================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----------------------
FORM N-CSR
-----------------------
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6067
-----------------------
DIMENSIONAL INVESTMENT GROUP INC.
(Exact name of registrant as specified in charter)
-----------------------
6300 Bee Cave Road, Building One, Austin, TX 78746
(Address of principal executive offices)(Zip code)
-----------------------
Catherine L. Newell, Esquire, Vice President and Secretary
Dimensional Investment Group Inc.,
6300 Bee Cave Road, Building One, Austin, TX 78746
(Name and address of agent for service)
-----------------------
Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: October 31, 2013
================================================================================
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO]
ANNUAL REPORT
year ended: October 31, 2013
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
November 2013
Dear Fellow Shareholder,
Our goal at Dimensional is to deliver an outstanding investment experience to
our clients. Our close ties to academia help us identify leading research that
can be beneficial to investors, and our team works to interpret, rigorously
test, and consider the practical applicability of those ideas in carefully
implemented investment strategies. This focus on research and implementation
has been central to Dimensional's approach since our founding and will continue
to be a key part of our offer to investors.
Sincerely,
/s/
David G. Booth
CHAIRMAN AND CO-CHIEF EXECUTIVE OFFICER
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES........................... 1
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Charts................................................ 2
Management's Discussion and Analysis.............................. 19
Disclosure of Fund Expenses....................................... 31
Disclosure of Portfolio Holdings.................................. 36
Schedules of Investments/Summary Schedules of Portfolio Holdings
Enhanced U.S. Large Company Portfolio......................... 39
U.S. Large Cap Equity Portfolio............................... 42
U.S. Large Cap Value Portfolio................................ 45
U.S. Targeted Value Portfolio................................. 46
U.S. Small Cap Value Portfolio................................ 49
U.S. Core Equity 1 Portfolio.................................. 52
U.S. Core Equity 2 Portfolio.................................. 55
U.S. Vector Equity Portfolio.................................. 58
U.S. Small Cap Portfolio...................................... 61
U.S. Micro Cap Portfolio...................................... 64
DFA Real Estate Securities Portfolio.......................... 67
Large Cap International Portfolio............................. 69
International Core Equity Portfolio........................... 73
International Small Company Portfolio......................... 78
Japanese Small Company Portfolio.............................. 79
Asia Pacific Small Company Portfolio.......................... 79
United Kingdom Small Company Portfolio........................ 80
Continental Small Company Portfolio........................... 80
DFA International Real Estate Securities Portfolio............ 81
DFA Global Real Estate Securities Portfolio................... 85
DFA International Small Cap Value Portfolio................... 86
International Vector Equity Portfolio......................... 90
World ex U.S. Value Portfolio................................. 95
World ex U.S. Targeted Value Portfolio........................ 96
World ex U.S. Core Equity Portfolio........................... 97
Selectively Hedged Global Equity Portfolio.................... 98
Emerging Markets Portfolio.................................... 99
Emerging Markets Small Cap Portfolio.......................... 99
Emerging Markets Value Portfolio.............................. 99
Emerging Markets Core Equity Portfolio........................ 100
Statements of Assets and Liabilities.............................. 105
Statements of Operations.......................................... 112
Statements of Changes in Net Assets............................... 119
Financial Highlights.............................................. 129
Notes to Financial Statements..................................... 147
Report of Independent Registered Public Accounting Firm........... 174
i
TABLE OF CONTENTS
CONTINUED
PAGE
----
DFA INVESTMENT DIMENSIONS GROUP INC. - DFA COMMODITY STRATEGY PORTFOLIO
Performance Charts................................................... 175
Management's Discussion and Analysis................................. 176
Consolidated Disclosure of Fund Expenses............................. 177
Consolidated Disclosure of Portfolio Holdings........................ 178
Consolidated Schedule of Investments................................. 179
Consolidated Statement of Assets and Liabilities..................... 184
Consolidated Statement of Operations................................. 185
Consolidated Statements of Changes in Net Assets..................... 186
Consolidated Financial Highlights.................................... 187
Consolidated Notes to Financial Statements........................... 188
Report of Independent Registered Public Accounting Firm.............. 200
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts................................................... 201
Management's Discussion and Analysis................................. 203
Disclosure of Fund Expenses.......................................... 206
Disclosure of Portfolio Holdings..................................... 208
Schedule of Investments/Summary Schedule of Portfolio Holdings
DFA International Value Portfolio................................ 209
U.S. Large Company Portfolio..................................... 210
Statements of Assets and Liabilities................................. 213
Statements of Operations............................................. 214
Statements of Changes in Net Assets.................................. 215
Financial Highlights................................................. 216
Notes to Financial Statements........................................ 218
Report of Independent Registered Public Accounting Firm.............. 229
THE DFA INVESTMENT TRUST COMPANY
Performance Charts................................................... 230
Management's Discussion and Analysis................................. 235
Disclosure of Fund Expenses.......................................... 240
Disclosure of Portfolio Holdings..................................... 242
Summary Schedules of Portfolio Holdings.............................. 244
The U.S. Large Cap Value Series.................................. 244
The DFA International Value Series............................... 247
The Japanese Small Company Series................................ 251
The Asia Pacific Small Company Series............................ 254
The United Kingdom Small Company Series.......................... 257
The Continental Small Company Series............................. 260
The Canadian Small Company Series................................ 264
The Emerging Markets Series...................................... 267
The Emerging Markets Small Cap Series............................ 271
Statements of Assets and Liabilities................................. 275
Statements of Operations............................................. 277
Statements of Changes in Net Assets.................................. 279
Financial Highlights................................................. 282
Notes to Financial Statements........................................ 287
Report of Independent Registered Public Accounting Firm.............. 296
ii
TABLE OF CONTENTS
CONTINUED
PAGE
----
DIMENSIONAL EMERGING MARKETS VALUE FUND
Performance Charts...................................... 297
Management's Discussion and Analysis.................... 298
Disclosure of Fund Expenses............................. 299
Disclosure of Portfolio Holdings........................ 300
Summary Schedule of Portfolio Holdings.................. 301
Statement of Assets and Liabilities..................... 305
Statement of Operations................................. 306
Statements of Changes in Net Assets..................... 307
Financial Highlights.................................... 308
Notes to Financial Statements........................... 309
Report of Independent Registered Public Accounting Firm. 315
FUND MANAGEMENT............................................ 316
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................ 325
NOTICE TO SHAREHOLDERS..................................... 326
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
SPDR Standard & Poor's Depository Receipts
GBP British Pounds
NZD New Zealand Dollars
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.
^^ Security pledged as collateral for the Open Futures Contracts.
++ Security pledged as collateral for Swap Agreements.
(o) Security is being fair valued as of October 31, 2013.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Fund(s).
(C) Because of commencement of operations and related preliminary transaction costs, these ratios are
not necessarily indicative of future ratios.
(D) Non-Annualized
(E) Annualized
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
REIT Real Estate Investment Trust
RIC Registered Investment Company
SEC Securities and Exchange Commission
(a) Commencement of Operations.
(b) Commencement of Operations.
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
ENHANCED U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500(R) INDEX
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
Enhanced U.S. Large Company Portfolio S&P 500/R/ Index
------------------------------------- ------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,084 10,088
12/31/2003 10,638 10,617
1/31/2004 10,830 10,812
2/29/2004 10,998 10,962
3/31/2004 10,843 10,797
4/30/2004 10,602 10,627
5/31/2004 10,734 10,773
6/30/2004 10,924 10,982
7/31/2004 10,574 10,619
8/31/2004 10,647 10,662
9/30/2004 10,753 10,777
10/31/2004 10,922 10,942
11/30/2004 11,322 11,385
12/31/2004 11,705 11,772
1/31/2005 11,399 11,485
2/28/2005 11,620 11,727
3/31/2005 11,387 11,519
4/30/2005 11,191 11,301
5/31/2005 11,546 11,660
6/30/2005 11,558 11,677
7/31/2005 11,939 12,111
8/31/2005 11,853 12,001
9/30/2005 11,926 12,098
10/31/2005 11,679 11,896
11/30/2005 12,124 12,346
12/31/2005 12,125 12,350
1/31/2006 12,450 12,677
2/28/2006 12,450 12,712
3/31/2006 12,606 12,870
4/30/2006 12,757 13,043
5/31/2006 12,380 12,667
6/30/2006 12,393 12,685
7/31/2006 12,468 12,763
8/31/2006 12,757 13,067
9/30/2006 13,084 13,403
10/31/2006 13,499 13,840
11/30/2006 13,763 14,103
12/31/2006 13,947 14,301
1/31/2007 14,145 14,518
2/28/2007 13,868 14,234
3/31/2007 14,026 14,393
4/30/2007 14,633 15,030
5/31/2007 15,134 15,555
6/30/2007 14,870 15,296
7/31/2007 14,422 14,822
8/31/2007 14,620 15,044
9/30/2007 15,163 15,607
10/31/2007 15,407 15,855
11/30/2007 14,758 15,192
12/31/2007 14,653 15,087
1/31/2008 13,735 14,182
2/29/2008 13,290 13,721
3/31/2008 13,231 13,662
4/30/2008 13,853 14,327
5/31/2008 14,046 14,513
6/30/2008 12,853 13,290
7/31/2008 12,748 13,178
8/31/2008 12,943 13,369
9/30/2008 11,751 12,177
10/31/2008 9,747 10,132
11/30/2008 9,084 9,405
12/31/2008 9,191 9,505
1/31/2009 8,421 8,704
2/28/2009 7,500 7,777
3/31/2009 8,183 8,459
4/30/2009 8,990 9,268
5/31/2009 9,527 9,786
6/30/2009 9,561 9,806
7/31/2009 10,317 10,547
8/31/2009 10,720 10,928
9/30/2009 11,142 11,336
10/31/2009 10,939 11,126
11/30/2009 11,631 11,793
12/31/2009 11,831 12,021
1/31/2010 11,424 11,588
2/28/2010 11,797 11,947
3/31/2010 12,492 12,668
4/30/2010 12,696 12,868
5/31/2010 11,696 11,841
6/30/2010 11,094 11,221
7/31/2010 11,877 12,007
8/31/2010 11,350 11,465
9/30/2010 12,365 12,488
10/31/2010 12,842 12,963
11/30/2010 12,825 12,965
12/31/2010 13,684 13,831
1/31/2011 14,025 14,159
2/28/2011 14,487 14,644
3/31/2011 14,487 14,650
4/30/2011 14,948 15,084
5/31/2011 14,811 14,913
6/30/2011 14,555 14,665
7/31/2011 14,282 14,366
8/31/2011 13,496 13,586
9/30/2011 12,539 12,631
10/31/2011 13,923 14,011
11/30/2011 13,837 13,981
12/31/2011 13,992 14,124
1/31/2012 14,648 14,756
2/29/2012 15,287 15,395
3/31/2012 15,806 15,901
4/30/2012 15,719 15,801
5/31/2012 14,769 14,852
6/30/2012 15,389 15,464
7/31/2012 15,649 15,678
8/31/2012 16,013 16,032
9/30/2012 16,424 16,446
10/31/2012 16,129 16,142
11/30/2012 16,233 16,236
12/31/2012 16,365 16,384
1/31/2013 17,204 17,232
2/28/2013 17,448 17,466
3/31/2013 18,094 18,121
4/30/2013 18,444 18,470
5/31/2013 18,863 18,903
6/30/2013 18,574 18,649
7/31/2013 19,554 19,598 Past performance is not predictive of
8/31/2013 18,976 19,030 future performance.
9/30/2013 19,571 19,627
10/31/2013 20,482 20,529 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------------ The S&P data are provided by Standard
26.99% 16.01% 7.43% & Poor's Index Services Group.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. LARGE CAP EQUITY PORTFOLIO VS.
RUSSELL 1000(R) INDEX
JUNE 25, 2013-OCTOBER 31, 2013
[CHART]
U.S. Large Cap
Equity Portfolio Russell 1000/R/ Index
----------------- ---------------------
06/25/2013 $10,000 $10,000
06/30/2013 10,020 10,130
07/31/2013 10,550 10,672 Past performance is not predictive of
08/31/2013 10,270 10,378 future performance.
09/30/2013 10,630 10,740
10/31/2013 11,101 11,213 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
FROM
TOTAL RETURN 06/25/2013 Russell data copyright (C) Russell
------------------------------------- Investment Group 1995-2013, all rights
11.01% reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
U.S. Large Cap Value Portfolio Russell 1000/R/ Value Index
------------------------------ ---------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,222 10,136
12/31/2003 10,920 10,760
1/31/2004 11,104 10,950
2/29/2004 11,391 11,184
3/31/2004 11,345 11,086
4/30/2004 11,154 10,815
5/31/2004 11,217 10,925
6/30/2004 11,552 11,183
7/31/2004 11,175 11,026
8/31/2004 11,175 11,182
9/30/2004 11,520 11,356
10/31/2004 11,654 11,544
11/30/2004 12,417 12,128
12/31/2004 12,912 12,534
1/31/2005 12,590 12,311
2/28/2005 12,970 12,719
3/31/2005 12,936 12,545
4/30/2005 12,491 12,320
5/31/2005 13,026 12,617
6/30/2005 13,291 12,755
7/31/2005 13,951 13,124
8/31/2005 13,834 13,067
9/30/2005 14,048 13,250
10/31/2005 13,672 12,914
11/30/2005 14,217 13,336
12/31/2005 14,234 13,416
1/31/2006 14,909 13,937
2/28/2006 14,856 14,022
3/31/2006 15,117 14,212
4/30/2006 15,543 14,573
5/31/2006 15,255 14,205
6/30/2006 15,387 14,295
7/31/2006 15,164 14,643
8/31/2006 15,407 14,888
9/30/2006 15,833 15,185
10/31/2006 16,460 15,682
11/30/2006 16,771 16,040
12/31/2006 17,108 16,400
1/31/2007 17,602 16,610
2/28/2007 17,338 16,351
3/31/2007 17,452 16,603
4/30/2007 18,191 17,217
5/31/2007 18,938 17,838
6/30/2007 18,630 17,421
7/31/2007 17,473 16,616
8/31/2007 17,140 16,802
9/30/2007 17,583 17,379
10/31/2007 17,678 17,381
11/30/2007 16,688 16,531
12/31/2007 16,635 16,371
1/31/2008 15,997 15,716
2/29/2008 15,502 15,057
3/31/2008 15,357 14,944
4/30/2008 16,320 15,673
5/31/2008 16,709 15,648
6/30/2008 14,877 14,150
7/31/2008 14,711 14,099
8/31/2008 15,000 14,339
9/30/2008 13,651 13,285
10/31/2008 10,575 10,985
11/30/2008 9,538 10,198
12/31/2008 9,848 10,339
1/31/2009 8,680 9,150
2/28/2009 7,461 7,928
3/31/2009 8,195 8,606
4/30/2009 9,521 9,528
5/31/2009 10,251 10,117
6/30/2009 10,127 10,042
7/31/2009 11,081 10,864
8/31/2009 11,834 11,433
9/30/2009 12,350 11,874
10/31/2009 11,819 11,511
11/30/2009 12,484 12,160
12/31/2009 12,821 12,375
1/31/2010 12,520 12,027
2/28/2010 13,061 12,407
3/31/2010 14,080 13,214
4/30/2010 14,524 13,556
5/31/2010 13,281 12,442
6/30/2010 12,277 11,742
7/31/2010 13,237 12,536
8/31/2010 12,428 12,000
9/30/2010 13,646 12,931
10/31/2010 14,149 13,319
11/30/2010 14,042 13,248
12/31/2010 15,407 14,294
1/31/2011 15,905 14,617
2/28/2011 16,762 15,156
3/31/2011 16,839 15,217
4/30/2011 17,261 15,622
5/31/2011 17,015 15,457
6/30/2011 16,706 15,140
7/31/2011 15,943 14,638
8/31/2011 14,595 13,724
9/30/2011 13,120 12,687
10/31/2011 14,931 14,139
11/30/2011 14,807 14,066
12/31/2011 14,924 14,350
1/31/2012 15,664 14,893
2/29/2012 16,569 15,486
3/31/2012 16,872 15,945
4/30/2012 16,520 15,783
5/31/2012 15,347 14,857
6/30/2012 16,171 15,595
7/31/2012 16,328 15,756
8/31/2012 16,973 16,098
9/30/2012 17,592 16,609
10/31/2012 17,639 16,528
11/30/2012 17,679 16,521
12/31/2012 18,215 16,862
1/31/2013 19,479 17,958
2/28/2013 19,726 18,216
3/31/2013 20,674 18,937
4/30/2013 20,881 19,224
5/31/2013 21,743 19,717
6/30/2013 21,492 19,543
7/31/2013 22,782 20,599
8/31/2013 22,101 19,817 Past performance is not predictive of
9/30/2013 22,754 20,314 future performance.
10/31/2013 23,904 21,203
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
-------------------------------------------------------------- Investment Group 1995-2013, all
35.52% 17.72% 9.11% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- CLASS R1 VS.
RUSSELL 2000(R) VALUE INDEX
JANUARY 31, 2008-OCTOBER 31, 2013
[CHART]
U.S. Targeted
Value Portfolio - Class R1 Russell 2000/R/ Value Index
-------------------------- ---------------------------
1/31/2008 $10,000 $10,000
2/29/2008 9,750 9,603
3/31/2008 9,821 9,748
4/30/2008 10,152 10,056
5/31/2008 10,613 10,400
6/30/2008 9,538 9,402
7/31/2008 9,790 9,884
8/31/2008 10,233 10,353
9/30/2008 9,575 9,868
10/31/2008 7,504 7,897
11/30/2008 6,525 6,982
12/31/2008 6,946 7,412
1/31/2009 5,999 6,353
2/28/2009 5,204 5,471
3/31/2009 5,777 5,956
4/30/2009 6,902 6,901
5/31/2009 7,137 7,051
6/30/2009 7,107 7,028
7/31/2009 7,959 7,841
8/31/2009 8,379 8,212
9/30/2009 8,844 8,624
10/31/2009 8,207 8,051
11/30/2009 8,484 8,308
12/31/2009 9,150 8,937
1/31/2010 8,943 8,675
2/28/2010 9,449 9,077
3/31/2010 10,229 9,832
4/30/2010 10,973 10,520
5/31/2010 9,981 9,631
6/30/2010 9,031 8,790
7/31/2010 9,735 9,418
8/31/2010 8,948 8,710
9/30/2010 10,044 9,645
10/31/2010 10,417 10,019
11/30/2010 10,840 10,273
12/31/2010 11,805 11,127
1/31/2011 11,883 11,133
2/28/2011 12,550 11,698
3/31/2011 12,792 11,861
4/30/2011 12,998 12,053
5/31/2011 12,678 11,837
6/30/2011 12,397 11,546
7/31/2011 11,964 11,164
8/31/2011 10,763 10,178
9/30/2011 9,425 9,067
10/31/2011 10,905 10,373
11/30/2011 10,941 10,353
12/31/2011 11,049 10,515
1/31/2012 11,719 11,214
2/29/2012 12,144 11,380
3/31/2012 12,369 11,733
4/30/2012 12,168 11,564
5/31/2012 11,260 10,857
6/30/2012 11,715 11,380
7/31/2012 11,657 11,264
8/31/2012 12,192 11,612
9/30/2012 12,577 12,025
10/31/2012 12,505 11,874
11/30/2012 12,715 11,911
12/31/2012 13,155 12,413
1/31/2013 14,059 13,152
2/28/2013 14,291 13,303
3/31/2013 14,987 13,856
4/30/2013 14,840 13,843
5/31/2013 15,567 14,256
6/30/2013 15,460 14,199
7/31/2013 16,545 15,111 Past performance is not predictive of
8/31/2013 15,941 14,443 future performance.
9/30/2013 16,826 15,277
10/31/2013 17,555 15,773 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 01/31/2008 Russell data copyright (C) Russell
------------------------------------------------------------- Investment Group 1995-2013, all
40.39% 18.53% 10.29% rights reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- CLASS R2 VS.
RUSSELL 2000(R) VALUE INDEX
JUNE 30, 2008-OCTOBER 31, 2013
[CHART]
U.S. Targeted Value
Portfolio - Class R2 Russell 2000/R/ Value Index
------------------------ ---------------------------
06/30/2008 $10,000 $10,000
07/31/2008 10,260 10,513
08/31/2008 10,720 11,012
09/30/2008 10,038 10,496
10/31/2008 7,860 8,399
11/30/2008 6,836 7,426
12/31/2008 7,274 7,883
01/31/2009 6,272 6,757
02/28/2009 5,443 5,818
03/31/2009 6,038 6,335
04/30/2009 7,216 7,340
05/31/2009 7,459 7,499
06/30/2009 7,436 7,475
07/31/2009 8,321 8,340
08/31/2009 8,768 8,735
09/30/2009 9,248 9,173
10/31/2009 8,585 8,564
11/30/2009 8,871 8,836
12/31/2009 9,568 9,505
01/31/2010 9,343 9,227
02/28/2010 9,865 9,654
03/31/2010 10,685 10,458
04/30/2010 11,453 11,189
05/31/2010 10,419 10,244
06/30/2010 9,434 9,350
07/31/2010 10,161 10,017
08/31/2010 9,341 9,264
09/30/2010 10,484 10,258
10/31/2010 10,874 10,656
11/30/2010 11,306 10,927
12/31/2010 12,308 11,834
01/31/2011 12,396 11,841
02/28/2011 13,085 12,442
03/31/2011 13,336 12,615
04/30/2011 13,544 12,820
05/31/2011 13,211 12,590
06/30/2011 12,926 12,281
07/31/2011 12,466 11,875
08/31/2011 11,214 10,826
09/30/2011 9,820 9,644
10/31/2011 11,364 11,033
11/30/2011 11,401 11,011
12/31/2011 11,510 11,183
01/31/2012 12,209 11,927
02/29/2012 12,644 12,104
03/31/2012 12,877 12,480
04/30/2012 12,667 12,299
05/31/2012 11,721 11,548
06/30/2012 12,189 12,104
07/31/2012 12,129 11,981
08/31/2012 12,686 12,350
09/30/2012 13,082 12,790
10/31/2012 13,007 12,630
11/30/2012 13,225 12,668
12/31/2012 13,677 13,202
01/31/2013 14,611 13,989
02/28/2013 14,861 14,149
03/31/2013 15,577 14,738
04/30/2013 15,424 14,723
05/31/2013 16,181 15,163
06/30/2013 16,064 15,102
07/31/2013 17,185 16,072
08/31/2013 16,548 15,362
09/30/2013 17,472 16,248 Past performance is not predictive of
10/31/2013 18,223 16,777 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 06/30/2008 Russell data copyright (C) Russell
----------------------------------------------------------------- Investment Group 1995-2013, all
40.10% 18.32% 11.90% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
U.S. Targeted Value
Portfolio - Institutional Class Russell 2000/R/ Value Index
--------------------------------- ---------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,413 10,384
12/31/2003 10,967 10,760
01/31/2004 11,470 11,132
02/29/2004 11,649 11,348
03/31/2004 11,749 11,505
04/30/2004 11,354 10,910
05/31/2004 11,525 11,042
06/30/2004 12,179 11,603
07/31/2004 11,590 11,069
08/31/2004 11,513 11,178
09/30/2004 12,036 11,620
10/31/2004 12,144 11,800
11/30/2004 13,262 12,847
12/31/2004 13,674 13,154
01/31/2005 13,238 12,645
02/28/2005 13,605 12,897
03/31/2005 13,477 12,631
04/30/2005 12,564 11,979
05/31/2005 13,401 12,710
06/30/2005 13,927 13,272
07/31/2005 14,781 14,027
08/31/2005 14,550 13,705
09/30/2005 14,601 13,682
10/31/2005 14,215 13,339
11/30/2005 14,876 13,880
12/31/2005 14,939 13,773
01/31/2006 16,138 14,912
02/28/2006 15,968 14,911
03/31/2006 16,629 15,633
04/30/2006 16,847 15,675
05/31/2006 16,261 15,026
06/30/2006 16,353 15,211
07/31/2006 15,850 15,000
08/31/2006 16,210 15,448
09/30/2006 16,375 15,599
10/31/2006 17,184 16,393
11/30/2006 17,773 16,860
12/31/2006 17,882 17,007
01/31/2007 18,255 17,262
02/28/2007 18,161 17,050
03/31/2007 18,301 17,256
04/30/2007 18,674 17,435
05/31/2007 19,483 18,074
06/30/2007 19,226 17,653
07/31/2007 17,833 16,150
08/31/2007 17,781 16,474
09/30/2007 17,834 16,548
10/31/2007 17,876 16,729
11/30/2007 16,601 15,475
12/31/2007 16,417 15,344
01/31/2008 15,632 14,715
02/29/2008 15,234 14,130
03/31/2008 15,364 14,343
04/30/2008 15,870 14,797
05/31/2008 16,603 15,303
06/30/2008 14,924 13,835
07/31/2008 15,312 14,544
08/31/2008 16,004 15,235
09/30/2008 14,991 14,521
10/31/2008 11,741 11,620
11/30/2008 10,214 10,274
12/31/2008 10,871 10,906
01/31/2009 9,377 9,348
02/28/2009 8,145 8,050
03/31/2009 9,033 8,764
04/30/2009 10,794 10,155
05/31/2009 11,166 10,375
06/30/2009 11,128 10,342
07/31/2009 12,454 11,538
08/31/2009 13,123 12,084
09/30/2009 13,853 12,690
10/31/2009 12,853 11,847
11/30/2009 13,281 12,224
12/31/2009 14,336 13,150
01/31/2010 14,005 12,765
02/28/2010 14,788 13,357
03/31/2010 16,019 14,468
04/30/2010 17,176 15,480
05/31/2010 15,633 14,172
06/30/2010 14,148 12,935
07/31/2010 15,251 13,858
08/31/2010 14,015 12,816
09/30/2010 15,739 14,192
10/31/2010 16,325 14,742
11/30/2010 16,978 15,117
12/31/2010 18,495 16,373
01/31/2011 18,618 16,381
02/28/2011 19,674 17,213
03/31/2011 20,052 17,452
04/30/2011 20,364 17,736
05/31/2011 19,863 17,418
06/30/2011 19,436 16,990
07/31/2011 18,757 16,428
08/31/2011 16,875 14,977
09/30/2011 14,780 13,341
10/31/2011 17,102 15,264
11/30/2011 17,158 15,234
12/31/2011 17,332 15,472
01/31/2012 18,382 16,500
02/29/2012 19,049 16,746
03/31/2012 19,407 17,265
04/30/2012 19,091 17,015
05/31/2012 17,667 15,976
06/30/2012 18,385 16,746
07/31/2012 18,295 16,575
08/31/2012 19,134 17,086
09/30/2012 19,743 17,695
10/31/2012 19,629 17,473
11/30/2012 19,959 17,526
12/31/2012 20,657 18,265
01/31/2013 22,066 19,353
02/28/2013 22,443 19,574
03/31/2013 23,536 20,389
04/30/2013 23,305 20,369
05/31/2013 24,458 20,978
06/30/2013 24,284 20,893 Past performance is not predictive of
07/31/2013 25,988 22,236 future performance.
08/31/2013 25,026 21,252
09/30/2013 26,426 22,479 The returns shown do not reflect the
10/31/2013 27,560 23,210 deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
---------------------------------------------------------------- Investment Group 1995-2013, all
40.40% 18.61% 10.67% rights reserved.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. SMALL CAP VALUE PORTFOLIO VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
U.S. Small Cap Value
Portfolio Russell 2000/R/ Value Index
------------------------ ---------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,416 10,384
12/31/2003 10,972 10,760
01/31/2004 11,508 11,132
02/29/2004 11,671 11,348
03/31/2004 11,781 11,505
04/30/2004 11,408 10,910
05/31/2004 11,451 11,042
06/30/2004 12,217 11,603
07/31/2004 11,566 11,069
08/31/2004 11,393 11,178
09/30/2004 11,955 11,620
10/31/2004 12,070 11,800
11/30/2004 13,277 12,847
12/31/2004 13,758 13,154
01/31/2005 13,266 12,645
02/28/2005 13,625 12,897
03/31/2005 13,359 12,631
04/30/2005 12,386 11,979
05/31/2005 13,210 12,710
06/30/2005 13,762 13,272
07/31/2005 14,741 14,027
08/31/2005 14,495 13,705
09/30/2005 14,610 13,682
10/31/2005 14,183 13,339
11/30/2005 14,780 13,880
12/31/2005 14,829 13,773
01/31/2006 16,138 14,912
02/28/2006 16,082 14,911
03/31/2006 17,062 15,633
04/30/2006 17,230 15,675
05/31/2006 16,474 15,026
06/30/2006 16,482 15,211
07/31/2006 15,865 15,000
08/31/2006 16,173 15,448
09/30/2006 16,366 15,599
10/31/2006 17,255 16,393
11/30/2006 17,779 16,860
12/31/2006 18,025 17,007
01/31/2007 18,422 17,262
02/28/2007 18,379 17,050
03/31/2007 18,579 17,256
04/30/2007 18,914 17,435
05/31/2007 19,604 18,074
06/30/2007 19,301 17,653
07/31/2007 17,826 16,150
08/31/2007 17,691 16,474
09/30/2007 17,642 16,548
10/31/2007 17,839 16,729
11/30/2007 16,284 15,475
12/31/2007 16,088 15,344
01/31/2008 15,454 14,715
02/29/2008 15,015 14,130
03/31/2008 15,142 14,343
04/30/2008 15,393 14,797
05/31/2008 16,029 15,303
06/30/2008 14,410 13,835
07/31/2008 14,708 14,544
08/31/2008 15,319 15,235
09/30/2008 14,263 14,521
10/31/2008 11,106 11,620
11/30/2008 9,663 10,274
12/31/2008 10,170 10,906
01/31/2009 8,718 9,348
02/28/2009 7,610 8,050
03/31/2009 8,402 8,764
04/30/2009 10,053 10,155
05/31/2009 10,376 10,375
06/30/2009 10,413 10,342
07/31/2009 11,813 11,538
08/31/2009 12,420 12,084
09/30/2009 13,207 12,690
10/31/2009 12,212 11,847
11/30/2009 12,592 12,224
12/31/2009 13,589 13,150
01/31/2010 13,160 12,765
02/28/2010 13,970 13,357
03/31/2010 15,208 14,468
04/30/2010 16,441 15,480
05/31/2010 14,813 14,172
06/30/2010 13,310 12,935
07/31/2010 14,467 13,858
08/31/2010 13,255 12,816
09/30/2010 14,969 14,192
10/31/2010 15,593 14,742
11/30/2010 16,294 15,117
12/31/2010 17,789 16,373
01/31/2011 17,844 16,381
02/28/2011 18,964 17,213
03/31/2011 19,354 17,452
04/30/2011 19,598 17,736
05/31/2011 18,985 17,418
06/30/2011 18,642 16,990
07/31/2011 18,106 16,428
08/31/2011 16,191 14,977
09/30/2011 14,154 13,341
10/31/2011 16,394 15,264
11/30/2011 16,282 15,234
12/31/2011 16,446 15,472
01/31/2012 17,668 16,500
02/29/2012 18,229 16,746
03/31/2012 18,648 17,265
04/30/2012 18,350 17,015
05/31/2012 17,043 15,976
06/30/2012 17,790 16,746
07/31/2012 17,747 16,575
08/31/2012 18,495 17,086
09/30/2012 19,108 17,695
10/31/2012 18,951 17,473
11/30/2012 19,300 17,526
12/31/2012 20,019 18,265
01/31/2013 21,333 19,353
02/28/2013 21,707 19,574
03/31/2013 22,772 20,389
04/30/2013 22,520 20,369
05/31/2013 23,734 20,978
06/30/2013 23,568 20,893
07/31/2013 25,297 22,236
08/31/2013 24,241 21,252
09/30/2013 25,512 22,479 Past performance is not predictive of
10/31/2013 26,408 23,210 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
-------------------------------------------------------------- Investment Group 1995-2013, all rights
39.35% 18.92% 10.20% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. CORE EQUITY 1 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
SEPTEMBER 15, 2005-OCTOBER 31, 2013
[CHART]
U.S. Core Equity 1
Portfolio Russell 3000/R/ Index
---------------------- ---------------------
09/15/2005 $10,000 $10,000
09/30/2005 10,040 10,026
10/31/2005 9,820 9,838
11/30/2005 10,220 10,221
12/31/2005 10,224 10,229
01/31/2006 10,636 10,571
02/28/2006 10,656 10,590
03/31/2006 10,893 10,773
04/30/2006 11,024 10,890
05/31/2006 10,641 10,541
06/30/2006 10,644 10,560
07/31/2006 10,532 10,550
08/31/2006 10,785 10,808
09/30/2006 11,009 11,050
10/31/2006 11,414 11,448
11/30/2006 11,686 11,697
12/31/2006 11,828 11,837
01/31/2007 12,053 12,062
02/28/2007 11,920 11,864
03/31/2007 12,039 11,988
04/30/2007 12,489 12,467
05/31/2007 12,970 12,921
06/30/2007 12,760 12,679
07/31/2007 12,226 12,247
08/31/2007 12,349 12,423
09/30/2007 12,704 12,875
10/31/2007 12,899 13,112
11/30/2007 12,233 12,521
12/31/2007 12,159 12,446
01/31/2008 11,465 11,691
02/29/2008 11,123 11,328
03/31/2008 11,043 11,261
04/30/2008 11,594 11,824
05/31/2008 11,895 12,067
06/30/2008 10,877 11,071
07/31/2008 10,877 10,983
08/31/2008 11,117 11,153
09/30/2008 10,086 10,104
10/31/2008 8,214 8,312
11/30/2008 7,520 7,656
12/31/2008 7,718 7,802
01/31/2009 7,020 7,148
02/28/2009 6,269 6,399
03/31/2009 6,845 6,959
04/30/2009 7,674 7,692
05/31/2009 8,036 8,102
06/30/2009 8,072 8,130
07/31/2009 8,755 8,763
08/31/2009 9,076 9,076
09/30/2009 9,506 9,456
10/31/2009 9,170 9,213
11/30/2009 9,631 9,736
12/31/2009 10,020 10,014
01/31/2010 9,697 9,653
02/28/2010 10,074 9,980
03/31/2010 10,744 10,609
04/30/2010 11,078 10,838
05/31/2010 10,204 9,982
06/30/2010 9,546 9,408
07/31/2010 10,229 10,061
08/31/2010 9,677 9,587
09/30/2010 10,664 10,493
10/31/2010 11,077 10,903
11/30/2010 11,218 10,966
12/31/2010 12,035 11,709
01/31/2011 12,276 11,965
02/28/2011 12,768 12,400
03/31/2011 12,903 12,456
04/30/2011 13,254 12,827
05/31/2011 13,068 12,681
06/30/2011 12,826 12,453
07/31/2011 12,463 12,168
08/31/2011 11,594 11,438
09/30/2011 10,579 10,550
10/31/2011 11,904 11,764
11/30/2011 11,882 11,733
12/31/2011 11,959 11,829
01/31/2012 12,603 12,426
02/29/2012 13,148 12,952
03/31/2012 13,496 13,351
04/30/2012 13,363 13,264
05/31/2012 12,483 12,444
06/30/2012 12,945 12,931
07/31/2012 13,034 13,059
08/31/2012 13,415 13,385
09/30/2012 13,796 13,737
10/31/2012 13,605 13,500
11/30/2012 13,752 13,604
12/31/2012 13,981 13,771
01/31/2013 14,830 14,527
02/28/2013 15,012 14,719
03/31/2013 15,627 15,296
04/30/2013 15,797 15,546
05/31/2013 16,319 15,913
06/30/2013 16,154 15,707
07/31/2013 17,089 16,567
08/31/2013 16,610 16,105 Past performance is not predictive of
09/30/2013 17,294 16,704 future performance.
10/31/2013 18,003 17,413
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 09/15/2005 Russell data copyright (C) Russell
--------------------------------------------------------- Investment Group 1995-2013, all rights
32.32% 16.99% 7.50% reserved.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
SEPTEMBER 15, 2005-OCTOBER 31, 2013
[CHART]
U.S. Core
Equity 2 Portfolio Russell 3000/R/ Index
------------------------ -------------------------
09/15/2005 $10,000 $10,000
09/30/2005 10,050 10,026
10/31/2005 9,830 9,838
11/30/2005 10,240 10,221
12/31/2005 10,247 10,229
01/31/2006 10,739 10,571
02/28/2006 10,759 10,590
03/31/2006 11,016 10,773
04/30/2006 11,177 10,890
05/31/2006 10,774 10,541
06/30/2006 10,766 10,560
07/31/2006 10,645 10,550
08/31/2006 10,887 10,808
09/30/2006 11,110 11,050
10/31/2006 11,535 11,448
11/30/2006 11,827 11,697
12/31/2006 11,988 11,837
01/31/2007 12,212 12,062
02/28/2007 12,090 11,864
03/31/2007 12,218 11,988
04/30/2007 12,637 12,467
05/31/2007 13,148 12,921
06/30/2007 12,936 12,679
07/31/2007 12,331 12,247
08/31/2007 12,444 12,423
09/30/2007 12,757 12,875
10/31/2007 12,890 13,112
11/30/2007 12,155 12,521
12/31/2007 12,049 12,446
01/31/2008 11,428 11,691
02/29/2008 11,066 11,328
03/31/2008 10,955 11,261
04/30/2008 11,505 11,824
05/31/2008 11,826 12,067
06/30/2008 10,757 11,071
07/31/2008 10,788 10,983
08/31/2008 11,028 11,153
09/30/2008 10,032 10,104
10/31/2008 8,124 8,312
11/30/2008 7,388 7,656
12/31/2008 7,607 7,802
01/31/2009 6,815 7,148
02/28/2009 6,022 6,399
03/31/2009 6,615 6,959
04/30/2009 7,539 7,692
05/31/2009 7,900 8,102
06/30/2009 7,889 8,130
07/31/2009 8,603 8,763
08/31/2009 8,955 9,076
09/30/2009 9,402 9,456
10/31/2009 8,990 9,213
11/30/2009 9,397 9,736
12/31/2009 9,825 10,014
01/31/2010 9,524 9,653
02/28/2010 9,922 9,980
03/31/2010 10,631 10,609
04/30/2010 11,018 10,838
05/31/2010 10,146 9,982
06/30/2010 9,432 9,408
07/31/2010 10,124 10,061
08/31/2010 9,519 9,587
09/30/2010 10,524 10,493
10/31/2010 10,915 10,903
11/30/2010 11,089 10,966
12/31/2010 11,968 11,709
01/31/2011 12,197 11,965
02/28/2011 12,743 12,400
03/31/2011 12,897 12,456
04/30/2011 13,192 12,827
05/31/2011 12,984 12,681
06/30/2011 12,729 12,453
07/31/2011 12,302 12,168
08/31/2011 11,370 11,438
09/30/2011 10,290 10,550
10/31/2011 11,677 11,764
11/30/2011 11,633 11,733
12/31/2011 11,718 11,829
01/31/2012 12,371 12,426
02/29/2012 12,902 12,952
03/31/2012 13,213 13,351
04/30/2012 13,080 13,264
05/31/2012 12,182 12,444
06/30/2012 12,663 12,931
07/31/2012 12,730 13,059
08/31/2012 13,131 13,385
09/30/2012 13,530 13,737
10/31/2012 13,407 13,500
11/30/2012 13,530 13,604
12/31/2012 13,836 13,771
01/31/2013 14,711 14,527
02/28/2013 14,892 14,719
03/31/2013 15,517 15,296
04/30/2013 15,631 15,546
05/31/2013 16,223 15,913
06/30/2013 16,069 15,707
07/31/2013 17,040 16,567
08/31/2013 16,514 16,105 Past performance is not predictive of
09/30/2013 17,220 16,704 future performance.
10/31/2013 17,920 17,413
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 09/15/2005 Russell data copyright (C) Russell
------------------------------------------------------------- Investment Group 1995-2013, all
33.66% 17.14% 7.44% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. VECTOR EQUITY PORTFOLIO VS.
RUSSELL 3000(R) INDEX
DECEMBER 30, 2005-OCTOBER 31, 2013
[CHART]
U.S. Vector Equity
Portfolio Russell 2500/R/ Index Russell 3000/R/ Index
------------------ --------------------- ---------------------
12/30/2005 $10,000 $10,000 $10,000
12/31/2005 10,000 10,000 10,000
01/31/2006 10,810 10,707 10,334
02/28/2006 10,800 10,698 10,352
03/31/2006 11,196 11,114 10,531
04/30/2006 11,316 11,153 10,646
05/31/2006 10,865 10,626 10,305
06/30/2006 10,845 10,632 10,323
07/31/2006 10,624 10,297 10,313
08/31/2006 10,865 10,558 10,566
09/30/2006 11,050 10,687 10,802
10/31/2006 11,533 11,200 11,191
11/30/2006 11,865 11,566 11,435
12/31/2006 12,001 11,616 11,572
01/31/2007 12,237 11,930 11,792
02/28/2007 12,155 11,913 11,598
03/31/2007 12,268 12,029 11,719
04/30/2007 12,628 12,339 12,187
05/31/2007 13,152 12,855 12,631
06/30/2007 12,951 12,624 12,395
07/31/2007 12,220 11,899 11,972
08/31/2007 12,281 12,025 12,144
09/30/2007 12,496 12,308 12,587
10/31/2007 12,579 12,624 12,818
11/30/2007 11,762 11,850 12,241
12/31/2007 11,632 11,777 12,166
01/31/2008 11,081 11,057 11,429
02/29/2008 10,707 10,754 11,074
03/31/2008 10,663 10,674 11,009
04/30/2008 11,142 11,249 11,559
05/31/2008 11,517 11,783 11,796
06/30/2008 10,417 10,822 10,823
07/31/2008 10,500 10,897 10,736
08/31/2008 10,803 11,209 10,903
09/30/2008 9,892 10,095 9,878
10/31/2008 7,847 7,920 8,126
11/30/2008 6,987 7,061 7,484
12/31/2008 7,307 7,445 7,627
01/31/2009 6,417 6,775 6,987
02/28/2009 5,612 6,042 6,255
03/31/2009 6,178 6,594 6,803
04/30/2009 7,178 7,610 7,519
05/31/2009 7,486 7,842 7,921
06/30/2009 7,490 7,930 7,947
07/31/2009 8,258 8,646 8,566
08/31/2009 8,642 8,999 8,872
09/30/2009 9,093 9,521 9,244
10/31/2009 8,590 8,970 9,006
11/30/2009 8,911 9,332 9,518
12/31/2009 9,442 10,005 9,789
01/31/2010 9,173 9,670 9,436
02/28/2010 9,625 10,151 9,756
03/31/2010 10,347 10,926 10,371
04/30/2010 10,874 11,444 10,595
05/31/2010 10,003 10,592 9,758
06/30/2010 9,227 9,836 9,197
07/31/2010 9,906 10,528 9,835
08/31/2010 9,227 9,904 9,372
09/30/2010 10,243 11,037 10,257
10/31/2010 10,621 11,460 10,658
11/30/2010 10,881 11,783 10,720
12/31/2010 11,813 12,677 11,446
01/31/2011 11,976 12,847 11,696
02/28/2011 12,585 13,474 12,122
03/31/2011 12,794 13,780 12,177
04/30/2011 13,055 14,178 12,539
05/31/2011 12,805 14,008 12,396
06/30/2011 12,530 13,699 12,174
07/31/2011 12,072 13,178 11,895
08/31/2011 11,014 12,099 11,181
09/30/2011 9,822 10,792 10,314
10/31/2011 11,244 12,374 11,501
11/30/2011 11,189 12,331 11,470
12/31/2011 11,274 12,359 11,564
01/31/2012 11,967 13,180 12,147
02/29/2012 12,462 13,669 12,661
03/31/2012 12,762 13,964 13,052
04/30/2012 12,575 13,862 12,966
05/31/2012 11,661 12,915 12,165
06/30/2012 12,122 13,385 12,641
07/31/2012 12,099 13,294 12,766
08/31/2012 12,542 13,771 13,085
09/30/2012 12,947 14,130 13,429
10/31/2012 12,880 13,982 13,197
11/30/2012 13,035 14,197 13,299
12/31/2012 13,413 14,568 13,462
01/31/2013 14,342 15,564 14,201
02/28/2013 14,499 15,743 14,389
03/31/2013 15,148 16,440 14,953
04/30/2013 15,136 16,491 15,198
05/31/2013 15,798 17,000 15,556
06/30/2013 15,667 16,814 15,354
07/31/2013 16,679 17,912 16,196
08/31/2013 16,139 17,346 15,744
09/30/2013 16,932 18,340 16,329
10/31/2013 17,620 18,933 17,023
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/30/2005 Russell data copyright (C) Russell
----------------------------------------------------------------- Investment Group 1995-2013, all
36.80% 17.56% 7.50% rights reserved.
--------------------------------------------------------------------------------
6
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
U.S. Small Cap Portfolio Russell 2000/R/ Index
---------------------------- ----------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,364 10,355
12/31/2003 10,606 10,565
1/31/2004 11,079 11,024
2/29/2004 11,173 11,123
3/31/2004 11,230 11,226
4/30/2004 10,770 10,654
5/31/2004 10,883 10,823
6/30/2004 11,359 11,279
7/31/2004 10,545 10,520
8/31/2004 10,394 10,466
9/30/2004 10,902 10,957
10/31/2004 11,110 11,173
11/30/2004 12,083 12,142
12/31/2004 12,502 12,501
1/31/2005 12,010 11,980
2/28/2005 12,221 12,182
3/31/2005 11,868 11,834
4/30/2005 11,127 11,156
5/31/2005 11,894 11,886
6/30/2005 12,343 12,344
7/31/2005 13,187 13,126
8/31/2005 13,001 12,883
9/30/2005 13,084 12,923
10/31/2005 12,681 12,522
11/30/2005 13,296 13,130
12/31/2005 13,262 13,070
1/31/2006 14,467 14,242
2/28/2006 14,440 14,203
3/31/2006 15,102 14,892
4/30/2006 15,136 14,889
5/31/2006 14,312 14,053
6/30/2006 14,228 14,144
7/31/2006 13,682 13,683
8/31/2006 14,064 14,089
9/30/2006 14,180 14,206
10/31/2006 14,980 15,024
11/30/2006 15,356 15,419
12/31/2006 15,465 15,471
1/31/2007 15,697 15,729
2/28/2007 15,617 15,605
3/31/2007 15,781 15,772
4/30/2007 16,070 16,055
5/31/2007 16,678 16,713
6/30/2007 16,496 16,469
7/31/2007 15,502 15,343
8/31/2007 15,720 15,690
9/30/2007 15,918 15,960
10/31/2007 16,231 16,417
11/30/2007 15,023 15,239
12/31/2007 14,992 15,229
1/31/2008 13,955 14,191
2/29/2008 13,506 13,665
3/31/2008 13,555 13,722
4/30/2008 13,982 14,296
5/31/2008 14,649 14,953
6/30/2008 13,338 13,802
7/31/2008 13,758 14,313
8/31/2008 14,255 14,829
9/30/2008 13,116 13,648
10/31/2008 10,416 10,809
11/30/2008 9,144 9,530
12/31/2008 9,594 10,083
1/31/2009 8,532 8,962
2/28/2009 7,502 7,873
3/31/2009 8,274 8,576
4/30/2009 9,811 9,901
5/31/2009 10,158 10,200
6/30/2009 10,421 10,349
7/31/2009 11,503 11,346
8/31/2009 11,914 11,672
9/30/2009 12,657 12,345
10/31/2009 11,779 11,507
11/30/2009 12,079 11,868
12/31/2009 13,080 12,823
1/31/2010 12,683 12,351
2/28/2010 13,302 12,907
3/31/2010 14,392 13,958
4/30/2010 15,369 14,748
5/31/2010 14,170 13,629
6/30/2010 13,037 12,573
7/31/2010 13,976 13,437
8/31/2010 12,910 12,442
9/30/2010 14,595 13,992
10/31/2010 15,193 14,565
11/30/2010 15,831 15,070
12/31/2010 17,096 16,267
1/31/2011 17,112 16,225
2/28/2011 18,073 17,115
3/31/2011 18,590 17,558
4/30/2011 19,030 18,022
5/31/2011 18,646 17,684
6/30/2011 18,348 17,276
7/31/2011 17,706 16,652
8/31/2011 16,118 15,203
9/30/2011 14,328 13,499
10/31/2011 16,523 15,542
11/30/2011 16,467 15,485
12/31/2011 16,558 15,587
1/31/2012 17,671 16,689
2/29/2012 18,180 17,088
3/31/2012 18,654 17,526
4/30/2012 18,396 17,255
5/31/2012 17,201 16,113
6/30/2012 17,928 16,917
7/31/2012 17,782 16,683
8/31/2012 18,406 17,240
9/30/2012 19,006 17,806
10/31/2012 18,771 17,420
11/30/2012 18,990 17,512
12/31/2012 19,603 18,136
1/31/2013 20,831 19,271
2/28/2013 21,039 19,484
3/31/2013 22,055 20,383
4/30/2013 21,873 20,309
5/31/2013 22,997 21,120
6/30/2013 22,972 21,012
7/31/2013 24,628 22,483 Past performance is not predictive of
8/31/2013 23,795 21,769 future performance.
9/30/2013 25,271 23,157
10/31/2013 26,097 23,740 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
------------------------------------------------------------ Investment Group 1995-2013, all
39.03% 20.16% 10.07% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. MICRO CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
U.S. Micro Cap Portfolio Russell 2000/R/ Index
---------------------------- --------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,430 10,355
12/31/2003 10,719 10,565
1/31/2004 11,338 11,024
2/29/2004 11,395 11,123
3/31/2004 11,411 11,226
4/30/2004 10,944 10,654
5/31/2004 10,944 10,823
6/30/2004 11,427 11,279
7/31/2004 10,573 10,520
8/31/2004 10,412 10,466
9/30/2004 10,934 10,957
10/31/2004 11,135 11,173
11/30/2004 12,134 12,142
12/31/2004 12,690 12,501
1/31/2005 12,169 11,980
2/28/2005 12,270 12,182
3/31/2005 11,874 11,834
4/30/2005 11,135 11,156
5/31/2005 11,807 11,886
6/30/2005 12,340 12,344
7/31/2005 13,282 13,126
8/31/2005 13,097 12,883
9/30/2005 13,177 12,923
10/31/2005 12,807 12,522
11/30/2005 13,387 13,130
12/31/2005 13,411 13,070
1/31/2006 14,637 14,242
2/28/2006 14,673 14,203
3/31/2006 15,341 14,892
4/30/2006 15,277 14,889
5/31/2006 14,378 14,053
6/30/2006 14,250 14,144
7/31/2006 13,759 13,683
8/31/2006 14,141 14,089
9/30/2006 14,220 14,206
10/31/2006 14,994 15,024
11/30/2006 15,331 15,419
12/31/2006 15,579 15,471
1/31/2007 15,757 15,729
2/28/2007 15,678 15,605
3/31/2007 15,838 15,772
4/30/2007 16,076 16,055
5/31/2007 16,583 16,713
6/30/2007 16,527 16,469
7/31/2007 15,452 15,343
8/31/2007 15,631 15,690
9/30/2007 15,862 15,960
10/31/2007 16,131 16,417
11/30/2007 14,774 15,239
12/31/2007 14,765 15,229
1/31/2008 13,636 14,191
2/29/2008 13,209 13,665
3/31/2008 13,249 13,722
4/30/2008 13,524 14,296
5/31/2008 14,062 14,953
6/30/2008 12,789 13,802
7/31/2008 13,361 14,313
8/31/2008 13,813 14,829
9/30/2008 12,795 13,648
10/31/2008 10,146 10,809
11/30/2008 8,843 9,530
12/31/2008 9,343 10,083
1/31/2009 8,230 8,962
2/28/2009 7,151 7,873
3/31/2009 7,836 8,576
4/30/2009 9,198 9,901
5/31/2009 9,513 10,200
6/30/2009 9,776 10,349
7/31/2009 10,736 11,346
8/31/2009 11,029 11,672
9/30/2009 11,664 12,345
10/31/2009 10,816 11,507
11/30/2009 11,009 11,868
12/31/2009 11,965 12,823
1/31/2010 11,614 12,351
2/28/2010 12,124 12,907
3/31/2010 13,104 13,958
4/30/2010 14,056 14,748
5/31/2010 13,013 13,629
6/30/2010 12,071 12,573
7/31/2010 12,933 13,437
8/31/2010 11,901 12,442
9/30/2010 13,348 13,992
10/31/2010 13,928 14,565
11/30/2010 14,519 15,070
12/31/2010 15,709 16,267
1/31/2011 15,537 16,225
2/28/2011 16,450 17,115
3/31/2011 16,984 17,558
4/30/2011 17,270 18,022
5/31/2011 16,939 17,684
6/30/2011 16,573 17,276
7/31/2011 16,128 16,652
8/31/2011 14,687 15,203
9/30/2011 13,134 13,499
10/31/2011 15,160 15,542
11/30/2011 15,069 15,485
12/31/2011 15,198 15,587
1/31/2012 16,255 16,689
2/29/2012 16,566 17,088
3/31/2012 17,060 17,526
4/30/2012 16,819 17,255
5/31/2012 15,646 16,113
6/30/2012 16,447 16,917
7/31/2012 16,297 16,683
8/31/2012 16,805 17,240
9/30/2012 17,510 17,806
10/31/2012 17,151 17,420
11/30/2012 17,313 17,512
12/31/2012 17,970 18,136
1/31/2013 18,992 19,271
2/28/2013 19,201 19,484
3/31/2013 20,137 20,383
4/30/2013 19,977 20,309
5/31/2013 21,011 21,120
6/30/2013 21,106 21,012
7/31/2013 22,671 22,483 Past performance is not predictive of
8/31/2013 21,883 21,769 future performance.
9/30/2013 23,426 23,157
10/31/2013 24,241 23,740 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
--------------------------------------------------------- Investment Group 1995-2013, all
41.34% 19.03% 9.26% rights reserved.
--------------------------------------------------------------------------------
7
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA REAL ESTATE SECURITIES PORTFOLIO VS.
S&P 500(R) INDEX, DOW JONES U.S. SELECT REIT INDEX/SM/
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
DFA Real Estate Dow Jones U.S. Select
Securities Portfolio S&P 500/R/ Index REIT Index/SM/
------------------------ ---------------- -----------------------
10/31/2003 $10,000 $10,000 $10,000
11/30/2003 10,450 10,088 10,441
12/31/2003 10,756 10,617 10,754
1/31/2004 11,198 10,812 11,184
2/29/2004 11,396 10,962 11,370
3/31/2004 12,048 10,797 12,054
4/30/2004 10,319 10,627 10,289
5/31/2004 11,064 10,773 11,070
6/30/2004 11,384 10,982 11,401
7/31/2004 11,431 10,619 11,458
8/31/2004 12,340 10,662 12,405
9/30/2004 12,299 10,777 12,345
10/31/2004 12,963 10,942 13,033
11/30/2004 13,527 11,385 13,614
12/31/2004 14,205 11,772 14,320
1/31/2005 13,015 11,485 13,057
2/28/2005 13,424 11,727 13,478
3/31/2005 13,220 11,519 13,274
4/30/2005 13,970 11,301 14,071
5/31/2005 14,428 11,660 14,537
6/30/2005 15,165 11,677 15,295
7/31/2005 16,268 12,111 16,461
8/31/2005 15,661 12,001 15,829
9/30/2005 15,734 12,098 15,898
10/31/2005 15,378 11,896 15,560
11/30/2005 16,071 12,346 16,283
12/31/2005 16,073 12,350 16,299
1/31/2006 17,308 12,677 17,576
2/28/2006 17,635 12,712 17,953
3/31/2006 18,548 12,870 18,872
4/30/2006 17,848 13,043 18,158
5/31/2006 17,314 12,667 17,655
6/30/2006 18,271 12,685 18,660
7/31/2006 18,898 12,763 19,322
8/31/2006 19,564 13,067 19,971
9/30/2006 19,955 13,403 20,360
10/31/2006 21,206 13,840 21,643
11/30/2006 22,214 14,103 22,676
12/31/2006 21,741 14,301 22,162
1/31/2007 23,624 14,518 24,136
2/28/2007 23,073 14,234 23,596
3/31/2007 22,500 14,393 22,991
4/30/2007 22,480 15,030 22,982
5/31/2007 22,480 15,555 22,997
6/30/2007 20,371 15,296 20,838
7/31/2007 18,767 14,822 19,203
8/31/2007 19,903 15,044 20,338
9/30/2007 20,681 15,607 21,134
10/31/2007 20,915 15,855 21,376
11/30/2007 18,781 15,192 19,298
12/31/2007 17,681 15,087 18,272
1/31/2008 17,689 14,182 18,184
2/29/2008 17,017 13,721 17,499
3/31/2008 18,087 13,662 18,662
4/30/2008 19,154 14,327 19,813
5/31/2008 19,192 14,513 19,857
6/30/2008 17,085 13,290 17,657
7/31/2008 17,580 13,178 18,167
8/31/2008 18,014 13,369 18,579
9/30/2008 17,976 12,177 18,501
10/31/2008 12,309 10,132 12,510
11/30/2008 9,460 9,405 9,438
12/31/2008 11,075 9,505 11,109
1/31/2009 9,109 8,704 9,101
2/28/2009 7,199 7,777 7,112
3/31/2009 7,454 8,459 7,341
4/30/2009 9,787 9,268 9,749
5/31/2009 10,042 9,786 10,000
6/30/2009 9,731 9,806 9,650
7/31/2009 10,752 10,547 10,655
8/31/2009 12,206 10,928 12,215
9/30/2009 13,023 11,336 13,070
10/31/2009 12,430 11,126 12,478
11/30/2009 13,283 11,793 13,336
12/31/2009 14,195 12,021 14,270
1/31/2010 13,454 11,588 13,454
2/28/2010 14,195 11,947 14,218
3/31/2010 15,638 12,668 15,671
4/30/2010 16,738 12,868 16,779
5/31/2010 15,845 11,841 15,875
6/30/2010 15,024 11,221 15,024
7/31/2010 16,507 12,007 16,509
8/31/2010 16,299 11,465 16,288
9/30/2010 17,005 12,488 17,010
10/31/2010 17,801 12,963 17,796
11/30/2010 17,449 12,965 17,450
12/31/2010 18,265 13,831 18,277
1/31/2011 18,909 14,159 18,926
2/28/2011 19,764 14,644 19,790
3/31/2011 19,468 14,650 19,500
4/30/2011 20,595 15,084 20,657
5/31/2011 20,874 14,913 20,977
6/30/2011 20,187 14,665 20,274
7/31/2011 20,518 14,366 20,643
8/31/2011 19,415 13,586 19,512
9/30/2011 17,282 12,631 17,327
10/31/2011 19,774 14,011 19,873
11/30/2011 19,026 13,981 19,091
12/31/2011 19,900 14,124 19,989
1/31/2012 21,158 14,756 21,274
2/29/2012 20,934 15,395 21,037
3/31/2012 22,011 15,901 22,139
4/30/2012 22,640 15,801 22,804
5/31/2012 21,606 14,852 21,764
6/30/2012 22,825 15,464 22,968
7/31/2012 23,275 15,678 23,405
8/31/2012 23,240 16,032 23,342
9/30/2012 22,807 16,446 22,882
10/31/2012 22,631 16,142 22,673
11/30/2012 22,553 16,236 22,560
12/31/2012 23,379 16,384 23,411
1/31/2013 24,204 17,232 24,206
2/28/2013 24,471 17,466 24,408
3/31/2013 25,145 18,121 25,058
4/30/2013 26,843 18,470 26,782
5/31/2013 25,243 18,903 25,178
6/30/2013 24,771 18,649 24,735
7/31/2013 24,986 19,598 24,925 Past performance is not predictive of
8/31/2013 23,227 19,030 23,216 future performance.
9/30/2013 23,951 19,627 23,957
10/31/2013 24,958 20,529 24,932 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS The Dow Jones data are provided by S&P
---------------------------------------------------------------- Dow Jones Indices, LLC a part of McGraw
10.28% 15.18% 9.58% Hill Financial.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
Large Cap International MSCI World ex USA
Portfolio Index (net dividends)
-------------------------- --------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,216 10,227
12/31/2003 10,973 11,011
1/31/2004 11,114 11,164
2/29/2004 11,363 11,421
3/31/2004 11,448 11,478
4/30/2004 11,093 11,178
5/31/2004 11,178 11,230
6/30/2004 11,489 11,489
7/31/2004 11,059 11,139
8/31/2004 11,130 11,185
9/30/2004 11,349 11,511
10/31/2004 11,731 11,925
11/30/2004 12,473 12,718
12/31/2004 13,037 13,255
1/31/2005 12,804 12,994
2/28/2005 13,298 13,572
3/31/2005 12,985 13,264
4/30/2005 12,723 12,926
5/31/2005 12,643 12,950
6/30/2005 12,825 13,161
7/31/2005 13,216 13,586
8/31/2005 13,702 13,961
9/30/2005 14,156 14,599
10/31/2005 13,845 14,127
11/30/2005 14,060 14,501
12/31/2005 14,794 15,173
1/31/2006 15,658 16,133
2/28/2006 15,553 16,079
3/31/2006 16,127 16,589
4/30/2006 16,910 17,382
5/31/2006 16,298 16,722
6/30/2006 16,234 16,700
7/31/2006 16,408 16,857
8/31/2006 16,839 17,336
9/30/2006 16,832 17,322
10/31/2006 17,478 18,006
11/30/2006 17,996 18,543
12/31/2006 18,471 19,074
1/31/2007 18,708 19,191
2/28/2007 18,761 19,344
3/31/2007 19,280 19,840
4/30/2007 19,961 20,742
5/31/2007 20,581 21,203
6/30/2007 20,543 21,224
7/31/2007 20,155 20,931
8/31/2007 20,015 20,628
9/30/2007 21,114 21,800
10/31/2007 22,056 22,748
11/30/2007 21,269 21,858
12/31/2007 20,773 21,447
1/31/2008 19,199 19,513
2/29/2008 19,183 19,867
3/31/2008 19,116 19,583
4/30/2008 20,127 20,672
5/31/2008 20,549 20,986
6/30/2008 18,913 19,354
7/31/2008 18,224 18,665
8/31/2008 17,447 17,943
9/30/2008 15,325 15,353
10/31/2008 12,094 12,159
11/30/2008 11,367 11,500
12/31/2008 12,164 12,106
1/31/2009 10,798 10,976
2/28/2009 9,711 9,865
3/31/2009 10,458 10,515
4/30/2009 11,648 11,871
5/31/2009 13,275 13,373
6/30/2009 13,091 13,234
7/31/2009 14,348 14,477
8/31/2009 14,910 15,170
9/30/2009 15,545 15,796
10/31/2009 15,141 15,543
11/30/2009 15,704 15,927
12/31/2009 15,891 16,181
1/31/2010 15,069 15,423
2/28/2010 15,170 15,407
3/31/2010 16,126 16,399
4/30/2010 15,812 16,155
5/31/2010 14,088 14,372
6/30/2010 13,859 14,164
7/31/2010 15,290 15,473
8/31/2010 14,764 15,011
9/30/2010 16,217 16,451
10/31/2010 16,806 17,037
11/30/2010 16,070 16,315
12/31/2010 17,361 17,629
1/31/2011 17,753 18,009
2/28/2011 18,451 18,676
3/31/2011 18,028 18,302
4/30/2011 19,060 19,299
5/31/2011 18,518 18,727
6/30/2011 18,255 18,460
7/31/2011 17,883 18,156
8/31/2011 16,383 16,621
9/30/2011 14,579 14,952
10/31/2011 15,990 16,406
11/30/2011 15,588 15,648
12/31/2011 15,229 15,477
1/31/2012 16,149 16,312
2/29/2012 16,933 17,209
3/31/2012 16,903 17,082
4/30/2012 16,578 16,792
5/31/2012 14,743 14,878
6/30/2012 15,719 15,852
7/31/2012 15,765 16,050
8/31/2012 16,299 16,508
9/30/2012 16,784 17,009
10/31/2012 16,932 17,128
11/30/2012 17,274 17,488
12/31/2012 17,932 18,017
1/31/2013 18,659 18,903
2/28/2013 18,408 18,715
3/31/2013 18,658 18,863
4/30/2013 19,461 19,722
5/31/2013 18,948 19,281
6/30/2013 18,392 18,558
7/31/2013 19,406 19,546
8/31/2013 19,122 19,294
9/30/2013 20,472 20,657
10/31/2013 21,139 21,350 Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------- MSCI data copyright MSCI 2013, all
24.85% 11.82% 7.77% rights reserved.
--------------------------------------------------------------------------------
8
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
INTERNATIONAL CORE EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
SEPTEMBER 15, 2005-OCTOBER 31, 2013
[CHART]
International Core MSCI World ex USA
Equity Portfolio Index (net dividends)
------------------------ ---------------------
9/15/2005 $10,000 $10,000
9/30/2005 10,100 10,171
10/31/2005 9,860 9,842
11/30/2005 10,070 10,103
12/31/2005 10,636 10,571
1/31/2006 11,329 11,240
2/28/2006 11,339 11,202
3/31/2006 11,781 11,557
4/30/2006 12,343 12,110
5/31/2006 11,841 11,650
6/30/2006 11,703 11,635
7/31/2006 11,763 11,744
8/31/2006 12,108 12,078
9/30/2006 12,173 12,068
10/31/2006 12,652 12,545
11/30/2006 13,097 12,919
12/31/2006 13,502 13,289
1/31/2007 13,749 13,370
2/28/2007 13,821 13,477
3/31/2007 14,258 13,822
4/30/2007 14,792 14,451
5/31/2007 15,203 14,772
6/30/2007 15,112 14,787
7/31/2007 14,852 14,583
8/31/2007 14,571 14,372
9/30/2007 15,193 15,188
10/31/2007 15,913 15,848
11/30/2007 15,040 15,228
12/31/2007 14,649 14,942
1/31/2008 13,545 13,595
2/29/2008 13,566 13,841
3/31/2008 13,629 13,644
4/30/2008 14,192 14,402
5/31/2008 14,426 14,621
6/30/2008 13,086 13,484
7/31/2008 12,567 13,004
8/31/2008 12,091 12,501
9/30/2008 10,548 10,696
10/31/2008 8,158 8,471
11/30/2008 7,666 8,012
12/31/2008 8,202 8,434
1/31/2009 7,312 7,647
2/28/2009 6,544 6,873
3/31/2009 7,095 7,326
4/30/2009 8,164 8,271
5/31/2009 9,398 9,317
6/30/2009 9,319 9,220
7/31/2009 10,246 10,086
8/31/2009 10,815 10,569
9/30/2009 11,340 11,005
10/31/2009 10,997 10,829
11/30/2009 11,289 11,097
12/31/2009 11,424 11,273
1/31/2010 10,940 10,745
2/28/2010 10,951 10,734
3/31/2010 11,769 11,425
4/30/2010 11,712 11,255
5/31/2010 10,336 10,013
6/30/2010 10,163 9,868
7/31/2010 11,238 10,780
8/31/2010 10,781 10,458
9/30/2010 11,933 11,461
10/31/2010 12,369 11,869
11/30/2010 11,876 11,367
12/31/2010 13,013 12,282
1/31/2011 13,349 12,547
2/28/2011 13,799 13,012
3/31/2011 13,557 12,751
4/30/2011 14,287 13,446
5/31/2011 13,847 13,047
6/30/2011 13,602 12,861
7/31/2011 13,297 12,649
8/31/2011 12,122 11,580
9/30/2011 10,709 10,417
10/31/2011 11,690 11,430
11/30/2011 11,336 10,902
12/31/2011 11,047 10,783
1/31/2012 11,858 11,365
2/29/2012 12,466 11,990
3/31/2012 12,465 11,901
4/30/2012 12,190 11,699
5/31/2012 10,732 10,365
6/30/2012 11,390 11,044
7/31/2012 11,378 11,182
8/31/2012 11,779 11,501
9/30/2012 12,197 11,850
10/31/2012 12,332 11,933
11/30/2012 12,539 12,184
12/31/2012 13,117 12,552
1/31/2013 13,683 13,170
2/28/2013 13,535 13,039
3/31/2013 13,699 13,142
4/30/2013 14,228 13,741
5/31/2013 13,908 13,433
6/30/2013 13,483 12,930
7/31/2013 14,321 13,617
8/31/2013 14,171 13,442
9/30/2013 15,255 14,392
10/31/2013 15,782 14,875 Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares.
TOTAL RETURN YEAR YEARS 09/15/2005
--------------------------------------------------------- MSCI data copyright MSCI 2013, all
27.98% 14.11% 5.78% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL SMALL COMPANY PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
International Small MSCI World ex USA Small
Company Portfolio Cap Index (net dividends)
-------------------------- -------------------------
10/31/03 $10,000 $10,000
11/30/03 10,055 10,009
12/31/03 10,624 10,620
1/31/04 11,218 11,076
2/29/04 11,553 11,412
3/31/04 12,017 11,852
4/30/04 11,655 11,428
5/31/04 11,525 11,305
6/30/04 12,062 11,876
7/31/04 11,621 11,352
8/31/04 11,724 11,411
9/30/04 12,003 11,723
10/31/04 12,389 12,157
11/30/04 13,283 13,129
12/31/04 13,909 13,741
1/31/05 14,239 13,953
2/28/05 14,869 14,546
3/31/05 14,607 14,309
4/30/05 14,258 13,906
5/31/05 14,016 13,939
6/30/05 14,369 14,309
7/31/05 14,888 14,930
8/31/05 15,544 15,388
9/30/05 15,915 16,012
10/31/05 15,600 15,429
11/30/05 15,905 15,943
12/31/05 16,963 17,183
1/31/06 18,135 18,408
2/28/06 18,021 18,177
3/31/06 18,851 19,031
4/30/06 19,743 19,917
5/31/06 18,747 18,816
6/30/06 18,387 18,358
7/31/06 18,188 17,910
8/31/06 18,670 18,433
9/30/06 18,808 18,384
10/31/06 19,555 19,114
11/30/06 20,439 19,936
12/31/06 21,183 20,526
1/31/07 21,775 20,945
2/28/07 22,083 21,312
3/31/07 22,909 22,018
4/30/07 23,666 22,868
5/31/07 24,150 23,205
6/30/07 24,111 23,155
7/31/07 24,122 23,012
8/31/07 23,190 21,799
9/30/07 23,700 22,291
10/31/07 24,980 23,796
11/30/07 23,155 21,840
12/31/07 22,382 21,200
1/31/08 20,679 19,145
2/29/08 21,203 20,054
3/31/08 21,231 19,832
4/30/08 21,684 20,315
5/31/08 22,257 20,725
6/30/08 20,609 19,125
7/31/08 19,618 18,161
8/31/08 18,844 17,489
9/30/08 15,987 14,413
10/31/08 12,242 10,855
11/30/08 11,610 10,329
12/31/08 12,563 11,018
1/31/09 11,570 10,378
2/28/09 10,516 9,430
3/31/09 11,212 10,036
4/30/09 12,698 11,583
5/31/09 14,589 13,297
6/30/09 14,742 13,456
7/31/09 15,848 14,538
8/31/09 16,854 15,658
9/30/09 17,750 16,538
10/31/09 17,426 16,283
11/30/09 17,663 16,410
12/31/09 17,834 16,617
1/31/10 17,559 16,398
2/28/10 17,534 16,305
3/31/10 18,786 17,517
4/30/10 19,074 17,863
5/31/10 16,817 15,717
6/30/10 16,778 15,569
7/31/10 18,311 16,904
8/31/10 17,766 16,465
9/30/10 19,720 18,333
10/31/10 20,495 19,089
11/30/10 19,923 18,589
12/31/10 22,099 20,690
1/31/11 22,369 20,799
2/28/11 23,051 21,390
3/31/11 23,015 21,370
4/30/11 24,109 22,430
5/31/11 23,439 21,809
6/30/11 22,964 21,337
7/31/11 22,742 21,220
8/31/11 20,960 19,544
9/30/11 18,483 17,300
10/31/11 19,895 18,705
11/30/11 19,267 17,765
12/31/11 18,707 17,419
1/31/12 20,302 18,858
2/29/12 21,329 19,926
3/31/12 21,412 19,794
4/30/12 21,155 19,691
5/31/12 18,693 17,377
6/30/12 19,424 17,977
7/31/12 19,369 18,116
8/31/12 20,041 18,636
9/30/12 20,877 19,519
10/31/12 21,015 19,614
11/30/12 21,194 19,715
12/31/12 22,234 20,464
1/31/13 23,211 21,449
2/28/13 23,198 21,525
3/31/13 23,619 21,945
4/30/13 24,247 22,582
5/31/13 23,717 22,052
6/30/13 23,088 21,180
7/31/13 24,616 22,504
8/31/13 24,531 22,464
9/30/13 26,551 24,350 Past performance is not predictive of
10/31/13 27,457 25,070 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
----------------------------------------------------------- MSCI data copyright MSCI 2013, all
30.66% 17.53% 10.63% rights reserved.
--------------------------------------------------------------------------------
9
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
JAPANESE SMALL COMPANY PORTFOLIO VS.
MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
Japanese Small MSCI Japan Small Cap
Company Portfolio Index (net dividends)
-------------------------- ---------------------
10/31/2003 $10,000 $10,000
11/30/2003 9,375 9,313
12/31/2003 9,926 9,979
1/31/2004 10,394 10,342
2/29/2004 10,456 10,315
3/31/2004 12,558 12,206
4/30/2004 12,152 11,818
5/31/2004 11,569 11,231
6/30/2004 12,664 12,412
7/31/2004 11,869 11,395
8/31/2004 12,046 11,514
9/30/2004 11,754 11,167
10/31/2004 11,984 11,373
11/30/2004 12,355 11,868
12/31/2004 12,945 12,443
1/31/2005 13,463 12,866
2/28/2005 13,955 13,112
3/31/2005 14,035 13,081
4/30/2005 13,651 12,975
5/31/2005 13,410 12,736
6/30/2005 13,662 12,908
7/31/2005 13,948 13,274
8/31/2005 14,708 13,729
9/30/2005 15,308 14,587
10/31/2005 15,773 14,879
11/30/2005 16,077 15,515
12/31/2005 17,902 17,613
1/31/2006 18,658 18,174
2/28/2006 17,533 16,991
3/31/2006 18,307 17,753
4/30/2006 18,658 17,841
5/31/2006 17,335 16,410
6/30/2006 16,670 15,896
7/31/2006 15,874 14,845
8/31/2006 16,127 15,240
9/30/2006 15,841 14,906
10/31/2006 15,714 14,811
11/30/2006 15,606 14,686
12/31/2006 15,741 14,772
1/31/2007 16,060 15,059
2/28/2007 16,707 15,653
3/31/2007 16,570 15,509
4/30/2007 16,343 15,243
5/31/2007 16,005 14,880
6/30/2007 16,263 14,978
7/31/2007 16,346 14,974
8/31/2007 15,658 14,062
9/30/2007 15,636 13,976
10/31/2007 15,737 14,482
11/30/2007 15,370 13,873
12/31/2007 14,398 13,043
1/31/2008 14,001 12,402
2/29/2008 13,881 12,538
3/31/2008 14,153 12,542
4/30/2008 14,255 12,698
5/31/2008 14,773 13,089
6/30/2008 14,072 12,286
7/31/2008 13,679 11,883
8/31/2008 12,923 11,358
9/30/2008 12,074 10,249
10/31/2008 11,195 9,167
11/30/2008 11,485 9,542
12/31/2008 12,654 10,285
1/31/2009 11,785 9,746
2/28/2009 10,246 8,465
3/31/2009 10,720 8,763
4/30/2009 11,146 9,212
5/31/2009 12,517 10,339
6/30/2009 13,345 10,997
7/31/2009 13,621 11,272
8/31/2009 14,337 11,904
9/30/2009 14,182 11,857
10/31/2009 13,667 11,423
11/30/2009 13,113 11,014
12/31/2009 13,059 10,809
1/31/2010 13,232 11,042
2/28/2010 13,482 11,252
3/31/2010 14,167 11,764
4/30/2010 14,580 12,082
5/31/2010 13,359 11,244
6/30/2010 13,565 11,294
7/31/2010 13,798 11,431
8/31/2010 13,420 11,189
9/30/2010 14,013 11,646
10/31/2010 13,712 11,550
11/30/2010 14,051 11,775
12/31/2010 15,344 12,964
1/31/2011 15,686 13,118
2/28/2011 16,409 13,645
3/31/2011 15,383 12,803
4/30/2011 15,305 12,815
5/31/2011 15,051 12,625
6/30/2011 15,800 13,095
7/31/2011 16,372 13,639
8/31/2011 15,928 13,081
9/30/2011 15,842 13,093
10/31/2011 15,023 12,610
11/30/2011 15,270 12,269
12/31/2011 15,189 12,460
1/31/2012 16,144 12,971
2/29/2012 16,163 13,112
3/31/2012 16,621 13,462
4/30/2012 16,273 13,267
5/31/2012 14,911 12,166
6/30/2012 15,700 12,685
7/31/2012 15,168 12,486
8/31/2012 15,168 12,415
9/30/2012 15,385 12,758
10/31/2012 15,054 12,482
11/30/2012 15,265 12,568
12/31/2012 15,822 12,960
1/31/2013 16,318 13,445
2/28/2013 16,713 13,900
3/31/2013 17,989 15,023
4/30/2013 18,941 16,011
5/31/2013 17,392 14,743
6/30/2013 17,544 14,702
7/31/2013 17,959 14,942
8/31/2013 17,554 14,740
9/30/2013 19,529 16,418
10/31/2013 19,579 16,351 Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------- MSCI data copyright MSCI 2013, all
30.06% 11.83% 6.95% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
ASIA PACIFIC SMALL COMPANY PORTFOLIO VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
Asia Pacific Small MSCI Pacific ex Japan Small Cap
Company Portfolio Index (net dividends)
-------------------------- ---------------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,075 9,956
12/31/2003 10,520 10,608
1/31/2004 11,178 11,042
2/29/2004 11,507 11,376
3/31/2004 11,143 11,398
4/30/2004 10,329 10,754
5/31/2004 10,251 10,705
6/30/2004 10,287 10,718
7/31/2004 10,470 11,122
8/31/2004 10,715 11,489
9/30/2004 11,372 12,174
10/31/2004 11,908 12,954
11/30/2004 12,768 13,951
12/31/2004 13,056 14,540
1/31/2005 13,352 14,667
2/28/2005 13,729 15,134
3/31/2005 13,262 14,704
4/30/2005 12,813 14,465
5/31/2005 12,517 14,651
6/30/2005 13,080 15,452
7/31/2005 13,514 16,095
8/31/2005 13,867 16,082
9/30/2005 14,374 16,893
10/31/2005 13,556 15,901
11/30/2005 13,892 16,504
12/31/2005 14,100 16,828
1/31/2006 15,048 17,791
2/28/2006 15,262 17,969
3/31/2006 16,034 18,730
4/30/2006 16,946 19,938
5/31/2006 15,988 18,920
6/30/2006 15,876 18,690
7/31/2006 16,176 18,882
8/31/2006 16,570 19,498
9/30/2006 16,738 19,820
10/31/2006 18,105 21,202
11/30/2006 19,105 22,491
12/31/2006 19,643 23,330
1/31/2007 20,153 23,923
2/28/2007 20,682 24,379
3/31/2007 21,758 25,637
4/30/2007 23,278 27,414
5/31/2007 25,258 28,491
6/30/2007 26,288 29,231
7/31/2007 26,695 29,224
8/31/2007 24,690 27,343
9/30/2007 27,579 29,769
10/31/2007 29,986 31,804
11/30/2007 27,998 29,249
12/31/2007 27,511 28,847
1/31/2008 24,739 24,981
2/29/2008 25,489 26,465
3/31/2008 24,250 24,796
4/30/2008 25,936 26,455
5/31/2008 27,067 26,740
6/30/2008 24,392 23,749
7/31/2008 22,950 22,656
8/31/2008 21,337 20,816
9/30/2008 17,670 16,752
10/31/2008 11,787 10,835
11/30/2008 10,656 9,653
12/31/2008 11,818 10,774
1/31/2009 10,356 9,588
2/28/2009 9,786 8,993
3/31/2009 11,303 10,281
4/30/2009 12,986 12,122
5/31/2009 16,342 15,028
6/30/2009 16,460 15,451
7/31/2009 18,831 17,683
8/31/2009 19,691 18,591
9/30/2009 21,219 20,149
10/31/2009 21,682 20,632
11/30/2009 22,693 21,225
12/31/2009 23,286 22,073
1/31/2010 22,019 20,661
2/28/2010 22,402 20,920
3/31/2010 24,244 22,645
4/30/2010 24,564 23,278
5/31/2010 21,160 19,763
6/30/2010 20,894 19,650
7/31/2010 23,207 21,650
8/31/2010 23,175 21,602
9/30/2010 26,690 24,845
10/31/2010 27,830 25,948
11/30/2010 27,450 25,601
12/31/2010 30,135 28,185
1/31/2011 29,483 27,365
2/28/2011 29,663 27,515
3/31/2011 30,286 28,360
4/30/2011 31,557 29,507
5/31/2011 30,623 28,831
6/30/2011 29,582 27,806
7/31/2011 30,060 28,216
8/31/2011 27,956 26,254
9/30/2011 22,737 21,480
10/31/2011 26,274 25,000
11/30/2011 25,567 23,295
12/31/2011 24,070 22,548
1/31/2012 26,552 24,889
2/29/2012 28,558 26,824
3/31/2012 28,131 25,984
4/30/2012 28,012 26,125
5/31/2012 24,514 22,734
6/30/2012 25,022 23,052
7/31/2012 25,383 23,810
8/31/2012 26,227 24,191
9/30/2012 27,518 25,477
10/31/2012 28,136 26,003
11/30/2012 28,523 26,259
12/31/2012 29,852 26,918
1/31/2013 31,342 28,345
2/28/2013 31,468 28,681
3/31/2013 31,605 28,754
4/30/2013 31,067 28,526
5/31/2013 28,750 26,426
6/30/2013 26,722 24,166
7/31/2013 28,024 25,132 Past performance is not predictive of
8/31/2013 28,237 25,350 future performance.
9/30/2013 30,215 27,300
10/31/2013 31,079 27,778 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------------------- MSCI data copyright MSCI 2013, all
10.46% 21.40% 12.01% rights reserved.
--------------------------------------------------------------------------------
10
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
UNITED KINGDOM SMALL COMPANY PORTFOLIO VS.
MSCI UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
United Kingdom Small MSCI UK Small Cap
Company Portfolio Index (net dividends)
-------------------------- ---------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,047 10,083
12/31/2003 10,602 10,649
1/31/2004 11,391 11,551
2/29/2004 12,043 12,334
3/31/2004 11,880 12,287
4/30/2004 11,445 11,859
5/31/2004 11,461 11,852
6/30/2004 11,849 12,264
7/31/2004 11,404 11,709
8/31/2004 11,322 11,548
9/30/2004 11,640 11,928
10/31/2004 12,004 12,382
11/30/2004 12,966 13,383
12/31/2004 13,499 14,155
1/31/2005 13,877 14,473
2/28/2005 14,348 14,815
3/31/2005 14,019 14,630
4/30/2005 13,542 13,969
5/31/2005 13,274 13,845
6/30/2005 13,513 14,058
7/31/2005 13,777 14,476
8/31/2005 14,551 15,176
9/30/2005 14,377 15,203
10/31/2005 13,970 14,740
11/30/2005 14,566 15,475
12/31/2005 15,203 16,144
1/31/2006 16,388 17,459
2/28/2006 16,608 17,732
3/31/2006 16,879 18,091
4/30/2006 17,723 19,049
5/31/2006 17,358 18,626
6/30/2006 17,337 18,468
7/31/2006 17,457 18,324
8/31/2006 18,186 18,983
9/30/2006 18,710 19,540
10/31/2006 19,761 20,659
11/30/2006 20,997 21,998
12/31/2006 22,136 23,030
1/31/2007 22,278 22,976
2/28/2007 22,271 23,048
3/31/2007 23,305 24,001
4/30/2007 24,102 25,193
5/31/2007 24,419 25,355
6/30/2007 23,518 24,617
7/31/2007 23,382 24,478
8/31/2007 23,239 23,581
9/30/2007 22,430 22,245
10/31/2007 24,215 24,689
11/30/2007 21,404 21,832
12/31/2007 20,270 20,736
1/31/2008 18,901 19,068
2/29/2008 19,167 19,714
3/31/2008 19,088 19,466
4/30/2008 19,405 19,828
5/31/2008 19,456 19,922
6/30/2008 17,901 18,560
7/31/2008 17,266 17,819
8/31/2008 16,975 17,353
9/30/2008 14,349 14,162
10/31/2008 10,495 10,232
11/30/2008 9,745 9,283
12/31/2008 9,522 9,048
1/31/2009 9,292 8,998
2/28/2009 8,906 8,700
3/31/2009 9,288 9,205
4/30/2009 11,230 11,319
5/31/2009 12,376 12,515
6/30/2009 12,430 12,603
7/31/2009 13,506 13,763
8/31/2009 14,552 15,090
9/30/2009 14,974 15,438
10/31/2009 14,989 15,460
11/30/2009 14,936 15,299
12/31/2009 15,243 15,677
1/31/2010 15,091 15,604
2/28/2010 14,572 14,905
3/31/2010 15,787 16,219
4/30/2010 16,360 16,866
5/31/2010 14,503 14,839
6/30/2010 14,777 14,903
7/31/2010 16,767 16,696
8/31/2010 16,142 16,242
9/30/2010 17,860 18,032
10/31/2010 18,791 18,801
11/30/2010 17,860 18,018
12/31/2010 19,676 19,903
1/31/2011 19,957 20,095
2/28/2011 20,552 20,625
3/31/2011 20,160 20,269
4/30/2011 21,940 22,127
5/31/2011 21,799 21,847
6/30/2011 21,103 21,111
7/31/2011 20,953 21,053
8/31/2011 18,856 18,905
9/30/2011 16,947 16,912
10/31/2011 18,738 18,760
11/30/2011 18,162 18,032
12/31/2011 17,591 17,430
1/31/2012 19,138 19,198
2/29/2012 20,701 20,981
3/31/2012 21,137 21,050
4/30/2012 21,496 21,408
5/31/2012 19,068 18,756
6/30/2012 19,995 19,649
7/31/2012 20,325 20,007
8/31/2012 21,431 21,066
9/30/2012 22,526 22,190
10/31/2012 23,015 22,649
11/30/2012 23,155 22,657
12/31/2012 24,420 23,700
1/31/2013 24,847 24,323
2/28/2013 25,065 24,460
3/31/2013 25,807 25,119
4/30/2013 26,452 25,747
5/31/2013 26,686 26,095
6/30/2013 26,098 25,154
7/31/2013 28,295 27,249 Past performance is not predictive of
8/31/2013 28,490 27,622 future performance.
9/30/2013 30,406 29,695
10/31/2013 31,487 30,741 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------ MSCI data copyright MSCI 2013, all
36.81% 24.57% 12.15% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CONTINENTAL SMALL COMPANY PORTFOLIO VS.
MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
Continental MSCI Europe ex
Small Company Portfolio UK Small Cap Index (net dividends)
------------------------ ----------------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,518 10,532
12/31/2003 11,163 11,083
1/31/2004 11,705 11,641
2/29/2004 12,087 12,033
3/31/2004 11,836 11,618
4/30/2004 11,695 11,435
5/31/2004 11,816 11,471
6/30/2004 12,173 11,881
7/31/2004 11,770 11,403
8/31/2004 11,840 11,439
9/30/2004 12,451 12,077
10/31/2004 12,917 12,589
11/30/2004 14,294 13,986
12/31/2004 15,028 14,686
1/31/2005 15,241 14,850
2/28/2005 16,209 15,891
3/31/2005 15,762 15,485
4/30/2005 15,336 15,029
5/31/2005 15,368 15,243
6/30/2005 15,785 15,731
7/31/2005 16,758 16,810
8/31/2005 17,314 17,288
9/30/2005 17,752 17,878
10/31/2005 16,873 16,644
11/30/2005 16,926 16,856
12/31/2005 17,793 17,833
1/31/2006 19,499 19,823
2/28/2006 20,048 20,383
3/31/2006 21,337 21,700
4/30/2006 22,805 23,237
5/31/2006 21,695 22,043
6/30/2006 21,293 21,541
7/31/2006 21,233 21,305
8/31/2006 21,787 21,806
9/30/2006 22,070 22,035
10/31/2006 23,171 23,213
11/30/2006 24,768 24,837
12/31/2006 25,946 26,009
1/31/2007 27,143 26,842
2/28/2007 27,168 26,957
3/31/2007 28,750 28,390
4/30/2007 30,258 30,108
5/31/2007 30,832 30,633
6/30/2007 30,486 30,340
7/31/2007 30,310 30,118
8/31/2007 29,217 28,755
9/30/2007 29,859 29,327
10/31/2007 31,299 31,082
11/30/2007 28,975 28,858
12/31/2007 28,398 28,274
1/31/2008 25,689 24,869
2/29/2008 26,786 26,374
3/31/2008 27,629 26,910
4/30/2008 27,947 27,370
5/31/2008 28,475 27,796
6/30/2008 26,065 25,227
7/31/2008 24,681 23,795
8/31/2008 23,996 23,145
9/30/2008 19,813 18,353
10/31/2008 14,521 13,189
11/30/2008 13,384 12,096
12/31/2008 14,779 13,213
1/31/2009 13,100 12,027
2/28/2009 11,962 10,968
3/31/2009 12,821 11,816
4/30/2009 14,908 14,275
5/31/2009 17,077 16,407
6/30/2009 16,856 16,196
7/31/2009 18,193 17,650
8/31/2009 19,710 19,462
9/30/2009 21,392 21,327
10/31/2009 20,783 20,745
11/30/2009 21,405 21,171
12/31/2009 21,331 21,267
1/31/2010 20,970 20,983
2/28/2010 20,526 20,386
3/31/2010 22,039 22,039
4/30/2010 21,831 21,900
5/31/2010 18,720 18,512
6/30/2010 18,588 18,236
7/31/2010 20,815 20,420
8/31/2010 19,857 19,450
9/30/2010 22,600 22,451
10/31/2010 23,869 23,891
11/30/2010 22,008 22,081
12/31/2010 24,866 25,173
1/31/2011 25,561 25,742
2/28/2011 25,986 26,179
3/31/2011 26,865 27,062
4/30/2011 28,666 28,952
5/31/2011 27,687 27,848
6/30/2011 26,788 26,949
7/31/2011 25,263 25,313
8/31/2011 22,673 22,669
9/30/2011 19,238 19,263
10/31/2011 21,221 21,374
11/30/2011 19,802 19,704
12/31/2011 19,028 19,034
1/31/2012 20,830 20,922
2/29/2012 22,151 22,528
3/31/2012 22,195 22,345
4/30/2012 21,672 21,973
5/31/2012 18,707 18,960
6/30/2012 19,510 19,894
7/31/2012 19,317 19,823
8/31/2012 20,179 20,687
9/30/2012 21,241 21,801
10/31/2012 21,613 22,177
11/30/2012 21,881 22,516
12/31/2012 23,202 23,731
1/31/2013 24,953 25,663
2/28/2013 24,699 25,584
3/31/2013 24,145 24,927
4/30/2013 25,118 25,895
5/31/2013 25,582 26,483
6/30/2013 24,728 25,304
7/31/2013 26,873 27,605 Past performance is not predictive of
8/31/2013 26,904 27,554 future performance.
9/30/2013 29,242 29,910
10/31/2013 30,905 31,711 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
----------------------------------------------------------------- MSCI data copyright MSCI 2013, all
42.99% 16.31% 11.94% rights reserved.
--------------------------------------------------------------------------------
11
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO VS.
S&P GLOBAL EX U.S. REIT INDEX (NET DIVIDENDS)
MARCH 1, 2007-OCTOBER 31, 2013
[CHART]
DFA International S&P Global ex
Real Estate Securities Portfolio U.S. REIT Index (net dividends)
--------------------------------- -------------------------------
3/1/2007 $10,000 $10,000
3/31/2007 10,480 10,343
4/30/2007 10,570 10,492
5/31/2007 10,780 10,647
6/30/2007 10,061 9,995
7/31/2007 9,459 9,513
8/31/2007 9,679 9,662
9/30/2007 10,130 10,149
10/31/2007 10,211 10,249
11/30/2007 9,462 9,433
12/31/2007 8,995 9,061
1/31/2008 8,627 8,529
2/29/2008 8,585 8,635
3/31/2008 8,606 8,552
4/30/2008 8,659 8,703
5/31/2008 8,332 8,348
6/30/2008 7,450 7,505
7/31/2008 7,215 7,301
8/31/2008 6,970 7,088
9/30/2008 6,457 6,368
10/31/2008 4,461 4,537
11/30/2008 4,152 4,234
12/31/2008 4,325 4,363
1/31/2009 3,873 3,947
2/28/2009 3,356 3,433
3/31/2009 3,587 3,636
4/30/2009 3,950 4,053
5/31/2009 4,479 4,503
6/30/2009 4,578 4,610
7/31/2009 4,985 5,022
8/31/2009 5,535 5,634
9/30/2009 5,887 6,017
10/31/2009 5,766 5,922
11/30/2009 5,832 5,926
12/31/2009 5,925 6,027
1/31/2010 5,704 5,831
2/28/2010 5,728 5,809
3/31/2010 5,925 6,011
4/30/2010 5,974 6,082
5/31/2010 5,347 5,414
6/30/2010 5,360 5,435
7/31/2010 5,987 6,026
8/31/2010 5,999 6,044
9/30/2010 6,577 6,624
10/31/2010 6,859 6,894
11/30/2010 6,429 6,471
12/31/2010 6,997 7,046
1/31/2011 7,025 7,045
2/28/2011 7,318 7,329
3/31/2011 7,332 7,348
4/30/2011 7,792 7,804
5/31/2011 7,750 7,761
6/30/2011 7,694 7,685
7/31/2011 7,569 7,575
8/31/2011 7,262 7,261
9/30/2011 6,328 6,367
10/31/2011 6,830 6,889
11/30/2011 6,691 6,606
12/31/2011 6,455 6,440
1/31/2012 6,897 6,857
2/29/2012 7,133 7,133
3/31/2012 7,221 7,159
4/30/2012 7,369 7,331
5/31/2012 6,941 6,853
6/30/2012 7,398 7,322
7/31/2012 7,737 7,719
8/31/2012 7,855 7,792
9/30/2012 8,032 8,000
10/31/2012 8,356 8,295
11/30/2012 8,415 8,352
12/31/2012 8,611 8,495
1/31/2013 8,745 8,714
2/28/2013 8,811 8,792
3/31/2013 9,161 9,125
4/30/2013 9,644 9,604
5/31/2013 8,761 8,738
6/30/2013 8,445 8,368
7/31/2013 8,478 8,386 Past performance is not predictive of
8/31/2013 8,162 8,091 future performance.
9/30/2013 8,861 8,784
10/31/2013 9,128 9,045 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares.
TOTAL RETURN YEAR YEARS 03/01/2007
----------------------------------------------------------------- The S&P data are provided by Standard
9.24% 15.39% -1.36% & Poor's Index Services Group.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO VS.
S&P GLOBAL REIT INDEX (NET DIVIDENDS)
JUNE 4, 2008-OCTOBER 31, 2013
[CHART]
DFA Global Real S&P Global
Estate Securities Portfolio REIT Index (net dividends)
--------------------------- ---------------------------
6/4/2008 $10,000 $10,000
6/30/2008 9,000 8,970
7/31/2008 9,020 8,995
8/31/2008 9,000 8,979
9/30/2008 8,710 8,552
10/31/2008 6,040 5,939
11/30/2008 5,040 4,955
12/31/2008 5,632 5,465
1/31/2009 4,817 4,698
2/28/2009 3,982 3,887
3/31/2009 4,186 4,070
4/30/2009 5,051 4,921
5/31/2009 5,438 5,235
6/30/2009 5,408 5,208
7/31/2009 5,937 5,716
8/31/2009 6,670 6,460
9/30/2009 7,108 6,889
10/31/2009 6,874 6,673
11/30/2009 7,159 6,897
12/31/2009 7,471 7,199
1/31/2010 7,133 6,884
2/28/2010 7,362 7,066
3/31/2010 7,875 7,557
4/30/2010 8,202 7,887
5/31/2010 7,591 7,270
6/30/2010 7,373 7,054
7/31/2010 8,158 7,772
8/31/2010 8,115 7,722
9/30/2010 8,649 8,231
10/31/2010 9,031 8,595
11/30/2010 8,682 8,264
12/31/2010 9,249 8,789
1/31/2011 9,448 8,947
2/28/2011 9,856 9,334
3/31/2011 9,786 9,258
4/30/2011 10,370 9,804
5/31/2011 10,428 9,853
6/30/2011 10,195 9,617
7/31/2011 10,218 9,647
8/31/2011 9,728 9,153
9/30/2011 8,583 8,093
10/31/2011 9,588 9,052
11/30/2011 9,296 8,693
12/31/2011 9,417 8,843
1/31/2012 10,020 9,412
2/29/2012 10,092 9,489
3/31/2012 10,454 9,791
4/30/2012 10,719 10,055
5/31/2012 10,176 9,518
6/30/2012 10,791 10,090
7/31/2012 11,105 10,413
8/31/2012 11,153 10,448
9/30/2012 11,117 10,424
10/31/2012 11,249 10,520
11/30/2012 11,249 10,526
12/31/2012 11,599 10,822
1/31/2013 11,921 11,170
2/28/2013 12,037 11,290
3/31/2013 12,423 11,651
4/30/2013 13,182 12,361
5/31/2013 12,230 11,472
6/30/2013 11,921 11,139
7/31/2013 11,998 11,213 Past performance is not predictive of
8/31/2013 11,316 10,573 future performance.
9/30/2013 11,908 11,121
10/31/2013 12,346 11,548 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares.
TOTAL RETURN YEAR YEARS 06/04/2008
---------------------------------------------------------------- The S&P data are provided by Standard
9.74% 15.37% 3.97% & Poor's Index Services Group.
--------------------------------------------------------------------------------
12
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
DFA International MSCI World ex USA
Small Cap Value Portfolio Small Cap Index (net dividends)
------------------------- -------------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,044 10,009
12/31/2003 10,673 10,620
01/31/2004 11,324 11,076
02/29/2004 11,672 11,412
03/31/2004 12,162 11,852
04/30/2004 11,734 11,428
05/31/2004 11,619 11,305
06/30/2004 12,147 11,876
07/31/2004 11,724 11,352
08/31/2004 11,868 11,411
09/30/2004 12,184 11,723
10/31/2004 12,581 12,157
11/30/2004 13,682 13,129
12/31/2004 14,388 13,741
01/31/2005 14,790 13,953
02/28/2005 15,491 14,546
03/31/2005 15,345 14,309
04/30/2005 15,046 13,906
05/31/2005 14,821 13,939
06/30/2005 15,169 14,309
07/31/2005 15,746 14,930
08/31/2005 16,360 15,388
09/30/2005 16,742 16,012
10/31/2005 16,354 15,429
11/30/2005 16,657 15,943
12/31/2005 17,730 17,183
01/31/2006 19,030 18,408
02/28/2006 19,070 18,177
03/31/2006 19,979 19,031
04/30/2006 20,809 19,917
05/31/2006 19,809 18,816
06/30/2006 19,440 18,358
07/31/2006 19,370 17,910
08/31/2006 19,863 18,433
09/30/2006 20,052 18,384
10/31/2006 20,931 19,114
11/30/2006 21,942 19,936
12/31/2006 22,765 20,526
01/31/2007 23,371 20,945
02/28/2007 23,794 21,312
03/31/2007 24,828 22,018
04/30/2007 25,565 22,868
05/31/2007 26,052 23,205
06/30/2007 25,943 23,155
07/31/2007 25,877 23,012
08/31/2007 24,816 21,799
09/30/2007 25,332 22,291
10/31/2007 26,330 23,796
11/30/2007 24,191 21,840
12/31/2007 23,435 21,200
01/31/2008 21,890 19,145
02/29/2008 22,369 20,054
03/31/2008 22,577 19,832
04/30/2008 22,961 20,315
05/31/2008 23,465 20,725
06/30/2008 21,415 19,125
07/31/2008 20,463 18,161
08/31/2008 19,804 17,489
09/30/2008 16,954 14,413
10/31/2008 13,264 10,855
11/30/2008 12,529 10,329
12/31/2008 13,668 11,018
01/31/2009 12,515 10,378
02/28/2009 11,140 9,430
03/31/2009 11,867 10,036
04/30/2009 13,791 11,583
05/31/2009 15,690 13,297
06/30/2009 15,638 13,456
07/31/2009 17,094 14,538
08/31/2009 18,575 15,658
09/30/2009 19,450 16,538
10/31/2009 18,759 16,283
11/30/2009 18,847 16,410
12/31/2009 19,068 16,617
01/31/2010 18,701 16,398
02/28/2010 18,524 16,305
03/31/2010 20,028 17,517
04/30/2010 20,281 17,863
05/31/2010 17,551 15,717
06/30/2010 17,199 15,569
07/31/2010 18,871 16,904
08/31/2010 17,990 16,465
09/30/2010 20,010 18,333
10/31/2010 20,636 19,089
11/30/2010 20,049 18,589
12/31/2010 22,519 20,690
01/31/2011 22,991 20,799
02/28/2011 23,658 21,390
03/31/2011 23,776 21,370
04/30/2011 24,797 22,430
05/31/2011 23,946 21,809
06/30/2011 23,424 21,337
07/31/2011 22,974 21,220
08/31/2011 20,789 19,544
09/30/2011 18,336 17,300
10/31/2011 19,731 18,705
11/30/2011 19,093 17,765
12/31/2011 18,586 17,419
01/31/2012 20,448 18,858
02/29/2012 21,666 19,926
03/31/2012 21,693 19,794
04/30/2012 21,091 19,691
05/31/2012 18,408 17,377
06/30/2012 19,316 17,977
07/31/2012 19,261 18,116
08/31/2012 19,968 18,636
09/30/2012 20,902 19,519
10/31/2012 21,097 19,614
11/30/2012 21,389 19,715
12/31/2012 22,723 20,464
01/31/2013 23,889 21,449
02/28/2013 24,031 21,525
03/31/2013 24,521 21,945
04/30/2013 25,217 22,582
05/31/2013 24,720 22,052
06/30/2013 23,967 21,180
07/31/2013 25,754 22,504 Past performance is not predictive of
08/31/2013 25,437 22,464 future performance.
09/30/2013 27,902 24,350
10/31/2013 29,069 25,070 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
----------------------------------------------------------------- MSCI data copyright MSCI 2013, all
37.79% 16.99% 11.26% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL VECTOR EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
AUGUST 14, 2008-OCTOBER 31, 2013
[CHART]
International Vector MSCI World ex
Equity Portfolio USA Index (net dividends)
-------------------- ------------------------
08/14/2008 $10,000 $10,000
08/31/2008 10,050 10,052
09/30/2008 8,750 8,601
10/31/2008 6,740 6,812
11/30/2008 6,340 6,442
12/31/2008 6,798 6,782
01/31/2009 6,065 6,149
02/28/2009 5,392 5,527
03/31/2009 5,903 5,891
04/30/2009 6,919 6,650
05/31/2009 7,985 7,491
06/30/2009 7,932 7,414
07/31/2009 8,715 8,110
08/31/2009 9,274 8,499
09/30/2009 9,740 8,849
10/31/2009 9,404 8,707
11/30/2009 9,608 8,923
12/31/2009 9,715 9,065
01/31/2010 9,377 8,640
02/28/2010 9,357 8,631
03/31/2010 10,099 9,187
04/30/2010 10,120 9,050
05/31/2010 8,870 8,051
06/30/2010 8,736 7,935
07/31/2010 9,659 8,668
08/31/2010 9,254 8,409
09/30/2010 10,289 9,216
10/31/2010 10,684 9,544
11/30/2010 10,300 9,140
12/31/2010 11,397 9,876
01/31/2011 11,660 10,089
02/28/2011 12,050 10,463
03/31/2011 11,881 10,253
04/30/2011 12,482 10,812
05/31/2011 12,071 10,491
06/30/2011 11,823 10,342
07/31/2011 11,545 10,171
08/31/2011 10,519 9,311
09/30/2011 9,260 8,376
10/31/2011 10,045 9,191
11/30/2011 9,733 8,766
12/31/2011 9,464 8,670
01/31/2012 10,238 9,138
02/29/2012 10,780 9,641
03/31/2012 10,780 9,570
04/30/2012 10,514 9,407
05/31/2012 9,219 8,335
06/30/2012 9,745 8,881
07/31/2012 9,700 8,991
08/31/2012 10,038 9,248
09/30/2012 10,435 9,529
10/31/2012 10,537 9,595
11/30/2012 10,706 9,797
12/31/2012 11,253 10,093
01/31/2013 11,755 10,590
02/28/2013 11,652 10,484
03/31/2013 11,784 10,567
04/30/2013 12,218 11,049
05/31/2013 11,944 10,801
06/30/2013 11,564 10,397
07/31/2013 12,305 10,950 Past performance is not predictive of
08/31/2013 12,213 10,809 future performance.
09/30/2013 13,183 11,573
10/31/2013 13,648 11,961 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares.
TOTAL RETURN YEAR YEARS 08/14/2008
----------------------------------------------------------------- MSCI data copyright MSCI 2013, all
29.52% 15.15% 6.15% rights reserved.
--------------------------------------------------------------------------------
13
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
WORLD EX U.S. VALUE PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
AUGUST 23, 2010-OCTOBER 31, 2013
[CHART]
World Ex U.S. MSCI All Country World
Value Portfolio ex USA Index (net dividends)
------------------ -----------------------------
08/23/2010 $10,000 $10,000
08/31/2010 9,890 9,920
09/30/2010 10,980 10,906
10/31/2010 11,350 11,278
11/30/2010 10,850 10,843
12/31/2010 11,859 11,692
01/31/2011 12,122 11,807
02/28/2011 12,385 12,118
03/31/2011 12,311 12,090
04/30/2011 12,899 12,681
05/31/2011 12,433 12,315
06/30/2011 12,238 12,136
07/31/2011 11,920 11,971
08/31/2011 10,670 10,945
09/30/2011 9,314 9,727
10/31/2011 10,261 10,752
11/30/2011 9,880 10,203
12/31/2011 9,590 10,089
01/31/2012 10,422 10,774
02/29/2012 10,984 11,379
03/31/2012 10,811 11,222
04/30/2012 10,436 11,045
05/31/2012 9,177 9,791
06/30/2012 9,755 10,369
07/31/2012 9,703 10,515
08/31/2012 10,041 10,735
09/30/2012 10,475 11,136
10/31/2012 10,538 11,179
11/30/2012 10,687 11,392
12/31/2012 11,281 11,787
01/31/2013 11,720 12,266
02/28/2013 11,442 12,137
03/31/2013 11,460 12,161
04/30/2013 11,899 12,608
05/31/2013 11,696 12,316
06/30/2013 11,154 11,782
07/31/2013 11,796 12,298 Past performance is not predictive of
08/31/2013 11,666 12,128 future performance.
09/30/2013 12,556 12,971
10/31/2013 13,026 13,447 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FROM redemption of fund shares.
TOTAL RETURN YEAR 08/23/2010
---------------------------------------------------- MSCI data copyright MSCI 2013, all
23.61% 8.64% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
WORLD EX U.S. TARGETED VALUE PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
NOVEMBER 1, 2012-OCTOBER 31, 2013
[CHART]
World Ex U.S. Targeted MSCI All Country World ex USA
Value Portfolio Small Cap Index (net dividends)
----------------------- ----------------------------------
11/01/2012 $10,000 $10,000
11/30/2012 10,120 10,013
12/31/2012 10,735 10,417
01/31/2013 11,157 10,868
02/28/2013 11,147 10,925
03/31/2013 11,278 11,098
04/30/2013 11,549 11,398
05/31/2013 11,298 11,175
06/30/2013 10,766 10,607
07/31/2013 11,376 11,134 Past performance is not predictive of
08/31/2013 11,193 11,038 future performance.
09/30/2013 12,191 11,920
10/31/2013 12,690 12,289 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL FROM redemption of fund shares.
TOTAL RETURN 11/01/2012
----------------------------------------- MSCI data copyright MSCI 2013, all
26.90% rights reserved.
--------------------------------------------------------------------------------
14
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
WORLD EX U.S. CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
APRIL 9, 2013-OCTOBER 31, 2013
[CHART]
World Ex U.S. Core MSCI All Country World
Equity Portfolio ex USA Index (net dividends)
------------------ ----------------------------
04/09/2013 $10,000 $10,000
04/30/2013 10,160 10,415
05/31/2013 9,890 10,174
06/30/2013 9,485 9,733
07/31/2013 9,971 10,159
08/31/2013 9,830 10,019
09/30/2013 10,575 10,715 Past performance is not predictive of
10/31/2013 10,962 11,108 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
FROM redemption of fund shares.
TOTAL RETURN 04/09/2013
---------------------------------------- MSCI data copyright MSCI 2013, all
9.62% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS)
NOVEMBER 14, 2011-OCTOBER 31, 2013
[CHART]
Selectively Hedged Global MSCI All Country World
Equity Portfolio Index (net dividends)
------------------------- -----------------------
11/14/2011 $10,000 $10,000
11/30/2011 9,920 9,873
12/31/2011 9,828 9,853
1/31/2012 10,533 10,426
2/29/2012 11,077 10,951
3/31/2012 11,141 11,024
4/30/2012 10,939 10,898
5/31/2012 9,962 9,921
6/30/2012 10,442 10,410
7/31/2012 10,463 10,553
8/31/2012 10,748 10,782
9/30/2012 11,122 11,122
10/31/2012 11,112 11,048
11/30/2012 11,265 11,189
12/31/2012 11,718 11,443
1/31/2013 12,225 11,970
2/28/2013 12,287 11,968
3/31/2013 12,576 12,187
4/30/2013 12,814 12,535
5/31/2013 12,897 12,501
6/30/2013 12,514 12,135
7/31/2013 13,114 12,716 Past performance is not predictive of
8/31/2013 12,845 12,451 future performance.
9/30/2013 13,569 13,094
10/31/2013 14,096 13,621 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FROM redemption of fund shares.
TOTAL RETURN YEAR 11/14/2011
---------------------------------------------------- MSCI data copyright MSCI 2013, all
26.86% 19.13% rights reserved.
--------------------------------------------------------------------------------
15
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
MSCI Emerging Markets
Emerging Markets Portfolio Index (net dividends)
-------------------------- ---------------------
10/31/2003 $10,000 $10,000
11/30/2003 9,900 10,122
12/31/2003 10,941 10,855
1/31/2004 11,143 11,234
2/29/2004 11,633 11,749
3/31/2004 11,709 11,896
4/30/2004 10,966 10,922
5/31/2004 10,831 10,704
6/30/2004 11,026 10,749
7/31/2004 11,018 10,552
8/31/2004 11,324 10,990
9/30/2004 11,957 11,624
10/31/2004 12,290 11,902
11/30/2004 13,360 13,004
12/31/2004 14,216 13,628
1/31/2005 14,328 13,663
2/28/2005 15,396 14,855
3/31/2005 14,337 13,873
4/30/2005 13,992 13,501
5/31/2005 14,406 13,971
6/30/2005 14,834 14,445
7/31/2005 15,784 15,455
8/31/2005 15,880 15,587
9/30/2005 17,139 17,039
10/31/2005 16,279 15,925
11/30/2005 17,455 17,243
12/31/2005 18,460 18,262
1/31/2006 20,217 20,301
2/28/2006 20,155 20,277
3/31/2006 20,429 20,456
4/30/2006 21,646 21,913
5/31/2006 19,141 19,617
6/30/2006 19,111 19,569
7/31/2006 19,461 19,849
8/31/2006 20,069 20,355
9/30/2006 20,339 20,524
10/31/2006 21,548 21,499
11/30/2006 22,920 23,097
12/31/2006 23,844 24,137
1/31/2007 24,190 23,877
2/28/2007 23,807 23,735
3/31/2007 24,892 24,680
4/30/2007 26,471 25,823
5/31/2007 28,241 27,102
6/30/2007 28,700 28,372
7/31/2007 29,380 29,869
8/31/2007 28,866 29,235
9/30/2007 31,409 32,463
10/31/2007 34,839 36,084
11/30/2007 32,565 33,526
12/31/2007 32,432 33,643
1/31/2008 29,598 29,445
2/29/2008 30,536 31,618
3/31/2008 29,583 29,945
4/30/2008 31,685 32,375
5/31/2008 31,869 32,976
6/30/2008 28,589 29,687
7/31/2008 28,209 28,567
8/31/2008 26,529 26,285
9/30/2008 22,827 21,685
10/31/2008 16,812 15,750
11/30/2008 15,284 14,565
12/31/2008 16,475 15,701
1/31/2009 15,216 14,687
2/28/2009 14,218 13,858
3/31/2009 16,273 15,850
4/30/2009 18,677 18,487
5/31/2009 21,859 21,646
6/30/2009 21,667 21,355
7/31/2009 24,138 23,756
8/31/2009 24,219 23,671
9/30/2009 26,341 25,820
10/31/2009 25,789 25,852
11/30/2009 27,322 26,962
12/31/2009 28,300 28,027
1/31/2010 26,749 26,464
2/28/2010 27,072 26,557
3/31/2010 29,330 28,701
4/30/2010 29,497 29,049
5/31/2010 26,745 26,494
6/30/2010 26,786 26,299
7/31/2010 29,138 28,489
8/31/2010 28,456 27,936
9/30/2010 31,682 31,040
10/31/2010 32,632 31,941
11/30/2010 31,893 31,098
12/31/2010 34,474 33,317
1/31/2011 33,574 32,413
2/28/2011 33,327 32,111
3/31/2011 35,171 33,999
4/30/2011 36,396 35,054
5/31/2011 35,385 34,134
6/30/2011 34,953 33,609
7/31/2011 34,671 33,460
8/31/2011 31,855 30,470
9/30/2011 27,033 26,027
10/31/2011 30,407 29,475
11/30/2011 29,335 27,511
12/31/2011 28,471 27,179
1/31/2012 31,525 30,262
2/29/2012 33,226 32,074
3/31/2012 32,351 31,004
4/30/2012 31,764 30,633
5/31/2012 28,339 27,198
6/30/2012 29,724 28,248
7/31/2012 29,966 28,799
8/31/2012 30,146 28,703
9/30/2012 31,830 30,435
10/31/2012 31,648 30,250
11/30/2012 32,061 30,634
12/31/2012 33,924 32,132
1/31/2013 34,097 32,575
2/28/2013 33,690 32,166
3/31/2013 33,203 31,612
4/30/2013 33,560 31,850
5/31/2013 32,463 31,033
6/30/2013 30,419 29,057
7/31/2013 30,854 29,361
8/31/2013 30,121 28,856 Past performance is not predictive of
9/30/2013 32,268 30,733 future performance.
10/31/2013 33,731 32,226
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------- MSCI data copyright MSCI 2013, all
6.58% 14.94% 12.93% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
Emerging Markets MSCI Emerging Markets
Small Cap Portfolio Index (net dividends)
-------------------- ---------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,198 10,122
12/31/2003 11,211 10,855
1/31/2004 11,543 11,234
2/29/2004 12,030 11,749
3/31/2004 12,232 11,896
4/30/2004 11,543 10,922
5/31/2004 11,057 10,704
6/30/2004 11,148 10,749
7/31/2004 11,220 10,552
8/31/2004 11,590 10,990
9/30/2004 12,235 11,624
10/31/2004 12,535 11,902
11/30/2004 13,722 13,004
12/31/2004 14,449 13,628
1/31/2005 14,850 13,663
2/28/2005 15,791 14,855
3/31/2005 14,690 13,873
4/30/2005 14,149 13,501
5/31/2005 14,426 13,971
6/30/2005 14,791 14,445
7/31/2005 15,602 15,455
8/31/2005 15,703 15,587
9/30/2005 16,733 17,039
10/31/2005 15,917 15,925
11/30/2005 17,052 17,243
12/31/2005 18,170 18,262
1/31/2006 19,924 20,301
2/28/2006 20,133 20,277
3/31/2006 20,501 20,456
4/30/2006 22,166 21,913
5/31/2006 19,832 19,617
6/30/2006 18,957 19,569
7/31/2006 19,393 19,849
8/31/2006 20,067 20,355
9/30/2006 20,622 20,524
10/31/2006 22,177 21,499
11/30/2006 23,864 23,097
12/31/2006 24,948 24,137
1/31/2007 25,417 23,877
2/28/2007 25,644 23,735
3/31/2007 26,781 24,680
4/30/2007 28,827 25,823
5/31/2007 31,114 27,102
6/30/2007 32,044 28,372
7/31/2007 33,601 29,869
8/31/2007 32,201 29,235
9/30/2007 34,414 32,463
10/31/2007 36,993 36,084
11/30/2007 34,027 33,526
12/31/2007 34,433 33,643
1/31/2008 30,280 29,445
2/29/2008 31,157 31,618
3/31/2008 29,681 29,945
4/30/2008 31,496 32,375
5/31/2008 31,296 32,976
6/30/2008 27,690 29,687
7/31/2008 27,256 28,567
8/31/2008 25,609 26,285
9/30/2008 20,983 21,685
10/31/2008 14,616 15,750
11/30/2008 13,722 14,565
12/31/2008 15,655 15,701
1/31/2009 14,451 14,687
2/28/2009 13,563 13,858
3/31/2009 15,430 15,850
4/30/2009 18,554 18,487
5/31/2009 22,804 21,646
6/30/2009 22,691 21,355
7/31/2009 25,569 23,756
8/31/2009 25,873 23,671
9/30/2009 28,031 25,820
10/31/2009 27,998 25,852
11/30/2009 29,635 26,962
12/31/2009 31,269 28,027
1/31/2010 29,884 26,464
2/28/2010 30,399 26,557
3/31/2010 32,995 28,701
4/30/2010 33,527 29,049
5/31/2010 30,144 26,494
6/30/2010 30,941 26,299
7/31/2010 33,780 28,489
8/31/2010 33,942 27,936
9/30/2010 38,053 31,040
10/31/2010 39,570 31,941
11/30/2010 38,494 31,098
12/31/2010 40,707 33,317
1/31/2011 38,981 32,413
2/28/2011 37,831 32,111
3/31/2011 39,929 33,999
4/30/2011 42,026 35,054
5/31/2011 41,062 34,134
6/30/2011 40,729 33,609
7/31/2011 41,189 33,460
8/31/2011 37,273 30,470
9/30/2011 30,643 26,027
10/31/2011 34,020 29,475
11/30/2011 32,357 27,511
12/31/2011 31,498 27,179
1/31/2012 35,049 30,262
2/29/2012 37,911 32,074
3/31/2012 36,922 31,004
4/30/2012 36,038 30,633
5/31/2012 32,735 27,198
6/30/2012 33,989 28,248
7/31/2012 33,562 28,799
8/31/2012 34,433 28,703
9/30/2012 36,446 30,435
10/31/2012 36,303 30,250
11/30/2012 36,928 30,634
12/31/2012 39,198 32,132
1/31/2013 39,920 32,575
2/28/2013 40,327 32,166
3/31/2013 40,138 31,612
4/30/2013 40,953 31,850
5/31/2013 40,360 31,033
6/30/2013 36,869 29,057
7/31/2013 37,036 29,361
8/31/2013 35,489 28,856 Past performance is not predictive of
9/30/2013 38,080 30,733 future performance.
10/31/2013 39,542 32,226
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------- MSCI data copyright MSCI 2013, all
8.92% 22.02% 14.74% rights reserved.
--------------------------------------------------------------------------------
16
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO -- CLASS R2 VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
JANUARY 29, 2008-OCTOBER 31, 2013
[CHART]
Emerging Markets Value MSCI Emerging Markets
Portfolio - Class R2 Index (net dividends)
----------------------- ---------------------
1/29/2008 $10,000 $10,000
1/31/2008 10,050 9,871
2/29/2008 10,450 10,599
3/31/2008 10,097 10,038
4/30/2008 10,872 10,853
5/31/2008 10,962 11,054
6/30/2008 9,677 9,952
7/31/2008 9,489 9,576
8/31/2008 8,674 8,811
9/30/2008 7,174 7,269
10/31/2008 4,949 5,280
11/30/2008 4,569 4,882
12/31/2008 5,120 5,263
1/31/2009 4,675 4,923
2/28/2009 4,262 4,646
3/31/2009 5,002 5,313
4/30/2009 5,996 6,197
5/31/2009 7,342 7,256
6/30/2009 7,241 7,159
7/31/2009 8,197 7,964
8/31/2009 8,265 7,935
9/30/2009 9,035 8,655
10/31/2009 8,823 8,666
11/30/2009 9,388 9,038
12/31/2009 9,847 9,395
1/31/2010 9,297 8,871
2/28/2010 9,347 8,902
3/31/2010 10,147 9,621
4/30/2010 10,246 9,738
5/31/2010 9,147 8,881
6/30/2010 9,199 8,816
7/31/2010 10,085 9,550
8/31/2010 9,864 9,365
9/30/2010 11,031 10,405
10/31/2010 11,444 10,707
11/30/2010 11,031 10,425
12/31/2010 11,960 11,169
1/31/2011 11,583 10,866
2/28/2011 11,391 10,764
3/31/2011 12,043 11,397
4/30/2011 12,466 11,751
5/31/2011 11,990 11,443
6/30/2011 11,738 11,267
7/31/2011 11,639 11,217
8/31/2011 10,454 10,214
9/30/2011 8,577 8,725
10/31/2011 9,701 9,881
11/30/2011 9,206 9,222
12/31/2011 8,875 9,111
1/31/2012 10,102 10,144
2/29/2012 10,714 10,752
3/31/2012 10,253 10,393
4/30/2012 9,918 10,269
5/31/2012 8,817 9,117
6/30/2012 9,214 9,469
7/31/2012 9,155 9,654
8/31/2012 9,279 9,622
9/30/2012 9,873 10,202
10/31/2012 9,742 10,140
11/30/2012 9,849 10,269
12/31/2012 10,564 10,771
1/31/2013 10,734 10,920
2/28/2013 10,550 10,783
3/31/2013 10,459 10,597
4/30/2013 10,547 10,677
5/31/2013 10,243 10,403
6/30/2013 9,377 9,741 Past performance is not predictive of
7/31/2013 9,559 9,842 future performance.
8/31/2013 9,356 9,673
9/30/2013 10,045 10,302 The returns shown do not reflect the
10/31/2013 10,497 10,803 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares.
TOTAL RETURN YEAR YEARS 01/29/2008
------------------------------------------------------------ MSCI data copyright MSCI 2013, all
7.75% 16.23% 0.85% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
Emerging Markets
Value Portfolio- MSCI Emerging Markets
Institutional Class Index (net dividends)
----------------------- ---------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,113 10,122
12/31/2003 11,330 10,855
1/31/2004 11,641 11,234
2/29/2004 12,394 11,749
3/31/2004 12,550 11,896
4/30/2004 11,666 10,922
5/31/2004 11,322 10,704
6/30/2004 11,528 10,749
7/31/2004 11,676 10,552
8/31/2004 12,195 10,990
9/30/2004 12,998 11,624
10/31/2004 13,404 11,902
11/30/2004 14,854 13,004
12/31/2004 15,809 13,628
1/31/2005 16,068 13,663
2/28/2005 17,533 14,855
3/31/2005 16,251 13,873
4/30/2005 15,673 13,501
5/31/2005 15,899 13,971
6/30/2005 16,421 14,445
7/31/2005 17,616 15,455
8/31/2005 17,896 15,587
9/30/2005 19,332 17,039
10/31/2005 18,122 15,925
11/30/2005 19,460 17,243
12/31/2005 20,680 18,262
1/31/2006 22,656 20,301
2/28/2006 22,743 20,277
3/31/2006 23,511 20,456
4/30/2006 25,562 21,913
5/31/2006 22,790 19,617
6/30/2006 22,583 19,569
7/31/2006 23,117 19,849
8/31/2006 23,537 20,355
9/30/2006 24,014 20,524
10/31/2006 25,680 21,499
11/30/2006 27,558 23,097
12/31/2006 28,524 24,137
1/31/2007 28,962 23,877
2/28/2007 29,124 23,735
3/31/2007 30,640 24,680
4/30/2007 33,081 25,823
5/31/2007 35,594 27,102
6/30/2007 36,605 28,372
7/31/2007 38,339 29,869
8/31/2007 37,101 29,235
9/30/2007 40,445 32,463
10/31/2007 44,882 36,084
11/30/2007 41,607 33,526
12/31/2007 41,541 33,643
1/31/2008 37,405 29,445
2/29/2008 38,899 31,618
3/31/2008 37,590 29,945
4/30/2008 40,489 32,375
5/31/2008 40,835 32,976
6/30/2008 36,084 29,687
7/31/2008 35,376 28,567
8/31/2008 32,346 26,285
9/30/2008 26,765 21,685
10/31/2008 18,454 15,750
11/30/2008 17,052 14,565
12/31/2008 19,134 15,701
1/31/2009 17,407 14,687
2/28/2009 15,928 13,858
3/31/2009 18,683 15,850
4/30/2009 22,357 18,487
5/31/2009 27,386 21,646
6/30/2009 27,049 21,355
7/31/2009 30,676 23,756
8/31/2009 30,903 23,671
9/30/2009 33,754 25,820
10/31/2009 32,956 25,852
11/30/2009 35,054 26,962
12/31/2009 36,791 28,027
1/31/2010 34,696 26,464
2/28/2010 34,965 26,557
3/31/2010 38,043 28,701
4/30/2010 38,289 29,049
5/31/2010 34,275 26,494
6/30/2010 34,489 26,299
7/31/2010 37,680 28,489
8/31/2010 36,997 27,936
9/30/2010 41,438 31,040
10/31/2010 42,856 31,941
11/30/2010 41,462 31,098
12/31/2010 44,906 33,317
1/31/2011 43,503 32,413
2/28/2011 42,770 32,111
3/31/2011 45,229 33,999
4/30/2011 46,843 35,054
5/31/2011 45,055 34,134
6/30/2011 44,132 33,609
7/31/2011 43,758 33,460
8/31/2011 39,316 30,470
9/30/2011 32,257 26,027
10/31/2011 36,496 29,475
11/30/2011 34,647 27,511
12/31/2011 33,402 27,179
1/31/2012 38,034 30,262
2/29/2012 40,350 32,074
3/31/2012 38,613 31,004
4/30/2012 37,352 30,633
5/31/2012 33,222 27,198
6/30/2012 34,724 28,248
7/31/2012 34,504 28,799
8/31/2012 34,983 28,703
9/30/2012 37,233 30,435
10/31/2012 36,751 30,250
11/30/2012 37,154 30,634
12/31/2012 39,870 32,132
1/31/2013 40,511 32,575
2/28/2013 39,830 32,166
3/31/2013 39,489 31,612
4/30/2013 39,836 31,850
5/31/2013 38,700 31,033
6/30/2013 35,441 29,057 Past performance is not predictive of
7/31/2013 36,129 29,361 future performance.
8/31/2013 35,360 28,856
9/30/2013 37,973 30,733 The returns shown do not reflect the
10/31/2013 39,694 32,226 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------------- MSCI data copyright MSCI 2013, all
8.01% 16.55% 14.78% rights reserved.
--------------------------------------------------------------------------------
17
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
EMERGING MARKETS CORE EQUITY PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
APRIL 5, 2005-OCTOBER 31, 2013
[CHART]
Emerging Markets Core MSCI Emerging Markets
Equity Portfolio Index (net dividends)
----------------------- ---------------------
4/5/2005 $10,000 $10,000
4/30/2005 9,580 9,682
5/31/2005 9,720 10,019
6/30/2005 9,980 10,359
7/31/2005 10,653 11,083
8/31/2005 10,763 11,178
9/30/2005 11,511 12,219
10/31/2005 10,898 11,421
11/30/2005 11,612 12,365
12/31/2005 12,295 13,096
1/31/2006 13,395 14,559
2/28/2006 13,416 14,542
3/31/2006 13,684 14,670
4/30/2006 14,624 15,714
5/31/2006 12,988 14,068
6/30/2006 12,775 14,034
7/31/2006 13,019 14,235
8/31/2006 13,333 14,597
9/30/2006 13,598 14,719
10/31/2006 14,487 15,418
11/30/2006 15,490 16,564
12/31/2006 16,100 17,310
1/31/2007 16,327 17,123
2/28/2007 16,204 17,022
3/31/2007 16,906 17,699
4/30/2007 18,042 18,519
5/31/2007 19,353 19,436
6/30/2007 19,811 20,347
7/31/2007 20,485 21,421
8/31/2007 19,956 20,965
9/30/2007 21,671 23,281
10/31/2007 23,924 25,877
11/30/2007 22,181 24,043
12/31/2007 22,136 24,127
1/31/2008 19,968 21,116
2/29/2008 20,621 22,675
3/31/2008 19,871 21,475
4/30/2008 21,378 23,218
5/31/2008 21,473 23,648
6/30/2008 19,079 21,290
7/31/2008 18,877 20,487
8/31/2008 17,623 18,850
9/30/2008 14,861 15,551
10/31/2008 10,661 11,295
11/30/2008 9,949 10,445
12/31/2008 10,922 11,260
1/31/2009 9,948 10,533
2/28/2009 9,277 9,938
3/31/2009 10,741 11,367
4/30/2009 12,702 13,258
5/31/2009 15,206 15,523
6/30/2009 15,058 15,314
7/31/2009 16,880 17,036
8/31/2009 16,946 16,975
9/30/2009 18,408 18,516
10/31/2009 18,068 18,539
11/30/2009 19,175 19,336
12/31/2009 20,050 20,099
1/31/2010 18,950 18,978
2/28/2010 19,159 19,045
3/31/2010 20,812 20,583
4/30/2010 21,010 20,832
5/31/2010 18,974 19,000
6/30/2010 19,134 18,860
7/31/2010 20,862 20,431
8/31/2010 20,585 20,034
9/30/2010 23,045 22,260
10/31/2010 23,724 22,906
11/30/2010 23,090 22,302
12/31/2010 24,785 23,893
1/31/2011 24,003 23,245
2/28/2011 23,589 23,028
3/31/2011 24,931 24,382
4/30/2011 25,915 25,138
5/31/2011 25,199 24,479
6/30/2011 24,849 24,102
7/31/2011 24,793 23,995
8/31/2011 22,555 21,851
9/30/2011 18,823 18,665
10/31/2011 21,213 21,138
11/30/2011 20,307 19,729
12/31/2011 19,668 19,491
1/31/2012 21,984 21,702
2/29/2012 23,365 23,002
3/31/2012 22,635 22,234
4/30/2012 22,133 21,968
5/31/2012 19,805 19,505
6/30/2012 20,693 20,258
7/31/2012 20,705 20,653
8/31/2012 20,923 20,584
9/30/2012 22,115 21,826
10/31/2012 21,965 21,693
11/30/2012 22,300 21,969
12/31/2012 23,698 23,043
1/31/2013 23,907 23,361
2/28/2013 23,744 23,067
3/31/2013 23,492 22,670
4/30/2013 23,759 22,841
5/31/2013 23,108 22,255
6/30/2013 21,448 20,838
7/31/2013 21,740 21,056 Past performance is not predictive of
8/31/2013 21,178 20,694 future performance.
9/30/2013 22,690 22,040
10/31/2013 23,668 23,111 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares.
TOTAL RETURN YEAR YEARS 04/05/2005
----------------------------------------------------------- MSCI data copyright MSCI 2013, all
7.75% 17.29% 10.57% rights reserved.
--------------------------------------------------------------------------------
18
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013
The one-year period ended October 31, 2013, was characterized by strong
gains in U.S. equities. The broad U.S. equity market, as measured by the
Russell 3000(R) Index, had positive returns in 10 of the 12 months.
The size premium was positive during the period with small cap stocks
outperforming large cap stocks as measured by the Russell indices. Micro cap
stocks were the strongest performers.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013
-------------------------------------------------
Russell 3000(R) Index........................ 28.99%
Russell Microcap(R) Index (micro cap stocks). 38.72%
Russell 2000(R) Index (small cap stocks)..... 36.28%
Russell 1000(R) Index (large cap stocks)..... 28.40%
Dow Jones U.S. Select REIT Index /SM/........ 9.96%
The value premium was negative in small cap stocks while the performance of
large cap value and large cap growth was almost identical as measured by the
Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013
-------------------------------------------------
Russell 2000(R) Value Index (small cap value stocks)... 32.83%
Russell 2000(R) Growth Index (small cap growth stocks). 39.84%
Russell 1000(R) Value Index (large cap value stocks)... 28.29%
Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
Source: Russell data copyright (C) Russell Investment Group 1995-2013, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
12 months ended October 31, 2013, were primarily attributable to differences in
value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value, small cap, and/or micro cap companies relative to
widely used benchmarks.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
ENHANCED U.S. LARGE COMPANY PORTFOLIO
The Enhanced U.S. Large Company Portfolio seeks to outperform the total
return of the S&P 500(R) Index. This strategy combines investment in investment
grade, short-term fixed income instruments with an overlay of S&P 500(R) Index
futures contracts, swaps, and/or ETFs. For the 12 months ended October 31,
2013, an average of approximately 96% of the equity exposure consisted of S&P
500(R) Index futures contracts. ETFs accounted for the remaining exposure. The
behavior of S&P 500(R) Index futures contracts and ETFs linked to the S&P
500(R) Index is determined principally by the performance of the S&P 500(R)
Index.
19
For the 12 months ended October 31, 2013, the total return was 26.99% for
the Portfolio and 27.18% for the S&P 500(R) Index. Relative to the Index, the
Portfolio's underperformance was primarily due to the performance of the fixed
income component of the Portfolio. The return of the fixed income component was
slightly less than the average interest rate priced into the S&P 500(R) futures
contracts that the Portfolio purchased throughout the year.
U.S. LARGE CAP EQUITY PORTFOLIO
The U.S. Large Cap Equity Portfolio seeks to capture the returns of U.S.
large company stocks. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2013, the Portfolio held approximately
830 securities. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Portfolio's assets.
From the Portfolio's inception on June 25, 2013, through October 31, 2013,
total returns were 11.01% for the Portfolio and 12.13% for the Russell 1000(R)
Index. As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad structural trends in the U.S.
equity market, rather than the behavior of a limited number of stocks. The
Portfolio had higher average cash balances than the Index in June 2013, the
month it launched, which was primarily responsible for the Portfolio's relative
underperformance compared to the Index as U.S. equities generally had positive
returns in the last days of June. The Portfolio's relative underperformance was
partly offset by its greater exposure than the Index to smaller stocks within
the large cap universe, which generally outperformed larger stocks during the
period. The Portfolio's exclusion of real estate investment trusts ("REITs")
also benefited the Portfolio's relative performance as REITs underperformed
during the period.
U.S. LARGE CAP VALUE PORTFOLIO
The U.S. Large Cap Value Portfolio seeks to capture the returns of U.S.
large company value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund that invests in such stocks. Value is measured primarily
by book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2013, the Master Fund held
approximately 220 securities. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 35.52% for the
Portfolio and 28.29% for the Russell 1000(R) Value Index. As a result of the
Master Fund's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market rather than
the behavior of a limited number of stocks. The Master Fund had significantly
greater exposure than the Index to deeper value stocks. These stocks generally
outperformed the Index, and the Master Fund's higher weight helped the
Portfolio's relative performance. The Master Fund's exclusion of real estate
investment trusts ("REITs") and highly regulated utilities also contributed to
the Portfolio's outperformance relative to the Index as both sectors
underperformed the overall Index during the period.
U.S. TARGETED VALUE PORTFOLIO
The U.S. Targeted Value Portfolio seeks to capture the returns of U.S. small
and mid-capitalization value stocks. Value is measured primarily by
book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2013, the Portfolio held approximately
1,500 securities. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2013, total returns were 40.39% for the
Portfolio's Class R1 shares, 40.10% for the Portfolio's Class R2 shares, 40.40%
for the Portfolio's Institutional Class shares, and 32.83% for the Russell
2000(R) Value Index. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad structural trends in
the U.S. equity market, rather than the behavior of a limited number of stocks.
The Portfolio's exclusion of REITs and highly regulated utilities contributed
to the Portfolio's outperformance relative to the Index as these sectors
underperformed the overall Index during the period.
U.S. SMALL CAP VALUE PORTFOLIO
The U.S. Small Cap Value Portfolio seeks to capture the returns of U.S.
small company value stocks. Value is measured primarily by book-to-market
ratio. The investment strategy is process driven, emphasizing broad
20
diversification. As of October 31, 2013, the Portfolio held approximately 1,200
securities. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2013, total returns were 39.35% for the
Portfolio and 32.83% for the Russell 2000(R) Value Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's exclusion of real
estate investment trusts ("REITs") and highly regulated utilities contributed
to the Portfolio's outperformance relative to the Index as both sectors
underperformed the overall Index during the period.
U.S. CORE EQUITY 1 PORTFOLIO
The U.S. Core Equity 1 Portfolio seeks to capture the returns of the total
U.S. market universe with increased exposure to smaller company stocks and
value stocks relative to the market. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2013, the Portfolio held
approximately 2,900 securities. In general, cash exposure was low throughout
the year with an average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2013, total returns were 32.32% for the
Portfolio and 28.99% for the Russell 3000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio had greater exposure
than the Index to small cap stocks and less exposure to large cap stocks, both
of which contributed to the Portfolio's outperformance relative to the Index as
small cap stocks generally outperformed large cap stocks during the period. The
Portfolio's exclusion of real estate investment trusts ("REITs") also
contributed to the Portfolio's outperformance relative to the Index as REITs
underperformed during the period.
U.S. CORE EQUITY 2 PORTFOLIO
The U.S. Core Equity 2 Portfolio seeks to capture the returns of the total
U.S. market universe with increased exposure to smaller company stocks and
value stocks relative to the U.S. Core Equity 1 Portfolio and the market. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2013, the Portfolio held approximately 2,900 securities. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2013, total returns were 33.66% for the
Portfolio and 28.99% for the Russell 3000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio had greater exposure
than the Index to small cap stocks and less exposure to large cap stocks, both
of which contributed to the Portfolio's outperformance relative to the Index as
small cap stocks generally outperformed large cap stocks during the period. The
Portfolio's exclusion of real estate investment trusts ("REITs") also
contributed to the Portfolio's outperformance relative to the Index as REITs
underperformed during the period.
U.S. VECTOR EQUITY PORTFOLIO
The U.S. Vector Equity Portfolio seeks to capture the returns of a broadly
diversified portfolio of U.S. stocks with increased exposure to smaller company
stocks and value stocks relative to the market. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2013, the
Portfolio held approximately 2,800 securities. In general, cash exposure was
low throughout the year with an average cash balance of less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2013, total returns were 36.80% for the
Portfolio and 28.99% for the Russell 3000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio had greater exposure
than the Index to small cap stocks and less exposure to large cap stocks, both
of which contributed to the Portfolio's outperformance relative to the Index as
small cap stocks generally outperformed large cap stocks during the period. The
Portfolio's exclusion of real estate investment trusts ("REITs") also
contributed to the Portfolio's outperformance relative to the Index as REITs
underperformed during the period.
21
U.S. SMALL CAP PORTFOLIO
The U.S. Small Cap Portfolio seeks to capture the returns of U.S. small
company stocks. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2013, the Portfolio held approximately 2,200
securities. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2013, total returns were 39.03% for the
Portfolio and 36.28% for the Russell 2000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's exclusion of real
estate investment trusts ("REITs") contributed to the Portfolio's
outperformance relative to the Index as REITs underperformed during the period.
The Portfolio excluded certain extreme small cap growth stocks, as measured by
book-to-market ratio and other metrics, which were held by the Index. These
stocks generally underperformed relative to the Index, and their exclusion from
the Portfolio also benefited the Portfolio's relative performance.
U.S. MICRO CAP PORTFOLIO
The U.S. Micro Cap Portfolio seeks to capture the returns of the smallest
U.S. company stocks and generally has a smaller market capitalization profile
than the U.S. Small Cap Portfolio. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2013, the Portfolio held
approximately 1,900 securities. In general, cash exposure was low throughout
the year with an average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2013, total returns were 41.34% for the
Portfolio and 36.28% for the Russell 2000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio focuses on micro cap
stocks while the Index has exposure to small and mid-cap stocks. Micro cap
stocks generally outperformed small and mid-cap stocks during the period, and
the Portfolio's greater exposure than the Index to micro cap stocks contributed
to the Portfolio's relative outperformance. The Portfolio's exclusion of real
estate investment trusts ("REITs") also contributed to the Portfolio's
outperformance relative to the Index as REITs underperformed during the period.
The Portfolio excluded certain extreme small cap growth stocks, as measured by
book-to-market ratio and other metrics, which were held by the Index. These
stocks generally underperformed, and their exclusion from the Portfolio
benefited the Portfolio's relative performance.
DFA REAL ESTATE SECURITIES PORTFOLIO
The DFA Real Estate Securities Portfolio seeks to capture the returns of a
broadly diversified portfolio of U.S. real estate securities. As of October 31,
2013, the Portfolio held approximately 120 securities. In general, cash
exposure was low throughout the year with an average cash balance of less than
1% of portfolio assets.
For the 12 months ended October 31, 2013, total returns were 10.28% for the
Portfolio, 9.96% for the Dow Jones U.S. Select REIT Index/SM/, and 27.18% for
the S&P 500(R) Index. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad structural trends in
the U.S. real estate securities market rather than the behavior of a limited
number of securities. The Portfolio has a lower market cap floor than the Dow
Jones U.S. Select REIT Index/SM/ and invests in small cap REITs that may not be
included in the Index. In addition, the Index excludes net lease REITs, which
are eligible for the Portfolio. These securities held by the Portfolio and
excluded by the Index, particularly net lease REITs, generally outperformed
during the period and benefited the Portfolio's relative performance.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013
The one-year period ended October 31, 2013, was characterized by generally
positive monthly returns in the international equity markets with the exception
of a sharp decline from May to June and a smaller decline in August. As
measured by the MSCI indices below for developed markets outside the U.S.,
small cap stocks generally outperformed large cap stocks while value stocks
outperformed growth stocks.
22
12 MONTHS ENDED OCTOBER 31, 2013
--------------------------------
U.S. DOLLAR RETURN
- ------------------
MSCI World ex USA Index........... 24.65%
MSCI World ex USA Small Cap Index. 27.81%
MSCI World ex USA Value Index..... 26.12%
MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets
currencies. While the U.S. dollar depreciated against the euro, Swiss franc,
and several other European-based developed markets currencies, it appreciated
against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 MONTHS ENDED OCTOBER 31, 2013
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN
--------------------------------------------------- --------------------- ------------------
United Kingdom.................... 20.70% 20.37%
Japan............................. 64.48% 34.00%
Canada............................ 10.59% 5.99%
France............................ 27.55% 33.82%
Australia......................... 26.44% 15.47%
Switzerland....................... 27.49% 31.10%
Germany........................... 24.72% 30.85%
Spain............................. 30.69% 37.11%
Sweden............................ 24.39% 27.55%
Hong Kong......................... 14.30% 14.25%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
Gains in emerging markets were lower on average than in developed markets
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2013, returns in U.S. dollars were
6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the
MSCI World ex USA Index (net dividends). As measured by the MSCI emerging
markets indices, small cap stocks outperformed large cap stocks while growth
stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2013
--------------------------------
U.S. DOLLAR RETURN
- ------------------
MSCI Emerging Markets Index........... 6.53%
MSCI Emerging Markets Small Cap Index. 10.29%
MSCI Emerging Markets Value Index..... 3.88%
MSCI Emerging Markets Growth Index.... 9.06%
During the period, the U.S. dollar (USD) generally appreciated against most
emerging markets currencies, except those in eastern Europe, decreasing USD
denominated returns in emerging markets.
12 MONTHS ENDED OCTOBER 31, 2013
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN
------------------------------------------ --------------------- ------------------
China........................ 9.32% 9.28%
South Korea.................. 9.57% 12.65%
Brazil....................... 7.85% -1.52%
Taiwan....................... 18.76% 18.08%
South Africa................. 20.85% 5.07%
India........................ 14.98% 0.65%
Russia....................... 12.94% 10.89%
Mexico....................... 1.41% 2.11%
Malaysia..................... 13.25% 9.32%
Indonesia.................... 1.33% -13.66%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
23
GLOBAL REAL ESTATE MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013
Publicly traded global real estate investment trusts ("REITs") produced
positive overall returns during the one-year period ended October 31, 2013. In
most of the world, REITs trailed equities but exceeded fixed income returns.
REITs in the U.K., Continental Europe, and Japan produced the strongest returns
while REITs in emerging markets generally underperformed. The largest REIT
market, the United States, had positive returns. On a global basis, specialized
and industrial REITs had the biggest gains. Residential REITs were the weakest
performers but still delivered positive returns.
12 MONTHS ENDED OCTOBER 31, 2013
U.S. DOLLAR RETURN
- ------------------
S&P Global ex U.S. REIT Index (net dividends). 9.05%
S&P Global REIT Index (net dividends)......... 9.77%
Source: Standard and Poor's. Copyright S&P, 2013. All rights reserved.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
LARGE CAP INTERNATIONAL PORTFOLIO
The Large Cap International Portfolio seeks to capture the returns of a
broadly diversified portfolio of international large company stocks. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2013, the Portfolio held approximately 1,500 securities in 22
eligible developed markets. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2013, total returns were 24.85% for the
Portfolio and 24.65% for the MSCI World ex USA Index (net dividends). As a
result of the Portfolio's diversified investment approach, performance was
determined principally by broad structural trends in the international equity
markets rather than by the behavior of a limited number of stocks. By design,
the Portfolio had slightly greater exposure than the Index to smaller stocks
within the large cap universe. These smaller stocks generally outperformed
larger stocks within the large cap universe and contributed to the Portfolio's
outperformance relative to the Index. The Portfolio's exclusion of real estate
investment trusts ("REITs") also contributed to the Portfolio's outperformance
relative to the Index as REITs underperformed during the period.
INTERNATIONAL CORE EQUITY PORTFOLIO
The International Core Equity Portfolio seeks to capture the returns of the
broad universe of international stocks, with increased exposure to smaller
company stocks and those with value characteristics. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2013, the
Portfolio held approximately 4,900 securities in 22 eligible developed markets.
In general, cash exposure was low throughout the year with an average cash
balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2013, total returns were 27.98% for the
Portfolio and 24.65% for the MSCI World ex USA Index (net dividends). As a
result of the Portfolio's diversified investment approach, performance was
determined principally by broad structural trends in the international equity
markets rather than by the behavior of a limited number of stocks. The
Portfolio invests in stocks across all size categories while the Index
primarily holds large cap and mid-cap stocks. International small cap stocks
generally outperformed international large cap and mid cap stocks during the
period, and the Portfolio's greater exposure to small cap stocks benefited the
Portfolio's performance relative to the Index. The Portfolio's greater exposure
to deeper value stocks, as measured by book-to-market, was also beneficial as
these stocks generally outperformed the Index. The Portfolio's exclusion of
real estate investment trusts ("REITs") also contributed to the Portfolio's
outperformance relative to the Index as REITs underperformed during the period.
24
INTERNATIONAL SMALL COMPANY PORTFOLIO
The International Small Company Portfolio seeks to capture the returns of
international small company stocks by purchasing shares of five Master Funds
that invest individually in Canada, the United Kingdom, Continental Europe
(including Israel and excluding the U.K.), Japan, and the Asia Pacific region
ex Japan. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2013, the Master Funds collectively held
approximately 4,200 securities in 22 eligible developed markets. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2013, total returns were 30.66% for the
Portfolio and 27.81% for the MSCI World ex USA Small Cap Index (net dividends).
As a result of each Master Fund's diversified investment approach, the
Portfolio's performance was determined principally by broad structural trends
in international equity markets rather than the behavior of a limited number of
stocks. The Portfolio had a lesser allocation to Canadian securities, which
contributed to the Portfolio's outperformance relative to the Index as Canadian
securities significantly underperformed. In addition, within the materials
sector, the Portfolio's holdings in Canada and Australia significantly
outperformed those of the Index. The Portfolio's exclusion of real estate
investment trusts ("REITs") also contributed to the Portfolio's outperformance
relative to the Index as REITs underperformed during the period.
JAPANESE SMALL COMPANY PORTFOLIO
The Japanese Small Company Portfolio seeks to capture the returns of
Japanese small company stocks by purchasing shares of The Japanese Small
Company Series, a Master Fund that invests in such securities. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2013, the Master Fund held approximately 1,400 securities. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 30.06% for the
Portfolio and 30.99% for the MSCI Japan Small Cap Index (net dividends). The
Master Fund's lesser exposure than the Index to GungHo Online Entertainment,
Inc., an online gaming company that significantly outperformed, was primarily
responsible for the Portfolio's underperformance relative to the Index. To a
lesser extent, the Master Fund's exclusion of real estate investment trusts
("REITs") benefited the Portfolio's relative performance as REITs
underperformed during the period.
ASIA PACIFIC SMALL COMPANY PORTFOLIO
The Asia Pacific Small Company Portfolio seeks to capture the returns of
small company stocks in Australia, Hong Kong, New Zealand, and Singapore, by
purchasing shares of The Asia Pacific Small Company Series, a Master Fund that
invests in such securities. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2013, the Master Fund held
approximately 940 securities across the eligible countries. Country allocations
generally reflect the approximate weights of individual securities within a
universe of these countries' stocks constructed by the Advisor. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 10.46% for the
Portfolio and 6.83% for the MSCI Pacific ex Japan Small Cap Index (net
dividends). As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in Asia
Pacific equity markets rather than the behavior of a limited number of stocks.
The Master Fund's greater weight in the consumer discretionary sector and
lesser weight in the materials sector contributed to the Portfolio's
outperformance relative to the Index as consumer discretionary generally
outperformed and materials generally underperformed. The Master Fund's
exclusion of real estate investment trusts ("REITs") also had a small positive
impact on the Portfolio's relative performance as REITs underperformed during
the period.
UNITED KINGDOM SMALL COMPANY PORTFOLIO
The United Kingdom Small Company Portfolio seeks to capture the returns of
U.K. small company stocks by purchasing shares of The United Kingdom Small
Company Series, a Master Fund that invests in such securities. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2013, the Master Fund held approximately 350 securities. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Master Fund's assets.
25
For the 12 months ended October 31, 2013, total returns were 36.81% for the
Portfolio and 35.72% for the MSCI UK Small Cap Index (net dividends). As a
result of the Master Fund's diversified investment approach, performance was
determined principally by broad structural trends in the U.K. equity market,
rather than the behavior of a limited number of stocks. The Master Fund had a
lesser allocation to the energy sector, which contributed to the Portfolio's
outperformance relative to the Index as energy significantly underperformed.
The Master Fund's exclusion of real estate investment trusts ("REITs") also
contributed to the Portfolio's outperformance relative to the Index as REITs
underperformed during the period. To a lesser extent, differences in the
valuation timing and methodology between the Master Fund and the Index
generally detracted from the Portfolio's relative performance. The Master Fund
prices foreign exchange rates at the closing of the U.S. markets while the
Index uses rates at 4 pm London time. The Master Fund also may use fair value
pricing to price certain portfolio securities at the closing of the U.S.
markets while the Index uses local market closing prices.
CONTINENTAL SMALL COMPANY PORTFOLIO
The Continental Small Company Portfolio seeks to capture the returns of
small company stocks in the developed markets of Europe (excluding the U.K.)
and Israel, by purchasing shares of The Continental Small Company Series, a
Master Fund that invests in such securities. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2013, the Master
Fund held approximately 1,200 securities in 14 eligible developed continental
European countries and Israel. Country allocations generally reflect the
approximate weights of individual securities within a universe of continental
European and Israeli small company stocks constructed by the Advisor. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 42.99% for the
Portfolio and 42.99% for the MSCI Europe ex UK Small Cap Index (net dividends).
As a result of the Master Fund's diversified investment approach, performance
was determined principally by broad structural trends in the continental
European (excluding the U.K.) and Israeli equity markets, rather than the
behavior of a limited number of stocks. The Master Fund's exclusion of real
estate investment trusts ("REITs") had a positive impact on the Portfolio's
relative performance as REITs underperformed during the period. To a lesser
extent, differences in the valuation timing and methodology between the Master
Fund and the Index generally detracted from the Portfolio's relative
performance. The Master Fund prices foreign exchange rates at the closing of
the U.S. markets while the Index uses rates at 4 pm London time. The Master
Fund also may use fair value pricing to price certain portfolio securities at
the closing of the U.S. markets while the Index uses local market closing
prices.
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
The DFA International Real Estate Securities Portfolio is designed to
capture the returns of a broadly diversified portfolio of real estate
securities in international markets. As of October 31, 2013, the Portfolio held
approximately 220 securities in 20 approved developed and emerging market
countries. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of portfolio assets.
For the 12 months ended October 31, 2013, total returns were 9.24% for the
Portfolio and 9.05% for the S&P Global ex US REIT Index (net dividends). As a
result of the Portfolio's diversified approach, performance was determined
principally by structural trends in international real estate securities
markets rather than the behavior of a limited number of stocks. Withholding tax
rate differences between the Portfolio and the Index contributed to the
Portfolio's outperformance relative to the Index.
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
The DFA Global Real Estate Securities Portfolio, a fund of funds, is
designed to capture the returns of a broadly diversified portfolio of real
estate securities in U.S. and international markets. As of October 31, 2013,
the Portfolio invested in the DFA International Real Estate Securities
Portfolio and the DFA Real Estate Securities Portfolio (the "Underlying
Funds"). As of that date, the Underlying Funds held approximately 350
securities in 21 approved developed and emerging markets countries. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Portfolio's assets.
26
For the 12 months ended October 31, 2013, total returns were 9.74% for the
Portfolio and 9.77% for the S&P Global REIT Index (net dividends). As a result
of the Portfolio's diversified approach, performance was principally determined
by structural trends in global real estate securities markets rather than the
behavior of a limited number of stocks. The Portfolio generally performed
in-line with the Index.
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
The DFA International Small Cap Value Portfolio seeks to capture the returns
of international small company value stocks. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2013, the
Portfolio held approximately 2,000 securities in 22 eligible developed
countries. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2013, total returns were 37.79% for the
Portfolio and 27.81% for the MSCI World ex USA Small Cap Index (net dividends).
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad structural trends in international equity
markets rather than the behavior of a limited number of stocks. Within the
small cap universe, the Portfolio's greater exposure to value stocks, as
measured by book-to-market, contributed to the Portfolio's outperformance
relative to the Index as these stocks generally outperformed. Differences in
holdings in the materials and industrials sectors also contributed
significantly to the Portfolio's outperformance relative to the Index. The
Portfolio's exclusion of real estate investment trusts ("REITs") also benefited
the Portfolio's relative performance as REITs underperformed during the period.
INTERNATIONAL VECTOR EQUITY PORTFOLIO
The International Vector Equity Portfolio seeks to capture the returns of a
broadly diversified basket of international stocks with increased exposure to
smaller company stocks and those with value characteristics relative to the
market. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2013, the Portfolio held approximately 4,300
securities in 22 eligible developed markets. In general, cash exposure was low
throughout the year with an average cash balance of less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2013, total returns were 29.52% for the
Portfolio and 24.65% for the MSCI World ex USA Index (net dividends). As a
result of the Portfolio's diversified investment approach, performance was
determined principally by broad structural trends in the international equity
markets rather than by the behavior of a limited number of stocks. The
Portfolio invests in stocks across all size categories while the Index
primarily holds large cap and mid-cap stocks. International small cap stocks
generally outperformed international mid cap and large cap stocks during the
period, and the Portfolio's greater exposure to small cap stocks contributed to
the Portfolio's outperformance relative to the Index. The Portfolio's greater
exposure to deeper value stocks, as measured by book-to-market, was also
beneficial as these stocks generally outperformed the Index. The Portfolio's
exclusion of real estate investment trusts ("REITs") also contributed to the
Portfolio's outperformance relative to the Index as REITs underperformed during
the period.
WORLD EX U.S. VALUE PORTFOLIO
The World ex U.S. Value Portfolio seeks to capture the returns of value
stocks across all market capitalizations in international developed and
emerging markets by purchasing shares of three funds managed by Dimensional:
The DFA International Value Series, The DFA International Small Cap Value
Portfolio, and The Dimensional Emerging Markets Value Fund (the "Underlying
Funds"). Value is measured primarily by book-to-market ratio. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2013, the Underlying Funds collectively held approximately 4,700
securities. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2013, total returns were 23.61% for the
Portfolio and 20.29% for the MSCI All Country World ex USA Index (net
dividends). As a result of the Underlying Funds' diversified investment
approach, performance was determined principally by broad structural trends in
the international and emerging equity markets rather than the behavior of a
limited number of stocks. The Portfolio focuses on value stocks, as measured by
book-to-market, while the Index is neutral with regard to value or growth.
Value stocks generally outperformed growth stocks during the period,
particularly in developed markets. The Portfolio had greater
27
exposure than the Index to value stocks, which contributed to the Portfolio's
outperformance relative to the Index. The Underlying Funds invest in stocks
across all size categories while the Index primarily holds large cap and
mid-cap stocks. Small cap stocks generally outperformed large and mid cap
stocks during the period, and the Portfolio's greater exposure to small cap
stocks contributed to the Portfolio's outperformance relative to the Index. The
Underlying Funds' exclusion of real estate investment trusts ("REITs") also
benefited the Portfolio's relative performance as REITs underperformed during
the period. Differences in the valuation timing and methodology between the
Portfolio and the Index generally detracted from the Portfolio's relative
performance. The Underlying Funds price foreign exchange rates at the closing
of the U.S. markets while the Index uses rates at 4 pm London time. The
Portfolio also may use fair value pricing to price certain portfolio securities
at the closing of the U.S. markets while the Index uses local market closing
prices.
WORLD EX U.S. TARGETED VALUE PORTFOLIO
The World ex U.S. Targeted Value Portfolio seeks to capture the returns of
value stocks in international developed and emerging markets by purchasing
shares of four funds managed by Dimensional: The DFA International Small Cap
Value Portfolio, the International Vector Equity Portfolio, the Dimensional
Emerging Markets Value Fund, and the Emerging Markets Small Cap Series (the
"Underlying Funds"). Value is measured primarily by book-to-market ratio. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2013, the Underlying Funds collectively held approximately 8,200
securities. In general, cash exposure was low throughout the period with an
average cash balance of less than 1% of the Portfolio's assets.
From the Portfolio's inception on November 1, 2012, through October 31,
2013, total returns were 26.90% for the Portfolio and 22.89% for the MSCI All
Country World ex USA Small Cap Index (net dividends). As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in the international equity markets
rather than by the behavior of a limited number of stocks. The Underlying Funds
focus on small and mid-cap securities that are considered value stocks, as
measured by book-to-market, while the Index is neutral with regard to value or
growth. Value stocks, particularly within the developed markets small cap
universe, generally outperformed growth stocks during the period. The Portfolio
had greater exposure than the Index to these stocks, which contributed to the
Portfolio's outperformance relative to the Index. The Underlying Funds'
exclusion of real estate investment trusts ("REITs") also benefited the
Portfolio's relative performance as REITs underperformed during the period.
WORLD EX U.S. CORE EQUITY PORTFOLIO
The World ex U.S. Core Equity Portfolio seeks to capture the returns of
international stocks in developed and emerging markets, with increased exposure
to smaller company stocks and those with value characteristics, by purchasing
shares of two funds managed by Dimensional: The International Core Equity
Portfolio and the Emerging Markets Core Equity Portfolio (the "Underlying
Funds"). Value is measured primarily by book-to-market ratio. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2013, the Underlying Funds collectively held approximately 8,800
securities. In general, cash exposure was low throughout the period with an
average cash balance of less than 1% of the Portfolio's assets.
From the Portfolio's inception on April 9, 2013, through October 31, 2013,
total returns were 9.62% for the Portfolio and 11.08% for the MSCI All Country
World ex USA Index (net dividends). As a result of the Portfolio's diversified
investment approach, performance was determined principally by broad structural
trends in the international equity markets rather than by the behavior of a
limited number of stocks. The Portfolio had a higher than average cash balance
around the time of its launch in April 2013. As developed and emerging market
equities generally had positive returns in April, the higher cash balance was
primarily responsible for the Portfolio's underperformance relative to the
Index. The Portfolio's relative underperformance was partly offset by its
greater exposure than the Index to small cap stocks and value stocks, both of
which generally outperformed relative to the Index during the period. The
Underlying Funds' exclusion of real estate investment trusts ("REITs") also
benefited the Portfolio's relative performance as REITs underperformed during
the period.
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
The Selectively Hedged Global Equity Portfolio seeks long-term capital
appreciation by investing in a combination of mutual funds managed by
Dimensional. As of the date of this report, the mutual funds invested in by
28
the Portfolio include the U.S. Core Equity 2 Portfolio, International Core
Equity Portfolio, and Emerging Markets Core Equity Portfolio (the "Underlying
Funds"). The Portfolio hedges foreign currency exposure on a selective basis to
capture positive forward currency premiums. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2013, the
Underlying Funds held approximately 12,000 equity securities in 44 countries.
For the 12 months ended October 31, 2013, total returns were 26.86% for the
Portfolio and 23.29% for the MSCI All Country World Index (net dividends). As a
result of the Underlying Funds' diversified investment approach, performance
was determined principally by broad structural trends in global equity markets
rather than the behavior of a limited group of stocks in a particular industry
or country. The Underlying Funds invest in stocks across all size categories
while the Index primarily holds large cap and mid-cap stocks. The Portfolio had
greater exposure than the Index to value stocks, as measured by book-to-market
ratio. This emphasis on small cap and value, particularly in the U.S., was
primarily responsible for the Portfolio's outperformance relative to the Index
as small cap stocks and value stocks generally outperformed large and mid cap
stocks and growth stocks, respectively, during the period. The Underlying
Funds' exclusion of real estate investment trusts ("REITs") also contributed to
the Portfolio's outperformance relative to the Index as REITs generally
underperformed during the period. The Portfolio had greater exposure than the
Index to emerging markets, which detracted from the Portfolio's relative
performance as emerging markets generally underperformed during the period. The
Portfolio's currency hedging in Japanese yen also contributed to the
Portfolio's outperformance relative to the Index during the period.
EMERGING MARKETS PORTFOLIO
The Emerging Markets Portfolio seeks to capture the returns of large cap
stocks in selected emerging markets countries by purchasing shares of The
Emerging Markets Series, a Master Fund that invests in such securities. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2013, the Master Fund held approximately 1,000 securities across 21
eligible emerging markets. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 6.58% for the
Portfolio and 6.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Master Fund's diversified approach, performance was generally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. Differences in country weights between the Master
Fund and the Index contributed to relative performance differences. In
addition, differences in holdings within the financial sector contributed to
the Master Fund's outperformance relative to the Index.
EMERGING MARKETS SMALL CAP PORTFOLIO
The Emerging Markets Small Cap Portfolio seeks to capture the returns of
small company stocks in selected emerging markets by purchasing shares of the
Emerging Markets Small Cap Series, a Master Fund that invests in such
securities. The Master Fund's investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2013, the Master Fund held
approximately 3,100 securities across 17 eligible emerging markets. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 8.92% for the
Portfolio and 6.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Master Fund's diversified approach, performance was principally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. The Master Fund focuses on small cap stocks while
the Index primarily holds large cap and mid-cap stocks. Emerging markets small
cap stocks generally outperformed emerging markets large cap stocks over the
period. The Master Fund's significantly greater exposure to small cap stocks
was primarily responsible for the Portfolio's outperformance relative to the
Index.
EMERGING MARKETS VALUE PORTFOLIO
The Emerging Markets Value Portfolio seeks to capture the returns of value
stocks of large and small companies in selected emerging markets by purchasing
shares of the Dimensional Emerging Markets Value Fund,
29
a Master Fund that invests in such securities. Value is measured primarily by
book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2013, the Master Fund held
approximately 2,200 securities across 19 eligible emerging markets. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 7.75% for the
Portfolio's Class R2 shares, 8.01% for the Portfolio's Institutional Class
shares, and 6.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Master Fund's diversified investment approach, performance was
generally determined by broad structural trends in emerging markets rather than
the behavior of a limited number of stocks. The Master Fund invests in stocks
across all size categories while the Index primarily holds large and mid-cap
stocks. Emerging markets small cap stocks generally outperformed emerging
markets large cap stocks during the period. The Master Fund's greater exposure
to small cap stocks value was primarily responsible for the Portfolio's
outperformance relative to the Index. The Master Fund's greater exposure to
value stocks, as measured by book-to-market, was also beneficial as these
stocks generally outperformed the Index.
EMERGING MARKETS CORE EQUITY PORTFOLIO
The Emerging Markets Core Equity Portfolio seeks to capture the returns of a
broad universe of stocks in selected emerging markets with increased exposure
to smaller company stocks and those stocks with value characteristics, as
measured by book-to-market. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2013, the Portfolio held
approximately 3,900 securities across 21 eligible emerging markets. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2013, total returns were 7.75% for the
Portfolio and 6.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Portfolio's diversified approach, performance was generally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. The Portfolio invests in stocks across all size
categories while the Index primarily holds large and mid-cap stocks. Emerging
markets small cap stocks generally outperformed emerging markets large cap
stocks during the period. The Portfolio's greater exposure to small cap stocks
was primarily responsible for the Portfolio's outperformance relative to the
Index. The Portfolio's greater exposure to value stocks, as measured by
book-to-market, also contributed to the Portfolio's relative performance as
these stocks generally outperformed the Index.
30
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2013
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/13 10/31/13 RATIO* PERIOD*
--------- --------- ---------- --------
ENHANCED U.S. LARGE COMPANY PORTFOLIO
-------------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $1,110.50 0.24% $1.28
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,024.00 0.24% $1.22
U.S. LARGE CAP EQUITY PORTFOLIO+
--------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $1,110.10 0.19% $0.70
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,024.25 0.19% $0.97
31
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/13 10/31/13 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE CAP VALUE PORTFOLIO**
--------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,144.80 0.27% $1.46
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.84 0.27% $1.38
U.S. TARGETED VALUE PORTFOLIO
-----------------------------
Actual Fund Return
Class R1 Shares................. $1,000.00 $1,182.90 0.46% $2.53
Class R2 Shares................. $1,000.00 $1,181.40 0.62% $3.41
Institutional Class Shares...... $1,000.00 $1,182.60 0.37% $2.04
Hypothetical 5% Annual Return
Class R1 Shares................. $1,000.00 $1,022.89 0.46% $2.35
Class R2 Shares................. $1,000.00 $1,022.08 0.62% $3.16
Institutional Class Shares...... $1,000.00 $1,023.34 0.37% $1.89
U.S. SMALL CAP VALUE PORTFOLIO
------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,172.70 0.52% $2.85
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,022.58 0.52% $2.65
U.S. CORE EQUITY 1 PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,139.70 0.19% $1.02
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,024.25 0.19% $0.97
U.S. CORE EQUITY 2 PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,146.40 0.22% $1.19
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,024.10 0.22% $1.12
U.S. VECTOR EQUITY PORTFOLIO
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,164.10 0.32% $1.75
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.59 0.32% $1.63
U.S. SMALL CAP PORTFOLIO
------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,193.10 0.37% $2.05
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.34 0.37% $1.89
32
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/13 10/31/13 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. MICRO CAP PORTFOLIO
------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,213.50 0.52% $2.90
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.58 0.52% $2.65
DFA REAL ESTATE SECURITIES PORTFOLIO
------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $ 929.70 0.18% $0.88
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,024.30 0.18% $0.92
LARGE CAP INTERNATIONAL PORTFOLIO
---------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,086.20 0.28% $1.47
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.79 0.28% $1.43
INTERNATIONAL CORE EQUITY PORTFOLIO
-----------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,109.20 0.38% $2.02
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.29 0.38% $1.94
INTERNATIONAL SMALL COMPANY PORTFOLIO***
----------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,132.40 0.53% $2.85
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.53 0.53% $2.70
JAPANESE SMALL COMPANY PORTFOLIO**
----------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,033.70 0.54% $2.77
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.48 0.54% $2.75
ASIA PACIFIC SMALL COMPANY PORTFOLIO**
--------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,000.40 0.55% $2.77
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.43 0.55% $2.80
UNITED KINGDOM SMALL COMPANY PORTFOLIO**
----------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,190.40 0.59% $3.26
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.23 0.59% $3.01
33
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/13 10/31/13 RATIO* PERIOD*
--------- --------- ---------- --------
CONTINENTAL SMALL COMPANY PORTFOLIO**
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,230.40 0.57% $3.20
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.33 0.57% $2.91
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
--------------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $ 946.50 0.39% $1.91
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,023.24 0.39% $1.99
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO***
----------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $ 936.50 0.32% $1.56
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,023.59 0.32% $1.63
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
-------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,152.70 0.67% $3.64
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.83 0.67% $3.41
INTERNATIONAL VECTOR EQUITY PORTFOLIO
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,117.00 0.51% $2.72
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.63 0.51% $2.60
WORLD EX U.S. VALUE PORTFOLIO***
--------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,094.70 0.60% $3.17
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.18 0.60% $3.06
WORLD EX U.S. TARGETED VALUE PORTFOLIO***
-----------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,098.80 0.79% $4.18
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.22 0.79% $4.02
WORLD EX U.S. CORE EQUITY PORTFOLIO***
--------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,078.90 0.47% $2.46
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.84 0.47% $2.40
34
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/13 10/31/13 RATIO* PERIOD*
--------- --------- ---------- --------
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO***
---------------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,100.10 0.40% $2.12
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.19 0.40% $2.04
EMERGING MARKETS PORTFOLIO**
----------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,005.10 0.55% $2.78
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.43 0.55% $2.80
EMERGING MARKETS SMALL CAP PORTFOLIO**
--------------------------------------
Actual Fund Return
Institutional Class Shares................. $1,000.00 $ 965.50 0.71% $3.52
Hypothetical 5% Annual Return
Institutional Class Shares................. $1,000.00 $1,021.63 0.71% $3.62
EMERGING MARKETS VALUE PORTFOLIO**
----------------------------------
Actual Fund Return
Class R2 Shares.............................. $1,000.00 $ 995.20 0.79% $3.97
Institutional Class Shares................... $1,000.00 $ 996.40 0.54% $2.72
Hypothetical 5% Annual Return
Class R2 Shares.............................. $1,000.00 $1,021.22 0.79% $4.02
Institutional Class Shares................... $1,000.00 $1,022.48 0.54% $2.75
EMERGING MARKETS CORE EQUITY PORTFOLIO
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 996.20 0.61% $3.07
Hypothetical 5% Annual Return
Institutional Class Shares................. $1,000.00 $1,022.13 0.61% $3.11
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
***The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the indirect payment of the Fund of Funds'
portion of the expenses of its Master Funds (Affiliated Investment
Companies).
+ U.S. Large Cap Equity Portfolio commenced operations on June 25, 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 (129), 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 184 day period for the six months
ended October 31, 2013 to allow for comparability.
35
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 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
Affiliated Investment Companies' 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%
36
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
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%
ENHANCED DOMESTIC EQUITY PORTFOLIO
ENHANCED U.S LARGE COMPANY PORTFOLIO
Corporate.................................... 25.9%
Government................................... 40.9%
Foreign Corporate............................ 15.0%
Foreign Government........................... 14.7%
Supranational................................ 3.5%
-----
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. LARGE CAP EQUITY PORTFOLO
Consumer Discretionary....................... 14.3%
Consumer Staples............................. 9.2%
Energy....................................... 10.9%
Financials................................... 13.7%
Health Care.................................. 11.9%
Industrials.................................. 12.9%
Information Technology....................... 17.8%
Materials.................................... 4.4%
Telecommunication Services................... 2.5%
Utilities.................................... 2.4%
-----
100.0%
U.S. TARGETED VALUE PORTFOLIO
Consumer Discretionary....................... 13.7%
Consumer Staples............................. 3.4%
Energy....................................... 10.6%
Financials................................... 25.7%
Health Care.................................. 6.4%
Industrials.................................. 15.8%
Information Technology....................... 14.8%
Materials.................................... 7.5%
Other........................................ --
Real Estate Investment Trusts................ 0.2%
Telecommunication Services................... 1.4%
Utilities.................................... 0.5%
-----
100.0%
U.S. SMALL CAP VALUE PORTFOLIO
Consumer Discretionary....................... 16.1%
Consumer Staples............................. 3.9%
Energy....................................... 10.5%
Financials................................... 27.0%
Health Care.................................. 4.3%
Industrials.................................. 17.3%
Information Technology....................... 13.9%
Materials.................................... 6.3%
Other........................................ --
Real Estate Investment Trusts................ 0.2%
Telecommunication Services................... 0.4%
Utilities.................................... 0.1%
-----
100.0%
U.S. CORE EQUITY 1 PORTFOLIO
Consumer Discretionary....................... 14.6%
Consumer Staples............................. 7.3%
Energy....................................... 10.4%
Financials................................... 17.3%
Health Care.................................. 11.2%
Industrials.................................. 13.2%
Information Technology....................... 16.3%
Materials.................................... 4.7%
Other........................................ --
Telecommunication Services................... 2.0%
Utilities.................................... 3.0%
-----
100.0%
U.S. CORE EQUITY 2 PORTFOLIO
Consumer Discretionary....................... 14.2%
Consumer Staples............................. 6.1%
Energy....................................... 11.6%
Financials................................... 20.2%
Health Care.................................. 10.7%
Industrials.................................. 13.7%
Information Technology....................... 14.0%
Materials.................................... 4.9%
Other........................................ --
Telecommunication Services................... 2.5%
Utilities.................................... 2.1%
-----
100.0%
U.S. VECTOR EQUITY PORTFOLIO
Consumer Discretionary....................... 15.0%
Consumer Staples............................. 5.1%
Energy....................................... 11.5%
Financials................................... 24.5%
Health Care.................................. 8.2%
Industrials.................................. 13.9%
Information Technology....................... 12.7%
Materials.................................... 6.0%
Other........................................ --
Telecommunication Services................... 1.9%
Utilities.................................... 1.2%
-----
100.0%
37
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
U.S. SMALL CAP PORTFOLIO
Consumer Discretionary....................... 18.8%
Consumer Staples............................. 4.4%
Energy....................................... 5.2%
Financials................................... 16.8%
Health Care.................................. 9.6%
Industrials.................................. 18.2%
Information Technology....................... 18.0%
Materials.................................... 5.1%
Other........................................ --
Real Estate Investment Trusts................ 0.2%
Telecommunication Services................... 0.6%
Utilities.................................... 3.1%
-----
100.0%
U.S. MICRO CAP PORTFOLIO
Consumer Discretionary....................... 19.3%
Consumer Staples............................. 4.3%
Energy....................................... 5.2%
Financials................................... 17.5%
Health Care.................................. 9.4%
Industrials.................................. 17.8%
Information Technology....................... 17.8%
Materials.................................... 6.0%
Other........................................ --
Telecommunication Services................... 1.1%
Utilities.................................... 1.6%
-----
100.0%
DFA REAL ESTATE SECURITIES PORTFOLIO
Real Estate Investment Trusts................ 100.0%
-----
100.0%
LARGE CAP INTERNATIONAL PORTFOLIO
Consumer Discretionary....................... 11.6%
Consumer Staples............................. 10.3%
Energy....................................... 8.8%
Financials................................... 25.8%
Health Care.................................. 9.2%
Industrials.................................. 12.6%
Information Technology....................... 4.2%
Materials.................................... 9.1%
Other........................................ --
Telecommunication Services................... 5.2%
Utilities.................................... 3.2%
-----
100.0%
INTERNATIONAL CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 13.7%
Consumer Staples............................. 6.6%
Energy....................................... 8.7%
Financials................................... 26.6%
Health Care.................................. 5.3%
Industrials.................................. 16.9%
Information Technology....................... 5.5%
Materials.................................... 10.6%
Other........................................ --
Telecommunication Services................... 3.2%
Utilities.................................... 2.9%
-----
100.0%
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
Consumer Discretionary....................... 0.1%
Financials................................... 0.5%
Health Care.................................. --
Other........................................ --
Real Estate Investment Trusts................ 99.4%
-----
100.0%
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Consumer Discretionary....................... 20.6%
Consumer Staples............................. 3.6%
Energy....................................... 4.7%
Financials................................... 19.8%
Health Care.................................. 2.0%
Industrials.................................. 27.9%
Information Technology....................... 4.9%
Materials.................................... 15.9%
Other........................................ --
Telecommunication Services................... 0.3%
Utilities.................................... 0.3%
-----
100.0%
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Consumer Discretionary....................... 14.6%
Consumer Staples............................. 5.8%
Energy....................................... 8.0%
Financials................................... 25.5%
Health Care.................................. 4.3%
Industrials.................................. 19.1%
Information Technology....................... 6.1%
Materials.................................... 12.2%
Other........................................ --
Telecommunication Services................... 2.3%
Utilities.................................... 2.1%
-----
100.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO
Consumer Discretionary....................... 10.7%
Consumer Staples............................. 7.5%
Energy....................................... 9.8%
Financials................................... 25.0%
Health Care.................................. 2.5%
Industrials.................................. 10.8%
Information Technology....................... 13.4%
Materials.................................... 12.4%
Other........................................ --
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 4.2%
Utilities.................................... 3.6%
-----
100.0%
38
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (55.2%)
AUSTRALIA -- (4.3%)
Commonwealth Bank of Australia
^^ 3.500%, 03/19/15............................. 4,000 $ 4,158,428
Westpac Banking Corp.
^^ 1.125%, 09/25/15............................. 4,930 4,979,975
------------
TOTAL AUSTRALIA.................................. 9,138,403
------------
BELGIUM -- (1.2%)
Belgium Government International Bond
^^ 2.750%, 03/05/15............................. 2,500 2,573,925
------------
CANADA -- (8.9%)
Bank of Nova Scotia
^^ 1.850%, 01/12/15............................. 5,000 5,081,080
Enbridge, Inc.
^^ 5.800%, 06/15/14............................. 1,100 1,131,541
Manitoba, Province of Canada
^^ 2.625%, 07/15/15............................. 4,500 4,666,410
Ontario, Province of Canada
^^ 0.950%, 05/26/15............................. 4,500 4,537,935
Thomson Reuters Corp.
^^ 5.700%, 10/01/14............................. 800 837,010
TransAlta Corp.
^^ 4.750%, 01/15/15............................. 925 963,619
TransCanada PipeLines, Ltd.
