135,369 1,159,087
Tatneft OAO Sponsored ADR......................................... 177,378 6,729,920
TMK OAO GDR....................................................... 52,030 661,493
Uralkali OJSC GDR................................................. 216,536 7,852,706
VimpelCom, Ltd. Sponsored ADR..................................... 439,320 4,810,554
VTB Bank OJSC GDR................................................. 1,024,422 3,238,617
*X5 Retail Group NV GDR............................................ 71,095 1,247,506
------------
TOTAL RUSSIA......................................................... 140,316,329
------------
SOUTH AFRICA -- (6.6%)
ABSA Group, Ltd................................................... 365,243 6,017,451
#African Bank Investments, Ltd..................................... 699,500 2,223,077
44
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
SOUTH AFRICA -- (Continued)
African Rainbow Minerals, Ltd..................................... 118,603 $ 2,340,142
*Anglo American Platinum, Ltd...................................... 63,581 2,423,235
#AngloGold Ashanti, Ltd. Sponsored ADR............................. 331,815 6,470,392
*ArcelorMittal South Africa, Ltd................................... 203,913 524,009
Aspen Pharmacare Holdings, Ltd.................................... 241,204 5,245,412
#Assore, Ltd....................................................... 27,520 897,881
AVI, Ltd.......................................................... 28,062 168,822
Barloworld, Ltd................................................... 244,214 2,560,003
Bidvest Group, Ltd................................................ 257,192 6,694,209
Capitec Bank Holdings, Ltd........................................ 31,532 768,033
Discovery, Ltd.................................................... 357,805 3,262,817
Distell Group, Ltd................................................ 2,649 37,493
#Exxaro Resources, Ltd............................................. 111,159 1,750,724
FirstRand, Ltd.................................................... 2,706,202 9,415,153
Foschini Group, Ltd. (The)........................................ 174,302 2,236,711
#Gold Fields, Ltd. Sponsored ADR................................... 710,430 5,299,808
Growthpoint Properties, Ltd....................................... 764,019 2,511,446
#Harmony Gold Mining Co., Ltd...................................... 132,269 668,680
#Harmony Gold Mining Co., Ltd. Sponsored ADR....................... 331,569 1,700,949
Impala Platinum Holdings, Ltd..................................... 509,209 6,978,424
Imperial Holdings, Ltd............................................ 170,107 3,771,075
Investec, Ltd..................................................... 229,217 1,647,072
Kumba Iron Ore, Ltd............................................... 66,146 3,506,403
Liberty Holdings, Ltd............................................. 155,216 2,068,955
Life Healthcare Group Holdings, Ltd............................... 712,509 3,011,774
Massmart Holdings, Ltd............................................ 81,126 1,682,056
Mediclinic International, Ltd..................................... 240,544 1,744,669
MMI Holdings, Ltd................................................. 1,197,522 3,058,551
Mondi, Ltd........................................................ 116,207 1,563,231
Mr Price Group, Ltd............................................... 200,893 2,890,447
MTN Group, Ltd.................................................... 1,575,988 28,440,253
Nampak, Ltd....................................................... 542,486 1,994,636
Naspers, Ltd. Class N............................................. 326,129 21,854,757
Nedbank Group, Ltd................................................ 200,457 4,262,378
Netcare, Ltd...................................................... 811,118 1,843,322
#Pick n Pay Stores, Ltd............................................ 244,318 1,158,111
PPC, Ltd.......................................................... 60,146 220,133
PSG Group, Ltd.................................................... 62,712 461,624
Sanlam, Ltd....................................................... 1,606,991 8,245,174
Santam, Ltd....................................................... 12,147 238,508
*Sappi, Ltd. Sponsored ADR......................................... 800 2,416
#Sasol, Ltd. Sponsored ADR......................................... 536,546 23,296,827
Shoprite Holdings, Ltd............................................ 395,299 7,506,613
*Sibanye Gold, Ltd. Sponsored ADR.................................. 177,607 683,787
Spar Group, Ltd. (The)............................................ 129,700 1,712,717
Standard Bank Group, Ltd.......................................... 1,027,873 12,853,018
#*Steinhoff International Holdings, Ltd............................. 1,170,789 3,127,119
Tiger Brands, Ltd................................................. 114,419 3,563,774
Truworths International, Ltd...................................... 320,639 3,192,044
Tsogo Sun Holdings, Ltd........................................... 288,868 821,724
Vodacom Group, Ltd................................................ 345,509 4,052,326
45
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
------- ------------
SOUTH AFRICA -- (Continued)
Woolworths Holdings, Ltd.......................................... 604,872 $ 4,720,184
------------
TOTAL SOUTH AFRICA................................................... 229,390,549
------------
SOUTH KOREA -- (13.4%)
#Amorepacific Corp................................................. 2,708 2,213,763
#AMOREPACIFIC Group................................................ 2,614 992,520
BS Financial Group, Inc........................................... 193,520 2,551,743
#Celltrion, Inc.................................................... 17,464 501,503
Cheil Industries, Inc............................................. 43,799 3,778,766
*Cheil Worldwide, Inc.............................................. 72,080 1,781,981
#CJ CheilJedang Corp............................................... 7,935 2,349,532
CJ Corp........................................................... 14,219 1,868,421
#*CJ Korea Express Co., Ltd......................................... 3,204 308,819
Coway Co., Ltd.................................................... 44,780 2,269,387
Daelim Industrial Co., Ltd........................................ 30,614 2,144,185
#*Daewoo Engineering & Construction Co., Ltd........................ 125,248 860,939
#Daewoo International Corp......................................... 38,863 1,364,995
Daewoo Securities Co., Ltd........................................ 220,281 2,187,743
#Daewoo Shipbuilding & Marine Engineering Co., Ltd................. 109,830 2,643,936
Dongbu Insurance Co., Ltd......................................... 39,600 1,599,898
Doosan Corp....................................................... 7,623 852,936
Doosan Heavy Industries & Construction Co., Ltd................... 50,919 1,897,094
#*Doosan Infracore Co., Ltd......................................... 100,420 1,192,709
E-Mart Co., Ltd................................................... 18,739 3,660,632
#GS Engineering & Construction Corp................................ 38,637 1,063,603
GS Holdings....................................................... 58,759 2,911,952
Hana Financial Group, Inc......................................... 287,309 9,201,411
Hankook Tire Co., Ltd............................................. 66,995 2,918,945
#Hanwha Chemical Corp.............................................. 97,250 1,446,949
Hanwha Corp....................................................... 45,190 1,280,969
Hanwha Life Insurance Co., Ltd.................................... 193,150 1,176,023
#Hite Jinro Co., Ltd............................................... 22,640 663,064
Hyundai Department Store Co., Ltd................................. 15,308 2,226,385
Hyundai Engineering & Construction Co., Ltd....................... 60,724 3,193,085
#Hyundai Glovis Co., Ltd........................................... 10,600 1,784,343
#Hyundai Heavy Industries Co., Ltd................................. 39,020 7,139,043
Hyundai Hysco Co., Ltd............................................ 30,134 844,645
Hyundai Marine & Fire Insurance Co., Ltd.......................... 63,670 1,793,772
#*Hyundai Merchant Marine Co., Ltd.................................. 36,505 340,088
Hyundai Mobis..................................................... 59,213 13,463,202
Hyundai Motor Co.................................................. 138,348 25,121,651
#Hyundai Steel Co.................................................. 58,560 4,068,516
Hyundai Wia Corp.................................................. 12,650 1,634,708
Industrial Bank of Korea.......................................... 180,660 2,070,569
Kangwon Land, Inc................................................. 114,660 3,245,069
KB Financial Group, Inc........................................... 243,865 7,974,963
KB Financial Group, Inc. ADR...................................... 97,918 3,211,710
KCC Corp.......................................................... 5,799 1,724,029
KEPCO Engineering & Construction Co., Inc......................... 6,563 522,703
#KEPCO Plant Service & Engineering Co., Ltd........................ 8,744 451,664
Kia Motors Corp................................................... 243,530 12,147,541
Korea Aerospace Industries, Ltd................................... 28,440 723,883
46
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
------- -----------
SOUTH KOREA -- (Continued)
*Korea Electric Power Corp......................................... 190,290 $ 5,486,483
Korea Gas Corp.................................................... 16,473 1,057,721
Korea Investment Holdings Co., Ltd................................ 27,290 1,150,169
Korea Zinc Co., Ltd............................................... 7,603 2,194,305
*Korean Air Lines Co., Ltd......................................... 35,425 1,136,814
KT Corp........................................................... 23,160 757,769
#KT&G Corp......................................................... 91,798 6,613,962
#Kumho Petro chemical Co., Ltd..................................... 10,995 954,546
LG Chem, Ltd...................................................... 40,979 9,697,962
LG Corp........................................................... 96,081 5,731,439
#*LG Display Co., Ltd. ADR.......................................... 447,379 6,138,040
#LG Electronics, Inc............................................... 103,545 8,299,434
#LG Household & Health Care, Ltd................................... 7,299 4,104,381
*LG Uplus Corp..................................................... 259,030 2,447,911
Lotte Chemical Corp............................................... 15,966 2,363,071
Lotte Confectionery Co., Ltd...................................... 213 371,509
Lotte Shopping Co., Ltd........................................... 10,963 4,094,098
LS Corp........................................................... 11,668 859,248
#Mando Corp........................................................ 10,816 826,549
#NCSoft Corp....................................................... 12,240 1,847,532
NHN Corp.......................................................... 33,150 8,940,109
#OCI Co., Ltd...................................................... 14,368 1,850,195
#Orion Corp/Republic of South Korea................................ 2,754 2,913,113
POSCO............................................................. 50,240 14,440,334
#POSCO ADR......................................................... 37,241 2,680,980
S-1 Corp.......................................................... 13,290 750,960
#S-Oil Corp........................................................ 39,136 3,155,032
Samsung C&T Corp.................................................. 103,844 5,574,149
Samsung Card Co., Ltd............................................. 23,720 910,701
Samsung Electro-Mechanics Co., Ltd................................ 49,272 4,415,143
Samsung Electronics Co., Ltd...................................... 67,106 92,808,886
Samsung Electronics Co., Ltd. GDR................................. 49,372 34,194,144
#Samsung Engineering Co., Ltd...................................... 23,077 1,857,950
Samsung Fire & Marine Insurance Co., Ltd.......................... 33,027 6,796,709
Samsung Heavy Industries Co., Ltd................................. 146,900 4,686,758
Samsung Life Insurance Co., Ltd................................... 55,558 5,476,291
Samsung SDI Co., Ltd.............................................. 36,722 4,281,357
Samsung Securities Co., Ltd....................................... 57,359 2,642,191
Samsung Techwin Co., Ltd.......................................... 30,860 1,919,451
Shinhan Financial Group Co., Ltd.................................. 311,456 10,787,931
Shinhan Financial Group Co., Ltd. ADR............................. 86,082 2,951,752
Shinsegae Co., Ltd................................................ 6,575 1,413,691
SK C&C Co., Ltd................................................... 17,620 1,479,575
SK Holdings Co., Ltd.............................................. 28,989 4,183,981
*SK Hynix, Inc..................................................... 449,290 12,237,015
SK Innovation Co., Ltd............................................ 51,889 7,095,018
SK Networks Co., Ltd.............................................. 119,800 794,654
SK Telecom Co., Ltd............................................... 7,355 1,294,662
Woori Finance Holdings Co., Ltd................................... 353,060 3,822,959
Woori Finance Holdings Co., Ltd. ADR.............................. 200 6,492
47
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
SOUTH KOREA -- (Continued)
Woori Investment & Securities Co., Ltd............................ 130,620 $ 1,344,728
------------
TOTAL SOUTH KOREA.................................................... 465,205,841
------------
TAIWAN -- (11.3%)
*Acer, Inc......................................................... 2,946,040 2,381,054
Advanced Semiconductor Engineering, Inc........................... 5,315,929 4,636,588
Advanced Semiconductor Engineering, Inc. ADR...................... 77,739 348,271
Advantech Co., Ltd................................................ 232,200 1,109,835
Asia Cement Corp.................................................. 2,095,846 2,661,146
Asustek Computer, Inc............................................. 585,180 6,815,798
#*AU Optronics Corp................................................. 4,551,873 2,145,455
#*AU Optronics Corp. Sponsored ADR.................................. 326,626 1,580,870
#Catcher Technology Co., Ltd....................................... 532,429 2,702,882
Cathay Financial Holding Co., Ltd................................. 6,473,301 8,722,265
Chang Hwa Commercial Bank......................................... 4,361,723 2,494,612
Cheng Shin Rubber Industry Co., Ltd............................... 1,595,753 5,412,376
#Cheng Uei Precision Industry Co., Ltd............................. 384,109 766,348
Chicony Electronics Co., Ltd...................................... 425,806 1,252,712
*China Airlines, Ltd............................................... 2,989,536 1,140,578
*China Development Financial Holding Corp.......................... 12,332,121 3,416,496
*China Life Insurance Co., Ltd..................................... 1,880,401 1,912,568
China Motor Corp.................................................. 649,000 632,776
China Petrochemical Development Corp.............................. 1,941,613 1,051,688
China Steel Chemical Corp......................................... 122,000 593,559
#China Steel Corp.................................................. 10,184,481 8,985,361
Chinatrust Financial Holding Co., Ltd............................. 12,799,998 7,773,565
Chipbond Technology Corp.......................................... 415,000 1,057,946
Chunghwa Telecom Co., Ltd......................................... 428,000 1,366,217
#Chunghwa Telecom Co., Ltd. ADR.................................... 236,502 7,624,824
Clevo Co.......................................................... 168,075 322,405
Compal Electronics, Inc........................................... 4,513,541 2,923,720
CTCI Corp......................................................... 580,000 1,160,158
Delta Electronics, Inc............................................ 1,599,366 7,673,462
#E Ink Holdings, Inc............................................... 767,000 570,770
E.Sun Financial Holding Co., Ltd.................................. 4,629,047 2,797,442
Eclat Textile Co., Ltd............................................ 118,000 712,616
Epistar Corp...................................................... 948,000 1,673,918
*Eva Airways Corp.................................................. 1,521,600 849,093
*Evergreen Marine Corp. Taiwan, Ltd................................ 1,919,249 1,123,136
#Far Eastern Department Stores Co., Ltd............................ 1,078,634 954,858
Far Eastern New Century Corp...................................... 3,261,192 3,514,563
Far EasTone Telecommunications Co., Ltd........................... 1,368,000 3,332,861
Farglory Land Development Co., Ltd................................ 394,229 753,357
Feng Hsin Iron & Steel Co......................................... 214,000 384,220
First Financial Holding Co., Ltd.................................. 6,525,415 4,019,546
Formosa Chemicals & Fibre Corp.................................... 2,923,445 6,853,625
Formosa International Hotels Corp................................. 28,600 312,531
#Formosa Petrochemical Corp........................................ 990,000 2,696,188
Formosa Plastics Corp............................................. 3,523,648 8,560,033
Formosa Taffeta Co., Ltd.......................................... 848,000 806,975
#Foxconn Technology Co., Ltd....................................... 690,369 1,819,565
Fubon Financial Holding Co., Ltd.................................. 5,471,233 7,827,876
48
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
TAIWAN -- (Continued)
#Giant Manufacturing Co., Ltd...................................... 225,506 $ 1,353,875
Gourmet Master Co., Ltd........................................... 33,000 184,140
Highwealth Construction Corp...................................... 331,200 739,753
Hiwin Technologies Corp........................................... 141,100 996,209
Hon Hai Precision Industry Co., Ltd............................... 9,204,506 23,791,587
Hotai Motor Co., Ltd.............................................. 235,000 2,100,659
#HTC Corp.......................................................... 625,235 6,390,932
Hua Nan Financial Holdings Co., Ltd............................... 5,749,170 3,345,622
*Innolux Corp...................................................... 6,443,341 4,034,516
*Inotera Memories, Inc............................................. 1,642,000 645,131
Inventec Corp..................................................... 2,555,551 1,022,086
Kenda Rubber Industrial Co., Ltd.................................. 432,000 862,128
Kinsus Interconnect Technology Corp............................... 260,000 908,056
#Largan Precision Co., Ltd......................................... 81,860 2,240,410
LCY Chemical Corp................................................. 434,123 515,113
Lite-On Technology Corp........................................... 1,980,910 3,567,211
Lung Yen Life Service Corp........................................ 101,000 355,114
Macronix International............................................ 4,110,218 1,122,859
#MediaTek, Inc..................................................... 990,995 12,093,658
Mega Financial Holding Co., Ltd................................... 7,722,000 5,961,055
Merida Industry Co., Ltd.......................................... 162,750 993,850
#Nan Kang Rubber Tire Co., Ltd..................................... 534,780 632,085
Nan Ya Plastics Corp.............................................. 4,377,564 8,734,479
Nan Ya Printed Circuit Board Corp................................. 206,968 237,346
Novatek Microelectronics Corp..................................... 447,000 2,185,424
Oriental Union Chemical Corp...................................... 502,000 554,060
*Pegatron Corp..................................................... 1,674,345 2,745,000
Phison Electronics Corp........................................... 103,000 813,532
Pou Chen Corp..................................................... 2,503,487 2,955,097
#Powertech Technology, Inc......................................... 832,819 1,492,146
President Chain Store Corp........................................ 535,831 3,307,309
#Quanta Computer, Inc.............................................. 2,169,000 4,489,670
Radiant Opto-Electronics Corp..................................... 388,360 1,580,823
Realtek Semiconductor Corp........................................ 395,000 1,140,051
#Ruentex Development Co., Ltd...................................... 523,000 1,025,429
#Ruentex Industries, Ltd........................................... 418,937 1,003,678
#ScinoPharm Taiwan, Ltd............................................ 214,000 498,010
#Senao International Co., Ltd...................................... 67,000 210,052
*Shin Kong Financial Holding Co., Ltd.............................. 6,701,344 2,120,815
Siliconware Precision Industries Co............................... 2,444,324 2,932,021
#Siliconware Precision Industries Co. Sponsored ADR................ 67,173 409,084
Simplo Technology Co., Ltd........................................ 249,000 1,059,983
SinoPac Financial Holdings Co., Ltd............................... 6,815,992 3,415,688
St Shine Optical Co., Ltd......................................... 22,000 463,441
Standard Foods Corp............................................... 212,160 726,910
#Synnex Technology International Corp.............................. 1,074,756 1,819,902
Taishin Financial Holding Co., Ltd................................ 7,428,981 3,227,902
*Taiwan Business Bank.............................................. 3,452,338 1,062,834
Taiwan Cement Corp................................................ 2,810,720 3,736,238
Taiwan Cooperative Financial Holding.............................. 4,893,539 2,813,671
Taiwan FamilyMart Co., Ltd........................................ 16,000 75,636
Taiwan Fertilizer Co., Ltd........................................ 845,000 2,023,753
49
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
TAIWAN -- (Continued)
#Taiwan Glass Industry Corp........................................ 1,136,253 $ 1,157,478
Taiwan Mobile Co., Ltd............................................ 1,451,300 5,288,912
Taiwan Secom Co., Ltd............................................. 49,000 118,819
Taiwan Semiconductor Manufacturing Co., Ltd....................... 21,315,808 79,112,153
Teco Electric and Machinery Co., Ltd.............................. 1,997,000 1,879,430
Transcend Information, Inc........................................ 176,181 609,261
Tripod Technology Corp............................................ 482,870 1,098,413
#TSRC Corp......................................................... 539,300 1,066,126
U-Ming Marine Transport Corp...................................... 551,860 860,753
#Uni-President Enterprises Corp.................................... 3,650,090 7,192,494
Unimicron Technology Corp......................................... 1,461,896 1,543,034
#United Microelectronics Corp...................................... 12,235,000 4,688,553
USI Corp.......................................................... 573,700 402,797
#Vanguard International Semiconductor Corp......................... 736,000 803,943
*Walsin Lihwa Corp................................................. 3,769,000 1,170,375
*Wan Hai Lines, Ltd................................................ 1,057,800 592,161
#*Wintek Corp....................................................... 1,832,760 941,769
Wistron Corp...................................................... 2,219,947 2,256,167
WPG Holdings, Ltd................................................. 1,393,869 1,679,585
*Yang Ming Marine Transport Corp................................... 1,741,300 782,955
Yuanta Financial Holding Co., Ltd................................. 7,933,577 4,039,213
Yulon Motor Co., Ltd.............................................. 991,000 1,701,380
------------
TOTAL TAIWAN......................................................... 391,930,512
------------
THAILAND -- (3.0%)
Advanced Info Service PCL......................................... 898,900 8,269,267
Airports of Thailand PCL.......................................... 372,200 1,832,467
Bangkok Bank PCL (6077019)........................................ 329,000 2,544,566
Bangkok Bank PCL (6368360)........................................ 467,700 3,601,370
Bangkok Dusit Medical Services PCL................................ 430,200 2,477,131
Bangkok Life Assurance PCL........................................ 435,800 1,124,765
Bank of Ayudhya PCL............................................... 2,590,200 2,890,257
Banpu PCL......................................................... 109,250 1,269,310
BEC World PCL..................................................... 645,300 1,473,087
Big C Supercenter PCL (6368434)................................... 204,400 1,608,736
Big C Supercenter PCL (6763932)................................... 24,600 193,615
Bumrungrad Hospital PCL........................................... 196,400 550,388
Central Pattana PCL............................................... 575,600 1,961,158
Charoen Pokphand Foods PCL........................................ 2,450,200 2,650,557
CP ALL PCL........................................................ 2,695,000 4,040,204
Electricity Generating PCL........................................ 149,800 783,451
Glow Energy PCL................................................... 326,800 857,363
Home Product Center PCL........................................... 2,347,660 1,199,826
Indorama Ventures PCL............................................. 911,300 729,661
IRPC PCL.......................................................... 8,859,600 1,237,627
Kasikornbank PCL.................................................. 1,146,600 8,438,351
Krung Thai Bank PCL............................................... 5,908,587 4,992,605
Land and Houses PCL............................................... 3,235,600 1,444,169
Minor International PCL........................................... 1,134,700 1,159,830
Pruksa Real Estate PCL............................................ 483,900 482,251
PTT Exploration & Production PCL (B1359L2)........................ 65,409 343,202
PTT Exploration & Production PCL (B1359J0)........................ 1,183,355 6,209,086
50
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- --------------
THAILAND -- (Continued)
PTT Global Chemical PCL........................................... 1,669,872 $ 4,153,344
PTT PCL........................................................... 931,600 10,347,584
Ratchaburi Electricity Generating Holding PCL..................... 521,300 1,052,369
Robinson Department Store PCL..................................... 317,500 862,713
Siam Cement PCL (6609928)......................................... 131,500 2,141,635
Siam Cement PCL (6609906)......................................... 124,800 2,100,552
Siam City Cement PCL.............................................. 94,913 1,578,111
Siam Commercial Bank PCL.......................................... 984,466 6,238,865
Siam Makro PCL.................................................... 68,600 1,762,331
Thai Airways International PCL.................................... 108,100 108,653
Thai Oil PCL...................................................... 725,800 1,632,123
Thai Union Frozen Products PCL.................................... 383,360 737,984
TMB Bank PCL...................................................... 19,864,000 1,854,425
Total Access Communication PCL (B1YWK08).......................... 448,700 1,788,685
Total Access Communication PCL (B231MK7).......................... 214,100 853,482
*True Corp. PCL.................................................... 4,282,600 1,232,980
--------------
TOTAL THAILAND....................................................... 102,810,136
--------------
TURKEY -- (2.1%)
Akbank TAS........................................................ 1,617,747 8,518,195
Anadolu Efes Biracilik Ve Malt Sanayii A.S........................ 213,425 3,547,612
Arcelik A.S....................................................... 223,462 1,740,942
Aselsan Elektronik Sanayi Ve Ticaret A.S.......................... 84,683 503,767
BIM Birlesik Magazalar A.S........................................ 83,203 4,274,411
Coca-Cola Icecek A.S.............................................. 49,860 1,392,434
*Dogan Yayin Holding A.S........................................... 1 1
Enka Insaat ve Sanayi A.S......................................... 323,401 1,000,933
Eregli Demir ve Celik Fabrikalari TAS............................. 1,138,714 1,306,108
Ford Otomotiv Sanayi A.S.......................................... 74,222 1,032,083
KOC Holding A.S................................................... 675,269 4,094,610
Koza Altin Isletmeleri A.S........................................ 33,500 671,942
*Migros Ticaret A.S................................................ 33,309 432,576
*Petkim Petrokimya Holding A.S..................................... 380,618 663,585
*TAV Havalimanlari Holding A.S..................................... 122,935 868,302
Tofas Turk Otomobil Fabrikasi A.S................................. 104,129 727,128
Tupras Turkiye Petrol Rafinerileri A.S............................ 120,082 3,355,946
*Turk Hava Yollari................................................. 924,662 3,852,609
Turk Telekomunikasyon A.S......................................... 430,277 2,041,111
*Turkcell Iletisim Hizmetleri A.S.................................. 466,649 2,905,616
*Turkcell Iletisim Hizmetleri A.S. ADR............................. 73,838 1,153,350
Turkiye Garanti Bankasi A.S....................................... 2,049,990 11,342,423
Turkiye Halk Bankasi A.S.......................................... 524,550 5,727,689
Turkiye Is Bankasi................................................ 1,484,267 5,741,129
Turkiye Sise ve Cam Fabrikalari A.S............................... 679,332 1,153,920
Turkiye Vakiflar Bankasi Tao...................................... 749,913 2,683,450
Ulker Biskuvi Sanayi A.S.......................................... 31,767 271,931
Yapi ve Kredi Bankasi A.S......................................... 792,953 2,464,307
--------------
TOTAL TURKEY......................................................... 73,468,110
--------------
TOTAL COMMON STOCKS.................................................. 3,092,860,854
--------------
51
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
----------- --------------
PREFERRED STOCKS -- (3.6%)
BRAZIL -- (3.5%)
AES Tiete SA...................................................... 71,898 $ 728,772
Banco Bradesco SA................................................. 1,859,495 30,567,932
Banco do Estado do Rio Grande do Sul SA Class B................... 165,000 1,389,604
Braskem SA Class A................................................ 73,800 641,819
Centrais Eletricas Brasileiras SA Class B......................... 72,700 377,535
Cia de Bebidas das Americas....................................... 18,964 793,346
Cia de Gas de Sao Paulo Class A................................... 9,027 242,510
Cia de Transmissao de Energia Eletrica Paulista................... 30,889 541,127
Cia Energetica de Minas Gerais.................................... 364,776 4,649,154
Cia Energetica de Sao Paulo Class B............................... 117,010 1,238,086
Cia Paranaense de Energia......................................... 16,600 295,037
Empresa Nacional de Comercio Redito e Participacoes SA............ 380 8,643
Gerdau SA......................................................... 836,068 6,535,601
Itau Unibanco Holding SA.......................................... 1,841,700 30,882,936
Klabin SA......................................................... 663,777 4,445,639
Lojas Americanas SA............................................... 333,767 2,916,030
Oi SA............................................................. 463,558 1,137,609
Petroleo Brasileiro SA............................................ 106,500 1,063,536
*Suzano Papel e Celulose SA Class A................................ 334,100 1,219,008
Telefonica Brasil SA.............................................. 232,784 6,172,281
*Usinas Siderurgicas de Minas Gerais SA Class A.................... 609,817 3,017,463
Vale SA........................................................... 1,412,691 22,940,562
--------------
TOTAL BRAZIL......................................................... 121,804,230
--------------
CHILE -- (0.0%)
Embotelladora Andina SA Class B................................... 9,255 62,886
--------------
COLOMBIA -- (0.1%)
Banco Davivienda SA............................................... 77,298 1,034,263
Grupo Aval Acciones y Valores..................................... 623,146 437,035
Grupo de Inversiones Suramericana SA.............................. 22,247 468,323
--------------
TOTAL COLOMBIA....................................................... 1,939,621
--------------
TOTAL PREFERRED STOCKS............................................... 123,806,737
--------------
SHARES/
FACE
AMOUNT
(000) VALUE+
----------- --------------
SECURITIES LENDING COLLATERAL -- (7.3%)
(S)@ DFA Short Term Investment Fund.................................. 21,953,328 254,000,000
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.16%,
05/01/13 (Collateralized by $672,232 FNMA, rates ranging from
3.000% to 3.500%, maturities ranging from 09/01/32 to 08/01/42,
valued at $687,049) to be repurchased at $673,580............... $ 674 673,577
--------------
TOTAL SECURITIES LENDING COLLATERAL.................................. 254,673,577
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $2,273,277,183).................. $3,471,341,168
==============
52
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2013
(UNAUDITED)
SHARES VALUE+
--------- ------------
COMMON STOCKS -- (93.9%)
Consumer Discretionary -- (17.5%)
*1-800-Flowers.com, Inc. Class A................................... 44,330 $ 262,877
AH Belo Corp. Class A............................................. 5,436 31,529
*ALCO Stores, Inc.................................................. 700 5,180
American Greetings Corp. Class A.................................. 62,335 1,149,457
*Arctic Cat, Inc................................................... 3,436 154,586
*Ascent Capital Group, Inc. Class A................................ 8,564 569,420
#Autoliv, Inc...................................................... 9,404 718,654
*Ballantyne Strong, Inc............................................ 9,030 40,545
#*Barnes & Noble, Inc............................................... 26,500 480,445
Bassett Furniture Industries, Inc................................. 2,900 40,687
Beasley Broadcasting Group, Inc. Class A.......................... 9,471 61,846