^^ 3.400%, 06/01/15............................. 1,500 1,565,930
------------
TOTAL CANADA..................................... 18,783,525
------------
FRANCE -- (2.0%)
BNP Paribas SA
^^ 3.250%, 03/11/15............................. 1,500 1,550,738
Orange SA
^^ 4.375%, 07/08/14............................. 1,000 1,023,692
Total Capital SA
^^ 3.125%, 10/02/15............................. 1,587 1,663,003
------------
TOTAL FRANCE..................................... 4,237,433
------------
NETHERLANDS -- (6.7%)
Bank Nederlandse Gemeenten
^^ 3.125%, 01/12/15............................. 1,500 1,548,684
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA
^^ 2.500%, 12/12/13............................. 2,000 2,004,134
^^ 2.125%, 10/13/15............................. 2,532 2,599,521
Nederlandse Waterschapsbank NV
^^ 3.000%, 03/17/15............................. 2,900 3,003,599
Netherlands Government Bond
^^ 0.250%, 09/12/15............................. 5,000 4,987,070
------------
TOTAL NETHERLANDS................................ 14,143,008
------------
FACE
AMOUNT^ VALUE+
------- ------
(000)
NEW ZEALAND -- (2.4%)
New Zealand Government Bond
^^ 6.000%, 04/15/15............................. NZD 6,000 $ 5,161,871
------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (3.5%)
Inter-American Development Bank
^^ 2.250%, 07/15/15............................. 2,500 2,580,848
International Finance Facility for Immunisation
^^ 3.375%, 05/15/14............................. GBP 3,000 4,873,596
------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 7,454,444
------------
SWEDEN -- (2.1%)
Svensk Exportkredit AB
^^ 0.625%, 09/04/15............................. 4,500 4,515,255
------------
UNITED KINGDOM -- (2.0%)
Barclays Bank P.L.C.
^^ 5.200%, 07/10/14............................. 300 309,725
BP Capital Markets P.L.C.
^^ 3.875%, 03/10/15............................. 1,500 1,566,489
Royal Bank of Scotland Group P.L.C.
^^ 2.550%, 09/18/15............................. 700 716,926
Vodafone Group P.L.C.
^^ 5.000%, 12/16/13............................. 1,000 1,005,330
^^ 4.150%, 06/10/14............................. 500 510,728
------------
TOTAL UNITED KINGDOM............................. 4,109,198
------------
UNITED STATES -- (22.1%)
American Express Co.
^^ 7.250%, 05/20/14............................. $ 1,100 1,140,621
American International Group, Inc.
^^ 3.000%, 03/20/15............................. 1,500 1,543,209
Amgen, Inc.
^^ 4.850%, 11/18/14............................. 1,900 1,984,955
Anheuser-Busch InBev Worldwide, Inc.
^^ 0.800%, 07/15/15............................. 1,000 1,004,595
Assurant, Inc.
^^ 5.625%, 02/15/14............................. 1,000 1,013,837
AT&T, Inc.
^^ 2.500%, 08/15/15............................. 1,606 1,652,152
Bank of America Corp.
^^ 7.375%, 05/15/14............................. 1,000 1,035,292
Capital One Financial Corp.
^^ 2.125%, 07/15/14............................. 1,000 1,010,868
Citigroup, Inc.
^^ 6.375%, 08/12/14............................. 762 795,436
39
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
CNA Financial Corp.
^^ 5.850%, 12/15/14............................. 1,000 $ 1,053,937
Coca-Cola Enterprises, Inc.
^^ 1.125%, 11/12/13............................. 1,921 1,921,271
Constellation Energy Group, Inc.
^^ 4.550%, 06/15/15............................. 1,000 1,054,155
Daimler Finance North America LLC
^^ 6.500%, 11/15/13............................. 1,500 1,502,546
DIRECTV Holdings LLC / DIRECTV Financing Co.,
Inc.
^^ 4.750%, 10/01/14............................. 1,500 1,555,051
Enterprise Products Operating LLC
^^ 5.600%, 10/15/14............................. 500 523,424
Express Scripts Holding Co.
^^ 2.100%, 02/12/15............................. 1,000 1,015,780
Ford Motor Credit Co. LLC
^^ 2.750%, 05/15/15............................. 1,000 1,026,509
Freeport-McMoRan Copper & Gold, Inc.
^^ 1.400%, 02/13/15............................. 500 502,538
General Electric Capital Corp.
^^ 4.875%, 03/04/15............................. 1,200 1,268,087
Goldman Sachs Group, Inc. (The)
^^ 5.125%, 01/15/15............................. 894 939,233
Hartford Financial Services Group, Inc.
^^ 4.750%, 03/01/14............................. 1,580 1,599,780
HSBC USA, Inc.
^^ 2.375%, 02/13/15............................. 1,000 1,023,009
International Paper Co.
^^ 5.300%, 04/01/15............................. 1,050 1,112,894
JPMorgan Chase & Co.
^^ 2.050%, 01/24/14............................. 1,000 1,004,057
MetLife, Inc.
^^ 5.000%, 11/24/13............................. 350 350,882
Morgan Stanley
^^ 4.200%, 11/20/14............................. 1,500 1,554,595
National City Corp.
^^ 4.900%, 01/15/15............................. 1,500 1,576,506
NextEra Energy Capital Holdings, Inc.
^^ 1.200%, 06/01/15............................. 1,000 1,006,594
Safeway, Inc.
^^ 5.625%, 08/15/14............................. 1,500 1,542,330
Spectra Energy Capital LLC
^^ 5.500%, 03/01/14............................. 1,500 1,522,093
Time Warner Cable, Inc.
^^ 3.500%, 02/01/15............................. 1,000 1,028,576
Toyota Motor Credit Corp.
^^ 0.875%, 07/17/15............................. 2,000 2,014,134
Union Bank NA
^^ 2.125%, 12/16/13............................. 1,050 1,052,267
Viacom, Inc.
^^ 4.375%, 09/15/14............................. 1,500 1,547,665
WellPoint, Inc.
^^ 5.000%, 12/15/14............................. 1,572 1,647,264
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Wells Fargo & Co.
^^ 1.500%, 07/01/15............................. 1,500 $ 1,520,779
Williams Partners L.P.
^^ 3.800%, 02/15/15............................. 1,000 1,036,267
Xerox Corp.
^^ 4.250%, 02/15/15............................. 1,000 1,041,707
------------
TOTAL UNITED STATES.............................. 46,724,895
------------
TOTAL BONDS...................................... 116,841,957
------------
AGENCY OBLIGATIONS -- (26.4%)
Federal Home Loan Bank
^^ 0.375%, 08/28/15............................. 11,000 11,016,093
^^ 1.750%, 09/11/15............................. 4,000 4,104,364
Federal Home Loan Mortgage Corporation
^^ 1.750%, 09/10/15............................. 23,500 24,104,866
Federal National Mortgage Association
^^ 4.375%, 10/15/15............................. 5,000 5,390,740
^^ 1.625%, 10/26/15............................. 11,000 11,273,592
------------
TOTAL AGENCY OBLIGATIONS......................... 55,889,655
------------
U.S. TREASURY OBLIGATIONS -- (14.7%)
U.S. Treasury Notes
^^ 1.250%, 08/31/15............................. 5,000 5,088,085
^^ 0.250%, 09/15/15............................. 26,000 25,978,680
------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 31,066,765
------------
SHARES
------ -
EXCHANGE-TRADED FUNDS -- (3.7%)
UNITED STATES -- (3.7%)
^^ SPDR S&P 500 ETF Trust....................... 44,100 $ 7,749,693
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $207,572,600)............................ $211,548,070
============
40
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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.............................. -- $ 9,138,403 -- $ 9,138,403
Belgium................................ -- 2,573,925 -- 2,573,925
Canada................................. -- 18,783,525 -- 18,783,525
France................................. -- 4,237,433 -- 4,237,433
Netherlands............................ -- 14,143,008 -- 14,143,008
New Zealand............................ -- 5,161,871 -- 5,161,871
Supranational Organization Obligations. -- 7,454,444 -- 7,454,444
Sweden................................. -- 4,515,255 -- 4,515,255
United Kingdom......................... -- 4,109,198 -- 4,109,198
United States.......................... -- 46,724,895 -- 46,724,895
Agency Obligations....................... -- 55,889,655 -- 55,889,655
U.S. Treasury Obligations................ -- 31,066,765 -- 31,066,765
Exchange-Traded Funds.................... $ 7,749,693 -- -- 7,749,693
Forward Currency Contracts**............. -- (217,267) -- (217,267)
Futures Contracts**...................... 7,914,250 -- -- 7,914,250
----------- ------------ -- ------------
TOTAL.................................... $15,663,943 $203,581,110 -- $219,245,053
=========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
41
U.S. LARGE CAP EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (78.8%)
Consumer Discretionary -- (11.3%)
#* Amazon.com, Inc................... 2,368 $ 862,023 0.6%
# Comcast Corp. Class A............. 12,656 602,172 0.4%
# Ford Motor Co..................... 29,889 511,401 0.4%
Home Depot, Inc. (The)............ 10,741 836,616 0.6%
McDonald's Corp................... 6,834 659,618 0.5%
# Walt Disney Co. (The)............. 11,484 787,688 0.6%
Other Securities.................. 14,923,649 11.1%
------------ -----
Total Consumer Discretionary.......... 19,183,167 14.2%
------------ -----
Consumer Staples -- (7.2%)
Altria Group, Inc................. 15,353 571,592 0.4%
Coca-Cola Co. (The)............... 24,123 954,547 0.7%
CVS Caremark Corp................. 8,794 547,514 0.4%
PepsiCo, Inc...................... 11,559 971,996 0.7%
Philip Morris International, Inc.. 7,357 655,656 0.5%
Procter & Gamble Co. (The)........ 16,427 1,326,480 1.0%
Wal-Mart Stores, Inc.............. 14,077 1,080,410 0.8%
Other Securities.................. 6,156,227 4.5%
------------ -----
Total Consumer Staples................ 12,264,422 9.0%
------------ -----
Energy -- (8.6%)
Chevron Corp...................... 15,399 1,847,264 1.4%
# ConocoPhillips.................... 9,824 720,099 0.5%
Exxon Mobil Corp.................. 33,948 3,042,420 2.2%
Occidental Petroleum Corp......... 6,368 611,837 0.4%
Schlumberger, Ltd................. 9,413 882,186 0.6%
Other Securities.................. 7,529,797 5.7%
------------ -----
Total Energy.......................... 14,633,603 10.8%
------------ -----
Financials -- (10.8%)
Bank of America Corp.............. 60,004 837,656 0.6%
* Berkshire Hathaway, Inc. Class B.. 7,001 805,675 0.6%
Citigroup, Inc.................... 17,040 831,211 0.6%
Goldman Sachs Group, Inc. (The)... 3,171 510,087 0.4%
JPMorgan Chase & Co............... 21,278 1,096,668 0.8%
Wells Fargo & Co.................. 35,385 1,510,586 1.1%
Other Securities.................. 12,832,461 9.5%
------------ -----
Total Financials...................... 18,424,344 13.6%
------------ -----
Health Care -- (9.4%)
AbbVie, Inc....................... 11,687 566,235 0.4%
Amgen, Inc........................ 4,379 507,964 0.4%
#* Gilead Sciences, Inc.............. 10,529 747,454 0.6%
Johnson & Johnson................. 17,936 1,661,053 1.2%
Merck & Co., Inc.................. 16,010 721,891 0.5%
Pfizer, Inc....................... 42,830 1,314,024 1.0%
UnitedHealth Group, Inc........... 8,727 595,705 0.4%
Other Securities.................. 9,891,997 7.3%
------------ -----
Total Health Care..................... 16,006,323 11.8%
------------ -----
42
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (10.1%)
3M Co.............................................. 5,226 $ 657,692 0.5%
# Boeing Co. (The)................................... 5,477 714,749 0.5%
# Caterpillar, Inc................................... 6,084 507,162 0.4%
General Electric Co................................ 60,931 1,592,736 1.2%
Union Pacific Corp................................. 3,705 560,937 0.4%
# United Parcel Service, Inc. Class B................ 5,411 531,577 0.4%
United Technologies Corp........................... 5,829 619,331 0.5%
Other Securities................................... 12,050,736 8.8%
------------ ------
Total Industrials........................................ 17,234,920 12.7%
------------ ------
Information Technology -- (14.1%)
Apple, Inc......................................... 7,301 3,813,677 2.8%
Cisco Systems, Inc................................. 37,573 845,392 0.6%
* Google, Inc. Class A............................... 1,196 1,232,574 0.9%
# Intel Corp......................................... 49,134 1,200,344 0.9%
International Business Machines Corp............... 5,277 945,691 0.7%
Mastercard, Inc. Class A........................... 840 602,364 0.5%
Microsoft Corp..................................... 58,934 2,083,317 1.5%
Oracle Corp........................................ 22,445 751,907 0.6%
QUALCOMM, Inc...................................... 10,063 699,077 0.5%
# Visa, Inc. Class A................................. 2,928 575,850 0.4%
Other Securities................................... 11,166,673 8.3%
------------ ------
Total Information Technology............................. 23,916,866 17.7%
------------ ------
Materials -- (3.5%)
Other Securities................................... 5,926,778 4.4%
------------ ------
Telecommunication Services -- (2.0%)
AT&T, Inc.......................................... 28,648 1,037,057 0.8%
Verizon Communications, Inc........................ 29,531 1,491,611 1.1%
Other Securities................................... 803,507 0.6%
------------ ------
Total Telecommunication Services......................... 3,332,175 2.5%
------------ ------
Utilities -- (1.8%)
Other Securities................................... 3,161,345 2.3%
------------ ------
TOTAL COMMON STOCKS...................................... 134,083,943 99.0%
------------ ------
TEMPORARY CASH INVESTMENTS -- (1.3%)
State Street Institutional Liquid Reserves, 0.073% 2,237,177 2,237,177 1.7%
------------ ------
SHARES/
FACE
AMOUNT
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (19.9%)
(S)@ DFA Short Term Investment Fund..................... 2,917,225 33,752,290 24.9%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $159,513,609).................................. $170,073,410 125.6%
============ ======
43
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...... $ 19,183,167 -- -- $ 19,183,167
Consumer Staples............ 12,264,422 -- -- 12,264,422
Energy...................... 14,633,603 -- -- 14,633,603
Financials.................. 18,424,344 -- -- 18,424,344
Health Care................. 16,006,323 -- -- 16,006,323
Industrials................. 17,234,920 -- -- 17,234,920
Information Technology...... 23,916,866 -- -- 23,916,866
Materials................... 5,926,778 -- -- 5,926,778
Telecommunication Services.. 3,332,175 -- -- 3,332,175
Utilities................... 3,161,345 -- -- 3,161,345
Temporary Cash Investments.... 2,237,177 -- -- 2,237,177
Securities Lending Collateral. -- $33,752,290 -- 33,752,290
------------ ----------- -- ------------
TOTAL......................... $136,321,120 $33,752,290 -- $170,073,410
============ =========== == ============
See accompanying Notes to Financial Statements.
44
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
VALUE+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company..................... $11,967,119,572
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $7,741,066,829)............................. $11,967,119,572
===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
45
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (86.6%)
Consumer Discretionary -- (11.9%)
#* Cabela's, Inc.......................... 289,665 $ 17,182,928 0.4%
Dillard's, Inc. Class A................ 211,147 17,309,831 0.4%
# GameStop Corp. Class A................. 635,798 34,854,446 0.8%
* Live Nation Entertainment, Inc......... 924,308 17,968,548 0.4%
# Washington Post Co. (The) Class B...... 30,743 19,777,587 0.5%
# Wendy's Co. (The)...................... 2,246,594 19,522,902 0.5%
Other Securities....................... 446,579,792 10.6%
-------------- ------
Total Consumer Discretionary............... 573,196,034 13.6%
-------------- ------
Consumer Staples -- (2.9%)
* Hain Celestial Group, Inc. (The)....... 189,025 15,732,551 0.4%
Other Securities....................... 125,648,756 3.0%
-------------- ------
Total Consumer Staples..................... 141,381,307 3.4%
-------------- ------
Energy -- (9.2%)
Nabors Industries, Ltd................. 991,502 17,331,455 0.4%
# Patterson-UTI Energy, Inc.............. 696,309 16,892,456 0.4%
* Rowan Cos. P.L.C. Class A.............. 671,277 24,219,674 0.6%
* Superior Energy Services, Inc.......... 633,713 17,002,520 0.4%
Tesoro Corp............................ 476,686 23,305,179 0.6%
Tidewater, Inc......................... 297,291 17,902,864 0.4%
* Whiting Petroleum Corp................. 384,511 25,719,941 0.6%
Other Securities....................... 299,773,020 7.1%
-------------- ------
Total Energy............................... 442,147,109 10.5%
-------------- ------
Financials -- (22.3%)
Allied World Assurance Co. Holdings AG. 169,770 18,384,393 0.4%
* American Capital, Ltd.................. 1,522,751 21,333,742 0.5%
American Financial Group, Inc.......... 459,734 25,864,635 0.6%
Assurant, Inc.......................... 471,974 27,601,040 0.7%
# Assured Guaranty, Ltd.................. 768,259 15,749,309 0.4%
Axis Capital Holdings, Ltd............. 593,046 28,122,241 0.7%
CNO Financial Group, Inc............... 1,174,038 18,291,512 0.4%
#* E*TRADE Financial Corp................. 1,092,091 18,467,259 0.4%
* Genworth Financial, Inc. Class A....... 2,131,699 30,973,586 0.7%
# Legg Mason, Inc........................ 731,595 28,144,460 0.7%
NASDAQ OMX Group, Inc. (The)........... 858,799 30,427,249 0.7%
Old Republic International Corp........ 1,179,426 19,802,563 0.5%
PartnerRe, Ltd......................... 321,083 32,175,727 0.8%
# People's United Financial, Inc......... 1,477,976 21,327,194 0.5%
Protective Life Corp................... 420,743 19,387,837 0.5%
Reinsurance Group of America, Inc...... 387,086 27,552,781 0.7%
Validus Holdings, Ltd.................. 382,593 15,104,772 0.4%
Zions BanCorp.......................... 790,545 22,427,762 0.5%
Other Securities....................... 653,986,823 15.4%
-------------- ------
Total Financials........................... 1,075,124,885 25.5%
-------------- ------
Health Care -- (5.5%)
Community Health Systems, Inc.......... 490,559 21,403,089 0.5%
Omnicare, Inc.......................... 597,354 32,944,073 0.8%
Other Securities....................... 211,790,254 5.0%
-------------- ------
Total Health Care.......................... 266,137,416 6.3%
-------------- ------
46
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (13.6%)
AMERCO............................................. 84,246 $ 17,011,795 0.4%
* Avis Budget Group, Inc............................. 665,365 20,845,885 0.5%
* Owens Corning...................................... 624,093 22,423,661 0.5%
Ryder System, Inc.................................. 309,611 20,381,692 0.5%
# Trinity Industries, Inc............................ 485,295 24,570,486 0.6%
URS Corp........................................... 366,165 19,853,466 0.5%
Other Securities................................... 534,006,806 12.6%
-------------- ------
Total Industrials........................................ 659,093,791 15.6%
-------------- ------
Information Technology -- (12.8%)
# AOL, Inc........................................... 416,163 15,081,747 0.4%
* Arrow Electronics, Inc............................. 462,647 22,216,309 0.5%
Avnet, Inc......................................... 602,535 23,920,640 0.6%
#* First Solar, Inc................................... 629,345 31,637,173 0.8%
* Ingram Micro, Inc. Class A......................... 737,900 17,097,143 0.4%
Marvell Technology Group, Ltd...................... 1,425,540 17,106,480 0.4%
Other Securities................................... 489,704,916 11.5%
-------------- ------
Total Information Technology............................. 616,764,408 14.6%
-------------- ------
Materials -- (6.5%)
Reliance Steel & Aluminum Co....................... 404,807 29,668,305 0.7%
Rock Tenn Co. Class A.............................. 178,696 19,122,259 0.5%
Steel Dynamics, Inc................................ 904,475 16,253,416 0.4%
Other Securities................................... 248,841,823 5.8%
-------------- ------
Total Materials.......................................... 313,885,803 7.4%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Real Estate Investment Trusts -- (0.2%)
Other Securities................................... 7,868,529 0.2%
-------------- ------
Telecommunication Services -- (1.2%)
Other Securities................................... 58,657,005 1.4%
-------------- ------
Utilities -- (0.5%)......................................
# UGI Corp........................................... 424,799 17,573,935 0.4%
Other Securities................................... 5,926,184 0.2%
-------------- ------
Total Utilities.......................................... 23,500,119 0.6%
-------------- ------
TOTAL COMMON STOCKS...................................... 4,177,756,406 99.1%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 25,593 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional Liquid Reserves, 0.073%. 25,534,847 25,534,847 0.6%
-------------- ------
SHARES/
FACE
AMOUNT
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (12.9%)
(S)@ DFA Short Term Investment Fund..................... 53,871,979 623,298,798 14.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,493,026,078)................................ $4,826,615,644 114.5%
============== ======
47
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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........ $ 573,196,034 -- -- $ 573,196,034
Consumer Staples.............. 141,381,307 -- -- 141,381,307
Energy........................ 442,147,109 -- -- 442,147,109
Financials.................... 1,075,117,373 $ 7,512 -- 1,075,124,885
Health Care................... 265,990,921 146,495 -- 266,137,416
Industrials................... 658,984,691 109,100 -- 659,093,791
Information Technology........ 616,764,408 -- -- 616,764,408
Materials..................... 313,885,803 -- -- 313,885,803
Other......................... -- -- -- --
Real Estate Investment Trusts. 7,868,529 -- -- 7,868,529
Telecommunication Services.... 58,657,005 -- -- 58,657,005
Utilities..................... 23,500,119 -- -- 23,500,119
Rights/Warrants................. -- 25,593 -- 25,593
Temporary Cash Investments...... 25,534,847 -- -- 25,534,847
Securities Lending Collateral... -- 623,298,798 -- 623,298,798
-------------- ------------ -- --------------
TOTAL........................... $4,203,028,146 $623,587,498 -- $4,826,615,644
============== ============ == ==============
See accompanying Notes to Financial Statements.
48
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (85.8%)
Consumer Discretionary -- (13.8%)
#* Cabela's, Inc........................... 730,898 $ 43,356,869 0.5%
#* Iconix Brand Group, Inc................. 2,233,461 80,605,607 0.8%
* Live Nation Entertainment, Inc.......... 2,980,399 57,938,957 0.6%
Penske Automotive Group, Inc............ 1,250,616 49,549,406 0.5%
# Rent-A-Center, Inc...................... 1,772,669 60,696,187 0.6%
# Wendy's Co. (The)....................... 5,109,486 44,401,433 0.5%
Other Securities........................ 1,183,785,818 12.4%
-------------- ------
Total Consumer Discretionary................ 1,520,334,277 15.9%
-------------- ------
Consumer Staples -- (3.3%)
Fresh Del Monte Produce, Inc............ 1,603,629 42,640,495 0.5%
Seaboard Corp........................... 18,588 50,745,240 0.5%
# Universal Corp.......................... 830,795 44,057,059 0.5%
Other Securities........................ 229,684,189 2.3%
-------------- ------
Total Consumer Staples...................... 367,126,983 3.8%
-------------- ------
Energy -- (9.1%)
Bristow Group, Inc...................... 1,325,217 106,640,212 1.1%
#* Exterran Holdings, Inc.................. 2,293,667 65,484,193 0.7%
* Helix Energy Solutions Group, Inc....... 3,443,185 81,465,757 0.8%
#* Hornbeck Offshore Services, Inc......... 1,311,935 72,510,647 0.8%
#* PDC Energy, Inc......................... 643,218 43,616,613 0.5%
# SEACOR Holdings, Inc.................... 510,108 49,888,562 0.5%
Other Securities........................ 579,294,876 6.1%
-------------- ------
Total Energy................................ 998,900,860 10.5%
-------------- ------
Financials -- (23.2%)
Argo Group International Holdings, Ltd.. 1,019,162 42,784,421 0.5%
CapitalSource, Inc...................... 3,605,113 47,154,878 0.5%
CNO Financial Group, Inc................ 8,581,021 133,692,307 1.4%
# Endurance Specialty Holdings, Ltd....... 1,240,849 68,606,541 0.7%
Hanover Insurance Group, Inc. (The)..... 955,408 55,929,584 0.6%
Kemper Corp............................. 1,614,877 59,782,747 0.6%
# MB Financial, Inc....................... 1,464,568 43,497,670 0.5%
#* MBIA, Inc............................... 4,664,368 53,033,864 0.6%
Montpelier Re Holdings, Ltd............. 2,155,898 59,524,344 0.6%
#* PHH Corp................................ 1,999,053 48,077,225 0.5%
Platinum Underwriters Holdings, Ltd..... 978,955 60,881,211 0.7%
Provident Financial Services, Inc....... 2,294,791 43,004,383 0.5%
# Radian Group, Inc....................... 2,978,199 43,392,359 0.5%
Selective Insurance Group, Inc.......... 1,840,980 48,362,545 0.5%
Susquehanna Bancshares, Inc............. 5,363,165 63,204,900 0.7%
# Umpqua Holdings Corp.................... 4,077,772 66,753,128 0.7%
Washington Federal, Inc................. 1,940,982 44,215,570 0.5%
Webster Financial Corp.................. 2,225,867 62,079,431 0.7%
# Wintrust Financial Corp................. 1,288,249 56,051,714 0.6%
Other Securities........................ 1,461,735,985 15.0%
-------------- ------
Total Financials............................ 2,561,764,807 26.9%
-------------- ------
Health Care -- (3.7%)
* LifePoint Hospitals, Inc................ 1,892,213 97,713,879 1.0%
Other Securities........................ 308,580,478 3.3%
-------------- ------
Total Health Care........................... 406,294,357 4.3%
-------------- ------
49
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (14.8%)
AMERCO............................................. 343,691 $ 69,401,524 0.7%
#* Avis Budget Group, Inc............................. 3,927,269 123,041,338 1.3%
* Esterline Technologies Corp........................ 1,145,345 91,810,855 1.0%
# GATX Corp.......................................... 1,763,892 90,928,633 1.0%
# General Cable Corp................................. 1,577,516 51,947,602 0.6%
#* JetBlue Airways Corp............................... 10,286,881 72,933,986 0.8%
#* Mobile Mini, Inc................................... 1,175,105 42,444,793 0.5%
Other Securities................................... 1,095,470,224 11.3%
--------------- ------
Total Industrials........................................ 1,637,978,955 17.2%
--------------- ------
Information Technology -- (11.9%)
* Benchmark Electronics, Inc......................... 2,299,623 52,270,431 0.6%
#* CACI International, Inc. Class A................... 780,459 56,177,439 0.6%
# Convergys Corp..................................... 3,909,664 77,176,767 0.8%
#* SYNNEX Corp........................................ 1,175,733 72,072,433 0.8%
* Tech Data Corp..................................... 836,389 43,542,411 0.5%
#* Vishay Intertechnology, Inc........................ 4,709,603 57,786,829 0.6%
Other Securities................................... 955,905,032 9.9%
--------------- ------
Total Information Technology............................. 1,314,931,342 13.8%
--------------- ------
Materials -- (5.4%)
* Graphic Packaging Holding Co....................... 5,789,957 48,635,639 0.5%
* Louisiana-Pacific Corp............................. 3,503,276 59,590,725 0.6%
Other Securities................................... 491,791,727 5.2%
--------------- ------
Total Materials.......................................... 600,018,091 6.3%
--------------- ------
Other -- (0.0%)
Other Securities................................... 85,260 0.0%
--------------- ------
Real Estate Investment Trusts -- (0.2%)
Other Securities................................... 19,418,367 0.2%
--------------- ------
Telecommunication Services -- (0.3%)
Other Securities................................... 35,414,331 0.4%
--------------- ------
Utilities -- (0.1%)
Other Securities................................... 7,908,495 0.1%
--------------- ------
TOTAL COMMON STOCKS...................................... 9,470,176,125 99.4%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities................................... -- 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 222,356 0.0%
--------------- ------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional Liquid Reserves, 0.073%. 58,723,771 58,723,771 0.6%
--------------- ------
SHARES/
FACE
AMOUNT
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (13.7%)
(S)@ DFA Short Term Investment Fund..................... 130,380,635 1,508,503,951 15.9%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,164,435,164)................................ $11,037,626,203 115.9%
=============== ======
50
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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........ $1,520,334,277 -- -- $ 1,520,334,277
Consumer Staples.............. 367,126,983 -- -- 367,126,983
Energy........................ 998,900,860 -- -- 998,900,860
Financials.................... 2,561,714,904 $ 49,903 -- 2,561,764,807
Health Care................... 405,421,123 873,234 -- 406,294,357
Industrials................... 1,637,355,218 623,737 -- 1,637,978,955
Information Technology........ 1,314,931,342 -- -- 1,314,931,342
Materials..................... 600,018,091 -- -- 600,018,091
Other......................... -- 85,260 -- 85,260
Real Estate Investment Trusts. 19,418,367 -- -- 19,418,367
Telecommunication Services.... 35,414,331 -- -- 35,414,331
Utilities..................... 7,908,495 -- -- 7,908,495
Preferred Stocks
Other......................... -- -- -- --
Rights/Warrants................. -- 222,356 -- 222,356
Temporary Cash Investments...... 58,723,771 -- -- 58,723,771
Securities Lending Collateral... -- 1,508,503,951 -- 1,508,503,951
-------------- -------------- -- ---------------
TOTAL........................... $9,527,267,762 $1,510,358,441 -- $11,037,626,203
============== ============== == ===============
See accompanying Notes to Financial Statements.
51
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (90.8%)
Consumer Discretionary -- (13.2%)
* Amazon.com, Inc...................... 86,377 $ 31,443,819 0.4%
Comcast Corp. Class A................ 725,325 34,510,963 0.5%
Home Depot, Inc. (The)............... 350,095 27,268,900 0.4%
McDonald's Corp...................... 237,696 22,942,418 0.3%
Time Warner, Inc..................... 312,767 21,499,604 0.3%
Walt Disney Co. (The)................ 447,208 30,673,997 0.4%
Other Securities..................... 928,419,928 12.2%
-------------- ------
Total Consumer Discretionary............. 1,096,759,629 14.5%
-------------- ------
Consumer Staples -- (6.7%)
Coca-Cola Co. (The).................. 932,501 36,899,065 0.5%
CVS Caremark Corp.................... 419,936 26,145,215 0.4%
Mondelez International, Inc. Class A. 575,836 19,371,123 0.3%
PepsiCo, Inc......................... 378,786 31,852,115 0.4%
Philip Morris International, Inc..... 379,444 33,816,049 0.5%
Procter & Gamble Co. (The)........... 620,688 50,120,556 0.7%
Wal-Mart Stores, Inc................. 421,387 32,341,452 0.4%
Other Securities..................... 321,110,342 4.1%
-------------- ------
Total Consumer Staples................... 551,655,917 7.3%
-------------- ------
Energy -- (9.4%)
Chevron Corp......................... 671,031 80,496,879 1.1%
ConocoPhillips....................... 409,670 30,028,811 0.4%
Exxon Mobil Corp..................... 1,499,029 134,342,979 1.8%
Occidental Petroleum Corp............ 273,715 26,298,537 0.4%
Schlumberger, Ltd.................... 299,627 28,081,042 0.4%
Other Securities..................... 483,605,737 6.2%
-------------- ------
Total Energy............................. 782,853,985 10.3%
-------------- ------
Financials -- (15.7%)
American Express Co.................. 241,143 19,725,497 0.3%
American International Group, Inc.... 492,240 25,424,196 0.3%
Bank of America Corp................. 3,834,941 53,535,776 0.7%
* Berkshire Hathaway, Inc. Class B..... 406,267 46,753,206 0.6%
Citigroup, Inc....................... 1,073,660 52,373,135 0.7%
Goldman Sachs Group, Inc. (The)...... 152,527 24,535,493 0.3%
JPMorgan Chase & Co.................. 1,350,398 69,599,513 0.9%
U.S. Bancorp......................... 623,331 23,287,646 0.3%
Wells Fargo & Co..................... 1,760,712 75,164,795 1.0%
Other Securities..................... 915,425,567 12.1%
-------------- ------
Total Financials......................... 1,305,824,824 17.2%
-------------- ------
Health Care -- (10.2%)
Amgen, Inc........................... 197,640 22,926,240 0.3%
Bristol-Myers Squibb Co.............. 391,740 20,574,185 0.3%
* Gilead Sciences, Inc................. 358,324 25,437,421 0.3%
Johnson & Johnson.................... 710,094 65,761,805 0.9%
Merck & Co., Inc..................... 801,185 36,125,432 0.5%
Pfizer, Inc.......................... 2,220,281 68,118,221 0.9%
UnitedHealth Group, Inc.............. 344,956 23,546,697 0.3%
Other Securities..................... 583,322,666 7.7%
-------------- ------
Total Health Care........................ 845,812,667 11.2%
-------------- ------
52
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (12.0%)
3M Co.............................................. 157,069 $ 19,767,134 0.3%
Boeing Co. (The)................................... 168,655 22,009,477 0.3%
General Electric Co................................ 3,541,296 92,569,477 1.2%
Union Pacific Corp................................. 158,185 23,949,209 0.3%
United Technologies Corp........................... 215,910 22,940,437 0.3%
Other Securities................................... 816,458,383 10.8%
-------------- ------
Total Industrials........................................ 997,694,117 13.2%
-------------- ------
Information Technology -- (14.8%)
Apple, Inc......................................... 195,508 102,123,604 1.4%
Cisco Systems, Inc................................. 1,871,862 42,116,895 0.6%
* Google, Inc. Class A............................... 65,230 67,224,733 0.9%
Intel Corp......................................... 1,702,035 41,580,715 0.6%
International Business Machines Corp............... 236,758 42,429,401 0.6%
Microsoft Corp..................................... 1,967,669 69,557,099 0.9%
Oracle Corp........................................ 843,387 28,253,464 0.4%
QUALCOMM, Inc...................................... 373,897 25,974,625 0.4%
Visa, Inc. Class A................................. 127,752 25,124,986 0.3%
Other Securities................................... 780,908,300 10.1%
-------------- ------
Total Information Technology............................. 1,225,293,822 16.2%
-------------- ------
Materials -- (4.3%)
Other Securities................................... 354,429,733 4.7%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Telecommunication Services -- (1.8%)
AT&T, Inc.......................................... 1,762,656 63,808,147 0.8%
Verizon Communications, Inc........................ 743,452 37,551,761 0.5%
Other Securities................................... 49,643,037 0.7%
-------------- ------
Total Telecommunication Services......................... 151,002,945 2.0%
-------------- ------
Utilities -- (2.7%)
Other Securities................................... 225,005,109 3.0%
-------------- ------
TOTAL COMMON STOCKS...................................... 7,536,332,748 99.6%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 159,054 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional Liquid Reserves, 0.073%. 31,598,604 31,598,604 0.4%
-------------- ------
SHARES/
FACE
AMOUNT
-------
(000)
SECURITIES LENDING COLLATERAL -- (8.8%)
(S)@ DFA Short Term Investment Fund..................... 63,360,287 $ 733,078,518 9.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,002,014,885)................................ $8,301,168,924 109.7%
============== ======
53
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...... $1,096,759,629 -- -- $1,096,759,629
Consumer Staples............ 551,655,917 -- -- 551,655,917
Energy...................... 782,853,985 -- -- 782,853,985
Financials.................. 1,305,823,024 $ 1,800 -- 1,305,824,824
Health Care................. 845,796,644 16,023 -- 845,812,667
Industrials................. 997,677,317 16,800 -- 997,694,117
Information Technology...... 1,225,293,822 -- -- 1,225,293,822
Materials................... 354,429,733 -- -- 354,429,733
Other....................... -- -- -- --
Telecommunication Services.. 151,002,945 -- -- 151,002,945
Utilities................... 225,005,109 -- -- 225,005,109
Preferred Stocks
Other....................... -- -- -- --
Rights/Warrants............... -- 159,054 -- 159,054
Temporary Cash Investments.... 31,598,604 -- -- 31,598,604
Securities Lending Collateral. -- 733,078,518 -- 733,078,518
-------------- ------------ -- --------------
TOTAL......................... $7,567,896,729 $733,272,195 -- $8,301,168,924
============== ============ == ==============
See accompanying Notes to Financial Statements.
54
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (90.1%)
Consumer Discretionary -- (12.8%)
Comcast Corp. Class A.................. 1,101,420 $ 52,405,564 0.5%
Time Warner, Inc....................... 517,336 35,561,677 0.4%
Twenty-First Century Fox, Inc. Class A. 846,333 28,843,029 0.3%
Walt Disney Co. (The).................. 830,524 56,965,641 0.6%
Other Securities....................... 1,241,097,856 12.4%
-------------- ------
Total Consumer Discretionary............... 1,414,873,767 14.2%
-------------- ------
Consumer Staples -- (5.4%)
CVS Caremark Corp...................... 672,828 41,890,271 0.4%
Mondelez International, Inc. Class A... 920,693 30,972,113 0.3%
Procter & Gamble Co. (The)............. 646,219 52,182,184 0.5%
Wal-Mart Stores, Inc................... 387,774 29,761,655 0.3%
Walgreen Co............................ 475,167 28,148,893 0.3%
Other Securities....................... 420,011,991 4.3%
-------------- ------
Total Consumer Staples..................... 602,967,107 6.1%
-------------- ------
Energy -- (10.5%)
Anadarko Petroleum Corp................ 289,878 27,622,475 0.3%
Chevron Corp........................... 1,090,432 130,808,223 1.3%
ConocoPhillips......................... 648,630 47,544,579 0.5%
EOG Resources, Inc..................... 150,872 26,915,565 0.3%
Exxon Mobil Corp....................... 2,490,947 223,238,670 2.2%
Occidental Petroleum Corp.............. 454,609 43,678,833 0.4%
Schlumberger, Ltd...................... 239,817 22,475,649 0.2%
Other Securities....................... 634,771,552 6.4%
-------------- ------
Total Energy............................... 1,157,055,546 11.6%
-------------- ------
Financials -- (18.2%)
American International Group, Inc...... 778,143 40,191,086 0.4%
Ameriprise Financial, Inc.............. 219,392 22,057,672 0.2%
Bank of America Corp................... 6,230,807 86,982,066 0.9%
* Berkshire Hathaway, Inc. Class B....... 232,188 26,720,195 0.3%
BlackRock, Inc......................... 73,022 21,965,748 0.2%
Capital One Financial Corp............. 312,923 21,488,422 0.2%
Citigroup, Inc......................... 1,762,407 85,970,213 0.9%
Goldman Sachs Group, Inc. (The)........ 240,919 38,754,230 0.4%
JPMorgan Chase & Co.................... 2,206,428 113,719,299 1.1%
MetLife, Inc........................... 512,756 24,258,486 0.3%
Morgan Stanley......................... 786,023 22,582,441 0.2%
U.S. Bancorp........................... 991,278 37,034,146 0.4%
Wells Fargo & Co....................... 2,946,563 125,788,774 1.3%
Other Securities....................... 1,343,236,724 13.3%
-------------- ------
Total Financials........................... 2,010,749,502 20.1%
-------------- ------
Health Care -- (9.6%)
Amgen, Inc............................. 259,507 30,102,812 0.3%
* Express Scripts Holding Co............. 462,397 28,909,060 0.3%
Johnson & Johnson...................... 409,001 37,877,583 0.4%
Merck & Co., Inc....................... 1,401,705 63,202,878 0.6%
Pfizer, Inc............................ 3,622,771 111,146,614 1.1%
UnitedHealth Group, Inc................ 548,645 37,450,508 0.4%
Zoetis, Inc............................ 936,170 29,639,142 0.3%
55
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
Other Securities................................... $ 728,069,628 7.3%
-------------- ------
Total Health Care...................................... 1,066,398,225 10.7%
-------------- ------
Industrials -- (12.4%)
FedEx Corp......................................... 169,074 22,148,694 0.2%
General Electric Co................................ 5,963,501 155,885,916 1.6%
Union Pacific Corp................................. 261,311 39,562,485 0.4%
Other Securities................................... 1,151,499,413 11.5%
-------------- ------
Total Industrials...................................... 1,369,096,508 13.7%
-------------- ------
Information Technology -- (12.6%)
Apple, Inc......................................... 130,247 68,034,520 0.7%
Cisco Systems, Inc................................. 3,077,086 69,234,435 0.7%
EMC Corp........................................... 1,056,822 25,437,706 0.3%
* Google, Inc. Class A............................... 30,564 31,498,647 0.3%
Hewlett-Packard Co................................. 1,055,382 25,719,659 0.3%
Intel Corp......................................... 2,859,210 69,850,500 0.7%
Microsoft Corp..................................... 932,130 32,950,795 0.3%
Visa, Inc. Class A................................. 196,429 38,631,691 0.4%
Other Securities................................... 1,029,293,792 10.2%
-------------- ------
Total Information Technology........................... 1,390,651,745 13.9%
-------------- ------
Materials -- (4.4%)
Dow Chemical Co. (The)............................. 627,320 24,760,320 0.3%
Other Securities................................... 467,559,113 4.6%
-------------- ------
Total Materials........................................ 492,319,433 4.9%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Telecommunication Services -- (2.3%)
AT&T, Inc.......................................... 3,049,991 110,409,674 1.1%
Verizon Communications, Inc........................ 1,449,236 73,200,910 0.7%
Other Securities................................... 67,929,375 0.7%
-------------- ------
Total Telecommunication Services....................... 251,539,959 2.5%
-------------- ------
Utilities -- (1.9%)
Other Securities................................... 210,671,606 2.1%
-------------- ------
TOTAL COMMON STOCKS.................................... 9,966,323,398 99.8%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 358,381 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves, 0.073%. 33,428,910 33,428,910 0.3%
-------------- ------
56
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
SHARES/
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------- ------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (9.6%)
(S)@ DFA Short Term Investment Fund.. 91,671,614 $ 1,060,640,572 10.6%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,891,276,455).............. $11,060,751,261 110.7%
=============== ======
Summary of the Portfolio's investments as of October 31, 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...... $1,414,873,767 -- -- $ 1,414,873,767
Consumer Staples............ 602,967,107 -- -- 602,967,107
Energy...................... 1,157,055,546 -- -- 1,157,055,546
Financials.................. 2,010,745,188 $ 4,314 -- 2,010,749,502
Health Care................. 1,066,360,782 37,443 -- 1,066,398,225
Industrials................. 1,369,054,287 42,221 -- 1,369,096,508
Information Technology...... 1,390,651,745 -- -- 1,390,651,745
Materials................... 492,319,433 -- -- 492,319,433
Other....................... -- -- -- --
Telecommunication Services.. 251,539,959 -- -- 251,539,959
Utilities................... 210,671,606 -- -- 210,671,606
Preferred Stocks
Other....................... -- -- -- --
Rights/Warrants............... -- 358,381 -- 358,381
Temporary Cash Investments.... 33,428,910 -- -- 33,428,910
Securities Lending Collateral. -- 1,060,640,572 -- 1,060,640,572
-------------- -------------- -- ---------------
TOTAL......................... $9,999,668,330 $1,061,082,931 -- $11,060,751,261
============== ============== == ===============
See accompanying Notes to Financial Statements.
57
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (88.1%)
Consumer Discretionary -- (13.2%)
CBS Corp. Class B....................... 99,468 $ 5,882,537 0.2%
Comcast Corp. Class A................... 336,814 16,025,610 0.6%
# GameStop Corp. Class A.................. 124,160 6,806,451 0.2%
* Jarden Corp............................. 117,655 6,513,381 0.2%
* Liberty Interactive Corp. Class A....... 268,740 7,245,230 0.3%
Time Warner, Inc........................ 97,900 6,729,646 0.2%
Walt Disney Co. (The)................... 118,253 8,110,973 0.3%
Other Securities........................ 376,574,031 13.0%
-------------- ------
Total Consumer Discretionary................ 433,887,859 15.0%
-------------- ------
Consumer Staples -- (4.4%)
Bunge, Ltd.............................. 80,340 6,598,324 0.2%
CVS Caremark Corp....................... 113,204 7,048,081 0.3%
Mondelez International, Inc. Class A.... 260,500 8,763,220 0.3%
Procter & Gamble Co. (The).............. 105,525 8,521,144 0.3%
Other Securities........................ 115,048,524 4.0%
-------------- ------
Total Consumer Staples...................... 145,979,293 5.1%
-------------- ------
Energy -- (10.2%)
Anadarko Petroleum Corp................. 76,836 7,321,702 0.3%
# Chesapeake Energy Corp.................. 371,242 10,379,926 0.4%
Chevron Corp............................ 239,958 28,785,362 1.0%
ConocoPhillips.......................... 188,785 13,837,941 0.5%
Exxon Mobil Corp........................ 250,318 22,433,499 0.8%
Murphy Oil Corp......................... 107,339 6,474,689 0.2%
Occidental Petroleum Corp............... 111,234 10,687,363 0.4%
Tesoro Corp............................. 131,157 6,412,266 0.2%
* Weatherford International, Ltd.......... 429,641 7,063,298 0.3%
Other Securities........................ 219,997,212 7.4%
-------------- ------
Total Energy................................ 333,393,258 11.5%
-------------- ------
Financials -- (21.6%)
American Financial Group, Inc........... 125,705 7,072,163 0.3%
American International Group, Inc....... 128,798 6,652,417 0.2%
Ameriprise Financial, Inc............... 68,100 6,846,774 0.2%
Bank of America Corp.................... 1,445,171 20,174,587 0.7%
Citigroup, Inc.......................... 403,956 19,704,974 0.7%
Goldman Sachs Group, Inc. (The)......... 47,945 7,712,433 0.3%
Hartford Financial Services Group, Inc.. 219,658 7,402,475 0.3%
Invesco, Ltd............................ 186,136 6,282,090 0.2%
JPMorgan Chase & Co..................... 570,669 29,412,280 1.0%
KeyCorp................................. 499,016 6,252,670 0.2%
Lincoln National Corp................... 152,570 6,928,204 0.3%
MetLife, Inc............................ 141,103 6,675,583 0.2%
Principal Financial Group, Inc.......... 157,281 7,464,556 0.3%
Regions Financial Corp.................. 681,506 6,562,903 0.2%
Wells Fargo & Co........................ 634,567 27,089,665 0.9%
Other Securities........................ 535,707,873 18.5%
-------------- ------
Total Financials............................ 707,941,647 24.5%
-------------- ------
Health Care -- (7.2%)
* Boston Scientific Corp.................. 767,057 8,966,896 0.3%
Merck & Co., Inc........................ 149,737 6,751,641 0.2%
58
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
Omnicare, Inc...................................... 109,511 $ 6,039,532 0.2%
Pfizer, Inc........................................ 427,541 13,116,958 0.5%
Other Securities................................... 201,362,265 7.0%
-------------- ------
Total Health Care........................................ 236,237,292 8.2%
-------------- ------
Industrials -- (12.2%)
General Electric Co................................ 856,705 22,394,269 0.8%
Southwest Airlines Co.............................. 417,610 7,191,244 0.3%
Other Securities................................... 370,909,900 12.7%
-------------- ------
Total Industrials........................................ 400,495,413 13.8%
-------------- ------
Information Technology -- (11.2%)
Fidelity National Information Services, Inc........ 150,228 7,323,615 0.3%
IAC/InterActiveCorp................................ 115,491 6,166,065 0.2%
Intel Corp......................................... 277,316 6,774,830 0.3%
* Micron Technology, Inc............................. 569,578 10,070,139 0.4%
Visa, Inc. Class A................................. 37,703 7,415,049 0.3%
Western Digital Corp............................... 122,881 8,556,204 0.3%
Xerox Corp......................................... 731,469 7,270,802 0.3%
Other Securities................................... 313,334,785 10.6%
-------------- ------
Total Information Technology............................. 366,911,489 12.7%
-------------- ------
Materials -- (5.3%)
Other Securities................................... 173,155,795 6.0%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Telecommunication Services -- (1.7%)
AT&T, Inc.......................................... 570,322 20,645,656 0.7%
Verizon Communications, Inc........................ 219,736 11,098,865 0.4%
Other Securities................................... 23,940,444 0.8%
-------------- ------
Total Telecommunication Services......................... 55,684,965 1.9%
-------------- ------
Utilities -- (1.1%)
Other Securities................................... 35,464,567 1.2%
-------------- ------
TOTAL COMMON STOCKS...................................... 2,889,151,578 99.9%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 81,076 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional Liquid Reserves, 0.073%. 6,584,203 6,584,203 0.2%
-------------- ------
SHARES/
FACE
AMOUNT
-------
(000)
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@ DFA Short Term Investment Fund..................... 33,037,634 382,245,421 13.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,350,309,267)................................ $3,278,062,278 113.3%
============== ======
59
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...... $ 433,887,859 -- -- $ 433,887,859
Consumer Staples............ 145,979,293 -- -- 145,979,293
Energy...................... 333,393,258 -- -- 333,393,258
Financials.................. 707,939,630 $ 2,017 -- 707,941,647
Health Care................. 236,209,992 27,300 -- 236,237,292
Industrials................. 400,463,577 31,836 -- 400,495,413
Information Technology...... 366,911,489 -- -- 366,911,489
Materials................... 173,155,795 -- -- 173,155,795
Other....................... -- -- -- --
Telecommunication Services.. 55,684,965 -- -- 55,684,965
Utilities................... 35,464,567 -- -- 35,464,567
Rights/Warrants............... -- 81,076 -- 81,076
Temporary Cash Investments.... 6,584,203 -- -- 6,584,203
Securities Lending Collateral. -- 382,245,421 -- 382,245,421
-------------- ------------ -- --------------
TOTAL......................... $2,895,674,628 $382,387,650 -- $3,278,062,278
============== ============ == ==============
See accompanying Notes to Financial Statements.
60
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (80.9%)
Consumer Discretionary -- (15.2%)
#* Bally Technologies, Inc........................ 235,969 $ 17,258,773 0.2%
#* Buffalo Wild Wings, Inc........................ 118,248 16,859,800 0.2%
#* Cabela's, Inc.................................. 277,885 16,484,138 0.2%
# Cheesecake Factory, Inc. (The)................. 366,132 17,299,737 0.2%
# Cracker Barrel Old Country Store, Inc.......... 141,046 15,496,724 0.2%
#* Lumber Liquidators Holdings, Inc............... 150,634 17,200,896 0.2%
* Steven Madden, Ltd............................. 421,193 15,449,359 0.2%
* Tenneco, Inc................................... 308,939 16,395,393 0.2%
# Thor Industries, Inc........................... 274,686 15,934,535 0.2%
Other Securities............................... 1,245,925,653 16.9%
-------------- ------
Total Consumer Discretionary....................... 1,394,305,008 18.7%
-------------- ------
Consumer Staples -- (3.6%)
# Casey's General Stores, Inc.................... 217,078 15,820,645 0.2%
#* Darling International, Inc..................... 756,402 17,601,474 0.2%
* TreeHouse Foods, Inc........................... 217,722 15,950,314 0.2%
Other Securities............................... 279,898,889 3.8%
-------------- ------
Total Consumer Staples............................. 329,271,322 4.4%
-------------- ------
Energy -- (4.2%)
Bristow Group, Inc............................. 199,091 16,020,853 0.2%
SemGroup Corp. Class A......................... 262,775 15,868,982 0.2%
Other Securities............................... 355,886,047 4.8%
-------------- ------
Total Energy....................................... 387,775,882 5.2%
-------------- ------
Financials -- (13.6%)
* Altisource Portfolio Solutions SA.............. 119,358 18,772,626 0.3%
# Bank of Hawaii Corp............................ 279,070 16,180,479 0.2%
CNO Financial Group, Inc....................... 978,475 15,244,640 0.2%
# TCF Financial Corp............................. 1,012,331 15,367,185 0.2%
Webster Financial Corp......................... 569,447 15,881,877 0.2%
Other Securities............................... 1,163,975,751 15.6%
-------------- ------
Total Financials................................... 1,245,422,558 16.7%
-------------- ------
Health Care -- (7.8%)
#* Align Technology, Inc.......................... 286,722 16,360,357 0.2%
* Charles River Laboratories International, Inc.. 314,552 15,479,104 0.2%
# Hill-Rom Holdings, Inc......................... 371,392 15,334,776 0.2%
# Owens & Minor, Inc............................. 404,519 15,137,101 0.2%
* Thoratec Corp.................................. 353,463 15,266,067 0.2%
#* VCA Antech, Inc................................ 578,974 16,471,810 0.2%
#* ViroPharma, Inc................................ 389,274 15,111,617 0.2%
# West Pharmaceutical Services, Inc.............. 351,188 16,979,940 0.2%
Other Securities............................... 586,139,980 8.0%
-------------- ------
Total Health Care.................................. 712,280,752 9.6%
-------------- ------
Industrials -- (14.7%)
# Actuant Corp. Class A.......................... 410,545 15,420,070 0.2%
Alliant Techsystems, Inc....................... 169,067 18,406,324 0.3%
* Avis Budget Group, Inc......................... 493,987 15,476,613 0.2%
Belden, Inc.................................... 250,180 16,827,107 0.2%
#* Chart Industries, Inc.......................... 150,375 16,160,801 0.2%
Con-way, Inc................................... 380,220 15,665,064 0.2%
#* DigitalGlobe, Inc.............................. 493,255 15,695,374 0.2%
61
U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (Continued)
EnerSys, Inc....................................... 269,950 $ 17,911,183 0.2%
Huntington Ingalls Industries, Inc................. 227,971 16,311,325 0.2%
#* MasTec, Inc........................................ 498,398 15,933,784 0.2%
#* Middleby Corp...................................... 75,298 17,141,590 0.2%
* Spirit Airlines, Inc............................... 478,914 20,665,139 0.3%
Other Securities................................... 1,149,286,508 15.5%
-------------- ------
Total Industrials...................................... 1,350,900,882 18.1%
-------------- ------
Information Technology -- (14.5%)
* Acxiom Corp........................................ 457,131 15,190,463 0.2%
* Anixter International, Inc......................... 180,205 15,405,725 0.2%
FEI Co............................................. 177,398 15,802,614 0.2%
# j2 Global, Inc..................................... 290,465 15,969,766 0.2%
# Lexmark International, Inc. Class A................ 428,784 15,243,271 0.2%
* Tyler Technologies, Inc............................ 169,807 16,422,035 0.2%
Other Securities................................... 1,240,890,031 16.7%
-------------- ------
Total Information Technology........................... 1,334,923,905 17.9%
-------------- ------
Materials -- (4.2%)
KapStone Paper and Packaging Corp.................. 298,292 15,499,252 0.2%
PolyOne Corp....................................... 529,913 16,056,364 0.2%
Sensient Technologies Corp......................... 295,289 15,393,416 0.2%
Worthington Industries, Inc........................ 429,704 17,420,200 0.2%
Other Securities................................... 318,790,671 4.4%
-------------- ------
Total Materials........................................ 383,159,903 5.2%
-------------- ------
Other -- (0.0%)
Other Securities................................... 7,948 0.0%
-------------- ------
Real Estate Investment Trusts -- (0.1%)
Other Securities................................... 12,527,068 0.2%
-------------- ------
Telecommunication Services -- (0.5%)
Other Securities................................... 41,745,835 0.6%
-------------- ------
Utilities -- (2.5%)
IDACORP, Inc....................................... 295,434 15,244,395 0.2%
Other Securities................................... 218,894,473 2.9%
-------------- ------
Total Utilities........................................ 234,138,868 3.1%
-------------- ------
TOTAL COMMON STOCKS.................................... 7,426,459,931 99.7%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 135,084 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional Liquid Reserves, 0.073%. 36,842,908 36,842,908 0.5%
-------------- ------
SHARES/
FACE
AMOUNT
-------
(000)
SECURITIES LENDING COLLATERAL -- (18.7%)
(S)@ DFA Short Term Investment Fund................ 148,525,546 1,718,440,570 23.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,979,243,022).............................. $9,181,878,493 123.3%
============== ======
62
U.S. SMALL CAP PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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........ $1,394,305,008 -- -- $1,394,305,008
Consumer Staples.............. 329,271,322 -- -- 329,271,322
Energy........................ 387,775,882 -- -- 387,775,882
Financials.................... 1,245,407,500 $ 15,058 -- 1,245,422,558
Health Care................... 712,185,705 95,047 -- 712,280,752
Industrials................... 1,350,590,743 310,139 -- 1,350,900,882
Information Technology........ 1,334,923,905 -- -- 1,334,923,905
Materials..................... 383,159,903 -- -- 383,159,903
Other......................... -- 7,948 -- 7,948
Real Estate Investment Trusts. 12,527,068 -- -- 12,527,068
Telecommunication Services.... 41,745,835 -- -- 41,745,835
Utilities..................... 234,138,868 -- -- 234,138,868
Preferred Stocks
Other......................... -- -- -- --
Rights/Warrants................. -- 135,084 -- 135,084
Temporary Cash Investments...... 36,842,908 -- -- 36,842,908
Securities Lending Collateral... -- 1,718,440,570 -- 1,718,440,570
-------------- -------------- -- --------------
TOTAL........................... $7,462,874,647 $1,719,003,846 -- $9,181,878,493
============== ============== == ==============
See accompanying Notes to Financial Statements.
63
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (84.7%)
Consumer Discretionary -- (16.4%)
* Asbury Automotive Group, Inc........... 297,023 $ 14,271,955 0.3%
Belo Corp. Class A..................... 858,259 11,783,896 0.3%
#* Conn's, Inc............................ 306,457 18,522,261 0.4%
# Dorman Products, Inc................... 311,758 15,154,556 0.3%
Finish Line, Inc. (The) Class A........ 451,112 11,295,844 0.2%
#* Grand Canyon Education, Inc............ 367,324 17,363,405 0.4%
#* Krispy Kreme Doughnuts, Inc............ 624,760 15,156,678 0.3%
La-Z-Boy, Inc.......................... 533,688 12,317,519 0.3%
Lithia Motors, Inc. Class A............ 188,702 11,859,921 0.3%
#* Lumber Liquidators Holdings, Inc....... 109,921 12,551,879 0.3%
# Papa John's International, Inc......... 207,021 15,665,279 0.3%
#* Pinnacle Entertainment, Inc............ 540,950 12,658,230 0.3%
#* Quiksilver, Inc........................ 1,457,888 12,129,628 0.3%
#* Red Robin Gourmet Burgers, Inc......... 144,159 10,982,033 0.2%
* Scientific Games Corp. Class A......... 650,894 11,898,342 0.3%
# Sinclair Broadcast Group, Inc. Class A. 401,740 12,879,784 0.3%
# Sturm Ruger & Co., Inc................. 185,803 12,153,374 0.3%
Other Securities....................... 676,038,503 14.2%
-------------- -----
Total Consumer Discretionary............... 904,683,087 19.3%
-------------- -----
Consumer Staples -- (3.7%)
Andersons, Inc. (The).................. 165,272 12,259,877 0.3%
# J&J Snack Foods Corp................... 176,874 15,135,108 0.3%
* Prestige Brands Holdings, Inc.......... 356,410 11,130,684 0.2%
#* Susser Holdings Corp................... 220,255 12,078,784 0.3%
Other Securities....................... 152,476,392 3.2%
-------------- -----
Total Consumer Staples..................... 203,080,845 4.3%
-------------- -----
Energy -- (4.4%)
Crosstex Energy, Inc................... 478,837 14,695,508 0.3%
#* Rex Energy Corp........................ 559,372 12,026,498 0.3%
Other Securities....................... 215,434,478 4.6%
-------------- -----
Total Energy............................... 242,156,484 5.2%
-------------- -----
Financials -- (14.8%)
#* Encore Capital Group, Inc.............. 260,253 12,713,359 0.3%
FBL Financial Group, Inc. Class A...... 271,726 12,157,021 0.3%
# Home BancShares, Inc................... 359,132 12,167,392 0.3%
Horace Mann Educators Corp............. 423,287 11,725,050 0.3%
* Western Alliance Bancorp............... 615,654 13,021,082 0.3%
#* World Acceptance Corp.................. 153,471 15,979,401 0.3%
Other Securities....................... 740,587,825 15.6%
-------------- -----
Total Financials........................... 818,351,130 17.4%
-------------- -----
Health Care -- (8.0%)
* Amsurg Corp............................ 287,682 12,338,681 0.3%
Analogic Corp.......................... 123,960 11,432,831 0.3%
* Corvel Corp............................ 270,276 11,243,482 0.2%
#* Hanger, Inc............................ 311,307 11,424,967 0.2%
* Medidata Solutions, Inc................ 116,683 12,871,302 0.3%
* NuVasive, Inc.......................... 346,328 11,006,304 0.2%
Other Securities....................... 371,022,710 7.9%
-------------- -----
Total Health Care.......................... 441,340,277 9.4%
-------------- -----
64
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (15.0%)
# AAON, Inc.......................................... 410,994 $ 11,100,948 0.2%
#* EnPro Industries, Inc.............................. 198,137 11,822,835 0.3%
Mueller Water Products, Inc. Class A............... 1,458,942 12,503,133 0.3%
Other Securities................................... 796,876,867 16.9%
-------------- ------
Total Industrials........................................ 832,303,783 17.7%
-------------- ------
Information Technology -- (15.0%)
* Electronics for Imaging, Inc....................... 383,228 13,148,553 0.3%
# Heartland Payment Systems, Inc..................... 334,773 13,541,568 0.3%
* iGATE Corp......................................... 533,687 16,992,594 0.4%
* Integrated Device Technology, Inc.................. 1,226,260 13,047,406 0.3%
* Manhattan Associates, Inc.......................... 199,341 21,231,810 0.5%
NIC, Inc........................................... 456,902 11,248,927 0.2%
#* SunEdison, Inc..................................... 1,431,312 13,311,202 0.3%
#* Tyler Technologies, Inc............................ 216,321 20,920,404 0.5%
#* Unisys Corp........................................ 418,812 11,035,696 0.2%
Other Securities................................... 697,874,426 14.7%
-------------- ------
Total Information Technology............................. 832,352,586 17.7%
-------------- ------
Materials -- (5.1%)
# Balchem Corp....................................... 210,062 12,028,150 0.3%
KapStone Paper and Packaging Corp.................. 331,563 17,228,013 0.4%
Other Securities................................... 251,104,753 5.3%
-------------- ------
Total Materials.......................................... 280,360,916 6.0%
-------------- ------
Other -- (0.0%)
Other Securities................................... 58,742 0.0%
-------------- ------
Telecommunication Services -- (0.9%)
Other Securities................................... 51,451,236 1.1%
-------------- ------
Utilities -- (1.4%)
# MGE Energy, Inc.................................... 194,367 10,944,806 0.2%
Other Securities................................... 66,128,649 1.4%
-------------- ------
Total Utilities.......................................... 77,073,455 1.6%
-------------- ------
TOTAL COMMON STOCKS...................................... 4,683,212,541 99.7%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 210,244 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional Liquid Reserves, 0.073%. 12,694,109 12,694,109 0.3%
-------------- ------
SHARES/
FACE
AMOUNT
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (15.1%)
(S)@ DFA Short Term Investment Fund..................... 72,160,431 834,896,185 17.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,910,422,847)................................ $5,531,013,079 117.8%
============== ======
65
U.S. MICRO CAP PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...... $ 904,683,087 -- -- $ 904,683,087
Consumer Staples............ 203,080,845 -- -- 203,080,845
Energy...................... 242,156,484 -- -- 242,156,484
Financials.................. 818,331,155 $ 19,975 -- 818,351,130
Health Care................. 441,203,823 136,454 -- 441,340,277
Industrials................. 832,031,098 272,685 -- 832,303,783
Information Technology...... 832,352,586 -- -- 832,352,586
Materials................... 280,360,916 -- -- 280,360,916
Other....................... -- 58,742 -- 58,742
Telecommunication Services.. 51,451,236 -- -- 51,451,236
Utilities................... 77,073,455 -- -- 77,073,455
Preferred Stocks
Other....................... -- -- -- --
Rights/Warrants............... -- 210,244 -- 210,244
Temporary Cash Investments.... 12,694,109 -- -- 12,694,109
Securities Lending Collateral. -- 834,896,185 -- 834,896,185
-------------- ------------ -- --------------
TOTAL......................... $4,695,418,794 $835,594,285 -- $5,531,013,079
============== ============ == ==============
See accompanying Notes to Financial Statements.
66
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (90.1%)
Real Estate Investment Trusts -- (90.1%)
Alexandria Real Estate Equities, Inc.......... 695,800 $ 45,769,724 1.0%
American Campus Communities, Inc.............. 1,021,570 35,305,459 0.8%
Apartment Investment & Management Co. Class A. 1,422,561 39,803,257 0.8%
AvalonBay Communities, Inc.................... 1,187,772 148,530,889 3.2%
BioMed Realty Trust, Inc...................... 1,873,201 37,314,164 0.8%
# Boston Properties, Inc........................ 1,469,768 152,120,988 3.2%
# BRE Properties, Inc........................... 748,334 40,866,520 0.9%
# Camden Property Trust......................... 813,176 52,205,899 1.1%
# CBL & Associates Properties, Inc.............. 1,573,700 31,174,997 0.7%
DCT Industrial Trust, Inc..................... 3,084,629 23,905,875 0.5%
# DDR Corp...................................... 2,687,030 45,545,158 1.0%
# Digital Realty Trust, Inc..................... 1,252,136 59,676,802 1.3%
Douglas Emmett, Inc........................... 1,306,857 32,579,945 0.7%
# Duke Realty Corp.............................. 3,169,047 52,511,109 1.1%
EPR Properties................................ 459,789 23,619,361 0.5%
Equity Lifestyle Properties, Inc.............. 767,442 29,155,122 0.6%
Equity Residential............................ 3,311,495 173,389,878 3.7%
# Essex Property Trust, Inc..................... 361,408 58,186,688 1.2%
Extra Space Storage, Inc...................... 1,019,883 46,904,419 1.0%
Federal Realty Investment Trust............... 634,951 65,780,924 1.4%
# General Growth Properties, Inc................ 4,695,708 99,689,881 2.1%
HCP, Inc...................................... 4,408,569 182,955,613 3.9%
# Health Care REIT, Inc......................... 2,764,928 179,305,581 3.8%
# Highwoods Properties, Inc..................... 861,200 33,242,320 0.7%
# Home Properties, Inc.......................... 540,171 32,577,713 0.7%
Hospitality Properties Trust.................. 1,362,466 40,029,251 0.9%
# Host Hotels & Resorts, Inc.................... 7,174,023 133,078,127 2.8%
Kilroy Realty Corp............................ 737,362 39,198,164 0.8%
Kimco Realty Corp............................. 3,993,958 85,790,218 1.8%
LaSalle Hotel Properties...................... 914,451 28,393,703 0.6%
Liberty Property Trust........................ 1,234,123 45,897,034 1.0%
# Macerich Co. (The)............................ 1,365,999 80,880,801 1.7%
# Mid-America Apartment Communities, Inc........ 673,731 44,735,738 1.0%
# National Retail Properties, Inc............... 1,179,889 40,588,182 0.9%
# Omega Healthcare Investors, Inc............... 1,113,809 37,023,011 0.8%
Piedmont Office Realty Trust, Inc. Class A.... 1,593,397 29,445,977 0.6%
Post Properties, Inc.......................... 526,602 24,086,775 0.5%
Prologis, Inc................................. 4,760,982 190,201,231 4.1%
Public Storage................................ 1,371,481 228,996,183 4.9%
# Realty Income Corp............................ 1,888,595 78,659,982 1.7%
# Regency Centers Corp.......................... 890,192 45,987,319 1.0%
# Senior Housing Properties Trust............... 1,809,267 44,580,339 1.0%
Simon Property Group, Inc..................... 2,902,908 448,644,431 9.6%
# SL Green Realty Corp.......................... 882,170 83,426,817 1.8%
# Tanger Factory Outlet Centers................. 896,460 31,241,631 0.7%
Taubman Centers, Inc.......................... 606,482 39,900,451 0.9%
# UDR, Inc...................................... 2,381,995 59,097,296 1.3%
Ventas, Inc................................... 2,812,708 183,501,070 3.9%
# Vornado Realty Trust.......................... 1,600,928 142,578,648 3.0%
67
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Real Estate Investment Trusts -- (Continued)
# Weingarten Realty Investors........................ 1,100,402 $ 34,915,755 0.7%
Other Securities................................... 687,421,830 14.7%
-------------- ------
TOTAL COMMON STOCKS...................................... 4,650,418,250 99.4%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves, 0.073%. 14,133,145 $ 14,133,145 0.3%
-------------- ------
SHARES/
FACE
AMOUNT
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (9.6%)
(S)@ DFA Short Term Investment Fund..................... 43,040,993 497,984,294 10.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,829,858,283)................................ $5,162,535,689 110.4%
============== ======
Summary of the Portfolio's investments as of October 31, 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. $4,650,418,250 -- -- $4,650,418,250
Temporary Cash Investments...... 14,133,145 -- -- 14,133,145
Securities Lending Collateral... -- $497,984,294 -- 497,984,294
-------------- ------------ -- --------------
TOTAL........................... $4,664,551,395 $497,984,294 -- $5,162,535,689
============== ============ == ==============
See accompanying Notes to Financial Statements.
68
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (91.6%)
AUSTRALIA -- (6.7%)
Australia & New Zealand Banking Group, Ltd.. 528,683 $ 16,918,041 0.6%
BHP Billiton, Ltd........................... 460,036 16,263,826 0.6%
Commonwealth Bank of Australia.............. 294,908 21,234,117 0.8%
National Australia Bank, Ltd................ 468,608 15,661,273 0.6%
Westpac Banking Corp........................ 511,050 16,592,333 0.6%
Other Securities............................ 113,841,998 4.1%
------------ ----
TOTAL AUSTRALIA................................. 200,511,588 7.3%
------------ ----
AUSTRIA -- (0.2%)
Other Securities............................ 7,474,217 0.3%
------------ ----
BELGIUM -- (1.0%)
Anheuser-Busch InBev NV..................... 120,883 12,531,168 0.5%
Other Securities............................ 16,642,740 0.6%
------------ ----
TOTAL BELGIUM................................... 29,173,908 1.1%
------------ ----
CANADA -- (8.7%)
Bank of Nova Scotia......................... 196,436 11,942,721 0.4%
# Royal Bank of Canada........................ 243,989 16,385,278 0.6%
# Suncor Energy, Inc.......................... 279,079 10,141,757 0.4%
# Toronto-Dominion Bank (The)................. 160,784 14,748,364 0.5%
Other Securities............................ 206,333,950 7.5%
------------ ----
TOTAL CANADA.................................... 259,552,070 9.4%
------------ ----
DENMARK -- (1.1%)
Other Securities............................ 31,731,194 1.2%
------------ ----
FINLAND -- (0.8%)
Other Securities............................ 23,527,291 0.9%
------------ ----
FRANCE -- (8.2%)
BNP Paribas SA.............................. 204,665 15,098,779 0.6%
Sanofi...................................... 180,968 19,295,374 0.7%
Total SA.................................... 261,686 16,055,204 0.6%
# Total SA Sponsored ADR...................... 157,489 9,635,177 0.4%
Other Securities............................ 185,367,852 6.6%
------------ ----
TOTAL FRANCE.................................... 245,452,386 8.9%
------------ ----
GERMANY -- (7.0%)
Allianz SE.................................. 67,247 11,290,927 0.4%
BASF SE..................................... 164,609 17,088,800 0.6%
Bayer AG.................................... 118,085 14,648,707 0.5%
Daimler AG.................................. 185,463 15,184,741 0.6%
SAP AG...................................... 136,242 10,661,226 0.4%
Siemens AG.................................. 87,275 11,153,059 0.4%
Other Securities............................ 129,286,200 4.7%
------------ ----
TOTAL GERMANY................................... 209,313,660 7.6%
------------ ----
GREECE -- (0.0%)
Other Securities............................ 793,969 0.0%
------------ ----
69
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.5%)
AIA Group, Ltd........................... 2,150,000 $ 10,917,334 0.4%
Other Securities......................... 63,345,322 2.3%
------------ -----
TOTAL HONG KONG.............................. 74,262,656 2.7%
------------ -----
IRELAND -- (0.3%)
Other Securities......................... 8,690,808 0.3%
------------ -----
ISRAEL -- (0.4%)
Other Securities......................... 11,269,348 0.4%
------------ -----
ITALY -- (1.8%)
Other Securities......................... 55,229,204 2.0%
------------ -----
JAPAN -- (17.6%)
# Mitsubishi UFJ Financial Group, Inc. ADR. 1,455,897 9,317,741 0.4%
# Softbank Corp............................ 179,200 13,382,451 0.5%
Sumitomo Mitsui Financial Group, Inc..... 261,540 12,641,764 0.5%
Toyota Motor Corp........................ 324,100 21,014,052 0.8%
# Toyota Motor Corp. Sponsored ADR......... 94,713 12,257,756 0.5%
Other Securities......................... 458,623,170 16.4%
------------ -----
TOTAL JAPAN.................................. 527,236,934 19.1%
------------ -----
NETHERLANDS -- (2.1%)
Unilever NV.............................. 242,733 9,623,254 0.3%
Other Securities......................... 53,835,902 2.0%
------------ -----
TOTAL NETHERLANDS............................ 63,459,156 2.3%
------------ -----
NEW ZEALAND -- (0.1%)
Other Securities......................... 2,790,304 0.1%
------------ -----
NORWAY -- (0.9%)
Other Securities......................... 25,978,042 0.9%
------------ -----
PORTUGAL -- (0.1%)
Other Securities......................... 4,158,396 0.2%
------------ -----
SINGAPORE -- (1.2%)
Other Securities......................... 36,936,063 1.3%
------------ -----
SPAIN -- (2.8%)
Banco Santander SA....................... 1,225,631 10,865,540 0.4%
Other Securities......................... 72,329,930 2.6%
------------ -----
TOTAL SPAIN.................................. 83,195,470 3.0%
------------ -----
SWEDEN -- (2.6%)
Other Securities......................... 77,665,677 2.8%
------------ -----
SWITZERLAND -- (7.5%)
Cie Financiere Richemont SA.............. 97,651 9,984,783 0.4%
Nestle SA................................ 605,460 43,704,470 1.6%
Novartis AG.............................. 288,619 22,403,348 0.8%
Novartis AG ADR.......................... 164,130 12,728,282 0.5%
Roche Holding AG......................... 127,069 35,139,075 1.3%
UBS AG................................... 640,816 12,394,061 0.5%
Other Securities......................... 88,296,444 3.1%
------------ -----
TOTAL SWITZERLAND............................ 224,650,463 8.2%
------------ -----
70
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (18.0%)
# Barclays P.L.C. Sponsored ADR.................................. 548,981 $ 9,228,371 0.3%
BG Group P.L.C................................................. 604,431 12,330,190 0.5%
BP P.L.C. Sponsored ADR........................................ 563,945 26,223,442 1.0%
British American Tobacco P.L.C................................. 285,586 15,756,419 0.6%
Diageo P.L.C. Sponsored ADR.................................... 78,259 9,985,066 0.4%
GlaxoSmithKline P.L.C.......................................... 528,451 13,931,212 0.5%
GlaxoSmithKline P.L.C. Sponsored ADR........................... 204,043 10,738,783 0.4%
HSBC Holdings P.L.C............................................ 1,638,724 17,962,609 0.7%
HSBC Holdings P.L.C. Sponsored ADR............................. 437,209 24,063,982 0.9%
Reckitt Benckiser Group P.L.C.................................. 119,067 9,258,539 0.3%
Royal Dutch Shell P.L.C. ADR................................... 392,289 27,271,931 1.0%
SABMiller P.L.C................................................ 177,232 9,241,009 0.3%
Standard Chartered P.L.C....................................... 439,931 10,562,736 0.4%
Tesco P.L.C.................................................... 1,584,008 9,239,736 0.3%
Vodafone Group P.L.C........................................... 3,370,096 12,343,843 0.5%
Vodafone Group P.L.C. Sponsored ADR............................ 614,634 22,630,824 0.8%
Other Securities............................................... 297,153,404 10.6%
-------------- ------
TOTAL UNITED KINGDOM................................................. 537,922,096 19.5%
-------------- ------
TOTAL COMMON STOCKS.................................................. 2,740,974,900 99.5%
-------------- ------
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities............................................... 1,799,085 0.1%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities............................................... 48,992 0.0%
-------------- ------
TOTAL PREFERRED STOCKS............................................... 1,848,077 0.1%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
FRANCE -- (0.0%)
Other Securities............................................... 9 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities............................................... -- 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities............................................... 264,592 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................................ 264,601 0.0%
-------------- ------
SHARES/
FACE
AMOUNT VALUE+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (8.3%)........................
(S)@ DFA Short Term Investment Fund................................. 21,521,175 249,000,000 9.0%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/13 (Collateralized by $382,392 FNMA, rates ranging from
2.500% to 4.500%, maturities ranging from 04/01/27 to
10/01/43, valued at $345,804) to be repurchased at
$339,025...................................................... $ 339 $ 339,024 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................. 249,339,024 9.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,354,552,422)............................................ $2,992,426,602 108.6%
============== ======
71
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................... $ 7,579,926 $ 192,931,662 -- $ 200,511,588
Austria..................... 39,912 7,434,305 -- 7,474,217
Belgium..................... 3,501,712 25,672,196 -- 29,173,908
Canada...................... 259,552,070 -- -- 259,552,070
Denmark..................... 3,885,244 27,845,950 -- 31,731,194
Finland..................... 1,725,032 21,802,259 -- 23,527,291
France...................... 20,822,557 224,629,829 -- 245,452,386
Germany..................... 31,001,562 178,312,098 -- 209,313,660
Greece...................... -- 793,969 -- 793,969
Hong Kong................... 1,002,081 73,260,575 -- 74,262,656
Ireland..................... 2,489,101 6,201,707 -- 8,690,808
Israel...................... 5,679,502 5,589,846 -- 11,269,348
Italy....................... 8,130,392 47,098,812 -- 55,229,204
Japan....................... 43,398,542 483,838,392 -- 527,236,934
Netherlands................. 9,144,980 54,314,176 -- 63,459,156
New Zealand................. -- 2,790,304 -- 2,790,304
Norway...................... 2,122,512 23,855,530 -- 25,978,042
Portugal.................... 91,147 4,067,249 -- 4,158,396
Singapore................... -- 36,936,063 -- 36,936,063
Spain....................... 23,202,999 59,992,471 -- 83,195,470
Sweden...................... 720,670 76,945,007 -- 77,665,677
Switzerland................. 24,836,474 199,813,989 -- 224,650,463
United Kingdom.............. 185,603,990 352,318,106 -- 537,922,096
Preferred Stocks
Germany..................... -- 1,799,085 -- 1,799,085
United Kingdom.............. -- 48,992 -- 48,992
Rights/Warrants
France...................... -- 9 -- 9
Hong Kong................... -- -- -- --
Spain....................... -- 264,592 -- 264,592
Securities Lending Collateral. -- 249,339,024 -- 249,339,024
------------ -------------- -- --------------
TOTAL......................... $634,530,405 $2,357,896,197 -- $2,992,426,602
============ ============== == ==============
See accompanying Notes to Financial Statements.
72
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (89.7%)
AUSTRALIA -- (5.8%)
Australia & New Zealand Banking Group, Ltd.. 1,021,663 $ 32,693,574 0.4%
Commonwealth Bank of Australia.............. 291,226 20,969,002 0.2%
National Australia Bank, Ltd................ 1,341,565 44,836,230 0.5%
Wesfarmers, Ltd............................. 579,851 23,529,741 0.3%
Westpac Banking Corp........................ 896,764 29,115,366 0.3%
Other Securities............................ 462,209,534 4.8%
------------ ----
TOTAL AUSTRALIA................................. 613,353,447 6.5%
------------ ----
AUSTRIA -- (0.5%)
Other Securities............................ 50,266,444 0.5%
------------ ----
BELGIUM -- (1.1%)
Other Securities............................ 113,946,202 1.2%
------------ ----
CANADA -- (7.9%)
# Royal Bank of Canada........................ 326,040 21,895,479 0.2%
# Suncor Energy, Inc.......................... 654,429 23,782,011 0.3%
# Toronto-Dominion Bank (The)................. 350,772 32,175,547 0.4%
Other Securities............................ 747,748,586 7.8%
------------ ----
TOTAL CANADA.................................... 825,601,623 8.7%
------------ ----
CHINA -- (0.0%)
Other Securities............................ 636,480 0.0%
------------ ----
COLOMBIA -- (0.0%)
Other Securities............................ 5,577 0.0%
------------ ----
DENMARK -- (1.1%)
Other Securities............................ 120,227,098 1.3%
------------ ----
FINLAND -- (1.5%)
#* Nokia Oyj................................ 3,651,928 27,757,495 0.3%
Other Securities............................ 131,584,399 1.4%
------------ ----
TOTAL FINLAND................................... 159,341,894 1.7%
------------ ----
FRANCE -- (7.1%)
BNP Paribas SA.............................. 568,069 41,908,229 0.5%
Cie de St-Gobain............................ 446,784 23,451,715 0.3%
Sanofi...................................... 201,598 21,495,009 0.2%
Sanofi ADR.................................. 562,231 30,068,114 0.3%
Societe Generale SA......................... 443,771 25,068,404 0.3%
Total SA.................................... 351,482 21,564,452 0.2%
# Total SA Sponsored ADR.................... 595,142 36,410,788 0.4%
Other Securities............................ 542,884,779 5.6%
------------ ----
TOTAL FRANCE.................................... 742,851,490 7.8%
------------ ----
GERMANY -- (5.9%)
Allianz SE.................................. 171,092 28,726,742 0.3%
Daimler AG.................................. 469,210 38,416,462 0.4%
Deutsche Post AG............................ 639,180 21,585,987 0.2%
Muenchener Rueckversicherungs AG............ 106,008 22,116,689 0.2%
# Siemens AG Sponsored ADR.................. 200,444 25,658,836 0.3%
73
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (Continued)
Other Securities...................... $ 483,963,547 5.1%
-------------- -----
TOTAL GERMANY............................. 620,468,263 6.5%
-------------- -----
GREECE -- (0.3%)
Other Securities...................... 27,568,233 0.3%
-------------- -----
HONG KONG -- (2.4%)
Other Securities...................... 251,199,528 2.6%
-------------- -----
IRELAND -- (0.5%)
Other Securities...................... 47,557,895 0.5%
-------------- -----
ISRAEL -- (0.5%)
Other Securities...................... 57,292,967 0.6%
-------------- -----
ITALY -- (2.2%)
Other Securities...................... 234,965,473 2.5%
-------------- -----
JAPAN -- (18.4%)
Mitsubishi UFJ Financial Group, Inc... 5,724,200 36,453,212 0.4%
Mizuho Financial Group, Inc........... 12,919,560 27,118,957 0.3%
# Sumitomo Mitsui Financial Group, Inc.. 704,570 34,056,003 0.4%
# Toyota Motor Corp. Sponsored ADR...... 360,892 46,706,643 0.5%
Other Securities...................... 1,790,048,090 18.7%
-------------- -----
TOTAL JAPAN............................... 1,934,382,905 20.3%
-------------- -----
NETHERLANDS -- (2.5%)
Other Securities...................... 268,159,365 2.8%
-------------- -----
NEW ZEALAND -- (0.2%)
Other Securities...................... 25,919,358 0.3%
-------------- -----
NORWAY -- (0.9%)
Other Securities...................... 99,167,065 1.0%
-------------- -----
PORTUGAL -- (0.3%)
Other Securities...................... 29,533,212 0.3%
-------------- -----
RUSSIA -- (0.0%)
Other Securities...................... 289,979 0.0%
-------------- -----
SINGAPORE -- (1.3%)
Other Securities...................... 131,481,204 1.4%
-------------- -----
SPAIN -- (2.3%)
Banco Santander SA.................... 3,256,138 28,866,513 0.3%
# Banco Santander SA Sponsored ADR...... 2,364,383 21,066,653 0.2%
Other Securities...................... 190,898,283 2.0%
-------------- -----
TOTAL SPAIN............................... 240,831,449 2.5%
-------------- -----
SWEDEN -- (2.8%)
Nordea Bank AB........................ 1,635,765 20,923,901 0.2%
Other Securities...................... 273,453,290 2.9%
-------------- -----
TOTAL SWEDEN.............................. 294,377,191 3.1%
-------------- -----
74
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (6.4%)
ABB, Ltd................................ 1,199,336 $ 30,556,144 0.3%
Credit Suisse Group AG.................. 1,122,531 34,919,631 0.4%
Nestle SA............................... 587,284 42,392,455 0.5%
# Novartis AG ADR......................... 818,651 63,486,385 0.7%
Roche Holding AG........................ 81,978 22,669,818 0.3%
Swiss Re AG............................. 372,384 32,688,839 0.4%
UBS AG.................................. 1,749,489 33,836,974 0.4%
Zurich Insurance Group AG............... 160,459 44,338,545 0.5%
Other Securities........................ 366,397,186 3.6%
-------------- -----
TOTAL SWITZERLAND........................... 671,285,977 7.1%
-------------- -----
UNITED KINGDOM -- (17.8%)
Anglo American P.L.C.................... 1,131,410 26,901,050 0.3%
AstraZeneca P.L.C. Sponsored ADR........ 424,722 22,450,805 0.2%
Barclays P.L.C. Sponsored ADR........... 2,263,921 38,056,512 0.4%
BG Group P.L.C.......................... 1,429,345 29,158,159 0.3%
BP P.L.C. Sponsored ADR................. 1,845,938 85,836,114 0.9%
# HSBC Holdings P.L.C. Sponsored ADR...... 1,877,265 103,324,666 1.1%
* Lloyds Banking Group P.L.C.............. 23,313,762 28,834,377 0.3%
Prudential P.L.C. ADR................... 651,676 26,692,649 0.3%
# Rio Tinto P.L.C. Sponsored ADR.......... 458,818 23,262,073 0.3%
Royal Dutch Shell P.L.C. ADR(780259107). 1,430,280 99,433,066 1.1%
Royal Dutch Shell P.L.C. ADR(780259206). 364,923 24,325,767 0.3%
Standard Chartered P.L.C................ 1,125,564 27,024,772 0.3%
Tesco P.L.C............................. 5,453,611 31,811,663 0.3%
Vodafone Group P.L.C. Sponsored ADR..... 2,394,771 88,175,468 0.9%
Other Securities........................ 1,212,613,734 12.7%
-------------- -----
TOTAL UNITED KINGDOM........................ 1,867,900,875 19.7%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities........................ 310,865 0.0%
-------------- -----
TOTAL COMMON STOCKS......................... 9,428,922,059 99.2%
-------------- -----
PREFERRED STOCKS -- (0.1%)
FRANCE -- (0.0%)
Other Securities........................ 5,197 0.0%
-------------- -----
GERMANY -- (0.1%)
Other Securities........................ 5,206,955 0.1%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities........................ 126,482 0.0%
-------------- -----
TOTAL PREFERRED STOCKS...................... 5,338,634 0.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities........................ -- 0.0%
-------------- -----
AUSTRIA -- (0.0%)
Other Securities........................ -- 0.0%
-------------- -----
FRANCE -- (0.0%)
Other Securities........................ 13 0.0%
-------------- -----
75
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (0.0%)
Other Securities............................................ $ -- 0.0%
--------------- ------
ITALY -- (0.0%)
Other Securities............................................ 11,809 0.0%
--------------- ------
SPAIN -- (0.0%)
Other Securities............................................ 702,942 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS............................................. 714,764 0.0%
--------------- ------
SHARES/
FACE
AMOUNT VALUE+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (10.2%)
(S)@ DFA Short Term Investment Fund.............................. 92,912,705 1,075,000,000 11.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/13 (Collateralized by $5,584,879 FNMA, rates ranging
from 2.500% to 4.500%, maturities ranging from 04/01/27 to
10/01/43, valued at $5,050,512) to be repurchased at
$4,951,499................................................. $ 4,951 4,951,482 0.1%
--------------- ------
TOTAL SECURITIES LENDING COLLATERAL............................... 1,079,951,482 11.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $9,059,936,275)......................................... $10,514,926,939 110.6%
=============== ======
76
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................... $ 26,885,569 $ 586,467,878 -- $ 613,353,447
Austria..................... 69,846 50,196,598 -- 50,266,444
Belgium..................... 11,058,577 102,887,625 -- 113,946,202
Canada...................... 825,577,170 24,453 -- 825,601,623
China....................... 40,881 595,599 -- 636,480
Colombia.................... 5,577 -- -- 5,577
Denmark..................... 4,247,252 115,979,846 -- 120,227,098
Finland..................... 3,875,723 155,466,171 -- 159,341,894
France...................... 103,088,833 639,762,657 -- 742,851,490
Germany..................... 85,519,236 534,949,027 -- 620,468,263
Greece...................... 770,734 26,797,499 -- 27,568,233
Hong Kong................... 997,646 250,201,882 -- 251,199,528
Ireland..................... 14,908,209 32,649,686 -- 47,557,895
Israel...................... 13,909,511 43,383,456 -- 57,292,967
Italy....................... 22,099,821 212,865,652 -- 234,965,473
Japan....................... 121,410,252 1,812,972,653 -- 1,934,382,905
Netherlands................. 45,818,932 222,340,433 -- 268,159,365
New Zealand................. 113,994 25,805,364 -- 25,919,358
Norway...................... 10,556,193 88,610,872 -- 99,167,065
Portugal.................... 265,178 29,268,034 -- 29,533,212
Russia...................... -- 289,979 -- 289,979
Singapore................... 1,996 131,479,208 -- 131,481,204
Spain....................... 43,141,304 197,690,145 -- 240,831,449
Sweden...................... 8,713,099 285,664,092 -- 294,377,191
Switzerland................. 107,694,359 563,591,618 -- 671,285,977
United Kingdom.............. 646,060,323 1,221,840,552 -- 1,867,900,875
United States............... 310,865 -- -- 310,865
Preferred Stocks
France...................... 5,197 -- -- 5,197
Germany..................... -- 5,206,955 -- 5,206,955
United Kingdom.............. -- 126,482 -- 126,482
Rights/Warrants
Australia................... -- -- -- --
Austria..................... -- -- -- --
France...................... -- 13 -- 13
Hong Kong................... -- -- -- --
Italy....................... -- 11,809 -- 11,809
Spain....................... -- 702,942 -- 702,942
Securities Lending Collateral. -- 1,079,951,482 -- 1,079,951,482
-------------- -------------- -- ---------------
TOTAL......................... $2,097,146,277 $8,417,780,662 -- $10,514,926,939
============== ============== == ===============
See accompanying Notes to Financial Statements.
77
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company....................... $3,041,110,694
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company....................... 1,939,554,064
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company....................... 1,867,328,817
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company....................... 934,206,430
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company....................... 727,206,971
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $6,870,589,846)............................... 8,509,406,976
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,870,589,846)............................... $8,509,406,976
==============
Summary of the Portfolio's investments as of October 31, 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. $8,509,406,976 -- -- $8,509,406,976
-------------- -- -- --------------
TOTAL........................... $8,509,406,976 -- -- $8,509,406,976
============== == == ==============
See accompanying Notes to Financial Statements.
78
SCHEDULES OF INVESTMENTS
OCTOBER 31, 2013
JAPANESE SMALL COMPANY PORTFOLIO
VALUE+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company..................... $414,294,832
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $389,680,331)............................... $414,294,832
============
Summary of the Portfolio's Master Fund's investments as of October 31, 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..................... $331,291,612
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $301,331,502)............................... $331,291,612
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
79
SCHEDULES OF INVESTMENTS
OCTOBER 31, 2013
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....................... $37,113,753
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$22,831,439)........................................... $37,113,753
===========
Summary of the Portfolio's Master Fund's investments as of October 31, 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.............................. $170,799,580
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$132,148,330).......................................... $170,799,580
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
80
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (92.5%)
AUSTRALIA -- (22.0%)
# CFS Retail Property Trust Group... 14,158,196 $ 27,708,920 1.3%
# Commonwealth Property Office Fund. 14,987,556 16,956,375 0.8%
# Dexus Property Group.............. 31,023,121 31,793,162 1.5%
Federation Centres, Ltd........... 9,501,422 22,298,352 1.0%
Goodman Group..................... 11,297,147 53,988,920 2.5%
# GPT Group......................... 11,394,986 39,714,768 1.8%
Investa Office Fund............... 3,957,702 11,618,583 0.5%
# Stockland......................... 15,300,798 57,991,976 2.7%
# Westfield Group................... 13,915,226 142,401,443 6.6%
Westfield Retail Trust............ 19,622,341 57,248,805 2.7%
Other Securities.................. 47,497,354 2.2%
------------ ------
TOTAL AUSTRALIA....................... 509,218,658 23.6%
------------ ------
BELGIUM -- (1.5%)
Cofinimmo......................... 114,585 13,840,283 0.6%
Other Securities.................. 20,133,082 1.0%
------------ ------
TOTAL BELGIUM......................... 33,973,365 1.6%
------------ ------
CANADA -- (5.9%)
Canadian REIT..................... 240,202 9,784,088 0.5%
# H&R REIT.......................... 921,949 19,099,509 0.9%
# RioCan REIT....................... 1,063,614 25,961,709 1.2%
Other Securities.................. 82,203,898 3.7%
------------ ------
TOTAL CANADA.......................... 137,049,204 6.3%
------------ ------
CHINA -- (0.2%)
Other Securities.................. 4,864,256 0.2%
------------ ------
FRANCE -- (4.3%)
Fonciere Des Regions.............. 190,204 16,289,188 0.8%
Gecina SA......................... 156,246 20,850,380 1.0%
ICADE............................. 237,301 21,826,829 1.0%
Klepierre......................... 704,513 31,598,250 1.5%
Other Securities.................. 10,065,785 0.4%
------------ ------
TOTAL FRANCE.......................... 100,630,432 4.7%
------------ ------
GERMANY -- (0.4%)
Other Securities.................. 8,374,189 0.4%
------------ ------
GREECE -- (0.0%)
Other Securities.................. 710,872 0.0%
------------ ------
HONG KONG -- (4.0%)
# Link REIT (The)................... 15,583,305 78,594,514 3.7%
Other Securities.................. 13,748,534 0.6%
------------ ------
TOTAL HONG KONG....................... 92,343,048 4.3%
------------ ------
ISRAEL -- (0.2%)
Other Securities.................. 4,096,802 0.2%
------------ ------
ITALY -- (0.2%)
Other Securities.................. 5,532,168 0.3%
------------ ------
81
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
JAPAN -- (16.6%)
# Advance Residence Investment Corp..... 8,537 $ 19,327,474 0.9%
Frontier Real Estate Investment Corp.. 1,623 16,216,774 0.7%
# Japan Prime Realty Investment Corp.... 5,422 18,018,058 0.8%
Japan Real Estate Investment Corp..... 4,121 47,081,579 2.2%
# Japan Retail Fund Investment Corp..... 14,487 29,340,812 1.4%
Mori Hills REIT Investment Corp....... 1,392 9,769,120 0.5%
# Mori Trust Sogo Reit, Inc............. 1,265 11,250,428 0.5%
Nippon Accommodations Fund, Inc....... 1,470 10,539,320 0.5%
Nippon Building Fund, Inc............. 4,863 60,159,679 2.8%
# Nomura Real Estate Office Fund, Inc... 2,509 12,394,468 0.6%
# Orix JREIT, Inc....................... 10,968 13,677,853 0.6%
# United Urban Investment Corp.......... 16,307 24,888,305 1.2%
Other Securities...................... 112,354,555 5.1%
------------ ------
TOTAL JAPAN............................... 385,018,425 17.8%
------------ ------
MALAYSIA -- (0.6%)
Other Securities...................... 13,489,527 0.6%
------------ ------
MEXICO -- (1.2%)
Fibra Uno Administracion S.A. de C.V.. 8,782,987 27,195,974 1.3%
------------ ------
NETHERLANDS -- (9.3%)
Corio NV.............................. 482,308 20,995,100 1.0%
Eurocommercial Properties NV.......... 237,981 10,111,652 0.5%
# Unibail-Rodamco SE.................... 633,736 165,575,512 7.7%
Wereldhave NV......................... 147,230 11,439,812 0.5%
Other Securities...................... 8,571,098 0.3%
------------ ------
TOTAL NETHERLANDS......................... 216,693,174 10.0%
------------ ------
NEW ZEALAND -- (0.7%)
Other Securities...................... 15,591,258 0.7%
------------ ------
SINGAPORE -- (7.9%)
Ascendas REIT......................... 13,941,000 26,506,474 1.2%
# CapitaCommercial Trust................ 13,721,000 16,235,902 0.7%
CapitaMall Trust...................... 16,554,300 26,887,384 1.2%
# Suntec REIT........................... 14,521,000 19,986,435 0.9%
Other Securities...................... 93,673,308 4.5%
------------ ------
TOTAL SINGAPORE........................... 183,289,503 8.5%
------------ ------
SOUTH AFRICA -- (2.1%)
Capital Property Fund................. 9,423,574 10,037,894 0.5%
Growthpoint Properties, Ltd........... 4,050,442 10,299,808 0.5%
Other Securities...................... 29,205,583 1.3%
------------ ------
TOTAL SOUTH AFRICA........................ 49,543,285 2.3%
------------ ------
TAIWAN -- (0.6%)
Other Securities...................... 13,745,219 0.6%
------------ ------
TURKEY -- (0.6%)
Other Securities...................... 15,120,567 0.7%
------------ ------
82
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (14.2%)
British Land Co. P.L.C........................................ 6,331,990 $ 63,151,477 2.9%
Derwent London P.L.C.......................................... 601,385 24,139,933 1.1%
Great Portland Estates P.L.C.................................. 2,280,278 20,924,819 1.0%
Hammerson P.L.C............................................... 4,812,805 40,782,360 1.9%
Intu Properties P.L.C......................................... 4,019,223 22,167,268 1.0%
Land Securities Group P.L.C................................... 5,251,976 83,254,870 3.9%
Segro P.L.C................................................... 4,883,720 25,578,649 1.2%
Shaftesbury P.L.C............................................. 1,638,837 15,605,115 0.7%
Other Securities.............................................. 32,668,779 1.5%
-------------- ------
TOTAL UNITED KINGDOM................................................ 328,273,270 15.2%
-------------- ------
TOTAL COMMON STOCKS................................................. 2,144,753,196 99.3%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SINGAPORE -- (0.0%)
Other Securities.............................................. 14,606 0.0%
-------------- ------
SHARES/
FACE
AMOUNT VALUE+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (7.5%)
(S)@ DFA Short Term Investment Fund................................ 15,038,894 174,000,000 8.1%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/13 (Collateralized by $77,480 FNMA, rates ranging from
2.500% to 4.500%, maturities ranging from 04/01/27 to
10/01/43, valued at $70,067) to be repurchased at $68,693.... $ 69 68,693 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL................................. 174,068,693 8.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,051,425,581)........................................... $2,318,836,495 107.4%
============== ======
83
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................... $ 1,073,311 $ 508,145,347 -- $ 509,218,658
Belgium..................... -- 33,973,365 -- 33,973,365
Canada...................... 137,049,204 -- -- 137,049,204
China....................... -- 4,864,256 -- 4,864,256
France...................... -- 100,630,432 -- 100,630,432
Germany..................... -- 8,374,189 -- 8,374,189
Greece...................... -- 710,872 -- 710,872
Hong Kong................... -- 92,343,048 -- 92,343,048
Israel...................... -- 4,096,802 -- 4,096,802
Italy....................... -- 5,532,168 -- 5,532,168
Japan....................... -- 385,018,425 -- 385,018,425
Malaysia.................... -- 13,489,527 -- 13,489,527
Mexico...................... 27,195,974 -- -- 27,195,974
Netherlands................. -- 216,693,174 -- 216,693,174
New Zealand................. -- 15,591,258 -- 15,591,258
Singapore................... -- 183,289,503 -- 183,289,503
South Africa................ -- 49,543,285 -- 49,543,285
Taiwan...................... -- 13,745,219 -- 13,745,219
Turkey...................... -- 15,120,567 -- 15,120,567
United Kingdom.............. -- 328,273,270 -- 328,273,270
Rights/Warrants
Singapore................... -- 14,606 -- 14,606
Securities Lending Collateral. -- 174,068,693 -- 174,068,693
------------ -------------- -- --------------
TOTAL......................... $165,318,489 $2,153,518,006 -- $2,318,836,495
============ ============== == ==============
See accompanying Notes to Financial Statements.
84
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
SHARES VALUE+
----------- --------------
AFFILIATED INVESTMENT COMPANIES -- (99.6%)
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc............................... 44,479,879 $1,235,206,238
Investment in DFA International Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc............................... 153,767,083 842,643,614
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $1,711,546,104).......................................... 2,077,849,852
--------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional Liquid Reserves, 0.073%
(Cost $8,697,235)................................................. 8,697,235 8,697,235
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,720,243,339).......................................... $2,086,547,087
==============
Summary of the Portfolio's investments as of October 31, 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. $2,077,849,852 -- -- $2,077,849,852
Temporary Cash Investments...... 8,697,235 -- -- 8,697,235
-------------- -- -- --------------
TOTAL........................... $2,086,547,087 -- -- $2,086,547,087
============== == == ==============
See accompanying Notes to Financial Statements.
85
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (91.3%)
AUSTRALIA -- (5.0%)
# Primary Health Care, Ltd..... 10,254,873 $ 47,843,315 0.4%
Other Securities............. 563,553,242 5.1%
------------ ----
TOTAL AUSTRALIA.................. 611,396,557 5.5%
------------ ----
AUSTRIA -- (0.8%)
# Wienerberger AG.............. 2,775,318 48,140,566 0.4%
Other Securities............. 46,419,548 0.4%
------------ ----
TOTAL AUSTRIA.................... 94,560,114 0.8%
------------ ----
BELGIUM -- (0.7%)
Other Securities............. 90,001,261 0.8%
------------ ----
CANADA -- (8.1%)
* Canfor Corp.................. 2,000,533 41,463,116 0.4%
* Celestica, Inc............... 4,266,945 46,858,025 0.4%
West Fraser Timber Co., Ltd.. 640,761 58,732,584 0.5%
Other Securities............. 834,777,825 7.5%
------------ ----
TOTAL CANADA..................... 981,831,550 8.8%
------------ ----
CHINA -- (0.0%)
Other Securities............. 4,800,879 0.0%
------------ ----
COLOMBIA -- (0.0%)
Other Securities............. 32,180 0.0%
------------ ----
DENMARK -- (1.4%)
#* Vestas Wind Systems A.S...... 3,314,030 88,805,540 0.8%
Other Securities............. 85,441,344 0.8%
------------ ----
TOTAL DENMARK.................... 174,246,884 1.6%
------------ ----
FINLAND -- (2.2%)
Huhtamaki Oyj................ 1,837,503 44,168,925 0.4%
Pohjola Bank P.L.C. Class A.. 2,317,182 42,197,505 0.4%
Other Securities............. 181,698,788 1.6%
------------ ----
TOTAL FINLAND.................... 268,065,218 2.4%
------------ ----
FRANCE -- (3.4%)
Havas SA..................... 5,005,668 41,624,191 0.4%
Other Securities............. 370,033,186 3.3%
------------ ----
TOTAL FRANCE..................... 411,657,377 3.7%
------------ ----
GERMANY -- (4.9%)
* Aareal Bank AG............... 1,133,243 43,463,385 0.4%
Aurubis AG................... 1,045,010 65,840,809 0.6%
Bilfinger SE................. 536,449 59,529,913 0.5%
#* TUI AG....................... 3,423,151 45,350,838 0.4%
Other Securities............. 386,223,402 3.5%
------------ ----
TOTAL GERMANY.................... 600,408,347 5.4%
------------ ----
GREECE -- (0.2%)
Other Securities............. 19,237,021 0.2
------------ ----
86
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.1%)
Other Securities............... $ 260,142,684 2.3%
-------------- -----
IRELAND -- (0.4%)
Smurfit Kappa Group P.L.C...... 2,066,589 50,024,929 0.5%
Other Securities............... 4,130,638 0.0%
-------------- -----
TOTAL IRELAND...................... 54,155,567 0.5%
-------------- -----
ISRAEL -- (0.7%)
Other Securities............... 89,813,252 0.8%
-------------- -----
ITALY -- (2.9%)
#* Banca Popolare di Milano Scarl. 77,876,899 52,021,908 0.5%
* Banco Popolare................. 40,563,396 80,582,762 0.7%
Other Securities............... 218,731,146 2.0%
-------------- -----
TOTAL ITALY........................ 351,335,816 3.2%
-------------- -----
JAPAN -- (21.2%)
Fujikura, Ltd.................. 9,669,000 44,121,189 0.4%
Other Securities............... 2,528,832,837 22.7%
-------------- -----
TOTAL JAPAN........................ 2,572,954,026 23.1%
-------------- -----
NETHERLANDS -- (1.8%)
Delta Lloyd NV................. 2,392,235 50,719,278 0.5%
Other Securities............... 165,018,056 1.4%
-------------- -----
TOTAL NETHERLANDS.................. 215,737,334 1.9%
-------------- -----
NEW ZEALAND -- (0.3%)
Other Securities............... 40,904,585 0.4%
-------------- -----
NORWAY -- (1.0%)
Other Securities............... 116,446,422 1.0%
-------------- -----
PORTUGAL -- (0.3%)
Other Securities............... 40,895,443 0.4%
-------------- -----
RUSSIA -- (0.1%)
Other Securities............... 8,176,906 0.1%
-------------- -----
SINGAPORE -- (1.6%)
Other Securities............... 190,923,855 1.7%
-------------- -----
SPAIN -- (2.4%)
# Bankinter SA................... 11,466,414 69,912,115 0.6%
* Gamesa Corp. Tecnologica SA.... 7,418,085 71,637,070 0.6%
#* Sacyr SA....................... 7,674,657 41,304,181 0.4%
Other Securities............... 111,875,412 1.0%
-------------- -----
TOTAL SPAIN........................ 294,728,778 2.6%
-------------- -----
SWEDEN -- (3.2%)
# Holmen AB Class B.............. 1,385,639 46,026,833 0.4%
# Trelleborg AB Class B.......... 6,024,942 113,688,584 1.0%
Other Securities............... 227,930,699 2.1%
-------------- -----
TOTAL SWEDEN....................... 387,646,116 3.5%
-------------- -----
87
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (4.1%)
Helvetia Holding AG.................. 121,594 $ 57,348,474 0.5%
Swiss Life Holding AG................ 237,965 47,183,777 0.4%
Other Securities..................... 396,461,344 3.6%
--------------- -----
TOTAL SWITZERLAND........................ 500,993,595 4.5%
--------------- -----
UNITED KINGDOM -- (22.5%)
Amlin P.L.C.......................... 11,024,189 75,323,453 0.7%
Ashtead Group P.L.C.................. 10,275,968 107,981,373 1.0%
Barratt Developments P.L.C........... 23,445,340 125,727,208 1.1%
Beazley P.L.C........................ 12,470,827 45,713,302 0.4%
Bellway P.L.C........................ 3,448,205 83,054,770 0.8%
Bodycote P.L.C....................... 5,021,077 52,927,267 0.5%
Bovis Homes Group P.L.C.............. 3,855,116 48,499,105 0.4%
Catlin Group, Ltd.................... 9,072,341 74,529,294 0.7%
CSR P.L.C............................ 4,886,688 43,044,052 0.4%
* Dixons Retail P.L.C.................. 78,168,061 61,244,756 0.6%
DS Smith P.L.C....................... 15,213,647 73,739,578 0.7%
easyJet P.L.C........................ 2,965,500 62,118,708 0.6%
Greene King P.L.C.................... 4,908,532 64,953,578 0.6%
Hiscox, Ltd.......................... 9,603,622 101,955,499 0.9%
Home Retail Group P.L.C.............. 17,508,245 55,860,306 0.5%
Inchcape P.L.C....................... 8,776,728 89,609,482 0.8%
Meggitt P.L.C........................ 4,813,743 44,191,006 0.4%
Millennium & Copthorne Hotels P.L.C.. 4,813,561 43,996,499 0.4%
Mondi P.L.C.......................... 6,004,641 107,218,486 1.0%
Persimmon P.L.C...................... 7,739,467 156,694,688 1.4%
SIG P.L.C............................ 14,208,459 46,883,529 0.4%
Taylor Wimpey P.L.C.................. 76,091,760 134,253,718 1.2%
* Thomas Cook Group P.L.C.............. 27,405,032 63,074,658 0.6%
Travis Perkins P.L.C................. 5,306,411 157,799,623 1.4%
Vesuvius P.L.C....................... 5,951,466 46,267,961 0.4%
Other Securities..................... 764,711,297 6.6%
--------------- -----
TOTAL UNITED KINGDOM..................... 2,731,373,196 24.5%
--------------- -----
TOTAL COMMON STOCKS...................... 11,112,464,963 99.7%
--------------- -----
PREFERRED STOCKS -- (0.0%)
FRANCE -- (0.0%)
Other Securities..................... 7,401 0.0%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRIA -- (0.0%)
Other Securities..................... -- 0.0%
--------------- -----
ISRAEL -- (0.0%)
Other Securities..................... 432 0.0%
--------------- -----
ITALY -- (0.0%)
Other Securities..................... 265 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS.................... 697 0.0%
--------------- -----
88
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
SHARES/
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------- ------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (8.7%)
(S)@ DFA Short Term Investment Fund.................................. 91,011,236 $ 1,053,000,000 9.4%
@ Repurchase Agreement, Deutsche Bank Securities, Inc.
0.12%, 11/01/13 (Collateralized by $85,122 FNMA, rates ranging
from 2.500% to 4.500%, maturities ranging from 04/01/27 to
10/01/43, valued at $76,977) to be repurchased at $75,468...... $ 75 75,468 0.0%
--------------- ------
TOTAL SECURITIES LENDING COLLATERAL................................... 1,053,075,468 9.4%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,147,270,819)............................................ $12,165,548,529 109.1%
=============== ======
Summary of the Portfolio's investments as of October 31, 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................... $ 88,431 $ 611,308,126 -- $ 611,396,557
Austria..................... -- 94,560,114 -- 94,560,114
Belgium..................... 1,510 89,999,751 -- 90,001,261
Canada...................... 981,346,259 485,291 -- 981,831,550
China....................... 678,336 4,122,543 -- 4,800,879
Colombia.................... 32,180 -- -- 32,180
Denmark..................... -- 174,246,884 -- 174,246,884
Finland..................... -- 268,065,218 -- 268,065,218
France...................... 2,223,624 409,433,753 -- 411,657,377
Germany..................... 4,965,979 595,442,368 -- 600,408,347
Greece...................... -- 19,237,021 -- 19,237,021
Hong Kong................... 14,741,037 245,401,647 -- 260,142,684
Ireland..................... -- 54,155,567 -- 54,155,567
Israel...................... -- 89,813,252 -- 89,813,252
Italy....................... -- 351,335,816 -- 351,335,816
Japan....................... 1,448,639 2,571,505,387 -- 2,572,954,026
Netherlands................. -- 215,737,334 -- 215,737,334
New Zealand................. -- 40,904,585 -- 40,904,585
Norway...................... 3,851,954 112,594,468 -- 116,446,422
Portugal.................... -- 40,895,443 -- 40,895,443
Russia...................... -- 8,176,906 -- 8,176,906
Singapore................... 5,123 190,918,732 -- 190,923,855
Spain....................... -- 294,728,778 -- 294,728,778
Sweden...................... 333,888 387,312,228 -- 387,646,116
Switzerland................. -- 500,993,595 -- 500,993,595
United Kingdom.............. 69,809 2,731,303,387 -- 2,731,373,196
Preferred Stocks
France...................... 7,401 -- -- 7,401
Rights/Warrants
Austria..................... -- -- -- --
Israel...................... -- 432 -- 432
Italy....................... -- 265 -- 265
Securities Lending Collateral. -- 1,053,075,468 -- 1,053,075,468
-------------- --------------- -- ---------------
TOTAL......................... $1,009,794,170 $11,155,754,359 -- $12,165,548,529
============== =============== == ===============
See accompanying Notes to Financial Statements.
89
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (90.1%)
AUSTRALIA -- (6.2%)
Lend Lease Group.............. 182,266 $ 1,965,533 0.2%
National Australia Bank, Ltd.. 62,086 2,074,966 0.2%
Origin Energy, Ltd............ 193,618 2,676,665 0.3%
Santos, Ltd................... 170,274 2,436,964 0.2%
Other Securities.............. 65,015,626 5.9%
----------- ------
TOTAL AUSTRALIA................... 74,169,754 6.8%
----------- ------
AUSTRIA -- (0.5%)
Other Securities.............. 6,056,086 0.6%
----------- ------
BELGIUM -- (1.3%)
Ageas......................... 45,850 1,948,353 0.2%
KBC Groep NV.................. 37,239 2,028,835 0.2%
Other Securities.............. 11,849,709 1.1%
----------- ------
TOTAL BELGIUM..................... 15,826,897 1.5%
----------- ------
CANADA -- (7.9%)
Toronto-Dominion Bank (The)... 21,129 1,938,117 0.2%
Other Securities.............. 92,905,836 8.5%
----------- ------
TOTAL CANADA...................... 94,843,953 8.7%
----------- ------
CHINA -- (0.0%)
Other Securities.............. 51,642 0.0%
----------- ------
COLOMBIA -- (0.0%)
Other Securities.............. 2,213 0.0%
----------- ------
DENMARK -- (1.3%)
Other Securities.............. 15,730,926 1.4%
----------- ------
FINLAND -- (1.9%)
#* Nokia Oyj..................... 440,404 3,347,413 0.3%
UPM-Kymmene Oyj............... 178,005 2,826,228 0.3%
Other Securities.............. 16,074,028 1.4%
----------- ------
TOTAL FINLAND..................... 22,247,669 2.0%
----------- ------
FRANCE -- (6.1%)
* Alcatel-Lucent................ 863,979 3,309,951 0.3%
BNP Paribas SA................ 36,071 2,661,070 0.3%
Cie de St-Gobain.............. 45,709 2,399,268 0.2%
Lafarge SA.................... 30,333 2,092,837 0.2%
Renault SA.................... 28,018 2,444,577 0.2%
Sanofi........................ 23,775 2,534,965 0.2%
Societe Generale SA........... 59,410 3,356,041 0.3%
Other Securities.............. 54,255,917 5.0%
----------- ------
TOTAL FRANCE...................... 73,054,626 6.7%
----------- ------
GERMANY -- (5.4%)
Allianz SE.................... 20,504 3,442,669 0.3%
* Commerzbank AG................ 151,865 1,942,295 0.2%
Daimler AG.................... 25,279 2,069,712 0.2%
90
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (Continued)
Deutsche Bank AG...................... 46,645 $ 2,253,886 0.2%
RWE AG................................ 73,139 2,694,593 0.3%
Other Securities...................... 52,453,443 4.7%
------------ ------
TOTAL GERMANY............................. 64,856,598 5.9%
------------ ------
GREECE -- (0.3%)
Other Securities...................... 3,680,643 0.3%
------------ ------
HONG KONG -- (2.6%)
Other Securities...................... 31,197,896 2.9%
------------ ------
IRELAND -- (0.5%)
Other Securities...................... 6,326,288 0.6%
------------ ------
ISRAEL -- (0.6%)
Other Securities...................... 7,219,308 0.7%
------------ ------
ITALY -- (2.2%)
Unione di Banche Italiane SCPA........ 368,830 2,549,144 0.3%
Other Securities...................... 24,399,697 2.2%
------------ ------
TOTAL ITALY............................... 26,948,841 2.5%
------------ ------
JAPAN -- (20.3%)
Mitsubishi UFJ Financial Group, Inc... 543,100 3,458,604 0.3%
Mizuho Financial Group, Inc........... 1,011,060 2,122,278 0.2%
Sumitomo Mitsui Financial Group, Inc.. 55,941 2,703,957 0.3%
Other Securities...................... 235,086,487 21.5%
------------ ------
TOTAL JAPAN............................... 243,371,326 22.3%
------------ ------
NETHERLANDS -- (2.5%)
Aegon NV.............................. 279,663 2,225,243 0.2%
Other Securities...................... 27,729,184 2.5%
------------ ------
TOTAL NETHERLANDS......................... 29,954,427 2.7%
------------ ------
NEW ZEALAND -- (0.4%)
Other Securities...................... 4,583,440 0.4%
------------ ------
NORWAY -- (1.0%)
Other Securities...................... 11,920,580 1.1%
------------ ------
PORTUGAL -- (0.4%)
Other Securities...................... 4,751,005 0.4%
------------ ------
RUSSIA -- (0.0%)
Other Securities...................... 64,369 0.0%
------------ ------
SINGAPORE -- (1.4%)
Other Securities...................... 17,230,672 1.6%
------------ ------
SPAIN -- (2.2%)
Banco de Sabadell SA.................. 872,241 2,234,946 0.2%
* Banco Popular Espanol SA.............. 406,071 2,303,382 0.2%
Banco Santander SA.................... 288,859 2,560,815 0.3%
Other Securities...................... 18,653,430 1.7%
------------ ------
TOTAL SPAIN............................... 25,752,573 2.4%
------------ ------
91
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWEDEN -- (2.8%)
Other Securities........................ $ 33,475,511 3.1%
-------------- ------
SWITZERLAND -- (6.1%)
Credit Suisse Group AG.................. 144,732 4,502,315 0.4%
Holcim, Ltd............................. 29,383 2,185,491 0.2%
Julius Baer Group, Ltd.................. 47,955 2,352,468 0.2%
Lonza Group AG.......................... 23,146 2,066,079 0.2%
Nestle SA............................... 61,616 4,447,684 0.4%
Novartis AG ADR......................... 28,202 2,187,065 0.2%
Swiss Re AG............................. 48,833 4,286,688 0.4%
Zurich Insurance Group AG............... 17,448 4,821,287 0.5%
Other Securities........................ 46,729,698 4.2%
-------------- ------
TOTAL SWITZERLAND........................... 73,578,775 6.7%
-------------- ------
UNITED KINGDOM -- (16.2%)
Anglo American P.L.C.................... 146,774 3,489,782 0.3%
Barratt Developments P.L.C.............. 423,037 2,268,564 0.2%
BP P.L.C................................ 297,377 2,308,419 0.2%
BP P.L.C. Sponsored ADR................. 103,538 4,814,517 0.5%
# HSBC Holdings P.L.C. Sponsored ADR...... 175,852 9,678,894 0.9%
Legal & General Group P.L.C............. 566,357 1,962,884 0.2%
* Lloyds Banking Group P.L.C.............. 2,002,798 2,477,053 0.2%
Old Mutual P.L.C........................ 627,407 2,044,744 0.2%
Resolution, Ltd......................... 479,648 2,746,351 0.3%
Royal Dutch Shell P.L.C. ADR(780259206). 60,794 4,052,528 0.4%
Royal Dutch Shell P.L.C. ADR(780259107). 88,550 6,155,996 0.6%
RSA Insurance Group P.L.C............... 981,571 2,021,573 0.2%
Vodafone Group P.L.C. Sponsored ADR..... 165,738 6,102,473 0.6%
Other Securities........................ 144,571,988 13.1%
-------------- ------
TOTAL UNITED KINGDOM........................ 194,695,766 17.9%
-------------- ------
UNITED STATES -- (0.0%)
Other Securities........................ 50,776 0.0%
-------------- ------
TOTAL COMMON STOCKS......................... 1,081,642,560 99.2%
-------------- ------
PREFERRED STOCKS -- (0.0%)
FRANCE -- (0.0%)
Other Securities........................ 1 0.0%
-------------- ------
GERMANY -- (0.0%)
Other Securities........................ 188,714 0.0%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities........................ 9,032 0.0%
-------------- ------
TOTAL PREFERRED STOCKS...................... 197,747 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities........................ -- 0.0%
-------------- ------
AUSTRIA -- (0.0%)
Other Securities........................ -- 0.0%
-------------- ------
FRANCE -- (0.0%)
Other Securities........................ 16 0.0%
-------------- ------
92
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (0.0%)
Other Securities................................................. $ -- 0.0%
-------------- ------
ITALY -- (0.0%)
Other Securities................................................. 1,046 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities................................................. 62,360 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................................................. 63,422 0.0%
-------------- ------
SHARES/
FACE
AMOUNT VALUE+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (9.9%)
(S)@ DFA Short Term Investment Fund................................... 10,285,220 119,000,000 10.9%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/13 (Collateralized by $169,878 FNMA, rates ranging from
2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43,
valued at $153,624) to be repurchased at $150,613............... $ 151 150,612 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................... 119,150,612 10.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $978,641,888)................................................ $1,201,054,341 110.1%
============== ======
93
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................... $ 1,168,941 $ 73,000,813 -- $ 74,169,754
Austria..................... -- 6,056,086 -- 6,056,086
Belgium..................... 875,336 14,951,561 -- 15,826,897
Canada...................... 94,837,465 6,488 -- 94,843,953
China....................... 5,467 46,175 -- 51,642
Colombia.................... 2,213 -- -- 2,213
Denmark..................... -- 15,730,926 -- 15,730,926
Finland..................... -- 22,247,669 -- 22,247,669
France...................... 2,155,798 70,898,828 -- 73,054,626
Germany..................... 4,279,468 60,577,130 -- 64,856,598
Greece...................... 4,844 3,675,799 -- 3,680,643
Hong Kong................... 279,902 30,917,994 -- 31,197,896
Ireland..................... 1,757,074 4,569,214 -- 6,326,288
Israel...................... 922,161 6,297,147 -- 7,219,308
Italy....................... 1,296,432 25,652,409 -- 26,948,841
Japan....................... 4,504,801 238,866,525 -- 243,371,326
Netherlands................. 5,157,662 24,796,765 -- 29,954,427
New Zealand................. 5,022 4,578,418 -- 4,583,440
Norway...................... 595,569 11,325,011 -- 11,920,580
Portugal.................... -- 4,751,005 -- 4,751,005
Russia...................... -- 64,369 -- 64,369
Singapore................... -- 17,230,672 -- 17,230,672
Spain....................... 1,257,668 24,494,905 -- 25,752,573
Sweden...................... 13,424 33,462,087 -- 33,475,511
Switzerland................. 5,618,343 67,960,432 -- 73,578,775
United Kingdom.............. 37,975,431 156,720,335 -- 194,695,766
United States............... 50,776 -- -- 50,776
Preferred Stocks
France...................... 1 -- -- 1
Germany..................... -- 188,714 -- 188,714
United Kingdom.............. -- 9,032 -- 9,032
Rights/Warrants
Australia................... -- -- -- --
Austria..................... -- -- -- --
France...................... -- 16 -- 16
Hong Kong................... -- -- -- --
Italy....................... -- 1,046 -- 1,046
Spain....................... -- 62,360 -- 62,360
Securities Lending Collateral. -- 119,150,612 -- 119,150,612
------------ -------------- -- --------------
TOTAL......................... $162,763,798 $1,038,290,543 -- $1,201,054,341
============ ============== == ==============
See accompanying Notes to Financial Statements.
94
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
SHARES VALUE+
------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company........................... $ 82,013,299
Investment in Dimensional Emerging Markets Value Fund........ 24,814,665
Investment in DFA International Small Cap Value Portfolio of
DFA Investment Dimensions Group Inc........................ 526,844 10,626,448
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $102,161,430)..................................... 117,454,412
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $102,161,430)..................................... $117,454,412
============
Summary of the Portfolio's investments as of October 31, 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. $117,454,412 -- -- $117,454,412
------------ -- -- ------------
TOTAL........................... $117,454,412 -- -- $117,454,412
============ == == ============
See accompanying Notes to Financial Statements.
95
WORLD EX U.S. TARGETED VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
SHARES VALUE+
--------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in DFA International Small Cap Value Portfolio of
DFA Investment Dimensions Group Inc........................ 2,950,303 $59,507,603
Investment in Dimensional Emerging Markets Value Fund........ 22,063,755
Investment in International Vector Equity Portfolio of
DFA Investment Dimensions Group Inc........................ 735,217 8,638,806
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company........................... 5,728,688
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $84,292,613)...................................... 95,938,852
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $84,292,613)...................................... $95,938,852
===========
Summary of the Portfolio's investments as of October 31, 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. $95,938,852 -- -- $95,938,852
----------- -- -- -----------
TOTAL........................... $95,938,852 -- -- $95,938,852
=========== == == ===========
See accompanying Notes to Financial Statements.
96
WORLD EX U.S. CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
SHARES VALUE+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 7,934,151 $ 99,732,282
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 1,478,473 29,702,529
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $117,714,895)................................. 129,434,811
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $117,714,895)................................. $129,434,811
============
Summary of the Portfolio's investments as of October 31, 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. $129,434,811 -- -- $129,434,811
------------ -- -- ------------
TOTAL........................... $129,434,811 -- -- $129,434,811
============ == == ============
See accompanying Notes to Financial Statements.
97
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
SHARES VALUE+
--------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc.................... 2,406,753 $37,593,478
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 2,772,248 34,847,158
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 755,956 15,187,160
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $72,257,364).................................. 87,627,796
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $72,257,364).................................. $87,627,796
===========
Summary of the Portfolio's investments as of October 31, 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. $87,627,796 -- -- $87,627,796
Futures Contracts**............. 132,768 -- -- 132,768
Forward Currency Contracts**.... -- $28,113 -- 28,113
----------- ------- -- -----------
TOTAL........................... $87,760,564 $28,113 -- $87,788,677
=========== ======= == ===========
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
98
SCHEDULES OF INVESTMENTS
OCTOBER 31, 2013
EMERGING MARKETS PORTFOLIO
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of
The DFA Investment Trust Company..................... $3,653,886,907
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $2,522,234,797)............................. $3,653,886,907
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 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..................... $4,037,179,777
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $3,582,520,729)............................. $4,037,179,777
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 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.. $19,256,425,152
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $18,840,666,697)............................ $19,256,425,152
===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
99
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (88.4%)
BRAZIL -- (9.1%)
Banco Bradesco SA................................... 2,129,629 $ 34,299,515 0.3%
# Banco Bradesco SA ADR............................... 5,097,969 73,512,708 0.6%
Banco do Brasil SA.................................. 2,450,339 32,434,641 0.3%
BM&FBovespa SA...................................... 7,415,089 41,792,285 0.3%
Gerdau SA Sponsored ADR............................. 3,674,735 29,140,649 0.2%
# Itau Unibanco Holding SA ADR........................ 5,554,966 85,602,024 0.7%
Petroleo Brasileiro SA ADR.......................... 3,861,209 67,300,873 0.5%
# Petroleo Brasileiro SA Sponsored ADR................ 5,128,535 93,134,196 0.7%
# Vale SA Sponsored ADR(91912E105).................... 3,426,868 54,864,157 0.4%
Vale SA Sponsored ADR(91912E204).................... 4,029,593 58,993,242 0.5%
Other Securities.................................... 724,890,322 5.4%
-------------- -----
TOTAL BRAZIL............................................ 1,295,964,612 9.9%
-------------- -----
CHILE -- (1.4%)
Other Securities.................................... 201,874,444 1.5%
-------------- -----
CHINA -- (13.7%)
Bank of China, Ltd. Class H......................... 145,776,702 68,633,093 0.5%
China Construction Bank Corp. Class H............... 152,896,302 118,957,385 0.9%
# China Mobile, Ltd. Sponsored ADR.................... 1,489,143 77,465,219 0.6%
CNOOC, Ltd.......................................... 15,368,000 31,179,535 0.3%
CNOOC, Ltd. ADR..................................... 175,892 35,584,711 0.3%
Industrial & Commercial Bank of China, Ltd. Class H. 143,278,725 100,257,149 0.8%
Tencent Holdings, Ltd............................... 970,900 52,968,595 0.4%
Other Securities.................................... 1,465,753,971 11.2%
-------------- -----
TOTAL CHINA............................................. 1,950,799,658 15.0%
-------------- -----
COLOMBIA -- (0.5%)
Other Securities.................................... 72,542,345 0.6%
-------------- -----
CZECH REPUBLIC -- (0.3%)
Other Securities.................................... 40,313,246 0.3%
-------------- -----
EGYPT -- (0.0%)
Other Securities.................................... 6,886,974 0.1%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................... 773,692 0.0%
-------------- -----
HUNGARY -- (0.3%)
Other Securities.................................... 39,695,409 0.3%
-------------- -----
INDIA -- (6.1%)
HDFC Bank, Ltd...................................... 2,994,559 33,307,680 0.3%
# Infosys, Ltd. Sponsored ADR......................... 669,643 35,531,258 0.3%
Reliance Industries, Ltd............................ 3,724,395 55,433,229 0.4%
Other Securities.................................... 745,642,395 5.7%
-------------- -----
TOTAL INDIA............................................. 869,914,562 6.7%
-------------- -----
INDONESIA -- (2.3%)
Other Securities.................................... 334,715,998 2.6%
-------------- -----
ISRAEL -- (0.0%)
Other Securities.................................... 330,970 0.0%
-------------- -----
100
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (4.1%)
CIMB Group Holdings Bhd................... 14,070,063 $ 33,444,890 0.3%
Malayan Banking Bhd....................... 12,903,788 39,996,828 0.3%
Other Securities.......................... 509,663,424 3.9%
-------------- -----
TOTAL MALAYSIA................................ 583,105,142 4.5%
-------------- -----
MEXICO -- (4.8%)
Alfa S.A.B. de C.V. Class A............... 12,826,789 35,116,435 0.3%
# America Movil S.A.B. de C.V. Series L ADR. 2,589,383 55,438,689 0.4%
#* Cemex S.A.B. de C.V. Sponsored ADR........ 6,149,067 65,057,129 0.5%
# Fomento Economico Mexicano S.A.B. de C.V.
Sponsored ADR............................ 555,503 51,828,430 0.4%
Grupo Financiero Banorte S.A.B. de C.V.... 8,197,629 52,475,884 0.4%
Grupo Mexico S.A.B. de C.V. Series B...... 12,013,141 38,072,650 0.3%
# Grupo Televisa S.A.B. Sponsored ADR....... 1,810,392 55,108,332 0.4%
Other Securities.......................... 332,326,572 2.6%
-------------- -----
TOTAL MEXICO.................................. 685,424,121 5.3%
-------------- -----
PERU -- (0.1%)
Other Securities.......................... 18,921,333 0.1%
-------------- -----
PHILIPPINES -- (1.3%)
Other Securities.......................... 188,172,356 1.4%
-------------- -----
POLAND -- (1.7%)
Other Securities.......................... 244,111,479 1.9%
-------------- -----
RUSSIA -- (3.8%)
Gazprom OAO Sponsored ADR................. 19,360,421 180,969,619 1.4%
# Lukoil OAO Sponsored ADR.................. 1,464,268 95,900,562 0.7%
Sberbank of Russia Sponsored ADR.......... 5,532,517 70,552,743 0.6%
Tatneft OAO Sponsored ADR................. 739,208 30,365,137 0.2%
Other Securities.......................... 162,340,575 1.2%
-------------- -----
TOTAL RUSSIA.................................. 540,128,636 4.1%
-------------- -----
SOUTH AFRICA -- (6.7%)
FirstRand, Ltd............................ 9,125,832 32,761,624 0.3%
MTN Group, Ltd............................ 3,230,167 64,206,532 0.5%
Naspers, Ltd. Class N..................... 631,382 59,099,733 0.5%
Sanlam, Ltd............................... 7,258,066 38,943,664 0.3%
Sasol, Ltd................................ 765,727 39,126,959 0.3%
# Sasol, Ltd. Sponsored ADR................. 869,022 44,337,502 0.3%
# Standard Bank Group, Ltd.................. 3,305,953 42,058,657 0.3%
Other Securities.......................... 632,836,511 4.8%
-------------- -----
TOTAL SOUTH AFRICA............................ 953,371,182 7.3%
-------------- -----
SOUTH KOREA -- (13.6%)
Hana Financial Group, Inc................. 1,071,129 41,187,342 0.3%
Hyundai Mobis............................. 136,261 38,436,499 0.3%
Hyundai Motor Co.......................... 344,450 82,063,088 0.6%
# Kia Motors Corp........................... 584,259 33,946,142 0.3%
# POSCO ADR................................. 473,943 35,289,796 0.3%
Samsung Electronics Co., Ltd.............. 204,504 282,022,914 2.2%
Other Securities.......................... 1,425,493,978 10.9%
-------------- -----
TOTAL SOUTH KOREA............................. 1,938,439,759 14.9%
-------------- -----
101
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (13.6%)
CTBC Financial Holding Co., Ltd.............. 43,121,191 $ 29,250,510 0.2%
Hon Hai Precision Industry Co., Ltd.......... 28,489,623 72,428,987 0.6%
# Taiwan Semiconductor Manufacturing Co., Ltd.. 40,714,652 150,056,501 1.2%
Other Securities............................. 1,695,589,463 13.0%
--------------- ------
TOTAL TAIWAN..................................... 1,947,325,461 15.0%
--------------- ------
THAILAND -- (2.9%)
Other Securities............................. 415,125,485 3.2%
--------------- ------
TURKEY -- (2.1%)
Other Securities............................. 298,790,261 2.3%
--------------- ------
UNITED STATES -- (0.0%)
Other Securities............................. 126,755 0.0%
--------------- ------
TOTAL COMMON STOCKS.............................. 12,626,853,880 97.0%
--------------- ------
PREFERRED STOCKS -- (1.9%)
BRAZIL -- (1.8%)
Itau Unibanco Holding SA..................... 2,951,785 45,672,482 0.4%
Other Securities............................. 209,006,990 1.5%
--------------- ------
TOTAL BRAZIL..................................... 254,679,472 1.9%
--------------- ------
CHILE -- (0.0%)
Other Securities............................. 2,111,459 0.0%
--------------- ------
COLOMBIA -- (0.1%)
Other Securities............................. 8,313,715 0.1%
--------------- ------
TOTAL PREFERRED STOCKS........................... 265,104,646 2.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities............................. 11,935 0.0%
--------------- ------
CHILE -- (0.0%)
Other Securities............................. 31 0.0%
--------------- ------
MALAYSIA -- (0.0%)
Other Securities............................. 174,504 0.0%
--------------- ------
POLAND -- (0.0%)
Other Securities............................. -- 0.0%
--------------- ------
SOUTH KOREA -- (0.0%)
Other Securities............................. 15,747 0.0%
--------------- ------
THAILAND -- (0.0%)
Other Securities............................. 36,842 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS............................ 239,059 0.0%
--------------- ------
102
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
SHARES/
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------- ------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (9.7%)
(S)@ DFA Short Term Investment Fund.............................. 118,582,541 $ 1,372,000,000 10.5%
@ Repurchase Agreement, Deutsche Bank Securities, Inc.
0.12%, 11/01/13 (Collateralized by $12,370,390 FNMA, rates
ranging from 2.500% to 4.500%, maturities ranging from
04/01/27 to 10/01/43, valued at $11,186,777) to be
repurchased at $10,967,465................................. $ 10,967 10,967,428 0.1%
--------------- ------
TOTAL SECURITIES LENDING COLLATERAL............................... 1,382,967,428 10.6%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $13,051,760,683)...................................... $14,275,165,013 109.6%
=============== ======
103
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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...................... $ 673,687,040 $ 622,277,572 -- $ 1,295,964,612
Chile....................... 53,152,182 148,722,262 -- 201,874,444
China....................... 209,489,377 1,741,310,281 -- 1,950,799,658
Colombia.................... 72,542,345 -- -- 72,542,345
Czech Republic.............. -- 40,313,246 -- 40,313,246
Egypt....................... -- 6,886,974 -- 6,886,974
Hong Kong................... -- 773,692 -- 773,692
Hungary..................... 248,373 39,447,036 -- 39,695,409
India....................... 77,607,096 792,307,466 -- 869,914,562
Indonesia................... 13,389,435 321,326,563 -- 334,715,998
Israel...................... -- 330,970 -- 330,970
Malaysia.................... -- 583,105,142 -- 583,105,142
Mexico...................... 685,300,950 123,171 -- 685,424,121
Peru........................ 18,921,333 -- -- 18,921,333
Philippines................. 3,409,239 184,763,117 -- 188,172,356
Poland...................... 84,720 244,026,759 -- 244,111,479
Russia...................... 21,167,946 518,960,690 -- 540,128,636
South Africa................ 81,220,811 872,150,371 -- 953,371,182
South Korea................. 93,287,756 1,845,152,003 -- 1,938,439,759
Taiwan...................... 41,170,777 1,906,154,684 -- 1,947,325,461
Thailand.................... 415,119,288 6,197 -- 415,125,485
Turkey...................... 4,597,018 294,193,243 -- 298,790,261
United States............... -- 126,755 -- 126,755
Preferred Stocks
Brazil...................... 4,574,692 250,104,780 -- 254,679,472
Chile....................... -- 2,111,459 -- 2,111,459
Colombia.................... 8,313,715 -- -- 8,313,715
Rights/Warrants
Brazil...................... -- 11,935 -- 11,935
Chile....................... -- 31 -- 31
Malaysia.................... -- 174,504 -- 174,504
Poland...................... -- -- -- --
South Korea................. -- 15,747 -- 15,747
Thailand.................... -- 36,842 -- 36,842
Securities Lending Collateral. -- 1,382,967,428 -- 1,382,967,428
-------------- --------------- -- ---------------
TOTAL......................... $2,477,284,093 $11,797,880,920 -- $14,275,165,013
============== =============== == ===============
See accompanying Notes to Financial Statements.
104
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ENHANCED
U.S. LARGE
COMPANY U.S. LARGE CAP U.S. LARGE CAP
PORTFOLIO EQUITY PORTFOLIO VALUE PORTFOLIO
- ------------ ---------------- ---------------
ASSETS:
Investments in Affiliated Investment Company at Value............... -- -- $ 11,967,120
Investments at Value (including $0, $32,917, $0 and $603,977 of
securities on loan, respectively).................................. $ 211,548 $ 134,084 --
Temporary Cash Investments at Value & Cost.......................... -- 2,237 --
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost............................................................... -- 33,752 --
Foreign Currencies at Value......................................... 3,367 -- --
Cash................................................................ 679 -- --
Receivables:
Investment Securities/Affiliated Investment Company Sold.......... 11,265 -- --
Dividends, Interest and Tax Reclaims.............................. 1,140 110 --
Securities Lending Income......................................... -- 4 --
Fund Shares Sold.................................................. 19 947 9,362
From Advisor...................................................... -- 1 --
Unrealized Gain on Forward Currency Contracts....................... 101 -- --
Unrealized Gain on Foreign Currency Contracts....................... 10 -- --
Deferred Offering Costs............................................. -- 28 --
Prepaid Expenses and Other Assets................................... 16 8 91
------------ ------------ --------------
Total Assets.................................................... 228,145 171,171 11,976,573
------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. -- 33,752 --
Investment Securities/Affiliated Investment Company
Purchased........................................................ 13,374 1,914 --
Fund Shares Redeemed.............................................. 433 77 11,554
Due to Advisor.................................................... 36 -- 1,477
Futures Margin Variation.......................................... 1,121 -- --
Unrealized Loss on Forward Currency Contracts....................... 318 -- --
Accrued Expenses and Other Liabilities.............................. 23 21 470
------------ ------------ --------------
Total Liabilities............................................... 15,305 35,764 13,501
------------ ------------ --------------
NET ASSETS.......................................................... $ 212,840 $ 135,407 $ 11,963,072
============ ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R1 Shares -- based on net assets of $0; $0; $0 and $9,470
and shares outstanding of 0; 0; 0 and 418,568, respectively........ N/A N/A N/A
============ ============ ==============
NUMBER OF SHARES AUTHORIZED......................................... N/A N/A N/A
============ ============ ==============
Class R2 Shares -- based on net assets of $0; $0; $0 and
$23,305 and shares outstanding of 0; 0; 0 and 1,032,756,
respectively....................................................... N/A N/A N/A
============ ============ ==============
NUMBER OF SHARES AUTHORIZED......................................... N/A N/A N/A
============ ============ ==============
Institutional Class Shares -- based on net assets of $212,840;
$135,407; $11,963,072 and $4,180,974 and shares outstanding
of 18,187,882; 12,227,071; 402,570,195 and 184,963,719,
respectively....................................................... $ 11.70 $ 11.07 $ 29.72
============ ============ ==============
NUMBER OF SHARES AUTHORIZED......................................... 300,000,000 100,000,000 2,000,000,000
============ ============ ==============
Investments in Affiliated Investment Company at Cost................ $ -- $ -- $ 7,741,067
============ ============ ==============
Investments at Cost................................................. $ 207,573 $ 123,524 $ --
============ ============ ==============
Foreign Currencies at Cost.......................................... $ 3,401 $ -- $ --
============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 209,974 $ 124,529 $ 8,221,868
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)............................................. 200 281 28,203
Accumulated Net Realized Gain (Loss)................................ (8,972) 37 (513,052)
Net Unrealized Foreign Exchange Gain (Loss)......................... (217) -- --
Net Unrealized Appreciation (Depreciation).......................... 11,855 10,560 4,226,053
------------ ------------ --------------
NET ASSETS.......................................................... $ 212,840 $ 135,407 $ 11,963,072
============ ============ ==============
U.S. TARGETED
VALUE PORTFOLIO
- ---------------
ASSETS:
Investments in Affiliated Investment Company at Value............... --
Investments at Value (including $0, $32,917, $0 and $603,977 of
securities on loan, respectively).................................. $ 4,177,782
Temporary Cash Investments at Value & Cost.......................... 25,535
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost............................................................... 623,299
Foreign Currencies at Value......................................... --
Cash................................................................ 682
Receivables:
Investment Securities/Affiliated Investment Company Sold.......... 7,259
Dividends, Interest and Tax Reclaims.............................. 1,194
Securities Lending Income......................................... 212
Fund Shares Sold.................................................. 11,574
From Advisor...................................................... --
Unrealized Gain on Forward Currency Contracts....................... --
Unrealized Gain on Foreign Currency Contracts....................... --
Deferred Offering Costs............................................. --
Prepaid Expenses and Other Assets................................... 52
------------
Total Assets.................................................... 4,847,589
------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. 623,299
Investment Securities/Affiliated Investment Company
Purchased........................................................ 6,934
Fund Shares Redeemed.............................................. 1,994
Due to Advisor.................................................... 1,255
Futures Margin Variation.......................................... --
Unrealized Loss on Forward Currency Contracts....................... --
Accrued Expenses and Other Liabilities.............................. 358
------------
Total Liabilities............................................... 633,840
------------
NET ASSETS.......................................................... $ 4,213,749
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R1 Shares -- based on net assets of $0; $0; $0 and $9,470
and shares outstanding of 0; 0; 0 and 418,568, respectively........ 22.63
============
NUMBER OF SHARES AUTHORIZED......................................... 100,000,000
============
Class R2 Shares -- based on net assets of $0; $0; $0 and
$23,305 and shares outstanding of 0; 0; 0 and 1,032,756,
respectively....................................................... 22.57
============
NUMBER OF SHARES AUTHORIZED......................................... 100,000,000
============
Institutional Class Shares -- based on net assets of $212,840;
$135,407; $11,963,072 and $4,180,974 and shares outstanding
of 18,187,882; 12,227,071; 402,570,195 and 184,963,719,
respectively....................................................... $ 22.60
============
NUMBER OF SHARES AUTHORIZED......................................... 700,000,000
============
Investments in Affiliated Investment Company at Cost................ $ --
============
Investments at Cost................................................. $ 2,844,192
============
Foreign Currencies at Cost.......................................... $ --
============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 2,629,141
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)............................................. 484
Accumulated Net Realized Gain (Loss)................................ 250,534
Net Unrealized Foreign Exchange Gain (Loss)......................... --
Net Unrealized Appreciation (Depreciation).......................... 1,333,590
------------
NET ASSETS.......................................................... $ 4,213,749
============
See accompanying Notes to Financial Statements.
105
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. CORE U.S. CORE U.S. VECTOR
U.S. SMALL CAP EQUITY 1 EQUITY 2 EQUITY
VALUE PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- -------------- -------------- --------------
ASSETS:
Investments at Value (including $1,459,443,
$712,697, $1,030,739 and $369,531 of securities
on loan, respectively).............................. $ 9,470,398 $ 7,536,491 $ 9,966,682 $ 2,889,233
Temporary Cash Investments at Value & Cost........... 58,724 31,599 33,429 6,584
Collateral from Securities on Loan Invested in
Affiliate at Value & Cost........................... 1,508,504 733,079 1,060,641 382,245
Cash................................................. 1,910 116 249 159
Receivables:
Investment Securities Sold......................... 10,101 10 12 22
Dividends and Interest............................. 3,208 5,183 6,608 1,491
Securities Lending Income.......................... 463 290 427 200
Fund Shares Sold................................... 8,354 12,580 16,856 3,954
Prepaid Expenses and Other Assets.................... 101 135 107 45
-------------- -------------- -------------- --------------
Total Assets.................................... 11,061,763 8,319,483 11,085,011 3,283,933
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... 1,508,504 733,079 1,060,641 382,245
Investment Securities Purchased.................... 15,676 15,331 27,957 4,588
Fund Shares Redeemed............................... 5,851 3,238 4,430 2,304
Due to Advisor..................................... 3,973 1,061 1,654 722
Accrued Expenses and Other Liabilities............... 778 595 765 232
-------------- -------------- -------------- --------------
Total Liabilities............................... 1,534,782 753,304 1,095,447 390,091
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 9,526,981 $ 7,566,179 $ 9,989,564 $ 2,893,842
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$9,526,981; $7,566,179; $9,989,564 and
$2,893,842 and shares outstanding of
276,282,421; 480,572,749; 639,564,977 and
185,306,591, respectively........................... $ 34.48 $ 15.74 $ 15.62 $ 15.62
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.......................... 1,700,000,000 1,500,000,000 2,300,000,000 1,000,000,000
============== ============== ============== ==============
Investments at Cost.................................. $ 6,597,207 $ 5,237,337 $ 6,797,207 $ 1,961,480
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 6,214,232 $ 5,218,221 $ 6,704,700 $ 1,923,097
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 1,366 14,478 14,555 3,096
Accumulated Net Realized Gain (Loss)................. 438,192 34,326 100,834 39,896
Net Unrealized Appreciation (Depreciation)........... 2,873,191 2,299,154 3,169,475 927,753
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 9,526,981 $ 7,566,179 $ 9,989,564 $ 2,893,842
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
106
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA REAL
ESTATE LARGE CAP
U.S. SMALL CAP U.S. MICRO CAP SECURITIES INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO*
-------------- -------------- ------------ -------------
ASSETS:
Investments at Value (including $1,665,475, $805,423,
$480,855 and $254,244 of securities on loan,
respectively).............................................. $ 7,426,595 $ 4,683,423 $ 4,650,418 $ 2,743,088
Temporary Cash Investments at Value & Cost.................. 36,843 12,694 14,133 --
Collateral Received from Securities on Loan at Value &
Cost....................................................... -- -- -- 339
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... 1,718,441 834,896 497,984 249,000
Foreign Currencies at Value................................. -- -- -- 5,513
Cash........................................................ 763 1,180 -- 7,027
Receivables:
Investment Securities Sold................................ 13,342 5,015 -- --
Dividends, Interest and Tax Reclaims...................... 2,095 1,445 6,298 6,568
Securities Lending Income................................. 765 647 72 177
Fund Shares Sold.......................................... 8,859 2,100 9,344 1,319
Prepaid Expenses and Other Assets........................... 55 47 53 21
-------------- -------------- ------------ ------------
Total Assets........................................... 9,207,758 5,541,447 5,178,302 3,013,052
-------------- -------------- ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 1,718,441 834,896 497,984 249,339
Investment Securities Purchased........................... 34,151 6,291 -- 4,905
Fund Shares Redeemed...................................... 5,540 2,072 1,957 2,851
Due to Advisor............................................ 2,166 1,966 492 574
Unrealized Loss on Foreign Currency Contracts............... -- -- -- 13
Accrued Expenses and Other Liabilities...................... 633 391 451 256
-------------- -------------- ------------ ------------
Total Liabilities...................................... 1,760,931 845,616 500,884 257,938
-------------- -------------- ------------ ------------
NET ASSETS.................................................. $ 7,446,827 $ 4,695,831 $ 4,677,418 $ 2,755,114
============== ============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$7,446,827; $4,695,831; $4,677,418 and $2,755,114
and shares outstanding of 248,001,921; 239,125,446;
168,423,065 and 124,102,982, respectively.................. $ 30.03 $ 19.64 $ 27.77 $ 22.20
============== ============== ============ ============
NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,500,000,000 700,000,000 500,000,000
============== ============== ============ ============
Investments at Cost......................................... $ 5,223,959 $ 3,062,833 $ 3,317,741 $ 2,105,213
============== ============== ============ ============
Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ 5,504
============== ============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 5,020,485 $ 2,867,133 $ 3,572,655 $ 2,345,517
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 3,164 1,656 32,390 6,579
Accumulated Net Realized Gain (Loss)........................ 220,542 206,452 (260,304) (234,908)
Net Unrealized Foreign Exchange Gain (Loss)................. -- -- -- 42
Net Unrealized Appreciation (Depreciation).................. 2,202,636 1,620,590 1,332,677 637,884
-------------- -------------- ------------ ------------
NET ASSETS.................................................. $ 7,446,827 $ 4,695,831 $ 4,677,418 $ 2,755,114
============== ============== ============ ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
107
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL JAPANESE ASIA PACIFIC
INTERNATIONAL SMALL SMALL SMALL
CORE EQUITY COMPANY COMPANY COMPANY
PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- ------------ ------------
ASSETS:
Investments in Affiliated Investment Companies at
Value...................................................... -- $ 8,509,407 $ 414,295 $ 331,292
Investments at Value (including $1,069,370, $0, $0 and $0
of securities on loan, respectively)....................... $ 9,434,976 -- -- --
Temporary Cash.............................................. -- 12,173 -- --
Collateral Received from Securities on Loan at Value &
Cost....................................................... 4,951 -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... 1,075,000 -- -- --
Foreign Currencies at Value................................. 2,087 -- -- --
Cash........................................................ 38,004 -- -- --
Receivables:
Investment Securities Sold................................ 380 -- -- --
Dividends, Interest and Tax Reclaims...................... 21,328 -- -- --
Securities Lending Income................................. 771 -- -- --
Fund Shares Sold.......................................... 17,948 4,045 -- 15
Prepaid Expenses and Other Assets........................... 127 56 7 7
-------------- -------------- ------------ ------------
Total Assets........................................... 10,595,572 8,525,681 414,302 331,314
-------------- -------------- ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 1,079,951 -- -- --
Investment Securities Purchased........................... 647 -- -- --
Fund Shares Redeemed...................................... 2,917 1,771 6 7
Due to Advisor............................................ 2,762 2,846 140 112
Accrued Expenses and Other Liabilities...................... 829 347 24 29
-------------- -------------- ------------ ------------
Total Liabilities...................................... 1,087,106 4,964 170 148
-------------- -------------- ------------ ------------
NET ASSETS.................................................. $ 9,508,466 $ 8,520,717 $ 414,132 $ 331,166
============== ============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$9,508,466; $8,520,717; $414,132 and $331,166 and
shares outstanding of 756,633,598; 439,239,988;
21,422,259 and 13,342,290, respectively.................... $ 12.57 $ 19.40 $ 19.33 $ 24.82
============== ============== ============ ============
NUMBER OF SHARES AUTHORIZED................................. 2,000,000,000 1,500,000,000 100,000,000 100,000,000
============== ============== ============ ============
Investments in Affiliated Investment Companies at Cost...... $ -- $ 6,870,590 $ 389,680 $ 301,332
============== ============== ============ ============
Investments at Cost......................................... $ 7,979,985 $ -- $ -- $ --
============== ============== ============ ============
Foreign Currencies at Cost.................................. $ 2,101 $ -- $ -- $ --
============== ============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 8,141,579 $ 6,624,670 $ 452,510 $ 321,830
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 27,329 27,083 6,178 6,418
Accumulated Net Realized Gain (Loss)........................ (115,510) 230,130 (69,159) (27,045)
Net Unrealized Foreign Exchange Gain (Loss)................. 91 17 (12) 3
Net Unrealized Appreciation (Depreciation).................. 1,454,977 1,638,817 24,615 29,960
-------------- -------------- ------------ ------------
NET ASSETS.................................................. $ 9,508,466 $ 8,520,717 $ 414,132 $ 331,166
============== ============== ============ ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
108
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
UNITED CONTINENTAL INTERNATIONAL DFA GLOBAL
KINGDOM SMALL SMALL REAL ESTATE REAL ESTATE
COMPANY COMPANY SECURITIES SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO
------------- ------------ ------------- ------------
ASSETS:
Investments in Affiliated Investment Companies at Value............... $ 37,114 $ 170,800 -- $ 2,077,850
Investments at Value (including $0, $0, $131,048 and $0 of securities
on loan, respectively)............................................... -- -- $ 2,144,767 --
Temporary Cash Investments at Value & Cost............................ -- -- -- 8,697
Collateral Received from Securities on Loan at Value & Cost........... -- -- 69 --
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost................................................................. -- -- 174,000 --
Foreign Currencies at Value........................................... -- -- 673 --
Cash.................................................................. -- -- 11,903 --
Receivables:
Investment Securities/Affiliated Investment Company Sold............ -- -- 103 --
Dividends, Interest and Tax Reclaims................................ -- -- 6,543 2
Securities Lending Income........................................... -- -- 105 --
Fund Shares Sold.................................................... -- 97 3,134 4,833
Unrealized Gain on Foreign Currency Contracts......................... -- -- 3 --
Prepaid Expenses and Other Assets..................................... 7 7 20 55
------------ ------------ ------------ ------------
Total Assets..................................................... 37,121 170,904 2,341,320 2,091,437
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................... -- -- 174,069 --
Investment Securities/Affiliated Investment Company Purchased....... -- -- 6,827 7,624
Fund Shares Redeemed................................................ -- 18 549 955
Due to Advisor...................................................... 12 57 626 2
Unrealized Loss on Foreign Currency Contracts......................... -- -- 28 --
Accrued Expenses and Other Liabilities................................ 13 23 244 149
------------ ------------ ------------ ------------
Total Liabilities................................................ 25 98 182,343 8,730
------------ ------------ ------------ ------------
NET ASSETS............................................................ $ 37,096 $ 170,806 $ 2,158,977 $ 2,082,707
============ ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Institutional Class Shares -- based on net assets of $37,096;
$170,806; $2,158,977 and $2,082,707 and shares outstanding of
1,003,742; 8,428,839; 393,952,649 and 217,181,753,
respectively......................................................... $ 36.96 $ 20.26 $ 5.48 $ 9.59
============ ============ ============ ============
NUMBER OF SHARES AUTHORIZED........................................... 100,000,000 100,000,000 700,000,000 500,000,000
============ ============ ============ ============
Investments in Affiliated Investment Companies at Cost................ $ 22,831 $ 132,148 $ -- $ 1,711,546
============ ============ ============ ============
Investments at Cost................................................... $ -- $ -- $ 1,877,357 $ --
============ ============ ============ ============
Foreign Currencies at Cost............................................ $ -- $ -- $ 675 $ --
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital....................................................... $ 22,451 $ 158,589 $ 2,279,985 $ 1,738,841
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................... 129 92 (147,973) 11,624
Accumulated Net Realized Gain (Loss).................................. 229 (26,656) (240,429) (34,062)
Net Unrealized Foreign Exchange Gain (Loss)........................... 4 129 (14) --
Net Unrealized Appreciation (Depreciation)............................ 14,283 38,652 267,408 366,304
------------ ------------ ------------ ------------
NET ASSETS............................................................ $ 37,096 $ 170,806 $ 2,158,977 $ 2,082,707
============ ============ ============ ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
109
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
INTERNATIONAL INTERNATIONAL WORLD EX U.S.
SMALL CAP VECTOR EQUITY WORLD EX U.S. TARGETED VALUE
VALUE PORTFOLIO* PORTFOLIO* VALUE PORTFOLIO PORTFOLIO
---------------- ------------- --------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at
Value...................................................... -- -- $ 117,454 $ 95,939
Investments at Value (including $1,010,674, $116,713,
$0, $0 and $0 of securities on loan, respectively)......... $ 11,112,474 $ 1,081,903 -- --
Collateral Received from Securities on Loan at Value &
Cost....................................................... 75 151 -- --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... 1,053,000 119,000 -- --
Foreign Currencies at Value................................. 3,627 1,115 -- --
Cash........................................................ 8 9,288 49 225
Receivables:
Investment Securities Sold................................ 4,725 74 -- --
Dividends, Interest and Tax Reclaims...................... 26,463 2,442 -- --
Securities Lending Income................................. 1,373 102 -- --
Fund Shares Sold.......................................... 16,462 568 152 21
From Advisor.............................................. -- -- -- --
Unrealized Gain on Foreign Currency Contracts............... 5 -- -- --
Deferred Offering Costs..................................... -- -- -- --
Prepaid Expenses and Other Assets........................... 77 22 14 25
-------------- ------------ ------------ ------------
Total Assets............................................ 12,218,289 1,214,665 117,669 96,210
-------------- ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 1,053,075 119,151 -- --
Investment Securities Purchased........................... 2,598 3,507 -- 158
Fund Shares Redeemed...................................... 2,740 694 4 --
Due to Advisor............................................ 6,051 405 60 19
Loan Payable.............................................. 4,016 -- -- --
Unrealized Loss on Foreign Currency Contracts............... -- 6 -- --
Accrued Expenses and Other Liabilities...................... 910 128 18 23
-------------- ------------ ------------ ------------
Total Liabilities....................................... 1,069,390 123,891 82 200
-------------- ------------ ------------ ------------
NET ASSETS.................................................. $ 11,148,899 $ 1,090,774 $ 117,587 $ 96,010
============== ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$11,148,899; $1,090,774; $117,587; $96,010 and
$129,720 and shares outstanding of 552,640,203;
92,844,717; 9,853,403; 7,704,431 and 12,048,498,
respectively............................................... $ 20.17 $ 11.75 $ 11.93 $ 12.46
============== ============ ============ ============
NUMBER OF SHARES AUTHORIZED................................. 2,300,000,000 500,000,000 100,000,000 100,000,000
============== ============ ============ ============
Investments in Affiliated Investment Companies at
Cost....................................................... $ -- $ -- $ 102,161 $ 84,293
============== ============ ============ ============
Investments at Cost......................................... $ 9,094,196 $ 859,491 $ -- $ --
============== ============ ============ ============
Foreign Currencies at Cost.................................. $ 3,630 $ 1,125 $ -- $ --
============== ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 8,953,361 $ 858,839 $ 105,007 $ 83,251
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 15,456 2,486 187 15
Accumulated Net Realized Gain (Loss)........................ 161,681 7,027 (2,868) 1,098
Net Unrealized Foreign Exchange Gain (Loss)................. 126 20 (32) --
Net Unrealized Appreciation (Depreciation).................. 2,018,275 222,402 15,293 11,646
-------------- ------------ ------------ ------------
NET ASSETS.................................................. $ 11,148,899 $ 1,090,774 $ 117,587 $ 96,010
============== ============ ============ ============
WORLD EX U.S.
CORE EQUITY
PORTFOLIO
-------------
ASSETS:
Investments in Affiliated Investment Companies at
Value...................................................... $ 129,435
Investments at Value (including $1,010,674, $116,713,
$0, $0 and $0 of securities on loan, respectively)......... --
Collateral Received from Securities on Loan at Value &
Cost....................................................... --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... --
Foreign Currencies at Value................................. --
Cash........................................................ 230
Receivables:
Investment Securities Sold................................ --
Dividends, Interest and Tax Reclaims...................... --
Securities Lending Income................................. --
Fund Shares Sold.......................................... 295
From Advisor.............................................. 13
Unrealized Gain on Foreign Currency Contracts............... --
Deferred Offering Costs..................................... 3
Prepaid Expenses and Other Assets........................... 2
------------
Total Assets............................................ 129,978
------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... --
Investment Securities Purchased........................... 165
Fund Shares Redeemed...................................... 68
Due to Advisor............................................ --
Loan Payable.............................................. --
Unrealized Loss on Foreign Currency Contracts............... --
Accrued Expenses and Other Liabilities...................... 25
------------
Total Liabilities....................................... 258
------------
NET ASSETS.................................................. $ 129,720
============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$11,148,899; $1,090,774; $117,587; $96,010 and
$129,720 and shares outstanding of 552,640,203;
92,844,717; 9,853,403; 7,704,431 and 12,048,498,
respectively............................................... $ 10.77
============
NUMBER OF SHARES AUTHORIZED................................. 100,000,000
============
Investments in Affiliated Investment Companies at
Cost....................................................... $ 117,715
============
Investments at Cost......................................... $ --
============
Foreign Currencies at Cost.................................. $ --
============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 118,032
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... (1)
Accumulated Net Realized Gain (Loss)........................ (31)
Net Unrealized Foreign Exchange Gain (Loss)................. --
Net Unrealized Appreciation (Depreciation).................. 11,720
------------
NET ASSETS.................................................. $ 129,720
============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(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......... $ 87,628 $ 3,653,887 $ 4,037,180 $ 19,256,425
Investments at Value (including $0, $0, $0, $0 and $1,608,604
of securities on loan, respectively)........................... -- -- -- --
Temporary Cash.................................................. 1,210 -- -- --
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........................... 160 -- -- --
Foreign Currencies at Value..................................... -- -- -- --
Cash............................................................ 2,466 -- -- --
Receivables:
Investment Securities/Affiliated Investment Companies
Sold......................................................... -- -- -- --
Dividends, Interest and Tax Reclaims.......................... -- -- -- --
Securities Lending Income..................................... -- -- -- --
Fund Shares Sold.............................................. 16 4,737 7,077 25,739
Unrealized Gain on Forward Currency Contracts................... 90 -- -- --
Unrealized Gain on Foreign Currency Contracts................... -- -- -- --
Prepaid Expenses and Other Assets............................... 14 34 38 113
------------ ------------ ------------ --------------
Total Assets................................................ 91,584 3,658,658 4,044,295 19,282,277
------------ ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................. -- -- -- --
Investment Securities/Affiliated Investment Companies
Purchased.................................................... 130 -- -- --
Fund Shares Redeemed.......................................... -- 1,462 678 6,126
Due to Advisor................................................ 9 1,222 1,520 6,454
Futures Margin Variation...................................... 19 -- -- --
Unrealized Loss on Forward Currency Contracts................... 62 -- -- --
Unrealized Loss on Foreign Currency Contracts................... -- -- -- --
Accrued Expenses and Other Liabilities.......................... 16 234 234 790
------------ ------------ ------------ --------------
Total Liabilities........................................... 236 2,918 2,432 13,370
------------ ------------ ------------ --------------
NET ASSETS...................................................... $ 91,348 $ 3,655,740 $ 4,041,863 $ 19,268,907
============ ============ ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R2 Shares -- based on net assets of $0; $0; $0; $106,070
and $0 and shares outstanding of 0; 0; 0; 3,624,435 and 0,
respectively................................................... N/A N/A N/A $ 29.27
============ ============ ============ ==============
Institutional Class Shares -- based on net assets of $91,348;
$3,655,740; $4,041,863; $19,162,837 and $13,020,962 and
shares outstanding of 6,704,078; 135,555,592; 191,570,612;
654,558,013 and 648,059,947, respectively...................... $ 13.63 $ 26.97 $ 21.10 $ 29.28
============ ============ ============ ==============
NUMBER OF SHARES AUTHORIZED..................................... 100,000,000 500,000,000 500,000,000 1,500,000,000
============ ============ ============ ==============
Investments in Affiliated Investment Companies at Cost.......... $ 72,257 $ 2,522,235 $ 3,582,521 $ 18,840,667
============ ============ ============ ==============
Investments at Cost............................................. $ -- $ -- $ -- $ --
============ ============ ============ ==============
Foreign Currencies at Cost...................................... $ -- $ -- $ -- $ --
============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................. $ 74,110 $ 2,497,624 $ 3,528,355 $ 18,578,622
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... 1,390 6,855 8,340 14,817
Accumulated Net Realized Gain (Loss)............................ 316 19,648 50,600 259,622
Net Unrealized Foreign Exchange Gain (Loss)..................... 28 (39) (91) 88
Net Unrealized Appreciation (Depreciation)...................... 15,504 1,131,652 454,659 415,758
------------ ------------ ------------ --------------
NET ASSETS...................................................... $ 91,348 $ 3,655,740 $ 4,041,863 $ 19,268,907
============ ============ ============ ==============
EMERGING
MARKETS CORE
EQUITY
PORTFOLIO*
--------------
ASSETS:
Investments in Affiliated Investment Companies at Value......... --
Investments at Value (including $0, $0, $0, $0 and $1,608,604
of securities on loan, respectively)........................... $ 12,892,198
Temporary Cash.................................................. --
Collateral Received from Securities on Loan at Value & Cost..... 10,967
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost................................................... 1,372,000
Segregated Cash for Futures Contracts........................... --
Foreign Currencies at Value..................................... 17,201
Cash............................................................ 136,988
Receivables:
Investment Securities/Affiliated Investment Companies
Sold......................................................... 315
Dividends, Interest and Tax Reclaims.......................... 13,712
Securities Lending Income..................................... 2,510
Fund Shares Sold.............................................. 14,939
Unrealized Gain on Forward Currency Contracts................... --
Unrealized Gain on Foreign Currency Contracts................... 1
Prepaid Expenses and Other Assets............................... 118
--------------
Total Assets................................................ 14,460,949
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................. 1,382,967
Investment Securities/Affiliated Investment Companies
Purchased.................................................... 46,763
Fund Shares Redeemed.......................................... 2,574
Due to Advisor................................................ 5,969
Futures Margin Variation...................................... --
Unrealized Loss on Forward Currency Contracts................... --
Unrealized Loss on Foreign Currency Contracts................... 84
Accrued Expenses and Other Liabilities.......................... 1,630
--------------
Total Liabilities........................................... 1,439,987
--------------
NET ASSETS...................................................... $ 13,020,962
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R2 Shares -- based on net assets of $0; $0; $0; $106,070
and $0 and shares outstanding of 0; 0; 0; 3,624,435 and 0,
respectively................................................... N/A
==============
Institutional Class Shares -- based on net assets of $91,348;
$3,655,740; $4,041,863; $19,162,837 and $13,020,962 and
shares outstanding of 6,704,078; 135,555,592; 191,570,612;
654,558,013 and 648,059,947, respectively...................... $ 20.09
==============
NUMBER OF SHARES AUTHORIZED..................................... 1,000,000,000
==============
Investments in Affiliated Investment Companies at Cost.......... $ --
==============
Investments at Cost............................................. $ 11,668,794
==============
Foreign Currencies at Cost...................................... $ 17,301
==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................. $ 11,819,210
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... 31,355
Accumulated Net Realized Gain (Loss)............................ (52,859)
Net Unrealized Foreign Exchange Gain (Loss)..................... (48)
Net Unrealized Appreciation (Depreciation)...................... 1,223,304
--------------
NET ASSETS...................................................... $ 13,020,962
==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS)
ENHANCED
U.S. LARGE U.S. LARGE U.S. LARGE U.S. TARGETED
COMPANY CAP EQUITY CAP VALUE VALUE
PORTFOLIO PORTFOLIO(A) PORTFOLIO* PORTFOLIO
---------- ------------ ---------- -------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Company:
Dividends.................................................................... -- -- $ 209,457 --
Interest..................................................................... -- -- 42 --
Income from Securities Lending............................................... -- -- 1,778 --
Expenses Allocated from Affiliated Investment Company........................ -- -- (11,525) --
------- ------- ---------- ----------
Total Net Investment Income Received from Affiliated Investment Company.... -- -- 199,752 --
------- ------- ---------- ----------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0 and $7, respectively). $ 149 $ 648 -- $ 56,850
Interest..................................................................... 1,614 1 -- 33
Income from Securities Lending............................................... -- 12 -- 2,392
------- ------- ---------- ----------
Total Investment Income.................................................... 1,763 661 -- 59,275
------- ------- ---------- ----------
FUND EXPENSES
Investment Advisory Services Fees............................................ 101 56 -- 3,667
Administrative Services Fees................................................. 303 -- 15,211 9,173
Accounting & Transfer Agent Fees............................................. 27 1 95 284
S&P 500(R) Fees.............................................................. 9 -- -- --
Shareholder Servicing Fees --
Class R1 Shares............................................................. -- -- -- 41
Class R2 Shares............................................................. -- -- -- 43
Custodian Fees............................................................... 10 3 -- 56
Filing Fees.................................................................. 25 16 173 107
Shareholders' Reports........................................................ 5 1 220 105
Directors'/Trustees' Fees & Expenses......................................... 2 -- 104 38
Professional Fees............................................................ 6 2 36 104
Organizational & Offering Costs.............................................. -- 15 -- --
Other........................................................................ 5 -- 133 68
------- ------- ---------- ----------
Total Expenses............................................................. 493 94 15,972 13,686
------- ------- ---------- ----------
Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered
by Advisor (Note C)......................................................... -- (24) -- --
Fees Paid Indirectly......................................................... (4) -- -- --
------- ------- ---------- ----------
Net Expenses................................................................. 489 70 15,972 13,686
------- ------- ---------- ----------
NET INVESTMENT INCOME (LOSS)................................................. 1,274 591 183,780 45,589
------- ------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................................. (238) 37 819,592 274,964
Futures..................................................................... 40,444 -- -- 4,864
Foreign Currency Transactions............................................... (934) -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................................. 1,803 10,560 2,030,120 903,746
Futures..................................................................... 5,088 -- -- --
Translation of Foreign Currency Denominated Amounts......................... 946 -- -- --
------- ------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................................... 47,109 10,597 2,849,712 1,183,574
------- ------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................ $48,383 $11,188 $3,033,492 $1,229,163
======= ======= ========== ==========
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
(a)The Portfolio commenced operations on June 25, 2013.
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS)
U.S. SMALL U.S. CORE U.S. CORE U.S. VECTOR
CAP VALUE EQUITY 1 EQUITY 2 EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ---------- -----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $14, $118, $71 and
$18, respectively)............................................. $ 142,119 $ 117,896 $ 159,821 $ 42,692
Interest........................................................ 57 53 50 17
Income from Securities Lending.................................. 4,865 3,281 5,088 2,129
---------- ---------- ---------- --------
Total Investment Income...................................... 147,041 121,230 164,959 44,838
---------- ---------- ---------- --------
EXPENSES
Investment Advisory Services Fees............................... 16,390 10,454 16,869 7,397
Administrative Services Fees.................................... 24,594 -- -- --
Accounting & Transfer Agent Fees................................ 620 463 636 192
Custodian Fees.................................................. 106 91 102 39
Filing Fees..................................................... 123 215 183 67
Shareholders' Reports........................................... 162 83 125 59
Directors'/Trustees' Fees & Expenses............................ 85 63 87 25
Professional Fees............................................... 224 177 243 71
Other........................................................... 143 107 151 53
---------- ---------- ---------- --------
Total Expenses............................................... 42,447 11,653 18,396 7,903
---------- ---------- ---------- --------
NET INVESTMENT INCOME (LOSS).................................... 104,594 109,577 146,563 36,935
---------- ---------- ---------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................... 467,388 48,730 106,205 42,264
Futures....................................................... 4,175 -- -- (48)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities......................................... 2,087,253 1,549,261 2,176,008 684,534
---------- ---------- ---------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................... 2,558,816 1,597,991 2,282,213 726,750
---------- ---------- ---------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $2,663,410 $1,707,568 $2,428,776 $763,685
========== ========== ========== ========
See accompanying Notes to Financial Statements.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS)
DFA REAL
ESTATE LARGE CAP
U.S. SMALL U.S. MICRO SECURITIES INTERNATIONAL
CAP PORTFOLIO CAP PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ---------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $33, $21, $0 and
$5,868, respectively)......................................... $ 86,192 $ 60,045 $110,387 $ 71,899
Interest....................................................... 48 19 37 3
Income from Securities Lending................................. 11,185 7,558 650 3,593
---------- ---------- -------- --------
Total Investment Income..................................... 97,425 67,622 111,074 75,495
---------- ---------- -------- --------
EXPENSES
Investment Advisory Services Fees.............................. 1,722 4,027 7,278 5,952
Administrative Services Fees................................... 18,376 16,113 -- --
Accounting & Transfer Agent Fees............................... 426 310 335 196
Custodian Fees................................................. 95 66 46 317
Filing Fees.................................................... 204 70 145 73
Shareholders' Reports.......................................... 120 88 142 92
Directors'/Trustees' Fees & Expenses........................... 58 42 45 25
Professional Fees.............................................. 150 111 133 78
Other.......................................................... 95 73 75 65
---------- ---------- -------- --------
Total Expenses.............................................. 21,246 20,900 8,199 6,798
---------- ---------- -------- --------
Fees (Waived), Expenses Reimbursed, and/or Previously Waived
Fees Recovered by Advisor (Note C)............................ -- -- (521) --
Fees Paid Indirectly........................................... -- -- -- (9)
---------- ---------- -------- --------
Net Expenses................................................ 21,246 20,900 7,678 6,789
---------- ---------- -------- --------
NET INVESTMENT INCOME (LOSS)..................................... 76,179 46,722 103,396 68,706
---------- ---------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment Securities. -- -- 15,455 --
Net Realized Gain (Loss) on:
Investment Securities Sold................................... 252,589 227,715 15,023 (15,210)
Futures...................................................... (331) (423) -- --
Foreign Currency Transactions*............................... 1 -- -- (394)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... 1,551,354 1,117,408 254,603 476,010
Translation of Foreign Currency Denominated Amounts.......... -- -- -- 154
---------- ---------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................ 1,803,613 1,344,700 285,081 460,560
---------- ---------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS...................................................... $1,879,792 $1,391,422 $388,477 $529,266
========== ========== ======== ========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $1, respectively.
See accompanying Notes to Financial Statements.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS)
INTERNATIONAL JAPANESE ASIA PACIFIC
INTERNATIONAL SMALL SMALL SMALL
CORE EQUITY COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO * PORTFOLIO * PORTFOLIO *
------------- ------------- ----------- ------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $15,423,
$653 and $371, respectively).............................. -- $ 200,898 $ 7,733 $12,023
Interest.................................................... -- 59 -- --
Income from Securities Lending.............................. -- 19,252 622 1,038
Expenses Allocated from Affiliated Investment
Companies................................................. -- (9,826) (577) (391)
---------- ---------- -------- -------
Total Net Investment Income Received from Affiliated
Investment Companies.................................. -- 210,383 7,778 12,670
---------- ---------- -------- -------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $18,128, $0,
$0 and $0, respectively).................................. $ 233,217 -- -- --
Interest.................................................... 4 21 -- --
Income from Securities Lending.............................. 14,944 -- -- --
---------- ---------- -------- -------
Total Investment Income................................. 248,165 21 -- --
---------- ---------- -------- -------
FUND EXPENSES
Investment Advisory Services Fees........................... 27,343 -- -- --
Administrative Services Fees................................ -- 29,296 1,621 1,087
Accounting & Transfer Agent Fees............................ 593 84 22 21
Custodian Fees.............................................. 1,233 1 -- --
Filing Fees................................................. 300 129 17 24
Shareholders' Reports....................................... 163 194 4 4
Directors'/Trustees' Fees & Expenses........................ 81 77 4 3
Professional Fees........................................... 272 40 4 3
Other....................................................... 181 102 5 3
---------- ---------- -------- -------
Total Expenses.......................................... 30,166 29,923 1,677 1,145
---------- ---------- -------- -------
Fees Paid Indirectly........................................ (31) -- -- --
---------- ---------- -------- -------
Net Expenses................................................ 30,135 29,923 1,677 1,145
---------- ---------- -------- -------
NET INVESTMENT INCOME (LOSS)................................ 218,030 180,481 6,101 11,525
---------- ---------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold................................ (10,392) 262,518 5,783 (255)
Futures................................................... -- (29) -- --
Foreign Currency Transactions**........................... (2,185) (2,035) (468) 9
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 1,736,462 1,540,906 94,197 17,462
Futures................................................... -- 30 -- --
Translation of Foreign Currency Denominated
Amounts................................................. 312 438 26 (1)
---------- ---------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)..................... 1,724,197 1,801,828 99,538 17,215
---------- ---------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................. $1,942,227 $1,982,309 $105,639 $28,740
========== ========== ======== =======
----------
* 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 $14, $27, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS)
UNITED DFA
KINGDOM CONTINENTAL INTERNATIONAL DFA GLOBAL
SMALL SMALL REAL ESTATE REAL ESTATE
COMPANY COMPANY SECURITIES SECURITIES
PORTFOLIO* PORTFOLIO* PORTFOLIO PORTFOLIO
---------- ----------- ------------- -----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Company:
Dividends (Net of Foreign Taxes Withheld of $2, $409, $0 and $0,
respectively)......................................................... $ 1,124 $ 2,859 -- --
Income Distributions Received from Affiliated Investment Companies..... -- -- -- $ 85,254
Interest............................................................... -- 3 -- --
Income from Securities Lending......................................... 7 477 -- --
Expenses Allocated from Affiliated Investment Company.................. (41) (167) -- --
------- ------- -------- --------
Total Net Investment Income Received from Affiliated Investment
Company............................................................ 1,090 3,172 -- 85,254
------- ------- -------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0, $8,213 and $0,
respectively)......................................................... -- -- $ 77,512 --
Interest............................................................... -- -- -- 6
Income from Securities Lending......................................... -- -- 2,538 --
------- ------- -------- --------
Total Fund Investment Income........................................ -- -- 80,050 6
------- ------- -------- --------
FUND EXPENSES
Investment Advisory Services Fees...................................... -- -- 6,295 4,409
Administrative Services Fees........................................... 134 490 -- --
Accounting & Transfer Agent Fees....................................... 16 20 152 40
Custodian Fees......................................................... -- -- 311 --
Filing Fees............................................................ 15 18 118 130
Shareholders' Reports.................................................. 1 3 71 50
Directors'/Trustees' Fees & Expenses................................... -- 1 19 17
Professional Fees...................................................... 2 2 67 14
Other.................................................................. 1 3 41 19
------- ------- -------- --------
Total Expenses...................................................... 169 537 7,074 4,679
------- ------- -------- --------
Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... (12) -- -- (3,761)
Fees Paid Indirectly................................................... -- -- (18) --
------- ------- -------- --------
Net Expenses........................................................... 157 537 7,056 918
------- ------- -------- --------
NET INVESTMENT INCOME (LOSS)........................................... 933 2,635 72,994 84,342
------- ------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold........................................... 2,545 2,298 (19,009) (3,169)
Futures.............................................................. -- 29 888 --
Foreign Currency Transactions**...................................... -- (3) (860) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 7,107 41,299 105,321 60,459
Futures.............................................................. -- (29) -- --
Translation of Foreign Currency Denominated Amounts.................. -- 7 18 --
------- ------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 9,652 43,601 86,358 57,290
------- ------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $10,585 $46,236 $159,352 $141,632
======= ======= ======== ========
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $1, $7 and $0, respectively.