#*Beazer Homes USA, Inc............................................. 12,516 202,259
#bebe stores, Inc.................................................. 1,600 9,056
Belo Corp. Class A................................................ 62,627 671,361
#Best Buy Co., Inc................................................. 197,800 5,140,822
Big 5 Sporting Goods Corp......................................... 8,501 142,817
*Biglari Holdings, Inc............................................. 1,627 630,105
Bob Evans Farms, Inc.............................................. 52,387 2,270,453
#Bon-Ton Stores, Inc. (The)........................................ 2,986 45,805
#*Books-A-Million, Inc.............................................. 14,887 38,706
Brown Shoe Co., Inc............................................... 74,697 1,263,126
*Build-A-Bear Workshop, Inc........................................ 25,874 131,181
#*Cabela's, Inc..................................................... 53,051 3,405,874
*Cache, Inc........................................................ 26,610 101,650
Callaway Golf Co.................................................. 128,624 861,781
*Cambium Learning Group, Inc....................................... 37,733 36,601
Canterbury Park Holding Corp...................................... 2,755 32,371
Carnival Corp..................................................... 489,649 16,897,787
Carriage Services, Inc............................................ 20,916 365,821
*Cavco Industries, Inc............................................. 7,600 346,712
CBS Corp. Class A................................................. 28,263 1,295,576
CBS Corp. Class B................................................. 268,466 12,290,373
*Christopher & Banks Corp.......................................... 58,754 408,340
Churchill Downs, Inc.............................................. 7,682 587,366
*Coast Distribution System (The)................................... 547 1,477
Columbia Sportswear Co............................................ 4,317 252,976
Comcast Corp. Class A............................................. 3,446,875 142,355,937
Comcast Corp. Special Class A..................................... 1,088,341 42,760,918
*Conn's, Inc....................................................... 25,450 1,102,239
Core-Mark Holding Co., Inc........................................ 24,059 1,252,030
#*Corinthian Colleges, Inc.......................................... 36,345 72,690
CSS Industries, Inc............................................... 13,050 374,013
Culp, Inc......................................................... 10,036 162,985
*dELiA*s, Inc...................................................... 22,143 14,606
*Delta Apparel, Inc................................................ 7,532 100,778
Destination Maternity Corp........................................ 200 4,750
*Destination XL Group, Inc......................................... 15,601 77,693
#DeVry, Inc........................................................ 6,079 170,273
Dillard's, Inc. Class A........................................... 120,300 9,913,923
*Discovery Communications, Inc. Class B............................ 3,762 296,540
*Dixie Group, Inc. (The)........................................... 11,800 70,564
53
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Consumer Discretionary -- (Continued)
Dorman Products, Inc.............................................. 20,712 $ 781,671
Dover Downs Gaming & Entertainment, Inc........................... 5,935 10,920
Dover Motorsports, Inc............................................ 15,098 31,555
#DR Horton, Inc.................................................... 208,125 5,427,900
#*DreamWorks Animation SKG, Inc. Class A............................ 46,429 895,151
#*Education Management Corp......................................... 13,202 74,855
#Educational Development Corp...................................... 1,679 5,944
Escalade, Inc..................................................... 277 1,590
*EW Scripps Co. Class A............................................ 41,061 570,337
*Federal-Mogul Corp................................................ 38,585 288,616
Fisher Communications, Inc........................................ 8,375 346,892
#*Flanigan's Enterprises, Inc....................................... 865 6,643
Flexsteel Industries, Inc......................................... 2,068 42,580
#Foot Locker, Inc.................................................. 15,700 547,459
Fred's, Inc. Class A.............................................. 45,772 651,336
Frisch's Restaurants, Inc......................................... 600 9,792
*Full House Resorts, Inc........................................... 2,574 7,104
*G-III Apparel Group, Ltd.......................................... 11,394 463,280
*Gaiam, Inc. Class A............................................... 5,988 26,287
#GameStop Corp. Class A............................................ 104,752 3,655,845
Gaming Partners International Corp................................ 500 4,320
#Gannett Co., Inc.................................................. 119,639 2,411,922
#*General Motors Co................................................. 674,707 20,807,964
*Genesco, Inc...................................................... 6,456 397,367
*Gray Television, Inc.............................................. 37,085 235,490
Group 1 Automotive, Inc........................................... 57,936 3,503,969
*Hallwood Group, Inc. (The)........................................ 296 2,361
Harte-Hanks, Inc.................................................. 3,485 27,636
Hastings Entertainment, Inc....................................... 300 758
Haverty Furniture Cos., Inc....................................... 33,479 796,131
*Helen of Troy, Ltd................................................ 64,389 2,245,888
#*hhgregg, Inc...................................................... 36,388 491,602
*Hollywood Media Corp.............................................. 19,037 26,271
Hooker Furniture Corp............................................. 14,814 256,134
*Hyatt Hotels Corp. Class A........................................ 12,101 516,471
*Iconix Brand Group, Inc........................................... 95,618 2,739,456
International Speedway Corp. Class A.............................. 24,844 816,622
*Isle of Capri Casinos, Inc........................................ 15,434 118,224
JAKKS Pacific, Inc................................................ 13,103 142,954
*Jarden Corp....................................................... 162,075 7,294,996
#JC Penney Co., Inc................................................ 206,990 3,398,776
*Johnson Outdoors, Inc. Class A.................................... 15,588 365,694
Jones Group, Inc. (The)........................................... 103,143 1,444,002
*Journal Communications, Inc. Class A.............................. 77,674 528,960
*K-Swiss, Inc. Class A............................................. 439 2,081
#KB Home........................................................... 30,800 694,232
*Kid Brands, Inc................................................... 9,776 11,047
La-Z-Boy, Inc..................................................... 56,332 1,017,356
#*Lakeland Industries, Inc.......................................... 11,757 46,910
*Lee Enterprises, Inc.............................................. 38,128 54,904
#Lennar Corp. Class A.............................................. 224,100 9,237,402
Lennar Corp. Class B.............................................. 7,868 256,575
54
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Consumer Discretionary -- (Continued)
*Liberty Interactive Corp. Class A................................. 882,463 $18,787,637
#*Liberty Interactive Corp. Class B................................. 35,706 753,397
*Liberty Media Corp. Class A....................................... 96,383 11,072,479
*Liberty Media Corp. Class B....................................... 7,622 872,986
*Liberty Ventures Series A......................................... 38,401 2,821,321
*Liberty Ventures Series B......................................... 1,785 131,340
Lifetime Brands, Inc.............................................. 16,431 221,818
Lithia Motors, Inc. Class A....................................... 34,933 1,729,882
*Live Nation Entertainment, Inc.................................... 145,347 1,835,733
Loral Space & Communications, Inc................................. 26,050 1,602,596
Lowe's Cos., Inc.................................................. 139,546 5,361,357
*Luby's, Inc....................................................... 44,415 302,466
*M/I Homes, Inc.................................................... 37,930 933,078
Mac-Gray Corp..................................................... 13,104 169,697
*Madison Square Garden Co. (The) Class A........................... 29,558 1,781,461
*Maidenform Brands, Inc............................................ 1,056 19,008
Marcus Corp....................................................... 18,899 242,663
*MarineMax, Inc.................................................... 29,164 338,011
*Marriott Vacations Worldwide Corp................................. 662 30,108
*Martha Stewart Living Omnimedia Class A........................... 980 2,421
Matthews International Corp. Class A.............................. 3,202 117,866
#*McClatchy Co. (The) Class A....................................... 60,603 139,993
MDC Holdings, Inc................................................. 18,400 691,840
*Media General, Inc. Class A....................................... 25,196 206,607
Men's Wearhouse, Inc. (The)....................................... 52,860 1,770,810
#Meredith Corp..................................................... 32,676 1,268,482
*Meritage Homes Corp............................................... 28,156 1,373,731
#*MGM Resorts International......................................... 251,100 3,545,532
*Modine Manufacturing Co........................................... 8,750 79,975
*Mohawk Industries, Inc............................................ 98,740 10,948,291
*Monarch Casino & Resort, Inc...................................... 1,103 14,196
#*Motorcar Parts of America, Inc.................................... 13,074 78,183
Movado Group, Inc................................................. 36,900 1,115,856
*MTR Gaming Group, Inc............................................. 24,536 84,649
*Multimedia Games Holding Co., Inc................................. 23,224 572,704
NACCO Industries, Inc. Class A.................................... 6,832 396,393
*Navarre Corp...................................................... 336 820
*New York & Co., Inc............................................... 6,926 30,890
News Corp. Class A................................................ 1,608,989 49,830,389
News Corp. Class B................................................ 616,492 19,185,231
*Office Depot, Inc................................................. 88,597 341,984
OfficeMax, Inc.................................................... 32,198 370,599
#*Orchard Supply Hardware Stores Corp. Class A...................... 4,649 9,205
*Orient-Express Hotels, Ltd. Class A............................... 75,198 759,500
Outdoor Channel Holdings, Inc..................................... 35,808 313,320
#*Pacific Sunwear of California, Inc................................ 43,900 120,725
#*Penn National Gaming, Inc......................................... 63,446 3,714,763
Penske Automotive Group, Inc...................................... 43,845 1,355,687
*Pep Boys-Manny Moe & Jack (The)................................... 75,998 881,577
*Perfumania Holdings, Inc.......................................... 537 3,346
Perry Ellis International, Inc.................................... 23,892 419,782
*Pinnacle Entertainment, Inc....................................... 71,930 1,370,986
55
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Consumer Discretionary -- (Continued)
#*PulteGroup, Inc................................................... 143,221 $ 3,006,209
PVH Corp.......................................................... 31,964 3,688,965
*Quiksilver, Inc................................................... 74,010 498,087
#*Radio One, Inc. Class D........................................... 13,955 21,351
#RadioShack Corp................................................... 90,200 285,934
*Red Lion Hotels Corp.............................................. 8,907 58,163
*Red Robin Gourmet Burgers, Inc.................................... 31,175 1,507,935
#Regis Corp........................................................ 65,192 1,222,350
Rent-A-Center, Inc................................................ 76,435 2,669,875
*Rick's Cabaret International, Inc................................. 12,026 101,499
*Rocky Brands, Inc................................................. 8,729 129,189
#Royal Caribbean Cruises, Ltd...................................... 322,500 11,780,925
*Ruby Tuesday, Inc................................................. 74,723 720,330
Saga Communications, Inc. Class A................................. 8,693 400,226
#*Saks, Inc......................................................... 95,502 1,103,048
Salem Communications Corp. Class A................................ 10,922 100,264
Scholastic Corp................................................... 30,900 848,205
*Scientific Games Corp. Class A.................................... 41,635 369,719
Sears Canada, Inc................................................. 26,121 244,728
#*Sears Holdings Corp............................................... 112,601 5,780,935
Service Corp. International/US.................................... 274,069 4,626,285
Shiloh Industries, Inc............................................ 24,793 244,211
Shoe Carnival, Inc................................................ 33,450 696,763
*Skechers U.S.A., Inc. Class A..................................... 49,610 1,030,896
Spartan Motors, Inc............................................... 16,820 89,482
Speedway Motorsports, Inc......................................... 52,187 940,932
*Sport Chalet, Inc. Class A........................................ 875 1,208
*Sport Chalet, Inc. Class B........................................ 299 451
Stage Stores, Inc................................................. 60,550 1,676,629
Standard Motor Products, Inc...................................... 37,342 1,144,159
*Stanley Furniture Co., Inc........................................ 15,798 62,402
#Staples, Inc...................................................... 497,525 6,587,231
*Starz - Liberty Capital (85571Q102)............................... 96,383 2,253,435
*Starz - Liberty Capital (85571Q201)............................... 7,622 178,279
Stein Mart, Inc................................................... 22,915 181,258
*Steiner Leisure, Ltd.............................................. 2,225 107,757
*Steinway Musical Instruments, Inc................................. 13,080 326,215
Stewart Enterprises, Inc. Class A................................. 85,569 762,420
Strattec Security Corp............................................ 5,224 190,519
Superior Industries International, Inc............................ 38,753 711,505
Superior Uniform Group, Inc....................................... 8,978 104,324
Systemax, Inc..................................................... 11,750 107,630
*Tandy Brands Accessories, Inc..................................... 7,478 3,814
#*Tandy Leather Factory, Inc........................................ 500 3,550
Time Warner Cable, Inc............................................ 693,942 65,154,214
Time Warner, Inc.................................................. 1,534,860 91,753,931
#*Toll Brothers, Inc................................................ 203,299 6,975,189
Trans World Entertainment Corp.................................... 5,781 24,858
*Tuesday Morning Corp.............................................. 60,500 490,655
*Unifi, Inc........................................................ 43,422 846,729
Vail Resorts, Inc................................................. 11,600 699,480
*Valuevision Media, Inc. Class A................................... 3,998 17,191
56
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Discretionary -- (Continued)
*VOXX International Corp........................................... 24,255 $ 231,150
#Walt Disney Co. (The)............................................. 26,220 1,647,665
#Washington Post Co. (The) Class B................................. 5,780 2,562,505
Wendy's Co. (The)................................................. 242,704 1,380,986
*West Marine, Inc.................................................. 26,468 313,116
*Wet Seal, Inc. (The) Class A...................................... 13,619 44,398
Whirlpool Corp.................................................... 30,049 3,434,000
*WMS Industries, Inc............................................... 41,662 1,057,382
Wyndham Worldwide Corp............................................ 144,114 8,658,369
*Zale Corp......................................................... 11,652 51,735
------------
Total Consumer Discretionary......................................... 715,452,009
------------
Consumer Staples -- (7.7%)
#Alico, Inc........................................................ 960 40,138
*Alliance One International, Inc................................... 32,376 121,410
Andersons, Inc. (The)............................................. 15,774 859,998
Archer-Daniels-Midland Co......................................... 813,476 27,609,375
Beam, Inc......................................................... 131,553 8,512,795
*Boulder Brands, Inc............................................... 76,099 685,652
#Bunge, Ltd........................................................ 121,368 8,763,983
CCA Industries, Inc............................................... 8,323 32,293
*Central Garden and Pet Co......................................... 26,784 234,360
*Central Garden and Pet Co. Class A................................ 60,153 529,346
*Chiquita Brands International, Inc................................ 63,990 552,234
*Constellation Brands, Inc. Class A................................ 249,042 12,290,223
*Constellation Brands, Inc. Class B................................ 12,715 622,526
*Craft Brew Alliance, Inc.......................................... 9,754 73,350
CVS Caremark Corp................................................. 1,510,745 87,895,144
*Dole Food Co., Inc................................................ 19,567 210,541
*Farmer Bros Co.................................................... 8,295 125,669
Fresh Del Monte Produce, Inc...................................... 39,437 1,002,094
Griffin Land & Nurseries, Inc..................................... 1,500 44,775
#*Hain Celestial Group, Inc. (The).................................. 43,646 2,847,901
Ingles Markets, Inc. Class A...................................... 11,437 243,837
#Ingredion, Inc.................................................... 62,117 4,473,045
#JM Smucker Co. (The).............................................. 108,204 11,169,899
John B Sanfilippo & Son, Inc...................................... 10,428 218,779
Kraft Foods Group, Inc............................................ 607,984 31,305,096
*Mannatech, Inc.................................................... 717 5,342
MGP Ingredients, Inc.............................................. 4,788 23,461
Molson Coors Brewing Co. Class A.................................. 1,908 98,262
Molson Coors Brewing Co. Class B.................................. 190,750 9,842,700
Mondelez International, Inc. Class A.............................. 2,081,099 65,450,564
Nash Finch Co..................................................... 1,082 22,235
Nutraceutical International Corp.................................. 14,615 269,939
Oil-Dri Corp. of America.......................................... 5,047 138,843
*Omega Protein Corp................................................ 25,852 240,682
*Pantry, Inc. (The)................................................ 24,658 360,253
*Post Holdings, Inc................................................ 50,201 2,198,302
*Prestige Brands Holdings, Inc..................................... 111,489 3,004,629
#Safeway, Inc...................................................... 157,807 3,553,814
Sanderson Farms, Inc.............................................. 16,100 986,286
57
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Staples -- (Continued)
Seaboard Corp..................................................... 1,812 $ 4,975,716
*Seneca Foods Corp. Class A........................................ 6,301 205,350
*Seneca Foods Corp. Class B........................................ 300 9,729
*Smithfield Foods, Inc............................................. 185,173 4,740,429
Snyders-Lance, Inc................................................ 28,257 711,511
Spartan Stores, Inc............................................... 32,983 553,455
Spectrum Brands Holdings, Inc..................................... 46,130 2,583,280
*Susser Holdings Corp.............................................. 12,360 657,181
*TreeHouse Foods, Inc.............................................. 22,732 1,448,256
#Tyson Foods, Inc. Class A......................................... 405,030 9,975,889
#Universal Corp.................................................... 22,290 1,282,790
Weis Markets, Inc................................................. 11,602 485,312
------------
Total Consumer Staples............................................... 314,288,673
------------
Energy -- (15.1%)
Adams Resources & Energy, Inc..................................... 6,004 298,339
Alon USA Energy, Inc.............................................. 33,484 555,834
*Alpha Natural Resources, Inc...................................... 170,794 1,267,291
Anadarko Petroleum Corp........................................... 845,068 71,627,964
Apache Corp....................................................... 292,215 21,588,844
#*Approach Resources, Inc........................................... 6,883 163,265
#Arch Coal, Inc.................................................... 60,743 294,604
#*Atwood Oceanics, Inc.............................................. 4,600 225,630
Baker Hughes, Inc................................................. 3,891 176,612
*Barnwell Industries, Inc.......................................... 8,038 24,918
*Basic Energy Services, Inc........................................ 15,603 214,229
#*Bill Barrett Corp................................................. 51,500 1,022,790
Bolt Technology Corp.............................................. 9,574 153,184
Bristow Group, Inc................................................ 42,400 2,679,680
#*C&J Energy Services, Inc.......................................... 37,416 740,463
Cabot Oil & Gas Corp.............................................. 284 19,326
#Chesapeake Energy Corp............................................ 624,655 12,205,759
Chevron Corp...................................................... 629,776 76,838,970
*Cloud Peak Energy, Inc............................................ 33,115 647,067
*Comstock Resources, Inc........................................... 32,421 507,713
#ConocoPhillips.................................................... 1,766,829 106,804,813
*Crimson Exploration, Inc.......................................... 12,841 39,422
*Dawson Geophysical Co............................................. 17,055 524,271
Delek US Holdings, Inc............................................ 52,256 1,885,919
#*Denbury Resources, Inc............................................ 289,460 5,178,439
#Devon Energy Corp................................................. 42,463 2,338,013
DHT Holdings, Inc................................................. 1,819 7,822
*Double Eagle Petroleum Co......................................... 7,844 38,985
#*Emerald Oil, Inc.................................................. 1,533 9,857
EOG Resources, Inc................................................ 6,045 732,412
*EPL Oil & Gas, Inc................................................ 27,489 898,066
*Era Group, Inc.................................................... 36,653 837,521
*Exterran Holdings, Inc............................................ 79,513 2,100,733
*Green Plains Renewable Energy, Inc................................ 24,947 312,087
Gulf Island Fabrication, Inc...................................... 15,018 308,770
Gulfmark Offshore, Inc. Class A................................... 35,505 1,477,718
*Harvest Natural Resources, Inc.................................... 48,645 159,556
58
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Energy -- (Continued)
*Helix Energy Solutions Group, Inc................................. 103,010 $ 2,373,350
#Helmerich & Payne, Inc............................................ 95,808 5,616,265
*Hercules Offshore, Inc............................................ 107,413 791,634
#Hess Corp......................................................... 378,130 27,293,423
*HKN, Inc.......................................................... 564 50,267
HollyFrontier Corp................................................ 7,105 351,342
*Hornbeck Offshore Services, Inc................................... 29,719 1,334,977
#*James River Coal Co............................................... 10,139 16,729
*Key Energy Services, Inc.......................................... 49,745 295,485
#*Magnum Hunter Resources Corp...................................... 82,198 223,579
Marathon Oil Corp................................................. 903,937 29,531,622
Marathon Petroleum Corp........................................... 451,968 35,416,212
*Matrix Service Co................................................. 15,423 231,808
#*McDermott International, Inc...................................... 63,698 680,295
#Murphy Oil Corp................................................... 189,426 11,761,460
Nabors Industries, Ltd............................................ 272,782 4,034,446
National Oilwell Varco, Inc....................................... 250,948 16,366,829
*Natural Gas Services Group, Inc................................... 14,526 293,280
*Newpark Resources, Inc............................................ 97,395 1,022,647
Noble Corp........................................................ 74,243 2,784,112
Noble Energy, Inc................................................. 66,897 7,578,761
#*Northern Oil and Gas, Inc......................................... 41,972 541,019
Occidental Petroleum Corp......................................... 29,543 2,637,008
*Overseas Shipholding Group, Inc................................... 2,355 7,819
*Parker Drilling Co................................................ 142,573 587,401
Patterson-UTI Energy, Inc......................................... 152,325 3,212,534
*PDC Energy, Inc................................................... 24,103 1,043,660
*PHI, Inc. (69336T106)............................................. 1,099 30,294
*PHI, Inc. (69336T205)............................................. 21,843 606,580
Phillips 66....................................................... 883,414 53,844,083
*Pioneer Energy Services Corp...................................... 99,821 703,738
Pioneer Natural Resources Co...................................... 88,400 10,805,132
*Plains Exploration & Production Co................................ 162,430 7,341,836
QEP Resources, Inc................................................ 33,043 948,665
*REX American Resources Corp....................................... 4,050 75,694
*Rex Energy Corp................................................... 35,100 564,057
*Rowan Cos. P.L.C. Class A......................................... 121,858 3,964,041
SEACOR Holdings, Inc.............................................. 36,653 2,643,048
*SemGroup Corp. Class A............................................ 4,727 245,095
Ship Finance International, Ltd................................... 40,467 666,896
*Superior Energy Services, Inc..................................... 29,811 822,485
#*Swift Energy Co................................................... 57,500 744,050
Teekay Corp....................................................... 37,720 1,342,832
*Tesco Corp........................................................ 3,745 45,689
Tesoro Corp....................................................... 168,807 9,014,294
*TETRA Technologies, Inc........................................... 25,510 232,906
TGC Industries, Inc............................................... 1,787 15,852
#Tidewater, Inc.................................................... 49,127 2,576,711
*Transocean, Ltd................................................... 274,265 14,116,420
*Triangle Petroleum Corp........................................... 7,779 42,707
*Unit Corp......................................................... 57,000 2,395,710
#*USEC, Inc......................................................... 152,791 48,893
59
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Energy -- (Continued)
Valero Energy Corp................................................ 658,099 $ 26,534,552
*Weatherford International, Ltd.................................... 282,083 3,607,842
#Western Refining, Inc............................................. 68,485 2,116,871
*Whiting Petroleum Corp............................................ 16,007 712,311
*Willbros Group, Inc............................................... 5,000 47,500
------------
Total Energy......................................................... 617,841,634
------------
Financials -- (16.4%)
1st Source Corp................................................... 41,187 969,130
1st United Bancorp Inc/Boca Raton................................. 863 5,722
#ACE, Ltd.......................................................... 46,348 4,131,461
*Alexander & Baldwin, Inc.......................................... 66,838 2,276,502
*Alleghany Corp.................................................... 2,626 1,033,961
Allied World Assurance Co. Holdings AG............................ 8,435 765,982
Allstate Corp. (The).............................................. 157,339 7,750,519
Alterra Capital Holdings, Ltd..................................... 26,764 871,168
*American Capital, Ltd............................................. 422,803 6,397,009
American Equity Investment Life Holding Co........................ 88,700 1,351,788
American Financial Group, Inc..................................... 173,596 8,379,479
*American Independence Corp........................................ 866 6,841
*American International Group, Inc................................. 104,036 4,309,171
American National Insurance Co.................................... 37,287 3,506,097
*American Safety Insurance Holdings, Ltd........................... 11,249 270,876
*Ameris Bancorp.................................................... 12,022 166,745
*AmeriServ Financial, Inc.......................................... 33,075 100,548
Argo Group International Holdings, Ltd............................ 38,796 1,608,094
Aspen Insurance Holdings, Ltd..................................... 102,623 3,919,172
*Asset Acceptance Capital Corp..................................... 5,800 37,526
Associated Banc-Corp.............................................. 31,434 448,563
Assurant, Inc..................................................... 65,820 3,129,083
Assured Guaranty, Ltd............................................. 122,989 2,537,263
Asta Funding, Inc................................................. 7,527 70,679
Astoria Financial Corp............................................ 17,021 163,231
*Atlantic Coast Financial Corp..................................... 379 1,887
#*Atlanticus Holdings Corp.......................................... 19,218 71,107
*AV Homes, Inc..................................................... 15,767 203,552
Axis Capital Holdings, Ltd........................................ 800 35,704
Baldwin & Lyons, Inc. Class A..................................... 300 7,065
Baldwin & Lyons, Inc. Class B..................................... 6,556 159,311
*Bancorp, Inc...................................................... 459 5,967
Bank Mutual Corp.................................................. 51,232 265,382
Bank of America Corp.............................................. 6,406,476 78,863,720
#Bank of New York Mellon Corp. (The)............................... 491,755 13,877,326
BankFinancial Corp................................................ 39,867 314,551
Banner Corp....................................................... 7,943 259,498
BCB Bancorp, Inc.................................................. 1,059 10,781
Berkshire Hills Bancorp, Inc...................................... 25,980 671,843
*BofI Holding, Inc................................................. 8,208 334,722
*Capital Bank Financial Corp. Class A.............................. 233 4,164
*Capital City Bank Group, Inc...................................... 16,844 210,550
Capital One Financial Corp........................................ 333,920 19,293,898
Capital Southwest Corp............................................ 6,907 812,885
60
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
Cathay General Bancorp............................................ 17,730 $ 349,458
Centerstate Banks, Inc............................................ 747 6,215
Century Bancorp, Inc. Class A..................................... 495 16,820
CFS Bancorp, Inc.................................................. 14,148 130,586
Chicopee Bancorp, Inc............................................. 1,000 17,260
*CIT Group, Inc.................................................... 39,411 1,675,362
Citigroup, Inc.................................................... 2,115,722 98,719,589
Citizens Community Bancorp, Inc................................... 10,355 73,831
CME Group, Inc.................................................... 414,385 25,219,471
CNA Financial Corp................................................ 277,671 9,360,289
CNO Financial Group, Inc.......................................... 301,264 3,410,308
Codorus Valley Bancorp, Inc....................................... 120 1,975
*Community West Bancshares......................................... 400 1,900
Corrections Corp. of America...................................... 7,040 254,848
*Cowen Group, Inc. Class A......................................... 4,282 10,962
Donegal Group, Inc. Class A....................................... 27,472 402,190
Donegal Group, Inc. Class B....................................... 300 7,527
*E*TRADE Financial Corp............................................ 89,699 923,003
Eastern Insurance Holdings, Inc................................... 23,026 428,974
*Eastern Virginia Bankshares, Inc.................................. 260 1,570
EMC Insurance Group, Inc.......................................... 18,341 517,766
Endurance Specialty Holdings, Ltd................................. 76,288 3,735,823
Enterprise Financial Services Corp................................ 3,235 46,519
ESB Financial Corp................................................ 360 5,040
ESSA Bancorp, Inc................................................. 8,217 88,497