See accompanying Notes to Financial Statements.
116
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS)
DFA
INTERNATIONAL WORLD EX U.S.
SMALL CAP INTERNATIONAL WORLD EX U.S. TARGETED
VALUE VECTOR EQUITY VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO*(A)
------------- ------------- ------------- -------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated
Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $0,
$226, $68 and $0, respectively).......................... -- -- $ 2,376 $ 409
Income Distributions Received from Affiliated Investment
Companies................................................ -- -- 139 753
Income from Securities Lending............................ -- -- 125 32
Expenses Allocated from Affiliated Investment
Companies................................................ -- -- (157) (27)
---------- -------- ------- -------
Total Net Investment Income Received from
Affiliated Investment Companies....................... -- -- 2,483 1,167
---------- -------- ------- -------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $17,253,
$1,602, $0, $0 and $0, respectively)..................... $ 251,726 $ 21,173 -- --
Interest.................................................. 36 -- -- --
Income from Securities Lending............................ 23,155 1,491 -- --
---------- -------- ------- -------
Total Investment Income................................ 274,917 22,664 -- --
---------- -------- ------- -------
FUND EXPENSES
Investment Advisory Services Fees......................... 63,069 3,382 394 330
Accounting & Transfer Agent Fees.......................... 737 70 17 17
Custodian Fees............................................ 1,495 268 1 2
Filing Fees............................................... 143 66 12 17
Shareholders' Reports..................................... 223 15 1 1
Directors'/Trustees' Fees & Expenses...................... 102 7 1 --
Professional Fees......................................... 325 22 5 5
Organizational & Offering Costs........................... -- -- -- 53
Other..................................................... 254 23 2 3
---------- -------- ------- -------
Total Expenses......................................... 66,348 3,853 433 428
---------- -------- ------- -------
Fees (Waived), Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C)................ -- -- (136) (270)
Fees Paid Indirectly...................................... (23) (5) -- --
---------- -------- ------- -------
Net Expenses.............................................. 66,325 3,848 297 158
---------- -------- ------- -------
NET INVESTMENT INCOME (LOSS).............................. 208,592 18,816 2,186 1,009
---------- -------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment
Securities............................................... -- -- 64 191
Net Realized Gain (Loss) on:
Investment Securities Sold............................... 179,935 8,277 3,077 947
Futures.................................................. -- -- (12) 1
Foreign Currency Transactions**.......................... (2,311) (71) (14) (3)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 2,722,774 172,846 13,382 11,646
Futures.................................................. -- -- (1) --
Translation of Foreign Currency Denominated
Amounts................................................. 666 46 (15) --
---------- -------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)................... 2,901,064 181,098 16,481 12,782
---------- -------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................. $3,109,656 $199,914 $18,667 $13,791
========== ======== ======= =======
WORLD EX U.S.
CORE EQUITY
PORTFOLIO(B)
-------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated
Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $0,
$226, $68 and $0, respectively).......................... --
Income Distributions Received from Affiliated Investment
Companies................................................ $ 1,175
Income from Securities Lending............................ --
Expenses Allocated from Affiliated Investment
Companies................................................ --
-------
Total Net Investment Income Received from
Affiliated Investment Companies....................... 1,175
-------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $17,253,
$1,602, $0, $0 and $0, respectively)..................... --
Interest.................................................. --
Income from Securities Lending............................ --
-------
Total Investment Income................................ --
-------
FUND EXPENSES
Investment Advisory Services Fees......................... 149
Accounting & Transfer Agent Fees.......................... 9
Custodian Fees............................................ 1
Filing Fees............................................... 15
Shareholders' Reports..................................... --
Directors'/Trustees' Fees & Expenses...................... --
Professional Fees......................................... 5
Organizational & Offering Costs........................... 21
Other..................................................... 1
-------
Total Expenses......................................... 201
-------
Fees (Waived), Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C)................ (186)
Fees Paid Indirectly...................................... --
-------
Net Expenses.............................................. 15
-------
NET INVESTMENT INCOME (LOSS).............................. 1,160
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment
Securities............................................... --
Net Realized Gain (Loss) on:
Investment Securities Sold............................... (30)
Futures.................................................. --
Foreign Currency Transactions**.......................... --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 11,720
Futures.................................................. --
Translation of Foreign Currency Denominated
Amounts................................................. --
-------
NET REALIZED AND UNREALIZED GAIN (LOSS)................... 11,690
-------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................. $12,850
=======
----------
* Investment Income and a portion of Realized and Unrealized Gain (Loss) were
allocated from the Portfolio's Master Funds (Affiliated Investment Companies).
**Net of foreign capital gain taxes withheld of $6, $0, $0, $0 and $0,
respectively.
(a)The Portfolio commenced operations on November 1, 2012.
(b)The Portfolio commenced operations on April 9, 2013.
See accompanying Notes to Financial Statements.
117
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS)
SELECTIVELY EMERGING EMERGING EMERGING
HEDGED EMERGING MARKETS MARKETS MARKETS CORE
GLOBAL EQUITY MARKETS SMALL CAP VALUE EQUITY
PORTFOLIO PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO
------------- ---------- ---------- ---------- ------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $11,156, $9,714,
$65,223 and $0, respectively).................................... -- $ 75,716 $ 80,545 $ 418,282 --
Income Distributions Received from Affiliated Investment
Companies........................................................ $ 1,351 -- -- -- --
Interest.......................................................... -- 1 -- 15 --
Income from Securities Lending.................................... -- 3,790 16,568 25,373 --
Expenses Allocated from Affiliated Investment Company............. -- (4,877) (10,518) (27,921) --
------- -------- -------- ---------- --------
Total Net Investment Income Received from Affiliated
Investment Companies.......................................... 1,351 74,630 86,595 415,749 --
------- -------- -------- ---------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and
$34,892, respectively)........................................... -- -- -- -- $254,568
Interest.......................................................... 4 -- -- -- 5
Income from Securities Lending.................................... -- -- -- -- 24,569
------- -------- -------- ---------- --------
Total Fund Investment Income................................... 4 -- -- -- 279,142
------- -------- -------- ---------- --------
FUND EXPENSES
Investment Advisory Services Fees................................. 206 -- -- -- 59,368
Administrative Services Fees...................................... -- 12,576 16,494 71,800 --
Accounting & Transfer Agent Fees.................................. 15 44 47 162 811
Shareholder Servicing Fees -- Class R2 Shares..................... -- -- -- 263 --
Custodian Fees.................................................... -- -- -- -- 5,473
Filing Fees....................................................... 24 154 198 378 644
Shareholders' Reports............................................. 1 118 63 251 231
Directors'/Trustees' Fees & Expenses.............................. 1 34 39 196 112
Professional Fees................................................. 5 14 17 68 449
Organizational & Offering Costs................................... 2 -- -- -- --
Other............................................................. 1 45 53 259 229
------- -------- -------- ---------- --------
Total Expenses................................................. 255 12,985 16,911 73,377 67,317
------- -------- -------- ---------- --------
Fees (Waived), Expenses Reimbursed, and/or Previously Waived
Fees Recovered by Advisor (Note C)............................... (217) -- -- -- --
Fees Paid Indirectly.............................................. -- -- -- -- (167)
------- -------- -------- ---------- --------
Net Expenses...................................................... 38 12,985 16,911 73,377 67,150
------- -------- -------- ---------- --------
NET INVESTMENT INCOME (LOSS)...................................... 1,317 61,645 69,684 342,372 211,992
------- -------- -------- ---------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment
Companies........................................................ 115 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold....................................... (81) 22,235 64,325 296,735 (9,977)
Futures.......................................................... 545 -- 452 -- --
Foreign Currency Transactions**.................................. 237 (124) (1,227) (2,807) (2,207)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency....................... 12,814 143,306 146,169 717,140 581,086
Futures.......................................................... 150 -- 4 -- --
Translation of Foreign Currency Denominated Amounts.............. 121 (6) (42) 7 (79)
------- -------- -------- ---------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................... 13,901 165,411 209,681 1,011,075 568,823
------- -------- -------- ---------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS......................................................... $15,218 $227,056 $279,365 $1,353,447 $780,815
======= ======== ======== ========== ========
----------
* 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.
118
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
ENHANCED U.S. LARGE U.S. LARGE CAP U.S. LARGE CAP VALUE
COMPANY PORTFOLIO EQUITY PORTFOLIO PORTFOLIO
------------------ ---------------- ------------------------
PERIOD
YEAR YEAR JUNE 25, YEAR YEAR
ENDED ENDED 2013(A) TO ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2013 2013 2012
-------- -------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 1,274 $ 1,469 $ 591 $ 183,780 $ 154,843
Net Realized Gain (Loss) on:
Investment Securities Sold.......................... (238) 245 37 819,592 318,427
Futures............................................. 40,444 30,568 -- -- --
Foreign Currency Transactions....................... (934) 1,331 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......... 1,803 594 10,560 2,030,120 824,744
Futures............................................. 5,088 (6,586) -- -- --
Translation of Foreign Currency Denominated
Amounts............................................ 946 (857) -- -- --
-------- -------- -------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 48,383 26,764 11,188 3,033,492 1,298,014
-------- -------- -------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares............................ (1,597) (2,785) (321) (180,943) (150,153)
-------- -------- -------- ----------- -----------
Total Distributions................................ (1,597) (2,785) (321) (180,943) (150,153)
-------- -------- -------- ----------- -----------
Capital Share Transactions (1):
Shares Issued......................................... 49,190 26,869 127,286 2,669,600 1,501,347
Shares Issued in Lieu of Cash Distributions........... 1,381 2,573 321 165,830 139,904
Shares Redeemed....................................... (74,528) (34,538) (3,067) (2,059,492) (1,794,871)
-------- -------- -------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions...................................... (23,957) (5,096) 124,540 775,938 (153,620)
-------- -------- -------- ----------- -----------
Total Increase (Decrease) in Net Assets............ 22,829 18,883 135,407 3,628,487 994,241
NET ASSETS
Beginning of Period................................... 190,011 171,128 -- 8,334,585 7,340,344
-------- -------- -------- ----------- -----------
End of Period......................................... $212,840 $190,011 $135,407 $11,963,072 $ 8,334,585
======== ======== ======== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 4,732 3,051 12,483 102,131 72,600
Shares Issued in Lieu of Cash Distributions........... 142 314 30 6,512 6,979
Shares Redeemed....................................... (7,146) (3,906) (286) (79,135) (86,993)
-------- -------- -------- ----------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... (2,272) (541) 12,227 29,508 (7,414)
======== ======== ======== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)................................................ $ 200 $ 2,005 $ 281 $ 28,203 $ 25,366
----------
Seepage 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
119
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. TARGETED VALUE U.S. SMALL CAP VALUE
PORTFOLIO PORTFOLIO
----------------------- ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2013 2012
----------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 45,589 $ 29,117 $ 104,594 $ 53,970
Capital Gain Distributions Received from Investment
Securities........................................... -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold........................... 274,964 181,414 467,388 430,201
Futures.............................................. 4,864 3,336 4,175 954
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................ 903,746 176,832 2,087,253 522,870
Futures.............................................. -- -- -- (536)
----------- ---------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 1,229,163 390,699 2,663,410 1,007,459
----------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Class R1 Shares...................................... (604) (374) -- --
Class R2 Shares...................................... (171) (76) -- --
Institutional Class Shares........................... (44,723) (24,124) (97,302) (50,536)
Net Short-Term Gains:
Class R1 Shares...................................... (162) -- -- --
Class R2 Shares...................................... (43) -- -- --
Institutional Class Shares........................... (9,669) -- (15,668) --
Net Long-Term Gains:
Class R1 Shares...................................... (2,657) (356) -- --
Class R2 Shares...................................... (709) (86) -- --
Institutional Class Shares........................... (158,843) (19,426) (380,218) (89,379)
----------- ---------- ----------- -----------
Total Distributions................................ (217,581) (44,442) (493,188) (139,915)
----------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued......................................... 1,069,213 782,957 1,700,691 1,130,039
Shares Issued in Lieu of Cash Distributions........... 193,793 40,767 448,519 131,338
Shares Redeemed....................................... (1,112,648) (662,151) (1,880,921) (1,581,314)
----------- ---------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions...................................... 150,358 161,573 268,289 (319,937)
----------- ---------- ----------- -----------
Total Increase (Decrease) in Net Assets............ 1,161,940 507,830 2,438,511 547,607
NET ASSETS
Beginning of Year..................................... 3,051,809 2,543,979 7,088,470 6,540,863
----------- ---------- ----------- -----------
End of Year........................................... $ 4,213,749 $3,051,809 $ 9,526,981 $ 7,088,470
=========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 54,473 48,542 56,681 45,152
Shares Issued in Lieu of Cash Distributions........... 11,549 2,677 17,521 5,754
Shares Redeemed....................................... (56,250) (40,606) (64,686) (62,499)
----------- ---------- ----------- -----------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 9,772 10,613 9,516 (11,593)
=========== ========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)................................................ $ 484 $ 3,945 $ 1,373 $ 94
U.S. CORE EQUITY 1
PORTFOLIO
-----------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2013 2012
----------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 109,577 $ 78,378
Capital Gain Distributions Received from Investment
Securities........................................... -- 36
Net Realized Gain (Loss) on:
Investment Securities Sold........................... 48,730 35,359
Futures.............................................. -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................ 1,549,261 455,880
Futures.............................................. -- --
----------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 1,707,568 569,653
----------- ----------
Distributions From:
Net Investment Income:
Class R1 Shares...................................... -- --
Class R2 Shares...................................... -- --
Institutional Class Shares........................... (105,633) (73,066)
Net Short-Term Gains:
Class R1 Shares...................................... -- --
Class R2 Shares...................................... -- --
Institutional Class Shares........................... -- --
Net Long-Term Gains:
Class R1 Shares...................................... -- --
Class R2 Shares...................................... -- --
Institutional Class Shares........................... -- --
----------- ----------
Total Distributions................................ (105,633) (73,066)
----------- ----------
Capital Share Transactions (1):
Shares Issued......................................... 2,012,312 1,316,460
Shares Issued in Lieu of Cash Distributions........... 95,895 66,157
Shares Redeemed....................................... (1,020,936) (733,642)
----------- ----------
Net Increase (Decrease) from Capital Share
Transactions...................................... 1,087,271 648,975
----------- ----------
Total Increase (Decrease) in Net Assets............ 2,689,206 1,145,562
NET ASSETS
Beginning of Year..................................... 4,876,973 3,731,411
----------- ----------
End of Year........................................... $ 7,566,179 $4,876,973
=========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 144,586 114,530
Shares Issued in Lieu of Cash Distributions........... 7,046 5,842
Shares Redeemed....................................... (73,616) (63,857)
----------- ----------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 78,016 56,515
=========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)................................................ $ 14,478 $ 10,461
See accompanying Notes to Financial Statements.
120
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. CORE EQUITY 2 U.S. VECTOR EQUITY U.S. SMALL CAP
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------ ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2013 2012 2013 2012
----------- ----------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................. $ 146,563 $ 111,804 $ 36,935 $ 28,165 $ 76,179 $ 47,882
Capital Gain Distributions Received from
Investment Securities....................... -- 105 -- 18 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold................. 106,205 73,466 42,264 41,027 252,589 254,365
Futures.................................... -- -- (48) (850) (331) --
Foreign Currency Transactions.............. -- -- -- -- 1 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities...................... 2,176,008 694,545 684,534 196,524 1,551,354 230,453
----------- ----------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 2,428,776 879,920 763,685 264,884 1,879,792 532,700
----------- ----------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................ (143,640) (99,623) (34,959) (26,665) (74,990) (41,256)
Net Short-Term Gains:
Institutional Class Shares................ -- -- -- -- (8,279) --
Net Long-Term Gains:
Instituional Class Shares................. (55,772) -- (3,507) -- (228,672) --
----------- ----------- ---------- ---------- ---------- ----------
Total Distributions....................... (199,412) (99,623) (38,466) (26,665) (311,941) (41,256)
----------- ----------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................ 1,993,887 1,284,909 590,251 363,121 2,025,365 1,000,664
Shares Issued in Lieu of Cash
Distributions............................... 194,014 96,744 37,851 26,213 287,893 38,143
Shares Redeemed.............................. (1,351,685) (1,057,872) (468,656) (470,271) (997,627) (737,229)
----------- ----------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions....................... 836,216 323,781 159,446 (80,937) 1,315,631 301,578
----------- ----------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................... 3,065,580 1,104,078 884,665 157,282 2,883,482 793,022
NET ASSETS
Beginning of Year............................ 6,923,984 5,819,906 2,009,177 1,851,895 4,563,345 3,770,323
----------- ----------- ---------- ---------- ---------- ----------
End of Year.................................. $ 9,989,564 $ 6,923,984 $2,893,842 $2,009,177 $7,446,827 $4,563,345
=========== =========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................ 145,060 113,356 43,824 33,038 76,522 45,541
Shares Issued in Lieu of Cash
Distributions............................... 14,935 8,679 2,932 2,473 12,811 1,786
Shares Redeemed.............................. (98,040) (93,203) (34,484) (42,602) (38,832) (33,325)
----------- ----------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 61,955 28,832 12,272 (7,091) 50,501 14,002
=========== =========== ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)............................ $ 14,563 $ 15,899 $ 3,099 $ 2,490 $ 3,169 $ 5,302
See accompanying Notes to Financial Statements.
121
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA REAL ESTATESECURITIES LARGE CAP INTERNATIONAL
U.S. MICRO CAP PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- ------------------------ ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2013 2012 2013 2012
---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................... $ 46,722 $ 33,720 $ 103,396 $ 78,788 $ 68,706 $ 63,623
Capital Gain Distributions Received from
Investment Securities............................ -- -- 15,455 16,390 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold....................... 227,715 220,675 15,023 (1,763) (15,210) (18,104)
Futures.......................................... (423) 385 -- (46) -- --
Foreign Currency Transactions*................... -- -- -- -- (394) (353)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency........................................ 1,117,408 166,031 254,603 355,961 476,010 69,627
Translation of Foreign Currency Denominated
Amounts......................................... -- -- -- -- 154 (82)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations..................... 1,391,422 420,811 388,477 449,330 529,266 114,711
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares....................... (46,915) (30,423) (102,731) (99,783) (70,787) (60,808)
Net Long-Term Gains:
Institutional Class Shares....................... (176,365) -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................ (223,280) (30,423) (102,731) (99,783) (70,787) (60,808)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued..................................... 605,885 389,014 1,428,666 826,214 631,372 634,549
Shares Issued in Lieu of Cash Distributions....... 207,612 28,484 99,760 96,714 66,684 57,573
Shares Redeemed................................... (723,766) (627,647) (853,143) (654,733) (457,180) (394,415)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions.................................. 89,731 (210,149) 675,283 268,195 240,876 297,707
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets........ 1,257,873 180,239 961,029 617,742 699,355 351,610
NET ASSETS
Beginning of Year................................. 3,437,958 3,257,719 3,716,389 3,098,647 2,055,759 1,704,149
---------- ---------- ---------- ---------- ---------- ----------
End of Year....................................... $4,695,831 $3,437,958 $4,677,418 $3,716,389 $2,755,114 $2,055,759
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 36,865 27,509 51,717 32,929 31,421 36,185
Shares Issued in Lieu of Cash Distributions....... 14,570 2,109 3,726 3,972 3,350 3,432
Shares Redeemed................................... (43,945) (44,113) (30,873) (26,322) (22,837) (22,604)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed........................... 7,490 (14,495) 24,570 10,579 11,934 17,013
========== ========== ========== ========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................ $ 1,665 $ 3,910 $ 31,615 $ 23,599 $ 6,579 $ 8,708
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1 and $1,
respectively.
See accompanying Notes to Financial Statements.
122
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
INTERNATIONAL CORE EQUITY INTERNATIONAL SMALL JAPANESE SMALL
PORTFOLIO COMPANY PORTFOLIO COMPANY PORTFOLIO
------------------------ ------------------------ -------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2013 2012 2013 2012
----------- ----------- ----------- ----------- --------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................... $ 218,030 $ 181,573 $ 180,481 $ 152,324 $ 6,101 $ 5,072
Net Realized Gain (Loss) on:
Investment Securities Sold....................... (10,392) (40,937) 262,518 53,955 5,783 (5,341)
Futures.......................................... -- -- (29) 9 -- (75)
Foreign Currency Transactions**.................. (2,185) 114 (2,035) 401 (468) 120
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency........................................ 1,736,462 185,568 1,540,906 133,610 94,197 (6,790)
Futures.......................................... -- -- 30 (1) -- 1
Translation of Foreign Currency Denominated
Amounts......................................... 312 (120) 438 (530) 26 (23)
----------- ----------- ----------- ----------- --------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations..................... 1,942,227 326,198 1,982,309 339,768 105,639 (7,036)
----------- ----------- ----------- ----------- --------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares....................... (214,687) (176,198) (159,066) (163,885) (2,836) (4,541)
Net Long-Term Gains:
Institutional Class Shares....................... -- -- (39,012) (108,621) -- --
----------- ----------- ----------- ----------- --------- --------
Total Distributions............................ (214,687) (176,198) (198,078) (272,506) (2,836) (4,541)
----------- ----------- ----------- ----------- --------- --------
Capital Share Transactions (1):
Shares Issued..................................... 2,415,089 1,839,473 1,229,487 1,391,405 142,226 198,642
Shares Issued in Lieu of Cash Distributions....... 206,673 169,856 188,769 262,078 2,638 4,202
Shares Redeemed................................... (1,323,574) (1,072,475) (1,104,930) (1,131,600) (127,503) (60,419)
----------- ----------- ----------- ----------- --------- --------
Net Increase (Decrease) from Capital Share
Transactions.................................. 1,298,188 936,854 313,326 521,883 17,361 142,425
----------- ----------- ----------- ----------- --------- --------
Total Increase (Decrease) in Net Assets........ 3,025,728 1,086,854 2,097,557 589,145 120,164 130,848
NET ASSETS
Beginning of Year................................. 6,482,738 5,395,884 6,423,160 5,834,015 293,968 163,120
----------- ----------- ----------- ----------- --------- --------
End of Year....................................... $ 9,508,466 $ 6,482,738 $ 8,520,717 $ 6,423,160 $ 414,132 $293,968
=========== =========== =========== =========== ========= ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 213,883 190,598 72,452 95,525 8,814 12,557
Shares Issued in Lieu of Cash Distributions....... 18,646 18,393 11,691 19,065 173 282
Shares Redeemed................................... (117,963) (112,419) (65,368) (77,790) (7,179) (3,928)
----------- ----------- ----------- ----------- --------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed........................... 114,566 96,572 18,775 36,800 1,808 8,911
=========== =========== =========== =========== ========= ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)............................................ $ 27,329 $ 25,255 $ 27,396 $ 3,290 $ 6,178 $ 1,728
----------
**Net of foreign capital gain taxes withheld of $14, $0, $27, $4, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
123
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
ASIA PACIFIC SMALL UNITED KINGDOM SMALL CONTINENTAL SMALL
COMPANY PORTFOLIO COMPANY PORTFOLIO COMPANY PORTFOLIO
------------------ ------------------- ------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2013 2012 2013 2012
-------- -------- -------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 11,525 $ 7,452 $ 933 $ 856 $ 2,635 $ 3,068
Net Realized Gain (Loss) on:
Investment Securities Sold.......................... (255) 4,091 2,545 (281) 2,298 (2,677)
Futures............................................. -- (33) -- 6 29 (25)
Foreign Currency Transactions*...................... 9 (56) -- 6 (3) (25)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......... 17,462 6,664 7,107 5,744 41,299 585
Futures............................................. -- 1 -- -- (29) --
Translation of Foreign Currency
Denominated Amounts................................ (1) (12) -- (2) 7 72
-------- -------- ------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 28,740 18,107 10,585 6,329 46,236 998
-------- -------- ------- -------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares............................ (7,603) (9,333) (953) (992) (2,834) (2,958)
-------- -------- ------- -------- -------- --------
Total Distributions................................ (7,603) (9,333) (953) (992) (2,834) (2,958)
-------- -------- ------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued......................................... 96,294 110,755 2,464 1,858 32,191 11,823
Shares Issued in Lieu of Cash Distributions........... 7,183 8,531 729 752 2,141 2,148
Shares Redeemed....................................... (31,639) (29,131) (7,045) (10,500) (13,244) (23,147)
-------- -------- ------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions...................................... 71,838 90,155 (3,852) (7,890) 21,088 (9,176)
-------- -------- ------- -------- -------- --------
Total Increase (Decrease) in Net Assets............ 92,975 98,929 5,780 (2,553) 64,490 (11,136)
NET ASSETS
Beginning of Year..................................... 238,191 139,262 31,316 33,869 106,316 117,452
-------- -------- ------- -------- -------- --------
End of Year........................................... $331,166 $238,191 $37,096 $ 31,316 $170,806 $106,316
======== ======== ======= ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 4,135 5,147 78 76 1,806 842
Shares Issued in Lieu of Cash Distributions........... 309 410 24 34 128 166
Shares Redeemed....................................... (1,362) (1,342) (224) (429) (834) (1,693)
-------- -------- ------- -------- -------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 3,082 4,215 (122) (319) 1,100 (685)
======== ======== ======= ======== ======== ========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)................................................ $ 6,418 $ 779 $ 129 $ 149 $ 92 $ 280
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1 and $0,
respectively.
See accompanying Notes to Financial Statements.
124
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL REAL
ESTATE SECURITIES DFA GLOBAL REAL ESTATE DFA INTERNATIONAL SMALL
PORTFOLIO SECURITIES PORTFOLIO CAP VALUE PORTFOLIO
---------------------- ---------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2013 2012 2013 2012
---------- ---------- ---------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................. $ 72,994 $ 66,041 $ 84,342 $ 36,495 $ 208,592 $ 176,655
Net Realized Gain (Loss) on:
Investment Securities Sold................... (19,009) (33,417) (3,169) (2,760) 179,935 130,909
Futures...................................... 888 -- -- -- -- --
Foreign Currency Transactions*............... (860) 34 -- 138,125 (2,311) 1,183
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................... 105,321 228,123 60,459 -- 2,722,774 203,828
Translation of Foreign Currency Denominated
Amounts...................................... 18 (24) -- -- 666 (393)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................. 159,352 260,757 141,632 171,860 3,109,656 512,182
---------- ---------- ---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares................... (181,848) (54,030) (84,341) (25,716) (198,381) (187,200)
Net Short-Term Gains:
Institutional Class Shares................... -- -- -- -- -- (11,429)
Net Long-Term Gains:
Institutional Class Shares................... -- -- -- -- (117,102) (126,221)
---------- ---------- ---------- ---------- ----------- -----------
Total Distributions........................ (181,848) (54,030) (84,341) (25,716) (315,483) (324,850)
---------- ---------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................. 842,458 416,378 932,289 445,794 1,644,691 1,698,080
Shares Issued in Lieu of Cash Distributions... 180,122 53,300 82,056 25,115 292,218 304,574
Shares Redeemed............................... (372,815) (204,853) (304,476) (170,854) (1,848,793) (1,382,520)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions........................ 649,765 264,825 709,869 300,055 88,116 620,134
---------- ---------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in Net Assets.... 627,269 471,552 767,160 446,199 2,882,289 807,466
NET ASSETS
Beginning of Year............................. 1,531,708 1,060,156 1,315,547 869,348 8,266,610 7,459,144
---------- ---------- ---------- ---------- ----------- -----------
End of Year................................... $2,158,977 $1,531,708 $2,082,707 $1,315,547 $11,148,899 $ 8,266,610
========== ========== ========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................. 159,658 84,674 99,632 51,866 96,297 117,598
Shares Issued in Lieu of Cash Distributions... 35,387 12,309 9,335 3,385 18,141 22,510
Shares Redeemed............................... (71,419) (42,864) (32,860) (20,069) (106,982) (97,364)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed....................... 123,626 54,119 76,107 35,182 7,456 42,744
========== ========== ========== ========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME)............................. $ (147,973) $ (46,274) $ 11,624 $ 11,623 $ 14,704 $ 14,647
----------
* Net of foreign capital gain taxes withheld of $7, $0, $0, $0, $6 and $13,
respectively.
See accompanying Notes to Financial Statements.
125
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
WORLD EX U.S.
INTERNATIONAL VECTOR WORLD EX U.S. VALUE TARGETED VALUE
EQUITY PORTFOLIO PORTFOLIO PORTFOLIO
--------------------- ----------------- --------------
PERIOD
YEAR YEAR YEAR YEAR NOV. 1,
ENDED ENDED ENDED ENDED 2012(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2013 2012 2013
---------- --------- -------- -------- --------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 18,816 $ 14,617 $ 2,186 $ 1,596 $ 1,009
Capital Gain Distributions Received from Affiliated Investment
Companies...................................................... -- -- 64 79 191
Net Realized Gain (Loss) on:
Investment Securities Sold..................................... 8,277 2,944 3,077 61 947
Futures........................................................ -- -- (12) (1) 1
Foreign Currency Transactions*................................. (71) (98) (14) (10) (3)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... 172,846 13,867 13,382 430 11,646
Futures........................................................ -- -- (1) -- --
Translation of Foreign Currency Denominated Amounts............ 46 (30) (15) (1) --
---------- --------- -------- ------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations.................................................. 199,914 31,300 18,667 2,154 13,791
---------- --------- -------- ------- -------
Distributions From:
Net Investment Income:
Institutional Class Shares..................................... (17,456) (14,204) (2,334) (1,432) (993)
Net Short-Term Gains:
Institutional Class Shares..................................... -- -- -- (6) --
Net Long-Term Gains:
Institutional Class Shares..................................... (2,044) (6,473) -- -- --
---------- --------- -------- ------- -------
Total Distributions.......................................... (19,500) (20,677) (2,334) (1,438) (993)
---------- --------- -------- ------- -------
Capital Share Transactions (1):
Shares Issued................................................... 419,905 241,502 53,066 15,365 87,917
Shares Issued in Lieu of Cash Distributions..................... 18,898 19,813 2,232 1,370 993
Shares Redeemed................................................. (89,842) (121,119) (11,241) (7,419) (5,698)
---------- --------- -------- ------- -------
Net Increase (Decrease) from Capital Share Transactions...... 348,961 140,196 44,057 9,316 83,212
---------- --------- -------- ------- -------
Total Increase (Decrease) in Net Assets...................... 529,375 150,819 60,390 10,032 96,010
NET ASSETS
Beginning of Period............................................. 561,399 410,580 57,197 47,165 --
---------- --------- -------- ------- -------
End of Period................................................... $1,090,774 $ 561,399 $117,587 $57,197 $96,010
========== ========= ======== ======= =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 39,490 27,490 4,923 1,625 8,136
Shares Issued in Lieu of Cash Distributions..................... 1,856 2,341 209 152 90
Shares Redeemed................................................. (8,665) (13,627) (1,036) (756) (522)
---------- --------- -------- ------- -------
Net Increase (Decrease) from Shares Issued and Redeemed...... 32,681 16,204 4,096 1,021 7,704
========== ========= ======== ======= =======
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF
NET INVESTMENT INCOME)........................................... $ 2,486 $ 1,456 $ 187 $ 330 $ 15
----------
Seepage 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $1, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
126
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
WORLD EX U.S.
CORE EQUITY SELECTIVELY HEDGED
PORTFOLIO GLOBAL EQUITY PORTFOLIO
------------------ ----------------------
PERIOD PERIOD
APRIL 9, APRIL 9, PERIOD
2013(A) 2013(A) YEAR NOV. 14,
TO TO ENDED 2011(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2013 2012
-------- -------- -------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 1,160 $ -- $ 1,317 $ 536
Capital Gain Distributions Received from Affiliated Investment
Companies...................................................... -- -- 115 --
Net Realized Gain (Loss) on:
Investment Securities Sold..................................... (30) -- (81) (275)
Futures........................................................ -- -- 545 110
Foreign Currency Transactions*................................. -- -- 237 163
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... 11,720 -- 12,814 2,557
Futures........................................................ -- -- 150 (17)
Translation of Foreign Currency Denominated Amounts............ -- -- 121 (93)
-------- ---- ------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................... 12,850 -- 15,218 2,981
-------- ---- ------- -------
Distributions From:
Net Investment Income:
Institutional Class Shares..................................... (1,171) -- (330) (534)
Net Short-Term Gains:
Institutional Class Shares..................................... -- -- (43) --
Net Long-Term Gains:
Institutional Class Shares..................................... -- -- (56) --
-------- ---- ------- -------
Total Distributions........................................... (1,171) -- (429) (534)
-------- ---- ------- -------
Capital Share Transactions (1):
Shares Issued................................................... 125,005 -- 43,832 32,522
Shares Issued in Lieu of Cash Distributions..................... 1,169 -- 429 533
Shares Redeemed................................................. (8,133) -- (2,652) (552)
-------- ---- ------- -------
Net Increase (Decrease) from Capital Share Transactions....... 118,041 -- 41,609 32,503
-------- ---- ------- -------
Total Increase (Decrease) in Net Assets....................... 129,720 -- 56,398 34,950
NET ASSETS
Beginning of Period............................................. -- -- 34,950 --
-------- ---- ------- -------
End of Period................................................... $129,720 $ -- $91,348 $34,950
======== ==== ======= =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 12,721 -- 3,666 3,216
Shares Issued in Lieu of Cash Distributions..................... 117 -- 39 53
Shares Redeemed................................................. (790) -- (217) (53)
-------- ---- ------- -------
Net Increase (Decrease) from Shares Issued and
Redeemed..................................................... 12,048 -- 3,488 3,216
======== ==== ======= =======
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)........................................ $ (1) $ -- $ 1,390 $ 166
EMERGING MARKETS
PORTFOLIO
----------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2013 2012
---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 61,645 $ 54,306
Capital Gain Distributions Received from Affiliated Investment
Companies...................................................... -- --
Net Realized Gain (Loss) on:
Investment Securities Sold..................................... 22,235 31,303
Futures........................................................ -- --
Foreign Currency Transactions*................................. (124) (543)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... 143,306 25,377
Futures........................................................ -- --
Translation of Foreign Currency Denominated Amounts............ (6) 18
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................... 227,056 110,461
---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares..................................... (59,866) (49,445)
Net Short-Term Gains:
Institutional Class Shares..................................... -- --
Net Long-Term Gains:
Institutional Class Shares..................................... (30,527) (90,351)
---------- ----------
Total Distributions........................................... (90,393) (139,796)
---------- ----------
Capital Share Transactions (1):
Shares Issued................................................... 1,304,374 860,651
Shares Issued in Lieu of Cash Distributions..................... 84,860 130,084
Shares Redeemed................................................. (667,334) (477,258)
---------- ----------
Net Increase (Decrease) from Capital Share Transactions....... 721,900 513,477
---------- ----------
Total Increase (Decrease) in Net Assets....................... 858,563 484,142
NET ASSETS
Beginning of Period............................................. 2,797,177 2,313,035
---------- ----------
End of Period................................................... $3,655,740 $2,797,177
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 50,466 34,114
Shares Issued in Lieu of Cash Distributions..................... 3,233 5,452
Shares Redeemed................................................. (25,465) (18,952)
---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed..................................................... 28,234 20,614
========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)........................................ $ 6,864 $ 8,306
----------
Seepage 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $13,
respectively.
See accompanying Notes to Financial Statements.
127
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS SMALL EMERGING MARKETS VALUE
CAP PORTFOLIO PORTFOLIO
---------------------- ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2013 2012
---------- ---------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 69,684 $ 46,726 $ 342,372 $ 308,227
Net Realized Gain (Loss) on:
Investment Securities Sold........................... 64,325 101,576 296,735 362,676
Futures.............................................. 452 (812) -- (1,255)
Foreign Currency Transactions*....................... (1,227) (1,523) (2,807) (4,701)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign
Currency............................................ 146,169 9,556 717,140 (535,878)
Futures.............................................. 4 -- -- --
Translation of Foreign Currency Denominated
Amounts............................................. (42) (21) 7 (113)
---------- ---------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 279,365 155,502 1,353,447 128,956
---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares...................................... -- -- (1,837) (1,576)
Institutional Class Shares........................... (67,721) (40,500) (355,664) (285,978)
Net Short-Term Gains:
Institutional Class Shares........................... (3,428) -- -- --
Net Long-Term Gains:
Class R2 Shares...................................... -- -- (2,090) (1,207)
Institutional Class Shares........................... (92,100) (37,112) (342,441) (187,999)
---------- ---------- ----------- -----------
Total Distributions................................ (163,249) (77,612) (702,032) (476,760)
---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued......................................... 1,458,450 1,164,899 4,240,153 5,108,640
Shares Issued in Lieu of Cash Distributions........... 142,712 68,580 656,583 439,131
Shares Redeemed....................................... (583,088) (236,441) (2,967,974) (2,319,607)
---------- ---------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions...................................... 1,018,074 997,038 1,928,762 3,228,164
---------- ---------- ----------- -----------
Total Increase (Decrease) in Net Assets............ 1,134,190 1,074,928 2,580,177 2,880,360
NET ASSETS
Beginning of Year..................................... 2,907,673 1,832,745 16,688,730 13,808,370
---------- ---------- ----------- -----------
End of Year........................................... $4,041,863 $2,907,673 $19,268,907 $16,688,730
========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 69,669 59,256 148,957 181,833
Shares Issued in Lieu of Cash Distributions........... 6,956 3,782 22,991 16,750
Shares Redeemed....................................... (28,076) (12,340) (105,179) (82,979)
---------- ---------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed............................... 48,549 50,698 66,769 115,604
========== ========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)................................................ $ 8,340 $ 6,451 $ 14,739 $ 40,292
EMERGING MARKETS CORE
EQUITY PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2013 2012
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 211,992 $ 155,928
Net Realized Gain (Loss) on:
Investment Securities Sold........................... (9,977) (8,860)
Futures.............................................. -- 1,190
Foreign Currency Transactions*....................... (2,207) (1,300)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign
Currency............................................ 581,086 122,105
Futures.............................................. -- --
Translation of Foreign Currency Denominated
Amounts............................................. (79) (51)
----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 780,815 269,012
----------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares...................................... -- --
Institutional Class Shares........................... (205,400) (139,837)
Net Short-Term Gains:
Institutional Class Shares........................... -- --
Net Long-Term Gains:
Class R2 Shares...................................... -- --
Institutional Class Shares........................... -- --
----------- -----------
Total Distributions................................ (205,400) (139,837)
----------- -----------
Capital Share Transactions (1):
Shares Issued......................................... 5,406,041 4,068,293
Shares Issued in Lieu of Cash Distributions........... 187,871 126,291
Shares Redeemed....................................... (1,743,072) (1,096,525)
----------- -----------
Net Increase (Decrease) from Capital Share
Transactions...................................... 3,850,840 3,098,059
----------- -----------
Total Increase (Decrease) in Net Assets............ 4,426,255 3,227,234
NET ASSETS
Beginning of Year..................................... 8,594,707 5,367,473
----------- -----------
End of Year........................................... $13,020,962 $ 8,594,707
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 276,461 218,730
Shares Issued in Lieu of Cash Distributions........... 9,689 7,108
Shares Redeemed....................................... (90,412) (60,020)
----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed............................... 195,738 165,818
=========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
(DISTRIBUTIONS IN EXCESS OF NET INVESTMENT
INCOME)................................................ $ 31,355 $ 26,576
----------
* Net of foreign capital gain taxes withheld of $1, $86, $0, $310, $0 and $541,
respectively.
See accompanying Notes to Financial Statements.
128
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE
CAP EQUITY
ENHANCED U.S. LARGE COMPANY PORTFOLIO PORTFOLIO
------------------------------------------------ ----------
PERIOD
YEAR YEAR YEAR YEAR YEAR JUNE 25,
ENDED ENDED ENDED ENDED ENDED 2013(A) TO
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009 2013
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................ $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.00
-------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.07 0.07 0.07 0.07 0.05 0.06
Net Gains (Losses) on Securities (Realized and Unrealized). 2.42 1.20 0.56 1.05 0.61 1.04
-------- -------- -------- -------- -------- --------
Total from Investment Operations......................... 2.49 1.27 0.63 1.12 0.66 1.10
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.08) (0.13) (0.01) (0.07) (0.59) (0.03)
Net Realized Gains......................................... -- -- -- -- (0.06) --
-------- -------- -------- -------- -------- --------
Total Distributions...................................... (0.08) (0.13) (0.01) (0.07) (0.65) (0.03)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 11.70 $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 11.07
=========================================================== ======== ======== ======== ======== ======== ==========
Total Return................................................ 26.99% 15.84% 8.41% 17.40% 12.23% 11.01%(D)
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $212,840 $190,011 $171,128 $157,730 $165,231 $135,407
Ratio of Expenses to Average Net Assets..................... 0.24% 0.25% 0.26% 0.26% 0.29%** 0.19%(C)(E)
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumption of Expenses and/or Recovery of Previously
Waived Fees and Fees Paid Indirectly)...................... 0.24% 0.25% 0.26% 0.26% 0.29%** 0.25%(C)(E)
Ratio of Net Investment Income to Average Net Assets........ 0.63% 0.80% 0.86% 0.98% 0.86% 1.58%(C)(E)
Portfolio Turnover Rate..................................... 139% 76% 140% 78% 46%* 0%(D)
---------------------------------------------------------------------------------------------------------------------------------
See page 1 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.
129
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................ $ 22.34 $ 19.29 $ 18.58 $ 15.81
----------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.47 0.41 0.33 0.33
Net Gains (Losses) on Securities (Realized and Unrealized). 7.38 3.04 0.70 2.76
----------- ---------- ---------- ----------
Total from Investment Operations......................... 7.85 3.45 1.03 3.09
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.47) (0.40) (0.32) (0.32)
Net Realized Gains......................................... -- -- -- --
----------- ---------- ---------- ----------
Total Distributions...................................... (0.47) (0.40) (0.32) (0.32)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 29.72 $ 22.34 $ 19.29 $ 18.58
=========================================================== =========== ========== ========== ==========
Total Return................................................ 35.52% 18.14% 5.53% 19.72%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $11,963,072 $8,334,585 $7,340,344 $6,921,036
Ratio of Expenses to Average Net Assets..................... 0.27%(B) 0.27%(B) 0.28%(B) 0.28%(B)
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumptions of Expenses and/or Recovery of Previously
Waived Fees and Fees Paid Indirectly)...................... 0.27%(B) 0.27%(B) 0.28%(B) 0.28%(B)
Ratio of Net Investment Income to Average Net Assets........ 1.82% 1.99% 1.63% 1.86%
Portfolio Turnover Rate..................................... N/A N/A N/A N/A
--------------------------------------------------------------------------------------------------------------------------
-----------
YEAR
ENDED
OCT. 31,
2009
---------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................ $ 14.58
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.31
Net Gains (Losses) on Securities (Realized and Unrealized). 1.28
----------
Total from Investment Operations......................... 1.59
---------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.34)
Net Realized Gains......................................... (0.02)
----------
Total Distributions...................................... (0.36)
---------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 15.81
=========================================================== ==========
Total Return................................................ 11.76%
---------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $5,863,652
Ratio of Expenses to Average Net Assets..................... 0.30%(B)
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumptions of Expenses and/or Recovery of Previously
Waived Fees and Fees Paid Indirectly)...................... 0.30%(B)
Ratio of Net Investment Income to Average Net Assets........ 2.26%
Portfolio Turnover Rate..................................... N/A
---------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
* For the period February 28, 2009 through October 31, 2009. Effective
February 28, 2009, U.S. Large 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.
130
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R1 SHARES+
-------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $17.28 $ 15.32 $ 14.75 $ 11.73 $ 10.92
------ ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.27 0.15 0.10 0.07 0.12
Net Gains (Losses) on Securities (Realized and Unrealized). 6.28 2.06 0.60 3.07 0.87
------ ------- ------- ------- -------
Total from Investment Operations.......................... 6.55 2.21 0.70 3.14 0.99
-------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.22) (0.13) (0.10) (0.12) (0.18)
Net Realized Gains......................................... (0.98) (0.12) (0.03) -- --
------ ------- ------- ------- -------
Total Distributions....................................... (1.20) (0.25) (0.13) (0.12) (0.18)
-------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $22.63 $ 17.28 $ 15.32 $ 14.75 $ 11.73
============================================================= ======== ======== ======== ======== ========
Total Return................................................. 40.39% 14.67% 4.69% 26.93% 9.36%
-------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $9,470 $49,423 $45,132 $41,316 $31,393
Ratio of Expenses to Average Net Assets...................... 0.47% 0.48% 0.48% 0.49% 0.52%
Ratio of Net Investment Income to Average Net Assets......... 1.42% 0.93% 0.61% 0.59% 1.12%
Portfolio Turnover Rate...................................... 16% 20% 23% 20% 17%
-------------------------------------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO-CLASS R2 SHARES+
-------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 17.26 $ 15.31 $ 14.76 $11.74 $10.91
------- ------- ------- ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.19 0.13 0.07 0.05 0.10
Net Gains (Losses) on Securities (Realized and Unrealized). 6.31 2.05 0.60 3.07 0.88
------- ------- ------- ------ ------
Total from Investment Operations.......................... 6.50 2.18 0.67 3.12 0.98
------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.21) (0.11) (0.09) (0.10) (0.15)
Net Realized Gains......................................... (0.98) (0.12) (0.03) -- --
------- ------- ------- ------ ------
Total Distributions....................................... (1.19) (0.23) (0.12) (0.10) (0.15)
------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 22.57 $ 17.26 $ 15.31 $14.76 $11.74
============================================================= ======== ======== ======== ======== ========
Total Return................................................. 40.10% 14.46% 4.50% 26.66% 9.23%
------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $23,305 $12,754 $10,918 $5,967 $2,930
Ratio of Expenses to Average Net Assets...................... 0.62% 0.63% 0.63% 0.64% 0.67%
Ratio of Net Investment Income to Average Net Assets......... 0.95% 0.78% 0.42% 0.44% 0.91%
Portfolio Turnover Rate...................................... 16% 20% 23% 20% 17%
------------------------------------------------------------------------------------------------------------
See page 1 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.
131
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
---------------------------------------------------------- -----------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009 2013
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................... $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 26.57
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... 0.24 0.17 0.12 0.09 0.12 0.39
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 6.31 2.06 0.59 3.06 0.88 9.41
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations.................. 6.55 2.23 0.71 3.15 1.00 9.80
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................. (0.25) (0.15) (0.12) (0.09) (0.14) (0.37)
Net Realized Gains................................. (0.98) (0.12) (0.03) -- -- (1.52)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................... (1.23) (0.27) (0.15) (0.09) (0.14) (1.89)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year......................... $ 22.60 $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 34.48
===================================================== ========== ========== ========== ========== ========== ==========
Total Return......................................... 40.40% 14.78% 4.76% 27.02% 9.47% 39.35%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................. $4,180,974 $2,989,632 $2,487,929 $2,223,982 $1,449,437 $9,526,981
Ratio of Expenses to Average Net Assets.............. 0.37% 0.38% 0.38% 0.38% 0.41% 0.52%
Ratio of Net Investment Income to Average Net Assets. 1.25% 1.03% 0.71% 0.69% 1.19% 1.28%
Portfolio Turnover Rate.............................. 16% 20% 23% 20% 17% 14%
------------------------------------------------------------------------------------------------------------------------------
U.S. SMALL CAP VALUE PORTFOLIO
-----------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................... $ 23.50 $ 22.49 $ 17.69 $ 16.32
---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... 0.20 0.16 0.09 0.04
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 3.38 1.00 4.79 1.54
---------- ---------- ---------- ----------
Total from Investment Operations.................. 3.58 1.16 4.88 1.58
-------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................. (0.18) (0.15) (0.08) (0.21)
Net Realized Gains................................. (0.33) -- -- --
---------- ---------- ---------- ----------
Total Distributions............................... (0.51) (0.15) (0.08) (0.21)
-------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year......................... $ 26.57 $ 23.50 $ 22.49 $ 17.69
===================================================== ========== ========== ========== ==========
Total Return......................................... 15.60% 5.13% 27.69% 9.97%
-------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................. $7,088,470 $6,540,863 $6,555,277 $5,669,659
Ratio of Expenses to Average Net Assets.............. 0.52% 0.52% 0.52% 0.54%++
Ratio of Net Investment Income to Average Net Assets. 0.78% 0.62% 0.43% 0.27%
Portfolio Turnover Rate.............................. 15% 14% 19% 21%+
-------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
+ 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.
132
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. CORE EQUITY 1 PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 7.81
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.25 0.21 0.17 0.15 0.15
Net Gains (Losses) on Securities (Realized and Unrealized). 3.62 1.32 0.59 1.61 0.73
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 3.87 1.53 0.76 1.76 0.88
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.24) (0.20) (0.16) (0.12) (0.15)
Net Realized Gains......................................... -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.24) (0.20) (0.16) (0.12) (0.15)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 15.74 $ 12.11 $ 10.78 $ 10.18 $ 8.54
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 32.32% 14.29% 7.47% 20.80% 11.64%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $7,566,179 $4,876,973 $3,731,411 $2,897,409 $1,989,583
Ratio of Expenses to Average Net Assets...................... 0.19% 0.19% 0.20% 0.20% 0.22%
Ratio of Net Investment Income to Average Net Assets......... 1.79% 1.79% 1.49% 1.53% 2.02%
Portfolio Turnover Rate...................................... 1% 3% 5% 4% 7%
--------------------------------------------------------------------------------------------------------------------------
U.S. CORE EQUITY 2 PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 11.99 $ 10.61 $ 10.06 $ 8.39 $ 7.73
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.24 0.20 0.16 0.14 0.14
Net Gains (Losses) on Securities (Realized and Unrealized). 3.73 1.36 0.54 1.64 0.66
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 3.97 1.56 0.70 1.78 0.80
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.24) (0.18) (0.15) (0.11) (0.14)
Net Realized Gains......................................... (0.10) -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.34) (0.18) (0.15) (0.11) (0.14)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 15.62 $ 11.99 $ 10.61 $ 10.06 $ 8.39
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 33.66% 14.81% 6.98% 21.41% 10.66%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $9,989,564 $6,923,984 $5,819,906 $4,990,367 $3,804,325
Ratio of Expenses to Average Net Assets...................... 0.22% 0.22% 0.22% 0.23% 0.24%
Ratio of Net Investment Income to Average Net Assets......... 1.74% 1.74% 1.42% 1.47% 1.89%
Portfolio Turnover Rate...................................... 3% 5% 9% 7% 4%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
133
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. VECTOR EQUITY PORTFOLIO
170 ----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................... $ 11.61 $ 10.28 $ 9.82 $ 8.03 $ 7.48
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.20 0.16 0.12 0.10 0.11
Net Gains (Losses) on Securities (Realized and Unrealized). 4.03 1.32 0.46 1.79 0.57
---------- ---------- ---------- ---------- ----------
Total from Investment Operations......................... 4.23 1.48 0.58 1.89 0.68
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.20) (0.15) (0.12) (0.10) (0.13)
Net Realized Gains......................................... (0.02) -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions...................................... (0.22) (0.15) (0.12) (0.10) (0.13)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................ $ 15.62 $ 11.61 $ 10.28 $ 9.82 $ 8.03
=========================================================== ========== ========== ========== ========== ==========
Total Return................................................ 36.80% 14.55% 5.86% 23.65% 9.47%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $2,893,842 $2,009,177 $1,851,895 $1,558,423 $1,178,114
Ratio of Expenses to Average Net Assets..................... 0.32% 0.32% 0.33% 0.33% 0.35%
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumptions of Expenses and/or Recovery of Previously
Waived Fees)............................................... 0.32% 0.32% 0.33% 0.33% 0.35%
Ratio of Net Investment Income to Average Net Assets........ 1.50% 1.45% 1.11% 1.13% 1.60%
Portfolio Turnover Rate..................................... 3% 9% 10% 11% 11%
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
134
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP PORTFOLIO
---------------------------------------------------------- -----------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009 2013
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................... $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 14.84
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... 0.35 0.25 0.18 0.13 0.06 0.19
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 8.13 2.53 1.49 4.17 1.65 5.57
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations.................. 8.48 2.78 1.67 4.30 1.71 5.76
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................. (0.36) (0.22) (0.18) (0.13) (0.17) (0.20)
Net Realized Gains................................. (1.20) -- -- -- -- (0.76)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................... (1.56) (0.22) (0.18) (0.13) (0.17) (0.96)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year......................... $ 30.03 $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 19.64
===================================================== ========== ========== ========== ========== ========== ==========
Total Return......................................... 39.03% 13.61% 8.76% 28.99% 13.08% 41.34%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................. $7,446,827 $4,563,345 $3,770,323 $3,391,457 $2,522,001 $4,695,831
Ratio of Expenses to Average Net Assets.............. 0.37% 0.37% 0.37% 0.37% 0.40%** 0.52%
Ratio of Net Investment Income to Average Net Assets. 1.33% 1.14% 0.84% 0.76% 0.50% 1.16%
Portfolio Turnover Rate.............................. 10% 16% 23% 19% 17%* 11%
--------------------------------------------------------------------------------------------------------------------------------
U.S. MICRO CAP PORTFOLIO
-----------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................... $ 13.24 $ 12.25 $ 9.57 $ 9.19
---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... 0.14 0.09 0.06 0.03
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 1.59 0.99 2.68 0.54
---------- ---------- ---------- ----------
Total from Investment Operations.................. 1.73 1.08 2.74 0.57
-------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................. (0.13) (0.09) (0.06) (0.19)
Net Realized Gains................................. -- -- -- --
---------- ---------- ---------- ----------
Total Distributions............................... (0.13) (0.09) (0.06) (0.19)
-------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year......................... $ 14.84 $ 13.24 $ 12.25 $ 9.57
===================================================== ========== ========== ========== ==========
Total Return......................................... 13.13% 8.85% 28.77% 6.61%
-------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................. $3,437,958 $3,257,719 $3,178,286 $2,818,365
Ratio of Expenses to Average Net Assets.............. 0.52% 0.52% 0.52% 0.54%**
Ratio of Net Investment Income to Average Net Assets. 0.99% 0.69% 0.58% 0.38%
Portfolio Turnover Rate.............................. 15% 14% 9% 12%*
-------------------------------------------------------------------------------------------------------
See page 1 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.
135
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA REAL ESTATE SECURITIES PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................. $ 25.83 $ 23.25 $ 21.24 $ 15.29 $ 16.16
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.67 0.57 0.40 0.58 0.58
Net Gains (Losses) on Securities (Realized and Unrealized)... 1.95 2.74 1.93 5.92 (0.62)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................ 2.62 3.31 2.33 6.50 (0.04)
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.68) (0.73) (0.32) (0.55) (0.83)
---------- ---------- ---------- ---------- ----------
Total Distributions......................................... (0.68) (0.73) (0.32) (0.55) (0.83)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................... $ 27.77 $ 25.83 $ 23.25 $ 21.24 $ 15.29
=============================================================== ========== ========== ========== ========== ==========
Total Return................................................... 10.28% 14.45% 11.09% 43.21% 0.98%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............................ $4,677,418 $3,716,389 $3,098,647 $2,689,552 $2,018,559
Ratio of Expenses to Average Net Assets........................ 0.18% 0.22% 0.32% 0.33% 0.36%
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% 0.23% 0.32% 0.33% 0.36%
Ratio of Net Investment Income to Average Net Assets........... 2.42% 2.29% 1.76% 3.13% 4.54%
Portfolio Turnover Rate........................................ 1% 0% 3% 2% 2%
----------------------------------------------------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................. $ 18.33 $ 17.91 $ 19.42 $ 18.02 $ 14.81
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.58 0.60 0.63 0.48 0.48
Net Gains (Losses) on Securities (Realized and Unrealized)... 3.90 0.40 (1.53) 1.43 3.16
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................ 4.48 1.00 (0.90) 1.91 3.64
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.61) (0.58) (0.61) (0.51) (0.43)
---------- ---------- ---------- ---------- ----------
Total Distributions......................................... (0.61) (0.58) (0.61) (0.51) (0.43)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................... $ 22.20 $ 18.33 $ 17.91 $ 19.42 $ 18.02
=============================================================== ========== ========== ========== ========== ==========
Total Return................................................... 24.85% 5.89% (4.86)% 10.99% 25.20%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............................ $2,755,114 $2,055,759 $1,704,149 $1,616,686 $1,364,351
Ratio of Expenses to Average Net Assets........................ 0.29% 0.30% 0.30% 0.30% 0.32%
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% 0.30% 0.30% 0.30% 0.32%
Ratio of Net Investment Income to Average Net Assets........... 2.90% 3.38% 3.19% 2.65% 3.14%
Portfolio Turnover Rate........................................ 5% 4% 3% 7% 12%
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
136
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL CORE EQUITY PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................... $ 10.10 $ 9.89 $ 10.78 $ 9.79 $ 7.46
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.31 0.31 0.33 0.23 0.23
Net Gains (Losses) on Securities (Realized and Unrealized). 2.47 0.20 (0.89) 0.96 2.32
---------- ---------- ---------- ---------- ----------
Total from Investment Operations......................... 2.78 0.51 (0.56) 1.19 2.55
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.31) (0.30) (0.33) (0.20) (0.22)
---------- ---------- ---------- ---------- ----------
Total Distributions...................................... (0.31) (0.30) (0.33) (0.20) (0.22)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................ $ 12.57 $ 10.10 $ 9.89 $ 10.78 $ 9.79
=========================================================== ========== ========== ========== ========== ==========
Total Return................................................ 27.98% 5.49% (5.49)% 12.48% 34.81%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $9,508,466 $6,482,738 $5,395,884 $4,866,989 $3,699,842
Ratio of Expenses to Average Net Assets..................... 0.39% 0.40% 0.40% 0.40% 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% 0.40% 0.40% 0.40% 0.41%
Ratio of Net Investment Income to Average Net Assets........ 2.80% 3.18% 2.96% 2.31% 2.84%
Portfolio Turnover Rate..................................... 3% 5% 3% 2% 5%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
137
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL SMALL COMPANY PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................. $ 15.28 $ 15.21 $ 16.14 $ 13.99 $ 10.07
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.42 0.38 0.40 0.28 0.28
Net Gains (Losses) on Securities (Realized and Unrealized)... 4.16 0.39 (0.83) 2.13 3.91
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................ 4.58 0.77 (0.43) 2.41 4.19
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.37) (0.42) (0.50) (0.26) (0.27)
Net Realized Gains........................................... (0.09) (0.28) -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions......................................... (0.46) (0.70) (0.50) (0.26) (0.27)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................... $ 19.40 $ 15.28 $ 15.21 $ 16.14 $ 13.99
=============================================================== ========== ========== ========== ========== ==========
Total Return................................................ 30.66% 5.63% (2.92)% 17.61% 42.34%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............................ $8,520,717 $6,423,160 $5,834,015 $5,511,594 $4,269,864
Ratio of Expenses to Average Net Assets (B).................... 0.54% 0.56% 0.55% 0.56% 0.57%
Ratio of Expenses to Average Net Assets (Excluding Waivers and
Assumptions of Expenses and/or Recovery of Previously Waived
Fees) (B)..................................................... 0.54% 0.56% 0.55% 0.56% 0.57%
Ratio of Net Investment Income to Average Net Assets........... 2.47% 2.58% 2.37% 1.94% 2.48%
-----------------------------------------------------------------------------------------------------------------------------
JAPANESE SMALL COMPANY PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................. $ 14.99 $ 15.24 $ 14.13 $ 14.32 $ 11.97
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.26 0.29 0.27 0.22 0.22
Net Gains (Losses) on Securities (Realized and Unrealized)... 4.21 (0.26) 1.08 (0.18) 2.39
-------- -------- -------- -------- --------
Total from Investment Operations............................ 4.47 0.03 1.35 0.04 2.61
-----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.13) (0.28) (0.24) (0.23) (0.26)
Net Realized Gains........................................... -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions......................................... (0.13) (0.28) (0.24) (0.23) (0.26)
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................... $ 19.33 $ 14.99 $ 15.24 $ 14.13 $ 14.32
=============================================================== ======== ======== ======== ======== ========
Total Return................................................ 30.06% 0.20% 9.57% 0.33% 22.08%
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............................ $414,132 $293,968 $163,120 $114,933 $114,058
Ratio of Expenses to Average Net Assets (B).................... 0.56% 0.57% 0.56% 0.57% 0.59%
Ratio of Expenses to Average Net Assets (Excluding Waivers and
Assumptions of Expenses and/or Recovery of Previously Waived
Fees) (B)..................................................... 0.56% 0.57% 0.56% 0.57% 0.59%
Ratio of Net Investment Income to Average Net Assets........... 1.51% 1.88% 1.74% 1.52% 1.68%
-----------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
138
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ASIA PACIFIC SMALL COMPANY PORTFOLIO
-------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................................ $ 23.22 $ 23.04 $ 25.64 $ 20.59 $ 11.67
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................................ 1.01 0.87 0.85 0.69 0.50
Net Gains (Losses) on Securities (Realized and Unrealized).................. 1.37 0.58 (2.16) 4.99 8.95
-------- -------- -------- -------- --------
Total from Investment Operations........................................... 2.38 1.45 (1.31) 5.68 9.45
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................................................... (0.78) (1.27) (1.29) (0.63) (0.53)
-------- -------- -------- -------- --------
Total Distributions........................................................ (0.78) (1.27) (1.29) (0.63) (0.53)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................................. $ 24.82 $ 23.22 $ 23.04 $ 25.64 $ 20.59
============================================================================== ======== ======== ======== ======== ========
Total Return............................................................... 10.46% 7.09% (5.59)% 28.36% 84.11%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................................... $331,166 $238,191 $139,262 $131,511 $101,853
Ratio of Expenses to Average Net Assets (B)................................... 0.57% 0.59% 0.60% 0.63% 0.65%
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of
Expenses and/or Recovery of Previously Waived Fees) (B)...................... 0.57% 0.59% 0.60% 0.61% 0.65%
Ratio of Net Investment Income to Average Net Assets.......................... 4.26% 3.91% 3.34% 3.14% 3.53%
----------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM SMALL COMPANY PORTFOLIO
--------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................................ $ 27.81 $ 23.44 $ 24.24 $ 19.83 $ 14.27
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................................ 0.88 0.69 0.82 0.50 0.55
Net Gains (Losses) on Securities (Realized and Unrealized).................. 9.17 4.47 (0.85) 4.41 5.44
------- ------- ------- ------- -------
Total from Investment Operations........................................... 10.05 5.16 (0.03) 4.91 5.99
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................................................... (0.90) (0.79) (0.77) (0.50) (0.43)
------- ------- ------- ------- -------
Total Distributions........................................................ (0.90) (0.79) (0.77) (0.50) (0.43)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................................. $ 36.96 $ 27.81 $ 23.44 $ 24.24 $ 19.83
============================================================================== ======== ======== ======== ======== ========
Total Return............................................................... 36.81% 22.82% (0.28)% 25.37% 42.81%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................................... $37,096 $31,316 $33,869 $33,751 $27,863
Ratio of Expenses to Average Net Assets (B)................................... 0.59% 0.60% 0.60% 0.60% 0.61%
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of
Expenses and/or Recovery of Previously Waived Fees) (B)...................... 0.63% 0.63% 0.62% 0.64% 0.70%
Ratio of Net Investment Income to Average Net Assets.......................... 2.79% 2.83% 3.26% 2.39% 3.62%
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
139
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CONTINENTAL SMALL COMPANY PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 14.51 $ 14.66 $ 16.93 $ 15.02 $ 10.73
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.37 0.39 0.39 0.27 0.28
Net Gains (Losses) on Securities (Realized and Unrealized). 5.78 (0.17) (2.20) 1.89 4.29
-------- -------- -------- -------- --------
Total from Investment Operations.......................... 6.15 0.22 (1.81) 2.16 4.57
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.40) (0.37) (0.46) (0.25) (0.28)
-------- -------- -------- -------- --------
Total Distributions....................................... (0.40) (0.37) (0.46) (0.25) (0.28)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 20.26 $ 14.51 $ 14.66 $ 16.93 $ 15.02
============================================================= ======== ======== ======== ======== ========
Total Return.............................................. 42.99% 1.85% (11.09)% 14.85% 43.12%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $170,806 $106,316 $117,452 $128,106 $110,926
Ratio of Expenses to Average Net Assets...................... 0.58%(B) 0.59%(B) 0.58%(B) 0.59%(B) 0.62%(B)
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumption of Expenses and/or Recovery of Previously
Waived Fees and Fees Paid Indirectly)....................... 0.58%(B) 0.59%(B) 0.58%(B) 0.59%(B) 0.61%(B)
Ratio of Net Investment Income to Average Net Assets......... 2.16% 2.78% 2.25% 1.78% 2.39%
-------------------------------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate...................................... N/A N/A N/A N/A N/A
-------------------------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
-------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 5.67 $ 4.90 $ 5.58 $ 5.24 $ 4.18
---------- ---------- ---------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.22 0.27 0.30 0.31 0.26
Net Gains (Losses) on Securities (Realized and Unrealized). 0.25 0.75 (0.33) 0.58 0.91
---------- ---------- ---------- -------- --------
Total from Investment Operations.......................... 0.47 1.02 (0.03) 0.89 1.17
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.66) (0.25) (0.65) (0.55) (0.11)
---------- ---------- ---------- -------- --------
Total Distributions....................................... (0.66) (0.25) (0.65) (0.55) (0.11)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 5.48 $ 5.67 $ 4.90 $ 5.58 $ 5.24
============================================================= ========== ========== ========== ======== ========
Total Return.............................................. 9.24% 22.34% (0.43)% 18.96% 29.25%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $2,158,977 $1,531,708 $1,060,156 $958,554 $742,329
Ratio of Expenses to Average Net Assets...................... 0.39% 0.41% 0.42% 0.41% 0.43%
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% 0.41% 0.42% 0.41% 0.43%
Ratio of Net Investment Income to Average Net Assets......... 4.07% 5.45% 5.73% 6.42% 6.40%
----------------------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate...................................... 5% 3% 7% 6% 5%
----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
140
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................... $ 9.33 $ 8.21 $ 8.28 $ 6.75 $ 6.04
---------- ---------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... 0.49 0.29 0.41 0.40 0.19
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 0.37 1.07 0.06 1.60 0.62
---------- ---------- -------- -------- --------
Total from Investment Operations.................. 0.86 1.36 0.47 2.00 0.81
---------------------------------------------------------------------------------------------------------------------------
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 Year......................... $ 9.59 $ 9.33 $ 8.21 $ 8.28 $ 6.75
===================================================== ========== ========== ======== ======== ========
Total Return......................................... 9.74% 17.33% 6.17% 31.38% 13.81%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................. $2,082,707 $1,315,547 $869,348 $695,461 $432,502
Ratio of Expenses to Average Net Assets.............. 0.32%(B) 0.34%(B) 0.41%(B) 0.41%(B) 0.47%(B)
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) 0.60%(B) 0.73%(B) 0.73%(B) 0.79%(B)
Ratio of Net Investment Income to Average Net Assets. 5.18% 3.38% 5.01% 5.59% 3.40%
Portfolio Turnover Rate.............................. N/A N/A N/A N/A N/A
---------------------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................... $ 15.16 $ 14.85 $ 16.16 $ 14.92 $ 10.82
----------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... 0.37 0.34 0.34 0.24 0.26
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 5.21 0.61 (0.98) 1.22 4.14
----------- ---------- ---------- ---------- ----------
Total from Investment Operations.................. 5.58 0.95 (0.64) 1.46 4.40
-------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................. (0.36) (0.36) (0.38) (0.22) (0.24)
Net Realized Gains................................. (0.21) (0.28) (0.29) -- (0.06)
----------- ---------- ---------- ---------- ----------
Total Distributions............................... (0.57) (0.64) (0.67) (0.22) (0.30)
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year......................... $ 20.17 $ 15.16 $ 14.85 $ 16.16 $ 14.92
===================================================== =========== ========== ========== ========== ==========
Total Return......................................... 37.79% 6.92% (4.39)% 10.01% 41.42%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................. $11,148,899 $8,266,610 $7,459,144 $7,655,318 $6,859,957
Ratio of Expenses to Average Net Assets.............. 0.69% 0.71% 0.70% 0.70% 0.71%
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or Recovery
of Previously Waived Fees and Fees Paid Indirectly). 0.69% 0.71% 0.70% 0.70% 0.71%
Ratio of Net Investment Income to Average Net Assets. 2.16% 2.30% 2.05% 1.57% 2.19%
Portfolio Turnover Rate.............................. 9% 18% 16% 18% 22%
-------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
141
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL VECTOR EQUITY PORTFOLIO
---------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------------
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)........................................ 0.26 0.27 0.29 0.18 0.17
Net Gains (Losses) on Securities (Realized and Unrealized).............. 2.44 0.14 (0.87) 1.05 2.46
---------- -------- -------- -------- --------
Total from Investment Operations....................................... 2.70 0.41 (0.58) 1.23 2.63
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................... (0.25) (0.27) (0.29) (0.17) (0.15)
Net Realized Gains...................................................... (0.03) (0.15) (0.07) -- --
---------- -------- -------- -------- --------
Total Distributions.................................................... (0.28) (0.42) (0.36) (0.17) (0.15)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................................ $ 11.75 $ 9.33 $ 9.34 $ 10.28 $ 9.22
========================================================================== ========== ======== ======== ======== ========
Total Return.............................................................. 29.52% 4.90% (5.99)% 13.62% 39.52%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..................................... $1,090,774 $561,399 $410,580 $363,123 $262,544
Ratio of Expenses to Average Net Assets................................... 0.51% 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).............................................................. 0.51% 0.54% 0.54% 0.53% 0.59%
Ratio of Net Investment Income to Average Net Assets...................... 2.51% 2.94% 2.73% 1.91% 2.31%
Portfolio Turnover Rate................................................... 2% 5% 10% 5% 8%
--------------------------------------------------------------------------------------------------------------------------------
------------
YEAR
ENDED
OCT. 31,
2013
----------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period...................................... $ 9.94
--------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................................ 0.29
Net Gains (Losses) on Securities (Realized and Unrealized).............. 2.02
--------
Total from Investment Operations....................................... 2.31
----------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................... (0.32)
Net Realized Gains...................................................... --
--------
Total Distributions.................................................... (0.32)
----------------------------------------------------------------------------------------
Net Asset Value, End of Period............................................ $ 11.93
========================================================================== ========
Total Return.............................................................. 23.61%
----------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..................................... $117,587
Ratio of Expenses to Average Net Assets................................... 0.60%(B)
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption
of Expenses and/or Recovery of Previously Waived Fees and Fees Paid
Indirectly).............................................................. 0.76%(B)
Ratio of Net Investment Income to Average Net Assets...................... 2.61%
Portfolio Turnover Rate................................................... N/A
----------------------------------------------------------------------------------------
WORLD EX U.S. VALUE PORTFOLIO
------------------------------------
YEAR YEAR
ENDED ENDED PERIOD
OCT. 31, OCT. 31, AUG. 23, 2010(A)
2012 2011 TO OCT. 31, 2010
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period...................................... $ 9.96 $ 11.35 $ 10.00
------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................................ 0.29 0.30 0.02
Net Gains (Losses) on Securities (Realized and Unrealized).............. (0.05) (1.35) 1.33
------- ------- -------
Total from Investment Operations....................................... 0.24 (1.05) 1.35
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................... (0.26) (0.26) --
Net Realized Gains...................................................... -- (0.08) --
------- ------- -------
Total Distributions.................................................... (0.26) (0.34) --
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................................ $ 9.94 $ 9.96 $ 11.35
========================================================================== ======== ======== ================
Total Return.............................................................. 2.70% (9.59)% 13.50%(D)
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..................................... $57,197 $47,165 $29,616
Ratio of Expenses to Average Net Assets................................... 0.60%(B) 0.60%(B) 0.90%(B)(C)(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).............................................................. 0.84%(B) 0.91%(B) 1.37%(B)(C)(E)
Ratio of Net Investment Income to Average Net Assets...................... 2.97% 2.64% 0.76%(C)(E)
Portfolio Turnover Rate................................................... N/A N/A N/A
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
142
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD EX WORLD EX
U.S.TARGETED U.S.CORE SELECTIVELY HEDGED
VALUE PORTFOLIO EQUITY PORTFOLIO GLOBAL EQUITY PORTFOLIO
--------------- ---------------- --------------------
PERIOD PERIOD YEAR PERIOD
NOV. 1, 2012(A) APRIL 9, 2013(A) ENDED NOV. 14,2011(A)
TO OCT. 31, TO OCT. 31, OCT. 31, TO OCT. 31,
2013 2013 2013 2012
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................ $ 10.00 $ 10.00 $ 10.87 $ 10.00
------- -------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.20 0.18 0.24 0.22
Net Gains (Losses) on Securities (Realized and Unrealized). 2.46 0.77 2.65 0.87
------- -------- ------- -------
Total from Investment Operations......................... 2.66 0.95 2.89 1.09
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.20) (0.18) (0.10) (0.22)
Net Realized Gains......................................... -- -- (0.03) --
------- -------- ------- -------
Total Distributions...................................... (0.20) (0.18) (0.13) (0.22)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 12.46 $ 10.77 $ 13.63 $ 10.87
=========================================================== =============== ================ ======== ===============
Total Return................................................ 26.90%(D) 9.62%(D) 26.86% 11.11%(D)
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $96,010 $129,720 $91,348 $34,950
Ratio of Expenses to Average Net Assets (B)................. 0.79%(C)(E) 0.47%(C)(E) 0.40% 0.40%(C)(E)
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumption of Expenses and/or Recovery of Previously
Waived Fees) (B)........................................... 1.27%(C)(E) 0.97%(C)(E) 0.72% 1.00%(C)(E)
Ratio of Net Investment Income to Average Net Assets........ 1.78%(C)(E) 3.12%(C)(E) 1.93% 2.13%(C)(E)
Portfolio Turnover Rate..................................... N/A N/A N/A N/A
-------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
143
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 26.06 $ 26.68 $ 30.90 $ 25.23 $ 17.05
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.52 0.55 0.61 0.48 0.42
Net Gains (Losses) on Securities (Realized and Unrealized). 1.17 0.37 (2.53) 6.07 8.42
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 1.69 0.92 (1.92) 6.55 8.84
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.50) (0.50) (0.53) (0.46) (0.41)
Net Realized Gains......................................... (0.28) (1.04) (1.77) (0.42) (0.25)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.78) (1.54) (2.30) (0.88) (0.66)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 26.97 $ 26.06 $ 26.68 $ 30.90 $ 25.23
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 6.58% 4.08% (6.82)% 26.53% 53.39%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $3,655,740 $2,797,177 $2,313,035 $2,372,498 $1,966,288
Ratio of Expenses to Average Net Assets (B).................. 0.57% 0.61% 0.61% 0.60% 0.62%
Ratio of Net Investment Income to Average Net Assets......... 1.97% 2.14% 2.07% 1.76% 2.15%
---------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 20.33 $ 19.85 $ 24.26 $ 17.45 $ 9.33
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.40 0.40 0.42 0.34 0.26
Net Gains (Losses) on Securities (Realized and Unrealized). 1.37 0.83 (3.67) 6.79 8.14
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 1.77 1.23 (3.25) 7.13 8.40
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.39) (0.35) (0.40) (0.32) (0.28)
Net Realized Gains......................................... (0.61) (0.40) (0.76) -- --
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (1.00) (0.75) (1.16) (0.32) (0.28)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 21.10 $ 20.33 $ 19.85 $ 24.26 $ 17.45
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 8.92% 6.71% (14.03)% 41.33% 91.35%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $4,041,863 $2,907,673 $1,832,745 $1,833,038 $1,133,958
Ratio of Expenses to Average Net Assets (B).................. 0.75% 0.82% 0.79% 0.78% 0.80%
Ratio of Net Investment Income to Average Net Assets......... 1.91% 2.01% 1.86% 1.70% 2.05%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
144
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-CLASS R2 SHARES+
---------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
----------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 28.21 $ 29.02 $ 36.35 $ 46.84 $ 85.43
-------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.47 0.50 0.20 0.56 0.56
Net Gains (Losses) on Securities (Realized and Unrealized). 1.68 (0.45) (5.45) 9.18 21.36
-------- ------- ------- ------- -------
Total from Investment Operations.......................... 2.15 0.05 (5.25) 9.74 21.92
----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.50) (0.47) (0.45) (7.12) (6.00)
Net Realized Gains......................................... (0.59) (0.39) (1.63) (13.11) (54.52)
-------- ------- ------- ------- -------
Total Distributions....................................... (1.09) (0.86) (2.08) (20.23) (60.52)
----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 29.27 $ 28.21 $ 29.02 $ 36.35 $ 46.83
============================================================= ======== ======== ======== ======== ========
Total Return................................................. 7.75% 0.43% (15.24)% 29.71% 78.29%
----------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $106,070 $99,111 $78,157 $39,668 $ 5,082
Ratio of Expenses to Average Net Assets (B).................. 0.82% 0.86% 0.86% 0.86% 0.90%
Ratio of Net Investment Income to Average Net Assets......... 1.65% 1.78% 1.56% 1.39% 1.39%
----------------------------------------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 28.22 $ 29.02 $ 36.27 $ 28.90 $ 19.36
----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.55 0.57 0.64 0.45 0.38
Net Gains (Losses) on Securities (Realized and Unrealized). 1.67 (0.44) (5.72) 8.01 12.41
----------- ----------- ----------- ----------- ----------
Total from Investment Operations.......................... 2.22 0.13 (5.08) 8.46 12.79
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.57) (0.54) (0.54) (0.39) (0.34)
Net Realized Gains......................................... (0.59) (0.39) (1.63) (0.70) (2.91)
----------- ----------- ----------- ----------- ----------
Total Distributions....................................... (1.16) (0.93) (2.17) (1.09) (3.25)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 29.28 $ 28.22 $ 29.02 $ 36.27 $ 28.90
============================================================= =========== =========== =========== =========== ==========
Total Return................................................. 8.01% 0.70% (14.84)% 30.04% 78.59%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $19,162,837 $16,589,619 $13,730,213 $11,542,870 $7,401,266
Ratio of Expenses to Average Net Assets (B).................. 0.57% 0.61% 0.61% 0.60% 0.62%
Ratio of Net Investment Income to Average Net Assets......... 1.91% 2.03% 1.88% 1.40% 1.76%
------------------------------------------------------------------------------------------------------------------------------
See page 1 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.
145
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS CORE EQUITY PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................... $ 19.00 $ 18.73 $ 21.31 $ 16.49 $ 9.88
----------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.39 0.41 0.43 0.30 0.25
Net Gains (Losses) on Securities (Realized and Unrealized). 1.07 0.23 (2.65) 4.81 6.56
----------- ---------- ---------- ---------- ----------
Total from Investment Operations......................... 1.46 0.64 (2.22) 5.11 6.81
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.37) (0.37) (0.36) (0.29) (0.20)
----------- ---------- ---------- ---------- ----------
Total Distributions...................................... (0.37) (0.37) (0.36) (0.29) (0.20)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................ $ 20.09 $ 19.00 $ 18.73 $ 21.31 $ 16.49
=========================================================== =========== ========== ========== ========== ==========
Total Return................................................ 7.75% 3.55% (10.59)% 31.30% 69.47%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $13,020,962 $8,594,707 $5,367,473 $4,179,882 $2,455,035
Ratio of Expenses to Average Net Assets..................... 0.63% 0.68% 0.67% 0.65% 0.67%
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumption of Expenses and/or Recovery of Previously
Waived Fees and Fees Paid Indirectly)...................... 0.63% 0.68% 0.68% 0.65% 0.67%
Ratio of Net Investment Income to Average Net Assets........ 1.97% 2.18% 2.04% 1.63% 2.03%
Portfolio Turnover Rate..................................... 1% 1% 1% 4% 6%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
146
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of seventy-six
operational portfolios, of which thirty (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 ("DEM"). 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 three portfolios within the Fund, DFAITC, and
DEM. World ex U.S. Targeted Value Portfolio invests in four portfolios within
the Fund, DFAITC, and DEM. 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 10/31/13
------------ ------------ -----------
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 80%
Japanese Small Company Portfolio The Japanese Small Company Series 18%
Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 26%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2%
Continental Small Company Portfolio The Continental Small Company Series 5%
Emerging Markets Portfolio The Emerging Markets Series 98%
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 95%
The Japanese Small Company Series 82%
The United Kingdom Small Company Series 98%
The Asia Pacific Small Company Series 74%
The Canadian Small Company Series 98%
DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 26%
DFA International Real Estate Securities Portfolio 39%
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 1%
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 1%
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%.
147
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.
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.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Securities held by Enhanced U.S. Large Company Portfolio, U.S. Large Cap
Equity 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
148
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, this ordinarily will be the over-the-counter
market. Securities for which quotations are not readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors/Trustees. These valuations are generally categorized as
Level 2 in 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.
Shares held by the DFA Global Real Estate Securities Portfolio, World ex
U.S. Value Portfolio (except The DFA International Value Series), World ex U.S.
Targeted Value Portfolio (except The Emerging Markets Small Cap Series), World
ex U.S. Core Equity Portfolio and Selectively Hedged Global Equity Portfolio of
the Master Funds, which are treated as regulated investment companies, and the
shares held by the Portfolios in other investment companies, are valued at
their respective daily net asset values as reported by their administrator. The
Feeder Funds, International Small Company Portfolio, World ex U.S. Value
Portfolio and World ex U.S. Targeted Value
149
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.
Transfers between investment levels may occur as the markets fluctuate
and/or the availability of data used in an investment's valuation changes. The
Portfolios recognize transfers between the levels as of the end of the period.
As of October 31, 2013, the Emerging Markets Core Equity Portfolio had
significant transfers of securities with a total value of $925,099 (in
thousands) that transferred from Level 1 to Level 2. At October 31, 2013, the
fair market value of certain securities were adjusted due to developments which
occurred between the time of the close of the foreign markets on which they
trade and the close of business on the NYSE which resulted in their Level 2
classification.
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
fluctuations 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 any foreign withholding taxes recorded on the books of the
International Equity Portfolios and Enhanced U.S. Large Company Portfolio and
the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director/Trustee of the Fund
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first 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
150
selecting a different distribution date). As of October 31, 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 and foreign currency 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% 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 AND ADMINISTRATOR:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to all Portfolios. The Advisor receives no additional compensation for
the investment advisory services it provides to the Feeder Funds. The Advisor
provides administrative services to the Feeder Funds, including supervision of
services provided by others, providing information to shareholders and the
Board, and other administrative services.
For the year ended October 31, 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. Large Cap Equity Portfolio........ 0.15%
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%
151
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 year ended October 31, 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%
* 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, 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 (except for the U.S. Large Cap Equity Portfolio which
will remain in effect through February 28, 2015), and shall continue in effect
from year to year thereafter unless terminated by the Fund or the Advisor. For
the year ended October 31, 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.
152
PREVIOUSLY
RECOVERY WAIVED FEES/
EXPENSE OF PREVIOUSLY EXPENSES ASSUMED
LIMITATION WAIVED FEES/ SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY
-------------------------- ---------- ---------------- -----------------
U.S. Large Cap Equity Portfolio (1).................... 0.19% -- $ 24
U.S. Targeted Value Portfolio (2)...................... 0.50% -- --
U.S. Core Equity 1 Portfolio (3)....................... 0.23% -- --
U.S. Core Equity 2 Portfolio (3)....................... 0.26% -- --
U.S. Vector Equity Portfolio (3)....................... 0.36% -- --
DFA Real Estate Securities Portfolio (3)............... 0.18% -- 842
International Core Equity Portfolio (3)................ 0.49% -- --
International Small Company Portfolio (4).............. 0.45% -- --
Japanese Small Company Portfolio (5)................... 0.47% -- --
Asia Pacific Small Company Portfolio (5)............... 0.47% -- --
United Kingdom Small Company Portfolio (5)............. 0.47% -- 32
Continental Small Company Portfolio (5)................ 0.47% -- --
DFA International Real Estate Securities Portfolio (3). 0.65% -- --
DFA Global Real Estate Securities Portfolio (6)........ 0.32% -- 9,145
International Vector Equity Portfolio (3).............. 0.60% -- --
World ex U.S. Value Portfolio (7)...................... 0.60% $ 8 411
World ex U.S. Targeted Value Portfolio (8)............. 0.80% -- 270
World ex U.S. Core Equity Portfolio (9)................ 0.47% -- 170
Selectively Hedged Global Equity Portfolio (10)........ 0.40% 1 367
Emerging Markets Core Equity Portfolio (3)............. 0.85% -- --
CLASS R1 SHARES
---------------
U.S. Targeted Value Portfolio (2)...................... 0.62% -- --
CLASS R2 SHARES
---------------
U.S. Targeted Value Portfolio (2)...................... 0.77% -- --
Emerging Markets Value Portfolio (11).................. 0.96% -- --
(1) The Advisor has contractually agreed to waive all or a portion of its
management fee and assume the ordinary operating expenses of a class of the
Portfolio (excluding the expenses that the Portfolio incurs indirectly 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 a class of the Portfolio to the rate listed above as a percentage
of average net assets on an annualized basis (the "Expense Limitation Amount").
The Fee Waiver and Expense Assumption Agreement for the Portfolio will remain
in effect through February 28, 2015, and may only be terminated by the Fund's
Board of Directors prior to that date. At any time that the Portfolio's
annualized Portfolio Expenses are less than the Portfolio's Expense Limitation
Amount, described 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 of a
class of the Portfolio to exceed the Expense Limitation Amount, as listed above.
(2) 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.
153
(3) 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 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.
(4) 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.
(5) 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.
(6) 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.
(7) 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
154
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 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.
(8) 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.
(9) 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.
(10) The Advisor has contractually agreed to waive up to the full amount of
the Portfolio's management fee of 0.30% to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through its
investment in its Master Funds. In addition, under the Fee Waiver and Expense
Assumption Agreement, the Advisor has also agreed to waive all or a portion of
the management fee and to assume the ordinary operating expenses of a class of
the Portfolio (including expenses incurred through its investment in other
investment companies but excluding any applicable 12b-1 fees) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a class
of the Portfolio to the rate listed above as a percentage of average net assets
of a class of the Portfolio on an annualized basis (the "Expense Limitation
Amount"). At any time that the Portfolio Expenses of a class of the Portfolio
are less than the Expense Limitation Amount for 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.
(11) 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
155
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 the
accompanying financial statements is presented before reduction for credits.
During the year ended October 31, 2013, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
Enhanced U.S. Large Company Portfolio.............. $ 4
Large Cap International Portfolio.................. 9
International Core Equity Portfolio................ 31
International Small Company Portfolio.............. --
DFA International Real Estate Securities Portfolio. 18
DFA International Small Cap Value Portfolio........ 23
International Vector Equity Portfolio.............. 5
World ex U.S. Value Portfolio...................... --
World ex U.S. Targeted Value Portfolio............. --
World ex U.S. Core Equity Portfolio................ --
Selectively Hedged Global Equity Portfolio......... --
Emerging Markets Core Equity Portfolio............. 167
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the year ended October 31, 2013, the total
related amounts paid by the Fund to the CCO were $250 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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. $ 7
U.S. Large Cap Equity Portfolio....... --
U.S. Large Cap Value Portfolio........ 263
U.S. Targeted Value Portfolio......... 74
U.S. Small Cap Value Portfolio........ 248
U.S. Core Equity 1 Portfolio.......... 108
U.S. Core Equity 2 Portfolio.......... 178
U.S. Vector Equity Portfolio.......... 55
U.S. Small Cap Portfolio.............. 123
U.S. Micro Cap Portfolio.............. 125
DFA Real Estate Securities Portfolio.. 94
Large Cap International Portfolio..... 61
International Core Equity Portfolio... 165
International Small Company Portfolio. 184
Japanese Small Company Portfolio...... 7
Asia Pacific Small Company Portfolio.. 5
156
United Kingdom Small Company Portfolio............. $ 1
Continental Small Company Portfolio................ 4
DFA International Real Estate Securities Portfolio. 33
DFA Global Real Estate Securities Portfolio........ 22
DFA International Small Cap Value Portfolio........ 276
International Vector Equity Portfolio.............. 13
World ex U.S. Value Portfolio...................... 1
World ex U.S. Targeted Value Portfolio............. --
World ex U.S. Core Equity Portfolio................ --
Selectively Hedged Global Equity Portfolio......... --
Emerging Markets Portfolio......................... 84
Emerging Markets Small Cap Portfolio............... 58
Emerging Markets Value Portfolio................... 353
Emerging Markets Core Equity Portfolio............. 153
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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.............. $151,334 $44,551 $ 153,335 $ 208,659
U.S. Large Cap Equity Portfolio.................... -- -- 123,827 341
U.S. Targeted Value Portfolio...................... -- -- 673,167 582,344
U.S. Small Cap Value Portfolio..................... -- -- 1,129,770 1,149,875
U.S. Core Equity 1 Portfolio....................... -- -- 1,216,828 65,417
U.S. Core Equity 2 Portfolio....................... -- -- 1,058,546 208,354
U.S. Vector Equity Portfolio....................... -- -- 277,739 84,963
U.S. Small Cap Portfolio........................... -- -- 1,734,923 561,016
U.S. Micro Cap Portfolio........................... -- -- 496,354 457,111
DFA Real Estate Securities Portfolio............... -- -- 767,339 51,303
Large Cap International Portfolio.................. -- -- 365,229 125,888
International Core Equity Portfolio................ -- -- 1,508,927 246,598
DFA International Real Estate Securities Portfolio. -- -- 615,805 83,893
DFA International Small Cap Value Portfolio........ -- -- 926,091 901,431
International Vector Equity Portfolio.............. -- -- 371,084 14,367
Emerging Markets Core Equity Portfolio............. -- -- 3,914,246 113,118
For the year ended October 31, 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
AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------- -------- ----------------
DFA Real Estate Securities
Portfolio....................... $777,963 $1,235,206 $419,586 $21,153 $22,778 --
DFA International Real Estate
Securities Portfolio............ 531,474 842,644 341,749 27,985 62,476 --
WORLD EX U.S. VALUE PORTFOLIO
-----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------- -------- ----------------
DFA International Small Cap Value
Portfolio....................... $ 4,703 $ 10,626 $ 4,213 $ 453 $ 139 $64
157
WORLD EX U.S. TARGETED VALUE PORTFOLIO (A)
----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------ -------- ----------------
DFA International Small Cap Value
Portfolio........................... -- $59,508 $49,813 $ 971 $635 $184
International Vector Equity Portfolio. -- 8,639 7,534 108 118 7
WORLD EX U.S. CORE EQUITY PORTFOLIO (B)
----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------ -------- ----------------
International Core Equity Portfolio... -- $99,732 $93,693 $3,599 $918 $ --
Emerging Markets Core Equity
Portfolio........................... -- 29,703 29,851 2,199 257 --
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
----------------------------------------------------------------
BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF
AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS
------------------------------- ---------- ---------- --------- ------ -------- ----------------
U.S. Core Equity 2 Portfolio.......... $14,297 $37,594 $17,321 $1,223 $429 $115
International Core Equity Portfolio... 12,942 34,847 17,035 385 694 --
Emerging Markets Core Equity
Portfolio........................... 6,554 15,187 9,122 771 228 --
(a)The Portfolio commenced operations on November 1, 2012.
(b)The Portfolio commenced operations on April 9, 2013.
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2013, primarily attributable to realized gains on
securities considered to be "passive foreign investment companies",
non-deductible expenses, realized foreign capital gains tax, tax-equalization,
non-deductible 90 day stock issuance cost, 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. $(41) $(1,482) $1,523
U.S. Large Cap Equity Portfolio....... (11) 11 --
U.S. Large Cap Value Portfolio........ -- -- --
158
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS (LOSSES)
--------------- -------------- --------------
U.S. Targeted Value Portfolio...................... $32,363 $ (3,552) $(28,811)
U.S. Small Cap Value Portfolio..................... 30,865 (6,020) (24,845)
U.S. Core Equity 1 Portfolio....................... -- 73 (73)
U.S. Core Equity 2 Portfolio....................... 7,427 (4,267) (3,160)
U.S. Vector Equity Portfolio....................... 3,066 (1,370) (1,696)
U.S. Small Cap Portfolio........................... 14,889 (3,327) (11,562)
U.S. Micro Cap Portfolio........................... 13,457 (2,061) (11,396)
DFA Real Estate Securities Portfolio............... 92 8,126 (8,218)
Large Cap International Portfolio.................. -- (48) 48
International Core Equity Portfolio................ -- (1,269) 1,269
International Small Company Portfolio.............. 19,041 2,378 (21,419)
Japanese Small Company Portfolio................... (3,055) 1,185 1,870
Asia Pacific Small Company Portfolio............... -- 1,717 (1,717)
United Kingdom Small Company Portfolio............. -- -- --
Continental Small Company Portfolio................ -- 11 (11)
DFA International Real Estate Securities Portfolio. -- 7,155 (7,155)
DFA Global Real Estate Securities Portfolio........ -- -- --
DFA International Small Cap Value Portfolio........ 20,991 (9,402) (11,589)
International Vector Equity Portfolio.............. 640 (330) (310)
World ex U.S. Value Portfolio...................... -- 5 (5)
World ex U.S. Targeted Value Portfolio............. 39 (1) (38)
World ex U.S. Core Equity Portfolio................ (9) 10 (1)
Selectively Hedged Global Equity Portfolio......... -- 237 (237)
Emerging Markets Portfolio......................... 4,120 (3,230) (890)
Emerging Markets Small Cap Portfolio............... -- (74) 74
Emerging Markets Value Portfolio................... 30,746 (10,346) (20,400)
Emerging Markets Core Equity Portfolio............. -- (1,813) 1,813
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2012 and October 31, 2013 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
2012.................................. $ 2,785 $ 2,785
2013.................................. 1,597 -- 1,597
U.S. Large Cap Equity Portfolio
2013.................................. 321 -- 321
U.S. Large Cap Value Portfolio
2012.................................. 150,153 150,153
2013.................................. 180,943 -- 180,943
U.S. Targeted Value Portfolio
2012.................................. 27,304 $ 31,976 59,280
2013.................................. 55,372 162,209 217,581
U.S. Small Cap Value Portfolio
2012.................................. 56,139 122,752 178,891
2013.................................. 112,970 380,218 493,188
159
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
U.S. Core Equity 1 Portfolio
2012............................................... $ 76,278 $ 76,278
2013............................................... 105,633 -- 105,633
U.S. Core Equity 2 Portfolio
2012............................................... 103,512 $ 2,008 105,520
2013............................................... 143,640 55,772 199,412
U.S. Vector Equity Portfolio
2012............................................... 29,237 337 29,574
2013............................................... 34,959 3,507 38,466
U.S. Small Cap Portfolio
2012............................................... 44,580 14,276 58,856
2013............................................... 83,270 228,671 311,941
U.S. Micro Cap Portfolio
2012............................................... 33,018 14,720 47,738
2013............................................... 46,915 176,365 223,280
DFA Real Estate Securities Portfolio
2012............................................... 103,653 103,653
2013............................................... 102,731 -- 102,731
Large Cap International Portfolio
2012............................................... 60,808 60,808
2013............................................... 70,787 -- 70,787
International Core Equity Portfolio
2012............................................... 179,492 179,492
2013............................................... 214,687 -- 214,687
International Small Company Portfolio
2012............................................... 169,495 110,049 279,544
2013............................................... 159,066 39,012 198,078
Japanese Small Company Portfolio
2012............................................... 4,541 4,541
2013............................................... 2,836 -- 2,836
Asia Pacific Small Company Portfolio
2012............................................... 9,333 9,333
2013............................................... 7,603 -- 7,603
United Kingdom Small Company Portfolio
2012............................................... 992 992
2013............................................... 953 -- 953
Continental Small Company Portfolio
2012............................................... 2,958 2,958
2013............................................... 2,834 -- 2,834
DFA International Real Estate Securities Portfolio
2012............................................... 60,194 60,194
2013............................................... 181,848 -- 181,848
DFA Global Real Estate Securities Portfolio
2012............................................... 26,050 26,050
2013............................................... 84,341 -- 84,341
DFA International Small Cap Value Portfolio
2012............................................... 206,370 131,063 337,433
2013............................................... 198,381 117,102 315,483
160
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
International Vector Equity Portfolio
2012....................................... $ 14,733 $ 6,546 $ 21,279
2013....................................... 17,456 2,044 19,500
World ex U.S. Value Portfolio
2012....................................... 1,438 1,438
2013....................................... 2,334 -- 2,334
World ex U.S. Targeted Value Portfolio
2013....................................... 993 -- 993
World ex U.S. Core Equity Portfolio
2013....................................... 1,171 -- 1,171
Selectively Hedged Global Equity Portfolio
2012....................................... 534 534
2013....................................... 373 56 429
Emerging Markets Portfolio
2012....................................... 51,664 91,664 143,328
2013....................................... 59,866 30,527 90,393
Emerging Markets Small Cap Portfolio
2012....................................... 42,163 40,014 82,177
2013....................................... 71,149 92,100 163,249
Emerging Markets Value Portfolio
2012....................................... 300,146 202,987 503,133
2013....................................... 357,501 344,531 702,032
Emerging Markets Core Equity Portfolio
2012....................................... 143,349 143,349
2013....................................... 205,400 -- 205,400
U.S. Large Cap Equity Portfolio commenced operations on June 25, 2013 and
did not pay any distributions for the year ended October 31, 2012. World ex
U.S. Targeted Value Portfolio commenced operations on November 1, 2012 and did
not pay any distributions for the year ended October 31, 2012. World ex U.S.
Core Equity Portfolio commenced operations on April 9, 2013 and did not pay any
distributions for the year ended October 31, 2012.
At October 31, 2013, 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
-------------- ------------- -------
Enhanced U.S. Large Company Portfolio....... -- -- --
U.S. Large Cap Equity Portfolio............. -- -- --
U.S. Large Cap Value Portfolio.............. -- -- --
U.S. Targeted Value Portfolio............... $ 6,274 $26,089 $32,363
U.S. Small Cap Value Portfolio.............. 6,218 24,617 30,865
U.S. Core Equity 1 Portfolio................ -- -- --
U.S. Core Equity 2 Portfolio................ 4,443 2,984 7,427
U.S. Vector Equity Portfolio................ 1,506 1,560 3,066
U.S. Small Cap Portfolio.................... 4,483 10,405 14,888
U.S. Micro Cap Portfolio.................... 3,060 10,398 13,458
International Small Company Portfolio....... 10,055 8,986 19,041
DFA International Small Cap Value Portfolio. 14,657 6,334 20,991
161
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -------
International Vector Equity Portfolio.. $ 473 $ 167 $ 640
World ex U.S. Targeted Value Portfolio. 26 26 52
Emerging Markets Portfolio............. 3,106 1,014 4,120
Emerging Markets Value Portfolio....... 18,634 12,112 30,746
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFOWARD (DEPRECIATION) LOSSES)
-------------- ------------- ------------ -------------- -------------
Enhanced U.S. Large Company Portfolio....... -- -- $ (1,059) $ 3,933 $ 2,874
U.S. Large Cap Equity Portfolio............. $ 317 -- -- 10,560 10,877
U.S. Large Cap Value Portfolio.............. 28,647 -- (512,898) 4,225,900 3,741,649
U.S. Targeted Value Portfolio............... 17,027 $237,247 -- 1,330,412 1,584,686
U.S. Small Cap Value Portfolio.............. 18,970 443,687 -- 2,850,347 3,313,004
U.S. Core Equity 1 Portfolio................ 15,136 34,837 -- 2,298,101 2,348,074
U.S. Core Equity 2 Portfolio................ 19,964 98,716 -- 3,166,130 3,284,810
U.S. Vector Equity Portfolio................ 5,402 38,796 -- 926,605 970,803
U.S. Small Cap Portfolio.................... 25,516 218,763 -- 2,182,172 2,426,451
U.S. Micro Cap Portfolio.................... 17,211 200,725 -- 1,610,873 1,828,809
DFA Real Estate Securities Portfolio........ 32,487 -- (179,405) 1,274,703 1,127,785
Large Cap International Portfolio........... 9,261 -- (212,195) 612,594 409,660
International Core Equity Portfolio......... 41,670 -- (113,295) 1,437,552 1,367,061
International Small Company Portfolio....... 118,814 211,281 -- 1,566,261 1,896,356
Japanese Small Company Portfolio............ 11,490 -- (66,522) 16,667 (38,365)
Asia Pacific Small Company Portfolio........ 11,406 -- (26,597) 24,537 9,346
United Kingdom Small Company Portfolio...... 447 406 -- 13,794 14,647
Continental Small Company Portfolio......... 319 -- (26,529) 38,434 12,224
DFA International Real Estate Securities
Portfolio................................. 91,532 -- (206,697) (5,808) (120,973)
DFA Global Real Estate Securities Portfolio. 11,647 -- (808) 333,050 343,889
DFA International Small Cap Value
Portfolio................................. 145,446 127,002 -- 1,923,377 2,195,825
International Vector Equity Portfolio....... 5,884 7,263 -- 218,801 231,948
World ex U.S. Value Portfolio............... 353 -- (2,715) 14,956 12,594
World ex U.S. Targeted Value Portfolio...... 144 1,141 -- 11,475 12,760
World ex U.S. Core Equity Portfolio......... 62 -- -- 11,626 11,688
Selectively Hedged Global Equity Portfolio.. 1,700 537 -- 15,002 17,239
Emerging Markets Portfolio.................. 13,976 21,322 -- 1,122,953 1,158,251
Emerging Markets Small Cap Portfolio........ 27,935 63,092 -- 422,604 513,631
Emerging Markets Value Portfolio............ 128,578 263,757 -- 298,709 691,044
Emerging Markets Core Equity Portfolio...... 55,409 -- (51,641) 1,198,159 1,201,927
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
162
enactment. As of October 31, 2013, the Portfolios had the following capital
loss carryforwards available to offset future realized capital gains through
the indicated expiration dates (amounts in thousands):
EXPIRES ON OCTOBER 31,
-----------------------------------------------------------------
2014 2015 2016 2017 2018 2019 UNLIMITED TOTAL
------ ------ ------- -------- ------- ------- --------- --------
Enhanced U.S. Large Company Portfolio....... -- $1,059 -- -- -- -- -- $ 1,059
U.S. Large Cap Equity Portfolio............. -- -- -- -- -- -- -- --
U.S. Large Cap Value Portfolio.............. -- -- -- $512,898 -- -- -- 512,898
U.S. Targeted Value Portfolio............... -- -- -- -- -- -- -- --
U.S. Small Cap Value Portfolio.............. -- -- -- -- -- -- -- --
U.S. Core Equity 1 Portfolio................ -- -- -- -- -- -- -- --
U.S. Core Equity 2 Portfolio................ -- -- -- -- -- -- -- --
U.S. Vector Equity Portfolio................ -- -- -- -- -- -- -- --
U.S. Small Cap Portfolio.................... -- -- -- -- -- -- -- --
U.S. Micro Cap Portfolio.................... -- -- -- -- -- -- -- --
DFA Real Estate Securities Portfolio........ -- -- $45,525 62,969 $44,388 $26,523 -- 179,405
Large Cap International Portfolio........... -- -- 19,004 135,392 14,311 12,549 $30,938 212,194
International Core Equity Portfolio......... -- -- -- 53,176 -- -- 60,119 113,295
International Small Company Portfolio....... -- -- -- -- -- -- -- --
Japanese Small Company Portfolio............ $2,451 8,003 23,057 13,952 12,208 5,543 1,308 66,522
Asia Pacific Small Company Portfolio........ -- -- 16,317 8,261 -- -- 2,019 26,597
United Kingdom Small Company Portfolio...... -- -- -- -- -- -- -- --
Continental Small Company Portfolio......... -- -- 13,544 7,224 5,252 -- 509 26,529
DFA International Real Estate Securities
Portfolio.................................. -- 46 13,446 34,576 38,689 69,466 50,474 206,697
DFA Global Real Estate Securities Portfolio. -- -- -- -- 808 -- -- 808
DFA International Small Cap Value Portfolio. -- -- -- -- -- -- -- --
International Vector Equity Portfolio....... -- -- -- -- -- -- -- --
World ex U.S. Value Portfolio............... -- -- -- -- -- 2,715 -- 2,715
World ex U.S. Targeted Value Portfolio...... -- -- -- -- -- -- -- --
World ex U.S. Core Equity Portfolio......... -- -- -- -- -- -- -- --
Selectively Hedged Global Equity Portfolio.. -- -- -- -- -- -- -- --
Emerging Markets Portfolio.................. -- -- -- -- -- -- -- --
Emerging Markets Small Cap Portfolio........ -- -- -- -- -- -- -- --
Emerging Markets Value Portfolio............ -- -- -- -- -- -- -- --
Emerging Markets Core Equity Portfolio...... -- -- 7,080 26,444 -- -- 18,117 51,641
During the year ended October 31, 2013, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amount in thousands):
Enhanced U.S. Large Company Portfolio....... $ 45,882
U.S. Large Cap Value Portfolio.............. 819,591
U.S. Core Equity 1 Portfolio................ 13,834
DFA Real Estate Securities Portfolio........ 27,388
Japanese Small Company Portfolio............ 4,124
United Kingdom Small Company Portfolio...... 2,141
Continental Small Company Portfolio......... 2,316
DFA Global Real Estate Securities Portfolio. 308
World ex U.S. Value Portfolio............... 3,127
163
At October 31, 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.... $ 207,573 $ 4,057 $ (82) $ 3,975
U.S. Large Cap Equity Portfolio.......... 159,514 11,436 (877) 10,560
U.S. Large Cap Value Portfolio........... 7,741,219 4,225,900 -- 4,225,900
U.S. Targeted Value Portfolio............ 3,496,204 1,435,154 (104,742) 1,330,412
U.S. Small Cap Value Portfolio........... 8,187,279 3,454,059 (603,712) 2,850,347
U.S. Core Equity 1 Portfolio............. 6,003,068 2,442,119 (144,018) 2,298,101
U.S. Core Equity 2 Portfolio............. 7,894,380 3,482,335 (315,964) 3,166,371
U.S. Vector Equity Portfolio............. 2,351,458 1,047,537 (120,932) 926,605
U.S. Small Cap Portfolio................. 6,999,688 2,475,586 (293,395) 2,182,190
U.S. Micro Cap Portfolio................. 3,920,122 1,980,490 (369,598) 1,610,891
DFA Real Estate Securities Portfolio..... 3,910,757 1,317,277 (65,498) 1,251,778
Large Cap International Portfolio........ 2,379,895 784,229 (171,697) 612,532
International Core Equity Portfolio...... 9,076,319 2,173,008 (734,399) 1,437,474
International Small Company Portfolio.... 6,943,164 1,566,243 -- 1,566,243
Japanese Small Company Portfolio......... 397,615 16,680 -- 16,680
Asia Pacific Small Company Portfolio..... 306,757 24,534 -- 24,534
United Kingdom Small Company Portfolio... 23,323 13,791 -- 13,791
Continental Small Company Portfolio...... 132,494 38,306 -- 38,306
DFA International Real Estate Securities
Portfolio.............................. 2,324,655 56,716 (62,535) (5,719)
DFA Global Real Estate Securities
Portfolio.............................. 1,753,497 333,050 -- 333,050
DFA International Small Cap Value
Portfolio.............................. 10,242,293 3,483,706 -- 1,923,255
International Vector Equity Portfolio.... 982,267 260,467 (41,679) 218,775
World ex U.S. Value Portfolio............ 102,466 14,988 -- 14,988
World ex U.S. Targeted Value Portfolio... 84,463 11,475 (327) 11,475
World ex U.S. Core Equity Portfolio...... 117,808 11,626 -- 11,626
Selectively Hedged Global Equity
Portfolio.............................. 72,621 15,168 -- 15,168
Emerging Markets Portfolio............... 2,530,894,936 1,122,991,971 -- 1,122,991,971
Emerging Markets Small Cap Portfolio..... 3,614,485 422,694 -- 422,694
Emerging Markets Value Portfolio......... 18,957,804 298,621 -- 298,621
Emerging Markets Core Equity Portfolio... 13,076,862 2,341,323 (1,143,120) 1,198,303
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 each Portfolio's
tax positions and has concluded that no additional provision for income tax is
required in any Portfolio's financial statements. No Portfolio is aware of any
tax positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each of the Portfolio's federal tax returns for the prior three fiscal years
remain subject to examination by the Internal Revenue Service.
164
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in thousands):
YEAR ENDED YEAR ENDED
OCT. 31, 2013 OCT. 31, 2012
--------------------- --------------------
AMOUNT SHARES AMOUNT SHARES
----------- -------- ----------- -------
U.S. TARGETED VALUE PORTFOLIO
Class R1 Shares
Shares Issued........................................ $ 9,003 477 $ 5,787 353
Shares Issued in Lieu of Cash Distributions.......... 3,423 205 730 48
Shares Redeemed...................................... (61,998) (3,124) (7,953) (486)
----------- -------- ----------- -------
Net Increase (Decrease) -- Class R1 Shares............ $ (49,572) (2,442) $ (1,436) (85)
=========== ======== =========== =======
Class R2 Shares
Shares Issued........................................ $ 10,505 520 $ 4,727 288
Shares Issued in Lieu of Cash Distributions.......... 923 55 162 11
Shares Redeemed...................................... (5,597) (281) (4,413) (273)
----------- -------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 5,831 294 $ 476 26
=========== ======== =========== =======
Institutional Class Shares
Shares Issued........................................ $ 1,049,705 53,476 $ 772,443 47,901
Shares Issued in Lieu of Cash Distributions.......... 189,447 11,289 39,875 2,618
Shares Redeemed...................................... (1,045,053) (52,845) (649,785) (39,847)
----------- -------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 194,099 11,920 $ 162,533 10,672
=========== ======== =========== =======
EMERGING MARKETS VALUE PORTFOLIO
Class R2 Shares
Shares Issued........................................ $ 27,484 947 $ 61,477 2,199
Shares Issued in Lieu of Cash Distributions.......... 3,927 137 2,784 106
Shares Redeemed...................................... (27,940) (973) (40,795) (1,486)
----------- -------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 3,471 111 $ 23,466 819
=========== ======== =========== =======
Institutional Class Shares
Shares Issued........................................ $ 4,212,669 148,010 $ 5,047,163 179,634
Shares Issued in Lieu of Cash Distributions.......... 652,656 22,854 436,347 16,644
Shares Redeemed...................................... (2,940,034) (104,206) (2,278,812) (81,493)
----------- -------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 1,925,291 66,658 $ 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 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
165
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
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 Portfolios may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
3. FORWARD CURRENCY CONTRACTS: Enhanced U.S. Large Company Portfolio and
Selectively Hedged Global Equity Portfolio may enter into forward currency
contracts to hedge against adverse changes in the relationship of the U.S.
dollar to foreign currencies (foreign exchange rate risk). The decision to
hedge a Portfolio's currency exposure with respect to a foreign market will be
based primarily on the Portfolio's existing exposure to a given foreign
currency. Each contract is valued daily and the change in value is recorded by
the Portfolio as an unrealized gain or loss, which is presented in the
Statements of Operations as the change in unrealized appreciation or
depreciation from translation of foreign currency denominated amounts. When the
contract is closed or offset with the same counterparty, the Portfolio records
a realized gain or loss equal to the change in the value of the contract when
it was opened and the value at the time it was closed or offset. This is
presented in the Statements of Operations as a net realized gain or loss on
foreign currency transactions. At October 31, 2013, 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 OCTOBER 31, 2013 GAIN (LOSS)
---------- -------- -------- -------- ---------------- -----------
11/13/13 8,387 Euro $ 11,342 $ 11,387 $ 45
11/13/13 8,294 Euro 11,270 11,260 (10)
11/13/13 (2,071) Euro (2,799) (2,811) (12)
166
UNREALIZED
FOREIGN
SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE
DATE AMOUNT** CURRENCY AMOUNT OCTOBER 31, 2013 GAIN (LOSS)
---------- -------- ------------------ -------- ---------------- -----------
11/13/13 (2,124) Euro $ (2,893) $ (2,884) $ 9
11/13/13 (4,078) Euro (5,518) (5,537) (19)
11/13/13 (8,408) Euro (11,145) (11,416) (271)
11/04/13 6,278 New Zealand Dollar 5,183 5,185 2
11/04/13 (4,082) New Zealand Dollar (3,367) (3,371) (4)
11/04/13 (6,273) New Zealand Dollar (5,211) (5,181) 30
12/05/13 (6,287) New Zealand Dollar (5,180) (5,182) (2)
11/12/13 (3,096) UK Pound Sterling (4,979) (4,964) 15
-------- -------- -----
$(13,297) $(13,514) $(217)
======== ======== =====
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO*
UNREALIZED
FOREIGN
SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE
DATE AMOUNT** CURRENCY AMOUNT OCTOBER 31, 2013 GAIN (LOSS)
---------- -------- ---------------- -------- ---------------- -----------
11/19/13 (1,991) Denmark Krone $ (359) $ (364) $ (5)
12/09/13 (5,621) Euro (7,646) (7,632) 14
11/15/13 (19,866) Hong Kong Dollar (2,562) (2,562) --
12/30/13 (586,231) Japanese Yen (6,040) (5,964) 76
12/13/13 (1,885) Swiss Franc (2,021) (2,078) (57)
-------- -------- ----
$(18,628) $(18,600) $ 28
======== ======== ====
* During the year ended October 31, 2013, Enhanced U.S. Large Company
Portfolio's and Selectively Hedged Global Equity Portfolio's average contract
amount of forward currency contracts was $70,028 and $14,609 (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 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.
167
At October 31, 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) 12/20/13 467 $204,429 $7,914 --
Selectively Hedged Global
Equity Portfolio........ S&P 500 Index(R) Emini 12/20/13 39 3,414 133 $160
Securities have been segregated as collateral for open futures contracts.
* During the year ended October 31, 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
$187,291 and $2,501 (in thousands), respectively.
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of October 31, 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 October 31, 2013 (amounts in
thousands):
ASSET DERIVATIVES VALUE
-----------------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE EQUITY
OCTOBER 31, 2013 CONTRACTS CONTRACTS
- ---------------- --------- ---------
Enhanced U.S. Large Company Portfolio...... $8,015 $ 101 $7,914*
Selectively Hedged Global Equity Portfolio. 223 90 133*
LIABILITY DERIVATIVES VALUE
-----------------------------------
TOTAL VALUE FOREIGN
AT EXCHANGE EQUITY
OCTOBER 31, 2013 CONTRACTS CONTRACTS
- ---------------- --------- ---------
Enhanced U.S. Large Company Portfolio...... $ (318) $(318) --
Selectively Hedged Global Equity Portfolio. (62) (62) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
The following is a summary of the location on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolios' derivative instrument holdings through the year ended October 31,
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
168
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2013 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES RECOGNIZED IN INCOME
-------------------------------
FOREIGN
EXCHANGE EQUITY
TOTAL CONTRACTS CONTRACTS
------- --------- ---------
Enhanced U.S. Large Company Portfolio............... $39,706 $(738) $40,444
U.S. Targeted Value Portfolio*...................... 4,864 -- 4,864
U.S. Small Cap Value Portfolio*..................... 4,175 -- 4,175
U.S. Vector Equity Portfolio*....................... (48) -- (48)
U.S. Small Cap Portfolio*........................... (331) -- (331)
U.S. Micro Cap Portfolio*........................... (423) -- (423)
International Small Company Portfolio*.............. (29) -- (29)
Continental Small Company Portfolio*................ 29 -- 29
DFA International Real Estate Securities Portfolio*. 888 -- 888
Selectively Hedged Global Equity Portfolio.......... 813 268 545
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............... $ 6,052 $ 964 $ 5,088
Selectively Hedged Global Equity Portfolio.......... 272 122 150
* As of October 31, 2013, there were no futures contracts outstanding. During
the year ended October 31, 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.
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 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
169
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 year ended October 31, 2013, borrowings by the Portfolios under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE LOAN DAYS EXPENSE BORROWED DURING
INTEREST RATE BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
U.S. Targeted Value Portfolio............... 0.91% $ 4,884 14 $ 2 $10,912
U.S. Small Cap Value Portfolio.............. 0.87% 3,717 17 2 10,728
U.S. Core Equity 1 Portfolio................ 0.86% 5,556 13 2 12,118
U.S. Core Equity 2 Portfolio................ 0.85% 11,512 12 3 26,857
U.S. Small Cap Portfolio.................... 0.91% 4,540 1 -- 4,540
U.S. Micro Cap Portfolio.................... 0.85% 3,328 23 2 7,874
DFA Real Estate Securities Portfolio........ 0.89% 3,978 11 1 7,104
Large Cap International Portfolio........... 0.88% 24,396 15 9 37,795
International Core Equity Portfolio......... 0.87% 17,268 21 9 45,610
International Small Company Portfolio....... 0.83% 4,193 1 -- 4,193
DFA International Real Estate Securities
Portfolio................................. 0.83% 358 1 -- 358
DFA Global Real Estate Securities Portfolio. 0.83% 1,195 3 -- 1,573
DFA International Small Cap Value Portfolio. 0.85% 18,409 90 39 58,797
International Vector Equity Portfolio....... 0.85% 1,225 8 -- 2,787
World ex U.S. Value Portfolio............... 0.87% 834 22 -- 5,473
World ex U.S. Targeted Value Portfolio...... 0.84% 426 9 -- 1,067
World ex U.S. Core Equity Portfolio......... 0.84% 312 20 -- 1,484
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2013, that each Portfolio's available line
of credit was utilized.
At October 31, 2013 only the DFA International Small Cap Value Portfolio had
outstanding borrowings under the lines of credit of $4,016 (in thousands).
J. SECURITIES LENDING:
As of October 31, 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
--------
Large Cap International Portfolio.................. $ 19,115
International Core Equity Portfolio................ 54,401
DFA International Real Estate Securities Portfolio. 1,189
DFA International Small Cap Value Portfolio........ 42,290
International Vector Equity Portfolio.............. 5,783
Emerging Markets Core Equity Portfolio............. 374,335
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
170
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.
L. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
M. RECENTLY ISSUED ACCOUNTING STANDARDS:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's financial statements to understand the effect of those arrangements on
its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as
applying to derivatives accounted for in accordance with Topic 815, Derivatives
and Hedging, including bifurcated embedded derivatives, repurchase agreements
and reverse repurchase agreements, and securities borrowing and securities
lending transactions that are offset either in accordance with other
requirements of GAAP or subject to an enforceable master netting arrangement or
similar agreement. ASU No. 2011-11 is effective for annual periods beginning on
or after January 1, 2013, and interim periods within those annual periods.
Management is evaluating any impact ASU No. 2011-11 may have on the financial
statements.
N. OTHER:
At October 31, 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.
171
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
Enhanced U.S. Large Company Portfolio -- Institutional Class
Shares............................................................ 5 85%
U.S. Large Cap Equity Portfolio -- Institutional Class Shares....... 3 99%
U.S. Large Cap Value Portfolio -- Institutional Class Shares........ 3 73%
U.S. Targeted Value Portfolio -- Class R1 Shares.................... 4 95%
U.S. Targeted Value Portfolio -- Class R2 Shares.................... 6 81%
U.S. Targeted Value Portfolio -- Institutional Class Shares......... 3 62%
U.S. Small Cap Value Portfolio -- Institutional Class Shares........ 3 60%
U.S. Core Equity 1 Portfolio -- Institutional Class Shares.......... 4 74%
U.S. Core Equity 2 Portfolio -- Institutional Class Shares.......... 6 81%
U.S. Vector Equity Portfolio -- Institutional Class Shares.......... 5 95%
U.S. Small Cap Portfolio -- Institutional Class Shares.............. 3 48%
U.S. Micro Cap Portfolio -- Institutional Class Shares.............. 4 70%
DFA Real Estate Securities Portfolio -- Institutional Class
Shares............................................................ 4 85%
Large Cap International Portfolio -- Institutional Class Shares..... 3 69%
International Core Equity Portfolio -- Institutional Class Shares... 4 75%
International Small Company Portfolio -- Institutional Class
Shares............................................................ 4 57%
Japanese Small Company Portfolio -- Institutional Class Shares...... 4 82%
Asia Pacific Small Company Portfolio -- Institutional Class
Shares............................................................ 3 87%
United Kingdom Small Company Portfolio -- Institutional Class
Shares............................................................ 3 94%
Continental Small Company Portfolio -- Institutional Class
Shares............................................................ 5 95%
DFA International Real Estate Securities Portfolio -- Institutional
Class Shares...................................................... 4 93%
DFA Global Real Estate Securities Portfolio -- Institutional Class
Shares............................................................ 3 82%
DFA International Small Cap Value Portfolio -- Institutional Class
Shares............................................................ 3 57%
International Vector Equity Portfolio -- Institutional Class
Shares............................................................ 4 87%
World ex U.S. Value Portfolio -- Institutional Class Shares......... 5 84%
World ex U.S. Targeted Value Portfolio -- Institutional Class
Shares............................................................ 3 100%
World ex U.S. Core Equity Portfolio -- Institutional Class Shares... 2 97%
Selectively Hedged Global Equity Portfolio.......................... 3 96%
Emerging Markets Portfolio -- Institutional Class Shares............ 4 68%
Emerging Markets Small Cap Portfolio -- Institutional Class
Shares............................................................ 4 51%
Emerging Markets Value Portfolio -- Class R2 Shares................. 5 85%
Emerging Markets Value Portfolio -- Institutional Class Shares...... 2 28%
Emerging Markets Core Equity Portfolio -- Institutional Class
Shares............................................................ 3 59%
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
172
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.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including the U.S. Large Cap Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO. On September 23, 2013, the Court entered an order dismissing the
Individual Creditor Actions in their entirety on the grounds that the
individual creditor plaintiffs lack standing to pursue their claims. The
Court's dismissal order is on appeal to the Second Circuit. The Committee
Action remains pending, and the Court currently is coordinating with the
parties to establish a schedule for motions to dismiss in the Committee Action.
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 the plaintiffs 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 investors
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.
P. SUBSEQUENT EVENT EVALUATIONS:
On December 13, 2013, the Board of DFAIDG voted to approve the combination
of the Investment Advisory Agreement and the Administration Agreement
(together, the "Current Agreements") into a bundled Investment Management
Agreement for each of the following five Portfolios: U.S. Small Cap Portfolio,
U.S. Small Cap Value Portfolio, U.S. Micro Cap Portfolio, Enhanced U.S. Large
Company Portfolio, and U.S. Targeted Value Portfolio. It is expected that each
Investment Management Agreement will become effective on February 28, 2014. The
nature and level of services to the Portfolios under the Investment Management
Agreements will be the same as under the Current Agreements. When the
Investment Management Agreements become effective, each Portfolio will pay the
Advisor an investment management fee that is equal to the sum of the current
investment advisory fee and current administration fee that is paid by the
Portfolio to the Advisor under the Current Agreements.
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no other subsequent events
requiring recognition or disclosure in the financial statements.
173
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND
BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments/summary schedules of portfolio holdings,
and the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of Enhanced U.S. Large Company Portfolio, U.S. Large Cap Equity
Portfolio, U.S. Large Cap Value Portfolio, U.S. Targeted Value Portfolio, U.S.
Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2
Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro
Cap Portfolio, DFA Real Estate Securities Portfolio, Large Cap International
Portfolio, International Core Equity Portfolio, International Small Company
Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company
Portfolio, United Kingdom Small Company Portfolio, Continental Small Company
Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real
Estate Securities Portfolio, DFA International Small Cap Value Portfolio,
International Vector Equity Portfolio, World ex U.S. Value Portfolio, World ex
U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, Selectively
Hedged Global Equity Portfolio, Emerging Markets Portfolio, Emerging Markets
Small Cap Portfolio, Emerging Markets Value Portfolio, and Emerging Markets
Core Equity Portfolio (constituting portfolios within DFA Investment Dimensions
Group Inc., hereafter referred to as the "Portfolios") at October 31, 2013, the
results of each of their operations, the changes in each of their net assets
and the financial highlights for each of the periods indicated, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolios' management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with the standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2013 by
correspondence with the custodians, brokers, and the transfer agents of the
investee funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
174
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA COMMODITY STRATEGY PORTFOLIO VS.
DOW JONES-UBS COMMODITY INDEX TOTAL RETURN
NOVEMBER 9, 2010-OCTOBER 31, 2013
[CHART]
DFA Commodity Dow Jones-UBS Commodity
Strategy Portfolio Index Total Return
------------------------- ----------------------------
11/9/2010 $10,000 $10,000
11/30/2010 9,480 9,414
12/31/2010 10,464 10,420
1/31/2011 10,584 10,525
2/28/2011 10,804 10,664
3/31/2011 11,010 10,884
4/30/2011 11,440 11,261
5/31/2011 10,889 10,691
6/30/2011 10,337 10,152
7/31/2011 10,678 10,452
8/31/2011 10,788 10,557
9/30/2011 9,187 9,001
10/31/2011 9,798 9,597
11/30/2011 9,538 9,384
12/31/2011 9,199 9,032
1/31/2012 9,480 9,256
2/29/2012 9,752 9,506
3/31/2012 9,360 9,112
4/30/2012 9,299 9,074
5/31/2012 8,494 8,245
6/30/2012 8,889 8,698
7/31/2012 9,494 9,261
8/31/2012 9,676 9,381
9/30/2012 9,840 9,541
10/31/2012 9,497 9,171
11/30/2012 9,547 9,176
12/31/2012 9,321 8,937
1/31/2013 9,544 9,151
2/28/2013 9,169 8,777
3/31/2013 9,229 8,836
4/30/2013 8,996 8,590
5/31/2013 8,763 8,397
6/30/2013 8,304 8,001
7/31/2013 8,436 8,110
8/31/2013 8,730 8,386
9/30/2013 8,529 8,172
10/31/2013 8,438 7,963 Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FROM redemption of fund shares.
TOTAL RETURN YEAR 11/09/2010
----------------------------------------------------- Dow Jones-UBS data provided by S&P
-11.15% -5.55% Dow Jones Indices, LLC and UBS AG.
--------------------------------------------------------------------------------
175
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
COMMODITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013
During the fiscal year ended, October 31, 2013, commodities produced mostly
negative returns. Stepping outside this trend were the petroleum based
commodities which may have benefited from renewed Middle East concerns and
continuing pipeline and refinery hurdles. Natural gas prices experienced a
substantial decline in part likely due to lower demand and increased supply in
a market less restrained by delivery and refinery bottlenecks. Corn and wheat
prices experienced significant declines in 2013 as the U.S. emerged from the
2012 drought with early signs of bumper corn crop followed by a much improved
summer wheat harvest. As equity markets surged and evidence of lower inflation
expectations emerged, silver and gold erased nearly half the value created in a
ten year rally that ended at the beginning of the period. Industrial metals saw
modest drops on increased supply.
DFA COMMODITY STRATEGY PORTFOLIO
The DFA Commodity Strategy Portfolio seeks total return consisting of
capital appreciation and current income. The Portfolio generally invests in
commodity-linked derivative instruments and fixed income investments. The
Portfolio gains exposure to commodities markets by investing in derivative
instruments, swap agreements, and other commodity-linked instruments. The
Portfolio pursues commodity exposure based on sector weights of the Dow
Jones-UBS Commodity Index Total Return (DJ-UBSCI). In pursuing the fixed income
portion of the Portfolio's investment strategy, Dimensional Fund Advisors LP
("Dimensional" or the "Advisor") identifies a broadly-diversified universe of
eligible U.S. and foreign fixed income securities with precisely defined
maturity ranges and credit quality characteristics and then seeks to purchase a
broad and diverse portfolio of securities meeting these credit quality
standards. In making these purchase decisions, if the anticipated maturity risk
premium is greater for longer-term securities in the eligible maturity range,
Dimensional will generally focus investment in that longer-term area;
otherwise, the Portfolio will generally focus investment in the short-term
range of the eligible maturity range.
For the 12 months ended October 31, 2013, the total return was -11.15% for
the Portfolio and -12.21% for the Dow Jones-UBS Commodity Index Total Return.
The Portfolio's outperformance came from a combination of both the flexibility
the Portfolio maintains relative to the benchmark in regards to its management
of futures contract expirations and the Portfolio's investment in fixed income
securities.
The Portfolio gained exposure to commodities primarily through the use of
commodity swap contracts. To a lesser extent, the Portfolio gained exposure to
commodities through the use of commodity futures. The Portfolio's commodity
swaps provided exposure to the 22 commodities found in the Dow Jones-UBS
Commodity Index Total Return whose returns for the period ranged from +10.19%
(WTI crude oil) to -38.88% (coffee).
While the Portfolio has derivative exposure to commodities, the majority of
the assets were invested in fixed income securities. The fixed income component
duration decreased slightly from 1.85 to 1.82 years during the period. The
Portfolio benefited from the exposure to longer duration relative to its
short-term obligations on its derivatives. It also benefited from its credit
exposure during a period where credit spreads narrowed. The time of valuation
of currency can create differences between the performance of the Portfolio and
the Index.
176
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 six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2013
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/13 10/31/13 RATIO* PERIOD*
--------- --------- ---------- --------
DFA COMMODITY STRATEGY PORTFOLIO
--------------------------------
Actual Fund Return............... $1,000.00 $ 937.90 0.34% $1.66
Hypothetical 5% Annual Return.... $1,000.00 $1,023.49 0.34% $1.73
----------
* DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity
Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional
Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses
are equal to the fund's annualized expense ratio for the six-month period,
multiplied by the average account value over the period, multiplied by the
number of days in the most recent six-month period (184), then divided by the
number of days in the year (365) to reflect the six-month period.
177
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 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.................................... 46.6%
Foreign Corporate............................ 22.5%
Foreign Government........................... 3.1%
Government................................... 26.3%
Supranational................................ 1.5%
-----
100.0%
178
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
FACE
AMOUNT^ VALUE+
------- ------
(000)
BONDS -- (73.7%)
AUSTRALIA -- (3.3%)
BHP Billiton Finance USA, Ltd.
5.500%, 04/01/14............................. $ 960 $ 980,442
Commonwealth Bank of Australia
1.250%, 09/18/15............................. 4,780 4,836,132
National Australia Bank, Ltd.
5.500%, 05/20/15............................. EUR 6,500 9,487,697
Westpac Banking Corp.
4.200%, 02/27/15............................. 9,500 9,966,782
-----------
TOTAL AUSTRALIA.................................. 25,271,053
-----------
CANADA -- (6.1%)
Bank of Nova Scotia
1.850%, 01/12/15............................. 6,400 6,503,782
3.400%, 01/22/15............................. 1,800 1,863,149
2.050%, 10/07/15............................. 2,500 2,567,370
Barrick Gold Finance Co.
4.875%, 11/15/14............................. 2,200 2,284,333
Enbridge, Inc.
5.800%, 06/15/14............................. 1,900 1,954,481
4.900%, 03/01/15............................. 1,500 1,579,136
Husky Energy, Inc.
5.900%, 06/15/14............................. 2,500 2,579,240
Ontario, Province of Canada
2.300%, 05/10/16............................. 5,000 5,196,160
Potash Corp. of Saskatchewan, Inc.
3.750%, 09/30/15............................. 1,830 1,926,485
Royal Bank of Canada
0.800%, 10/30/15............................. 2,500 2,511,975
2.625%, 12/15/15............................. 2,500 2,600,817
Thomson Reuters Corp.
5.700%, 10/01/14............................. 800 837,010
Toronto-Dominion Bank (The)
5.375%, 05/14/15............................. EUR 4,000 5,833,228
2.500%, 07/14/16............................. 2,500 2,603,477
TransAlta Corp.
4.750%, 01/15/15............................. 2,508 2,612,709
TransCanada PipeLines, Ltd.
3.400%, 06/01/15............................. 3,106 3,242,518
-----------
TOTAL CANADA..................................... 46,695,870
-----------
FRANCE -- (1.4%)
Agence Francaise de Developpement
2.500%, 07/15/15............................. 3,000 3,098,520
BNP Paribas SA
3.250%, 03/11/15............................. 4,035 4,171,484
Orange SA
4.375%, 07/08/14............................. 3,231 3,307,549
2.125%, 09/16/15............................. 500 508,988
-----------
TOTAL FRANCE..................................... 11,086,541
-----------
FACE
AMOUNT^ VALUE+
------- ------
(000)
GERMANY -- (0.4%)
Deutsche Bank AG
3.875%, 08/18/14............................. $ 1,750 $ 1,796,307
3.250%, 01/11/16............................. 1,000 1,050,266
-----------
TOTAL GERMANY.................................... 2,846,573
-----------
JAPAN -- (1.6%)
Japan Bank for International Cooperation
2.250%, 07/13/16............................. 8,000 8,303,824
Nomura Holdings, Inc.
5.000%, 03/04/15............................. 3,500 3,670,349
-----------
TOTAL JAPAN...................................... 11,974,173
-----------
NETHERLANDS -- (5.1%)
Aegon NV
4.625%, 12/01/15............................. 3,489 3,736,754
Bank Nederlandse Gemeenten
2.750%, 07/01/15............................. 9,500 9,856,060
Cooperatieve Centrale Raiffeisen-
Boerenleenbank BA
3.125%, 02/05/15............................. CAD 7,000 6,823,162
2.125%, 10/13/15............................. 7,000 7,186,669
Deutsche Telekom International Finance BV
4.875%, 07/08/14............................. 1,900 1,955,066
Nederlandse Waterschapsbank NV
2.000%, 09/09/15............................. 9,000 9,244,674
-----------
TOTAL NETHERLANDS................................ 38,802,385
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (1.5%)
European Investment Bank
6.500%, 09/10/14............................. NZD 2,531 2,145,833
Nordic Investment Bank
7.500%, 04/15/15............................. NZD 11,000 9,607,162
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 11,752,995
-----------
SWEDEN -- (3.8%)
Nordea Bank AB
2.750%, 08/11/15............................. EUR 5,000 7,048,063
Svensk Exportkredit AB
2.125%, 07/13/16............................. 7,000 7,260,589
Svenska Handelsbanken AB
1.500%, 07/06/15............................. EUR 7,000 9,654,792
3.125%, 07/12/16............................. 5,000 5,256,480
-----------
TOTAL SWEDEN..................................... 29,219,924
-----------
179
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
SWITZERLAND -- (0.3%)
Credit Suisse New York
5.500%, 05/01/14............................. $ 250 $ 256,292
3.500%, 03/23/15............................. 1,000 1,039,644
UBS AG
3.875%, 01/15/15............................. 1,163 1,207,444
-----------
TOTAL SWITZERLAND................................ 2,503,380
-----------
UNITED KINGDOM -- (3.6%)
Barclays Bank P.L.C.
5.200%, 07/10/14............................. 1,500 1,548,627
BP Capital Markets P.L.C.
5.250%, 11/07/13............................. 3,500 3,501,015
British Telecommunications P.L.C.
2.000%, 06/22/15............................. 3,100 3,157,737
Lloyds Bank P.L.C.
4.875%, 01/21/16............................. 5,000 5,396,695
Rio Tinto Finance USA P.L.C.
1.125%, 03/20/15............................. 3,850 3,872,496
Royal Bank of Scotland Group P.L.C.
2.550%, 09/18/15............................. 6,300 6,452,334
Vodafone Group P.L.C.
4.150%, 06/10/14............................. 1,825 1,864,155
3.375%, 11/24/15............................. 2,000 2,098,058
-----------
TOTAL UNITED KINGDOM............................. 27,891,117
-----------
UNITED STATES -- (46.6%)
AbbVie, Inc.
1.200%, 11/06/15............................. 4,000 4,027,968
ACE INA Holdings, Inc.
5.875%, 06/15/14............................. 1,250 1,291,344
2.600%, 11/23/15............................. 3,295 3,416,226
Aetna, Inc.
6.000%, 06/15/16............................. 1,496 1,687,507
Aflac, Inc.
3.450%, 08/15/15............................. 3,800 3,985,166
Air Products & Chemicals, Inc.
2.000%, 08/02/16............................. 3,615 3,712,612
Allstate Corp. (The)
5.000%, 08/15/14............................. 2,130 2,205,334
Altria Group, Inc.
4.125%, 09/11/15............................. 2,170 2,299,033
American Express Credit Corp.
5.125%, 08/25/14............................. 1,700 1,764,231
1.750%, 06/12/15............................. 1,200 1,221,452
2.750%, 09/15/15............................. 2,250 2,333,975
American International Group, Inc.
3.000%, 03/20/15............................. 6,000 6,172,836
Ameriprise Financial, Inc.
5.650%, 11/15/15............................. 1,625 1,781,575
Amgen, Inc.
1.875%, 11/15/14............................. 1,825 1,850,368
4.850%, 11/18/14............................. 1,000 1,044,713
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Anheuser-Busch InBev Worldwide, Inc.
0.800%, 07/15/15............................. $ 2,000 $2,009,190
Apple, Inc.
0.450%, 05/03/16............................. 10,000 9,955,790
Assurant, Inc.
5.625%, 02/15/14............................. 2,000 2,027,674
AT&T, Inc.
2.500%, 08/15/15............................. 4,600 4,732,190
AutoZone, Inc.
6.950%, 06/15/16............................. 3,000 3,423,804
Bank of America Corp.
1.500%, 10/09/15............................. 5,000 5,043,090
3.750%, 07/12/16............................. 1,500 1,595,907
BB&T Corp.
5.700%, 04/30/14............................. 3,087 3,165,691
Berkshire Hathaway Finance Corp.
4.850%, 01/15/15............................. 5,000 5,262,540
BlackRock, Inc.
3.500%, 12/10/14............................. 2,000 2,067,870
Burlington Northern Santa Fe LLC
4.875%, 01/15/15............................. 200 210,117
Capital One Financial Corp.
6.250%, 11/15/13............................. 150 150,245
7.375%, 05/23/14............................. 1,189 1,232,737
2.150%, 03/23/15............................. 4,700 4,778,795
Cardinal Health, Inc.
4.000%, 06/15/15............................. 3,000 3,153,489
Caterpillar Financial Services Corp.
2.650%, 04/01/16............................. 5,000 5,213,965
CenterPoint Energy Resources Corp.
6.150%, 05/01/16............................. 5,000 5,589,525
Charles Schwab Corp. (The)
0.850%, 12/04/15............................. 3,000 3,003,879
Cisco Systems, Inc.
1.625%, 03/14/14............................. 1,550 1,557,810
Citigroup, Inc.
6.375%, 08/12/14............................. 636 663,907
5.300%, 01/07/16............................. 2,716 2,946,129
CNA Financial Corp.
5.850%, 12/15/14............................. 3,277 3,453,752
Coca-Cola Enterprises, Inc.
1.125%, 11/12/13............................. 1,607 1,607,227
Comcast Corp.
4.950%, 06/15/16............................. 3,500 3,861,242
Comerica, Inc.
3.000%, 09/16/15............................. 2,277 2,371,762
Computer Sciences Corp.
2.500%, 09/15/15............................. 3,558 3,643,705
180
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Consolidated Edison Co. of New York, Inc.
4.700%, 02/01/14............................. $ 400 $ 404,035
CVS Caremark Corp.
3.250%, 05/18/15............................. 1,000 1,039,406
Daimler Finance North America LLC
6.500%, 11/15/13............................. 2,100 2,103,564
DIRECTV Holdings LLC / DIRECTV
Financing Co., Inc.
4.750%, 10/01/14............................. 1,500 1,555,052
3.500%, 03/01/16............................. 5,000 5,236,805
Dominion Resources, Inc.
5.150%, 07/15/15............................. 1,400 1,500,374
2.250%, 09/01/15............................. 5,000 5,132,045
Dow Chemical Co. (The)
2.500%, 02/15/16............................. 1,000 1,035,552
Eastman Chemical Co.
3.000%, 12/15/15............................. 1,000 1,040,022
Ecolab, Inc.
1.000%, 08/09/15............................. 2,000 2,005,328
Emerson Electric Co.
5.625%, 11/15/13............................. 1,200 1,201,766
Enbridge Energy Partners L.P.
5.350%, 12/15/14............................. 1,475 1,548,818
Energy Transfer Partners L.P.
5.950%, 02/01/15............................. 1,200 1,272,361
Enterprise Products Operating LLC
5.600%, 10/15/14............................. 2,666 2,790,894
EOG Resources, Inc.
2.950%, 06/01/15............................. 2,440 2,531,261
2.500%, 02/01/16............................. 1,325 1,374,307
Exelon Corp.
4.900%, 06/15/15............................. 500 529,780
Exelon Generation Co. LLC
5.350%, 01/15/14............................. 1,100 1,110,129
Express Scripts Holding Co.
2.100%, 02/12/15............................. 4,000 4,063,120
3.125%, 05/15/16............................. 1,975 2,072,462
Fifth Third Bancorp
3.625%, 01/25/16............................. 1,000 1,055,520
Fifth Third Bank
0.900%, 02/26/16............................. 2,000 1,992,132
Ford Motor Credit Co. LLC
12.000%, 05/15/15............................ 3,500 4,072,435
Freeport-McMoRan Copper & Gold, Inc.
1.400%, 02/13/15............................. 3,996 4,016,284
General Electric Capital Corp.
2.150%, 01/09/15............................. 6,000 6,119,154
1.625%, 07/02/15............................. 2,000 2,032,202
Gilead Sciences, Inc.
2.400%, 12/01/14............................. 3,000 3,056,091
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
Goldman Sachs Group, Inc. (The)
3.300%, 05/03/15............................. $ 3,500 $3,622,444
Google, Inc.
2.125%, 05/19/16............................. 6,000 6,224,196
Hartford Financial Services Group, Inc.
4.000%, 03/30/15............................. 1,400 1,460,812
Hess Corp.
7.000%, 02/15/14............................. 175 177,965
Hewlett-Packard Co.
2.625%, 12/09/14............................. 1,300 1,323,257
HSBC USA, Inc.
2.375%, 02/13/15............................. 2,000 2,046,018
Humana, Inc.
6.450%, 06/01/16............................. 4,500 5,043,060
Johnson Controls, Inc.
5.500%, 01/15/16............................. 1,282 1,402,513
JPMorgan Chase & Co.
3.700%, 01/20/15............................. 2,800 2,900,626
3.400%, 06/24/15............................. 1,000 1,041,719
KeyCorp
3.750%, 08/13/15............................. 3,000 3,150,111
Lorillard Tobacco Co.
3.500%, 08/04/16............................. 4,000 4,220,124
Lowe's Cos., Inc.
5.000%, 10/15/15............................. 1,050 1,137,528
Marathon Oil Corp.
0.900%, 11/01/15............................. 1,140 1,140,961
Marsh & McLennan Cos., Inc.
5.750%, 09/15/15............................. 1,916 2,082,361
Medtronic, Inc.
4.750%, 09/15/15............................. 1,087 1,170,416
MetLife, Inc.
2.375%, 02/06/14............................. 420 422,145
5.500%, 06/15/14............................. 1,250 1,288,560
5.000%, 06/15/15............................. 500 533,653
6.750%, 06/01/16............................. 3,000 3,437,859
Mondelez International, Inc.
4.125%, 02/09/16............................. 3,716 3,963,813
Morgan Stanley
3.800%, 04/29/16............................. 6,000 6,339,840
NASDAQ OMX Group, Inc. (The)
4.000%, 01/15/15............................. 2,800 2,896,152
NextEra Energy Capital Holdings, Inc.
2.550%, 11/15/13............................. 750 750,400
Occidental Petroleum Corp.
1.450%, 12/13/13............................. 1,000 1,001,215
Omnicom Group, Inc.
5.900%, 04/15/16............................. 1,750 1,948,935
ONEOK, Inc.
5.200%, 06/15/15............................. 1,000 1,061,186
PACCAR Financial Corp.
0.750%, 08/14/15............................. 2,000 2,008,570
181
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
PepsiCo, Inc.
0.700%, 08/13/15............................. $ 5,595 $5,607,096
Plains All American Pipeline L.P. / PAA Finance
Corp.
3.950%, 09/15/15............................. 2,830 2,991,780
PNC Funding Corp.
5.400%, 06/10/14............................. 2,075 2,136,161
4.250%, 09/21/15............................. 600 638,531
PPG Industries, Inc.
1.900%, 01/15/16............................. 2,050 2,084,602
Procter & Gamble Co. (The)
4.500%, 05/12/14............................. EUR 4,000 5,547,927
Progress Energy, Inc.
5.625%, 01/15/16............................. 2,000 2,198,458
Prudential Financial, Inc.
3.875%, 01/14/15............................. 1,000 1,037,274
6.200%, 01/15/15............................. 2,448 2,604,883
Quest Diagnostics, Inc.
5.450%, 11/01/15............................. 4,000 4,325,932
Qwest Corp.
7.500%, 10/01/14............................. 2,300 2,430,401
Reynolds American, Inc.
1.050%, 10/30/15............................. 4,000 4,006,504
Safeway, Inc.
5.625%, 08/15/14............................. 4,500 4,626,990
Sempra Energy
2.000%, 03/15/14............................. 416 418,176
Sherwin-Williams Co. (The)
3.125%, 12/15/14............................. 1,048 1,077,526
Southern Power Co.
4.875%, 07/15/15............................. 3,660 3,904,235
Spectra Energy Capital LLC
5.500%, 03/01/14............................. 1,500 1,522,094
5.668%, 08/15/14............................. 955 991,163
SunTrust Banks, Inc.
3.600%, 04/15/16............................. 4,000 4,242,620
Target Corp.
5.875%, 07/15/16............................. 325 369,446
TD Ameritrade Holding Corp.
4.150%, 12/01/14............................. 2,350 2,438,064
Textron, Inc.
6.200%, 03/15/15............................. 1,500 1,602,257
Thermo Fisher Scientific, Inc.
3.200%, 05/01/15............................. 2,250 2,320,697
2.250%, 08/15/16............................. 2,953 3,019,587
Time Warner Cable, Inc.
3.500%, 02/01/15............................. 4,000 4,114,304
Toyota Motor Credit Corp.
1.000%, 02/17/15............................. 3,000 3,024,282
0.875%, 07/17/15............................. 2,000 2,014,134
Union Bank NA
2.125%, 12/16/13............................. 1,400 1,403,023
3.000%, 06/06/16............................. 1,000 1,053,850
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (Continued)
UnitedHealth Group, Inc.
5.000%, 08/15/14............................. $ 1,170 $ 1,212,522
Valero Energy Corp.
4.750%, 04/01/14............................. 1,125 1,144,494
4.500%, 02/01/15............................. 900 940,535
Verizon Communications, Inc.
0.700%, 11/02/15............................. 3,000 2,990,118
5.550%, 02/15/16............................. 2,400 2,637,326
Viacom, Inc.
4.375%, 09/15/14............................. 1,229 1,268,054
Walgreen Co.
1.000%, 03/13/15............................. 3,720 3,734,162
Walt Disney Co. (The)
0.875%, 12/01/14............................. 1,500 1,509,917
WellPoint, Inc.
5.000%, 12/15/14............................. 2,500 2,619,695
5.250%, 01/15/16............................. 3,000 3,271,287
Wells Fargo & Co.
3.750%, 10/01/14............................. 2,300 2,369,591
1.250%, 02/13/15............................. 1,000 1,008,132
1.500%, 07/01/15............................. 2,500 2,534,633
Williams Partners L.P.
3.800%, 02/15/15............................. 2,300 2,383,414
Xerox Corp.
4.250%, 02/15/15............................. 3,500 3,645,974
Yum! Brands, Inc.
4.250%, 09/15/15............................. 2,485 2,636,985
Zimmer Holdings, Inc.
1.400%, 11/30/14............................. 1,000 1,005,338
------------
TOTAL UNITED STATES................................ 357,867,884
------------
TOTAL BONDS........................................ 565,911,895
------------
AGENCY OBLIGATIONS -- (15.7%)
Federal Home Loan Bank
0.375%, 06/24/16............................. 15,000 14,977,785
Federal Home Loan Mortgage Corporation
5.250%, 04/18/16............................. 30,000 33,478,110
Federal National Mortgage Association
0.500%, 03/30/16............................. 72,000 72,011,016
------------
TOTAL AGENCY OBLIGATIONS........................... 120,466,911
------------
U.S. TREASURY OBLIGATIONS -- (10.6%)
U.S. Treasury Notes
++^^ 0.375%, 11/15/15............................. 53,000 53,049,714
1.000%, 10/31/16............................. 28,000 28,330,316
------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 81,380,030
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $764,976,576)................................ $767,758,836
============
182
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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.............................. -- $ 25,271,053 -- $ 25,271,053
Canada................................. -- 46,695,870 -- 46,695,870
France................................. -- 11,086,541 -- 11,086,541
Germany................................ -- 2,846,573 -- 2,846,573
Japan.................................. -- 11,974,173 -- 11,974,173
Netherlands............................ -- 38,802,385 -- 38,802,385
Supranational Organization Obligations. -- 11,752,995 -- 11,752,995
Sweden................................. -- 29,219,924 -- 29,219,924
Switzerland............................ -- 2,503,380 -- 2,503,380
United Kingdom......................... -- 27,891,117 -- 27,891,117
United States.......................... -- 357,867,884 -- 357,867,884
Agency Obligations....................... -- 120,466,911 -- 120,466,911
U.S. Treasury Obligations................ -- 81,380,030 -- 81,380,030
Swap Agreements**........................ -- (5,585,539) -- (5,585,539)
Futures Contracts**...................... $(567,936) -- -- (567,936)
Forward Currency Contracts**............. -- (785,037) -- (785,037)
--------- ------------ -- ------------
TOTAL.................................... $(567,936) $761,388,260 -- $760,820,324
========= ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
183
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASSETS:
Investments at Value................................................................... $ 767,759
Temporary Cash......................................................................... 10,380
Segregated Cash for Swap Contracts..................................................... 1,665
Cash................................................................................... 6,395
Receivables:
Interest............................................................................. 5,481
Fund Shares Sold..................................................................... 1,649
Unrealized Gain on Swap Contracts...................................................... 7,681
Unrealized Gain on Forward Currency Contracts.......................................... 171
Prepaid Expenses and Other Assets...................................................... 36
------------
Total Assets...................................................................... 801,217
------------
LIABILITIES:
Payables:
Due to Custodian..................................................................... 3
Fund Shares Redeemed................................................................. 279
Due to Advisor....................................................................... 198
Futures Margin Variation............................................................. 109
Unrealized Loss on Swap Contracts...................................................... 13,267
Unrealized Loss on Forward Currency Contracts.......................................... 956
Accrued Expenses and Other Liabilities................................................. 91
------------
Total Liabilities................................................................. 14,903
------------
NET ASSETS............................................................................. $ 786,314
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 94,697,328
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 8.30
============
Investments at Cost.................................................................... $ 764,977
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 788,190
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 1,500
Accumulated Net Realized Gain (Loss)................................................... 770
Net Unrealized Foreign Exchange Gain (Loss)............................................ (774)
Net Unrealized Appreciation (Depreciation)............................................. (3,372)
------------
NET ASSETS............................................................................. $ 786,314
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 100,000,000
============
See accompanying Notes to Financial Statements.
184
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Interest........................................................................................ $ 6,268
--------
Total Investment Income...................................................................... 6,268
--------
EXPENSES
Investment Advisory Services Fees............................................................... 2,227
Accounting & Transfer Agent Fees................................................................ 58
Custodian Fees.................................................................................. 25
Filing Fees..................................................................................... 87
Shareholders' Reports........................................................................... 41
Directors'/Trustees' Fees & Expenses............................................................ 6
Professional Fees............................................................................... 49
Other........................................................................................... 16
--------
Total Expenses............................................................................... 2,509
--------
Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note D). (345)
Fees Paid Indirectly............................................................................ (24)
--------
Net Expenses.................................................................................... 2,140
--------
NET INVESTMENT INCOME (LOSS).................................................................... 4,128
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................................................... 952
Futures....................................................................................... (1,683)
Swap Contracts................................................................................ (68,369)
Foreign Currency Transactions................................................................. (1,229)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................................................... 75
Futures....................................................................................... (717)
Swap Contracts................................................................................ (6,861)
Translation of Foreign Currency Denominated Amounts........................................... 715
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................................................... (77,117)
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................... $(72,989)
========
See accompanying Notes to Financial Statements.
185
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2013 2012
--------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................................................... $ 4,128 $ 2,616
Net Realized Gain (Loss) on:
Investment Securities Sold......................................................... 952 1,207
Futures............................................................................ (1,683) (2,170)
Swap Contracts..................................................................... (68,369) (17,151)
Foreign Currency Transactions...................................................... (1,229) 1,374
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... 75 1,848
Futures............................................................................ (717) 112
Swap Contracts..................................................................... (6,861) 3,344
Translation of Foreign Currency Denominated Amounts................................ 715 (1,489)
--------- ---------
Net Increase (Decrease) in Net Assets Resulting from Operations................... (72,989) (10,309)
--------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares......................................................... (2,493) (2,038)
Net Short-Term Gains:
Institutional Class Shares......................................................... (472) (151)
Net Long-Term Gains:
Institutional Class Shares......................................................... (472) --
--------- ---------
Total Distributions............................................................... (3,437) (2,189)
--------- ---------
Capital Share Transactions (1):
Shares Issued........................................................................ 552,864 371,713
Shares Issued in Lieu of Cash Distributions.......................................... 3,267 2,084
Shares Redeemed...................................................................... (151,470) (134,001)
--------- ---------
Net Increase (Decrease) from Capital Share Transactions........................... 404,661 239,796
--------- ---------
Total Increase (Decrease) in Net Assets........................................... 328,235 227,298
NET ASSETS
Beginning of Year.................................................................... 458,079 230,781
--------- ---------
End of Year.......................................................................... $ 786,314 $ 458,079
========= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................................................ 63,019 39,879
Shares Issued in Lieu of Cash Distributions.......................................... 366 232
Shares Redeemed...................................................................... (17,417) (14,994)
--------- ---------
Net Increase (Decrease) from Shares Issued and Redeemed........................... 45,968 25,117
========= =========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME). $ 1,500 $ 1,816
See accompanying Notes to Financial Statements.
186
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2013 2012
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period..................................................................... $ 9.40 $ 9.77
-------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....................................................................... 0.06 0.07
Net Gains (Losses) on Securities (Realized and Unrealized)............................................. (1.10) (0.37)
-------- --------
Total from Investment Operations...................................................................... (1.04) (0.30)
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................................................................................. (0.04) (0.06)
Net Realized Gains..................................................................................... (0.02) (0.01)
-------- --------
Total Distributions................................................................................... (0.06) (0.07)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period........................................................................... $ 8.30 $ 9.40
========================================================================================================= ======== ========
Total Return............................................................................................. (11.15)% (3.08)%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................................................... $786,314 $458,079
Ratio of Expenses to Average Net Assets.................................................................. 0.34% 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)........................................................ 0.40% 0.41%
Ratio of Net Investment Income to Average Net Assets..................................................... 0.66% 0.79%
Portfolio Turnover Rate.................................................................................. 64% 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)%(D)
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).................................................................... $230,781
Ratio of Expenses to Average Net Assets.................................................................. 0.47%(C)(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%(C)(E)
Ratio of Net Investment Income to Average Net Assets..................................................... 0.64%(C)(E)
Portfolio Turnover Rate.................................................................................. 50%(D)
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
187
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, 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-six 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 generally categorized 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.
188
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 year ended October 31, 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 October 31, 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 and foreign currency 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 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. 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.
189
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 October 31, 2013, the Portfolio held $140,511,030 in the Subsidiary,
representing 17.54% of the Portfolio's total assets. The accompanying
consolidated financial statements include all assets, liabilities, revenues and
expenses of the Portfolio and its wholly-owned Subsidiary. The accompanying
consolidated financial statements include the accounts of the Subsidiary.
Intercompany balances and transactions have been eliminated in consolidation.
D. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Portfolio. For the year ended October 31, 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 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 October 31, 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 year ended October 31, 2013, approximately $345 (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 year ended October 31, 2013, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
DFA Commodity Strategy Portfolio. $24
190
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the year ended October 31, 2013, the total
related amounts paid by the Fund to the CCO were $250 (amount in thousands).
The total related amounts paid by the Portfolio are included in Other Expenses
on the Statement of Operations.
E. DEFERRED COMPENSATION:
At October 31, 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 (amount in thousands):
DFA Commodity Strategy Portfolio. $5
F. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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. $264,251 $162,427 $455,344 $222,937
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 or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2013, 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, reversal of
bank income/loss from controlled foreign corporation 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. $(69,244) $(1,951) $71,195
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2012 and October 31, 2013 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- ------
DFA Commodity Strategy Portfolio
2012............................. $2,410 $ 37 $2,447
2013............................. 2,965 472 3,437
191
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS (DEPRECIATION) LOSSES)
-------------- ------------- -------------- -------------
DFA Commodity Strategy Portfolio. $1,150 $451 $(3,362) $(1,761)
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, 2013, the
Portfolio did not have any capital loss carryforwards.
At October 31, 2013, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
-------- ------------ ------------ --------------
DFA Commodity Strategy Portfolio. $764,977 $3,782 $(1,000) $2,782
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
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 Portfolio may be inhibited.
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.
192
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 October 31, 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 OCTOBER 31, EXCHANGE
DATE AMOUNT** CURRENCY AMOUNT 2013 GAIN (LOSS)
---------- -------- ------------------ -------- ----------- -----------
11/19/13 (7,176) Canadian Dollar $ (6,965) $ (6,879) $ 86
11/18/13 5,416 Euro 7,409 7,353 (56)
11/18/13 (33,550) Euro (44,654) (45,554) (900)
11/18/13 (14,349) New Zealand Dollar (11,926) (11,841) 85
-------- -------- -----
$(56,136) $(56,921) $(785)
======== ======== =====
* During the year ended October 31, 2013, the Portfolio's average contract
amount of forward currency contracts was $109,168 (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.
A swap agreement may be negotiated bilaterally and traded over-the-counter
between the two parties (for an uncleared swap) or, in some instances, must be
transacted through an futures commission merchant ("FCM") and cleared through a
clearinghouse that serves as a central counterparty (for a cleared swap). Swap
agreements are 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
193
factor. In an uncleared swap, the swap counterparty is typically a brokerage
firm, bank or other financial institution. In a cleared swap, the Portfolio's
ultimate counterparty is a central clearinghouse rather than a brokerage firm,
bank or other financial institution.
An investment in a commodity swap agreement 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 uncleared swaps are two-party contracts and may have terms of
greater than seven days, these swap agreements may be considered to be
illiquid. In addition, because uncleared swaps are not traded on exchanges, 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 or receive.
Central clearing is designed to reduce counterparty credit risk and increase
liquidity compared to uncleared swaps because central clearing interposes the
central clearinghouse as the counterparty to each participant's swap, but it
does not eliminate those risks completely. Among other risks, there is a risk
of loss by the Portfolio of the initial and variation margin deposits in the
event of bankruptcy of the FCM with which the Portfolio has an open position in
a swap contract.
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.
Payments, known as "variation margin," to and from the broker, will be made
daily as the currency, financial instrument or index underlying the futures
contract fluctuates, making the long and short positions in the futures
194
contract more or less valuable, a process known as "marking-to-market." As a
result of the small margin deposit that is required, a small change in the
market price of a futures contract can produce major losses.
At any time prior to the expiration of a futures contract, the Portfolio may
elect to close the position by taking an opposite position, which will operate
to terminate the Portfolio's existing position in the contract. Positions in
futures contracts and options on futures contracts (described below) may be
closed out only on the exchange on which they were entered into (or through a
linked exchange). However, there is no assurance that an active market will
exist at any particular time. Once the daily fluctuation limit has been reached
in a particular contract, most futures exchanges restrict trades at a price
beyond that limit or trading may be suspended for specified periods during the
day. Such restrictions prevent prompt liquidation of futures positions at an
advantageous price potentially subjecting the Portfolio to substantial losses.
In such event, and in the event of adverse price movements, the Portfolio would
be required to make daily cash payments of variation margin. Losses incurred in
futures transactions and the costs of these transactions will affect the
Portfolio's performance.
The price volatility of commodity futures contracts has been historically
greater than that for traditional securities, such as stocks and bonds, and
there are a variety of factors associated with commodity futures contracts
which may subject the Portfolio's investments in the contracts to greater
volatility than investments in traditional securities.
6. Options on Futures Contracts: The Portfolio may purchase and write put
and call options on foreign currency, interest rate and stock and commodity
index futures contracts and may enter into closing transactions with respect to
such options to terminate existing positions. There is no guarantee that such
closing transactions can be effected; the ability to establish and close out
positions on such options will be subject to the existence of a liquid market.
An option on a currency, interest rate or commodity or securities index
futures contract, as contrasted with the direct investment in such a contract,
gives the purchaser the right, in return for the premium paid, to assume a
position in a futures contract at a specified exercise price at any time prior
to the expiration date of the option. The writer of the option is required upon
exercise to assume an offsetting futures position (a short position if the
option is a call and a long position if the option is a put). Upon exercise of
an option, the delivery of the futures position by the writer of the option to
the holder of the option will be accompanied by delivery of the accumulated
balance in the writer's futures margin account, which represents the amount by
which the market price of the futures contract exceeds, in the case of a call,
or is less than, in the case of a put, the exercise price of the option on the
futures contract. The potential loss related to the purchase of an option on a
futures contract is limited to the premium paid for the option (plus
transaction costs). The value of the option changes daily, and that change
would be reflected in the net asset value of the Portfolio.
The Portfolio may enter into options and futures transactions for several
purposes, including generating current income to offset expenses or increase
return, and as hedges to reduce investment risk, generally by making an
investment expected to move in the opposite direction of a portfolio position.
A hedge is designed to offset a loss in a portfolio position with a gain in the
hedged position; at the same time, however, a properly correlated hedge will
result in a gain in the portfolio position being offset by a loss in the hedged
position.
At October 31, 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. 02/13/14 12 $1,292 $ --
CBT Corn Futures........ 03/14/14 48 1,054 (11)
CBT Soybean Futures..... 01/14/14 29 1,836 (31)
195
EXPIRATION NUMBER OF CONTRACT UNREALIZED
DESCRIPTION DATE CONTRACTS* AMOUNT GAIN (LOSS)
----------- ---------- ---------- -------- -----------
CBT Wheat Futures............. 03/14/14 21 $ 713 $ (11)
Coffee 'C' Futures............ 03/19/14 10 407 (6)
Copper Futures................ 03/27/14 18 1,489 (7)
Cotton No.2 Futures........... 03/07/14 11 436 (4)
Gasoline RBOB Futures......... 12/31/13 7 762 (5)
Gold 100 oz Futures........... 02/26/14 15 1,987 (41)
KCB Wheat Futures............. 03/14/14 21 779 (11)
LME Nickel Futures............ 01/13/14 5 438 2
LME Prime Aluminum Futures.... 01/13/14 22 1,019 (4)
LME Zinc Futures.............. 01/13/14 12 585 1
Lean Hogs Futures............. 02/14/14 13 479 (11)
Light Sweet Crude Oil Futures. 12/19/13 27 2,609 (102)
Live Cattle Futures........... 02/28/14 14 752 (4)
Natural Gas Futures........... 12/27/13 92 3,369 (248)
NY Harbor ULSD Futures........ 12/31/13 6 745 (6)
Silver Futures................ 03/27/14 6 658 (30)
Soybean Meal Futures.......... 01/14/14 15 595 (13)
Soybean Oil Futures........... 01/14/14 21 525 1
Sugar #11 Futures............. 02/28/14 42 862 (27)
------- -----
$23,391 $(568)
======= =====
The Subsidiary's securities have been segregated as collateral for open
futures contracts.
* During the year ended October 31, 2013 the Subsidiary's average notional
contract amount of outstanding futures contracts was $22,232 (in thousands).
At October 31, 2013, the Subsidiary had the following outstanding commodity
total return swaps (dollar amounts in thousands):
UNREALIZED
COMMODITY EXPIRATION NOTIONAL APPRECIATION
COUNTERPARTY EXPOSURE DATE AMOUNT* (DEPRECIATION)
------------ ------------- ---------- --------- --------------
Citibank, N.A................... Index** 12/31/2013 USD $(243,297) $(2,417)
Citibank, N.A................... Natural Gas 01/31/2014 USD 64,518 4,079
Citibank, N.A................... Natural Gas 04/30/2014 USD (63,429) (3,452)
Credit Suisse................... Index** 11/22/2013 USD (48,661) (485)
Credit Suisse................... Index** 11/22/2013 USD (59,241) (590)
Deutsche Bank AG, London Branch. Soybean 11/21/2013 USD 18,060 333
Deutsche Bank AG, London Branch. Soybean 11/21/2013 USD 9,713 216
Deutsche Bank AG, London Branch. Soybean 11/21/2013 USD (9,452) (163)
Deutsche Bank AG, London Branch. Soybean 11/21/2013 USD (17,577) (237)
Deutsche Bank AG, London Branch. Index** 11/22/2013 USD (201,585) (2,010)
Deutsche Bank AG, London Branch. WTI Crude Oil 12/18/2013 USD 56,210 3,053
Deutsche Bank AG, London Branch. WTI Crude Oil 03/19/2014 USD (54,698) (1,843)
UBS AG.......................... Index** 01/29/2014 USD (215,652) (2,070)
--------- -------
$(765,091) $(5,586)
========= =======
* During the year ended October 31, 2013 the Subsidiary's average notional
value of outstanding swap contracts was $620,010 (amount in thousands).
**Swap is exposed to the 22 commodities in the Dow Jones-UBS Commodity Index.
196
The following is a summary of the location of derivatives on the Portfolio's
Statements of Assets and Liabilities as of October 31, 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
The following is a summary of the Portfolio's derivative instrument holdings
categorized by primary risk exposure as of October 31, 2013 (amounts in
thousands):
ASSET DERIVATIVES VALUE
----------------------
TOTAL VALUE FOREIGN
AT EXCHANGE OTHER
OCTOBER 31, 2013 CONTRACTS CONTRACTS
- ---------------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $7,852 $171 $7,681
LIABILITY DERIVATIVES VALUE
--------------------------------
TOTAL VALUE FOREIGN
AT COMMODITY EXCHANGE OTHER
OCTOBER 31, 2013 CONTRACTS CONTRACTS CONTRACTS
- ---------------- --------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $(14,791) $(568)* $(956) $(13,267)
* 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 for the year ended October 31, 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 Contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change
in Unrealized Appreciation (Depreciation) of: Translation of Foreign
Currency Denominated Amounts
Other Contracts Net Realized Gain (Loss) on: Swap Contracts Change in Unrealized
Appreciation (Depreciation) of: Swap Contracts
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 year ended October 31, 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. $(71,257) $(1,683) $(1,205) $(68,369)
197
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES RECOGNIZED IN INCOME
-------------------------------------
FOREIGN
COMMODITY EXCHANGE OTHER
TOTAL CONTRACTS CONTRACTS CONTRACTS
------- --------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $(6,865) $(717) $713 $(6,861)
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.
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 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 the lines of credit during
the year ended October 31, 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. RECENTLY ISSUED ACCOUNTING STANDARDS:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's financial statements to understand the effect of those arrangements on
its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as
applying to derivatives accounted for in accordance with Topic 815, Derivatives
and Hedging, including bifurcated embedded derivatives, repurchase agreements
and reverse repurchase agreements, and securities borrowing and securities
lending transactions that are offset either in accordance with other
198
requirements of GAAP or subject to an enforceable master netting arrangement or
similar agreement. ASU No. 2011-11 is effective for annual periods beginning on
or after January 1, 2013, and interim periods within those annual periods.
Management is evaluating any impact ASU No. 2011-11 may have on the financial
statements.
L. OTHER:
At October 31, 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.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolio and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
199
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF DFA COMMODITY STRATEGY PORTFOLIO AND
BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.:
In our opinion, the accompanying consolidated statement of assets and
liabilities, including the consolidated schedule of investments, and the
related consolidated statements of operations and of changes in net assets and
the consolidated financial highlights present fairly, in all material respects,
the financial position of DFA Commodity Strategy Portfolio and its subsidiary
(one of the portfolios constituting DFA Investment Dimensions Group Inc.,
hereafter referred to as the "Portfolio") at October 31, 2013, the results of
their operations for the year then ended, the changes in their net assets for
each of the two years in the period then ended and the financial highlights for
each of the periods indicated, in conformity with accounting principles
generally accepted in the United States of America. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Portfolio's management; our responsibility is to
express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with the
standards of the Public Company Accounting Oversight Board (United States).
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at October 31, 2013 by
correspondence with the custodians and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
200
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO-CLASS R2 VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
APRIL 30, 2008-OCTOBER 31, 2013
[CHART]
DFA International Value MSCI World ex
Portfolio-Class R2 USA Index (net dividends)
----------------------- -------------------------
4/30/2008 $10,000 $10,000
5/31/2008 10,000 10,152
6/30/2008 9,006 9,362
7/31/2008 8,752 9,029
8/31/2008 8,381 8,680
9/30/2008 7,404 7,427
10/31/2008 5,537 5,882
11/30/2008 5,194 5,563
12/31/2008 5,594 5,856
1/31/2009 4,819 5,310
2/28/2009 4,220 4,772
3/31/2009 4,686 5,087
4/30/2009 5,539 5,743
5/31/2009 6,361 6,469
6/30/2009 6,268 6,402
7/31/2009 7,007 7,003
8/31/2009 7,404 7,339
9/30/2009 7,789 7,641
10/31/2009 7,467 7,519
11/30/2009 7,685 7,705
12/31/2009 7,769 7,828
1/31/2010 7,316 7,461
2/28/2010 7,340 7,453
3/31/2010 7,920 7,933
4/30/2010 7,781 7,815
5/31/2010 6,874 6,952
6/30/2010 6,751 6,852
7/31/2010 7,584 7,485
8/31/2010 7,209 7,261
9/30/2010 7,990 7,958
10/31/2010 8,259 8,241
11/30/2010 7,836 7,892
12/31/2010 8,567 8,528
1/31/2011 8,931 8,712
2/28/2011 9,224 9,035
3/31/2011 8,966 8,854
4/30/2011 9,443 9,336
5/31/2011 9,097 9,059
6/30/2011 8,968 8,930
7/31/2011 8,679 8,783
8/31/2011 7,744 8,040
9/30/2011 6,896 7,233
10/31/2011 7,555 7,936
11/30/2011 7,306 7,569
12/31/2011 7,106 7,487
1/31/2012 7,579 7,891
2/29/2012 7,974 8,325
3/31/2012 7,907 8,263
4/30/2012 7,622 8,123
5/31/2012 6,676 7,197
6/30/2012 7,146 7,669
7/31/2012 7,112 7,764
8/31/2012 7,407 7,986
9/30/2012 7,665 8,228
10/31/2012 7,759 8,286
11/30/2012 7,877 8,460
12/31/2012 8,263 8,716
1/31/2013 8,646 9,144
2/28/2013 8,382 9,053
3/31/2013 8,408 9,125
4/30/2013 8,817 9,541
5/31/2013 8,707 9,327
6/30/2013 8,400 8,978
7/31/2013 8,968 9,455 Past performance is not predictive of
8/31/2013 8,902 9,333 future performance.
9/30/2013 9,570 9,993
10/31/2013 9,901 10,328 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares.
TOTAL RETURN YEAR YEARS 04/30/2008
----------------------------------------------------------- MSCI data copyright MSCI 2013, all
27.61% 12.33% -0.18% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO-INSTITUTIONAL CLASS VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
DFA International Value MSCI World ex USA
Portfolio-Institutional Class Index (net dividends)
----------------------------- ---------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,209 10,227
12/31/2003 10,972 11,011
1/31/2004 11,250 11,164
2/29/2004 11,587 11,421
3/31/2004 11,767 11,478
4/30/2004 11,413 11,178
5/31/2004 11,523 11,230
6/30/2004 11,999 11,489
7/31/2004 11,557 11,139
8/31/2004 11,701 11,185
9/30/2004 12,075 11,511
10/31/2004 12,537 11,925
11/30/2004 13,462 12,718
12/31/2004 14,132 13,255
1/31/2005 13,985 12,994
2/28/2005 14,537 13,572
3/31/2005 14,174 13,264
4/30/2005 13,742 12,926
5/31/2005 13,759 12,950
6/30/2005 13,976 13,161
7/31/2005 14,597 13,586
8/31/2005 15,079 13,961
9/30/2005 15,500 14,599
10/31/2005 15,262 14,127
11/30/2005 15,535 14,501
12/31/2005 16,290 15,173
1/31/2006 17,400 16,133
2/28/2006 17,562 16,079
3/31/2006 18,302 16,589
4/30/2006 19,223 17,382
5/31/2006 18,447 16,722
6/30/2006 18,320 16,700
7/31/2006 18,604 16,857
8/31/2006 19,236 17,336
9/30/2006 19,505 17,322
10/31/2006 20,366 18,006
11/30/2006 21,033 18,543
12/31/2006 21,852 19,074
1/31/2007 22,258 19,191
2/28/2007 22,239 19,344
3/31/2007 22,952 19,840
4/30/2007 24,105 20,742
5/31/2007 24,928 21,203
6/30/2007 24,746 21,224
7/31/2007 24,054 20,931
8/31/2007 23,776 20,628
9/30/2007 25,013 21,800
10/31/2007 26,220 22,748
11/30/2007 24,627 21,858
12/31/2007 24,090 21,447
1/31/2008 22,139 19,513
2/29/2008 21,852 19,867
3/31/2008 22,115 19,583
4/30/2008 23,096 20,672
5/31/2008 23,106 20,986
6/30/2008 20,812 19,354
7/31/2008 20,223 18,665
8/31/2008 19,370 17,943
9/30/2008 17,109 15,353
10/31/2008 12,817 12,159
11/30/2008 12,030 11,500
12/31/2008 12,929 12,106
1/31/2009 11,148 10,976
2/28/2009 9,779 9,865
3/31/2009 10,841 10,515
4/30/2009 12,832 11,871
5/31/2009 14,740 13,373
6/30/2009 14,519 13,234
7/31/2009 16,237 14,477
8/31/2009 17,159 15,170
9/30/2009 18,042 15,796
10/31/2009 17,316 15,543
11/30/2009 17,821 15,927
12/31/2009 18,030 16,181
1/31/2010 16,983 15,423
2/28/2010 17,036 15,407
3/31/2010 18,394 16,399
4/30/2010 18,076 16,155
5/31/2010 15,949 14,372
6/30/2010 15,672 14,164
7/31/2010 17,627 15,473
8/31/2010 16,757 15,011
9/30/2010 18,552 16,451
10/31/2010 19,209 17,037
11/30/2010 18,228 16,315
12/31/2010 19,936 17,629
1/31/2011 20,782 18,009
2/28/2011 21,465 18,676
3/31/2011 20,873 18,302
4/30/2011 21,983 19,299
5/31/2011 21,189 18,727
6/30/2011 20,893 18,460
7/31/2011 20,218 18,156
8/31/2011 18,050 16,621
9/30/2011 16,075 14,952
10/31/2011 17,600 16,406
11/30/2011 17,032 15,648
12/31/2011 16,577 15,477
1/31/2012 17,690 16,312
2/29/2012 18,601 17,209
3/31/2012 18,456 17,082
4/30/2012 17,791 16,792
5/31/2012 15,594 14,878
6/30/2012 16,692 15,852
7/31/2012 16,623 16,050
8/31/2012 17,301 16,508
9/30/2012 17,916 17,009
10/31/2012 18,147 17,128
11/30/2012 18,424 17,488
12/31/2012 19,330 18,017
1/31/2013 20,227 18,903
2/28/2013 19,622 18,715
3/31/2013 19,679 18,863
4/30/2013 20,647 19,722
5/31/2013 20,391 19,281
6/30/2013 19,672 18,558
7/31/2013 21,015 19,546 Past performance is not predictive of
8/31/2013 20,860 19,294 future performance.
9/30/2013 22,434 20,657
10/31/2013 23,209 21,350 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------------- MSCI data copyright MSCI 2013, all
27.90% 12.61% 8.78% rights reserved.