Evans Bancorp, Inc................................................ 1,681 29,955
Everest Re Group, Ltd............................................. 34,913 4,712,906
*Farmers Capital Bank Corp......................................... 302 5,587
FBL Financial Group, Inc. Class A................................. 24,660 969,385
#Federal Agricultural Mortgage Corp. Class A....................... 177 4,567
Federal Agricultural Mortgage Corp. Class C....................... 9,200 292,376
Federated National Holding Co..................................... 13,665 98,661
#Fidelity National Financial, Inc. Class A......................... 46,321 1,243,719
*Fidelity Southern Corp............................................ 7,111 84,547
*First Acceptance Corp............................................. 39,006 47,977
First American Financial Corp..................................... 61,982 1,659,258
#*First BanCorp..................................................... 15,152 89,548
First Bancorp..................................................... 16,138 209,955
#*First Bancshares, Inc............................................. 400 3,400
First Business Financial Services, Inc............................ 482 13,265
*First California Financial Group, Inc............................. 3,631 29,302
First Citizens BancShares, Inc. Class A........................... 8,627 1,608,245
First Commonwealth Financial Corp................................. 10,800 77,220
First Community Bancshares, Inc................................... 183 2,838
First Defiance Financial Corp..................................... 10,880 246,323
*First Federal of Northern Michigan Bancorp, Inc................... 900 3,897
First Financial Holdings, Inc..................................... 18,933 379,417
*First Financial Northwest, Inc.................................... 25,371 205,505
#*First Financial Service Corp...................................... 130 365
First Merchants Corp.............................................. 38,531 625,358
First Midwest Bancorp, Inc........................................ 7,168 89,958
First Pactrust Bancorp, Inc....................................... 810 9,202
61
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Financials -- (Continued)
*First South Bancorp, Inc.......................................... 2,278 $ 14,989
*Firstcity Financial Corp.......................................... 5,872 57,957
Fox Chase Bancorp, Inc............................................ 351 5,935
*Genworth Financial, Inc. Class A.................................. 34,964 350,689
Geo Group, Inc. (The)............................................. 44,547 1,668,285
German American Bancorp, Inc...................................... 7,459 159,026
GFI Group, Inc.................................................... 2,875 11,529
*Gleacher & Co., Inc............................................... 9,000 6,189
*Global Indemnity P.L.C............................................ 7,870 175,422
Goldman Sachs Group, Inc. (The)................................... 143,685 20,988,068
Great Southern Bancorp, Inc....................................... 1,616 42,614
*Guaranty Bancorp.................................................. 79,339 168,199
*Guaranty Federal Bancshares, Inc.................................. 1,684 16,992
*Hallmark Financial Services, Inc.................................. 25,666 232,277
Hampden Bancorp, Inc.............................................. 5,886 90,644
Hanover Insurance Group, Inc. (The)............................... 88,829 4,479,646
#Hartford Financial Services Group, Inc............................ 366,250 10,287,963
#HCC Insurance Holdings, Inc....................................... 17,700 754,020
Heartland Financial USA, Inc...................................... 465 11,816
*Heritage Commerce Corp............................................ 14,483 95,153
HF Financial Corp................................................. 400 5,400
*Hilltop Holdings, Inc............................................. 26,171 350,430
Hingham Institution for Savings................................... 500 34,005
*HMN Financial, Inc................................................ 3,456 25,609
*Home Bancorp, Inc................................................. 719 13,014
Home Federal Bancorp, Inc......................................... 9,420 114,736
HopFed Bancorp, Inc............................................... 6,781 73,981
Horace Mann Educators Corp........................................ 58,206 1,312,545
Hudson City Bancorp, Inc.......................................... 28,191 234,267
*ICG Group, Inc.................................................... 1,184 14,054
*Imperial Holdings, Inc............................................ 2,882 11,586
Independence Holding Co........................................... 24,172 253,806
Infinity Property & Casualty Corp................................. 15,800 896,492
International Bancshares Corp..................................... 800 15,520
*Intervest Bancshares Corp. Class A................................ 2,078 12,219
*Investment Technology Group, Inc.................................. 23,677 257,843
Investors Title Co................................................ 1,169 81,070
Janus Capital Group, Inc.......................................... 24,840 221,573
JPMorgan Chase & Co............................................... 777,031 38,082,289
Kemper Corp....................................................... 76,602 2,440,540
#Kentucky First Federal Bancorp.................................... 2,800 22,260
#KeyCorp........................................................... 526,210 5,246,314
Lakeland Bancorp, Inc............................................. 4,701 44,942
Landmark Bancorp Inc/Manhattan.................................... 1,875 39,019
#Legg Mason, Inc................................................... 128,883 4,106,212
#Lincoln National Corp............................................. 378,093 12,858,943
LNB Bancorp, Inc.................................................. 13,395 113,188
Loews Corp........................................................ 243,798 10,890,457
*Louisiana Bancorp Inc/Metaire..................................... 5,606 92,387
*Macatawa Bank Corp................................................ 18,892 105,795
*Magyar Bancorp, Inc............................................... 500 2,605
Maiden Holdings, Ltd.............................................. 5,792 59,831
62
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
MainSource Financial Group, Inc................................... 45,000 $ 570,150
Marlin Business Services Corp..................................... 14,241 345,059
MB Financial, Inc................................................. 19,678 487,227
*MBIA, Inc......................................................... 82,267 778,246
*MBT Financial Corp................................................ 23,185 93,667
MCG Capital Corp.................................................. 11,930 61,320
Meadowbrook Insurance Group, Inc.................................. 38,553 299,942
Medallion Financial Corp.......................................... 9,550 142,677
Mercantile Bank Corp.............................................. 4,422 73,892
Meta Financial Group, Inc......................................... 1,083 28,786
MetLife, Inc...................................................... 1,126,173 43,909,485
*Metro Bancorp, Inc................................................ 26,598 472,115
*MetroCorp Bancshares, Inc......................................... 2,250 22,613
*MGIC Investment Corp.............................................. 72,733 392,758
MicroFinancial, Inc............................................... 5,900 47,731
MidWestOne Financial Group, Inc................................... 346 8,269
Montpelier Re Holdings, Ltd....................................... 38,746 998,097
Morgan Stanley.................................................... 1,476,248 32,698,893
MutualFirst Financial, Inc........................................ 2,300 36,961
NASDAQ OMX Group, Inc. (The)...................................... 42,129 1,241,963
National Western Life Insurance Co. Class A....................... 900 164,358
*Navigators Group, Inc. (The)...................................... 3,685 213,288
*New Century Bancorp, Inc.......................................... 600 3,840
New Hampshire Thrift Bancshares, Inc.............................. 3,667 47,231
*NewBridge Bancorp................................................. 11,413 67,223
*Newport Bancorp, Inc.............................................. 700 11,956
*NewStar Financial, Inc............................................ 41,166 491,934
*North Valley Bancorp.............................................. 907 15,954
Northeast Community Bancorp, Inc.................................. 18,190 108,594
Northrim BanCorp, Inc............................................. 5,734 124,887
#NYSE Euronext..................................................... 8,639 335,280
OFG Bancorp....................................................... 30,191 485,169
#Old Republic International Corp................................... 357,183 4,821,971
*Old Second Bancorp, Inc........................................... 4,874 22,420
Oppenheimer Holdings, Inc. Class A................................ 3,097 57,295
*Pacific Mercantile Bancorp........................................ 16,236 97,416
*Park Sterling Corp................................................ 3,253 18,640
PartnerRe, Ltd.................................................... 52,224 4,926,812
#People's United Financial, Inc.................................... 68,700 904,092
Peoples Bancorp of North Carolina, Inc............................ 250 2,933
Peoples Bancorp, Inc.............................................. 17,608 358,851
#*PHH Corp.......................................................... 92,304 1,945,768
#*Phoenix Cos., Inc. (The).......................................... 2,631 76,588
*Pinnacle Financial Partners, Inc.................................. 23,924 580,635
*Piper Jaffray Cos................................................. 312 10,533
Platinum Underwriters Holdings, Ltd............................... 18,979 1,077,058
*Popular, Inc...................................................... 56,536 1,610,711
*Porter Bancorp, Inc............................................... 1,737 1,546
*Portfolio Recovery Associates, Inc................................ 9,401 1,153,973
Premier Financial Bancorp, Inc.................................... 1,301 15,872
#Principal Financial Group, Inc.................................... 217,722 7,859,764
Protective Life Corp.............................................. 98,037 3,731,288
63
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
Provident Financial Holdings, Inc................................. 544 $ 8,813
Provident Financial Services, Inc................................. 21,059 322,834
Provident New York Bancorp........................................ 71,474 646,125
Prudential Financial, Inc......................................... 497,625 30,066,503
#Pulaski Financial Corp............................................ 4,550 48,003
Radian Group, Inc................................................. 161,945 1,935,243
Regions Financial Corp............................................ 1,302,555 11,058,692
Reinsurance Group of America, Inc................................. 169,166 10,581,333
Renasant Corp..................................................... 42,102 960,768
*Republic First Bancorp, Inc....................................... 2,174 5,892
Resource America, Inc. Class A.................................... 21,051 194,090
*Riverview Bancorp, Inc............................................ 15,319 37,532
Ryman Hospitality Properties...................................... 51,778 2,302,050
Safety Insurance Group, Inc....................................... 11,042 548,456
Sandy Spring Bancorp, Inc......................................... 9,125 186,880
SCBT Financial Corp............................................... 528 25,223
Selective Insurance Group, Inc.................................... 45,200 1,059,036
SI Financial Group, Inc........................................... 5,444 63,150
Somerset Hills Bancorp............................................ 4,317 49,171
(o)Southern Community Financial.................................... 29,890 6,576
*Southern First Bancshares, Inc.................................... 1,216 13,194
*Southwest Bancorp, Inc............................................ 16,974 224,396
StanCorp Financial Group, Inc..................................... 15,636 675,162
State Auto Financial Corp......................................... 56,823 987,584
StellarOne Corp................................................... 24,952 374,030
Stewart Information Services Corp................................. 12,271 332,176
*Stratus Properties, Inc........................................... 3,069 47,385
#*Suffolk Bancorp................................................... 205 3,206
*Sun Bancorp, Inc.................................................. 4,075 13,122
SunTrust Banks, Inc............................................... 491,691 14,381,962
Susquehanna Bancshares, Inc....................................... 97,547 1,138,373
Symetra Financial Corp............................................ 20,319 276,948
Synovus Financial Corp............................................ 138,359 372,186
Teche Holding Co.................................................. 600 24,720
TF Financial Corp................................................. 630 15,782
Timberland Bancorp, Inc........................................... 2,500 20,625
Tower Group International, Ltd.................................... 12,135 229,594
Travelers Cos., Inc. (The)........................................ 28,000 2,391,480
Tree.com, Inc..................................................... 5,635 115,348
Trustmark Corp.................................................... 4,194 102,963
Umpqua Holdings Corp.............................................. 34,932 419,184
Unico American Corp............................................... 1,900 26,277
Union First Market Bankshares Corp................................ 12,742 240,951
United Financial Bancorp, Inc..................................... 6,824 101,063
United Fire Group, Inc............................................ 40,312 1,127,124
*United Security Bancshares........................................ 384 1,577
*Unity Bancorp, Inc................................................ 3,306 23,572
Unum Group........................................................ 517,445 14,431,541
Validus Holdings, Ltd............................................. 4,399 169,845
*Virginia Commerce Bancorp, Inc.................................... 22,274 299,363
*Waterstone Financial, Inc......................................... 1,300 10,387
WesBanco, Inc..................................................... 31,462 787,494
64
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Financials -- (Continued)
West BanCorp., Inc................................................ 13,957 $ 150,456
Westfield Financial, Inc.......................................... 10,811 81,407
Wintrust Financial Corp........................................... 24,224 868,673
*WSB Holdings, Inc................................................. 100 655
#XL Group P.L.C.................................................... 240,766 7,497,453
#*Yadkin Valley Financial Corp...................................... 16,710 67,007
Zions BanCorp..................................................... 53,325 1,312,862
*ZipRealty, Inc.................................................... 10,028 32,792
------------
Total Financials..................................................... 668,959,407
------------
Health Care -- (9.2%)
*Addus HomeCare Corp............................................... 2,044 24,201
Aetna, Inc........................................................ 503,313 28,910,299
#*Affymax, Inc...................................................... 6,200 5,581
#*Affymetrix, Inc................................................... 24,928 90,738
*Albany Molecular Research, Inc.................................... 34,387 410,237
*Alere, Inc........................................................ 74,130 1,903,658
*Allied Healthcare Products........................................ 1,000 2,690
*Allscripts Healthcare Solutions, Inc.............................. 15,306 211,835
*Alphatec Holdings, Inc............................................ 5,644 10,667
*AMN Healthcare Services, Inc...................................... 15,078 207,021
*Amsurg Corp....................................................... 30,743 1,031,735
Analogic Corp..................................................... 2,988 237,486
*AngioDynamics, Inc................................................ 46,430 470,336
*Anika Therapeutics, Inc........................................... 14,671 195,858
*Arrhythmia Research Technology, Inc............................... 1,200 3,036
Assisted Living Concepts, Inc. Class A............................ 33,042 393,861
*Astex Pharmaceuticals............................................. 21,444 147,535
*BioScrip, Inc..................................................... 36,570 506,860
#*Boston Scientific Corp............................................ 1,204,199 9,019,450
*Cambrex Corp...................................................... 43,567 544,152
*Capital Senior Living Corp........................................ 58,814 1,426,828
*CardioNet, Inc.................................................... 5,328 15,504
*CareFusion Corp................................................... 207,163 6,927,531