--------------------------------------------------------------------------------
201
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500(R) INDEX
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
U.S. Large Company Portfolio S&P 500/R/Index
---------------------------- ---------------
10/31/2003 $10,000 $10,000
11/30/2003 10,084 10,088
12/31/2003 10,603 10,617
1/31/2004 10,798 10,811
2/29/2004 10,944 10,962
3/31/2004 10,786 10,796
4/30/2004 10,615 10,627
5/31/2004 10,761 10,773
6/30/2004 10,972 10,982
7/31/2004 10,605 10,619
8/31/2004 10,641 10,661
9/30/2004 10,758 10,777
10/31/2004 10,918 10,941
11/30/2004 11,361 11,384
12/31/2004 11,745 11,772
1/31/2005 11,460 11,485
2/28/2005 11,708 11,726
3/31/2005 11,497 11,519
4/30/2005 11,285 11,300
5/31/2005 11,634 11,660
6/30/2005 11,655 11,676
7/31/2005 12,092 12,111
8/31/2005 11,979 12,000
9/30/2005 12,076 12,097
10/31/2005 11,875 11,896
11/30/2005 12,327 12,346
12/31/2005 12,330 12,350
1/31/2006 12,658 12,677
2/28/2006 12,683 12,711
3/31/2006 12,843 12,870
4/30/2006 13,020 13,042
5/31/2006 12,640 12,667
6/30/2006 12,665 12,684
7/31/2006 12,742 12,763
8/31/2006 13,047 13,066
9/30/2006 13,376 13,403
10/31/2006 13,811 13,840
11/30/2006 14,066 14,103
12/31/2006 14,268 14,301
1/31/2007 14,487 14,517
2/28/2007 14,204 14,233
3/31/2007 14,354 14,392
4/30/2007 14,999 15,030
5/31/2007 15,516 15,554
6/30/2007 15,265 15,296
7/31/2007 14,785 14,822
8/31/2007 15,006 15,044
9/30/2007 15,568 15,607
10/31/2007 15,816 15,855
11/30/2007 15,151 15,192
12/31/2007 15,056 15,086
1/31/2008 14,151 14,181
2/29/2008 13,692 13,721
3/31/2008 13,640 13,661
4/30/2008 14,299 14,327
5/31/2008 14,483 14,513
6/30/2008 13,268 13,289
7/31/2008 13,162 13,178
8/31/2008 13,347 13,368
9/30/2008 12,172 12,177
10/31/2008 10,137 10,132
11/30/2008 9,418 9,405
12/31/2008 9,521 9,505
1/31/2009 8,728 8,704
2/28/2009 7,800 7,777
3/31/2009 8,484 8,458
4/30/2009 9,296 9,268
5/31/2009 9,824 9,786
6/30/2009 9,836 9,805
7/31/2009 10,584 10,547
8/31/2009 10,965 10,928
9/30/2009 11,376 11,336
10/31/2009 11,157 11,125
11/30/2009 11,827 11,792
12/31/2009 12,056 12,020
1/31/2010 11,629 11,588
2/28/2010 11,987 11,947
3/31/2010 12,713 12,668
4/30/2010 12,907 12,868
5/31/2010 11,871 11,840
6/30/2010 11,251 11,220
7/31/2010 12,039 12,007
8/31/2010 11,500 11,464
9/30/2010 12,522 12,488
10/31/2010 12,995 12,963
11/30/2010 12,995 12,964
12/31/2010 13,864 13,831
1/31/2011 14,200 14,159
2/28/2011 14,676 14,644
3/31/2011 14,693 14,650
4/30/2011 15,115 15,084
5/31/2011 14,946 14,913
6/30/2011 14,693 14,664
7/31/2011 14,396 14,366
8/31/2011 13,620 13,586
9/30/2011 12,656 12,631
10/31/2011 14,046 14,011
11/30/2011 14,003 13,980
12/31/2011 14,155 14,123
1/31/2012 14,784 14,756
2/29/2012 15,414 15,394
3/31/2012 15,930 15,901
4/30/2012 15,829 15,801
5/31/2012 14,869 14,851
6/30/2012 15,483 15,463
7/31/2012 15,700 15,678
8/31/2012 16,046 16,031
9/30/2012 16,460 16,445
10/31/2012 16,156 16,142
11/30/2012 16,257 16,235
12/31/2012 16,395 16,383
1/31/2013 17,242 17,232
2/28/2013 17,476 17,466
3/31/2013 18,133 18,121
4/30/2013 18,485 18,470
5/31/2013 18,910 18,902
6/30/2013 18,663 18,648
7/31/2013 19,606 19,597
8/31/2013 19,031 19,030 Past performance is not predictive of
9/30/2013 19,631 19,626 future performance.
10/31/2013 20,534 20,529
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
----------------------------------------------------- The S&P data are provided by Standard
27.10% 15.16% 7.46% & Poor's Index Services Group.
--------------------------------------------------------------------------------
202
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013
The one-year period ended October 31, 2013, was characterized by generally
positive monthly returns in the international equity markets with the exception
of a sharp decline from May to June and a smaller decline in August. As
measured by the MSCI indices below for developed markets outside the U.S.,
small cap stocks generally outperformed large caps while value stocks
outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2013
--------------------------------
U.S. DOLLAR RETURN
- ------------------
MSCI World ex USA Index........... 24.65%
MSCI World ex USA Small Cap Index. 27.81%
MSCI World ex USA Value Index..... 26.12%
MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets
currencies. While the U.S. dollar depreciated against the euro, Swiss franc,
and several other European-based developed markets currencies, it appreciated
against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 MONTHS ENDED OCTOBER 31, 2013
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN
--------------------------------------------------- --------------------- ------------------
United Kingdom.................... 20.70% 20.37%
Japan............................. 64.48% 34.00%
Canada............................ 10.59% 5.99%
France............................ 27.55% 33.82%
Australia......................... 26.44% 15.47%
Switzerland....................... 27.49% 31.10%
Germany........................... 24.72% 30.85%
Spain............................. 30.69% 37.11%
Sweden............................ 24.39% 27.55%
Hong Kong......................... 14.30% 14.25%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
Gains in emerging markets were lower on average than in developed markets
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2013, returns in US dollars were
6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the
MSCI World ex USA Index (net dividends). As measured by the MSCI emerging
markets indices, small cap stocks outperformed large cap stocks while growth
stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2013
--------------------------------
U.S. DOLLAR RETURN
- ------------------
MSCI Emerging Markets Index........... 6.53%
MSCI Emerging Markets Small Cap Index. 10.29%
MSCI Emerging Markets Value Index..... 3.88%
MSCI Emerging Markets Growth Index.... 9.06%
During the period, the U.S. dollar (USD) generally appreciated against most
emerging markets currencies, except those in eastern Europe, decreasing USD
denominated returns in emerging markets.
203
12 MONTHS ENDED OCTOBER 31, 2013
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN
------------------------------------------ --------------------- ------------------
China........................ 9.32% 9.28%
South Korea.................. 9.57% 12.65%
Brazil....................... 7.85% -1.52%
Taiwan....................... 18.76% 18.08%
South Africa................. 20.85% 5.07%
India........................ 14.98% 0.65%
Russia....................... 12.94% 10.89%
Mexico....................... 1.41% 2.11%
Malaysia..................... 13.25% 9.32%
Indonesia.................... 1.33% -13.66%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
INTERNATIONAL EQUITY PORTFOLIO PERFORMANCE OVERVIEW
DFA INTERNATIONAL VALUE PORTFOLIO
The DFA International Value Portfolio seeks to capture the returns of
international large company value stocks by purchasing shares of The DFA
International Value Series, a Master Fund that invests in such stocks. Value is
measured primarily by book-to-market ratio. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2013, the Master
Fund held approximately 520 securities in 22 eligible developed countries. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Master Fund's assets.
For the 12 months ending October 31, 2013, total returns were 27.61% for the
Portfolio's Class R2 shares, 27.90% for the Portfolio's Institutional Class
shares, and 24.65% for the MSCI World ex USA Index (net dividends). The Master
Fund focuses on value stocks, as measured by book-to-market, while the Index is
neutral with regard to value or growth. As large cap value stocks generally
outperformed large cap growth stocks during the period, the Master Fund's
significantly greater exposure than the Index to these securities contributed
to the Portfolio's outperformance relative to the Index. In particular, the
Master Fund's greater exposure to value stocks in the financial sector was
beneficial as these names generally outperformed the Index. The Master Fund's
exclusion of real estate investment trusts ("REITs") also benefited the
Portfolio's performance relative to the Index as REITs underperformed during
the period. Differences in the valuation timing and methodology between the
Master Fund and the Index generally detracted from the Portfolio's performance
relative to the Index. The Master Fund prices foreign exchange rates at the
closing of the U.S. markets while the Index uses rates at 4 pm London time. The
Master Fund also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. markets while the Index uses local market
closing prices.
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013
The one-year period ended October 31, 2013, was characterized by strong
gains in U.S. equities. The broad U.S. equity market, as measured by the
Russell 3000(R) Index, had positive returns in 10 of the 12 months.
The size premium was positive during the period with small cap stocks
outperforming large cap stocks as measured by the Russell indices. Micro cap
stocks were the strongest performers.
204
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013
-------------------------------------------------
Russell 3000(R) Index........................ 28.99%
Russell Microcap(R) Index (micro cap stocks). 38.72%
Russell 2000(R) Index (small cap stocks)..... 36.28%
Russell 1000(R) Index (large cap stocks)..... 28.40%
Dow Jones U.S. Select REIT Index/SM/......... 9.96%
The value premium was negative in small cap stocks while the performance of
large cap value and large cap growth was almost identical as measured by the
Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013
-------------------------------------------------
Russell 2000(R) Value Index (small cap value stocks)... 32.83%
Russell 2000(R) Growth Index (small cap growth stocks). 39.84%
Russell 1000(R) Value Index (large cap value stocks)... 28.29%
Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
----------
Source: Russell data copyright (C) Russell Investment Group 1995-2013, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/ growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
12 months ended October 31, 2013, were primarily attributable to differences in
value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value, small cap, and/or micro cap companies relative to
widely used benchmarks.
U.S. LARGE COMPANY PORTFOLIO
The U.S. Large Company Portfolio seeks to approximate the returns of the S&P
500(R) Index by investing in S&P 500(R) Index securities in approximately the
same proportions as they are represented in the Index. In addition to
individual stocks, the Portfolio uses futures to gain market exposure for
uninvested cash. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2013, the total return was 27.10% for
the Portfolio and 27.18% for the S&P 500(R) Index. The Portfolio's return is
net of fees and expenses. The impact of fees and expenses was primarily
responsible for the performance difference.
205
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2013
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/13 10/31/13 RATIO* PERIOD*
--------- --------- ---------- --------
DFA INTERNATIONAL VALUE PORTFOLIO**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,123.00 0.67% $3.59
Institutional Class Shares......... $1,000.00 $1,124.10 0.43% $2.30
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,021.83 0.67% $3.41
Institutional Class Shares......... $1,000.00 $1,023.04 0.43% $2.19
206
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/13 10/31/13 RATIO* PERIOD*
--------- --------- ---------- --------
U.S. LARGE COMPANY PORTFOLIO
----------------------------
Actual Fund Return............ $1,000.00 $1,110.90 0.09% $0.48
Hypothetical 5% Annual Return. $1,000.00 $1,024.75 0.09% $0.46
----------
* 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 (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
207
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 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 Affiliated Investment Company'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....................... 12.5%
Consumer Staples............................. 10.2%
Energy....................................... 10.5%
Financials................................... 14.1%
Health Care.................................. 13.0%
Industrials.................................. 10.8%
Information Technology....................... 17.8%
Materials.................................... 3.5%
Real Estate Investment Trusts................ 2.0%
Telecommunication Services................... 2.5%
Utilities.................................... 3.1%
-----
100.0%
208
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
VALUE+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $6,528,252,884
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $5,271,384,583)............................. $6,528,252,884
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
209
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.8%)
Consumer Discretionary -- (12.0%)
* Amazon.com, Inc.................... 114,712 $ 41,758,609 0.9%
Comcast Corp. Class A.............. 810,716 38,573,867 0.8%
Home Depot, Inc. (The)............. 444,014 34,584,250 0.7%
McDonald's Corp.................... 309,860 29,907,687 0.6%
Walt Disney Co. (The).............. 514,981 35,322,547 0.7%
Other Securities................... 424,800,285 8.6%
------------ ------
Total Consumer Discretionary........... 604,947,245 12.3%
------------ ------
Consumer Staples -- (9.8%)
Altria Group, Inc.................. 621,306 23,131,222 0.5%
Coca-Cola Co. (The)................ 1,181,763 46,762,362 0.9%
CVS Caremark Corp.................. 380,757 23,705,931 0.5%
PepsiCo, Inc....................... 478,040 40,198,384 0.8%
Philip Morris International, Inc... 501,701 44,711,593 0.9%
Procter & Gamble Co. (The)......... 848,933 68,551,340 1.4%
Wal-Mart Stores, Inc............... 504,546 38,723,905 0.8%
Other Securities................... 208,289,380 4.2%
------------ ------
Total Consumer Staples................. 494,074,117 10.0%
------------ ------
Energy -- (10.1%)
Chevron Corp....................... 598,869 71,840,325 1.5%
ConocoPhillips..................... 379,095 27,787,664 0.6%
Exxon Mobil Corp................... 1,364,373 122,275,108 2.5%
Occidental Petroleum Corp.......... 249,762 23,997,133 0.5%
Schlumberger, Ltd.................. 410,147 38,438,977 0.8%
Other Securities................... 225,470,233 4.5%
------------ ------
Total Energy........................... 509,809,440 10.4%
------------ ------
Financials -- (13.5%)
American Express Co................ 287,597 23,525,435 0.5%
American International Group, Inc.. 457,622 23,636,176 0.5%
Bank of America Corp............... 3,330,044 46,487,414 0.9%
* Berkshire Hathaway, Inc. Class B... 557,922 64,205,664 1.3%
Citigroup, Inc..................... 942,626 45,981,296 0.9%
JPMorgan Chase & Co................ 1,166,787 60,136,202 1.2%
Wells Fargo & Co................... 1,497,743 63,938,649 1.3%
Other Securities................... 355,099,998 7.3%
------------ ------
Total Financials....................... 683,010,834 13.9%
------------ ------
Health Care -- (12.5%)
AbbVie, Inc........................ 491,435 23,810,026 0.5%
Amgen, Inc......................... 233,518 27,088,088 0.6%
Bristol-Myers Squibb Co............ 510,311 26,801,534 0.5%
#* Gilead Sciences, Inc............... 474,448 33,681,064 0.7%
Johnson & Johnson.................. 873,518 80,896,502 1.6%
Merck & Co., Inc................... 907,088 40,900,598 0.8%
Pfizer, Inc........................ 2,052,092 62,958,183 1.3%
UnitedHealth Group, Inc............ 315,146 21,511,866 0.4%
Other Securities................... 312,439,051 6.4%
------------ ------
Total Health Care...................... 630,086,912 12.8%
------------ ------
210
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Industrials -- (10.3%)
3M Co.............................................. 201,262 $ 25,328,823 0.5%
Boeing Co. (The)................................... 215,146 28,076,553 0.6%
General Electric Co................................ 3,156,664 82,515,197 1.7%
Union Pacific Corp................................. 143,778 21,767,989 0.4%
United Parcel Service, Inc. Class B................ 223,945 22,000,357 0.4%
United Technologies Corp........................... 261,648 27,800,100 0.6%
Other Securities................................... 314,852,424 6.4%
-------------- ------
Total Industrials........................................ 522,341,443 10.6%
-------------- ------
Information Technology -- (17.0%)
^^ Apple, Inc......................................... 281,607 147,097,416 3.0%
Cisco Systems, Inc................................. 1,661,918 37,393,155 0.7%
* Google, Inc. Class A............................... 86,710 89,361,592 1.8%
Intel Corp......................................... 1,544,269 37,726,492 0.8%
International Business Machines Corp............... 319,176 57,199,531 1.2%
Mastercard, Inc. Class A........................... 32,155 23,058,350 0.5%
Microsoft Corp..................................... 2,349,651 83,060,163 1.7%
Oracle Corp........................................ 1,105,266 37,026,411 0.7%
QUALCOMM, Inc...................................... 531,730 36,939,283 0.7%
Visa, Inc. Class A................................. 160,005 31,468,183 0.6%
Other Securities................................... 280,366,312 5.8%
-------------- ------
Total Information Technology............................. 860,696,888 17.5%
-------------- ------
Materials -- (3.3%)
Other Securities................................... 169,897,794 3.5%
-------------- ------
Real Estate Investment Trusts -- (1.9%)
Other Securities................................... 94,307,577 1.9%
-------------- ------
Telecommunication Services -- (2.4%)
AT&T, Inc.......................................... 1,646,249 59,594,214 1.2%
Verizon Communications, Inc........................ 887,024 44,803,582 0.9%
Other Securities................................... 16,150,126 0.3%
-------------- ------
Total Telecommunication Services......................... 120,547,922 2.4%
-------------- ------
Utilities -- (3.0%)
Other Securities................................... 151,721,926 3.1%
-------------- ------
TOTAL COMMON STOCKS...................................... 4,841,442,098 98.4%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (1.4%)
^^ State Street Institutional Liquid Reserves, 0.073%. 68,839,949 68,839,949 1.4%
-------------- ------
SHARES/
FACE
AMOUNT
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (2.8%)
(S)@ DFA Short Term Investment Fund..................... 12,245,750 $ 141,683,331 2.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,728,012,931)................................ $5,051,965,378 102.7%
============== ======
211
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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........ $ 604,947,245 -- -- $ 604,947,245
Consumer Staples.............. 494,074,117 -- -- 494,074,117
Energy........................ 509,809,440 -- -- 509,809,440
Financials.................... 683,010,834 -- -- 683,010,834
Health Care................... 630,086,912 -- -- 630,086,912
Industrials................... 522,341,443 -- -- 522,341,443
Information Technology........ 860,696,888 -- -- 860,696,888
Materials..................... 169,897,794 -- -- 169,897,794
Real Estate Investment Trusts. 94,307,577 -- -- 94,307,577
Telecommunication Services.... 120,547,922 -- -- 120,547,922
Utilities..................... 151,721,926 -- -- 151,721,926
Temporary Cash Investments...... 68,839,949 -- -- 68,839,949
Securities Lending Collateral... -- $141,683,331 -- 141,683,331
Futures Contracts**............. 2,265,842 -- -- 2,265,842
-------------- ------------ -- --------------
TOTAL........................... $4,912,547,889 $141,683,331 -- $5,054,231,220
============== ============ == ==============
**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.
212
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(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................................ $ 6,528,253 $ --
Investments at Value (including $0 and $138,383 of securities on loan, respectively). $ -- $ 4,841,442
Temporary Cash Investments at Value & Cost........................................... -- 68,840
Collateral from Securities on Loan Invested in Affiliate at Value & Cost............. -- 141,683
Segregated Cash for Futures Contracts................................................ -- 3,440
Receivables:
Dividends, Interest and Tax Reclaims............................................... -- 4,961
Securities Lending Income.......................................................... -- 19
Fund Shares Sold................................................................... 5,719 2,753
From Advisor....................................................................... -- 66
Prepaid Expenses and Other Assets.................................................... 78 65
-------------- ------------
Total Assets.................................................................... 6,534,050 5,063,269
-------------- ------------
LIABILITIES:
Payables:
Due to Custodian................................................................... -- 315
Upon Return of Securities Loaned................................................... -- 141,683
Fund Shares Redeemed............................................................... 4,792 2,790
Due to Advisor..................................................................... 1,092 --
Futures Margin Variation........................................................... -- 405
Accrued Expenses and Other Liabilities............................................... 294 740
-------------- ------------
Total Liabilities............................................................... 6,178 145,933
-------------- ------------
NET ASSETS........................................................................... $ 6,527,872 $ 4,917,336
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $5,517 and $0 and shares outstanding of
283,528 and 0, respectively......................................................... $ 19.46 $ N/A
============== ============
NUMBER OF SHARES AUTHORIZED.......................................................... 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net assets of $6,522,355 and $4,917,336 and
shares outstanding of 335,372,731 and 354,537,647, respectively..................... $ 19.45 $ 13.87
============== ============
NUMBER OF SHARES AUTHORIZED.......................................................... 1,500,000,000 900,000,000
============== ============
Investments in Affiliated Investment Companies at Cost............................... $ 5,271,385 $ --
============== ============
Investments at Cost.................................................................. $ -- $ 2,517,490
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital...................................................................... $ 5,868,866 $ 2,977,770
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)............................................................................. 14,422 12,679
Accumulated Net Realized Gain (Loss)................................................. (612,632) (399,331)
Net Unrealized Foreign Exchange Gain (Loss).......................................... 348 --
Net Unrealized Appreciation (Depreciation)........................................... 1,256,868 2,326,218
-------------- ------------
NET ASSETS........................................................................... $ 6,527,872 $ 4,917,336
============== ============
See accompanying Notes to Financial Statements.
213
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS)
DFA
INTERNATIONAL U.S. LARGE
VALUE COMPANY
PORTFOLIO* PORTFOLIO
------------- ----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $14,975 and $0, respectively)............... $ 193,378 $ --
Interest................................................................................ 5 --
Income from Securities Lending.......................................................... 9,968 --
Expenses Allocated from Affiliated Investment Company................................... (13,256) --
---------- ----------
Total Net Investment Income Received from Affiliated Investment Companies............ 190,095 --
---------- ----------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and $55, respectively)................... $ -- $ 99,082
Interest................................................................................ -- 81
Income from Securities Lending.......................................................... -- 334
---------- ----------
Total Investment Income.............................................................. -- 99,497
---------- ----------
EXPENSES
Investment Advisory Services Fees....................................................... -- 1,120
Administrative Services Fees............................................................ 11,871 2,066
Accounting & Transfer Agent Fees........................................................ 67 348
S&P 500(R) Fees......................................................................... -- 98
Shareholder Servicing Fees -- Class R2 Shares........................................... 18 --
Custodian Fees.......................................................................... -- 54
Filing Fees............................................................................. 92 67
Shareholders' Reports................................................................... 159 122
Directors'/Trustees' Fees & Expenses.................................................... 64 48
Professional Fees....................................................................... 77 445
Other................................................................................... 87 88
---------- ----------
Total Expenses....................................................................... 12,435 4,456
---------- ----------
Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor
(Note C)............................................................................... -- (229)
---------- ----------
Net Expenses............................................................................ 12,435 4,227
---------- ----------
NET INVESTMENT INCOME (LOSS)............................................................ 177,660 95,270
---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment Securities -- 409
Net Realized Gain (Loss) on:
Investment Securities Sold............................................................ 296,792 180,412
Futures............................................................................... (1,213) 8,021
Foreign Currency Transactions**....................................................... (1,636) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................................ 993,902 780,086
Futures............................................................................... 27 2,321
Translation of Foreign Currency Denominated Amounts................................... 396 --
---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................................. 1,288,268 971,249
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................... $1,465,928 $1,066,519
========== ==========
----------
* 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.
214
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL VALUE U.S. LARGE COMPANY
PORTFOLIO PORTFOLIO
------------------------ ----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2013 2012
----------- ----------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................. $ 177,660 $ 186,021 $ 95,270 $ 83,523
Capital Gain Distributions Received from Investment
Securities................................................... -- -- 409 543
Net Realized Gain (Loss) on:
Investment Securities Sold.................................. 296,792 74,190 180,412 68,937
Futures..................................................... (1,213) -- 8,021 12,993
Foreign Currency Transactions*.............................. (1,636) (951) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 993,902 (96,127) 780,086 393,550
Futures..................................................... 27 -- 2,321 (3,799)
Translation of Foreign Currency Denominated Amounts......... 396 (209) -- --
----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ 1,465,928 162,924 1,066,519 555,747
----------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Class R2 Shares............................................. (218) (205) -- --
Institutional Class Shares.................................. (189,040) (180,761) (94,840) (81,785)
----------- ----------- ---------- ----------
Total Distributions........................................ (189,258) (180,966) (94,840) (81,785)
----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................................. 1,466,636 1,339,320 774,924 610,737
Shares Issued in Lieu of Cash Distributions................... 178,512 168,269 82,335 70,255
Shares Redeemed............................................... (1,881,241) (1,295,677) (948,938) (879,631)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Capital Share Transactions.... (236,093) 211,912 (91,679) (198,639)
----------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets.................... 1,040,577 193,870 880,000 275,323
NET ASSETS
Beginning of Year............................................. 5,487,295 5,293,425 4,037,336 3,762,013
----------- ----------- ---------- ----------
End of Year................................................... $ 6,527,872 $ 5,487,295 $4,917,336 $4,037,336
=========== =========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................. 83,922 89,258 62,326 57,663
Shares Issued in Lieu of Cash Distributions................... 10,436 11,721 6,727 6,768
Shares Redeemed............................................... (107,838) (86,334) (76,529) (82,571)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. (13,480) 14,645 (7,476) (18,140)
=========== =========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME)...................................... $ 14,422 $ 27,224 $ 12,679 $ 12,249
----------
* Net of foreign capital gain taxes withheld of $2, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
215
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-CLASS R2 SHARES+
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $15.72 $15.83 $17.82 $17.13 $13.58
------ ------ ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.49 0.51 0.53 0.37 0.42
Net Gains (Losses) on Securities (Realized and Unrealized). 3.77 (0.13) (2.00) 1.29 4.10
------ ------ ------ ------ ------
Total from Investment Operations.......................... 4.26 0.38 (1.47) 1.66 4.52
-----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.52) (0.49) (0.52) (0.97) (0.97)
------ ------ ------ ------ ------
Total Distributions....................................... (0.52) (0.49) (0.52) (0.97) (0.97)
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $19.46 $15.72 $15.83 $17.82 $17.13
============================================================= ========= ========= ========= ========= =========
Total Return................................................. 27.61% 2.70% (8.53)% 10.60% 34.86%
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $5,517 $6,407 $6,102 $4,952 $3,443
Ratio of Expenses to Average Net Assets (B).................. 0.69% 0.71% 0.71% 0.72% 0.74%
Ratio of Net Investment Income to Average Net Assets......... 2.84% 3.33% 2.97% 2.11% 2.96%
-----------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 15.72 $ 15.83 $ 17.81 $ 16.46 $ 12.54
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.52 0.54 0.58 0.39 0.40
Net Gains (Losses) on Securities (Realized and Unrealized). 3.78 (0.12) (1.99) 1.34 3.92
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 4.30 0.42 (1.41) 1.73 4.32
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.57) (0.53) (0.57) (0.38) (0.40)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.57) (0.53) (0.57) (0.38) (0.40)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 19.45 $ 15.72 $ 15.83 $ 17.81 $ 16.46
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 27.90% 2.98% (8.26)% 10.94% 35.11%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $6,522,355 $5,480,888 $5,287,323 $5,157,857 $4,437,846
Ratio of Expenses to Average Net Assets (B).................. 0.43% 0.45% 0.45% 0.45% 0.46%
Ratio of Net Investment Income to Average Net Assets......... 3.00% 3.54% 3.26% 2.34% 3.00%
--------------------------------------------------------------------------------------------------------------------------
See page 1 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.
216
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO
-------------------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.................................... $ 11.15 $ 9.90 $ 9.34 $ 8.16
---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.27 0.22 0.19 0.18
Net Gains (Losses) on Securities (Realized and Unrealized)........... 2.71 1.25 0.56 1.15
---------- ---------- ---------- ----------
Total from Investment Operations................................... 2.98 1.47 0.75 1.33
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.26) (0.22) (0.19) (0.15)
---------- ---------- ---------- ----------
Total Distributions................................................ (0.26) (0.22) (0.19) (0.15)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.......................................... $ 13.87 $ 11.15 $ 9.90 $ 9.34
===================================================================== ========== ========== ========== ==========
Total Return.......................................................... 27.10% 15.02% 8.09% 16.47%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................... $4,917,336 $4,037,336 $3,762,013 $3,712,973
Ratio of Expenses to Average Net Assets............................... 0.09% 0.10% 0.10% 0.10%**
Ratio of Expenses to Average Net Assets (Excluding Waivers and
Assumption of Expenses and/or Recovery of Previously Waived Fees).... 0.10% 0.10% 0.10% 0.11%**
Ratio of Net Investment Income to Average Net Assets.................. 2.13% 2.10% 1.95% 1.99%
Portfolio Turnover Rate............................................... 3% 4% 4% 1%*
-------------------------------------------------------------------------------------------------------------------------
---------
YEAR
ENDED
OCT. 31,
2009
-----------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.................................... $ 7.62
--------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.18
Net Gains (Losses) on Securities (Realized and Unrealized)........... 0.55
--------
Total from Investment Operations................................... 0.73
-----------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.19)
--------
Total Distributions................................................ (0.19)
-----------------------------------------------------------------------------------
Net Asset Value, End of Year.......................................... $ 8.16
===================================================================== ========
Total Return.......................................................... 10.07%
-----------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................... $785,689
Ratio of Expenses to Average Net Assets............................... 0.10%(B)
Ratio of Expenses to Average Net Assets (Excluding Waivers and
Assumption of Expenses and/or Recovery of Previously Waived Fees).... 0.13%(B)
Ratio of Net Investment Income to Average Net Assets.................. 2.53%
Portfolio Turnover Rate............................................... N/A
-----------------------------------------------------------------------------------
See page 1 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.
217
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group, Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, two of which, DFA International Value Portfolio and U.S. Large
Company Portfolio (the "Portfolios"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
DFA International Value Portfolio (the "Feeder Fund") primarily invests its
assets in The DFA International Value Series (the "Series"), a corresponding
series of The DFA Investment Trust Company. At October 31, 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 Feeder Fund.
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
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.
218
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.
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. This valuation is 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, 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
219
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 year ended October 31, 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 October 31, 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 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. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or Portfolios are allocated using
methods approved by the Board of Directors/Trustees, generally based on average
net assets.
Class 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 year ended October 31, 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%
* The administrative services fee has been adjusted to reflect the actual fee
paid by the Portfolio for the year ended October 31, 2013 as a result of a
decrease in the administrative services fee from 0.05% to 0.035% effective
August 1, 2013.
220
For the year ended October 31, 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 Agreements for the
DFA International Value Portfolio and the U.S. Large Company Portfolio will
remain in effect through February 28, 2014 and February 28, 2015, respectively,
and shall continue in effect from year to year thereafter unless terminated by
the Fund or the Advisor. For the year ended October 31, 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/
OF PREVIOUSLY EXPENSES
WAIVED FEES/ ASSUMED
EXPENSE EXPENSES SUBJECT TO FUTURE
LIMITATION AMOUNT ASSUMED RECOVERY
----------------- ------------- -----------------
DFA International Value Portfolio -- Class R2 Shares (1). 0.79% -- --
U.S. Large Company Portfolio (2)......................... 0.08% $123 $519
(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) Effective August 1, 2013, 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") of the Portfolio so that the Portfolio Expenses, on an
annualized basis, do not exceed the rate listed above as a percentage of the
Portfolio's average net assets (the "Expense Limitation Amount"). At any time
that the annualized 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 the amount of such recovery will not cause the
annualized Portfolio Expenses of the Portfolio to exceed the Expense Limitation
Amount, as listed above.
Prior to August 1, 2013, the Advisor 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") of the Portfolio so that such Portfolio Expenses did not exceed
0.10% of the Portfolio's average net assets on an annualized basis (the
"Previous Expense Limitation Amount"). At any time that the Portfolio Expenses
of the Portfolio were less than the Previous Expense Limitation Amount, 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 Previous Expense
Limitation Amount.
221
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the year ended October 31, 2013, the total
related amounts paid by the Fund to the CCO were $30 (in thousands). The total
related amounts paid by each Portfolio are included in Other Expenses on the
Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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. $180
U.S. Large Company Portfolio...... 240
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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. $133,472 $289,064
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 losses, or unrealized
appreciation, as appropriate, in the period that the differences arise.
Accordingly, the following permanent differences as of October 31, 2013,
primarily attributable to net foreign currency gains/losses, foreign capital
gains tax reclass 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. $(1,204) $1,204
U.S. Large Company Portfolio...... -- --
222
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2012 and October 31, 2013 were as follows (amounts
in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM
CAPITAL GAINS TOTAL
-------------- --------
DFA International Value Portfolio
2012.............................. $180,966 $180,966
2013.............................. 189,258 189,258
U.S. Large Company Portfolio
2012.............................. 81,785 81,785
2013.............................. 94,840 94,840
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND CAPITAL OTHER UNREALIZED EARNINGS
SHORT-TERM LOSS TEMPORARY APPRECIATION (ACCUMULATED
CAPITAL GAINS CARRYFOWARD DIFFERENCES (DEPRECIATION) LOSSES)
-------------- ----------- ----------- -------------- -------------
DFA International Value Portfolio. $19,332 $(611,811) -- $1,251,780 $ 659,301
U.S. Large Company Portfolio...... 12,923 (180,406) $46,568 2,060,725 1,939,810
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, 2013, the
Portfolios had the following 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 TOTAL
-------- ------- ------- --------
DFA International Value Portfolio. $611,811 -- -- $611,811
U.S. Large Company Portfolio...... 55,911 $80,822 $43,673 180,406
During the year ended October 31, 2013, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amount in thousands):
DFA International Value Portfolio. $295,092
U.S. Large Company Portfolio...... 166,609
At October 31, 2013, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION)
---------- ------------ --------------
DFA International Value Portfolio. $5,276,821 $1,251,432 $1,251,432
U.S. Large Company Portfolio...... 2,991,240 2,062,991 2,062,991
223
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):
YEAR ENDED YEAR ENDED
OCT. 31, 2013 OCT. 31, 2012
--------------------- --------------------
AMOUNT SHARES AMOUNT SHARES
----------- -------- ----------- -------
DFA INTERNATIONAL VALUE PORTFOLIO
Class R2 Shares
Shares Issued........................................ $ 1,969 112 $ 2,362 154
Shares Issued in Lieu of Cash Distributions.......... 218 13 204 14
Shares Redeemed...................................... (4,454) (249) (2,235) (146)
----------- -------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ (2,267) (124) $ 331 22
=========== ======== =========== =======
Institutional Class Shares
Shares Issued........................................ $ 1,464,667 83,810 $ 1,336,958 89,104
Shares Issued in Lieu of Cash Distributions.......... 178,294 10,423 168,065 11,707
Shares Redeemed...................................... (1,876,787) (107,589) (1,293,442) (86,188)
----------- -------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ (233,826) (13,356) $ 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.
224
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. 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 October 31, 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 12/20/13 839 $73,454 $2,266 $3,440
* During the year ended October 31, 2013, U.S. Large Company Portfolio's
average notional contract amount of outstanding futures contracts was $56,242
(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 year ended
October 31, 2013 (amounts in thousands):
ASSET DERIVATIVES VALUE
------------------------
LOCATION ON THE
STATEMENTS OF ASSETS AND
LIABILITIES EQUITY CONTRACTS
------------------------ ------------------------
U.S. Large Company Payables: Futures Margin $2,266*
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 for the year
ended October 31, 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
225
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 through the year ended
October 31, 2013 (amounts in thousands):
REALIZED GAIN (LOSS)
ON DERIVATIVES
RECOGNIZED IN INCOME
--------------------------------
EQUITY
CONTRACTS
--------------------------------
U.S. Large Company Portfolio. $8,021
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
DERIVATIVES RECOGNIZED IN INCOME
--------------------------------
EQUITY
CONTRACTS
--------------------------------
U.S. Large Company Portfolio. $2,321
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.
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 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 year ended October 31, 2013, borrowings by the Portfolios under the
lines 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. 0.91% $13,024 8 $3 $28,962
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2013, that the Portfolio's available line
of credit was utilized.
There were no outstanding borrowings by the Portfolios under the lines of
credit as of October 31, 2013.
226
J. SECURITIES LENDING:
As of October 31, 2013, U.S. Large Company Portfolio had securities on loan
to brokers/dealers, for which the Portfolio received cash collateral. 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. RECENTLY ISSUED ACCOUNTING STANDARDS:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's financial statements to understand the effect of those arrangements on
its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as
applying to derivatives accounted for in accordance with Topic 815, Derivatives
and Hedging, including bifurcated embedded derivatives, repurchase agreements
and reverse repurchase agreements, and securities borrowing and securities
lending transactions that are offset either in accordance with other
requirements of GAAP or subject to an enforceable master netting arrangement or
similar agreement. ASU No. 2011-11 is effective for annual periods beginning on
or after January 1, 2013, and interim periods within those annual periods.
Management is evaluating any impact ASU No. 2011-11 may have on the financial
statements.
227
N. OTHER:
At October 31, 2013, the following number of shareholders held the following
approximate percentages of the stated portfolios' 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............ 5 93%
DFA International Value Portfolio -- Institutional Class Shares. 3 64%
U.S. Large Company Portfolio.................................... 3 75%
O. SUBSEQUENT EVENT EVALUATIONS:
On December 13, 2013, the Board of DIG voted to approve the combination of
the Investment Advisory Agreement and the Administration Agreement (together,
the "Current Agreements") into a bundled Investment Management Agreement for
the U.S. Large Company Portfolio. It is expected that the Investment Management
Agreement will become effective on February 28, 2014. The nature and level of
services to the Portfolio under the Investment Management Agreement will be the
same as under the Current Agreements. When the Investment Management Agreement
becomes effective, the Portfolio will pay the Advisor an investment management
fee that is equal to the sum of the current investment advisory fee and current
administration fee that is paid by the Portfolio to the Advisor under the
Current Agreements.
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no other subsequent events
requiring recognition or disclosure in the financial statements.
228
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND
BOARD OF DIRECTORS OF DIMENSIONAL INVESTMENT GROUP INC.:
In our opinion, the accompanying statements of assets and liabilities,
including the schedule of investments/summary schedule of portfolio holdings,
and the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of DFA International Value Portfolio and U.S. Large Company Portfolio
(constituting portfolios within Dimensional Investment Group Inc., hereafter
referred to as the "Portfolios") at October 31, 2013, the results of each of
their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolios' management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with the standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2013 by
correspondence with the custodians, brokers, and the transfer agents of the
investee funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
229
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
The U.S. Large Cap
Value Series Russell 1000/R/ Value Index
------------------ ----------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,224 10,136
12/31/2003 10,926 10,760
1/31/2004 11,113 10,950
2/29/2004 11,399 11,184
3/31/2004 11,353 11,086
4/30/2004 11,166 10,815
5/31/2004 11,226 10,925
6/30/2004 11,565 11,183
7/31/2004 11,191 11,026
8/31/2004 11,191 11,182
9/30/2004 11,535 11,356
10/31/2004 11,675 11,544
11/30/2004 12,440 12,128
12/31/2004 12,939 12,534
1/31/2005 12,615 12,311
2/28/2005 12,999 12,719
3/31/2005 12,964 12,545
4/30/2005 12,525 12,320
5/31/2005 13,059 12,617
6/30/2005 13,328 12,755
7/31/2005 13,992 13,124
8/31/2005 13,877 13,067
9/30/2005 14,091 13,250
10/31/2005 13,717 12,914
11/30/2005 14,265 13,336
12/31/2005 14,284 13,416
1/31/2006 14,965 13,937
2/28/2006 14,915 14,022
3/31/2006 15,180 14,212
4/30/2006 15,606 14,573
5/31/2006 15,322 14,205
6/30/2006 15,453 14,295
7/31/2006 15,232 14,643
8/31/2006 15,481 14,888
9/30/2006 15,910 15,185
10/31/2006 16,541 15,682
11/30/2006 16,855 16,040
12/31/2006 17,193 16,400
1/31/2007 17,695 16,610
2/28/2007 17,429 16,351
3/31/2007 17,550 16,603
4/30/2007 18,297 17,217
5/31/2007 19,051 17,838
6/30/2007 18,745 17,421
7/31/2007 17,583 16,616
8/31/2007 17,247 16,802
9/30/2007 17,697 17,379
10/31/2007 17,796 17,381
11/30/2007 16,802 16,531
12/31/2007 16,746 16,371
1/31/2008 16,106 15,716
2/29/2008 15,612 15,057
3/31/2008 15,466 14,944
4/30/2008 16,441 15,673
5/31/2008 16,836 15,648
6/30/2008 14,991 14,150
7/31/2008 14,827 14,099
8/31/2008 15,115 14,339
9/30/2008 13,757 13,285
10/31/2008 10,664 10,985
11/30/2008 9,618 10,198
12/31/2008 9,931 10,339
1/31/2009 8,752 9,150
2/28/2009 7,526 7,928
3/31/2009 8,269 8,606
4/30/2009 9,607 9,528
5/31/2009 10,343 10,117
6/30/2009 10,216 10,042
7/31/2009 11,189 10,864
8/31/2009 11,949 11,433
9/30/2009 12,471 11,874
10/31/2009 11,933 11,511
11/30/2009 12,606 12,160
12/31/2009 12,954 12,375
1/31/2010 12,653 12,027
2/28/2010 13,199 12,407
3/31/2010 14,228 13,214
4/30/2010 14,679 13,556
5/31/2010 13,421 12,442
6/30/2010 12,408 11,742
7/31/2010 13,381 12,536
8/31/2010 12,574 12,000
9/30/2010 13,801 12,931
10/31/2010 14,315 13,319
11/30/2010 14,204 13,248
12/31/2010 15,589 14,294
1/31/2011 16,088 14,617
2/28/2011 16,958 15,156
3/31/2011 17,037 15,217
4/30/2011 17,473 15,622
5/31/2011 17,219 15,457
6/30/2011 16,919 15,140
7/31/2011 16,143 14,638
8/31/2011 14,782 13,724
9/30/2011 13,286 12,687
10/31/2011 15,130 14,139
11/30/2011 15,004 14,066
12/31/2011 15,122 14,350
1/31/2012 15,874 14,893
2/29/2012 16,792 15,486
3/31/2012 17,101 15,945
4/30/2012 16,752 15,783
5/31/2012 15,565 14,857
6/30/2012 16,404 15,595
7/31/2012 16,563 15,756
8/31/2012 17,219 16,098
9/30/2012 17,852 16,609
10/31/2012 17,900 16,528
11/30/2012 17,939 16,521
12/31/2012 18,485 16,862
1/31/2013 19,775 17,958
2/28/2013 20,029 18,216
3/31/2013 20,986 18,937
4/30/2013 21,208 19,224
5/31/2013 22,078 19,717 Past performance is not predictive of
6/30/2013 21,833 19,543 future performance.
7/31/2013 23,139 20,599
8/31/2013 22,458 19,817 The returns shown do not reflect the
9/30/2013 23,115 20,314 deduction of taxes that a shareholder
10/31/2013 24,286 21,203 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
---------------------------------------------------------- Investment Group 1995-2013, all rights
35.68% 17.89% 9.28% reserved.
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
The DFA International MSCI World ex USA Index
Value Series (net dividends)
--------------------- -----------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,214 10,227
12/31/2003 10,981 11,011
1/31/2004 11,262 11,164
2/29/2004 11,601 11,421
3/31/2004 11,782 11,478
4/30/2004 11,426 11,178
5/31/2004 11,542 11,230
6/30/2004 12,019 11,489
7/31/2004 11,575 11,139
8/31/2004 11,726 11,185
9/30/2004 12,101 11,511
10/31/2004 12,564 11,925
11/30/2004 13,498 12,718
12/31/2004 14,170 13,255
1/31/2005 14,029 12,994
2/28/2005 14,584 13,572
3/31/2005 14,224 13,264
4/30/2005 13,792 12,926
5/31/2005 13,810 12,950
6/30/2005 14,031 13,161
7/31/2005 14,657 13,586
8/31/2005 15,140 13,961
9/30/2005 15,566 14,599
10/31/2005 15,332 14,127
11/30/2005 15,605 14,501
12/31/2005 16,369 15,173
1/31/2006 17,487 16,133
2/28/2006 17,655 16,079
3/31/2006 18,400 16,589
4/30/2006 19,332 17,382
5/31/2006 18,549 16,722
6/30/2006 18,432 16,700
7/31/2006 18,716 16,857
8/31/2006 19,360 17,336
9/30/2006 19,628 17,322
10/31/2006 20,499 18,006
11/30/2006 21,181 18,543
12/31/2006 22,007 19,074
1/31/2007 22,422 19,191
2/28/2007 22,402 19,344
3/31/2007 23,126 19,840
4/30/2007 24,293 20,742
5/31/2007 25,124 21,203
6/30/2007 24,941 21,224
7/31/2007 24,247 20,931
8/31/2007 23,975 20,628
9/30/2007 25,227 21,800
10/31/2007 26,451 22,748
11/30/2007 24,848 21,858
12/31/2007 24,313 21,447
1/31/2008 22,343 19,513
2/29/2008 22,059 19,867
3/31/2008 22,323 19,583
4/30/2008 23,321 20,672
5/31/2008 23,332 20,986
6/30/2008 21,024 19,354
7/31/2008 20,429 18,665
8/31/2008 19,576 17,943
9/30/2008 17,289 15,353
10/31/2008 12,954 12,159
11/30/2008 12,159 11,500
12/31/2008 13,079 12,106
1/31/2009 11,273 10,976
2/28/2009 9,888 9,865
3/31/2009 10,967 10,515
4/30/2009 12,988 11,871
5/31/2009 14,918 13,373
6/30/2009 14,691 13,234
7/31/2009 16,439 14,477
8/31/2009 17,381 15,170
9/30/2009 18,267 15,796
10/31/2009 17,540 15,543
11/30/2009 18,063 15,927
12/31/2009 18,267 16,181
1/31/2010 17,211 15,423
2/28/2010 17,279 15,407
3/31/2010 18,642 16,399
4/30/2010 18,324 16,155
5/31/2010 16,178 14,372
6/30/2010 15,894 14,164
7/31/2010 17,881 15,473
8/31/2010 17,007 15,011
9/30/2010 18,835 16,451
10/31/2010 19,493 17,037
11/30/2010 18,517 16,315
12/31/2010 20,242 17,629
1/31/2011 21,105 18,009
2/28/2011 21,809 18,676
3/31/2011 21,207 18,302
4/30/2011 22,343 19,299
5/31/2011 21,537 18,727
6/30/2011 21,241 18,460
7/31/2011 20,560 18,156
8/31/2011 18,358 16,621
9/30/2011 16,348 14,952
10/31/2011 17,926 16,406
11/30/2011 17,336 15,648
12/31/2011 16,870 15,477
1/31/2012 18,006 16,312
2/29/2012 18,948 17,209
3/31/2012 18,789 17,082
4/30/2012 18,119 16,792
5/31/2012 15,883 14,878
6/30/2012 17,007 15,852
7/31/2012 16,939 16,050
8/31/2012 17,642 16,508
9/30/2012 18,267 17,009
10/31/2012 18,494 17,128
11/30/2012 18,789 17,488
12/31/2012 19,709 18,017
1/31/2013 20,640 18,903
2/28/2013 20,015 18,715
3/31/2013 20,083 18,863
4/30/2013 21,071 19,722
5/31/2013 20,821 19,281
6/30/2013 20,083 18,558
7/31/2013 21,457 19,546 Past performance is not predictive of
8/31/2013 21,309 19,294 future performance.
9/30/2013 22,910 20,657
10/31/2013 23,705 21,350 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------------- MSCI data copyright MSCI 2013, all
28.18% 12.85% 9.01% rights reserved.
--------------------------------------------------------------------------------
230
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE JAPANESE SMALL COMPANY SERIES VS.
MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
MSCI Japan Small Cap
The Japanese Small Company Series Index (net dividends)
--------------------------------- ---------------------
10/31/2003 $10,000 $10,000
11/30/2003 9,376 9,313
12/31/2003 9,933 9,979
1/31/2004 10,422 10,342
2/29/2004 10,489 10,315
3/31/2004 12,631 12,206
4/30/2004 12,209 11,818
5/31/2004 11,619 11,231
6/30/2004 12,749 12,412
7/31/2004 11,939 11,395
8/31/2004 12,125 11,514
9/30/2004 11,838 11,167
10/31/2004 12,074 11,373
11/30/2004 12,445 11,868
12/31/2004 13,052 12,443
1/31/2005 13,592 12,866
2/28/2005 14,098 13,112
3/31/2005 14,182 13,081
4/30/2005 13,794 12,975
5/31/2005 13,558 12,736
6/30/2005 13,811 12,908
7/31/2005 14,098 13,274
8/31/2005 14,890 13,729
9/30/2005 15,497 14,587
10/31/2005 15,987 14,879
11/30/2005 16,307 15,515
12/31/2005 18,145 17,613
1/31/2006 18,921 18,174
2/28/2006 17,791 16,991
3/31/2006 18,583 17,753
4/30/2006 18,954 17,841
5/31/2006 17,622 16,410
6/30/2006 16,948 15,896
7/31/2006 16,138 14,845
8/31/2006 16,408 15,240
9/30/2006 16,155 14,906
10/31/2006 16,037 14,811
11/30/2006 15,936 14,686
12/31/2006 16,071 14,772
1/31/2007 16,408 15,059
2/28/2007 17,066 15,653
3/31/2007 16,948 15,509
4/30/2007 16,712 15,243
5/31/2007 16,374 14,880
6/30/2007 16,644 14,978
7/31/2007 16,745 14,974
8/31/2007 16,037 14,062
9/30/2007 16,020 13,976
10/31/2007 16,121 14,482
11/30/2007 15,750 13,873
12/31/2007 14,772 13,043
1/31/2008 14,351 12,402
2/29/2008 14,250 12,538
3/31/2008 14,536 12,542
4/30/2008 14,637 12,698
5/31/2008 15,177 13,089
6/30/2008 14,469 12,286
7/31/2008 14,064 11,883
8/31/2008 13,288 11,358
9/30/2008 12,428 10,249
10/31/2008 11,518 9,167
11/30/2008 11,821 9,542
12/31/2008 13,035 10,285
1/31/2009 12,142 9,746
2/28/2009 10,573 8,465
3/31/2009 11,046 8,763
4/30/2009 11,501 9,212
5/31/2009 12,917 10,339
6/30/2009 13,777 10,997
7/31/2009 14,064 11,272
8/31/2009 14,806 11,904
9/30/2009 14,654 11,857
10/31/2009 14,132 11,423
11/30/2009 13,558 11,014
12/31/2009 13,508 10,809
1/31/2010 13,693 11,042
2/28/2010 13,963 11,252
3/31/2010 14,671 11,764
4/30/2010 15,110 12,082
5/31/2010 13,845 11,244
6/30/2010 14,064 11,294
7/31/2010 14,317 11,431
8/31/2010 13,929 11,189
9/30/2010 14,536 11,646
10/31/2010 14,233 11,550
11/30/2010 14,587 11,775
12/31/2010 15,936 12,964
1/31/2011 16,307 13,118
2/28/2011 17,066 13,645
3/31/2011 16,003 12,803
4/30/2011 15,919 12,815
5/31/2011 15,649 12,625
6/30/2011 16,442 13,095
7/31/2011 17,049 13,639
8/31/2011 16,594 13,081
9/30/2011 16,509 13,093
10/31/2011 15,666 12,610
11/30/2011 15,919 12,269
12/31/2011 15,835 12,460
1/31/2012 16,847 12,971
2/29/2012 16,863 13,112
3/31/2012 17,352 13,462
4/30/2012 16,998 13,267
5/31/2012 15,582 12,166
6/30/2012 16,408 12,685
7/31/2012 15,852 12,486
8/31/2012 15,868 12,415
9/30/2012 16,088 12,758
10/31/2012 15,750 12,482
11/30/2012 15,987 12,568
12/31/2012 16,577 12,960
1/31/2013 17,099 13,445
2/28/2013 17,521 13,900
3/31/2013 18,870 15,023
4/30/2013 19,865 16,011
5/31/2013 18,246 14,743
6/30/2013 18,415 14,702
7/31/2013 18,853 14,942 Past performance is not predictive of
8/31/2013 18,432 14,740 future performance.
9/30/2013 20,523 16,418
10/31/2013 20,573 16,351 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------------ MSCI data copyright MSCI 2013, all
30.62% 12.30% 7.48% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE ASIA PACIFIC SMALL COMPANY SERIES VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
The Asia Pacific Small MSCI Pacific ex Japan Small
Company Series Cap Index (net dividends)
---------------------- ---------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,076 9,956
12/31/2003 10,525 10,608
1/31/2004 11,185 11,042
2/29/2004 11,533 11,376
3/31/2004 11,169 11,398
4/30/2004 10,356 10,754
5/31/2004 10,279 10,705
6/30/2004 10,322 10,718
7/31/2004 10,508 11,122
8/31/2004 10,762 11,489
9/30/2004 11,423 12,174
10/31/2004 11,964 12,954
11/30/2004 12,837 13,951
12/31/2004 13,133 14,540
1/31/2005 13,429 14,667
2/28/2005 13,819 15,134
3/31/2005 13,353 14,704
4/30/2005 12,904 14,465
5/31/2005 12,616 14,651
6/30/2005 13,184 15,452
7/31/2005 13,633 16,095
8/31/2005 13,988 16,082
9/30/2005 14,505 16,893
10/31/2005 13,692 15,901
11/30/2005 14,030 16,504
12/31/2005 14,251 16,828
1/31/2006 15,216 17,791
2/28/2006 15,436 17,969
3/31/2006 16,224 18,730
4/30/2006 17,155 19,938
5/31/2006 16,181 18,920
6/30/2006 16,080 18,690
7/31/2006 16,393 18,882
8/31/2006 16,799 19,498
9/30/2006 16,977 19,820
10/31/2006 18,374 21,202
11/30/2006 19,399 22,491
12/31/2006 19,958 23,330
1/31/2007 20,474 23,923
2/28/2007 21,025 24,379
3/31/2007 22,125 25,637
4/30/2007 23,675 27,414
5/31/2007 25,707 28,491
6/30/2007 26,765 29,231
7/31/2007 27,189 29,224
8/31/2007 25,165 27,343
9/30/2007 28,112 29,769
10/31/2007 30,576 31,804
11/30/2007 28,561 29,249
12/31/2007 28,078 28,847
1/31/2008 25,258 24,981
2/29/2008 26,037 26,465
3/31/2008 24,776 24,796
4/30/2008 26,511 26,455
5/31/2008 27,671 26,740
6/30/2008 24,953 23,749
7/31/2008 23,489 22,656
8/31/2008 21,846 20,816
9/30/2008 18,095 16,752
10/31/2008 12,083 10,835
11/30/2008 10,923 9,653
12/31/2008 12,117 10,774
1/31/2009 10,627 9,588
2/28/2009 10,042 8,993
3/31/2009 11,600 10,281
4/30/2009 13,336 12,122
5/31/2009 16,782 15,028
6/30/2009 16,918 15,451
7/31/2009 19,365 17,683
8/31/2009 20,246 18,591
9/30/2009 21,829 20,149
10/31/2009 22,320 20,632
11/30/2009 23,362 21,225
12/31/2009 23,980 22,073
1/31/2010 22,684 20,661
2/28/2010 23,091 20,920
3/31/2010 24,996 22,645
4/30/2010 25,343 23,278
5/31/2010 21,837 19,763
6/30/2010 21,575 19,650
7/31/2010 23,971 21,650
8/31/2010 23,946 21,602
9/30/2010 27,578 24,845
10/31/2010 28,772 25,948
11/30/2010 28,391 25,601
12/31/2010 31,177 28,185
1/31/2011 30,517 27,365
2/28/2011 30,711 27,515
3/31/2011 31,363 28,360
4/30/2011 32,701 29,507
5/31/2011 31,736 28,831
6/30/2011 30,669 27,806
7/31/2011 31,177 28,216
8/31/2011 29,009 26,254
9/30/2011 23,599 21,480
10/31/2011 27,290 25,000
11/30/2011 26,562 23,295
12/31/2011 25,013 22,548
1/31/2012 27,604 24,889
2/29/2012 29,687 26,824
3/31/2012 29,263 25,984
4/30/2012 29,145 26,125
5/31/2012 25,512 22,734
6/30/2012 26,054 23,052
7/31/2012 26,444 23,810
8/31/2012 27,333 24,191
9/30/2012 28,688 25,477
10/31/2012 29,331 26,003
11/30/2012 29,754 26,259
12/31/2012 31,152 26,918
1/31/2013 32,718 28,345
2/28/2013 32,862 28,681
3/31/2013 33,006 28,754
4/30/2013 32,464 28,526
5/31/2013 30,059 26,426
6/30/2013 27,934 24,166
7/31/2013 29,314 25,132 Past performance is not predictive of
8/31/2013 29,551 25,350 future performance.
9/30/2013 31,626 27,300
10/31/2013 32,549 27,778 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
--------------------------------------------------------- MSCI data copyright MSCI 2013, all
10.97% 21.92% 12.53% rights reserved.
--------------------------------------------------------------------------------
231
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE UNITED KINGDOM SMALL COMPANY SERIES VS.
MSCI UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
The United Kingdom Small MSCI UK Small Cap
Company Series Index (net dividends)
------------------------ ---------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,051 10,083
12/31/2003 10,613 10,649
1/31/2004 11,401 11,551
2/29/2004 12,065 12,334
3/31/2004 11,900 12,287
4/30/2004 11,475 11,859
5/31/2004 11,492 11,852
6/30/2004 11,883 12,264
7/31/2004 11,446 11,709
8/31/2004 11,367 11,548
9/30/2004 11,690 11,928
10/31/2004 12,059 12,382
11/30/2004 13,035 13,383
12/31/2004 13,573 14,155
1/31/2005 13,959 14,473
2/28/2005 14,436 14,815
3/31/2005 14,112 14,630
4/30/2005 13,636 13,969
5/31/2005 13,369 13,845
6/30/2005 13,625 14,058
7/31/2005 13,891 14,476
8/31/2005 14,674 15,176
9/30/2005 14,509 15,203
10/31/2005 14,101 14,740
11/30/2005 14,714 15,475
12/31/2005 15,360 16,144
1/31/2006 16,563 17,459
2/28/2006 16,790 17,732
3/31/2006 17,067 18,091
4/30/2006 17,930 19,049
5/31/2006 17,567 18,626
6/30/2006 17,561 18,468
7/31/2006 17,686 18,324
8/31/2006 18,429 18,983
9/30/2006 18,968 19,540
10/31/2006 20,045 20,659
11/30/2006 21,305 21,998
12/31/2006 22,467 23,030
1/31/2007 22,626 22,976
2/28/2007 22,621 23,048
3/31/2007 23,687 24,001
4/30/2007 24,504 25,193
5/31/2007 24,833 25,355
6/30/2007 23,925 24,617
7/31/2007 23,800 24,478
8/31/2007 23,664 23,581
9/30/2007 22,847 22,245
10/31/2007 24,674 24,689
11/30/2007 21,821 21,832
12/31/2007 20,669 20,736
1/31/2008 19,280 19,068
2/29/2008 19,563 19,714
3/31/2008 19,490 19,466
4/30/2008 19,818 19,828
5/31/2008 19,875 19,922
6/30/2008 18,293 18,560
7/31/2008 17,652 17,819
8/31/2008 17,368 17,353
9/30/2008 14,685 14,162
10/31/2008 10,743 10,232
11/30/2008 9,983 9,283
12/31/2008 9,762 9,048
1/31/2009 9,524 8,998
2/28/2009 9,132 8,700
3/31/2009 9,529 9,205
4/30/2009 11,526 11,319
5/31/2009 12,706 12,515
6/30/2009 12,768 12,603
7/31/2009 13,874 13,763
8/31/2009 14,957 15,090
9/30/2009 15,394 15,438
10/31/2009 15,417 15,460
11/30/2009 15,372 15,299
12/31/2009 15,695 15,677
1/31/2010 15,542 15,604
2/28/2010 15,009 14,905
3/31/2010 16,268 16,219
4/30/2010 16,869 16,866
5/31/2010 14,963 14,839
6/30/2010 15,247 14,903
7/31/2010 17,306 16,696
8/31/2010 16,670 16,242
9/30/2010 18,452 18,032
10/31/2010 19,416 18,801
11/30/2010 18,463 18,018
12/31/2010 20,352 19,903
1/31/2011 20,647 20,095
2/28/2011 21,271 20,625
3/31/2011 20,879 20,269
4/30/2011 22,728 22,127
5/31/2011 22,592 21,847
6/30/2011 21,872 21,111
7/31/2011 21,730 21,053
8/31/2011 19,563 18,905
9/30/2011 17,589 16,912
10/31/2011 19,455 18,760
11/30/2011 18,866 18,032
12/31/2011 18,281 17,430
1/31/2012 19,898 19,198
2/29/2012 21,520 20,981
3/31/2012 21,991 21,050
4/30/2012 22,371 21,408
5/31/2012 19,853 18,756
6/30/2012 20,828 19,649
7/31/2012 21,180 20,007
8/31/2012 22,343 21,066
9/30/2012 23,494 22,190
10/31/2012 24,010 22,649
11/30/2012 24,163 22,657
12/31/2012 25,496 23,700
1/31/2013 25,950 24,323
2/28/2013 26,188 24,460
3/31/2013 26,971 25,119
4/30/2013 27,657 25,747
5/31/2013 27,918 26,095
6/30/2013 27,306 25,154
7/31/2013 29,620 27,249 Past performance is not predictive of
8/31/2013 29,836 27,622 future performance.
9/30/2013 31,855 29,695
10/31/2013 32,995 30,741 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------- MSCI data copyright MSCI 2013, all
37.42% 25.16% 12.68% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE CONTINENTAL SMALL COMPANY SERIES VS.
MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
The Continental Small MSCI Europe ex UK Small
Company Series Cap Index (net dividends)
--------------------- -------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,524 10,532
12/31/2003 11,180 11,083
1/31/2004 11,720 11,641
2/29/2004 12,113 12,033
3/31/2004 11,867 11,618
4/30/2004 11,725 11,435
5/31/2004 11,856 11,471
6/30/2004 12,213 11,881
7/31/2004 11,820 11,403
8/31/2004 11,893 11,439
9/30/2004 12,512 12,077
10/31/2004 12,984 12,589
11/30/2004 14,373 13,986
12/31/2004 15,118 14,686
1/31/2005 15,333 14,850
2/28/2005 16,319 15,891
3/31/2005 15,873 15,485
4/30/2005 15,454 15,029
5/31/2005 15,496 15,243
6/30/2005 15,915 15,731
7/31/2005 16,906 16,810
8/31/2005 17,478 17,288
9/30/2005 17,923 17,878
10/31/2005 17,037 16,644
11/30/2005 17,100 16,856
12/31/2005 17,986 17,833
1/31/2006 19,712 19,823
2/28/2006 20,283 20,383
3/31/2006 21,594 21,700
4/30/2006 23,083 23,237
5/31/2006 21,977 22,043
6/30/2006 21,568 21,541
7/31/2006 21,521 21,305
8/31/2006 22,092 21,806
9/30/2006 22,391 22,035
10/31/2006 23,519 23,213
11/30/2006 25,155 24,837
12/31/2006 26,356 26,009
1/31/2007 27,577 26,842
2/28/2007 27,625 26,957
3/31/2007 29,240 28,390
4/30/2007 30,781 30,108
5/31/2007 31,379 30,633
6/30/2007 31,038 30,340
7/31/2007 30,870 30,118
8/31/2007 29,775 28,755
9/30/2007 30,440 29,327
10/31/2007 31,909 31,082
11/30/2007 29,554 28,858
12/31/2007 28,988 28,274
1/31/2008 26,230 24,869
2/29/2008 27,357 26,374
3/31/2008 28,228 26,910
4/30/2008 28,568 27,370
5/31/2008 29,119 27,796
6/30/2008 26,665 25,227
7/31/2008 25,254 23,795
8/31/2008 24,567 23,145
9/30/2008 20,294 18,353
10/31/2008 14,877 13,189
11/30/2008 13,718 12,096
12/31/2008 15,149 13,213
1/31/2009 13,429 12,027
2/28/2009 12,271 10,968
3/31/2009 13,162 11,816
4/30/2009 15,317 14,275
5/31/2009 17,535 16,407
6/30/2009 17,320 16,196
7/31/2009 18,700 17,650
8/31/2009 20,267 19,462
9/30/2009 22,003 21,327
10/31/2009 21,390 20,745
11/30/2009 22,040 21,171
12/31/2009 21,972 21,267
1/31/2010 21,610 20,983
2/28/2010 21,154 20,386
3/31/2010 22,727 22,039
4/30/2010 22,512 21,900
5/31/2010 19,313 18,512
6/30/2010 19,192 18,236
7/31/2010 21,489 20,420
8/31/2010 20,509 19,450
9/30/2010 23,330 22,451
10/31/2010 24,678 23,891
11/30/2010 22,764 22,081
12/31/2010 25,716 25,173
1/31/2011 26,450 25,742
2/28/2011 26,906 26,179
3/31/2011 27,813 27,062
4/30/2011 29,696 28,952
5/31/2011 28,694 27,848
6/30/2011 27,771 26,949
7/31/2011 26,203 25,313
8/31/2011 23,513 22,669
9/30/2011 19,974 19,263
10/31/2011 22,024 21,374
11/30/2011 20,572 19,704
12/31/2011 19,764 19,034
1/31/2012 21,647 20,922
2/29/2012 23,036 22,528
3/31/2012 23,078 22,345
4/30/2012 22,543 21,973
5/31/2012 19,465 18,960
6/30/2012 20,320 19,894
7/31/2012 20,115 19,823
8/31/2012 21,033 20,687
9/30/2012 22,145 21,801
10/31/2012 22,528 22,177
11/30/2012 22,832 22,516
12/31/2012 24,211 23,731
1/31/2013 26,046 25,663
2/28/2013 25,789 25,584
3/31/2013 25,212 24,927
4/30/2013 26,251 25,895
5/31/2013 26,738 26,483
6/30/2013 25,857 25,304
7/31/2013 28,112 27,605 Past performance is not predictive of
8/31/2013 28,149 27,554 future performance.
9/30/2013 30,614 29,910
10/31/2013 32,365 31,711 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
----------------------------------------------------- MSCI data copyright MSCI 2013, all
43.67% 16.82% 12.46% rights reserved.
--------------------------------------------------------------------------------
232
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE CANADIAN SMALL COMPANY SERIES VS.
MSCI CANADA SMALL CAP INDEX (NET DIVIDENDS)
APRIL 2, 2007-OCTOBER 31, 2013
[CHART]
The Canadian Small MSCI Canada Small
Company Series Cap Index (net dividends)
----------------------- --------------------------
4/2/2007 $10,000 $10,000
4/30/2007 10,710 10,487
5/31/2007 11,420 11,331
6/30/2007 11,370 11,306
7/31/2007 11,300 11,024
8/31/2007 10,560 10,340
9/30/2007 11,730 11,600
10/31/2007 13,000 12,852
11/30/2007 11,020 10,809
12/31/2007 11,430 11,109
1/31/2008 10,350 10,107
2/29/2008 11,160 11,071
3/31/2008 10,290 10,199
4/30/2008 10,540 10,555
5/31/2008 11,140 11,104
6/30/2008 10,620 10,725
7/31/2008 9,710 9,775
8/31/2008 9,310 9,530
9/30/2008 7,190 7,506
10/31/2008 4,800 5,011
11/30/2008 4,180 4,560
12/31/2008 4,500 4,785
1/31/2009 4,530 4,833
2/28/2009 4,120 4,454
3/31/2009 4,380 4,708
4/30/2009 5,300 5,466
5/31/2009 6,340 6,622
6/30/2009 5,950 6,220
7/31/2009 6,700 6,996
8/31/2009 6,920 7,260
9/30/2009 7,910 8,157
10/31/2009 7,760 8,211
11/30/2009 8,420 8,900
12/31/2009 8,960 9,423
1/31/2010 8,540 9,031
2/28/2010 9,050 9,632
3/31/2010 9,770 10,454
4/30/2010 10,120 10,890
5/31/2010 9,150 9,929
6/30/2010 8,730 9,464
7/31/2010 9,440 10,234
8/31/2010 9,330 10,202
9/30/2010 10,430 11,319
10/31/2010 11,110 12,004
11/30/2010 11,650 12,509
12/31/2010 12,840 13,660
1/31/2011 12,780 13,500
2/28/2011 13,660 14,392
3/31/2011 13,680 14,396
4/30/2011 13,940 14,833
5/31/2011 13,360 14,236
6/30/2011 12,620 13,510
7/31/2011 12,810 13,868
8/31/2011 11,840 13,043
9/30/2011 9,600 10,655
10/31/2011 11,140 12,174
11/30/2011 10,750 11,857
12/31/2011 10,580 11,613
1/31/2012 11,490 12,564
2/29/2012 11,930 13,014
3/31/2012 11,400 12,326
4/30/2012 11,140 12,227
5/31/2012 9,840 10,801
6/30/2012 9,860 10,768
7/31/2012 10,130 11,140
8/31/2012 10,560 11,603
9/30/2012 11,010 12,189
10/31/2012 10,860 11,971
11/30/2012 10,680 11,703
12/31/2012 10,930 11,894
1/31/2013 11,250 12,137
2/28/2013 10,700 11,549
3/31/2013 11,010 11,822
4/30/2013 10,650 11,555
5/31/2013 10,480 11,271
6/30/2013 10,050 10,576
7/31/2013 10,790 11,389 Past performance is not predictive of
8/31/2013 10,690 11,262 future performance.
9/30/2013 11,170 11,696
10/31/2013 11,480 11,959 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares.
TOTAL RETURN YEAR YEARS 04/02/2007
------------------------------------------------------------ MSCI data copyright MSCI 2013, all
5.71% 19.05% 2.12% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
The Emerging Markets Series MSCI Emerging Markets Index
(net dividends)
----------------------------- ---------------------------
10/31/2003 $10,000 $10,000
11/30/2003 9,905 10,122
12/31/2003 10,948 10,855
1/31/2004 11,159 11,234
2/29/2004 11,655 11,749
3/31/2004 11,735 11,896
4/30/2004 10,991 10,922
5/31/2004 10,867 10,704
6/30/2004 11,064 10,749
7/31/2004 11,057 10,552
8/31/2004 11,363 10,990
9/30/2004 12,004 11,624
10/31/2004 12,340 11,902
11/30/2004 13,418 13,004
12/31/2004 14,293 13,628
1/31/2005 14,410 13,663
2/28/2005 15,481 14,855
3/31/2005 14,424 13,873
4/30/2005 14,082 13,501
5/31/2005 14,504 13,971
6/30/2005 14,942 14,445
7/31/2005 15,904 15,455
8/31/2005 16,006 15,587
9/30/2005 17,281 17,039
10/31/2005 16,421 15,925
11/30/2005 17,609 17,243
12/31/2005 18,630 18,262
1/31/2006 20,415 20,301
2/28/2006 20,357 20,277
3/31/2006 20,634 20,456
4/30/2006 21,873 21,913
5/31/2006 19,351 19,617
6/30/2006 19,329 19,569
7/31/2006 19,687 19,849
8/31/2006 20,306 20,355
9/30/2006 20,590 20,524
10/31/2006 21,822 21,499
11/30/2006 23,222 23,097
12/31/2006 24,162 24,137
1/31/2007 24,519 23,877
2/28/2007 24,147 23,735
3/31/2007 25,248 24,680
4/30/2007 26,866 25,823
5/31/2007 28,666 27,102
6/30/2007 29,140 28,372
7/31/2007 29,847 29,869
8/31/2007 29,337 29,235
9/30/2007 31,924 32,463
10/31/2007 35,430 36,084
11/30/2007 33,120 33,526
12/31/2007 33,003 33,643
1/31/2008 30,131 29,445
2/29/2008 31,093 31,618
3/31/2008 30,131 29,945
4/30/2008 32,289 32,375
5/31/2008 32,478 32,976
6/30/2008 29,147 29,687
7/31/2008 28,768 28,567
8/31/2008 27,063 26,285
9/30/2008 23,302 21,685
10/31/2008 17,165 15,750
11/30/2008 15,612 14,565
12/31/2008 16,837 15,701
1/31/2009 15,547 14,687
2/28/2009 14,541 13,858
3/31/2009 16,640 15,850
4/30/2009 19,111 18,487
5/31/2009 22,369 21,646
6/30/2009 22,179 21,355
7/31/2009 24,723 23,756
8/31/2009 24,810 23,671
9/30/2009 27,004 25,820
10/31/2009 26,443 25,852
11/30/2009 28,025 26,962
12/31/2009 29,038 28,027
1/31/2010 27,456 26,464
2/28/2010 27,792 26,557
3/31/2010 30,124 28,701
4/30/2010 30,306 29,049
5/31/2010 27,493 26,494
6/30/2010 27,536 26,299
7/31/2010 29,964 28,489
8/31/2010 29,271 27,936
9/30/2010 32,602 31,040
10/31/2010 33,593 31,941
11/30/2010 32,843 31,098
12/31/2010 35,517 33,317
1/31/2011 34,599 32,413
2/28/2011 34,359 32,111
3/31/2011 36,276 33,999
4/30/2011 37,544 35,054
5/31/2011 36,509 34,134
6/30/2011 36,079 33,609
7/31/2011 35,802 33,460
8/31/2011 32,908 30,470
9/30/2011 27,930 26,027
10/31/2011 31,429 29,475
11/30/2011 30,343 27,511
12/31/2011 29,461 27,179
1/31/2012 32,617 30,262
2/29/2012 34,388 32,074
3/31/2012 33,499 31,004
4/30/2012 32,901 30,633
5/31/2012 29,359 27,198
6/30/2012 30,816 28,248
7/31/2012 31,064 28,799
8/31/2012 31,276 28,703
9/30/2012 33,025 30,435
10/31/2012 32,857 30,250
11/30/2012 33,287 30,634
12/31/2012 35,241 32,132
1/31/2013 35,423 32,575
2/28/2013 35,015 32,166
3/31/2013 34,519 31,612
4/30/2013 34,913 31,850
5/31/2013 33,783 31,033
6/30/2013 31,662 29,057 Past performance is not predictive of
7/31/2013 32,128 29,361 future performance.
8/31/2013 31,378 28,856
9/30/2013 33,615 30,733 The returns shown do not reflect the
10/31/2013 35,153 32,226 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------------ MSCI data copyright MSCI 2013, all
6.99% 15.42% 13.40% rights reserved.
--------------------------------------------------------------------------------
233
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE EMERGING MARKETS SMALL CAP SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
The Emerging Markets MSCI Emerging
Small Cap Series Markets Index (net dividends)
--------------------- ---------------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,203 10,122
12/31/2003 11,223 10,855
1/31/2004 11,560 11,234
2/29/2004 12,048 11,749
3/31/2004 12,251 11,896
4/30/2004 11,575 10,922
5/31/2004 11,095 10,704
6/30/2004 11,185 10,749
7/31/2004 11,268 10,552
8/31/2004 11,643 10,990
9/30/2004 12,288 11,624
10/31/2004 12,603 11,902
11/30/2004 13,796 13,004
12/31/2004 14,531 13,628
1/31/2005 14,944 13,663
2/28/2005 15,889 14,855
3/31/2005 14,801 13,873
4/30/2005 14,261 13,501
5/31/2005 14,539 13,971
6/30/2005 14,906 14,445
7/31/2005 15,739 15,455
8/31/2005 15,844 15,587
9/30/2005 16,894 17,039
10/31/2005 16,077 15,925
11/30/2005 17,224 17,243
12/31/2005 18,357 18,262
1/31/2006 20,143 20,301
2/28/2006 20,368 20,277
3/31/2006 20,735 20,456
4/30/2006 22,438 21,913
5/31/2006 20,083 19,617
6/30/2006 19,205 19,569
7/31/2006 19,647 19,849
8/31/2006 20,338 20,355
9/30/2006 20,915 20,524
10/31/2006 22,498 21,499
11/30/2006 24,209 23,097
12/31/2006 25,326 24,137
1/31/2007 25,829 23,877
2/28/2007 26,047 23,735
3/31/2007 27,224 24,680
4/30/2007 29,310 25,823
5/31/2007 31,650 27,102
6/30/2007 32,603 28,372
7/31/2007 34,201 29,869
8/31/2007 32,791 29,235
9/30/2007 35,049 32,463
10/31/2007 37,704 36,084
11/30/2007 34,696 33,526
12/31/2007 35,101 33,643
1/31/2008 30,893 29,445
2/29/2008 31,785 31,618
3/31/2008 30,308 29,945
4/30/2008 32,153 32,375
5/31/2008 31,973 32,976
6/30/2008 28,290 29,687
7/31/2008 27,862 28,567
8/31/2008 26,182 26,285
9/30/2008 21,470 21,685
10/31/2008 14,966 15,750
11/30/2008 14,059 14,565
12/31/2008 16,054 15,701
1/31/2009 14,831 14,687
2/28/2009 13,923 13,858
3/31/2009 15,844 15,850
4/30/2009 19,055 18,487
5/31/2009 23,383 21,646
6/30/2009 23,271 21,355
7/31/2009 26,249 23,756
8/31/2009 26,564 23,671
9/30/2009 28,785 25,820
10/31/2009 28,762 25,852
11/30/2009 30,473 26,962
12/31/2009 32,153 28,027
1/31/2010 30,743 26,464
2/28/2010 31,275 26,557
3/31/2010 33,953 28,701
4/30/2010 34,516 29,049
5/31/2010 31,058 26,494
6/30/2010 31,890 26,299
7/31/2010 34,831 28,489
8/31/2010 35,004 27,936
9/30/2010 39,265 31,040
10/31/2010 40,833 31,941
11/30/2010 39,745 31,098
12/31/2010 42,033 33,317
1/31/2011 40,270 32,413
2/28/2011 39,100 32,111
3/31/2011 41,283 33,999
4/30/2011 43,466 35,054
5/31/2011 42,498 34,134
6/30/2011 42,491 33,609
7/31/2011 42,978 33,460
8/31/2011 38,912 30,470
9/30/2011 32,003 26,027
10/31/2011 35,551 29,475
11/30/2011 33,833 27,511
12/31/2011 32,933 27,179
1/31/2012 36,662 30,262
2/29/2012 39,670 32,074
3/31/2012 38,665 31,004
4/30/2012 37,742 30,633
5/31/2012 34,306 27,198
6/30/2012 35,619 28,248
7/31/2012 35,199 28,799
8/31/2012 36,122 28,703
9/30/2012 38,237 30,435
10/31/2012 38,110 30,250
11/30/2012 38,785 30,634
12/31/2012 41,185 32,132
1/31/2013 41,958 32,575
2/28/2013 42,401 32,166
3/31/2013 42,221 31,612
4/30/2013 43,083 31,850
5/31/2013 42,491 31,033
6/30/2013 38,815 29,057
7/31/2013 39,010 29,361
8/31/2013 37,397 28,856 Past performance is not predictive of
9/30/2013 40,143 30,733 future performance.
10/31/2013 41,695 32,226
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------------ MSCI data copyright MSCI 2013, all
9.41% 22.74% 15.35% rights reserved.
--------------------------------------------------------------------------------
234
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013
The one-year period ended October 31, 2013, was characterized by strong
gains in U.S. equities. The broad U.S. equity market, as measured by the
Russell 3000(R) Index, had positive returns in 10 of the 12 months.
The size premium was positive during the period with small cap stocks
outperforming large cap stocks as measured by the Russell indices. Micro cap
stocks were the strongest performers.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013
-------------------------------------------------
Russell 3000(R) Index........................ 28.99%
Russell Microcap(R) Index (micro cap stocks). 38.72%
Russell 2000(R) Index (small cap stocks)..... 36.28%
Russell 1000(R) Index (large cap stocks)..... 28.40%
Dow Jones U.S. Select REIT Index /SM/........ 9.96%
The value premium was negative in small cap stocks while the performance of
large cap value and large cap growth was almost identical as measured by the
Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013
-------------------------------------------------
Russell 2000(R) Value Index (small cap value stocks)... 32.83%
Russell 2000(R) Growth Index (small cap growth stocks). 39.84%
Russell 1000(R) Value Index (large cap value stocks)... 28.29%
Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
----------
Source: Russell data copyright (C) Russell Investment Group 1995-2013, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/ growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
12 months ended October 31, 2013, were primarily attributable to differences in
value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value, small cap and/or micro cap companies relative to
widely used benchmarks.
DOMESTIC EQUITY SERIES' PERFORMANCE OVERVIEW
THE U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series seeks to capture the returns of U.S. large
company value stocks. Value is measured primarily by book-to-market ratio. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2013, the Series held approximately 220 securities. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Series' assets.
For the 12 months ended October 31, 2013, total returns were 35.68% for the
Series and 28.29% for the Russell 1000(R) Value Index. As a result of the
Series' diversified investment approach, performance was determined principally
by broad structural trends in the U.S. equity market rather than the behavior
of a limited number of stocks. The Series had significantly greater exposure
than the Index to deeper value stocks, measured by book-to-market ratios. These
stocks generally outperformed relative to the Index, and the Series' higher
weight contributed to the Series' outperformance relative to the Index. The
Series' exclusion of real estate investment trusts ("REITs") and highly
regulated utilities also contributed to the Series' outperformance relative to
the Index as both sectors underperformed the overall Index during the period.
235
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013
The one-year period ended October 31, 2013, was characterized by generally
positive monthly returns in the international equity market with the exception
of a sharp decline from May to June and a smaller decline in August. As
measured by the MSCI indices below for developed markets outside the U.S.,
small cap stocks generally outperformed large cap stocks while value stocks
outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2013
--------------------------------
U.S. DOLLAR RETURN
- ------------------
MSCI World ex USA Index........... 24.65%
MSCI World ex USA Small Cap Index. 27.81%
MSCI World ex USA Value Index..... 26.12%
MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets
currencies. While the U.S. dollar depreciated against the euro, Swiss franc,
and several other European-based developed markets currencies, it appreciated
against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 MONTHS ENDED OCTOBER 31, 2013
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN
--------------------------------------------------- --------------------- ------------------
United Kingdom.................... 20.70% 20.37%
Japan............................. 64.48% 34.00%
Canada............................ 10.59% 5.99%
France............................ 27.55% 33.82%
Australia......................... 26.44% 15.47%
Switzerland....................... 27.49% 31.10%
Germany........................... 24.72% 30.85%
Spain............................. 30.69% 37.11%
Sweden............................ 24.39% 27.55%
Hong Kong......................... 14.30% 14.25%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
Gains in emerging markets were lower on average than in developed markets
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2013, returns in U.S. dollars were
6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the
MSCI World ex USA Index (net dividends). As measured by the MSCI emerging
markets indices, small cap stocks outperformed large caps while growth stocks
outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2013
--------------------------------
U.S. DOLLAR RETURN
- ------------------
MSCI Emerging Markets Index........... 6.53%
MSCI Emerging Markets Small Cap Index. 10.29%
MSCI Emerging Markets Value Index..... 3.88%
MSCI Emerging Markets Growth Index.... 9.06%
During the period, the U.S. dollar (USD) generally appreciated against most
emerging markets currencies, except those in eastern Europe, decreasing USD
denominated returns in emerging markets.
236
12 MONTHS ENDED OCTOBER 31, 2013
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN
------------------------------------------ --------------------- ------------------
China........................ 9.32% 9.28%
South Korea.................. 9.57% 12.65%
Brazil....................... 7.85% -1.52%
Taiwan....................... 18.76% 18.08%
South Africa................. 20.85% 5.07%
India........................ 14.98% 0.65%
Russia....................... 12.94% 10.89%
Mexico....................... 1.41% 2.11%
Malaysia..................... 13.25% 9.32%
Indonesia.................... 1.33% -13.66%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
INTERNATIONAL EQUITY SERIES' PERFORMANCE OVERVIEW
THE DFA INTERNATIONAL VALUE SERIES
The DFA International Value Series seeks to capture the returns of
international large company value stocks. Value stocks are typically
characterized by low relative price, as measured by their book-to-market ratio.
The investment strategy is process driven, emphasizing broad diversification.
As of October 31, 2013, the Series held approximately 520 securities in 22
eligible developed countries. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Series' assets.
For the 12 months ending October 31, 2013, total returns were 28.18% for the
Series and 24.65% for the MSCI World ex USA Index (net dividends). The Series
focuses on value stocks, as measured by book-to-market, while the Index is
neutral with regard to value or growth. As large cap value stocks generally
outperformed large cap growth stocks during the period, the Series'
significantly greater exposure than the Index to these securities contributed
to the Series' outperformance relative to the Index. In particular, the Series'
greater exposure to value stocks in the financial sector was beneficial as
these names outperformed. The Series' exclusion of real estate investment
trusts ("REITs") also benefited the Series' relative performance as REITs
underperformed during the period. Differences in the valuation timing and
methodology between the Series and the Index generally detracted from relative
performance. The Series prices foreign exchange rates at the closing of the
U.S. markets while the Index uses rates at 4 pm London time. The Series also
may use fair value pricing to price certain portfolio securities at the closing
of the U.S. markets while the Index uses local market closing prices.
THE JAPANESE SMALL COMPANY SERIES
The Japanese Small Company Series seeks to capture the returns of Japanese
small company stocks. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2013, the Series held approximately
1,400 securities. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2013, total returns were 30.62% for the
Series and 30.99% for the MSCI Japan Small Cap Index (net dividends). The
Series' lesser exposure than the Index to GungHo Online Entertainment, Inc., an
online gaming company that significantly outperformed, was primarily
responsible for the Series' relative underperformance. To a lesser extent, the
Series' exclusion of real estate investment trusts ("REITs") contributed
positively to the Series' relative performance as REITs underperformed during
the period.
THE ASIA PACIFIC SMALL COMPANY SERIES
The Asia Pacific Small Company Series seeks to capture the returns of small
company stocks in Australia, Hong Kong, New Zealand, and Singapore. The
investment strategy is process driven, emphasizing broad
237
diversification. As of October 31, 2013, the Series held approximately 940
securities across the eligible countries. Country allocations generally reflect
the approximate weights of individual securities within a universe of these
countries' stocks constructed by the Advisor. In general, cash exposure was low
throughout the year with an average cash balance of less than 1% of the Series'
assets.
For the 12 months ended October 31, 2013, total returns were 10.97% for the
Series and 6.83% for the MSCI Pacific ex Japan Small Cap Index (net dividends).
As a result of the Series' diversified investment approach, performance was
determined principally by broad structural trends in Asia Pacific equity
markets rather than the behavior of a limited number of stocks. The Series'
greater weight in the consumer discretionary sector and lesser weight in the
materials sector contributed to the Series' outperformance relative to the
Index as consumer discretionary outperformed and materials underperformed. The
Series' exclusion of real estate investment trusts ("REITs") also had a small
positive impact on the Series' relative performance as REITs underperformed
during the period.
THE UNITED KINGDOM SMALL COMPANY SERIES
The United Kingdom Small Company Series seeks to capture the returns of U.K.
small company stocks. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2013, the Series held approximately
350 securities. In general, cash exposure was low throughout the year, with an
average cash balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2013, total returns were 37.42% for the
Series and 35.72% for the MSCI UK Small Cap Index (net dividends). As a result
of the Series' diversified investment approach, performance was determined
principally by broad structural trends in the U.K. equity market, rather than
the behavior of a limited number of stocks. The Series had a lesser allocation
to the energy sector, which contributed to the Series' outperformance relative
to the Index as energy significantly underperformed. The Series' exclusion of
real estate investment trusts ("REITs") also contributed to the Series'
outperformance relative to the Index as REITs underperformed during the period.
To a lesser extent, differences in the valuation timing and methodology between
the Series and the Index generally detracted from the Series' relative
performance. The Series prices foreign exchange rates at the closing of the
U.S. markets while the Index uses rates at 4 pm London time. The Series also
may use fair value pricing to price certain portfolio securities at the closing
of the U.S. markets while the Index uses local market closing prices.
THE CONTINENTAL SMALL COMPANY SERIES
The Continental Small Company Series seeks to capture the returns of small
company stocks in the developed markets of Europe (excluding the U.K.) and
Israel, by purchasing shares in such securities. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2013, the
Series held approximately 1,200 securities in 14 eligible developed continental
European countries and Israel. Country allocations generally reflect the
approximate weights of individual securities within a universe of continental
European and Israeli small company stocks constructed by the Advisor. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Series' assets.
For the 12 months ended October 31, 2013, total returns were 43.67% for the
Series and 42.99% for the MSCI Europe ex UK Small Cap Index (net dividends). As
a result of the Series' diversified investment approach, performance was
determined principally by broad structural trends in the continental European
(excluding the U.K.) and Israeli equity markets, rather than the behavior of a
limited number of stocks. The Series' exclusion of real estate investment
trusts ("REITs") contributed to the Series' outperformance relative to the
Index, as REITs underperformed during the period. To a lesser extent,
differences in the valuation timing and methodology between the Series and the
Index generally detracted from the Series' relative performance. The Series
prices foreign exchange rates at the closing of the U.S. markets while the
Index uses rates at 4 pm London time. The Series also may use fair value
pricing to price certain portfolio securities at the closing of the U.S.
markets while the Index uses local market closing prices.
238
THE CANADIAN SMALL COMPANY SERIES
The Canadian Small Company Series seeks to capture the returns of Canadian
small company stocks. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2013, the Series held approximately
390 securities. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2013, total returns were 5.71% for the
Series and -0.09% for the MSCI Canada Small Cap Index (net dividends). As a
result of the Series' diversified investment approach, performance was
determined principally by broad structural trends in the Canadian equity
market. The Series' holdings in the materials sector significantly outperformed
those of the Index and contributed to the Series' outperformance relative to
the Index. The Series' exclusion of real estate investment trusts ("REITs")
also contributed to the Series' outperformance relative to the Index as REITs
underperformed during the period.
THE EMERGING MARKETS SERIES
The Emerging Markets Series seeks to capture the returns of large cap stocks
in selected emerging markets countries. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2013, the Series
held approximately 1,000 securities across 21 eligible emerging markets. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 6.99% for the
Series and 6.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Series' diversified approach, performance was generally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. Differences in country weights between the Series
and the Index contributed to relative performance differences. In addition,
differences in holdings within the financial sector contributed to the Series'
relative outperformance.
THE EMERGING MARKETS SMALL CAP SERIES
The Emerging Markets Small Cap Series seeks to capture the returns of small
company stocks in selected emerging markets. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2013, the Series
held approximately 3,100 securities across 17 eligible emerging markets. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Series' assets.
For the 12 months ended October 31, 2013, total returns were 9.41% for the
Series and 6.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Series' diversified approach, performance was principally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. The Series focuses on small cap stocks while the
Index primarily holds large cap and mid-cap stocks. Emerging markets small cap
stocks generally outperformed emerging markets large caps over the period. The
Series' significantly greater exposure to small cap stocks was primarily
responsible for the Series' outperformance relative to the Index.
239
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2013
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/13 10/31/13 RATIO* PERIOD*
--------- --------- ---------- --------
THE U.S. LARGE CAP VALUE SERIES
-
Actual Fund Return............ $1,000.00 $1,145.10 0.11% $0.59
Hypothetical 5% Annual Return. $1,000.00 $1,024.65 0.11% $0.56
THE DFA INTERNATIONAL VALUE SERIES
-
Actual Fund Return............ $1,000.00 $1,125.00 0.22% $1.18
Hypothetical 5% Annual Return. $1,000.00 $1,024.10 0.22% $1.12
240
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/13 10/31/13 RATIO* PERIOD*
--------- --------- ---------- --------
THE JAPANESE SMALL COMPANY SERIES
---------------------------------
Actual Fund Return...................... $1,000.00 $1,035.70 0.13% $0.67
Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
THE ASIA PACIFIC SMALL COMPANY SERIES
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,002.60 0.13% $0.66
Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
THE UNITED KINGDOM SMALL COMPANY SERIES
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,193.00 0.12% $0.66
Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61
THE CONTINENTAL SMALL COMPANY SERIES
------------------------------------
Actual Fund Return...................... $1,000.00 $1,232.90 0.13% $0.73
Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
THE CANADIAN SMALL COMPANY SERIES
---------------------------------
Actual Fund Return...................... $1,000.00 $1,077.90 0.11% $0.58
Hypothetical 5% Annual Return........... $1,000.00 $1,024.65 0.11% $0.56
THE EMERGING MARKETS SERIES
---------------------------
Actual Fund Return...................... $1,000.00 $1,006.90 0.14% $0.71
Hypothetical 5% Annual Return........... $1,000.00 $1,024.50 0.14% $0.71
THE EMERGING MARKETS SMALL CAP SERIES
-------------------------------------
Actual Fund Return...................... $1,000.00 $ 967.80 0.25% $1.24
Hypothetical 5% Annual Return........... $1,000.00 $1,023.95 0.25% $1.28
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
241
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 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....................... 12.6%
Consumer Staples............................. 7.5%
Energy....................................... 20.7%
Financials................................... 24.9%
Health Care.................................. 8.0%
Industrials.................................. 12.2%
Information Technology....................... 5.9%
Materials.................................... 3.3%
Telecommunication Services................... 4.6%
Utilities.................................... 0.3%
-----
100.0%
THE DFA INTERNATIONAL VALUE SERIES
Consumer Discretionary....................... 9.4%
Consumer Staples............................. 4.9%
Energy....................................... 12.7%
Financials................................... 36.7%
Health Care.................................. 1.3%
Industrials.................................. 10.4%
Information Technology....................... 3.7%
Materials.................................... 10.9%
Other........................................ --
Telecommunication Services................... 7.1%
Utilities.................................... 2.9%
-----
100.0%
THE JAPANESE SMALL COMPANY SERIES
Consumer Discretionary....................... 21.4%
Consumer Staples............................. 9.3%
Energy....................................... 0.9%
Financials................................... 11.0%
Health Care.................................. 4.7%
Industrials.................................. 29.9%
Information Technology....................... 10.4%
Materials.................................... 11.9%
Telecommunication Services................... --
Utilities.................................... 0.5%
-----
100.0%
242
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
THE ASIA PACIFIC SMALL COMPANY SERIES
Consumer Discretionary....................... 29.3%
Consumer Staples............................. 4.2%
Energy....................................... 6.4%
Financials................................... 13.5%
Health Care.................................. 5.0%
Industrials.................................. 20.2%
Information Technology....................... 4.8%
Materials.................................... 10.7%
Other........................................ --
Telecommunication Services................... 3.5%
Utilities.................................... 2.4%
-----
100.0%
THE UNITED KINGDOM SMALL COMPANY SERIES
Consumer Discretionary....................... 26.9%
Consumer Staples............................. 3.8%
Energy....................................... 5.4%
Financials................................... 14.4%
Health Care.................................. 2.6%
Industrials.................................. 26.7%
Information Technology....................... 7.8%
Materials.................................... 7.6%
Telecommunication Services................... 2.4%
Utilities.................................... 2.4%
-----
100.0%
THE CONTINENTAL SMALL COMPANY SERIES
Consumer Discretionary....................... 14.9%
Consumer Staples............................. 5.7%
Energy....................................... 4.4%
Financials................................... 18.6%
Health Care.................................. 9.2%
Industrials.................................. 24.4%
Information Technology....................... 10.0%
Materials.................................... 8.0%
Other........................................ --
Telecommunication Services................... 2.5%
Utilities.................................... 2.3%
-----
100.0%
THE CANADIAN SMALL COMPANY SERIES
Consumer Discretionary....................... 10.2%
Consumer Staples............................. 4.3%
Energy....................................... 26.9%
Financials................................... 8.1%
Health Care.................................. 2.0%
Industrials.................................. 14.6%
Information Technology....................... 5.8%
Materials.................................... 22.5%
Telecommunication Services................... 0.4%
Utilities.................................... 5.2%
-----
100.0%
THE EMERGING MARKETS SERIES
Consumer Discretionary....................... 9.0%
Consumer Staples............................. 8.6%
Energy....................................... 12.0%
Financials................................... 25.9%
Health Care.................................. 1.5%
Industrials.................................. 7.3%
Information Technology....................... 15.2%
Materials.................................... 10.4%
Other........................................ --
Telecommunication Services................... 6.9%
Utilities.................................... 3.2%
-----
100.0%
THE EMERGING MARKETS SMALL CAP SERIES
Consumer Discretionary....................... 18.1%
Consumer Staples............................. 8.9%
Energy....................................... 2.3%
Financials................................... 16.5%
Health Care.................................. 6.3%
Industrials.................................. 17.8%
Information Technology....................... 13.1%
Materials.................................... 12.6%
Other........................................ --
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 0.7%
Utilities.................................... 3.6%
-----
100.0%
243
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.9%)
Consumer Discretionary -- (12.1%)
Comcast Corp. Class A................ 10,008,890 $ 476,222,986 3.2%
Comcast Corp. Special Class A........ 3,819,364 176,836,553 1.2%
* General Motors Co.................... 3,555,515 131,376,279 0.9%
Time Warner Cable, Inc............... 1,876,119 225,415,698 1.5%
Time Warner, Inc..................... 4,974,348 341,936,681 2.3%
Other Securities..................... 515,830,578 3.5%
-------------- -----
Total Consumer Discretionary............. 1,867,618,775 12.6%
-------------- -----
Consumer Staples -- (7.2%)
Archer-Daniels-Midland Co............ 3,189,248 130,440,243 0.9%
CVS Caremark Corp.................... 7,147,441 444,999,677 3.0%
Mondelez International, Inc. Class A. 9,025,752 303,626,297 2.0%
Other Securities..................... 227,833,106 1.5%
-------------- -----
Total Consumer Staples................... 1,106,899,323 7.4%
-------------- -----
Energy -- (19.9%)
Anadarko Petroleum Corp.............. 2,511,077 239,280,527 1.6%
Apache Corp.......................... 1,526,796 135,579,485 0.9%
Baker Hughes, Inc.................... 1,673,042 97,187,010 0.6%
Chevron Corp......................... 4,348,879 521,691,525 3.5%
ConocoPhillips....................... 6,993,622 512,632,493 3.4%
Devon Energy Corp.................... 1,479,247 93,517,995 0.6%
Hess Corp............................ 1,606,476 130,445,851 0.9%
Marathon Oil Corp.................... 3,640,872 128,377,147 0.9%
Marathon Petroleum Corp.............. 1,791,952 128,411,280 0.9%
National Oilwell Varco, Inc.......... 1,816,355 147,451,699 1.0%
Occidental Petroleum Corp............ 1,521,584 146,193,791 1.0%
Phillips 66.......................... 2,926,797 188,573,531 1.3%
Valero Energy Corp................... 2,806,975 115,563,161 0.8%
Other Securities..................... 484,245,131 3.3%
-------------- -----
Total Energy............................. 3,069,150,626 20.7%
-------------- -----
Financials -- (23.9%)
American International Group, Inc.... 8,251,823 426,206,658 2.9%
Bank of America Corp................. 39,239,978 547,790,093 3.7%
Bank of New York Mellon Corp. (The).. 3,633,937 115,559,197 0.8%
Capital One Financial Corp........... 1,875,702 128,804,456 0.9%
Citigroup, Inc....................... 10,998,186 536,491,513 3.6%
CME Group, Inc....................... 1,618,207 120,087,142 0.8%
JPMorgan Chase & Co.................. 5,379,341 277,251,235 1.9%
Loews Corp........................... 2,050,343 99,052,070 0.7%
MetLife, Inc......................... 5,110,004 241,754,289 1.6%
Morgan Stanley....................... 7,883,626 226,496,575 1.5%
Prudential Financial, Inc............ 2,327,738 189,454,596 1.3%
Other Securities..................... 785,679,755 5.2%
-------------- -----
Total Financials......................... 3,694,627,579 24.9%
-------------- -----
Health Care -- (7.7%)
Aetna, Inc........................... 2,027,401 127,118,043 0.9%
* Express Scripts Holding Co........... 2,283,090 142,738,787 1.0%
Pfizer, Inc.......................... 7,744,869 237,612,581 1.6%
Thermo Fisher Scientific, Inc........ 1,932,026 188,913,502 1.3%
WellPoint, Inc....................... 1,824,634 154,728,963 1.1%
244
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (Continued)
Other Securities................................... $ 330,262,151 2.1%
--------------- ------
Total Health Care........................................ 1,181,374,027 8.0%
--------------- ------
Industrials -- (11.7%)
CSX Corp........................................... 5,687,103 148,205,904 1.0%
Eaton Corp. P.L.C.................................. 1,993,999 140,696,569 1.0%
FedEx Corp......................................... 759,707 99,521,617 0.7%
General Electric Co................................ 17,056,602 445,859,576 3.0%
Norfolk Southern Corp.............................. 1,681,939 144,680,393 1.0%
Northrop Grumman Corp.............................. 1,364,645 146,712,984 1.0%
Union Pacific Corp................................. 1,891,022 286,300,731 1.9%
Other Securities................................... 389,576,498 2.5%
--------------- ------
Total Industrials........................................ 1,801,554,272 12.1%
--------------- ------
Information Technology -- (5.6%)
Corning, Inc....................................... 5,599,861 95,701,624 0.7%
Hewlett-Packard Co................................. 9,295,748 226,537,379 1.5%
* Yahoo!, Inc........................................ 3,936,872 129,641,195 0.9%
Other Securities................................... 418,199,608 2.8%
--------------- ------
Total Information Technology............................. 870,079,806 5.9%
--------------- ------
Materials -- (3.1%)
Freeport-McMoRan Copper & Gold, Inc................ 3,340,516 122,797,368 0.8%
International Paper Co............................. 2,043,676 91,168,386 0.6%
Other Securities................................... 270,895,902 1.9%
--------------- ------
Total Materials.......................................... 484,861,656 3.3%
--------------- ------
Telecommunication Services -- (4.4%)
AT&T, Inc.......................................... 14,518,387 525,565,609 3.5%
Other Securities................................... 152,680,539 1.1%
--------------- ------
Total Telecommunication Services......................... 678,246,148 4.6%
--------------- ------
Utilities -- (0.3%)
Other Securities................................... 47,551,285 0.3%
--------------- ------
TOTAL COMMON STOCKS...................................... 14,801,963,497 99.8%
--------------- ------
TEMPORARY CASH INVESTMENTS -- (0.7%)
State Street Institutional Liquid Reserves, 0.073%. 110,063,812 110,063,812 0.7%
--------------- ------
SHARES/
FACE
AMOUNT
-----------
(000)
SECURITIES LENDING COLLATERAL -- (3.4%)
(S)@ DFA Short Term Investment Fund..................... 45,096,723 521,769,090 3.5%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,087,346,593)............................... $15,433,796,399 104.0%
=============== ======
245
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...... $ 1,867,618,775 -- -- $ 1,867,618,775
Consumer Staples............ 1,106,899,323 -- -- 1,106,899,323
Energy...................... 3,069,150,626 -- -- 3,069,150,626
Financials.................. 3,694,627,579 -- -- 3,694,627,579
Health Care................. 1,181,374,027 -- -- 1,181,374,027
Industrials................. 1,801,554,272 -- -- 1,801,554,272
Information Technology...... 870,079,806 -- -- 870,079,806
Materials................... 484,861,656 -- -- 484,861,656
Telecommunication Services.. 678,246,148 -- -- 678,246,148
Utilities................... 47,551,285 -- -- 47,551,285
Temporary Cash Investments.... 110,063,812 -- -- 110,063,812
Securities Lending Collateral. -- $521,769,090 -- 521,769,090
--------------- ------------ -- ---------------
TOTAL......................... $14,912,027,309 $521,769,090 -- $15,433,796,399
=============== ============ == ===============
See accompanying Notes to Financial Statements.
246
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (92.1%)
AUSTRALIA -- (4.6%)
Suncorp Group, Ltd................ 3,736,013 $ 47,108,867 0.5%
Wesfarmers, Ltd................... 2,755,622 111,820,231 1.3%
Other Securities.................. 279,564,385 3.2%
------------ -----
TOTAL AUSTRALIA....................... 438,493,483 5.0%
------------ -----
AUSTRIA -- (0.2%)
Other Securities.................. 16,529,353 0.2%
------------ -----
BELGIUM -- (1.2%)
Other Securities.................. 112,978,600 1.3%
------------ -----
CANADA -- (8.8%)
# Canadian Natural Resources, Ltd... 1,849,320 58,690,835 0.7%
# Magna International, Inc.......... 583,936 49,458,004 0.6%
# Manulife Financial Corp........... 4,587,163 81,259,196 0.9%
# Sun Life Financial, Inc........... 1,446,869 48,735,471 0.6%
Suncor Energy, Inc................ 3,750,370 136,288,802 1.6%
# Thomson Reuters Corp.............. 1,557,384 58,522,328 0.7%
Other Securities.................. 400,896,217 4.4%
------------ -----
TOTAL CANADA.......................... 833,850,853 9.5%
------------ -----
DENMARK -- (1.5%)
Other Securities.................. 137,640,320 1.6%
------------ -----
FINLAND -- (0.9%)
Other Securities.................. 82,560,530 0.9%
------------ -----
FRANCE -- (9.7%)
AXA SA............................ 4,004,754 99,780,178 1.1%
BNP Paribas SA.................... 1,975,744 145,756,834 1.7%
Cie de St-Gobain.................. 1,078,023 56,585,484 0.7%
GDF Suez.......................... 3,247,971 80,496,939 0.9%
Orange............................ 3,875,091 53,267,297 0.6%
Societe Generale SA............... 1,823,515 103,009,458 1.2%
Vivendi SA........................ 3,686,124 93,331,608 1.1%
Other Securities.................. 290,292,116 3.2%
------------ -----
TOTAL FRANCE.......................... 922,519,914 10.5%
------------ -----
GERMANY -- (8.4%)
Allianz SE........................ 518,031 86,978,602 1.0%
Allianz SE ADR.................... 2,811,910 47,324,445 0.5%
Bayerische Motoren Werke AG....... 663,299 75,071,136 0.9%
Daimler AG........................ 2,088,586 171,002,503 1.9%
Deutsche Bank AG.................. 1,538,807 74,369,159 0.8%
# Deutsche Telekom AG Sponsored ADR. 3,074,385 48,544,539 0.6%
E.ON SE........................... 3,638,090 66,316,888 0.8%
Muenchener Rueckversicherungs AG.. 395,244 82,460,652 0.9%
Other Securities.................. 143,842,565 1.6%
------------ -----
TOTAL GERMANY......................... 795,910,489 9.0%
------------ -----
GREECE -- (0.0%)
Other Securities.................. 4,734,900 0.1%
------------ -----
247
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.1%)
Hutchison Whampoa, Ltd.................. 5,818,000 $ 72,458,624 0.8%
Other Securities........................ 125,762,689 1.4%
-------------- -----
TOTAL HONG KONG............................. 198,221,313 2.2%
-------------- -----
IRELAND -- (0.1%)
Other Securities........................ 13,557,887 0.1%
-------------- -----
ISRAEL -- (0.3%)
Other Securities........................ 28,069,013 0.3%
-------------- -----
ITALY -- (1.5%)
UniCredit SpA........................... 8,189,815 61,477,549 0.7%
Other Securities........................ 78,424,839 0.9%
-------------- -----
TOTAL ITALY................................. 139,902,388 1.6%
-------------- -----
JAPAN -- (17.7%)
Mitsubishi Corp......................... 3,482,500 70,454,645 0.8%
Mitsubishi UFJ Financial Group, Inc..... 24,653,206 156,998,104 1.8%
Mitsui & Co., Ltd....................... 4,220,700 60,296,595 0.7%
Nippon Steel & Sumitomo Metal Corp...... 18,537,940 61,185,438 0.7%
NTT DOCOMO, Inc......................... 3,091,700 49,049,894 0.6%
Other Securities........................ 1,282,749,967 14.5%
-------------- -----
TOTAL JAPAN................................. 1,680,734,643 19.1%
-------------- -----
NETHERLANDS -- (3.1%)
* ING Groep NV............................ 6,479,202 82,335,806 0.9%
Other Securities........................ 207,395,423 2.4%
-------------- -----
TOTAL NETHERLANDS........................... 289,731,229 3.3%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities........................ 6,293,702 0.1%
-------------- -----
NORWAY -- (0.7%)
Other Securities........................ 67,730,341 0.8%
-------------- -----
PORTUGAL -- (0.1%)
Other Securities........................ 6,386,228 0.1%
-------------- -----
SINGAPORE -- (1.2%)
Other Securities........................ 109,323,500 1.2%
-------------- -----
SPAIN -- (2.3%)
Banco Santander SA...................... 8,832,930 78,306,244 0.9%
Iberdrola SA............................ 7,444,256 46,726,442 0.5%
Other Securities........................ 94,892,837 1.1%
-------------- -----
TOTAL SPAIN................................. 219,925,523 2.5%
-------------- -----
SWEDEN -- (2.8%)
Nordea Bank AB.......................... 5,366,449 68,644,974 0.8%
Telefonaktiebolaget LM Ericsson Class B. 4,713,081 56,374,169 0.7%
Other Securities........................ 138,816,259 1.5%
-------------- -----
TOTAL SWEDEN................................ 263,835,402 3.0%
-------------- -----
248
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (6.9%)
Credit Suisse Group AG...................................... 1,928,358 $ 59,987,253 0.7%
Holcim, Ltd................................................. 887,877 66,039,798 0.8%
Swiss Re AG................................................. 1,117,582 98,104,262 1.1%
UBS AG...................................................... 6,496,062 125,640,734 1.4%
Zurich Insurance Group AG................................... 269,917 74,584,331 0.9%
Other Securities............................................ 232,054,236 2.6%
-------------- ------
TOTAL SWITZERLAND................................................. 656,410,614 7.5%
-------------- ------
UNITED KINGDOM -- (17.9%)
Barclays P.L.C.............................................. 14,540,536 61,178,709 0.7%
# Barclays P.L.C. Sponsored ADR............................... 5,739,573 96,482,222 1.1%
BP P.L.C. Sponsored ADR..................................... 5,793,659 269,405,143 3.1%
Glencore Xstrata P.L.C...................................... 15,896,454 86,511,958 1.0%
# HSBC Holdings P.L.C. Sponsored ADR.......................... 1,694,884 93,286,415 1.1%
Kingfisher P.L.C............................................ 8,609,963 52,085,475 0.6%
* Lloyds Banking Group P.L.C.................................. 82,680,839 102,259,365 1.2%
# Royal Dutch Shell P.L.C. ADR................................ 3,323,210 231,029,559 2.6%
Vodafone Group P.L.C........................................ 34,976,333 128,109,810 1.5%
Vodafone Group P.L.C. Sponsored ADR......................... 3,949,158 145,407,998 1.6%
Other Securities............................................ 428,839,157 4.8%
-------------- ------
TOTAL UNITED KINGDOM.............................................. 1,694,595,811 19.3%
-------------- ------
TOTAL COMMON STOCKS............................................... 8,719,936,036 99.2%
-------------- ------
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Other Securities............................................ 23,753,308 0.3%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
Other Securities............................................ -- 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities............................................ 1,906,872 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS............................................. 1,906,872 0.0%
-------------- ------
SHARES/
FACE
AMOUNT VALUE+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (7.7%)
(S)@ DFA Short Term Investment Fund.............................. 62,748,487 726,000,000 8.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/13 (Collateralized by $796,375 FNMA, rates ranging
from 2.500% to 4.500%, maturities ranging from 04/01/27 to
10/01/43, valued at $720,177) to be repurchased at
$706,058................................................... $ 706 706,056 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL............................... 726,706,056 8.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,742,743,361)......................................... $9,472,302,272 107.7%
============== ======
249
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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................... $ 1,841,161 $ 436,652,322 -- $ 438,493,483
Austria..................... -- 16,529,353 -- 16,529,353
Belgium..................... 3,382,426 109,596,174 -- 112,978,600
Canada...................... 833,850,853 -- -- 833,850,853
Denmark..................... -- 137,640,320 -- 137,640,320
Finland..................... 1,950,990 80,609,540 -- 82,560,530
France...................... 6,675,118 915,844,796 -- 922,519,914
Germany..................... 120,607,084 675,303,405 -- 795,910,489
Greece...................... -- 4,734,900 -- 4,734,900
Hong Kong................... -- 198,221,313 -- 198,221,313
Ireland..................... 5,268,488 8,289,399 -- 13,557,887
Israel...................... -- 28,069,013 -- 28,069,013
Italy....................... 18,295,120 121,607,268 -- 139,902,388
Japan....................... 67,433,792 1,613,300,851 -- 1,680,734,643
Netherlands................. 16,499,964 273,231,265 -- 289,731,229
New Zealand................. -- 6,293,702 -- 6,293,702
Norway...................... 265,956 67,464,385 -- 67,730,341
Portugal.................... -- 6,386,228 -- 6,386,228
Singapore................... -- 109,323,500 -- 109,323,500
Spain....................... 13,099,036 206,826,487 -- 219,925,523
Sweden...................... 11,416,422 252,418,980 -- 263,835,402
Switzerland................. 90,293,410 566,117,204 -- 656,410,614
United Kingdom.............. 926,568,412 768,027,399 -- 1,694,595,811
Preferred Stocks
Germany..................... -- 23,753,308 -- 23,753,308
Rights/Warrants
Hong Kong................... -- -- -- --
Spain....................... -- 1,906,872 -- 1,906,872
Securities Lending Collateral. -- 726,706,056 -- 726,706,056
-------------- -------------- -- --------------
TOTAL......................... $2,117,448,232 $7,354,854,040 -- $9,472,302,272
============== ============== == ==============
See accompanying Notes to Financial Statements.
250
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (88.3%)
Consumer Discretionary -- (18.9%)
Accordia Golf Co., Ltd...................... 575,900 $ 6,320,624 0.3%
Aoyama Trading Co., Ltd..................... 315,900 8,054,712 0.4%
#* Arnest One Corp............................. 238,800 6,557,104 0.3%
* Haseko Corp................................. 1,339,000 9,924,834 0.4%
# Nifco, Inc.................................. 277,500 7,395,022 0.3%
Resorttrust, Inc............................ 200,608 7,641,738 0.3%
Shimachu Co., Ltd........................... 273,900 6,651,367 0.3%
Tokyo Dome Corp............................. 984,200 6,768,438 0.3%
Toyo Tire & Rubber Co., Ltd................. 1,080,000 6,310,337 0.3%
Other Securities............................ 419,039,070 18.3%
------------ -----
Total Consumer Discretionary.................... 484,663,246 21.2%
------------ -----
Consumer Staples -- (8.2%)
Fuji Oil Co. Ltd/Osaka...................... 367,600 6,699,430 0.3%
# Nichirei Corp............................... 1,382,000 7,133,447 0.3%
# Pigeon Corp................................. 191,600 9,885,257 0.4%
Sapporo Holdings, Ltd....................... 1,874,000 8,333,114 0.4%
Takara Holdings, Inc........................ 702,500 6,442,135 0.3%
UNY Group Holdings Co., Ltd................. 1,183,300 7,466,985 0.3%
Other Securities............................ 163,690,997 7.2%
------------ -----
Total Consumer Staples.......................... 209,651,365 9.2%
------------ -----
Energy -- (0.8%)
Other Securities............................ 21,136,267 0.9%
------------ -----
Financials -- (9.7%)
Daishi Bank, Ltd. (The)..................... 2,006,000 7,003,326 0.3%
Juroku Bank, Ltd. (The)..................... 1,985,000 7,771,817 0.3%
Musashino Bank, Ltd. (The).................. 196,000 6,876,837 0.3%
San-In Godo Bank, Ltd. (The)................ 961,000 6,976,501 0.3%
Other Securities............................ 219,964,821 9.7%
------------ -----
Total Financials................................ 248,593,302 10.9%
------------ -----
Health Care -- (4.2%)
# Kaken Pharmaceutical Co., Ltd............... 417,000 6,512,147 0.3%
Nihon Kohden Corp........................... 180,100 7,417,704 0.3%
Rohto Pharmaceutical Co., Ltd............... 475,000 6,893,342 0.3%
Ship Healthcare Holdings, Inc............... 185,700 7,620,076 0.3%
Other Securities............................ 77,893,145 3.5%
------------ -----
Total Health Care............................... 106,336,414 4.7%
------------ -----
Industrials -- (26.4%)
# Daifuku Co., Ltd............................ 505,000 6,493,984 0.3%
# DMG Mori Seiki Co., Ltd..................... 551,500 8,946,428 0.4%
Fujikura, Ltd............................... 2,042,000 9,317,972 0.4%
# Furukawa Electric Co., Ltd.................. 3,973,000 9,208,531 0.4%
Glory, Ltd.................................. 305,000 7,563,052 0.3%
Hitachi Zosen Corp.......................... 879,499 6,993,194 0.3%
Komori Corp................................. 407,800 6,412,688 0.3%
Maeda Road Construction Co., Ltd............ 360,000 6,401,143 0.3%
# Minebea Co., Ltd............................ 1,975,000 10,933,515 0.5%
Mitsui Engineering & Shipbuilding Co., Ltd. 4,170,000 8,185,614 0.4%
#* Nippon Sheet Glass Co., Ltd................. 5,424,000 7,034,712 0.3%
251
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
Industrials -- (Continued)
Nishimatsu Construction Co., Ltd................................. 1,855,000 $ 6,548,878 0.3%
# Nisshinbo Holdings, Inc.......................................... 834,000 7,366,107 0.3%
# OKUMA Corp....................................................... 792,000 6,690,276 0.3%
OSG Corp......................................................... 401,700 6,498,156 0.3%
# Sanwa Holdings Corp.............................................. 1,215,000 7,786,723 0.3%
Seino Holdings Co., Ltd.......................................... 731,000 7,219,534 0.3%
Sohgo Security Services Co., Ltd................................. 338,100 6,834,701 0.3%
Other Securities................................................. 541,155,767 23.7%
-------------- ------
Total Industrials...................................................... 677,590,975 29.7%
-------------- ------
Information Technology -- (9.2%)
* Alps Electric Co., Ltd........................................... 1,084,100 9,513,585 0.4%
Horiba, Ltd...................................................... 218,850 7,996,873 0.4%
IT Holdings Corp................................................. 448,301 6,439,577 0.3%
# Taiyo Yuden Co., Ltd............................................. 619,100 7,935,573 0.4%
Other Securities................................................. 204,758,270 8.9%
-------------- ------
Total Information Technology........................................... 236,643,878 10.4%
-------------- ------
Materials -- (10.5%)
Mitsui Mining & Smelting Co., Ltd................................ 3,353,000 8,547,456 0.4%
Rengo Co., Ltd................................................... 1,219,000 6,519,768 0.3%
Sumitomo Osaka Cement Co., Ltd................................... 2,274,000 9,175,091 0.4%
Tokuyama Corp.................................................... 1,979,000 7,654,790 0.3%
Toyobo Co., Ltd.................................................. 4,867,000 9,352,621 0.4%
Other Securities................................................. 228,355,855 10.0%
-------------- ------
Total Materials........................................................ 269,605,581 11.8%
-------------- ------
Telecommunication Services -- (0.0%)
Other Securities................................................. 895,224 0.0%
-------------- ------
Utilities -- (0.4%)
Other Securities................................................. 10,306,973 0.5%
-------------- ------
TOTAL COMMON STOCKS.................................................... 2,265,423,225 99.3%
-------------- ------
SHARES/
FACE
AMOUNT VALUE+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@ DFA Short Term Investment Fund................................... 25,929,127 300,000,000 13.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/13 (Collateralized by $474,360 FNMA, rates ranging from
2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43,
valued at $428,972) to be repurchased at $420,562............... $ 421 420,561 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................... 300,420,561 13.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,358,439,958).............................................. $2,565,843,786 112.5%
============== ======
252
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...... $ 687,517 $ 483,975,729 -- $ 484,663,246
Consumer Staples............ -- 209,651,365 -- 209,651,365
Energy...................... -- 21,136,267 -- 21,136,267
Financials.................. 9,015,209 239,578,093 -- 248,593,302
Health Care................. -- 106,336,414 -- 106,336,414
Industrials................. -- 677,590,975 -- 677,590,975
Information Technology...... -- 236,643,878 -- 236,643,878
Materials................... -- 269,605,581 -- 269,605,581
Telecommunication Services.. -- 895,224 -- 895,224
Utilities................... -- 10,306,973 -- 10,306,973
Securities Lending Collateral. -- 300,420,561 -- 300,420,561
---------- -------------- -- --------------
TOTAL......................... $9,702,726 $2,556,141,060 -- $2,565,843,786
========== ============== == ==============
See accompanying Notes to Financial Statements.
253
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (81.3%)
AUSTRALIA -- (40.8%)
Adelaide Brighton, Ltd...................... 1,822,054 $ 6,631,679 0.5%
# Ansell, Ltd................................. 414,608 7,641,753 0.6%
Aristocrat Leisure, Ltd..................... 2,580,305 12,320,792 1.0%
Arrium, Ltd................................. 7,583,001 9,907,713 0.8%
#* Aurora Oil & Gas, Ltd....................... 2,256,634 6,929,410 0.6%
Beach Energy, Ltd........................... 7,442,568 10,052,661 0.8%
* BlueScope Steel, Ltd........................ 2,365,706 11,158,750 0.9%
# Bradken, Ltd................................ 1,201,799 7,089,963 0.6%
# carsales.com, Ltd........................... 1,220,399 12,118,987 1.0%
CSR, Ltd.................................... 2,829,296 6,679,778 0.5%
# David Jones, Ltd............................ 3,241,419 8,330,548 0.7%
Downer EDI, Ltd............................. 2,414,160 11,216,171 0.9%
DuluxGroup, Ltd............................. 2,317,895 11,287,494 0.9%
Envestra, Ltd............................... 6,189,006 6,576,924 0.5%
# Fairfax Media, Ltd.......................... 11,005,131 6,283,630 0.5%
Goodman Fielder, Ltd........................ 9,960,250 7,158,645 0.6%
GrainCorp, Ltd. Class A..................... 828,668 9,661,614 0.8%
# Invocare, Ltd............................... 638,866 6,616,861 0.5%
IOOF Holdings, Ltd.......................... 1,239,793 10,543,213 0.8%
# Iress, Ltd.................................. 767,110 7,158,910 0.6%
# JB Hi-Fi, Ltd............................... 639,044 13,169,341 1.0%
# Mineral Resources, Ltd...................... 756,386 8,087,153 0.6%
# Monadelphous Group, Ltd..................... 491,743 8,437,605 0.7%
# Myer Holdings, Ltd.......................... 3,564,925 8,425,293 0.7%
Navitas, Ltd................................ 1,192,373 6,531,773 0.5%
# Perpetual, Ltd.............................. 234,074 10,190,785 0.8%
Primary Health Care, Ltd.................... 1,709,571 7,975,871 0.6%
# Reece Australia, Ltd........................ 238,257 6,301,473 0.5%
#* Sims Metal Management, Ltd.................. 863,295 8,177,344 0.6%
Spark Infrastructure Group.................. 4,143,888 6,637,154 0.5%
# Super Retail Group, Ltd..................... 1,291,875 16,364,147 1.3%
# TPG Telecom, Ltd............................ 1,484,123 6,542,913 0.5%
# UGL, Ltd.................................... 995,514 6,923,273 0.6%
Other Securities............................ 343,191,406 27.0%
------------ -----
TOTAL AUSTRALIA................................. 632,321,027 50.0%
------------ -----
BERMUDA -- (0.0%)
Other Securities............................ 4,364 0.0%
------------ -----
CAYMAN ISLANDS -- (0.0%)
Other Securities............................ 22,553 0.0%
------------ -----
CHINA -- (0.1%)
Other Securities............................ 2,100,808 0.1%
------------ -----
HONG KONG -- (22.5%)
# Chow Sang Sang Holdings International, Ltd.. 1,967,000 6,379,263 0.5%
# Esprit Holdings, Ltd........................ 13,005,750 23,980,456 1.9%
# Giordano International, Ltd................. 9,084,000 8,521,138 0.7%
Hopewell Holdings, Ltd...................... 1,804,000 6,087,002 0.5%
# Luk Fook Holdings International, Ltd........ 2,289,000 8,142,153 0.7%
# Melco International Development, Ltd........ 6,017,000 18,925,645 1.5%
Pacific Basin Shipping, Ltd................. 11,222,000 8,030,542 0.6%
254
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (Continued)
SA SA International Holdings, Ltd............................. 7,008,000 $ 7,672,215 0.6%
Shun Tak Holdings, Ltd........................................ 10,767,419 6,237,351 0.5%
Xinyi Glass Holdings, Ltd..................................... 12,292,000 12,189,775 1.0%
Other Securities.............................................. 242,212,412 19.0%
-------------- ------
TOTAL HONG KONG..................................................... 348,377,952 27.5%
-------------- ------
NEW ZEALAND -- (6.3%)
# Fisher & Paykel Healthcare Corp., Ltd......................... 3,375,400 10,265,529 0.8%
Port of Tauranga, Ltd......................................... 528,322 6,019,074 0.5%
# Ryman Healthcare, Ltd......................................... 1,742,405 10,861,648 0.9%
Sky Network Television, Ltd................................... 1,319,448 6,757,325 0.5%
# SKYCITY Entertainment Group, Ltd.............................. 3,420,386 10,984,846 0.9%
Other Securities.............................................. 52,594,791 4.1%
-------------- ------
TOTAL NEW ZEALAND................................................... 97,483,213 7.7%
-------------- ------
PHILIPPINES -- (0.0%)
Other Securities.............................................. 17,016 0.0%
-------------- ------
SINGAPORE -- (11.6%)
# Singapore Post, Ltd........................................... 9,103,120 9,596,310 0.8%
# Venture Corp., Ltd............................................ 1,600,000 10,019,818 0.8%
Other Securities.............................................. 159,696,850 12.6%
-------------- ------
TOTAL SINGAPORE..................................................... 179,312,978 14.2%
-------------- ------
TOTAL COMMON STOCKS................................................. 1,259,639,911 99.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities.............................................. -- 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities.............................................. -- 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS............................................... -- 0.0%
-------------- ------
SHARES/
FACE
AMOUNT VALUE+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (18.7%)
(S)@ DFA Short Term Investment Fund................................ 25,064,823 290,000,000 22.9%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.09%,
11/01/13 (Collateralized by $507,256 U.S. Treasury Note
2.375%, 09/30/14, valued at $518,619) to be repurchased at
$506,216..................................................... $ 506 506,215 0.1%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/13 (Collateralized by $51,657 FNMA, rates ranging from
2.500% to 4.500%, maturities ranging from 04/01/27 to
10/01/43, valued at $46,714) to be repurchased at $45,798.... 46 45,798 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL................................. 290,552,013 23.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,443,079,348)........................................... $1,550,191,924 122.5%
============== ======
255
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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................... $ 217,641 $ 632,103,386 -- $ 632,321,027
Bermuda..................... -- 4,364 -- 4,364
Cayman Islands.............. -- 22,553 -- 22,553
China....................... -- 2,100,808 -- 2,100,808
Hong Kong................... 4,648,233 343,729,719 -- 348,377,952
New Zealand................. -- 97,483,213 -- 97,483,213
Philippines................. -- 17,016 -- 17,016
Singapore................... 10,228 179,302,750 -- 179,312,978
Rights/Warrants
Australia................... -- -- -- --
Hong Kong................... -- -- -- --
Securities Lending Collateral. -- 290,552,013 -- 290,552,013
---------- -------------- -- --------------
TOTAL......................... $4,876,102 $1,545,315,822 -- $1,550,191,924
========== ============== == ==============
See accompanying Notes to Financial Statements.
256
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (98.5%)
Consumer Discretionary -- (26.5%)
Barratt Developments P.L.C........ 5,157,995 $ 27,660,094 1.4%
Bellway P.L.C..................... 652,849 15,724,768 0.8%
Berkeley Group Holdings P.L.C..... 650,346 24,378,283 1.2%
Daily Mail & General Trust P.L.C.. 1,328,069 17,321,746 0.9%
* Dixons Retail P.L.C............... 16,850,562 13,202,433 0.7%
Greene King P.L.C................. 1,421,372 18,808,719 0.9%
Home Retail Group P.L.C........... 4,196,363 13,388,556 0.7%
Howden Joinery Group P.L.C........ 2,676,884 13,843,959 0.7%
Inchcape P.L.C.................... 2,319,770 23,684,611 1.2%
Informa P.L.C..................... 3,121,619 27,964,781 1.4%
Ladbrokes P.L.C................... 4,483,503 13,723,124 0.7%
Persimmon P.L.C................... 1,366,507 27,666,555 1.4%
Rightmove P.L.C................... 319,449 13,574,746 0.7%
Taylor Wimpey P.L.C............... 15,614,170 27,549,112 1.4%
* Thomas Cook Group P.L.C........... 7,517,966 17,303,141 0.9%
William Hill P.L.C................ 3,678,697 23,618,931 1.2%
Other Securities.................. 213,258,054 10.6%
------------ -----
Total Consumer Discretionary.......... 532,671,613 26.8%
------------ -----
Consumer Staples -- (3.7%)
Booker Group P.L.C................ 7,511,637 18,092,064 0.9%
Other Securities.................. 56,304,593 2.8%
------------ -----
Total Consumer Staples................ 74,396,657 3.7%
------------ -----
Energy -- (5.3%)
* Afren P.L.C....................... 5,639,345 14,254,859 0.7%
John Wood Group P.L.C............. 1,377,126 17,930,742 0.9%
Premier Oil P.L.C................. 2,484,308 13,823,320 0.7%
Other Securities.................. 60,971,072 3.1%
------------ -----
Total Energy.......................... 106,979,993 5.4%
------------ -----
Financials -- (14.2%)
Amlin P.L.C....................... 2,613,209 17,854,912 0.9%
Catlin Group, Ltd................. 1,812,653 14,890,947 0.8%
Close Brothers Group P.L.C........ 777,213 15,739,934 0.8%
Henderson Group P.L.C............. 5,229,541 17,950,379 0.9%
Hiscox, Ltd....................... 1,848,675 19,626,193 1.0%
ICAP P.L.C........................ 2,874,272 17,748,601 0.9%
IG Group Holdings P.L.C........... 1,346,879 13,237,127 0.7%
Man Group P.L.C................... 9,800,117 13,947,727 0.7%
Other Securities.................. 153,842,365 7.6%
------------ -----
Total Financials...................... 284,838,185 14.3%
------------ -----
Health Care -- (2.6%)
Hikma Pharmaceuticals P.L.C....... 713,706 13,730,269 0.7%
Other Securities.................. 38,129,221 1.9%
------------ -----
Total Health Care..................... 51,859,490 2.6%
------------ -----
Industrials -- (26.3%)
Ashtead Group P.L.C............... 2,598,958 27,310,230 1.4%
Balfour Beatty P.L.C.............. 3,596,658 16,448,453 0.8%
BBA Aviation P.L.C................ 2,792,163 15,134,152 0.8%
Berendsen P.L.C................... 810,481 12,621,571 0.6%
257
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
Industrials -- (Continued)
Bodycote P.L.C............................................... 1,253,236 $ 13,210,384 0.7%
Cobham P.L.C................................................. 5,618,202 25,946,576 1.3%
DCC P.L.C.................................................... 431,941 19,342,514 1.0%
Hays P.L.C................................................... 7,041,541 14,054,156 0.7%
Invensys P.L.C............................................... 2,824,855 22,668,384 1.1%
Melrose Industries P.L.C..................................... 4,156,691 21,310,110 1.1%
Rotork P.L.C................................................. 335,959 15,392,385 0.8%
Serco Group P.L.C............................................ 1,965,238 17,561,115 0.9%
Spirax-Sarco Engineering P.L.C............................... 330,635 15,461,631 0.8%
Stagecoach Group P.L.C....................................... 2,248,039 12,684,109 0.6%
Other Securities............................................. 279,015,291 14.0%
-------------- ------
Total Industrials.................................................. 528,161,061 26.6%
-------------- ------
Information Technology -- (7.7%)
Halma P.L.C.................................................. 1,738,128 15,266,910 0.8%
Spectris P.L.C............................................... 582,385 21,564,398 1.1%
Other Securities............................................. 117,190,576 5.8%
-------------- ------
Total Information Technology....................................... 154,021,884 7.7%
-------------- ------
Materials -- (7.5%)
Croda International P.L.C.................................... 442,133 17,277,527 0.9%
DS Smith P.L.C............................................... 4,875,734 23,632,372 1.2%
Other Securities............................................. 109,270,013 5.5%
-------------- ------
Total Materials.................................................... 150,179,912 7.6%
-------------- ------
Telecommunication Services -- (2.3%)
Inmarsat P.L.C............................................... 2,097,288 24,206,344 1.2%
Other Securities............................................. 22,947,045 1.2%
-------------- ------
Total Telecommunication Services................................... 47,153,389 2.4%
-------------- ------
Utilities -- (2.4%)
Drax Group P.L.C............................................. 2,103,725 21,477,657 1.1%
Pennon Group P.L.C........................................... 1,980,713 21,629,062 1.1%
Other Securities............................................. 5,169,242 0.2%
-------------- ------
Total Utilities.................................................... 48,275,961 2.4%
-------------- ------
TOTAL COMMON STOCKS................................................ 1,978,538,145 99.5%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Other Securities............................................. 50,874 0.0%
-------------- ------
SHARES/
FACE
AMOUNT VALUE+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (1.5%)
(S)@ DFA Short Term Investment Fund............................... 2,592,913 30,000,000 1.5%
@ Repurchase Agreement, Deutsche Bank Securities, Inc.
0.12%, 11/01/13 (Collateralized by $735,534 FNMA, rates
ranging from 2.500% to 4.500%, maturities ranging from
04/01/27 to 10/01/43, valued at $665,157) to be repurchased
at $652,117................................................. $ 652 652,115 0.1%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL................................ 30,652,115 1.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,356,132,190).......................................... $2,009,241,134 101.1%
============== ======
258
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...... $ 19,789 $ 532,651,824 -- $ 532,671,613
Consumer Staples............ -- 74,396,657 -- 74,396,657
Energy...................... -- 106,979,993 -- 106,979,993
Financials.................. -- 284,838,185 -- 284,838,185
Health Care................. -- 51,859,490 -- 51,859,490
Industrials................. 33,414 528,127,647 -- 528,161,061
Information Technology...... 78,663 153,943,221 -- 154,021,884
Materials................... -- 150,179,912 -- 150,179,912
Telecommunication Services.. -- 47,153,389 -- 47,153,389
Utilities................... -- 48,275,961 -- 48,275,961
Preferred Stocks.............. -- 50,874 -- 50,874
Securities Lending Collateral. -- 30,652,115 -- 30,652,115
-------- -------------- -- --------------
TOTAL......................... $131,866 $2,009,109,268 -- $2,009,241,134
======== ============== == ==============
See accompanying Notes to Financial Statements.
259
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (86.7%)
AUSTRIA -- (2.1%)
Other Securities............... $ 78,645,320 2.4%
------------ -----
BELGIUM -- (2.6%)
Ackermans & van Haaren NV...... 118,073 12,787,617 0.4%
Other Securities............... 82,826,125 2.6%
------------ -----
TOTAL BELGIUM...................... 95,613,742 3.0%
------------ -----
DENMARK -- (4.1%)
GN Store Nord A.S.............. 772,340 17,619,238 0.6%
* Jyske Bank A.S................. 252,239 14,261,538 0.5%
* Topdanmark A.S................. 507,925 13,824,624 0.4%
#* Vestas Wind Systems A.S........ 693,291 18,578,010 0.6%
Other Securities............... 88,855,266 2.7%
------------ -----
TOTAL DENMARK...................... 153,138,676 4.8%
------------ -----
FINLAND -- (5.5%)
Amer Sports Oyj................ 550,929 11,303,591 0.4%
# Elisa Oyj...................... 663,319 16,618,626 0.5%
# Neste Oil Oyj.................. 596,102 11,819,716 0.4%
Other Securities............... 162,284,236 5.0%
------------ -----
TOTAL FINLAND...................... 202,026,169 6.3%
------------ -----
FRANCE -- (11.1%)
#* Alcatel-Lucent................. 12,082,064 46,287,055 1.5%
Lagardere SCA.................. 427,942 15,546,813 0.5%
# Neopost SA..................... 167,752 12,665,437 0.4%
#* Peugeot SA..................... 1,076,690 14,163,830 0.5%
Societe Television Francaise 1. 567,362 10,931,881 0.4%
Teleperformance................ 275,593 14,588,498 0.5%
Other Securities............... 295,307,033 8.9%
------------ -----
TOTAL FRANCE....................... 409,490,547 12.7%
------------ -----
GERMANY -- (12.5%)
* Aareal Bank AG................. 423,110 16,227,581 0.5%
# Celesio AG..................... 406,712 12,644,638 0.4%
# Deutsche Wohnen AG............. 816,056 15,347,428 0.5%
Freenet AG..................... 489,959 12,726,578 0.4%
Rheinmetall AG................. 189,044 11,687,366 0.4%
Rhoen Klinikum AG.............. 500,406 13,984,605 0.4%
Stada Arzneimittel AG.......... 287,980 16,553,592 0.5%
Other Securities............... 363,033,443 11.3%
------------ -----
TOTAL GERMANY...................... 462,205,231 14.4%
------------ -----
GREECE -- (2.0%)
Other Securities............... 75,861,383 2.4%
------------ -----
IRELAND -- (1.9%)
Paddy Power P.L.C.............. 175,221 14,181,124 0.4%
Smurfit Kappa Group P.L.C...... 554,973 13,433,965 0.4%
Other Securities............... 44,425,840 1.4%
------------ -----
TOTAL IRELAND...................... 72,040,929 2.2%
------------ -----
260
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
ISRAEL -- (2.3%)
Other Securities............................ $ 86,155,595 2.7%
------------ ----
ITALY -- (8.1%)
Azimut Holding SpA.......................... 491,069 12,457,026 0.4%
* Banca Popolare dell'Emilia Romagna S.c.r.l.. 1,449,109 13,922,026 0.4%
* Banco Popolare.............................. 6,663,294 13,237,221 0.4%
#* Finmeccanica SpA............................ 1,838,316 13,471,206 0.4%
* Mediaset SpA................................ 3,041,414 15,187,868 0.5%
Unione di Banche Italiane SCPA.............. 2,765,965 19,116,785 0.6%
Other Securities............................ 214,025,040 6.7%
------------ ----
TOTAL ITALY..................................... 301,417,172 9.4%
------------ ----
NETHERLANDS -- (5.0%)
Aalberts Industries NV...................... 480,099 14,334,222 0.4%
Delta Lloyd NV.............................. 943,521 20,004,182 0.6%
Nutreco NV.................................. 359,256 17,562,430 0.6%
#* PostNL NV................................... 2,402,055 12,551,522 0.4%
* SBM Offshore NV............................. 948,481 19,852,164 0.6%
Other Securities............................ 99,359,737 3.1%
------------ ----
TOTAL NETHERLANDS............................... 183,664,257 5.7%
------------ ----
NORWAY -- (3.1%)
Other Securities............................ 115,126,917 3.6%
------------ ----
PORTUGAL -- (1.5%)
Other Securities............................ 55,664,423 1.7%
------------ ----
RUSSIA -- (0.0%)
Other Securities............................ 994,896 0.0%
------------ ----
SPAIN -- (5.3%)
Bankinter SA................................ 2,085,446 12,715,217 0.4%
# Bolsas y Mercados Espanoles SA.............. 338,781 12,667,129 0.4%
* Jazztel P.L.C............................... 1,025,473 11,231,832 0.4%
# Viscofan SA................................. 213,526 11,326,669 0.4%
Other Securities............................ 146,812,397 4.4%
------------ ----
TOTAL SPAIN..................................... 194,753,244 6.0%
------------ ----
SWEDEN -- (8.7%)
Castellum AB................................ 739,664 11,357,362 0.4%
Modern Times Group AB Class B............... 234,304 12,780,214 0.4%
Securitas AB Class B........................ 998,620 11,387,211 0.4%
Other Securities............................ 284,674,858 8.7%
------------ ----
TOTAL SWEDEN.................................... 320,199,645 9.9%
------------ ----
SWITZERLAND -- (10.7%)
* Dufry AG.................................... 73,187 11,824,599 0.4%
Galenica AG................................. 20,798 18,381,416 0.6%
GAM Holding AG.............................. 806,220 15,064,909 0.5%
Georg Fischer AG............................ 18,366 12,651,376 0.4%
Helvetia Holding AG......................... 27,336 12,892,724 0.4%
Lonza Group AG.............................. 255,221 22,781,770 0.7%
OC Oerlikon Corp. AG........................ 858,856 12,006,957 0.4%
PSP Swiss Property AG....................... 148,327 12,748,515 0.4%
Swiss Life Holding AG....................... 62,436 12,379,830 0.4%
261
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (Continued)
Other Securities............................................. $ 263,744,247 8.1%
-------------- ------
TOTAL SWITZERLAND.................................................. 394,476,343 12.3%
-------------- ------
UNITED KINGDOM -- (0.2%)
Other Securities............................................. 6,763,969 0.2%
-------------- ------
TOTAL COMMON STOCKS................................................ 3,208,238,458 99.7%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRIA -- (0.0%)
Other Securities............................................. -- 0.0%
-------------- ------
ISRAEL -- (0.0%)
Other Securities............................................. 1 0.0%
-------------- ------
ITALY -- (0.0%)
Other Securities............................................. 51,097 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.............................................. 51,098 0.0%
-------------- ------
SHARES/
FACE
AMOUNT VALUE+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (13.3%)
(S)@ DFA Short Term Investment Fund............................... 42,437,338 491,000,000 15.3%
@ Repurchase Agreement, Deutsche Bank Securities, Inc.
0.12%, 11/01/13 (Collateralized by $123,381 FNMA, rates
ranging from 2.500% to 4.500%, maturities ranging from
04/01/27 to 10/01/43, valued at $111,576) to be repurchased
at $109,388................................................. $ 109 109,388 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL................................ 491,109,388 15.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,907,677,627).......................................... $3,699,398,944 115.0%
============== ======
262
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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..................... -- $ 78,645,320 -- $ 78,645,320
Belgium..................... -- 95,613,742 -- 95,613,742
Denmark..................... $ 48,818 153,089,858 -- 153,138,676
Finland..................... -- 202,026,169 -- 202,026,169
France...................... 1,198,479 408,292,068 -- 409,490,547
Germany..................... 9,926,017 452,279,214 -- 462,205,231
Greece...................... -- 75,861,383 -- 75,861,383
Ireland..................... 18,523 72,022,406 -- 72,040,929
Israel...................... -- 86,155,595 -- 86,155,595
Italy....................... 5,458,905 295,958,267 -- 301,417,172
Netherlands................. -- 183,664,257 -- 183,664,257
Norway...................... 1,764,837 113,362,080 -- 115,126,917
Portugal.................... -- 55,664,423 -- 55,664,423
Russia...................... -- 994,896 -- 994,896
Spain....................... -- 194,753,244 -- 194,753,244
Sweden...................... 54,338 320,145,307 -- 320,199,645
Switzerland................. -- 394,476,343 -- 394,476,343
United Kingdom.............. -- 6,763,969 -- 6,763,969
Rights/Warrants
Austria..................... -- -- -- --
Israel...................... -- 1 -- 1
Italy....................... -- 51,097 -- 51,097
Securities Lending Collateral. -- 491,109,388 -- 491,109,388
----------- -------------- -- --------------
TOTAL......................... $18,469,917 $3,680,929,027 -- $3,699,398,944
=========== ============== == ==============
See accompanying Notes to Financial Statements.
263
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (77.1%)
Consumer Discretionary -- (7.9%)
# Cineplex, Inc.......................... 271,135 $ 10,921,853 1.5%
# Corus Entertainment, Inc. Class B...... 369,716 8,616,601 1.2%
Dorel Industries, Inc. Class B......... 126,820 4,712,038 0.7%
#* Imax Corp.............................. 211,609 6,155,566 0.8%
Linamar Corp........................... 269,606 9,065,733 1.2%
Martinrea International, Inc........... 461,356 4,889,449 0.7%
# RONA, Inc.............................. 681,945 7,992,488 1.1%
Other Securities....................... 23,079,749 3.0%
------------ -----
Total Consumer Discretionary............... 75,433,477 10.2%
------------ -----
Consumer Staples -- (3.3%)
# Maple Leaf Foods, Inc.................. 500,264 7,364,938 1.0%
North West Co., Inc. (The)............. 232,610 5,784,853 0.8%
Other Securities....................... 18,477,910 2.5%
------------ -----
Total Consumer Staples..................... 31,627,701 4.3%
------------ -----
Energy -- (20.8%)
* Bankers Petroleum, Ltd................. 1,277,846 4,902,301 0.7%
#* Bellatrix Exploration, Ltd............. 655,708 4,911,600 0.7%
Calfrac Well Services, Ltd............. 154,348 4,811,116 0.7%
# Enbridge Income Fund Holdings, Inc..... 227,285 5,090,016 0.7%
* Gran Tierra Energy, Inc................ 1,391,012 10,486,121 1.4%
* Legacy Oil + Gas, Inc.................. 745,800 5,049,967 0.7%
# Lightstream Resources, Ltd............. 863,190 5,546,804 0.8%
# Mullen Group, Ltd...................... 458,025 12,273,743 1.7%
# Parkland Fuel Corp..................... 353,327 6,475,883 0.9%
# Pason Systems, Inc..................... 285,137 5,926,168 0.8%
Secure Energy Services, Inc............ 437,854 6,210,963 0.8%
# Trican Well Service, Ltd............... 643,185 9,037,223 1.2%
Trinidad Drilling, Ltd................. 604,997 5,860,519 0.8%
# Whitecap Resources, Inc................ 784,268 9,108,987 1.2%
Other Securities....................... 103,238,492 13.7%
------------ -----
Total Energy............................... 198,929,903 26.8%
------------ -----
Financials -- (6.2%)
# AGF Management, Ltd. Class B........... 381,468 5,037,946 0.7%
# Canadian Western Bank.................. 300,957 9,652,330 1.3%
FirstService Corp...................... 135,548 5,634,346 0.8%
# Home Capital Group, Inc................ 120,600 9,571,429 1.3%
Laurentian Bank of Canada.............. 147,250 6,574,102 0.9%
Other Securities....................... 23,304,568 3.1%
------------ -----
Total Financials........................... 59,774,721 8.1%
------------ -----
Health Care -- (1.5%)
Other Securities....................... 14,593,623 2.0%
------------ -----
Industrials -- (11.2%)
* ATS Automation Tooling Systems, Inc.... 440,214 6,088,223 0.8%
# Black Diamond Group, Ltd............... 188,933 4,948,698 0.7%
Genivar, Inc........................... 181,860 5,204,721 0.7%
MacDonald Dettwiler & Associates, Ltd.. 85,470 6,521,017 0.9%
# Ritchie Bros Auctioneers, Inc.......... 273,199 5,400,308 0.7%
# Russel Metals, Inc..................... 316,110 8,731,567 1.2%
264
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
Industrials -- (Continued)
Stantec, Inc..................................................... 228,285 $ 13,565,951 1.8%
Transcontinental, Inc. Class A................................... 333,758 5,329,757 0.7%
# TransForce, Inc.................................................. 388,103 8,594,733 1.1%
Other Securities................................................. 43,443,189 5.9%
------------ ------
Total Industrials...................................................... 107,828,164 14.5%
------------ ------
Information Technology -- (4.5%)
#* Celestica, Inc................................................... 949,607 10,428,236 1.4%
# Davis + Henderson Corp........................................... 334,212 8,606,524 1.2%
Other Securities................................................. 23,741,614 3.2%
------------ ------
Total Information Technology........................................... 42,776,374 5.8%
------------ ------
Materials -- (17.4%)
# Alamos Gold, Inc................................................. 503,857 8,026,725 1.1%
# AuRico Gold, Inc................................................. 1,234,795 5,127,955 0.7%
* Canfor Corp...................................................... 362,555 7,514,327 1.0%
CCL Industries, Inc. Class B..................................... 111,467 7,654,570 1.0%
* Dominion Diamond Corp............................................ 379,239 5,121,263 0.7%
#* First Majestic Silver Corp....................................... 431,070 4,878,558 0.7%
# HudBay Minerals, Inc............................................. 872,492 7,112,820 1.0%
# Sherritt International Corp...................................... 1,628,826 5,577,048 0.8%
Other Securities................................................. 115,295,893 15.4%
------------ ------
Total Materials........................................................ 166,309,159 22.4%
------------ ------
Telecommunication Services -- (0.3%)
Other Securities................................................. 2,823,941 0.4%
------------ ------
Utilities -- (4.0%)
# Algonquin Power & Utilities Corp................................. 912,415 5,889,371 0.8%
# Capital Power Corp............................................... 376,609 7,801,999 1.1%
# Superior Plus Corp............................................... 653,197 6,966,432 0.9%
Other Securities................................................. 18,058,688 2.4%
------------ ------
Total Utilities........................................................ 38,716,490 5.2%
------------ ------
TOTAL COMMON STOCKS.................................................... 738,813,553 99.7%
------------ ------
SHARES/
FACE
AMOUNT VALUE+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (22.9%)
(S)@ DFA Short Term Investment Fund................................... 18,928,263 219,000,000 29.5%
@ Repurchase Agreement, Deutsche Bank Securities, Inc.
0.12%, 11/01/13 (Collateralized by $753,495 FNMA, rates ranging
from 2.500% to 4.500%, maturities ranging from 04/01/27 to
10/01/43, valued at $681,400) to be repurchased at $668,041..... $ 668 668,039 0.1%
------------ ------
TOTAL SECURITIES LENDING COLLATERAL.................................... 219,668,039 29.6%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,032,941,509).............................................. $958,481,592 129.3%
============ ======
265
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...... $ 75,433,477 -- -- $ 75,433,477
Consumer Staples............ 31,627,701 -- -- 31,627,701
Energy...................... 198,929,422 $ 481 -- 198,929,903
Financials.................. 59,774,721 -- -- 59,774,721
Health Care................. 14,547,507 46,116 -- 14,593,623
Industrials................. 107,828,164 -- -- 107,828,164
Information Technology...... 42,776,374 -- -- 42,776,374
Materials................... 166,308,690 469 -- 166,309,159
Telecommunication Services.. 2,823,941 -- -- 2,823,941
Utilities................... 38,716,490 -- -- 38,716,490
Securities Lending Collateral. -- 219,668,039 -- 219,668,039
------------ ------------ -- ------------
TOTAL......................... $738,766,487 $219,715,105 -- $958,481,592
============ ============ == ============
See accompanying Notes to Financial Statements.
266
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (90.1%)
ARGENTINA -- (0.0%)
Other Securities.................................... $ -- 0.0%
-------------- -----
BRAZIL -- (7.7%)
BRF SA ADR.......................................... 564,360 13,222,955 0.4%
Cia de Bebidas das Americas ADR..................... 622,039 23,139,851 0.6%
Petroleo Brasileiro SA ADR.......................... 1,372,750 23,927,033 0.6%
Petroleo Brasileiro SA Sponsored ADR................ 1,985,055 36,048,599 1.0%
# Vale SA Sponsored ADR............................... 1,249,020 19,996,810 0.5%
Other Securities.................................... 191,525,535 5.1%
-------------- -----
TOTAL BRAZIL............................................ 307,860,783 8.2%
-------------- -----
CHILE -- (1.6%)
Other Securities.................................... 65,091,958 1.7%
-------------- -----
CHINA -- (14.1%)
Bank of China, Ltd. Class H......................... 65,514,100 30,844,677 0.8%
China Construction Bank Corp. Class H............... 56,443,590 43,914,613 1.2%
China Life Insurance Co., Ltd. ADR.................. 330,798 13,043,365 0.4%
# China Mobile, Ltd. Sponsored ADR.................... 877,340 45,639,227 1.2%
CNOOC, Ltd. ADR..................................... 115,255 23,317,239 0.6%
Industrial & Commercial Bank of China, Ltd. Class H. 59,907,185 41,919,158 1.1%
# PetroChina Co., Ltd. ADR............................ 145,110 16,436,610 0.4%
Tencent Holdings, Ltd............................... 763,600 41,659,099 1.1%
Other Securities.................................... 306,311,176 8.1%
-------------- -----
TOTAL CHINA............................................. 563,085,164 14.9%
-------------- -----
COLOMBIA -- (0.7%)
Other Securities.................................... 28,765,622 0.8%
-------------- -----
CZECH REPUBLIC -- (0.3%)
Other Securities.................................... 12,280,918 0.3%
-------------- -----
EGYPT -- (0.1%)
Other Securities.................................... 3,051,734 0.1%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................... 6,042 0.0%
-------------- -----
HUNGARY -- (0.3%)
Other Securities.................................... 11,759,342 0.3%
-------------- -----
INDIA -- (6.3%)
HDFC Bank, Ltd...................................... 1,530,953 17,028,382 0.5%
Infosys, Ltd........................................ 234,483 12,485,974 0.3%
Infosys, Ltd. Sponsored ADR......................... 233,468 12,387,812 0.3%
Reliance Industries, Ltd............................ 1,433,931 21,342,373 0.6%
Tata Consultancy Services, Ltd...................... 413,679 14,186,300 0.4%
Other Securities.................................... 174,387,200 4.6%
-------------- -----
TOTAL INDIA............................................. 251,818,041 6.7%
-------------- -----
INDONESIA -- (2.4%)
Other Securities.................................... 94,111,506 2.5%
-------------- -----
267
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (4.1%)
# Malayan Banking Bhd........................ 5,003,321 $ 15,508,389 0.4%
Other Securities........................... 147,272,696 3.9%
-------------- -----
TOTAL MALAYSIA................................. 162,781,085 4.3%
-------------- -----
MEXICO -- (5.2%)
# America Movil S.A.B. de C.V. Series L...... 37,750,669 40,420,537 1.1%
* Cemex S.A.B. de C.V. Sponsored ADR......... 1,285,964 13,605,497 0.4%
Fomento Economico Mexicano S.A.B. de C.V... 1,793,669 16,765,060 0.4%
Grupo Financiero Banorte S.A.B. de C.V..... 2,832,687 18,133,018 0.5%
Grupo Televisa S.A.B. Series CPO........... 2,556,698 15,557,014 0.4%
Wal-Mart de Mexico S.A.B. de C.V. Series V. 5,418,775 14,087,631 0.4%
Other Securities........................... 87,399,675 2.3%
-------------- -----
TOTAL MEXICO................................... 205,968,432 5.5%
-------------- -----
PERU -- (0.3%)
Other Securities........................... 10,242,946 0.3%
-------------- -----
PHILIPPINES -- (1.3%)
Other Securities........................... 50,006,707 1.3%
-------------- -----
POLAND -- (1.7%)
Other Securities........................... 68,061,972 1.8%
-------------- -----
RUSSIA -- (5.2%)
Gazprom OAO Sponsored ADR.................. 6,850,921 64,038,306 1.7%
Lukoil OAO Sponsored ADR................... 556,966 36,477,853 1.0%
Sberbank of Russia Sponsored ADR........... 2,809,303 35,825,291 1.0%
Other Securities........................... 69,300,946 1.8%
-------------- -----
TOTAL RUSSIA................................... 205,642,396 5.5%
-------------- -----
SOUTH AFRICA -- (7.1%)
# MTN Group, Ltd............................. 1,882,816 37,425,026 1.0%
# Naspers, Ltd. Class N...................... 416,705 39,005,158 1.0%
# Sasol, Ltd. Sponsored ADR.................. 583,774 29,784,149 0.8%
Standard Bank Group, Ltd................... 1,209,908 15,392,568 0.4%
Other Securities........................... 162,612,740 4.3%
-------------- -----
TOTAL SOUTH AFRICA............................. 284,219,641 7.5%
-------------- -----
SOUTH KOREA -- (14.9%)
Hyundai Mobis.............................. 70,280 19,824,583 0.5%
Hyundai Motor Co........................... 158,812 37,835,980 1.0%
KB Financial Group, Inc.................... 353,265 13,912,801 0.4%
# Kia Motors Corp............................ 270,669 15,726,190 0.4%
LG Chem, Ltd............................... 47,843 13,495,647 0.4%
Naver Corp................................. 27,242 15,287,313 0.4%
POSCO...................................... 50,240 14,998,694 0.4%
Samsung Electronics Co., Ltd............... 81,840 112,862,139 3.0%
Samsung Electronics Co., Ltd. GDR.......... 49,372 34,218,733 0.9%
Shinhan Financial Group Co., Ltd........... 374,876 16,345,946 0.4%
* SK Hynix, Inc.............................. 512,610 15,424,892 0.4%
Other Securities........................... 283,823,686 7.6%
-------------- -----
TOTAL SOUTH KOREA.............................. 593,756,604 15.8%
-------------- -----
268
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (12.3%)
Cathay Financial Holding Co., Ltd............................ 8,634,048 $ 13,043,972 0.4%
Hon Hai Precision Industry Co., Ltd.......................... 12,590,056 32,007,618 0.9%
# MediaTek, Inc................................................ 1,249,995 17,089,840 0.5%
# Taiwan Semiconductor Manufacturing Co., Ltd.................. 25,188,808 92,834,992 2.5%
Other Securities............................................. 334,744,052 8.7%
-------------- ------
TOTAL TAIWAN....................................................... 489,720,474 13.0%
-------------- ------
THAILAND -- (2.6%)
Other Securities............................................. 103,053,381 2.7%
-------------- ------
TURKEY -- (1.9%)
Other Securities............................................. 74,508,182 2.0%
-------------- ------
TOTAL COMMON STOCKS................................................ 3,585,792,930 95.2%
-------------- ------
PREFERRED STOCKS -- (3.8%)
BRAZIL -- (3.7%)
Banco Bradesco SA............................................ 2,244,395 32,334,852 0.9%
Itau Unibanco Holding SA..................................... 2,568,240 39,737,954 1.1%
Vale SA...................................................... 1,529,491 22,387,437 0.6%
Other Securities............................................. 52,726,591 1.3%
-------------- ------
TOTAL BRAZIL....................................................... 147,186,834 3.9%
-------------- ------
CHILE -- (0.0%)
Other Securities............................................. 52,088 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities............................................. 3,707,074 0.1%
-------------- ------
TOTAL PREFERRED STOCKS............................................. 150,945,996 4.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SOUTH KOREA -- (0.0%)
Other Securities............................................. -- 0.0%
-------------- ------
SHARES/
FACE
AMOUNT VALUE+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (6.1%)
(S)@ DFA Short Term Investment Fund............................... 21,089,023 244,000,000 6.5%
@ Repurchase Agreement, Deutsche Bank Securities, Inc.
0.12%, 11/01/13 (Collateralized by $799,156 FNMA, rates
ranging from 2.500% to 4.500%, maturities ranging from
04/01/27 to 10/01/43, valued at $722,691) to be repurchased
at $708,523................................................. $ 709 708,521 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL................................ 244,708,521 6.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,769,771,714).......................................... $3,981,447,447 105.7%
============== ======
269
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...................... $168,534,522 $ 139,326,261 -- $ 307,860,783
Chile....................... 28,146,828 36,945,130 -- 65,091,958
China....................... 124,364,007 438,721,157 -- 563,085,164
Colombia.................... 28,765,622 -- -- 28,765,622
Czech Republic.............. -- 12,280,918 -- 12,280,918
Egypt....................... -- 3,051,734 -- 3,051,734
Hong Kong................... -- 6,042 -- 6,042
Hungary..................... -- 11,759,342 -- 11,759,342
India....................... 25,671,195 226,146,846 -- 251,818,041
Indonesia................... 37,082 94,074,424 -- 94,111,506
Malaysia.................... -- 162,781,085 -- 162,781,085
Mexico...................... 205,968,432 -- -- 205,968,432
Peru........................ 10,242,946 -- -- 10,242,946
Philippines................. 264,468 49,742,239 -- 50,006,707
Poland...................... -- 68,061,972 -- 68,061,972
Russia...................... 9,320,240 196,322,156 -- 205,642,396
South Africa................ 38,062,533 246,157,108 -- 284,219,641
South Korea................. 18,326,152 575,430,452 -- 593,756,604
Taiwan...................... 9,347,981 480,372,493 -- 489,720,474
Thailand.................... 103,053,381 -- -- 103,053,381
Turkey...................... 1,154,826 73,353,356 -- 74,508,182
Preferred Stocks
Brazil...................... 4,164,774 143,022,060 -- 147,186,834
Chile....................... -- 52,088 -- 52,088
Colombia.................... 3,707,074 -- -- 3,707,074
Rights/Warrants
South Korea................. -- -- -- --
Securities Lending Collateral. -- 244,708,521 -- 244,708,521
------------ -------------- -- --------------
TOTAL......................... $779,132,063 $3,202,315,384 -- $3,981,447,447
============ ============== == ==============
See accompanying Notes to Financial Statements.
270
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (87.8%)
ARGENTINA -- (0.0%)
Other Securities.............................. $ 1 0.0%
-------------- -----
BRAZIL -- (8.3%)
Anhanguera Educacional Participacoes SA....... 2,379,735 14,230,629 0.4%
Cia Hering.................................... 1,041,790 15,090,189 0.4%
Diagnosticos da America SA.................... 2,097,741 10,768,045 0.3%
EDP--Energias do Brasil SA.................... 2,238,398 12,770,046 0.3%
Equatorial Energia SA......................... 1,308,435 13,571,943 0.3%
Estacio Participacoes SA...................... 2,460,804 19,001,453 0.5%
Mills Estruturas e Servicos de Engenharia SA.. 684,126 9,450,762 0.2%
MRV Engenharia e Participacoes SA............. 2,831,833 12,175,228 0.3%
Odontoprev SA................................. 2,549,265 10,526,927 0.3%
* PDG Realty SA Empreendimentos e Participacoes. 11,912,853 10,700,850 0.3%
Sul America SA................................ 1,675,809 12,241,484 0.3%
Totvs SA...................................... 592,700 10,010,991 0.2%
Other Securities.............................. 228,827,701 5.5%
-------------- -----
TOTAL BRAZIL...................................... 379,366,248 9.3%
-------------- -----
CHILE -- (1.2%)
Other Securities.............................. 53,687,227 1.3%
-------------- -----
CHINA -- (13.4%)
China Everbright International, Ltd........... 9,335,800 9,330,899 0.2%
Kingboard Chemical Holdings, Ltd.............. 3,127,921 8,140,723 0.2%
# Kingsoft Corp., Ltd........................... 3,169,000 7,862,517 0.2%
Sino Biopharmaceutical........................ 13,536,000 9,497,013 0.2%
# Sino-Ocean Land Holdings, Ltd................. 12,793,851 8,112,580 0.2%
Other Securities.............................. 565,241,184 13.9%
-------------- -----
TOTAL CHINA....................................... 608,184,916 14.9%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities.............................. 766,239 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.............................. 784,892 0.0%
-------------- -----
HUNGARY -- (0.0%)
Other Securities.............................. 1,195,029 0.0%
-------------- -----
INDIA -- (6.5%)
Other Securities.............................. 294,353,584 7.2%
-------------- -----
INDONESIA -- (3.2%)
Mayora Indah Tbk PT........................... 3,284,750 8,523,530 0.2%
Other Securities.............................. 137,177,075 3.3%
-------------- -----
TOTAL INDONESIA................................... 145,700,605 3.5%
-------------- -----
ISRAEL -- (0.0%)
Other Securities.............................. 42,022 0.0%
-------------- -----
MACEDONIA -- (0.0%)
Other Securities.............................. -- 0.0%
-------------- -----
271
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (5.7%)
Bursa Malaysia Bhd...................................... 3,510,700 $ 8,945,447 0.2%
KPJ Healthcare Bhd...................................... 4,305,350 8,324,145 0.2%
Other Securities........................................ 240,090,093 5.9%
-------------- -----
TOTAL MALAYSIA.............................................. 257,359,685 6.3%
-------------- -----
MEXICO -- (3.8%)
# Alsea S.A.B. de C.V..................................... 3,553,447 11,057,499 0.3%
#* Genomma Lab Internacional S.A.B. de C.V. Class B........ 6,587,305 17,544,605 0.4%
#* Gruma S.A.B. de C.V. Class B............................ 1,690,397 11,622,795 0.3%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B. 1,650,025 8,592,056 0.2%
#* Industrias CH S.A.B. de C.V. Series B................... 1,655,914 8,125,208 0.2%
#* Promotora y Operadora de Infraestructura S.A.B. de C.V.. 1,672,951 16,988,199 0.4%
Other Securities........................................ 100,477,518 2.5%
-------------- -----
TOTAL MEXICO................................................ 174,407,880 4.3%
-------------- -----
PHILIPPINES -- (1.3%)
Other Securities........................................ 59,995,546 1.5%
-------------- -----
POLAND -- (2.2%)
Asseco Poland SA........................................ 564,202 9,216,429 0.2%
Lubelski Wegiel Bogdanka SA............................. 266,391 9,844,205 0.2%
Other Securities........................................ 80,187,914 2.0%
-------------- -----
TOTAL POLAND................................................ 99,248,548 2.4%
-------------- -----
SOUTH AFRICA -- (7.4%)
Aeci, Ltd............................................... 770,360 9,389,010 0.2%
* Aveng, Ltd.............................................. 3,013,152 8,847,846 0.2%
AVI, Ltd................................................ 2,511,843 14,755,317 0.4%
Barloworld, Ltd......................................... 993,091 8,896,276 0.2%
# Clicks Group, Ltd....................................... 2,118,882 13,215,346 0.3%
Coronation Fund Managers, Ltd........................... 1,607,942 13,114,119 0.3%
* Murray & Roberts Holdings, Ltd.......................... 3,176,473 9,670,849 0.2%
Nampak, Ltd............................................. 2,740,692 9,060,557 0.2%
Omnia Holdings, Ltd..................................... 486,127 10,032,055 0.3%
PPC, Ltd................................................ 3,686,071 11,644,507 0.3%
Reunert, Ltd............................................ 1,171,205 8,207,620 0.2%
* Sappi, Ltd.............................................. 3,959,742 11,670,111 0.3%
Spar Group, Ltd. (The).................................. 855,975 10,953,523 0.3%
Tongaat Hulett, Ltd..................................... 734,460 9,252,131 0.2%
Other Securities........................................ 190,008,143 4.7%
-------------- -----
TOTAL SOUTH AFRICA.......................................... 338,717,410 8.3%
-------------- -----
SOUTH KOREA -- (13.3%)
DGB Financial Group, Inc................................ 671,453 10,773,239 0.3%
# Hotel Shilla Co., Ltd................................... 161,958 10,462,226 0.3%
Hyosung Corp............................................ 121,019 8,158,566 0.2%
Macquarie Korea Infrastructure Fund..................... 1,468,851 9,136,011 0.2%
# Mando Corp.............................................. 60,934 8,214,702 0.2%
# Shinsegae Co., Ltd...................................... 35,692 8,985,590 0.2%
Yuhan Corp.............................................. 44,525 7,832,835 0.2%
Other Securities........................................ 541,117,350 13.2%
-------------- -----
TOTAL SOUTH KOREA........................................... 604,680,519 14.8%
-------------- -----
TAIWAN -- (13.9%)
Other Securities........................................ 632,416,334 15.4%
-------------- -----
272
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
THAILAND -- (4.5%)
Other Securities............................................. $ 202,541,380 4.9%
-------------- ------
TURKEY -- (3.1%)
Other Securities............................................. 141,990,626 3.5%
-------------- ------
TOTAL COMMON STOCKS................................................ 3,995,438,691 97.6%
-------------- ------
PREFERRED STOCKS -- (1.3%)
BRAZIL -- (1.3%)
Marcopolo SA................................................. 3,359,100 8,659,771 0.2%
Other Securities............................................. 51,863,133 1.3%
-------------- ------
TOTAL BRAZIL....................................................... 60,522,904 1.5%
-------------- ------
CHILE -- (0.0%)
Other Securities............................................. 20,680 0.0%
-------------- ------
COLOMBIA -- (0.0%)
Other Securities............................................. 265,674 0.0%
-------------- ------
TOTAL PREFERRED STOCKS............................................. 60,809,258 1.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities............................................. 4,062 0.0%
-------------- ------
CHILE -- (0.0%)
Other Securities............................................. 93 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities............................................. 221,901 0.0%
-------------- ------
POLAND -- (0.0%)
Other Securities............................................. -- 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities............................................. 16,964 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities............................................. 34,567 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.............................................. 277,587 0.0%
-------------- ------
SHARES/
FACE
AMOUNT VALUE+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (10.9%)
(S)@ DFA Short Term Investment Fund............................... 42,610,199 493,000,000 12.1%
@ Repurchase Agreement, Deutsche Bank Securities, Inc.
0.12%, 11/01/13 (Collateralized by $943,517 FNMA, rates
ranging from 2.500% to 4.500%, maturities ranging from
04/01/27 to 10/01/43, valued at $853,240) to be repurchased
at $836,513................................................. $ 837 836,510 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL................................ 493,836,510 12.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,088,232,390).......................................... $4,550,362,046 111.2%
============== ======
273
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...................... 6,838,317 $ 372,527,931 -- 379,366,248
Chile....................... 271,673 53,415,554 -- 53,687,227
China....................... 807,859 607,377,057 -- 608,184,916
Colombia.................... 766,239 -- -- 766,239
Hong Kong................... -- 784,892 -- 784,892
Hungary..................... -- 1,195,029 -- 1,195,029
India....................... 76,835 294,276,749 -- 294,353,584
Indonesia................... 2,879,423 142,821,182 -- 145,700,605
Israel...................... -- 42,022 -- 42,022
Macedonia................... -- -- -- --
Malaysia.................... -- 257,359,685 -- 257,359,685
Mexico...................... 174,288,074 119,806 -- 174,407,880
Philippines................. -- 59,995,546 -- 59,995,546
Poland...................... -- 99,248,548 -- 99,248,548
South Africa................ 7,272,777 331,444,633 -- 338,717,410
South Korea................. -- 604,680,519 -- 604,680,519
Taiwan...................... 2,507,973 629,908,361 -- 632,416,334
Thailand.................... 202,447,408 93,972 -- 202,541,380
Turkey...................... -- 141,990,626 -- 141,990,626
Preferred Stocks
Brazil...................... -- 60,522,904 -- 60,522,904
Chile....................... -- 20,680 -- 20,680
Colombia.................... 265,674 -- -- 265,674
Rights/Warrants
Brazil...................... -- 4,062 -- 4,062
Chile....................... -- 93 -- 93
Malaysia.................... -- 221,901 -- 221,901
Poland...................... -- -- -- --
South Korea................. -- 16,964 -- 16,964
Thailand.................... -- 34,567 -- 34,567
Securities Lending Collateral. -- 493,836,510 -- 493,836,510
------------ -------------- -- --------------
TOTAL......................... $398,422,253 $4,151,939,793 -- $4,550,362,046
============ ============== == ==============
See accompanying Notes to Financial Statements.
274
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(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 $506,475, $716,973, $277,239
and $259,540 of securities on loan, respectively)........... $14,801,963 $8,745,596 $2,265,423 $1,259,640
Temporary Cash Investments at Value & Cost................... 110,064 -- -- --
Collateral Received from Securities on Loan at Value & Cost.. -- 706 421 552
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost................................................ 521,769 726,000 300,000 290,000
Foreign Currencies at Value.................................. -- 24,350 2,022 1,579
Cash......................................................... -- 20,781 641 7,261
Receivables:
Investment Securities Sold................................. 26,504 4,029 2,551 256
Dividends, Interest and Tax Reclaims....................... 17,741 23,044 12,899 1,423
Securities Lending Income.................................. 453 276 274 376
Prepaid Expenses and Other Assets............................ -- 1 -- --
----------- ---------- ---------- ----------
Total Assets............................................ 15,478,494 9,544,783 2,584,231 1,561,087
----------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................... 521,769 726,706 300,421 290,552
Investment Securities Purchased............................ 115,461 23,813 1,806 4,809
Due to Advisor............................................. 1,223 1,472 193 106
Unrealized Loss on Foreign Currency Contracts................ -- 17 -- 14
Accrued Expenses and Other Liabilities....................... 1,053 645 187 108
----------- ---------- ---------- ----------
Total Liabilities....................................... 639,506 752,653 302,607 295,589
----------- ---------- ---------- ----------
NET ASSETS................................................... $14,838,988 $8,792,130 $2,281,624 $1,265,498
=========== ========== ========== ==========
Investments at Cost.......................................... $ 9,455,514 $7,016,037 $2,058,019 $1,152,527
=========== ========== ========== ==========
Foreign Currencies at Cost................................... $ -- $ 24,526 $ 2,026 $ 1,584
=========== ========== ========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
275
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(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 $28,773,
$453,898, $261,509, $330,522 and
$515,972 of securities on loan,
respectively).............................. $1,978,589 $3,208,290 $738,814 $3,736,738 $4,056,525
Collateral Received from Securities on Loan
at Value & Cost............................ 652 109 668 709 837
Collateral from Securities on Loan Invested
in Affiliate at Value & Cost............... 30,000 491,000 219,000 244,000 493,000
Foreign Currencies at Value................. 4,022 4,466 3,066 7,576 13,653
Cash........................................ 233 1,415 1,203 26,299 18,595
Receivables:
Investment Securities Sold................ 2,722 2,074 168 116 9,691
Dividends, Interest and Tax Reclaims...... 4,898 4,595 624 3,735 3,644
Securities Lending Income................. 23 653 272 382 1,580
---------- ---------- -------- ---------- ----------
Total Assets........................... 2,021,139 3,712,602 963,815 4,019,555 4,597,525
---------- ---------- -------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......... 30,652 491,109 219,668 244,709 493,837
Investment Securities Purchased........... 1,912 3,213 2,830 7,929 11,004
Due to Advisor............................ 165 268 62 315 685
Unrealized Loss on Foreign Currency
Contracts.................................. -- 12 -- 76 19
Accrued Expenses and Other Liabilities...... 123 234 51 366 457
---------- ---------- -------- ---------- ----------
Total Liabilities...................... 32,852 494,836 222,611 253,395 506,002
---------- ---------- -------- ---------- ----------
NET ASSETS.................................. $1,988,287 $3,217,766 $741,204 $3,766,160 $4,091,523
========== ========== ======== ========== ==========
Investments at Cost......................... $1,325,480 $2,416,569 $813,274 $2,525,063 $3,594,395
========== ========== ======== ========== ==========
Foreign Currencies at Cost.................. $ 4,036 $ 4,499 $ 3,060 $ 7,593 $ 13,701
========== ========== ======== ========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
276
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(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 $42, $19,855,
$3,149 and $1,656, respectively).......................... $ 262,650 $ 256,899 $ 37,753 $ 49,156
Interest................................................... 56 6 1 --
Income from Securities Lending............................. 2,227 13,232 3,109 4,274
---------- ---------- -------- --------
Total Investment Income................................. 264,933 270,137 40,863 53,430
---------- ---------- -------- --------
EXPENSES
Investment Advisory Services Fees.......................... 12,720 15,819 2,039 1,121
Accounting & Transfer Agent Fees........................... 850 542 150 92
Custodian Fees............................................. 121 810 568 355
Shareholders' Reports...................................... 30 20 5 3
Directors'/Trustees' Fees & Expenses....................... 131 85 21 12
Professional Fees.......................................... 431 236 51 29
Other...................................................... 156 158 39 23
---------- ---------- -------- --------
Total Expenses.......................................... 14,439 17,670 2,873 1,635
---------- ---------- -------- --------
Fees Paid Indirectly....................................... -- (22) (6) (5)
---------- ---------- -------- --------
Net Expenses............................................... 14,439 17,648 2,867 1,630
---------- ---------- -------- --------
NET INVESTMENT INCOME (LOSS)............................... 250,494 252,489 37,996 51,800
---------- ---------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold............................... 1,042,669 394,216 94,606 2,045
Futures.................................................. -- (1,587) -- --
Foreign Currency Transactions*........................... -- (2,158) (2,405) 32
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 2,531,751 1,329,657 403,911 64,761
Translation of Foreign Currency Denominated Amounts...... -- 544 393 (13)
---------- ---------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).................... 3,574,420 1,720,672 496,505 66,825
---------- ---------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.................................................. $3,824,914 $1,973,161 $534,501 $118,625
========== ========== ======== ========
----------
* Net of foreign capital gain taxes withheld of $0, $3, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
277
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(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 $121,
$9,056, $2,937, $11,554 and $9,869,
respectively)........................................ $ 56,947 $ 63,435 $18,004 $ 78,461 $ 81,658
Interest.............................................. -- 64 -- -- --
Income from Securities Lending........................ 354 10,444 3,280 3,929 16,799
-------- -------- ------- -------- --------
Total Investment Income............................ 57,301 73,943 21,284 82,390 98,457
-------- -------- ------- -------- --------
EXPENSES
Investment Advisory Services Fees..................... 1,686 2,642 686 3,264 7,439
Accounting & Transfer Agent Fees...................... 125 191 57 236 264
Custodian Fees........................................ 131 636 97 1,359 2,675
Shareholders' Reports................................. 4 6 2 8 10
Directors'/Trustees' Fees & Expenses.................. 18 28 8 35 39
Professional Fees..................................... 42 75 18 115 190
Other................................................. 30 49 11 66 88
-------- -------- ------- -------- --------
Total Expenses..................................... 2,036 3,627 879 5,083 10,705
-------- -------- ------- -------- --------
Fees Paid Indirectly.................................. (1) (3) (2) (25) (34)
-------- -------- ------- -------- --------
Net Expenses.......................................... 2,035 3,624 877 5,058 10,671
-------- -------- ------- -------- --------
NET INVESTMENT INCOME (LOSS).......................... 55,266 70,319 20,407 77,332 87,786
-------- -------- ------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold.......................... 110,830 61,594 5,104 24,456 69,227
Futures............................................. -- -- -- -- 463
Foreign Currency Transactions*...................... 8 (97) (36) (130) (1,240)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......... 377,497 843,629 14,601 145,893 144,458
Translation of Foreign Currency Denominated
Amounts............................................ (22) 123 (11) (8) (41)
-------- -------- ------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)............... 488,313 905,249 19,658 170,211 212,867
-------- -------- ------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS........................................ $543,579 $975,568 $40,065 $247,543 $300,653
======== ======== ======= ======== ========
----------
* Net of foreign capital gain taxes withheld of $14, $14, $0, $0 and $1,
respectively.
See accompanying Notes to Financial Statements.
278
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
------------------------ ----------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2013 2012 2013 2012
----------- ----------- ----------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........... $ 250,494 $ 212,847 $ 252,489 $ 260,321 $ 37,996 $ 35,567
Net Realized Gain (Loss) on:
Investment Securities Sold........... 1,042,669 408,690 394,216 133,256 94,606 15,297
Futures.............................. -- -- (1,587) -- -- (283)
Foreign Currency
Transactions*....................... -- -- (2,158) (1,249) (2,405) 593
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ 2,531,751 1,049,282 1,329,657 (157,327) 403,911 (47,991)
Translation of Foreign Currency
Denominated Amounts................. -- -- 544 (266) 393 (76)
----------- ----------- ----------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 3,824,914 1,670,819 1,973,161 234,735 534,501 3,107
----------- ----------- ----------- ---------- ---------- ----------
Transactions in Interest:
Contributions.......................... 1,639,135 505,769 1,055,913 699,069 268,246 385,924
Withdrawals............................ (1,214,213) (922,543) (1,475,193) (651,462) (207,854) (205,115)
----------- ----------- ----------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest........... 424,922 (416,774) (419,280) 47,607 60,392 180,809
----------- ----------- ----------- ---------- ---------- ----------
Total Increase (Decrease) in
Net Assets......................... 4,249,836 1,254,045 1,553,881 282,342 594,893 183,916
NET ASSETS
Beginning of Year...................... 10,589,152 9,335,107 7,238,249 6,955,907 1,686,731 1,502,815
----------- ----------- ----------- ---------- ---------- ----------
End of Year............................ $14,838,988 $10,589,152 $ 8,792,130 $7,238,249 $2,281,624 $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.
279
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
---------------------- ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2013 2012 2013 2012
---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............ $ 51,800 $ 39,082 $ 55,266 $ 41,958 $ 70,319 $ 62,863
Net Realized Gain (Loss) on:
Investment Securities Sold............ 2,045 27,956 110,830 (16,423) 61,594 (4,064)
Futures............................... -- (140) -- 236 -- 69
Foreign Currency Transactions*........ 32 (236) 8 339 (97) (359)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 64,761 3,183 377,497 247,250 843,629 694
Translation of Foreign Currency
Denominated Amounts.................. (13) (94) (22) (35) 123 (285)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 118,625 69,751 543,579 273,325 975,568 58,918
---------- ---------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 243,954 161,440 20,921 92,609 97,213 260,944
Withdrawals............................. (100,941) (134,065) (41,051) (34,941) (100,194) (76,446)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 143,013 27,375 (20,130) 57,668 (2,981) 184,498
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 261,638 97,126 523,449 330,993 972,587 243,416
NET ASSETS
Beginning of Year....................... 1,003,860 906,734 1,464,838 1,133,845 2,245,179 2,001,763
---------- ---------- ---------- ---------- ---------- ----------
End of Year............................. $1,265,498 $1,003,860 $1,988,287 $1,464,838 $3,217,766 $2,245,179
========== ========== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $14, $0, $14 and $0,
respectively.