*Celldex Therapeutics, Inc......................................... 4,759 62,105
#Cigna Corp........................................................ 42,954 2,842,266
Community Health Systems, Inc..................................... 105,314 4,799,159
#CONMED Corp....................................................... 43,239 1,354,678
Cooper Cos., Inc. (The)........................................... 13,956 1,540,742
Coventry Health Care, Inc......................................... 141,956 7,033,920
*Cross Country Healthcare, Inc..................................... 31,468 157,340
CryoLife, Inc..................................................... 17,502 105,012
*Cumberland Pharmaceuticals, Inc................................... 23,319 109,133
*Cutera, Inc....................................................... 23,864 265,129
*Cynosure, Inc. Class A............................................ 8,077 208,871
Daxor Corp........................................................ 545 4,164
*Digirad Corp...................................................... 29,111 74,524
*Dynacq Healthcare, Inc............................................ 909 55
*Emergent Biosolutions, Inc........................................ 5,105 78,311
#*Endo Health Solutions, Inc........................................ 54,588 2,000,104
*Enzo Biochem, Inc................................................. 47,997 107,513
#*Exactech, Inc..................................................... 3,390 62,715
65
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Health Care -- (Continued)
*Five Star Quality Care, Inc....................................... 28,953 $ 136,948
*Forest Laboratories, Inc.......................................... 78,471 2,935,600
*Gentiva Health Services, Inc...................................... 32,551 341,460
*Greatbatch, Inc................................................... 41,672 1,164,316
*Hanger, Inc....................................................... 16,897 513,500
*Harvard Bioscience, Inc........................................... 32,107 164,388
*Health Net, Inc................................................... 25,498 749,641
*Healthways, Inc................................................... 34,589 480,441
*Hologic, Inc...................................................... 305,036 6,213,583
Humana, Inc....................................................... 236,814 17,550,286
Invacare Corp..................................................... 32,651 439,156
Kewaunee Scientific Corp.......................................... 1,631 21,301
*Kindred Healthcare, Inc........................................... 59,114 620,106
*Lannett Co., Inc.................................................. 3,649 42,365
*LCA-Vision, Inc................................................... 700 2,380
LeMaitre Vascular, Inc............................................ 5,100 30,906
*Life Technologies Corp............................................ 94,990 6,999,813
*LifePoint Hospitals, Inc.......................................... 82,208 3,945,984
*Magellan Health Services, Inc..................................... 17,899 915,713
Maxygen, Inc...................................................... 43,105 103,452
*MedAssets, Inc.................................................... 44,682 836,894
(o)*MedCath Corp..................................................... 29,240 40,059
*Medical Action Industries, Inc.................................... 24,509 199,258
*MediciNova, Inc................................................... 225 709
*Merit Medical Systems, Inc........................................ 13,395 129,530
*Misonix, Inc...................................................... 4,083 23,355
*Molina Healthcare, Inc............................................ 24,941 828,041
#National Healthcare Corp.......................................... 6,484 301,052
*Natus Medical, Inc................................................ 7,661 95,839
Omnicare, Inc..................................................... 197,388 8,639,673
*Omnicell, Inc..................................................... 30,665 552,583
*Palomar Medical Technologies, Inc................................. 3,988 54,037
*PDI, Inc.......................................................... 14,978 68,449
PerkinElmer, Inc.................................................. 76,500 2,344,725
Pfizer, Inc....................................................... 5,208,907 151,422,926
*PharMerica Corp................................................... 35,405 456,370
*Repligen Corp..................................................... 21,271 190,588
*RTI Biologics, Inc................................................ 79,886 317,946
Select Medical Holdings Corp...................................... 51,009 420,824
#*Skilled Healthcare Group, Inc. Class A............................ 12,180 85,747
*Solta Medical, Inc................................................ 4,035 7,868
*Sucampo Pharmaceuticals, Inc. Class A............................. 3,605 34,284
*SunLink Health Systems, Inc....................................... 1,750 1,400
*SurModics, Inc.................................................... 5,593 147,935
*Symmetry Medical, Inc............................................. 78,674 937,794
Teleflex, Inc..................................................... 37,223 2,908,233
*Theragenics Corp.................................................. 20,783 29,928
#Thermo Fisher Scientific, Inc..................................... 499,520 40,301,274
#*TranS1, Inc....................................................... 5,997 12,054
*Triple-S Management Corp. Class B................................. 19,483 351,278
UnitedHealth Group, Inc........................................... 89,716 5,376,680
Universal American Corp........................................... 85,628 732,119
66
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
Health Care -- (Continued)
*VCA Antech, Inc................................................... 53,726 $ 1,294,797
*ViroPharma, Inc................................................... 103,479 2,819,803
*WellCare Health Plans, Inc........................................ 9,700 565,607
#WellPoint, Inc.................................................... 504,640 36,798,349
*Wright Medical Group, Inc......................................... 32,357 758,448
------------
Total Health Care.................................................... 376,960,635
------------
Industrials -- (13.1%)
AAR Corp.......................................................... 32,906 587,701
ABM Industries, Inc............................................... 64,500 1,454,475
#*ACCO Brands Corp.................................................. 9,955 67,196
Aceto Corp........................................................ 31,686 329,534
Acme United Corp.................................................. 1,030 13,184
#Actuant Corp. Class A............................................. 44,986 1,408,062
*Adept Technology, Inc............................................. 20,476 66,137
ADT Corp. (The)................................................... 197,193 8,605,503
*AECOM Technology Corp............................................. 23,177 673,755
*Aegion Corp....................................................... 17,422 366,907
#*Aerovironment, Inc................................................ 35,065 678,858
#AGCO Corp......................................................... 58,973 3,140,312
Aircastle, Ltd.................................................... 38,900 543,044
Alamo Group, Inc.................................................. 22,751 911,633
*Alaska Air Group, Inc............................................. 52,626 3,243,867
Albany International Corp. Class A................................ 20,551 597,007
Alliant Techsystems, Inc.......................................... 16,708 1,242,407
(o)*Allied Defense Group, Inc. (The)................................. 2,645 13,886
AMERCO............................................................ 29,431 4,729,562
American Railcar Industries, Inc.................................. 20,003 714,307
Ampco-Pittsburgh Corp............................................. 4,007 75,091
*AMREP Corp........................................................ 966 8,742
Apogee Enterprises, Inc........................................... 36,374 926,810
Argan, Inc........................................................ 21 372
#Arkansas Best Corp................................................ 2,400 25,224
*Ascent Solar Technologies, Inc.................................... 1,951 1,249
Astec Industries, Inc............................................. 22,925 752,628
*AT Cross Co. Class A.............................................. 18,022 227,438
*Atlas Air Worldwide Holdings, Inc................................. 36,746 1,374,300
*Avis Budget Group, Inc............................................ 94,608 2,728,495
Barnes Group, Inc................................................. 36,400 1,010,828
Barrett Business Services, Inc.................................... 12,955 685,838
*BlueLinx Holdings, Inc............................................ 17,052 49,621
Brady Corp. Class A............................................... 44,400 1,504,272
#Briggs & Stratton Corp............................................ 41,033 922,832
*Builders FirstSource, Inc......................................... 12,182 75,407
*CAI International, Inc............................................ 12,482 318,166
*Casella Waste Systems, Inc. Class A............................... 14,362 62,618
#*CBIZ, Inc......................................................... 35,878 232,848
CDI Corp.......................................................... 40,637 636,782
Ceco Environmental Corp........................................... 3,291 38,209
Celadon Group, Inc................................................ 24,642 413,739
Chicago Rivet & Machine Co........................................ 700 16,940
CIRCOR International, Inc......................................... 6,849 324,163
67
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Industrials -- (Continued)
CNH Global NV..................................................... 6,958 $ 286,183
*Columbus McKinnon Corp............................................ 17,542 329,439
Comfort Systems USA, Inc.......................................... 44,560 571,705
Compx International, Inc.......................................... 500 6,250
*Consolidated Graphics, Inc........................................ 12,008 428,325
Courier Corp...................................................... 8,245 118,728
#Covanta Holding Corp.............................................. 94,292 1,885,840
*Covenant Transportation Group, Inc. Class A....................... 7,080 39,294
*CPI Aerostructures, Inc........................................... 4,626 42,605
*CRA International, Inc............................................ 7,613 140,384
CSX Corp.......................................................... 1,242,950 30,564,141
Curtiss-Wright Corp............................................... 46,353 1,522,233
Douglas Dynamics, Inc............................................. 30,234 422,974
*Ducommun, Inc..................................................... 16,645 407,636
*Dycom Industries, Inc............................................. 27,323 527,880
Eastern Co. (The)................................................. 10,193 170,529
Eaton Corp. P.L.C................................................. 24,778 1,521,617
Ecology and Environment, Inc. Class A............................. 900 11,124
EMCOR Group, Inc.................................................. 25,273 945,210
Encore Wire Corp.................................................. 19,966 653,887
#*Energy Recovery, Inc.............................................. 1,783 6,526
*EnergySolutions, Inc.............................................. 11,933 49,283
*EnerNOC, Inc...................................................... 14,490 253,865
*EnerSys, Inc...................................................... 43,239 1,982,076
#*Engility Holdings, Inc............................................ 7,988 191,392
Ennis, Inc........................................................ 48,483 745,184
#*EnPro Industries, Inc............................................. 17,635 869,053
ESCO Technologies, Inc............................................ 18,094 650,841
Espey Manufacturing & Electronics Corp............................ 1,671 42,176
*Esterline Technologies Corp....................................... 44,968 3,374,399
#*Excel Maritime Carriers, Ltd...................................... 12,400 5,084
Exelis, Inc....................................................... 73,253 818,236
*Federal Signal Corp............................................... 68,080 528,301
#FedEx Corp........................................................ 142,324 13,379,879
*Flow International Corp........................................... 24,393 89,278
*Fortune Brands Home & Security, Inc............................... 149,626 5,444,890
*Franklin Covey Co................................................. 3,046 42,888
FreightCar America, Inc........................................... 12,311 257,054
*Frozen Food Express Industries.................................... 8,686 11,031
*FTI Consulting, Inc............................................... 25,736 852,376
*Furmanite Corp.................................................... 31,044 197,129
G&K Services, Inc. Class A........................................ 29,714 1,396,261
GATX Corp......................................................... 65,445 3,334,423
#*Genco Shipping & Trading, Ltd..................................... 7,630 13,047
*Gencor Industries, Inc............................................ 8,766 60,661
*General Cable Corp................................................ 32,675 1,126,634
#General Dynamics Corp............................................. 28,674 2,120,729
General Electric Co............................................... 5,021,489 111,928,990
*Gibraltar Industries, Inc......................................... 42,111 787,476
*GP Strategies Corp................................................ 18,583 409,755
#*GrafTech International, Ltd....................................... 19,558 140,426
Granite Construction, Inc......................................... 29,079 804,616
68
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Industrials -- (Continued)
Great Lakes Dredge & Dock Corp.................................... 72,271 $ 500,115
#*Greenbrier Cos., Inc.............................................. 21,793 491,650
Griffon Corp...................................................... 67,323 693,427
H&E Equipment Services, Inc....................................... 59,629 1,214,046
Hardinge, Inc..................................................... 19,132 258,282
Harsco Corp....................................................... 54,994 1,200,519
#*Hawaiian Holdings, Inc............................................ 18,070 99,204
Heidrick & Struggles International, Inc........................... 18,234 241,054
#*Hertz Global Holdings, Inc........................................ 278,411 6,704,137
*Hill International, Inc........................................... 27,154 74,674
*Hudson Global, Inc................................................ 15,880 52,404
Huntington Ingalls Industries, Inc................................ 47,666 2,521,531
*Hurco Cos., Inc................................................... 7,910 212,225
#*Huron Consulting Group, Inc....................................... 4,001 167,162
Hyster-Yale Materials Handling, Inc............................... 12,246 639,119
*ICF International, Inc............................................ 31,660 858,303
#Ingersoll-Rand P.L.C.............................................. 213,109 11,465,264
Insteel Industries, Inc........................................... 17,578 291,443
International Shipholding Corp.................................... 11,354 205,053
#Intersections, Inc................................................ 26,279 251,227
*JetBlue Airways Corp.............................................. 324,893 2,238,513
Kadant, Inc....................................................... 5,786 160,099
KAR Auction Services, Inc......................................... 18,100 404,897
Kelly Services, Inc. Class A...................................... 44,445 756,454
*Key Technology, Inc............................................... 3,199 39,924
Kimball International, Inc. Class B............................... 31,258 287,261
*Korn/Ferry International.......................................... 33,148 548,599
#L-3 Communications Holdings, Inc.................................. 100,470 8,163,188
Lawson Products, Inc.............................................. 8,847 125,185
*Layne Christensen Co.............................................. 34,461 704,038
LB Foster Co. Class A............................................. 6,682 295,010
*LMI Aerospace, Inc................................................ 14,655 313,470
LS Starrett Co. (The) Class A..................................... 4,097 43,838
LSI Industries, Inc............................................... 27,715 195,114
*Lydall, Inc....................................................... 14,605 209,436
Manpowergroup, Inc................................................ 22,886 1,216,620
Marten Transport, Ltd............................................. 31,855 648,886
Matson, Inc....................................................... 62,316 1,466,919
McGrath RentCorp.................................................. 17,552 545,165
Met-Pro Corp...................................................... 1,984 26,586