See accompanying Notes to Financial Statements.
280
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE CANADIAN SMALL THE EMERGING MARKETS THE EMERGING MARKETS
COMPANY SERIES SERIES SMALL CAP SERIES
------------------ ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2013 2012 2013 2012
-------- -------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................. $ 20,407 $ 16,111 $ 77,332 $ 67,879 $ 87,786 $ 58,512
Net Realized Gain (Loss) on:
Investment Securities Sold................. 5,104 26,982 24,456 34,169 69,227 106,663
Futures.................................... -- -- -- -- 463 (389)
Foreign Currency Transactions*............. (36) 111 (130) (571) (1,240) (1,553)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 14,601 (63,323) 145,893 24,259 144,458 6,038
Translation of Foreign Currency
Denominated Amounts....................... (11) (7) (8) 20 (41) (15)
-------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 40,065 (20,126) 247,543 125,756 300,653 169,256
-------- -------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions................................ 42,578 11,500 937,021 523,537 1,276,889 1,002,685
Withdrawals.................................. (30,525) (38,550) (331,711) (175,967) (439,369) (93,517)
-------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest................. 12,053 (27,050) 605,310 347,570 837,520 909,168
-------- -------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................... 52,118 (47,176) 852,853 473,326 1,138,173 1,078,424
NET ASSETS
Beginning of Year............................ 689,086 736,262 2,913,307 2,439,981 2,953,350 1,874,926
-------- -------- ---------- ---------- ---------- ----------
End of Year.................................. $741,204 $689,086 $3,766,160 $2,913,307 $4,091,523 $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.
281
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------------
Total Return......................................... 35.68% 18.31% 5.69% 19.96% 11.90%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................. $14,838,988 $10,589,152 $9,335,107 $8,816,400 $7,508,400
Ratio of Expenses to Average Net Assets.............. 0.11% 0.12% 0.12% 0.12% 0.13%
Ratio of Net Investment Income to Average Net Assets. 1.98% 2.15% 1.79% 2.02% 2.42%
Portfolio Turnover Rate.............................. 15% 10% 14% 28% 29%
-------------------------------------------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 28.18% 3.17% (8.04)% 11.13% 35.41%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $8,792,130 $7,238,249 $6,955,907 $6,919,633 $6,191,964
Ratio of Expenses to Average Net Assets...................... 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Net Investment Income to Average Net Assets......... 3.20% 3.75% 3.47% 2.55% 3.22%
Portfolio Turnover Rate...................................... 15% 14% 9% 20% 18%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
282
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE JAPANESE SMALL COMPANY SERIES
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 30.62% 0.54% 10.07% 0.72% 22.69%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $2,281,624 $1,686,731 $1,502,815 $1,211,600 $1,183,036
Ratio of Expenses to Average Net Assets...................... 0.14% 0.15% 0.14% 0.14% 0.15%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.14% 0.15% 0.14% 0.14% 0.15%
Ratio of Net Investment Income to Average Net Assets......... 1.87% 2.17% 2.07% 1.95% 2.15%
Portfolio Turnover Rate...................................... 16% 7% 5% 10% 7%
-------------------------------------------------------------------------------------------------------------------------
THE ASIA PACIFIC SMALL COMPANY SERIES
-----------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------
Total Return................................................. 10.97% 7.48% (5.15)% 28.91% 84.98%
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $1,265,498 $1,003,860 $906,734 $935,138 $680,997
Ratio of Expenses to Average Net Assets...................... 0.15% 0.16% 0.16% 0.17% 0.18%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.15% 0.16% 0.16% 0.17% 0.18%
Ratio of Net Investment Income to Average Net Assets......... 4.64% 4.26% 3.78% 3.64% 4.00%
Portfolio Turnover Rate...................................... 9% 18% 17% 18% 23%
--------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
283
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE UNITED KINGDOM SMALL COMPANY SERIES
--------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
-----------------------------------------------------------------------------------------------------------------------
Total Return................................................. 37.42% 23.41% 0.20% 25.94% 43.51%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $1,988,287 $1,464,838 $1,133,845 $1,036,694 $770,472
Ratio of Expenses to Average Net Assets...................... 0.12% 0.13% 0.13% 0.13% 0.14%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.12% 0.13% 0.13% 0.13% 0.14%
Ratio of Net Investment Income to Average Net Assets......... 3.29% 3.37% 3.76% 2.86% 4.02%
Portfolio Turnover Rate...................................... 17% 6% 7% 15% 10%
-----------------------------------------------------------------------------------------------------------------------
THE CONTINENTAL SMALL COMPANY SERIES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 43.67% 2.29% (10.75)% 15.37% 43.78%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $3,217,766 $2,245,179 $2,001,763 $2,072,484 $1,630,892
Ratio of Expenses to Average Net Assets...................... 0.14% 0.16% 0.15% 0.15% 0.16%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.14% 0.16% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to Average Net Assets......... 2.67% 3.15% 2.72% 2.24% 2.93%
Portfolio Turnover Rate...................................... 13% 9% 10% 12% 7%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
284
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE CANADIAN SMALL COMPANY SERIES
-------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
----------------------------------------------------------------------------------------------------------------------------
Total Return............................................................. 5.71% (2.51)% 0.27% 43.17% 61.67%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)...................................... $741,204 $689,086 $736,262 $663,722 $365,181
Ratio of Expenses to Average Net Assets.................................. 0.13% 0.15% 0.14% 0.15% 0.17%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.13% 0.15% 0.14% 0.15% 0.17%
Ratio of Net Investment Income to Average Net Assets..................... 2.99% 2.29% 1.72% 1.05% 1.37%
Portfolio Turnover Rate.................................................. 14% 22% 24% 10% 23%
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
THE EMERGING MARKETS SERIES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 6.99% 4.55% (6.44)% 27.04% 53.99%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $3,766,160 $2,913,307 $2,439,981 $2,529,493 $2,109,316
Ratio of Expenses to Average Net Assets...................... 0.16% 0.20% 0.20% 0.19% 0.20%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.16% 0.20% 0.20% 0.19% 0.20%
Ratio of Net Investment Income to Average Net Assets......... 2.38% 2.55% 2.48% 2.18% 2.57%
Portfolio Turnover Rate...................................... 4% 5% 16% 12% 14%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
285
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE EMERGING MARKETS SMALL CAP SERIES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 9.41% 7.19% (12.94)% 41.96% 92.08%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $4,091,523 $2,953,350 $1,874,926 $1,881,356 $1,167,973
Ratio of Expenses to Average Net Assets...................... 0.29% 0.36% 0.33% 0.32% 0.33%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.29% 0.36% 0.33% 0.32% 0.33%
Ratio of Net Investment Income to Average Net Assets......... 2.37% 2.48% 2.32% 2.16% 2.52%
Portfolio Turnover Rate...................................... 11% 13% 18% 15% 13%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
286
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven 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
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 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.
287
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.
Transfers between investment levels may occur as the markets fluctuate
and/or the availability of data used in an investment's valuation changes. The
Series recognize transfers between the levels as of the end of the period. As
of October 31, 2013, The Emerging Markets Series and The Emerging Markets Small
Cap Series had significant transfers of securities with a total value of
$306,665 and $469,527 (in thousands), respectively, that transferred from Level
1 to Level 2. At October 31, 2013, the fair market values of certain securities
were adjusted due to developments which occurred between the time of the close
of the foreign markets on which they trade and the close of business on the
NYSE which resulted in their Level 2 classification.
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 bid and asked prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked-to-market daily based on daily exchange rates and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign currency rates when determining the realized gain or
loss upon the sale or maturity of foreign currency denominated debt obligations
288
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 any 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 October 31, 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 and foreign currency 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.
The Emerging Markets Series and The Emerging Markets Small Cap Series are
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.
289
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Trust. For the year ended October 31, 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 year
ended October 31, 2013, expenses reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series...... $22
The Japanese Small Company Series....... 6
The Asia Pacific Small Company Series... 5
The United Kingdom Small Company Series. 1
The Continental Small Company Series.... 3
The Canadian Small Company Series....... 2
The Emerging Markets Series............. 25
The Emerging Markets Small Cap Series... 34
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the year ended October 31, 2013, the total
related amounts paid by the Trust to the CCO were $56 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. DEFERRED COMPENSATION:
At October 31, 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......... $336
The DFA International Value Series...... 249
The Japanese Small Company Series....... 55
The Asia Pacific Small Company Series... 28
The United Kingdom Small Company Series. 35
The Continental Small Company Series.... 67
The Canadian Small Company Series....... 17
The Emerging Markets Series............. 89
The Emerging Markets Small Cap Series... 60
290
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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......... $2,846,229 $1,917,181
The DFA International Value Series...... 1,195,737 1,352,756
The Japanese Small Company Series....... 424,423 328,727
The Asia Pacific Small Company Series... 292,353 101,862
The United Kingdom Small Company Series. 311,120 290,915
The Continental Small Company Series.... 402,109 337,539
The Canadian Small Company Series....... 137,097 94,187
The Emerging Markets Series............. 787,720 120,319
The Emerging Markets Small Cap Series... 1,300,754 398,830
There were no purchases or sales of long-term U.S. government securities.
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At October 31, 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......... $10,087,540 $5,403,680 $ (57,424) $5,346,256
The DFA International Value Series...... 7,749,972 2,159,515 (437,185) 1,722,330
The Japanese Small Company Series....... 2,358,440 405,211 (228,601) 176,610
The Asia Pacific Small Company Series... 1,466,625 342,063 (259,002) 83,061
The United Kingdom Small Company Series. 1,376,431 714,857 (82,047) 632,810
The Continental Small Company Series.... 2,914,221 1,100,391 (315,213) 785,178
The Canadian Small Company Series....... 1,036,766 139,500 (217,785) (78,285)
The Emerging Markets Series............. 2,779,497 1,353,861 (151,910) 1,201,951
The Emerging Markets Small Cap Series... 4,120,776 867,716 (438,130) 429,586
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 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
291
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 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 Series as unrealized gains or losses until the contracts are
closed. When the contracts are closed, the Series record a realized gain or
loss, which is presented in the Statements of Operations as a net realized gain
or loss on futures, equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities or indices, from the possibility of an illiquid secondary market for
these instruments and from the possibility that the Series could lose more than
the initial margin requirements. The Series entering into stock index futures
are subject to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the
exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
The following is a summary of the Series' location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the year ended October 31, 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 DFA International Value Series*.... $(1,587)
The Emerging Markets Small Cap Series*. $ 463
* As of October 31, 2013, there were no futures contracts outstanding. During
the year ended October 31, 2013, the Series had limited activity in futures
contracts.
292
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.
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.
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 year ended October 31, 2013, borrowings by the Series under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
The U.S. Large Cap Value Series....... 0.89% $ 6,790 20 $ 4 $23,318
The DFA International Value Series.... 0.90% 12,445 46 14 76,121
The Japanese Small Company Series..... 0.88% 2,097 23 1 5,010
The Asia Pacific Small Company Series. 0.91% 614 5 -- 2,155
The United Kingdom Small Company
Series.............................. 0.89% 224 4 -- 503
The Continental Small Company Series.. 0.85% 327 29 -- 1,226
The Emerging Markets Series........... 0.89% 7,962 36 7 31,246
The Emerging Markets Small Cap Series. 0.86% 21,200 23 12 65,040
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2013, that each Series' available line of
credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of October 31, 2013.
293
I. SECURITIES LENDING:
As of October 31, 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 DFA International Value Series.... $ 29,499
The Continental Small Company Series.. 447
The Canadian Small Company Series..... 55,991
The Emerging Markets Series........... 111,222
The Emerging Markets Small Cap Series. 102,610
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 directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. RECENTLY ISSUED ACCOUNTING STANDARDS:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's financial statements to understand the effect of those arrangements on
its financial position. ASU 2013-01 clarifies
294
the scope of ASU 2011-11 as applying to derivatives accounted for in accordance
with Topic 815, Derivatives and Hedging, including bifurcated embedded
derivatives, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions that are offset either
in accordance with other requirements of GAAP or subject to an enforceable
master netting arrangement or similar agreement. ASU No. 2011-11 is effective
for annual periods beginning on or after January 1, 2013, and interim periods
within those annual periods. Management is evaluating any impact ASU No.
2011-11 may have on the financial statements.
L. OTHER:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged 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 net asset value of The U.S. Large Cap Value
Series, with no adjustment relating to the Lawsuits. The attorneys' fees and
costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap
Value Series as incurred and in a manner similar to any other expense incurred
by The U.S. Large Cap Value Series.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
295
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE SERIES, AS DEFINED, AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The U.S. Large Cap Value Series, The DFA International Value Series, The
Japanese Small Company Series, The Asia Pacific Small Company Series, The
United Kingdom Small Company Series, The Continental Small Company Series, The
Canadian Small Company Series, The Emerging Markets Series, and The Emerging
Markets Small Cap Series (constituting portfolios within The DFA Investment
Trust Company, hereafter referred to as the "Series") at October 31, 2013, the
results of each of their operations for the year then ended, the changes in
each of their net assets for each of the two years in the period then ended and
the financial highlights for each of the five years in the period then ended,
in conformity with accounting principles generally accepted in the United
States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Series' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at October 31, 2013 by correspondence with the custodians,
brokers, and the transfer agent of the investee fund, provide a reasonable
basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
296
DIMENSIONAL EMERGING MARKETS VALUE FUND
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DIMENSIONAL EMERGING MARKETS VALUE FUND VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2003-OCTOBER 31, 2013
[CHART]
The Dimensional Emerging MSCI Emerging Markets
Markets Value Fund Index (net dividends)
------------------------- ------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,114 10,122
12/31/2003 11,338 10,855
1/31/2004 11,647 11,234
2/29/2004 12,409 11,749
3/31/2004 12,564 11,896
4/30/2004 11,690 10,922
5/31/2004 11,343 10,704
6/30/2004 11,560 10,749
7/31/2004 11,705 10,552
8/31/2004 12,237 10,990
9/30/2004 13,042 11,624
10/31/2004 13,459 11,902
11/30/2004 14,914 13,004
12/31/2004 15,881 13,628
1/31/2005 16,148 13,663
2/28/2005 17,621 14,855
3/31/2005 16,341 13,873
4/30/2005 15,762 13,501
5/31/2005 16,001 13,971
6/30/2005 16,533 14,445
7/31/2005 17,734 15,455
8/31/2005 18,027 15,587
9/30/2005 19,478 17,039
10/31/2005 18,264 15,925
11/30/2005 19,620 17,243
12/31/2005 20,858 18,262
1/31/2006 22,860 20,301
2/28/2006 22,954 20,277
3/31/2006 23,740 20,456
4/30/2006 25,813 21,913
5/31/2006 23,029 19,617
6/30/2006 22,824 19,569
7/31/2006 23,374 19,849
8/31/2006 23,800 20,355
9/30/2006 24,292 20,524
10/31/2006 25,989 21,499
11/30/2006 27,895 23,097
12/31/2006 28,883 24,137
1/31/2007 29,338 23,877
2/28/2007 29,513 23,735
3/31/2007 31,059 24,680
4/30/2007 33,545 25,823
5/31/2007 36,106 27,102
6/30/2007 37,143 28,372
7/31/2007 38,915 29,869
8/31/2007 37,673 29,235
9/30/2007 41,074 32,463
10/31/2007 45,597 36,084
11/30/2007 42,288 33,526
12/31/2007 42,234 33,643
1/31/2008 38,047 29,445
2/29/2008 39,577 31,618
3/31/2008 38,255 29,945
4/30/2008 41,217 32,375
5/31/2008 41,586 32,976
6/30/2008 36,762 29,687
7/31/2008 36,051 28,567
8/31/2008 32,980 26,285
9/30/2008 27,293 21,685
10/31/2008 18,826 15,750
11/30/2008 17,405 14,565
12/31/2008 19,553 15,701
1/31/2009 17,796 14,687
2/28/2009 16,283 13,858
3/31/2009 19,110 15,850
4/30/2009 22,870 18,487
5/31/2009 28,031 21,646
6/30/2009 27,690 21,355
7/31/2009 31,417 23,756
8/31/2009 31,664 23,671
9/30/2009 34,596 25,820
10/31/2009 33,784 25,852
11/30/2009 35,950 26,962
12/31/2009 37,747 28,027
1/31/2010 35,610 26,464
2/28/2010 35,899 26,557
3/31/2010 39,063 28,701
4/30/2010 39,329 29,049
5/31/2010 35,226 26,494
6/30/2010 35,447 26,299
7/31/2010 38,745 28,489
8/31/2010 38,050 27,936
9/30/2010 42,635 31,040
10/31/2010 44,106 31,941
11/30/2010 42,694 31,098
12/31/2010 46,258 33,317
1/31/2011 44,816 32,413
2/28/2011 44,091 32,111
3/31/2011 46,635 33,999
4/30/2011 48,313 35,054
5/31/2011 46,487 34,134
6/30/2011 45,540 33,609
7/31/2011 45,178 33,460
8/31/2011 40,609 30,470
9/30/2011 33,333 26,027
10/31/2011 37,725 29,475
11/30/2011 35,825 27,511
12/31/2011 34,553 27,179
1/31/2012 39,359 30,262
2/29/2012 41,762 32,074
3/31/2012 39,980 31,004
4/30/2012 38,693 30,633
5/31/2012 34,420 27,198
6/30/2012 35,987 28,248
7/31/2012 35,773 28,799
8/31/2012 36,283 28,703
9/30/2012 38,627 30,435
10/31/2012 38,139 30,250
11/30/2012 38,575 30,634
12/31/2012 41,400 32,132
1/31/2013 42,080 32,575
2/28/2013 41,392 32,166
3/31/2013 41,052 31,612
4/30/2013 41,422 31,850
5/31/2013 40,254 31,033
6/30/2013 36,875 29,057
7/31/2013 37,607 29,361 Past performance is not predictive of
8/31/2013 36,823 28,856 future performance.
9/30/2013 39,551 30,733
10/31/2013 41,355 32,226 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
--------------------------------------------------------- MSCI data copyright MSCI 2013, all
8.43% 17.05% 15.25% rights reserved.
--------------------------------------------------------------------------------
297
DIMENSIONAL EMERGING MARKETS VALUE FUND
MANAGEMENT DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013
Gains in emerging markets were lower on average than in developed markets
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2013, returns in U.S. dollars were
6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the
MSCI World ex USA Index (net dividends). As measured by the MSCI emerging
markets indices, small cap stocks outperformed large cap stocks while growth
stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2013
--------------------------------
U.S. DOLLAR RETURN
- ------------------
MSCI Emerging Markets Index........... 6.53%
MSCI Emerging Markets Small Cap Index. 10.29%
MSCI Emerging Markets Value Index..... 3.88%
MSCI Emerging Markets Growth Index.... 9.06%
During the period, the U.S. dollar (USD) generally appreciated against most
emerging markets currencies, except those in eastern Europe, decreasing USD
denominated returns in emerging markets.
12 MONTHS ENDED OCTOBER 31, 2013
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN
------------------------------------------ --------------------- ------------------
China........................ 9.32% 9.28%
South Korea.................. 9.57% 12.65%
Brazil....................... 7.85% -1.52%
Taiwan....................... 18.76% 18.08%
South Africa................. 20.85% 5.07%
India........................ 14.98% 0.65%
Russia....................... 12.94% 10.89%
Mexico....................... 1.41% 2.11%
Malaysia..................... 13.25% 9.32%
Indonesia.................... 1.33% -13.66%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
DIMENSIONAL EMERGING MARKETS VALUE FUND
The Dimensional Emerging Markets Value Fund seeks to capture the returns of
value stocks of large and small companies in selected emerging markets. Value
is measured primarily by book-to-market ratio. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2013, the
Fund held approximately 2,200 securities across 19 eligible emerging markets.
In general, cash exposure was low throughout the year with an average cash
balance of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 8.43% for the
Fund and 6.53% for the MSCI Emerging Markets Index (net dividends). As a result
of the Fund's diversified investment approach, performance was generally
determined by broad structural trends in emerging markets rather than the
behavior of a limited number of stocks. The Fund invests in stocks across all
size categories while the Index primarily holds large cap and mid-cap stocks.
Emerging markets small cap stocks generally outperformed emerging markets large
cap stocks during the period. The Fund's greater exposure to small cap stocks
was primarily responsible for the Fund's outperformance relative to the Index.
The Fund's greater exposure to value stocks, as measured by book-to-market, was
also beneficial as these stocks generally outperformed the Index.
298
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 OCTOBER 31, 2013
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/13 10/31/13 RATIO* PERIOD*
--------- --------- ---------- --------
DIMENSIONAL EMERGING MARKETS VALUE FUND
---------------------------------------
Actual Fund Return...................... $1,000.00 $ 998.40 0.13% $0.65
Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
----------
* 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 (184), then divided
by the number of days in the year (365) to reflect the six-month period.
299
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 September 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....................... 6.2%
Consumer Staples............................. 4.9%
Energy....................................... 17.2%
Financials................................... 33.9%
Health Care.................................. 0.4%
Industrials.................................. 11.7%
Information Technology....................... 7.2%
Materials.................................... 15.0%
Other........................................ --
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 1.4%
Utilities.................................... 2.0%
-----
100.0%
300
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2013
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (90.5%)
BRAZIL -- (8.0%)
Banco do Brasil SA.................................. 6,171,473 $ 81,690,539 0.4%
# Banco Santander Brasil SA ADR....................... 18,012,780 124,828,565 0.6%
BM&FBovespa SA...................................... 21,761,674 122,651,270 0.6%
# Gerdau SA Sponsored ADR............................. 14,806,992 117,419,446 0.6%
# Petroleo Brasileiro SA ADR.......................... 20,410,443 355,754,021 1.8%
# Petroleo Brasileiro SA Sponsored ADR................ 22,111,474 401,544,368 2.1%
Other Securities.................................... 465,245,129 2.5%
-------------- -----
TOTAL BRAZIL............................................ 1,669,133,338 8.6%
-------------- -----
CHILE -- (1.5%)
Enersis SA Sponsored ADR............................ 5,622,312 92,768,148 0.5%
Other Securities.................................... 211,091,146 1.1%
-------------- -----
TOTAL CHILE............................................. 303,859,294 1.6%
-------------- -----
CHINA -- (14.0%)
Agricultural Bank of China, Ltd. Class H............ 255,464,000 123,106,826 0.7%
Bank of China, Ltd. Class H......................... 989,630,331 465,927,610 2.4%
Bank of Communications Co., Ltd. Class H............ 110,893,574 81,256,211 0.4%
China Construction Bank Corp. Class H............... 281,910,940 219,334,202 1.1%
China Petroleum & Chemical Corp. ADR................ 1,291,935 103,832,800 0.6%
China Petroleum & Chemical Corp. Class H............ 212,971,575 172,402,097 0.9%
# China Unicom Hong Kong, Ltd. ADR.................... 7,316,862 114,143,047 0.6%
Industrial & Commercial Bank of China, Ltd. Class H. 148,536,996 103,936,545 0.6%
Other Securities.................................... 1,521,553,477 7.7%
-------------- -----
TOTAL CHINA............................................. 2,905,492,815 15.0%
-------------- -----
COLOMBIA -- (0.1%)
Other Securities.................................... 19,308,502 0.1%
-------------- -----
CZECH REPUBLIC -- (0.1%)
Other Securities.................................... 30,941,403 0.2%
-------------- -----
HONG KONG -- (0.0%)
Other Securities.................................... 26,658 0.0%
-------------- -----
HUNGARY -- (0.5%)
# OTP Bank P.L.C...................................... 3,936,697 81,667,483 0.4%
Other Securities.................................... 12,457,748 0.1%
-------------- -----
TOTAL HUNGARY........................................... 94,125,231 0.5%
-------------- -----
INDIA -- (6.0%)
ICICI Bank, Ltd. Sponsored ADR...................... 3,394,535 126,684,046 0.7%
Reliance Industries, Ltd............................ 20,872,830 310,667,472 1.6%
Other Securities.................................... 812,836,187 4.1%
-------------- -----
TOTAL INDIA............................................. 1,250,187,705 6.4%
-------------- -----
INDONESIA -- (2.3%)
Other Securities.................................... 476,382,766 2.4%
-------------- -----
ISRAEL -- (0.0%)
Other Securities.................................... 296,602 0.0%
-------------- -----
301
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
MALAYSIA -- (3.6%)
Other Securities.................................... $ 741,293,938 3.8%
-------------- -----
MEXICO -- (6.1%)
Alfa S.A.B. de C.V. Class A......................... 51,102,755 139,906,142 0.7%
#* Cemex S.A.B. de C.V. Sponsored ADR.................. 16,838,196 178,148,109 0.9%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR................................................ 2,494,369 232,724,627 1.2%
Grupo Financiero Banorte S.A.B. de C.V.............. 23,160,991 148,261,585 0.8%
Other Securities.................................... 574,307,739 2.9%
-------------- -----
TOTAL MEXICO............................................ 1,273,348,202 6.5%
-------------- -----
PHILIPPINES -- (1.0%)
Other Securities.................................... 216,700,475 1.1%
-------------- -----
POLAND -- (1.6%)
PGE SA.............................................. 13,948,284 81,477,830 0.4%
# Polski Koncern Naftowy Orlen SA..................... 6,239,721 88,026,919 0.5%
Other Securities.................................... 157,488,252 0.8%
-------------- -----
TOTAL POLAND............................................ 326,993,001 1.7%
-------------- -----
RUSSIA -- (4.9%)
Gazprom OAO Sponsored ADR........................... 106,937,161 999,584,526 5.1%
Other Securities.................................... 21,297,582 0.1%
-------------- -----
TOTAL RUSSIA............................................ 1,020,882,108 5.2%
-------------- -----
SOUTH AFRICA -- (6.7%)
# Barclays Africa Group, Ltd.......................... 6,124,179 94,589,135 0.5%
# Nedbank Group, Ltd.................................. 3,713,947 80,747,979 0.4%
Sanlam, Ltd......................................... 24,685,296 132,450,694 0.7%
Standard Bank Group, Ltd............................ 18,943,972 241,007,060 1.2%
#* Steinhoff International Holdings, Ltd............... 24,286,822 93,754,826 0.5%
Other Securities.................................... 752,656,981 3.9%
-------------- -----
TOTAL SOUTH AFRICA...................................... 1,395,206,675 7.2%
-------------- -----
SOUTH KOREA -- (14.6%)
Hana Financial Group, Inc........................... 4,078,729 156,836,439 0.8%
# Hyundai Steel Co.................................... 1,197,245 98,578,876 0.5%
KB Financial Group, Inc............................. 2,902,753 114,320,481 0.6%
KB Financial Group, Inc. ADR........................ 3,182,416 123,509,565 0.7%
# LG Electronics, Inc................................. 1,776,548 113,798,502 0.6%
POSCO............................................... 681,110 203,339,180 1.1%
# POSCO ADR........................................... 1,626,923 121,140,686 0.6%
Samsung C&T Corp.................................... 1,386,322 82,261,509 0.4%
# Samsung SDI Co., Ltd................................ 520,138 86,702,427 0.5%
Shinhan Financial Group Co., Ltd.................... 5,415,719 236,144,882 1.2%
SK Holdings Co., Ltd................................ 530,249 96,102,228 0.5%
SK Innovation Co., Ltd.............................. 845,193 118,461,430 0.6%
Other Securities.................................... 1,483,201,139 7.5%
-------------- -----
TOTAL SOUTH KOREA....................................... 3,034,397,344 15.6%
-------------- -----
TAIWAN -- (13.9%)
Fubon Financial Holding Co., Ltd.................... 88,739,471 130,052,844 0.7%
Mega Financial Holding Co., Ltd..................... 135,127,381 117,005,240 0.6%
# United Microelectronics Corp........................ 218,090,681 92,516,948 0.5%
Yuanta Financial Holding Co., Ltd................... 151,353,654 82,534,377 0.4%
302
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
TAIWAN -- (Continued)
Other Securities........ $ 2,460,013,826 12.6%
--------------- -----
TOTAL TAIWAN................ 2,882,123,235 14.8%
--------------- -----
THAILAND -- (3.1%)
PTT Global Chemical PCL. 32,067,141 80,876,163 0.4%
PTT PCL................. 10,844,100 110,444,328 0.6%
Other Securities........ 460,615,908 2.4%
--------------- -----
TOTAL THAILAND.............. 651,936,399 3.4%
--------------- -----
TURKEY -- (2.5%)
Turkiye Is Bankasi...... 36,884,191 100,763,267 0.5%
Other Securities........ 418,780,142 2.2%
--------------- -----
TOTAL TURKEY................ 519,543,409 2.7%
--------------- -----
TOTAL COMMON STOCKS......... 18,812,179,100 96.8%
--------------- -----
PREFERRED STOCKS -- (2.2%)
BRAZIL -- (2.1%)
Petroleo Brasileiro SA.. 24,521,904 222,343,011 1.2%
Other Securities........ 221,166,672 1.1%
--------------- -----
TOTAL BRAZIL................ 443,509,683 2.3%
--------------- -----
COLOMBIA -- (0.1%)
Other Securities........ 15,140,331 0.1%
--------------- -----
TOTAL PREFERRED STOCKS...... 458,650,014 2.4%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
CHILE -- (0.0%)
Other Securities........ 100 0.0%
--------------- -----
MALAYSIA -- (0.0%)
Other Securities........ 385,124 0.0%
--------------- -----
POLAND -- (0.0%)
Other Securities........ -- 0.0%
--------------- -----
SOUTH KOREA -- (0.0%)
Other Securities........ 22,204 0.0%
--------------- -----
THAILAND -- (0.0%)
Other Securities........ 57,286 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS....... 464,714 0.0%
--------------- -----
303
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES/
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------- ------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (7.3%)
(S)@ DFA Short Term Investment Fund.............................. 129,904,927 $ 1,503,000,000 7.7%
@ Repurchase Agreement, Deutsche Bank Securities, Inc.
0.12%, 11/01/13 (Collateralized by $12,056,798 FNMA, rates
ranging from 2.500% to 4.500%, maturities ranging from
04/01/27 to 10/01/43, valued at $10,903,189) to be
repurchased at $10,689,437................................. $ 10,689 10,689,401 0.1%
--------------- ------
TOTAL SECURITIES LENDING COLLATERAL............................... 1,513,689,401 7.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $20,304,856,701)........................................ $20,784,983,229 107.0%
=============== ======
Summary of the Fund's investments as of October 31, 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...................... $1,073,840,952 $ 595,292,386 -- $ 1,669,133,338
Chile....................... 99,110,686 204,748,608 -- 303,859,294
China....................... 236,947,644 2,668,545,171 -- 2,905,492,815
Colombia.................... 19,308,502 -- -- 19,308,502
Czech Republic.............. -- 30,941,403 -- 30,941,403
Hong Kong................... -- 26,658 -- 26,658
Hungary..................... -- 94,125,231 -- 94,125,231
India....................... 146,609,452 1,103,578,253 -- 1,250,187,705
Indonesia................... 6,187,469 470,195,297 -- 476,382,766
Israel...................... 20,113 276,489 -- 296,602
Malaysia.................... -- 741,293,938 -- 741,293,938
Mexico...................... 1,272,993,390 354,812 -- 1,273,348,202
Philippines................. -- 216,700,475 -- 216,700,475
Poland...................... 119,863 326,873,138 -- 326,993,001
Russia...................... 814,231 1,020,067,877 -- 1,020,882,108
South Africa................ 170,364,260 1,224,842,415 -- 1,395,206,675
South Korea................. 362,529,229 2,671,868,115 -- 3,034,397,344
Taiwan...................... 38,733,186 2,843,390,049 -- 2,882,123,235
Thailand.................... 651,936,399 -- -- 651,936,399
Turkey...................... -- 519,543,409 -- 519,543,409
Preferred Stocks
Brazil...................... -- 443,509,683 -- 443,509,683
Colombia.................... 15,140,331 -- -- 15,140,331
Rights/Warrants
Chile....................... -- 100 -- 100
Malaysia.................... -- 385,124 -- 385,124
Poland...................... -- -- -- --
South Korea................. -- 22,204 -- 22,204
Thailand.................... -- 57,286 -- 57,286
Securities Lending Collateral. -- 1,513,689,401 -- 1,513,689,401
-------------- --------------- -- ---------------
TOTAL......................... $4,094,655,707 $16,690,327,522 -- $20,784,983,229
============== =============== == ===============
See accompanying Notes to Financial Statements.
304
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS)
ASSETS:
Investments at Value (including $1,645,822 of securities on loan)*....... $19,271,294
Collateral Received from Securities on Loan at Value & Cost.............. 10,689
Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 1,503,000
Foreign Currencies at Value.............................................. 58,647
Cash..................................................................... 90,464
Receivables:
Investment Securities Sold............................................. 28,594
Dividends, Interest and Tax Reclaims................................... 6,129
Securities Lending Income.............................................. 1,920
-----------
Total Assets........................................................ 20,970,737
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................................... 1,513,689
Investment Securities Purchased........................................ 26,347
Due to Advisor......................................................... 1,628
Unrealized Loss on Foreign Currency Contracts............................ 64
Accrued Expenses and Other Liabilities................................... 1,723
-----------
Total Liabilities................................................... 1,543,451
-----------
NET ASSETS............................................................... $19,427,286
===========
Investments at Cost...................................................... $18,791,168
===========
Foreign Currencies at Cost............................................... $ 58,852
===========
----------
* See Note H in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
305
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $65,796).......... $ 421,959
Interest...................................................... 15
Income from Securities Lending................................ 25,619
----------
Total Investment Income.................................... 447,593
----------
EXPENSES
Investment Advisory Services Fees............................. 18,145
Accounting & Transfer Agent Fees.............................. 1,269
Custodian Fees................................................ 7,431
Shareholders' Reports......................................... 48
Directors'/Trustees' Fees & Expenses.......................... 198
Professional Fees............................................. 741
Other......................................................... 465
----------
Total Expenses............................................. 28,297
----------
Fees Paid Indirectly.......................................... (111)
----------
Net Expenses.................................................. 28,186
----------
NET INVESTMENT INCOME (LOSS).................................. 419,407
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:..................................
Investment Securities Sold.................................. 304,248
Foreign Currency Transactions............................... (2,833)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 724,674
Translation of Foreign Currency Denominated Amounts......... 7
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 1,026,096
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $1,445,503
==========
See accompanying Notes to Financial Statements.
306
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
YEAR YEAR
ENDED ENDED
OCT. 31, OCT. 31,
2013 2012
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).............................................. $ 419,407 $ 375,228
Net Realized Gain (Loss) on:
Investment Securities Sold.............................................. 304,248 398,744
Futures................................................................. -- (1,269)
Foreign Currency Transactions*.......................................... (2,833) (4,761)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................. 724,674 (574,018)
Translation of Foreign Currency Denominated Amounts..................... 7 (185)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations...... 1,445,503 193,739
----------- -----------
Transactions in Interest:
Contributions............................................................. 2,894,722 3,560,477
Withdrawals............................................................... (1,797,261) (873,473)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.................. 1,097,461 2,687,004
----------- -----------
Total Increase (Decrease) in Net Assets................................ 2,542,964 2,880,743
NET ASSETS
Beginning of Year......................................................... 16,884,322 14,003,579
----------- -----------
End of Year............................................................... $19,427,286 $16,884,322
=========== ===========
----------
* Net of foreign capital gain taxes withheld of $0 and $314, respectively.
See accompanying Notes to Financial Statements.
307
DIMENSIONAL EMERGING MARKETS VALUE FUND+
FINANCIAL HIGHLIGHTS
DIMENSIONAL EMERGING MARKETS VALUE FUND
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------------------
Total Return............................................ 8.43% 1.10% (14.47)% 30.55% 79.39%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)..................... $19,427,286 $16,884,322 $14,003,579 $11,917,955 $7,965,125
Ratio of Expenses to Average Net Assets................. 0.16% 0.20% 0.20% 0.19% 0.21%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly)....................................... 0.16% 0.20% 0.20% 0.19% 0.21%
Ratio of Net Investment Income to Average Net Assets.... 2.32% 2.43% 2.29% 1.81% 2.17%
Portfolio Turnover Rate................................. 6% 8% 5% 15% 20%
-------------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
308
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a
closed-end management investment company registered under the Investment
Company Act of 1940, as amended. Effective November 21, 1997, DEM I was
reorganized as an open-end management investment company. On October 27, 2009,
the Board of Directors and shareholders of DEM I approved an Agreement and Plan
of Reorganization that provided for the reorganization of DEM I from a Maryland
corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I
transferred all of its assets and liabilities to Dimensional Emerging Markets
Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free
exchange under Internal Revenue Code (the "IRC") (S)368(a)(1)(F).
Effective November 1, 2009, 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.
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.
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
309
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.
Transfers between investment levels may occur as the markets fluctuate
and/or the availability of data used in an investment's valuation changes. The
Fund recognizes transfers between the levels as of the end of the period. As of
October 31, 2013, the Fund had significant transfers of securities with a total
value of $1,222,930 (in thousands) that transferred from Level 1 to Level 2. At
October 31, 2013, the fair market value of certain securities were adjusted due
to developments which occurred between the time of the close of the foreign
markets on which they trade and the close of business on the NYSE which
resulted in their Level 2 classification.
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 any foreign withholding taxes recorded on the books of the Fund
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
310
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses. At October 31, 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
$369 (in thousands).
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 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 and foreign currency 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 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% 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 the Fund. For the year ended October 31, 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 year
ended October 31, 2013, expenses reduced were $111 (amount in thousands).
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO"))
311
receive no compensation from the Fund. For the year ended October 31, 2013, the
total related amounts paid by the Fund to the CCO were $27 (in thousands). The
total related amounts paid by the Fund are included in Other Expenses on the
Statement of Operations.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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. $2,746,457 $1,070,905
There were no purchases or sales of long-term U.S. government securities.
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Fund is treated
as a partnership for federal income tax purposes. Any net investment income and
realized and unrealized gains and losses have been deemed to have been "passed
down" to their respective partners.
At October 31, 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. $20,422,709 $3,294,843 $(2,932,568) $362,275
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 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.
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
312
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 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.
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 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 year ended October 31, 2013, borrowings by the Fund under the lines
of credit were as follows (amounts in thousands, except percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE LOAN DAYS EXPENSE BORROWED DURING
INTEREST RATE BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
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 year ended October 31, 2013, that the Fund's available line of
credit was utilized.
There were no outstanding borrowings by the Fund under the lines of credit
as of October 31, 2013.
H. SECURITIES LENDING:
As of October 31, 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 $284,247 (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 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 Fund's collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted
313
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Fund or, at the option of the lending agent, to replace the
securities.
Subject to its stated investment policy, the Fund will generally invest the
cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average daily net assets of the Money Market Series. The
Fund also may invest the cash collateral received for the loaned securities in
securities of the U.S. government or its agencies, repurchase agreements
collateralized by securities of the U.S. government or its agencies, and
affiliated and unaffiliated registered and unregistered money market funds. For
purposes of this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. In addition, the Fund will be able to terminate the
loan at any time and will receive reasonable interest on the loan, as well as
amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
I. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
J. RECENTLY ISSUED ACCOUNTING STANDARDS:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's financial statements to understand the effect of those arrangements on
its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as
applying to derivatives accounted for in accordance with Topic 815, Derivatives
and Hedging, including bifurcated embedded derivatives, repurchase agreements
and reverse repurchase agreements, and securities borrowing and securities
lending transactions that are offset either in accordance with other
requirements of GAAP or subject to an enforceable master netting arrangement or
similar agreement. ASU No. 2011-11 is effective for annual periods beginning on
or after January 1, 2013, and interim periods within those annual periods.
Management is evaluating any impact ASU No. 2011-11 may have on the financial
statements.
K. 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.
314
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF DIMENSIONAL EMERGING MARKETS
VALUE FUND:
In our opinion, the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Dimensional
Emerging Markets Value Fund (the "Fund") at October 31, 2013, the results of
its operations for the year then ended, the changes in its net assets for each
of the two years in the period then ended and the financial highlights for each
of the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2013 by
correspondence with the custodian, brokers, and the transfer agent of the
investee fund provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
315
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and
Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Review Committee (the "Review Committee"). The
Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2013.
Each Board's Nominating Committee is comprised of George M. Constantinides,
John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie
J. Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. There was one Nominating Committee meeting
held during the fiscal year ended October 31, 2013.
Each Board's Review Committee consists of both interested and disinterested
Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Review Committee may (i) review the design of possible new series
of the Fund, (ii) review performance of existing portfolios of the Fund and
discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Review
Committee was formed on December 17, 2010, and there were two Review Committee
meetings held during the fiscal year ended October 31, 2013.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at www.dimensional.com.
316
NAME, POSITION PORTFOLIOS WITHIN THE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ AND OTHER DIRECTORSHIPS OF PUBLIC COMPANIES
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN HELD
----------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
----------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 106 portfolios in 4 Leo Melamed Professor of Finance, The
Director of DFAIDG and DIG. investment companies University of Chicago Booth School of Business.
Trustee of DFAITC and DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
1947
----------------------------------------------------------------------------------------------------------------------------
John P. Gould Since Inception 106 portfolios in 4 Steven G. Rothmeier Distinguished Service
Director of DFAIDG and DIG. investment companies Professor of Economics, The University of
Trustee of DFAITC and DEM. Chicago Booth School of Business (since 1965).
The University of Chicago Member and Chair, Competitive Markets Advisory
Booth School of Business Committee, Chicago Mercantile Exchange
5807 S. Woodlawn Avenue (futures trading exchange) (since 2004).
Chicago, IL 60637 Formerly, Director of UNext, Inc. (1999-2006).
1939 Trustee, Harbor Fund (registered investment
company) (30 Portfolios) (since 1994). Formerly,
Member of the Board of Milwaukee Mutual
Insurance Company (1997-2010).
----------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson Since Inception 106 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG. investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM. Partner, Zebra Capital Management, LLC (hedge
Yale School of Management fund manager) (since 2001). Consultant to
P.O. Box 208200 Morningstar, Inc. (since 2006). Formerly,
New Haven, CT 06520-8200 Chairman, Ibbotson Associates, Inc., Chicago, IL
1943 (software data publishing and consulting) (1977-
2006). Formerly, Director, BIRR Portfolio
Analysis, Inc. (software products) (1990-2010).
----------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear Since Inception 106 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG and DIG. investment companies Institution (since 2002). Jack Steele Parker
Trustee of DFAITC and DEM. Professor of Human Resources Management
Stanford University and Economics, Graduate School of Business,
Graduate School of Business Stanford University (since 1995). Cornerstone
518 Memorial Way Stanford, Research (expert testimony and economic and
CA 94305-5015 financial analysis) (since 2009). Formerly,
1948 Chairman of the President George W. Bush's
Council of Economic Advisers (2006-2009).
Formerly, Council of Economic Advisors, State of
California (2005-2006). Formerly, Commissioner,
White House Panel on Tax Reform (2005).
----------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes Since Inception 106 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
Director of DFAIDG and DIG. investment companies Stanford University (since 1981). Formerly,
Trustee of DFAITC and DEM. Chairman, Platinum Grove Asset Management,
c/o Dimensional Fund L.P. (hedge fund) (formerly, Oak Hill Platinum
Advisors, LP Partners) (1999-2009). Formerly, Managing
6300 Bee Cave Road Partner, Oak Hill Capital Management (private
Building 1 equity firm) (until 2004). Director, American
Austin, TX 78746 Century Fund Complex (registered investment
1941 companies) (40 Portfolios) (since 1980).
Formerly, Director, Chicago Mercantile Exchange
(2001-2008).
----------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith Since Inception 106 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG. investment companies Professor of Accounting, The University of
Trustee of DFAITC and DEM. Chicago Booth School of Business (since 1980).
The University of Chicago Co-Director Investment Research, Fundamental
Booth School of Business Investment Advisors (hedge fund) (since 2008).
5807 S. Woodlawn Avenue Director, HNI Corporation (formerly known as
Chicago, IL 60637 HON Industries Inc.) (office furniture) (since
1953 2000). Director, Ryder System Inc.
(transportation, logistics and supply-chain
management) (since 2003). Trustee, UBS Funds
(4 investment companies within the fund
complex) (52 portfolios) (since 2009).
----------------------------------------------------------------------------------------------------------------------------
317
NAME, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
-------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
-------------------------------------------------------------------------------------------------------------------------------
David G. Booth Since Inception 106 portfolios in 4 Chairman, Director/Trustee, President, and Co-Chief
Chairman, Director, investment companies Executive Officer (since January 2010) of
Co-Chief Executive Dimensional Holdings Inc., Dimensional Fund
Officer and President of Advisors LP, DFA Securities LLC, DEM, DFAIDG,
DFAIDG and DIG. DIG and DFAITC. Director of Dimensional Fund
Chairman, Trustee, Advisors Ltd., Dimensional Funds PLC, Dimensional
Co-Chief Executive Funds II PLC, DFA Australia Limited, Dimensional
Officer and President of Cayman Commodity Fund I Ltd., Dimensional Japan
DFAITC and DEM. Ltd. and Dimensional Advisors Ltd. Chairman,
6300 Bee Cave Road, Director and Co-Chief Executive Officer of
Building One Austin, Dimensional Fund Advisors Canada ULC. President,
Texas 78746 Dimensional SmartNest (US) LLC. Limited Partner,
1946 Oak Hill Partners (since 2001) and VSC Investors,
LLC (since 2007). Trustee, The University of
Chicago. Trustee, University of Kansas Endowment
Association. Formerly, Chief Executive Officer (until
2010) and Chief Investment Officer (2003-2007) of
Dimensional Fund Advisors LP, DFA Securities LLC,
DEM, DFAIDG, DIG , DFAITC, Dimensional
Holdings Inc. Formerly, Chief Investment Officer of
Dimensional Fund Advisors Ltd. Formerly, President
and Chief Investment Officer of DFA Australia
Limited. Formerly, Director, SA Funds (registered
investment company).
-------------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto Since 2009 106 portfolios in 4 Co-Chief Executive Officer (since January 2010),
Director, Co-Chief investment companies Chief Investment Officer (since March 2007) and
Executive Officer and Director/Trustee of Dimensional Holdings Inc.,
Chief Investment Officer Dimensional Fund Advisors LP, DFA Securities LLC,
of DFAIDG and DIG. DEM, DFAIDG, DIG, DFAITC and Dimensional
Trustee, Co-Chief Cayman Commodity Fund I Ltd. Director, Co-Chief
Executive Officer and Executive Officer, President and Chief Investment
Chief Investment Officer Officer of Dimensional Fund Advisors Canada ULC.
of DFAITC and DEM. Chief Investment Officer, Vice President and Director
6300 Bee Cave Road, of DFA Australia Limited. Director of Dimensional
Building One Fund Advisors Ltd., Dimensional Funds PLC,
Austin, TX 78746 Dimensional Funds II PLC, Dimensional Japan Ltd.
1967 and Dimensional Advisors Ltd., Formerly President
of Dimensional Holdings Inc, Dimensional Fund
Advisors LP, DFA Securities LLC, DEM, DFAIDG,
DIG, DFAITC and Dimensional Fund Advisors
Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the Funds.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with Dimensional Fund
Advisors LP.
318
OFFICERS
The name, year of birth, information regarding positions with the Funds and
the principal occupation for each officer of the Funds are set forth below.
Each officer listed below holds the same office (except as otherwise noted) in
the following entities: Dimensional Fund Advisors LP (prior to November 3,
2006, Dimensional Fund Advisors Inc.) ("Dimensional"), Dimensional Holdings
Inc., DFA Securities LLC (prior to April 6, 2009, DFA Securities Inc.), DFAIDG,
DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each
officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One,
Austin, Texas 78746, unless otherwise indicated.
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------
OFFICERS
---------------------------------------------------------------------------------------------------------------------
April A. Aandal Since 2008 Vice President of all the DFA Entities.
Vice President
1963
---------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice President
Vice President Business Development at Capson Physicians Insurance Company
1974 (2010-2012); Vice President at Charles Schwab (2007-2010).
---------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Since 2005 Vice President of all the DFA Entities.
Vice President
1966
---------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Director and Managing
Vice President Director of DFAL (since September 2013).
1955
---------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Since 2007 Vice President of all the DFA Entities.
Vice President
1968
---------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA
Vice President and Assistant Australia Limited, Dimensional Fund Advisors Ltd., Dimensional
Secretary Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte.
1967 Ltd., Dimensional Hong Kong Limited. Director, Vice President and
Assistant Secretary of Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------------
David P. Butler Since 2007 Vice President of all the DFA Entities. Head of Global Financial
Vice President Services of Dimensional (since 2008).
1964
---------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (December 2010-January2012); Regional Director
1970 at Russell Investments (April 2006-December 2010).
---------------------------------------------------------------------------------------------------------------------
James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2008-2010); Vice President, Client Portfolio
1956 Manager at American Century Investments (2001-2008).
---------------------------------------------------------------------------------------------------------------------
Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio
1966 Manager of Dimensional (since January 2012). Formerly, Portfolio
Manager for Dimensional (October 2005-January 2012).
---------------------------------------------------------------------------------------------------------------------
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC. Head of Institutional,
1972 North America (since March 2012). Formerly, Head of Portfolio
Management of Dimensional (January 2006-March 2012).
---------------------------------------------------------------------------------------------------------------------
Matt B. Cobb Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since September 2011). Formerly, Vice President at
1971 MullinTBG 92005-2011).
---------------------------------------------------------------------------------------------------------------------
Ryan Cooper Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since 2003).
1979
---------------------------------------------------------------------------------------------------------------------
319
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (August 2002-January 2012).
1976
------------------------------------------------------------------------------------------------------------------------
Robert P. Cornell Since 2007 Vice President of all the DFA Entities.
Vice President
1949
------------------------------------------------------------------------------------------------------------------------
George H. Crane Since 2010 Vice President of all the DFA Entities. Formerly, Senior Vice
Vice President President and Managing Director at State Street Bank & Trust
1955 Company (2007-2008).
------------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Since 2004 Vice President and Global Chief Compliance Officer of all the DFA
Vice President and Global Chief Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd.,
Compliance Officer and Dimensional SmartNest (US) LLC. Chief Compliance Officer of
1965 Dimensional Fund Advisors Canada ULC.
------------------------------------------------------------------------------------------------------------------------
James L. Davis Since 1999 Vice President of all the DFA Entities.
Vice President
1956
------------------------------------------------------------------------------------------------------------------------
Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC.
1957
------------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate for
Vice President Dimensional (since August 2008).
1972
------------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities.
Vice President
1970
------------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and
Vice President and Assistant DFA Australia Limited.
Secretary
1965
------------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities.
Vice President
1971
------------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio
1974 Manager of Dimensional (since January 2012).
------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Manager
Vice President for Dimensional (since June 2006).
1970
------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Since 2007 Vice President of all the DFA Entities.
Vice President
1967
------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director
Vice President at BlackRock (2004-January 2012).
1968
------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Since 2000 Vice President of all the DFA Entities.
Vice President
1967
------------------------------------------------------------------------------------------------------------------------
John T. Gray Since 2007 Vice President of all the DFA Entities.
Vice President
1974
------------------------------------------------------------------------------------------------------------------------
Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for
Vice President Dimensional (since 2012). Formerly, Senior Trader for Dimensional
1975 Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Ltd.
(2008-2009); Trader for Dimensional (2004-2008).
------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Since 2007 Vice President of all the DFA Entities.
Vice President
1967
------------------------------------------------------------------------------------------------------------------------
320
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
----------------------------------------------------------------------------------------------------------------------------
Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities,
Vice President and Fund Controller Dimensional Cayman Commodity Fund I Ltd. and Dimensional
1974 Japan Ltd.
----------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Since 2005 Vice President of all the DFA Entities.
Vice President
1967
----------------------------------------------------------------------------------------------------------------------------
Christine W. Ho Since 2004 Vice President of all the DFA Entities.
Vice President
1967
----------------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing Director,
Vice President Co-Head Global Consultant Relations at BlackRock (2004-2011).
1960
----------------------------------------------------------------------------------------------------------------------------
William A. Irvine Since 2013 Vice President of all the DFA Entities, Regional Director For
Vice President Dimensional (since 2012). Formerly, Vice President of Institutional
1957 Business Development at Eaton Vance (2005-2011).
----------------------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd.
1973
----------------------------------------------------------------------------------------------------------------------------
Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager
Vice President for Dimensional (October 2008-January 2012).
1968
----------------------------------------------------------------------------------------------------------------------------
Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Entities,
Vice President Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan
1954 Ltd., Dimensional Advisors Ltd., Dimensional Hong Kong Limited
and Chief Operating Officer of Dimensional. Director, Vice
President and Chief Privacy Officer of Dimensional Fund Advisors
Canada ULC. Director of DFA Australia Limited, Dimensional Fund
Advisors Ltd., Dimensional Japan Ltd. and Dimensional Advisors
Ltd. Director and Vice President of Dimensional Hong Kong Limited
and Dimensional Fund Advisors Pte. Ltd.
----------------------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since October 2004).
1977
----------------------------------------------------------------------------------------------------------------------------
Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional Fund Advisors LP (April 2006-January 2012).
1948
----------------------------------------------------------------------------------------------------------------------------
David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since June 2004).
1971
----------------------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined Contribution
Vice President Sales for Dimensional (since August 2010). Formerly, Chief DC
1971 Strategist, Barclays Global Investors (2005-2009).
----------------------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Sr. Portfolio Manager of
Vice President Dimensional (since January 2012). Formerly, Portfolio Manager for
1971 Dimensional (April 2001-January 2012).
----------------------------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Since 2013 Vice President of all the DFA Entities. Formerly, Senior Associate
Vice President Investment Analytics and Data for Dimensional (January 2012-
1981 December 2012); Systems Developer for Dimensional (June 2007-
December 2011).
----------------------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (2007-2010).
1968
----------------------------------------------------------------------------------------------------------------------------
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Officer of
Vice President Dimensional SmartNest (US) LLC (since 2012).
1967
----------------------------------------------------------------------------------------------------------------------------
Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice President -
Vice President Global Operations at Janus Capital Group (2005-2011).
1969
----------------------------------------------------------------------------------------------------------------------------
321
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
-------------------------------------------------------------------------------------------------------------------------------
David F. LaRusso Since 2013 Vice President of all the DFA Entities. Formerly, Senior Trader for
Vice President Dimensional (January 2010-December 2012); Trader for
1978 Dimensional (2000-2009).
-------------------------------------------------------------------------------------------------------------------------------
Juliet H. Lee Since 2005 Vice President of all the DFA Entities.
Vice President
1971
-------------------------------------------------------------------------------------------------------------------------------
Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (July 2008-2010).
1980
-------------------------------------------------------------------------------------------------------------------------------
John B. Lessley Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since January 2008).
1960
-------------------------------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since February 2004).
1969
-------------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd. Counsel for Dimensional (since September
1972 2006).
-------------------------------------------------------------------------------------------------------------------------------
Rose C. Manziano Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (Since August 2010). Formerly, Vice President, Sales
1971 and Business Development at AdvisorsIG (PPMG) (2009- 2010);
Vice President at Credit Suisse (2007-2009).
-------------------------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global Human
Vice President & Head of Global Resources of Dimensional.
Human Resources
1970
-------------------------------------------------------------------------------------------------------------------------------
David R. Martin Vice Since 2007 Vice President, Chief Financial Officer and Treasurer of all the DFA
President, Chief Financial Officer Entities. Director, Vice President, Chief Financial Officer and
and Treasurer Treasurer of Dimensional Fund Advisors Ltd., DFA Australia
1956 Limited, Dimensional Advisors Ltd., Dimensional Fund Advisors
Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Fund
Advisors Canada ULC. Chief Financial Officer, Treasurer, and Vice
President of Dimensional SmartNest (US) LLC, and Dimensional
Cayman Commodity Fund I Ltd. Director of Dimensional Funds
PLC and Dimensional Funds II PLC. Statutory Auditor of
Dimensional Japan Ltd.
-------------------------------------------------------------------------------------------------------------------------------
Matthew H. Miller Since 2013 Vice President of all the DFA Entities. Client Service Manager for
Vice President Dimensional (Since 2012). Formerly, Regional Director for
1978 Dimensional (2008-2011; Senior Associate at Dimensional (2007-
2010).
-------------------------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Since 2013 Vice President of all the DFA Entities. Manager, Investment
Vice President Systems at Dimensional (Since 2011). Formerly, Project Manager
1971 for Dimensional (2007-2010).
-------------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President since Vice President and Secretary of all the DFA Entities. Director, Vice
Vice President and Secretary 1997 and Secretary President and Secretary of DFA Australia Limited and Dimensional
1964 since 2000 Fund Advisors Ltd. (since February 2002, April 1997 and May 2002,
respectively). Vice President and Secretary of Dimensional Fund
Advisors Canada ULC (since June 2003), Dimensional SmartNest
(US) LLC, Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Japan Ltd. (since February 2012), Dimensional
Advisors Ltd. (since March 2012), Dimensional Fund Advisors Pte.
Ltd. (since June 2012) and Dimensional Hong Kong Limited (since
August 2012). Director, Dimensional Funds PLC and Dimensional
Funds II PLC (since 2002 and 2006, respectively). Director of
Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional
Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited (since
August 2012 and July 2012).
-------------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (2008-2010).
1964
-------------------------------------------------------------------------------------------------------------------------------
322
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
-----------------------------------------------------------------------------------------------------------------------
Selwyn J. Notelovitz Since 2012 Vice President of all DFA Entities. Deputy Chief Compliance Officer
Vice President of Dimensional (since December 2012). Formerly Chief Compliance
1961 Officer of Wellington Management Company, LLP (2004-2011).
-----------------------------------------------------------------------------------------------------------------------
Carolyn L. O Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd. Deputy General Counsel, Funds (since
1974 2011). Counsel for Dimensional (2007-2011).
-----------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities.
Vice President
1976
-----------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since July 2005).
1973
-----------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Officer for
Vice President Dimensional (since January 2008). Formerly, Compliance Officer
1978 (February 2006-December 2007).
-----------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional Fund Advisors LP (since 2012). Formerly, Senior
1977 Consultant at Hewitt EnnisKnupp (June 2011-December 2011);
Senior Investment Analyst and Consultant at Hewitt EnnisKnupp
(July 2008-June 2011).
-----------------------------------------------------------------------------------------------------------------------
Brian P. Pitre Since 2013 Vice President of all the DFA Entities. Counsel for Dimensional
Vice President Fund Advisors LP (since 2009). Formerly, Vice President and
1976 Corporate Counsel at Mellon Capital Management (2006-2008).
-----------------------------------------------------------------------------------------------------------------------
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors
1961 Canada ULC.
-----------------------------------------------------------------------------------------------------------------------
Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since July 2006).
1970
-----------------------------------------------------------------------------------------------------------------------
Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate of Dimensional (2006-2008).
1973
-----------------------------------------------------------------------------------------------------------------------
Mark A. Regier Since 2013 Vice President of all the DFA Entities. Planning and Analysis
Vice President Manager for Dimensional (since July 2007).
1969
-----------------------------------------------------------------------------------------------------------------------
Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (June 2011-January 2012); Research
1981 Assistant for Dimensional (July 2004-August 2007).
-----------------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities.
Vice President
1971
-----------------------------------------------------------------------------------------------------------------------
Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Manager for
Vice President Dimensional (since July 2008).
1959
-----------------------------------------------------------------------------------------------------------------------
Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (March 2006-January 2010).
1961
-----------------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Operations
Vice President Manager for Dimensional (since May 2007).
1965
-----------------------------------------------------------------------------------------------------------------------
Ted R. Simpson Since 2007 Vice President of all the DFA Entities.
Vice President
1968
-----------------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Since 2007 Vice President of all the DFA Entities.
Vice President
1975
-----------------------------------------------------------------------------------------------------------------------
Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for
Vice President Dimensional (2007-2010).
1968
-----------------------------------------------------------------------------------------------------------------------
323
TERM OF OFFICE/1/
NAME, POSITION WITH THE FUND AND LENGTH OF
AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
---------------------------------------------------------------------------------------------------------------------
Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada ULC.
1956
---------------------------------------------------------------------------------------------------------------------
Carl G. Snyder Since 2000 Vice President of all the DFA Entities.
Vice President
1963
---------------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities.
Vice President
1947
---------------------------------------------------------------------------------------------------------------------
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Director and Vice
Vice President President of Dimensional Fund Advisors Canada ULC.
1973
---------------------------------------------------------------------------------------------------------------------
Richard H. Tatlow Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since April 2010). Formerly, Principal, Investment
1971 Strategist at Barclays Global Investors (2004-2009).
---------------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Since 2013 Vice President of all the DFA Entities, Manager, Investment
Vice President Analytics and Data for Dimensional (since 2012). Formerly,
1973 Research Assistant at Dimensional (2002-2011).
---------------------------------------------------------------------------------------------------------------------
Erik T. Totten Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since 2010). Formerly, Senior Associate at
1980 Dimensional (2007-2009).
---------------------------------------------------------------------------------------------------------------------
John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (January 2008-January 2012).
1978
---------------------------------------------------------------------------------------------------------------------
Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Technology
Vice President for Dimensional (since March 2007).
1958
---------------------------------------------------------------------------------------------------------------------
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors
1966 Canada ULC.
---------------------------------------------------------------------------------------------------------------------
Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since 2004).
1970
---------------------------------------------------------------------------------------------------------------------
Weston J. Wellington Since 1997 Vice President of all the DFA Entities.
Vice President
1951
---------------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Since 2007 Vice President of all the DFA Entities.
Vice President
1976
---------------------------------------------------------------------------------------------------------------------
Paul E. Wise Since 2005 Vice President of all the DFA Entities.
Vice President
1955
---------------------------------------------------------------------------------------------------------------------
Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2005-2010).
1978
/1/ Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustees/Directors and until his or her successor is elected and
qualified.
324
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.
325
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2013 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2013
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2012 to October 31, 2013, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
QUALIFYING
FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM RETURN DIVIDENDS
INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL RECEIVED
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION(1)
------------------------------------ ------------- ------------- ------------- ------- ---------- ------------- ------------
Enhanced U.S. Large Company
Portfolio.......................... 100% -- -- -- -- 100% --
U.S. Large Cap Equity Portfolio..... 100% -- -- -- -- 100% 100%
U.S. Large Cap Value Portfolio...... 100% -- -- -- -- 100% 100%
U.S. Targeted Value Portfolio....... 20% 5% 75% -- -- 100% 100%
U.S. Small Cap Value Portfolio...... 20% 3% 77% -- -- 100% 100%
U.S. Core Equity 1 Portfolio........ 100% -- -- -- -- 100% 100%
U.S. Core Equity 2 Portfolio........ 72% -- 28% -- -- 100% 100%
U.S. Vector Equity Portfolio........ 88% -- 12% -- -- 100% 100%
U. S Small Cap Portfolio............ 24% 3% 73% -- -- 100% 100%
U.S. Micro Cap Portfolio............ 21% -- 79% -- -- 100% 100%
DFA Real Estate Securities
Portfolio.......................... 100% -- -- -- -- 100% 100%
Large Cap International Portfolio... 100% -- -- -- -- 100% 100%
International Core Equity
Portfolio.......................... 100% -- -- -- -- 100% 100%
International Small Company
Portfolio.......................... 77% 1% 22% -- -- 100% 100%
Japanese Small Company
Portfolio.......................... 100% -- -- -- -- 100% 100%
Asia Pacific Small Company
Portfolio.......................... 100% -- -- -- -- 100% 100%
United Kingdom Small Company
Portfolio.......................... 100% -- -- -- -- 100% 100%
Continental Small Company
Portfolio.......................... 100% -- -- -- -- 100% 100%
QUALIFYING
SHORT-
QUALIFYING U.S. FOREIGN FOREIGN QUALIFYING TERM
DIVIDEND GOVERNMENT TAX SOURCE INTEREST CAPITAL
DFA INVESTMENT DIMENSIONS GROUP INC. INCOME(2) INTEREST(3) CREDIT(4) INCOME(5) INCOME(6) GAIN(7)
------------------------------------ ---------- ----------- --------- --------- ---------- ----------
Enhanced U.S. Large Company
Portfolio.......................... -- 4% -- -- 100% 100%
U.S. Large Cap Equity Portfolio..... 100% -- -- -- 100% 100%
U.S. Large Cap Value Portfolio...... 100% -- -- -- 100% 100%
U.S. Targeted Value Portfolio....... 100% -- -- -- 100% 100%
U.S. Small Cap Value Portfolio...... 100% -- -- -- 100% 100%
U.S. Core Equity 1 Portfolio........ 100% -- -- -- 100% 100%
U.S. Core Equity 2 Portfolio........ 100% -- -- -- 100% 100%
U.S. Vector Equity Portfolio........ 100% -- -- -- 100% 100%
U. S Small Cap Portfolio............ 100% -- -- -- 100% 100%
U.S. Micro Cap Portfolio............ 100% -- -- -- 100% 100%
DFA Real Estate Securities
Portfolio.......................... 100% -- -- -- 100% 100%
Large Cap International Portfolio... 100% -- 5% 100% 100% 100%
International Core Equity
Portfolio.......................... 100% -- 5% 100% 100% 100%
International Small Company
Portfolio.......................... 100% -- 3% 98% 100% 100%
Japanese Small Company
Portfolio.......................... 100% -- 4% 64% 100% 100%
Asia Pacific Small Company
Portfolio.......................... 100% -- 3% 100% 100% 100%
United Kingdom Small Company
Portfolio.......................... 100% -- -- -- 100% 100%
Continental Small Company
Portfolio.......................... 100% -- 5% 100% 100% 100%
326
NOTICE TO SHAREHOLDERS
(UNAUDITED)
QUALIFYING
FOR
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM RETURN DIVIDENDS
INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL RECEIVED
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION(1)
------------------------------------ ------------- ------------- ------------- ------- ---------- ------------- ------------
DFA International Real Estate
Securities Portfolio............... 100% -- -- -- -- 100% 100%
DFA Global Real Estate Securities
Portfolio.......................... 100% -- -- -- -- 100% 100%
DFA International Small Cap Value
Portfolio.......................... 63% 1% 37% -- -- 100% 100%
International Vector Equity
Portfolio.......................... 89% -- 11% -- -- 100% 100%
World ex U.S. Value Portfolio....... 100% -- -- -- -- 100% 100%
World ex U.S. Targeted Value
Portfolio.......................... 97% -- 2% -- -- 100% 100%
World ex U.S. Core Equity
Portfolio.......................... 100% -- -- -- -- 100% 100%
Selectively Hedged Global Equity
Portfolio.......................... 77% 10% 13% -- -- 100% 100%
Emerging Markets Portfolio.......... 67% -- 33% -- -- 100% 100%
Emerging Markets Small Cap
Portfolio.......................... 41% 2% 56% -- -- 100% 100%
Emerging Markets Value
Portfolio.......................... 51% -- 49% -- -- 100% 100%
Emerging Markets Core Equity
Portfolio.......................... 100% -- -- -- -- 100% 100%
DFA Commodity Strategy
Portfolio.......................... 73% 14% 14% -- -- 100% 100%
DIMENSIONAL INVESTMENT GROUP
INC.
DFA International Value Portfolio... 100% -- -- -- -- 100% 100%
U.S. Large Company Portfolio........ 100% -- -- -- -- 100% 100%
QUALIFYING
SHORT-
QUALIFYING U.S. FOREIGN FOREIGN QUALIFYING TERM
DIVIDEND GOVERNMENT TAX SOURCE INTEREST CAPITAL
DFA INVESTMENT DIMENSIONS GROUP INC. INCOME(2) INTEREST(3) CREDIT(4) INCOME(5) INCOME(6) GAIN(7)
------------------------------------ ---------- ----------- --------- --------- ---------- ----------
DFA International Real Estate
Securities Portfolio............... 100% -- 3% 77% 100% 100%
DFA Global Real Estate Securities
Portfolio.......................... 100% -- 3% 74% 100% 100%
DFA International Small Cap Value
Portfolio.......................... 100% -- 4% 97% 100% 100%
International Vector Equity
Portfolio.......................... 100% -- 5% 100% 100% 100%
World ex U.S. Value Portfolio....... 100% -- 9% 100% 100% 100%
World ex U.S. Targeted Value
Portfolio.......................... 100% -- 6% 100% 100% 100%
World ex U.S. Core Equity
Portfolio.......................... 100% -- 6% 100% 100% 100%
Selectively Hedged Global Equity
Portfolio.......................... 100% -- 3% 55% 100% 100%
Emerging Markets Portfolio.......... 100% -- 7% 100% 100% 100%
Emerging Markets Small Cap
Portfolio.......................... 100% -- 4% 100% 100% 100%
Emerging Markets Value
Portfolio.......................... 100% -- 4% 100% 100% 100%
Emerging Markets Core Equity
Portfolio.......................... 100% -- 6% 100% 100% 100%
DFA Commodity Strategy
Portfolio.......................... 100% 1% -- -- 100% 100%
DIMENSIONAL INVESTMENT GROUP
INC.
DFA International Value Portfolio... 100% -- 8% 100% 100% 100%
U.S. Large Company Portfolio........ 100% -- -- -- 100% 100%
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
327
NOTICE TO SHAREHOLDERS
(UNAUDITED)
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
328
[LOGO] DFA103113-001A
[LOGO]
ANNUAL REPORT
year ended: October 31, 2013
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
November 2013
Dear Fellow Shareholder,
Our goal at Dimensional is to deliver an outstanding investment experience to
our clients. Our close ties to academia help us identify leading research that
can be beneficial to investors, and our team works to interpret, rigorously
test, and consider the practical applicability of those ideas in carefully
implemented investment strategies. This focus on research and implementation
has been central to Dimensional's approach since our founding and will continue
to be a key part of our offer to investors.
Sincerely,
/s/
David G. Booth
Chairman and Co-Chief Executive Officer
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes.................................................. 1
Dimensional Investment Group Inc.
Performance Charts....................................................................... 2
Management's Discussion and Analysis..................................................... 4
Disclosure of Fund Expenses.............................................................. 7
Disclosure of Portfolio Holdings......................................................... 9
Schedules of Investments
LWAS/DFA U.S. High Book to Market Portfolio.......................................... 10
LWAS/DFA Two-Year Fixed Income Portfolio............................................. 11
LWAS/DFA Two-Year Government Portfolio............................................... 13
Statements of Assets and Liabilities..................................................... 14
Statements of Operations................................................................. 16
Statements of Changes in Net Assets...................................................... 17
Financial Highlights..................................................................... 18
Notes to Financial Statements............................................................ 20
Report of Independent Registered Public Accounting Firm.................................. 27
DFA Investment Dimensions Group Inc. - LWAS/DFA International High Book to Market Portfolio
Performance Charts....................................................................... 28
Management's Discussion and Analysis..................................................... 29
Disclosure of Fund Expenses.............................................................. 31
Disclosure of Portfolio Holdings......................................................... 32
Schedule of Investments.................................................................. 33
Statement of Assets and Liabilities...................................................... 34
Statement of Operations.................................................................. 35
Statements of Changes in Net Assets...................................................... 36
Financial Highlights..................................................................... 37
Notes to Financial Statements............................................................ 38
Report of Independent Registered Public Accounting Firm.................................. 43
The DFA Investment Trust Company
Performance Charts....................................................................... 44
Management's Discussion and Analysis..................................................... 45
Disclosure of Fund Expenses.............................................................. 47
Disclosure of Portfolio Holdings......................................................... 48
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series...................................................... 49
The DFA International Value Series................................................... 52
Statements of Assets and Liabilities..................................................... 56
Statements of Operations................................................................. 57
Statements of Changes in Net Assets...................................................... 58
Financial Highlights..................................................................... 59
Notes to Financial Statements............................................................ 60
Report of Independent Registered Public Accounting Firm.................................. 68
Fund Management............................................................................. 69
Voting Proxies on Fund Portfolio Securities................................................. 78
Notice to Shareholders...................................................................... 79
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 October 31, 2013.
(S) Affiliated Fund.
Financial Highlights
--------------------
(A) Computed using average shares outstanding.
(B) 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.
REIT Real Estate Investment Trust
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO VS.
RUSSELL 1000(R) VALUE INDEX
October 31, 2003-October 31, 2013
[CHART]
LWAS/DFA U.S. High Book to Russell 1000/R/
Market Portfolio Value Index
-------------------------- ---------------
10/31/2003 $10,000 $10,000
11/30/2003 10,230 10,136
12/31/2003 10,930 10,760
1/31/2004 11,111 10,950
2/29/2004 11,392 11,184
3/31/2004 11,349 11,086
4/30/2004 11,158 10,815
5/31/2004 11,218 10,925
6/30/2004 11,554 11,183
7/31/2004 11,181 11,026
8/31/2004 11,181 11,182
9/30/2004 11,524 11,356
10/31/2004 11,655 11,544
11/30/2004 12,424 12,128
12/31/2004 12,918 12,534
1/31/2005 12,593 12,311
2/28/2005 12,969 12,719
3/31/2005 12,933 12,545
4/30/2005 12,495 12,320
5/31/2005 13,024 12,617
6/30/2005 13,289 12,755
7/31/2005 13,952 13,124
8/31/2005 13,830 13,067
9/30/2005 14,044 13,250
10/31/2005 13,666 12,914
11/30/2005 14,218 13,336
12/31/2005 14,233 13,416
1/31/2006 14,904 13,937
2/28/2006 14,853 14,022
3/31/2006 15,114 14,212
4/30/2006 15,538 14,573
5/31/2006 15,248 14,205
6/30/2006 15,379 14,295
7/31/2006 15,161 14,643
8/31/2006 15,399 14,888
9/30/2006 15,825 15,185
10/31/2006 16,450 15,682
11/30/2006 16,762 16,040
12/31/2006 17,094 16,400
1/31/2007 17,590 16,610
2/28/2007 17,320 16,351
3/31/2007 17,437 16,603
4/30/2007 18,182 17,217
5/31/2007 18,928 17,838
6/30/2007 18,621 17,421
7/31/2007 17,462 16,616
8/31/2007 17,126 16,802
9/30/2007 17,568 17,379
10/31/2007 17,666 17,381
11/30/2007 16,677 16,531
12/31/2007 16,611 16,371
1/31/2008 15,975 15,716
2/29/2008 15,490 15,057
3/31/2008 15,333 14,944
4/30/2008 16,306 15,673
5/31/2008 16,688 15,648
6/30/2008 14,858 14,150
7/31/2008 14,695 14,099
8/31/2008 14,975 14,339
9/30/2008 13,630 13,285
10/31/2008 10,558 10,985
11/30/2008 9,519 10,198
12/31/2008 9,833 10,339
1/31/2009 8,663 9,150
2/28/2009 7,446 7,928
3/31/2009 8,176 8,606
4/30/2009 9,495 9,528
5/31/2009 10,226 10,117
6/30/2009 10,101 10,042
7/31/2009 11,061 10,864
8/31/2009 11,805 11,433
9/30/2009 12,313 11,874
10/31/2009 11,784 11,511
11/30/2009 12,445 12,160
12/31/2009 12,790 12,375
1/31/2010 12,487 12,027
2/28/2010 13,031 12,407
3/31/2010 14,043 13,214
4/30/2010 14,479 13,556
5/31/2010 13,243 12,442
6/30/2010 12,242 11,742
7/31/2010 13,190 12,536
8/31/2010 12,388 12,000
9/30/2010 13,604 12,931
10/31/2010 14,106 13,319
11/30/2010 13,996 13,248
12/31/2010 15,362 14,294
1/31/2011 15,842 14,617
2/28/2011 16,704 15,156
3/31/2011 16,786 15,217
4/30/2011 17,193 15,622
5/31/2011 16,958 15,457
6/30/2011 16,645 15,140
7/31/2011 15,889 14,638
8/31/2011 14,539 13,724
9/30/2011 13,075 12,687
10/31/2011 14,879 14,139
11/30/2011 14,754 14,066
12/31/2011 14,862 14,350
1/31/2012 15,602 14,893
2/29/2012 16,504 15,486
3/31/2012 16,805 15,945
4/30/2012 16,454 15,783
5/31/2012 15,285 14,857
6/30/2012 16,104 15,595
7/31/2012 16,256 15,756
8/31/2012 16,900 16,098
9/30/2012 17,520 16,609
10/31/2012 17,558 16,528
11/30/2012 17,596 16,521
12/31/2012 18,122 16,862
1/31/2013 19,387 17,958
2/28/2013 19,630 18,216
3/31/2013 20,575 18,937
4/30/2013 20,780 19,224
5/31/2013 21,639 19,717
6/30/2013 21,390 19,543 Past performance is not predictive of
7/31/2013 22,664 20,599 future performance.
8/31/2013 21,982 19,817
9/30/2013 22,626 20,314 The returns shown do not reflect the
10/31/2013 23,776 21,203 deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten
Total Return Year Years Years Russell data copyright (C) Russell
------------------------------------------------------ Investment Group 1995-2013, all rights
35.41% 17.63% 9.05% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO VS.
THE BOFA MERRILL LYNCH 1-3 YEAR U.S. CORPORATE & GOVERNMENT INDEX
October 31, 2003-October 31, 2013
[CHART]
LWAS/DFA Two-Year The BofA Merrill Lynch 1-3 Year
Fixed Income Portfolio U.S. Corporate & Government Index
---------------------- ---------------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,000 10,000
12/31/2003 10,056 10,063
1/31/2004 10,077 10,088
2/29/2004 10,107 10,140
3/31/2004 10,136 10,175
4/30/2004 10,055 10,077
5/31/2004 10,025 10,061
6/30/2004 10,013 10,061
7/31/2004 10,053 10,105
8/31/2004 10,114 10,181
9/30/2004 10,105 10,175
10/31/2004 10,126 10,208
11/30/2004 10,085 10,159
12/31/2004 10,092 10,184
1/31/2005 10,092 10,181
2/28/2005 10,082 10,160
3/31/2005 10,082 10,155
4/30/2005 10,133 10,213
5/31/2005 10,164 10,257
6/30/2005 10,179 10,280
7/31/2005 10,168 10,253
8/31/2005 10,210 10,319
9/30/2005 10,210 10,293
10/31/2005 10,220 10,292
11/30/2005 10,251 10,323
12/31/2005 10,283 10,362
1/31/2006 10,314 10,384
2/28/2006 10,346 10,395
3/31/2006 10,377 10,412
4/30/2006 10,409 10,445
5/31/2006 10,451 10,460
6/30/2006 10,481 10,480
7/31/2006 10,534 10,560
8/31/2006 10,577 10,636
9/30/2006 10,623 10,694
10/31/2006 10,666 10,740
11/30/2006 10,709 10,797
12/31/2006 10,760 10,803
1/31/2007 10,804 10,829
2/28/2007 10,848 10,916
3/31/2007 10,894 10,959
4/30/2007 10,938 11,000
5/31/2007 10,982 10,993
6/30/2007 11,030 11,038
7/31/2007 11,075 11,128
8/31/2007 11,131 11,221
9/30/2007 11,169 11,302
10/31/2007 11,214 11,349
11/30/2007 11,248 11,514
12/31/2007 11,303 11,545
1/31/2008 11,337 11,744
2/29/2008 11,372 11,851
3/31/2008 11,386 11,852
4/30/2008 11,409 11,784
5/31/2008 11,432 11,759
6/30/2008 11,447 11,787
7/31/2008 11,482 11,821
8/31/2008 11,505 11,873
9/30/2008 11,455 11,809
10/31/2008 11,525 11,799
11/30/2008 11,642 11,949
12/31/2008 11,745 12,087
1/31/2009 11,757 12,099
2/28/2009 11,745 12,082
3/31/2009 11,796 12,135
4/30/2009 11,844 12,205
5/31/2009 11,891 12,303
6/30/2009 11,908 12,326
7/31/2009 11,932 12,381
8/31/2009 11,980 12,454
9/30/2009 11,998 12,504
10/31/2009 12,022 12,549
11/30/2009 12,070 12,629
12/31/2009 12,005 12,551
1/31/2010 12,065 12,652
2/28/2010 12,077 12,682
3/31/2010 12,066 12,667
4/30/2010 12,090 12,705
5/31/2010 12,102 12,735
6/30/2010 12,153 12,794
7/31/2010 12,189 12,846
8/31/2010 12,201 12,880
9/30/2010 12,224 12,912
10/31/2010 12,248 12,948
11/30/2010 12,224 12,923
12/31/2010 12,224 12,904
1/31/2011 12,237 12,932
2/28/2011 12,237 12,930
3/31/2011 12,235 12,930
4/30/2011 12,272 12,992
5/31/2011 12,308 13,040
6/30/2011 12,311 13,043
7/31/2011 12,323 13,081
8/31/2011 12,335 13,105
9/30/2011 12,326 13,075
10/31/2011 12,338 13,103
11/30/2011 12,326 13,093
12/31/2011 12,325 13,106
1/31/2012 12,362 13,151
2/29/2012 12,362 13,158
3/31/2012 12,370 13,165
4/30/2012 12,382 13,191
5/31/2012 12,382 13,189
6/30/2012 12,392 13,196
7/31/2012 12,417 13,243
8/31/2012 12,417 13,257
9/30/2012 12,430 13,273
10/31/2012 12,430 13,278
11/30/2012 12,430 13,290
12/31/2012 12,441 13,300
1/31/2013 12,441 13,308
2/28/2013 12,441 13,322
3/31/2013 12,446 13,329
4/30/2013 12,459 13,350
5/31/2013 12,446 13,331
6/30/2013 12,441 13,310 Past performance is not predictive of
7/31/2013 12,454 13,340 future performance.
8/31/2013 12,441 13,331
9/30/2013 12,463 13,367 The returns shown do not reflect the
10/31/2013 12,463 13,391 deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten The Merrill Lynch Indices are used with
Total Return Year Years Years permission; copyright 2013 Merrill
---------------------------------------------------------- Lynch, Pierce, Fenner & Smith
0.26% 1.58% 2.23% Incorporated; all rights reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO VS.
THE BOFA MERRILL LYNCH 1-3 YEAR U.S. TREASURY & AGENCY INDEX
October 31, 2003-October 31, 2013
[CHART]
LWAS/DFA Two-Year The BofA Merrill Lynch 1-3 Year
Government Portfolio U.S. Treasury & Agency Index
-------------------- -------------------------------
10/31/2003 $10,000 $10,000
11/30/2003 9,990 9,998
12/31/2003 10,055 10,056
1/31/2004 10,065 10,077
2/29/2004 10,116 10,126
3/31/2004 10,136 10,158
4/30/2004 10,054 10,061
5/31/2004 10,034 10,046
6/30/2004 10,028 10,045
7/31/2004 10,059 10,087
8/31/2004 10,130 10,159
9/30/2004 10,110 10,151
10/31/2004 10,141 10,183
11/30/2004 10,100 10,135
12/31/2004 10,107 10,157
1/31/2005 10,107 10,154
2/28/2005 10,096 10,133
3/31/2005 10,091 10,132
4/30/2005 10,133 10,188
5/31/2005 10,174 10,230
6/30/2005 10,195 10,252
7/31/2005 10,185 10,222
8/31/2005 10,227 10,287
9/30/2005 10,226 10,261
10/31/2005 10,237 10,259
11/30/2005 10,269 10,291
12/31/2005 10,300 10,330
1/31/2006 10,332 10,351
2/28/2006 10,354 10,363
3/31/2006 10,381 10,378
4/30/2006 10,424 10,410
5/31/2006 10,456 10,426
6/30/2006 10,488 10,445
7/31/2006 10,542 10,523
8/31/2006 10,585 10,597
9/30/2006 10,635 10,653
10/31/2006 10,679 10,699
11/30/2006 10,722 10,754
12/31/2006 10,768 10,758
1/31/2007 10,812 10,783
2/28/2007 10,845 10,868
3/31/2007 10,896 10,909
4/30/2007 10,941 10,949
5/31/2007 10,985 10,943
6/30/2007 11,034 10,988
7/31/2007 11,079 11,083
8/31/2007 11,124 11,185
9/30/2007 11,163 11,268
10/31/2007 11,208 11,313
11/30/2007 11,242 11,489
12/31/2007 11,282 11,526
1/31/2008 11,317 11,723
2/29/2008 11,351 11,830
3/31/2008 11,362 11,861
4/30/2008 11,385 11,779
5/31/2008 11,362 11,740
6/30/2008 11,386 11,775
7/31/2008 11,420 11,819
8/31/2008 11,455 11,866
9/30/2008 11,447 11,937
10/31/2008 11,482 12,025
11/30/2008 11,693 12,181
12/31/2008 11,885 12,304
1/31/2009 11,838 12,259
2/28/2009 11,838 12,260
3/31/2009 11,901 12,323
4/30/2009 11,937 12,325
5/31/2009 11,984 12,356
6/30/2009 11,981 12,345
7/31/2009 11,993 12,365
8/31/2009 12,028 12,415
9/30/2009 12,056 12,447
10/31/2009 12,080 12,473
11/30/2009 12,128 12,546
12/31/2009 12,066 12,455
1/31/2010 12,114 12,544
2/28/2010 12,139 12,570
3/31/2010 12,128 12,542
4/30/2010 12,152 12,575
5/31/2010 12,177 12,628
6/30/2010 12,225 12,685
7/31/2010 12,250 12,718
8/31/2010 12,262 12,741
9/30/2010 12,282 12,762
10/31/2010 12,318 12,792
11/30/2010 12,282 12,768
12/31/2010 12,294 12,746
1/31/2011 12,307 12,768
2/28/2011 12,294 12,758
3/31/2011 12,288 12,754
4/30/2011 12,338 12,809
5/31/2011 12,375 12,854
6/30/2011 12,374 12,859
7/31/2011 12,386 12,892
8/31/2011 12,398 12,936
9/30/2011 12,400 12,919
10/31/2011 12,400 12,930
11/30/2011 12,412 12,937
12/31/2011 12,413 12,944
1/31/2012 12,438 12,961
2/29/2012 12,438 12,948
3/31/2012 12,440 12,942
4/30/2012 12,452 12,968
5/31/2012 12,452 12,973
6/30/2012 12,445 12,967
7/31/2012 12,457 12,996
8/31/2012 12,470 12,998
9/30/2012 12,462 13,000
10/31/2012 12,462 12,994
11/30/2012 12,462 13,005
12/31/2012 12,467 13,010
1/31/2013 12,467 13,012
2/28/2013 12,467 13,021
3/31/2013 12,468 13,025
4/30/2013 12,481 13,038
5/31/2013 12,468 13,020
6/30/2013 12,468 13,010 Past performance is not predictive of
7/31/2013 12,481 13,031 future performance.
8/31/2013 12,468 13,019
9/30/2013 12,482 13,048 The returns shown do not reflect the
10/31/2013 12,495 13,063 deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten The Merrill Lynch Indices are used with
Total Return Year Years Years permission; copyright 2013 Merrill
---------------------------------------------------------- Lynch, Pierce, Fenner & Smith
0.26% 1.71% 2.25% Incorporated; all rights reserved.
--------------------------------------------------------------------------------
3
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. Equity Market Review 12 Months Ended October 31, 2013
The one-year period ended October 31, 2013, was characterized by strong
gains in U.S. equities. The broad U.S. equity market, as measured by the
Russell 3000(R) Index, had positive returns in 10 of the 12 months.
The size premium was positive during the period with small cap stocks
outperforming large cap stocks as measured by the Russell indices. Micro cap
stocks were the strongest performers.
Total Return for 12 Months Ended October 31, 2013
-------------------------------------------------
Russell 3000(R) Index........................ 28.99%
Russell Microcap(R) Index (micro cap stocks). 38.72%
Russell 2000(R) Index (small cap stocks)..... 36.28%
Russell 1000(R) Index (large cap stocks)..... 28.40%
Dow Jones U.S. Select REIT Index/SM/......... 9.96%
The value premium was negative in small cap stocks while the performance of
large cap value and large cap growth was almost identical as measured by the
Russell indices.
Total Return for 12 Months Ended October 31, 2013
-------------------------------------------------
Russell 2000(R) Value Index (small cap value stocks)... 32.83%
Russell 2000(R) Growth Index (small cap growth stocks). 39.84%
Russell 1000(R) Value Index (large cap value stocks)... 28.29%
Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
----------
Source: Russell data copyright (C) Russell Investment Group 1995-2013, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/ growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
12 months ended October 31, 2013, were primarily attributable to differences in
value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value, small cap and/or micro cap companies relative to
widely used benchmarks.
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
Domestic Equity Portfolio Performance Overview
LWAS/DFA U.S. High Book to Market Portfolio
The LWAS/DFA U.S. High Book to Market Portfolio seeks to capture the returns
of U.S. large company value stocks by purchasing shares of The U.S. Large Cap
Value Series, a Master Fund that invests in such stocks. Value is measured
primarily by book-to-market ratio. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2013, the Master Fund held
approximately 220 securities. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Master Fund's assets.
4
For the 12 months ended October 31, 2013, total returns were 35.41% for the
Portfolio and 28.29% for the Russell 1000(R) Value Index. As a result of the
Master Fund's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market rather than
the behavior of a limited number of stocks. The Master Fund had significantly
greater exposure than the Index to deeper value stocks. These stocks generally
outperformed the Index, and the Master Fund's higher weight contributed to the
Portfolio's outperformance relative to the Index. The Master Fund's exclusion
of real estate investment trusts ("REITs") and highly regulated utilities also
contributed to outperformance relative to the Index as both sectors
underperformed the overall Index during the period.
Fixed Income Market Review 12 Months Ended October 31, 2013
U.S. and developed international fixed income markets generally experienced
rising interest rates for the year ended October 31, 2013. Throughout the year
the U.S. Federal Reserve and other major central banks maintained historically
low target short-term rates. This combination led to steepening yield curves in
much of the developed world. On average, investment grade credit did well for
the year, outperforming government bonds of similar duration. The one-month
Treasury bill yield finished the fiscal year at 0.03%, while the yield on
10-year U.S. Treasury notes increased to 2.56%.
October 31, 2013 October 31, 2012 Change
---------------- ---------------- ------
One-Month Treasury Bill (yield)...... 0.03% 0.09% -0.06%
Ten-Year U.S. Treasury Notes (yield). 2.56% 1.69% 0.87%
----------
Source: Bloomberg.
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the fiscal
year under review, changes in interest rates and bond prices were more
pronounced in some parts of the yield curve than in others. For the 12 months
ended October 31, 2013, total returns were 0.10 % for three-month U.S. Treasury
bills, -0.74% for five-year U.S. Treasury notes, and -11.69% for 30-year U.S.
Treasury bonds (Source: Barclays Treasury Bellwethers).
Some of Dimensional Fund Advisors LP's ("Dimensional" or the "Advisor")
fixed income strategies are based on a variable-maturity strategy that
identifies a maturity range with favorable risk-adjusted expected returns. When
the yield curve is flat or inverted, short-term securities are believed to
offer the most attractive opportunity on a risk-adjusted basis. When the yield
curve is upwardly sloped, maturities are lengthened to achieve higher expected
returns associated with longer maturities. During the period under review, the
portfolios employing the variable-maturity strategy continued to take term
risk, reflecting the upward-sloping eligible yield curves.
Some fixed income strategies are based on an approach that varies exposure
to credit risk. When credit spreads are narrow, higher-quality securities are
believed to offer the more attractive opportunity on a risk-adjusted basis.
When credit spreads are wide, additional credit risk is taken to achieve the
higher expected returns associated with increased risk. During the period under
review, the portfolios employing the variable credit approach continued to take
market-like credit risk, reflecting a wide credit spread environment.
Fixed Income Portfolios' Performance Overview
LWAS/DFA Two-Year Fixed Income Portfolio
The LWAS/DFA Two-Year Fixed Income Portfolio seeks to maximize total returns
consistent with preservation of capital by investing in high quality fixed
income securities maturing in two years or less. The investment strategy shifts
maturities based on changes in the yield curve. The strategy uses current
yields and identifies the maturity range for the highest risk-adjusted expected
returns based on potential buy and sell strategies. Maturity targets are
shifted based on the Advisor's expectations for term premiums. The average
maturity of the Portfolio decreased to 1.06 years on October 31, 2013, from
1.16 years on October 31, 2012.
For the 12 months ended October 31, 2013, total returns were 0.26% for the
LWAS/DFA Two-Year Fixed Income Portfolio and 0.86% for The BofA Merrill Lynch
1-3 Year U.S. Corporate & Government Index. Structural differences between the
Portfolio and Index were the primary reason for the Portfolio's relative
underperformance as compared to the Index. The Portfolio focuses investment in
the more highly rated portion of the investment
5
grade universe while the Index is composed of bonds that include the full range
of investment grade credit securities. The Portfolio's higher-quality bonds
underperformed the lower-quality bonds during this period of credit spread
tightening, contributing to a majority of the underperformance as compared to
the Index.
LWAS/DFA Two-Year Government Portfolio
The LWAS/DFA Two-Year Government Portfolio seeks to maximize total returns
consistent with preservation of capital by investing in U.S. government
securities maturing in two years or less. The investment strategy shifts
maturities based on changes in the yield curve. The strategy uses current
yields and identifies the maturity range for the highest risk-adjusted expected
returns based on potential buy and sell strategies for each eligible country.
Maturity targets are shifted based on the Advisor's expectations for term
premiums. The average maturity of the Portfolio increased to 1.53 years on
October 31, 2013, from 1.26 years on October 31, 2012.
For the 12 months ended October 31, 2013, total returns were 0.26% for the
LWAS/DFA Two-Year Government Portfolio and 0.53% for The BofA Merrill Lynch 1-3
Year U.S. Treasury & Agency Index. While the Portfolio limits its investments
to securities maturing in two years or less, the Index had more than 44% of its
weight in securities in the two- to three-year maturity range, which was the
highest-performing segment of the short-term portion of the curve and detracted
from relative performance.
6
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA U.S. High Book to Market Portfolio**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,144.20 0.35% $1.89
Hypothetical 5% Annual Return................. $1,000.00 $1,023.44 0.35% $1.79
LWAS/DFA Two-Year Fixed Income Portfolio
----------------------------------------
Actual Fund Return............................ $1,000.00 $1,000.30 0.29% $1.46
Hypothetical 5% Annual Return................. $1,000.00 $1,023.74 0.29% $1.48
7
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA Two-Year Government Portfolio
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,001.10 0.28% $1.41
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.79 0.28% $1.43
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
8
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 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.
The categories of industry classification for the Affiliated Investment
Company is 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 Affiliated Investment Company's holdings
which reflect the investments by category.
FEEDER FUND
Affiliated Investment Company
-----------------------------
LWAS/DFA U.S. High Book to Market Portfolio. 100.0%
FIXED INCOME PORTFOLIOS
LWAS/DFA Two-Year Fixed Income Portfolio
Corporate.................................... 10.0%
Government................................... 30.4%
Foreign Corporate............................ 25.0%
Foreign Government........................... 27.9%
Supranational................................ 6.7%
-----
100.0%
LWAS/DFA Two-Year Government Portfolio
Government................................... 100.0%
-----
100.0%
9
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2013
Value+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company..................... $67,317,586
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $34,853,819)................................ $67,317,586
===========
Summary of the Portfolio's Master Fund's investments as of October 31, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
10
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2013
Face
Amount Value+
------ ------
(000)
AGENCY OBLIGATIONS -- (27.9%)
Federal Farm Credit Bank
0.500%, 06/23/15............................. $ 500 $ 501,675
Federal Home Loan Bank
2.375%, 03/14/14............................. 4,800 4,840,325
2.500%, 06/13/14............................. 2,300 2,333,532
0.250%, 02/20/15............................. 4,600 4,601,357
0.375%, 08/28/15............................. 2,000 2,002,926
Federal Home Loan Mortgage Corporation
1.750%, 09/10/15............................. 2,500 2,564,347
Federal National Mortgage Association
4.125%, 04/15/14............................. 1,700 1,730,969
1.125%, 06/27/14............................. 1,200 1,207,832
4.375%, 10/15/15............................. 3,000 3,234,444
1.625%, 10/26/15............................. 3,500 3,587,052
-----------
TOTAL AGENCY OBLIGATIONS.......................... 26,604,459
-----------
BONDS -- (66.3%)
Agence Francaise de Developpement
1.250%, 06/09/14............................. 2,000 2,010,760
Asian Development Bank
0.500%, 08/17/15............................. 1,000 1,002,630
Australia & New Zealand Banking Group, Ltd.
3.700%, 01/13/15............................. 1,500 1,556,550
Bank Nederlandse Gemeenten
3.125%, 01/12/15............................. 500 516,228
1.375%, 03/23/15............................. 1,000 1,014,100
2.750%, 07/01/15............................. 500 518,740
Bank of New York Mellon Corp. (The)
3.100%, 01/15/15............................. 700 721,839
2.950%, 06/18/15............................. 1,000 1,039,180
Berkshire Hathaway, Inc. Floating Rate Note
(r) 0.964%, 08/15/14............................. 1,500 1,508,755
British Columbia, Province of Canada
2.850%, 06/15/15............................. 2,000 2,080,520
Caisse d'Amortissement de la Dette Sociale
3.500%, 07/01/14............................. 1,000 1,021,104
1.250%, 07/11/14............................. 1,200 1,207,812
Commonwealth Bank of Australia
3.750%, 10/15/14............................. 1,500 1,544,250
3.500%, 03/19/15............................. 300 311,882
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA
1.875%, 12/15/14............................. 2,000 2,029,812
Face
Amount Value+
------ ------
(000)
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA Floating Rate Note
(r) 0.624%, 01/17/14............................. $ 500 $ 500,492
Council Of Europe Development Bank
4.500%, 06/30/14............................. 1,000 1,027,620
2.750%, 02/10/15............................. 900 927,810
Development Bank of Japan, Inc.
2.875%, 04/20/15............................. 500 517,877
EUROFIMA
4.500%, 03/06/15............................. 1,000 1,054,830
European Investment Bank
4.750%, 10/15/14............................. 900 938,461
2.875%, 01/15/15............................. 1,300 1,340,534
General Electric Capital Corp.
4.875%, 03/04/15............................. 2,000 2,113,478
JPMorgan Chase & Co.
2.050%, 01/24/14............................. 1,000 1,004,057
JPMorgan Chase & Co. Floating Rate Note
(r) 1.004%, 05/02/14............................. 700 702,475
KFW
1.500%, 04/04/14............................. 1,800 1,810,476
Kommunalbanken A.S.
1.000%, 06/16/14............................. 1,560 1,566,894
1.000%, 02/09/15............................. 500 504,320
2.750%, 05/05/15............................. 400 414,152
Kommunekredit
0.750%, 09/02/14............................. 1,000 1,003,940
Landwirtschaftliche Rentenbank
4.000%, 02/02/15............................. 500 522,780
Manitoba, Province of Canada
1.375%, 04/28/14............................. 1,000 1,005,145
2.625%, 07/15/15............................. 1,200 1,244,376
National Australia Bank, Ltd.
2.000%, 03/09/15............................. 2,000 2,039,678
1.600%, 08/07/15............................. 500 509,537
Nederlandse Waterschapsbank NV
1.375%, 05/16/14............................. 1,800 1,809,945
1.250%, 10/20/14............................. 800 807,400
Nordea Bank AB
3.700%, 11/13/14............................. 2,000 2,066,200
Oesterreichische Kontrollbank AG
1.375%, 01/21/14............................. 500 501,245
Ontario, Province of Canada
4.500%, 02/03/15............................. 800 841,264
2.950%, 02/05/15............................. 1,300 1,342,133
Quebec, Province of Canada
4.600%, 05/26/15............................. 2,000 2,129,640
Royal Bank of Canada
1.150%, 03/13/15............................. 250 252,304
0.550%, 05/01/15............................. 2,000 2,000,084
11
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
Face
Amount Value+
------ ------
(000)
Sanofi
1.625%, 03/28/14............................. $2,000 $2,009,992
Societe Financement de l'Economie Francaise
2.875%, 09/22/14............................. 500 511,373
State of North Rhine-Westphalia
1.625%, 09/17/14............................. 500 505,402
Svensk Exportkredit AB
3.250%, 09/16/14............................. 700 718,116
Svenska Handelsbanken AB Floating Rate Note
(r) 0.423%, 10/06/14............................. 300 300,427
Toronto-Dominion Bank (The) Floating Rate Note
(r) 0.445%, 05/01/15............................. 2,250 2,251,674
Total Capital Canada, Ltd.
1.625%, 01/28/14............................. 2,000 2,006,230
Toyota Motor Credit Corp.
1.250%, 11/17/14............................. 645 651,269
1.000%, 02/17/15............................. 1,200 1,209,713
Toyota Motor Credit Corp. Floating Rate Note
(r) 0.430%, 12/05/14............................. 400 400,543
Face
Amount Value+
------ ------
(000)
Westpac Banking Corp.
3.000%, 08/04/15............................. $ 2,000 $ 2,084,466
-----------
TOTAL BONDS...................................... 63,232,514
-----------
U.S. TREASURY OBLIGATIONS -- (2.1%)
U.S. Treasury Notes
0.250%, 07/15/15............................. 1,000 999,805
0.250%, 08/15/15............................. 1,000 999,609
-----------
TOTAL U.S. TREASURY OBLIGATIONS.................. 1,999,414
-----------
CERTIFICATES OF DEPOSIT -- (2.1%)
Bank of Nova Scotia
0.615%, 08/01/14............................. 2,000 2,004,722
Shares
------ -
TEMPORARY CASH INVESTMENTS -- (1.6%)
State Street Institutional Liquid Reserves,
0.073%...................................... 1,494,288 1,494,288
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $95,212,343)............................. $95,335,397
===========
Summary of the Portfolio's investments as of October 31, 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......... -- $26,604,459 -- $26,604,459
Bonds...................... -- 63,232,514 -- 63,232,514
U.S. Treasury Obligations.. -- 1,999,414 -- 1,999,414
Certificates of Deposit.... -- 2,004,722 -- 2,004,722
Temporary Cash Investments. $1,494,288 -- -- 1,494,288
---------- ----------- -- -----------
TOTAL...................... $1,494,288 $93,841,109 -- $95,335,397
========== =========== == ===========
See accompanying Notes to Financial Statements.
12
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2013
Face
Amount Value+
------ ------
(000)
AGENCY OBLIGATIONS -- (64.1%)
Federal Farm Credit Bank
0.500%, 06/23/15........................................... $ 320 $ 321,072
Federal Home Loan Bank
0.250%, 01/16/15........................................... 10,000 10,008,900
4.500%, 02/18/15........................................... 30,045 31,707,269
2.750%, 03/13/15........................................... 26,455 27,360,449
1.750%, 09/11/15........................................... 22,705 23,297,396
------------
TOTAL AGENCY OBLIGATIONS..................................... 92,695,086
------------
U.S. TREASURY OBLIGATIONS -- (35.4%)
U.S. Treasury Notes
1.875%, 06/30/15........................................... 39,485 40,538,460
0.250%, 07/15/15........................................... 330 329,936
1.750%, 07/31/15........................................... 2,000 2,051,406
4.250%, 08/15/15........................................... 200 214,180
0.250%, 09/15/15........................................... 7,400 7,393,932
0.250%, 10/15/15........................................... 700 699,261
------------
TOTAL U.S. TREASURY OBLIGATIONS 51,227,175
------------
Shares
--------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional U.S. Government Money Market Fund. 670,682 670,682
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $144,428,581)......................................... $144,592,943
============
Summary of the Portfolio's investments as of October 31, 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......... -- $ 92,695,086 -- $ 92,695,086
U.S. Treasury Obligations.. -- 51,227,175 -- 51,227,175
Temporary Cash Investments. $670,682 -- -- 670,682
-------- ------------ -- ------------
TOTAL...................... $670,682 $143,922,261 -- $144,592,943
======== ============ == ============
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (Affiliated Investment
Company) at Value....................................................................................... $ 67,318
Prepaid Expenses and Other Assets........................................................................ 4
------------
Total Assets........................................................................................ 67,322
------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................................... 30
Due to Advisor......................................................................................... 1
Accrued Expenses and Other Liabilities................................................................... 25
------------
Total Liabilities................................................................................... 56
------------
NET ASSETS............................................................................................... $ 67,266
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).................................................................. 3,656,008
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................................. $ 18.40
============
Investment in Affiliated Investment Company at Cost...................................................... $ 34,854
============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................................................................... $ 32,370
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................... 38
Accumulated Net Realized Gain (Loss)..................................................................... 2,394
Net Unrealized Appreciation (Depreciation)............................................................... 32,464
------------
NET ASSETS............................................................................................... $ 67,266
============
(1) NUMBER OF SHARES AUTHORIZED.......................................................................... 300,000,000
============
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(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................................................................... $ 93,841 $ 143,922
Temporary Cash Investments at Value & Cost............................................. 1,494 671
Receivables:
Interest............................................................................. 493 697
Fund Shares Sold..................................................................... 64 37
Prepaid Expenses and Other Assets...................................................... 4 5
------------ ------------
Total Assets...................................................................... 95,896 145,332
------------ ------------
LIABILITIES:
Payables:
Investment Securities Purchased...................................................... 1,050 --
Fund Shares Redeemed................................................................. 86 78
Due to Advisor....................................................................... 12 18
Accrued Expenses and Other Liabilities................................................. 22 31
------------ ------------
Total Liabilities................................................................. 1,170 127
------------ ------------
NET ASSETS............................................................................. $ 94,726 $ 145,205
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 9,453,079 14,657,382
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 10.02 $ 9.91
============ ============
Investments at Cost.................................................................... $ 93,718 $ 143,758
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 94,472 $ 144,742
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 24 (5)
Accumulated Net Realized Gain (Loss)................................................... 107 304
Net Unrealized Appreciation (Depreciation)............................................. 123 164
------------ ------------
NET ASSETS............................................................................. $ 94,726 $ 145,205
============ ============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(Amounts in thousands)
LWAS/DFA
U.S. High LWAS/DFA LWAS/DFA
Book to Two-Year Two-Year
Market Fixed Income Government
Portfolio* Portfolio Portfolio
---------- ------------ ----------
Investment Income
Net Investment Income Allocated from Affiliated Investment Company:
Dividends.............................................................. $ 1,353 $ -- $ --
Income from Securities Lending......................................... 11 -- --
Expenses Allocated from Affiliated Investment Company.................. (74) -- --
------- ----- ----
Total Net Investment Income Received from Affiliated Investment
Company............................................................ 1,290 -- --
------- ----- ----
Fund Investment Income
Interest............................................................... -- 510 473
------- ----- ----
Total Investment Income............................................. -- 510 473
------- ----- ----
Fund Expenses
Investment Advisory Services Fees...................................... -- 136 215
Administrative Services Fees........................................... 6 -- --
Accounting & Transfer Agent Fees....................................... 17 18 22
Shareholder Servicing Fees............................................. 97 73 115
Custodian Fees......................................................... -- 3 1
Filing Fees............................................................ 17 18 19
Shareholders' Reports.................................................. 5 7 11
Directors'/Trustees' Fees & Expenses................................... 1 1 2
Professional Fees...................................................... 3 9 14
Other.................................................................. 2 1 2
------- ----- ----
Total Expenses...................................................... 148 266 401
------- ----- ----
Net Investment Income (Loss)........................................... 1,142 244 72
------- ----- ----
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold........................................... 6,899 116 319
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................................ 11,517 (101) (95)
------- ----- ----
Net Realized and Unrealized Gain (Loss)................................ 18,416 15 224
------- ----- ----
Net Increase (Decrease) in Net Assets Resulting from Operations.......... $19,558 $ 259 $296
======= ===== ====
----------
* 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.
16
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
---------------------- --------------------- ------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2013 2012 2013 2012
-------- -------- -------- -------- -------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)...................... $ 1,142 $ 1,193 $ 244 $ 361 $ 72 $ 295
Net Realized Gain (Loss) on:
Investment Securities Sold...................... 6,899 3,324 116 400 319 974
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities........................... 11,517 5,684 (101) (100) (95) (426)
-------- -------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations..................... 19,558 10,201 259 661 296 843
-------- -------- -------- -------- -------- --------
Distributions From:
Net Investment Income............................. (1,172) (1,185) (271) (393) (116) (413)
Net Short-Term Gains.............................. -- -- (360) (461) (955) (774)
Net Long-Term Gains............................... -- -- (44) (90) (29) --
-------- -------- -------- -------- -------- --------
Total Distributions............................ (1,172) (1,185) (675) (944) (1,100) (1,187)
-------- -------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued..................................... 5,461 2,926 18,639 10,153 28,064 17,044
Shares Issued in Lieu of Cash Distributions....... 1,049 1,031 560 753 805 845
Shares Redeemed................................... (18,546) (14,816) (13,383) (14,194) (28,133) (50,714)
-------- -------- -------- -------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions.................................. (12,036) (10,859) 5,816 (3,288) 736 (32,825)
-------- -------- -------- -------- -------- --------
Total Increase (Decrease) in Net Assets........ 6,350 (1,843) 5,400 (3,571) (68) (33,169)
Net Assets
Beginning of Year................................. 60,916 62,759 89,326 92,897 145,273 178,442
-------- -------- -------- -------- -------- --------
End of Year....................................... $ 67,266 $ 60,916 $ 94,726 $ 89,326 $145,205 $145,273
======== ======== ======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued..................................... 340 232 1,860 1,010 2,835 1,712
Shares Issued in Lieu of Cash Distributions....... 67 83 56 75 81 85
Shares Redeemed................................... (1,152) (1,163) (1,335) (1,412) (2,841) (5,094)
-------- -------- -------- -------- -------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed.................................. (745) (848) 581 (327) 75 (3,297)
======== ======== ======== ======== ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................ $ 38 $ 182 $ 24 $ 51 $ (5) $ 39
See accompanying Notes to Financial Statements.
17
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA U.S. High Book to Market Portfolio
-------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
----------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 13.84 $ 11.96 $ 11.52 $ 9.80 $ 9.04
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.28 0.25 0.20 0.19 0.18
Net Gains (Losses) on Securities (Realized and Unrealized). 4.57 1.87 0.44 1.72 0.79
------- ------- ------- ------- -------
Total from Investment Operations.......................... 4.85 2.12 0.64 1.91 0.97
----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.29) (0.24) (0.20) (0.19) (0.21)
------- ------- ------- ------- -------
Total Distributions....................................... (0.29) (0.24) (0.20) (0.19) (0.21)
----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 18.40 $ 13.84 $ 11.96 $ 11.52 $ 9.80
============================================================= ======== ======== ======== ======== ========
Total Return................................................. 35.41% 18.01% 5.48% 19.71% 11.61%
----------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $67,266 $60,916 $62,759 $67,314 $65,927
Ratio of Expenses to Average Net Assets (B).................. 0.34% 0.34% 0.34% 0.35% 0.38%
Ratio of Net Investment Income to Average Net Assets......... 1.77% 1.93% 1.56% 1.78% 2.20%
----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
18
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA Two-Year Fixed Income Portfolio
-------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-----------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 10.07 $ 10.10 $ 10.13 $ 10.03 $ 9.84
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.03 0.04 0.05 0.08 0.19
Net Gains (Losses) on Securities (Realized and Unrealized). -- 0.03 0.03 0.11 0.23
------- ------- ------- ------- -------
Total from Investment Operations.......................... 0.03 0.07 0.08 0.19 0.42
-----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.03) (0.04) (0.06) (0.09) (0.23)
Net Realized Gains......................................... (0.05) (0.06) (0.05) -- --
------- ------- ------- ------- -------
Total Distributions....................................... (0.08) (0.10) (0.11) (0.09) (0.23)
-----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 10.02 $ 10.07 $ 10.10 $ 10.13 $ 10.03
============================================================= ======== ======== ======== ======== ========
Total Return.............................................. 0.26% 0.75% 0.73% 1.89% 4.31%
-----------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $94,726 $89,326 $92,897 $89,264 $77,398
Ratio of Expenses to Average Net Assets...................... 0.29% 0.30% 0.30% 0.31% 0.34%
Ratio of Net Investment Income to Average Net Assets......... 0.27% 0.40% 0.54% 0.82% 1.92%
Portfolio Turnover Rate...................................... 57% 102% 98% 113% 77%
-----------------------------------------------------------------------------------------------------------
LWAS/DFA Two-Year Government Portfolio
------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
---------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 9.96 $ 9.98 $ 10.07 $ 10.10 $ 9.80
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.01 0.02 0.04 0.07 0.18
Net Gains (Losses) on Securities (Realized and Unrealized). 0.02 0.04 0.02 0.13 0.33
-------- -------- -------- -------- --------
Total from Investment Operations.......................... 0.03 0.06 0.06 0.20 0.51
---------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.01) (0.03) (0.04) (0.08) (0.21)
Net Realized Gains......................................... (0.07) (0.05) (0.11) (0.15) --
-------- -------- -------- -------- --------
Total Distributions....................................... (0.08) (0.08) (0.15) (0.23) (0.21)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 9.91 $ 9.96 $ 9.98 $ 10.07 $ 10.10
============================================================= ======== ======== ======== ======== ========
Total Return.............................................. 0.26% 0.50% 0.66% 1.98% 5.21%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $145,205 $145,273 $178,442 $173,724 $136,508
Ratio of Expenses to Average Net Assets...................... 0.28% 0.28% 0.29% 0.29% 0.31%
Ratio of Net Investment Income to Average Net Assets......... 0.05% 0.19% 0.41% 0.72% 1.76%
Portfolio Turnover Rate...................................... 160% 111% 127% 166% 112%
---------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
19
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, 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 October 31, 2013,
the Feeder Fund owned 1% of the Series.
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 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 securities 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.
20
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 year ended October 31, 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 October 31, 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 of net investment
income and realized and unrealized gains/losses of investment securities, on a
daily basis, from its Series, which is treated as a partnership for federal
income tax purposes. 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 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 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 the Board, and other administrative
services. The Advisor provides investment advisory services to the Portfolios.
The Advisor receives no additional compensation for the investment advisory
services it provides to the Feeder Fund but is compensated for the investment
advisory services it provides to the Feeder Fund's Master Fund. For the year
ended October 31, 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%
21
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 year ended October 31, 2013, the total
related amounts paid by the Fund to the CCO were $30 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. Deferred Compensation:
At October 31, 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. $3
LWAS/DFA Two-Year Fixed Income Portfolio.... 3
LWAS/DFA Two-Year Government Portfolio...... 6
E. Purchases and Sales of Securities:
For the year ended October 31, 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
--------- -------- --------- -------
LWAS/DFA Two-Year Fixed Income Portfolio. $ 18,479 $ 25,777 $41,864 $22,290
LWAS/DFA Two-Year Government Portfolio... 229,966 227,206 -- --
F. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2013, primarily
22
attributable to tax equalization. This reclassification had no effect on net
assets or net value per share (amounts in the thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
LWAS/DFA U.S. High Book to Market Portfolio. $443 $(114) $(329)
LWAS/DFA Two-Year Fixed Income Portfolio.... -- -- --
LWAS/DFA Two-Year Government Portfolio...... -- -- --
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2012 and October 31, 2013 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
2012........................................ $1,185 $1,185
2013........................................ 1,172 -- 1,172
LWAS/DFA Two-Year Fixed Income Portfolio
2012........................................ 854 $90 944
2013........................................ 631 44 675
LWAS/DFA Two-Year Government Portfolio
2012........................................ 1,187 1,187
2013........................................ 1,071 29 1,100
At October 31, 2013, 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
-------------- ------------- -----
LWAS/DFA U.S. High Book to Market Portfolio. $114 $329 $443
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Unrealized Earnings
Short-Term Long-Term Appreciation (Accumulated
Capital Gains Capital Gains (Depreciation) Losses)
-------------- ------------- -------------- -------------
LWAS/DFA U.S. High Book to Market Portfolio. $ 42 $2,396 $32,462 $34,900
LWAS/DFA Two-Year Fixed Income Portfolio.... 88 46 123 257
LWAS/DFA Two-Year Government Portfolio...... 126 179 164 469
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, 2013, the
Portfolio had no capital loss carryforwards available to offset future realized
capital gains.
23
During the year ended October 31, 2012, the Portfolio utilized the following
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. $4,175
At October 31, 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. $ 34,855 $32,462 -- $32,462
LWAS/DFA Two-Year Fixed Income Portfolio.... 95,212 124 $(1) 123
LWAS/DFA Two-Year Government Portfolio...... 144,429 165 (1) 164
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 each Portfolios'
tax positions and has concluded that no additional provision for income tax is
required in any Portfolio's financial statements. No Portfolio is aware of any
tax positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each of the Portfolio's federal tax returns for the prior three fiscal years
remain 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.
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 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 the lines of credit during
the year ended October 31, 2013.
24
H. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. Recently Issued Accounting Standards:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's financial statements to understand the effect of those arrangements on
its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as
applying to derivatives accounted for in accordance with Topic 815, Derivatives
and Hedging, including bifurcated embedded derivatives, repurchase agreements
and reverse repurchase agreements, and securities borrowing and securities
lending transactions that are offset either in accordance with other
requirements of GAAP or subject to an enforceable master netting arrangement or
similar agreement. ASU No. 2011-11 is effective for annual periods beginning on
or after January 1, 2013, and interim periods within those annual periods.
Management is evaluating any impact ASU No. 2011-11 may have on the financial
statements.
J. Other:
At October 31, 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
------------ --------------
LWAS/DFA U.S. High Book to Market Portfolio. 2 97%
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.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned In re Tribune Company
Fraudulent Conveyance Litigation, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The U.S. Large Cap Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the
25
LBO stock repurchases as fraudulent transfers and recover the stock repurchase
proceeds paid to the Tribune shareholders who participated in the LBO. On
September 23, 2013, the Court entered an order dismissing the Individual
Creditor Actions in their entirety on the grounds that the individual creditor
plaintiffs lack standing to pursue their claims. The Court's dismissal order is
on appeal to the Second Circuit. The Committee Action remains pending, and the
Court currently is coordinating with the parties to establish a schedule for
motions to dismiss in the Committee Action.
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 the plaintiffs 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 investors
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.
26
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Portfolios, as defined, and
Board of Directors of Dimensional Investment Group Inc.:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of LWAS/DFA U.S. High
Book to Market Portfolio, LWAS/DFA Two-Year Fixed Income Portfolio and LWAS/DFA
Two-Year Government Portfolio (constituting portfolios within Dimensional
Investment Group Inc., hereafter referred to as the "Portfolios") at October
31, 2013, the results of each of their operations for the year then ended, the
changes in each of their net assets for each of the two years in the period
then ended and the financial highlights for each of the five years in the
period then ended, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolios' management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 2013 by correspondence with the
custodian, brokers, and the transfer agent of the investee fund, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
27
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2003-October 31, 2013
[CHART]
LWAS/DFA International MSCI World ex USA Index
High Book to Market Portfolio (net dividends)
----------------------------- ------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,212 10,227
12/31/2003 10,975 11,011
1/31/2004 11,258 11,164
2/29/2004 11,590 11,421
3/31/2004 11,773 11,478
4/30/2004 11,416 11,178
5/31/2004 11,524 11,230
6/30/2004 11,998 11,489
7/31/2004 11,552 11,139
8/31/2004 11,704 11,185
9/30/2004 12,073 11,511
10/31/2004 12,538 11,925
11/30/2004 13,468 12,718
12/31/2004 14,136 13,255
1/31/2005 13,988 12,994
2/28/2005 14,537 13,572
3/31/2005 14,176 13,264
4/30/2005 13,740 12,926
5/31/2005 13,758 12,950
6/30/2005 13,976 13,161
7/31/2005 14,594 13,586
8/31/2005 15,080 13,961
9/30/2005 15,496 14,599
10/31/2005 15,256 14,127
11/30/2005 15,531 14,501
12/31/2005 16,289 15,173
1/31/2006 17,394 16,133
2/28/2006 17,563 16,079
3/31/2006 18,302 16,589
4/30/2006 19,220 17,382
5/31/2006 18,443 16,722
6/30/2006 18,320 16,700
7/31/2006 18,596 16,857
8/31/2006 19,232 17,336
9/30/2006 19,493 17,322
10/31/2006 20,358 18,006
11/30/2006 21,030 18,543
12/31/2006 21,846 19,074
1/31/2007 22,252 19,191
2/28/2007 22,232 19,344
3/31/2007 22,948 19,840
4/30/2007 24,098 20,742
5/31/2007 24,920 21,203
6/30/2007 24,728 21,224
7/31/2007 24,033 20,931
8/31/2007 23,762 20,628
9/30/2007 24,999 21,800
10/31/2007 26,203 22,748
11/30/2007 24,614 21,858
12/31/2007 24,084 21,447
1/31/2008 22,124 19,513
2/29/2008 21,841 19,867
3/31/2008 22,094 19,583
4/30/2008 23,075 20,672
5/31/2008 23,085 20,986
6/30/2008 20,797 19,354
7/31/2008 20,205 18,665
8/31/2008 19,357 17,943
9/30/2008 17,094 15,353
10/31/2008 12,804 12,159
11/30/2008 12,018 11,500
12/31/2008 12,899 12,106
1/31/2009 11,114 10,976
2/28/2009 9,749 9,865
3/31/2009 10,811 10,515
4/30/2009 12,809 11,871
5/31/2009 14,701 13,373
6/30/2009 14,477 13,234
7/31/2009 16,187 14,477
8/31/2009 17,113 15,170
9/30/2009 17,991 15,796
10/31/2009 17,275 15,543
11/30/2009 17,776 15,927
12/31/2009 17,978 16,181
1/31/2010 16,947 15,423
2/28/2010 17,001 15,407
3/31/2010 18,334 16,399
4/30/2010 18,027 16,155
5/31/2010 15,909 14,372
6/30/2010 15,615 14,164
7/31/2010 17,581 15,473
8/31/2010 16,718 15,011
9/30/2010 18,504 16,451
10/31/2010 19,150 17,037
11/30/2010 18,172 16,315
12/31/2010 19,867 17,629
1/31/2011 20,715 18,009
2/28/2011 21,405 18,676
3/31/2011 20,813 18,302
4/30/2011 21,919 19,299
5/31/2011 21,109 18,727
6/30/2011 20,818 18,460
7/31/2011 20,155 18,156
8/31/2011 17,985 16,621
9/30/2011 16,022 14,952
10/31/2011 17,559 16,406
11/30/2011 16,973 15,648
12/31/2011 16,509 15,477
1/31/2012 17,622 16,312
2/29/2012 18,543 17,209
3/31/2012 18,383 17,082
4/30/2012 17,718 16,792
5/31/2012 15,530 14,878
6/30/2012 16,626 15,852
7/31/2012 16,560 16,050
8/31/2012 17,239 16,508
9/30/2012 17,847 17,009
10/31/2012 18,067 17,128
11/30/2012 18,353 17,488
12/31/2012 19,257 18,017
1/31/2013 20,161 18,903
2/28/2013 19,543 18,715
3/31/2013 19,597 18,863
4/30/2013 20,573 19,722
5/31/2013 20,311 19,281
6/30/2013 19,602 18,558
7/31/2013 20,934 19,546
8/31/2013 20,789 19,294 Past performance is not predictive of
9/30/2013 22,331 20,657 future performance.
10/31/2013 23,109 21,350
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years
---------------------------------------------------------- MSCI data copyright MSCI 2013, all
27.91% 12.54% 8.74% rights reserved.
--------------------------------------------------------------------------------
28
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
International Equity Market Review 12 Months Ended October 31, 2013
The one-year period ended October 31, 2013, was characterized by generally
positive monthly returns in the international equity markets with the exception
of a sharp decline from May to June and a smaller decline in August. As
measured by the MSCI indices below for developed markets outside the U.S.,
small cap stocks generally outperformed large cap stocks while value stocks
outperformed growth stocks.
12 Months Ended October 31, 2013
--------------------------------
U.S. Dollar Return
- ------------------
MSCI World ex USA Index........... 24.65%
MSCI World ex USA Small Cap Index. 27.81%
MSCI World ex USA Value Index..... 26.12%
MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets
currencies. While the U.S. dollar depreciated against the euro, Swiss franc,
and several other European-based developed markets currencies, it appreciated
against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 Months Ended October 31, 2013
--------------------------------
Ten Largest Foreign Developed Markets by Market Cap Local Currency Return U.S. Dollar Return
--------------------------------------------------- --------------------- ------------------
United Kingdom.................... 20.70% 20.37%
Japan............................. 64.48% 34.00%
Canada............................ 10.59% 5.99%
France............................ 27.55% 33.82%
Australia......................... 26.44% 15.47%
Switzerland....................... 27.49% 31.10%
Germany........................... 24.72% 30.85%
Spain............................. 30.69% 37.11%
Sweden............................ 24.39% 27.55%
Hong Kong......................... 14.30% 14.25%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
International Equity Portfolio's Performance Overview
LWAS/DFA International High Book to Market Portfolio
The LWAS/DFA International High Book to Market Portfolio seeks to capture
the returns of international large company value stocks by purchasing shares of
The DFA International Value Series, a Master Fund that invests in such stocks.
Value is measured primarily by book-to-market ratio. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2013, the
Master Fund held approximately 520 securities in 22 eligible developed
countries. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Master Fund's assets.
29
For the 12 months ending October 31, 2013, total returns were 27.91% for the
Portfolio and 24.65% for the MSCI World ex USA Index (net dividends). The
Master Fund focuses on value stocks, as measured by book-to-market, while the
Index is neutral with regard to value or growth. As large cap value stocks
outperformed large cap growth stocks during the period, the Master Fund's
significantly greater exposure than the Index to these securities contributed
to the Portfolio's relative outperformance relative to the Index. In
particular, the Master Fund's greater exposure to stocks with lower valuations
in the financial sector was beneficial as these names outperformed the Index.
The Master Fund's exclusion of real estate investment trusts ("REITs") also
benefited relative performance as REITs underperformed during the period.
Differences in the valuation timing and methodology between the Master Fund and
the Index generally detracted from relative performance. The Master Fund prices
foreign exchange rates at the closing of the U.S. markets while the Index uses
rates at 4 pm London time. The Master Fund also may use fair value pricing to
price certain portfolio securities at the closing of the U.S. markets while the
Index uses local market closing prices.
30
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 October 31, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA International High Book to Market Portfolio
----------------------------------------------------
Actual Fund Return................................... $1,000.00 $1,123.30 0.50% $2.68
Hypothetical 5% Annual Return........................ $1,000.00 $1,022.68 0.50% $2.55
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
31
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 September 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 Affiliated Investment Company's holdings
which reflect the investments by country.
Affiliated Investment Company. 100.0%
32
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2013
Value+
------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $77,999,284
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$62,477,211)........................................... $77,999,284
===========
Summary of the Portfolio's Master Fund's investments as of October 31, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
33
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(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.................................................................... $ 77,999
Prepaid Expenses and Other Assets................................................................ 11
------------
Total Assets................................................................................ 78,010
------------
LIABILITIES:
Payables:
Fund Shares Redeemed........................................................................... 77
Due to Advisor................................................................................. 1
Accrued Expenses and Other Liabilities........................................................... 31
------------
Total Liabilities........................................................................... 109
------------
NET ASSETS....................................................................................... $ 77,901
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................................................... 8,200,958
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......................................... $ 9.50
============
Investment in Affiliated Investment Company at Cost.............................................. $ 62,477
============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................................................. $ 58,879
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........... 64
Accumulated Net Realized Gain (Loss)............................................................. 3,426
Net Unrealized Foreign Exchange Gain (Loss)...................................................... 10
Net Unrealized Appreciation (Depreciation)....................................................... 15,522
============
NET ASSETS....................................................................................... $ 77,901
============
(1) NUMBER OF SHARES AUTHORIZED.................................................................. 200,000,000
============
See accompanying Notes to Financial Statements.
34
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO*
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(Amounts in thousands)
Investment Income
Dividends (Net of Foreign Taxes Withheld of $177)............. $ 2,311
Income from Securities Lending................................ 119
Expenses Allocated from Affiliated Investment Company......... (160)
-------
Total Investment Income.................................... 2,270
-------
Expenses
Administrative Services Fees.................................. 7
Accounting & Transfer Agent Fees.............................. 19
Shareholder Servicing Fees.................................... 136
Filing Fees................................................... 18
Shareholders' Reports......................................... 6
Directors'/Trustees' Fees & Expenses.......................... 1
Professional Fees............................................. 3
Other......................................................... 1
-------
Total Expenses............................................. 191
-------
Net Investment Income (Loss).................................. 2,079
-------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................. 3,625
Futures..................................................... (14)
Foreign Currency Transactions............................... (20)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 11,905
Translation of Foreign Currency Denominated Amounts......... 6
-------
Net Realized and Unrealized Gain (Loss)....................... 15,502
-------
Net Increase (Decrease) in Net Assets Resulting from Operations. $17,581
=======
----------
* 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.
35
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Year Year
Ended Ended
Oct. 31, Oct. 31,
2013 2012
- -------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................................................... $ 2,079 $ 2,343
Net Realized Gain (Loss) on:
Investment Securities Sold......................................................... 3,625 4,492
Futures............................................................................ (14) --
Foreign Currency Transactions...................................................... (20) (13)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... 11,905 (5,013)
Translation of Foreign Currency Denominated Amounts................................ 6 (3)
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations................... 17,581 1,806
-------- --------
Distributions From:
Net Investment Income................................................................ (2,242) (2,327)
Net Long-Term Gains.................................................................. (4,494) (2,965)
-------- --------
Total Distributions............................................................... (6,736) (5,292)
-------- --------
Capital Share Transactions (1):
Shares Issued........................................................................ 7,334 7,815
Shares Issued in Lieu of Cash Distributions.......................................... 5,799 4,540
Shares Redeemed...................................................................... (12,977) (14,825)
-------- --------
Net Increase (Decrease) from Capital Share Transactions........................... 156 (2,470)
-------- --------
Total Increase (Decrease) in Net Assets........................................... 11,001 (5,956)
Net Assets
Beginning of Year.................................................................... 66,900 72,856
-------- --------
End of Year.......................................................................... $ 77,901 $ 66,900
======== ========
(1) Shares Issued and Redeemed:
Shares Issued........................................................................ 869 997
Shares Issued in Lieu of Cash Distributions.......................................... 723 603
Shares Redeemed...................................................................... (1,527) (1,858)
-------- --------
Net Increase (Decrease) from Shares Issued and Redeemed........................... 65 (258)
======== ========
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 64 $ 336
See accompanying Notes to Financial Statements.
36
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-----------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 8.22 $ 8.68 $ 10.38 $ 9.66 $ 11.40
------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.25 0.28 0.32 0.22 0.25
Net Gains (Losses) on Securities (Realized and Unrealized). 1.87 (0.10) (1.09) 0.79 2.14
------- ------- ------- ------- -------
Total from Investment Operations.......................... 2.12 0.18 (0.77) 1.01 2.39
-----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.27) (0.28) (0.31) (0.23) (0.27)
Net Realized Gains......................................... (0.57) (0.36) (0.62) (0.06) (3.86)
------- ------- ------- ------- -------
Total Distributions....................................... (0.84) (0.64) (0.93) (0.29) (4.13)
-----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 9.50 $ 8.22 $ 8.68 $ 10.38 $ 9.66
============================================================= ======== ======== ======== ======== ========
Total Return................................................. 27.91% 2.89% (8.30)% 10.85% 34.92%
-----------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $77,901 $66,900 $72,856 $85,892 $85,504
Ratio of Expenses to Average Net Assets (B).................. 0.49% 0.50% 0.49% 0.50% 0.52%
Ratio of Net Investment Income to Average Net Assets......... 2.91% 3.49% 3.24% 2.29% 2.99%
-----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of seventy-six 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 October 31, 2013, the Portfolio owned 1% of the Series.
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 reflect 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 year ended October 31, 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. At October 31, 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).
38
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 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 or capital gains 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 the Board, and other administrative
services. The Advisor provides investment advisory services to the Series. For
the year ended October 31, 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 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 year ended October 31, 2013, the total
related amounts paid by the Fund to the CCO were $250 (in thousands). The total
related amounts paid by the Portfolio are 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.
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 or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2013, primarily attributable to net foreign
currency gains (losses) and gains on securities considered to be "passive
foreign
39
investment companies", tax equalization and foreign capital gains tax 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
Increase (Decrease) (Decrease)
(Decrease) Undistributed Accumulated
Paid-In Net Investment Net Realized
Capital Income Gains (Losses)
---------- -------------- --------------
LWAS/DFA International High Book to Market Portfolio. $257 $(109) $(148)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2012 and October 31, 2013 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- ------
LWAS/DFA International High Book to Market Portfolio
2012................................................. $2,327 $2,965 $5,292
2013................................................. 2,242 4,494 6,736
At October 31, 2013, 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
-------------- ------------- -----
LWAS/DFA International High Book to Market Portfolio. $101 $156 $257
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Unrealized Earnings
Short-Term Long-Term Appreciation (Accumulated
Capital Gains Capital Gains (Depreciation) Losses)
-------------- ------------- -------------- -------------
LWAS/DFA International High Book to Market
Portfolio................................ $266 $3,297 $15,465 $19,028
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, 2013, the
Portfolio had no capital loss carryforwards available to offset future realized
capital gains.
During the year ended October 31, 2012, the Portfolio did not utilized
capital loss carryforwards.
At October 31, 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. $62,544 $15,455 -- $15,455
40
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 any 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.
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.
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 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 the lines of credit during
the year ended October 31, 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. Recently Issued Accounting Standards:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's
41
financial statements to understand the effect of those arrangements on its
financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying
to derivatives accounted for in accordance with Topic 815, Derivatives and
Hedging, including bifurcated embedded derivatives, repurchase agreements and
reverse repurchase agreements, and securities borrowing and securities lending
transactions that are offset either in accordance with other requirements of
GAAP or subject to an enforceable master netting arrangement or similar
agreement. ASU No. 2011-11 is effective for annual periods beginning on or
after January 1, 2013, and interim periods within those annual periods.
Management is evaluating any impact ASU No. 2011-11 may have on the financial
statements.
H. Other:
At October 31, 2013, two shareholders held approximately 96% 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.
I. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolio and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
42
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of LWAS/DFA International High Book to Market Portfolio and
Board of Directors of DFA Investment Dimensions Group Inc.:
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of LWAS/DFA International High Book
to Market Portfolio (one of the portfolios constituting DFA Investment
Dimensions Group Inc., hereafter referred to as the "Portfolio") at October 31,
2013, the results of its operations for the year then ended, the changes in its
net assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolio's management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with the standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2013 by
correspondence with the transfer agent of the investee fund, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
43
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000(R) VALUE INDEX
October 31, 2003-October 31, 2013
[CHART]
The U.S. Large Cap Russell 1000/R/
Value Series Value Index
------------------ ---------------
10/31/2003 $10,000 $10,000
11/30/2003 10,224 10,136
12/31/2003 10,926 10,760
01/31/2004 11,113 10,950
02/29/2004 11,399 11,184
03/31/2004 11,353 11,086
04/30/2004 11,166 10,815
05/31/2004 11,226 10,925
06/30/2004 11,565 11,183
07/31/2004 11,191 11,026
08/31/2004 11,191 11,182
09/30/2004 11,535 11,356
10/31/2004 11,675 11,544
11/30/2004 12,440 12,128
12/31/2004 12,939 12,534
01/31/2005 12,615 12,311
02/28/2005 12,999 12,719
03/31/2005 12,964 12,545
04/30/2005 12,525 12,320
05/31/2005 13,059 12,617
06/30/2005 13,328 12,755
07/31/2005 13,992 13,124
08/31/2005 13,877 13,067
09/30/2005 14,091 13,250
10/31/2005 13,717 12,914
11/30/2005 14,265 13,336
12/31/2005 14,284 13,416
01/31/2006 14,965 13,937
02/28/2006 14,915 14,022
03/31/2006 15,180 14,212
04/30/2006 15,606 14,573
05/31/2006 15,322 14,205
06/30/2006 15,453 14,295
07/31/2006 15,232 14,643
08/31/2006 15,481 14,888
09/30/2006 15,910 15,185
10/31/2006 16,541 15,682
11/30/2006 16,855 16,040
12/31/2006 17,193 16,400
01/31/2007 17,695 16,610
02/28/2007 17,429 16,351
03/31/2007 17,550 16,603
04/30/2007 18,297 17,217
05/31/2007 19,051 17,838
06/30/2007 18,745 17,421
07/31/2007 17,583 16,616
08/31/2007 17,247 16,802
09/30/2007 17,697 17,379
10/31/2007 17,796 17,381
11/30/2007 16,802 16,531
12/31/2007 16,746 16,371
01/31/2008 16,106 15,716
02/29/2008 15,612 15,057
03/31/2008 15,466 14,944
04/30/2008 16,441 15,673
05/31/2008 16,836 15,648
06/30/2008 14,991 14,150
07/31/2008 14,827 14,099
08/31/2008 15,115 14,339
09/30/2008 13,757 13,285
10/31/2008 10,664 10,985
11/30/2008 9,618 10,198
12/31/2008 9,931 10,339
01/31/2009 8,752 9,150
02/28/2009 7,526 7,928
03/31/2009 8,269 8,606
04/30/2009 9,607 9,528
05/31/2009 10,343 10,117
06/30/2009 10,216 10,042
07/31/2009 11,189 10,864
08/31/2009 11,949 11,433
09/30/2009 12,471 11,874
10/31/2009 11,933 11,511
11/30/2009 12,606 12,160
12/31/2009 12,954 12,375
01/31/2010 12,653 12,027
02/28/2010 13,199 12,407
03/31/2010 14,228 13,214
04/30/2010 14,679 13,556
05/31/2010 13,421 12,442
06/30/2010 12,408 11,742
07/31/2010 13,381 12,536
08/31/2010 12,574 12,000
09/30/2010 13,801 12,931
10/31/2010 14,315 13,319
11/30/2010 14,204 13,248
12/31/2010 15,589 14,294
01/31/2011 16,088 14,617
02/28/2011 16,958 15,156
03/31/2011 17,037 15,217
04/30/2011 17,473 15,622
05/31/2011 17,219 15,457
06/30/2011 16,919 15,140
07/31/2011 16,143 14,638
08/31/2011 14,782 13,724
09/30/2011 13,286 12,687
10/31/2011 15,130 14,139
11/30/2011 15,004 14,066
12/31/2011 15,122 14,350
01/31/2012 15,874 14,893
02/29/2012 16,792 15,486
03/31/2012 17,101 15,945
04/30/2012 16,752 15,783
05/31/2012 15,565 14,857
06/30/2012 16,404 15,595
07/31/2012 16,563 15,756
08/31/2012 17,219 16,098
09/30/2012 17,852 16,609
10/31/2012 17,900 16,528
11/30/2012 17,939 16,521
12/31/2012 18,485 16,862
01/31/2013 19,775 17,958
02/28/2013 20,029 18,216
03/31/2013 20,986 18,937
04/30/2013 21,208 19,224
05/31/2013 22,078 19,717 Past performance is not predictive of
06/30/2013 21,833 19,543 future performance.
07/31/2013 23,139 20,599
08/31/2013 22,458 19,817 The returns shown do not reflect the
09/30/2013 23,115 20,314 deduction of taxes that a shareholder
10/31/2013 24,286 21,203 would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten
Total Return Year Years Years Russell data copyright (C) Russell
------------------------------------------------------ Investment Group 1995-2013, all rights
35.68% 17.89% 9.28% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2003-October 31, 2013
[CHART]
The DFA International MSCI World ex USA Index
Value Series (net dividends)
--------------------- -----------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,214 10,227
12/31/2003 10,981 11,011
1/31/2004 11,262 11,164
2/29/2004 11,601 11,421
3/31/2004 11,782 11,478
4/30/2004 11,426 11,178
5/31/2004 11,542 11,230
6/30/2004 12,019 11,489
7/31/2004 11,575 11,139
8/31/2004 11,726 11,185
9/30/2004 12,101 11,511
10/31/2004 12,564 11,925
11/30/2004 13,498 12,718
12/31/2004 14,170 13,255
1/31/2005 14,029 12,994
2/28/2005 14,584 13,572
3/31/2005 14,224 13,264
4/30/2005 13,792 12,926
5/31/2005 13,810 12,950
6/30/2005 14,031 13,161
7/31/2005 14,657 13,586
8/31/2005 15,140 13,961
9/30/2005 15,566 14,599
10/31/2005 15,332 14,127
11/30/2005 15,605 14,501
12/31/2005 16,369 15,173
1/31/2006 17,487 16,133
2/28/2006 17,655 16,079
3/31/2006 18,400 16,589
4/30/2006 19,332 17,382
5/31/2006 18,549 16,722
6/30/2006 18,432 16,700
7/31/2006 18,716 16,857
8/31/2006 19,360 17,336
9/30/2006 19,628 17,322
10/31/2006 20,499 18,006
11/30/2006 21,181 18,543
12/31/2006 22,007 19,074
1/31/2007 22,422 19,191
2/28/2007 22,402 19,344
3/31/2007 23,126 19,840
4/30/2007 24,293 20,742
5/31/2007 25,124 21,203
6/30/2007 24,941 21,224
7/31/2007 24,247 20,931
8/31/2007 23,975 20,628
9/30/2007 25,227 21,800
10/31/2007 26,451 22,748
11/30/2007 24,848 21,858
12/31/2007 24,313 21,447
1/31/2008 22,343 19,513
2/29/2008 22,059 19,867
3/31/2008 22,323 19,583
4/30/2008 23,321 20,672
5/31/2008 23,332 20,986
6/30/2008 21,024 19,354
7/31/2008 20,429 18,665
8/31/2008 19,576 17,943
9/30/2008 17,289 15,353
10/31/2008 12,954 12,159
11/30/2008 12,159 11,500
12/31/2008 13,079 12,106
1/31/2009 11,273 10,976
2/28/2009 9,888 9,865
3/31/2009 10,967 10,515
4/30/2009 12,988 11,871
5/31/2009 14,918 13,373
6/30/2009 14,691 13,234
7/31/2009 16,439 14,477
8/31/2009 17,381 15,170
9/30/2009 18,267 15,796
10/31/2009 17,540 15,543
11/30/2009 18,063 15,927
12/31/2009 18,267 16,181
1/31/2010 17,211 15,423
2/28/2010 17,279 15,407
3/31/2010 18,642 16,399
4/30/2010 18,324 16,155
5/31/2010 16,178 14,372
6/30/2010 15,894 14,164
7/31/2010 17,881 15,473
8/31/2010 17,007 15,011
9/30/2010 18,835 16,451
10/31/2010 19,493 17,037
11/30/2010 18,517 16,315
12/31/2010 20,242 17,629
1/31/2011 21,105 18,009
2/28/2011 21,809 18,676
3/31/2011 21,207 18,302
4/30/2011 22,343 19,299
5/31/2011 21,537 18,727
6/30/2011 21,241 18,460
7/31/2011 20,560 18,156
8/31/2011 18,358 16,621
9/30/2011 16,348 14,952
10/31/2011 17,926 16,406
11/30/2011 17,336 15,648
12/31/2011 16,870 15,477
1/31/2012 18,006 16,312
2/29/2012 18,948 17,209
3/31/2012 18,789 17,082
4/30/2012 18,119 16,792
5/31/2012 15,883 14,878
6/30/2012 17,007 15,852
7/31/2012 16,939 16,050
8/31/2012 17,642 16,508
9/30/2012 18,267 17,009
10/31/2012 18,494 17,128
11/30/2012 18,789 17,488
12/31/2012 19,709 18,017
1/31/2013 20,640 18,903
2/28/2013 20,015 18,715
3/31/2013 20,083 18,863
4/30/2013 21,071 19,722
5/31/2013 20,821 19,281
6/30/2013 20,083 18,558
7/31/2013 21,457 19,546 Past performance is not predictive of
8/31/2013 21,309 19,294 future performance.
9/30/2013 22,910 20,657
10/31/2013 23,705 21,350 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years
---------------------------------------------------------- MSCI data copyright MSCI 2013, all
28.18% 12.85% 9.01% rights reserved.
--------------------------------------------------------------------------------
44
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. Equity Market Review 12 Months Ended October 31, 2013
The one-year period ended October 31, 2013, was characterized by strong
gains in U.S. equities. The broad U.S. equity market, as measured by the
Russell 3000(R) Index, had positive returns in 10 of the 12 months.
The size premium was positive during the period with small cap stocks
outperforming large cap stocks as measured by the Russell indices. Micro cap
stocks were the strongest performers.
Total Return for 12 Months Ended October 31, 2013
-------------------------------------------------
Russell 3000(R) Index........................ 28.99%
Russell Microcap(R) Index (micro cap stocks). 38.72%
Russell 2000(R) Index (small cap stocks)..... 36.28%
Russell 1000(R) Index (large cap stocks)..... 28.40%
Dow Jones U.S. Select REIT Index/SM/......... 9.96%
The value premium was negative in small cap stocks while the performance of
large cap value and large cap growth was almost identical as measured by the
Russell indices.
Total Return for 12 Months Ended October 31, 2013
-------------------------------------------------
Russell 2000(R) Value Index (small cap value stocks)... 32.83%
Russell 2000(R) Growth Index (small cap growth stocks). 39.84%
Russell 1000(R) Value Index (large cap value stocks)... 28.29%
Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
----------
Source: Russell data copyright (C) Russell Investment Group 1995-2013, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/ growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
12 months ended October 31, 2013, were primarily attributable to differences in
value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value, small cap and/or micro cap companies relative to
widely used benchmarks.
Domestic Equity Series' Performance Overview
U.S. Large Cap Value Series
The U.S. Large Cap Value Series seeks to capture the returns of U.S. large
company value stocks. Value is measured primarily by book-to-market ratio. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2013, the Series held approximately 220 securities. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Series' assets.
For the 12 months ended October 31, 2013, total returns were 35.68% for the
Series and 28.29% for the Russell 1000(R) Value Index. As a result of the
Series' diversified investment approach, performance was determined principally
by broad structural trends in the U.S. equity market rather than the behavior
of a limited number of stocks. The Series had significantly greater exposure
than the Index to deeper value stocks. These stocks generally outperformed the
Index, and the Series' higher weight contributed to the Series' outperformance
relative to the Index. The Series' exclusion of real estate investment trusts
("REITs") and highly regulated utilities also contributed to outperformance
relative to the Index as both sectors underperformed the overall Index during
the period.
45
International Equity Market Review 12 Months Ended October 31, 2013
The one-year period ended October 31, 2013, was characterized by generally
positive monthly returns in the international equity markets with the exception
of a sharp decline from May to June and a smaller decline in August. As
measured by the MSCI indices below for developed markets outside the U.S.,
small cap stocks generally outperformed large cap stocks while value stocks
outperformed growth stocks.
12 Months Ended October 31, 2013
--------------------------------
U.S. Dollar Return
------------------
MSCI World ex USA Index........... 24.65%
MSCI World ex USA Small Cap Index. 27.81%
MSCI World ex USA Value Index..... 26.12%
MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets
currencies. While the U.S. dollar depreciated against the euro, Swiss franc,
and several other European-based developed markets currencies, it appreciated
against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 Months Ended October 31, 2013
--------------------------------
Ten Largest Foreign Developed Markets by Market Cap Local Currency Return U.S. Dollar Return
--------------------------------------------------- --------------------- ------------------
United Kingdom.................... 20.70% 20.37%
Japan............................. 64.48% 34.00%
Canada............................ 10.59% 5.99%
France............................ 27.55% 33.82%
Australia......................... 26.44% 15.47%
Switzerland....................... 27.49% 31.10%
Germany........................... 24.72% 30.85%
Spain............................. 30.69% 37.11%
Sweden............................ 24.39% 27.55%
Hong Kong......................... 14.30% 14.25%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
International Equity Series' Performance Overview
The DFA International Value Series
The DFA International Value Series seeks to capture the returns of
international large company value stocks. Value stocks are typically
characterized by low relative price, as measured by their book-to-market ratio.
The investment strategy is process driven, emphasizing broad diversification.
As of October 31, 2013, the Series held approximately 520 securities in 22
eligible developed countries. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Series' assets.
For the 12 months ending October 31, 2013, total returns were 28.18% for the
Series and 24.65% for the MSCI World ex USA Index (net dividends). The Series
focuses on value stocks, as measured by book-to-market, while the Index is
neutral with regard to value or growth. As large cap value stocks generally
outperformed large cap growth stocks during the period, the Series'
significantly greater exposure than the Index to these securities contributed
to the Series' outperformance relative to the Index. In particular, the Series'
greater exposure to value stocks in the financial sector was beneficial as
these names outperformed the Index. The Series' exclusion of real estate
investment trusts ("REITs") also benefited the Series' relative performance as
REITs underperformed during the period. Differences in the valuation timing and
methodology between the Series and the Index generally detracted from relative
performance. The Series prices foreign exchange rates at the closing of the
U.S. markets while the Index uses rates at 4 pm London time. The Series also
may use fair value pricing to price certain portfolio securities at the closing
of the U.S. markets while the Index uses local market closing prices.
46
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
-------------------------------
Actual Fund Return................. $1,000.00 $1,145.10 0.11% $0.59
Hypothetical 5% Annual Return...... $1,000.00 $1,024.65 0.11% $0.56
The DFA International Value Series
----------------------------------
Actual Fund Return................. $1,000.00 $1,125.00 0.22% $1.18
Hypothetical 5% Annual Return...... $1,000.00 $1,024.10 0.22% $1.12
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
47
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 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 is 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....................... 12.6%
Consumer Staples............................. 7.5%
Energy....................................... 20.7%
Financials................................... 24.9%
Health Care.................................. 8.0%
Industrials.................................. 12.2%
Information Technology....................... 5.9%
Materials.................................... 3.3%
Telecommunication Services................... 4.6%
Utilities.................................... 0.3%
-----
100.0%
The DFA International Value Series
Consumer Discretionary....................... 9.4%
Consumer Staples............................. 4.9%
Energy....................................... 12.7%
Financials................................... 36.7%
Health Care.................................. 1.3%
Industrials.................................. 10.4%
Information Technology....................... 3.7%
Materials.................................... 10.9%
Other........................................ --
Telecommunication Services................... 7.1%
Utilities.................................... 2.9%
-----
100.0%
48
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2013
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (95.9%)
Consumer Discretionary -- (12.1%)
Comcast Corp. Class A................ 10,008,890 $ 476,222,986 3.2%
Comcast Corp. Special Class A........ 3,819,364 176,836,553 1.2%
* General Motors Co.................... 3,555,515 131,376,279 0.9%
Time Warner Cable, Inc............... 1,876,119 225,415,698 1.5%
Time Warner, Inc..................... 4,974,348 341,936,681 2.3%
Other Securities..................... 515,830,578 3.5%
-------------- ------
Total Consumer Discretionary............. 1,867,618,775 12.6%
-------------- ------
Consumer Staples -- (7.2%)
Archer-Daniels-Midland Co............ 3,189,248 130,440,243 0.9%
CVS Caremark Corp.................... 7,147,441 444,999,677 3.0%
Mondelez International, Inc. Class A. 9,025,752 303,626,297 2.0%
Other Securities..................... 227,833,106 1.5%
-------------- ------
Total Consumer Staples................... 1,106,899,323 7.4%
-------------- ------
Energy -- (19.9%)
Anadarko Petroleum Corp.............. 2,511,077 239,280,527 1.6%
Apache Corp.......................... 1,526,796 135,579,485 0.9%
Baker Hughes, Inc.................... 1,673,042 97,187,010 0.6%
Chevron Corp......................... 4,348,879 521,691,525 3.5%
ConocoPhillips....................... 6,993,622 512,632,493 3.4%
Devon Energy Corp.................... 1,479,247 93,517,995 0.6%
Hess Corp............................ 1,606,476 130,445,851 0.9%
Marathon Oil Corp.................... 3,640,872 128,377,147 0.9%
Marathon Petroleum Corp.............. 1,791,952 128,411,280 0.9%
National Oilwell Varco, Inc.......... 1,816,355 147,451,699 1.0%
Occidental Petroleum Corp............ 1,521,584 146,193,791 1.0%
Phillips 66.......................... 2,926,797 188,573,531 1.3%
Valero Energy Corp................... 2,806,975 115,563,161 0.8%
Other Securities..................... 484,245,131 3.3%
-------------- ------
Total Energy............................. 3,069,150,626 20.7%
-------------- ------
Financials -- (23.9%)
American International Group, Inc.... 8,251,823 426,206,658 2.9%
Bank of America Corp................. 39,239,978 547,790,093 3.7%
Bank of New York Mellon Corp. (The).. 3,633,937 115,559,197 0.8%
Capital One Financial Corp........... 1,875,702 128,804,456 0.9%
Citigroup, Inc....................... 10,998,186 536,491,513 3.6%
CME Group, Inc....................... 1,618,207 120,087,142 0.8%
JPMorgan Chase & Co.................. 5,379,341 277,251,235 1.9%
Loews Corp........................... 2,050,343 99,052,070 0.7%
MetLife, Inc......................... 5,110,004 241,754,289 1.6%
Morgan Stanley....................... 7,883,626 226,496,575 1.5%
Prudential Financial, Inc............ 2,327,738 189,454,596 1.3%
Other Securities..................... 785,679,755 5.2%
-------------- ------
Total Financials......................... 3,694,627,579 24.9%
-------------- ------
Health Care -- (7.7%)
Aetna, Inc........................... 2,027,401 127,118,043 0.9%
* Express Scripts Holding Co........... 2,283,090 142,738,787 1.0%
Pfizer, Inc.......................... 7,744,869 237,612,581 1.6%
Thermo Fisher Scientific, Inc........ 1,932,026 188,913,502 1.3%
49
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
WellPoint, Inc..................................... 1,824,634 $ 154,728,963 1.1%
Other Securities................................... 330,262,151 2.1%
--------------- ------
Total Health Care........................................ 1,181,374,027 8.0%
--------------- ------
Industrials -- (11.7%)
CSX Corp........................................... 5,687,103 148,205,904 1.0%
Eaton Corp. P.L.C.................................. 1,993,999 140,696,569 1.0%
FedEx Corp......................................... 759,707 99,521,617 0.7%
General Electric Co................................ 17,056,602 445,859,576 3.0%
Norfolk Southern Corp.............................. 1,681,939 144,680,393 1.0%
Northrop Grumman Corp.............................. 1,364,645 146,712,984 1.0%
Union Pacific Corp................................. 1,891,022 286,300,731 1.9%
Other Securities................................... 389,576,498 2.5%
--------------- ------
Total Industrials........................................ 1,801,554,272 12.1%
--------------- ------
Information Technology -- (5.6%)
Corning, Inc....................................... 5,599,861 95,701,624 0.7%
Hewlett-Packard Co................................. 9,295,748 226,537,379 1.5%
* Yahoo!, Inc........................................ 3,936,872 129,641,195 0.9%
Other Securities................................... 418,199,608 2.8%
--------------- ------
Total Information Technology............................. 870,079,806 5.9%
--------------- ------
Materials -- (3.1%)
Freeport-McMoRan Copper & Gold, Inc................ 3,340,516 122,797,368 0.8%
International Paper Co............................. 2,043,676 91,168,386 0.6%
Other Securities................................... 270,895,902 1.9%
--------------- ------
Total Materials.......................................... 484,861,656 3.3%
--------------- ------
Telecommunication Services -- (4.4%)
AT&T, Inc.......................................... 14,518,387 525,565,609 3.5%
Other Securities................................... 152,680,539 1.1%
--------------- ------
Total Telecommunication Services......................... 678,246,148 4.6%
--------------- ------
Utilities -- (0.3%)
Other Securities................................... 47,551,285 0.3%
--------------- ------
TOTAL COMMON STOCKS...................................... 14,801,963,497 99.8%
--------------- ------
TEMPORARY CASH INVESTMENTS -- (0.7%)
State Street Institutional Liquid Reserves, 0.073%. 110,063,812 110,063,812 0.7%
--------------- ------
Shares/
Face
Amount
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (3.4%)
(S)@ DFA Short Term Investment Fund..................... 45,096,723 521,769,090 3.5%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,087,346,593)............................... $15,433,796,399 104.0%
=============== ======
50
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...... $ 1,867,618,775 -- -- $ 1,867,618,775
Consumer Staples............ 1,106,899,323 -- -- 1,106,899,323
Energy...................... 3,069,150,626 -- -- 3,069,150,626
Financials.................. 3,694,627,579 -- -- 3,694,627,579
Health Care................. 1,181,374,027 -- -- 1,181,374,027
Industrials................. 1,801,554,272 -- -- 1,801,554,272
Information Technology...... 870,079,806 -- -- 870,079,806
Materials................... 484,861,656 -- -- 484,861,656
Telecommunication Services.. 678,246,148 -- -- 678,246,148
Utilities................... 47,551,285 -- -- 47,551,285
Temporary Cash Investments.... 110,063,812 -- -- 110,063,812
Securities Lending Collateral. -- $521,769,090 -- 521,769,090
--------------- ------------ -- ---------------
TOTAL......................... $14,912,027,309 $521,769,090 -- $15,433,796,399
=============== ============ == ===============
See accompanying Notes to Financial Statements.
51
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2013
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.1%)
AUSTRALIA -- (4.6%)
Suncorp Group, Ltd................ 3,736,013 $ 47,108,867 0.5%
Wesfarmers, Ltd................... 2,755,622 111,820,231 1.3%
Other Securities.................. 279,564,385 3.2%
------------ ------
TOTAL AUSTRALIA....................... 438,493,483 5.0%
------------ ------
AUSTRIA -- (0.2%)
Other Securities.................. 16,529,353 0.2%
------------ ------
BELGIUM -- (1.2%)
Other Securities.................. 112,978,600 1.3%
------------ ------
CANADA -- (8.8%)
# Canadian Natural Resources, Ltd... 1,849,320 58,690,835 0.7%
# Magna International, Inc.......... 583,936 49,458,004 0.6%
# Manulife Financial Corp........... 4,587,163 81,259,196 0.9%
# Sun Life Financial, Inc........... 1,446,869 48,735,471 0.6%
Suncor Energy, Inc................ 3,750,370 136,288,802 1.6%
# Thomson Reuters Corp.............. 1,557,384 58,522,328 0.7%
Other Securities.................. 400,896,217 4.4%
------------ ------
TOTAL CANADA.......................... 833,850,853 9.5%
------------ ------
DENMARK -- (1.5%)
Other Securities.................. 137,640,320 1.6%
------------ ------
FINLAND -- (0.9%)
Other Securities.................. 82,560,530 0.9%
------------ ------
FRANCE -- (9.7%)
AXA SA............................ 4,004,754 99,780,178 1.1%
BNP Paribas SA.................... 1,975,744 145,756,834 1.7%
Cie de St-Gobain.................. 1,078,023 56,585,484 0.7%
GDF Suez.......................... 3,247,971 80,496,939 0.9%
Orange............................ 3,875,091 53,267,297 0.6%
Societe Generale SA............... 1,823,515 103,009,458 1.2%
Vivendi SA........................ 3,686,124 93,331,608 1.1%
Other Securities.................. 290,292,116 3.2%
------------ ------
TOTAL FRANCE.......................... 922,519,914 10.5%
------------ ------
GERMANY -- (8.4%)
Allianz SE........................ 518,031 86,978,602 1.0%
Allianz SE ADR.................... 2,811,910 47,324,445 0.5%
Bayerische Motoren Werke AG....... 663,299 75,071,136 0.9%
Daimler AG........................ 2,088,586 171,002,503 1.9%
Deutsche Bank AG.................. 1,538,807 74,369,159 0.8%
# Deutsche Telekom AG Sponsored ADR. 3,074,385 48,544,539 0.6%
E.ON SE........................... 3,638,090 66,316,888 0.8%
Muenchener Rueckversicherungs AG.. 395,244 82,460,652 0.9%
Other Securities.................. 143,842,565 1.6%
------------ ------
TOTAL GERMANY......................... 795,910,489 9.0%
------------ ------
GREECE -- (0.0%)
Other Securities.................. 4,734,900 0.1%
------------ ------
52
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.1%)
Hutchison Whampoa, Ltd.................. 5,818,000 $ 72,458,624 0.8%
Other Securities........................ 125,762,689 1.4%
-------------- ------
TOTAL HONG KONG............................. 198,221,313 2.2%
-------------- ------
IRELAND -- (0.1%)
Other Securities........................ 13,557,887 0.1%
-------------- ------
ISRAEL -- (0.3%)
Other Securities........................ 28,069,013 0.3%
-------------- ------
ITALY -- (1.5%)
UniCredit SpA........................... 8,189,815 61,477,549 0.7%
Other Securities........................ 78,424,839 0.9%
-------------- ------
TOTAL ITALY................................. 139,902,388 1.6%
-------------- ------
JAPAN -- (17.7%)
Mitsubishi Corp......................... 3,482,500 70,454,645 0.8%
Mitsubishi UFJ Financial Group, Inc..... 24,653,206 156,998,104 1.8%
Mitsui & Co., Ltd....................... 4,220,700 60,296,595 0.7%
Nippon Steel & Sumitomo Metal Corp...... 18,537,940 61,185,438 0.7%
NTT DOCOMO, Inc......................... 3,091,700 49,049,894 0.6%
Other Securities........................ 1,282,749,967 14.5%
-------------- ------
TOTAL JAPAN................................. 1,680,734,643 19.1%
-------------- ------
NETHERLANDS -- (3.1%)
* ING Groep NV............................ 6,479,202 82,335,806 0.9%
Other Securities........................ 207,395,423 2.4%
-------------- ------
TOTAL NETHERLANDS........................... 289,731,229 3.3%
-------------- ------
NEW ZEALAND -- (0.1%)
Other Securities........................ 6,293,702 0.1%
-------------- ------
NORWAY -- (0.7%)
Other Securities........................ 67,730,341 0.8%
-------------- ------
PORTUGAL -- (0.1%)
Other Securities........................ 6,386,228 0.1%
-------------- ------
SINGAPORE -- (1.2%)
Other Securities........................ 109,323,500 1.2%
-------------- ------
SPAIN -- (2.3%)
Banco Santander SA...................... 8,832,930 78,306,244 0.9%
Iberdrola SA............................ 7,444,256 46,726,442 0.5%
Other Securities........................ 94,892,837 1.1%
-------------- ------
TOTAL SPAIN................................. 219,925,523 2.5%
-------------- ------
SWEDEN -- (2.8%)
Nordea Bank AB.......................... 5,366,449 68,644,974 0.8%
Telefonaktiebolaget LM Ericsson Class B. 4,713,081 56,374,169 0.7%
Other Securities........................ 138,816,259 1.5%
-------------- ------
TOTAL SWEDEN................................ 263,835,402 3.0%
-------------- ------
53
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (6.9%)
Credit Suisse Group AG......................................... 1,928,358 $ 59,987,253 0.7%
Holcim, Ltd.................................................... 887,877 66,039,798 0.8%
Swiss Re AG.................................................... 1,117,582 98,104,262 1.1%
UBS AG......................................................... 6,496,062 125,640,734 1.4%
Zurich Insurance Group AG...................................... 269,917 74,584,331 0.9%
Other Securities............................................... 232,054,236 2.6%
-------------- ------
TOTAL SWITZERLAND.................................................... 656,410,614 7.5%
-------------- ------
UNITED KINGDOM -- (17.9%)
Barclays P.L.C................................................. 14,540,536 61,178,709 0.7%
# Barclays P.L.C. Sponsored ADR.................................. 5,739,573 96,482,222 1.1%
BP P.L.C. Sponsored ADR........................................ 5,793,659 269,405,143 3.1%
Glencore Xstrata P.L.C......................................... 15,896,454 86,511,958 1.0%
# HSBC Holdings P.L.C. Sponsored ADR............................. 1,694,884 93,286,415 1.1%
Kingfisher P.L.C............................................... 8,609,963 52,085,475 0.6%
* Lloyds Banking Group P.L.C..................................... 82,680,839 102,259,365 1.2%
# Royal Dutch Shell P.L.C. ADR................................... 3,323,210 231,029,559 2.6%
Vodafone Group P.L.C........................................... 34,976,333 128,109,810 1.5%
Vodafone Group P.L.C. Sponsored ADR............................ 3,949,158 145,407,998 1.6%
Other Securities............................................... 428,839,157 4.8%
-------------- ------
TOTAL UNITED KINGDOM................................................. 1,694,595,811 19.3%
-------------- ------
TOTAL COMMON STOCKS.................................................. 8,719,936,036 99.2%
-------------- ------
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Other Securities............................................... 23,753,308 0.3%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
Other Securities............................................... -- 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities............................................... 1,906,872 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................................ 1,906,872 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (7.7%)
(S)@ DFA Short Term Investment Fund................................. 62,748,487 726,000,000 8.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/13 (Collateralized by $796,375 FNMA, rates ranging from
2.500% to 4.500%, maturities ranging from 04/01/27 to
10/01/43, valued at $720,177) to be repurchased at
$706,058...................................................... $706 706,056 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................. 726,706,056 8.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,742,743,361)............................................ $9,472,302,272 107.7%
============== ======
54
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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................... $ 1,841,161 $ 436,652,322 -- $ 438,493,483
Austria..................... -- 16,529,353 -- 16,529,353
Belgium..................... 3,382,426 109,596,174 -- 112,978,600
Canada...................... 833,850,853 -- -- 833,850,853
Denmark..................... -- 137,640,320 -- 137,640,320
Finland..................... 1,950,990 80,609,540 -- 82,560,530
France...................... 6,675,118 915,844,796 -- 922,519,914
Germany..................... 120,607,084 675,303,405 -- 795,910,489
Greece...................... -- 4,734,900 -- 4,734,900
Hong Kong................... -- 198,221,313 -- 198,221,313
Ireland..................... 5,268,488 8,289,399 -- 13,557,887
Israel...................... -- 28,069,013 -- 28,069,013
Italy....................... 18,295,120 121,607,268 -- 139,902,388
Japan....................... 67,433,792 1,613,300,851 -- 1,680,734,643
Netherlands................. 16,499,964 273,231,265 -- 289,731,229
New Zealand................. -- 6,293,702 -- 6,293,702
Norway...................... 265,956 67,464,385 -- 67,730,341
Portugal.................... -- 6,386,228 -- 6,386,228
Singapore................... -- 109,323,500 -- 109,323,500
Spain....................... 13,099,036 206,826,487 -- 219,925,523
Sweden...................... 11,416,422 252,418,980 -- 263,835,402
Switzerland................. 90,293,410 566,117,204 -- 656,410,614
United Kingdom.............. 926,568,412 768,027,399 -- 1,694,595,811
Preferred Stocks
Germany..................... -- 23,753,308 -- 23,753,308
Rights/Warrants
Hong Kong................... -- -- -- --
Spain....................... -- 1,906,872 -- 1,906,872
Securities Lending Collateral. -- 726,706,056 -- 726,706,056
-------------- -------------- -- --------------
TOTAL......................... $2,117,448,232 $7,354,854,040 -- $9,472,302,272
============== ============== == ==============
See accompanying Notes to Financial Statements.
55
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(Amounts in thousands)
The U.S. The DFA
Large Cap International
Value Series Value Series*
------------ -------------
ASSETS:
Investments at Value (including $506,475 and $716,973 of securities on loan, respectively). $14,801,963 $8,745,596
Temporary Cash Investments at Value & Cost................................................. 110,064 --
Collateral Received from Securities on Loan at Value & Cost................................ -- 706
Collateral from Securities on Loan Invested in Affiliate at Value & Cost................... 521,769 726,000
Foreign Currencies at Value................................................................ -- 24,350
Cash....................................................................................... -- 20,781
Receivables:
Investment Securities Sold............................................................... 26,504 4,029
Dividends, Interest and Tax Reclaims..................................................... 17,741 23,044
Securities Lending Income................................................................ 453 276
Prepaid Expenses and Other Assets.......................................................... -- 1
----------- ----------
Total Assets.......................................................................... 15,478,494 9,544,783
----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................................................... 521,769 726,706
Investment Securities Purchased.......................................................... 115,461 23,813
Due to Advisor........................................................................... 1,223 1,472
Unrealized Loss on Foreign Currency Contracts.............................................. -- 17
Accrued Expenses and Other Liabilities..................................................... 1,053 645
----------- ----------
Total Liabilities..................................................................... 639,506 752,653
----------- ----------
NET ASSETS................................................................................. $14,838,988 $8,792,130
=========== ==========
Investments at Cost........................................................................ $ 9,455,514 $7,016,037
=========== ==========
Foreign Currencies at Cost................................................................. $ -- $ 24,526
=========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
56
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(Amounts in thousands)
The U.S. The DFA
Large Cap International
Value Series Value Series
------------ -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $42 and $19,855, respectively). $ 262,650 $ 256,899
Interest................................................................... 56 6
Income from Securities Lending............................................. 2,227 13,232
---------- ----------
Total Investment Income................................................. 264,933 270,137
---------- ----------
Expenses
Investment Advisory Services Fees.......................................... 12,720 15,819
Accounting & Transfer Agent Fees........................................... 850 542
Custodian Fees............................................................. 121 810
Shareholders' Reports...................................................... 30 20
Directors'/Trustees' Fees & Expenses....................................... 131 85
Professional Fees.......................................................... 431 236
Other...................................................................... 156 158
---------- ----------
Total Expenses.......................................................... 14,439 17,670
---------- ----------
Fees Paid Indirectly....................................................... -- (22)
---------- ----------
Net Expenses............................................................... 14,439 17,648
---------- ----------
Net Investment Income (Loss)............................................... 250,494 252,489
---------- ----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................................... 1,042,669 394,216
Futures.................................................................. -- (1,587)
Foreign Currency Transactions*........................................... -- (2,158)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................... 2,531,751 1,329,657
Translation of Foreign Currency Denominated Amounts...................... -- 544
---------- ----------
Net Realized and Unrealized Gain (Loss).................................... 3,574,420 1,720,672
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations.............. $3,824,914 $1,973,161
========== ==========
----------
* Net of foreign capital gain taxes withheld of $0 and $3, respectively.
See accompanying Notes to Financial Statements.
57
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap Value The DFA International
Series Value Series
------------------------ -----------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2013 2012
----------- ----------- ----------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................ $ 250,494 $ 212,847 $ 252,489 $ 260,321
Net Realized Gain (Loss) on:
Investment Securities Sold................................ 1,042,669 408,690 394,216 133,256
Futures................................................... -- -- (1,587) --
Foreign Currency Transactions*............................ -- -- (2,158) (1,249)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 2,531,751 1,049,282 1,329,657 (157,327)
Translation of Foreign Currency Denominated Amounts....... -- -- 544 (266)
----------- ----------- ----------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 3,824,914 1,670,819 1,973,161 234,735
----------- ----------- ----------- ----------
Transactions in Interest:
Contributions............................................... 1,639,135 505,769 1,055,913 699,069
Withdrawals................................................. (1,214,213) (922,543) (1,475,193) (651,462)
----------- ----------- ----------- ----------
Net Increase (Decrease) from Transactions in Interest.... 424,922 (416,774) (419,280) 47,607
----------- ----------- ----------- ----------
Total Increase (Decrease) in Net Assets.................. 4,249,836 1,254,045 1,553,881 282,342
Net Assets
Beginning of Year........................................... 10,589,152 9,335,107 7,238,249 6,955,907
----------- ----------- ----------- ----------
End of Year................................................. $14,838,988 $10,589,152 $ 8,792,130 $7,238,249
=========== =========== =========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $3 and $0, respectively.
See accompanying Notes to Financial Statements.
58
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series+
------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
----------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 35.68% 18.31% 5.69% 19.96% 11.90%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $14,838,988 $10,589,152 $9,335,107 $8,816,400 $7,508,400
Ratio of Expenses to Average Net Assets...................... 0.11% 0.12% 0.12% 0.12% 0.13%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.11% 0.12% 0.12% 0.12% 0.13%
Ratio of Net Investment Income to Average Net Assets......... 1.98% 2.15% 1.79% 2.02% 2.42%
Portfolio Turnover Rate...................................... 15% 10% 14% 28% 29%
----------------------------------------------------------------------------------------------------------------------------
The DFA International Value Series+
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 28.18% 3.17% (8.04)% 11.13% 35.41%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $8,792,130 $7,238,249 $6,955,907 $6,919,633 $6,191,964
Ratio of Expenses to Average Net Assets...................... 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Net Investment Income to Average Net Assets......... 3.20% 3.75% 3.47% 2.55% 3.22%
Portfolio Turnover Rate...................................... 15% 14% 9% 20% 18%
--------------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
59
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven 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.
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 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.
60
Due to the time differences between the closings of the relevant foreign
securities exchanges and the time the International Series prices its shares at
the close of the NYSE, the International Series will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the International Series' foreign
investments since the last closing prices of the foreign investments were
calculated on their primary foreign securities markets or exchanges. For these
purposes, the Board of Directors/Trustees of the International Series has
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable. Fair valuation
of portfolio securities may occur on a daily basis. The fair value pricing by
the International Series utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values
of foreign investments). The fair value prices of portfolio securities
generally will be used when it is determined that the use of such prices will
have a material impact on the net asset value of the International Series. When
the International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in 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 year ended October 31, 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 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 any foreign withholding taxes recorded on the books of the
International 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
61
receipt of the Director's/Trustee's deferred compensation until a date
specified by such Director/Trustee in the Notice, which date may not be sooner
than the earlier of: (i) the first business day of January following the year
in which such Director/Trustee ceases to be a member of the Board; and
(ii) five years following the effective date of the Director's/Trustee's first
deferral election. If a Director/Trustee who elects to defer fees fails to
designate in the Notice a time or date as of which payment of the
Director's/Trustee's deferred fee account shall commence, payment of such
amount shall commence as of the first business day of January following the
year in which the Director/Trustee ceases to be a member of the Board (unless
the Director/Trustee files an amended Notice selecting a different distribution
date). As of October 31, 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 and foreign currency 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 year ended October 31, 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 year
ended October 31, 2013, expenses reduced were as follows (amounts in thousands):
Fees Paid
Indirectly
- ----------
The DFA International Value Series. $22
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the year ended October 31, 2013, the total
related amounts paid by the Trust to the CCO were $56 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
62
D. Deferred Compensation:
At October 31, 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.... $336
The DFA International Value Series. 249
E. Purchases and Sales of Securities:
For the year ended October 31, 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.... $2,846,229 $1,917,181
The DFA International Value Series. 1,195,737 1,352,756
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At October 31, 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.... $10,087,540 $5,403,680 $ (57,424) $5,346,256
The DFA International Value Series. 7,749,972 2,159,515 (437,185) 1,722,330
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 remain
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
63
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.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
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 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 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, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
The following is a summary of the location and value of derivative
instrument holdings on the Series' Statement of Operations categorized by
primary risk exposure for the year ended October 31, 2013 (amount 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 DFA International Value Series*. $(1,587)
* As of October 31, 2013, there were no futures contracts outstanding. During
the year ended October 31, 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.
64
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.
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 year ended October 31, 2013, borrowings by the Series under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred The Period
------------- ------------ ------------ -------- ---------------
The U.S. Large Cap Value Series.... 0.89% $ 6,790 20 $ 4 $23,318
The DFA International Value Series. 0.90% 12,445 46 14 76,121
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2013, that each Series' available line of
credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of October 31, 2013.
I. Securities Lending:
As of October 31, 2013, each Series had securities on loan to
brokers/dealers, for which each 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 DFA International Value Series received non-cash collateral
consisting of short and/or long term U.S. Treasury securities with a market
value of $29,499 (in thousands). 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
65
interest on the loan, as well as amounts equal to any dividends, interest or
other distributions on the loaned securities. However, dividend income received
from loaned securities may not be eligible to be taxed at qualified dividend
income rates.
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. Recently Issued Accounting Standards:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's financial statements to understand the effect of those arrangements on
its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as
applying to derivatives accounted for in accordance with Topic 815, Derivatives
and Hedging, including bifurcated embedded derivatives, repurchase agreements
and reverse repurchase agreements, and securities borrowing and securities
lending transactions that are offset either in accordance with other
requirements of GAAP or subject to an enforceable master netting arrangement or
similar agreement. ASU No. 2011-11 is effective for annual periods beginning on
or after January 1, 2013, and interim periods within those annual periods.
Management is evaluating any impact ASU No. 2011-11 may have on the financial
statements.
L. Other:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged 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.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned In re Tribune Company
Fraudulent Conveyance Litigation, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The U.S. Large Cap Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO. On September 23, 2013, the Court entered an order dismissing the
Individual Creditor Actions in their entirety on the grounds that the
individual creditor plaintiffs lack standing to pursue their claims. The
Court's dismissal order is on appeal to the Second Circuit. The Committee
Action remains pending, and the Court currently is coordinating with the
parties to establish a schedule for motions to dismiss in the Committee Action.
66
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 the plaintiffs 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 investors
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.
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.
67
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Series, as defined, and
Board of Trustees of The DFA Investment Trust Company:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The U.S. Large Cap Value Series and The DFA International Value Series
(constituting portfolios within The DFA Investment Trust Company, hereafter
referred to as the "Series") at October 31, 2013, the results of each of their
operations for the year then ended, the changes in each of their net assets for
each of the two years in the period then ended and the financial highlights for
each of the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Series' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2013 by
correspondence with the custodians, brokers, and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
68
FUND MANAGEMENT
(Unaudited)
Trustees/Directors
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and
Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Review Committee (the "Review Committee"). The
Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2013.
Each Board's Nominating Committee is comprised of George M. Constantinides,
John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie
J. Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. There was one Nominating Committee meeting
held during the fiscal year ended October 31, 2013.
Each Board's Review Committee consists of both interested and disinterested
Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Review Committee may (i) review the design of possible new series
of the Fund, (ii) review performance of existing portfolios of the Fund and
discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Review
Committee was formed on December 17, 2010, and there were two Review Committee
meetings held during the fiscal year ended October 31, 2013.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at www.dimensional.com.
69
Name, Position Portfolios within the
with the Fund, Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
Address and Year of Birth Length of Service Overseen Other Directorships of Public Companies Held
-------------------------------------------------------------------------------------------------------------------------------
Disinterested Trustees/Directors
-------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 106 portfolios in 4 Leo Melamed Professor of Finance, The University
Director of DFAIDG and DIG. investment companies of Chicago Booth School of Business.
Trustee of DFAITC and DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
1947
-------------------------------------------------------------------------------------------------------------------------------
John P. Gould Since Inception 106 portfolios in 4 Steven G. Rothmeier Distinguished Service
Director of DFAIDG and DIG. investment companies Professor of Economics, The University of Chicago
Trustee of DFAITC and DEM. Booth School of Business (since 1965). Member
The University of Chicago and Chair, Competitive Markets Advisory
Booth School of Business Committee, Chicago Mercantile Exchange (futures
5807 S. Woodlawn Avenue trading exchange) (since 2004). Formerly, Director
Chicago, IL 60637 of UNext, Inc. (1999-2006). Trustee, Harbor Fund
1939 (registered investment company) (30 Portfolios)
(since 1994). Formerly, Member of the Board of
Milwaukee Mutual Insurance Company
(1997-2010).
-------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson Since Inception 106 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG. investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM. Partner, Zebra Capital Management, LLC (hedge
Yale School of Management fund manager) (since 2001). Consultant to
P.O. Box 208200 Morningstar, Inc. (since 2006). Formerly,
New Haven, CT 06520-8200 Chairman, Ibbotson Associates, Inc., Chicago, IL
1943 (software data publishing and consulting) (1977-
2006). Formerly, Director, BIRR Portfolio Analysis,
Inc. (software products) (1990-2010).
-------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear Since Inception 106 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Institution
Director of DFAIDG and DIG. investment companies (since 2002). Jack Steele Parker Professor of
Trustee of DFAITC and DEM. Human Resources Management and Economics,
Stanford University Graduate School of Business, Stanford University
Graduate School of Business (since 1995). Cornerstone Research (expert
518 Memorial Way testimony and economic and financial analysis)
Stanford, CA 94305-5015 (since 2009). Formerly, Chairman of the President
1948 George W. Bush's Council of Economic Advisers
(2006-2009). Formerly, Council of Economic
Advisors, State of California (2005-2006).
Formerly, Commissioner, White House Panel on
Tax Reform (2005).
-------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes Since Inception 106 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
Director of DFAIDG and DIG. investment companies Stanford University (since 1981). Formerly,
Trustee of DFAITC and DEM. Chairman, Platinum Grove Asset Management,
c/o Dimensional Fund L.P. (hedge fund) (formerly, Oak Hill Platinum
Advisors, LP Partners) (1999-2009). Formerly, Managing
6300 Bee Cave Road Partner, Oak Hill Capital Management (private
Building 1 equity firm) (until 2004). Director, American
Austin, TX 78746 Century Fund Complex (registered investment
1941 companies) (40 Portfolios) (since 1980). Formerly,
Director, Chicago Mercantile Exchange (2001-
2008).
-------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith Since Inception 106 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG. investment companies Professor of Accounting, The University of Chicago
Trustee of DFAITC and DEM. Booth School of Business (since 1980). Co-
The University of Chicago Director Investment Research, Fundamental
Booth School of Business Investment Advisors (hedge fund) (since 2008).
5807 S. Woodlawn Avenue Director, HNI Corporation (formerly known as HON
Chicago, IL 60637 Industries Inc.) (office furniture) (since 2000).
1953 Director, Ryder System Inc. (transportation,
logistics and supply-chain management) (since
2003). Trustee, UBS Funds (4 investment
companies within the fund complex) (52 portfolios)
(since 2009).
70
Name, Position Portfolios within the Principal Occupation(s) During Past 5 Years
with the Fund, Term of Office/1/ and DFA Fund Complex/2/ and Other Directorships of Public Companies
Address and Year of Birth Length of Service Overseen Held
----------------------------------------------------------------------------------------------------------------------------
Interested Trustees/Directors*
----------------------------------------------------------------------------------------------------------------------------
David G. Booth Since Inception 106 portfolios in 4 Chairman, Director/Trustee, President, and
Chairman, Director, Co-Chief investment companies Co-Chief Executive Officer (since January
Executive Officer and President 2010) of Dimensional Holdings Inc.,
of DFAIDG and DIG. Dimensional Fund Advisors LP, DFA Securities
Chairman, Trustee, Co-Chief LLC, DEM, DFAIDG, DIG and DFAITC. Director
Executive Officer and President of Dimensional Fund Advisors Ltd.,
of DFAITC and DEM. Dimensional Funds PLC, Dimensional Funds II
6300 Bee Cave Road, PLC, DFA Australia Limited, Dimensional
Building One Cayman Commodity Fund I Ltd., Dimensional
Austin, Texas 78746 Japan Ltd. and Dimensional Advisors Ltd.
1946 Chairman, Director and Co-Chief Executive
Officer of Dimensional Fund Advisors Canada
ULC. President, Dimensional SmartNest (US)
LLC. Limited Partner, Oak Hill Partners
(since 2001) and VSC Investors, LLC (since
2007). Trustee, The University of Chicago.
Trustee, University of Kansas Endowment
Association. Formerly, Chief Executive
Officer (until 2010) and Chief Investment
Officer (2003-2007) of Dimensional Fund
Advisors LP, DFA Securities LLC, DEM,
DFAIDG, DIG , DFAITC, Dimensional Holdings
Inc. Formerly, Chief Investment Officer of
Dimensional Fund Advisors Ltd. Formerly,
President and Chief Investment Officer of
DFA Australia Limited. Formerly, Director,
SA Funds (registered investment company).
----------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto Since 2009 106 portfolios in 4 Co-Chief Executive Officer (since January
Director, Co-Chief Executive investment companies 2010), Chief Investment Officer (since March
Officer and Chief Investment 2007) and Director/Trustee of Dimensional
Officer of DFAIDG and DIG. Holdings Inc., Dimensional Fund Advisors LP,
Trustee, Co-Chief Executive DFA Securities LLC, DEM, DFAIDG, DIG, DFAITC
Officer and Chief Investment and Dimensional Cayman Commodity Fund I Ltd.
Officer of DFAITC and DEM. Director, Co-Chief Executive Officer,
6300 Bee Cave Road, President and Chief Investment Officer of
Building One Dimensional Fund Advisors Canada ULC. Chief
Austin, TX 78746 Investment Officer, Vice President and
1967 Director of DFA Australia Limited. Director
of Dimensional Fund Advisors Ltd.,
Dimensional Funds PLC, Dimensional Funds II
PLC, Dimensional Japan Ltd. and Dimensional
Advisors Ltd., Formerly President of
Dimensional Holdings Inc, Dimensional Fund
Advisors LP, DFA Securities LLC, DEM,
DFAIDG, DIG, DFAITC and Dimensional Fund
Advisors Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the Funds.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with Dimensional Fund
Advisors LP.
71
Officers
The name, year of birth, information regarding positions with the Funds and
the principal occupation for each officer of the Funds are set forth below.
Each officer listed below holds the same office (except as otherwise noted) in
the following entities: Dimensional Fund Advisors LP (prior to November 3,
2006, Dimensional Fund Advisors Inc.) ("Dimensional"), Dimensional Holdings
Inc., DFA Securities LLC (prior to April 6, 2009, DFA Securities Inc.), DFAIDG,
DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each
officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One,
Austin, Texas 78746, unless otherwise indicated.
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
-------------------------------------------------------------------------------------------------------------------------------
Officers
-------------------------------------------------------------------------------------------------------------------------------
April A. Aandal Since 2008 Vice President of all the DFA Entities.
Vice President
1963
-------------------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice President
Vice President Business Development at Capson Physicians Insurance Company
1974 (2010-2012); Vice President at Charles Schwab (2007-2010).
-------------------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Since 2005 Vice President of all the DFA Entities.
Vice President
1966
-------------------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Director and Managing
Vice President Director of DFAL (since September 2013).
1955
-------------------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Since 2007 Vice President of all the DFA Entities.
Vice President
1968
-------------------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA
Vice President and Assistant Secretary Australia Limited, Dimensional Fund Advisors Ltd., Dimensional
1967 Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte.
Ltd., Dimensional Hong Kong Limited. Director, Vice President and
Assistant Secretary of Dimensional Fund Advisors Canada ULC.
-------------------------------------------------------------------------------------------------------------------------------
David P. Butler Since 2007 Vice President of all the DFA Entities. Head of Global Financial
Vice President Services of Dimensional (since 2008).
1964
-------------------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (December 2010-January 2012); Regional Director
1970 at Russell Investments (April 2006-December 2010).
-------------------------------------------------------------------------------------------------------------------------------
James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2008-2010); Vice President, Client Portfolio
1956 Manager at American Century Investments (2001-2008).
-------------------------------------------------------------------------------------------------------------------------------
Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio
1966 Manager of Dimensional (since January 2012). Formerly, Portfolio
Manager for Dimensional (October 2005-January 2012).
-------------------------------------------------------------------------------------------------------------------------------
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC. Head of Institutional,
1972 North America (since March 2012). Formerly, Head of Portfolio
Management of Dimensional (January 2006-March 2012).
-------------------------------------------------------------------------------------------------------------------------------
Matt B. Cobb Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since September 2011). Formerly, Vice President at
1971 MullinTBG 92005-2011).
-------------------------------------------------------------------------------------------------------------------------------
Ryan Cooper Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since 2003).
1979
-------------------------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (August 2002-January 2012).
1976
72
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
-------------------------------------------------------------------------------------------------------------------------------
Robert P. Cornell Since 2007 Vice President of all the DFA Entities.
Vice President
1949
-------------------------------------------------------------------------------------------------------------------------------
George H. Crane Since 2010 Vice President of all the DFA Entities. Formerly, Senior Vice
Vice President President and Managing Director at State Street Bank & Trust
1955 Company (2007-2008).
-------------------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Since 2004 Vice President and Global Chief Compliance Officer of all the DFA
Vice President and Global Chief Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd.,
Compliance Officer and Dimensional SmartNest (US) LLC. Chief Compliance Officer of
1965 Dimensional Fund Advisors Canada ULC.
-------------------------------------------------------------------------------------------------------------------------------
James L. Davis Since 1999 Vice President of all the DFA Entities.
Vice President
1956
-------------------------------------------------------------------------------------------------------------------------------
Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC.
1957
-------------------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate for
Vice President Dimensional (since August 2008).
1972
-------------------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities.
Vice President
1970
-------------------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and
Vice President and Assistant Secretary DFA Australia Limited.
1965
-------------------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities.
Vice President
1971
-------------------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio
1974 Manager of Dimensional (since January 2012).
-------------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Manager
Vice President for Dimensional (since June 2006).
1970
-------------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Since 2007 Vice President of all the DFA Entities.
Vice President
1967
-------------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director
Vice President at BlackRock (2004-January 2012).
1968
-------------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Since 2000 Vice President of all the DFA Entities.
Vice President
1967
-------------------------------------------------------------------------------------------------------------------------------
John T. Gray Since 2007 Vice President of all the DFA Entities.
Vice President
1974
-------------------------------------------------------------------------------------------------------------------------------
Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for
Vice President Dimensional (since 2012). Formerly, Senior Trader for Dimensional
1975 Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Ltd.
(2008-2009); Trader for Dimensional (2004-2008).
-------------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Since 2007 Vice President of all the DFA Entities.
Vice President
1967
-------------------------------------------------------------------------------------------------------------------------------
Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities
Vice President and Fund Controller Dimensional Cayman Commodity Fund I Ltd. and Dimensional
1974 Japan Ltd.
-------------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Since 2005 Vice President of all the DFA Entities.
Vice President
1967
73
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
----------------------------------------------------------------------------------------------------------------------
Christine W. Ho Since 2004 Vice President of all the DFA Entities.
Vice President
1967
----------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing Director,
Vice President Co-Head Global Consultant Relations at BlackRock (2004-2011).
1960
----------------------------------------------------------------------------------------------------------------------
William A. Irvine Since 2013 Vice President of all the DFA Entities, Regional Director For
Vice President Dimensional (since 2012). Formerly, Vice President of Institutional
1957 Business Development at Eaton Vance (2005-2011).
----------------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd.
1973
----------------------------------------------------------------------------------------------------------------------
Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager
Vice President for Dimensional (October 2008-January 2012).
1968
----------------------------------------------------------------------------------------------------------------------
Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Entities,
Vice President Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan
1954 Ltd., Dimensional Advisors Ltd., Dimensional Hong Kong Limited
and Chief Operating Officer of Dimensional. Director, Vice
President and Chief Privacy Officer of Dimensional Fund Advisors
Canada ULC. Director of DFA Australia Limited, Dimensional Fund
Advisors Ltd., Dimensional Japan Ltd. and Dimensional Advisors
Ltd. Director and Vice President of Dimensional Hong Kong Limited
and Dimensional Fund Advisors Pte. Ltd.
----------------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since October 2004).
1977
----------------------------------------------------------------------------------------------------------------------
Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional Fund Advisors LP (April 2006-January 2012).
1948
----------------------------------------------------------------------------------------------------------------------
David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since June 2004).
1971
----------------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined Contribution
Vice President Sales for Dimensional (since August 2010). Formerly, Chief DC
1971 Strategist, Barclays Global Investors (2005-2009).
----------------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Sr. Portfolio Manager of
Vice President Dimensional (since January 2012).Formerly, Portfolio Manager for
1971 Dimensional (April 2001-January 2012).
----------------------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Since 2013 Vice President of all the DFA Entities. Formerly, Senior Associate
Vice President Investment Analytics and Data for Dimensional (January 2012-
1981 December 2012); Systems Developer for Dimensional (June 2007-
December 2011).
----------------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (2007-2010).
1968
----------------------------------------------------------------------------------------------------------------------
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Officer of
Vice President Dimensional SmartNest (US) LLC (since 2012).
1967
----------------------------------------------------------------------------------------------------------------------
Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice President -
Vice President Global Operations at Janus Capital Group (2005-2011).
1969
----------------------------------------------------------------------------------------------------------------------
David F. LaRusso Since 2013 Vice President of all the DFA Entities. Formerly, Senior Trader for
Vice President Dimensional (January 2010-December 2012); Trader for
1978 Dimensional (2000-2009).
----------------------------------------------------------------------------------------------------------------------
Juliet H. Lee Since 2005 Vice President of all the DFA Entities.
Vice President
1971
74
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
---------------------------------------------------------------------------------------------------------------------------------
Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (July 2008-2010).
1980
---------------------------------------------------------------------------------------------------------------------------------
John B. Lessley Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since January 2008).
1960
---------------------------------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since February 2004).
1969
---------------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd. Counsel for Dimensional (since September
1972 2006).
---------------------------------------------------------------------------------------------------------------------------------
Rose C. Manziano Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (Since August 2010). Formerly, Vice President, Sales
1971 and Business Development at AdvisorsIG (PPMG) (2009- 2010);
Vice President at Credit Suisse (2007-2009).
---------------------------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global Human
Vice President & Head of Global Resources of Dimensional.
Human Resources
1970
---------------------------------------------------------------------------------------------------------------------------------
David R. Martin Since 2007 Vice President, Chief Financial Officer and Treasurer of all the DFA
Vice President, Chief Financial Officer Entities. Director, Vice President, Chief Financial Officer and
and Treasurer Treasurer of Dimensional Fund Advisors Ltd., DFA Australia
1956 Limited, Dimensional Advisors Ltd., Dimensional Fund Advisors
Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Fund
Advisors Canada ULC. Chief Financial Officer, Treasurer, and Vice
President of Dimensional SmartNest (US) LLC, and Dimensional
Cayman Commodity Fund I Ltd. Director of Dimensional Funds
PLC and Dimensional Funds II PLC. Statutory Auditor of
Dimensional Japan Ltd.
---------------------------------------------------------------------------------------------------------------------------------
Matthew H. Miller Since 2013 Vice President of all the DFA Entities. Client Service Manager for
Vice President Dimensional (Since 2012). Formerly, Regional Director for
1978 Dimensional (2008-2011; Senior Associate at Dimensional (2007-
2010).
---------------------------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Since 2013 Vice President of all the DFA Entities. Manager, Investment
Vice President Systems at Dimensional (Since 2011). Formerly, Project Manager
1971 for Dimensional (2007-2010).
---------------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities. Director, Vice
Vice President and Secretary since 1997 and President and Secretary of DFA Australia Limited and Dimensional
1964 Secretary Fund Advisors Ltd. (since February 2002, April 1997 and May 2002,
since 2000 respectively). Vice President and Secretary of Dimensional Fund
Advisors Canada ULC (since June 2003), Dimensional SmartNest
(US) LLC, Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Japan Ltd. (since February 2012), Dimensional
Advisors Ltd. (since March 2012), Dimensional Fund Advisors Pte.
Ltd. (since June 2012) and Dimensional Hong Kong Limited (since
August 2012). Director, Dimensional Funds PLC and Dimensional
Funds II PLC (since 2002 and 2006, respectively). Director of
Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional
Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited (since
August 2012 and July 2012).
---------------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (2008-2010).
1964
---------------------------------------------------------------------------------------------------------------------------------
Selwyn J. Notelovitz Since 2012 Vice President of all DFA Entities. Deputy Chief Compliance Officer
Vice President of Dimensional (since December 2012). Formerly Chief Compliance
1961 Officer of Wellington Management Company, LLP (2004-2011).
---------------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd. Deputy General Counsel, Funds (since
1974 2011). Counsel for Dimensional (2007-2011).
75
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
-----------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities.
Vice President
1976
-----------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since July 2005).
1973
-----------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Officer for
Vice President Dimensional (since January 2008). Formerly, Compliance Officer
1978 (February 2006-December 2007).
-----------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional Fund Advisors LP (since 2012). Formerly, Senior
1977 Consultant at Hewitt EnnisKnupp (June 2011-December 2011);
Senior Investment Analyst and Consultant at Hewitt EnnisKnupp
(July 2008-June 2011).
-----------------------------------------------------------------------------------------------------------------------
Brian P. Pitre Since 2013 Vice President of all the DFA Entities. Counsel for Dimensional
Vice President Fund Advisors LP (since 2009). Formerly, Vice President and
1976 Corporate Counsel at Mellon Capital Management (2006-2008).
-----------------------------------------------------------------------------------------------------------------------
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors
1961 Canada ULC.
-----------------------------------------------------------------------------------------------------------------------
Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since July 2006).
1970
-----------------------------------------------------------------------------------------------------------------------
Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate of Dimensional (2006-2008).
1973
-----------------------------------------------------------------------------------------------------------------------
Mark A. Regier Since 2013 Vice President of all the DFA Entities. Planning and Analysis
Vice President Manager for Dimensional (since July 2007).
1969
-----------------------------------------------------------------------------------------------------------------------
Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (June 2011-January 2012); Research
1981 Assistant for Dimensional (July 2004-August 2007).
-----------------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities.
Vice President
1971
-----------------------------------------------------------------------------------------------------------------------
Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Manager for
Vice President Dimensional (since July 2008).
1959
-----------------------------------------------------------------------------------------------------------------------
Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (March 2006-January 2010).
1961
-----------------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Operations
Vice President Manager for Dimensional (since May 2007).
1965
-----------------------------------------------------------------------------------------------------------------------
Ted R. Simpson Since 2007 Vice President of all the DFA Entities.
Vice President
1968
-----------------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Since 2007 Vice President of all the DFA Entities.
Vice President
1975
-----------------------------------------------------------------------------------------------------------------------
Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for
Vice President Dimensional (2007-2010).
1968
-----------------------------------------------------------------------------------------------------------------------
Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada ULC.
1956
-----------------------------------------------------------------------------------------------------------------------
Carl G. Snyder Since 2000 Vice President of all the DFA Entities.
Vice President
1963
76
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
---------------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities.
Vice President
1947
---------------------------------------------------------------------------------------------------------------------
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Director and Vice
Vice President President of Dimensional Fund Advisors Canada ULC.
1973
---------------------------------------------------------------------------------------------------------------------
Richard H. Tatlow Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since April 2010). Formerly, Principal, Investment
1971 Strategist at Barclays Global Investors (2004-2009).
---------------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Since 2013 Vice President of all the DFA Entities, Manager, Investment
Vice President Analytics and Data for Dimensional (since 2012). Formerly,
1973 Research Assistant at Dimensional (2002-2011).
---------------------------------------------------------------------------------------------------------------------
Erik T. Totten Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since 2010). Formerly, Senior Associate at
1980 Dimensional (2007-2009).
---------------------------------------------------------------------------------------------------------------------
John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (January 2008-January 2012).
1978
---------------------------------------------------------------------------------------------------------------------
Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Technology
Vice President for Dimensional (since March 2007).
1958
---------------------------------------------------------------------------------------------------------------------
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors
1966 Canada ULC.
---------------------------------------------------------------------------------------------------------------------
Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since 2004).
1970
---------------------------------------------------------------------------------------------------------------------
Weston J. Wellington Since 1997 Vice President of all the DFA Entities.
Vice President
1951
---------------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Since 2007 Vice President of all the DFA Entities.
Vice President
1976
---------------------------------------------------------------------------------------------------------------------
Paul E. Wise Since 2005 Vice President of all the DFA Entities.
Vice President
1955
---------------------------------------------------------------------------------------------------------------------
Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2005-2010).
1978
/1/ Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustees/Directors and until his or her successor is elected and
qualified.
77
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.
78
NOTICE TO SHAREHOLDERS
(Unaudited)
For shareholders that do not have an October 31, 2013 tax year end, this
notice is for informational purposes only. For shareholders with an October 31,
2013 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2012 to October 31, 2013, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
Qualifying
Net For Corporate
Investment Short-Term Long-Term Dividends Qualifying U.S.
Income Capital Gain Capital Gain Total Received Dividend Government
Dimensional Investment Group Inc. Distributions Distributions Distributions Distributions Deduction (1) Income (2) Interest (3)
--------------------------------- ------------- ------------- ------------- ------------- ------------- ---------- ------------
LWAS/DFA U.S. High Book to
Market Portfolio.............. 80% -- 20% 100% 100% 100% --
LWAS/DFA Two-Year Fixed
Income Portfolio.............. 40% 53% 7% 100% -- -- 14%
LWAS/DFA Two-Year
Government Portfolio.......... 11% 87% 3% 100% -- -- 37%
DFA Investment Dimensions Group
Inc.
-------------------------------
LWAS/DFA International High
Book to Market Portfolio...... 33% -- 66% 100% 100% 100% --
Qualifying
Short-
Foreign Foreign Qualifying Term
Tax Source Interest Capital
Dimensional Investment Group Inc. Credit (4) Income (5) Income (6) Gain (7)
--------------------------------- ---------- ---------- ---------- ----------
LWAS/DFA U.S. High Book to
Market Portfolio.............. -- -- 100% 100%
LWAS/DFA Two-Year Fixed
Income Portfolio.............. -- -- 100% 100%
LWAS/DFA Two-Year
Government Portfolio.......... -- -- 100% 100%
DFA Investment Dimensions Group
Inc.
-------------------------------
LWAS/DFA International High
Book to Market Portfolio...... 8% 100% 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax. However, for
residents of California, Connecticut and New York, the statutory threshold
requirements were not satisfied for LWAS/DFA Two-Year Fixed Income Portfolio
to permit exemption of these amounts from state income for this fund.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage of ordinary income distributions
(the total of short-term capital gain and net investment income
distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
79
[LOGO] DFA103113-003A
[LOGO]
ANNUAL REPORT
year ended: October 31, 2013
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
November 2013
Dear Fellow Shareholder,
Our goal at Dimensional is to deliver an outstanding investment experience to
our clients. Our close ties to academia help us identify leading research that
can be beneficial to investors, and our team works to interpret, rigorously
test, and consider the practical applicability of those ideas in carefully
implemented investment strategies. This focus on research and implementation
has been central to Dimensional's approach since our founding and will continue
to be a key part of our offer to investors.
Sincerely,
/s/
David G. Booth
Chairman and Co-Chief Executive Officer
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes................. 1
Performance Charts...................................... 2
Management's Discussion and Analysis.................... 5
Disclosure of Fund Expenses............................. 10
Disclosure of Portfolio Holdings........................ 12
Schedules of Investments................................
Global Equity Portfolio............................. 13
Global Allocation 60/40 Portfolio................... 14
Global Allocation 25/75 Portfolio................... 15
Statements of Assets and Liabilities.................... 16
Statements of Operations................................ 17
Statements of Changes in Net Assets..................... 18
Financial Highlights.................................... 19
Notes to Financial Statements........................... 23
Report of Independent Registered Public Accounting Firm. 33
Fund Management............................................ 34
Voting Proxies on Fund Portfolio Securities................ 43
Notice to Shareholders..................................... 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.
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) 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.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
GLOBAL EQUITY PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS)
December 24, 2003-October 31, 2013
[CHART]
Global Equity Portfolio MSCI World Index
- Institutional Class (net div.)
---------------------------- ----------------------
12/24/2003 $10,000 $10,000
12/31/2003 10,180 10,196
01/31/2004 10,420 10,359
02/29/2004 10,640 10,533
03/31/2004 10,677 10,463
04/30/2004 10,377 10,248
05/31/2004 10,447 10,342
06/30/2004 10,781 10,554
07/31/2004 10,369 10,210
08/31/2004 10,409 10,254
09/30/2004 10,709 10,448
10/31/2004 10,940 10,704
11/30/2004 11,646 11,266
12/31/2004 12,114 11,696
01/31/2005 11,880 11,433
02/28/2005 12,246 11,795
03/31/2005 12,005 11,567
04/30/2005 11,619 11,315
05/31/2005 11,974 11,516
06/30/2005 12,209 11,616
07/31/2005 12,800 12,022
08/31/2005 12,831 12,112
09/30/2005 13,060 12,427
10/31/2005 12,743 12,125
11/30/2005 13,214 12,529
12/31/2005 13,441 12,807
01/31/2006 14,187 13,379
02/28/2006 14,208 13,359
03/31/2006 14,612 13,653
04/30/2006 14,964 14,067
05/31/2006 14,356 13,587
06/30/2006 14,326 13,583
07/31/2006 14,241 13,668
08/31/2006 14,594 14,022
09/30/2006 14,836 14,189
10/31/2006 15,449 14,710
11/30/2006 15,901 15,071
12/31/2006 16,193 15,377
01/31/2007 16,521 15,558
02/28/2007 16,411 15,477
03/31/2007 16,673 15,761
04/30/2007 17,298 16,456
05/31/2007 17,944 16,917
06/30/2007 17,718 16,786
07/31/2007 17,101 16,415
08/31/2007 17,079 16,402
09/30/2007 17,674 17,182
10/31/2007 18,171 17,709
11/30/2007 17,121 16,985
12/31/2007 16,906 16,766
01/31/2008 15,851 15,485
02/29/2008 15,579 15,395
03/31/2008 15,494 15,248
04/30/2008 16,257 16,049
05/31/2008 16,621 16,294
06/30/2008 15,095 14,994
07/31/2008 14,912 14,628
08/31/2008 14,866 14,423
09/30/2008 13,294 12,707
10/31/2008 10,529 10,298
11/30/2008 9,676 9,631
12/31/2008 10,146 9,940
01/31/2009 9,088 9,069
02/28/2009 8,089 8,141
03/31/2009 8,859 8,755
04/30/2009 10,131 9,737
05/31/2009 10,995 10,619
06/30/2009 10,965 10,572
07/31/2009 11,988 11,467
08/31/2009 12,517 11,940
09/30/2009 13,150 12,416
10/31/2009 12,666 12,195
11/30/2009 13,185 12,693
12/31/2009 13,647 12,921
01/31/2010 13,149 12,387
02/28/2010 13,505 12,562
03/31/2010 14,488 13,340
04/30/2010 14,797 13,342
05/31/2010 13,432 12,064
06/30/2010 12,802 11,650
07/31/2010 13,890 12,595
08/31/2010 13,209 12,124
09/30/2010 14,606 13,255
10/31/2010 15,146 13,749
11/30/2010 15,050 13,452
12/31/2010 16,288 14,441
01/31/2011 16,566 14,767
02/28/2011 17,146 15,284
03/31/2011 17,250 15,134
04/30/2011 17,854 15,777
05/31/2011 17,492 15,449
06/30/2011 17,170 15,205
07/31/2011 16,719 14,929
08/31/2011 15,379 13,877
09/30/2011 13,739 12,679
10/31/2011 15,391 13,990
11/30/2011 15,158 13,649
12/31/2011 15,082 13,641
01/31/2012 16,067 14,326
02/29/2012 16,807 15,025
03/31/2012 17,030 15,219
04/30/2012 16,796 15,046
05/31/2012 15,364 13,747
06/30/2012 16,063 14,447
07/31/2012 16,126 14,633
08/31/2012 16,598 15,004
09/30/2012 17,147 15,416
10/31/2012 17,084 15,312
11/30/2012 17,284 15,508
12/31/2012 17,833 15,800
01/31/2013 18,765 16,605
02/28/2013 18,853 16,632
03/31/2013 19,390 17,022
04/30/2013 19,730 17,558
05/31/2013 19,995 17,564
06/30/2013 19,582 17,132
07/31/2013 20,674 18,034 Past performance is not predictive of
08/31/2013 20,153 17,650 future performance.
09/30/2013 21,242 18,532
10/31/2013 22,071 19,258 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five From redemption of fund shares.
Total Return Year Years 12/24/2003
--------------------------------------------------------- MSCI data copyright MSCI 2013, all
29.19% 15.95% 8.37% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL EQUITY PORTFOLIO -- CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS)
December 24, 2003-October 31, 2013
[CHART]
Global Equity Portfolio- MSCI World Index
Class R2 (net div.)
---------------------------- -----------------------
12/24/2003 $10,000 $10,000
12/31/2003 10,180 10,196
01/31/2004 10,410 10,359
02/29/2004 10,640 10,533
03/31/2004 10,676 10,463
04/30/2004 10,366 10,248
05/31/2004 10,446 10,342
06/30/2004 10,768 10,554
07/31/2004 10,356 10,210
08/31/2004 10,396 10,254
09/30/2004 10,692 10,448
10/31/2004 10,913 10,704
11/30/2004 11,618 11,266
12/31/2004 12,093 11,696
01/31/2005 11,849 11,433
02/28/2005 12,204 11,795
03/31/2005 11,966 11,567
04/30/2005 11,591 11,315
05/31/2005 11,935 11,516
06/30/2005 12,169 11,616
07/31/2005 12,749 12,022
08/31/2005 12,780 12,112
09/30/2005 13,004 12,427
10/31/2005 12,687 12,125
11/30/2005 13,157 12,529
12/31/2005 13,372 12,807
01/31/2006 14,116 13,379
02/28/2006 14,126 13,359
03/31/2006 14,532 13,653
04/30/2006 14,873 14,067
05/31/2006 14,277 13,587
06/30/2006 14,232 13,583
07/31/2006 14,147 13,668
08/31/2006 14,499 14,022
09/30/2006 14,735 14,189
10/31/2006 15,344 14,710
11/30/2006 15,794 15,071
12/31/2006 16,079 15,377
01/31/2007 16,405 15,558
02/28/2007 16,285 15,477
03/31/2007 16,546 15,761
04/30/2007 17,156 16,456
05/31/2007 17,787 16,917
06/30/2007 17,565 16,786
07/31/2007 16,942 16,415
08/31/2007 16,931 16,402
09/30/2007 17,513 17,182
10/31/2007 17,995 17,709
11/30/2007 16,965 16,985
12/31/2007 16,736 16,766
01/31/2008 15,693 15,485
02/29/2008 15,413 15,395
03/31/2008 15,331 15,248
04/30/2008 16,073 16,049
05/31/2008 16,432 16,294
06/30/2008 14,932 14,994
07/31/2008 14,740 14,628
08/31/2008 14,694 14,423
09/30/2008 13,141 12,707
10/31/2008 10,397 10,298
11/30/2008 9,558 9,631
12/31/2008 10,021 9,940
01/31/2009 8,972 9,069
02/28/2009 7,980 8,141
03/31/2009 8,750 8,755
04/30/2009 9,997 9,737
05/31/2009 10,854 10,619
06/30/2009 10,813 10,572
07/31/2009 11,825 11,467
08/31/2009 12,331 11,940
09/30/2009 12,967 12,416
10/31/2009 12,483 12,195
11/30/2009 12,990 12,693
12/31/2009 13,444 12,921
01/31/2010 12,946 12,387
02/28/2010 13,293 12,562
03/31/2010 14,258 13,340
04/30/2010 14,560 13,342
05/31/2010 13,214 12,064
06/30/2010 12,590 11,650
07/31/2010 13,652 12,595
08/31/2010 12,987 12,124
09/30/2010 14,365 13,255
10/31/2010 14,880 13,749
11/30/2010 14,786 13,452
12/31/2010 16,002 14,441
01/31/2011 16,272 14,767
02/28/2011 16,838 15,284
03/31/2011 16,935 15,134
04/30/2011 17,525 15,777
05/31/2011 17,159 15,449
06/30/2011 16,835 15,205
07/31/2011 16,396 14,929
08/31/2011 15,080 13,877
09/30/2011 13,473 12,679
10/31/2011 15,080 13,990
11/30/2011 14,854 13,649
12/31/2011 14,769 13,641
01/31/2012 15,739 14,326
02/29/2012 16,470 15,025
03/31/2012 16,676 15,219
04/30/2012 16,449 15,046
05/31/2012 15,034 13,747
06/30/2012 15,726 14,447
07/31/2012 15,774 14,633
08/31/2012 16,233 15,004
09/30/2012 16,779 15,416
10/31/2012 16,706 15,312
11/30/2012 16,900 15,508
12/31/2012 17,430 15,800
01/31/2013 18,333 16,605
02/28/2013 18,406 16,632
03/31/2013 18,943 17,022
04/30/2013 19,273 17,558
05/31/2013 19,518 17,564
06/30/2013 19,118 17,132
07/31/2013 20,176 18,034 Past performance is not predictive of
08/31/2013 19,660 17,650 future performance.
09/30/2013 20,713 18,532
10/31/2013 21,528 19,258 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five From redemption of fund shares.
Total Return Year Years 12/24/2003
--------------------------------------------------------- MSCI data copyright MSCI 2013, all
28.87% 15.67% 8.09% rights reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS),
CITIGROUP WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 60/40 COMPOSITE INDEX (MSCI/CITIGROUP)
December 24, 2003-October 31, 2013
[CHART]
Global Citi World
60/40 Government Bond Global 60/40
Portfolio Index,1-3 Years, Composite
- Institutional MSCI World Currency -Hedged Index
Class Index (net div.) in USD Terms (MSCI/Citigroup)
-------------- --------------- --------------- ----------------
12/24/2003 $10,000 $10,000 $10,000 $10,000
12/31/2003 10,110 10,196 10,004 10,046
01/31/2004 10,190 10,359 10,027 10,152
02/29/2004 10,350 10,533 10,069 10,271
03/31/2004 10,399 10,463 10,091 10,239
04/30/2004 10,139 10,248 10,051 10,097
05/31/2004 10,179 10,342 10,051 10,152
06/30/2004 10,376 10,554 10,053 10,278
07/31/2004 10,155 10,210 10,078 10,087
08/31/2004 10,236 10,254 10,128 10,134
09/30/2004 10,416 10,448 10,136 10,252
10/31/2004 10,557 10,704 10,169 10,416
11/30/2004 10,941 11,266 10,181 10,749
12/31/2004 11,228 11,696 10,198 11,002
01/31/2005 11,096 11,433 10,222 10,864
02/28/2005 11,289 11,795 10,225 11,072
03/31/2005 11,137 11,567 10,248 10,954
04/30/2005 10,974 11,315 10,303 10,834
05/31/2005 11,198 11,516 10,345 10,967
06/30/2005 11,351 11,616 10,384 11,040
07/31/2005 11,658 12,022 10,380 11,270
08/31/2005 11,719 12,112 10,423 11,339
09/30/2005 11,811 12,427 10,424 11,517
10/31/2005 11,637 12,125 10,429 11,351
11/30/2005 11,904 12,529 10,459 11,591
12/31/2005 12,037 12,807 10,495 11,762
01/31/2006 12,441 13,379 10,524 12,089
02/28/2006 12,462 13,359 10,543 12,088
03/31/2006 12,669 13,653 10,553 12,252
04/30/2006 12,871 14,067 10,591 12,492
05/31/2006 12,594 13,587 10,625 12,253
06/30/2006 12,588 13,583 10,654 12,264
07/31/2006 12,578 13,668 10,722 12,341
08/31/2006 12,802 14,022 10,794 12,566
09/30/2006 12,945 14,189 10,840 12,678
10/31/2006 13,287 14,710 10,880 12,975
11/30/2006 13,544 15,071 10,930 13,190
12/31/2006 13,707 15,377 10,951 13,361
01/31/2007 13,891 15,558 10,993 13,476
02/28/2007 13,870 15,477 11,053 13,464
03/31/2007 14,023 15,761 11,092 13,630
04/30/2007 14,359 16,456 11,129 14,009
05/31/2007 14,695 16,917 11,138 14,249
06/30/2007 14,604 16,786 11,179 14,204
07/31/2007 14,333 16,415 11,258 14,055
08/31/2007 14,365 16,402 11,358 14,099
09/30/2007 14,683 17,182 11,422 14,533
10/31/2007 14,969 17,709 11,471 14,826
11/30/2007 14,463 16,985 11,579 14,518
12/31/2007 14,381 16,766 11,613 14,422
01/31/2008 13,877 15,485 11,753 13,831
02/29/2008 13,743 15,395 11,816 13,812
03/31/2008 13,708 15,248 11,816 13,733
04/30/2008 14,100 16,049 11,773 14,146
05/31/2008 14,291 16,294 11,735 14,257
06/30/2008 13,528 14,994 11,740 13,577
07/31/2008 13,438 14,628 11,804 13,408
08/31/2008 13,348 14,423 11,858 13,319
09/30/2008 12,419 12,707 11,937 12,404
10/31/2008 10,779 10,298 12,085 11,055
11/30/2008 10,293 9,631 12,167 10,656
12/31/2008 10,680 9,940 12,257 10,892
01/31/2009 9,959 9,069 12,283 10,329
02/28/2009 9,296 8,141 12,302 9,701
03/31/2009 9,946 8,755 12,352 10,156
04/30/2009 10,851 9,737 12,361 10,842
05/31/2009 11,527 10,619 12,386 11,440
06/30/2009 11,531 10,572 12,397 11,413
07/31/2009 12,245 11,467 12,427 12,004
08/31/2009 12,614 11,940 12,458 12,313
09/30/2009 13,064 12,416 12,487 12,619
10/31/2009 12,821 12,195 12,499 12,490
11/30/2009 13,192 12,693 12,538 12,811
12/31/2009 13,405 12,921 12,510 12,938
01/31/2010 13,149 12,387 12,543 12,631
02/28/2010 13,371 12,562 12,581 12,753
03/31/2010 13,955 13,340 12,580 13,227
04/30/2010 14,177 13,342 12,578 13,227
05/31/2010 13,361 12,064 12,628 12,488
06/30/2010 13,039 11,650 12,642 12,236
07/31/2010 13,754 12,595 12,669 12,842
08/31/2010 13,390 12,124 12,698 12,566
09/30/2010 14,286 13,255 12,691 13,266
10/31/2010 14,650 13,749 12,704 13,568
11/30/2010 14,521 13,452 12,672 13,379
12/31/2010 15,247 14,441 12,678 13,972
01/31/2011 15,414 14,767 12,679 14,161
02/28/2011 15,758 15,284 12,675 14,457
03/31/2011 15,846 15,134 12,668 14,369
04/30/2011 16,298 15,777 12,690 14,745
05/31/2011 16,120 15,449 12,725 14,577
06/30/2011 15,951 15,205 12,730 14,441
07/31/2011 15,819 14,929 12,744 14,291
08/31/2011 15,125 13,877 12,817 13,719
09/30/2011 14,045 12,679 12,816 13,008
10/31/2011 15,139 13,990 12,804 13,811
11/30/2011 14,947 13,649 12,787 13,601
12/31/2011 14,918 13,641 12,859 13,627
01/31/2012 15,600 14,326 12,895 14,052
02/29/2012 16,062 15,025 12,912 14,472
03/31/2012 16,170 15,219 12,909 14,582
04/30/2012 16,072 15,046 12,920 14,487
05/31/2012 15,207 13,747 12,915 13,735
06/30/2012 15,671 14,447 12,930 14,161
07/31/2012 15,769 14,633 12,953 14,280 Global 60/40 Composite Index (MSCI/
08/31/2012 16,088 15,004 12,984 14,511 Citigroup) is an unmanaged
09/30/2012 16,443 15,416 12,999 14,757 hypothetical Index composed of 60%
10/31/2012 16,406 15,312 13,006 14,701 MSCI World Index (net dividends) and
11/30/2012 16,541 15,508 13,024 14,822 40% Citigroup World Government Bond
12/31/2012 16,866 15,800 13,034 14,994 Index, 1-3 Years, Currency-Hedged in
01/31/2013 17,363 16,605 13,038 15,454 USD Terms.
02/28/2013 17,425 16,632 13,054 15,476
03/31/2013 17,746 17,022 13,063 15,698 Past performance is not predictive of
04/30/2013 17,995 17,558 13,089 16,008 future performance.
05/31/2013 18,020 17,564 13,074 16,004
06/30/2013 17,651 17,132 13,060 15,760 The returns shown do not reflect the
07/31/2013 18,302 18,034 13,084 16,270 deduction of taxes that a shareholder
08/31/2013 17,964 17,650 13,079 16,059 would pay on fund distributions or the
09/30/2013 18,647 18,532 13,104 16,554 redemption of fund shares.
10/31/2013 19,137 19,258 13,128 16,955
Data includes composite data from
multiple sources; see data descriptions
Average Annual One Five From for additional details. MSCI data
Total Return Year Years 12/24/2003 copyright MSCI 2013, all rights reserved.
----------------------------------------------------------------- Citigroup bond indices copyright 2013
16.65% 12.16% 6.81% by Citigroup.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 PORTFOLIO -- CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS),
CITIGROUP WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 60/40 COMPOSITE INDEX (MSCI/CITIGROUP)
December 24, 2003-October 31, 2013
[CHART]
Citi World
Global Government Bond Global 60/40
60/40 Index,1-3 Years, Composite
Portfolio- MSCI World Currency -Hedged Index
Class R2 Index (net div.) in USD Terms (MSCI/Citigroup)
-------------- --------------- --------------- ----------------
12/24/2003 $10,000 $10,000 $10,000 $10,000
12/31/2003 10,110 10,196 10,004 10,046
01/31/2004 10,190 10,359 10,027 10,152
02/29/2004 10,350 10,533 10,069 10,271
03/31/2004 10,398 10,463 10,091 10,239
04/30/2004 10,138 10,248 10,051 10,097
05/31/2004 10,168 10,342 10,051 10,152
06/30/2004 10,370 10,554 10,053 10,278
07/31/2004 10,159 10,210 10,078 10,087
08/31/2004 10,240 10,254 10,128 10,134
09/30/2004 10,414 10,448 10,136 10,252
10/31/2004 10,555 10,704 10,169 10,416
11/30/2004 10,929 11,266 10,181 10,749
12/31/2004 11,205 11,696 10,198 11,002
01/31/2005 11,083 11,433 10,222 10,864
02/28/2005 11,276 11,795 10,225 11,072
03/31/2005 11,119 11,567 10,248 10,954
04/30/2005 10,957 11,315 10,303 10,834
05/31/2005 11,181 11,516 10,345 10,967
06/30/2005 11,323 11,616 10,384 11,040
07/31/2005 11,630 12,022 10,380 11,270
08/31/2005 11,681 12,112 10,423 11,339
09/30/2005 11,783 12,427 10,424 11,517
10/31/2005 11,599 12,125 10,429 11,351
11/30/2005 11,865 12,529 10,459 11,591
12/31/2005 11,996 12,807 10,495 11,762
01/31/2006 12,400 13,379 10,524 12,089
02/28/2006 12,421 13,359 10,543 12,088
03/31/2006 12,623 13,653 10,553 12,252
04/30/2006 12,814 14,067 10,591 12,492
05/31/2006 12,538 13,587 10,625 12,253
06/30/2006 12,529 13,583 10,654 12,264
07/31/2006 12,519 13,668 10,722 12,341
08/31/2006 12,732 14,022 10,794 12,566
09/30/2006 12,881 14,189 10,840 12,678
10/31/2006 13,211 14,710 10,880 12,975
11/30/2006 13,466 15,071 10,930 13,190
12/31/2006 13,623 15,377 10,951 13,361
01/31/2007 13,807 15,558 10,993 13,476
02/28/2007 13,774 15,477 11,053 13,464
03/31/2007 13,925 15,761 11,092 13,630
04/30/2007 14,249 16,456 11,129 14,009
05/31/2007 14,583 16,917 11,138 14,249
06/30/2007 14,497 16,786 11,179 14,204
07/31/2007 14,216 16,415 11,258 14,055
08/31/2007 14,248 16,402 11,358 14,099
09/30/2007 14,560 17,182 11,422 14,533
10/31/2007 14,844 17,709 11,471 14,826
11/30/2007 14,342 16,985 11,579 14,518
12/31/2007 14,250 16,766 11,613 14,422
01/31/2008 13,752 15,485 11,753 13,831
02/29/2008 13,619 15,395 11,816 13,812
03/31/2008 13,586 15,248 11,816 13,733
04/30/2008 13,963 16,049 11,773 14,146
05/31/2008 14,151 16,294 11,735 14,257
06/30/2008 13,399 14,994 11,740 13,577
07/31/2008 13,299 14,628 11,804 13,408
08/31/2008 13,210 14,423 11,858 13,319
09/30/2008 12,286 12,707 11,937 12,404
10/31/2008 10,666 10,298 12,085 11,055
11/30/2008 10,175 9,631 12,167 10,656
12/31/2008 10,556 9,940 12,257 10,892
01/31/2009 9,847 9,069 12,283 10,329
02/28/2009 9,194 8,141 12,302 9,701
03/31/2009 9,834 8,755 12,352 10,156
04/30/2009 10,724 9,737 12,361 10,842
05/31/2009 11,389 10,619 12,386 11,440
06/30/2009 11,388 10,572 12,397 11,413
07/31/2009 12,078 11,467 12,427 12,004
08/31/2009 12,440 11,940 12,458 12,313
09/30/2009 12,885 12,416 12,487 12,619
10/31/2009 12,635 12,195 12,499 12,490
11/30/2009 13,010 12,693 12,538 12,811
12/31/2009 13,212 12,921 12,510 12,938
01/31/2010 12,961 12,387 12,543 12,631
02/28/2010 13,178 12,562 12,581 12,753
03/31/2010 13,754 13,340 12,580 13,227
04/30/2010 13,971 13,342 12,578 13,227
05/31/2010 13,160 12,064 12,628 12,488
06/30/2010 12,837 11,650 12,642 12,236
07/31/2010 13,548 12,595 12,669 12,842
08/31/2010 13,170 12,124 12,698 12,566
09/30/2010 14,048 13,255 12,691 13,266
10/31/2010 14,405 13,749 12,704 13,568
11/30/2010 14,290 13,452 12,672 13,379
12/31/2010 14,988 14,441 12,678 13,972
01/31/2011 15,150 14,767 12,679 14,161
02/28/2011 15,487 15,284 12,675 14,457
03/31/2011 15,567 15,134 12,668 14,369
04/30/2011 16,009 15,777 12,690 14,745
05/31/2011 15,835 15,449 12,725 14,577
06/30/2011 15,659 15,205 12,730 14,441
07/31/2011 15,519 14,929 12,744 14,291
08/31/2011 14,841 13,877 12,817 13,719
09/30/2011 13,776 12,679 12,816 13,008
10/31/2011 14,855 13,990 12,804 13,811
11/30/2011 14,656 13,649 12,787 13,601
12/31/2011 14,631 13,641 12,859 13,627
01/31/2012 15,283 14,326 12,895 14,052
02/29/2012 15,746 15,025 12,912 14,472
03/31/2012 15,841 15,219 12,909 14,582
04/30/2012 15,746 15,046 12,920 14,487
05/31/2012 14,891 13,747 12,915 13,735
06/30/2012 15,335 14,447 12,930 14,161 Global 60/40 Composite Index (MSCI/
07/31/2012 15,442 14,633 12,953 14,280 Citigroup) is an unmanaged
08/31/2012 15,741 15,004 12,984 14,511 hypothetical Index composed of 60%
09/30/2012 16,075 15,416 12,999 14,757 MSCI World Index (net dividends) and
10/31/2012 16,052 15,312 13,006 14,701 40% Citigroup World Government Bond
11/30/2012 16,183 15,508 13,024 14,822 Index, 1-3 Years, Currency-Hedged in
12/31/2012 16,486 15,800 13,034 14,994 USD Terms.
01/31/2013 16,970 16,605 13,038 15,454
02/28/2013 17,030 16,632 13,054 15,476 Past performance is not predictive of
03/31/2013 17,347 17,022 13,063 15,698 future performance.
04/30/2013 17,577 17,558 13,089 16,008
05/31/2013 17,601 17,564 13,074 16,004 The returns shown do not reflect the
06/30/2013 17,232 17,132 13,060 15,760 deduction of taxes that a shareholder
07/31/2013 17,864 18,034 13,084 16,270 would pay on fund distributions or the
08/31/2013 17,523 17,650 13,079 16,059 redemption of fund shares.
09/30/2013 18,200 18,532 13,104 16,554
10/31/2013 18,675 19,258 13,128 16,955 Data includes composite data from
multiple sources; see data descriptions
Average Annual One Five From for additional details. MSCI data
Total Return Year Years 12/24/2003 copyright MSCI 2013, all rights reserved.
----------------------------------------------------------------- Citigroup bond indices copyright 2013
16.35% 11.85% 6.55% by Citigroup.
--------------------------------------------------------------------------------
3
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 25/75 PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS),
CITIGROUP WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 25/75 COMPOSITE INDEX (MSCI/CITIGROUP)
December 24, 2003-October 31, 2013
[CHART]
Global Citi World
25/75 Government Bond Global 25/75
Portfolio Index,1-3 Years, Composite
- Institutional MSCI World Currency -Hedged Index
Class Index (net div.) in USD Terms (MSCI/Citigroup)
-------------- --------------- --------------- ----------------
12/24/2003 $10,000 $10,000 $10,000 $10,000
12/31/2003 10,040 10,196 10,004 10,022
01/31/2004 10,130 10,359 10,027 10,079
02/29/2004 10,240 10,533 10,069 10,153
03/31/2004 10,299 10,463 10,091 10,153
04/30/2004 10,078 10,248 10,051 10,071
05/31/2004 10,078 10,342 10,051 10,093
06/30/2004 10,170 10,554 10,053 10,147
07/31/2004 10,109 10,210 10,078 10,083
08/31/2004 10,210 10,254 10,128 10,132
09/30/2004 10,290 10,448 10,136 10,185
10/31/2004 10,371 10,704 10,169 10,273
11/30/2004 10,472 11,266 10,181 10,417
12/31/2004 10,604 11,696 10,198 10,529
01/31/2005 10,564 11,433 10,222 10,489
02/28/2005 10,615 11,795 10,225 10,574
03/31/2005 10,546 11,567 10,248 10,541
04/30/2005 10,526 11,315 10,303 10,526
05/31/2005 10,658 11,516 10,345 10,605
06/30/2005 10,740 11,616 10,384 10,657
07/31/2005 10,843 12,022 10,380 10,747
08/31/2005 10,904 12,112 10,423 10,801
09/30/2005 10,914 12,427 10,424 10,872
10/31/2005 10,842 12,125 10,429 10,810
11/30/2005 10,966 12,529 10,459 10,923
12/31/2005 11,028 12,807 10,495 11,012
01/31/2006 11,197 13,379 10,524 11,158
02/28/2006 11,218 13,359 10,543 11,169
03/31/2006 11,297 13,653 10,553 11,238
04/30/2006 11,382 14,067 10,591 11,354
05/31/2006 11,308 13,587 10,625 11,284
06/30/2006 11,330 13,583 10,654 11,306
07/31/2006 11,362 13,668 10,722 11,378
08/31/2006 11,489 14,022 10,794 11,509
09/30/2006 11,564 14,189 10,840 11,581
10/31/2006 11,712 14,710 10,880 11,719
11/30/2006 11,840 15,071 10,930 11,830
12/31/2006 11,912 15,377 10,951 11,908
01/31/2007 12,009 15,558 10,993 11,977
02/28/2007 12,041 15,477 11,053 12,011
03/31/2007 12,128 15,761 11,092 12,098
04/30/2007 12,268 16,456 11,129 12,261
05/31/2007 12,408 16,917 11,138 12,354
06/30/2007 12,405 16,786 11,179 12,364
07/31/2007 12,341 16,415 11,258 12,362
08/31/2007 12,405 16,402 11,358 12,442
09/30/2007 12,543 17,182 11,422 12,642
10/31/2007 12,685 17,709 11,471 12,780
11/30/2007 12,532 16,985 11,579 12,739
12/31/2007 12,532 16,766 11,613 12,726
01/31/2008 12,387 15,485 11,753 12,598
02/29/2008 12,365 15,395 11,816 12,631
03/31/2008 12,353 15,248 11,816 12,601
04/30/2008 12,487 16,049 11,773 12,732
05/31/2008 12,554 16,294 11,735 12,749
06/30/2008 12,288 14,994 11,740 12,499
07/31/2008 12,288 14,628 11,804 12,474
08/31/2008 12,311 14,423 11,858 12,473
09/30/2008 11,924 12,707 11,937 12,164
10/31/2008 11,335 10,298 12,085 11,701
11/30/2008 11,210 9,631 12,167 11,572
12/31/2008 11,442 9,940 12,257 11,729
01/31/2009 11,154 9,069 12,283 11,490
02/28/2009 10,819 8,141 12,302 11,210
03/31/2009 11,214 8,755 12,352 11,455
04/30/2009 11,652 9,737 12,361 11,783
05/31/2009 11,998 10,619 12,386 12,067
06/30/2009 12,039 10,572 12,397 12,061
07/31/2009 12,387 11,467 12,427 12,339
08/31/2009 12,596 11,940 12,458 12,489
09/30/2009 12,830 12,416 12,487 12,635
10/31/2009 12,771 12,195 12,499 12,588
11/30/2009 13,005 12,693 12,538 12,746
12/31/2009 13,030 12,921 12,510 12,782
01/31/2010 13,007 12,387 12,543 12,675
02/28/2010 13,102 12,562 12,581 12,749
03/31/2010 13,328 13,340 12,580 12,946
04/30/2010 13,495 13,342 12,578 12,944
05/31/2010 13,174 12,064 12,628 12,673
06/30/2010 13,097 11,650 12,642 12,575
07/31/2010 13,431 12,595 12,669 12,850
08/31/2010 13,336 12,124 12,698 12,752
09/30/2010 13,737 13,255 12,691 13,044
10/31/2010 13,942 13,749 12,704 13,175
11/30/2010 13,858 13,452 12,672 13,080
12/31/2010 14,088 14,441 12,678 13,325
01/31/2011 14,185 14,767 12,679 13,401
02/28/2011 14,330 15,284 12,675 13,515
03/31/2011 14,375 15,134 12,668 13,476
04/30/2011 14,606 15,777 12,690 13,636
05/31/2011 14,582 15,449 12,725 13,594
06/30/2011 14,536 15,205 12,730 13,544
07/31/2011 14,573 14,929 12,744 13,494
08/31/2011 14,341 13,877 12,817 13,315
09/30/2011 13,925 12,679 12,816 13,026
10/31/2011 14,392 13,990 12,804 13,354
11/30/2011 14,318 13,649 12,787 13,259
12/31/2011 14,318 13,641 12,859 13,314
01/31/2012 14,652 14,326 12,895 13,509
02/29/2012 14,825 15,025 12,912 13,687
03/31/2012 14,869 15,219 12,909 13,728
04/30/2012 14,881 15,046 12,920 13,698
05/31/2012 14,608 13,747 12,915 13,398
06/30/2012 14,767 14,447 12,930 13,581
07/31/2012 14,866 14,633 12,953 13,642 Global 25/75 Composite Index (MSCI/
08/31/2012 14,991 15,004 12,984 13,754 Citigroup) is an unmanaged
09/30/2012 15,143 15,416 12,999 13,860 hypothetical Index composed of 25%
10/31/2012 15,143 15,312 13,006 13,842 MSCI World Index (net dividends) and
11/30/2012 15,219 15,508 13,024 13,901 75% Citigroup World Government Bond
12/31/2012 15,320 15,800 13,034 13,974 Index, 1-3 Years, Currency-Hedged in
01/31/2013 15,497 16,605 13,038 14,155 USD Terms.
02/28/2013 15,547 16,632 13,054 14,174
03/31/2013 15,685 17,022 13,063 14,264 Past performance is not predictive of
04/30/2013 15,798 17,558 13,089 14,398 future performance.
05/31/2013 15,735 17,564 13,074 14,387
06/30/2013 15,516 17,132 13,060 14,287 The returns shown do not reflect the
07/31/2013 15,782 18,034 13,084 14,495 deduction of taxes that a shareholder
08/31/2013 15,630 17,650 13,079 14,413 would pay on fund distributions or the
09/30/2013 15,907 18,532 13,104 14,614 redemption of fund shares.
10/31/2013 16,110 19,258 13,128 14,778
Data includes composite data from
multiple sources; see data descriptions
Average Annual One Five From for additional details. MSCI data
Total Return Year Years 12/24/2003 copyright MSCI 2013, all rights reserved.
---------------------------------------------------------------- Citigroup bond indices copyright 2013
6.38% 7.28% 4.96% by Citigroup.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 25/75 PORTFOLIO -- CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS),
CITIGROUP WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 25/75 COMPOSITE INDEX (MSCI/CITIGROUP)
December 24, 2003-October 31, 2013
[CHART]
Citi World
Global Government Bond Global 25/75
25/75 Index,1-3 Years, Composite
Portfolio - MSCI World Currency -Hedged Index
Class R2 Index (net div.) in USD Terms (MSCI/Citigroup)
-------------- --------------- --------------- ----------------
12/24/2003 $10,000 $10,000 $10,000 $10,000
12/31/2003 10,040 10,196 10,004 10,022
01/31/2004 10,130 10,359 10,027 10,079
02/29/2004 10,240 10,533 10,069 10,153
03/31/2004 10,292 10,463 10,091 10,153
04/30/2004 10,061 10,248 10,051 10,071
05/31/2004 10,061 10,342 10,051 10,093
06/30/2004 10,150 10,554 10,053 10,147
07/31/2004 10,090 10,210 10,078 10,083
08/31/2004 10,190 10,254 10,128 10,132
09/30/2004 10,262 10,448 10,136 10,185
10/31/2004 10,353 10,704 10,169 10,273
11/30/2004 10,444 11,266 10,181 10,417
12/31/2004 10,574 11,696 10,198 10,529
01/31/2005 10,543 11,433 10,222 10,489
02/28/2005 10,594 11,795 10,225 10,574
03/31/2005 10,513 11,567 10,248 10,541
04/30/2005 10,502 11,315 10,303 10,526
05/31/2005 10,625 11,516 10,345 10,605
06/30/2005 10,706 11,616 10,384 10,657
07/31/2005 10,799 12,022 10,380 10,747
08/31/2005 10,860 12,112 10,423 10,801
09/30/2005 10,870 12,427 10,424 10,872
10/31/2005 10,798 12,125 10,429 10,810
11/30/2005 10,911 12,529 10,459 10,923
12/31/2005 10,971 12,807 10,495 11,012
01/31/2006 11,140 13,379 10,524 11,158
02/28/2006 11,161 13,359 10,543 11,169
03/31/2006 11,239 13,653 10,553 11,238
04/30/2006 11,323 14,067 10,591 11,354
05/31/2006 11,249 13,587 10,625 11,284
06/30/2006 11,260 13,583 10,654 11,306
07/31/2006 11,292 13,668 10,722 11,378
08/31/2006 11,419 14,022 10,794 11,509
09/30/2006 11,493 14,189 10,840 11,581
10/31/2006 11,641 14,710 10,880 11,719
11/30/2006 11,757 15,071 10,930 11,830
12/31/2006 11,830 15,377 10,951 11,908
01/31/2007 11,927 15,558 10,993 11,977
02/28/2007 11,948 15,477 11,053 12,011
03/31/2007 12,034 15,761 11,092 12,098
04/30/2007 12,163 16,456 11,129 12,261
05/31/2007 12,302 16,917 11,138 12,354
06/30/2007 12,302 16,786 11,179 12,364
07/31/2007 12,238 16,415 11,258 12,362
08/31/2007 12,292 16,402 11,358 12,442
09/30/2007 12,432 17,182 11,422 12,642
10/31/2007 12,563 17,709 11,471 12,780
11/30/2007 12,411 16,985 11,579 12,739
12/31/2007 12,408 16,766 11,613 12,726
01/31/2008 12,264 15,485 11,753 12,598
02/29/2008 12,231 15,395 11,816 12,631
03/31/2008 12,221 15,248 11,816 12,601
04/30/2008 12,342 16,049 11,773 12,732
05/31/2008 12,409 16,294 11,735 12,749
06/30/2008 12,141 14,994 11,740 12,499
07/31/2008 12,130 14,628 11,804 12,474
08/31/2008 12,163 14,423 11,858 12,473
09/30/2008 11,763 12,707 11,937 12,164
10/31/2008 11,194 10,298 12,085 11,701
11/30/2008 11,060 9,631 12,167 11,572
12/31/2008 11,289 9,940 12,257 11,729
01/31/2009 10,995 9,069 12,283 11,490
02/28/2009 10,678 8,141 12,302 11,210
03/31/2009 11,052 8,755 12,352 11,455
04/30/2009 11,493 9,737 12,361 11,783
05/31/2009 11,822 10,619 12,386 12,067
06/30/2009 11,862 10,572 12,397 12,061
07/31/2009 12,204 11,467 12,427 12,339
08/31/2009 12,397 11,940 12,458 12,489
09/30/2009 12,628 12,416 12,487 12,635
10/31/2009 12,559 12,195 12,499 12,588
11/30/2009 12,800 12,693 12,538 12,746
12/31/2009 12,816 12,921 12,510 12,782
01/31/2010 12,793 12,387 12,543 12,675
02/28/2010 12,874 12,562 12,581 12,749
03/31/2010 13,110 13,340 12,580 12,946
04/30/2010 13,261 13,342 12,578 12,944
05/31/2010 12,947 12,064 12,628 12,673
06/30/2010 12,873 11,650 12,642 12,575
07/31/2010 13,165 12,595 12,669 12,850
08/31/2010 13,071 12,124 12,698 12,752
09/30/2010 13,453 13,255 12,691 13,044
10/31/2010 13,652 13,749 12,704 13,175
11/30/2010 13,570 13,452 12,672 13,080
12/31/2010 13,784 14,441 12,678 13,325
01/31/2011 13,878 14,767 12,679 13,401
02/28/2011 14,008 15,284 12,675 13,515
03/31/2011 14,041 15,134 12,668 13,476
04/30/2011 14,266 15,777 12,690 13,636
05/31/2011 14,242 15,449 12,725 13,594
06/30/2011 14,181 15,205 12,730 13,544
07/31/2011 14,216 14,929 12,744 13,494
08/31/2011 13,991 13,877 12,817 13,315
09/30/2011 13,570 12,679 12,816 13,026
10/31/2011 14,022 13,990 12,804 13,354
11/30/2011 13,939 13,649 12,787 13,259
12/31/2011 13,944 13,641 12,859 13,314
01/31/2012 14,256 14,326 12,895 13,509
02/29/2012 14,436 15,025 12,912 13,687
03/31/2012 14,470 15,219 12,909 13,728
04/30/2012 14,482 15,046 12,920 13,698
05/31/2012 14,206 13,747 12,915 13,398
06/30/2012 14,351 14,447 12,930 13,581 Global 25/75 Composite Index (MSCI/
07/31/2012 14,447 14,633 12,953 13,642 Citigroup) is an unmanaged
08/31/2012 14,568 15,004 12,984 13,754 hypothetical Index composed of 25%
09/30/2012 14,716 15,416 12,999 13,860 MSCI World Index (net dividends) and
10/31/2012 14,704 15,312 13,006 13,842 75% Citigroup World Government Bond
11/30/2012 14,777 15,508 13,024 13,901 Index, 1-3 Years, Currency-Hedged in
12/31/2012 14,873 15,800 13,034 13,974 USD Terms.
01/31/2013 15,043 16,605 13,038 14,155
02/28/2013 15,092 16,632 13,054 14,174 Past performance is not predictive of
03/31/2013 15,207 17,022 13,063 14,264 future performance.
04/30/2013 15,316 17,558 13,089 14,398
05/31/2013 15,255 17,564 13,074 14,387 The returns shown do not reflect the
06/30/2013 15,046 17,132 13,060 14,287 deduction of taxes that a shareholder
07/31/2013 15,291 18,034 13,084 14,495 would pay on fund distributions or the
08/31/2013 15,132 17,650 13,079 14,413 redemption of fund shares.
09/30/2013 15,412 18,532 13,104 14,614
10/31/2013 15,608 19,258 13,128 14,778 Data includes composite data from
multiple sources; see data descriptions
Average Annual One Five From for additional details. MSCI data
Total Return Year Years 12/24/2003 copyright MSCI 2013, all rights reserved.
---------------------------------------------------------------- Citigroup bond indices copyright 2013
6.15% 6.87% 4.62% by Citigroup.
--------------------------------------------------------------------------------
4
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. Equity Market Review 12 Months Ended October 31, 2013
The one-year period ended October 31, 2013, was characterized by strong
gains in U.S. equities. The broad U.S. equity market, as measured by the
Russell 3000(R) Index, had positive returns in 10 of the 12 months.
The size premium was positive during the period with small cap stocks
outperforming large cap stocks as measured by the Russell indices. Micro cap
stocks were the strongest performers.
Total Return for 12 Months Ended October 31, 2013
-------------------------------------------------
Russell 3000(R) Index........................ 28.99%
Russell Microcap(R) Index (micro cap stocks). 38.72%
Russell 2000(R) Index (small cap stocks)..... 36.28%
Russell 1000(R) Index (large cap stocks)..... 28.40%
Dow Jones U.S. Select REIT Index /SM/........ 9.96%
The value premium was negative in small cap stocks while the performance of
large cap value and large cap growth was almost identical as measured by the
Russell indices.
Total Return for 12 Months Ended October 31, 2013
-------------------------------------------------
Russell 2000(R) Value Index (small cap value stocks)... 32.83%
Russell 2000(R) Growth Index (small cap growth stocks). 39.84%
Russell 1000(R) Value Index (large cap value stocks)... 28.29%
Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
----------
Source: Russell data copyright (C) Russell Investment Group 1995-2013, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/ growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
12 months ended October 31, 2013, were primarily attributable to differences in
value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value, small cap and/or micro cap companies relative to
widely used benchmarks.
International Equity Market Review 12 Months Ended October 31, 2013
The one-year period ended October 31, 2013, was characterized by generally
positive monthly returns in the international equity markets with the exception
of a sharp decline from May to June and a smaller decline in August. As
measured by the MSCI indices below for developed markets outside the U.S.,
small cap stocks generally outperformed large cap stocks while value stocks
outperformed growth stocks.
12 Months Ended October 31, 2013
--------------------------------
U.S. Dollar Return
- ------------------
MSCI World ex USA Index........... 24.65%
MSCI World ex USA Small Cap Index. 27.81%
MSCI World ex USA Value Index..... 26.12%
MSCI World ex USA Growth Index.... 23.17%
5
During the period, the U.S. dollar (USD) was mixed against developed markets
currencies. While the U.S. dollar depreciated against the euro, Swiss franc,
and several other European-based developed markets currencies, it appreciated
against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 Months Ended October 31, 2013
--------------------------------
Ten Largest Foreign Developed Markets by Market Cap Local Currency Return U.S. Dollar Return
--------------------------------------------------- --------------------- ------------------
United Kingdom.................... 20.70% 20.37%
Japan............................. 64.48% 34.00%
Canada............................ 10.59% 5.99%
France............................ 27.55% 33.82%
Australia......................... 26.44% 15.47%
Switzerland....................... 27.49% 31.10%
Germany........................... 24.72% 30.85%
Spain............................. 30.69% 37.11%
Sweden............................ 24.39% 27.55%
Hong Kong......................... 14.30% 14.25%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
Gains in emerging markets were lower on average than in developed markets
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2013, returns in U.S. dollars were
6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the
MSCI World ex USA Index (net dividends). As measured by the MSCI emerging
markets indices, small cap stocks outperformed large cap stocks while growth
stocks outperformed value stocks.
12 Months Ended October 31, 2013
--------------------------------
U.S. Dollar Return
- ------------------
MSCI Emerging Markets Index........... 6.53%
MSCI Emerging Markets Small Cap Index. 10.29%
MSCI Emerging Markets Value Index..... 3.88%
MSCI Emerging Markets Growth Index.... 9.06%
During the period, the U.S. dollar (USD) generally appreciated against most
emerging markets currencies, except those in eastern Europe, decreasing USD
denominated returns in emerging markets.
12 Months Ended October 31, 2013
--------------------------------
Ten Largest Emerging Markets by Market Cap Local Currency Return U.S. Dollar Return
------------------------------------------ --------------------- ------------------
China........................ 9.32% 9.28%
South Korea.................. 9.57% 12.65%
Brazil....................... 7.85% -1.52%
Taiwan....................... 18.76% 18.08%
South Africa................. 20.85% 5.07%
India........................ 14.98% 0.65%
Russia....................... 12.94% 10.89%
Mexico....................... 1.41% 2.11%
Malaysia..................... 13.25% 9.32%
Indonesia.................... 1.33% -13.66%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
Fixed Income Market Review 12 Months Ended October 31, 2013
U.S. and developed international fixed income markets generally experienced
rising interest rates for the year ended October 31, 2013. Throughout the year
the U.S. Federal Reserve and other major central banks maintained historically
low target short-term rates. This combination led to steepening yield curves in
much of the developed world. On average,
6
investment grade credit did well for the year, outperforming government bonds
of similar duration. The one-month Treasury bill yield finished the fiscal year
at 0.03%, while the yield on 10-year U.S. Treasury notes increased to 2.56%.
October 31, 2012 October 31, 2013 Change
---------------- ---------------- ------
One-Month Treasury Bill (yield)...... 0.09% 0.03% -0.06%
Ten-Year U.S. Treasury Notes (yield). 1.69% 2.56% 0.87%
----------
Source: Bloomberg.
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the fiscal
year under review, changes in interest rates and bond prices were more
pronounced in some parts of the yield curve than in others. For the 12 months
ended October 31, 2013, total returns were 0.10 % for three-month U.S. Treasury
bills, -0.74% for five-year U.S. Treasury notes, and -11.69% for 30-year U.S.
Treasury bonds (Source: Barclays Treasury Bellwethers).
Some of Dimensional Fund Advisors LP's ("Dimensional" or the "Advisor")
fixed income strategies are based on a variable-maturity strategy that
identifies a maturity range with favorable risk-adjusted expected returns. When
the yield curve is flat or inverted, short-term securities are believed to
offer the most attractive opportunity on a risk-adjusted basis. When the yield
curve is upwardly sloped, maturities are lengthened to achieve higher expected
returns associated with longer maturities. During the period under review, the
portfolios employing the variable-maturity strategy continued to take term
risk, reflecting the upward-sloping eligible yield curves.
Some fixed income strategies are based on an approach that varies exposure
to credit risk. When credit spreads are narrow, higher-quality securities are
believed to offer the more attractive opportunity on a risk-adjusted basis.
When credit spreads are wide, additional credit risk is taken to achieve the
higher expected returns associated with increased risk. During the period under
review, the portfolios employing the variable credit approach continued to take
market-like credit risk, reflecting a wide credit spread environment.
Global Equity Portfolio 12 Months Ended October 31, 2013
The Global Equity Portfolio seeks long-term capital appreciation by
investing in a combination of mutual funds managed by Dimensional Fund Advisors
LP ("Dimensional" or the "Advisor") that invest in domestic and international
equity securities. As of the date of this report, the Portfolio's investment in
the domestic funds include the U.S. Core Equity 1 Portfolio, the U.S. Core
Equity 2 Portfolio, and the DFA Real Estate Securities Portfolio; and the
Portfolio's investment in the international funds include the International
Core Equity Portfolio, the Emerging Markets Core Equity Portfolio and The
Canadian Small Company Series (collectively, the "Equity Underlying Funds").
The investment strategy is process driven, emphasizing broad diversification.
As of October 31, 2013, the Equity Underlying Funds held approximately 12,000
equity securities in 44 countries.
For the 12 months ended October 31, 2013, total returns were 29.19% for the
Portfolio's Institutional Class shares, 28.87% for the Portfolio's Class R2
shares, and 25.77% for the MSCI World Index (net dividends). As a result of the
Equity Underlying Funds' diversified investment approach, performance was
determined principally by broad structural trends in global equity markets
rather than the behavior of a limited group of stocks in a particular industry
or country. The Equity Underlying Funds invest in stocks across all size
categories while the Index primarily holds large and mid-cap stocks. The
Portfolio, through the Equity Underlying Funds, had greater exposure than the
Index to value stocks, as measured by book-to-market ratio, and greater
exposure to U.S. stocks. This emphasis on small cap and value stocks,
particularly in the U.S., was primarily responsible for the Portfolio's
outperformance relative to the Index as small cap stocks and value stocks
generally outperformed during the period. The Portfolio's allocation to
emerging markets, which underperformed and are not included in the Index,
partly offset the Portfolio's relative outperformance.
7
Global Allocation 60/40 Portfolio
The Global Allocation 60/40 Portfolio seeks capital appreciation and current
income by investing in a combination of mutual funds managed by Dimensional
that invest in equity and fixed income securities. As of the date of this
report, the Portfolio's investment in domestic equity funds include the U.S.
Core Equity 1 Portfolio, the U.S. Core Equity 2 Portfolio, and the DFA Real
Estate Securities Portfolio; the Portfolio's investment in international equity
funds include the International Core Equity Portfolio and the Emerging Markets
Core Equity Portfolio (collectively, the "Equity Underlying Funds"); and the
Portfolio's investment in fixed income funds include the DFA Short-Term
Extended Quality Portfolio, the DFA Five-Year Global Fixed Income Portfolio,
the DFA Inflation Protected Securities Portfolio, the DFA Selectively Hedged
Global Fixed Income Portfolio, the DFA Intermediate-Term Extended Quality
Portfolio, and the DFA World ex U.S. Government Fixed Income Portfolio
(collectively with the Equity Underlying Funds, the "Equity and Fixed Income
Underlying Funds"). The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2013, the Equity and Fixed Income
Underlying Funds held more than 12,000 equity securities in 44 countries and
approximately 1,000 fixed income securities in 18 countries, excluding
supranationals.
For the 12 months ended October 31, 2013, total returns were 16.65% for the
Portfolio's Institutional Class shares, 16.35% for the Portfolio's Class R2
shares, and 15.33% for a hypothetical composite index composed of 60% MSCI
World Index (net dividends) and 40% Citigroup World Government Bond Index, 1-3
Years, Currency-Hedged in USD Terms. As a result of the Equity and Fixed Income
Underlying Funds' diversified investment approach, performance was determined
principally by broad structural trends in global equity and fixed income
markets rather than the behavior of a limited group of securities in a
particular industry, country, or asset class. The Portfolio's outperformance
relative to the Index was driven by its equity component, which outperformed
the Index's equity component. This was partly offset by the Portfolio's fixed
income component, which underperformed the Index's fixed income component.
The Portfolio's equity component, through the Equity Underlying Funds,
invests in stocks across all size categories while the Index primarily holds
large cap and mid-cap stocks. The Portfolio, through the Equity Underlying
Funds, had greater exposure than the Index to value stocks, as measured by
book-to-market ratio, and greater exposure to U.S. stocks. This emphasis on
small cap and value stocks, particularly in the U.S., was primarily responsible
for the Portfolio's outperformance relative to the Index as small cap stocks
and value stocks generally outperformed during the period. The Portfolio's
allocation to emerging markets, which underperformed and are not included in
the Index, partly offset the Portfolio's outperformance.
The underperformance of the Portfolio's fixed income component, relative to
the fixed income component of the Index, was primarily due to the longer
duration of the Portfolio's fixed income component during a period of rising
nominal and real interest rates. This was partly offset by the Portfolio's
exposure to corporate bonds, which outperformed the fixed income component of
the Index and are not represented in the fixed income benchmark, positively
contributing to the Portfolio's relative performance.
Global Allocation 25/75 Portfolio
The Global Allocation 25/75 Portfolio seeks total return consistent with
current income and preservation of capital with some capital appreciation by
investing in a combination of mutual funds managed by Dimensional. The
Portfolio allocates the majority of its assets to fixed income funds, but also
invests a portion of its assets in domestic and international equity funds. As
of the date of this report, the Portfolio's investment in domestic equity funds
include the U.S. Core Equity 1 Portfolio, the U.S. Core Equity 2 Portfolio, and
the DFA Real Estate Securities Portfolio; the Portfolio's investment in
international equity funds include the International Core Equity Portfolio and
the Emerging Markets Core Equity Portfolio (collectively, the "Equity
Underlying Funds"); and the Portfolio's investment in fixed income funds
include the DFA Two-Year Global Fixed Income Portfolio, the DFA
Inflation-Protected Securities Portfolio, the DFA Short-Term Extended Quality
Portfolio, and the DFA World ex U.S. Government Fixed Income Portfolio
(collectively with the Equity Underlying Funds, the "Equity and Fixed Income
Underlying Funds"). The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2013, the Equity and Fixed Income
Underlying Funds held more than 11,000 equity securities in 44 countries and
approximately 500 fixed income securities in 18 countries, excluding
supranationals.
8
For the 12 months ended October 31, 2013, total returns were 6.38% for the
Portfolio's Institutional Class shares, 6.15% for the Portfolio's Class R2
shares, and 6.76% for a hypothetical composite index composed of 25% MSCI World
Index (net dividends) and 75% Citigroup World Government Bond Index, 1-3 Years,
Currency-Hedged in USD Terms. As a result of the Equity and Fixed Income
Underlying Funds' diversified investment approach, performance was determined
principally by broad structural trends in global equity and fixed income
markets rather than the behavior of a limited group of securities in a
particular industry, country, or asset class.
The Portfolio's underperformance relative to the composite index was
attributable to underperformance in the Portfolio's fixed income component.
This was partly offset by the Portfolio's equity component, which outperformed
the composite index's equity component.
The Portfolio's underperformance was primarily due to the longer duration of
the Portfolio's fixed income component during a period of rising nominal and
real interest rates. The Portfolio's exposure to corporate bonds, which are not
represented in the fixed income benchmark, positively contributed to the
Portfolio's relative performance.
The equity component of the Portfolio, through the Equity Underlying Funds,
invests in stocks across all size categories while the equity component of the
Index primarily holds large cap and mid-cap stocks. The Portfolio, through the
Equity Underlying Funds, had greater exposure than the Index to value stocks,
as measured by book-to-market ratio, and greater exposure to U.S. stocks. This
emphasis on small cap and value, particularly in the U.S., was primarily
responsible for outperformance of the Portfolio's equity component relative to
the equity component of the Index as small cap stocks and value stocks
generally outperformed during the period. The Portfolio's allocation to
emerging markets, which underperformed and are not included in the Index,
partly offset the outperformance.
9
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
Global Equity Portfolio**
-------------------------
Actual Fund Return
Class R2 Shares.............. $1,000.00 $1,117.00 0.55% $2.93
Institutional Class Shares... $1,000.00 $1,118.60 0.31% $1.66
Hypothetical 5% Annual Return
Class R2 Shares.............. $1,000.00 $1,022.43 0.55% $2.80
Institutional Class Shares... $1,000.00 $1,023.64 0.31% $1.58
10
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
Global Allocation 60/40 Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,062.50 0.53% $2.76
Institutional Class Shares......... $1,000.00 $1,063.40 0.29% $1.51
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.53 0.53% $2.70
Institutional Class Shares......... $1,000.00 $1,023.74 0.29% $1.48
Global Allocation 25/75 Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,019.00 0.50% $2.54
Institutional Class Shares......... $1,000.00 $1,019.70 0.27% $1.37
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.68 0.50% $2.55
Institutional Class Shares......... $1,000.00 $1,023.84 0.27% $1.38
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a 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).
11
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 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%
12
GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2013
Shares Value+
---------- --------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc.................... 91,362,984 $1,427,089,817
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 64,979,426 816,791,386
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc.................... 30,274,111 476,514,508
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 12,783,458 256,819,671
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc.................... 1,612,411 44,776,657
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company....................... 1,026
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $2,059,001,959)............................... 3,021,993,065
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional Liquid Reserves, 0.073%
(Cost $2,398,025)...................................... 2,398,025 2,398,025
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,061,399,984)............................... $3,024,391,090
==============
Summary of the Global Fund's investments as of October 31, 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. $3,021,993,065 -- -- $3,021,993,065
Temporary Cash Investments...... 2,398,025 -- -- 2,398,025
-------------- -- -- --------------
TOTAL........................... $3,024,391,090 -- -- $3,024,391,090
============== == == ==============
See accompanying Notes to Financial Statements.
13
GLOBAL ALLOCATION 60/40 PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2013
Shares Value+
---------- --------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................. 33,599,899 $ 524,830,427
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 23,963,007 301,215,002
Investment in DFA Selectively Hedged Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 27,330,125 279,040,577
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 17,165,387 186,416,104
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................. 11,228,266 176,732,905
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 4,752,972 95,487,216
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 8,356,684 93,093,458
Investment in DFA Intermediate-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 8,865,686 93,089,698
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 4,525,042 46,653,185
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 3,927,178 46,497,788
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 581,685 16,153,393
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $1,503,650,733)............................................ 1,859,209,753
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional Liquid Reserves, 0.073%
(Cost $2,135,531)................................................... 2,135,531 2,135,531
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,505,786,264)............................................ $1,861,345,284
==============
Summary of the Global Fund's investments as of October 31, 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. $1,859,209,753 -- -- $1,859,209,753
Temporary Cash Investments...... 2,135,531 -- -- 2,135,531
-------------- -- -- --------------
TOTAL........................... $1,861,345,284 -- -- $1,861,345,284
============== == == ==============
See accompanying Notes to Financial Statements.
14
GLOBAL ALLOCATION 25/75 PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2013
Shares Value+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (99.9%)
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................ 15,362,167 $166,833,132
Investment in DFA Two-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................ 16,568,558 166,679,692
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................ 4,289,387 67,000,221
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 5,152,571 61,006,445
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 3,034,056 38,138,082
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 1,445,531 22,752,653
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................ 2,136,308 22,025,340
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 594,134 11,936,159
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 78,713 2,185,851
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $505,656,219)............................................. 558,557,575
------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional Liquid Reserves, 0.073%
(Cost $368,442).................................................... 368,442 368,442
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $506,024,661)............................................. $558,926,017
============
Summary of the Global Fund's investments as of October 31, 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. $558,557,575 -- -- $558,557,575
Temporary Cash Investments...... 368,442 -- -- 368,442
------------ -- -- ------------
TOTAL........................... $558,926,017 -- -- $558,926,017
============ == == ============
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(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..................... $ 3,021,993 $ 1,859,210 $ 558,558
Temporary Cash Investments at Value & Cost.................................. 2,398 2,136 368
Receivables:
Interest.................................................................. 1 1 --
Fund Shares Sold.......................................................... 2,785 3,147 546
Prepaid Expenses and Other Assets........................................... 81 53 87
------------ ------------ ------------
Total Assets........................................................... 3,027,258 1,864,547 559,559
------------ ------------ ------------
LIABILITIES:
Payables:
Affiliated Investment Companies Purchased................................. 1,648 1,636 --
Fund Shares Redeemed...................................................... 1,025 869 172
Due to Advisor............................................................ 12 29 14
Accrued Expenses and Other Liabilities...................................... 145 102 46
------------ ------------ ------------
Total Liabilities...................................................... 2,830 2,636 232
------------ ------------ ------------
NET ASSETS.................................................................. $ 3,024,428 $ 1,861,911 $ 559,327
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $5,517; $14,140 and $2,215 and
shares outstanding of 316,357; 923,189 and 173,763, respectively........... $ 17.44 $ 15.32 $ 12.75
============ ============ ============
NUMBER OF SHARES AUTHORIZED................................................. 500,000,000 300,000,000 300,000,000
============ ============ ============
Institutional Class Shares -- based on net assets of $3,018,911; $1,847,771
and $557,112 and shares outstanding of 174,469,803; 121,230,415 and
43,900,856, respectively................................................... $ 17.30 $ 15.24 $ 12.69
============ ============ ============
NUMBER OF SHARES AUTHORIZED................................................. 700,000,000 500,000,000 300,000,000
============ ============ ============
Investments in Affiliated Investment Companies at Cost...................... $ 2,059,002 $ 1,503,651 $ 505,656
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................. $ 2,275,129 $ 1,538,578 $ 508,632
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)......................................................... (61) 1,181 643
Accumulated Net Realized Gain (Loss)........................................ (213,631) (33,407) (2,850)
Net Unrealized Appreciation (Depreciation).................................. 962,991 355,559 52,902
------------ ------------ ------------
NET ASSETS.................................................................. $ 3,024,428 $ 1,861,911 $ 559,327
============ ============ ============
See accompanying Notes to Financial Statements.
16
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(Amounts in thousands)
Global Global
Global Equity Allocation Allocation
Portfolio* 60/40 Portfolio 25/75 Portfolio
------------- --------------- ---------------
Investment Income
Net Investment Income Allocated from Affiliated Investment Companies:
Income Distributions................................................. $ 51,670 $ 31,430 $ 7,369
-------- -------- -------
Total Investment Income Received from Affiliated Investment
Companies.......................................................... 51,670 31,430 7,369
-------- -------- -------
Fund Investment Income
Interest............................................................... 3 2 1
-------- -------- -------
Fund Expenses
Administrative Services Fees........................................... 7,633 4,022 965
Accounting & Transfer Agent Fees....................................... 49 42 33
Shareholder Servicing Fees -- Class R2 Shares.......................... 12 32 6
Custodian Fees......................................................... 1 1 1
Filing Fees............................................................ 91 65 60
Shareholders' Reports.................................................. 118 66 13
Directors'/Trustees' Fees & Expenses................................... 26 17 5
Professional Fees...................................................... 38 26 11
Other.................................................................. 32 21 10
-------- -------- -------
Total Expenses...................................................... 8,000 4,292 1,104
-------- -------- -------
Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees
Recovered by Advisor (Note C)......................................... (7,511) (3,711) (817)
-------- -------- -------
Net Expenses........................................................... 489 581 287
-------- -------- -------
Net Investment Income (Loss)........................................... 51,184 30,851 7,083
-------- -------- -------
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.......................... (10,765) 1,303 1,772
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares............................... 600,681 209,667 19,661
-------- -------- -------
Net Realized and Unrealized Gain (Loss)................................ 597,866 215,769 22,843
-------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations.......... $649,050 $246,620 $29,926
======== ======== =======
----------
* 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.
17
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Global Allocation Global Allocation
Global Equity Portfolio 60/40 Portfolio 25/75 Portfolio
---------------------- ---------------------- ------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2013 2012 2013 2012
---------- ---------- ---------- ---------- -------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................. $ 51,184 $ 40,634 $ 30,851 $ 27,742 $ 7,083 $ 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.......... (10,765) (14,803) 1,303 (4,628) 1,772 (271)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities/Affiliated
Investment Companies Shares............... 600,681 180,403 209,667 77,591 19,661 11,974
---------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 649,050 206,234 246,620 102,846 29,926 18,741
---------- ---------- ---------- ---------- -------- --------
Distributions From:
Net Investment Income:
Class R2 Shares............................ (86) (71) (217) (130) (30) (19)
Institutional Class Shares................. (51,265) (40,678) (30,410) (27,735) (6,867) (6,199)
Net Long-Term Gains:
Class R2 Shares............................ -- -- -- (1) -- --
Institutional Class Shares................. -- -- -- (405) -- (202)
---------- ---------- ---------- ---------- -------- --------
Total Distributions....................... (51,351) (40,749) (30,627) (28,271) (6,897) (6,420)
---------- ---------- ---------- ---------- -------- --------
Capital Share Transactions:
Shares Issued................................ 737,795 519,662 596,727 424,982 207,303 185,547
Shares Issued in Lieu of Cash
Distributions............................... 50,093 39,469 29,163 26,626 6,786 6,299
Shares Redeemed.............................. (509,164) (394,201) (354,697) (284,756) (97,919) (84,660)
---------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions....................... 278,724 164,930 271,193 166,852 116,170 107,186
---------- ---------- ---------- ---------- -------- --------
Total Increase (Decrease) in Net
Assets................................... 876,423 330,415 487,186 241,427 139,199 119,507
Net Assets
Beginning of Year............................ 2,148,005 1,817,590 1,374,725 1,133,298 420,128 300,621
---------- ---------- ---------- ---------- -------- --------
End of Year.................................. $3,024,428 $2,148,005 $1,861,911 $1,374,725 $559,327 $420,128
========== ========== ========== ========== ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)............................ $ (61) $ (8) $ 1,181 $ 279 $ 643 $ 27
See accompanying Notes to Financial Statements.
18
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Class R2 Shares
Global Equity Portfolio
-------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.................................... $13.78 $12.67 $12.71 $10.82 $ 9.17
------ ------ ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.27 0.24 0.22 0.15 0.17
Net Gains (Losses) on Securities (Realized and Unrealized)........... 3.67 1.10 (0.04) 1.91 1.64
------ ------ ------ ------ ------
Total from Investment Operations................................... 3.94 1.34 0.18 2.06 1.81
--------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.28) (0.23) (0.22) (0.17) (0.16)
Net Realized Gains................................................... -- -- -- -- --
------ ------ ------ ------ ------
Total Distributions................................................ (0.28) (0.23) (0.22) (0.17) (0.16)
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.......................................... $17.44 $13.78 $12.67 $12.71 $10.82
===================================================================== ======== ======== ======== ======== ========
Total Return.......................................................... 28.87% 10.78% 1.34% 19.21% 20.06%
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................... $5,517 $4,055 $4,294 $3,483 $6,782
Ratio of Expenses to Average Net Assets (B)........................... 0.57% 0.60% 0.60% 0.59% 0.62%
Ratio of Expenses to Average Net Assets (Excluding Waivers and
Assumptions of Expenses and/or Recovery of Previously Waived
Fees) (B)............................................................ 0.87% 0.90% 0.90% 0.89% 0.91%
Ratio of Net Investment Income to Average Net Assets.................. 1.76% 1.85% 1.61% 1.32% 1.83%
--------------------------------------------------------------------------------------------------------------------
Global Allocation 60/40 Portfolio
-------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.................................... $ 13.40 $ 12.66 $12.51 $11.13 $ 9.55
------- ------- ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.24 0.21 0.23 0.17 0.14
Net Gains (Losses) on Securities (Realized and Unrealized)........... 1.93 0.78 0.16 1.37 1.60
------- ------- ------ ------ ------
Total from Investment Operations................................... 2.17 0.99 0.39 1.54 1.74
-------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.25) (0.25) (0.23) (0.16) (0.12)
Net Realized Gains................................................... -- -- (0.01) -- (0.04)
------- ------- ------ ------ ------
Total Distributions................................................ (0.25) (0.25) (0.24) (0.16) (0.16)
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.......................................... $ 15.32 $ 13.40 $12.66 $12.51 $11.13
===================================================================== ======== ======== ======== ======== ========
Total Return.......................................................... 16.35% 8.05% 3.13% 14.01% 18.46%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................... $14,140 $11,403 $3,353 $3,748 $5,187
Ratio of Expenses to Average Net Assets (B)........................... 0.54% 0.56% 0.58% 0.58% 0.60%
Ratio of Expenses to Average Net Assets (Excluding Waivers and
Assumptions of Expenses and/or Recovery of Previously Waived
Fees) (B)............................................................ 0.77% 0.79% 0.81% 0.81% 0.83%
Ratio of Net Investment Income to Average Net Assets.................. 1.71% 1.60% 1.76% 1.44% 1.42%
-------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
19
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Class R2 Shares
Global Allocation 25/75 Portfolio
-------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.................................... $12.16 $11.78 $11.65 $10.95 $10.04
------ ------ ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.16 0.14 0.16 0.22 0.15
Net Gains (Losses) on Securities (Realized and Unrealized)........... 0.58 0.43 0.15 0.72 1.06
------ ------ ------ ------ ------
Total from Investment Operations...................................... 0.74 0.57 0.31 0.94 1.21
-------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.15) (0.18) (0.16) (0.24) (0.14)
Net Realized Gains................................................... -- (0.01) (0.02) -- (0.16)
------ ------ ------ ------ ------
Total Distributions................................................ (0.15) (0.19) (0.18) (0.24) (0.30)
-------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.......................................... $12.75 $12.16 $11.78 $11.65 $10.95
===================================================================== ======== ======== ======== ======== ========
Total Return.......................................................... 6.15% 4.86% 2.71% 8.70% 12.19%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................... $2,215 $2,449 $ 408 $ 418 $1,701
Ratio of Expenses to Average Net Assets (B)........................... 0.53% 0.59% 0.77% 0.63% 0.62%
Ratio of Expenses to Average Net Assets (Excluding Waivers and
Assumptions of Expenses and/or Recovery of Previously Waived
Fees) (B)............................................................ 0.70% 0.76% 0.94% 0.78% 0.77%
Ratio of Net Investment Income to Average Net Assets.................. 1.28% 1.14% 1.35% 1.93% 1.49%
-------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
20
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Institutional Class Shares
Global Equity Portfolio
----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................. $ 13.67 $ 12.58 $ 12.62 $ 10.74 $ 9.14
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.31 0.27 0.25 0.17 0.20
Net Gains (Losses) on Securities (Realized and Unrealized)... 3.63 1.09 (0.04) 1.91 1.61
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................ 3.94 1.36 0.21 2.08 1.81
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.31) (0.27) (0.25) (0.20) (0.21)
Net Realized Gains........................................... -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions......................................... (0.31) (0.27) (0.25) (0.20) (0.21)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................... $ 17.30 $ 13.67 $ 12.58 $ 12.62 $ 10.74
=============================================================== ========== ========== ========== ========== ==========
Total Return................................................... 29.19% 11.00% 1.62% 19.58% 20.30%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............................ $3,018,911 $2,143,950 $1,813,296 $1,628,464 $1,279,862
Ratio of Expenses to Average Net Assets (B).................... 0.31% 0.33% 0.33% 0.33% 0.35%
Ratio of Expenses to Average Net Assets (Excluding Waivers and
Assumptions of Expenses and/or Recovery of Previously Waived
Fees (B)...................................................... 0.61% 0.63% 0.63% 0.63% 0.64%
Ratio of Net Investment Income to Average Net Assets........... 2.02% 2.05% 1.90% 1.50% 2.17%
----------------------------------------------------------------------------------------------------------------------------
Global Allocation 60/40 Portfolio
------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................. $ 13.33 $ 12.59 $ 12.45 $ 11.08 $ 9.53
---------- ---------- ---------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................. 0.27 0.28 0.26 0.19 0.18
Net Gains (Losses) on Securities (Realized and Unrealized)... 1.92 0.75 0.16 1.37 1.59
---------- ---------- ---------- -------- --------
Total from Investment Operations............................ 2.19 1.03 0.42 1.56 1.77
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................................ (0.28) (0.29) (0.27) (0.19) (0.18)
Net Realized Gains........................................... -- -- (0.01) -- (0.04)
---------- ---------- ---------- -------- --------
Total Distributions......................................... (0.28) (0.29) (0.28) (0.19) (0.22)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................... $ 15.24 $ 13.33 $ 12.59 $ 12.45 $ 11.08
=============================================================== ========== ========== ========== ======== ========
Total Return................................................... 16.65% 8.37% 3.34% 14.27% 18.95%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)............................ $1,847,771 $1,363,322 $1,129,945 $932,866 $730,400
Ratio of Expenses to Average Net Assets (B).................... 0.29% 0.30% 0.31% 0.31% 0.33%
Ratio of Expenses to Average Net Assets (Excluding Waivers and
Assumptions of Expenses and/or Recovery of Previously Waived
Fees (B)...................................................... 0.52% 0.53% 0.54% 0.54% 0.56%
Ratio of Net Investment Income to Average Net Assets........... 1.93% 2.18% 2.03% 1.64% 1.82%
-----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
21
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Institutional Class Shares
Global Allocation 25/75 Portfolio
------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.................................... $ 12.11 $ 11.73 $ 11.60 $ 10.90 $ 10.01
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)..................................... 0.18 0.20 0.21 0.24 0.18
Net Gains (Losses) on Securities (Realized and Unrealized)........... 0.59 0.41 0.16 0.74 1.06
-------- -------- -------- -------- --------
Total from Investment Operations...................................... 0.77 0.61 0.37 0.98 1.24
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income................................................ (0.19) (0.22) (0.22) (0.28) (0.19)
Net Realized Gains................................................... -- (0.01) (0.02) -- (0.16)
-------- -------- -------- -------- --------
Total Distributions................................................ (0.19) (0.23) (0.24) (0.28) (0.35)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.......................................... $ 12.69 $ 12.11 $ 11.73 $ 11.60 $ 10.90
====================================================================== ======== ======== ======== ======== ========
Total Return.......................................................... 6.38% 5.22% 3.23% 9.17% 12.67%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................... $557,112 $417,679 $300,213 $232,241 $160,605
Ratio of Expenses to Average Net Assets (B)........................... 0.27% 0.28% 0.28% 0.29% 0.31%
Ratio of Expenses to Average Net Assets (Excluding Waivers and
Assumptions of Expenses and/or Recovery of Previously Waived Fees (B) 0.44% 0.45% 0.45% 0.46% 0.46%
Ratio of Net Investment Income to Average Net Assets.................. 1.47% 1.71% 1.83% 2.19% 1.81%
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
22
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are 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 October 31, 2013)
-------------------------------------------------------------
Global Equity Global Allocation 60/40 Global Allocation 25/75
Master Funds Portfolio Portfolio Portfolio
------------ ------------- ----------------------- -----------------------
U.S. Core Equity 1 Portfolio (IDG)................... 6% 2% --
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 29% N/A
DFA Five-Year Global Fixed Income Portfolio (IDG).... N/A 1% N/A
DFA Inflation-Protected Securities Portfolio (IDG)... N/A 2% 2%
DFA Short-Term Extended Quality Portfolio (IDG)...... N/A 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 20% 9%
N/A - Global Fund does not have any ownership in Master Fund.
Amounts designated as -- are less than 1%.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The 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)
23
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Global Funds'
own assumptions in determining the fair value of investments)
Master Fund shares held by the Global Funds (except the Global Equity
Portfolio's investment in The Canadian Small Company Series) are valued at
their respective daily net asset values as reported by their administrator, 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 year ended October 31, 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 October 31, 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 an 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 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.
24
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 year ended October 31, 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 Advisor 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 expense limitations 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
year ended October 31, 2013, the Global Funds had the expense limitations
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/
of Previously Expenses
Expense Waived Fees/ Assumed
Limitation Expenses Subject to Future
Institutional Class Shares Amount Assumed Recovery
-------------------------- ---------- ------------- -----------------
Global Equity Portfolio........... 0.27% -- $19,260
Global Allocation 60/40 Portfolio. 0.25% -- 9,305
Global Allocation 25/75 Portfolio. 0.22% -- 1,897
Class R2 Shares
Global Equity Portfolio........... 0.27% -- 39
Global Allocation 60/40 Portfolio. 0.25% -- 58
Global Allocation 25/75 Portfolio. 0.22% -- 8
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%
25
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 year ended October 31, 2013, the total
related amounts paid by the Fund to the CCO were $30 (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 October 31, 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........... $59
Global Allocation 60/40 Portfolio. 35
Global Allocation 25/75 Portfolio. 9
E. Purchases and Sales of Securities:
For the year ended October 31, 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 10/31/2013 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------- ------ ----------------
U.S. Core Equity 2 Portfolio........ $984,805 $1,427,090 $141,429 $15,767 $20,439 $7,950
International Core Equity Portfolio. 610,753 816,791 107,866 54,376 19,192 --
U.S. Core Equity 1 Portfolio........ 337,726 476,515 45,813 11,898 6,971 --
Emerging Markets Core Equity
Portfolio......................... 183,859 256,820 69,996 10,380 4,177 --
DFA Real Estate Securities
Portfolio......................... 31,375 44,777 12,003 1,130 891 --
26
Global Allocation 60/40 Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2012 10/31/2013 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------- -------- ----------------
U.S. Core Equity 2 Portfolio......... $385,352 $524,830 $36,052 $17,105 $7,854 $3,118
International Core Equity Portfolio.. 226,454 301,215 30,386 13,213 7,184 --
DFA Selectively Hedged Global Fixed
Income Portfolio................... 207,113 279,041 87,460 11,738 4,977 140
DFA Short-Term Extended Quality
Portfolio.......................... 138,151 186,416 56,645 6,818 2,605 307
U.S. Core Equity 1 Portfolio......... 128,298 176,733 23,018 14,896 2,652 --
Emerging Markets Core Equity
Portfolio.......................... 70,573 95,487 20,650 797 1,545 --
DFA Five-Year Global Fixed Income
Portfolio.......................... 69,464 93,094 26,115 1,671 696 655
DFA Intermediate-Term Extended
Quality Portfolio.................. 69,916 93,090 29,864 2,452 2,235 44
DFA World ex U.S. Government Fixed
Income Portfolio................... 34,747 46,653 13,331 606 607 336
DFA Inflation-Protected Securities
Portfolio.......................... 33,861 46,498 16,743 502 746 199
DFA Real Estate Securities Portfolio. 11,965 16,153 3,382 203 329 --
Global Allocation 25/75 Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2012 10/31/2013 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------- -------- ----------------
DFA Short-Term Extended Quality
Portfolio.......................... $126,258 $166,833 $45,177 $ 3,195 $2,353 $ 281
DFA Two-Year Global Fixed Income
Portfolio.......................... 125,438 166,680 47,333 5,245 1,278 291
U.S. Core Equity 2 Portfolio......... 49,069 67,000 11,574 9,113 991 407
DFA Inflation-Protected Securities
Portfolio.......................... 46,091 61,007 20,753 1,162 980 268
International Core Equity Portfolio.. 29,358 38,138 6,521 5,138 904 --
U.S. Core Equity 1 Portfolio......... 16,353 22,753 6,563 5,268 334 --
DFA World ex U.S. Government Fixed
Income Portfolio................... 16,774 22,025 5,756 120 290 163
Emerging Markets Core Equity
Portfolio.......................... 8,809 11,936 2,669 177 193 --
DFA Real Estate Securities Portfolio. 1,655 2,186 441 50 46 --
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 or losses as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2013, primarily attributable to passive foreign
investment, short term distributions received from underlying RICs, return of
capital, the utilization of accumulated earnings and profits distributed to
shareholders on redemptions of shares as part of
27
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)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
Global Equity Portfolio........... $(114) $114 --
Global Allocation 60/40 Portfolio. -- 678 $(678)
Global Allocation 25/75 Portfolio. -- 430 (430)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2012 and October 31, 2013 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Return of
Capital Gains Capital Total
-------------- --------- -------
Global Equity Portfolio
2012.............................. $40,749 -- $40,749
2013.............................. 51,351 -- 51,351
Global Allocation 60/40 Portfolio
2012.............................. 28,271 -- 28,271
2013.............................. 30,627 -- 30,627
Global Allocation 25/75 Portfolio
2012.............................. 6,492 -- 6,492
2013.............................. 6,897 -- 6,897
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Unrealized Earnings
Short-Term Long-Term Capital Loss Appreciation (Accumulated
Capital Gains Capital Gains Carryfoward (Depreciation) Losses)
-------------- ------------- ------------ -------------- -------------
Global Equity Portfolio........... -- -- $(92,193) $841,554 $749,361
Global Allocation 60/40 Portfolio. $1,219 -- (21,276) 343,427 323,370
Global Allocation 25/75 Portfolio. 653 $1,315 -- 48,736 50,704
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 enactment. As of October 31, 2013,
the Global Funds had the following 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 $3,584 $92,193
Global Allocation 60/40 Portfolio. -- 21,276 -- -- -- 21,276
28
During the year ended October 31, 2013, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
Global Equity Portfolio........... $1,285
Global Allocation 60/40 Portfolio. 6,294
Global Allocation 25/75 Portfolio. 1,572
At October 31, 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........... $2,182,838 $841,554 -- $841,554
Global Allocation 60/40 Portfolio. 1,517,918 343,427 -- 343,427
Global Allocation 25/75 Portfolio. 510,190 50,295 $(1,559) 48,736
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 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 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):
Year Ended Year Ended
Oct. 31, 2013 Oct. 31, 2012
------------------ ------------------
Amount Shares Amount Shares
--------- ------- --------- -------
Global Equity Portfolio
Class R2 Shares
Shares Issued........................................ $ 1,078 70 $ 2,389 176
Shares Issued in Lieu of Cash Distributions.......... 86 6 71 6
Shares Redeemed...................................... (842) (54) (3,024) (227)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 322 22 $ (564) (45)
========= ======= ========= =======
Institutional Class Shares
Shares Issued........................................ $ 736,717 47,544 $ 517,273 39,667
Shares Issued in Lieu of Cash Distributions.......... 50,007 3,285 39,398 3,123
Shares Redeemed...................................... (508,322) (33,219) (391,177) (30,101)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 278,402 17,610 $ 165,494 12,689
========= ======= ========= =======
29
Year Ended Year Ended
Oct. 31, 2013 Oct. 31, 2012
------------------ ------------------
Amount Shares Amount Shares
--------- ------- --------- -------
Global Allocation 60/40 Portfolio
Class R2 Shares
Shares Issued........................................ $ 2,238 157 $ 10,892 826
Shares Issued in Lieu of Cash Distributions.......... 217 16 131 10
Shares Redeemed...................................... (1,438) (101) (3,263) (250)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 1,017 72 $ 7,760 586
========= ======= ========= =======
Institutional Class Shares
Shares Issued........................................ $ 594,489 41,765 $ 414,090 32,235
Shares Issued in Lieu of Cash Distributions.......... 28,946 2,076 26,495 2,130
Shares Redeemed...................................... (353,259) (24,890) (281,493) (21,807)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 270,176 18,951 $ 159,092 12,558
========= ======= ========= =======
Global Allocation 25/75 Portfolio
Class R2 Shares
Shares Issued........................................ $ 163 13 $ 2,024 168
Shares Issued in Lieu of Cash Distributions.......... 30 3 20 2
Shares Redeemed...................................... (540) (43) (45) (4)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ (347) (27) $ 1,999 166
========= ======= ========= =======
Institutional Class Shares
Shares Issued........................................ $ 207,140 16,730 $ 183,523 15,450
Shares Issued in Lieu of Cash Distributions.......... 6,756 552 6,279 537
Shares Redeemed...................................... (97,379) (7,871) (84,615) (7,101)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 116,517 9,411 $ 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.
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 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
30
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 year ended October 31, 2013, borrowings by the Global Funds under
the lines 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........... 0.88% $1,832 49 $2 $ 7,864
Global Allocation 60/40 Portfolio. 0.90% 1,721 50 2 10,737
Global Allocation 25/75 Portfolio. 0.88% 1,178 37 1 4,679
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2013, that each Global Fund's available
line of credit was utilized.
There were no outstanding borrowings by the Global Funds under the lines of
credit as of October 31, 2013.
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. Recently Issued Accounting Standards:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's financial statements to understand the effect of those arrangements on
its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as
applying to derivatives accounted for in accordance with Topic 815, Derivatives
and Hedging, including bifurcated embedded derivatives, repurchase agreements
and reverse repurchase agreements, and securities borrowing and securities
lending transactions that are offset either in accordance with other
requirements of GAAP or subject to an enforceable master netting arrangement or
similar agreement. ASU No. 2011-11 is effective for annual periods beginning on
or after January 1, 2013, and interim periods within those annual periods.
Management is evaluating any impact ASU No. 2011-11 may have on the financial
statements.
31
L. Other:
At October 31, 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
------------ --------------
Global Equity Portfolio -- Class R2 Shares...................... 3 96%
Global Equity Portfolio -- Institutional Class Shares........... 3 78%
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 97%
Global Allocation 25/75 Portfolio -- Institutional Class Shares. 4 92%
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Global
Funds and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
32
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Portfolios, as defined, and
Board of Directors of Dimensional Investment Group Inc.:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Global Equity
Portfolio, Global Allocation 60/40 Portfolio and Global Allocation 25/75
Portfolio (constituting portfolios within Dimensional Investment Group Inc.,
hereafter referred to as the "Portfolios") at October 31, 2013, the results of
each of their operations for the year then ended, the changes in each of their
net assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolios' management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with the standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2013 by
correspondence with the transfer agent of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
33
FUND MANAGEMENT
(Unaudited)
Trustees/Directors
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and
Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Review Committee (the "Review Committee"). The
Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2013.
Each Board's Nominating Committee is comprised of George M. Constantinides,
John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie
J. Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. There was one Nominating Committee meeting
held during the fiscal year ended October 31, 2013.
Each Board's Review Committee consists of both interested and disinterested
Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Review Committee may (i) review the design of possible new series
of the Fund, (ii) review performance of existing portfolios of the Fund and
discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Review
Committee was formed on December 17, 2010, and there were two Review Committee
meetings held during the fiscal year ended October 31, 2013.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at www.dimensional.com.
34
Name, Position Portfolios within the
with the Fund, Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
Address and Year of Birth Length of Service Overseen Other Directorships of Public Companies Held
-------------------------------------------------------------------------------------------------------------------------------
Disinterested Trustees/Directors
-------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 106 portfolios in 4 Leo Melamed Professor of Finance, The University
Director of DFAIDG and DIG. investment companies of Chicago Booth School of Business.
Trustee of DFAITC and DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
1947
-------------------------------------------------------------------------------------------------------------------------------
John P. Gould Since Inception 106 portfolios in 4 Steven G. Rothmeier Distinguished Service
Director of DFAIDG and DIG. investment companies Professor of Economics, The University of Chicago
Trustee of DFAITC and DEM. Booth School of Business (since 1965). Member
The University of Chicago and Chair, Competitive Markets Advisory
Booth School of Business Committee, Chicago Mercantile Exchange (futures
5807 S. Woodlawn Avenue trading exchange) (since 2004). Formerly, Director
Chicago, IL 60637 of UNext, Inc. (1999-2006). Trustee, Harbor Fund
1939 (registered investment company) (30 Portfolios)
(since 1994). Formerly, Member of the Board of
Milwaukee Mutual Insurance Company (1997-
2010).
-------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson Since Inception 106 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG. investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM. Partner, Zebra Capital Management, LLC (hedge
Yale School of Management fund manager) (since 2001). Consultant to
P.O. Box 208200 Morningstar, Inc. (since 2006). Formerly,
New Haven, CT 06520-8200 Chairman, Ibbotson Associates, Inc., Chicago, IL
1943 (software data publishing and consulting) (1977-
2006). Formerly, Director, BIRR Portfolio Analysis,
Inc. (software products) (1990-2010).
-------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear Since Inception 106 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG and DIG. investment companies Institution (since 2002). Jack Steele Parker
Trustee of DFAITC and DEM. Professor of Human Resources Management and
Stanford University Economics, Graduate School of Business,
Graduate School of Business Stanford University (since 1995). Cornerstone
518 Memorial Way Research (expert testimony and economic and
Stanford, CA 94305-5015 financial analysis) (since 2009). Formerly,
1948 Chairman of the President George W. Bush's
Council of Economic Advisers (2006-2009).
Formerly, Council of Economic Advisors, State of
California (2005-2006). Formerly, Commissioner,
White House Panel on Tax Reform (2005).
-------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes Since Inception 106 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
Director of DFAIDG and DIG. investment companies Stanford University (since 1981). Formerly,
Trustee of DFAITC and DEM. Chairman, Platinum Grove Asset Management,
c/o Dimensional Fund L.P. (hedge fund) (formerly, Oak Hill Platinum
Advisors, LP Partners) (1999-2009). Formerly, Managing
6300 Bee Cave Road Partner, Oak Hill Capital Management (private
Building 1 equity firm) (until 2004). Director, American
Austin, TX 78746 Century Fund Complex (registered investment
1941 companies) (40 Portfolios) (since 1980). Formerly,
Director, Chicago Mercantile Exchange (2001-
2008).
-------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith Since Inception 106 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG. investment companies Professor of Accounting, The University of
Trustee of DFAITC and DEM. Chicago Booth School of Business (since 1980).
The University of Chicago Co-Director Investment Research, Fundamental
Booth School of Business Investment Advisors (hedge fund) (since 2008).
5807 S. Woodlawn Avenue Director, HNI Corporation (formerly known as HON
Chicago, IL 60637 Industries Inc.) (office furniture) (since 2000).
1953 Director, Ryder System Inc. (transportation,
logistics and supply-chain management) (since
2003). Trustee, UBS Funds (4 investment
companies within the fund complex) (52 portfolios)
(since 2009).
-------------------------------------------------------------------------------------------------------------------------------
35
Name, Position Portfolios within the
with the Fund, Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
Address and Year of Birth Length of Service Overseen Other Directorships of Public Companies Held
----------------------------------------------------------------------------------------------------------------------------------
Interested Trustees/Directors*
----------------------------------------------------------------------------------------------------------------------------------
David G. Booth Since Inception 106 portfolios in 4 Chairman, Director/Trustee, President, and
Chairman, Director, investment companies Co-Chief Executive Officer (since January 2010)
Co-Chief Executive Officer and of Dimensional Holdings Inc., Dimensional Fund
President of DFAIDG and DIG. Advisors LP, DFA Securities LLC, DEM, DFAIDG,
Chairman, Trustee, Co-Chief DIG and DFAITC. Director of Dimensional Fund
Executive Officer and Advisors Ltd., Dimensional Funds PLC,
President of DFAITC and DEM. Dimensional Funds II PLC, DFA Australia
6300 Bee Cave Road, Limited, Dimensional Cayman Commodity Fund I
Building One Ltd., Dimensional Japan Ltd. and Dimensional
Austin, Texas 78746 Advisors Ltd. Chairman, Director and Co-Chief
1946 Executive Officer of Dimensional Fund Advisors
Canada ULC. President, Dimensional SmartNest
(US) LLC. Limited Partner, Oak Hill Partners
(since 2001) and VSC Investors, LLC (since
2007). Trustee, The University of Chicago.
Trustee, University of Kansas Endowment
Association. Formerly, Chief Executive Officer
(until 2010) and Chief Investment Officer
(2003-2007) of Dimensional Fund Advisors LP,
DFA Securities LLC, DEM, DFAIDG, DIG , DFAITC,
Dimensional Holdings Inc. Formerly, Chief
Investment Officer of Dimensional Fund Advisors
Ltd. Formerly, President and Chief Investment
Officer of DFA Australia Limited. Formerly,
Director, SA Funds (registered investment
company).
----------------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto Since 2009 106 portfolios in 4 Co-Chief Executive Officer (since January
Director, Co-Chief Executive investment companies 2010), Chief Investment Officer (since March
Officer and Chief Investment 2007) and Director/Trustee of Dimensional
Officer of DFAIDG and DIG. Holdings Inc., Dimensional Fund Advisors LP,
Trustee, Co-Chief Executive DFA Securities LLC, DEM, DFAIDG, DIG, DFAITC
Officer and Chief Investment and Dimensional Cayman Commodity Fund I Ltd.
Officer of DFAITC and DEM. Director, Co-Chief Executive Officer, President
6300 Bee Cave Road, and Chief Investment Officer of Dimensional
Building One Fund Advisors Canada ULC. Chief Investment
Austin, TX 78746 Officer, Vice President and Director of DFA
1967 Australia Limited. Director of Dimensional Fund
Advisors Ltd., Dimensional Funds PLC,
Dimensional Funds II PLC, Dimensional Japan
Ltd. and Dimensional Advisors Ltd., Formerly
President of Dimensional Holdings Inc,
Dimensional Fund Advisors LP, DFA Securities
LLC, DEM, DFAIDG, DIG, DFAITC and Dimensional
Fund Advisors Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the Funds.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with Dimensional Fund
Advisors LP.
36
Officers
The name, year of birth, information regarding positions with the Funds and
the principal occupation for each officer of the Funds are set forth below.
Each officer listed below holds the same office (except as otherwise noted) in
the following entities: Dimensional Fund Advisors LP (prior to November 3,
2006, Dimensional Fund Advisors Inc.) ("Dimensional"), Dimensional Holdings
Inc., DFA Securities LLC (prior to April 6, 2009, DFA Securities Inc.), DFAIDG,
DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each
officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One,
Austin, Texas 78746, unless otherwise indicated.
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
---------------------------------------------------------------------------------------------------------------------
Officers
---------------------------------------------------------------------------------------------------------------------
April A. Aandal Since 2008 Vice President of all the DFA Entities.
Vice President
1963
---------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice President
Vice President Business Development at Capson Physicians Insurance Company
1974 (2010-2012); Vice President at Charles Schwab (2007-2010).
---------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Since 2005 Vice President of all the DFA Entities.
Vice President
1966
---------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Director and Managing
Vice President Director of DFAL (since September 2013).
1955
---------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Since 2007 Vice President of all the DFA Entities.
Vice President
1968
---------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA
Vice President and Assistant Australia Limited, Dimensional Fund Advisors Ltd., Dimensional
Secretary Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte.
1967 Ltd., Dimensional Hong Kong Limited. Director, Vice President and
Assistant Secretary of Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------------
David P. Butler Since 2007 Vice President of all the DFA Entities. Head of Global Financial
Vice President Services of Dimensional (since 2008).
1964
---------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (December 2010-January 2012); Regional Director
1970 at Russell Investments (April 2006-December 2010).
---------------------------------------------------------------------------------------------------------------------
James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2008-2010); Vice President, Client Portfolio
1956 Manager at American Century Investments (2001-2008).
---------------------------------------------------------------------------------------------------------------------
Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio
1966 Manager of Dimensional (since January 2012). Formerly, Portfolio
Manager for Dimensional (October 2005-January 2012).
---------------------------------------------------------------------------------------------------------------------
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC. Head of Institutional,
1972 North America (since March 2012). Formerly, Head of Portfolio
Management of Dimensional (January 2006-March 2012).
---------------------------------------------------------------------------------------------------------------------
Matt B. Cobb Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since September 2011). Formerly, Vice President at
1971 MullinTBG 92005-2011).
---------------------------------------------------------------------------------------------------------------------
Ryan Cooper Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since 2003).
1979
---------------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (August 2002-January 2012).
1976
---------------------------------------------------------------------------------------------------------------------
37
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
---------------------------------------------------------------------------------------------------------------------------
Robert P. Cornell Since 2007 Vice President of all the DFA Entities.
Vice President
1949
---------------------------------------------------------------------------------------------------------------------------
George H. Crane Since 2010 Vice President of all the DFA Entities. Formerly, Senior Vice
Vice President | President and Managing Director at State Street Bank & Trust
1955 Company (2007-2008).
---------------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Since 2004 Vice President and Global Chief Compliance Officer of all the DFA
Vice President and Global Chief Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd.,
Compliance Officer and Dimensional SmartNest (US) LLC. Chief Compliance Officer of
1965 Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------------------
James L. Davis Since 1999 Vice President of all the DFA Entities.
Vice President
1956
---------------------------------------------------------------------------------------------------------------------------
Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC.
1957
---------------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate for
Vice President Dimensional (since August 2008).
1972
---------------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities.
Vice President
1970
---------------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and
Vice President and Assistant DFA Australia Limited.
Secretary
1965
---------------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities.
Vice President
1971
---------------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio
1974 Manager of Dimensional (since January 2012).
---------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Manager
Vice President for Dimensional (since June 2006).
1970
---------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Since 2007 Vice President of all the DFA Entities.
Vice President
1967
---------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director
Vice President at BlackRock (2004-January 2012).
1968
---------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Since 2000 Vice President of all the DFA Entities.
Vice President
1967
---------------------------------------------------------------------------------------------------------------------------
John T. Gray Since 2007 Vice President of all the DFA Entities.
Vice President
1974
---------------------------------------------------------------------------------------------------------------------------
Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for
Vice President Dimensional (since 2012). Formerly, Senior Trader for Dimensional
1975 Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Ltd.
(2008-2009); Trader for Dimensional (2004-2008).
---------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Since 2007 Vice President of all the DFA Entities.
Vice President
1967
---------------------------------------------------------------------------------------------------------------------------
Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities,
Vice President and Fund Controller Dimensional Cayman Commodity Fund I Ltd. and Dimensional
1974 Japan Ltd.
---------------------------------------------------------------------------------------------------------------------------
38
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
----------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Since 2005 Vice President of all the DFA Entities.
Vice President
1967
----------------------------------------------------------------------------------------------------------------------
Christine W. Ho Since 2004 Vice President of all the DFA Entities.
Vice President
1967
----------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing Director,
Vice President Co-Head Global Consultant Relations at BlackRock (2004-2011).
1960
----------------------------------------------------------------------------------------------------------------------
William A. Irvine Since 2013 Vice President of all the DFA Entities, Regional Director For
Vice President Dimensional (since 2012). Formerly, Vice President of Institutional
1957 Business Development at Eaton Vance (2005-2011).
----------------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd.
1973
----------------------------------------------------------------------------------------------------------------------
Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager
Vice President for Dimensional (October 2008-January 2012).
1968
----------------------------------------------------------------------------------------------------------------------
Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Entities,
Vice President Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan
1954 Ltd., Dimensional Advisors Ltd., Dimensional Hong Kong Limited
and Chief Operating Officer of Dimensional. Director, Vice
President and Chief Privacy Officer of Dimensional Fund Advisors
Canada ULC. Director of DFA Australia Limited, Dimensional Fund
Advisors Ltd., Dimensional Japan Ltd. and Dimensional Advisors
Ltd. Director and Vice President of Dimensional Hong Kong Limited
and Dimensional Fund Advisors Pte. Ltd.
----------------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since October 2004).
1977
----------------------------------------------------------------------------------------------------------------------
Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional Fund Advisors LP (April 2006-January 2012).
1948
----------------------------------------------------------------------------------------------------------------------
David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since June 2004).
1971
----------------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined Contribution
Vice President Sales for Dimensional (since August 2010). Formerly, Chief DC
1971 Strategist, Barclays Global Investors (2005-2009).
----------------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Sr. Portfolio Manager of
Vice President Dimensional (since January 2012). Formerly, Portfolio Manager for
1971 Dimensional (April 2001-January 2012).
----------------------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Since 2013 Vice President of all the DFA Entities. Formerly, Senior Associate
Vice President Investment Analytics and Data for Dimensional (January 2012-
1981 December 2012); Systems Developer for Dimensional (June 2007-
December 2011).
----------------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (2007-2010).
1968
----------------------------------------------------------------------------------------------------------------------
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Officer of
Vice President Dimensional SmartNest (US) LLC (since 2012).
1967
----------------------------------------------------------------------------------------------------------------------
Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice President -
Vice President Global Operations at Janus Capital Group (2005-2011).
1969
----------------------------------------------------------------------------------------------------------------------
David F. LaRusso Since 2013 Vice President of all the DFA Entities. Formerly, Senior Trader for
Vice President Dimensional (January 2010-December 2012); Trader for
1978 Dimensional (2000-2009).
----------------------------------------------------------------------------------------------------------------------
39
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
---------------------------------------------------------------------------------------------------------------------------
Juliet H. Lee Since 2005 Vice President of all the DFA Entities.
Vice President
1971
---------------------------------------------------------------------------------------------------------------------------
Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (July 2008-2010).
1980
---------------------------------------------------------------------------------------------------------------------------
John B. Lessley Since 2013 Vice President of all the DFA Entities. Regional Director
Vice President for Dimensional (since January 2008).
1960
---------------------------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director
Vice President for Dimensional (since February 2004).
1969
---------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Since 2010 Vice President of all the DFA Entities and Dimensional
Vice President Cayman Commodity Fund I Ltd. Counsel for Dimensional (since
1972 September 2006).
---------------------------------------------------------------------------------------------------------------------------
Rose C. Manziano Since 2013 Vice President of all the DFA Entities. Regional Director
Vice President for Dimensional (Since August 2010). Formerly, Vice
1971 President, Sales and Business Development at AdvisorsIG
(PPMG) (2009- 2010); Vice President at Credit Suisse
(2007-2009).
---------------------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global
Vice President & Head of Global Human Resources of Dimensional.
Human Resources
1970
---------------------------------------------------------------------------------------------------------------------------
David R. Martin Since 2007 Vice President, Chief Financial Officer and Treasurer of
Vice President, Chief Financial Officer all the DFA Entities. Director, Vice President, Chief
and Treasurer Financial Officer and Treasurer of Dimensional Fund
1956 Advisors Ltd., DFA Australia Limited, Dimensional Advisors
Ltd., Dimensional Fund Advisors Pte. Ltd., Dimensional Hong
Kong Limited and Dimensional Fund Advisors Canada ULC.
Chief Financial Officer, Treasurer, and Vice President of
Dimensional SmartNest (US) LLC, and Dimensional Cayman
Commodity Fund I Ltd. Director of Dimensional Funds PLC and
Dimensional Funds II PLC. Statutory Auditor of Dimensional
Japan Ltd.
---------------------------------------------------------------------------------------------------------------------------
Matthew H. Miller Since 2013 Vice President of all the DFA Entities. Client Service
Vice President Manager for Dimensional (Since 2012). Formerly, Regional
1978 Director for Dimensional (2008-2011; Senior Associate at
Dimensional (2007-2010).
---------------------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Since 2013 Vice President of all the DFA Entities. Manager, Investment
Vice President Systems at Dimensional (Since 2011). Formerly, Project
1971 Manager for Dimensional (2007-2010).
---------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President since Vice President and Secretary of all the DFA Entities.
Vice President and Secretary 1997 and Secretary Director, Vice President and Secretary of DFA Australia
1964 since 2000 Limited and Dimensional Fund Advisors Ltd. (since February
2002, April 1997 and May 2002, respectively). Vice
President and Secretary of Dimensional Fund Advisors Canada
ULC (since June 2003), Dimensional SmartNest (US) LLC,
Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan
Ltd. (since February 2012), Dimensional Advisors Ltd.
(since March 2012), Dimensional Fund Advisors Pte. Ltd.
(since June 2012) and Dimensional Hong Kong Limited (since
August 2012). Director, Dimensional Funds PLC and
Dimensional Funds II PLC (since 2002 and 2006,
respectively). Director of Dimensional Japan Ltd.,
Dimensional Advisors Ltd., Dimensional Fund Advisors Pte.
Ltd. and Dimensional Hong Kong Limited (since August 2012
and July 2012).
---------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager
Vice President for Dimensional (2008-2010).
1964
---------------------------------------------------------------------------------------------------------------------------
Selwyn J. Notelovitz Since 2012 Vice President of all DFA Entities. Deputy Chief Compliance
Vice President Officer of Dimensional (since December 2012). Formerly
1961 Chief Compliance Officer of Wellington Management Company,
LLP (2004-2011).
---------------------------------------------------------------------------------------------------------------------------
40
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
-----------------------------------------------------------------------------------------------------------------------
Carolyn L. O Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd. Deputy General Counsel, Funds (since
1974 2011). Counsel for Dimensional (2007-2011).
-----------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities.
Vice President
1976
-----------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since July 2005).
1973
-----------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Officer for
Vice President Dimensional (since January 2008). Formerly, Compliance Officer
1978 (February 2006-December 2007).
-----------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional Fund Advisors LP (since 2012). Formerly, Senior
1977 Consultant at Hewitt EnnisKnupp (June 2011-December 2011);
Senior Investment Analyst and Consultant at Hewitt EnnisKnupp
(July 2008-June 2011).
-----------------------------------------------------------------------------------------------------------------------
Brian P. Pitre Since 2013 Vice President of all the DFA Entities. Counsel for Dimensional
Vice President Fund Advisors LP (since 2009). Formerly, Vice President and
1976 Corporate Counsel at Mellon Capital Management (2006-2008).
-----------------------------------------------------------------------------------------------------------------------
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors
1961 Canada ULC.
-----------------------------------------------------------------------------------------------------------------------
Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since July 2006).
1970
-----------------------------------------------------------------------------------------------------------------------
Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate of Dimensional (2006-2008).
1973
-----------------------------------------------------------------------------------------------------------------------
Mark A. Regier Since 2013 Vice President of all the DFA Entities. Planning and Analysis
Vice President Manager for Dimensional (since July 2007).
1969
-----------------------------------------------------------------------------------------------------------------------
Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (June 2011-January 2012); Research
1981 Assistant for Dimensional (July 2004-August 2007).
-----------------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities.
Vice President
1971
-----------------------------------------------------------------------------------------------------------------------
Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Manager for
Vice President Dimensional (since July 2008).
1959
-----------------------------------------------------------------------------------------------------------------------
Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (March 2006-January 2010).
1961
-----------------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Operations
Vice President Manager for Dimensional (since May 2007).
1965
-----------------------------------------------------------------------------------------------------------------------
Ted R. Simpson Since 2007 Vice President of all the DFA Entities.
Vice President
1968
-----------------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Since 2007 Vice President of all the DFA Entities.
Vice President
1975
-----------------------------------------------------------------------------------------------------------------------
Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for
Vice President Dimensional (2007-2010).
1968
-----------------------------------------------------------------------------------------------------------------------
Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada ULC.
1956
-----------------------------------------------------------------------------------------------------------------------
41
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
---------------------------------------------------------------------------------------------------------------------
Carl G. Snyder Since 2000 Vice President of all the DFA Entities.
Vice President
1963
---------------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities.
Vice President
1947
---------------------------------------------------------------------------------------------------------------------
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Director and Vice
Vice President President of Dimensional Fund Advisors Canada ULC.
1973
---------------------------------------------------------------------------------------------------------------------
Richard H. Tatlow Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since April 2010). Formerly, Principal, Investment
1971 Strategist at Barclays Global Investors (2004-2009).
---------------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Since 2013 Vice President of all the DFA Entities, Manager, Investment
Vice President Analytics and Data for Dimensional (since 2012). Formerly,
1973 Research Assistant at Dimensional (2002-2011).
---------------------------------------------------------------------------------------------------------------------
Erik T. Totten Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since 2010). Formerly, Senior Associate at
1980 Dimensional (2007-2009).
---------------------------------------------------------------------------------------------------------------------
John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (January 2008-January 2012).
1978
---------------------------------------------------------------------------------------------------------------------
Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Technology
Vice President for Dimensional (since March 2007).
1958
---------------------------------------------------------------------------------------------------------------------
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors
1966 Canada ULC.
---------------------------------------------------------------------------------------------------------------------
Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since 2004).
1970
---------------------------------------------------------------------------------------------------------------------
Weston J. Wellington Since 1997 Vice President of all the DFA Entities.
Vice President
1951
---------------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Since 2007 Vice President of all the DFA Entities.
Vice President
1976
---------------------------------------------------------------------------------------------------------------------
Paul E. Wise Since 2005 Vice President of all the DFA Entities.
Vice President
1955
---------------------------------------------------------------------------------------------------------------------
Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2005-2010).
1978
---------------------------------------------------------------------------------------------------------------------
/1/ Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustees/Directors and until his or her successor is elected and
qualified.
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
NOTICE TO SHAREHOLDERS
(Unaudited)
For shareholders that do not have an October 31, 2013 tax year end, this
notice is for informational purposes only. For shareholders with an October 31,
2013 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2012 to October 31, 2013, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
Qualifying
For
Net Corporate
Investment Short-Term Long-Term Dividends Qualifying U.S.
Income Capital Gain Capital Gain Total Received Dividend Government
Dimensional Investment Group Inc. Distributions Distributions Distributions Distributions Deduction (1) Income (2) Interest (3)
--------------------------------- ------------- ------------- ------------- ------------- ------------- ---------- ------------
Global Equity Portfolio
Class R2 Shares................... 100% -- -- 100% 100% 100% --
Institutional Class Shares........ 100% -- -- 100% 100% 100% --
Global Allocation 60/40 Portfolio
Class R2 Shares................... 100% -- -- 100% 100% 100% --
Institutional Class Shares........ 100% -- -- 100% 100% 100% --
Global Allocation 25/75 Portfolio
Class R2 Shares................... 100% -- -- 100% 100% 100% --
Institutional Class Shares........ 100% -- -- 100% 100% 100% --
Qualifying
Short-
Foreign Foreign Qualifying Term
Tax Source Interest Capital
Dimensional Investment Group Inc. Credit (4) Income (5) Income (6) Gain (7)
--------------------------------- ---------- ---------- ---------- ----------
Global Equity Portfolio
Class R2 Shares................... 3% 46% 100% 100%
Institutional Class Shares........ 3% 46% 100% 100%
Global Allocation 60/40 Portfolio
Class R2 Shares................... 2% 28% 100% 100%
Institutional Class Shares........ 2% 28% 100% 100%
Global Allocation 25/75 Portfolio
Class R2 Shares................... 1% 15% 100% 100%
Institutional Class Shares........ 1% 15% 100% 100%
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax. However, for
residents of California, Connecticut and New York, the statutory threshold
requirements were not satisfied to permit exemption of these amounts from
state income for this fund.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
44
[LOGO] DFA103113-025A
[LOGO]
ANNUAL REPORT
year ended: October 31, 2013
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
November 2013
Dear Fellow Shareholder,
Our goal at Dimensional is to deliver an outstanding investment experience to
our clients. Our close ties to academia help us identify leading research that
can be beneficial to investors, and our team works to interpret, rigorously
test, and consider the practical applicability of those ideas in carefully
implemented investment strategies. This focus on research and implementation
has been central to Dimensional's approach since our founding and will continue
to be a key part of our offer to investors.
Sincerely,
/s/
David G. Booth
Chairman and Co-Chief Executive Officer
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes................. 1
Dimensional Investment Group Inc.
Performance Charts...................................... 2
Management's Discussion and Analysis.................... 3
Disclosure of Fund Expenses............................. 6
Disclosure of Portfolio Holdings........................ 8
Schedules of Investments
U.S. Large Cap Value Portfolio II................... 9
DFA International Value Portfolio II................ 9
Statements of Assets and Liabilities.................... 10
Statements of Operations................................ 11
Statements of Changes in Net Assets..................... 12
Financial Highlights.................................... 13
Notes to Financial Statements........................... 14
Report of Independent Registered Public Accounting Firm. 20
The DFA Investment Trust Company
Performance Charts...................................... 21
Management's Discussion and Analysis.................... 22
Disclosure of Fund Expenses............................. 24
Disclosure of Portfolio Holdings........................ 25
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series..................... 26
The DFA International Value Series.................. 29
Statements of Assets and Liabilities.................... 33
Statements of Operations................................ 34
Statements of Changes in Net Assets..................... 35
Financial Highlights.................................... 36
Notes to Financial Statements........................... 37
Report of Independent Registered Public Accounting Firm. 45
Fund Management............................................ 46
Voting Proxies on Fund Portfolio Securities................ 55
Notice to Shareholders..................................... 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.
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) 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.
REIT Real Estate Investment Trust
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO II VS.
RUSSELL 1000(R) VALUE INDEX
October 31, 2003-October 31, 2013
[CHARTS]
U.S. Large Cap Value Portfolio II Russell 1000(R) Value Index
----------------------------------- --------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,222 10,136
12/31/2003 10,923 10,760
01/31/2004 11,113 10,950
02/29/2004 11,399 11,184
03/31/2004 11,351 11,086
04/30/2004 11,161 10,815
05/31/2004 11,222 10,925
06/30/2004 11,565 11,183
07/31/2004 11,189 11,026
08/31/2004 11,189 11,182
09/30/2004 11,531 11,356
10/31/2004 11,668 11,544
11/30/2004 12,436 12,128
12/31/2004 12,929 12,534
01/31/2005 12,605 12,311
02/28/2005 12,991 12,719
03/31/2005 12,954 12,545
04/30/2005 12,519 12,320
05/31/2005 13,051 12,617
06/30/2005 13,321 12,755
07/31/2005 13,985 13,124
08/31/2005 13,867 13,067
09/30/2005 14,082 13,250
10/31/2005 13,707 12,914
11/30/2005 14,249 13,336
12/31/2005 14,268 13,416
01/31/2006 14,947 13,937
02/28/2006 14,898 14,022
03/31/2006 15,165 14,212
04/30/2006 15,593 14,573
05/31/2006 15,305 14,205
06/30/2006 15,434 14,295
07/31/2006 15,216 14,643
08/31/2006 15,463 14,888
09/30/2006 15,896 15,185
10/31/2006 16,518 15,682
11/30/2006 16,836 16,040
12/31/2006 17,174 16,400
01/31/2007 17,676 16,610
02/28/2007 17,407 16,351
03/31/2007 17,530 16,603
04/30/2007 18,274 17,217
05/31/2007 19,024 17,838
06/30/2007 18,717 17,421
07/31/2007 17,555 16,616
08/31/2007 17,218 16,802
09/30/2007 17,667 17,379
10/31/2007 17,770 17,381
11/30/2007 16,780 16,531
12/31/2007 16,718 16,371
01/31/2008 16,079 15,716
02/29/2008 15,588 15,057
03/31/2008 15,437 14,944
04/30/2008 16,414 15,673
05/31/2008 16,805 15,648
06/30/2008 14,961 14,150
07/31/2008 14,796 14,099
08/31/2008 15,086 14,339
09/30/2008 13,733 13,285
10/31/2008 10,639 10,985
11/30/2008 9,597 10,198
12/31/2008 9,905 10,339
01/31/2009 8,725 9,150
02/28/2009 7,499 7,928
03/31/2009 8,241 8,606
04/30/2009 9,581 9,528
05/31/2009 10,321 10,117
06/30/2009 10,190 10,042
07/31/2009 11,152 10,864
08/31/2009 11,910 11,433
09/30/2009 12,431 11,874
10/31/2009 11,893 11,511
11/30/2009 12,557 12,160
12/31/2009 12,913 12,375
01/31/2010 12,611 12,027
02/28/2010 13,152 12,407
03/31/2010 14,174 13,214
04/30/2010 14,621 13,556
05/31/2010 13,377 12,442
06/30/2010 12,356 11,742
07/31/2010 13,333 12,536
08/31/2010 12,516 12,000
09/30/2010 13,756 12,931
10/31/2010 14,256 13,319
11/30/2010 14,143 13,248
12/31/2010 15,523 14,294
01/31/2011 16,026 14,617
02/28/2011 16,886 15,156
03/31/2011 16,967 15,217
04/30/2011 17,390 15,622
05/31/2011 17,146 15,457
06/30/2011 16,853 15,140
07/31/2011 16,069 4,638
08/31/2011 14,713 13,724
09/30/2011 13,229 12,687
10/31/2011 15,067 14,139
11/30/2011 14,936 14,066
12/31/2011 15,051 14,350
01/31/2012 15,795 14,893
02/29/2012 16,705 15,486
03/31/2012 17,025 15,945
04/30/2012 16,677 15,783
05/31/2012 15,482 14,857
06/30/2012 16,317 15,595
07/31/2012 16,484 15,756
08/31/2012 17,134 16,098
09/30/2012 17,768 16,609
10/31/2012 17,801 16,528
11/30/2012 17,851 16,521
12/31/2012 18,395 16,862
01/31/2013 19,662 17,958
02/28/2013 19,915 18,216
03/31/2013 20,879 18,937
04/30/2013 21,099 19,224
05/31/2013 21,963 19,717
06/30/2013 21,717 19,543 Past performance is not predictive of
07/31/2013 23,011 20,599 future performance.
08/31/2013 22,330 19,817
09/30/2013 22,993 20,314 The returns shown do not reflect the
10/31/2013 24,156 21,203 deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten
Total Return Year Years Years Russell data copyright (C) Russell
---------------------------------------------------------------- Investment Group 1995-2013, all rights
35.70% 17.82% 9.22% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO II VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2003-October 31, 2013
[CHARTS]
DFA InternationaL MSCI World ex
Value Portfolio II USA Index (net dividends)
-------------------- --------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,212 10,227
12/31/2003 10,979 11,011
01/31/2004 11,259 11,164
02/29/2004 11,602 11,421
03/31/2004 11,783 11,478
04/30/2004 11,422 11,178
05/31/2004 11,539 11,230
06/30/2004 12,015 11,489
07/31/2004 11,568 11,139
08/31/2004 11,723 11,185
09/30/2004 12,096 11,511
10/31/2004 12,555 11,925
11/30/2004 13,492 12,718
12/31/2004 14,157 13,255
01/31/2005 14,018 12,994
02/28/2005 14,574 13,572
03/31/2005 14,216 13,264
04/30/2005 13,780 12,926
05/31/2005 13,799 12,950
06/30/2005 14,013 13,161
07/31/2005 14,642 13,586
08/31/2005 15,122 13,961
09/30/2005 15,545 14,599
10/31/2005 15,319 14,127
11/30/2005 15,583 14,501
12/31/2005 16,346 15,173
01/31/2006 17,467 16,133
02/28/2006 17,633 16,079
03/31/2006 18,373 16,589
04/30/2006 19,309 17,382
05/31/2006 18,529 16,722
06/30/2006 18,407 16,700
07/31/2006 18,694 16,857
08/31/2006 19,338 17,336
09/30/2006 19,601 17,322
10/31/2006 20,472 18,006
11/30/2006 21,153 18,543
12/31/2006 21,972 19,074
01/31/2007 22,391 19,191
02/28/2007 22,370 19,344
03/31/2007 23,087 19,840
04/30/2007 24,253 20,742
05/31/2007 25,081 21,203
06/30/2007 24,906 21,224
07/31/2007 24,209 20,931
08/31/2007 23,939 20,628
09/30/2007 25,186 21,800
10/31/2007 26,409 22,748
11/30/2007 24,810 21,858
12/31/2007 24,274 21,447
01/31/2008 22,303 19,513
02/29/2008 22,023 19,867
03/31/2008 22,280 19,583
04/30/2008 23,272 20,672
05/31/2008 23,283 20,986
06/30/2008 20,984 19,354
07/31/2008 20,387 18,665
08/31/2008 19,537 17,943
09/30/2008 17,247 15,353
10/31/2008 12,919 12,159
11/30/2008 12,127 11,500
12/31/2008 13,057 12,106
01/31/2009 11,231 10,976
02/28/2009 9,848 9,865
03/31/2009 10,925 10,515
04/30/2009 12,949 11,871
05/31/2009 14,862 13,373
06/30/2009 14,647 13,234
07/31/2009 16,393 14,477
08/31/2009 17,323 15,170
09/30/2009 18,220 15,796
10/31/2009 17,485 15,543
11/30/2009 17,994 15,927
12/31/2009 18,219 16,181
01/31/2010 17,157 15,423
02/28/2010 17,214 15,407
03/31/2010 18,584 16,399
04/30/2010 18,268 16,155
05/31/2010 16,113 14,372
06/30/2010 15,821 14,164
07/31/2010 17,806 15,473
08/31/2010 16,930 15,011
09/30/2010 18,768 16,451
10/31/2010 19,413 17,037
11/30/2010 18,445 16,315
12/31/2010 20,155 17,629
01/31/2011 21,030 18,009
02/28/2011 21,718 18,676
03/31/2011 21,126 18,302
04/30/2011 22,255 19,299
05/31/2011 21,440 18,727
06/30/2011 21,147 18,460
07/31/2011 20,477 18,156
08/31/2011 18,276 16,621
09/30/2011 16,292 14,952
10/31/2011 17,835 16,406
11/30/2011 17,256 15,648
12/31/2011 16,775 15,477
01/31/2012 17,910 16,312
02/29/2012 18,838 17,209
03/31/2012 18,704 17,082
04/30/2012 18,049 16,792
05/31/2012 15,810 14,878
06/30/2012 16,912 15,852
07/31/2012 16,842 16,050
08/31/2012 17,545 16,508
09/30/2012 18,171 17,009
10/31/2012 18,418 17,128
11/30/2012 18,701 17,488
12/31/2012 19,592 18,017
01/31/2013 20,514 18,903
02/28/2013 19,899 18,715
03/31/2013 19,972 18,863
04/30/2013 20,972 19,722
05/31/2013 20,703 19,281
06/30/2013 19,980 18,558
07/31/2013 21,351 19,546 Past performance is not predictive of
08/31/2013 21,194 19,294 future performance.
09/30/2013 22,790 20,657
10/31/2013 23,577 21,350 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years
--------------------------------------------------------- MSCI data copyright MSCI 2013, all
28.01% 12.79% 8.96% rights reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. Equity Market Review 12 Months Ended October 31, 2013
The one-year period ended October 31, 2013, was characterized by strong
gains in U.S. equities. The broad U.S. equity market, as measured by the
Russell 3000(R) Index, had positive returns in 10 of the 12 months.
The size premium was positive during the period with small cap stocks
outperforming large cap stocks as measured by the Russell indices. Micro cap
stocks were the strongest performers.
Total Return for 12 Months Ended October 31, 2013
-------------------------------------------------
Russell 3000(R) Index........................ 28.99%
Russell Microcap(R) Index (micro cap stocks). 38.72%
Russell 2000(R) Index (small cap stocks)..... 36.28%
Russell 1000(R) Index (large cap stocks)..... 28.40%
Dow Jones US Select REIT Index /SM/.......... 9.96%
The value premium was negative in small cap stocks while the performance of
large cap value and large cap growth was almost identical as measured by the
Russell indices.
Total Return for 12 Months Ended October 31, 2013
-------------------------------------------------
Russell 2000(R) Value Index (small cap value stocks)... 32.83%
Russell 2000(R) Growth Index (small cap growth stocks). 39.84%
Russell 1000(R) Value Index (large cap value stocks)... 28.29%
Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
----------
Source: Russell data copyright (C) Russell Investment Group 1995-2013, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/ growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
12 months ended October 31, 2013, were primarily attributable to differences in
value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value, small cap and/or micro cap companies relative to
widely used benchmarks.
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
U.S. Large Cap Value Portfolio II
The U.S. Large Cap Value Portfolio II seeks to capture the returns of U.S.
large company value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund that invests in such stocks. Value is measured primarily
by book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2013, the Master Fund held
approximately 220 securities. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 35.70% for the
Portfolio and 28.29% for the Russell 1000(R) Value Index. As a result of the
Master Fund's diversified investment approach, performance was
3
determined principally by broad structural trends in the U.S. equity market
rather than the behavior of a limited number of stocks. The Master Fund had
significantly greater exposure than the Index to deeper value stocks. These
stocks generally outperformed the Index, and the Master Fund's higher weight
contributed to the Portfolio's outperformance relative to the Index. The Master
Fund's exclusion of real estate investment trusts ("REITs") and highly
regulated utilities also contributed to the Portfolio's outperformance relative
to the Index as both sectors underperformed the overall Index during the period.
International Equity Market Review 12 Months Ended October 31, 2013
The one-year period ended October 31, 2013, was characterized by generally
positive monthly returns in the international equity markets with the exception
of a sharp decline from May to June and a smaller decline in August. As
measured by the MSCI indices below for developed markets outside the U.S.,
small cap stocks generally outperformed large cap stocks while value stocks
outperformed growth stocks.
12 Months Ended October 31, 2013
--------------------------------
U.S. Dollar Return
------------------
MSCI World ex USA Index........... 24.65%
MSCI World ex USA Small Cap Index. 27.81%
MSCI World ex USA Value Index..... 26.12%
MSCI World ex USA Growth Index.... 23.17%
During the period, the US dollar (USD) was mixed against developed markets
currencies. While the US dollar depreciated against the euro, Swiss franc, and
several other European-based developed markets currencies, it appreciated
against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 Months Ended October 31, 2013
--------------------------------
Ten Largest Foreign Developed Markets by Market Cap Local Currency Return U.S. Dollar Return
--------------------------------------------------- --------------------- ------------------
United Kingdom.................... 20.70% 20.37%
Japan............................. 64.48% 34.00%
Canada............................ 10.59% 5.99%
France............................ 27.55% 33.82%
Australia......................... 26.44% 15.47%
Switzerland....................... 27.49% 31.10%
Germany........................... 24.72% 30.85%
Spain............................. 30.69% 37.11%
Sweden............................ 24.39% 27.55%
Hong Kong......................... 14.30% 14.25%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
4
International Equity Portfolio Performance Overview
DFA International Value Portfolio II
The DFA International Value Portfolio II seeks to capture the returns of
international large company value stocks by purchasing shares of The DFA
International Value Series, a Master Fund that invests in such stocks. Value is
measured primarily by book-to-market ratio. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2013, the Master
Fund held approximately 520 securities in 22 eligible developed countries. In
general, cash exposure was low throughout the year, with an average cash
balance of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 28.01% for the
Portfolio and 24.65% for the MSCI World ex USA Index (net dividends). The
Master Fund focuses on value stocks, as measured by book-to-market, while the
Index is neutral with regard to value or growth. As large cap value stocks
generally outperformed large cap growth stocks during the period, the Master
Fund's significantly greater exposure than the Index to these securities
contributed to the Portfolio's outperformance relative to the Index. In
particular, the Master Fund's greater exposure to value stocks in the financial
sector was beneficial as these names generally outperformed the Index. The
Master Fund's exclusion of real estate investment trusts ("REITs") also
benefited the Portfolio's relative performance as REITs underperformed during
the period. Differences in the valuation timing and methodology between the
Master Fund and the Index generally detracted from the Portfolio's relative
performance. The Master Fund prices foreign exchange rates at the closing of
the U.S. markets while the Index uses rates at 4 pm London time. The Master
Fund also may use fair value pricing to price certain portfolio securities at
the closing of the U.S. markets while the Index uses local market closing
prices.
5
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Cap Value Portfolio II**
-----------------------------------
Actual Fund Return................. $1,000.00 $1,144.90 0.15% $0.81
Hypothetical 5% Annual Return...... $1,000.00 $1,024.45 0.15% $0.77
6
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio II**
--------------------------------------
Actual Fund Return.................... $1,000.00 $1,124.20 0.26% $1.39
Hypothetical 5% Annual Return......... $1,000.00 $1,023.89 0.26% $1.33
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
7
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 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 Affiliated Investment Companies' 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%
8
SCHEDULE OF INVESTMENTS
October 31, 2013
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..................... $155,725,583
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $95,134,269)................................ $155,725,583
============
Summary of the Portfolio's Master Fund's investments as of October 31, 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..................... $113,248,627
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $91,043,725)................................ $113,248,627
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(Amounts in thousands, except share and per share amounts)
DFA
U.S. Large Cap International
Value Portfolio II Value Portfolio II
------------------ ------------------
ASSETS:
Investments in Affiliated Investment Company at Value.......................... $ 155,726 $ 113,249
Receivables:
Fund Shares Sold............................................................. 20 12
Prepaid Expenses and Other Assets.............................................. 9 8
------------ ------------
Total Assets.............................................................. 155,755 113,269
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed......................................................... 25 17
Due to Advisor............................................................... 1 1
Accrued Expenses and Other Liabilities......................................... 20 20
------------ ------------
Total Liabilities......................................................... 46 38
------------ ------------
NET ASSETS..................................................................... $ 155,709 $ 113,231
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)........................................ 11,020,551 18,904,208
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE....................... $ 14.13 $ 5.99
============ ============
Investments in Affiliated Investment Company at Cost........................... $ 95,134 $ 91,044
------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital................................................................ $ 114,683 $ 85,652
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)....................................................................... 395 264
Accumulated Net Realized Gain (Loss)........................................... (19,961) 5,101
Net Unrealized Foreign Exchange Gain (Loss).................................... -- 9
Net Unrealized Appreciation (Depreciation)..................................... 60,592 22,205
------------ ------------
NET ASSETS..................................................................... $ 155,709 $ 113,231
============ ============
(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 YEAR ENDED OCTOBER 31, 2013
(Amounts in thousands)
DFA
U.S. Large International
Cap Value Value
Portfolio II* Portfolio II*
------------- -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0 and $251, respectively). $ 2,825 $ 3,280
Interest............................................................... 1 --
Income from Securities Lending......................................... 24 143
Expenses Allocated from Affiliated Investment Company.................. (155) (228)
------- -------
Total Investment Income............................................. 2,695 3,195
------- -------
Expenses
Administrative Services Fees........................................... 14 10
Accounting & Transfer Agent Fees....................................... 19 19
Filing Fees............................................................ 18 18
Shareholders' Reports.................................................. 12 10
Directors'/Trustees' Fees & Expenses................................... 1 1
Audit Fees............................................................. 2 2
Legal Fees............................................................. 1 1
Other.................................................................. 3 2
------- -------
Total Expenses...................................................... 70 63
------- -------
Net Investment Income (Loss)........................................... 2,625 3,132
------- -------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold........................................... 12,174 5,151
Futures.............................................................. -- (20)
Foreign Currency Transactions........................................ -- (2)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 26,029 17,022
Futures.............................................................. -- (1)
Translation of Foreign Currency Denominated Amounts.................. -- 8
------- -------
Net Realized and Unrealized Gain (Loss)................................ 38,203 22,158
------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations.......... $40,828 $25,290
======= =======
----------
* 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)
U.S. Large Cap Value DFA International Value
Portfolio II Portfolio II
------------------ ----------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2013 2012
-------- -------- -------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................................... $ 2,625 $ 2,347 $ 3,132 $ 3,636
Net Realized Gain (Loss) on:
Investment Securities Sold.......................................... 12,174 5,271 5,151 6,764
Futures............................................................. -- -- (20) --
Foreign Currency Transactions....................................... -- -- (2) (18)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 26,029 11,165 17,022 (7,842)
Futures............................................................. -- -- (1) --
Translation of Foreign Currency Denominated Amounts................. -- -- 8 (4)
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 40,828 18,783 25,290 2,536
-------- -------- -------- --------
Distributions From:
Net Investment Income................................................. (2,613) (2,289) (3,374) (3,645)
Net Long-Term Gains................................................... -- -- (6,754) (5,339)
-------- -------- -------- --------
Total Distributions................................................ (2,613) (2,289) (10,128) (8,984)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued......................................................... 18,975 12,049 11,800 11,787
Shares Issued in Lieu of Cash Distributions........................... 2,613 2,289 10,128 8,984
Shares Redeemed....................................................... (19,885) (22,574) (18,128) (28,316)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions............ 1,703 (8,236) 3,800 (7,545)
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets............................ 39,918 8,258 18,962 (13,993)
Net Assets
Beginning of Year..................................................... 115,791 107,533 94,269 108,262
-------- -------- -------- --------
End of Year........................................................... $155,709 $115,791 $113,231 $ 94,269
======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued......................................................... 1,524 1,258 2,172 2,343
Shares Issued in Lieu of Cash Distributions........................... 216 240 2,005 1,881
Shares Redeemed....................................................... (1,618) (2,319) (3,382) (5,612)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed............ 122 (821) 795 (1,388)
======== ======== ======== ========
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)..................................................... $ 395 $ 383 $ 264 $ 501
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Cap Value Portfolio II
------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
----------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 10.62 $ 9.18 $ 8.84 $ 7.52 $ 13.48
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.24 0.21 0.17 0.16 0.15
Net Gains (Losses) on Securities (Realized and Unrealized). 3.51 1.43 0.34 1.32 0.03
-------- -------- -------- -------- --------
Total from Investment Operations.......................... 3.75 1.64 0.51 1.48 0.18
----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.24) (0.20) (0.17) (0.16) (0.25)
Net Realized Gains......................................... -- -- -- -- (5.89)
-------- -------- -------- -------- --------
Total Distributions....................................... (0.24) (0.20) (0.17) (0.16) (6.14)
----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 14.13 $ 10.62 $ 9.18 $ 8.84 $ 7.52
============================================================= ======== ======== ======== ======== ========
Total Return................................................. 35.70% 18.14% 5.69% 19.87% 11.79%
----------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $155,709 $115,791 $107,533 $112,601 $100,906
Ratio of Expenses to Average Net Assets (B).................. 0.17% 0.17% 0.18% 0.18% 0.23%
Ratio of Net Investment Income to Average Net Assets (B)..... 1.93% 2.10% 1.72% 1.95% 2.32%
----------------------------------------------------------------------------------------------------------------
DFA International Value Portfolio II
------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
---------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 5.21 $ 5.55 $ 6.62 $ 6.18 $ 11.58
-------- ------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.17 0.19 0.22 0.15 0.17
Net Gains (Losses) on Securities (Realized and Unrealized). 1.17 (0.06) (0.70) 0.50 1.23
-------- ------- -------- -------- --------
Total from Investment Operations.......................... 1.34 0.13 (0.48) 0.65 1.40
---------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.18) (0.19) (0.22) (0.16) (0.21)
Net Realized Gains......................................... (0.38) (0.28) (0.37) (0.05) (6.59)
-------- ------- -------- -------- --------
Total Distributions....................................... (0.56) (0.47) (0.59) (0.21) (6.80)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 5.99 $ 5.21 $ 5.55 $ 6.62 $ 6.18
============================================================= ======== ======== ======== ======== ========
Total Return................................................. 28.01% 3.27% (8.13)% 11.03% 35.34%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $113,231 $94,269 $108,262 $136,065 $143,898
Ratio of Expenses to Average Net Assets (B).................. 0.29% 0.30% 0.29% 0.29% 0.33%
Ratio of Net Investment Income to Average Net Assets (B)..... 3.08% 3.69% 3.42% 2.49% 3.10%
---------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
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 October 31, 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.
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 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 year ended October 31, 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
14
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 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
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 gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. 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.
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 each Series. For
the year ended October 31, 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 year ended October 31, 2013, the total
related amounts paid by the Fund to the CCO were $30 (in thousands). The total
related amounts paid by the Portfolios are included in Other Expenses on the
Statement of Operations.
D. Deferred Compensation:
At October 31, 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.
15
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 or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2013, primarily attributable to net foreign
currency gains/losses, foreign capital gains tax 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)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital 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, 2012 and October 31, 2013 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
2012................................. $2,289 $ 2,289
2013................................. 2,613 -- 2,613
DFA International Value Portfolio II
2012................................. 3,645 $5,339 8,984
2013................................. 3,374 6,754 10,128
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Unrealized Earnings
Short-Term Long-Term Capital Loss Appreciation (Accumulated
Capital Gains Capital Gains Carryfoward (Depreciation) Losses)
-------------- ------------- ------------ -------------- -------------
U.S. Large Cap Value Portfolio II.... $402 -- $(19,958) $60,589 $41,033
DFA International Value Portfolio II. 559 $4,906 -- 22,118 27,583
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, 2013, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through the indicated expiration dates (amounts
in thousands):
Expires on October 31,
----------------------
2017 Total
---------------------- -------
U.S. Large Cap Value Portfolio II. $19,958 $19,958
16
During the year ended October 31, 2013, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amount in thousands):
U.S. Large Cap Value Portfolio II. $12,174
At October 31, 2013, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
-------- ------------ ------------ --------------
U.S. Large Cap Value Portfolio II.... $95,137 $60,589 -- $60,589
DFA International Value Portfolio II. 91,140 22,109 -- 22,109
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 each Portfolio's
tax position and has concluded that no additional provision for income tax is
required in any Portfolio's financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each of the Portfolio's federal tax returns for the prior three
years remain subject to examination by the Internal Revenue Service.
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.
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 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 the lines of credit during
the year ended October 31, 2013.
17
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. Recently Issued Accounting Standards:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's financial statements to understand the effect of those arrangements on
its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as
applying to derivatives accounted for in accordance with Topic 815, Derivatives
and Hedging, including bifurcated embedded derivatives, repurchase agreements
and reverse repurchase agreements, and securities borrowing and securities
lending transactions that are offset either in accordance with other
requirements of GAAP or subject to an enforceable master netting arrangement or
similar agreement. ASU No. 2011-11 is effective for annual periods beginning on
or after January 1, 2013, and interim periods within those annual periods.
Management is evaluating any impact ASU No. 2011-11 may have on the financial
statements.
I. Other:
At October 31, 2013, both Portfolios each had two shareholders that held
100% of their outstanding shares. One or more of the 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.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned In re Tribune Company
Fraudulent Conveyance Litigation, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The U.S. Large Cap Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO. On September 23, 2013, the Court entered an order dismissing the
Individual Creditor Actions in their entirety on the grounds that the
individual creditor plaintiffs lack standing to pursue their claims. The
Court's dismissal order is on appeal to the Second Circuit. The Committee
Action remains pending, and the Court currently is coordinating with the
parties to establish a schedule for motions to dismiss in the Committee Action.
18
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 the plaintiffs 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 investors
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.
J. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
19
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Portfolios, as defined, and
Board of Directors of Dimensional Investment Group Inc.:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of U.S. Large Cap
Value Portfolio II and DFA International Value Portfolio II (constituting
portfolios within Dimensional Investment Group Inc., hereafter referred to as
the "Portfolios") at October 31, 2013, the results of each of their operations
for the year then ended, the changes in each of their net assets for each of
the two years in the period then ended and the financial highlights for each of
the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Portfolios' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2013 by
correspondence with the transfer agent of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
20
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000(R) VALUE INDEX
October 31, 2003-October 31, 2013
[CHART]
The U.S. Large Cap Value Series Russell 1000(R) Value Index
------------------------------- ---------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,224 10,136
12/31/2003 10,926 10,760
01/31/2004 11,113 10,950
02/29/2004 11,399 11,184
03/31/2004 11,353 11,086
04/30/2004 11,166 10,815
05/31/2004 11,226 10,925
06/30/2004 11,565 11,183
07/31/2004 11,191 11,026
08/31/2004 11,191 11,182
09/30/2004 11,535 11,356
10/31/2004 11,675 11,544
11/30/2004 12,440 12,128
12/31/2004 12,939 12,534
01/31/2005 12,615 12,311
02/28/2005 12,999 12,719
03/31/2005 12,964 12,545
04/30/2005 12,525 12,320
05/31/2005 13,059 12,617
06/30/2005 13,328 12,755
07/31/2005 13,992 13,124
08/31/2005 13,877 13,067
09/30/2005 14,091 13,250
10/31/2005 13,717 12,914
11/30/2005 14,265 13,336
12/31/2005 14,284 13,416
01/31/2006 14,965 13,937
02/28/2006 14,915 14,022
03/31/2006 15,180 14,212
04/30/2006 15,606 14,573
05/31/2006 15,322 14,205
06/30/2006 15,453 14,295
07/31/2006 15,232 14,643
08/31/2006 15,481 14,888
09/30/2006 15,910 15,185
10/31/2006 16,541 15,682
11/30/2006 16,855 16,040
12/31/2006 17,193 16,400
01/31/2007 17,695 16,610
02/28/2007 17,429 16,351
03/31/2007 17,550 16,603
04/30/2007 18,297 17,217
05/31/2007 19,051 17,838
06/30/2007 18,745 17,421
07/31/2007 17,583 16,616
08/31/2007 17,247 16,802
09/30/2007 17,697 17,379
10/31/2007 17,796 17,381
11/30/2007 16,802 16,531
12/31/2007 16,746 16,371
01/31/2008 16,106 15,716
02/29/2008 15,612 15,057
03/31/2008 15,466 14,944
04/30/2008 16,441 15,673
05/31/2008 16,836 15,648
06/30/2008 14,991 14,150
07/31/2008 14,827 14,099
08/31/2008 15,115 14,339
09/30/2008 13,757 13,285
10/31/2008 10,664 10,985
11/30/2008 9,618 10,198
12/31/2008 9,931 10,339
01/31/2009 8,752 9,150
02/28/2009 7,526 7,928
03/31/2009 8,269 8,606
04/30/2009 9,607 9,528
05/31/2009 10,343 10,117
06/30/2009 10,216 10,042
07/31/2009 11,189 10,864
08/31/2009 11,949 11,433
09/30/2009 12,471 11,874
10/31/2009 11,933 11,511
11/30/2009 12,606 12,160
12/31/2009 12,954 12,375
01/31/2010 12,653 12,027
02/28/2010 13,199 12,407
03/31/2010 14,228 13,214
04/30/2010 14,679 13,556
05/31/2010 13,421 12,442
06/30/2010 12,408 11,742
07/31/2010 13,381 12,536
08/31/2010 12,574 12,000
09/30/2010 13,801 12,931
10/31/2010 14,315 13,319
11/30/2010 14,204 13,248
12/31/2010 15,589 14,294
01/31/2011 16,088 14,617
02/28/2011 16,958 15,156
03/31/2011 17,037 15,217
04/30/2011 17,473 15,622
05/31/2011 17,219 15,457
06/30/2011 16,919 15,140
07/31/2011 16,143 14,638
08/31/2011 14,782 13,724
09/30/2011 13,286 12,687
10/31/2011 15,130 14,139
11/30/2011 15,004 14,066
12/31/2011 15,122 14,350
01/31/2012 15,874 14,893
02/29/2012 16,792 15,486
03/31/2012 17,101 15,945
04/30/2012 16,752 15,783
05/31/2012 15,565 14,857
06/30/2012 16,404 15,595
07/31/2012 16,563 15,756
08/31/2012 17,219 16,098
09/30/2012 17,852 16,609
10/31/2012 17,900 16,528
11/30/2012 17,939 16,521
12/31/2012 18,485 16,862
01/31/2013 19,775 17,958
02/28/2013 20,029 18,216
03/31/2013 20,986 18,937
04/30/2013 21,208 19,224
05/31/2013 22,078 19,717 Past performance is not predictive of
06/30/2013 21,833 19,543 future performance.
07/31/2013 23,139 20,599
08/31/2013 22,458 19,817 The returns shown do not reflect the
09/30/2013 23,115 20,314 deduction of taxes that a shareholder
10/31/2013 24,286 21,203 would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten
Total Return Year Years Years Russell data copyright (C) Russell
------------------------------------------------------------ Investment Group 1995-2013, all rights
35.68% 17.89% 9.28% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2003-October 31, 2013
[CHART]
The DFA International MSCI World ex USA Index
Value Series (net dividends)
--------------------- ------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,214 10,227
12/31/2003 10,981 11,011
1/31/2004 11,262 11,164
2/29/2004 11,601 11,421
3/31/2004 11,782 11,478
4/30/2004 11,426 11,178
5/31/2004 11,542 11,230
6/30/2004 12,019 11,489
7/31/2004 11,575 11,139
8/31/2004 11,726 11,185
9/30/2004 12,101 11,511
10/31/2004 12,564 11,925
11/30/2004 13,498 12,718
12/31/2004 14,170 13,255
1/31/2005 14,029 12,994
2/28/2005 14,584 13,572
3/31/2005 14,224 13,264
4/30/2005 13,792 12,926
5/31/2005 13,810 12,950
6/30/2005 14,031 13,161
7/31/2005 14,657 13,586
8/31/2005 15,140 13,961
9/30/2005 15,566 14,599
10/31/2005 15,332 14,127
11/30/2005 15,605 14,501
12/31/2005 16,369 15,173
1/31/2006 17,487 16,133
2/28/2006 17,655 16,079
3/31/2006 18,400 16,589
4/30/2006 19,332 17,382
5/31/2006 18,549 16,722
6/30/2006 18,432 16,700
7/31/2006 18,716 16,857
8/31/2006 19,360 17,336
9/30/2006 19,628 17,322
10/31/2006 20,499 18,006
11/30/2006 21,181 18,543
12/31/2006 22,007 19,074
1/31/2007 22,422 19,191
2/28/2007 22,402 19,344
3/31/2007 23,126 19,840
4/30/2007 24,293 20,742
5/31/2007 25,124 21,203
6/30/2007 24,941 21,224
7/31/2007 24,247 20,931
8/31/2007 23,975 20,628
9/30/2007 25,227 21,800
10/31/2007 26,451 22,748
11/30/2007 24,848 21,858
12/31/2007 24,313 21,447
1/31/2008 22,343 19,513
2/29/2008 22,059 19,867
3/31/2008 22,323 19,583
4/30/2008 23,321 20,672
5/31/2008 23,332 20,986
6/30/2008 21,024 19,354
7/31/2008 20,429 18,665
8/31/2008 19,576 17,943
9/30/2008 17,289 15,353
10/31/2008 12,954 12,159
11/30/2008 12,159 11,500
12/31/2008 13,079 12,106
1/31/2009 11,273 10,976
2/28/2009 9,888 9,865
3/31/2009 10,967 10,515
4/30/2009 12,988 11,871
5/31/2009 14,918 13,373
6/30/2009 14,691 13,234
7/31/2009 16,439 14,477
8/31/2009 17,381 15,170
9/30/2009 18,267 15,796
10/31/2009 17,540 15,543
11/30/2009 18,063 15,927
12/31/2009 18,267 16,181
1/31/2010 17,211 15,423
2/28/2010 17,279 15,407
3/31/2010 18,642 16,399
4/30/2010 18,324 16,155
5/31/2010 16,178 14,372
6/30/2010 15,894 14,164
7/31/2010 17,881 15,473
8/31/2010 17,007 15,011
9/30/2010 18,835 16,451
10/31/2010 19,493 17,037
11/30/2010 18,517 16,315
12/31/2010 20,242 17,629
1/31/2011 21,105 18,009
2/28/2011 21,809 18,676
3/31/2011 21,207 18,302
4/30/2011 22,343 19,299
5/31/2011 21,537 18,727
6/30/2011 21,241 18,460
7/31/2011 20,560 18,156
8/31/2011 18,358 16,621
9/30/2011 16,348 14,952
10/31/2011 17,926 16,406
11/30/2011 17,336 15,648
12/31/2011 16,870 15,477
1/31/2012 18,006 16,312
2/29/2012 18,948 17,209
3/31/2012 18,789 17,082
4/30/2012 18,119 16,792
5/31/2012 15,883 14,878
6/30/2012 17,007 15,852
7/31/2012 16,939 16,050
8/31/2012 17,642 16,508
9/30/2012 18,267 17,009
10/31/2012 18,494 17,128
11/30/2012 18,789 17,488
12/31/2012 19,709 18,017
1/31/2013 20,640 18,903
2/28/2013 20,015 18,715
3/31/2013 20,083 18,863
4/30/2013 21,071 19,722
5/31/2013 20,821 19,281
6/30/2013 20,083 18,558
7/31/2013 21,457 19,546 Past performance is not predictive of
8/31/2013 21,309 19,294 future performance.
9/30/2013 22,910 20,657
10/31/2013 23,705 21,350 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years
------------------------------------------------------------ MSCI data copyright MSCI 2013, all
28.18% 12.85% 9.01% rights reserved.
--------------------------------------------------------------------------------
21
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. Equity Market Review 12 Months Ended October 31, 2013
The one-year period ended October 31, 2013, was characterized by strong
gains in U.S. equities. The broad U.S. equity market, as measured by the
Russell 3000(R) Index, had positive returns in 10 of the 12 months.
The size premium was positive during the period with small cap stocks
outperforming large cap stocks as measured by the Russell indices. Micro cap
stocks were the strongest performers.
Total Return for 12 Months Ended October 31, 2013
-------------------------------------------------
Russell 3000(R) Index........................ 28.99%
Russell Microcap(R) Index (micro cap stocks). 38.72%
Russell 2000(R) Index (small cap stocks)..... 36.28%
Russell 1000(R) Index (large cap stocks)..... 28.40%
Dow Jones US Select REIT Index /SM/.......... 9.96%
The value premium was negative in small cap stocks while the performance of
large cap value and large cap growth was almost identical as measured by the
Russell indices.
Total Return for 12 Months Ended October 31, 2013
-------------------------------------------------
Russell 2000(R) Value Index (small cap value stocks)... 32.83%
Russell 2000(R) Growth Index (small cap growth stocks). 39.84%
Russell 1000(R) Value Index (large cap value stocks)... 28.29%
Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
----------
Source: Russell data copyright (C) Russell Investment Group 1995-2013, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/ growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
12 months ended October 31, 2013, were primarily attributable to differences in
value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value, small cap and/or micro cap companies relative to
widely used benchmarks.
Domestic Equity Series' Performance Overview
U.S. Large Cap Value Series
The U.S. Large Cap Value Series seeks to capture the returns of U.S. large
company value stocks. Value is measured primarily by book-to-market ratio. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2013, the Series held approximately 220 securities. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Series' assets.
For the 12 months ended October 31, 2013, total returns were 35.68% for the
Series and 28.29% for the Russell 1000(R) Value Index. As a result of the
Series' diversified investment approach, performance was determined principally
by broad structural trends in the U.S. equity market rather than the behavior
of a limited number of stocks. The Series had significantly greater exposure
than the Index to deeper value stocks. These stocks generally outperformed the
Index, and the Series' higher weight contributed to the Series' outperformance
relative to the Index. The Series' exclusion of real estate investment trusts
("REITs") and highly regulated utilities also contributed to the Series'
outperformance relative to the Index as both sectors underperformed the overall
Index during the period.
22
International Equity Market Review 12 Months Ended October 31, 2013
The one-year period ended October 31, 2013, was characterized by generally
positive monthly returns in the international equity markets with the exception
of a sharp decline from May to June and a smaller decline in August. As
measured by the MSCI indices below for developed markets outside the U.S.,
small cap stocks generally outperformed large cap stocks while value stocks
outperformed growth stocks.
12 Months Ended October 31, 2013
--------------------------------
U.S. Dollar Return
- ------------------
MSCI World ex USA Index........... 24.65%
MSCI World ex USA Small Cap Index. 27.81%
MSCI World ex USA Value Index..... 26.12%
MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets
currencies. While the US dollar depreciated against the euro, Swiss franc, and
several other European-based developed markets currencies, it appreciated
against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 Months Ended October 31, 2013
--------------------------------
Ten Largest Foreign Developed Markets by Market Cap Local Currency Return U.S. Dollar Return
--------------------------------------------------- --------------------- ------------------
United Kingdom.................... 20.70% 20.37%
Japan............................. 64.48% 34.00%
Canada............................ 10.59% 5.99%
France............................ 27.55% 33.82%
Australia......................... 26.44% 15.47%
Switzerland....................... 27.49% 31.10%
Germany........................... 24.72% 30.85%
Spain............................. 30.69% 37.11%
Sweden............................ 24.39% 27.55%
Hong Kong......................... 14.30% 14.25%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
International Equity Series' Performance Overview
The DFA International Value Series
The DFA International Value Series seeks to capture the returns of
international large company value stocks. Value stocks are typically
characterized by low relative price, as measured by their book-to-market ratio.
The investment strategy is process driven, emphasizing broad diversification.
As of October 31, 2013, the Series held approximately 520 securities in 22
eligible developed countries. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2013, total returns were 28.18% for the
Series and 24.65% for the MSCI World ex USA Index (net dividends). The Series
focuses on value stocks, as measured by book-to-market, while the Index is
neutral with regard to value or growth. As large cap value stocks generally
outperformed large cap growth stocks during the period, the Series'
significantly greater exposure than the Index to these securities contributed
to the Series' outperformance relative to the Index. In particular, the Series'
greater exposure to value stocks in the financial sector was beneficial as
these names generally outperformed the Index. The Series' exclusion of real
estate investment trusts ("REITs") also benefited the Series' relative
performance as REITs underperformed during the period. Differences in the
valuation timing and methodology between the Series and the Index generally
detracted from the Series' relative performance. The Series prices foreign
exchange rates at the closing of the U.S. markets while the Index uses rates at
4 pm London time. The Series also may use fair value pricing to price certain
portfolio securities at the closing of the U.S. markets while the Index uses
local market closing prices.
23
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
-------------------------------
Actual Fund Return................. $1,000.00 $1,145.10 0.11% $0.59
Hypothetical 5% Annual Return...... $1,000.00 $1,024.65 0.11% $0.56
The DFA International Value Series
----------------------------------
Actual Fund Return................. $1,000.00 $1,125.00 0.22% $1.18
Hypothetical 5% Annual Return...... $1,000.00 $1,024.10 0.22% $1.12
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
24
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 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 is 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....................... 12.6%
Consumer Staples............................. 7.5%
Energy....................................... 20.7%
Financials................................... 24.9%
Health Care.................................. 8.0%
Industrials.................................. 12.2%
Information Technology....................... 5.9%
Materials.................................... 3.3%
Telecommunication Services................... 4.6%
Utilities.................................... 0.3%
-----
100.0%
The DFA International Value Series
Consumer Discretionary....................... 9.4%
Consumer Staples............................. 4.9%
Energy....................................... 12.7%
Financials................................... 36.7%
Health Care.................................. 1.3%
Industrials.................................. 10.4%
Information Technology....................... 3.7%
Materials.................................... 10.9%
Other........................................ --
Telecommunication Services................... 7.1%
Utilities.................................... 2.9%
-----
100.0%
25
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2013
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (95.9%)
Consumer Discretionary -- (12.1%)
Comcast Corp. Class A................ 10,008,890 $ 476,222,986 3.2%
Comcast Corp. Special Class A........ 3,819,364 176,836,553 1.2%
* General Motors Co.................... 3,555,515 131,376,279 0.9%
Time Warner Cable, Inc............... 1,876,119 225,415,698 1.5%
Time Warner, Inc..................... 4,974,348 341,936,681 2.3%
Other Securities..................... 515,830,578 3.5%
-------------- ------
Total Consumer Discretionary............. 1,867,618,775 12.6%
-------------- ------
Consumer Staples -- (7.2%)
Archer-Daniels-Midland Co............ 3,189,248 130,440,243 0.9%
CVS Caremark Corp.................... 7,147,441 444,999,677 3.0%
Mondelez International, Inc. Class A. 9,025,752 303,626,297 2.0%
Other Securities..................... 227,833,106 1.5%
-------------- ------
Total Consumer Staples................... 1,106,899,323 7.4%
-------------- ------
Energy -- (19.9%)
Anadarko Petroleum Corp.............. 2,511,077 239,280,527 1.6%
Apache Corp.......................... 1,526,796 135,579,485 0.9%
Baker Hughes, Inc.................... 1,673,042 97,187,010 0.6%
Chevron Corp......................... 4,348,879 521,691,525 3.5%
ConocoPhillips....................... 6,993,622 512,632,493 3.4%
Devon Energy Corp.................... 1,479,247 93,517,995 0.6%
Hess Corp............................ 1,606,476 130,445,851 0.9%
Marathon Oil Corp.................... 3,640,872 128,377,147 0.9%
Marathon Petroleum Corp.............. 1,791,952 128,411,280 0.9%
National Oilwell Varco, Inc.......... 1,816,355 147,451,699 1.0%
Occidental Petroleum Corp............ 1,521,584 146,193,791 1.0%
Phillips 66.......................... 2,926,797 188,573,531 1.3%
Valero Energy Corp................... 2,806,975 115,563,161 0.8%
Other Securities..................... 484,245,131 3.3%
-------------- ------
Total Energy............................. 3,069,150,626 20.7%
-------------- ------
Financials -- (23.9%)
American International Group, Inc.... 8,251,823 426,206,658 2.9%
Bank of America Corp................. 39,239,978 547,790,093 3.7%
Bank of New York Mellon Corp. (The).. 3,633,937 115,559,197 0.8%
Capital One Financial Corp........... 1,875,702 128,804,456 0.9%
Citigroup, Inc....................... 10,998,186 536,491,513 3.6%
CME Group, Inc....................... 1,618,207 120,087,142 0.8%
JPMorgan Chase & Co.................. 5,379,341 277,251,235 1.9%
Loews Corp........................... 2,050,343 99,052,070 0.7%
MetLife, Inc......................... 5,110,004 241,754,289 1.6%
Morgan Stanley....................... 7,883,626 226,496,575 1.5%
Prudential Financial, Inc............ 2,327,738 189,454,596 1.3%
Other Securities..................... 785,679,755 5.2%
-------------- ------
Total Financials......................... 3,694,627,579 24.9%
-------------- ------
Health Care -- (7.7%)
Aetna, Inc........................... 2,027,401 127,118,043 0.9%
* Express Scripts Holding Co........... 2,283,090 142,738,787 1.0%
Pfizer, Inc.......................... 7,744,869 237,612,581 1.6%
Thermo Fisher Scientific, Inc........ 1,932,026 188,913,502 1.3%
WellPoint, Inc....................... 1,824,634 154,728,963 1.1%
26
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
Other Securities................................... $ 330,262,151 2.1%
--------------- ------
Total Health Care........................................ 1,181,374,027 8.0%
--------------- ------
Industrials -- (11.7%)
CSX Corp........................................... 5,687,103 148,205,904 1.0%
Eaton Corp. P.L.C.................................. 1,993,999 140,696,569 1.0%
FedEx Corp......................................... 759,707 99,521,617 0.7%
General Electric Co................................ 17,056,602 445,859,576 3.0%
Norfolk Southern Corp.............................. 1,681,939 144,680,393 1.0%
Northrop Grumman Corp.............................. 1,364,645 146,712,984 1.0%
Union Pacific Corp................................. 1,891,022 286,300,731 1.9%
Other Securities................................... 389,576,498 2.5%
--------------- ------
Total Industrials........................................ 1,801,554,272 12.1%
--------------- ------
Information Technology -- (5.6%)
Corning, Inc....................................... 5,599,861 95,701,624 0.7%
Hewlett-Packard Co................................. 9,295,748 226,537,379 1.5%
* Yahoo!, Inc........................................ 3,936,872 129,641,195 0.9%
Other Securities................................... 418,199,608 2.8%
--------------- ------
Total Information Technology............................. 870,079,806 5.9%
--------------- ------
Materials -- (3.1%)
Freeport-McMoRan Copper & Gold, Inc................ 3,340,516 122,797,368 0.8%
International Paper Co............................. 2,043,676 91,168,386 0.6%
Other Securities................................... 270,895,902 1.9%
--------------- ------
Total Materials.......................................... 484,861,656 3.3%
--------------- ------
Telecommunication Services -- (4.4%)
AT&T, Inc.......................................... 14,518,387 525,565,609 3.5%
Other Securities................................... 152,680,539 1.1%
--------------- ------
Total Telecommunication Services......................... 678,246,148 4.6%
--------------- ------
Utilities -- (0.3%)
Other Securities................................... 47,551,285 0.3%
--------------- ------
TOTAL COMMON STOCKS...................................... 14,801,963,497 99.8%
--------------- ------
TEMPORARY CASH INVESTMENTS -- (0.7%)
State Street Institutional Liquid Reserves, 0.073%. 110,063,812 110,063,812 0.7%
--------------- ------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (3.4%)
(S)@ DFA Short Term Investment Fund..................... 45,096,723 521,769,090 3.5%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,087,346,593)............................... $15,433,796,399 104.0%
=============== ======
27
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...... $ 1,867,618,775 -- -- $ 1,867,618,775
Consumer Staples............ 1,106,899,323 -- -- 1,106,899,323
Energy...................... 3,069,150,626 -- -- 3,069,150,626
Financials.................. 3,694,627,579 -- -- 3,694,627,579
Health Care................. 1,181,374,027 -- -- 1,181,374,027
Industrials................. 1,801,554,272 -- -- 1,801,554,272
Information Technology...... 870,079,806 -- -- 870,079,806
Materials................... 484,861,656 -- -- 484,861,656
Telecommunication Services.. 678,246,148 -- -- 678,246,148
Utilities................... 47,551,285 -- -- 47,551,285
Temporary Cash Investments.... 110,063,812 -- -- 110,063,812
Securities Lending Collateral. -- $521,769,090 -- 521,769,090
--------------- ------------ -- ---------------
TOTAL......................... $14,912,027,309 $521,769,090 -- $15,433,796,399
=============== ============ == ===============
See accompanying Notes to Financial Statements.