*Metalico, Inc..................................................... 27,024 40,266
*Mfri, Inc......................................................... 8,900 64,970
Miller Industries, Inc............................................ 20,099 303,696
*Mobile Mini, Inc.................................................. 54,461 1,531,988
*Moog, Inc. Class A................................................ 35,339 1,633,015
Mueller Industries, Inc........................................... 15,456 800,312
Mueller Water Products, Inc. Class A.............................. 185,957 1,100,865
*MYR Group, Inc.................................................... 19,582 446,470
#National Presto Industries, Inc................................... 571 42,825
*National Technical Systems, Inc................................... 15,600 150,072
*Navigant Consulting, Inc.......................................... 10,961 135,149
NL Industries, Inc................................................ 51,251 577,599
69
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Industrials -- (Continued)
*NN, Inc........................................................... 16,796 $ 151,332
Norfolk Southern Corp............................................. 545,229 42,211,629
Northrop Grumman Corp............................................. 337,038 25,527,258
*Northwest Pipe Co................................................. 8,801 240,179
*Ocean Power Technologies, Inc..................................... 8,400 12,936
*On Assignment, Inc................................................ 53,951 1,309,391
*Orbital Sciences Corp............................................. 36,476 657,298
*Orion Energy Systems, Inc......................................... 1,043 2,503
*Oshkosh Corp...................................................... 14,466 567,935
*Owens Corning..................................................... 149,300 6,279,558
PAM Transportation Services, Inc.................................. 19,428 202,828
Pentair, Ltd...................................................... 117,934 6,409,713
*PGT, Inc.......................................................... 500 3,850
Pike Electric Corp................................................ 23,313 364,382
*Powell Industries, Inc............................................ 5,929 291,944
*PowerSecure International, Inc.................................... 19,459 266,588
Providence and Worcester Railroad Co.............................. 850 13,111
#Quad/Graphics, Inc................................................ 2,390 49,951
#Quanex Building Products Corp..................................... 25,243 410,704
*Quanta Services, Inc.............................................. 168,307 4,625,076
Raytheon Co....................................................... 96,954 5,951,037
RCM Technologies, Inc............................................. 20,293 114,655
*Real Goods Solar, Inc. Class A.................................... 2,471 4,843
#Regal-Beloit Corp................................................. 16,070 1,263,423
*Republic Airways Holdings, Inc.................................... 56,336 630,400
Republic Services, Inc............................................ 429,755 14,646,050
Resources Connection, Inc......................................... 25,955 294,849
*Roadrunner Transportation Systems, Inc............................ 879 19,786
*Rush Enterprises, Inc. Class A.................................... 32,603 746,283
*Rush Enterprises, Inc. Class B.................................... 18,522 366,736
Ryder System, Inc................................................. 89,844 5,217,241
*Saia, Inc......................................................... 5,950 243,474
Schawk, Inc....................................................... 44,631 454,344
SIFCO Industries, Inc............................................. 6,623 113,121
SkyWest, Inc...................................................... 46,706 668,363
SL Industries, Inc................................................ 300 5,760
#Southwest Airlines Co............................................. 645,761 8,846,926
*Sparton Corp...................................................... 9,132 126,843
SPX Corp.......................................................... 12,803 953,952
*Standard Register Co. (The)....................................... 30,430 20,997
Standex International Corp........................................ 22,341 1,181,839
Stanley Black & Decker, Inc....................................... 154,919 11,589,490
Steelcase, Inc. Class A........................................... 55,469 704,456
*Sterling Construction Co., Inc.................................... 19,761 199,981
*Supreme Industries, Inc. Class A.................................. 1,365 6,115
Sypris Solutions, Inc............................................. 8,460 27,072
#TAL International Group, Inc...................................... 23,454 970,996
*Tecumseh Products Co. Class A..................................... 12,600 112,140
*Tecumseh Products Co. Class B..................................... 1,400 11,354
*Terex Corp........................................................ 27,578 788,731
*Tetra Tech, Inc................................................... 45,222 1,188,886
#*Titan Machinery, Inc.............................................. 12,683 286,129
70
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
Industrials -- (Continued)
*TRC Cos., Inc..................................................... 28,708 $ 173,396
Trinity Industries, Inc........................................... 91,907 3,879,394
Triumph Group, Inc................................................ 57,456 4,590,734
*Tufco Technologies, Inc........................................... 900 4,568
*Tutor Perini Corp................................................. 40,371 663,699
Twin Disc, Inc.................................................... 900 19,188
Tyco International, Ltd........................................... 394,386 12,667,678
*Ultralife Corp.................................................... 10,710 42,197
UniFirst Corp..................................................... 18,705 1,703,090
Union Pacific Corp................................................ 444,064 65,703,709
United Stationers, Inc............................................ 20,703 672,226
Universal Forest Products, Inc.................................... 31,800 1,227,480
URS Corp.......................................................... 84,698 3,719,936
*USA Truck, Inc.................................................... 15,105 77,489
#UTi Worldwide, Inc................................................ 43,109 633,271
*Versar, Inc....................................................... 5,526 24,204
Viad Corp......................................................... 28,614 745,395
*Virco Manufacturing Corp.......................................... 12,601 25,580
VSE Corp.......................................................... 305 9,299
#Waste Connections, Inc............................................ 2,800 106,260
Watts Water Technologies, Inc. Class A............................ 53,615 2,523,122
#Werner Enterprises, Inc........................................... 34,105 783,051
#*Wesco Aircraft Holdings, Inc...................................... 6,228 102,824
#*WESCO International, Inc.......................................... 11,687 837,841
*Willdan Group, Inc................................................ 1,000 2,335
*Willis Lease Finance Corp......................................... 6,713 95,257
#*XPO Logistics, Inc................................................ 12,216 199,243
------------
Total Industrials.................................................... 536,254,064
------------
Information Technology -- (5.3%)
*Accelrys, Inc..................................................... 41,733 411,070
Activision Blizzard, Inc.......................................... 982,162 14,683,322
*Acxiom Corp....................................................... 7,769 154,525
*Advanced Energy Industries, Inc................................... 47,985 814,785
*Agilysys, Inc..................................................... 16,899 197,380
*Alpha & Omega Semiconductor, Ltd.................................. 419 3,034
#*Amtech Systems, Inc............................................... 8,571 31,798
*ANADIGICS, Inc.................................................... 22,790 47,859
*Anaren, Inc....................................................... 9,602 224,783
AOL, Inc.......................................................... 105,592 4,080,075
*ARRIS Group, Inc.................................................. 140,787 2,324,393
*Arrow Electronics, Inc............................................ 182,170 7,146,529
Astro-Med, Inc.................................................... 6,285 61,970
*ATMI, Inc......................................................... 31,034 674,989
*Aviat Networks, Inc............................................... 48,831 156,259
*Avnet, Inc........................................................ 139,400 4,565,350
AVX Corp.......................................................... 172,540 1,951,427
Aware, Inc........................................................ 14,326 69,195
*AXT, Inc.......................................................... 20,506 58,852
Bel Fuse, Inc. Class A............................................ 4,174 54,784
Bel Fuse, Inc. Class B............................................ 18,286 269,170
*Benchmark Electronics, Inc........................................ 93,903 1,675,230
71
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Information Technology -- (Continued)
Black Box Corp.................................................... 26,448 $ 574,451
*Blucora, Inc...................................................... 81,156 1,198,674
*Brocade Communications Systems, Inc............................... 461,513 2,686,006
Brooks Automation, Inc............................................ 43,964 427,330
*Bsquare Corp...................................................... 4,065 12,561
*BTU International, Inc............................................ 1,600 3,680
*CACI International, Inc. Class A.................................. 24,830 1,452,307
*Calix, Inc........................................................ 9,007 76,830
*Cascade Microtech, Inc............................................ 24,071 165,127
*Checkpoint Systems, Inc........................................... 24,206 280,063
*CIBER, Inc........................................................ 72,919 310,635
Cohu, Inc......................................................... 41,410 396,294
Communications Systems, Inc....................................... 12,612 122,715
Computer Sciences Corp............................................ 220,553 10,332,908
Comtech Telecommunications Corp................................... 15,569 383,153
Concurrent Computer Corp.......................................... 13,740 96,730
Convergys Corp.................................................... 197,364 3,359,135
*CoreLogic, Inc.................................................... 96,545 2,633,748
Corning, Inc...................................................... 1,298,385 18,826,582
*Cray, Inc......................................................... 12,866 272,245
CSP, Inc.......................................................... 2,414 13,277
CTS Corp.......................................................... 30,751 327,498
*CyberOptics Corp.................................................. 9,134 51,059
*Datalink Corp..................................................... 1,412 15,800
*Dataram Corp...................................................... 1,257 2,627
*Digi International, Inc........................................... 32,389 295,388
*Diodes, Inc....................................................... 100 2,026
*DSP Group, Inc.................................................... 46,713 376,974
*Dynamics Research Corp............................................ 16,772 97,948
EarthLink, Inc.................................................... 86,935 494,660
*EchoStar Corp. Class A............................................ 23,551 924,848
*Edgewater Technology, Inc......................................... 13,603 52,508
Electro Rent Corp................................................. 40,561 672,096
Electro Scientific Industries, Inc................................ 31,787 342,664
*Electronics for Imaging, Inc...................................... 58,110 1,552,699
#*Emcore Corp....................................................... 5,644 24,664
*Emulex Corp....................................................... 68,369 410,214
*Entropic Communications, Inc...................................... 18,783 79,640
EPIQ Systems, Inc................................................. 21,953 306,683
ePlus, Inc........................................................ 8,445 384,079
*Euronet Worldwide, Inc............................................ 23,278 710,677
*Exar Corp......................................................... 51,341 553,456
*Fabrinet.......................................................... 1,724 23,671
*Fairchild Semiconductor International, Inc........................ 118,008 1,522,303
Fidelity National Information Services, Inc....................... 150,627 6,333,865
#*Finisar Corp...................................................... 61,526 789,994
#*First Solar, Inc.................................................. 28,266 1,316,065
Frequency Electronics, Inc........................................ 16,953 169,869
*Globecomm Systems, Inc............................................ 26,554 325,286
*GSE Systems, Inc.................................................. 17,638 33,336
*GSI Technology, Inc............................................... 9,236 57,633
Hackett Group, Inc. (The)......................................... 53,321 260,206
72
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ----------
Information Technology -- (Continued)
*Harmonic, Inc..................................................... 23,121 $ 131,327
Hewlett-Packard Co................................................ 65,635 1,352,081
*Hutchinson Technology, Inc........................................ 22,425 62,790
IAC/InterActiveCorp............................................... 125,298 5,897,777
*ID Systems, Inc................................................... 17,291 93,371
#*Identive Group, Inc............................................... 10,175 9,666
*Imation Corp...................................................... 28,996 106,705
*Ingram Micro, Inc. Class A........................................ 277,679 4,945,463
*Insight Enterprises, Inc.......................................... 42,100 762,852
*Integrated Device Technology, Inc................................. 122,208 868,899
*Integrated Silicon Solution, Inc.................................. 42,178 386,772
#*Intermec, Inc.................................................... 15,705 154,537
*Internap Network Services Corp.................................... 32,386 258,440
*International Rectifier Corp...................................... 79,000 1,675,590
*Interphase Corp................................................... 2,999 7,138
Intersil Corp. Class A............................................ 119,798 929,632
*Intevac, Inc...................................................... 7,954 36,032
*IntriCon Corp..................................................... 2,835 11,425
*Itron, Inc........................................................ 33,397 1,324,191
IXYS Corp......................................................... 2,155 19,524
*Key Tronic Corp................................................... 17,623 199,140
Keynote Systems, Inc.............................................. 17,699 198,406
*KIT Digital, Inc.................................................. 28,634 8,733
*Kulicke & Soffa Industries, Inc................................... 71,688 828,713
*KVH Industries, Inc............................................... 600 7,926
*Lattice Semiconductor Corp........................................ 44,669 207,711
#Lexmark International, Inc. Class A............................... 33,559 1,017,173
*LTX-Credence Corp................................................. 29,465 173,844
#ManTech International Corp. Class A............................... 15,485 413,295
Marchex, Inc. Class B............................................. 32,883 135,807
*Measurement Specialties, Inc...................................... 251 10,735
*MEMC Electronic Materials, Inc.................................... 154,224 832,810
Mentor Graphics Corp.............................................. 35,620 650,421
Methode Electronics, Inc.......................................... 79,272 1,139,931
*Micron Technology, Inc............................................ 758,908 7,148,913
MKS Instruments, Inc.............................................. 61,200 1,644,444
*ModusLink Global Solutions, Inc................................... 68,955 193,074
*Nanometrics, Inc.................................................. 13,265 186,108
*NCI, Inc. Class A................................................. 686 2,895
*Newport Corp...................................................... 64,756 981,053
*Novatel Wireless, Inc............................................. 2,979 7,805
*Official Payments Holdings, Inc................................... 2,151 12,089
*OmniVision Technologies, Inc...................................... 37,132 497,940
*Oplink Communications, Inc........................................ 35,876 589,084
Optical Cable Corp................................................ 10,793 45,115