28
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2013
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.1%)
AUSTRALIA -- (4.6%)
Suncorp Group, Ltd................ 3,736,013 $ 47,108,867 0.5%
Wesfarmers, Ltd................... 2,755,622 111,820,231 1.3%
Other Securities.................. 279,564,385 3.2%
------------ -----
TOTAL AUSTRALIA....................... 438,493,483 5.0%
------------ -----
AUSTRIA -- (0.2%)
Other Securities.................. 16,529,353 0.2%
------------ -----
BELGIUM -- (1.2%)
Other Securities.................. 112,978,600 1.3%
------------ -----
CANADA -- (8.8%)
# Canadian Natural Resources, Ltd... 1,849,320 58,690,835 0.7%
# Magna International, Inc.......... 583,936 49,458,004 0.6%
# Manulife Financial Corp........... 4,587,163 81,259,196 0.9%
# Sun Life Financial, Inc........... 1,446,869 48,735,471 0.6%
Suncor Energy, Inc................ 3,750,370 136,288,802 1.6%
# Thomson Reuters Corp.............. 1,557,384 58,522,328 0.7%
Other Securities.................. 400,896,217 4.4%
------------ -----
TOTAL CANADA.......................... 833,850,853 9.5%
------------ -----
DENMARK -- (1.5%)
Other Securities.................. 137,640,320 1.6%
------------ -----
FINLAND -- (0.9%)
Other Securities.................. 82,560,530 0.9%
------------ -----
FRANCE -- (9.7%)
AXA SA............................ 4,004,754 99,780,178 1.1%
BNP Paribas SA.................... 1,975,744 145,756,834 1.7%
Cie de St-Gobain.................. 1,078,023 56,585,484 0.7%
GDF Suez.......................... 3,247,971 80,496,939 0.9%
Orange............................ 3,875,091 53,267,297 0.6%
Societe Generale SA............... 1,823,515 103,009,458 1.2%
Vivendi SA........................ 3,686,124 93,331,608 1.1%
Other Securities.................. 290,292,116 3.2%
------------ -----
TOTAL FRANCE.......................... 922,519,914 10.5%
------------ -----
GERMANY -- (8.4%)
Allianz SE........................ 518,031 86,978,602 1.0%
Allianz SE ADR.................... 2,811,910 47,324,445 0.5%
Bayerische Motoren Werke AG....... 663,299 75,071,136 0.9%
Daimler AG........................ 2,088,586 171,002,503 1.9%
Deutsche Bank AG.................. 1,538,807 74,369,159 0.8%
# Deutsche Telekom AG Sponsored ADR. 3,074,385 48,544,539 0.6%
E.ON SE........................... 3,638,090 66,316,888 0.8%
Muenchener Rueckversicherungs AG.. 395,244 82,460,652 0.9%
Other Securities.................. 143,842,565 1.6%
------------ -----
TOTAL GERMANY......................... 795,910,489 9.0%
------------ -----
GREECE -- (0.0%)
Other Securities.................. 4,734,900 0.1%
------------ -----
29
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.1%)
Hutchison Whampoa, Ltd.................. 5,818,000 $ 72,458,624 0.8%
Other Securities........................ 125,762,689 1.4%
-------------- -----
TOTAL HONG KONG............................. 198,221,313 2.2%
-------------- -----
IRELAND -- (0.1%)
Other Securities........................ 13,557,887 0.1%
-------------- -----
ISRAEL -- (0.3%)
Other Securities........................ 28,069,013 0.3%
-------------- -----
ITALY -- (1.5%)
UniCredit SpA........................... 8,189,815 61,477,549 0.7%
Other Securities........................ 78,424,839 0.9%
-------------- -----
TOTAL ITALY................................. 139,902,388 1.6%
-------------- -----
JAPAN -- (17.7%)
Mitsubishi Corp......................... 3,482,500 70,454,645 0.8%
Mitsubishi UFJ Financial Group, Inc..... 24,653,206 156,998,104 1.8%
Mitsui & Co., Ltd....................... 4,220,700 60,296,595 0.7%
Nippon Steel & Sumitomo Metal Corp...... 18,537,940 61,185,438 0.7%
NTT DOCOMO, Inc......................... 3,091,700 49,049,894 0.6%
Other Securities........................ 1,282,749,967 14.5%
-------------- -----
TOTAL JAPAN................................. 1,680,734,643 19.1%
-------------- -----
NETHERLANDS -- (3.1%)
* ING Groep NV............................ 6,479,202 82,335,806 0.9%
Other Securities........................ 207,395,423 2.4%
-------------- -----
TOTAL NETHERLANDS........................... 289,731,229 3.3%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities........................ 6,293,702 0.1%
-------------- -----
NORWAY -- (0.7%)
Other Securities........................ 67,730,341 0.8%
-------------- -----
PORTUGAL -- (0.1%)
Other Securities........................ 6,386,228 0.1%
-------------- -----
SINGAPORE -- (1.2%)
Other Securities........................ 109,323,500 1.2%
-------------- -----
SPAIN -- (2.3%)
Banco Santander SA...................... 8,832,930 78,306,244 0.9%
Iberdrola SA............................ 7,444,256 46,726,442 0.5%
Other Securities........................ 94,892,837 1.1%
-------------- -----
TOTAL SPAIN................................. 219,925,523 2.5%
-------------- -----
SWEDEN -- (2.8%)
Nordea Bank AB.......................... 5,366,449 68,644,974 0.8%
Telefonaktiebolaget LM Ericsson Class B. 4,713,081 56,374,169 0.7%
Other Securities........................ 138,816,259 1.5%
-------------- -----
TOTAL SWEDEN................................ 263,835,402 3.0%
-------------- -----
30
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (6.9%)
Credit Suisse Group AG......................................... 1,928,358 $ 59,987,253 0.7%
Holcim, Ltd.................................................... 887,877 66,039,798 0.8%
Swiss Re AG.................................................... 1,117,582 98,104,262 1.1%
UBS AG......................................................... 6,496,062 125,640,734 1.4%
Zurich Insurance Group AG...................................... 269,917 74,584,331 0.9%
Other Securities............................................... 232,054,236 2.6%
-------------- ------
TOTAL SWITZERLAND.................................................... 656,410,614 7.5%
-------------- ------
UNITED KINGDOM -- (17.9%)
Barclays P.L.C................................................. 14,540,536 61,178,709 0.7%
# Barclays P.L.C. Sponsored ADR.................................. 5,739,573 96,482,222 1.1%
BP P.L.C. Sponsored ADR........................................ 5,793,659 269,405,143 3.1%
Glencore Xstrata P.L.C......................................... 15,896,454 86,511,958 1.0%
# HSBC Holdings P.L.C. Sponsored ADR............................. 1,694,884 93,286,415 1.1%
Kingfisher P.L.C............................................... 8,609,963 52,085,475 0.6%
* Lloyds Banking Group P.L.C..................................... 82,680,839 102,259,365 1.2%
# Royal Dutch Shell P.L.C. ADR................................... 3,323,210 231,029,559 2.6%
Vodafone Group P.L.C........................................... 34,976,333 128,109,810 1.5%
Vodafone Group P.L.C. Sponsored ADR............................ 3,949,158 145,407,998 1.6%
Other Securities............................................... 428,839,157 4.8%
-------------- ------
TOTAL UNITED KINGDOM................................................. 1,694,595,811 19.3%
-------------- ------
TOTAL COMMON STOCKS.................................................. 8,719,936,036 99.2%
-------------- ------
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Other Securities............................................... 23,753,308 0.3%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
Other Securities............................................... -- 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities............................................... 1,906,872 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................................ 1,906,872 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (7.7%)
(S)@ DFA Short Term Investment Fund................................. 62,748,487 726,000,000 8.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/13 (Collateralized by $796,375 FNMA, rates ranging from
2.500% to 4.500%, maturities ranging from 04/01/27 to
10/01/43, valued at $720,177) to be repurchased at
$706,058...................................................... $ 706 706,056 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................. 726,706,056 8.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,742,743,361)............................................ $9,472,302,272 107.7%
============== ======
31
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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................... $ 1,841,161 $ 436,652,322 -- $ 438,493,483
Austria..................... -- 16,529,353 -- 16,529,353
Belgium..................... 3,382,426 109,596,174 -- 112,978,600
Canada...................... 833,850,853 -- -- 833,850,853
Denmark..................... -- 137,640,320 -- 137,640,320
Finland..................... 1,950,990 80,609,540 -- 82,560,530
France...................... 6,675,118 915,844,796 -- 922,519,914
Germany..................... 120,607,084 675,303,405 -- 795,910,489
Greece...................... -- 4,734,900 -- 4,734,900
Hong Kong................... -- 198,221,313 -- 198,221,313
Ireland..................... 5,268,488 8,289,399 -- 13,557,887
Israel...................... -- 28,069,013 -- 28,069,013
Italy....................... 18,295,120 121,607,268 -- 139,902,388
Japan....................... 67,433,792 1,613,300,851 -- 1,680,734,643
Netherlands................. 16,499,964 273,231,265 -- 289,731,229
New Zealand................. -- 6,293,702 -- 6,293,702
Norway...................... 265,956 67,464,385 -- 67,730,341
Portugal.................... -- 6,386,228 -- 6,386,228
Singapore................... -- 109,323,500 -- 109,323,500
Spain....................... 13,099,036 206,826,487 -- 219,925,523
Sweden...................... 11,416,422 252,418,980 -- 263,835,402
Switzerland................. 90,293,410 566,117,204 -- 656,410,614
United Kingdom.............. 926,568,412 768,027,399 -- 1,694,595,811
Preferred Stocks
Germany..................... -- 23,753,308 -- 23,753,308
Rights/Warrants
Hong Kong................... -- -- -- --
Spain....................... -- 1,906,872 -- 1,906,872
Securities Lending Collateral. -- 726,706,056 -- 726,706,056
-------------- -------------- -- --------------
TOTAL......................... $2,117,448,232 $7,354,854,040 -- $9,472,302,272
============== ============== == ==============
See accompanying Notes to Financial Statements.
32
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(Amounts in thousands)
The U.S. The DFA
Large Cap International
Value Series Value Series*
------------ -------------
ASSETS:
Investments at Value (including $506,475 and $716,973 of securities on loan, respectively). $14,801,963 $8,745,596
Temporary Cash Investments at Value & Cost................................................. 110,064 --
Collateral Received from Securities on Loan at Value & Cost................................ -- 706
Collateral from Securities on Loan Invested in Affiliate at Value & Cost................... 521,769 726,000
Foreign Currencies at Value................................................................ -- 24,350
Cash....................................................................................... -- 20,781
Receivables:
Investment Securities Sold............................................................... 26,504 4,029
Dividends, Interest and Tax Reclaims..................................................... 17,741 23,044
Securities Lending Income................................................................ 453 276
Prepaid Expenses and Other Assets.......................................................... -- 1
----------- ----------
Total Assets.......................................................................... 15,478,494 9,544,783
----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................................................... 521,769 726,706
Investment Securities Purchased.......................................................... 115,461 23,813
Due to Advisor........................................................................... 1,223 1,472
Unrealized Loss on Foreign Currency Contracts.............................................. -- 17
Accrued Expenses and Other Liabilities..................................................... 1,053 645
----------- ----------
Total Liabilities..................................................................... 639,506 752,653
----------- ----------
NET ASSETS................................................................................. $14,838,988 $8,792,130
=========== ==========
Investments at Cost........................................................................ $ 9,455,514 $7,016,037
=========== ==========
Foreign Currencies at Cost................................................................. $ -- $ 24,526
=========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
33
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(Amounts in thousands)
The U.S. The DFA
Large Cap International
Value Series Value Series
- ------------ -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $42 and $19,855, respectively). $ 262,650 $ 256,899
Interest................................................................... 56 6
Income from Securities Lending............................................. 2,227 13,232
---------- ----------
Total Investment Income................................................. 264,933 270,137
---------- ----------
Expenses
Investment Advisory Services Fees.......................................... 12,720 15,819
Accounting & Transfer Agent Fees........................................... 850 542
Custodian Fees............................................................. 121 810
Shareholders' Reports...................................................... 30 20
Directors'/Trustees' Fees & Expenses....................................... 131 85
Professional Fees.......................................................... 431 236
Other...................................................................... 156 158
---------- ----------
Total Expenses.......................................................... 14,439 17,670
---------- ----------
Fees Paid Indirectly....................................................... -- (22)
---------- ----------
Net Expenses............................................................... 14,439 17,648
---------- ----------
Net Investment Income (Loss)............................................... 250,494 252,489
---------- ----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................................... 1,042,669 394,216
Futures.................................................................. -- (1,587)
Foreign Currency Transactions*........................................... -- (2,158)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................... 2,531,751 1,329,657
Translation of Foreign Currency Denominated Amounts...................... -- 544
---------- ----------
Net Realized and Unrealized Gain (Loss).................................... 3,574,420 1,720,672
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations.............. $3,824,914 $1,973,161
========== ==========
----------
* Net of foreign capital gain taxes withheld of $0 and $3, respectively.
See accompanying Notes to Financial Statements.
34
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap Value The DFA International
Series Value Series
------------------------ -----------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2013 2012
----------- ----------- ----------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................ $ 250,494 $ 212,847 $ 252,489 $ 260,321
Net Realized Gain (Loss) on:................................
Investment Securities Sold................................ 1,042,669 408,690 394,216 133,256
Futures................................................... -- -- (1,587) --
Foreign Currency Transactions*............................ -- -- (2,158) (1,249)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 2,531,751 1,049,282 1,329,657 (157,327)
Translation of Foreign Currency Denominated Amounts....... -- -- 544 (266)
----------- ----------- ----------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 3,824,914 1,670,819 1,973,161 234,735
----------- ----------- ----------- ----------
Transactions in Interest:
Contributions............................................... 1,639,135 505,769 1,055,913 699,069
Withdrawals................................................. (1,214,213) (922,543) (1,475,193) (651,462)
----------- ----------- ----------- ----------
Net Increase (Decrease) from Transactions in Interest.... 424,922 (416,774) (419,280) 47,607
----------- ----------- ----------- ----------
Total Increase (Decrease) in Net Assets.................. 4,249,836 1,254,045 1,553,881 282,342
Net Assets
Beginning of Year........................................... 10,589,152 9,335,107 7,238,249 6,955,907
----------- ----------- ----------- ----------
End of Year................................................. $14,838,988 $10,589,152 $ 8,792,130 $7,238,249
=========== =========== =========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $3 and $0, respectively.
See accompanying Notes to Financial Statements.
35
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series+
------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------------
Total Return......................................... 35.68% 18.31% 5.69% 19.96% 11.90%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................. $14,838,988 $10,589,152 $9,335,107 $8,816,400 $7,508,400
Ratio of Expenses to Average Net Assets.............. 0.11% 0.12% 0.12% 0.12% 0.13%
Ratio of Net Investment Income to Average Net Assets. 1.98% 2.15% 1.79% 2.02% 2.42%
Portfolio Turnover Rate.............................. 15% 10% 14% 28% 29%
-------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements.
--------------------------------------------------------------------------------
The DFA International Value Series+
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 28.18% 3.17% (8.04)% 11.13% 35.41%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $8,792,130 $7,238,249 $6,955,907 $6,919,633 $6,191,964
Ratio of Expenses to Average Net Assets...................... 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Net Investment Income to Average Net Assets......... 3.20% 3.75% 3.47% 2.55% 3.22%
Portfolio Turnover Rate...................................... 15% 14% 9% 20% 18%
--------------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
36
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational 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.
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 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
37
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.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in 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 year ended October 31, 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 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 any foreign withholding taxes recorded on the books of the
International 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
38
agreed upon years. Each Director/Trustee shall have the right in a notice of
election (the "Notice") to defer the receipt of the Director's/Trustee's
deferred compensation until a date specified by such Director/Trustee in the
Notice, which date may not be sooner than the earlier of: (i) the first
business day of January following the year in which such Director/Trustee
ceases to be a member of the Board; and (ii) five years following the effective
date of the Director's/Trustee's first deferral election. If a Director/Trustee
who elects to defer fees fails to designate in the Notice a time or date as of
which payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 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 and foreign currency 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 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 year ended October 31, 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 year
ended October 31, 2013, expenses reduced were as follows (amounts in thousands):
Fees Paid
Indirectly
- ----------
The DFA International Value Series. $22
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the year ended October 31, 2013, the total
related amounts paid by the Trust to the CCO were $56 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
39
D. Deferred Compensation:
At October 31, 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.... $336
The DFA International Value Series. 249
E. Purchases and Sales of Securities:
For the year ended October 31, 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.... $2,846,229 $1,917,181
The DFA International Value Series. 1,195,737 1,352,756
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
The Series are treated as partnerships for federal income tax purposes and
therefore, no provision for federal income taxes is required. Any net
investment income and realized and unrealized gains and losses have been deemed
to have been "passed down" to their respective partners.
At October 31, 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.... $10,087,540 $5,403,680 $ (57,424) $5,346,256
The DFA International Value Series. 7,749,972 2,159,515 (437,185) 1,722,330
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 remain
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.
40
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.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
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 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 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, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
The following is a summary of the location and value of derivative
instrument holdings on the Series' Statement of Operations categorized by
primary risk exposure for the year ended October 31, 2013 (amount 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 DFA International Value Series*. $(1,587)
* As of October 31, 2013, there were no futures contracts outstanding. During
the year ended October 31, 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.
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
41
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 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 year ended October 31, 2013, borrowings by the Series under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Loan Days Expense Borrowed During
Interest Rate Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
The U.S. Large Cap Value Series.... 0.89% $ 6,790 20 $ 4 $23,318
The DFA International Value Series. 0.90% 12,445 46 14 76,121
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2013, that each Series' available line of
credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of October 31, 2013.
I. Securities Lending:
As of October 31, 2013, each Series had securities on loan to
brokers/dealers, for which each such Series received cash collateral. In
addition, 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 $29,499 (in thousands). Each Series invests the cash collateral, as
described below, and records a liability for the return of the collateral,
during the period the securities are on loan. Loans of securities are expected
at all times to be secured by collateral equal to at least (i) 100% of the
current market value of the loaned securities with respect to securities of the
U.S. government or its agencies, (ii) 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) 105% of the
current market value of the loaned securities with respect to foreign
securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. 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.
42
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. Recently Issued Accounting Standards:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's financial statements to understand the effect of those arrangements on
its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as
applying to derivatives accounted for in accordance with Topic 815, Derivatives
and Hedging, including bifurcated embedded derivatives, repurchase agreements
and reverse repurchase agreements, and securities borrowing and securities
lending transactions that are offset either in accordance with other
requirements of GAAP or subject to an enforceable master netting arrangement or
similar agreement. ASU No. 2011-11 is effective for annual periods beginning on
or after January 1, 2013, and interim periods within those annual periods.
Management is evaluating any impact ASU No. 2011-11 may have on the financial
statements.
L. Other:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged 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.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned In re Tribune Company
Fraudulent Conveyance Litigation, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including the U.S. Large Cap Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO. On September 23, 2013, the Court entered an order dismissing the
Individual Creditor Actions in their entirety on the grounds that the
individual creditor plaintiffs lack standing to pursue their claims. The
Court's dismissal order is on appeal to the Second Circuit. The Committee
Action remains pending, and the Court currently is coordinating with the
parties to establish a schedule for motions to dismiss in the Committee Action.
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 the plaintiffs seek, the amount would be less than 1% of The
U.S. Large Cap Value Series' net asset value at this time.
43
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 investors
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.
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.
44
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Series, as defined, and
Board of Trustees of The DFA Investment Trust Company:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The U.S. Large Cap Value Series and The DFA International Value Series
(constituting portfolios within The DFA Investment Trust Company, hereafter
referred to as the ''Series") at October 31, 2013, the results of each of their
operations for the year then ended, the changes in each of their net assets for
each of the two years in the period then ended and the financial highlights for
each of the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Series' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2013 by
correspondence with the custodians, brokers, and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
45
FUND MANAGEMENT
(Unaudited)
Trustees/Directors
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and
Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Review Committee (the "Review Committee"). The
Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2013.
Each Board's Nominating Committee is comprised of George M. Constantinides,
John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie
J. Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. There was one Nominating Committee meeting
held during the fiscal year ended October 31, 2013.
Each Board's Review Committee consists of both interested and disinterested
Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Review Committee may (i) review the design of possible new series
of the Fund, (ii) review performance of existing portfolios of the Fund and
discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Review
Committee was formed on December 17, 2010, and there were two Review Committee
meetings held during the fiscal year ended October 31, 2013.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at www.dimensional.com.
46
Name, Position Portfolios within the Principal Occupation(s) During Past 5 Years
with the Fund, Term of Office/1/ and DFA Fund Complex/2/ and Other Directorships of Public Companies
Address and Year of Birth Length of Service Overseen Held
------------------------------------------------------------------------------------------------------------------------------
Disinterested Trustees/Directors
------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 106 portfolios in 4 Leo Melamed Professor of Finance, The
Director of DFAIDG and DIG. investment companies University of Chicago Booth School of Business.
Trustee of DFAITC and DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
1947
------------------------------------------------------------------------------------------------------------------------------
John P. Gould Since Inception 106 portfolios in 4 Steven G. Rothmeier Distinguished Service
Director of DFAIDG and DIG. investment companies Professor of Economics, The University of
Trustee of DFAITC and DEM. Chicago Booth School of Business (since 1965).
The University of Chicago Member and Chair, Competitive Markets
Booth School of Business Advisory Committee, Chicago Mercantile
5807 S. Woodlawn Avenue Exchange (futures trading exchange) (since
Chicago, IL 60637 2004). Formerly, Director of UNext, Inc.
1939 (1999-2006). Trustee, Harbor Fund (registered
investment company) (30 Portfolios) (since
1994). Formerly, Member of the Board of
Milwaukee Mutual Insurance Company
(1997-2010).
------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson Director of Since Inception 106 portfolios in 4 Professor in Practice of Finance, Yale School of
DFAIDG and DIG. investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM. Partner, Zebra Capital Management, LLC (hedge
Yale School of Management fund manager) (since 2001). Consultant to
P.O. Box 208200 Morningstar, Inc. (since 2006). Formerly,
New Haven, CT Chairman, Ibbotson Associates, Inc., Chicago, IL
06520-8200 (software data publishing and consulting)
1943 (1977-2006). Formerly, Director, BIRR Portfolio
Analysis, Inc. (software products) (1990-2010).
------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear Since Inception 106 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG and DIG. investment companies Institution (since 2002). Jack Steele Parker
Trustee of DFAITC and DEM. Professor of Human Resources Management
Stanford University Graduate and Economics, Graduate School of Business,
School of Business Stanford University (since 1995). Cornerstone
518 Memorial Way Stanford, Research (expert testimony and economic and
CA 94305-5015 1948 financial analysis) (since 2009). Formerly,
Chairman of the President George W. Bush's
Council of Economic Advisers (2006-2009).
Formerly, Council of Economic Advisors, State of
California (2005-2006). Formerly, Commissioner,
White House Panel on Tax Reform (2005).
------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes Since Inception 106 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
Director of DFAIDG and DIG. investment companies Stanford University (since 1981). Formerly,
Trustee of DFAITC and DEM. Chairman, Platinum Grove Asset Management,
c/o Dimensional Fund L.P. (hedge fund) (formerly, Oak Hill Platinum
Advisors, LP Partners) (1999-2009). Formerly, Managing
6300 Bee Cave Road Partner, Oak Hill Capital Management (private
Building 1 equity firm) (until 2004). Director, American
Austin, TX 78746 Century Fund Complex (registered investment
1941 companies) (40 Portfolios) (since 1980).
Formerly, Director, Chicago Mercantile
Exchange (2001-2008).
------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith Since Inception 106 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG. investment companies Professor of Accounting, The University of
Trustee of DFAITC and DEM. Chicago Booth School of Business (since 1980).
The University of Chicago Co-Director Investment Research, Fundamental
Booth School of Business Investment Advisors (hedge fund) (since 2008).
5807 S. Woodlawn Avenue Director, HNI Corporation (formerly known as
Chicago, IL 60637 HON Industries Inc.) (office furniture) (since
1953 2000). Director, Ryder System Inc.
(transportation, logistics and supply-chain
management) (since 2003). Trustee, UBS Funds
(4 investment companies within the fund
complex) (52 portfolios) (since 2009).
47
Name, Position Portfolios within the
with the Fund, Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
Address and Year of Birth Length of Service Overseen Other Directorships of Public Companies Held
---------------------------------------------------------------------------------------------------------------------------------
Interested Trustees/Directors*
---------------------------------------------------------------------------------------------------------------------------------
David G. Booth Since Inception 106 portfolios in 4 Chairman, Director/Trustee, President, and Co-Chief
Chairman, Director, investment companies Executive Officer (since January 2010) of
Co-Chief Executive Officer Dimensional Holdings Inc., Dimensional Fund
and President of DFAIDG Advisors LP, DFA Securities LLC, DEM, DFAIDG,
and DIG. Chairman, DIG and DFAITC. Director of Dimensional Fund
Trustee, Co-Chief Advisors Ltd., Dimensional Funds PLC, Dimensional
Executive Officer and Funds II PLC, DFA Australia Limited, Dimensional
President of DFAITC and Cayman Commodity Fund I Ltd., Dimensional Japan
DEM. Ltd. and Dimensional Advisors Ltd. Chairman,
6300 Bee Cave Road, Director and Co-Chief Executive Officer of
Building One Dimensional Fund Advisors Canada ULC. President,
Austin, Texas 78746 Dimensional SmartNest (US) LLC. Limited Partner,
1946 Oak Hill Partners (since 2001) and VSC Investors,
LLC (since 2007). Trustee, The University of
Chicago. Trustee, University of Kansas Endowment
Association. Formerly, Chief Executive Officer (until
2010) and Chief Investment Officer (2003-2007) of
Dimensional Fund Advisors LP, DFA Securities LLC,
DEM, DFAIDG, DIG , DFAITC, Dimensional
Holdings Inc. Formerly, Chief Investment Officer of
Dimensional Fund Advisors Ltd. Formerly, President
and Chief Investment Officer of DFA Australia
Limited. Formerly, Director, SA Funds (registered
investment company).
---------------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto Since 2009 106 portfolios in 4 Co-Chief Executive Officer (since January 2010),
Director, Co-Chief investment companies Chief Investment Officer (since March 2007) and
Executive Officer and Director/Trustee of Dimensional Holdings Inc.,
Chief Investment Officer of Dimensional Fund Advisors LP, DFA Securities LLC,
DFAIDG and DIG. DEM, DFAIDG, DIG, DFAITC and Dimensional
Trustee, Co-Chief Cayman Commodity Fund I Ltd. Director, Co-Chief
Executive Officer and Executive Officer, President and Chief Investment
Chief Investment Officer of Officer of Dimensional Fund Advisors Canada ULC.
DFAITC and DEM. Chief Investment Officer, Vice President and Director
6300 Bee Cave Road, of DFA Australia Limited. Director of Dimensional
Building One Fund Advisors Ltd., Dimensional Funds PLC,
Austin, TX 78746 Dimensional Funds II PLC, Dimensional Japan Ltd.
1967 and Dimensional Advisors Ltd., Formerly President
of Dimensional Holdings Inc, Dimensional Fund
Advisors LP, DFA Securities LLC, DEM, DFAIDG,
DIG, DFAITC and Dimensional Fund Advisors
Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the Funds.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with Dimensional Fund
Advisors LP.
48
Officers
The name, year of birth, information regarding positions with the Funds and
the principal occupation for each officer of the Funds are set forth below.
Each officer listed below holds the same office (except as otherwise noted) in
the following entities: Dimensional Fund Advisors LP (prior to November 3,
2006, Dimensional Fund Advisors Inc.) ("Dimensional"), Dimensional Holdings
Inc., DFA Securities LLC (prior to April 6, 2009, DFA Securities Inc.), DFAIDG,
DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each
officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One,
Austin, Texas 78746, unless otherwise indicated.
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
---------------------------------------------------------------------------------------------------------------------
Officers
---------------------------------------------------------------------------------------------------------------------
April A. Aandal Since 2008 Vice President of all the DFA Entities.
Vice President
1963
---------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice President
Vice President Business Development at Capson Physicians Insurance Company
1974 (2010-2012); Vice President at Charles Schwab (2007-2010).
---------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Since 2005 Vice President of all the DFA Entities.
Vice President
1966
---------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Director and Managing
Vice President Director of DFAL (since September 2013).
1955
---------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Since 2007 Vice President of all the DFA Entities.
Vice President
1968
---------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA
Vice President and Assistant Australia Limited, Dimensional Fund Advisors Ltd., Dimensional
Secretary 1967 Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte.
Ltd., Dimensional Hong Kong Limited. Director, Vice President and
Assistant Secretary of Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------------
David P. Butler Since 2007 Vice President of all the DFA Entities. Head of Global Financial
Vice President Services of Dimensional (since 2008).
1964
---------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (December 2010-January2012); Regional Director
1970 at Russell Investments (April 2006-December 2010).
---------------------------------------------------------------------------------------------------------------------
James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2008-2010); Vice President, Client Portfolio
1956 Manager at American Century Investments (2001-2008).
---------------------------------------------------------------------------------------------------------------------
Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio
1966 Manager of Dimensional (since January 2012). Formerly, Portfolio
Manager for Dimensional (October 2005-January 2012).
---------------------------------------------------------------------------------------------------------------------
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC. Head of Institutional,
1972 North America (since March 2012). Formerly, Head of Portfolio
Management of Dimensional (January 2006-March 2012).
---------------------------------------------------------------------------------------------------------------------
Matt B. Cobb Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since September 2011). Formerly, Vice President at
1971 MullinTBG 92005-2011).
---------------------------------------------------------------------------------------------------------------------
Ryan Cooper Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since 2003).
1979
---------------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (August 2002-January 2012).
1976
---------------------------------------------------------------------------------------------------------------------
Robert P. Cornell Since 2007 Vice President of all the DFA Entities.
Vice President
1949
49
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
---------------------------------------------------------------------------------------------------------------------------
George H. Crane Since 2010 Vice President of all the DFA Entities. Formerly, Senior Vice
Vice President President and Managing Director at State Street Bank & Trust
1955 Company (2007-2008).
---------------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Since 2004 Vice President and Global Chief Compliance Officer of all the DFA
Vice President and Global Chief Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd.,
Compliance Officer and Dimensional SmartNest (US) LLC. Chief Compliance Officer of
1965 Dimensional Fund Advisors Canada ULC.
---------------------------------------------------------------------------------------------------------------------------
James L. Davis Since 1999 Vice President of all the DFA Entities.
Vice President
1956
---------------------------------------------------------------------------------------------------------------------------
Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC.
1957
---------------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate for
Vice President Dimensional (since August 2008).
1972
---------------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities.
Vice President
1970
---------------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and
Vice President and Assistant DFA Australia Limited.
Secretary
1965
---------------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities.
Vice President
1971
---------------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio
1974 Manager of Dimensional (since January 2012).
---------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Manager
Vice President for Dimensional (since June 2006).
1970
---------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Since 2007 Vice President of all the DFA Entities.
Vice President
1967
---------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director
Vice President at BlackRock (2004-January 2012).
1968
---------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Since 2000 Vice President of all the DFA Entities.
Vice President
1967
---------------------------------------------------------------------------------------------------------------------------
John T. Gray Since 2007 Vice President of all the DFA Entities.
Vice President
1974
---------------------------------------------------------------------------------------------------------------------------
Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for
Vice President Dimensional (since 2012). Formerly, Senior Trader for Dimensional
1975 Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Ltd.
(2008-2009); Trader for Dimensional (2004-2008).
---------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Since 2007 Vice President of all the DFA Entities.
Vice President
1967
---------------------------------------------------------------------------------------------------------------------------
Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities,
Vice President and Fund Controller Dimensional Cayman Commodity Fund I Ltd. and Dimensional
1974 Japan Ltd.
---------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Since 2005 Vice President of all the DFA Entities.
Vice President
1967
---------------------------------------------------------------------------------------------------------------------------
Christine W. Ho Since 2004 Vice President of all the DFA Entities.
Vice President
1967
50
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
----------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing Director,
Vice President Co-Head Global Consultant Relations at BlackRock (2004-2011).
1960
----------------------------------------------------------------------------------------------------------------------
William A. Irvine Since 2013 Vice President of all the DFA Entities, Regional Director For
Vice President Dimensional (since 2012). Formerly, Vice President of Institutional
1957 Business Development at Eaton Vance (2005-2011).
----------------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd.
1973
----------------------------------------------------------------------------------------------------------------------
Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager
Vice President for Dimensional (October 2008-January 2012).
1968
----------------------------------------------------------------------------------------------------------------------
Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Entities,
Vice President Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan
1954 Ltd., Dimensional Advisors Ltd., Dimensional Hong Kong Limited
and Chief Operating Officer of Dimensional. Director, Vice
President and Chief Privacy Officer of Dimensional Fund Advisors
Canada ULC. Director of DFA Australia Limited, Dimensional Fund
Advisors Ltd., Dimensional Japan Ltd. and Dimensional Advisors
Ltd. Director and Vice President of Dimensional Hong Kong Limited
and Dimensional Fund Advisors Pte. Ltd.
----------------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since October 2004).
1977
----------------------------------------------------------------------------------------------------------------------
Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional Fund Advisors LP (April 2006-January 2012).
1948
----------------------------------------------------------------------------------------------------------------------
David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since June 2004).
1971
----------------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined Contribution
Vice President Sales for Dimensional (since August 2010). Formerly, Chief DC
1971 Strategist, Barclays Global Investors (2005-2009).
----------------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Sr. Portfolio Manager of
Vice President Dimensional (since January 2012).Formerly, Portfolio Manager for
1971 Dimensional (April 2001-January 2012).
----------------------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Since 2013 Vice President of all the DFA Entities. Formerly, Senior Associate
Vice President Investment Analytics and Data for Dimensional (January 2012-
1981 December 2012); Systems Developer for Dimensional (June 2007-
December 2011).
----------------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (2007-2010).
1968
----------------------------------------------------------------------------------------------------------------------
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Officer of
Vice President Dimensional SmartNest (US) LLC (since 2012).
1967
----------------------------------------------------------------------------------------------------------------------
Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice President -
Vice President Global Operations at Janus Capital Group (2005-2011).
1969
----------------------------------------------------------------------------------------------------------------------
David F. LaRusso Since 2013 Vice President of all the DFA Entities. Formerly, Senior Trader for
Vice President Dimensional (January 2010-December 2012); Trader for
1978 Dimensional (2000-2009).
----------------------------------------------------------------------------------------------------------------------
Juliet H. Lee Since 2005 Vice President of all the DFA Entities.
Vice President
1971
----------------------------------------------------------------------------------------------------------------------
Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (July 2008-2010).
1980
----------------------------------------------------------------------------------------------------------------------
John B. Lessley Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since January 2008).
1960
51
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
----------------------------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since February 2004).
1969
----------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd. Counsel for Dimensional (since September
1972 2006).
----------------------------------------------------------------------------------------------------------------------------
Rose C. Manziano Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (Since August 2010). Formerly, Vice President, Sales
1971 and Business Development at AdvisorsIG (PPMG) (2009- 2010);
Vice President at Credit Suisse (2007-2009).
----------------------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global Human
Vice President & Head of Global Resources of Dimensional.
Human Resources
1970
----------------------------------------------------------------------------------------------------------------------------
David R. Martin Since 2007 Vice President, Chief Financial Officer and Treasurer of all the DFA
Vice President, Entities. Director, Vice President, Chief Financial Officer and
Chief Financial Officer Treasurer of Dimensional Fund Advisors Ltd., DFA Australia
and Treasurer Limited, Dimensional Advisors Ltd., Dimensional Fund Advisors
1956 Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Fund
Advisors Canada ULC. Chief Financial Officer, Treasurer, and Vice
President of Dimensional SmartNest (US) LLC, and Dimensional
Cayman Commodity Fund I Ltd. Director of Dimensional Funds
PLC and Dimensional Funds II PLC. Statutory Auditor of
Dimensional Japan Ltd.
----------------------------------------------------------------------------------------------------------------------------
Matthew H. Miller Since 2013 Vice President of all the DFA Entities. Client Service Manager for
Vice President Dimensional (Since 2012). Formerly, Regional Director for
1978 Dimensional (2008-2011; Senior Associate at Dimensional
(2007-2010).
----------------------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Since 2013 Vice President of all the DFA Entities. Manager, Investment
Vice President Systems at Dimensional (Since 2011). Formerly, Project Manager
1971 for Dimensional (2007-2010).
----------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President since Vice President and Secretary of all the DFA Entities. Director, Vice
Vice President and Secretary 1997 and Secretary President and Secretary of DFA Australia Limited and Dimensional
1964 since 2000 Fund Advisors Ltd. (since February 2002, April 1997 and May 2002,
respectively). Vice President and Secretary of Dimensional Fund
Advisors Canada ULC (since June 2003), Dimensional SmartNest
(US) LLC, Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Japan Ltd. (since February 2012), Dimensional
Advisors Ltd. (since March 2012), Dimensional Fund Advisors Pte.
Ltd. (since June 2012) and Dimensional Hong Kong Limited (since
August 2012). Director, Dimensional Funds PLC and Dimensional
Funds II PLC (since 2002 and 2006, respectively). Director of
Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional
Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited (since
August 2012 and July 2012).
----------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (2008-2010).
1964
----------------------------------------------------------------------------------------------------------------------------
Selwyn J. Notelovitz Since 2012 Vice President of all DFA Entities. Deputy Chief Compliance Officer
Vice President of Dimensional (since December 2012). Formerly Chief Compliance
1961 Officer of Wellington Management Company, LLP (2004-2011).
----------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd. Deputy General Counsel, Funds (since
1974 2011). Counsel for Dimensional (2007-2011).
----------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities.
Vice President
1976
----------------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since July 2005).
1973
52
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
-----------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Officer for
Vice President Dimensional (since January 2008). Formerly, Compliance Officer
1978 (February 2006-December 2007).
-----------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional Fund Advisors LP (since 2012). Formerly, Senior
1977 Consultant at Hewitt EnnisKnupp (June 2011-December 2011);
Senior Investment Analyst and Consultant at Hewitt EnnisKnupp
(July 2008-June 2011).
-----------------------------------------------------------------------------------------------------------------------
Brian P. Pitre Since 2013 Vice President of all the DFA Entities. Counsel for Dimensional
Vice President Fund Advisors LP (since 2009). Formerly, Vice President and
1976 Corporate Counsel at Mellon Capital Management (2006-2008).
-----------------------------------------------------------------------------------------------------------------------
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors
1961 Canada ULC.
-----------------------------------------------------------------------------------------------------------------------
Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since July 2006).
1970
-----------------------------------------------------------------------------------------------------------------------
Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate of Dimensional (2006-2008).
1973
-----------------------------------------------------------------------------------------------------------------------
Mark A. Regier Since 2013 Vice President of all the DFA Entities. Planning and Analysis
Vice President Manager for Dimensional (since July 2007).
1969
-----------------------------------------------------------------------------------------------------------------------
Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (June 2011-January 2012); Research
1981 Assistant for Dimensional (July 2004-August 2007).
-----------------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities.
Vice President
1971
-----------------------------------------------------------------------------------------------------------------------
Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Manager for
Vice President Dimensional (since July 2008).
1959
-----------------------------------------------------------------------------------------------------------------------
Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (March 2006-January 2010).
1961
-----------------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Operations
Vice President Manager for Dimensional (since May 2007).
1965
-----------------------------------------------------------------------------------------------------------------------
Ted R. Simpson Since 2007 Vice President of all the DFA Entities.
Vice President
1968
-----------------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Since 2007 Vice President of all the DFA Entities.
Vice President
1975
-----------------------------------------------------------------------------------------------------------------------
Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for
Vice President Dimensional (2007-2010).
1968
-----------------------------------------------------------------------------------------------------------------------
Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada ULC.
1956
-----------------------------------------------------------------------------------------------------------------------
Carl G. Snyder Since 2000 Vice President of all the DFA Entities.
Vice President
1963
-----------------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities.
Vice President
1947
-----------------------------------------------------------------------------------------------------------------------
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Director and Vice
Vice President President of Dimensional Fund Advisors Canada ULC.
1973
-----------------------------------------------------------------------------------------------------------------------
53
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
---------------------------------------------------------------------------------------------------------------------
Richard H. Tatlow Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since April 2010). Formerly, Principal, Investment
1971 Strategist at Barclays Global Investors (2004-2009).
---------------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Since 2013 Vice President of all the DFA Entities, Manager, Investment
Vice President Analytics and Data for Dimensional (since 2012). Formerly,
1973 Research Assistant at Dimensional (2002-2011).
---------------------------------------------------------------------------------------------------------------------
Erik T. Totten Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since 2010). Formerly, Senior Associate at
1980 Dimensional (2007-2009).
---------------------------------------------------------------------------------------------------------------------
John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (January 2008-January 2012).
1978
---------------------------------------------------------------------------------------------------------------------
Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Technology
Vice President for Dimensional (since March 2007).
1958
---------------------------------------------------------------------------------------------------------------------
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors
1966 Canada ULC.
---------------------------------------------------------------------------------------------------------------------
Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since 2004).
1970
---------------------------------------------------------------------------------------------------------------------
Weston J. Wellington Since 1997 Vice President of all the DFA Entities.
Vice President
1951
---------------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Since 2007 Vice President of all the DFA Entities.
Vice President
1976
---------------------------------------------------------------------------------------------------------------------
Paul E. Wise Since 2005 Vice President of all the DFA Entities.
Vice President
1955
---------------------------------------------------------------------------------------------------------------------
Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2005-2010).
1978
/1/ Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustees/Directors and until his or her successor is elected and
qualified.
54
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.
55
NOTICE TO SHAREHOLDERS
(Unaudited)
For shareholders that do not have an October 31, 2013 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2013
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2012 to October 31, 2013, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
Qualifying
For
Net Corporate
Investment Short-Term Long-Term Dividends Qualifying Foreign
Income Capital Gain Capital Gain Total Received Dividend Tax
Dimensional Investment Group Inc. Distributions Distributions Distributions Distributions Deduction (1) Income (2) Credit (3)
--------------------------------- ------------- ------------- ------------- ------------- ------------- ---------- ----------
U.S. Large Cap Value Portfolio II.... 100% -- -- 100% 100% 100% --
DFA International Value Portfolio II. 33% -- 67% 100% 100% 100% 8%
Qualifying
Short-
Foreign Qualifying Term
Source Interest Capital
Dimensional Investment Group Inc. Income (4) Income (5) Gain (6)
--------------------------------- ---------- ---------- ----------
U.S. Large Cap Value Portfolio II.... -- 100% 100%
DFA International Value Portfolio II. 100% 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(3)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(4)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of Investment Company
taxable income.
(5)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage of ordinary income distributions
(the total of short-term capital gain and net investment income
distributions).
(6)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
56
[LOGO] DFA103113-009A
[LOGO]
ANNUAL REPORT
year ended: October 31, 2013
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
November 2013
Dear Fellow Shareholder,
Our goal at Dimensional is to deliver an outstanding investment experience to
our clients. Our close ties to academia help us identify leading research that
can be beneficial to investors, and our team works to interpret, rigorously
test, and consider the practical applicability of those ideas in carefully
implemented investment strategies. This focus on research and implementation
has been central to Dimensional's approach since our founding and will continue
to be a key part of our offer to investors.
Sincerely,
/s/
David G. Booth
Chairman and Co-Chief Executive Officer
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes................. 1
Dimensional Investment Group Inc.
Performance Charts...................................... 2
Management's Discussion and Analysis.................... 4
Disclosure of Fund Expenses............................. 7
Disclosure of Portfolio Holdings........................ 9
Schedules of Investments
DFA International Value Portfolio III............... 10
U.S. Large Cap Value Portfolio III.................. 10
Tax-Managed U.S. Marketwide Value Portfolio II...... 10
Statements of Assets and Liabilities.................... 11
Statements of Operations................................ 12
Statements of Changes in Net Assets..................... 13
Financial Highlights.................................... 14
Notes to Financial Statements........................... 16
Report of Independent Registered Public Accounting Firm. 23
The DFA Investment Trust Company
Performance Charts...................................... 24
Management's Discussion and Analysis.................... 26
Disclosure of Fund Expenses............................. 29
Disclosure of Portfolio Holdings........................ 31
Summary Schedules of Portfolio Holdings
The DFA International Value Series.................. 32
The U.S. Large Cap Value Series..................... 36
The Tax-Managed U.S. Marketwide Value Series........ 39
Statements of Assets and Liabilities.................... 42
Statements of Operations................................ 43
Statements of Changes in Net Assets..................... 44
Financial Highlights.................................... 45
Notes to Financial Statements........................... 46
Report of Independent Registered Public Accounting Firm. 54
Fund Management............................................ 55
Voting Proxies on Fund Portfolio Securities................ 64
Notice to Shareholders..................................... 65
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) 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.
REIT Real Estate Investment Trust
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO III VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2003-October 31, 2013
[CHART]
DFA International MSCI World ex USA
Value Portfolio III Index (net dividends)
--------------------- ----------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,207 10,227
12/31/2003 10,979 11,011
01/31/2004 11,261 11,164
02/29/2004 11,596 11,421
03/31/2004 11,773 11,478
04/30/2004 11,420 11,178
05/31/2004 11,534 11,230
06/30/2004 12,013 11,489
07/31/2004 11,567 11,139
08/31/2004 11,718 11,185
09/30/2004 12,094 11,511
10/31/2004 12,552 11,925
11/30/2004 13,485 12,718
12/31/2004 14,156 13,255
01/31/2005 14,020 12,994
02/28/2005 14,572 13,572
03/31/2005 14,214 13,264
04/30/2005 13,779 12,926
05/31/2005 13,797 12,950
06/30/2005 14,015 13,161
07/31/2005 14,640 13,586
08/31/2005 15,126 13,961
09/30/2005 15,550 14,599
10/31/2005 15,310 14,127
11/30/2005 15,587 14,501
12/31/2005 16,346 15,173
01/31/2006 17,468 16,133
02/28/2006 17,631 16,079
03/31/2006 18,379 16,589
04/30/2006 19,310 17,382
05/31/2006 18,523 16,722
06/30/2006 18,407 16,700
07/31/2006 18,690 16,857
08/31/2006 19,332 17,336
09/30/2006 19,599 17,322
10/31/2006 20,476 18,006
11/30/2006 21,146 18,543
12/31/2006 21,980 19,074
01/31/2007 22,393 19,191
02/28/2007 22,373 19,344
03/31/2007 23,089 19,840
04/30/2007 24,261 20,742
05/31/2007 25,089 21,203
06/30/2007 24,902 21,224
07/31/2007 24,214 20,931
08/31/2007 23,937 20,628
09/30/2007 25,191 21,800
10/31/2007 26,409 22,748
11/30/2007 24,809 21,858
12/31/2007 24,267 21,447
01/31/2008 22,305 19,513
02/29/2008 22,018 19,867
03/31/2008 22,285 19,583
04/30/2008 23,278 20,672
05/31/2008 23,288 20,986
06/30/2008 20,987 19,354
07/31/2008 20,396 18,665
08/31/2008 19,542 17,943
09/30/2008 17,251 15,353
10/31/2008 12,933 12,159
11/30/2008 12,129 11,500
12/31/2008 13,053 12,106
01/31/2009 11,255 10,976
02/28/2009 9,867 9,865
03/31/2009 10,942 10,515
04/30/2009 12,957 11,871
05/31/2009 14,883 13,373
06/30/2009 14,666 13,234
07/31/2009 16,396 14,477
08/31/2009 17,335 15,170
09/30/2009 18,233 15,796
10/31/2009 17,506 15,543
11/30/2009 18,017 15,927
12/31/2009 18,226 16,181
01/31/2010 17,175 15,423
02/28/2010 17,232 15,407
03/31/2010 18,601 16,399
04/30/2010 18,281 16,155
05/31/2010 16,142 14,372
06/30/2010 15,856 14,164
07/31/2010 17,842 15,473
08/31/2010 16,971 15,011
09/30/2010 18,788 16,451
10/31/2010 19,441 17,037
11/30/2010 18,461 16,315
12/31/2010 20,187 17,629
01/31/2011 21,056 18,009
02/28/2011 21,749 18,676
03/31/2011 21,158 18,302
04/30/2011 22,277 19,299
05/31/2011 21,476 18,727
06/30/2011 21,176 18,460
07/31/2011 20,505 18,156
08/31/2011 18,300 16,621
09/30/2011 16,306 14,952
10/31/2011 17,875 16,406
11/30/2011 17,283 15,648
12/31/2011 16,819 15,477
01/31/2012 17,955 16,312
02/29/2012 18,883 17,209
03/31/2012 18,740 17,082
04/30/2012 18,067 16,792
05/31/2012 15,827 14,878
06/30/2012 16,956 15,852
07/31/2012 16,881 16,050
08/31/2012 17,580 16,508
09/30/2012 18,209 17,009
10/31/2012 18,435 17,128
11/30/2012 18,724 17,488
12/31/2012 19,646 18,017
01/31/2013 20,576 18,903
02/28/2013 19,956 18,715
03/31/2013 20,023 18,863
04/30/2013 21,007 19,722
05/31/2013 20,748 19,281
06/30/2013 20,027 18,558
07/31/2013 21,385 19,546 Past performance is not predictive of
08/31/2013 21,240 19,294 future performance.
09/30/2013 22,844 20,657
10/31/2013 23,626 21,350 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years
-------------------------------------------------------- MSCI data copyright MSCI 2013, all
28.15% 12.81% 8.98% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO III VS.
RUSSELL 1000(R) VALUE INDEX
October 31, 2003-October 31, 2013
[CHART]
U.S. Large Cap
Value Portfolio III Russell 1000/R/ Value Index
--------------------- ---------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,221 10,136
12/31/2003 10,926 10,760
01/31/2004 11,116 10,950
02/29/2004 11,397 11,184
03/31/2004 11,356 11,086
04/30/2004 11,166 10,815
05/31/2004 11,223 10,925
06/30/2004 11,562 11,183
07/31/2004 11,188 11,026
08/31/2004 11,188 11,182
09/30/2004 11,531 11,356
10/31/2004 11,673 11,544
11/30/2004 12,440 12,128
12/31/2004 12,934 12,534
01/31/2005 12,607 12,311
02/28/2005 12,993 12,719
03/31/2005 12,963 12,545
04/30/2005 12,518 12,320
05/31/2005 13,055 12,617
06/30/2005 13,324 12,755
07/31/2005 13,989 13,124
08/31/2005 13,872 13,067
09/30/2005 14,082 13,250
10/31/2005 13,711 12,914
11/30/2005 14,260 13,336
12/31/2005 14,275 13,416
01/31/2006 14,958 13,937
02/28/2006 14,907 14,022
03/31/2006 15,174 14,212
04/30/2006 15,593 14,573
05/31/2006 15,310 14,205
06/30/2006 15,444 14,295
07/31/2006 15,221 14,643
08/31/2006 15,470 14,888
09/30/2006 15,902 15,185
10/31/2006 16,531 15,682
11/30/2006 16,841 16,040
12/31/2006 17,178 16,400
01/31/2007 17,684 16,610
02/28/2007 17,418 16,351
03/31/2007 17,534 16,603
04/30/2007 18,281 17,217
05/31/2007 19,036 17,838
06/30/2007 18,730 17,421
07/31/2007 17,571 16,616
08/31/2007 17,232 16,802
09/30/2007 17,677 17,379
10/31/2007 17,776 17,381
11/30/2007 16,782 16,531
12/31/2007 16,731 16,371
01/31/2008 16,090 15,716
02/29/2008 15,599 15,057
03/31/2008 15,446 14,944
04/30/2008 16,420 15,673
05/31/2008 16,818 15,648
06/30/2008 14,973 14,150
07/31/2008 14,811 14,099
08/31/2008 15,096 14,339
09/30/2008 13,742 13,285
10/31/2008 10,648 10,985
11/30/2008 9,607 10,198
12/31/2008 9,914 10,339
01/31/2009 8,735 9,150
02/28/2009 7,518 7,928
03/31/2009 8,255 8,606
04/30/2009 9,589 9,528
05/31/2009 10,334 10,117
06/30/2009 10,200 10,042
07/31/2009 11,172 10,864
08/31/2009 11,928 11,433
09/30/2009 12,444 11,874
10/31/2009 11,912 11,511
11/30/2009 12,582 12,160
12/31/2009 12,931 12,375
01/31/2010 12,624 12,027
02/28/2010 13,179 12,407
03/31/2010 14,206 13,214
04/30/2010 14,652 13,556
05/31/2010 13,401 12,442
06/30/2010 12,387 11,742
07/31/2010 13,354 12,536
08/31/2010 12,546 12,000
09/30/2010 13,777 12,931
10/31/2010 14,289 13,319
11/30/2010 14,179 13,248
12/31/2010 15,566 14,294
01/31/2011 16,061 14,617
02/28/2011 16,929 15,156
03/31/2011 17,009 15,217
04/30/2011 17,435 15,622
05/31/2011 17,192 15,457
06/30/2011 16,882 15,140
07/31/2011 16,109 14,638
08/31/2011 14,747 13,724
09/30/2011 13,256 12,687
10/31/2011 15,096 14,139
11/30/2011 14,973 14,066
12/31/2011 15,089 14,350
01/31/2012 15,841 4,893
02/29/2012 16,758 15,486
03/31/2012 17,064 15,945
04/30/2012 16,712 15,783
05/31/2012 15,524 14,857
06/30/2012 16,364 15,595
07/31/2012 16,520 15,756
08/31/2012 17,174 16,098
09/30/2012 17,809 16,609
10/31/2012 17,861 16,528
11/30/2012 17,893 16,521
12/31/2012 18,434 16,862
01/31/2013 19,729 17,958
02/28/2013 19,981 18,216
03/31/2013 20,935 18,937
04/30/2013 21,157 19,224
05/31/2013 22,023 19,717
06/30/2013 21,779 19,543
07/31/2013 23,083 20,599
08/31/2013 22,405 19,817 Past performance is not predictive of
09/30/2013 23,058 20,314 future performance.
10/31/2013 24,229 21,203
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten
Total Return Year Years Years Russell data copyright (C) Russell
-------------------------------------------------------- Investment Group 1995-2013, all rights
35.65% 17.87% 9.25% reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II VS.
RUSSELL 3000(R) VALUE INDEX
October 31, 2003-October 31, 2013
[CHART]
Tax/Managed U.S. Marketwide
Value Portfolio II Russell 3000/R/ Value Index
--------------------------- ---------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,278 10,155
12/31/2003 10,799 10,760
01/31/2004 11,032 10,964
02/29/2004 11,275 11,197
03/31/2004 11,265 11,119
04/30/2004 11,060 10,823
05/31/2004 11,144 10,934
06/30/2004 11,500 11,215
07/31/2004 11,098 11,027
08/31/2004 11,032 11,180
09/30/2004 11,439 11,376
10/31/2004 11,589 11,564
11/30/2004 12,376 12,186
12/31/2004 12,770 12,583
01/31/2005 12,497 12,336
02/28/2005 12,977 12,731
03/31/2005 12,844 12,549
04/30/2005 12,373 12,289
05/31/2005 12,920 12,622
06/30/2005 13,236 12,796
07/31/2005 13,955 13,197
08/31/2005 13,936 13,118
09/30/2005 14,192 13,284
10/31/2005 13,850 12,947
11/30/2005 14,401 13,379
12/31/2005 14,468 13,443
01/31/2006 15,280 14,017
02/28/2006 15,232 14,094
03/31/2006 15,594 14,330
04/30/2006 15,987 14,663
05/31/2006 15,537 14,271
06/30/2006 15,641 14,370
07/31/2006 15,535 14,668
08/31/2006 15,622 14,931
09/30/2006 15,922 15,215
10/31/2006 16,539 15,738
11/30/2006 16,944 16,106
12/31/2006 17,271 16,447
01/31/2007 17,727 16,660
02/28/2007 17,494 16,406
03/31/2007 17,694 16,654
04/30/2007 18,326 17,229
05/31/2007 19,191 17,852
06/30/2007 18,773 17,435
07/31/2007 17,749 16,571
08/31/2007 17,661 16,769
09/30/2007 18,106 17,304
10/31/2007 18,126 17,321
11/30/2007 17,058 16,438
12/31/2007 16,983 16,281
01/31/2008 16,312 15,627
02/29/2008 15,724 14,975
03/31/2008 15,434 14,888
04/30/2008 16,314 15,594
05/31/2008 16,666 15,612
06/30/2008 14,831 14,119
07/31/2008 14,716 14,127
08/31/2008 15,018 14,402
09/30/2008 13,744 13,376
10/31/2008 10,668 11,030
11/30/2008 9,612 10,199
12/31/2008 9,942 10,379
01/31/2009 8,648 9,162
02/28/2009 7,480 7,934
03/31/2009 8,273 8,614
04/30/2009 9,702 9,573
05/31/2009 10,427 10,133
06/30/2009 10,280 10,062
07/31/2009 11,331 10,912
08/31/2009 12,081 11,478
09/30/2009 12,619 11,932
10/31/2009 12,017 11,533
11/30/2009 12,576 12,160
12/31/2009 13,043 2,430
01/31/2010 12,675 12,079
02/28/2010 13,259 12,475
03/31/2010 14,304 13,305
04/30/2010 14,856 13,699
05/31/2010 13,589 12,570
06/30/2010 12,544 11,830
07/31/2010 13,555 12,634
08/31/2010 12,663 12,061
09/30/2010 13,931 13,024
10/31/2010 14,476 13,424
11/30/2010 14,509 13,386
12/31/2010 15,874 14,447
01/31/2011 16,269 14,747
02/28/2011 17,190 15,308
03/31/2011 17,304 15,381
04/30/2011 17,710 15,777
05/31/2011 17,425 15,601
06/30/2011 17,124 15,276
07/31/2011 16,396 14,769
08/31/2011 15,038 13,816
09/30/2011 13,509 12,735
10/31/2011 15,382 14,222
11/30/2011 15,260 14,152
12/31/2011 15,416 14,432
01/31/2012 16,219 15,010
02/29/2012 17,079 15,579
03/31/2012 17,443 16,042
04/30/2012 17,118 15,873
05/31/2012 15,920 14,939
06/30/2012 16,757 15,679
07/31/2012 16,904 15,817
08/31/2012 17,534 16,171
09/30/2012 18,172 16,689
10/31/2012 18,228 16,598
11/30/2012 18,341 16,595
12/31/2012 18,870 16,964
01/31/2013 20,111 18,060
02/28/2013 20,430 18,315
03/31/2013 21,440 19,044
04/30/2013 21,600 19,308
05/31/2013 22,308 19,810
06/30/2013 22,170 19,642 Past performance is not predictive of
07/31/2013 23,512 20,718 future performance.
08/31/2013 22,824 19,922
09/30/2013 23,656 20,472 The returns shown do not reflect the
10/31/2013 24,772 21,350 deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten
Total Return Year Years Years Russell data copyright (C) Russell
-------------------------------------------------------------- Investment Group 1995-2013, all rights
35.90% 18.35% 9.50% reserved.
--------------------------------------------------------------------------------
3
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
International Equity Market Review 12 Months Ended October 31, 2013
The one-year period ended October 31, 2013, was characterized by generally
positive monthly returns in the international equity markets with the exception
of a sharp decline from May to June and a smaller decline in August. As
measured by the MSCI indices below for developed markets outside the U.S.,
small cap stocks generally outperformed large cap stocks while value stocks
outperformed growth stocks.
12 Months Ended October 31, 2013
--------------------------------
U.S. Dollar Return
------------------
MSCI World ex USA Index........... 24.65%
MSCI World ex USA Small Cap Index. 27.81%
MSCI World ex USA Value Index..... 26.12%
MSCI World ex USA Growth Index.... 23.17%
----------
During the period, the U.S. dollar (USD) was mixed against developed markets
currencies. While the U.S. dollar depreciated against the euro, Swiss franc,
and several other European-based developed markets currencies, it appreciated
against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 Months Ended October 31, 2013
--------------------------------
Ten Largest Foreign Developed Markets by Market Cap Local Currency Return U.S. Dollar Return
--------------------------------------------------- --------------------- ------------------
United Kingdom.................... 20.70% 20.37%
Japan............................. 64.48% 34.00%
Canada............................ 10.59% 5.99%
France............................ 27.55% 33.82%
Australia......................... 26.44% 15.47%
Switzerland....................... 27.49% 31.10%
Germany........................... 24.72% 30.85%
Spain............................. 30.69% 37.11%
Sweden............................ 24.39% 27.55%
Hong Kong......................... 14.30% 14.25%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
International Equity Portfolio Performance Overview
DFA International Value Portfolio III
The DFA International Value Portfolio III seeks to capture the returns of
international large company value stocks by purchasing shares of The DFA
International Value Series, a Master Fund that invests in such stocks. Value is
measured primarily by book-to-market ratio. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2013, the Master
Fund held approximately 520 securities in 22 eligible developed countries. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Master Fund's assets.
4
For the 12 months ended October 31, 2013, total returns were 28.15% for the
Portfolio and 24.65% for the MSCI World ex USA Index (net dividends). The
Master Fund focuses on value stocks, as measured by book-to-market, while the
Index is neutral with regard to value or growth. As large cap value stocks
generally outperformed large cap growth stocks during the period, the Master
Fund's significantly greater exposure than the Index to these securities
contributed to the Portfolio's outperformance relative to the Index. In
particular, the Master Fund's greater exposure to value stocks in the financial
sector was beneficial as these names generally outperformed the Index. The
Master Fund's exclusion of real estate investment trusts ("REITs") also
benefited the Portfolio's relative performance as REITs underperformed during
the period. Differences in the valuation timing and methodology between the
Master Fund and the Index generally detracted from the Portfolio's relative
performance. The Master Fund prices foreign exchange rates at the closing of
the U.S. markets while the Index uses rates at 4 pm London time. The Master
Fund also may use fair value pricing to price certain portfolio securities at
the closing of the U.S. markets while the Index uses local market closing
prices.
U.S. Equity Market Review 12 Months Ended October 31, 2013
The one-year period ending October 31, 2013, was characterized by strong
gains in U.S. equities. The broad U.S. equity market, as measured by the
Russell 3000(R) Index, had positive returns in 10 of the 12 months.
The size premium was positive during the period with small cap stocks
outperforming large cap stocks as measured by the Russell indices. Micro cap
stocks were the strongest performers.
Total Return for 12 Months Ended October 31, 2013
-------------------------------------------------
Russell 3000(R) Index........................ 28.99%
Russell Microcap(R) Index (micro cap stocks). 38.72%
Russell 2000(R) Index (small cap stocks)..... 36.28%
Russell 1000(R) Index (large cap stocks)..... 28.40%
Dow Jones U.S. Select REIT Index/SM/......... 9.96%
The value premium was negative in small cap stocks while the performance of
large cap value and large cap growth was almost identical as measured by the
Russell indices.
Total Return for 12 Months Ended October 31, 2013
-------------------------------------------------
Russell 2000(R) Value Index (small cap value stocks)... 32.83%
Russell 2000(R) Growth Index (small cap growth stocks). 39.84%
Russell 1000(R) Value Index (large cap value stocks)... 28.29%
Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
----------
Source: Russell data copyright(C) Russell Investment Group 1995-2013, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/ growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
12 months ended October 31, 2013, were primarily attributable to differences in
value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value, small cap and/or micro cap companies relative to
widely used benchmarks.
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
5
U.S. Large Cap Value Portfolio III
The U.S. Large Cap Value Portfolio III seeks to capture the returns of U.S.
large company value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund that invests in such stocks. Value is measured primarily
by book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2013, the Master Fund held
approximately 220 securities. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 35.65% for the
Portfolio and 28.29% for the Russell 1000(R) Value Index. As a result of the
Master Fund's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market rather than
the behavior of a limited number of stocks. The Master Fund had significantly
greater exposure than the Index to deeper value stocks. These stocks generally
outperformed the Index, and the Master Fund's higher weight in these securities
contributed to the Portfolio's outperformance relative to the Index. The Master
Fund's exclusion of real estate investment trusts ("REITs") and highly
regulated utilities also contributed to the Portfolio's outperformance relative
to the Index as both sectors underperformed the overall Index during the period.
Tax-Managed U.S. Marketwide Value Portfolio II
The Tax-Managed U.S. Marketwide Value Portfolio II seeks to capture the
returns of U.S. value stocks by purchasing shares of The Tax-Managed U.S.
Marketwide Value Series, a Master Fund that invests in such stocks. Value is
measured primarily by book-to-market ratio. The Portfolio also seeks to
maximize the after-tax value of a shareholder's investment. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2013, the Master Fund held approximately 1,300 securities. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 35.90% for the
Portfolio and 28.64% for the Russell 3000(R) Value Index. As a result of the
Master Fund's diversified investment approach, performance was determined
principally by broad structural trends in the U.S. equity market rather than
the behavior of a limited number of stocks. The Master Fund had significantly
greater exposure than the Index to deeper value stocks. These stocks generally
outperformed, and the Master Fund's higher weight contributed to the
Portfolio's outperformance relative to the Index. The Master Fund invests in
stocks across all size categories while the Index primarily holds large cap and
mid-cap stocks. Small cap stocks generally outperformed large and mid-cap
stocks during the period, and the Master Fund's greater exposure to small caps
contributed to the Portfolio's outperformance relative to the Index. The Master
Fund's exclusion of real estate investment trusts ("REITs") and highly
regulated utilities also contributed to the Portfolio's outperformance relative
to the Index as both sectors underperformed the overall Index during the period.
6
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio III**
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,124.70 0.24% $1.29
Hypothetical 5% Annual Return........... $1,000.00 $1,024.00 0.24% $1.22
U.S. Large Cap Value Portfolio III**
------------------------------------
Actual Fund Return...................... $1,000.00 $1,145.20 0.13% $0.70
Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
7
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
Tax-Managed U.S. Marketwide Value Portfolio II**
------------------------------------------------
Actual Fund Return............................... $1,000.00 $1,146.90 0.22% $1.19
Hypothetical 5% Annual Return.................... $1,000.00 $1,024.10 0.22% $1.12
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**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).
8
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 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 Affiliated Investment Companies' 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%
9
SCHEDULES OF INVESTMENTS
October 31, 2013
DFA INTERNATIONAL VALUE PORTFOLIO III
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $1,725,152,518
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$1,400,775,594)........................................ $1,725,152,518
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 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.................................. $2,648,825,421
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$1,623,602,718)........................................ $2,648,825,421
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 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....................... $1,279,584,598
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$760,413,262).......................................... $1,279,584,598
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(Amounts in thousands, except share and per share amounts)
DFA Tax-Managed
International U.S. Large Cap U.S. Marketwide
Value Portfolio III Value Portfolio III Value Portfolio II
------------------- ------------------- ------------------
ASSETS:
Investments in Affiliated Investment Company at Value............... $ 1,725,153 $ 2,648,825 $ 1,279,585
Receivables:
Fund Shares Sold.................................................. 1,472 735 326
Prepaid Expenses and Other Assets................................... 26 28 24
------------ ------------ ------------
Total Assets................................................... 1,726,651 2,649,588 1,279,935
------------ ------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed.............................................. 701 1,341 213
Due to Advisor.................................................... 14 22 --
Accrued Expenses and Other Liabilities.............................. 86 114 58
------------ ------------ ------------
Total Liabilities.............................................. 801 1,477 271
------------ ------------ ------------
NET ASSETS.......................................................... $ 1,725,850 $ 2,648,111 $ 1,279,664
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 96,714,845 116,408,921 59,430,985
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE.............................................................. $ 17.84 $ 22.75 $ 21.53
============ ============ ============
Investments in Affiliated Investment Company at Cost................ $ 1,400,776 $ 1,623,603 $ 760,413
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 1,329,487 $ 1,561,646 $ 759,489
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 2,592 5,714 2,478
Accumulated Net Realized Gain (Loss)................................ 69,269 55,529 (1,475)
Net Unrealized Foreign Exchange Gain (Loss)......................... 125 -- --
Net Unrealized Appreciation (Depreciation).......................... 324,377 1,025,222 519,172
------------ ------------ ------------
NET ASSETS.......................................................... $ 1,725,850 $ 2,648,111 $ 1,279,664
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED..................................... 500,000,000 700,000,000 500,000,000
============ ============ ============
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(Amounts in thousands)
DFA Tax-Managed
International U.S. Large Cap U.S. Marketwide
Value Portfolio III* Value Portfolio III* Value Portfolio II*
-------------------- -------------------- -------------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $3,673, $8 and $27,
respectively)................................................... $ 47,885 $ 49,018 $ 22,374
Interest......................................................... 1 10 5
Income from Securities Lending................................... 2,484 414 203
Expenses Allocated from Affiliated Investment Company............ (3,314) (2,685) (2,386)
-------- -------- --------
Total Investment Income....................................... 47,056 46,757 20,196
-------- -------- --------
Expenses
Administrative Services Fees..................................... 149 236 --
Accounting & Transfer Agent Fees................................. 30 37 27
Filing Fees...................................................... 37 38 35
Shareholders' Reports............................................ 50 58 24
Directors'/Trustees' Fees & Expenses............................. 16 25 12
Audit Fees....................................................... 5 5 8
Legal Fees....................................................... 16 26 12
Other............................................................ 22 33 17
-------- -------- --------
Total Expenses................................................ 325 458 135
-------- -------- --------
Net Investment Income (Loss)..................................... 46,731 46,299 20,061
-------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold..................................... 72,564 204,002 11,465
Futures........................................................ (280) -- --
Foreign Currency Transactions**................................ (418) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... 255,240 464,086 307,019
Futures........................................................ (22) -- --
Translation of Foreign Currency Denominated Amounts............ 113 -- --
-------- -------- --------
Net Realized and Unrealized Gain (Loss).......................... 327,197 668,088 318,484
-------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................................ $373,928 $714,387 $338,545
======== ======== ========
----------
* 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.
12
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Tax-Managed U.S.
DFA International Value U.S. Large Cap Value Marketwide Value
Portfolio III Portfolio III Portfolio II
---------------------- ---------------------- ---------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2013 2012 2013 2012
---------- ---------- ---------- ---------- ---------- ---------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................. $ 46,731 $ 44,232 $ 46,299 $ 41,575 $ 20,061 $ 17,555
Net Realized Gain (Loss) on:
Investment Securities Sold.................. 72,564 29,744 204,002 81,667 11,465 18,722
Futures..................................... (280) -- -- -- -- --
Foreign Currency Transactions*.............. (418) (209) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................... 255,240 (27,237) 464,086 207,690 307,019 114,719
Futures..................................... (22) -- -- -- -- --
Translation of Foreign Currency
Denominated Amounts........................ 113 (43) -- -- -- --
---------- ---------- ---------- ---------- ---------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations................. 373,928 46,487 714,387 330,932 338,545 150,996
---------- ---------- ---------- ---------- ---------- ---------
Distributions From:
Net Investment Income......................... (47,178) (39,964) (46,245) (40,221) (19,382) (16,854)
Net Long-Term Gains........................... (28,559) (3,912) -- -- -- --
---------- ---------- ---------- ---------- ---------- ---------
Total Distributions........................ (75,737) (43,876) (46,245) (40,221) (19,382) (16,854)
---------- ---------- ---------- ---------- ---------- ---------
Capital Share Transactions (1):
Shares Issued................................. 300,366 358,163 362,948 270,600 133,567 105,021
Shares Issued in Lieu of Cash Distributions... 62,527 37,348 39,087 34,942 19,334 16,826
Shares Redeemed............................... (232,096) (240,070) (498,513) (343,034) (153,201) (133,075)
---------- ---------- ---------- ---------- ---------- ---------
Net Increase (Decrease) from Capital
Share Transactions........................ 130,797 155,441 (96,478) (37,492) (300) (11,228)
---------- ---------- ---------- ---------- ---------- ---------
Total Increase (Decrease) in Net Assets.... 428,988 158,052 571,664 253,219 318,863 122,914
Net Assets
Beginning of Year............................. 1,296,862 1,138,810 2,076,447 1,823,228 960,801 837,887
---------- ---------- ---------- ---------- ---------- ---------
End of Year................................... $1,725,850 $1,296,862 $2,648,111 $2,076,447 $1,279,664 $ 960,801
========== ========== ========== ========== ========== =========
(1) Shares Issued and Redeemed:
Shares Issued................................. 19,048 25,692 18,268 17,278 7,190 7,110
Shares Issued in Lieu of Cash Distributions... 4,075 2,780 2,013 2,276 1,060 1,164
Shares Redeemed............................... (14,670) (17,118) (25,265) (21,608) (8,391) (9,055)
---------- ---------- ---------- ---------- ---------- ---------
Net Increase (Decrease) from Shares
Issued and Redeemed....................... 8,453 11,354 (4,984) (2,054) (141) (781)
========== ========== ========== ========== ========== =========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)........................................ $ 2,592 $ 5,047 $ 5,714 $ 6,876 $ 2,478 $ 2,212
----------
* Net of foreign capital gain taxes withheld of $1, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio III
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 14.69 $ 14.81 $ 16.66 $ 15.41 $ 11.74
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.50 0.53 0.58 0.39 0.40
Net Gains (Losses) on Securities (Realized and Unrealized). 3.48 (0.12) (1.87) 1.25 3.66
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 3.98 0.41 (1.29) 1.64 4.06
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.51) (0.48) (0.56) (0.39) (0.39)
Net Realized Gains......................................... (0.32) (0.05) -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.83) (0.53) (0.56) (0.39) (0.39)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 17.84 $ 14.69 $ 14.81 $ 16.66 $ 15.41
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 28.15% 3.14% (8.06)% 11.05% 35.37%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $1,725,850 $1,296,862 $1,138,810 $1,160,487 $1,008,172
Ratio of Expenses to Average Net Assets (B).................. 0.25% 0.26% 0.26% 0.26% 0.28%
Ratio of Net Investment Income to Average Net Assets......... 3.15% 3.71% 3.45% 2.53% 3.19%
---------------------------------------------------------------------------------------------------------------------------
U.S. Large Cap Value Portfolio III
----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 17.11 $ 14.77 $ 14.23 $ 12.10 $ 11.15
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.39 0.34 0.27 0.27 0.25
Net Gains (Losses) on Securities (Realized and Unrealized). 5.64 2.33 0.54 2.12 0.97
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 6.03 2.67 0.81 2.39 1.22
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.39) (0.33) (0.27) (0.26) (0.27)
Net Realized Gains......................................... -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.39) (0.33) (0.27) (0.26) (0.27)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 22.75 $ 17.11 $ 14.77 $ 14.23 $ 12.10
============================================================= ========== ========== ========== ========== ==========
Total Return................................................. 35.65% 18.32% 5.64% 19.96% 11.88%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $2,648,111 $2,076,447 $1,823,228 $1,714,304 $1,457,701
Ratio of Expenses to Average Net Assets (B).................. 0.13% 0.14% 0.14% 0.14% 0.16%
Ratio of Net Investment Income to Average Net Assets......... 1.97% 2.13% 1.77% 2.00% 2.37%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Tax-Managed U.S. Marketwide Value Portfolio II
--------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year........................... $ 16.13 $ 13.88 $ 13.27 $ 11.17 $ 10.20
---------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.34 0.29 0.23 0.17 0.21
Net Gains (Losses) on Securities (Realized and Unrealized). 5.39 2.24 0.60 2.10 1.02
---------- -------- -------- -------- --------
Total from Investment Operations.......................... 5.73 2.53 0.83 2.27 1.23
-----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.33) (0.28) (0.22) (0.17) (0.26)
---------- -------- -------- -------- --------
Total Distributions....................................... (0.33) (0.28) (0.22) (0.17) (0.26)
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................. $ 21.53 $ 16.13 $ 13.88 $ 13.27 $ 11.17
============================================================= ========== ======== ======== ======== ========
Total Return................................................. 35.90% 18.50% 6.26% 20.47% 12.64%
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $1,279,664 $960,801 $837,887 $773,434 $671,403
Ratio of Expenses to Average Net Assets (B).................. 0.23% 0.23% 0.23% 0.23% 0.26%
Ratio of Net Investment Income to Average Net Assets......... 1.80% 1.97% 1.60% 1.38% 2.16%
-----------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are 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 October 31,
2013, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II owned 20%, 18% and 28% 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.
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 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 year ended October 31, 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
16
funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core
Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 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 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.
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 each Series. For
the year ended October 31, 2013, the Portfolios' administrative services fees
were accrued daily and paid monthly to the Advisor based on an effective annual
rate of 0.01% 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 year ended October 31, 2013, the total
related amounts paid by the Fund to the CCO were $30 (in thousands). The total
related amounts paid by the Portfolios are included in Other Expenses on the
Statement of Operations.
D. Deferred Compensation:
At October 31, 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.......... $42
U.S. Large Cap Value Portfolio III............. 65
Tax-Managed U.S. Marketwide Value Portfolio II. 29
17
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 or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2013, primarily attributable to net foreign
currency gains (losses), gains on securities considered to be "passive foreign
investment companies", tax equalization, realized foreign capital gains tax,
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.......... $4,323 $(2,008) $(2,315)
U.S. Large Cap Value Portfolio III............. 2,714 (1,216) (1,498)
Tax-Managed U.S. Marketwide Value Portfolio II. 582 (413) (169)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2012 and October 31, 2013 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
DFA International Value Portfolio III
2012........................................... $41,721 $ 5,087 $46,808
2013........................................... 47,178 28,559 75,737
U.S. Large Cap Value Portfolio III
2012........................................... 40,221 -- 40,221
2013........................................... 46,245 -- 46,245
Tax-Managed U.S. Marketwide Value Portfolio II
2012 .......................................... 17,774 -- 17,774
2013 .......................................... 19,382 -- 19,382
At October 31, 2013, 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.......... $1,811 $2,511 $4,322
U.S. Large Cap Value Portfolio III............. 1,216 1,498 2,714
Tax-Managed U.S. Marketwide Value Portfolio II. 582 -- 582
18
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Unrealized Earnings
Short-Term Long-Term Capital Loss Appreciation (Accumulated
Capital Gains Capital Gains Carryfoward (Depreciation) Losses)
-------------- ------------- ------------ -------------- -------------
DFA International Value Portfolio III. $6,670 $66,597 -- $ 323,169 $ 396,436
U.S. Large Cap Value Portfolio III.... 5,821 55,566 -- 1,025,185 1,086,572
Tax-Managed U.S. Marketwide Value
Portfolio II........................ 2,526 -- $(1,383) 519,080 520,223
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, 2013, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through the indicated expiration dates (amounts
in thousands):
Expires on October 31,
----------------------
2017 Total
---------------------- ------
Tax-Managed U.S. Marketwide Value Portfolio II. $1,383 $1,383
During the year ended October 31, 2013, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
U.S. Large Cap Value Portfolio III............. $146,937
Tax-Managed U.S. Marketwide Value Portfolio II. 11,296
At October 31, 2013, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
---------- ------------ ------------ --------------
DFA International Value Portfolio III.......... $1,402,108 $ 323,044 -- $ 323,044
U.S. Large Cap Value Portfolio III............. 1,623,641 1,025,185 -- 1,025,185
Tax-Managed U.S. Marketwide Value Portfolio II. 760,505 519,080 -- 519,080
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 any Portfolio's 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
19
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.
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 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 the lines of credit during
the year ended October 31, 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. Recently Issued Accounting Standards:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's financial statements to understand the effect of those arrangements on
its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as
applying to derivatives accounted for in accordance with Topic 815, Derivatives
and Hedging, including bifurcated embedded derivatives, repurchase agreements
and reverse repurchase agreements, and securities borrowing and securities
lending transactions that are offset either in accordance with other
requirements of GAAP or subject to an enforceable master netting arrangement or
similar agreement. ASU No. 2011-11 is effective for annual periods beginning on
or after January 1, 2013, and interim periods within those annual periods.
Management is evaluating any impact ASU No. 2011-11 may have on the financial
statements.
20
I. Other:
At October 31, 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 97%
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.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series have been named as defendants in a multi-district litigation pending in
the United States District Court for the Southern District of New York (the
"Court"), captioned In re Tribune Company Fraudulent Conveyance Litigation,
No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO. On September 23, 2013, the Court entered an order dismissing the
Individual Creditor Actions in their entirety on the grounds that the
individual creditor plaintiffs lack standing to pursue their claims. The
Court's dismissal order is on appeal to the Second Circuit. The Committee
Action remains pending, and the Court currently is coordinating with the
parties to establish a schedule for motions to dismiss in the Committee Action.
Litigation counsel to The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits do 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 the plaintiffs 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, respectively, 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 investors 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
21
as incurred and in a manner similar to any other expense incurred by The U.S.
Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series.
J. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
22
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Portfolios, as defined, and
Board of Directors of Dimensional Investment Group Inc.:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of DFA international
Value Portfolio III, U.S. Large Cap Value Portfolio III, and Tax-Managed U.S.
Marketwide Value Portfolio II (constituting portfolios within Dimensional
Investment Group Inc., hereafter referred to as the "Portfolios") at October
31, 2013, the results of each of their operations for the year then ended, the
changes in each of their net assets for each of the two years in the period
then ended and the financial highlights for each of the five years in the
period then ended, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolios' management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 2013 by correspondence with the
transfer agent of the investee funds, provide a reasonable basis for our
opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
23
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2003-October 31, 2013
[CHART]
The DFA International MSCI World ex USA Index
Value Series (net dividends)
----------------------- -------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,214 10,227
12/31/2003 10,981 11,011
1/31/2004 11,262 11,164
2/29/2004 11,601 11,421
3/31/2004 11,782 11,478
4/30/2004 11,426 11,178
5/31/2004 11,542 11,230
6/30/2004 12,019 11,489
7/31/2004 11,575 11,139
8/31/2004 11,726 11,185
9/30/2004 12,101 11,511
10/31/2004 12,564 11,925
11/30/2004 13,498 12,718
12/31/2004 14,170 13,255
1/31/2005 14,029 12,994
2/28/2005 14,584 13,572
3/31/2005 14,224 13,264
4/30/2005 13,792 12,926
5/31/2005 13,810 12,950
6/30/2005 14,031 13,161
7/31/2005 14,657 13,586
8/31/2005 15,140 13,961
9/30/2005 15,566 14,599
10/31/2005 15,332 14,127
11/30/2005 15,605 14,501
12/31/2005 16,369 15,173
1/31/2006 17,487 16,133
2/28/2006 17,655 16,079
3/31/2006 18,400 16,589
4/30/2006 19,332 17,382
5/31/2006 18,549 16,722
6/30/2006 18,432 16,700
7/31/2006 18,716 16,857
8/31/2006 19,360 17,336
9/30/2006 19,628 17,322
10/31/2006 20,499 18,006
11/30/2006 21,181 18,543
12/31/2006 22,007 19,074
1/31/2007 22,422 19,191
2/28/2007 22,402 19,344
3/31/2007 23,126 19,840
4/30/2007 24,293 20,742
5/31/2007 25,124 21,203
6/30/2007 24,941 21,224
7/31/2007 24,247 20,931
8/31/2007 23,975 20,628
9/30/2007 25,227 21,800
10/31/2007 26,451 22,748
11/30/2007 24,848 21,858
12/31/2007 24,313 21,447
1/31/2008 22,343 19,513
2/29/2008 22,059 19,867
3/31/2008 22,323 19,583
4/30/2008 23,321 20,672
5/31/2008 23,332 20,986
6/30/2008 21,024 19,354
7/31/2008 20,429 18,665
8/31/2008 19,576 17,943
9/30/2008 17,289 15,353
10/31/2008 12,954 12,159
11/30/2008 12,159 11,500
12/31/2008 13,079 12,106
1/31/2009 11,273 10,976
2/28/2009 9,888 9,865
3/31/2009 10,967 10,515
4/30/2009 12,988 11,871
5/31/2009 14,918 13,373
6/30/2009 14,691 13,234
7/31/2009 16,439 14,477
8/31/2009 17,381 15,170
9/30/2009 18,267 15,796
10/31/2009 17,540 15,543
11/30/2009 18,063 15,927
12/31/2009 18,267 16,181
1/31/2010 17,211 15,423
2/28/2010 17,279 15,407
3/31/2010 18,642 16,399
4/30/2010 18,324 16,155
5/31/2010 16,178 14,372
6/30/2010 15,894 14,164
7/31/2010 17,881 15,473
8/31/2010 17,007 15,011
9/30/2010 18,835 16,451
10/31/2010 19,493 17,037
11/30/2010 18,517 16,315
12/31/2010 20,242 17,629
1/31/2011 21,105 18,009
2/28/2011 21,809 18,676
3/31/2011 21,207 18,302
4/30/2011 22,343 19,299
5/31/2011 21,537 18,727
6/30/2011 21,241 18,460
7/31/2011 20,560 18,156
8/31/2011 18,358 16,621
9/30/2011 16,348 14,952
10/31/2011 17,926 16,406
11/30/2011 17,336 15,648
12/31/2011 16,870 15,477
1/31/2012 18,006 16,312
2/29/2012 18,948 17,209
3/31/2012 18,789 17,082
4/30/2012 18,119 16,792
5/31/2012 15,883 14,878
6/30/2012 17,007 15,852
7/31/2012 16,939 16,050
8/31/2012 17,642 16,508
9/30/2012 18,267 17,009
10/31/2012 18,494 17,128
11/30/2012 18,789 17,488
12/31/2012 19,709 18,017
1/31/2013 20,640 18,903
2/28/2013 20,015 18,715
3/31/2013 20,083 18,863
4/30/2013 21,071 19,722
5/31/2013 20,821 19,281
6/30/2013 20,083 18,558
7/31/2013 21,457 19,546 Past performance is not predictive of
8/31/2013 21,309 19,294 future performance.
9/30/2013 22,910 20,657
10/31/2013 23,705 21,350 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years
---------------------------------------------------------- MSCI data copyright MSCI 2013, all
28.18% 12.85% 9.01% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000(R) VALUE INDEX
October 31, 2003-October 31, 2013
[CHART]
The U.S. Large Cap Value Series Russell 1000/R/ Value Index
------------------------------- ---------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,224 10,136
12/31/2003 10,926 10,760
01/31/2004 11,113 10,950
02/29/2004 11,399 11,184
03/31/2004 11,353 11,086
04/30/2004 11,166 10,815
05/31/2004 11,226 10,925
06/30/2004 11,565 11,183
07/31/2004 11,191 11,026
08/31/2004 11,191 11,182
09/30/2004 11,535 11,356
10/31/2004 11,675 11,544
11/30/2004 12,440 12,128
12/31/2004 12,939 12,534
01/31/2005 12,615 12,311
02/28/2005 12,999 12,719
03/31/2005 12,964 12,545
04/30/2005 12,525 12,320
05/31/2005 13,059 12,617
06/30/2005 13,328 12,755
07/31/2005 13,992 13,124
08/31/2005 13,877 13,067
09/30/2005 14,091 13,250
10/31/2005 13,717 12,914
11/30/2005 14,265 13,336
12/31/2005 14,284 13,416
01/31/2006 14,965 13,937
02/28/2006 14,915 14,022
03/31/2006 15,180 14,212
04/30/2006 15,606 14,573
05/31/2006 15,322 14,205
06/30/2006 15,453 14,295
07/31/2006 15,232 14,643
08/31/2006 15,481 14,888
09/30/2006 15,910 15,185
10/31/2006 16,541 15,682
11/30/2006 16,855 16,040
12/31/2006 17,193 16,400
01/31/2007 17,695 16,610
02/28/2007 17,429 16,351
03/31/2007 17,550 16,603
04/30/2007 18,297 17,217
05/31/2007 19,051 17,838
06/30/2007 18,745 17,421
07/31/2007 17,583 16,616
08/31/2007 17,247 16,802
09/30/2007 17,697 17,379
10/31/2007 17,796 17,381
11/30/2007 16,802 16,531
12/31/2007 16,746 16,371
01/31/2008 16,106 15,716
02/29/2008 15,612 15,057
03/31/2008 15,466 14,944
04/30/2008 16,441 15,673
05/31/2008 16,836 15,648
06/30/2008 14,991 14,150
07/31/2008 14,827 14,099
08/31/2008 15,115 14,339
09/30/2008 13,757 13,285
10/31/2008 10,664 10,985
11/30/2008 9,618 10,198
12/31/2008 9,931 10,339
01/31/2009 8,752 9,150
02/28/2009 7,526 7,928
03/31/2009 8,269 8,606
04/30/2009 9,607 9,528
05/31/2009 10,343 10,117
06/30/2009 10,216 10,042
07/31/2009 11,189 10,864
08/31/2009 11,949 11,433
09/30/2009 12,471 11,874
10/31/2009 11,933 11,511
11/30/2009 12,606 12,160
12/31/2009 12,954 12,375
01/31/2010 12,653 12,027
02/28/2010 13,199 12,407
03/31/2010 14,228 13,214
04/30/2010 14,679 13,556
05/31/2010 13,421 12,442
06/30/2010 12,408 11,742
07/31/2010 13,381 12,536
08/31/2010 12,574 12,000
09/30/2010 13,801 12,931
10/31/2010 14,315 13,319
11/30/2010 14,204 13,248
12/31/2010 15,589 14,294
01/31/2011 16,088 14,617
02/28/2011 16,958 15,156
03/31/2011 17,037 15,217
04/30/2011 17,473 15,622
05/31/2011 17,219 15,457
06/30/2011 16,919 15,140
07/31/2011 16,143 14,638
08/31/2011 14,782 13,724
09/30/2011 13,286 12,687
10/31/2011 15,130 14,139
11/30/2011 15,004 14,066
12/31/2011 15,122 14,350
01/31/2012 15,874 14,893
02/29/2012 16,792 15,486
03/31/2012 17,101 15,945
04/30/2012 16,752 15,783
05/31/2012 15,565 14,857
06/30/2012 16,404 15,595
07/31/2012 16,563 15,756
08/31/2012 17,219 16,098
09/30/2012 17,852 16,609
10/31/2012 17,900 16,528
11/30/2012 17,939 16,521
12/31/2012 18,485 16,862
01/31/2013 19,775 17,958
02/28/2013 20,029 18,216
03/31/2013 20,986 18,937
04/30/2013 21,208 19,224
05/31/2013 22,078 19,717 Past performance is not predictive of
06/30/2013 21,833 19,543 future performance.
07/31/2013 23,139 20,599
08/31/2013 22,458 19,817 The returns shown do not reflect the
09/30/2013 23,115 20,314 deduction of taxes that a shareholder
10/31/2013 24,286 21,203 would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten
Total Return Year Years Years Russell data copyright (C) Russell
--------------------------------------------------------------- Investment Group 1995-2013, all rights
35.68% 17.89% 9.28% reserved.
--------------------------------------------------------------------------------
24
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS.
RUSSELL 3000(R) VALUE INDEX
October 31, 2003-October 31, 2013
[CHART]
Tax-Managed U.S.
Marketwide Value Series Russell 3000/R/ Value Index
----------------------- ---------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,271 10,155
12/31/2003 10,803 10,760
01/31/2004 11,039 10,964
02/29/2004 11,284 11,197
03/31/2004 11,266 11,119
04/30/2004 11,066 10,823
05/31/2004 11,153 10,934
06/30/2004 11,502 11,215
07/31/2004 11,100 11,027
08/31/2004 11,039 11,180
09/30/2004 11,441 11,376
10/31/2004 11,598 11,564
11/30/2004 12,376 12,186
12/31/2004 12,777 12,583
01/31/2005 12,507 12,336
02/28/2005 12,987 12,731
03/31/2005 12,856 12,549
04/30/2005 12,384 12,289
05/31/2005 12,926 12,622
06/30/2005 13,249 12,796
07/31/2005 13,965 13,197
08/31/2005 13,948 13,118
09/30/2005 14,201 13,284
10/31/2005 13,860 12,947
11/30/2005 14,410 13,379
12/31/2005 14,480 13,443
01/31/2006 15,284 14,017
02/28/2006 15,249 14,094
03/31/2006 15,607 14,330
04/30/2006 16,000 14,663
05/31/2006 15,546 14,271
06/30/2006 15,651 14,370
07/31/2006 15,555 14,668
08/31/2006 15,633 14,931
09/30/2006 15,939 15,215
10/31/2006 16,550 15,738
11/30/2006 16,961 16,106
12/31/2006 17,284 16,447
01/31/2007 17,738 16,660
02/28/2007 17,511 16,406
03/31/2007 17,712 16,654
04/30/2007 18,341 17,229
05/31/2007 19,205 17,852
06/30/2007 18,795 17,435
07/31/2007 17,773 16,571
08/31/2007 17,677 16,769
09/30/2007 18,122 17,304
10/31/2007 18,140 17,321
11/30/2007 17,074 16,438
12/31/2007 17,004 16,281
01/31/2008 16,332 15,627
02/29/2008 15,738 14,975
03/31/2008 15,450 14,888
04/30/2008 16,323 15,594
05/31/2008 16,690 15,612
06/30/2008 14,847 14,119
07/31/2008 14,734 14,127
08/31/2008 15,031 14,402
09/30/2008 13,755 13,376
10/31/2008 10,681 11,030
11/30/2008 9,624 10,199
12/31/2008 9,948 10,379
01/31/2009 8,655 9,162
02/28/2009 7,493 7,934
03/31/2009 8,279 8,614
04/30/2009 9,712 9,573
05/31/2009 10,445 10,133
06/30/2009 10,297 10,062
07/31/2009 11,354 10,912
08/31/2009 12,105 11,478
09/30/2009 12,646 11,932
10/31/2009 12,044 11,533
11/30/2009 12,603 12,160
12/31/2009 13,066 12,430
01/31/2010 12,699 12,079
02/28/2010 13,284 12,475
03/31/2010 14,332 13,305
04/30/2010 14,891 13,699
05/31/2010 13,616 12,570
06/30/2010 12,576 11,830
07/31/2010 13,581 12,634
08/31/2010 12,690 12,061
09/30/2010 13,956 13,024
10/31/2010 14,498 13,424
11/30/2010 14,533 13,386
12/31/2010 15,904 14,447
01/31/2011 16,297 14,747
02/28/2011 17,214 15,308
03/31/2011 17,328 15,381
04/30/2011 17,738 15,777
05/31/2011 17,459 15,601
06/30/2011 17,153 15,276
07/31/2011 16,428 14,769
08/31/2011 15,057 13,816
09/30/2011 13,528 12,735
10/31/2011 15,415 14,222
11/30/2011 15,293 14,152
12/31/2011 15,450 14,432
01/31/2012 16,253 15,010
02/29/2012 17,109 15,579
03/31/2012 17,476 16,042
04/30/2012 17,153 15,873
05/31/2012 15,948 14,939
06/30/2012 16,786 15,679
07/31/2012 16,934 15,817
08/31/2012 17,572 16,171
09/30/2012 18,201 16,689
10/31/2012 18,262 16,598
11/30/2012 18,376 16,595
12/31/2012 18,908 16,964
01/31/2013 20,157 18,060
02/28/2013 20,472 18,315
03/31/2013 21,485 19,044
04/30/2013 21,633 19,308
05/31/2013 22,341 19,810
06/30/2013 22,210 19,642
07/31/2013 23,563 20,718 Past performance is not predictive of
08/31/2013 22,865 19,922 future performance.
09/30/2013 23,703 20,472
10/31/2013 24,821 21,350 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten
Total Return Year Years Years Russell data copyright (C) Russell
--------------------------------------------------------- Investment Group 1995-2013, all rights
35.92% 18.37% 9.52% reserved.
--------------------------------------------------------------------------------
25
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
International Equity Market Review 12 Months Ended October 31, 2013
The one-year period ended October 31, 2013, was characterized by generally
positive monthly returns in the international equity markets with the exception
of a sharp decline from May to June and a smaller decline in August. As
measured by the MSCI indices below for developed markets outside the U.S.,
small cap stocks generally outperformed large cap stocks while value stocks
outperformed growth stocks.
12 Months Ended October 31, 2013
--------------------------------
U.S. Dollar Return
- ------------------
MSCI World ex USA Index........... 24.65%
MSCI World ex USA Small Cap Index. 27.81%
MSCI World ex USA Value Index..... 26.12%
MSCI World ex USA Growth Index.... 23.17%
----------
During the period, the U.S. dollar (USD) was mixed against developed markets
currencies. While the US dollar depreciated against the euro, Swiss franc, and
several other European-based developed markets currencies, it appreciated
against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 Months Ended October 31, 2013
--------------------------------
Ten Largest Foreign Developed Markets by Market Cap U.S. Dollar Return Local Currency Return
--------------------------------------------------- ------------------ ---------------------
United Kingdom.................... 20.70% 20.37%
Japan............................. 64.48% 34.00%
Canada............................ 10.59% 5.99%
France............................ 27.55% 33.82%
Australia......................... 26.44% 15.47%
Switzerland....................... 27.49% 31.10%
Germany........................... 24.72% 30.85%
Spain............................. 30.69% 37.11%
Sweden............................ 24.39% 27.55%
Hong Kong......................... 14.30% 14.25%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
International Equity Series' Performance Overview
The DFA International Value Series
The DFA International Value Series seeks to capture the returns of
international large company value stocks. Value stocks are typically
characterized by low relative price, as measured by their book-to-market ratio.
The investment strategy is process driven, emphasizing broad diversification.
As of October 31, 2013, the Series held approximately 520 securities in 22
eligible developed countries. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2013, total returns were 28.18% for the
Series and 24.65% for the MSCI World ex USA Index (net dividends). The Series
focuses on value stocks, as measured by book-to-market, while the Index is
neutral with regard to value or growth. As large cap value stocks generally
outperformed large cap growth stocks during the period, the Series'
significantly greater exposure than the Index to these securities contributed
to the Series' outperformance relative to the Index. In particular, the Series'
greater exposure to value stocks in the financial sector was beneficial as
these names outperformed the Index. The Series' exclusion of real
26
estate investment trusts ("REITs") also benefited the Series' relative
performance as REITs underperformed during the period. Differences in the
valuation timing and methodology between the Series and the Index generally
detracted from the Series' relative performance. The Series prices foreign
exchange rates at the closing of the U.S. markets while the Index uses rates at
4 pm London time. The Series also may use fair value pricing to price certain
portfolio securities at the closing of the U.S. markets while the Index uses
local market closing prices.
U.S. Equity Market Review 12 Months Ended October 31, 2013
The one-year period ended October 31, 2013, was characterized by strong
gains in U.S. equities. The broad U.S. equity market, as measured by the
Russell 3000(R) Index, had positive returns in 10 of the 12 months.
The size premium was positive during the period with small cap stocks
outperforming large cap stocks as measured by the Russell indices. Micro cap
stocks were the strongest performers.
Total Return for 12 Months Ended October 31, 2013
-------------------------------------------------
Russell 3000(R) Index........................ 28.99%
Russell Microcap(R) Index (micro cap stocks). 38.72%
Russell 2000(R) Index (small cap stocks)..... 36.28%
Russell 1000(R) Index (large cap stocks)..... 28.40%
Dow Jones U.S. Select REIT Index/SM/......... 9.96%
The value premium was negative in small cap stocks while the performance of
large cap value and large cap growth was almost identical as measured by the
Russell indices.
Total Return for 12 Months Ended October 31, 2013
-------------------------------------------------
Russell 2000(R) Value Index (small cap value stocks)... 32.83%
Russell 2000(R) Growth Index (small cap growth stocks). 39.84%
Russell 1000(R) Value Index (large cap value stocks)... 28.29%
Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
----------
Source: Russell data copyright(C) Russell Investment Group 1995-2013, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/ growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
12 months ended October 31, 2013, were primarily attributable to differences in
value/growth and size characteristics as well as the exclusion of REIT
securities from most Dimensional portfolios and the exclusion of securities of
highly regulated utilities from most value strategies. For many portfolios, the
construction approach used by Dimensional generally resulted in portfolios with
greater weight in value, small cap and/or micro cap companies relative to
widely used benchmarks.
Domestic Equity Series' Performance Overview
U.S. Large Cap Value Series
The U.S. Large Cap Value Series seeks to capture the returns of U.S. large
company value stocks. Value is measured primarily by book-to-market ratio. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2013, the Series held approximately 220 securities. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Series' assets.
For the 12 months ended October 31, 2013, total returns were 35.68% for the
Series and 28.29% for the Russell 1000(R) Value Index. As a result of the
Series' diversified investment approach, performance was determined principally
by broad structural trends in the U.S. equity market rather than the behavior
of a limited number of stocks. The Series had significantly greater exposure
than the Index to deeper value stocks. These
27
stocks generally outperformed the Index, and the Series' higher weight
contributed to the Series' outperformance relative to the Index. The Series'
exclusion of real estate investment trusts ("REITs") and highly regulated
utilities also contributed to the Series' outperformance relative to the Index
as both sectors underperformed the overall Index during the period.
Tax-Managed U.S. Marketwide Value Series
The Tax-Managed U.S. Marketwide Value Series seeks to capture the returns of
U.S. value stocks. Value is measured primarily by book-to-market ratio. The
Series also seeks to maximize the after-tax value of a shareholder's
investment. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2013, the Series held approximately 1,300
securities. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2013, total returns were 35.92% for the
Series and 28.64% for the Russell 3000(R) Value Index. As a result of the
Series' diversified investment approach, performance was determined principally
by broad structural trends in the U.S. equity market rather than the behavior
of a limited number of stocks. The Series had significantly greater exposure
than the Index to deeper value stocks. These stocks generally outperformed the
Index, and the Series' higher weight contributed to the Series' outperformance
relative to the Index. The Series invests in stocks across all size categories
while the Index primarily holds large cap and mid-cap stocks. Small cap stocks
generally outperformed large and mid-cap stocks during the period, and the
Series' greater exposure to small caps benefited the Series' relative
performance. The Series' exclusion of real estate investment trusts ("REITs")
and highly regulated utilities also contributed to the Series' outperformance
relative to the Index as both sectors underperformed the overall Index during
the period.
28
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
The DFA International Value Series
----------------------------------
Actual Fund Return................. $1,000.00 $1,125.00 0.22% $1.18
Hypothetical 5% Annual Return...... $1,000.00 $1,024.10 0.22% $1.12
The U.S. Large Cap Value Series
-------------------------------
Actual Fund Return................. $1,000.00 $1,145.10 0.11% $0.59
Hypothetical 5% Annual Return...... $1,000.00 $1,024.65 0.11% $0.56
29
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
The Tax-Managed U.S. Marketwide Value Series
--------------------------------------------
Actual Fund Return........................... $1,000.00 $1,147.40 0.21% $1.14
Hypothetical 5% Annual Return................ $1,000.00 $1,024.15 0.21% $1.07
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
30
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 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 is 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....................... 9.4%
Consumer Staples............................. 4.9%
Energy....................................... 12.7%
Financials................................... 36.7%
Health Care.................................. 1.3%
Industrials.................................. 10.4%
Information Technology....................... 3.7%
Materials.................................... 10.9%
Other........................................ --
Telecommunication Services................... 7.1%
Utilities.................................... 2.9%
-----
100.0%
The U.S. Large Cap Value Series
Consumer Discretionary....................... 12.6%
Consumer Staples............................. 7.5%
Energy....................................... 20.7%
Financials................................... 24.9%
Health Care.................................. 8.0%
Industrials.................................. 12.2%
Information Technology....................... 5.9%
Materials.................................... 3.3%
Telecommunication Services................... 4.6%
Utilities.................................... 0.3%
-----
100.0%
The Tax-Managed U.S. Marketwide Value Series
Consumer Discretionary....................... 18.9%
Consumer Staples............................. 7.3%
Energy....................................... 15.8%
Financials................................... 18.9%
Health Care.................................. 10.3%
Industrials.................................. 14.2%
Information Technology....................... 6.2%
Materials.................................... 3.2%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 4.9%
Utilities.................................... 0.3%
-----
100.0%
31
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2013
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.1%)
AUSTRALIA -- (4.6%)
Suncorp Group, Ltd................ 3,736,013 $ 47,108,867 0.5%
Wesfarmers, Ltd................... 2,755,622 111,820,231 1.3%
Other Securities.................. 279,564,385 3.2%
------------ ------
TOTAL AUSTRALIA....................... 438,493,483 5.0%
------------ ------
AUSTRIA -- (0.2%)
Other Securities.................. 16,529,353 0.2%
------------ ------
BELGIUM -- (1.2%)
Other Securities.................. 112,978,600 1.3%
------------ ------
CANADA -- (8.8%)
# Canadian Natural Resources, Ltd... 1,849,320 58,690,835 0.7%
# Magna International, Inc.......... 583,936 49,458,004 0.6%
# Manulife Financial Corp........... 4,587,163 81,259,196 0.9%
# Sun Life Financial, Inc........... 1,446,869 48,735,471 0.6%
Suncor Energy, Inc................ 3,750,370 136,288,802 1.6%
# Thomson Reuters Corp.............. 1,557,384 58,522,328 0.7%
Other Securities.................. 400,896,217 4.4%
------------ ------
TOTAL CANADA.......................... 833,850,853 9.5%
------------ ------
DENMARK -- (1.5%)
Other Securities.................. 137,640,320 1.6%
------------ ------
FINLAND -- (0.9%)
Other Securities.................. 82,560,530 0.9%
------------ ------
FRANCE -- (9.7%)
AXA SA............................ 4,004,754 99,780,178 1.1%
BNP Paribas SA.................... 1,975,744 145,756,834 1.7%
Cie de St-Gobain.................. 1,078,023 56,585,484 0.7%
GDF Suez.......................... 3,247,971 80,496,939 0.9%
Orange............................ 3,875,091 53,267,297 0.6%
Societe Generale SA............... 1,823,515 103,009,458 1.2%
Vivendi SA........................ 3,686,124 93,331,608 1.1%
Other Securities.................. 290,292,116 3.2%
------------ ------
TOTAL FRANCE.......................... 922,519,914 10.5%
------------ ------
GERMANY -- (8.4%)
Allianz SE........................ 518,031 86,978,602 1.0%
Allianz SE ADR.................... 2,811,910 47,324,445 0.5%
Bayerische Motoren Werke AG....... 663,299 75,071,136 0.9%
Daimler AG........................ 2,088,586 171,002,503 1.9%
Deutsche Bank AG.................. 1,538,807 74,369,159 0.8%
# Deutsche Telekom AG Sponsored ADR. 3,074,385 48,544,539 0.6%
E.ON SE........................... 3,638,090 66,316,888 0.8%
Muenchener Rueckversicherungs AG.. 395,244 82,460,652 0.9%
Other Securities.................. 143,842,565 1.6%
------------ ------
TOTAL GERMANY......................... 795,910,489 9.0%
------------ ------
GREECE -- (0.0%)
Other Securities.................. 4,734,900 0.1%
------------ ------
32
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.1%)
Hutchison Whampoa, Ltd.................. 5,818,000 $ 72,458,624 0.8%
Other Securities........................ 125,762,689 1.4%
-------------- -----
TOTAL HONG KONG............................. 198,221,313 2.2%
-------------- -----
IRELAND -- (0.1%)
Other Securities........................ 13,557,887 0.1%
-------------- -----
ISRAEL -- (0.3%)
Other Securities........................ 28,069,013 0.3%
-------------- -----
ITALY -- (1.5%)
UniCredit SpA........................... 8,189,815 61,477,549 0.7%
Other Securities........................ 78,424,839 0.9%
-------------- -----
TOTAL ITALY................................. 139,902,388 1.6%
-------------- -----
JAPAN -- (17.7%)
Mitsubishi Corp......................... 3,482,500 70,454,645 0.8%
Mitsubishi UFJ Financial Group, Inc..... 24,653,206 156,998,104 1.8%
Mitsui & Co., Ltd....................... 4,220,700 60,296,595 0.7%
Nippon Steel & Sumitomo Metal Corp...... 18,537,940 61,185,438 0.7%
NTT DOCOMO, Inc......................... 3,091,700 49,049,894 0.6%
Other Securities........................ 1,282,749,967 14.5%
-------------- -----
TOTAL JAPAN................................. 1,680,734,643 19.1%
-------------- -----
NETHERLANDS -- (3.1%)
* ING Groep NV............................ 6,479,202 82,335,806 0.9%
Other Securities........................ 207,395,423 2.4%
-------------- -----
TOTAL NETHERLANDS........................... 289,731,229 3.3%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities........................ 6,293,702 0.1%
-------------- -----
NORWAY -- (0.7%)
Other Securities........................ 67,730,341 0.8%
-------------- -----
PORTUGAL -- (0.1%)
Other Securities........................ 6,386,228 0.1%
-------------- -----
SINGAPORE -- (1.2%)
Other Securities........................ 109,323,500 1.2%
-------------- -----
SPAIN -- (2.3%)
Banco Santander SA...................... 8,832,930 78,306,244 0.9%
Iberdrola SA............................ 7,444,256 46,726,442 0.5%
Other Securities........................ 94,892,837 1.1%
-------------- -----
TOTAL SPAIN................................. 219,925,523 2.5%
-------------- -----
SWEDEN -- (2.8%)
Nordea Bank AB.......................... 5,366,449 68,644,974 0.8%
Telefonaktiebolaget LM Ericsson Class B. 4,713,081 56,374,169 0.7%
Other Securities........................ 138,816,259 1.5%
-------------- -----
TOTAL SWEDEN................................ 263,835,402 3.0%
-------------- -----
33
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (6.9%)
Credit Suisse Group AG......................................... 1,928,358 $ 59,987,253 0.7%
Holcim, Ltd.................................................... 887,877 66,039,798 0.8%
Swiss Re AG.................................................... 1,117,582 98,104,262 1.1%
UBS AG......................................................... 6,496,062 125,640,734 1.4%
Zurich Insurance Group AG...................................... 269,917 74,584,331 0.9%
Other Securities............................................... 232,054,236 2.6%
-------------- ------
TOTAL SWITZERLAND.................................................... 656,410,614 7.5%
-------------- ------
UNITED KINGDOM -- (17.9%)
Barclays P.L.C................................................. 14,540,536 61,178,709 0.7%
# Barclays P.L.C. Sponsored ADR.................................. 5,739,573 96,482,222 1.1%
BP P.L.C. Sponsored ADR........................................ 5,793,659 269,405,143 3.1%
Glencore Xstrata P.L.C......................................... 15,896,454 86,511,958 1.0%
# HSBC Holdings P.L.C. Sponsored ADR............................. 1,694,884 93,286,415 1.1%
Kingfisher P.L.C............................................... 8,609,963 52,085,475 0.6%
* Lloyds Banking Group P.L.C..................................... 82,680,839 102,259,365 1.2%
# Royal Dutch Shell P.L.C. ADR................................... 3,323,210 231,029,559 2.6%
Vodafone Group P.L.C........................................... 34,976,333 128,109,810 1.5%
Vodafone Group P.L.C. Sponsored ADR............................ 3,949,158 145,407,998 1.6%
Other Securities............................................... 428,839,157 4.8%
-------------- ------
TOTAL UNITED KINGDOM................................................. 1,694,595,811 19.3%
-------------- ------
TOTAL COMMON STOCKS.................................................. 8,719,936,036 99.2%
-------------- ------
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Other Securities............................................... 23,753,308 0.3%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
Other Securities............................................... -- 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities............................................... 1,906,872 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................................ 1,906,872 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (7.7%)
(S)@ DFA Short Term Investment Fund................................. 62,748,487 726,000,000 8.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/13 (Collateralized by $796,375 FNMA, rates ranging from
2.500% to 4.500%, maturities ranging from 04/01/27 to
10/01/43, valued at $720,177) to be repurchased at
$706,058...................................................... $ 706 706,056 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................. 726,706,056 8.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,742,743,361)............................................ $9,472,302,272 107.7%
============== ======
34
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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................... $ 1,841,161 $ 436,652,322 -- $ 438,493,483
Austria..................... -- 16,529,353 -- 16,529,353
Belgium..................... 3,382,426 109,596,174 -- 112,978,600
Canada...................... 833,850,853 -- -- 833,850,853
Denmark..................... -- 137,640,320 -- 137,640,320
Finland..................... 1,950,990 80,609,540 -- 82,560,530
France...................... 6,675,118 915,844,796 -- 922,519,914
Germany..................... 120,607,084 675,303,405 -- 795,910,489
Greece...................... -- 4,734,900 -- 4,734,900
Hong Kong................... -- 198,221,313 -- 198,221,313
Ireland..................... 5,268,488 8,289,399 -- 13,557,887
Israel...................... -- 28,069,013 -- 28,069,013
Italy....................... 18,295,120 121,607,268 -- 139,902,388
Japan....................... 67,433,792 1,613,300,851 -- 1,680,734,643
Netherlands................. 16,499,964 273,231,265 -- 289,731,229
New Zealand................. -- 6,293,702 -- 6,293,702
Norway...................... 265,956 67,464,385 -- 67,730,341
Portugal.................... -- 6,386,228 -- 6,386,228
Singapore................... -- 109,323,500 -- 109,323,500
Spain....................... 13,099,036 206,826,487 -- 219,925,523
Sweden...................... 11,416,422 252,418,980 -- 263,835,402
Switzerland................. 90,293,410 566,117,204 -- 656,410,614
United Kingdom.............. 926,568,412 768,027,399 -- 1,694,595,811
Preferred Stocks
Germany..................... -- 23,753,308 -- 23,753,308
Rights/Warrants
Hong Kong................... -- -- -- --
Spain....................... -- 1,906,872 -- 1,906,872
Securities Lending Collateral. -- 726,706,056 -- 726,706,056
-------------- -------------- -- --------------
TOTAL......................... $2,117,448,232 $7,354,854,040 -- $9,472,302,272
============== ============== == ==============
See accompanying Notes to Financial Statements.
35
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2013
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (95.9%)
Consumer Discretionary -- (12.1%)
Comcast Corp. Class A................ 10,008,890 $ 476,222,986 3.2%
Comcast Corp. Special Class A........ 3,819,364 176,836,553 1.2%
* General Motors Co.................... 3,555,515 131,376,279 0.9%
Time Warner Cable, Inc............... 1,876,119 225,415,698 1.5%
Time Warner, Inc..................... 4,974,348 341,936,681 2.3%
Other Securities..................... 515,830,578 3.5%
-------------- ------
Total Consumer Discretionary............. 1,867,618,775 12.6%
-------------- ------
Consumer Staples -- (7.2%)
Archer-Daniels-Midland Co............ 3,189,248 130,440,243 0.9%
CVS Caremark Corp.................... 7,147,441 444,999,677 3.0%
Mondelez International, Inc. Class A. 9,025,752 303,626,297 2.0%
Other Securities..................... 227,833,106 1.5%
-------------- ------
Total Consumer Staples................... 1,106,899,323 7.4%
-------------- ------
Energy -- (19.9%)
Anadarko Petroleum Corp.............. 2,511,077 239,280,527 1.6%
Apache Corp.......................... 1,526,796 135,579,485 0.9%
Baker Hughes, Inc.................... 1,673,042 97,187,010 0.6%
Chevron Corp......................... 4,348,879 521,691,525 3.5%
ConocoPhillips....................... 6,993,622 512,632,493 3.4%
Devon Energy Corp.................... 1,479,247 93,517,995 0.6%
Hess Corp............................ 1,606,476 130,445,851 0.9%
Marathon Oil Corp.................... 3,640,872 128,377,147 0.9%
Marathon Petroleum Corp.............. 1,791,952 128,411,280 0.9%
National Oilwell Varco, Inc.......... 1,816,355 147,451,699 1.0%
Occidental Petroleum Corp............ 1,521,584 146,193,791 1.0%
Phillips 66.......................... 2,926,797 188,573,531 1.3%
Valero Energy Corp................... 2,806,975 115,563,161 0.8%
Other Securities..................... 484,245,131 3.3%
-------------- ------
Total Energy............................. 3,069,150,626 20.7%
-------------- ------
Financials -- (23.9%)
American International Group, Inc.... 8,251,823 426,206,658 2.9%
Bank of America Corp................. 39,239,978 547,790,093 3.7%
Bank of New York Mellon Corp. (The).. 3,633,937 115,559,197 0.8%
Capital One Financial Corp........... 1,875,702 128,804,456 0.9%
Citigroup, Inc....................... 10,998,186 536,491,513 3.6%
CME Group, Inc....................... 1,618,207 120,087,142 0.8%
JPMorgan Chase & Co.................. 5,379,341 277,251,235 1.9%
Loews Corp........................... 2,050,343 99,052,070 0.7%
MetLife, Inc......................... 5,110,004 241,754,289 1.6%
Morgan Stanley....................... 7,883,626 226,496,575 1.5%
Prudential Financial, Inc............ 2,327,738 189,454,596 1.3%
Other Securities..................... 785,679,755 5.2%
-------------- ------
Total Financials......................... 3,694,627,579 24.9%
-------------- ------
Health Care -- (7.7%)
Aetna, Inc........................... 2,027,401 127,118,043 0.9%
* Express Scripts Holding Co........... 2,283,090 142,738,787 1.0%
Pfizer, Inc.......................... 7,744,869 237,612,581 1.6%
Thermo Fisher Scientific, Inc........ 1,932,026 188,913,502 1.3%
WellPoint, Inc....................... 1,824,634 154,728,963 1.1%
36
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
Other Securities................................... $ 330,262,151 2.1%
--------------- ------
Total Health Care........................................ 1,181,374,027 8.0%
--------------- ------
Industrials -- (11.7%)
CSX Corp........................................... 5,687,103 148,205,904 1.0%
Eaton Corp. P.L.C.................................. 1,993,999 140,696,569 1.0%
FedEx Corp......................................... 759,707 99,521,617 0.7%
General Electric Co................................ 17,056,602 445,859,576 3.0%
Norfolk Southern Corp.............................. 1,681,939 144,680,393 1.0%
Northrop Grumman Corp.............................. 1,364,645 146,712,984 1.0%
Union Pacific Corp................................. 1,891,022 286,300,731 1.9%
Other Securities................................... 389,576,498 2.5%
--------------- ------
Total Industrials........................................ 1,801,554,272 12.1%
--------------- ------
Information Technology -- (5.6%)
Corning, Inc....................................... 5,599,861 95,701,624 0.7%
Hewlett-Packard Co................................. 9,295,748 226,537,379 1.5%
* Yahoo!, Inc........................................ 3,936,872 129,641,195 0.9%
Other Securities................................... 418,199,608 2.8%
--------------- ------
Total Information Technology............................. 870,079,806 5.9%
--------------- ------
Materials -- (3.1%)
Freeport-McMoRan Copper & Gold, Inc................ 3,340,516 122,797,368 0.8%
International Paper Co............................. 2,043,676 91,168,386 0.6%
Other Securities................................... 270,895,902 1.9%
--------------- ------
Total Materials.......................................... 484,861,656 3.3%
--------------- ------
Telecommunication Services -- (4.4%)
AT&T, Inc.......................................... 14,518,387 525,565,609 3.5%
Other Securities................................... 152,680,539 1.1%
--------------- ------
Total Telecommunication Services......................... 678,246,148 4.6%
--------------- ------
Utilities -- (0.3%)
Other Securities................................... 47,551,285 0.3%
--------------- ------
TOTAL COMMON STOCKS...................................... 14,801,963,497 99.8%
--------------- ------
TEMPORARY CASH INVESTMENTS -- (0.7%)
State Street Institutional Liquid Reserves, 0.073%. 110,063,812 110,063,812 0.7%
--------------- ------
Shares/
Face
Amount
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (3.4%)
(S)@ DFA Short Term Investment Fund..................... 45,096,723 521,769,090 3.5%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,087,346,593)............................... $15,433,796,399 104.0%
=============== ======
37
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...... $ 1,867,618,775 -- -- $ 1,867,618,775
Consumer Staples............ 1,106,899,323 -- -- 1,106,899,323
Energy...................... 3,069,150,626 -- -- 3,069,150,626
Financials.................. 3,694,627,579 -- -- 3,694,627,579
Health Care................. 1,181,374,027 -- -- 1,181,374,027
Industrials................. 1,801,554,272 -- -- 1,801,554,272
Information Technology...... 870,079,806 -- -- 870,079,806
Materials................... 484,861,656 -- -- 484,861,656
Telecommunication Services.. 678,246,148 -- -- 678,246,148
Utilities................... 47,551,285 -- -- 47,551,285
Temporary Cash Investments.... 110,063,812 -- -- 110,063,812
Securities Lending Collateral. -- $521,769,090 -- 521,769,090
--------------- ------------ -- ---------------
TOTAL......................... $14,912,027,309 $521,769,090 -- $15,433,796,399
=============== ============ == ===============
See accompanying Notes to Financial Statements.
38
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2013
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (95.6%)
Consumer Discretionary -- (18.1%)
Comcast Corp. Class A.................. 3,446,875 $ 164,002,312 3.7%
Comcast Corp. Special Class A.......... 1,088,341 50,390,188 1.2%
* General Motors Co...................... 674,707 24,930,424 0.6%
* Liberty Interactive Corp. Class A...... 882,463 23,791,202 0.6%
Time Warner Cable, Inc................. 693,942 83,377,131 1.9%
Time Warner, Inc....................... 1,534,860 105,506,276 2.4%
Twenty-First Century Fox, Inc. Class A. 1,287,383 43,874,013 1.0%
Twenty-First Century Fox, Inc. Class B. 550,972 18,733,048 0.4%
Other Securities....................... 310,888,189 7.0%
-------------- ------
Total Consumer Discretionary............... 825,492,783 18.8%
-------------- ------
Consumer Staples -- (7.0%)
Archer-Daniels-Midland Co.............. 813,476 33,271,168 0.8%
CVS Caremark Corp...................... 1,510,745 94,058,984 2.2%
Mondelez International, Inc. Class A... 2,081,099 70,008,170 1.6%
Other Securities....................... 122,020,688 2.7%
-------------- ------
Total Consumer Staples..................... 319,359,010 7.3%
-------------- ------
Energy -- (15.2%)
Anadarko Petroleum Corp................ 845,068 80,526,530 1.8%
Apache Corp............................ 289,715 25,726,692 0.6%
Chevron Corp........................... 668,412 80,182,703 1.8%
ConocoPhillips......................... 1,766,829 129,508,566 3.0%
Hess Corp.............................. 378,130 30,704,156 0.7%
Marathon Oil Corp...................... 903,937 31,872,819 0.7%
Marathon Petroleum Corp................ 451,968 32,388,027 0.8%
National Oilwell Varco, Inc............ 250,948 20,371,959 0.5%
Phillips 66............................ 883,414 56,918,364 1.3%
Pioneer Natural Resources Co........... 88,400 18,102,552 0.4%
Valero Energy Corp..................... 605,899 24,944,862 0.6%
Other Securities....................... 160,397,843 3.6%
-------------- ------
Total Energy............................... 691,645,073 15.8%
-------------- ------
Financials -- (18.0%)
American International Group, Inc...... 849,581 43,880,859 1.0%
Bank of America Corp................... 6,543,356 91,345,250 2.1%
Capital One Financial Corp............. 356,632 24,489,919 0.6%
Citigroup, Inc......................... 2,115,722 103,204,919 2.4%
CME Group, Inc......................... 414,385 30,751,511 0.7%
Goldman Sachs Group, Inc. (The)........ 143,685 23,113,169 0.5%
JPMorgan Chase & Co.................... 1,148,419 59,189,515 1.4%
MetLife, Inc........................... 1,126,173 53,279,245 1.2%
Morgan Stanley......................... 1,476,248 42,412,605 1.0%
Prudential Financial, Inc.............. 497,625 40,501,699 0.9%
Other Securities....................... 310,800,746 7.0%
-------------- ------
Total Financials........................... 822,969,437 18.8%
-------------- ------
Health Care -- (9.8%)
Aetna, Inc............................. 558,462 35,015,567 0.8%
* Express Scripts Holding Co............. 493,239 30,837,302 0.7%
Humana, Inc............................ 236,814 21,822,410 0.5%
Pfizer, Inc............................ 3,950,849 121,212,047 2.8%
Thermo Fisher Scientific, Inc.......... 499,520 48,843,066 1.1%
39
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
WellPoint, Inc..................................... 504,640 $ 42,793,472 1.0%
Zoetis, Inc........................................ 1,007,044 31,883,013 0.7%
Other Securities................................... 116,226,691 2.6%
-------------- ------
Total Health Care........................................ 448,633,568 10.2%
-------------- ------
Industrials -- (13.6%)
CSX Corp........................................... 1,242,950 32,391,277 0.8%
FedEx Corp......................................... 142,324 18,644,444 0.4%
General Electric Co................................ 5,021,489 131,261,722 3.0%
Norfolk Southern Corp.............................. 545,229 46,900,599 1.1%
Northrop Grumman Corp.............................. 337,038 36,234,955 0.8%
Union Pacific Corp................................. 444,064 67,231,290 1.6%
Other Securities................................... 286,950,482 6.4%
-------------- ------
Total Industrials........................................ 619,614,769 14.1%
-------------- ------
Information Technology -- (5.9%)
Corning, Inc....................................... 1,201,485 20,533,379 0.5%
* Yahoo!, Inc........................................ 1,048,770 34,535,996 0.8%
Other Securities................................... 215,942,890 4.9%
-------------- ------
Total Information Technology............................. 271,012,265 6.2%
-------------- ------
Materials -- (3.1%)
International Paper Co............................. 493,615 22,020,165 0.5%
Other Securities................................... 118,633,840 2.7%
-------------- ------
Total Materials.......................................... 140,654,005 3.2%
-------------- ------
Other -- (0.0%)
Other Securities................................... 54 0.0%
-------------- ------
Real Estate Investment Trusts -- (0.0%)
Other Securities................................... 235,004 0.0%
-------------- ------
Telecommunication Services -- (4.6%)
AT&T, Inc.......................................... 4,065,906 147,185,797 3.4%
Verizon Communications, Inc........................ 547,535 27,655,993 0.6%
Other Securities................................... 37,106,974 0.8%
-------------- ------
Total Telecommunication Services......................... 211,948,764 4.8%
-------------- ------
Utilities -- (0.3%)
Other Securities................................... 14,803,017 0.3%
-------------- ------
TOTAL COMMON STOCKS...................................... 4,366,367,749 99.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional Liquid Reserves, 0.073%. 22,324,026 22,324,026 0.5%
-------------- ------
Shares/
Face
Amount
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (3.9%)
(S)@ DFA Short Term Investment Fund..................... 15,381,037 177,958,599 4.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,775,925,201)................................ $4,566,650,374 104.0%
============== ======
40
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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........ $ 825,492,783 -- -- $ 825,492,783
Consumer Staples.............. 319,359,010 -- -- 319,359,010
Energy........................ 691,645,073 -- -- 691,645,073
Financials.................... 822,962,861 $ 6,576 -- 822,969,437
Health Care................... 448,592,216 41,352 -- 448,633,568
Industrials................... 619,600,883 13,886 -- 619,614,769
Information Technology........ 271,012,265 -- -- 271,012,265
Materials..................... 140,654,005 -- -- 140,654,005
Other......................... -- 54 -- 54
Real Estate Investment Trusts. 235,004 -- -- 235,004
Telecommunication Services.... 211,948,764 -- -- 211,948,764
Utilities..................... 14,803,017 -- -- 14,803,017
Rights/Warrants................. -- -- -- --
Temporary Cash Investments...... 22,324,026 -- -- 22,324,026
Securities Lending Collateral... -- 177,958,599 -- 177,958,599
-------------- ------------ -- --------------
TOTAL........................... $4,388,629,907 $178,020,467 -- $4,566,650,374
============== ============ == ==============
See accompanying Notes to Financial Statements.
41
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(Amounts in thousands)
The Tax-
The DFA The U.S. Large Managed
International Cap Value U.S. Marketwide
Value Series* Series Value Series
------------- -------------- ---------------
ASSETS:
Investments at Value (including $716,973, $506,475 and $172,330 of
securities on loan, respectively of securities on loan)................. $8,745,596 $14,801,963 $4,366,368
Temporary Cash Investments at Value & Cost............................... -- 110,064 22,324
Collateral Received from Securities on Loan at Value & Cost.............. 706 -- --
Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 726,000 521,769 177,959
Foreign Currencies at Value.............................................. 24,350 -- --
Cash..................................................................... 20,781 -- 116
Receivables:
Investment Securities Sold............................................. 4,029 26,504 --
Dividends, Interest and Tax Reclaims................................... 23,044 17,741 4,910
Securities Lending Income.............................................. 276 453 85
Prepaid Expenses and Other Assets........................................ 1 -- --
---------- ----------- ----------
Total Assets........................................................ 9,544,783 15,478,494 4,571,762
---------- ----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................................... 726,706 521,769 177,959
Investment Securities Purchased........................................ 23,813 115,461 3,011
Due to Advisor......................................................... 1,472 1,223 729
Unrealized Loss on Foreign Currency Contracts............................ 17 -- --
Accrued Expenses and Other Liabilities................................... 645 1,053 308
---------- ----------- ----------
Total Liabilities................................................... 752,653 639,506 182,007
---------- ----------- ----------
NET ASSETS............................................................... $8,792,130 $14,838,988 $4,389,755
========== =========== ==========
Investments at Cost...................................................... $7,016,037 $ 9,455,514 $2,575,643
========== =========== ==========
Foreign Currencies at Cost............................................... $ 24,526 $ -- $ --
========== =========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
42
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(Amounts in thousands)
The Tax-
The DFA The U.S. Managed
International Large Cap U.S. Marketwide
Value Series Value Series Value Series
------------- ------------ ---------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $19,855, $42 and $92,
respectively)..................................................... $ 256,899 $ 262,650 $ 77,058
Interest........................................................... 6 56 19
Income from Securities Lending..................................... 13,232 2,227 700
---------- ---------- ----------
Total Investment Income......................................... 270,137 264,933 77,777
---------- ---------- ----------
Expenses
Investment Advisory Services Fees.................................. 15,819 12,720 7,684
Accounting & Transfer Agent Fees................................... 542 850 264
Custodian Fees..................................................... 810 121 45
Shareholders' Reports.............................................. 20 30 12
Directors'/Trustees' Fees & Expenses............................... 85 131 40
Professional Fees.................................................. 236 431 116
Other.............................................................. 158 156 54
---------- ---------- ----------
Total Expenses.................................................. 17,670 14,439 8,215
---------- ---------- ----------
Fees Paid Indirectly............................................... (22) -- --
---------- ---------- ----------
Net Expenses....................................................... 17,648 14,439 8,215
---------- ---------- ----------
Net Investment Income (Loss)....................................... 252,489 250,494 69,562
---------- ---------- ----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold....................................... 394,216 1,042,669 39,747
Futures.......................................................... (1,587) -- --
Foreign Currency Transactions*................................... (2,158) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency....................... 1,329,657 2,531,751 1,056,586
Translation of Foreign Currency Denominated Amounts.............. 544 -- --
---------- ---------- ----------
Net Realized and Unrealized Gain (Loss)............................ 1,720,672 3,574,420 1,096,333
---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations...... $1,973,161 $3,824,914 $1,165,895
========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $3, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
43
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
----------------------- ------------------------ ----------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2013 2012 2013 2012
----------- ---------- ----------- ----------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)........... $ 252,489 $ 260,321 $ 250,494 $ 212,847 $ 69,562 $ 61,545
Net Realized Gain (Loss) on:
Investment Securities Sold........... 394,216 133,256 1,042,669 408,690 39,747 64,448
Futures.............................. (1,587) -- -- -- -- --
Foreign Currency
Transactions*....................... (2,158) (1,249) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ 1,329,657 (157,327) 2,531,751 1,049,282 1,056,586 400,114
Translation of Foreign Currency
Denominated Amounts................. 544 (266) -- -- -- --
----------- ---------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 1,973,161 234,735 3,824,914 1,670,819 1,165,895 526,107
----------- ---------- ----------- ----------- ---------- ----------
Transactions in Interest:
Contributions.......................... 1,055,913 699,069 1,639,135 505,769 285,068 96,522
Withdrawals............................ (1,475,193) (651,462) (1,214,213) (922,543) (367,684) (217,478)
----------- ---------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest........... (419,280) 47,607 424,922 (416,774) (82,616) (120,956)
----------- ---------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in
Net Assets......................... 1,553,881 282,342 4,249,836 1,254,045 1,083,279 405,151
Net Assets
Beginning of Year...................... 7,238,249 6,955,907 10,589,152 9,335,107 3,306,476 2,901,325
----------- ---------- ----------- ----------- ---------- ----------
End of Year............................ $ 8,792,130 $7,238,249 $14,838,988 $10,589,152 $4,389,755 $3,306,476
=========== ========== =========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $3, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
44
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The DFA International Value Series+
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 28.18% 3.17% (8.04)% 11.13% 35.41%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $8,792,130 $7,238,249 $6,955,907 $6,919,633 $6,191,964
Ratio of Expenses to Average Net Assets...................... 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Net Investment Income to Average Net Assets......... 3.20% 3.75% 3.47% 2.55% 3.22%
Portfolio Turnover Rate...................................... 15% 14% 9% 20% 18%
--------------------------------------------------------------------------------------------------------------------------
The U.S. Large Cap Value Series+
------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------------
Total Return......................................... 35.68% 18.31% 5.69% 19.96% 11.90%
-------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................. $14,838,988 $10,589,152 $9,335,107 $8,816,400 $7,508,400
Ratio of Expenses to Average Net Assets.............. 0.11% 0.12% 0.12% 0.12% 0.13%
Ratio of Net Investment Income to Average Net Assets. 1.98% 2.15% 1.79% 2.02% 2.42%
Portfolio Turnover Rate.............................. 15% 10% 14% 28% 29%
-------------------------------------------------------------------------------------------------------------------
The Tax-Managed U.S. Marketwide Value Series
----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-----------------------------------------------------------------------------------------------------------------
Total Return......................................... 35.92% 18.47% 6.33% 20.38% 12.76%
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................. $4,389,755 $3,306,476 $2,901,325 $2,670,673 $2,289,927
Ratio of Expenses to Average Net Assets.............. 0.21% 0.22% 0.22% 0.22% 0.23%
Ratio of Net Investment Income to Average Net Assets. 1.82% 1.99% 1.61% 1.40% 2.23%
Portfolio Turnover Rate.............................. 5% 10% 20% 25% 28%
-----------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
45
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
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.
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 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
46
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.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in 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 year ended October 31, 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 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 any foreign withholding taxes recorded on the books of the
International 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 receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the
47
Notice, which date may not be sooner than the earlier of: (i) the first
business day of January following the year in which such Director/Trustee
ceases to be a member of the Board; and (ii) five years following the effective
date of the Director's/Trustee's first deferral election. If a Director/Trustee
who elects to defer fees fails to designate in the Notice a time or date as of
which payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 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 and foreign currency 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 year ended October 31, 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 year
ended October 31, 2013, expenses reduced were as follows (amount in thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series. $22
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the year ended October 31, 2013, the total
related amounts paid by the Trust to the CCO were $56 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
48
D. Deferred Compensation:
At October 31, 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........... $249
The U.S. Large Cap Value Series.............. 336
The Tax-Managed U.S. Marketwide Value Series. 102
E. Purchases and Sales of Securities:
For the year ended October 31, 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........... $1,195,737 $1,352,756
The U.S. Large Cap Value Series.............. 2,846,229 1,917,181
The Tax-Managed U.S. Marketwide Value Series. 199,899 176,761
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At October 31, 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........... $ 7,749,972 $2,159,515 $(437,185) $1,722,330
The U.S. Large Cap Value Series.............. 10,087,540 5,403,680 (57,424) 5,346,256
The Tax-Managed U.S. Marketwide Value Series. 2,776,577 1,834,742 (44,668) 1,790,074
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 remain 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
49
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.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
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 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 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, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
The following is a summary of the location and value of derivative
instrument holdings on the Series' Statement of Operations categorized by
primary risk exposure for the year ended October 31, 2013 (amount 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 DFA International Value Series*. $(1,587)
* As of October 31, 2013, there were no futures contracts outstanding. During
the year ended October 31, 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.
50
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.
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 year ended October 31, 2013, borrowings by the Series under the
lines 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.... 0.90% $12,445 46 $14 $76,121
The U.S. Large Cap Value Series....... 0.89% 6,790 20 4 23,318
The Tax-Managed U.S. Marketwide Value
Series.............................. 0.91% 1,887 13 1 4,797
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2013, that each Series' available line of
credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of October 31, 2013.
I. Securities Lending:
As of October 31, 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 DFA International Value Series received non-cash collateral
consisting of short and/or long term U.S. Treasury securities with a market
value of $29,499 (in thousands). 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
51
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. Recently Issued Accounting Standards:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's financial statements to understand the effect of those arrangements on
its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as
applying to derivatives accounted for in accordance with Topic 815, Derivatives
and Hedging, including bifurcated embedded derivatives, repurchase agreements
and reverse repurchase agreements, and securities borrowing and securities
lending transactions that are offset either in accordance with other
requirements of GAAP or subject to an enforceable master netting arrangement or
similar agreement. ASU No. 2011-11 is effective for annual periods beginning on
or after January 1, 2013, and interim periods within those annual periods.
Management is evaluating any impact ASU No. 2011-11 may have on the financial
statements.
L. Other:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged 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.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series have been named as defendants in a multi-district litigation pending in
the United States District Court for the Southern District of New York (the
"Court"), captioned In re Tribune Company Fraudulent Conveyance Litigation,
No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO. On September 23, 2013, the Court entered an order dismissing the
Individual Creditor Actions in their entirety on the grounds that the
individual creditor plaintiffs lack standing to pursue their claims. The
Court's dismissal order is on appeal to the Second Circuit. The Committee
Action remains pending, and the Court currently is coordinating with the
parties to establish a schedule for motions to dismiss in the Committee Action.
52
Litigation counsel to The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits do 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 the plaintiffs 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, respectively, 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 investors 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.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
53
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Series, as defined, and
Board of Trustees of The DFA Investment Trust Company:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The DFA International Value Series, The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series (constituting portfolios within The
DFA Investment Trust Company, hereafter referred to as the "Series") at October
31, 2013, the results of each of their operations for the year then ended, the
changes in each of their net assets for each of the two years in the period
then ended and the financial highlights for each of the five years in the
period then ended, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Series' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 2013 by correspondence with the
custodians, brokers, and the transfer agent of the investee fund, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
54
FUND MANAGEMENT
(Unaudited)
Trustees/Directors
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and
Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Review Committee (the "Review Committee"). The
Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2013.
Each Board's Nominating Committee is comprised of George M. Constantinides,
John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie
J. Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. There was one Nominating Committee meeting
held during the fiscal year ended October 31, 2013.
Each Board's Review Committee consists of both interested and disinterested
Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Review Committee may (i) review the design of possible new series
of the Fund, (ii) review performance of existing portfolios of the Fund and
discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Review
Committee was formed on December 17, 2010, and there were two Review Committee
meetings held during the fiscal year ended October 31, 2013.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at www.dimensional.com.
55
Name, Position Portfolios within the
with the Fund, Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
Address and Year of Birth Length of Service Overseen Other Directorships of Public Companies Held
--------------------------------------------------------------------------------------------------------------------------------
Disinterested Trustees/Directors
--------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 106 portfolios in 4 Leo Melamed Professor of Finance, The University
Director of DFAIDG and DIG. investment companies of Chicago Booth School of Business.
Trustee of DFAITC and DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn
Avenue Chicago, IL
60637
1947
--------------------------------------------------------------------------------------------------------------------------------
John P. Gould Since Inception 106 portfolios in 4 Steven G. Rothmeier Distinguished Service
Director of DFAIDG and DIG. investment companies Professor of Economics, The University of Chicago
Trustee of DFAITC and DEM. Booth School of Business (since 1965). Member
The University of Chicago and Chair, Competitive Markets Advisory
Booth School of Business Committee, Chicago Mercantile Exchange (futures
5807 S. Woodlawn trading exchange) (since 2004). Formerly, Director
Avenue Chicago, IL of UNext, Inc. (1999-2006). Trustee, Harbor Fund
60637 (registered investment company) (30 Portfolios)
1939 (since 1994). Formerly, Member of the Board of
Milwaukee Mutual Insurance Company (1997-
2010).
--------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson Since Inception 106 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG. investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM. Partner, Zebra Capital Management, LLC (hedge
Yale School of Management fund manager) (since 2001). Consultant to
P.O. Box 208200 Morningstar, Inc. (since 2006). Formerly,
New Haven, CT Chairman, Ibbotson Associates, Inc., Chicago, IL
06520-8200 (software data publishing and consulting) (1977-
1943 2006). Formerly, Director, BIRR Portfolio Analysis,
Inc. (software products) (1990-2010).
--------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear Since Inception 106 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Institution
Director of DFAIDG and DIG. investment companies (since 2002). Jack Steele Parker Professor of
Trustee of DFAITC and DEM. Human Resources Management and Economics,
Stanford University Graduate Graduate School of Business, Stanford University
School of Business (since 1995). Cornerstone Research (expert
518 Memorial Way testimony and economic and financial analysis)
Stanford, CA 94305-5015 (since 2009). Formerly, Chairman of the President
1948 George W. Bush's Council of Economic Advisers
(2006-2009). Formerly, Council of Economic
Advisors, State of California (2005-2006).
Formerly, Commissioner, White House Panel on
Tax Reform (2005).
--------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes Since Inception 106 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
Director of DFAIDG and DIG. investment companies Stanford University (since 1981). Formerly,
Trustee of DFAITC and DEM. Chairman, Platinum Grove Asset Management,
c/o Dimensional Fund L.P. (hedge fund) (formerly, Oak Hill Platinum
Advisors, LP Partners) (1999-2009). Formerly, Managing
6300 Bee Cave Road Partner, Oak Hill Capital Management (private
Building 1 equity firm) (until 2004). Director, American
Austin, TX 78746 Century Fund Complex (registered investment
1941 companies) (40 Portfolios) (since 1980). Formerly,
Director, Chicago Mercantile Exchange (2001-
2008).
--------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith Since Inception 106 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG. investment companies Professor of Accounting, The University of Chicago
Trustee of DFAITC and DEM. Booth School of Business (since 1980). Co-
The University of Chicago Director Investment Research, Fundamental
Booth School of Business Investment Advisors (hedge fund) (since 2008).
5807 S. Woodlawn Director, HNI Corporation (formerly known as HON
Avenue Chicago, IL Industries Inc.) (office furniture) (since 2000).
60637 Director, Ryder System Inc. (transportation,
1953 logistics and supply-chain management) (since
2003). Trustee, UBS Funds (4 investment
companies within the fund complex) (52 portfolios)
(since 2009).
56
Name, Position Portfolios within the
with the Fund, Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
Address and Year of Birth Length of Service Overseen Other Directorships of Public Companies Held
-------------------------------------------------------------------------------------------------------------------------------
Interested Trustees/Directors*
-------------------------------------------------------------------------------------------------------------------------------
David G. Booth Since Inception 106 portfolios in 4 Chairman, Director/Trustee, President, and Co-
Chairman, Director, investment companies Chief Executive Officer (since January 2010) of
Co-Chief Executive Officer Dimensional Holdings Inc., Dimensional Fund
and President of DFAIDG Advisors LP, DFA Securities LLC, DEM, DFAIDG,
and DIG. Chairman, Trustee, DIG and DFAITC. Director of Dimensional Fund
Co-Chief Executive Advisors Ltd., Dimensional Funds PLC,
Officer and President of Dimensional Funds II PLC, DFA Australia Limited,
DFAITC and DEM. Dimensional Cayman Commodity Fund I Ltd.,
6300 Bee Cave Road, Dimensional Japan Ltd. and Dimensional Advisors
Building One Austin, Ltd. Chairman, Director and Co-Chief Executive
Texas 78746 Officer of Dimensional Fund Advisors Canada
1946 ULC. President, Dimensional SmartNest (US) LLC.
Limited Partner, Oak Hill Partners (since 2001) and
VSC Investors, LLC (since 2007). Trustee, The
University of Chicago. Trustee, University of
Kansas Endowment Association. Formerly, Chief
Executive Officer (until 2010) and Chief Investment
Officer (2003-2007) of Dimensional Fund Advisors
LP, DFA Securities LLC, DEM, DFAIDG, DIG ,
DFAITC, Dimensional Holdings Inc. Formerly,
Chief Investment Officer of Dimensional Fund
Advisors Ltd. Formerly, President and Chief
Investment Officer of DFA Australia Limited.
Formerly, Director, SA Funds (registered
investment company).
-------------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto Since 2009 106 portfolios in 4 Co-Chief Executive Officer (since January 2010),
Director, Co-Chief investment companies Chief Investment Officer (since March 2007) and
Executive Officer and Director/Trustee of Dimensional Holdings Inc.,
Chief Investment Officer of Dimensional Fund Advisors LP, DFA Securities
DFAIDG and DIG. LLC, DEM, DFAIDG, DIG, DFAITC and
Trustee, Co-Chief Dimensional Cayman Commodity Fund I Ltd.
Executive Officer and Director, Co-Chief Executive Officer, President and
Chief Investment Officer of Chief Investment Officer of Dimensional Fund
DFAITC and DEM. Advisors Canada ULC. Chief Investment Officer,
6300 Bee Cave Road, Vice President and Director of DFA Australia
Building One Limited. Director of Dimensional Fund Advisors
Austin, TX 78746 Ltd., Dimensional Funds PLC, Dimensional Funds
1967 II PLC, Dimensional Japan Ltd. and Dimensional
Advisors Ltd., Formerly President of Dimensional
Holdings Inc, Dimensional Fund Advisors LP, DFA
Securities LLC, DEM, DFAIDG, DIG, DFAITC and
Dimensional Fund Advisors Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the Funds.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with Dimensional Fund
Advisors LP.
57
Officers
The name, year of birth, information regarding positions with the Funds and
the principal occupation for each officer of the Funds are set forth below.
Each officer listed below holds the same office (except as otherwise noted) in
the following entities: Dimensional Fund Advisors LP (prior to November 3,
2006, Dimensional Fund Advisors Inc.) ("Dimensional"), Dimensional Holdings
Inc., DFA Securities LLC (prior to April 6, 2009, DFA Securities Inc.), DFAIDG,
DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each
officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One,
Austin, Texas 78746, unless otherwise indicated.
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
-------------------------------------------------------------------------------------------------------------------------------
Officers
-------------------------------------------------------------------------------------------------------------------------------
April A. Aandal Since 2008 Vice President of all the DFA Entities.
Vice President
1963
-------------------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice President
Vice President Business Development at Capson Physicians Insurance Company
1974 (2010-2012); Vice President at Charles Schwab (2007-2010).
-------------------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Since 2005 Vice President of all the DFA Entities.
Vice President
1966
-------------------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Director and Managing
Vice President Director of DFAL (since September 2013).
1955
-------------------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Since 2007 Vice President of all the DFA Entities.
Vice President
1968
-------------------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA
Vice President and Assistant Secretary Australia Limited, Dimensional Fund Advisors Ltd., Dimensional
1967 Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte.
Ltd., Dimensional Hong Kong Limited. Director, Vice President and
Assistant Secretary of Dimensional Fund Advisors Canada ULC.
-------------------------------------------------------------------------------------------------------------------------------
David P. Butler Since 2007 Vice President of all the DFA Entities. Head of Global Financial
Vice President Services of Dimensional (since 2008).
1964
-------------------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (December 2010-January2012); Regional Director
1970 at Russell Investments (April 2006-December 2010).
-------------------------------------------------------------------------------------------------------------------------------
James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2008-2010); Vice President, Client Portfolio
1956 Manager at American Century Investments (2001-2008).
-------------------------------------------------------------------------------------------------------------------------------
Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio
1966 Manager of Dimensional (since January 2012). Formerly, Portfolio
Manager for Dimensional (October 2005-January 2012).
-------------------------------------------------------------------------------------------------------------------------------
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC. Head of Institutional,
1972 North America (since March 2012). Formerly, Head of Portfolio
Management of Dimensional (January 2006-March 2012).
-------------------------------------------------------------------------------------------------------------------------------
Matt B. Cobb Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since September 2011). Formerly, Vice President at
1971 MullinTBG 92005-2011).
-------------------------------------------------------------------------------------------------------------------------------
Ryan Cooper Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since 2003).
1979
-------------------------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (August 2002-January 2012).
1976
58
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
-------------------------------------------------------------------------------------------------------------------------------
Robert P. Cornell Since 2007 Vice President of all the DFA Entities.
Vice President
1949
-------------------------------------------------------------------------------------------------------------------------------
George H. Crane Since 2010 Vice President of all the DFA Entities. Formerly, Senior Vice
Vice President President and Managing Director at State Street Bank & Trust
1955 Company (2007-2008).
-------------------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Since 2004 Vice President and Global Chief Compliance Officer of all the DFA
Vice President and Global Chief Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd.,
Compliance Officer and Dimensional SmartNest (US) LLC. Chief Compliance Officer of
1965 Dimensional Fund Advisors Canada ULC.
-------------------------------------------------------------------------------------------------------------------------------
James L. Davis Since 1999 Vice President of all the DFA Entities.
Vice President
1956
-------------------------------------------------------------------------------------------------------------------------------
Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC.
1957
-------------------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate for
Vice President Dimensional (since August 2008).
1972
-------------------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities.
Vice President
1970
-------------------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and
Vice President and Assistant Secretary DFA Australia Limited.
1965
-------------------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities.
Vice President
1971
-------------------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio
1974 Manager of Dimensional (since January 2012).
-------------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Manager
Vice President for Dimensional (since June 2006).
1970
-------------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Since 2007 Vice President of all the DFA Entities.
Vice President
1967
-------------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director
Vice President at BlackRock (2004-January 2012).
1968
-------------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Since 2000 Vice President of all the DFA Entities.
Vice President
1967
-------------------------------------------------------------------------------------------------------------------------------
John T. Gray Since 2007 Vice President of all the DFA Entities.
Vice President
1974
-------------------------------------------------------------------------------------------------------------------------------
Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for
Vice President Dimensional (since 2012). Formerly, Senior Trader for Dimensional
1975 Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Ltd.
(2008-2009); Trader for Dimensional (2004-2008).
-------------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Since 2007 Vice President of all the DFA Entities.
Vice President
1967
-------------------------------------------------------------------------------------------------------------------------------
Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities,
Vice President and Fund Controller Dimensional Cayman Commodity Fund I Ltd. and Dimensional
1974 Japan Ltd.
-------------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Since 2005 Vice President of all the DFA Entities.
Vice President
1967
-------------------------------------------------------------------------------------------------------------------------------
59
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
----------------------------------------------------------------------------------------------------------------------
Christine W. Ho Since 2004 Vice President of all the DFA Entities.
Vice President
1967
----------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing Director,
Vice President Co-Head Global Consultant Relations at BlackRock (2004-2011).
1960
----------------------------------------------------------------------------------------------------------------------
William A. Irvine Since 2013 Vice President of all the DFA Entities, Regional Director For
Vice President Dimensional (since 2012). Formerly, Vice President of Institutional
1957 Business Development at Eaton Vance (2005-2011).
----------------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd.
1973
----------------------------------------------------------------------------------------------------------------------
Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager
Vice President for Dimensional (October 2008-January 2012).
1968
----------------------------------------------------------------------------------------------------------------------
Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Entities,
Vice President Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan
1954 Ltd., Dimensional Advisors Ltd., Dimensional Hong Kong Limited
and Chief Operating Officer of Dimensional. Director, Vice
President and Chief Privacy Officer of Dimensional Fund Advisors
Canada ULC. Director of DFA Australia Limited, Dimensional Fund
Advisors Ltd., Dimensional Japan Ltd. and Dimensional Advisors
Ltd. Director and Vice President of Dimensional Hong Kong Limited
and Dimensional Fund Advisors Pte. Ltd.
----------------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since October 2004).
1977
----------------------------------------------------------------------------------------------------------------------
Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional Fund Advisors LP (April 2006-January 2012).
1948
----------------------------------------------------------------------------------------------------------------------
David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since June 2004).
1971
----------------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined Contribution
Vice President Sales for Dimensional (since August 2010). Formerly, Chief DC
1971 Strategist, Barclays Global Investors (2005-2009).
----------------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Sr. Portfolio Manager of
Vice President Dimensional (since January 2012).Formerly, Portfolio Manager for
1971 Dimensional (April 2001-January 2012).
----------------------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Since 2013 Vice President of all the DFA Entities. Formerly, Senior Associate
Vice President Investment Analytics and Data for Dimensional (January 2012-
1981 December 2012); Systems Developer for Dimensional (June 2007-
December 2011).
----------------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (2007-2010).
1968
----------------------------------------------------------------------------------------------------------------------
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Officer of
Vice President Dimensional SmartNest (US) LLC (since 2012).
1967
----------------------------------------------------------------------------------------------------------------------
Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice President -
Vice President Global Operations at Janus Capital Group (2005-2011).
1969
----------------------------------------------------------------------------------------------------------------------
David F. LaRusso Since 2013 Vice President of all the DFA Entities. Formerly, Senior Trader for
Vice President Dimensional (January 2010-December 2012); Trader for
1978 Dimensional (2000-2009).
----------------------------------------------------------------------------------------------------------------------
Juliet H. Lee Since 2005 Vice President of all the DFA Entities.
Vice President
1971
60
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
---------------------------------------------------------------------------------------------------------------------------------
Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (July 2008-2010).
1980
---------------------------------------------------------------------------------------------------------------------------------
John B. Lessley Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since January 2008).
1960
---------------------------------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since February 2004).
1969
---------------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd. Counsel for Dimensional (since September
1972 2006).
---------------------------------------------------------------------------------------------------------------------------------
Rose C. Manziano Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (Since August 2010). Formerly, Vice President, Sales
1971 and Business Development at AdvisorsIG (PPMG) (2009- 2010);
Vice President at Credit Suisse (2007-2009).
---------------------------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global Human
Vice President & Head of Global Resources of Dimensional.
Human Resources
1970
---------------------------------------------------------------------------------------------------------------------------------
David R. Martin Since 2007 Vice President, Chief Financial Officer and Treasurer of all the DFA
Vice President, Chief Financial Officer Entities. Director, Vice President, Chief Financial Officer and
and Treasurer Treasurer of Dimensional Fund Advisors Ltd., DFA Australia
1956 Limited, Dimensional Advisors Ltd., Dimensional Fund Advisors
Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Fund
Advisors Canada ULC. Chief Financial Officer, Treasurer, and Vice
President of Dimensional SmartNest (US) LLC, and Dimensional
Cayman Commodity Fund I Ltd. Director of Dimensional Funds
PLC and Dimensional Funds II PLC. Statutory Auditor of
Dimensional Japan Ltd.
---------------------------------------------------------------------------------------------------------------------------------
Matthew H. Miller Since 2013 Vice President of all the DFA Entities. Client Service Manager for
Vice President Dimensional (Since 2012). Formerly, Regional Director for
1978 Dimensional (2008-2011; Senior Associate at Dimensional (2007-
2010).
---------------------------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Since 2013 Vice President of all the DFA Entities. Manager, Investment
Vice President Systems at Dimensional (Since 2011). Formerly, Project Manager
1971 for Dimensional (2007-2010).
---------------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities. Director, Vice
Vice President and Secretary since 1997 and President and Secretary of DFA Australia Limited and Dimensional
1964 Secretary Fund Advisors Ltd. (since February 2002, April 1997 and May 2002,
since 2000 respectively). Vice President and Secretary of Dimensional Fund
Advisors Canada ULC (since June 2003), Dimensional SmartNest
(US) LLC, Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Japan Ltd. (since February 2012), Dimensional
Advisors Ltd. (since March 2012), Dimensional Fund Advisors Pte.
Ltd. (since June 2012) and Dimensional Hong Kong Limited (since
August 2012). Director, Dimensional Funds PLC and Dimensional
Funds II PLC (since 2002 and 2006, respectively). Director of
Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional
Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited (since
August 2012 and July 2012).
---------------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (2008-2010).
1964
---------------------------------------------------------------------------------------------------------------------------------
Selwyn J. Notelovitz Since 2012 Vice President of all DFA Entities. Deputy Chief Compliance Officer
Vice President of Dimensional (since December 2012). Formerly Chief Compliance
1961 Officer of Wellington Management Company, LLP (2004-2011).
---------------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd. Deputy General Counsel, Funds (since
1974 2011). Counsel for Dimensional (2007-2011).
61
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
-----------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities.
Vice President
1976
-----------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since July 2005).
1973
-----------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Officer for
Vice President Dimensional (since January 2008). Formerly, Compliance Officer
1978 (February 2006-December 2007).
-----------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional Fund Advisors LP (since 2012). Formerly, Senior
1977 Consultant at Hewitt EnnisKnupp (June 2011-December 2011);
Senior Investment Analyst and Consultant at Hewitt EnnisKnupp
(July 2008-June 2011).
-----------------------------------------------------------------------------------------------------------------------
Brian P. Pitre Since 2013 Vice President of all the DFA Entities. Counsel for Dimensional
Vice President Fund Advisors LP (since 2009). Formerly, Vice President and
1976 Corporate Counsel at Mellon Capital Management (2006-2008).
-----------------------------------------------------------------------------------------------------------------------
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors
1961 Canada ULC.
-----------------------------------------------------------------------------------------------------------------------
Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since July 2006).
1970
-----------------------------------------------------------------------------------------------------------------------
Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate of Dimensional (2006-2008).
1973
-----------------------------------------------------------------------------------------------------------------------
Mark A. Regier Since 2013 Vice President of all the DFA Entities. Planning and Analysis
Vice President Manager for Dimensional (since July 2007).
1969
-----------------------------------------------------------------------------------------------------------------------
Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (June 2011-January 2012); Research
1981 Assistant for Dimensional (July 2004-August 2007).
-----------------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities.
Vice President
1971
-----------------------------------------------------------------------------------------------------------------------
Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Manager for
Vice President Dimensional (since July 2008).
1959
-----------------------------------------------------------------------------------------------------------------------
Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (March 2006-January 2010).
1961
-----------------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Operations
Vice President Manager for Dimensional (since May 2007).
1965
-----------------------------------------------------------------------------------------------------------------------
Ted R. Simpson Since 2007 Vice President of all the DFA Entities.
Vice President
1968
-----------------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Since 2007 Vice President of all the DFA Entities.
Vice President
1975
-----------------------------------------------------------------------------------------------------------------------
Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for
Vice President Dimensional (2007-2010).
1968
-----------------------------------------------------------------------------------------------------------------------
Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada ULC.
1956
-----------------------------------------------------------------------------------------------------------------------
Carl G. Snyder Since 2000 Vice President of all the DFA Entities.
Vice President
1963
-----------------------------------------------------------------------------------------------------------------------
62
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
---------------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities.
Vice President
1947
---------------------------------------------------------------------------------------------------------------------
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Director and Vice
Vice President President of Dimensional Fund Advisors Canada ULC.
1973
---------------------------------------------------------------------------------------------------------------------
Richard H. Tatlow Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since April 2010). Formerly, Principal, Investment
1971 Strategist at Barclays Global Investors (2004-2009).
---------------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Since 2013 Vice President of all the DFA Entities, Manager, Investment
Vice President Analytics and Data for Dimensional (since 2012). Formerly,
1973 Research Assistant at Dimensional (2002-2011).
---------------------------------------------------------------------------------------------------------------------
Erik T. Totten Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since 2010). Formerly, Senior Associate at
1980 Dimensional (2007-2009).
---------------------------------------------------------------------------------------------------------------------
John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (January 2008-January 2012).
1978
---------------------------------------------------------------------------------------------------------------------
Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Technology
Vice President for Dimensional (since March 2007).
1958
---------------------------------------------------------------------------------------------------------------------
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors
1966 Canada ULC.
---------------------------------------------------------------------------------------------------------------------
Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since 2004).
1970
---------------------------------------------------------------------------------------------------------------------
Weston J. Wellington Since 1997 Vice President of all the DFA Entities.
Vice President
1951
---------------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Since 2007 Vice President of all the DFA Entities.
Vice President
1976
---------------------------------------------------------------------------------------------------------------------
Paul E. Wise Since 2005 Vice President of all the DFA Entities.
Vice President
1955
---------------------------------------------------------------------------------------------------------------------
Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2005-2010).
1978
/1/ Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustees/Directors and until his or her successor is elected and
qualified.
63
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.
64
NOTICE TO SHAREHOLDERS
(Unaudited)
For shareholders that do not have an October 31, 2013 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2013
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2012 to October 31, 2013, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
Qualifying
Net For Corporate
Investment Short-Term Long-Term Dividends Qualifying
Income Capital Gain Capital Gain Total Received Dividend
Dimensional Investment Group Inc. Distributions Distributions Distributions Distributions Deduction (1) Income (2)
--------------------------------- ------------- ------------- ------------- ------------- ------------- ----------
DFA International Value Portfolio III.......... 61% -- 39% 100% 100% 100%
U.S. Large Cap Value Portfolio III............. 97% -- 3% 100% 100% 100%
Tax-Managed U.S. Marketwide Value Portfolio II. 100% -- -- 100% 100% 100%
Foreign Foreign Qualifying Qualifying
Tax Source Interest Short- Term
Dimensional Investment Group Inc. Credit (3) Income (4) Income (5) Capital Gain (6)
--------------------------------- ---------- ---------- ---------- ----------------
DFA International Value Portfolio III.......... 8% 100% 100% 100%
U.S. Large Cap Value Portfolio III............. -- -- 100% 100%
Tax-Managed U.S. Marketwide Value Portfolio II. -- 3% 100% 100%
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(3)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(4)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(5)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage of ordinary income distributions
(the total of short-term capital gain and net investment income
distributions).
(6)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
See accompanying Notes to Financial Statements.
65
[LOGO] DFA103113-008A
[LOGO]
ANNUAL REPORT
year ended: October 31, 2013
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
November 2013
Dear Fellow Shareholder,
Our goal at Dimensional is to deliver an outstanding investment experience to
our clients. Our close ties to academia help us identify leading research that
can be beneficial to investors, and our team works to interpret, rigorously
test, and consider the practical applicability of those ideas in carefully
implemented investment strategies. This focus on research and implementation
has been central to Dimensional's approach since our founding and will continue
to be a key part of our offer to investors.
Sincerely,
/s/
David G. Booth
Chairman and Co-Chief Executive Officer
DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes................. 1
Dimensional Investment Group Inc.
Performance Charts...................................... 2
Management's Discussion and Analysis.................... 3
Disclosure of Fund Expenses............................. 6
Disclosure of Portfolio Holdings........................ 8
Schedules of Investments................................ 9
DFA International Value Portfolio IV................ 9
Emerging Markets Portfolio II....................... 9
Statements of Assets and Liabilities.................... 10
Statements of Operations................................ 11
Statements of Changes in Net Assets..................... 12
Financial Highlights.................................... 13
Notes to Financial Statements........................... 14
Report of Independent Registered Public Accounting Firm. 19
The DFA Investment Trust Company
Performance Charts...................................... 20
Management's Discussion and Analysis.................... 21
Disclosure of Fund Expenses............................. 23
Disclosure of Portfolio Holdings........................ 24
The DFA International Value Series.................. 25
The Emerging Markets Series......................... 29
Statements of Assets and Liabilities.................... 33
Statements of Operations................................ 34
Statements of Changes in Net Assets..................... 35
Financial Highlights.................................... 36
Notes to Financial Statements........................... 37
Report of Independent Registered Public Accounting Firm. 44
Fund Management............................................ 45
Voting Proxies on Fund Portfolio Securities................ 55
Notice to Shareholders..................................... 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.
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) 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.
REIT Real Estate Investment Trust
RIC Registered Investment Company
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO IV VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2003-October 31, 2013
[CHART]
DFA International Value MSCI World ex USA
Portfolio IV Index (net dividends)
----------------------- ---------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,221 10,227
12/31/2003 10,988 11,011
1/31/2004 11,259 11,164
2/29/2004 11,603 11,421
3/31/2004 11,780 11,478
4/30/2004 11,426 11,178
5/31/2004 11,540 11,230
6/30/2004 12,020 11,489
7/31/2004 11,572 11,139
8/31/2004 11,718 11,185
9/30/2004 12,093 11,511
10/31/2004 12,562 11,925
11/30/2004 13,490 12,718
12/31/2004 14,163 13,255
1/31/2005 14,025 12,994
2/28/2005 14,579 13,572
3/31/2005 14,217 13,264
4/30/2005 13,780 12,926
5/31/2005 13,801 12,950
6/30/2005 14,014 13,161
7/31/2005 14,643 13,586
8/31/2005 15,123 13,961
9/30/2005 15,549 14,599
10/31/2005 15,314 14,127
11/30/2005 15,592 14,501
12/31/2005 16,347 15,173
1/31/2006 17,469 16,133
2/28/2006 17,638 16,079
3/31/2006 18,378 16,589
4/30/2006 19,309 17,382
5/31/2006 18,524 16,722
6/30/2006 18,412 16,700
7/31/2006 18,692 16,857
8/31/2006 19,332 17,336
9/30/2006 19,601 17,322
10/31/2006 20,476 18,006
11/30/2006 21,149 18,543
12/31/2006 21,972 19,074
1/31/2007 22,392 19,191
2/28/2007 22,369 19,344
3/31/2007 23,094 19,840
4/30/2007 24,251 20,742
5/31/2007 25,080 21,203
6/30/2007 24,905 21,224
7/31/2007 24,204 20,931
8/31/2007 23,935 20,628
9/30/2007 25,186 21,800
10/31/2007 26,413 22,748
11/30/2007 24,812 21,858
12/31/2007 24,268 21,447
1/31/2008 22,303 19,513
2/29/2008 22,018 19,867
3/31/2008 22,290 19,583
4/30/2008 23,279 20,672
5/31/2008 23,292 20,986
6/30/2008 20,992 19,354
7/31/2008 20,386 18,665
8/31/2008 19,533 17,943
9/30/2008 17,258 15,353
10/31/2008 12,932 12,159
11/30/2008 12,140 11,500
12/31/2008 13,056 12,106
1/31/2009 11,252 10,976
2/28/2009 9,862 9,865
3/31/2009 10,945 10,515
4/30/2009 12,963 11,871
5/31/2009 14,887 13,373
6/30/2009 14,660 13,234
7/31/2009 16,397 14,477
8/31/2009 17,332 15,170
9/30/2009 18,228 15,796
10/31/2009 17,493 15,543
11/30/2009 18,014 15,927
12/31/2009 18,227 16,181
1/31/2010 17,169 15,423
2/28/2010 17,224 15,407
3/31/2010 18,599 16,399
4/30/2010 18,282 16,155
5/31/2010 16,138 14,372
6/30/2010 15,849 14,164
7/31/2010 17,829 15,473
8/31/2010 16,963 15,011
9/30/2010 18,777 16,451
10/31/2010 19,437 17,037
11/30/2010 18,461 16,315
12/31/2010 20,182 17,629
1/31/2011 21,042 18,009
2/28/2011 21,747 18,676
3/31/2011 21,141 18,302
4/30/2011 22,268 19,299
5/31/2011 21,465 18,727
6/30/2011 21,169 18,460
7/31/2011 20,492 18,156
8/31/2011 18,294 16,621
9/30/2011 16,306 14,952
10/31/2011 17,857 16,406
11/30/2011 17,279 15,648
12/31/2011 16,803 15,477
1/31/2012 17,940 16,312
2/29/2012 18,870 17,209
3/31/2012 18,723 17,082
4/30/2012 18,058 16,792
5/31/2012 15,829 14,878
6/30/2012 16,936 15,852
7/31/2012 16,877 16,050
8/31/2012 17,571 16,508
9/30/2012 18,191 17,009
10/31/2012 18,427 17,128
11/30/2012 18,723 17,488
12/31/2012 19,627 18,017
1/31/2013 20,551 18,903
2/28/2013 19,935 18,715
3/31/2013 20,012 18,863
4/30/2013 20,982 19,722
5/31/2013 20,736 19,281
6/30/2013 19,996 18,558 Past performance is not predictive of
7/31/2013 21,367 19,546 future performance.
8/31/2013 21,213 19,294
9/30/2013 22,815 20,657 The returns shown do not reflect the
10/31/2013 23,601 21,350 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years
-------------------------------------------------------- MSCI data copyright MSCI 2013, all
28.08% 12.79% 8.97% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO II VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
October 31, 2003-October 31, 2013
[CHART]
Emerging Markets Portfolio II MSCI Emerging Markets Index
(net dividends)
----------------------------- ---------------------------
10/31/2003 $10,000 $10,000
11/30/2003 9,909 10,122
12/31/2003 10,955 10,855
1/31/2004 11,171 11,234
2/29/2004 11,665 11,749
3/31/2004 11,747 11,896
4/30/2004 10,996 10,922
5/31/2004 10,862 10,704
6/30/2004 11,047 10,749
7/31/2004 11,037 10,552
8/31/2004 11,346 10,990
9/30/2004 11,994 11,624
10/31/2004 12,334 11,902
11/30/2004 13,415 13,004
12/31/2004 14,290 13,628
1/31/2005 14,405 13,663
2/28/2005 15,475 14,855
3/31/2005 14,416 13,873
4/30/2005 14,070 13,501
5/31/2005 14,489 13,971
6/30/2005 14,919 14,445
7/31/2005 15,884 15,455
8/31/2005 15,989 15,587
9/30/2005 17,268 17,039
10/31/2005 16,397 15,925
11/30/2005 17,603 17,243
12/31/2005 18,618 18,262
1/31/2006 20,397 20,301
2/28/2006 20,343 20,277
3/31/2006 20,623 20,456
4/30/2006 21,863 21,913
5/31/2006 19,330 19,617
6/30/2006 19,308 19,569
7/31/2006 19,664 19,849
8/31/2006 20,278 20,355
9/30/2006 20,558 20,524
10/31/2006 21,787 21,499
11/30/2006 23,178 23,097
12/31/2006 24,108 24,137
1/31/2007 24,471 23,877
2/28/2007 24,097 23,735
3/31/2007 25,186 24,680
4/30/2007 26,802 25,823
5/31/2007 28,595 27,102
6/30/2007 29,057 28,372
7/31/2007 29,750 29,869
8/31/2007 29,244 29,235
9/30/2007 31,817 32,463
10/31/2007 35,304 36,084
11/30/2007 33,005 33,526
12/31/2007 32,868 33,643
1/31/2008 30,000 29,445
2/29/2008 30,963 31,618
3/31/2008 30,000 29,945
4/30/2008 32,140 32,375
5/31/2008 32,319 32,976
6/30/2008 29,003 29,687
7/31/2008 28,622 28,567
8/31/2008 26,919 26,285
9/30/2008 23,178 21,685
10/31/2008 17,072 15,750
11/30/2008 15,527 14,565
12/31/2008 16,745 15,701
1/31/2009 15,452 14,687
2/28/2009 14,456 13,858
3/31/2009 16,532 15,850
4/30/2009 18,986 18,487
5/31/2009 22,224 21,646
6/30/2009 22,022 21,355
7/31/2009 24,548 23,756
8/31/2009 24,631 23,671
9/30/2009 26,801 25,820
10/31/2009 26,244 25,852
11/30/2009 27,810 26,962
12/31/2009 28,805 28,027
1/31/2010 27,246 26,464
2/28/2010 27,572 26,557
3/31/2010 29,869 28,701
4/30/2010 30,050 29,049
5/31/2010 27,258 26,494
6/30/2010 27,294 26,299
7/31/2010 29,700 28,489
8/31/2010 29,011 27,936
9/30/2010 32,311 31,040
10/31/2010 33,278 31,941
11/30/2010 32,528 31,098
12/31/2010 35,180 33,317
1/31/2011 34,266 32,413
2/28/2011 34,019 32,111
3/31/2011 35,909 33,999
4/30/2011 37,156 35,054
5/31/2011 36,131 34,134
6/30/2011 35,674 33,609
7/31/2011 35,390 33,460
8/31/2011 32,524 30,470
9/30/2011 27,608 26,027
10/31/2011 31,054 29,475
11/30/2011 29,980 27,511
12/31/2011 29,105 27,179
1/31/2012 32,220 30,262
2/29/2012 33,962 32,074
3/31/2012 33,072 31,004
4/30/2012 32,487 30,633
5/31/2012 28,978 27,198
6/30/2012 30,415 28,248
7/31/2012 30,656 28,799
8/31/2012 30,860 28,703
9/30/2012 32,576 30,435
10/31/2012 32,411 30,250
11/30/2012 32,831 30,634
12/31/2012 34,746 32,132
1/31/2013 34,928 32,575
2/28/2013 34,512 32,166
3/31/2013 34,018 31,612
4/30/2013 34,408 31,850
5/31/2013 33,278 31,033
6/30/2013 31,187 29,057
7/31/2013 31,641 29,361 Past performance is not predictive of
8/31/2013 30,901 28,856 future performance.
9/30/2013 33,096 30,733
10/31/2013 34,616 32,226 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years
------------------------------------------------------------ MSCI data copyright MSCI 2013, all
6.80% 15.19% 13.22% rights reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
International Equity Market Review 12 Months Ended October 31, 2013
The one-year period ended October 31, 2013, was characterized by generally
positive monthly returns in the international equity markets with the exception
of a sharp decline from May to June and a smaller decline in August. As
measured by the MSCI indices below for developed markets outside the U.S.,
small cap stocks generally outperformed large cap stocks while value stocks
outperformed growth stocks.
12 Months Ended October 31, 2013
--------------------------------
U.S. Dollar Return
------------------
MSCI World ex USA Index........... 24.65%
MSCI World ex USA Small Cap Index. 27.81%
MSCI World ex USA Value Index..... 26.12%
MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets
currencies. While the U.S. dollar depreciated against the euro, Swiss franc,
and several other European-based developed markets currencies, it appreciated
against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 Months Ended October 31, 2013
--------------------------------
Ten Largest Foreign Developed Markets by Market Cap Local Currency Return U.S. Dollar Return
--------------------------------------------------- --------------------- ------------------
United Kingdom.................... 20.70% 20.37%
Japan............................. 64.48% 34.00%
Canada............................ 10.59% 5.99%
France............................ 27.55% 33.82%
Australia......................... 26.44% 15.47%
Switzerland....................... 27.49% 31.10%
Germany........................... 24.72% 30.85%
Spain............................. 30.69% 37.11%
Sweden............................ 24.39% 27.55%
Hong Kong......................... 14.30% 14.25%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
Gains in emerging markets were lower on average than in developed markets
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2013, returns in U.S. dollars were
6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the
MSCI World ex USA Index (net dividends). As measured by the MSCI emerging
markets indices, small cap stocks outperformed large cap stocks while growth
stocks outperformed value stocks.
12 Months Ended October 31, 2013
--------------------------------
U.S. Dollar Return
------------------
MSCI Emerging Markets Index........... 6.53%
MSCI Emerging Markets Small Cap Index. 10.29%
MSCI Emerging Markets Value Index..... 3.88%
MSCI Emerging Markets Growth Index.... 9.06%
3
During the period, the U.S. dollar (USD) generally appreciated against most
emerging markets currencies, except those in eastern Europe, decreasing USD
denominated returns in emerging markets.