*PAR Technology Corp............................................... 22,705 95,134
Park Electrochemical Corp......................................... 1,642 39,195
PC Connection, Inc................................................ 39,267 606,282
PC-Tel, Inc....................................................... 33,870 225,913
*PCM, Inc.......................................................... 10,471 75,915
Perceptron, Inc................................................... 8,428 58,912
*Performance Technologies, Inc..................................... 24,790 20,824
73
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ----------
Information Technology -- (Continued)
*Pericom Semiconductor Corp........................................ 38,555 $ 249,065
*Photronics, Inc................................................... 76,775 605,755
*Planar Systems, Inc............................................... 3,449 5,898
*PMC - Sierra, Inc................................................. 146,588 844,347
*Polycom, Inc...................................................... 36,977 388,258
*Qualstar Corp..................................................... 12,400 22,444
*Radisys Corp...................................................... 9,762 48,420
*Rambus, Inc....................................................... 1,069 7,440
*RealNetworks, Inc................................................. 33,602 258,735
*Reis, Inc......................................................... 13,511 216,581
RF Industries, Ltd................................................ 2,823 16,910
Richardson Electronics, Ltd....................................... 24,525 287,678
*Rofin-Sinar Technologies, Inc..................................... 4,632 115,337
*Rogers Corp....................................................... 7,543 321,634
*Rosetta Stone, Inc................................................ 1,466 24,819
*Rovi Corp......................................................... 19,000 444,410
#*Rudolph Technologies, Inc......................................... 47,996 560,113
#SAIC, Inc......................................................... 43,400 648,396
#*SanDisk Corp...................................................... 13,097 686,807
*Sanmina Corp...................................................... 37,595 474,449
*ScanSource, Inc................................................... 14,745 427,163
*Seachange International, Inc...................................... 38,430 417,350
#*ShoreTel, Inc..................................................... 3,200 11,552
*Sigma Designs, Inc................................................ 14,984 71,324
*Smith Micro Software, Inc......................................... 500 700
*SMTC Corp......................................................... 1,200 2,652
*Sonus Networks, Inc............................................... 33,110 69,531
*Spansion, Inc. Class A............................................ 34,727 451,104
*SS&C Technologies Holdings, Inc................................... 25,793 791,587
*StarTek, Inc...................................................... 27,060 187,526
#*SunPower Corp..................................................... 18,322 248,996
Supertex, Inc..................................................... 9,488 200,007
*support.com, Inc.................................................. 25,400 101,346
*Sykes Enterprises, Inc............................................ 22,692 349,230
*Symmetricom, Inc.................................................. 87,926 457,215
*SYNNEX Corp....................................................... 55,900 1,934,140
*Tech Data Corp.................................................... 82,952 3,876,347
*TechTarget, Inc................................................... 23,106 102,591
*TeleCommunication Systems, Inc. Class A........................... 58,307 112,533
*Telenav, Inc...................................................... 9,865 51,693
Tellabs, Inc...................................................... 241,591 500,093
Telular Corp...................................................... 17,970 229,477
#*Teradyne, Inc..................................................... 26,789 440,411
Tessco Technologies, Inc.......................................... 8,689 177,603
Tessera Technologies, Inc......................................... 48,635 990,695
TheStreet, Inc.................................................... 35,273 65,608
*TriQuint Semiconductor, Inc....................................... 44,218 258,233
TSR, Inc.......................................................... 550 1,832
*TTM Technologies, Inc............................................. 62,635 452,851
United Online, Inc................................................ 121,790 828,172
*Vicon Industries, Inc............................................. 5,787 19,386
*Video Display Corp................................................ 600 2,190
74
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Information Technology -- (Continued)
*Virtusa Corp...................................................... 30,064 $ 667,721
*Vishay Intertechnology, Inc....................................... 228,349 3,206,020
*Vishay Precision Group, Inc....................................... 2,871 41,141
*Westell Technologies, Inc. Class A................................ 16,329 32,005
Western Digital Corp.............................................. 212,781 11,762,534
#*WPCS International, Inc........................................... 8,861 3,190
Xerox Corp........................................................ 1,791,473 15,370,838
*XO Group, Inc..................................................... 6,284 70,758
Xyratex, Ltd...................................................... 28,253 301,742
*Yahoo!, Inc....................................................... 1,048,770 25,936,082
*Zygo Corp......................................................... 18,005 269,355
------------
Total Information Technology......................................... 216,801,238
------------
Materials -- (3.3%)
A Schulman, Inc................................................... 32,960 855,971
#Alcoa, Inc........................................................ 1,145,369 9,735,637
#Allegheny Technologies, Inc....................................... 22,777 614,523
#*AM Castle & Co.................................................... 38,646 669,349
*American Pacific Corp............................................. 7,647 187,428
Ashland, Inc...................................................... 112,560 9,591,238
Axiall Corp....................................................... 26,423 1,385,886
#Bemis Co., Inc.................................................... 24,092 948,020
Boise, Inc........................................................ 77,042 615,566
Buckeye Technologies, Inc......................................... 37,613 1,413,873
Cabot Corp........................................................ 46,280 1,738,277
*Century Aluminum Co............................................... 37,122 302,916
*Chemtura Corp..................................................... 49,368 1,049,564
*Clearwater Paper Corp............................................. 16,822 774,148
*Coeur d'Alene Mines Corp.......................................... 133,765 2,038,579
Commercial Metals Co.............................................. 85,208 1,245,741
*Continental Materials Corp........................................ 100 1,725
*Core Molding Technologies, Inc.................................... 2,988 26,623
Cytec Industries, Inc............................................. 64,700 4,714,042
Domtar Corp....................................................... 30,917 2,149,041
Dow Chemical Co. (The)............................................ 14,000 474,740
*Ferro Corp........................................................ 42,247 297,419
Freeport-McMoRan Copper & Gold, Inc............................... 96,529 2,937,377
Friedman Industries, Inc.......................................... 16,110 153,367
FutureFuel Corp................................................... 6,104 74,774
*Graphic Packaging Holding Co...................................... 154,000 1,158,080
*Headwaters, Inc................................................... 23,663 256,980
Hecla Mining Co................................................... 203,366 691,444
*Horsehead Holding Corp............................................ 47,075 503,703
Huntsman Corp..................................................... 50,242 947,564
International Paper Co............................................ 493,615 23,190,033
Kaiser Aluminum Corp.............................................. 27,181 1,712,403
KapStone Paper and Packaging Corp................................. 40,492 1,197,753
*Kraton Performance Polymers, Inc.................................. 13,935 316,464
*Landec Corp....................................................... 37,056 496,921
*Louisiana-Pacific Corp............................................ 173,457 3,143,041
LyondellBasell Industries NV Class A.............................. 121,873 7,397,691
Materion Corp..................................................... 17,697 468,794
75
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Materials -- (Continued)
#*McEwen Mining, Inc................................................ 17,523 $ 40,829
MeadWestvaco Corp................................................. 188,451 6,497,790
*Mercer International, Inc......................................... 21,725 136,650
Minerals Technologies, Inc........................................ 34,280 1,392,796
*Mod-Pac Corp...................................................... 1,501 12,533
Myers Industries, Inc............................................. 64,720 959,150
Neenah Paper, Inc................................................. 7,684 220,992
*Northern Technologies International Corp.......................... 3,035 32,778
#Nucor Corp........................................................ 83,945 3,661,681
Olin Corp......................................................... 62,261 1,504,848
#Olympic Steel, Inc................................................ 9,586 191,720
*OM Group, Inc..................................................... 42,299 1,035,057
*Penford Corp...................................................... 26,922 296,142
PH Glatfelter Co.................................................. 50,600 1,214,400
PolyOne Corp...................................................... 9,687 218,248
Reliance Steel & Aluminum Co...................................... 93,801 6,103,631
*Resolute Forest Products, Inc..................................... 4,676 68,410
Rock Tenn Co. Class A............................................. 26,305 2,634,183
*RTI International Metals, Inc..................................... 50,032 1,451,929
#Schnitzer Steel Industries, Inc. Class A.......................... 21,397 524,868
Sealed Air Corp................................................... 46,499 1,028,558
Sensient Technologies Corp........................................ 38,101 1,499,274
Steel Dynamics, Inc............................................... 94,919 1,427,582
*Stillwater Mining Co.............................................. 90,700 1,128,308
*SunCoke Energy, Inc............................................... 62,210 941,237
Synalloy Corp..................................................... 5,144 72,479
#*Texas Industries, Inc............................................. 33,762 2,149,964
Tredegar Corp..................................................... 40,177 1,189,239
#United States Steel Corp.......................................... 9,198 163,724
*Universal Stainless & Alloy Products, Inc......................... 9,093 317,891
Vulcan Materials Co............................................... 58,246 2,905,310
Wausau Paper Corp................................................. 14,684 149,483
Westlake Chemical Corp............................................ 79,076 6,574,379
Worthington Industries, Inc....................................... 47,320 1,522,758
#*Zoltek Cos., Inc.................................................. 34,022 449,431
------------
Total Materials...................................................... 135,194,947
------------
Other -- (0.0%)
(o)*Gerber Scientific, Inc. Escrow Shares............................ 47,409 --
(o)*Petrocorp, Inc. Escrow Shares.................................... 900 54
(o)*Price Communications Liquidation Trust........................... 47,738 --
------------
Total Other.......................................................... 54
------------
Telecommunication Services -- (5.9%)
AT&T, Inc......................................................... 4,065,906 152,308,839
Atlantic Tele-Network, Inc........................................ 84 4,265
*Cbeyond, Inc...................................................... 13,659 119,926
#CenturyLink, Inc.................................................. 536,163 20,143,644
#Frontier Communications Corp...................................... 696,949 2,899,308
*General Communication, Inc. Class A............................... 44,167 428,862
#*Leap Wireless International, Inc.................................. 8,393 48,008
Lumos Networks Corp............................................... 500 6,745
76
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Telecommunication Services -- (Continued)
*MetroPCS Communications, Inc...................................... 227,572 $ 2,694,452
*ORBCOMM, Inc...................................................... 44,499 210,480
*Premiere Global Services, Inc..................................... 2,000 22,460
#Shenandoah Telecommunications Co.................................. 2,126 34,845
*Sprint Nextel Corp................................................ 3,629,981 25,591,366
Telephone & Data Systems, Inc..................................... 154,629 3,469,875
#*United States Cellular Corp....................................... 33,568 1,290,354
USA Mobility, Inc................................................. 12,522 169,923
#Verizon Communications, Inc....................................... 591,335 31,878,870
*Vonage Holdings Corp.............................................. 21,969 67,005
--------------
Total Telecommunication Services..................................... 241,389,227
--------------
Utilities -- (0.4%)
#*Calpine Corp...................................................... 62,921 1,367,273
Consolidated Water Co., Ltd....................................... 5,193 51,774
Genie Energy, Ltd. Class B........................................ 5,000 53,900
NRG Energy, Inc................................................... 419,077 11,679,676
#Ormat Technologies, Inc........................................... 20,134 437,713
SJW Corp.......................................................... 6,569 166,590
UGI Corp.......................................................... 43,532 1,783,942
--------------
Total Utilities...................................................... 15,540,868
--------------
TOTAL COMMON STOCKS 3,838,682,756
--------------
RIGHTS/WARRANTS -- (0.0%).........................................
(o)*CVR Energy, Inc. Contingent Value Rights......................... 44,674 --
--------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves........................ 12,874,625 12,874,625
--------------
SHARES/
FACE
AMOUNT
(000)
----------
SECURITIES LENDING COLLATERAL -- (5.8%)
(S)@DFA Short Term Investment Fund................................... 20,323,018 235,137,318
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $2,804,329,364).................. $4,086,694,699
==============
77
(b)Not applicable.
ITEM 7.DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8.PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9.PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10.SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11.CONTROLS AND PROCEDURES.
(a)Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this Form
N-CSR (the "Report"), the Registrant's Principal Executive Officer and
Principal Financial Officer believe that the disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act
of 1940, as amended) are effectively designed to ensure that information
required to be disclosed by the Registrant in the Report is recorded,
processed, summarized and reported by the filing date, including
ensuring that information required to be disclosed in the Report is
accumulated and communicated to the Registrant's officers that are
making certifications in the Report, as appropriate, to allow timely
decisions regarding required disclosure. The Registrant's management,
including the Principal Executive Officer and the Principal Financial
Officer, recognizes that any set of controls and procedures, no matter
how well designed and operated, can provide only reasonable assurance of
achieving the desired control objectives.
(b)There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the second fiscal
quarter of the period covered by this Report that have materially
affected, or are reasonably likely to materially affect, the
Registrant's internal control over financial reporting.
ITEM 12.EXHIBITS.
(a)(1)This item is not applicable.
(a)(2)Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3)This item is not applicable.
(b)Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Investment Group Inc.
By: /s/ David G. Booth
---------------------------------
David G. Booth
Chairman, Director, President and
Co-Chief Executive Officer
Date: July 1, 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
Dimensional Investment Group Inc.
Date: July 1, 2013
By: /s/ David R. Martin
---------------------------------
David R. Martin
Principal Financial Officer
Dimensional Investment Group Inc.
Date: July 1, 2013