12 Months Ended October 31, 2013
Ten Largest Emerging Markets by Market Cap
Local Currency Return U.S. Dollar Return
--------------------- ------------------
China........ 9.32% 9.28%
South Korea.. 9.57% 12.65%
Brazil....... 7.85% -1.52%
Taiwan....... 18.76% 18.08%
South Africa. 20.85% 5.07%
India........ 14.98% 0.65%
Russia....... 12.94% 10.89%
Mexico....... 1.41% 2.11%
Malaysia..... 13.25% 9.32%
Indonesia.... 1.33% -13.66%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
International Equity Series' Performance Overview
DFA International Value Portfolio IV
The DFA International Value Portfolio IV seeks to capture the returns of
international large company value stocks by purchasing shares of The DFA
International Value Series, a Master Fund that invests in such stocks. Value is
measured primarily by book-to-market ratio. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2013, the Master
Fund held approximately 520 securities in 22 eligible developed countries. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 28.08% for the
Portfolio and 24.65% for the MSCI World ex USA Index (net dividends). The
Master Fund focuses on value stocks, as measured by book-to-market, while the
Index is neutral with regard to value or growth. As large cap value stocks
generally outperformed large cap growth stocks during the period, the Master
Fund's significantly greater exposure than the Index to these securities
contributed to the Portfolio's outperformance relative to the Index. In
particular, the Master Fund's greater exposure to value stocks in the financial
sector was beneficial as these names outperformed the Index. The Master Fund's
exclusion of real estate investment trusts ("REITs") also benefited the
Portfolio's relative performance as REITs underperformed during the period.
Differences in the valuation timing and methodology between the Master Fund and
the Index generally detracted from the Portfolio's relative performance. The
Master Fund prices foreign exchange rates at the closing of the U.S. markets
while the Index uses rates at 4 pm London time. The Master Fund also may use
fair value pricing to price certain portfolio securities at the closing of the
U.S. markets while the Index uses local market closing prices.
4
Emerging Markets Portfolio II
The Emerging Markets Portfolio II seeks to capture the returns of large cap
stocks in selected emerging markets countries by purchasing shares of The
Emerging Markets Series, a Master Fund that invests in such securities. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2013, the Master Fund held approximately 1,000 securities across 21
eligible emerging markets. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 6.80% for the
Portfolio and 6.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Master Fund's diversified approach, performance was generally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. Differences in country weights between the Master
Fund and the Index contributed to the Portfolio's relative performance. In
addition, differences in the Master Fund's holdings within the financial sector
contributed to the Portfolio's outperformance relative to the Index.
5
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio IV**
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,124.80 0.27% $1.45
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.84 0.27% $1.38
6
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
Emerging Markets Portfolio II**
-------------------------------
Actual Fund Return.............. $1,000.00 $1,006.00 0.31% $1.57
Hypothetical 5% Annual Return... $1,000.00 $1,023.64 0.31% $1.58
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
7
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 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 Affiliated Investment Companies' holdings
which reflect the investments by category.
Affiliated Investment Company
-----------------------------
DFA International Value Portfolio IV. 100.0%
Emerging Markets Portfolio II........ 100.0%
8
SCHEDULES OF INVESTMENTS
October 31, 2013
DFA INTERNATIONAL VALUE PORTFOLIO IV
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $265,463,653
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $208,569,726)............................... $265,463,653
============
Summary of the Portfolio's Master Fund's investments as of October 31, 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..................... $112,206,914
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $34,756,888)................................ $112,206,914
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(Amounts in thousands, except share and per share amounts)
DFA International Emerging
Value Portfolio IV Markets Portfolio II
------------------ --------------------
ASSETS:
Investment in Affiliated Investment Company at Value........................... $ 265,464 $ 112,207
Prepaid Expenses and Other Assets.............................................. 11 9
------------ ------------
Total Assets.............................................................. 265,475 112,216
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed......................................................... 96 41
Due to Advisor............................................................... 7 14
Accrued Expenses and Other Liabilities......................................... 29 21
------------ ------------
Total Liabilities......................................................... 132 76
------------ ------------
NET ASSETS..................................................................... $ 265,343 $ 112,140
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)........................................ 17,315,113 4,208,033
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE....................... $ 15.32 $ 26.65
============ ============
Investment in Affiliated Investment Company at Cost............................ $ 208,570 $ 34,757
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................ $ 232,895 $ 90,775
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)....................................................................... 6,771 2,331
Accumulated Net Realized Gain (Loss)........................................... (31,259) (58,416)
Net Unrealized Foreign Exchange Gain (Loss).................................... 42 --
Net Unrealized Appreciation (Depreciation)..................................... 56,894 77,450
------------ ------------
NET ASSETS..................................................................... $ 265,343 $ 112,140
============ ============
(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 YEAR ENDED OCTOBER 31, 2013
(Amounts in thousands)
DFA International Emerging
Value Portfolio IV* Markets Portfolio II*
------------------- ---------------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $624 and $398, respectively). $ 8,134 $2,742
Income from Securities Lending........................................... 419 139
Expenses Allocated from Affiliated Investment Company.................... (563) (182)
------- ------
Total Investment Income............................................... 7,990 2,699
------- ------
Expenses
Administrative Services Fees............................................. 80 172
Accounting & Transfer Agent Fees......................................... 20 19
Filing Fees.............................................................. 18 11
Shareholders' Reports.................................................... 6 3
Directors'/Trustees' Fees & Expenses..................................... 3 1
Audit Fees............................................................... 2 2
Legal Fees............................................................... 3 1
Other.................................................................... 4 3
------- ------
Total Expenses........................................................ 136 212
------- ------
Net Investment Income (Loss)............................................. 7,854 2,487
------- ------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................................. 13,218 2,293
Futures................................................................ (49) --
Foreign Currency Transactions.......................................... (70) (5)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................. 41,292 2,575
Futures................................................................ (2) --
Translation of Foreign Currency Denominated Amounts.................... 18 (1)
------- ------
Net Realized and Unrealized Gain (Loss).................................. 54,407 4,862
------- ------
Net Increase (Decrease) in Net Assets Resulting from Operations............ $62,261 $7,349
======= ======
----------
* 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)
DFA International Emerging Markets
Value Portfolio IV Portfolio II
------------------ ------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2013 2012
-------- -------- -------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................................... $ 7,854 $ 10,952 $ 2,487 $ 2,829
Net Realized Gain (Loss) on:
Investment Securities Sold.......................................... 13,218 17,841 2,293 2,877
Futures............................................................. (49) -- -- --
Foreign Currency Transactions....................................... (70) (53) (5) (28)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 41,292 (21,176) 2,575 (1,136)
Futures............................................................. (2) -- -- --
Translation of Foreign Currency Denominated Amounts................. 18 (7) (1) 2
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 62,261 7,557 7,349 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......................................................... 18,742 24,063 15,478 14,540
Shares Issued in Lieu of Cash Distributions........................... 10,308 12,847 2,485 3,260
Shares Redeemed....................................................... (68,623) (87,131) (25,333) (30,445)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions............ (39,573) (50,221) (7,370) (12,645)
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets............................ 12,380 (55,511) (2,506) (11,361)
Net Assets
Beginning of Year..................................................... 252,963 308,474 114,646 126,007
-------- -------- -------- --------
End of Year........................................................... $265,343 $252,963 $112,140 $114,646
======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued......................................................... 1,401 1,950 604 577
Shares Issued in Lieu of Cash Distributions........................... 833 1,151 95 143
Shares Redeemed....................................................... (5,188) (7,170) (989) (1,234)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed............ (2,954) (4,069) (290) (514)
======== ======== ======== ========
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)..................................................... $ 6,771 $ 9,278 $ 2,331 $ 2,334
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio IV
-------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................................ $ 12.48 $ 12.67 $ 14.14 $ 13.09 $ 10.46
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................................ 0.42 0.45 0.49 0.33 0.34
Net Gains (Losses) on Securities (Realized and Unrealized).................. 2.96 (0.11) (1.61) 1.09 3.05
-------- -------- -------- -------- --------
Total from Investment Operations........................................... 3.38 0.34 (1.12) 1.42 3.39
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................................................... (0.54) (0.53) (0.35) (0.37) (0.76)
-------- -------- -------- -------- --------
Total Distributions........................................................ (0.54) (0.53) (0.35) (0.37) (0.76)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................................. $ 15.32 $ 12.48 $ 12.67 $ 14.14 $ 13.09
============================================================================== ======== ======== ======== ======== ========
Total Return.................................................................. 28.08% 3.20% (8.13)% 11.12% 35.27%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................................... $265,343 $252,963 $308,474 $353,536 $349,042
Ratio of Expenses to Average Net Assets (B)................................... 0.28% 0.28% 0.28% 0.28% 0.30%
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of
Expenses and/or Recovery of Previously Waived Fees) (B)...................... 0.28% 0.28% 0.28% 0.28% 0.30%
Ratio of Net Investment Income to Average Net Assets.......................... 3.13% 3.76% 3.45% 2.52% 3.28%
----------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Portfolio II
-------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year............................................ $ 25.49 $ 25.14 $ 27.53 $ 22.13 $ 15.24
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............................................ 0.56 0.58 0.63 0.48 0.41
Net Gains (Losses) on Securities (Realized and Unrealized).................. 1.16 0.44 (2.42) 5.37 7.29
-------- -------- -------- -------- --------
Total from Investment Operations........................................... 1.72 1.02 (1.79) 5.85 7.70
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................................................... (0.56) (0.67) (0.60) (0.45) (0.81)
-------- -------- -------- -------- --------
Total Distributions........................................................ (0.56) (0.67) (0.60) (0.45) (0.81)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year.................................................. $ 26.65 $ 25.49 $ 25.14 $ 27.53 $ 22.13
============================================================================== ======== ======== ======== ======== ========
Total Return.................................................................. 6.80% 4.37% (6.68)% 26.80% 53.72%
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)........................................... $112,140 $114,646 $126,007 $156,091 $142,206
Ratio of Expenses to Average Net Assets (B)................................... 0.35% 0.38% 0.39% 0.37% 0.39%
Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of
Expenses and/or Recovery of Previously Waived Fees) (B)...................... 0.35% 0.38% 0.39% 0.37% 0.39%
Ratio of Net Investment Income to Average Net Assets.......................... 2.17% 2.33% 2.28% 2.00% 2.42%
---------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
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 October 31, 2013, DFA
International Value Portfolio IV and Emerging Markets Portfolio II owned 3% and
3% 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.
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 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 year ended October 31, 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
14
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 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 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.
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 year ended October 31, 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 fee 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 year ended October 31, 2013, the total
related amounts paid by the Fund to the CCO were $30 (in thousands). The total
related amounts paid by the Portfolios are included in Other Expenses on the
Statement of Operations.
D. Deferred Compensation:
At October 31, 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. $13
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
15
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 or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2013, primarily attributable to net foreign
currency gains/losses, foreign capital gains tax 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 IV. -- $(53) $53
Emerging Markets Portfolio II........ -- (5) 5
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2012 and October 31, 2013 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
DFA International Value Portfolio IV
2012................................. $12,847 -- $12,847
2013................................. 10,308 -- 10,308
Emerging Markets Portfolio II
2012................................. 3,260 -- 3,260
2013................................. 2,485 -- 2,485
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Unrealized Earnings
Short-Term Capital Loss Appreciation (Accumulated
Capital Gains Carryfoward (Depreciation) Losses)
-------------- ------------ -------------- -------------
DFA International Value Portfolio IV. $6,993 $(31,216) $56,690 $32,467
Emerging Markets Portfolio II........ 2,551 (58,389) 77,210 21,372
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, 2013, the Funds
had the following capital loss carryforwards available to offset future
realized capital gains through the indicated expiration dates (amounts in
thousands):
Expires on October 31,
----------------------
2016 Total
---------------------- -------
DFA International Value Portfolio IV. $31,216 $31,216
Emerging Markets Portfolio II........ 58,389 58,389
16
During the year ended October 31, 2013, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
DFA International Value Portfolio IV . . . . . . . . . . . . . . . . . . . . . . . . . .. $13,150
Emerging Markets Portfolio II . . . . . . . . . . . . . . . . . . . . . . . . . ......... 2,299
At October 31, 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. $208,815 $56,649 -- $56,649
Emerging Markets Portfolio II........ 34,997 77,210 -- 77,210
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 Portfolio's 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.
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 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 the lines of credit during
the year ended October 31, 2013.
17
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. Recently Issued Accounting Standards:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's financial statements to understand the effect of those arrangements on
its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as
applying to derivatives accounted for in accordance with Topic 815, Derivatives
and Hedging, including bifurcated embedded derivatives, repurchase agreements
and reverse repurchase agreements, and securities borrowing and securities
lending transactions that are offset either in accordance with other
requirements of GAAP or subject to an enforceable master netting arrangement or
similar agreement. ASU No. 2011-11 is effective for annual periods beginning on
or after January 1, 2013, and interim periods within those annual periods.
Management is evaluating any impact ASU No. 2011-11 may have on the financial
statements.
I. Other:
At October 31, 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%
J. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
18
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Portfolios, as defined, and
Board of Directors of Dimensional Investment Group Inc.:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of DFA International
Value Portfolio IV and Emerging Markets Portfolio II (constituting portfolios
within Dimensional Investment Group Inc., hereafter referred to as the
"Portfolios") at October 31, 2013, the results of each of their operations for
the year then ended, the changes in each of their net assets for each of the
two years in the period then ended and the financial highlights for each of the
five years in the period then ended, in conformity with accounting principles
generally accepted in the United States of America. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Portfolios' management; our responsibility is to
express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with the
standards of the Public Company Accounting Oversight Board (United States).
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at October 31, 2013 by
correspondence with the transfer agent of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
19
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2003-October 31, 2013
[CHART]
The DFA International MSCI World ex USA Index
Value Series (net dividends)
----------------------- ---------------------------
10/31/2003 $10,000 $10,000
11/30/2003 10,214 10,227
12/31/2003 10,981 11,011
1/31/2004 11,262 11,164
2/29/2004 11,601 11,421
3/31/2004 11,782 11,478
4/30/2004 11,426 11,178
5/31/2004 11,542 11,230
6/30/2004 12,019 11,489
7/31/2004 11,575 11,139
8/31/2004 11,726 11,185
9/30/2004 12,101 11,511
10/31/2004 12,564 11,925
11/30/2004 13,498 12,718
12/31/2004 14,170 13,255
1/31/2005 14,029 12,994
2/28/2005 14,584 13,572
3/31/2005 14,224 13,264
4/30/2005 13,792 12,926
5/31/2005 13,810 12,950
6/30/2005 14,031 13,161
7/31/2005 14,657 13,586
8/31/2005 15,140 13,961
9/30/2005 15,566 14,599
10/31/2005 15,332 14,127
11/30/2005 15,605 14,501
12/31/2005 16,369 15,173
1/31/2006 17,487 16,133
2/28/2006 17,655 16,079
3/31/2006 18,400 16,589
4/30/2006 19,332 17,382
5/31/2006 18,549 16,722
6/30/2006 18,432 16,700
7/31/2006 18,716 16,857
8/31/2006 19,360 17,336
9/30/2006 19,628 17,322
10/31/2006 20,499 18,006
11/30/2006 21,181 18,543
12/31/2006 22,007 19,074
1/31/2007 22,422 19,191
2/28/2007 22,402 19,344
3/31/2007 23,126 19,840
4/30/2007 24,293 20,742
5/31/2007 25,124 21,203
6/30/2007 24,941 21,224
7/31/2007 24,247 20,931
8/31/2007 23,975 20,628
9/30/2007 25,227 21,800
10/31/2007 26,451 22,748
11/30/2007 24,848 21,858
12/31/2007 24,313 21,447
1/31/2008 22,343 19,513
2/29/2008 22,059 19,867
3/31/2008 22,323 19,583
4/30/2008 23,321 20,672
5/31/2008 23,332 20,986
6/30/2008 21,024 19,354
7/31/2008 20,429 18,665
8/31/2008 19,576 17,943
9/30/2008 17,289 15,353
10/31/2008 12,954 12,159
11/30/2008 12,159 11,500
12/31/2008 13,079 12,106
1/31/2009 11,273 10,976
2/28/2009 9,888 9,865
3/31/2009 10,967 10,515
4/30/2009 12,988 11,871
5/31/2009 14,918 13,373
6/30/2009 14,691 13,234
7/31/2009 16,439 14,477
8/31/2009 17,381 15,170
9/30/2009 18,267 15,796
10/31/2009 17,540 15,543
11/30/2009 18,063 15,927
12/31/2009 18,267 16,181
1/31/2010 17,211 15,423
2/28/2010 17,279 15,407
3/31/2010 18,642 16,399
4/30/2010 18,324 16,155
5/31/2010 16,178 14,372
6/30/2010 15,894 14,164
7/31/2010 17,881 15,473
8/31/2010 17,007 15,011
9/30/2010 18,835 16,451
10/31/2010 19,493 17,037
11/30/2010 18,517 16,315
12/31/2010 20,242 17,629
1/31/2011 21,105 18,009
2/28/2011 21,809 18,676
3/31/2011 21,207 18,302
4/30/2011 22,343 19,299
5/31/2011 21,537 18,727
6/30/2011 21,241 18,460
7/31/2011 20,560 18,156
8/31/2011 18,358 16,621
9/30/2011 16,348 14,952
10/31/2011 17,926 16,406
11/30/2011 17,336 15,648
12/31/2011 16,870 15,477
1/31/2012 18,006 16,312
2/29/2012 18,948 17,209
3/31/2012 18,789 17,082
4/30/2012 18,119 16,792
5/31/2012 15,883 14,878
6/30/2012 17,007 15,852
7/31/2012 16,939 16,050
8/31/2012 17,642 16,508
9/30/2012 18,267 17,009
10/31/2012 18,494 17,128
11/30/2012 18,789 17,488
12/31/2012 19,709 18,017
1/31/2013 20,640 18,903
2/28/2013 20,015 18,715
3/31/2013 20,083 18,863
4/30/2013 21,071 19,722
5/31/2013 20,821 19,281
6/30/2013 20,083 18,558
7/31/2013 21,457 19,546 Past performance is not predictive of
8/31/2013 21,309 19,294 future performance.
9/30/2013 22,910 20,657
10/31/2013 23,705 21,350 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years
-------------------------------------------------------- MSCI data copyright MSCI 2013, all
28.18% 12.85% 9.01% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
October 31, 2003-October 31, 2013
[CHART]
The Emerging Markets Series MSCI Emerging Markets Index
(net dividends)
----------------------------- ---------------------------
10/31/2003 $10,000 $10,000
11/30/2003 9,905 10,122
12/31/2003 10,948 10,855
1/31/2004 11,159 11,234
2/29/2004 11,655 11,749
3/31/2004 11,735 11,896
4/30/2004 10,991 10,922
5/31/2004 10,867 10,704
6/30/2004 11,064 10,749
7/31/2004 11,057 10,552
8/31/2004 11,363 10,990
9/30/2004 12,004 11,624
10/31/2004 12,340 11,902
11/30/2004 13,418 13,004
12/31/2004 14,293 13,628
1/31/2005 14,410 13,663
2/28/2005 15,481 14,855
3/31/2005 14,424 13,873
4/30/2005 14,082 13,501
5/31/2005 14,504 13,971
6/30/2005 14,942 14,445
7/31/2005 15,904 15,455
8/31/2005 16,006 15,587
9/30/2005 17,281 17,039
10/31/2005 16,421 15,925
11/30/2005 17,609 17,243
12/31/2005 18,630 18,262
1/31/2006 20,415 20,301
2/28/2006 20,357 20,277
3/31/2006 20,634 20,456
4/30/2006 21,873 21,913
5/31/2006 19,351 19,617
6/30/2006 19,329 19,569
7/31/2006 19,687 19,849
8/31/2006 20,306 20,355
9/30/2006 20,590 20,524
10/31/2006 21,822 21,499
11/30/2006 23,222 23,097
12/31/2006 24,162 24,137
1/31/2007 24,519 23,877
2/28/2007 24,147 23,735
3/31/2007 25,248 24,680
4/30/2007 26,866 25,823
5/31/2007 28,666 27,102
6/30/2007 29,140 28,372
7/31/2007 29,847 29,869
8/31/2007 29,337 29,235
9/30/2007 31,924 32,463
10/31/2007 35,430 36,084
11/30/2007 33,120 33,526
12/31/2007 33,003 33,643
1/31/2008 30,131 29,445
2/29/2008 31,093 31,618
3/31/2008 30,131 29,945
4/30/2008 32,289 32,375
5/31/2008 32,478 32,976
6/30/2008 29,147 29,687
7/31/2008 28,768 28,567
8/31/2008 27,063 26,285
9/30/2008 23,302 21,685
10/31/2008 17,165 15,750
11/30/2008 15,612 14,565
12/31/2008 16,837 15,701
1/31/2009 15,547 14,687
2/28/2009 14,541 13,858
3/31/2009 16,640 15,850
4/30/2009 19,111 18,487
5/31/2009 22,369 21,646
6/30/2009 22,179 21,355
7/31/2009 24,723 23,756
8/31/2009 24,810 23,671
9/30/2009 27,004 25,820
10/31/2009 26,443 25,852
11/30/2009 28,025 26,962
12/31/2009 29,038 28,027
1/31/2010 27,456 26,464
2/28/2010 27,792 26,557
3/31/2010 30,124 28,701
4/30/2010 30,306 29,049
5/31/2010 27,493 26,494
6/30/2010 27,536 26,299
7/31/2010 29,964 28,489
8/31/2010 29,271 27,936
9/30/2010 32,602 31,040
10/31/2010 33,593 31,941
11/30/2010 32,843 31,098
12/31/2010 35,517 33,317
1/31/2011 34,599 32,413
2/28/2011 34,359 32,111
3/31/2011 36,276 33,999
4/30/2011 37,544 35,054
5/31/2011 36,509 34,134
6/30/2011 36,079 33,609
7/31/2011 35,802 33,460
8/31/2011 32,908 30,470
9/30/2011 27,930 26,027
10/31/2011 31,429 29,475
11/30/2011 30,343 27,511
12/31/2011 29,461 27,179
1/31/2012 32,617 30,262
2/29/2012 34,388 32,074
3/31/2012 33,499 31,004
4/30/2012 32,901 30,633
5/31/2012 29,359 27,198
6/30/2012 30,816 28,248
7/31/2012 31,064 28,799
8/31/2012 31,276 28,703
9/30/2012 33,025 30,435
10/31/2012 32,857 30,250
11/30/2012 33,287 30,634
12/31/2012 35,241 32,132
1/31/2013 35,423 32,575
2/28/2013 35,015 32,166
3/31/2013 34,519 31,612
4/30/2013 34,913 31,850
5/31/2013 33,783 31,033
6/30/2013 31,662 29,057 Past performance is not predictive of
7/31/2013 32,128 29,361 future performance.
8/31/2013 31,378 28,856
9/30/2013 33,615 30,733 The returns shown do not reflect the
10/31/2013 35,153 32,226 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years
------------------------------------------------------------ MSCI data copyright MSCI 2013, all
6.99% 15.42% 13.40% rights reserved.
--------------------------------------------------------------------------------
20
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
International Equity Market Review 12 Months Ended October 31, 2013
The one-year period ending October 31, 2013, was characterized by generally
positive monthly returns in the international equity markets with the exception
of a sharp decline from May to June and a smaller decline in August. As
measured by the MSCI indices below for developed markets outside the U.S.,
small cap stocks generally outperformed large cap stocks while value stocks
outperformed growth stocks.
12 Months Ended October 31, 2013
--------------------------------
U.S. Dollar Return
- ------------------
MSCI World ex USA Index........... 24.65%
MSCI World ex USA Small Cap Index. 27.81%
MSCI World ex USA Value Index..... 26.12%
MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets
currencies. While the U.S. dollar depreciated against the euro, Swiss franc,
and several other European-based developed markets currencies, it appreciated
against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 Months Ended October 31, 2013
--------------------------------
Ten Largest Foreign Developed Markets by Market Cap Local Currency Return U.S. Dollar Return
--------------------------------------------------- --------------------- ------------------
United Kingdom.................... 20.70% 20.37%
Japan............................. 64.48% 34.00%
Canada............................ 10.59% 5.99%
France............................ 27.55% 33.82%
Australia......................... 26.44% 15.47%
Switzerland....................... 27.49% 31.10%
Germany........................... 24.72% 30.85%
Spain............................. 30.69% 37.11%
Sweden............................ 24.39% 27.55%
Hong Kong......................... 14.30% 14.25%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
Gains in emerging markets were lower on average than in developed markets
although results varied widely among the individual emerging markets countries.
For the one-year period ended October 31, 2013, returns in US dollars were
6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the
MSCI World ex USA Index (net dividends). As measured by the MSCI emerging
markets indices, small cap stocks outperformed large cap stocks while growth
stocks outperformed value stocks.
12 Months Ended October 31, 2013
--------------------------------
U.S. Dollar Return
- ------------------
MSCI Emerging Markets Index........... 6.53%
MSCI Emerging Markets Small Cap Index. 10.29%
MSCI Emerging Markets Value Index..... 3.88%
MSCI Emerging Markets Growth Index.... 9.06%
21
During the period, the U.S. dollar (USD) generally appreciated against most
emerging markets currencies, except those in eastern Europe, decreasing USD
denominated returns in emerging markets.
12 Months Ended October 31, 2013
--------------------------------
Ten Largest Emerging Markets by Market Cap Local Currency Return U.S. Dollar Return
------------------------------------------ --------------------- ------------------
China........................ 9.32% 9.28%
South Korea.................. 9.57% 12.65%
Brazil....................... 7.85% -1.52%
Taiwan....................... 18.76% 18.08%
South Africa................. 20.85% 5.07%
India........................ 14.98% 0.65%
Russia....................... 12.94% 10.89%
Mexico....................... 1.41% 2.11%
Malaysia..................... 13.25% 9.32%
Indonesia.................... 1.33% -13.66%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2013, all rights reserved.
International Equity Series' Performance Overview
The DFA International Value Series
The DFA International Value Series seeks to capture the returns of
international large company value stocks. Value stocks are typically
characterized by low relative price, as measured by their book-to-market ratio.
The investment strategy is process driven, emphasizing broad diversification.
As of October 31, 2013, the Series held approximately 520 securities in 22
eligible developed countries. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Series' assets.
For the 12 months ending October 31, 2013, total returns were 28.18% for the
Series and 24.65% for the MSCI World ex USA Index (net dividends). The Series
focuses on value stocks, as measured by book-to-market, while the Index is
neutral with regard to value or growth. As large cap value stocks generally
outperformed large cap growth stocks during the period, the Series'
significantly greater exposure than the Index to these securities contributed
to the Series' outperformance relative to the Index. In particular, the Series'
greater exposure to value stocks in the financial sector was beneficial as
these names outperformed the Index. The Series' exclusion of real estate
investment trusts ("REITs") also benefited the Series' relative performance as
REITs underperformed during the period. Differences in the valuation timing and
methodology between the Series and the Index generally detracted from the
Series' relative performance. The Series prices foreign exchange rates at the
closing of the U.S. markets while the Index uses rates at 4 pm London time. The
Series also may use fair value pricing to price certain portfolio securities at
the closing of the U.S. markets while the Index uses local market closing
prices.
The Emerging Markets Series
The Emerging Markets Series seeks to capture the returns of large cap stocks
in selected emerging markets countries. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2013, the Series
held approximately 1,000 securities across 21 eligible emerging markets. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2013, total returns were 6.99% for the
Series and 6.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Series' diversified approach, performance was generally
determined by structural trends in emerging markets rather than the behavior of
a limited number of stocks. Differences in country weights between the Series
and the Index contributed to the Series' relative performance. In addition,
differences in holdings within the financial sector contributed to the Series'
outperformance relative to the Index.
22
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2013
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/13 10/31/13 Ratio* Period*
--------- --------- ---------- --------
The DFA International Value Series
----------------------------------
Actual Fund Return................. $1,000.00 $1,125.00 0.22% $1.18
Hypothetical 5% Annual Return...... $1,000.00 $1,024.10 0.22% $1.12
The Emerging Markets Series
---------------------------
Actual Fund Return................. $1,000.00 $1,006.90 0.14% $0.71
Hypothetical 5% Annual Return...... $1,000.00 $1,024.50 0.14% $0.71
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
23
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 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 is 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....................... 9.4%
Consumer Staples............................. 4.9%
Energy....................................... 12.7%
Financials................................... 36.7%
Health Care.................................. 1.3%
Industrials.................................. 10.4%
Information Technology....................... 3.7%
Materials.................................... 10.9%
Other........................................ --
Telecommunication Services................... 7.1%
Utilities.................................... 2.9%
-----
100.0%
The Emerging Markets Series
Consumer Discretionary....................... 9.0%
Consumer Staples............................. 8.6%
Energy....................................... 12.0%
Financials................................... 25.9%
Health Care.................................. 1.5%
Industrials.................................. 7.3%
Information Technology....................... 15.2%
Materials.................................... 10.4%
Other........................................ --
Telecommunication Services................... 6.9%
Utilities.................................... 3.2%
-----
100.0%
24
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2013
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.1%)
AUSTRALIA -- (4.6%)
Suncorp Group, Ltd................ 3,736,013 $ 47,108,867 0.5%
Wesfarmers, Ltd................... 2,755,622 111,820,231 1.3%
Other Securities.................. 279,564,385 3.2%
------------ -----
TOTAL AUSTRALIA....................... 438,493,483 5.0%
------------ -----
AUSTRIA -- (0.2%)
Other Securities.................. 16,529,353 0.2%
------------ -----
BELGIUM -- (1.2%)
Other Securities.................. 112,978,600 1.3%
------------ -----
CANADA -- (8.8%)
# Canadian Natural Resources, Ltd... 1,849,320 58,690,835 0.7%
# Magna International, Inc.......... 583,936 49,458,004 0.6%
# Manulife Financial Corp........... 4,587,163 81,259,196 0.9%
# Sun Life Financial, Inc........... 1,446,869 48,735,471 0.6%
Suncor Energy, Inc................ 3,750,370 136,288,802 1.6%
# Thomson Reuters Corp.............. 1,557,384 58,522,328 0.7%
Other Securities.................. 400,896,217 4.4%
------------ -----
TOTAL CANADA.......................... 833,850,853 9.5%
------------ -----
DENMARK -- (1.5%)
Other Securities.................. 137,640,320 1.6%
------------ -----
FINLAND -- (0.9%)
Other Securities.................. 82,560,530 0.9%
------------ -----
FRANCE -- (9.7%)
AXA SA............................ 4,004,754 99,780,178 1.1%
BNP Paribas SA.................... 1,975,744 145,756,834 1.7%
Cie de St-Gobain.................. 1,078,023 56,585,484 0.7%
GDF Suez.......................... 3,247,971 80,496,939 0.9%
Orange............................ 3,875,091 53,267,297 0.6%
Societe Generale SA............... 1,823,515 103,009,458 1.2%
Vivendi SA........................ 3,686,124 93,331,608 1.1%
Other Securities.................. 290,292,116 3.2%
------------ -----
TOTAL FRANCE.......................... 922,519,914 10.5%
------------ -----
GERMANY -- (8.4%)
Allianz SE........................ 518,031 86,978,602 1.0%
Allianz SE ADR.................... 2,811,910 47,324,445 0.5%
Bayerische Motoren Werke AG....... 663,299 75,071,136 0.9%
Daimler AG........................ 2,088,586 171,002,503 1.9%
Deutsche Bank AG.................. 1,538,807 74,369,159 0.8%
# Deutsche Telekom AG Sponsored ADR. 3,074,385 48,544,539 0.6%
E.ON SE........................... 3,638,090 66,316,888 0.8%
Muenchener Rueckversicherungs AG.. 395,244 82,460,652 0.9%
Other Securities.................. 143,842,565 1.6%
------------ -----
TOTAL GERMANY......................... 795,910,489 9.0%
------------ -----
GREECE -- (0.0%)
Other Securities.................. 4,734,900 0.1%
------------ -----
25
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.1%)
Hutchison Whampoa, Ltd.................. 5,818,000 $ 72,458,624 0.8%
Other Securities........................ 125,762,689 1.4%
-------------- -----
TOTAL HONG KONG............................. 198,221,313 2.2%
-------------- -----
IRELAND -- (0.1%)
Other Securities........................ 13,557,887 0.1%
-------------- -----
ISRAEL -- (0.3%)
Other Securities........................ 28,069,013 0.3%
-------------- -----
ITALY -- (1.5%)
UniCredit SpA........................... 8,189,815 61,477,549 0.7%
Other Securities........................ 78,424,839 0.9%
-------------- -----
TOTAL ITALY................................. 139,902,388 1.6%
-------------- -----
JAPAN -- (17.7%)
Mitsubishi Corp......................... 3,482,500 70,454,645 0.8%
Mitsubishi UFJ Financial Group, Inc..... 24,653,206 156,998,104 1.8%
Mitsui & Co., Ltd....................... 4,220,700 60,296,595 0.7%
Nippon Steel & Sumitomo Metal Corp...... 18,537,940 61,185,438 0.7%
NTT DOCOMO, Inc......................... 3,091,700 49,049,894 0.6%
Other Securities........................ 1,282,749,967 14.5%
-------------- -----
TOTAL JAPAN................................. 1,680,734,643 19.1%
-------------- -----
NETHERLANDS -- (3.1%)
* ING Groep NV............................ 6,479,202 82,335,806 0.9%
Other Securities........................ 207,395,423 2.4%
-------------- -----
TOTAL NETHERLANDS........................... 289,731,229 3.3%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities........................ 6,293,702 0.1%
-------------- -----
NORWAY -- (0.7%)
Other Securities........................ 67,730,341 0.8%
-------------- -----
PORTUGAL -- (0.1%)
Other Securities........................ 6,386,228 0.1%
-------------- -----
SINGAPORE -- (1.2%)
Other Securities........................ 109,323,500 1.2%
-------------- -----
SPAIN -- (2.3%)
Banco Santander SA...................... 8,832,930 78,306,244 0.9%
Iberdrola SA............................ 7,444,256 46,726,442 0.5%
Other Securities........................ 94,892,837 1.1%
-------------- -----
TOTAL SPAIN................................. 219,925,523 2.5%
-------------- -----
SWEDEN -- (2.8%)
Nordea Bank AB.......................... 5,366,449 68,644,974 0.8%
Telefonaktiebolaget LM Ericsson Class B. 4,713,081 56,374,169 0.7%
Other Securities........................ 138,816,259 1.5%
-------------- -----
TOTAL SWEDEN................................ 263,835,402 3.0%
-------------- -----
26
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (6.9%)
Credit Suisse Group AG......................................... 1,928,358 $ 59,987,253 0.7%
Holcim, Ltd.................................................... 887,877 66,039,798 0.8%
Swiss Re AG.................................................... 1,117,582 98,104,262 1.1%
UBS AG......................................................... 6,496,062 125,640,734 1.4%
Zurich Insurance Group AG...................................... 269,917 74,584,331 0.9%
Other Securities............................................... 232,054,236 2.6%
-------------- ------
TOTAL SWITZERLAND.................................................... 656,410,614 7.5%
-------------- ------
UNITED KINGDOM -- (17.9%)
Barclays P.L.C................................................. 14,540,536 61,178,709 0.7%
# Barclays P.L.C. Sponsored ADR.................................. 5,739,573 96,482,222 1.1%
BP P.L.C. Sponsored ADR........................................ 5,793,659 269,405,143 3.1%
Glencore Xstrata P.L.C......................................... 15,896,454 86,511,958 1.0%
# HSBC Holdings P.L.C. Sponsored ADR............................. 1,694,884 93,286,415 1.1%
Kingfisher P.L.C............................................... 8,609,963 52,085,475 0.6%
* Lloyds Banking Group P.L.C..................................... 82,680,839 102,259,365 1.2%
# Royal Dutch Shell P.L.C. ADR................................... 3,323,210 231,029,559 2.6%
Vodafone Group P.L.C........................................... 34,976,333 128,109,810 1.5%
Vodafone Group P.L.C. Sponsored ADR............................ 3,949,158 145,407,998 1.6%
Other Securities............................................... 428,839,157 4.8%
-------------- ------
TOTAL UNITED KINGDOM................................................. 1,694,595,811 19.3%
-------------- ------
TOTAL COMMON STOCKS.................................................. 8,719,936,036 99.2%
-------------- ------
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Other Securities............................................... 23,753,308 0.3%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
Other Securities............................................... -- 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities............................................... 1,906,872 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................................ 1,906,872 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (7.7%)
(S)@ DFA Short Term Investment Fund................................. 62,748,487 726,000,000 8.2%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/13 (Collateralized by $796,375 FNMA, rates ranging from
2.500% to 4.500%, maturities ranging from 04/01/27 to
10/01/43, valued at $720,177) to be repurchased at
$706,058...................................................... $ 706 706,056 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................. 726,706,056 8.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,742,743,361)............................................ $9,472,302,272 107.7%
============== ======
27
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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................... $ 1,841,161 $ 436,652,322 -- $ 438,493,483
Austria..................... -- 16,529,353 -- 16,529,353
Belgium..................... 3,382,426 109,596,174 -- 112,978,600
Canada...................... 833,850,853 -- -- 833,850,853
Denmark..................... -- 137,640,320 -- 137,640,320
Finland..................... 1,950,990 80,609,540 -- 82,560,530
France...................... 6,675,118 915,844,796 -- 922,519,914
Germany..................... 120,607,084 675,303,405 -- 795,910,489
Greece...................... -- 4,734,900 -- 4,734,900
Hong Kong................... -- 198,221,313 -- 198,221,313
Ireland..................... 5,268,488 8,289,399 -- 13,557,887
Israel...................... -- 28,069,013 -- 28,069,013
Italy....................... 18,295,120 121,607,268 -- 139,902,388
Japan....................... 67,433,792 1,613,300,851 -- 1,680,734,643
Netherlands................. 16,499,964 273,231,265 -- 289,731,229
New Zealand................. -- 6,293,702 -- 6,293,702
Norway...................... 265,956 67,464,385 -- 67,730,341
Portugal.................... -- 6,386,228 -- 6,386,228
Singapore................... -- 109,323,500 -- 109,323,500
Spain....................... 13,099,036 206,826,487 -- 219,925,523
Sweden...................... 11,416,422 252,418,980 -- 263,835,402
Switzerland................. 90,293,410 566,117,204 -- 656,410,614
United Kingdom.............. 926,568,412 768,027,399 -- 1,694,595,811
Preferred Stocks
Germany..................... -- 23,753,308 -- 23,753,308
Rights/Warrants
Hong Kong................... -- -- -- --
Spain....................... -- 1,906,872 -- 1,906,872
Securities Lending Collateral. -- 726,706,056 -- 726,706,056
-------------- -------------- -- --------------
TOTAL......................... $2,117,448,232 $7,354,854,040 -- $9,472,302,272
============== ============== == ==============
See accompanying Notes to Financial Statements.
28
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2013
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (90.1%)
ARGENTINA -- (0.0%)
Other Securities.................................... $ -- 0.0%
------------ -----
BRAZIL -- (7.7%)
BRF SA ADR.......................................... 564,360 13,222,955 0.4%
Cia de Bebidas das Americas ADR..................... 622,039 23,139,851 0.6%
Petroleo Brasileiro SA ADR.......................... 1,372,750 23,927,033 0.6%
Petroleo Brasileiro SA Sponsored ADR................ 1,985,055 36,048,599 1.0%
# Vale SA Sponsored ADR............................... 1,249,020 19,996,810 0.5%
Other Securities.................................... 191,525,535 5.1%
------------ -----
TOTAL BRAZIL............................................ 307,860,783 8.2%
------------ -----
CHILE -- (1.6%)
Other Securities.................................... 65,091,958 1.7%
------------ -----
CHINA -- (14.1%)
Bank of China, Ltd. Class H......................... 65,514,100 30,844,677 0.8%
China Construction Bank Corp. Class H............... 56,443,590 43,914,613 1.2%
China Life Insurance Co., Ltd. ADR.................. 330,798 13,043,365 0.4%
# China Mobile, Ltd. Sponsored ADR.................... 877,340 45,639,227 1.2%
CNOOC, Ltd. ADR..................................... 115,255 23,317,239 0.6%
Industrial & Commercial Bank of China, Ltd. Class H. 59,907,185 41,919,158 1.1%
# PetroChina Co., Ltd. ADR............................ 145,110 16,436,610 0.4%
Tencent Holdings, Ltd............................... 763,600 41,659,099 1.1%
Other Securities.................................... 306,311,176 8.1%
------------ -----
TOTAL CHINA............................................. 563,085,164 14.9%
------------ -----
COLOMBIA -- (0.7%)
Other Securities.................................... 28,765,622 0.8%
------------ -----
CZECH REPUBLIC -- (0.3%)
Other Securities.................................... 12,280,918 0.3%
------------ -----
EGYPT -- (0.1%)
Other Securities.................................... 3,051,734 0.1%
------------ -----
HONG KONG -- (0.0%)
Other Securities.................................... 6,042 0.0%
------------ -----
HUNGARY -- (0.3%)
Other Securities.................................... 11,759,342 0.3%
------------ -----
INDIA -- (6.3%)
HDFC Bank, Ltd...................................... 1,530,953 17,028,382 0.5%
Infosys, Ltd........................................ 234,483 12,485,974 0.3%
Infosys, Ltd. Sponsored ADR......................... 233,468 12,387,812 0.3%
Reliance Industries, Ltd............................ 1,433,931 21,342,373 0.6%
Tata Consultancy Services, Ltd...................... 413,679 14,186,300 0.4%
Other Securities.................................... 174,387,200 4.6%
------------ -----
TOTAL INDIA............................................. 251,818,041 6.7%
------------ -----
INDONESIA -- (2.4%)
Other Securities.................................... 94,111,506 2.5%
------------ -----
29
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MALAYSIA -- (4.1%)
# Malayan Banking Bhd........................ 5,003,321 $ 15,508,389 0.4%
Other Securities........................... 147,272,696 3.9%
------------ -----
TOTAL MALAYSIA................................. 162,781,085 4.3%
------------ -----
MEXICO -- (5.2%)
# America Movil S.A.B. de C.V. Series L...... 37,750,669 40,420,537 1.1%
* Cemex S.A.B. de C.V. Sponsored ADR......... 1,285,964 13,605,497 0.4%
Fomento Economico Mexicano S.A.B. de C.V... 1,793,669 16,765,060 0.4%
Grupo Financiero Banorte S.A.B. de C.V..... 2,832,687 18,133,018 0.5%
Grupo Televisa S.A.B. Series CPO........... 2,556,698 15,557,014 0.4%
Wal-Mart de Mexico S.A.B. de C.V. Series V. 5,418,775 14,087,631 0.4%
Other Securities........................... 87,399,675 2.3%
------------ -----
TOTAL MEXICO................................... 205,968,432 5.5%
------------ -----
PERU -- (0.3%)
Other Securities........................... 10,242,946 0.3%
------------ -----
PHILIPPINES -- (1.3%)
Other Securities........................... 50,006,707 1.3%
------------ -----
POLAND -- (1.7%)
Other Securities........................... 68,061,972 1.8%
------------ -----
RUSSIA -- (5.2%)
Gazprom OAO Sponsored ADR.................. 6,850,921 64,038,306 1.7%
Lukoil OAO Sponsored ADR................... 556,966 36,477,853 1.0%
Sberbank of Russia Sponsored ADR........... 2,809,303 35,825,291 1.0%
Other Securities........................... 69,300,946 1.8%
------------ -----
TOTAL RUSSIA................................... 205,642,396 5.5%
------------ -----
SOUTH AFRICA -- (7.1%)
# MTN Group, Ltd............................. 1,882,816 37,425,026 1.0%
# Naspers, Ltd. Class N...................... 416,705 39,005,158 1.0%
# Sasol, Ltd. Sponsored ADR.................. 583,774 29,784,149 0.8%
Standard Bank Group, Ltd................... 1,209,908 15,392,568 0.4%
Other Securities........................... 162,612,740 4.3%
------------ -----
TOTAL SOUTH AFRICA............................. 284,219,641 7.5%
------------ -----
SOUTH KOREA -- (14.9%)
Hyundai Mobis.............................. 70,280 19,824,583 0.5%
Hyundai Motor Co........................... 158,812 37,835,980 1.0%
KB Financial Group, Inc.................... 353,265 13,912,801 0.4%
# Kia Motors Corp............................ 270,669 15,726,190 0.4%
LG Chem, Ltd............................... 47,843 13,495,647 0.4%
Naver Corp................................. 27,242 15,287,313 0.4%
POSCO...................................... 50,240 14,998,694 0.4%
Samsung Electronics Co., Ltd............... 81,840 112,862,139 3.0%
Samsung Electronics Co., Ltd. GDR.......... 49,372 34,218,733 0.9%
Shinhan Financial Group Co., Ltd........... 374,876 16,345,946 0.4%
* SK Hynix, Inc.............................. 512,610 15,424,892 0.4%
Other Securities........................... 283,823,686 7.6%
------------ -----
TOTAL SOUTH KOREA.............................. 593,756,604 15.8%
------------ -----
30
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (12.3%)
Cathay Financial Holding Co., Ltd.............................. 8,634,048 $ 13,043,972 0.4%
Hon Hai Precision Industry Co., Ltd............................ 12,590,056 32,007,618 0.9%
# MediaTek, Inc.................................................. 1,249,995 17,089,840 0.5%
# Taiwan Semiconductor Manufacturing Co., Ltd.................... 25,188,808 92,834,992 2.5%
Other Securities............................................... 334,744,052 8.7%
-------------- ------
TOTAL TAIWAN......................................................... 489,720,474 13.0%
-------------- ------
THAILAND -- (2.6%)
Other Securities............................................... 103,053,381 2.7%
-------------- ------
TURKEY -- (1.9%)
Other Securities............................................... 74,508,182 2.0%
-------------- ------
TOTAL COMMON STOCKS.................................................. 3,585,792,930 95.2%
-------------- ------
PREFERRED STOCKS -- (3.8%)
BRAZIL -- (3.7%)
Banco Bradesco SA.............................................. 2,244,395 32,334,852 0.9%
Itau Unibanco Holding SA....................................... 2,568,240 39,737,954 1.1%
Vale SA........................................................ 1,529,491 22,387,437 0.6%
Other Securities............................................... 52,726,591 1.3%
-------------- ------
TOTAL BRAZIL......................................................... 147,186,834 3.9%
-------------- ------
CHILE -- (0.0%)
Other Securities............................................... 52,088 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities............................................... 3,707,074 0.1%
-------------- ------
TOTAL PREFERRED STOCKS............................................... 150,945,996 4.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SOUTH KOREA -- (0.0%)
Other Securities............................................... -- 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (6.1%)
(S)@ DFA Short Term Investment Fund................................. 21,089,023 244,000,000 6.5%
@ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%,
11/01/13 (Collateralized by $799,156 FNMA, rates ranging from
2.500% to 4.500%, maturities ranging from 04/01/27 to
10/01/43, valued at $722,691) to be repurchased at
$708,523...................................................... $709 708,521 0.0%
-------------- ------
TOTAL SECURITIES LENDING COLLATERAL.................................. 244,708,521 6.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,769,771,714)............................................ $3,981,447,447 105.7%
============== ======
31
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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...................... $168,534,522 $ 139,326,261 -- $ 307,860,783
Chile....................... 28,146,828 36,945,130 -- 65,091,958
China....................... 124,364,007 438,721,157 -- 563,085,164
Colombia.................... 28,765,622 -- -- 28,765,622
Czech Republic.............. -- 12,280,918 -- 12,280,918
Egypt....................... -- 3,051,734 -- 3,051,734
Hong Kong................... -- 6,042 -- 6,042
Hungary..................... -- 11,759,342 -- 11,759,342
India....................... 25,671,195 226,146,846 -- 251,818,041
Indonesia................... 37,082 94,074,424 -- 94,111,506
Malaysia.................... -- 162,781,085 -- 162,781,085
Mexico...................... 205,968,432 -- -- 205,968,432
Peru........................ 10,242,946 -- -- 10,242,946
Philippines................. 264,468 49,742,239 -- 50,006,707
Poland...................... -- 68,061,972 -- 68,061,972
Russia...................... 9,320,240 196,322,156 -- 205,642,396
South Africa................ 38,062,533 246,157,108 -- 284,219,641
South Korea................. 18,326,152 575,430,452 -- 593,756,604
Taiwan...................... 9,347,981 480,372,493 -- 489,720,474
Thailand.................... 103,053,381 -- -- 103,053,381
Turkey...................... 1,154,826 73,353,356 -- 74,508,182
Preferred Stocks
Brazil...................... 4,164,774 143,022,060 -- 147,186,834
Chile....................... -- 52,088 -- 52,088
Colombia.................... 3,707,074 -- -- 3,707,074
Rights/Warrants
South Korea................. -- -- -- --
Securities Lending Collateral. -- 244,708,521 -- 244,708,521
------------ -------------- -- --------------
TOTAL......................... $779,132,063 $3,202,315,384 -- $3,981,447,447
============ ============== == ==============
See accompanying Notes to Financial Statements.
32
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2013
(Amounts in thousands)
The DFA
International The Emerging
Value Series* Markets Series*
------------- ---------------
ASSETS:
Investments at Value (including $716,973 and $330,522 of securities on loan, respectively). $8,745,596 $3,736,738
Collateral Received from Securities on Loan at Value & Cost................................ 706 709
Collateral from Securities on Loan Invested in Affiliate at Value & Cost................... 726,000 244,000
Foreign Currencies at Value................................................................ 24,350 7,576
Cash....................................................................................... 20,781 26,299
Receivables:
Investment Securities Sold............................................................... 4,029 116
Dividends, Interest and Tax Reclaims..................................................... 23,044 3,735
Securities Lending Income................................................................ 276 382
Prepaid Expenses and Other Assets.......................................................... 1 --
---------- ----------
Total Assets.......................................................................... 9,544,783 4,019,555
---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................................................... 726,706 244,709
Investment Securities Purchased.......................................................... 23,813 7,929
Due to Advisor........................................................................... 1,472 315
Unrealized Loss on Foreign Currency Contracts.............................................. 17 76
Accrued Expenses and Other Liabilities..................................................... 645 366
---------- ----------
Total Liabilities..................................................................... 752,653 253,395
---------- ----------
NET ASSETS................................................................................. $8,792,130 $3,766,160
---------- ----------
Investments at Cost........................................................................ $7,016,037 $2,525,063
========== ==========
Foreign Currencies at Cost................................................................. $ 24,526 $ 7,593
========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
33
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2013
(Amounts in thousands)
The DFA
International The Emerging
Value Series Markets Series
------------- --------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $19,855 and $11,554, respectively). $ 256,899 $ 78,461
Interest....................................................................... 6 --
Income from Securities Lending................................................. 13,232 3,929
---------- --------
Total Investment Income..................................................... 270,137 82,390
---------- --------
Expenses
Investment Advisory Services Fees.............................................. 15,819 3,264
Accounting & Transfer Agent Fees............................................... 542 236
Custodian Fees................................................................. 810 1,359
Shareholders' Reports.......................................................... 20 8
Directors'/Trustees' Fees & Expenses........................................... 85 35
Professional Fees.............................................................. 236 115
Other.......................................................................... 158 66
---------- --------
Total Expenses.............................................................. 17,670 5,083
---------- --------
Fees Paid Indirectly........................................................... (22) (25)
---------- --------
Net Expenses................................................................... 17,648 5,058
---------- --------
Net Investment Income (Loss)................................................... 252,489 77,332
---------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold................................................... 394,216 24,456
Futures...................................................................... (1,587) --
Foreign Currency Transactions*............................................... (2,158) (130)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................... 1,329,657 145,893
Translation of Foreign Currency Denominated Amounts.......................... 544 (8)
---------- --------
Net Realized and Unrealized Gain (Loss)........................................ 1,720,672 170,211
---------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations.................. $1,973,161 $247,543
========== ========
----------
* Net of foreign capital gain taxes withheld of $3 and $0, respectively.
See accompanying Notes to Financial Statements.
34
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The DFA International The Emerging
Value Series Markets Series
----------------------- ----------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2013 2012
----------- ---------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................ $ 252,489 $ 260,321 $ 77,332 $ 67,879
Net Realized Gain (Loss) on:
Investment Securities Sold................................ 394,216 133,256 24,456 34,169
Futures................................................... (1,587) -- -- --
Foreign Currency Transactions**........................... (2,158) (1,249) (130) (571)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 1,329,657 (157,327) 145,893 24,259
Translation of Foreign Currency Denominated Amounts....... 544 (266) (8) 20
----------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 1,973,161 234,735 247,543 125,756
----------- ---------- ---------- ----------
Transactions in Interest:
Contributions............................................... 1,055,913 699,069 937,021 523,537
Withdrawals................................................. (1,475,193) (651,462) (331,711) (175,967)
----------- ---------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest.... (419,280) 47,607 605,310 347,570
----------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets.................. 1,553,881 282,342 852,853 473,326
Net Assets
Beginning of Year........................................... 7,238,249 6,955,907 2,913,307 2,439,981
----------- ---------- ---------- ----------
End of Year................................................. $ 8,792,130 $7,238,249 $3,766,160 $2,913,307
=========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $3, $0, $0 and $13,
respectively.
See accompanying Notes to Financial Statements.
35
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The DFA International Value Series+
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 28.18% 3.17% (8.04)% 11.13% 35.41%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $8,792,130 $7,238,249 $6,955,907 $6,919,633 $6,191,964
Ratio of Expenses to Average Net Assets...................... 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Net Investment Income to Average Net Assets......... 3.20% 3.75% 3.47% 2.55% 3.22%
Portfolio Turnover Rate...................................... 15% 14% 9% 20% 18%
--------------------------------------------------------------------------------------------------------------------------
The Emerging Markets Series
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 6.99% 4.55% (6.44)% 27.04% 53.99%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $3,766,160 $2,913,307 $2,439,981 $2,529,493 $2,109,316
Ratio of Expenses to Average Net Assets...................... 0.16% 0.20% 0.20% 0.19% 0.20%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.16% 0.20% 0.20% 0.19% 0.20%
Ratio of Net Investment Income to Average Net Assets......... 2.38% 2.55% 2.48% 2.18% 2.57%
Portfolio Turnover Rate...................................... 4% 5% 16% 12% 14%
--------------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
36
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational 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.
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 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
37
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.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in 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 year ended October 31, 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 do not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any 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 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
38
Notice a time or date as of which payment of the Director's/Trustee's deferred
fee account shall commence, payment of such amount shall commence as of the
first business day of January following the year in which the Director/Trustee
ceases to be a member of the Board (unless the Director/Trustee files an
amended Notice selecting a different distribution date). As of October 31,
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 and foreign currency 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 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 year ended October 31, 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 year
ended October 31, 2013, expenses reduced were as follows (amounts in thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series. 22
The Emerging Markets Series........ 25
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the year ended October 31, 2013, the total
related amounts paid by the Trust to the CCO were $56 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
39
D. Deferred Compensation:
At October 31, 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. 249
The Emerging Markets Series........ 89
E. Purchases and Sales of Securities:
For the year ended October 31, 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. 1,195,737 1,352,756
The Emerging Markets Series........ 787,720 120,319
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At October 31, 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. $7,749,972 $2,159,515 $(437,185) $1,722,330
The Emerging Markets Series........ 2,779,496 1,353,861 (151,910) 1,201,951
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 remain
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
40
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 securities held
by the Series may be inhibited.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
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 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 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, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
The following is a summary of the location and value of derivative
instrument holdings on the Series' Statement of Operations categorized by
primary risk exposure for the year ended October 31, 2013 (amount 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 DFA International Value Series*. $(1,587)
* As of October 31, 2013, there were no futures contracts outstanding. During
the year ended October 31, 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.
41
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.
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 year ended October 31, 2013, borrowings by the Series under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Loan Days Expense Borrowed During
Interest Rate Balance Outstanding* Incurred The Period
------------- ------------ ------------ -------- ---------------
The DFA International Value Series. 0.90% $12,445 46 $14 $76,121
The Emerging Markets Series........ 0.89% 7,962 36 7 31,246
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2013, that each Series' available line of
credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of October 31, 2013.
I. Securities Lending:
As of October 31, 2013, each Series had securities on loan to
brokers/dealers, for which each Series received cash collateral. 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 $29,499 and $111,222 (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
42
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. Recently Issued Accounting Standards:
In January 2013, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about
Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting
Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01
clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and
Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose
information about offsetting and related arrangements to enable users of that
entity's financial statements to understand the effect of those arrangements on
its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as
applying to derivatives accounted for in accordance with Topic 815, Derivatives
and Hedging, including bifurcated embedded derivatives, repurchase agreements
and reverse repurchase agreements, and securities borrowing and securities
lending transactions that are offset either in accordance with other
requirements of GAAP or subject to an enforceable master netting arrangement or
similar agreement. ASU No. 2011-11 is effective for annual periods beginning on
or after January 1, 2013, and interim periods within those annual periods.
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 Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
43
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of the Series, as defined, and
Board of Trustees of The DFA Investment Trust Company:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The DFA International Value Series and The Emerging Markets Series
(constituting portfolios within The DFA Investment Trust Company, hereafter
referred to as the "Series") at October 31, 2013, the results of each of their
operations for the year then ended, the changes in each of their net assets for
each of the two years in the period then ended and the financial highlights for
each of the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Series' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2013 by
correspondence with the custodian, brokers, and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2013
44
FUND MANAGEMENT
(Unaudited)
Trustees/Directors
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and
Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Review Committee (the "Review Committee"). The
Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2013.
Each Board's Nominating Committee is comprised of George M. Constantinides,
John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie
J. Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. There was one Nominating Committee meeting
held during the fiscal year ended October 31, 2013.
Each Board's Review Committee consists of both interested and disinterested
Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Review Committee may (i) review the design of possible new series
of the Fund, (ii) review performance of existing portfolios of the Fund and
discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Review
Committee was formed on December 17, 2010, and there were two Review Committee
meetings held during the fiscal year ended October 31, 2013.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at www.dimensional.com.
45
Name, Position Portfolios within the
with the Fund, Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
Address and Year of Birth Length of Service Overseen Other Directorships of Public Companies Held
----------------------------------------------------------------------------------------------------------------------------------
Disinterested Trustees/Directors
----------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides Since Inception 106 portfolios in 4 Leo Melamed Professor of Finance, The University
Director of DFAIDG and DIG. investment companies of Chicago Booth School of Business.
Trustee of DFAITC and DEM.
The University of Chicago
Booth School of Business
5807 S. Woodlawn
Avenue Chicago, IL
60637
1947
----------------------------------------------------------------------------------------------------------------------------------
John P. Gould Since Inception 106 portfolios in 4 Steven G. Rothmeier Distinguished Service Professor
Director of DFAIDG and DIG. investment companies of Economics, The University of Chicago Booth
Trustee of DFAITC and DEM. School of Business (since 1965). Member and Chair,
The University of Chicago Competitive Markets Advisory Committee, Chicago
Booth School of Business Mercantile Exchange (futures trading exchange)
5807 S. Woodlawn (since 2004). Formerly, Director of UNext, Inc. (1999-
Avenue Chicago, IL 2006). Trustee, Harbor Fund (registered investment
60637 company) (30 Portfolios) (since 1994). Formerly,
1939 Member of the Board of Milwaukee Mutual Insurance
Company (1997-2010).
----------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson Since Inception 106 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG. investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM. Partner, Zebra Capital Management, LLC (hedge
Yale School of Management fund manager) (since 2001). Consultant to
P.O. Box 208200 Morningstar, Inc. (since 2006). Formerly, Chairman,
New Haven, CT Ibbotson Associates, Inc., Chicago, IL (software data
06520-8200 publishing and consulting) (1977-2006). Formerly,
1943 Director, BIRR Portfolio Analysis, Inc. (software
products) (1990-2010).
----------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear Since Inception 106 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Institution
Director of DFAIDG and DIG. investment companies (since 2002). Jack Steele Parker Professor of
Trustee of DFAITC and DEM. Human Resources Management and Economics,
Stanford University Graduate Graduate School of Business, Stanford University
School of Business (since 1995). Cornerstone Research (expert
518 Memorial Way testimony and economic and financial analysis)
Stanford, CA 94305-5015 (since 2009). Formerly, Chairman of the President
1948 George W. Bush's Council of Economic Advisers
(2006-2009). Formerly, Council of Economic
Advisors, State of California (2005-2006). Formerly,
Commissioner, White House Panel on Tax Reform
(2005).
----------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes Since Inception 106 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
Director of DFAIDG and DIG. investment companies Stanford University (since 1981). Formerly,
Trustee of DFAITC and DEM. Chairman, Platinum Grove Asset Management, L.P.
c/o Dimensional Fund (hedge fund) (formerly, Oak Hill Platinum Partners)
Advisors, LP (1999-2009). Formerly, Managing Partner, Oak Hill
6300 Bee Cave Road Capital Management (private equity firm) (until
Building 1 2004). Director, American Century Fund Complex
Austin, TX 78746 (registered investment companies) (40 Portfolios)
1941 (since 1980). Formerly, Director, Chicago Mercantile
Exchange (2001-2008).
----------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith Since Inception 106 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG. investment companies Professor of Accounting, The University of Chicago
Trustee of DFAITC and DEM. Booth School of Business (since 1980). Co-Director
The University of Chicago Investment Research, Fundamental Investment
Booth School of Business Advisors (hedge fund) (since 2008). Director, HNI
5807 S. Woodlawn Corporation (formerly known as HON Industries Inc.)
Avenue Chicago, IL (office furniture) (since 2000). Director, Ryder
60637 System Inc. (transportation, logistics and supply-
1953 chain management) (since 2003). Trustee, UBS
Funds (4 investment companies within the fund
complex) (52 portfolios) (since 2009).
46
Name, Position Portfolios within the
with the Fund, Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
Address and Year of Birth Length of Service Overseen Other Directorships of Public Companies Held
----------------------------------------------------------------------------------------------------------------------------------
Interested Trustees/Directors*
----------------------------------------------------------------------------------------------------------------------------------
David G. Booth Since Inception 106 portfolios in 4 Chairman, Director/Trustee, President, and Co-Chief
Chairman, Director, investment companies Executive Officer (since January 2010) of
Co-Chief Executive Officer Dimensional Holdings Inc., Dimensional Fund
and President of DFAIDG and Advisors LP, DFA Securities LLC, DEM, DFAIDG,
DIG. Chairman, Trustee, DIG and DFAITC. Director of Dimensional Fund
Co-Chief Executive Officer Advisors Ltd., Dimensional Funds PLC, Dimensional
and President of DFAITC and Funds II PLC, DFA Australia Limited, Dimensional
DEM. Cayman Commodity Fund I Ltd., Dimensional Japan
6300 Bee Cave Road, Ltd. and Dimensional Advisors Ltd. Chairman,
Building One Director and Co-Chief Executive Officer of
Austin, Texas 78746 Dimensional Fund Advisors Canada ULC. President,
1946 Dimensional SmartNest (US) LLC. Limited Partner,
Oak Hill Partners (since 2001) and VSC Investors,
LLC (since 2007). Trustee, The University of
Chicago. Trustee, University of Kansas Endowment
Association. Formerly, Chief Executive Officer (until
2010) and Chief Investment Officer (2003-2007) of
Dimensional Fund Advisors LP, DFA Securities LLC,
DEM, DFAIDG, DIG , DFAITC, Dimensional
Holdings Inc. Formerly, Chief Investment Officer of
Dimensional Fund Advisors Ltd. Formerly, President
and Chief Investment Officer of DFA Australia
Limited. Formerly, Director, SA Funds (registered
investment company).
----------------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto Since 2009 106 portfolios in 4 Co-Chief Executive Officer (since January 2010),
Director, Co-Chief Executive investment companies Chief Investment Officer (since March 2007) and
Officer and Chief Investment Director/Trustee of Dimensional Holdings Inc.,
Officer of DFAIDG and DIG. Dimensional Fund Advisors LP, DFA Securities LLC,
Trustee, Co-Chief Executive DEM, DFAIDG, DIG, DFAITC and Dimensional
Officer and Chief Investment Cayman Commodity Fund I Ltd. Director, Co-Chief
Officer of DFAITC and DEM. Executive Officer, President and Chief Investment
6300 Bee Cave Road, Officer of Dimensional Fund Advisors Canada ULC.
Building One Chief Investment Officer, Vice President and Director
Austin, TX 78746 of DFA Australia Limited. Director of Dimensional
1967 Fund Advisors Ltd., Dimensional Funds PLC,
Dimensional Funds II PLC, Dimensional Japan Ltd.
and Dimensional Advisors Ltd., Formerly President
of Dimensional Holdings Inc, Dimensional Fund
Advisors LP, DFA Securities LLC, DEM, DFAIDG,
DIG, DFAITC and Dimensional Fund Advisors
Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the Funds.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with Dimensional Fund
Advisors LP.
47
Officers
The name, year of birth, information regarding positions with the Funds and
the principal occupation for each officer of the Funds are set forth below.
Each officer listed below holds the same office (except as otherwise noted) in
the following entities: Dimensional Fund Advisors LP (prior to November 3,
2006, Dimensional Fund Advisors Inc.) ("Dimensional"), Dimensional Holdings
Inc., DFA Securities LLC (prior to April 6, 2009, DFA Securities Inc.), DFAIDG,
DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each
officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One,
Austin, Texas 78746, unless otherwise indicated.
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
-------------------------------------------------------------------------------------------------------------------------
Officers
-------------------------------------------------------------------------------------------------------------------------
April A. Aandal Since 2008 Vice President of all the DFA Entities.
Vice President
1963
-------------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice President
Vice President Business Development at Capson Physicians Insurance Company
1974 (2010-2012); Vice President at Charles Schwab (2007-2010).
-------------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Since 2005 Vice President of all the DFA Entities.
Vice President
1966
-------------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Director and Managing
Vice President Director of DFAL (since September 2013).
1955
-------------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Since 2007 Vice President of all the DFA Entities.
Vice President
1968
-------------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA
Vice President and Assistant Australia Limited, Dimensional Fund Advisors Ltd., Dimensional
Secretary Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte.
1967 Ltd., Dimensional Hong Kong Limited. Director, Vice President and
Assistant Secretary of Dimensional Fund Advisors Canada ULC.
-------------------------------------------------------------------------------------------------------------------------
David P. Butler Since 2007 Vice President of all the DFA Entities. Head of Global Financial
Vice President Services of Dimensional (since 2008).
1964
-------------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (December 2010-January2012); Regional Director
1970 at Russell Investments (April 2006-December 2010).
-------------------------------------------------------------------------------------------------------------------------
James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director for
Vice President Dimensional (2008-2010); Vice President, Client Portfolio Manager at
1956 American Century Investments (2001-2008).
-------------------------------------------------------------------------------------------------------------------------
Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio
1966 Manager of Dimensional (since January 2012). Formerly, Portfolio
Manager for Dimensional (October 2005-January 2012).
-------------------------------------------------------------------------------------------------------------------------
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC. Head of Institutional,
1972 North America (since March 2012). Formerly, Head of Portfolio
Management of Dimensional (January 2006-March 2012).
-------------------------------------------------------------------------------------------------------------------------
Matt B. Cobb Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since September 2011). Formerly, Vice President at
1971 MullinTBG 92005-2011).
-------------------------------------------------------------------------------------------------------------------------
Ryan Cooper Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since 2003).
1979
48
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
------------------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (August 2002-January 2012).
1976
------------------------------------------------------------------------------------------------------------------------
Robert P. Cornell Since 2007 Vice President of all the DFA Entities.
Vice President
1949
------------------------------------------------------------------------------------------------------------------------
George H. Crane Since 2010 Vice President of all the DFA Entities. Formerly, Senior Vice
Vice President President and Managing Director at State Street Bank & Trust
1955 Company (2007-2008).
------------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Since 2004 Vice President and Global Chief Compliance Officer of all the DFA
Vice President and Global Chief Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd.,
Compliance Officer and Dimensional SmartNest (US) LLC. Chief Compliance Officer of
1965 Dimensional Fund Advisors Canada ULC.
------------------------------------------------------------------------------------------------------------------------
James L. Davis Since 1999 Vice President of all the DFA Entities.
Vice President
1956
------------------------------------------------------------------------------------------------------------------------
Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Canada ULC.
1957
------------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate for
Vice President Dimensional (since August 2008).
1972
------------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities.
Vice President
1970
------------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and
Vice President and Assistant DFA Australia Limited.
Secretary
1965
------------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities.
Vice President
1971
------------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio
Vice President Management of Dimensional (since March 2012). Sr. Portfolio
1974 Manager of Dimensional (since January 2012).
------------------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Manager
Vice President for Dimensional (since June 2006).
1970
------------------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Since 2007 Vice President of all the DFA Entities.
Vice President
1967
------------------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director
Vice President at BlackRock (2004-January 2012).
1968
------------------------------------------------------------------------------------------------------------------------
Henry F. Gray Since 2000 Vice President of all the DFA Entities.
Vice President
1967
------------------------------------------------------------------------------------------------------------------------
John T. Gray Since 2007 Vice President of all the DFA Entities.
Vice President
1974
49
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
----------------------------------------------------------------------------------------------------------------------------
Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for
Vice President Dimensional (since 2012). Formerly, Senior Trader for Dimensional
1975 Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Ltd.
(2008-2009); Trader for Dimensional (2004-2008).
----------------------------------------------------------------------------------------------------------------------------
Joel H. Hefner Since 2007 Vice President of all the DFA Entities.
Vice President
1967
----------------------------------------------------------------------------------------------------------------------------
Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities,
Vice President and Fund Controller Dimensional Cayman Commodity Fund I Ltd. and Dimensional
1974 Japan Ltd.
----------------------------------------------------------------------------------------------------------------------------
Kevin B. Hight Since 2005 Vice President of all the DFA Entities.
Vice President
1967
----------------------------------------------------------------------------------------------------------------------------
Christine W. Ho Since 2004 Vice President of all the DFA Entities.
Vice President
1967
----------------------------------------------------------------------------------------------------------------------------
Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing Director,
Vice President Co-Head Global Consultant Relations at BlackRock (2004-2011).
1960
----------------------------------------------------------------------------------------------------------------------------
William A. Irvine Since 2013 Vice President of all the DFA Entities, Regional Director For
Vice President Dimensional (since 2012). Formerly, Vice President of Institutional
1957 Business Development at Eaton Vance (2005-2011).
----------------------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd.
1973
----------------------------------------------------------------------------------------------------------------------------
Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager
Vice President for Dimensional (October 2008-January 2012).
1968
----------------------------------------------------------------------------------------------------------------------------
Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Entities,
Vice President Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan
1954 Ltd., Dimensional Advisors Ltd., Dimensional Hong Kong Limited
and Chief Operating Officer of Dimensional. Director, Vice
President and Chief Privacy Officer of Dimensional Fund Advisors
Canada ULC. Director of DFA Australia Limited, Dimensional Fund
Advisors Ltd., Dimensional Japan Ltd. and Dimensional Advisors
Ltd. Director and Vice President of Dimensional Hong Kong Limited
and Dimensional Fund Advisors Pte. Ltd.
----------------------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since October 2004).
1977
----------------------------------------------------------------------------------------------------------------------------
Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional Fund Advisors LP (April 2006-January 2012).
1948
----------------------------------------------------------------------------------------------------------------------------
David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since June 2004).
1971
----------------------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined Contribution
Vice President Sales for Dimensional (since August 2010). Formerly, Chief DC
1971 Strategist, Barclays Global Investors (2005-2009).
----------------------------------------------------------------------------------------------------------------------------
50
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
---------------------------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Sr. Portfolio Manager of
Vice President Dimensional (since January 2012).Formerly, Portfolio Manager for
1971 Dimensional (April 2001-January 2012).
---------------------------------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Since 2013 Vice President of all the DFA Entities. Formerly, Senior Associate
Vice President Investment Analytics and Data for Dimensional (January 2012-
1981 December 2012); Systems Developer for Dimensional (June 2007-
December 2011).
---------------------------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (2007-2010).
1968
---------------------------------------------------------------------------------------------------------------------------------
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Officer of
Vice President Dimensional SmartNest (US) LLC (since 2012).
1967
---------------------------------------------------------------------------------------------------------------------------------
Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice President -
Vice President Global Operations at Janus Capital Group (2005-2011).
1969
---------------------------------------------------------------------------------------------------------------------------------
David F. LaRusso Since 2013 Vice President of all the DFA Entities. Formerly, Senior Trader for
Vice President Dimensional (January 2010-December 2012); Trader for
1978 Dimensional (2000-2009).
---------------------------------------------------------------------------------------------------------------------------------
Juliet H. Lee Since 2005 Vice President of all the DFA Entities.
Vice President
1971
---------------------------------------------------------------------------------------------------------------------------------
Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (July 2008-2010).
1980
---------------------------------------------------------------------------------------------------------------------------------
John B. Lessley Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since January 2008).
1960
---------------------------------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since February 2004).
1969
---------------------------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd. Counsel for Dimensional (since September
1972 2006).
---------------------------------------------------------------------------------------------------------------------------------
Rose C. Manziano Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (Since August 2010). Formerly, Vice President, Sales
1971 and Business Development at AdvisorsIG (PPMG) (2009- 2010);
Vice President at Credit Suisse (2007-2009).
---------------------------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global Human
Vice President & Head of Global Resources of Dimensional.
Human Resources
1970
---------------------------------------------------------------------------------------------------------------------------------
David R. Martin Since 2007 Vice President, Chief Financial Officer and Treasurer of all the DFA
Vice President, Chief Financial Officer Entities. Director, Vice President, Chief Financial Officer and
and Treasurer Treasurer of Dimensional Fund Advisors Ltd., DFA Australia
1956 Limited, Dimensional Advisors Ltd., Dimensional Fund Advisors
Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Fund
Advisors Canada ULC. Chief Financial Officer, Treasurer, and Vice
President of Dimensional SmartNest (US) LLC, and Dimensional
Cayman Commodity Fund I Ltd. Director of Dimensional Funds
PLC and Dimensional Funds II PLC. Statutory Auditor of
Dimensional Japan Ltd.
51
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
--------------------------------------------------------------------------------------------------------------------------
Matthew H. Miller Since 2013 Vice President of all the DFA Entities. Client Service Manager for
Vice President Dimensional (Since 2012). Formerly, Regional Director for
1978 Dimensional (2008-2011; Senior Associate at Dimensional (2007-
2010).
--------------------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Since 2013 Vice President of all the DFA Entities. Manager, Investment
Vice President Systems at Dimensional (Since 2011). Formerly, Project Manager
1971 for Dimensional (2007-2010).
--------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President since Vice President and Secretary of all the DFA Entities. Director, Vice
Vice President and Secretary 1997 and Secretary President and Secretary of DFA Australia Limited and Dimensional
1964 since 2000 Fund Advisors Ltd. (since February 2002, April 1997 and May 2002,
respectively). Vice President and Secretary of Dimensional Fund
Advisors Canada ULC (since June 2003), Dimensional SmartNest
(US) LLC, Dimensional Cayman Commodity Fund I Ltd.,
Dimensional Japan Ltd. (since February 2012), Dimensional
Advisors Ltd. (since March 2012), Dimensional Fund Advisors Pte.
Ltd. (since June 2012) and Dimensional Hong Kong Limited (since
August 2012). Director, Dimensional Funds PLC and Dimensional
Funds II PLC (since 2002 and 2006, respectively). Director of
Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional
Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited (since
August 2012 and July 2012).
--------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (2008-2010).
1964
--------------------------------------------------------------------------------------------------------------------------
Selwyn J. Notelovitz Since 2012 Vice President of all DFA Entities. Deputy Chief Compliance Officer
Vice President of Dimensional (since December 2012). Formerly Chief Compliance
1961 Officer of Wellington Management Company, LLP (2004-2011).
--------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Since 2010 Vice President of all the DFA Entities and Dimensional Cayman
Vice President Commodity Fund I Ltd. Deputy General Counsel, Funds (since
1974 2011). Counsel for Dimensional (2007-2011).
--------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities.
Vice President
1976
--------------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since July 2005).
1973
--------------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Officer for
Vice President Dimensional (since January 2008). Formerly, Compliance Officer
1978 (February 2006-December 2007).
--------------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional Fund Advisors LP (since 2012). Formerly, Senior
1977 Consultant at Hewitt EnnisKnupp (June 2011-December 2011);
Senior Investment Analyst and Consultant at Hewitt EnnisKnupp
(July 2008-June 2011).
--------------------------------------------------------------------------------------------------------------------------
Brian P. Pitre Since 2013 Vice President of all the DFA Entities. Counsel for Dimensional
Vice President Fund Advisors LP (since 2009). Formerly, Vice President and
1976 Corporate Counsel at Mellon Capital Management (2006-2008).
52
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
---------------------------------------------------------------------------------------------------------------------
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors
1961 Canada ULC.
---------------------------------------------------------------------------------------------------------------------
Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since July 2006).
1970
---------------------------------------------------------------------------------------------------------------------
Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate of Dimensional (2006-2008).
1973
---------------------------------------------------------------------------------------------------------------------
Mark A. Regier Since 2013 Vice President of all the DFA Entities. Planning and Analysis
Vice President Manager for Dimensional (since July 2007).
1969
---------------------------------------------------------------------------------------------------------------------
Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (June 2011-January 2012); Research
1981 Assistant for Dimensional (July 2004-August 2007).
---------------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities.
Vice President
1971
---------------------------------------------------------------------------------------------------------------------
Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Manager for
Vice President Dimensional (since July 2008).
1959
---------------------------------------------------------------------------------------------------------------------
Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (March 2006-January 2010).
1961
---------------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Operations
Vice President Manager for Dimensional (since May 2007).
1965
---------------------------------------------------------------------------------------------------------------------
Ted R. Simpson Since 2007 Vice President of all the DFA Entities.
Vice President
1968
---------------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Since 2007 Vice President of all the DFA Entities.
Vice President
1975
---------------------------------------------------------------------------------------------------------------------
Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for
Vice President Dimensional (2007-2010).
1968
---------------------------------------------------------------------------------------------------------------------
Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada ULC.
1956
---------------------------------------------------------------------------------------------------------------------
Carl G. Snyder Since 2000 Vice President of all the DFA Entities.
Vice President
1963
---------------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities.
Vice President
1947
---------------------------------------------------------------------------------------------------------------------
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Director and Vice
Vice President President of Dimensional Fund Advisors Canada ULC.
1973
---------------------------------------------------------------------------------------------------------------------
Richard H. Tatlow Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since April 2010). Formerly, Principal, Investment
1971 Strategist at Barclays Global Investors (2004-2009).
53
Term of Office/1/
Name, Position with the Fund and Length of
and Year of Birth Service Principal Occupation(s) During Past 5 Years
---------------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Since 2013 Vice President of all the DFA Entities, Manager, Investment
Vice President Analytics and Data for Dimensional (since 2012). Formerly,
1973 Research Assistant at Dimensional (2002-2011).
---------------------------------------------------------------------------------------------------------------------
Erik T. Totten Since 2013 Vice President of all the DFA Entities. Regional Director for
Vice President Dimensional (since 2010). Formerly, Senior Associate at
1980 Dimensional (2007-2009).
---------------------------------------------------------------------------------------------------------------------
John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (January 2008-January 2012).
1978
---------------------------------------------------------------------------------------------------------------------
Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Technology
Vice President for Dimensional (since March 2007).
1958
---------------------------------------------------------------------------------------------------------------------
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors
1966 Canada ULC.
---------------------------------------------------------------------------------------------------------------------
Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager for
Vice President Dimensional (since 2004).
1970
---------------------------------------------------------------------------------------------------------------------
Weston J. Wellington Since 1997 Vice President of all the DFA Entities.
Vice President
1951
---------------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Since 2007 Vice President of all the DFA Entities.
Vice President
1976
---------------------------------------------------------------------------------------------------------------------
Paul E. Wise Since 2005 Vice President of all the DFA Entities.
Vice President
1955
---------------------------------------------------------------------------------------------------------------------
Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President for Dimensional (2005-2010).
1978
---------------------------------------------------------------------------------------------------------------------
/1/ Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustees/Directors and until his or her successor is elected and
qualified.
54
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.
55
NOTICE TO SHAREHOLDERS
(Unaudited)
For shareholders that do not have an October 31, 2013 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2013
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2012 to October 31, 2013, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
Qualifying
For
Net Corporate
Investment Short-Term Long-Term Dividends Qualifying Foreign
Income Capital Gain Capital Gain Total Received Dividend Tax
Dimensional Investment Group Inc. Distributions Distributions Distributions Distributions Deduction (1) Income (2) Credit (3)
--------------------------------- ------------- ------------- ------------- ------------- ------------- ---------- ----------
DFA International Value Portfolio IV. 100% -- -- 100% 100% 100% 7%
Emerging Markets Portfolio II........ 100% -- -- 100% 100% 100% 5%
Qualifying
Foreign Qualifying Short-Term
Source Interest Capital
Dimensional Investment Group Inc. Income (4) Income (5) Gain (6)
--------------------------------- ---------- ---------- ----------
DFA International Value Portfolio IV. 99% 100% 100%
Emerging Markets Portfolio II........ 95% 100% 100%
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(4)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of Investment Company
taxable income.
(5)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage of ordinary income distributions
(the total of short-term capital gain and net investment income
distributions).
(6)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
56
[LOGO] DFA103113-011A
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this Form
N-CSR (the "Report"), a code of ethics that applies to the Registrant's
principal executive officer and principal financial officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to
the Code of Business Ethics during the period covered by this Report. The
Registrant also has not granted any waiver from any provisions of the Code of
Business Ethics during the period covered by this Report. A copy of the Code of
Business Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Directors has determined that Abbie J. Smith
possesses the technical attributes to qualify as an "audit committee financial
expert" serving on the Registrant's Audit Committee and has designated
Ms. Smith as the "audit committee financial expert." Ms. Smith
earned a Ph.D. in Accounting, and has taught Accounting at the graduate level
since 1980. Ms. Smith's education and career have provided her with an
understanding of generally accepted accounting principles and financial
statements; the ability to assess the general application of such principles in
connection with the accounting for estimates, accruals and reserves; and
experience preparing, analyzing and evaluating financial statements that
present a breadth and level of complexity of issues that can reasonably be
expected to be raised by the Registrant's financial statements. In addition,
Ms. Smith has served on the boards of directors and audit committees of
entities other than the Registrant. Ms. Smith is independent under the
standards set forth in Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
Fiscal Year Ended October 31, 2013: $282,214
Fiscal Year Ended October 31, 2012: $262,134
(b) Audit-Related Fees
Fees for Registrant Fiscal Year Ended October 31, 2013: $22,782
Fiscal Year Ended October 31, 2012: $21,036
For fiscal years ended October 31, 2013 and October 31, 2012,
Audited-Related Fees included fees for services related to limited
procedures performed in connection with the production of the Registrant's
semi-annual financial statements.
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X
Fiscal Year Ended October 31, 2013: $155,000
Fiscal Year Ended October 31, 2012: $170,000
For the fiscal years ended October 31, 2013 and October 31, 2012,
Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii)
of Rule 2-01 of Regulation S-X included fees for services rendered in
connection with the issuance of a Type II SSAE 16 over controls at the
Registrant's investment adviser.
(c) Tax Fees
Fees for Registrant Fiscal Year Ended October 31, 2013: $124,750
Fiscal Year Ended October 31, 2012: $135,550
In the fiscal years ended October 31, 2013 and October 31, 2012, Tax Fees
included services in connection with the Registrant's excise tax
calculations and review of the Registrant's applicable tax returns.
There were no Tax Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(d) All Other Fees
Fees for Registrant Fiscal Year Ended October 31, 2013: $0
Fiscal Year Ended October 31, 2012: $0
There were no "All Other Fees" required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(e)(1) Audit Committee's Pre-Approval Policies and Procedures
Pre-Approval Policies and Procedures
as adopted by the
Audit Committees
of
DFA Investment Dimensions Group Inc.
Dimensional Emerging Markets Value Fund
Dimensional Investment Group Inc.
The DFA Investment Trust Company
(together, the "Funds")
The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules")
adopted by the U.S. Securities and Exchange Commission (the "SEC") require
that the Funds' Audit Committees (together, the "Committee") pre-approve all
audit services and non-audit services provided to the Funds by their
independent registered public accounting firm (the "Auditor"). The Act and
the Rules also require that the Committee pre-approve all non-audit services
provided by the Auditor to Dimensional Fund Advisors LP ("Dimensional"), the
Funds' investment advisor, and to affiliates of Dimensional that provide
ongoing services to the Funds (with Dimensional, together the "Service
Affiliates") if the services directly impact the Funds' operations and
financial reporting.
The following policies and procedures govern the ways in which the Committee
will pre-approve audit and various types of non-audit services that the
Auditor provides to the Funds and to Service Affiliates. These policies and
procedures do not apply in the case of audit services that the Auditor
provides to Service Affiliates, nor do they apply to services that an audit
firm other than the Auditor provides to such entities.
These policies and procedures comply with the requirements for pre-approval,
but also provide mechanisms by which management of the Funds may request and
secure pre-approval of audit and non-audit services in an orderly manner
with minimal disruption to normal business operations. Pre-approval of
non-audit services may be achieved through a combination of the procedures
described in Sections C and D below.
A. General
1. The Committee must pre-approve all audit services and non-audit
services that the Auditor provides to the Funds.
2. The Committee must pre-approve any engagement of the Auditor to
provide non-audit services to any Service Affiliate during the period
of the Auditor's engagement to provide audit services to the Funds,
if the non-audit services to the Service Affiliate directly impact
the Funds' operations and financial reporting.
B. Pre-Approval of Audit Services to the Funds
1. The Committee shall approve the engagement of an independent
registered public accounting firm to certify the Funds' financial
statements for each fiscal year (the "Engagement"). The approval of
the Engagement shall not be delegated to a Designated Member (as that
term is defined in Section D below). In approving the Engagement, the
Committee shall obtain, review and consider sufficient information
concerning the proposed Auditor to enable the Committee to make a
reasonable evaluation of the Auditor's qualifications and
independence. The Committee also shall consider the Auditor's
proposed fees for the Engagement, in light of the scope and nature of
the audit services that the Funds will receive.
2. The Committee shall report to the Boards of Directors/Trustees of the
Funds (together, the "Board") regarding its approval of the
Engagement and of the proposed fees for the Engagement, and the basis
for such approval.
3. Unless otherwise in accordance with applicable law, the Engagement,
in any event, shall require that the Auditor be selected by the vote,
cast in person, of a majority of the members of the Board who are not
"interested persons" of the Funds (as that term is defined in
Section 2(a)(19) of the Investment Company Act of 1940) (the
"Independent Directors").
C. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--by Types of Services
1. The Committee may pre-approve types of non-audit services (including
tax services) to the Funds and their Service Affiliates pursuant to
this Section C.
2. Annually, at such time as the Committee considers the Engagement of
the Auditor, management of the Funds, in consultation with the
Auditor, shall provide to the Committee, for its consideration and
action, the following: (a) a list of those types of non-audit
services, if any, that the Funds may request from the Auditor during
the fiscal year; and (b) a list of those types of non-audit services
directly impacting the Funds' operations and financial reporting that
Service Affiliates may request from the Auditor during the fiscal
year.
3. The lists submitted to the Committee shall describe the types of
non-audit services in reasonable detail (which may include a range of
tax services) and shall include an estimated budget (or budgeted
range) of fees, where possible, and such other information as the
Committee may request. If management and the Auditor desire the
Committee to preapprove the furnishing of a range of tax services,
the Auditor shall provide an estimated range of fees for such tax
services for the consideration and approval by the Committee.
4. The Committee's pre-approval of the types of non-audit services
submitted pursuant to this Section C shall constitute authorization
for management of the Funds to utilize the Auditor for the types of
non-audit services so pre-approved, if needed or desired during the
fiscal year.
5. A list of the types of non-audit services pre-approved by the
Committee pursuant to this Section C will be distributed to
management of the Service Affiliates and the appropriate partners of
the Auditor. Periodically, the Auditor will discuss with the
Committee those non-audit services that have been or are being
provided pursuant to this Section C.
D. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--Project-by-Project Basis
1. The Committee also may pre-approve non-audit services on a
project-by-project basis pursuant to this Section D.
2. Management of the Funds, in consultation with the Auditor, may submit
either to the Committee or to the Designated Member, as provided in
this Section D, for their consideration and action, a pre-approval
request identifying one or more non-audit service projects. The
request so submitted shall describe the project(s) in reasonable
detail and shall include an estimated budget (or budgeted range) of
fees and such other information as the Committee or the Designated
Member, as appropriate, shall request.
3. The Committee, from time to time, shall designate one or more of its
members who are Independent Directors (each a "Designated Member") to
consider, on the Committee's behalf, any non-audit services, whether
to the Funds or to any Service Affiliate, that have not been
pre-approved by the Committee. The Designated Member also shall
review, on the Committee's behalf, any proposed material change in
the nature or extent of any non-audit services previously approved.
The Funds' management, in consultation with the Auditor, shall
explain why such non-audit services or material change in non-audit
services are necessary and appropriate and the anticipated costs
thereof.
4. The Designated Member will review the requested non-audit services or
proposed material change in such services and will either:
(a) pre-approve, pre-approve subject to conditions, or disapprove any
such requested services, or any proposed material change in
services, whether to the Funds or to a Service Affiliate; or
(b) refer such matter to the full Committee for its consideration and
action.
In considering any requested non-audit services or proposed material
change in such services, the Designated Member's authority shall be
limited to approving non-audit services or proposed material changes
that do not exceed $10,000 in value.
5. The Designated Member's pre-approval (or pre-approval subject to
conditions) of the requested non-audit services or proposed material
change in services pursuant to this Section D shall constitute
authorization for the management of the Funds or the Service
Affiliate, as the case may be, to utilize the Auditor for the
non-audit services so pre-approved. Any action by the Designated
Member in approving a requested non-audit service shall be presented
for ratification by the Committee not later than at its next
scheduled meeting. If the Designated Member does not approve the
Auditor providing the requested non-audit service, the matter may be
presented to the full Committee for its consideration and action.
E. Amendment; Annual Review
1. The Committee may amend these procedures from time to time.
2. These procedures shall be reviewed annually by the Committee.
F. Recordkeeping
1. The Funds shall maintain a written record of all decisions made by
the Committee or by a Designated Member pursuant to these procedures,
together with appropriate supporting materials.
2. In connection with the approval of any non-audit service pursuant to
the de minimis exception provided in the Rules, a record shall be
made indicating that each of the conditions for this exception, as
set forth in the Rules, has been satisfied.
3. A copy of these Procedures (and of any amendments to these
Procedures) shall be maintained and preserved permanently in an
easily accessible place. The written records referred to in
paragraphs 1 and 2 of this Section F shall be maintained and
preserved for six years from the end of the fiscal year in which the
actions recorded were taken, for at least the first two years in an
easily accessible location.
(e)(2)The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by the
Registrant's Audit Committee but not pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) The percentage of hours expended on the principal accountant's
engagement to audit the Registrant's financial statements for the
fiscal year ended October 31, 2013 that were attributed to work
performed by persons other than the principal accountant's full
time, permanent employees was not greater than 50%.
(g) Aggregate Non-Audit Fees
Fiscal Year Ended October 31, 2013: $2,172,935
Fiscal Year Ended October 31, 2012: $1,882,944
(h) The Registrant's Audit Committee has considered whether the
provision of non-audit services that were rendered to the
Registrant's investment adviser, and any entity controlling,
controlled by, or under common control with the investment adviser
that provides ongoing services to the Registrant, that were not
pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X is compatible with maintaining the principal
accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant or the master fund in which the series of the Registrant invests
that provided a summary schedule of portfolio holdings in a report to
stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF RELATIONSHIP TO SERIES OF THE
INVESTMENTS IS PROVIDED REGISTRANT
------------------------------------ -------------------------------------
U.S. Large Company Portfolio Series of Registrant
The U.S. Large Cap Value Series Master fund for U.S. Large Cap Value
Portfolio II, U.S. Large Cap Value
Portfolio III and LWAS/DFA U.S. High
Book to Market Portfolio
The DFA International Value Series Master fund for DFA International
Value Portfolio, DFA International
Value Portfolio II, DFA International
Value Portfolio III and DFA
International Value Portfolio IV
The Emerging Markets Series Master fund for Emerging Markets
Portfolio II
The Tax-Managed U.S. Marketwide Value Master fund for Tax-Managed U.S.
Series Marketwide Value Portfolio II
U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
SHARES VALUE+
--------- -----------
COMMON STOCKS -- (95.8%)
Consumer Discretionary -- (12.0%)
# Abercrombie & Fitch Co. Class A 23,680 $ 887,526
* Amazon.com, Inc. 114,712 41,758,609
#* AutoNation, Inc. 19,934 961,417
* AutoZone, Inc. 11,010 4,785,937
* Bed Bath & Beyond, Inc. 67,501 5,219,177
Best Buy Co., Inc. 83,628 3,579,278
# BorgWarner, Inc. 35,484 3,659,465
Cablevision Systems Corp. Class A 66,308 1,031,089
* CarMax, Inc. 69,300 3,256,407
Carnival Corp. 135,693 4,701,762
CBS Corp. Class B 174,349 10,311,000
* Chipotle Mexican Grill, Inc. 9,568 5,042,049
Coach, Inc. 87,391 4,428,976
Comcast Corp. Class A 810,716 38,573,867
# Darden Restaurants, Inc. 40,387 2,081,142
Delphi Automotive P.L.C. 87,499 5,004,943
* DIRECTV 158,260 9,889,667
* Discovery Communications, Inc. Class A 71,563 6,363,382
* Dollar General Corp. 92,284 5,332,169
* Dollar Tree, Inc. 69,125 4,036,900
# DR Horton, Inc. 88,062 1,668,775
# Expedia, Inc. 33,301 1,960,763
Family Dollar Stores, Inc. 29,943 2,062,474
Ford Motor Co. 1,221,178 20,894,356
* Fossil Group, Inc. 15,578 1,977,471
# GameStop Corp. Class A 36,235 1,986,403
Gannett Co., Inc. 71,026 1,965,289
Gap, Inc. (The) 85,498 3,162,571
# Garmin, Ltd. 38,142 1,783,138
* General Motors Co. 291,748 10,780,089
# Genuine Parts Co. 48,002 3,783,998
Goodyear Tire & Rubber Co. (The) 76,246 1,599,641
H&R Block, Inc. 84,890 2,414,272
Harley-Davidson, Inc. 69,143 4,427,918
# Harman International Industries, Inc. 21,100 1,709,522
# Hasbro, Inc. 35,788 1,848,450
Home Depot, Inc. (The) 444,014 34,584,250
International Game Technology 80,840 1,519,792
Interpublic Group of Cos., Inc. (The) 130,854 2,198,347
#* JC Penney Co., Inc. 94,406 708,045
Johnson Controls, Inc. 212,069 9,786,984
# Kohl's Corp. 63,282 3,594,418
L Brands, Inc. 75,487 4,726,241
# Leggett & Platt, Inc. 44,019 1,309,125
# Lennar Corp. Class A 51,452 1,829,119
Lowe's Cos., Inc. 326,022 16,229,375
Macy's, Inc. 116,623 5,377,487
Marriott International, Inc. Class A 70,483 3,177,374
Mattel, Inc. 106,802 4,738,805
McDonald's Corp. 309,860 29,907,687
* Netflix, Inc. 18,264 5,889,775
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Discretionary -- (Continued)
# Newell Rubbermaid, Inc. 89,271 $ 2,645,100
* News Corp. Class A 154,353 2,716,613
NIKE, Inc. Class B 231,825 17,563,062
# Nordstrom, Inc. 44,702 2,703,130
* O'Reilly Automotive, Inc. 33,649 4,166,083
Omnicom Group, Inc. 79,722 5,429,865
# PetSmart, Inc. 32,208 2,343,454
* priceline.com, Inc. 15,964 16,823,342
PulteGroup, Inc. 108,339 1,912,183
PVH Corp. 25,285 3,149,752
Ralph Lauren Corp. 18,778 3,110,388
Ross Stores, Inc. 67,165 5,195,213
# Scripps Networks Interactive, Inc. Class A 33,913 2,729,996
# Staples, Inc. 204,733 3,300,296
Starbucks Corp. 232,911 18,877,437
Starwood Hotels & Resorts Worldwide, Inc. 60,426 4,448,562
Target Corp. 195,630 12,674,868
Tiffany & Co. 34,107 2,700,251
Time Warner Cable, Inc. 88,584 10,643,368
Time Warner, Inc. 285,174 19,602,861
TJX Cos., Inc. 221,701 13,477,204
#* TripAdvisor, Inc. 34,571 2,859,367
Twenty-First Century Fox, Inc. Class A 615,661 20,981,727
* Urban Outfitters, Inc. 33,804 1,280,496
VF Corp. 27,257 5,860,255
Viacom, Inc. Class B 134,529 11,204,920
Walt Disney Co. (The) 514,981 35,322,547
# Washington Post Co. (The) Class B 1,357 872,985
Whirlpool Corp. 24,571 3,587,612
Wyndham Worldwide Corp. 41,214 2,736,610
Wynn Resorts, Ltd. 25,071 4,168,054
Yum! Brands, Inc. 138,316 9,352,928
------------
Total Consumer Discretionary 604,947,245
------------
Consumer Staples -- (9.8%)
Altria Group, Inc. 621,306 23,131,222
Archer-Daniels-Midland Co. 204,327 8,356,974
Avon Products, Inc. 134,421 2,352,368
Beam, Inc. 50,189 3,377,720
Brown-Forman Corp. Class B 50,367 3,675,784
# Campbell Soup Co. 55,327 2,355,270
# Clorox Co. (The) 40,429 3,646,292
Coca-Cola Co. (The) 1,181,763 46,762,362
Coca-Cola Enterprises, Inc. 77,067 3,216,006
Colgate-Palmolive Co. 273,174 17,682,553
ConAgra Foods, Inc. 130,831 4,161,734
* Constellation Brands, Inc. Class A 51,407 3,356,877
Costco Wholesale Corp. 135,358 15,972,244
CVS Caremark Corp. 380,757 23,705,931
Dr Pepper Snapple Group, Inc. 63,100 2,987,785
Estee Lauder Cos., Inc. (The) Class A 79,256 5,624,006
General Mills, Inc. 198,932 10,030,151
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Staples -- (Continued)
# Hershey Co. (The) 46,352 $ 4,599,972
# Hormel Foods Corp. 41,723 1,813,282
JM Smucker Co. (The) 32,586 3,623,889
Kellogg Co. 79,765 5,045,136
Kimberly-Clark Corp. 118,731 12,822,948
Kraft Foods Group, Inc. 184,606 10,038,874
Kroger Co. (The) 160,640 6,881,818
Lorillard, Inc. 115,902 5,912,161
# McCormick & Co., Inc. 40,912 2,829,065
Mead Johnson Nutrition Co. 62,734 5,122,858
Molson Coors Brewing Co. Class B 48,902 2,640,708
Mondelez International, Inc. Class A 551,953 18,567,699
#* Monster Beverage Corp. 42,031 2,405,434
PepsiCo, Inc. 478,040 40,198,384
Philip Morris International, Inc. 501,701 44,711,593
Procter & Gamble Co. (The) 848,933 68,551,340
# Reynolds American, Inc. 98,132 5,041,041
Safeway, Inc. 74,796 2,610,380
# Sysco Corp. 182,370 5,897,846
Tyson Foods, Inc. Class A 86,248 2,386,482
Wal-Mart Stores, Inc. 504,546 38,723,905
Walgreen Co. 269,489 15,964,528
Whole Foods Market, Inc. 115,468 7,289,495
------------
Total Consumer Staples 494,074,117
------------
Energy -- (10.1%)
Anadarko Petroleum Corp. 155,824 14,848,469
Apache Corp. 125,173 11,115,362
Baker Hughes, Inc. 137,330 7,977,500
Cabot Oil & Gas Corp. 130,410 4,606,081
* Cameron International Corp. 76,289 4,185,215
Chesapeake Energy Corp. 157,043 4,390,922
Chevron Corp. 598,869 71,840,325
ConocoPhillips 379,095 27,787,664
CONSOL Energy, Inc. 70,936 2,589,164
* Denbury Resources, Inc. 115,591 2,195,073
Devon Energy Corp. 118,297 7,478,736
# Diamond Offshore Drilling, Inc. 21,548 1,334,468
Ensco P.L.C. Class A 72,403 4,174,033
EOG Resources, Inc. 84,442 15,064,453
EQT Corp. 46,680 3,996,275
Exxon Mobil Corp. 1,364,373 122,275,108
* FMC Technologies, Inc. 73,435 3,712,139
Halliburton Co. 262,104 13,899,375
# Helmerich & Payne, Inc. 33,008 2,559,770
Hess Corp. 89,413 7,260,336
Kinder Morgan, Inc. 208,703 7,369,303
Marathon Oil Corp. 219,977 7,756,389
Marathon Petroleum Corp. 97,043 6,954,101
Murphy Oil Corp. 54,459 3,284,967
Nabors Industries, Ltd. 80,482 1,406,825
National Oilwell Varco, Inc. 132,518 10,757,811
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Energy -- (Continued)
* Newfield Exploration Co. 42,056 $ 1,280,605
Noble Corp. 78,537 2,960,845
Noble Energy, Inc. 111,324 8,341,507
Occidental Petroleum Corp. 249,762 23,997,133
# Peabody Energy Corp. 83,643 1,629,366
Phillips 66 189,401 12,203,106
Pioneer Natural Resources Co. 42,945 8,794,277
QEP Resources, Inc. 55,574 1,837,277
Range Resources Corp. 50,648 3,834,560
* Rowan Cos. P.L.C. Class A 38,502 1,389,152
Schlumberger, Ltd. 410,147 38,438,977
* Southwestern Energy Co. 108,958 4,055,417
Spectra Energy Corp. 207,474 7,379,850
Tesoro Corp. 41,872 2,047,122
Transocean, Ltd. 105,013 4,942,962
Valero Energy Corp. 168,048 6,918,536
Williams Cos., Inc. (The) 211,770 7,562,307
#* WPX Energy, Inc. 62,176 1,376,577
------------
Total Energy 509,809,440
------------
Financials -- (13.5%)
ACE, Ltd. 105,427 10,061,953
Aflac, Inc. 144,164 9,367,777
Allstate Corp. (The) 143,655 7,622,334
American Express Co. 287,597 23,525,435
American International Group, Inc. 457,622 23,636,176
Ameriprise Financial, Inc. 61,328 6,165,917
Aon P.L.C. 95,304 7,537,593
Assurant, Inc. 23,238 1,358,958
Bank of America Corp. 3,330,044 46,487,414
Bank of New York Mellon Corp. (The) 356,613 11,340,293
BB&T Corp. 218,178 7,411,507
* Berkshire Hathaway, Inc. Class B 557,922 64,205,664
BlackRock, Inc. 39,039 11,743,322
Capital One Financial Corp. 181,438 12,459,347
* CBRE Group, Inc. Class A 85,945 1,996,502
Charles Schwab Corp. (The) 358,455 8,119,006
Chubb Corp. (The) 79,202 7,292,920
Cincinnati Financial Corp. 45,659 2,282,950
Citigroup, Inc. 942,626 45,981,296
CME Group, Inc. 97,405 7,228,425
Comerica, Inc. 57,333 2,482,519
Discover Financial Services 149,960 7,779,925
#* E*TRADE Financial Corp. 88,981 1,504,669
Fifth Third Bancorp 274,939 5,232,089
Franklin Resources, Inc. 126,012 6,787,006
* Genworth Financial, Inc. Class A 153,041 2,223,686
Goldman Sachs Group, Inc. (The) 129,464 20,825,579
Hartford Financial Services Group, Inc. 141,046 4,753,250
# Hudson City Bancorp, Inc. 147,351 1,323,212
Huntington Bancshares, Inc. 257,174 2,263,131
#* IntercontinentalExchange, Inc. 22,579 4,351,651
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Financials -- (Continued)
Invesco, Ltd. 137,259 $ 4,632,491
JPMorgan Chase & Co. 1,166,787 60,136,202
KeyCorp 282,492 3,539,625
# Legg Mason, Inc. 33,653 1,294,631
Leucadia National Corp. 97,147 2,753,146
Lincoln National Corp. 81,985 3,722,939
Loews Corp. 94,845 4,581,962
# M&T Bank Corp. 40,308 4,535,859
Marsh & McLennan Cos., Inc. 170,363 7,802,625
McGraw-Hill Cos., Inc. (The) 85,304 5,943,983
MetLife, Inc. 347,112 16,421,869
Moody's Corp. 60,119 4,248,009
Morgan Stanley 431,032 12,383,549
NASDAQ OMX Group, Inc. (The) 35,789 1,268,004
Northern Trust Corp. 69,969 3,947,651
NYSE Euronext 75,322 3,315,674
# People's United Financial, Inc. 99,534 1,436,276
PNC Financial Services Group, Inc. (The) 164,753 12,114,288
Principal Financial Group, Inc. 84,853 4,027,123
Progressive Corp. (The) 171,445 4,452,427
Prudential Financial, Inc. 144,136 11,731,229
Regions Financial Corp. 432,669 4,166,603
SLM Corp. 135,205 3,430,151
State Street Corp. 138,238 9,686,337
SunTrust Banks, Inc. 167,060 5,619,898
T Rowe Price Group, Inc. 80,634 6,241,878
Torchmark Corp. 28,388 2,068,350
Travelers Cos., Inc. (The) 115,764 9,990,433
U.S. Bancorp 570,117 21,299,571
Unum Group 81,707 2,593,380
Wells Fargo & Co. 1,497,743 63,938,649
XL Group P.L.C. 88,710 2,711,865
Zions BanCorp. 57,196 1,622,651
------------
Total Financials 683,010,834
------------
Health Care -- (12.5%)
Abbott Laboratories 481,732 17,607,305
AbbVie, Inc. 491,435 23,810,026
* Actavis P.L.C. 53,731 8,305,738
Aetna, Inc. 115,340 7,231,818
Agilent Technologies, Inc. 102,536 5,204,727
* Alexion Pharmaceuticals, Inc. 60,617 7,452,860
Allergan, Inc. 92,003 8,336,392
AmerisourceBergen Corp. 71,603 4,677,824
Amgen, Inc. 233,518 27,088,088
Baxter International, Inc. 168,248 11,082,496
Becton Dickinson and Co. 60,200 6,328,826
* Biogen Idec, Inc. 73,671 17,989,721
* Boston Scientific Corp. 416,250 4,865,962
Bristol-Myers Squibb Co. 510,311 26,801,534
Cardinal Health, Inc. 105,223 6,172,381
* CareFusion Corp. 66,450 2,576,266
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Health Care -- (Continued)
* Celgene Corp. 127,483 $ 18,929,951
* Cerner Corp. 91,464 5,124,728
Cigna Corp. 87,672 6,748,991
Covidien P.L.C. 142,585 9,141,124
CR Bard, Inc. 24,535 3,342,158
* DaVita HealthCare Partners, Inc. 54,697 3,074,518
DENTSPLY International, Inc. 44,105 2,077,345
* Edwards Lifesciences Corp. 34,801 2,268,677
Eli Lilly & Co. 307,317 15,310,533
* Express Scripts Holding Co. 252,377 15,778,610
* Forest Laboratories, Inc. 73,223 3,443,678
#* Gilead Sciences, Inc. 474,448 33,681,064
* Hospira, Inc. 51,346 2,080,540
Humana, Inc. 48,499 4,469,183
* Intuitive Surgical, Inc. 12,309 4,572,793
Johnson & Johnson 873,518 80,896,502
#* Laboratory Corp. of America Holdings 27,928 2,817,935
* Life Technologies Corp. 53,520 4,030,591
McKesson Corp. 70,867 11,079,347
Medtronic, Inc. 309,185 17,747,219
Merck & Co., Inc. 907,088 40,900,598
#* Mylan, Inc. 118,350 4,481,914
Patterson Cos., Inc. 25,782 1,095,993
PerkinElmer, Inc. 34,723 1,320,863
# Perrigo Co. 29,172 4,022,527
Pfizer, Inc. 2,052,092 62,958,183
# Quest Diagnostics, Inc. 47,080 2,820,563
* Regeneron Pharmaceuticals, Inc. 24,181 6,954,456
St Jude Medical, Inc. 89,021 5,108,915
Stryker Corp. 91,423 6,752,503
* Tenet Healthcare Corp. 31,495 1,486,249
Thermo Fisher Scientific, Inc. 111,749 10,926,817
UnitedHealth Group, Inc. 315,146 21,511,866
#* Varian Medical Systems, Inc. 33,369 2,421,922
* Vertex Pharmaceuticals, Inc. 72,164 5,148,180
* Waters Corp. 26,415 2,665,802
WellPoint, Inc. 92,669 7,858,331
Zimmer Holdings, Inc. 52,555 4,596,986
Zoetis, Inc. 154,984 4,906,793
------------
Total Health Care 630,086,912
------------
Industrials -- (10.3%)
3M Co. 201,262 25,328,823
# ADT Corp. (The) 61,992 2,688,593
AMETEK, Inc. 75,702 3,620,827
Boeing Co. (The) 215,146 28,076,553
# Caterpillar, Inc. 197,207 16,439,175
# CH Robinson Worldwide, Inc. 49,408 2,951,634
# Cintas Corp. 31,849 1,712,521
CSX Corp. 315,809 8,229,983
Cummins, Inc. 53,973 6,855,650
Danaher Corp. 185,421 13,367,000
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- -----------
Industrials -- (Continued)
Deere & Co. 118,671 $ 9,712,035
Delta Air Lines, Inc. 265,939 7,015,471
Dover Corp. 52,903 4,855,966
# Dun & Bradstreet Corp. (The) 12,026 1,308,309
Eaton Corp. P.L.C. 146,895 10,364,911
Emerson Electric Co. 221,483 14,832,716
Equifax, Inc. 37,594 2,431,204
Expeditors International of Washington, Inc. 63,978 2,897,564
# Fastenal Co. 84,658 4,215,968
FedEx Corp. 92,107 12,066,017
Flowserve Corp. 43,585 3,027,850
Fluor Corp. 50,535 3,750,708
General Dynamics Corp. 103,026 8,925,142
General Electric Co. 3,156,664 82,515,197
Honeywell International, Inc. 243,278 21,099,501
# Illinois Tool Works, Inc. 127,723 10,063,295
Ingersoll-Rand P.L.C. 83,895 5,665,429
# Iron Mountain, Inc. 52,722 1,399,242
* Jacobs Engineering Group, Inc. 40,750 2,478,415
# Joy Global, Inc. 32,943 1,869,515
Kansas City Southern 34,165 4,151,731
L-3 Communications Holdings, Inc. 27,769 2,789,396
Lockheed Martin Corp. 83,564 11,142,424
Masco Corp. 110,641 2,337,844
Nielsen Holdings NV 66,630 2,627,887
Norfolk Southern Corp. 96,696 8,317,790
Northrop Grumman Corp. 71,344 7,670,193
PACCAR, Inc. 109,721 6,100,488
Pall Corp. 34,665 2,791,226
Parker Hannifin Corp. 46,241 5,397,249
Pentair, Ltd. 61,730 4,141,466
# Pitney Bowes, Inc. 62,556 1,334,945
Precision Castparts Corp. 45,111 11,433,383
* Quanta Services, Inc. 66,253 2,001,503
Raytheon Co. 99,962 8,233,870
Republic Services, Inc. 84,162 2,816,902
Robert Half International, Inc. 43,038 1,658,254
Rockwell Automation, Inc. 42,983 4,745,753
# Rockwell Collins, Inc. 41,849 2,922,316
Roper Industries, Inc. 30,744 3,898,647
Ryder System, Inc. 16,220 1,067,763
Snap-on, Inc. 18,031 1,876,486
Southwest Airlines Co. 218,905 3,769,544
Stanley Black & Decker, Inc. 49,619 3,924,367
* Stericycle, Inc. 26,624 3,093,709
Textron, Inc. 86,948 2,503,233
Tyco International, Ltd. 143,297 5,237,505
Union Pacific Corp. 143,778 21,767,989
United Parcel Service, Inc. Class B 223,945 22,000,357
United Technologies Corp. 261,648 27,800,100
Waste Management, Inc. 135,135 5,883,778
WW Grainger, Inc. 19,172 5,156,693
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Industrials -- (Continued)
Xylem, Inc. 57,433 $ 1,981,438
------------
Total Industrials 522,341,443
------------
Information Technology -- (17.0%)
Accenture P.L.C. Class A 199,884 14,691,474
* Adobe Systems, Inc. 144,788 7,847,510
#* Akamai Technologies, Inc. 55,224 2,470,722
Altera Corp. 99,027 3,327,307
Amphenol Corp. Class A 49,334 3,961,027
Analog Devices, Inc. 96,305 4,747,836
++ Apple, Inc. 281,607 147,097,416
Applied Materials, Inc. 372,840 6,655,194
* Autodesk, Inc. 69,123 2,758,699
Automatic Data Processing, Inc. 149,661 11,220,085
Broadcom Corp. Class A 170,499 4,555,733
CA, Inc. 101,686 3,229,547
Cisco Systems, Inc. 1,661,918 37,393,155
* Citrix Systems, Inc. 58,083 3,297,953
* Cognizant Technology Solutions Corp. Class A 93,415 8,120,566
Computer Sciences Corp. 45,779 2,255,074
Corning, Inc. 452,681 7,736,318
* eBay, Inc. 361,139 19,035,637
* Electronic Arts, Inc. 95,042 2,494,852
EMC Corp. 645,002 15,525,198
* F5 Networks, Inc. 24,272 1,978,411
Fidelity National Information Services, Inc. 90,544 4,414,020
#* First Solar, Inc. 21,490 1,080,302
* Fiserv, Inc. 40,324 4,223,132
FLIR Systems, Inc. 44,039 1,254,231
* Google, Inc. Class A 86,710 89,361,592
Harris Corp. 33,147 2,053,788
Hewlett-Packard Co. 595,707 14,517,380
Intel Corp. 1,544,269 37,726,492
International Business Machines Corp. 319,176 57,199,531
Intuit, Inc. 92,038 6,572,434
Jabil Circuit, Inc. 57,164 1,192,441
#* JDS Uniphase Corp. 73,628 963,791
* Juniper Networks, Inc. 157,105 2,928,437
KLA-Tencor Corp. 51,372 3,370,003
* Lam Research Corp. 50,572 2,742,520
Linear Technology Corp. 72,284 2,973,764
LSI Corp. 169,577 1,438,013
Mastercard, Inc. Class A 32,155 23,058,350
# Microchip Technology, Inc. 61,159 2,627,391
* Micron Technology, Inc. 321,896 5,691,121
Microsoft Corp. 2,349,651 83,060,163
Molex, Inc. 42,526 1,641,504
Motorola Solutions, Inc. 73,342 4,585,342
NetApp, Inc. 105,418 4,091,273
NVIDIA Corp. 179,348 2,722,503
Oracle Corp. 1,105,266 37,026,411
# Paychex, Inc. 100,840 4,261,498
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
------- ------------
Information Technology -- (Continued)
QUALCOMM, Inc. 531,730 $ 36,939,283
* Red Hat, Inc. 58,679 2,539,040
* Salesforce.com, Inc. 169,963 9,069,226
SanDisk Corp. 74,514 5,178,723
# Seagate Technology P.L.C. 100,466 4,890,685
Symantec Corp. 216,552 4,924,392
TE Connectivity, Ltd. 128,184 6,600,194
* Teradata Corp. 50,556 2,228,003
#* Teradyne, Inc. 59,346 1,037,962
Texas Instruments, Inc. 341,330 14,363,166
Total System Services, Inc. 51,668 1,541,256
#* VeriSign, Inc. 41,835 2,270,804
Visa, Inc. Class A 160,005 31,468,183
Western Digital Corp. 65,381 4,552,479
Western Union Co. (The) 171,083 2,911,833
Xerox Corp. 359,125 3,569,702
# Xilinx, Inc. 82,544 3,749,148
* Yahoo!, Inc. 294,129 9,685,668
------------
Total Information Technology 860,696,888
------------
Materials -- (3.3%)
Air Products & Chemicals, Inc. 64,984 7,083,906
Airgas, Inc. 20,505 2,236,480
# Alcoa, Inc. 331,528 3,073,265
# Allegheny Technologies, Inc. 33,462 1,107,592
Avery Dennison Corp. 30,402 1,432,542
Ball Corp. 44,976 2,198,877
# Bemis Co., Inc. 31,903 1,272,930
CF Industries Holdings, Inc. 17,756 3,828,194
# Cliffs Natural Resources, Inc. 47,464 1,218,875
Dow Chemical Co. (The) 375,130 14,806,381
Eastman Chemical Co. 47,809 3,766,871
Ecolab, Inc. 84,074 8,911,844
EI du Pont de Nemours & Co. 286,237 17,517,704
FMC Corp. 42,268 3,075,420
Freeport-McMoRan Copper & Gold, Inc. 321,711 11,826,096
International Flavors & Fragrances, Inc. 25,336 2,094,020
International Paper Co. 138,234 6,166,619
LyondellBasell Industries NV Class A 138,878 10,360,299
MeadWestvaco Corp. 55,033 1,917,900
Monsanto Co. 165,248 17,331,210
Mosaic Co. (The) 105,593 4,841,439
Newmont Mining Corp. 154,261 4,205,155
Nucor Corp. 98,628 5,105,972
* Owens-Illinois, Inc. 50,946 1,619,573
PPG Industries, Inc. 44,297 8,087,746
# Praxair, Inc. 91,393 11,397,621
Sealed Air Corp. 60,721 1,832,560
Sherwin-Williams Co. (The) 27,054 5,086,152
# Sigma-Aldrich Corp. 37,270 3,221,246
# United States Steel Corp. 44,839 1,116,043
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Materials -- (Continued)
Vulcan Materials Co. 40,285 $ 2,157,262
------------
Total Materials 169,897,794
------------
Real Estate Investment Trusts -- (1.9%)
American Tower Corp. 122,437 9,715,376
Apartment Investment & Management Co. Class A 45,226 1,265,423
AvalonBay Communities, Inc. 37,704 4,714,885
Boston Properties, Inc. 47,236 4,888,926
Equity Residential 103,874 5,438,843
HCP, Inc. 141,067 5,854,281
Health Care REIT, Inc. 88,881 5,763,933
Host Hotels & Resorts, Inc. 232,487 4,312,634
Kimco Realty Corp. 126,976 2,727,445
Macerich Co. (The) 43,563 2,579,365
Plum Creek Timber Co., Inc. 50,522 2,293,699
Prologis, Inc. 154,553 6,174,392
Public Storage 44,786 7,477,918
Simon Property Group, Inc. 96,194 14,866,783
Ventas, Inc. 90,892 5,929,794
Vornado Realty Trust 53,904 4,800,690
Weyerhaeuser Co. 181,026 5,503,190
------------
Total Real Estate Investment Trusts 94,307,577
------------
Telecommunication Services -- (2.4%)
AT&T, Inc. 1,646,249 59,594,214
# CenturyLink, Inc. 186,191 6,304,427
* Crown Castle International Corp. 90,871 6,908,013
# Frontier Communications Corp. 309,884 1,366,589
Verizon Communications, Inc. 887,024 44,803,582
# Windstream Holdings, Inc. 183,754 1,571,097
------------
Total Telecommunication Services 120,547,922
------------
Utilities -- (3.0%)
AES Corp. 190,789 2,688,217
AGL Resources, Inc. 36,760 1,759,334
Ameren Corp. 75,208 2,721,025
American Electric Power Co., Inc. 150,885 7,067,453
CenterPoint Energy, Inc. 132,860 3,268,356
CMS Energy Corp. 82,411 2,263,006
Consolidated Edison, Inc. 90,782 5,285,328
Dominion Resources, Inc. 179,479 11,441,786
DTE Energy Co. 54,232 3,749,600
Duke Energy Corp. 218,810 15,695,241
Edison International 100,991 4,951,589
Entergy Corp. 55,262 3,576,557
Exelon Corp. 265,509 7,577,627
FirstEnergy Corp. 129,634 4,909,240
Integrys Energy Group, Inc. 24,670 1,447,636
NextEra Energy, Inc. 131,632 11,155,812
NiSource, Inc. 96,891 3,054,004
Northeast Utilities 97,564 4,184,520
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
---------- --------------
Utilities -- (Continued)
NRG Energy, Inc. 100,098 $ 2,855,796
ONEOK, Inc. 63,916 3,611,254
# Pepco Holdings, Inc. 77,217 1,488,744
PG&E Corp. 138,033 5,776,681
Pinnacle West Capital Corp. 34,096 1,910,399
PPL Corp. 195,808 5,997,599
Public Service Enterprise Group, Inc. 156,800 5,252,800
SCANA Corp. 43,391 2,023,322
Sempra Energy 70,410 6,417,167
Southern Co. (The) 270,883 11,081,824
# TECO Energy, Inc. 63,318 1,087,170
# Wisconsin Energy Corp. 70,570 2,971,703
Xcel Energy, Inc. 154,232 4,451,136
--------------
Total Utilities 151,721,926
--------------
TOTAL COMMON STOCKS 4,841,442,098
--------------
TEMPORARY CASH INVESTMENTS -- (1.4%)
++ State Street Institutional Liquid Reserves,
0.073% 68,839,949 68,839,949
--------------
SHARES/
FACE
AMOUNT
(000)
----------
SECURITIES LENDING COLLATERAL -- (2.8%)
(S)@ DFA Short Term Investment Fund 12,245,750 141,683,331
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $2,728,012,931) $5,051,965,378
==============
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
SHARES VALUE+
---------- --------------
COMMON STOCKS -- (95.9%)
Consumer Discretionary -- (12.1%)
# Autoliv, Inc. 27,263 $ 2,432,677
Best Buy Co., Inc. 18,980 812,344
Carnival Corp. 2,385,423 82,654,907
CBS Corp. Class A 7,236 427,720
Comcast Corp. Class A 10,008,890 476,222,986
Comcast Corp. Special Class A 3,819,364 176,836,553
Dillard's, Inc. Class A 112,692 9,238,490
# DR Horton, Inc. 379,593 7,193,287
# GameStop Corp. Class A 598,147 32,790,419
* General Motors Co. 3,555,515 131,376,279
#* Hyatt Hotels Corp. Class A 26,622 1,267,207
# Kohl's Corp. 365,799 20,777,383
Lear Corp. 57,952 4,484,905
# Lennar Corp. Class A 203,031 7,217,752
# Lennar Corp. Class B 4,312 127,075
* Liberty Interactive Corp. Class A 2,586,058 69,720,124
* Liberty Media Corp. Class A 70,372 10,760,583
* Liberty Ventures Series A 122,067 13,106,334
#* MGM Resorts International 2,389,018 45,486,903
* Mohawk Industries, Inc. 365,371 48,382,428
* Murphy USA, Inc. 60,913 2,471,850
* News Corp. Class A 155,956 2,744,826
* News Corp. Class B 31,823 570,586
#* Penn National Gaming, Inc. 286,620 16,770,136
PVH Corp. 26,577 3,310,697
Royal Caribbean Cruises, Ltd. 1,043,290 43,859,912
#* Sears Holdings Corp. 530,407 30,806,039
Service Corp. International/US 219,283 3,949,287
# Staples, Inc. 1,418,648 22,868,606
Time Warner Cable, Inc. 1,876,119 225,415,698
Time Warner, Inc. 4,974,348 341,936,681
* Toll Brothers, Inc. 329,804 10,843,955
# Washington Post Co. (The) Class B 32,261 20,754,146
--------------
Total Consumer Discretionary 1,867,618,775
--------------
Consumer Staples -- (7.2%)
Archer-Daniels-Midland Co. 3,189,248 130,440,243
Beam, Inc. 61,513 4,139,825
# Bunge, Ltd. 553,069 45,423,557
* Constellation Brands, Inc. Class A 470,339 30,713,137
CVS Caremark Corp. 7,147,441 444,999,677
JM Smucker Co. (The) 539,640 60,013,364
Molson Coors Brewing Co. Class B 763,563 41,232,402
Mondelez International, Inc. Class A 9,025,752 303,626,297
# Safeway, Inc. 196,076 6,843,052
# Tyson Foods, Inc. Class A 1,426,374 39,467,769
--------------
Total Consumer Staples 1,106,899,323
--------------
Energy -- (19.9%)
Anadarko Petroleum Corp. 2,511,077 239,280,527
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Energy -- (Continued)
Apache Corp. 1,526,796 $ 135,579,485
#* Atwood Oceanics, Inc. 4,143 220,118
Baker Hughes, Inc. 1,673,042 97,187,010
# Chesapeake Energy Corp. 3,251,150 90,902,154
Chevron Corp. 4,348,879 521,691,525
Cimarex Energy Co. 44,015 4,636,980
ConocoPhillips 6,993,622 512,632,493
#* Denbury Resources, Inc. 1,418,579 26,938,815
Devon Energy Corp. 1,479,247 93,517,995
# Helmerich & Payne, Inc. 515,834 40,002,927
Hess Corp. 1,606,476 130,445,851
HollyFrontier Corp. 271,670 12,513,120
Marathon Oil Corp. 3,640,872 128,377,147
Marathon Petroleum Corp. 1,791,952 128,411,280
Murphy Oil Corp. 728,510 43,943,723
Nabors Industries, Ltd. 1,355,841 23,700,101
National Oilwell Varco, Inc. 1,816,355 147,451,699
* Newfield Exploration Co. 17,702 539,026
Noble Corp. 660,905 24,916,118
Occidental Petroleum Corp. 1,521,584 146,193,791
# Patterson-UTI Energy, Inc. 732,485 17,770,086
# Peabody Energy Corp. 99,715 1,942,448
Phillips 66 2,926,797 188,573,531
Pioneer Natural Resources Co. 103,767 21,249,406
QEP Resources, Inc. 436,302 14,424,144
* Rowan Cos. P.L.C. Class A 595,894 21,499,856
* Superior Energy Services, Inc. 56,288 1,510,207
Tesoro Corp. 605,336 29,594,877
Tidewater, Inc. 227,025 13,671,446
# Transocean, Ltd. 1,280,391 60,268,004
Valero Energy Corp. 2,806,975 115,563,161
#* Weatherford International, Ltd. 1,408,739 23,159,669
* Whiting Petroleum Corp. 151,243 10,116,644
* WPX Energy, Inc. 32,758 725,262
--------------
Total Energy 3,069,150,626
--------------
Financials -- (23.9%)
* Alleghany Corp. 666 270,010
Allied World Assurance Co. Holdings AG 188,355 20,396,963
* American Capital, Ltd. 802,500 11,243,025
American Financial Group, Inc. 491,543 27,654,209
American International Group, Inc. 8,251,823 426,206,658
American National Insurance Co. 70,315 7,106,737
Assurant, Inc. 396,269 23,173,811
Assured Guaranty, Ltd. 29,746 609,793
Axis Capital Holdings, Ltd. 613,817 29,107,202
Bank of America Corp. 39,239,978 547,790,093
Bank of New York Mellon Corp. (The) 3,633,937 115,559,197
Capital One Financial Corp. 1,875,702 128,804,456
Citigroup, Inc. 10,998,186 536,491,513
CME Group, Inc. 1,618,207 120,087,142
CNA Financial Corp. 533,469 21,653,507
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
--------- --------------
Financials -- (Continued)
* E*TRADE Financial Corp. 76,389 $ 1,291,738
Everest Re Group, Ltd. 167,110 25,691,492
First Niagara Financial Group, Inc. 53,740 592,752
* Genworth Financial, Inc. Class A 2,390,330 34,731,495
Goldman Sachs Group, Inc. (The) 207,016 33,300,594
Hartford Financial Services Group, Inc. 2,129,813 71,774,698
Hudson City Bancorp, Inc. 71,664 643,543
JPMorgan Chase & Co. 5,379,341 277,251,235
KeyCorp 1,914,825 23,992,757
# Legg Mason, Inc. 659,937 25,387,776
Leucadia National Corp. 99,168 2,810,421
Lincoln National Corp. 1,442,787 65,516,958
Loews Corp. 2,050,343 99,052,070
MetLife, Inc. 5,110,004 241,754,289
Morgan Stanley 7,883,626 226,496,575
# NASDAQ OMX Group, Inc. (The) 815,514 28,893,661
Old Republic International Corp. 1,047,684 17,590,614
PartnerRe, Ltd. 193,939 19,434,627
# People's United Financial, Inc. 138,880 2,004,038
# Principal Financial Group, Inc. 94,439 4,482,075
Prudential Financial, Inc. 2,327,738 189,454,596
Regions Financial Corp. 5,807,266 55,923,972
Reinsurance Group of America, Inc. 363,743 25,891,227
SunTrust Banks, Inc. 2,631,702 88,530,455
Unum Group 1,374,339 43,621,520
Validus Holdings, Ltd. 162,943 6,432,990
XL Group P.L.C. 1,435,288 43,876,754
# Zions BanCorp. 777,171 22,048,341
--------------
Total Financials 3,694,627,579
--------------
Health Care -- (7.7%)
Aetna, Inc. 2,027,401 127,118,043
* Bio-Rad Laboratories, Inc. Class A 1,222 150,941
* Boston Scientific Corp. 6,689,559 78,200,945
* CareFusion Corp. 917,825 35,584,075
Cigna Corp. 335,579 25,832,871
Community Health Systems, Inc. 12,853 560,776
* Express Scripts Holding Co. 2,283,090 142,738,787
* Forest Laboratories, Inc. 437,448 20,573,180
#* Hologic, Inc. 1,229,548 27,529,580
Humana, Inc. 699,478 64,456,898
Omnicare, Inc. 574,710 31,695,257
PerkinElmer, Inc. 125,473 4,772,993
Pfizer, Inc. 7,744,869 237,612,581
# Teleflex, Inc. 91,713 8,454,104
Thermo Fisher Scientific, Inc. 1,932,026 188,913,502
UnitedHealth Group, Inc. 475,396 32,450,531
WellPoint, Inc. 1,824,634 154,728,963
--------------
Total Health Care 1,181,374,027
--------------
Industrials -- (11.7%)
# ADT Corp. (The) 686,732 29,783,567
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Industrials -- (Continued)
* AECOM Technology Corp. 9,284 $ 295,046
AGCO Corp. 253,578 14,803,884
#* CNH Industrial NV 25,391 297,836
CSX Corp. 5,687,103 148,205,904
Eaton Corp. P.L.C. 1,993,999 140,696,569
#* Engility Holdings, Inc. 52,752 1,633,729
FedEx Corp. 759,707 99,521,617
Fortune Brands Home & Security, Inc. 264,578 11,398,020
General Electric Co. 17,056,602 445,859,576
* Genesee & Wyoming, Inc. Class A 300 29,952
* Hertz Global Holdings, Inc. 1,017,021 23,350,802
* Jacobs Engineering Group, Inc. 103,271 6,280,942
# KBR, Inc. 49,346 1,704,411
# Kennametal, Inc. 20,362 936,652
L-3 Communications Holdings, Inc. 407,736 40,957,081
Manpowergroup, Inc. 17,135 1,338,243
Norfolk Southern Corp. 1,681,939 144,680,393
Northrop Grumman Corp. 1,364,645 146,712,984
* Owens Corning 579,048 20,805,195
Pentair, Ltd. 496,227 33,291,869
* Quanta Services, Inc. 554,686 16,757,064
Regal-Beloit Corp. 6,550 480,312
Republic Services, Inc. 1,137,001 38,055,423
Southwest Airlines Co. 3,905,821 67,258,238
SPX Corp. 22,870 2,074,538
Stanley Black & Decker, Inc. 574,963 45,473,824
Trinity Industries, Inc. 16,136 816,966
Triumph Group, Inc. 82,311 5,897,583
Union Pacific Corp. 1,891,022 286,300,731
#* United Rentals, Inc. 73,167 4,725,857
URS Corp. 378,541 20,524,493
#* WESCO International, Inc. 7,079 604,971
--------------
Total Industrials 1,801,554,272
--------------
Information Technology -- (5.6%)
Activision Blizzard, Inc. 2,620,144 43,599,196
* Arrow Electronics, Inc. 568,882 27,317,714
Avnet, Inc. 711,662 28,252,981
Computer Sciences Corp. 382,606 18,847,172
Corning, Inc. 5,599,861 95,701,624
Fidelity National Information Services, Inc. 1,328,465 64,762,669
#* First Solar, Inc. 23,146 1,163,549
Hewlett-Packard Co. 9,295,748 226,537,379
* Ingram Micro, Inc. Class A 741,670 17,184,494
Jabil Circuit, Inc. 21,310 444,527
* Juniper Networks, Inc. 731,008 13,625,989
* Lam Research Corp. 152,965 8,295,292
# Leidos Holdings, Inc. 43,539 2,050,228
Marvell Technology Group, Ltd. 161,815 1,941,780
#* Micron Technology, Inc. 3,654,213 64,606,486
Molex, Inc. 12,162 469,453
Molex, Inc. Class A 1,663 64,025
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
----------- ---------------
Information Technology -- (Continued)
# NVIDIA Corp. 427,944 $ 6,496,190
SanDisk Corp. 4,626 321,507
# Science Applications International Corp. 20,933 737,888
Western Digital Corp. 902,209 62,820,813
Xerox Corp. 5,553,084 55,197,655
* Yahoo!, Inc. 3,936,872 129,641,195
---------------
Total Information Technology 870,079,806
---------------
Materials -- (3.1%)
# Alcoa, Inc. 5,212,834 48,322,971
Ashland, Inc. 376,837 34,876,264
Freeport-McMoRan Copper & Gold, Inc. 3,340,516 122,797,368
International Paper Co. 2,043,676 91,168,386
MeadWestvaco Corp. 848,260 29,561,861
Mosaic Co. (The) 407,332 18,676,172
Newmont Mining Corp. 381,443 10,398,136
# Nucor Corp. 710,746 36,795,321
Reliance Steel & Aluminum Co. 363,907 26,670,744
Rock Tenn Co. Class A 104,397 11,171,523
Sealed Air Corp. 244,806 7,388,245
Steel Dynamics, Inc. 893,527 16,056,680
# Vulcan Materials Co. 576,439 30,868,309
Westlake Chemical Corp. 1,021 109,676
---------------
Total Materials 484,861,656
---------------
Telecommunication Services -- (4.4%)
AT&T, Inc. 14,518,387 525,565,609
# CenturyLink, Inc. 2,353,137 79,677,219
# Frontier Communications Corp. 1,836,528 8,099,088
#* Sprint Corp. 3,652,160 24,579,037
T-Mobile US, Inc. 726,568 20,147,731
Telephone & Data Systems, Inc. 216,662 6,755,521
# United States Cellular Corp. 261,250 12,644,500
# Windstream Holdings, Inc. 90,929 777,443
---------------
Total Telecommunication Services 678,246,148
---------------
Utilities -- (0.3%)
NRG Energy, Inc. 1,633,752 46,610,945
UGI Corp. 22,730 940,340
---------------
Total Utilities 47,551,285
---------------
TOTAL COMMON STOCKS 14,801,963,497
---------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
State Street Institutional Liquid Reserves, 0.073% 110,063,812 110,063,812
---------------
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES/
FACE
AMOUNT
(000) VALUE+
---------- ---------------
SECURITIES LENDING COLLATERAL -- (3.4%)
(S)@ DFA Short Term Investment Fund 45,096,723 $ 521,769,090
---------------
TOTAL INVESTMENTS -- (100.0%) (Cost $10,087,346,593) $15,433,796,399
===============
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
SHARES VALUE++
--------- ------------
COMMON STOCKS -- (92.1%)
AUSTRALIA -- (4.6%)
* Alumina, Ltd. 4,595,906 $ 4,468,458
#* Alumina, Ltd. Sponsored ADR 172,484 669,238
Asciano, Ltd. 2,517,032 13,823,151
# Bank of Queensland, Ltd. 683,233 7,793,936
Bendigo and Adelaide Bank, Ltd. 975,485 10,042,414
* BlueScope Steel, Ltd. 855,334 4,034,507
# Boral, Ltd. 1,866,266 8,708,191
Caltex Australia, Ltd. 18,966 331,395
Downer EDI, Ltd. 337,397 1,567,544
Echo Entertainment Group, Ltd. 1,832,302 4,598,756
GrainCorp, Ltd. Class A 367,914 4,289,587
# Harvey Norman Holdings, Ltd. 1,068,950 3,289,338
Incitec Pivot, Ltd. 4,346,760 10,936,119
# Leighton Holdings, Ltd. 88,621 1,501,311
Lend Lease Group 869,454 9,376,079
Macquarie Group, Ltd. 735,198 35,362,719
# Metcash, Ltd. 287,685 910,413
National Australia Bank, Ltd. 178,885 5,978,487
# New Hope Corp., Ltd. 69,375 247,575
# Newcrest Mining, Ltd. 1,061,347 10,291,542
Origin Energy, Ltd. 2,782,880 38,471,819
# OZ Minerals, Ltd. 498,564 1,699,375
# Primary Health Care, Ltd. 601,739 2,807,367
#* Qantas Airways, Ltd. 3,249,999 3,820,906
QBE Insurance Group, Ltd. 352,524 4,936,845
Rio Tinto, Ltd. 120,548 7,253,637
Santos, Ltd. 2,748,054 39,330,197
# Seven Group Holdings, Ltd. 361,999 2,851,358
Seven West Media, Ltd. 46,084 109,800
#* Sims Metal Management, Ltd. 209,772 1,987,012
# Sims Metal Management, Ltd. Sponsored ADR 124,013 1,171,923
Suncorp Group, Ltd. 3,736,013 47,108,867
Tabcorp Holdings, Ltd. 1,777,555 6,045,951
Tatts Group, Ltd. 3,649,013 10,834,947
# Toll Holdings, Ltd. 1,715,759 9,347,131
Treasury Wine Estates, Ltd. 1,372,955 6,097,343
Washington H Soul Pattinson & Co., Ltd. 87,756 1,249,844
Wesfarmers, Ltd. 2,755,622 111,820,231
Woodside Petroleum, Ltd. 90,785 3,328,170
------------
TOTAL AUSTRALIA 438,493,483
------------
AUSTRIA -- (0.2%)
Erste Group Bank AG 372,952 13,094,264
OMV AG 28,060 1,338,536
# Raiffeisen Bank International AG 57,158 2,096,553
------------
TOTAL AUSTRIA 16,529,353
------------
BELGIUM -- (1.2%)
Ageas 508,017 21,587,807
Belgacom SA 93,033 2,545,527
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
BELGIUM -- (Continued)
D'ieteren SA 1,857 $ 87,509
# Delhaize Group SA 235,124 15,016,064
# Delhaize Group SA Sponsored ADR 52,900 3,382,426
KBC Groep NV 421,447 22,961,052
# Solvay SA 180,191 28,175,202
# UCB SA 292,847 19,223,013
------------
TOTAL BELGIUM 112,978,600
------------
CANADA -- (8.8%)
Barrick Gold Corp. 1,551,822 30,089,829
# Bell Aliant, Inc. 62,911 1,593,516
#* BlackBerry, Ltd.(09228F103) 477,288 3,775,348
#* BlackBerry, Ltd.(BCBHZ31) 435,600 3,438,343
Bonavista Energy Corp. 21,356 246,404
Cameco Corp.(13321L108) 112,600 2,139,400
Cameco Corp.(2166160) 506,586 9,615,247
Canadian Natural Resources, Ltd.(136385101) 600,503 19,065,970
# Canadian Natural Resources, Ltd.(2171573) 1,849,320 58,690,835
# Canadian Tire Corp., Ltd. Class A 214,347 19,895,941
# Crescent Point Energy Corp. 260,862 10,130,247
# Eldorado Gold Corp.(284902103) 109,318 737,896
Eldorado Gold Corp.(2307873) 175,726 1,184,821
Empire Co., Ltd. 65,500 4,823,373
# Enerplus Corp. 401,965 6,935,549
Ensign Energy Services, Inc. 452,198 7,728,546
Fairfax Financial Holdings, Ltd. 54,622 23,836,388
# First Quantum Minerals, Ltd. 784,126 14,875,565
# Genworth MI Canada, Inc. 84,524 2,659,792
George Weston, Ltd. 36,010 2,933,573
Goldcorp, Inc.(2676302) 1,686,234 42,954,371
Goldcorp, Inc.(380956409) 23,874 607,116
# Husky Energy, Inc. 839,318 23,859,766
IAMGOLD Corp.(450913108) 573,940 2,927,094
IAMGOLD Corp.(2446646) 231,424 1,183,034
Industrial Alliance Insurance & Financial Services, Inc. 168,485 7,556,091
Kinross Gold Corp. 2,678,826 13,617,012
# Lightstream Resources, Ltd. 62,701 402,912
# Loblaw Cos., Ltd. 221,495 10,131,009
#* Lundin Mining Corp. 737,610 3,324,958
# Magna International, Inc. 583,936 49,458,004
# Manulife Financial Corp. 4,587,163 81,259,196
* MEG Energy Corp. 52,780 1,689,223
#* New Gold, Inc. 25,030 146,918
#* Osisko Mining Corp. 6,000 29,291
# Pacific Rubiales Energy Corp. 203,837 4,216,913
Pan American Silver Corp.(697900108) 118,576 1,258,091
Pan American Silver Corp.(2669272) 131,923 1,401,915
# Pengrowth Energy Corp. 695,258 4,467,682
# Penn West Petroleum, Ltd. 1,034,275 11,546,503
# Precision Drilling Corp. 706,616 7,475,159
Quebecor, Inc. Class B 1,628 40,253
# Sun Life Financial, Inc. 1,446,869 48,735,471
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
CANADA -- (Continued)
Suncor Energy, Inc. 3,750,370 $136,288,802
# Talisman Energy, Inc. 2,444,889 30,483,438
Teck Resources, Ltd. Class A 4,115 118,400
# Teck Resources, Ltd. Class B 1,483,730 39,702,745
# Thomson Reuters Corp. 1,557,384 58,522,328
# TransAlta Corp. 603,481 8,120,499
# Trican Well Service, Ltd. 6,065 85,218
#* Turquoise Hill Resources, Ltd.(900435108) 63,691 306,991
#* Turquoise Hill Resources, Ltd.(B7WJ1F5) 136,558 658,789
West Fraser Timber Co., Ltd. 29,672 2,719,755
Westjet Airlines, Ltd. 1,000 26,155
Yamana Gold, Inc. 1,425,140 14,133,168
------------
TOTAL CANADA 833,850,853
------------
DENMARK -- (1.5%)
AP Moeller--Maersk A.S. Class A 900 8,126,880
AP Moeller--Maersk A.S. Class B 3,855 37,297,006
Carlsberg A.S. Class B 334,440 33,405,861
* Danske Bank A.S. 1,629,867 38,083,135
# FLSmidth & Co. A.S. 23,118 1,153,804
GN Store Nord A.S. 31,827 726,063
H Lundbeck A.S. 135,698 2,913,643
Rockwool International A.S. Class B 1,368 215,169
TDC A.S. 1,238,546 11,187,922
#* Vestas Wind Systems A.S. 169,081 4,530,837
------------
TOTAL DENMARK 137,640,320
------------
FINLAND -- (0.9%)
Fortum Oyj 252,822 5,639,687
Kesko Oyj Class A 662 22,790
# Kesko Oyj Class B 138,917 4,616,215
Neste Oil Oyj 110,779 2,196,564
#* Nokia Oyj 4,254,629 32,338,492
Stora Enso Oyj Class R 1,455,180 13,512,611
Stora Enso Oyj Sponsored ADR 91,500 849,120
UPM-Kymmene Oyj 1,403,467 22,283,181
UPM-Kymmene Oyj Sponsored ADR 69,300 1,101,870
------------
TOTAL FINLAND 82,560,530
------------
FRANCE -- (9.7%)
AXA SA 4,004,754 99,780,178
AXA SA Sponsored ADR 140,900 3,523,909
BNP Paribas SA 1,975,744 145,756,834
Bollore SA(4572709) 22,197 12,104,448
* Bollore SA(BDGTH22) 99 54,305
Bouygues SA 305,569 11,922,330
Cap Gemini SA 324,351 21,270,281
Casino Guichard Perrachon SA 142,758 16,046,690
* CGG 304,853 6,700,640
* CGG Sponsored ADR 141,089 3,096,904
Cie de St-Gobain 1,078,023 56,585,484
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
FRANCE -- (Continued)
Cie Generale des Etablissements Michelin 210,073 $ 21,889,167
CNP Assurances 345,489 6,086,166
* Credit Agricole SA 2,838,495 34,128,764
Eiffage SA 31,691 1,878,111
Electricite de France SA 498,285 17,438,928
# Eramet 5,005 475,280
GDF Suez 3,247,971 80,496,939
Groupe Eurotunnel SA 651,298 6,305,144
Lafarge SA 505,082 34,848,326
Lagardere SCA 221,491 8,046,602
Natixis 2,034,211 10,939,169
Orange 3,875,091 53,267,297
#* Peugeot SA 124,117 1,632,756
Renault SA 500,585 43,676,155
Rexel SA 267,968 6,710,671
SCOR SE 72,412 2,555,845
Societe Generale SA 1,823,515 103,009,458
STMicroelectronics NV 1,542,301 11,863,392
Vallourec SA 119,253 7,098,133
Vivendi SA 3,686,124 93,331,608
------------
TOTAL FRANCE 922,519,914
------------
GERMANY -- (8.4%)
Allianz SE 518,031 86,978,602
Allianz SE ADR 2,811,910 47,324,445
Bayerische Motoren Werke AG 663,299 75,071,136
# Celesio AG 108,168 3,362,933
* Commerzbank AG 1,293,711 16,546,084
Daimler AG 2,088,586 171,002,503
Deutsche Bank AG(5750355) 1,538,807 74,369,159
Deutsche Bank AG(D18190898) 511,964 24,738,100
* Deutsche Lufthansa AG 464,311 8,976,535
Deutsche Telekom AG 2,186,066 34,353,384
# Deutsche Telekom AG Sponsored ADR 3,074,385 48,544,539
E.ON SE 3,638,090 66,316,888
Fraport AG Frankfurt Airport Services Worldwide 37,336 2,888,431
HeidelbergCement AG 243,824 19,198,613
Hochtief AG 8,149 737,036
Metro AG 30,139 1,413,097
Muenchener Rueckversicherungs AG 395,244 82,460,652
RWE AG 439,804 16,203,292
Volkswagen AG 62,518 15,288,518
# Wacker Chemie AG 1,454 136,542
------------
TOTAL GERMANY 795,910,489
------------
GREECE -- (0.0%)
Hellenic Petroleum SA 334,517 4,349,753
* National Bank of Greece SA 67,810 385,147
------------
TOTAL GREECE 4,734,900
------------
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
HONG KONG -- (2.1%)
Cathay Pacific Airways, Ltd. 2,051,000 $ 4,063,024
Cheung Kong Holdings, Ltd. 750,000 11,732,109
* FIH Mobile, Ltd. 1,947,000 1,094,223
Great Eagle Holdings, Ltd. 794,324 2,833,659
Hang Lung Group, Ltd. 62,000 327,181
# Henderson Land Development Co., Ltd. 3,725,616 22,021,520
Hongkong & Shanghai Hotels (The) 1,903,131 2,994,965
Hopewell Holdings, Ltd. 1,244,169 4,198,037
Hutchison Whampoa, Ltd. 5,818,000 72,458,624
Kerry Properties, Ltd. 602,000 2,618,365
# New World Development Co., Ltd. 9,142,122 12,670,815
NWS Holdings, Ltd. 60,000 94,005
# Orient Overseas International, Ltd. 488,000 2,520,577
Shangri-La Asia, Ltd. 150,000 275,956
Sino Land Co., Ltd. 1,174,000 1,646,530
Sun Hung Kai Properties, Ltd. 676,000 8,837,305
Wharf Holdings, Ltd. 3,550,990 30,019,792
Wheelock & Co., Ltd. 3,482,000 17,814,626
------------
TOTAL HONG KONG 198,221,313
------------
IRELAND -- (0.1%)
* Bank of Ireland 2,856,177 1,043,888
CRH P.L.C. 297,758 7,245,511
CRH P.L.C. Sponsored ADR 215,216 5,268,488
------------
TOTAL IRELAND 13,557,887
------------
ISRAEL -- (0.3%)
Bank Hapoalim BM 2,967,547 15,886,697
* Bank Leumi Le-Israel BM 2,954,599 11,246,549
#* Israel Discount Bank, Ltd. Class A 381,656 761,615
Mizrahi Tefahot Bank, Ltd. 14,857 174,152
------------
TOTAL ISRAEL 28,069,013
------------
ITALY -- (1.5%)
#* Banca Monte dei Paschi di Siena SpA 12,934,984 4,078,092
* Banco Popolare 2,933,385 5,827,428
#* Finmeccanica SpA 995,867 7,297,728
Intesa Sanpaolo SpA 9,982,247 24,764,684
Telecom Italia SpA 5,476,933 5,343,005
# Telecom Italia SpA Sponsored ADR 1,874,500 18,295,120
UniCredit SpA 8,189,815 61,477,549
Unione di Banche Italiane SCPA 1,854,721 12,818,782
------------
TOTAL ITALY 139,902,388
------------
JAPAN -- (17.7%)
77 Bank, Ltd. (The) 737,372 3,646,943
# Aeon Co., Ltd. 1,886,800 25,748,056
Aisin Seiki Co., Ltd. 131,900 5,358,358
Alfresa Holdings Corp. 89,400 4,886,268
# Amada Co., Ltd. 821,000 7,062,711
Aoyama Trading Co., Ltd. 20,400 520,152
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- -----------
JAPAN -- (Continued)
Asahi Glass Co., Ltd. 2,324,000 $14,353,086
Asahi Kasei Corp. 2,847,000 21,667,377
Asatsu-DK, Inc. 32,500 893,159
Autobacs Seven Co., Ltd. 214,800 3,131,886
Awa Bank, Ltd. (The) 65,600 342,593
Azbil Corp. 23,600 568,633
Bank of Kyoto, Ltd. (The) 709,400 6,250,736
Bank of Yokohama, Ltd. (The) 1,939,000 10,692,173
Brother Industries, Ltd. 147,900 1,680,484
Canon Marketing Japan, Inc. 124,900 1,673,261
Chiba Bank, Ltd. (The) 1,189,000 8,476,227
Chugoku Bank, Ltd. (The) 391,800 5,632,708
Citizen Holdings Co., Ltd. 601,600 4,292,188
Coca-Cola West Co., Ltd. 121,107 2,456,415
# COMSYS Holdings Corp. 207,400 2,879,471
#* Cosmo Oil Co., Ltd. 1,287,364 2,266,802
# Dai Nippon Printing Co., Ltd. 1,815,000 19,068,327
Dai-ichi Life Insurance Co., Ltd. (The) 333,800 4,765,262
# Daicel Corp. 552,000 4,652,686
# Daido Steel Co., Ltd. 594,000 3,415,723
Denki Kagaku Kogyo KK 664,000 2,784,642
Ebara Corp. 413,000 2,220,423
Fuji Media Holdings, Inc. 112,800 2,248,708
FUJIFILM Holdings Corp. 1,327,000 32,463,391
* Fujitsu, Ltd. 3,968,000 17,047,336
Fukuoka Financial Group, Inc. 1,800,000 8,118,818
# Fukuyama Transporting Co., Ltd. 85,000 543,302
# Furukawa Electric Co., Ltd. 633,000 1,467,153
Glory, Ltd. 119,600 2,965,708
Gunma Bank, Ltd. (The) 921,397 5,331,353
# H2O Retailing Corp. 269,000 2,285,843
Hachijuni Bank, Ltd. (The) 993,231 6,135,772
Hakuhodo DY Holdings, Inc. 452,000 3,495,843
Hankyu Hanshin Holdings, Inc. 849,000 4,761,907
Higo Bank, Ltd. (The) 282,000 1,605,302
Hiroshima Bank, Ltd. (The) 624,000 2,655,690
Hitachi Capital Corp. 47,000 1,264,078
Hitachi Chemical Co., Ltd. 149,400 2,292,061
Hitachi Construction Machinery Co., Ltd. 87,600 1,855,240
Hitachi High-Technologies Corp. 139,900 3,217,692
# Hitachi Transport System, Ltd. 94,400 1,496,900
Hokuhoku Financial Group, Inc. 2,620,000 5,402,312
House Foods Group, Inc. 148,300 2,349,019
# Ibiden Co., Ltd. 246,500 4,273,194
Idemitsu Kosan Co., Ltd. 52,124 4,363,471
# Inpex Corp. 1,335,200 15,424,189
Isetan Mitsukoshi Holdings, Ltd. 884,200 13,400,224
ITOCHU Corp. 2,941,000 35,363,001
Iyo Bank, Ltd. (The) 551,000 5,753,374
J Front Retailing Co., Ltd. 1,166,000 9,073,100
JFE Holdings, Inc. 1,235,400 28,086,421
# Joyo Bank, Ltd. (The) 1,376,000 7,147,142
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
JAPAN -- (Continued)
JTEKT Corp. 478,300 $ 6,140,546
JX Holdings, Inc. 6,192,133 30,618,036
# K's Holdings Corp. 41,100 1,206,813
Kagoshima Bank, Ltd. (The) 358,143 2,410,776
Kajima Corp. 1,900,000 8,064,175
Kamigumi Co., Ltd. 540,000 4,697,115
# Kaneka Corp. 653,542 4,147,074
Kawasaki Kisen Kaisha, Ltd. 1,904,000 4,364,781
Keiyo Bank, Ltd. (The) 418,000 2,128,760
Kewpie Corp. 47,400 713,179
# Kinden Corp. 207,000 2,273,434
* Kobe Steel, Ltd. 5,553,000 9,808,652
# Konica Minolta, Inc. 1,026,500 8,500,392
# Kuraray Co., Ltd. 241,900 2,840,228
# Kurita Water Industries, Ltd. 13,500 294,624
Kyocera Corp. 818,800 42,520,723
# Kyocera Corp. Sponsored ADR 27,200 1,440,240
Kyowa Hakko Kirin Co., Ltd. 571,000 6,306,678
Lintec Corp. 5,100 105,777
# LIXIL Group Corp. 371,200 8,713,055
Mabuchi Motor Co., Ltd. 20,400 1,084,636
Maeda Road Construction Co., Ltd. 36,000 640,114
# Marubeni Corp. 3,990,000 31,239,486
# Marui Group Co., Ltd. 542,642 5,194,536
# Maruichi Steel Tube, Ltd. 74,700 1,824,167
Matsumotokiyoshi Holdings Co., Ltd. 5,000 168,712
# Medipal Holdings Corp. 339,800 4,581,830
MEIJI Holdings Co., Ltd. 135,895 7,596,752
Mitsubishi Chemical Holdings Corp. 3,885,000 18,186,642
Mitsubishi Corp. 3,482,500 70,454,645
Mitsubishi Gas Chemical Co., Inc. 948,000 7,747,627
Mitsubishi Heavy Industries, Ltd. 2,000 12,711
# Mitsubishi Logistics Corp. 220,000 3,057,325
Mitsubishi Materials Corp. 2,533,000 9,910,148
Mitsubishi Tanabe Pharma Corp. 465,600 6,566,687
Mitsubishi UFJ Financial Group, Inc. 24,653,206 156,998,104
# Mitsubishi UFJ Financial Group, Inc. ADR 4,781,372 30,600,781
Mitsui & Co., Ltd. 4,220,700 60,296,595
# Mitsui & Co., Ltd. Sponsored ADR 11,723 3,352,778
# Mitsui Chemicals, Inc. 1,861,800 4,949,235
Mitsui Engineering & Shipbuilding Co., Ltd. 620,000 1,217,046
Mitsui Mining & Smelting Co., Ltd. 69,030 175,971
Mitsui OSK Lines, Ltd. 2,265,000 9,587,358
Mizuho Financial Group, Inc. 10,127,200 21,257,621
# Mizuho Financial Group, Inc. ADR 205,757 864,179
MS&AD Insurance Group Holdings 806,853 20,863,085
Nagase & Co., Ltd. 235,889 2,938,398
Nanto Bank, Ltd. (The) 319,000 1,263,057
NEC Corp. 6,055,101 13,600,869
Nippo Corp. 117,000 2,195,032
# Nippon Electric Glass Co., Ltd. 864,000 4,444,189
Nippon Express Co., Ltd. 1,952,238 9,803,255
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- -----------
JAPAN -- (Continued)
Nippon Meat Packers, Inc. 429,536 $ 6,288,951
# Nippon Paper Industries Co., Ltd. 231,700 3,691,904
# Nippon Shokubai Co., Ltd. 266,000 3,263,153
Nippon Steel & Sumitomo Metal Corp. 18,537,940 61,185,438
Nippon Television Holdings, Inc. 123,700 2,266,015
# Nippon Yusen KK 3,731,000 11,400,053
# Nishi-Nippon City Bank, Ltd. (The) 1,412,569 3,816,419
Nissan Motor Co., Ltd. 1,309,900 13,153,043
Nissan Shatai Co., Ltd. 72,000 1,241,356
# Nisshin Seifun Group, Inc. 464,199 5,032,577
Nisshin Steel Holdings Co., Ltd. 143,100 1,908,086
Nisshinbo Holdings, Inc. 305,000 2,693,840
# NKSJ Holdings, Inc. 190,100 4,920,771
# NOK Corp. 171,020 2,643,679
#* NTN Corp. 920,000 4,422,299
NTT DOCOMO, Inc. 3,091,700 49,049,894
NTT DOCOMO, Inc. Sponsored ADR 6,118 97,093
Obayashi Corp. 1,650,682 10,576,107
# Oji Holdings Corp. 1,997,000 9,126,346
Onward Holdings Co., Ltd. 278,000 2,300,944
Pola Orbis Holdings, Inc. 49,300 1,670,371
Rengo Co., Ltd. 421,000 2,251,700
Resona Holdings, Inc. 601,300 3,127,800
Ricoh Co., Ltd. 1,875,000 19,801,509
Rohm Co., Ltd. 233,700 9,592,835
Sankyo Co., Ltd. 82,500 3,923,611
SBI Holdings, Inc. 75,000 907,638
Seiko Epson Corp. 294,100 4,800,764
Seino Holdings Co., Ltd. 315,000 3,111,017
Sekisui Chemical Co., Ltd. 125,000 1,452,311
# Sekisui House, Ltd. 1,369,000 19,650,417
Shiga Bank, Ltd. (The) 451,185 2,465,887
# Shimizu Corp. 1,371,000 7,031,071
Shizuoka Bank, Ltd. (The) 1,051,000 11,825,206
# Showa Denko KK 3,281,000 4,448,857
Showa Shell Sekiyu KK 366,900 3,944,496
SKY Perfect JSAT Holdings, Inc. 340,000 1,963,296
Sohgo Security Services Co., Ltd. 101,200 2,045,761
Sojitz Corp. 2,690,300 5,224,001
Sony Corp. 975,200 17,012,057
# Sony Corp. Sponsored ADR 1,801,665 31,078,721
Sumitomo Bakelite Co., Ltd. 347,000 1,251,232
# Sumitomo Chemical Co., Ltd. 2,816,000 10,313,263
Sumitomo Corp. 3,241,900 42,187,813
# Sumitomo Electric Industries, Ltd. 2,606,700 39,059,664
Sumitomo Forestry Co., Ltd. 276,100 3,212,126
Sumitomo Heavy Industries, Ltd. 1,205,000 5,333,252
Sumitomo Metal Mining Co., Ltd. 1,187,000 16,440,653
Sumitomo Mitsui Financial Group, Inc. 134,600 6,506,008
Sumitomo Mitsui Trust Holdings, Inc. 1,987,629 9,817,070
Sumitomo Osaka Cement Co., Ltd. 196,000 790,817
# Suzuken Co. Ltd/Aichi Japan 149,300 5,391,182
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- --------------
JAPAN -- (Continued)
Suzuki Motor Corp. 774,300 $ 19,470,063
T&D Holdings, Inc. 240,100 2,882,576
Taisei Corp. 502,000 2,575,400
# Taisho Pharmaceutical Holdings Co., Ltd. 49,199 3,454,487
Taiyo Nippon Sanso Corp. 17,000 116,575
Takashimaya Co., Ltd. 639,634 6,102,779
Takata Corp. 29,200 736,478
# TDK Corp. 275,500 11,708,781
# Teijin, Ltd. 1,898,450 4,262,921
Toho Holdings Co., Ltd. 12,800 247,813
Tokai Rika Co., Ltd. 92,700 1,965,717
Tokio Marine Holdings, Inc. 10,200 334,401
Tokyo Broadcasting System Holdings, Inc. 85,300 1,123,935
# Toppan Printing Co., Ltd. 1,312,000 10,362,646
Toshiba TEC Corp. 36,000 221,732
Tosoh Corp. 1,128,000 4,316,480
Toyo Seikan Group Holdings, Ltd. 365,849 7,603,418
Toyobo Co., Ltd. 664,000 1,275,969
Toyoda Gosei Co., Ltd. 23,700 592,608
# Toyota Tsusho Corp. 443,700 12,324,651
Ube Industries, Ltd. 2,122,000 4,392,315
UNY Group Holdings Co., Ltd. 393,050 2,480,266
Ushio, Inc. 44,200 558,285
Wacoal Holdings Corp. 179,000 1,922,106
# Yamada Denki Co., Ltd. 1,608,100 4,510,698
Yamaguchi Financial Group, Inc. 492,148 4,637,816
Yamaha Corp. 355,900 5,313,749
# Yamato Kogyo Co., Ltd. 86,600 3,209,757
Yamazaki Baking Co., Ltd. 204,000 2,076,924
--------------
TOTAL JAPAN 1,680,734,643
--------------
NETHERLANDS -- (3.1%)
Aegon NV 3,908,207 31,097,105
Akzo Nobel NV 448,015 32,523,367
# ArcelorMittal 2,499,882 39,374,694
* ING Groep NV 6,479,202 82,335,806
#* ING Groep NV Sponsored ADR 1,297,167 16,499,964
# Koninklijke Ahold NV 652,923 12,409,806
Koninklijke DSM NV 466,014 35,227,193
# Koninklijke Philips NV 1,120,476 39,598,403
TNT Express NV 72,118 664,891
--------------
TOTAL NETHERLANDS 289,731,229
--------------
NEW ZEALAND -- (0.1%)
Auckland International Airport, Ltd. 242,713 687,080
Contact Energy, Ltd. 1,292,916 5,606,622
--------------
TOTAL NEW ZEALAND 6,293,702
--------------
NORWAY -- (0.7%)
Aker ASA Class A 68,150 2,147,007
Cermaq ASA 8,375 148,423
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
NORWAY -- (Continued)
DNB ASA 1,551,198 $ 27,497,326
# Norsk Hydro ASA 3,357,025 14,981,632
Norsk Hydro ASA Sponsored ADR 59,900 265,956
Orkla ASA 365,732 2,964,687
Stolt-Nielsen, Ltd. 8,425 238,544
* Storebrand ASA 1,082,306 6,998,717
Subsea 7 SA 590,207 12,481,559
Wilh Wilhelmsen Holding ASA Class A 212 6,490
------------
TOTAL NORWAY 67,730,341
------------
PORTUGAL -- (0.1%)
* Banco Espirito Santo SA 2,631,973 3,458,348
Cimpor Cimentos de Portugal SGPS SA 22,409 82,008
* EDP Renovaveis SA 517,656 2,845,872
------------
TOTAL PORTUGAL 6,386,228
------------
SINGAPORE -- (1.2%)
CapitaLand, Ltd. 9,878,000 24,749,241
CapitaMalls Asia, Ltd. 1,267,000 2,057,582
DBS Group Holdings, Ltd. 1,172,308 15,804,432
Golden Agri-Resources, Ltd. 13,990,000 6,755,237
Hutchison Port Holdings Trust 3,401,000 2,482,016
Keppel Land, Ltd. 1,214,000 3,619,243
#* Neptune Orient Lines, Ltd. 1,246,004 1,061,308
Noble Group, Ltd. 7,305,000 6,035,517
# Olam International, Ltd. 2,188,000 2,706,893
# OUE, Ltd. 405,000 788,349
Singapore Airlines, Ltd. 1,585,600 13,300,620
# Singapore Land, Ltd. 532,000 3,713,958
# United Industrial Corp., Ltd. 2,152,000 5,314,579
UOL Group, Ltd. 1,376,600 7,286,150
Venture Corp., Ltd. 307,000 1,922,553
Wheelock Properties Singapore, Ltd. 861,000 1,178,225
# Wilmar International, Ltd. 3,792,000 10,547,597
------------
TOTAL SINGAPORE 109,323,500
------------
SPAIN -- (2.3%)
# Acciona SA 101,533 6,436,410
# Banco de Sabadell SA 5,307,715 13,599,978
#* Banco Popular Espanol SA 3,430,914 19,461,405
Banco Santander SA 8,832,930 78,306,244
# Banco Santander SA Sponsored ADR 1,470,150 13,099,036
# CaixaBank 3,003,209 15,566,089
Iberdrola SA 7,444,256 46,726,442
Repsol SA 996,982 26,729,919
------------
TOTAL SPAIN 219,925,523
------------
SWEDEN -- (2.8%)
Boliden AB 612,180 8,694,798
Holmen AB Class A 6,189 204,389
Meda AB Class A 280,396 3,146,459
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
SWEDEN -- (Continued)
Nordea Bank AB 5,366,449 $ 68,644,974
Skandinaviska Enskilda Banken AB 16,918 191,115
Skandinaviska Enskilda Banken AB Class A 3,481,813 42,112,740
# SSAB AB Class A 51,620 339,584
Svenska Cellulosa AB Class A 66,476 1,878,656
Svenska Cellulosa AB Class B 1,348,669 38,236,384
Tele2 AB Class B 127,737 1,539,667
Telefonaktiebolaget LM Ericsson Class A 28,098 317,281
Telefonaktiebolaget LM Ericsson Class B 4,713,081 56,374,169
# Telefonaktiebolaget LM Ericsson Sponsored ADR 952,162 11,416,422
TeliaSonera AB 3,717,354 30,738,764
------------
TOTAL SWEDEN 263,835,402
------------
SWITZERLAND -- (6.9%)
ABB, Ltd. 820,669 20,908,636
Adecco SA 358,259 26,419,353
Alpiq Holding AG 1,593 210,392
Aryzta AG 169,876 12,673,160
Baloise Holding AG 200,163 23,253,706
Banque Cantonale Vaudoise 468 260,051
Clariant AG 581,272 10,241,918
Credit Suisse Group AG 1,928,358 59,987,253
# Credit Suisse Group AG Sponsored ADR 1,022,581 31,832,947
Givaudan SA 5,507 7,809,963
Holcim, Ltd. 887,877 66,039,798
Lonza Group AG 7,458 665,723
Novartis AG 69,068 5,361,235
Novartis AG ADR 506,359 39,268,140
PSP Swiss Property AG 17,947 1,542,522
Sulzer AG 50,596 7,915,245
Swiss Life Holding AG 123,557 24,498,922
Swiss Re AG 1,117,582 98,104,262
UBS AG(B18YFJ4) 6,496,062 125,640,734
UBS AG(H89231338) 991,339 19,192,323
Zurich Insurance Group AG 269,917 74,584,331
------------
TOTAL SWITZERLAND 656,410,614
------------
UNITED KINGDOM -- (17.9%)
Anglo American P.L.C. 1,123,359 26,709,625
Aviva P.L.C. 4,454,616 31,979,282
Barclays P.L.C. 14,540,536 61,178,709
# Barclays P.L.C. Sponsored ADR 5,739,573 96,482,222
Barratt Developments P.L.C. 410,298 2,200,251
BP P.L.C. 1,823,857 14,157,877
BP P.L.C. Sponsored ADR 5,793,659 269,405,143
Carnival P.L.C. 658,867 23,417,634
# Carnival P.L.C. ADR 229,328 8,164,077
Coca-Cola HBC AG ADR 5,961 172,034
* Eurasian Natural Resources Corp. P.L.C. 408,931 1,473,405
* Evraz P.L.C. 436,689 825,329
Glencore Xstrata P.L.C. 15,896,454 86,511,958
HSBC Holdings P.L.C. 1,911,475 20,952,325
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
----------- --------------
UNITED KINGDOM -- (Continued)
# HSBC Holdings P.L.C. Sponsored ADR 1,694,884 $ 93,286,415
* International Consolidated Airlines Group SA 1,936,203 10,776,220
Investec P.L.C. 1,195,168 8,362,125
J Sainsbury P.L.C. 5,377,115 34,013,068
Kazakhmys P.L.C. 49,435 207,988
Kingfisher P.L.C. 8,609,963 52,085,475
* Lloyds Banking Group P.L.C. 82,680,839 102,259,365
#* Lloyds Banking Group P.L.C. ADR 3,082,996 15,507,470
Mondi P.L.C. 190,635 3,403,966
# Old Mutual P.L.C. 11,913,351 38,826,073
# Pearson P.L.C. Sponsored ADR 1,234,793 25,930,653
Resolution, Ltd. 3,422,696 19,597,545
* Royal Bank of Scotland Group P.L.C. 3,847,507 22,659,929
#* Royal Bank of Scotland Group P.L.C. Sponsored
ADR 400,166 4,713,955
# Royal Dutch Shell P.L.C. ADR(780259107) 3,323,210 231,029,559
Royal Dutch Shell P.L.C. ADR(780259206) 547,088 36,468,886
Royal Dutch Shell P.L.C. Class A 547,861 18,246,404
Royal Dutch Shell P.L.C. Class B 255,146 8,833,156
RSA Insurance Group P.L.C. 4,956,241 10,207,516
Travis Perkins P.L.C. 38,182 1,135,439
Vedanta Resources P.L.C. 189,404 3,227,055
Vodafone Group P.L.C. 34,976,333 128,109,810
Vodafone Group P.L.C. Sponsored ADR 3,949,158 145,407,998
WM Morrison Supermarkets P.L.C. 8,127,143 36,669,870
--------------
TOTAL UNITED KINGDOM 1,694,595,811
--------------
TOTAL COMMON STOCKS 8,719,936,036
--------------
PREFERRED STOCKS -- (0.2%)
GERMANY -- (0.2%)
Porsche Automobil Holding SE 254,382 23,753,308
--------------
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
* New Hotel Rights 12/31/13 109,252 --
--------------
SPAIN -- (0.0%)
* Banco Santander SA Rights 10/30/13 8,832,930 1,906,872
--------------
TOTAL RIGHTS/WARRANTS 1,906,872
--------------
SHARES/
FACE
AMOUNT
(000) VALUE+
----------- --------------
SECURITIES LENDING COLLATERAL -- (7.7%)
(S)@ DFA Short Term Investment Fund 62,748,487 726,000,000
@ Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.12%, 11/01/13
(Collateralized by $796,375 FNMA, rates
ranging from 2.500% to 4.500%, maturities
ranging from 04/01/27 to 10/01/43, valued at
$720,177) to be repurchased at $706,058 $ 706 706,056
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
-------------- -----
TOTAL SECURITIES LENDING COLLATERAL 726,706,056 8.2%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $7,742,743,361) $9,472,302,272 107.7%
============== =====
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
SHARES VALUE++
--------- -----------
COMMON STOCKS -- (90.1%)
ARGENTINA -- (0.0%)
* Celulosa Argentina 1 $ --
-----------
BRAZIL -- (7.7%)
AES Tiete SA 53,084 467,067
All America Latina Logistica SA 508,831 1,819,127
Arteris SA 62,000 552,849
Banco Bradesco SA 653,682 10,528,114
Banco do Brasil SA 673,592 8,916,201
Banco Santander Brasil SA 223,400 1,520,133
# Banco Santander Brasil SA ADR 726,366 5,033,716
BM&FBovespa SA 2,134,108 12,028,075
BR Malls Participacoes SA 360,223 3,479,732
* Braskem SA Sponsored ADR 153,394 2,704,336
BRF SA 94,100 2,207,676
BRF SA ADR 564,360 13,222,955
CCR SA 880,368 7,256,695
Centrais Eletricas Brasileiras SA 132,500 419,940
# Centrais Eletricas Brasileiras SA ADR 86,923 460,692
Centrais Eletricas Brasileiras SA Sponsored ADR 100,200 316,632
CETIP SA - Mercados Organizados 191,000 2,110,804
# Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR 85,830 4,327,549
Cia de Bebidas das Americas ADR 622,039 23,139,851
Cia de Saneamento Basico do Estado de Sao Paulo 104,600 1,108,495
Cia de Saneamento Basico do Estado de Sao Paulo ADR 178,668 1,895,668
Cia Energetica de Minas Gerais 68,587 607,124
Cia Hering 108,600 1,573,056
Cia Paranaense de Energia 17,100 173,156
# Cia Paranaense de Energia Sponsored ADR 57,783 802,028
Cia Siderurgica Nacional SA 633,652 3,430,436
# Cia Siderurgica Nacional SA Sponsored ADR 202,748 1,123,224
Cielo SA 357,475 10,841,002
Cosan SA Industria e Comercio 133,169 2,663,202
CPFL Energia SA 83,360 711,632
CPFL Energia SA ADR 63,516 1,072,150
Cyrela Brazil Realty SA Empreendimentos e Participacoes 356,197 2,648,071
Duratex SA 321,230 1,995,554
EcoRodovias Infraestrutura e Logistica SA 150,488 1,019,782
EDP - Energias do Brasil SA 236,900 1,351,513
Embraer SA 164,400 1,194,338
Embraer SA ADR 133,319 3,918,245
#* Fibria Celulose SA Sponsored ADR 514,098 6,708,979
Gerdau SA 140,232 931,815
Gerdau SA Sponsored ADR 150,151 1,190,697
Grendene SA 91,864 828,214
Guararapes Confeccoes SA 6,056 270,407
Hypermarcas SA 939,724 8,194,939
Itau Unibanco Holding SA 237,236 3,442,428
Itau Unibanco Holding SA ADR 169,341 2,609,539
JBS SA 823,581 2,940,308
Kroton Educacional SA 206,884 3,056,808
Localiza Rent a Car SA 139,560 2,274,905
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
----------- ------------
BRAZIL -- (Continued)
Lojas Americanas SA 126,010 $ 788,142
Lojas Renner SA 127,687 3,850,892
M Dias Branco SA 35,100 1,646,651
Multiplan Empreendimentos Imobiliarios SA 89,300 2,094,581
Natura Cosmeticos SA 173,400 3,460,575
Odontoprev SA 7,800 32,209
Oi SA 179,758 320,443
Oi SA ADR(670851104) 7,319 12,735
# Oi SA ADR(670851203) 107,889 186,648
Petroleo Brasileiro SA 462,400 4,030,344
Petroleo Brasileiro SA ADR 1,372,750 23,927,033
Petroleo Brasileiro SA Sponsored ADR 1,985,055 36,048,599
Porto Seguro SA 140,099 1,758,701
Raia Drogasil SA 229,600 1,675,954
Souza Cruz SA 378,070 4,089,650
Tim Participacoes SA 439,800 2,226,946
Tim Participacoes SA ADR 63,679 1,618,720
Totvs SA 114,575 1,935,228
Tractebel Energia SA 142,100 2,419,622
Transmissora Alianca de Energia Eletrica SA 304,634 2,936,453
Ultrapar Participacoes SA 76,200 2,025,714
Ultrapar Participacoes SA Sponsored ADR 254,308 6,772,222
* Usinas Siderurgicas de Minas Gerais SA 39,100 198,239
Vale SA 133,600 2,114,793
# Vale SA Sponsored ADR(91912E105) 1,249,020 19,996,810
Vale SA Sponsored ADR(91912E204) 502,843 7,361,622
WEG SA 248,866 3,241,398
------------
TOTAL BRAZIL 307,860,783
------------
CHILE -- (1.6%)
AES Gener SA 2,043,503 1,224,745
Aguas Andinas SA Class A 1,962,055 1,328,423
# Banco de Chile ADR 35,284 3,240,130
Banco de Credito e Inversiones 36,262 2,116,492
# Banco Santander Chile ADR 160,077 3,931,491
Banmedica SA 2,996 5,495
CAP SA 68,804 1,428,332
Cencosud SA 1,142,664 4,659,769
Cencosud SA ADR 8,408 105,857
CFR Pharmaceuticals SA 1,737,925 440,674
Cia Cervecerias Unidas SA 9,296 124,224
Cia Cervecerias Unidas SA ADR 43,217 1,153,462
Cia General de Electricidad SA 9,973 56,635
Colbun SA 6,194,334 1,532,750
Corpbanca SA 112,194,160 1,255,815
# Corpbanca SA ADR 26,066 448,335
E.CL SA 16,312 25,462
Embotelladora Andina SA Class A ADR 22,244 576,120
Embotelladora Andina SA Class B ADR 19,587 669,875
# Empresa Nacional de Electricidad SA Sponsored ADR 100,815 4,546,756
Empresas CMPC SA 1,170,705 3,480,761
Empresas COPEC SA 471,084 6,868,784
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- -----------
CHILE -- (Continued)
Enersis SA Sponsored ADR 478,616 $ 7,897,164
ENTEL Chile SA 122,304 1,885,172
Gasco SA 4,891 52,083
Inversiones Aguas Metropolitanas SA 377,408 701,603
# Latam Airlines Group SA Sponsored ADR 184,752 3,057,646
Molibdenos y Metales SA 21,739 349,196
Ripley Corp. SA 704,487 618,312
SACI Falabella 712,387 7,084,757
Sigdo Koppers SA 338,893 565,587
Sociedad Quimica y Minera de Chile SA Sponsored ADR 91,271 2,519,992
Sonda SA 439,410 1,140,059
-----------
TOTAL CHILE 65,091,958
-----------
CHINA -- (14.1%)
Agile Property Holdings, Ltd. 1,754,000 2,109,969
Agricultural Bank of China, Ltd. Class H 18,731,000 9,026,375
Air China, Ltd. Class H 1,690,000 1,150,621
#* Aluminum Corp. of China, Ltd. ADR 112,680 1,025,388
#* Aluminum Corp. of China, Ltd. Class H 796,000 294,347
#* Angang Steel Co., Ltd. Class H 1,422,000 860,947
# Anhui Conch Cement Co., Ltd. Class H 1,048,500 3,665,788
Bank of China, Ltd. Class H 65,514,100 30,844,677
Bank of Communications Co., Ltd. Class H 6,896,515 5,053,356
BBMG Corp. Class H 753,500 538,696
Beijing Capital International Airport Co., Ltd. Class H 198,000 139,104
# Beijing Enterprises Holdings, Ltd. 668,972 5,474,124
Belle International Holdings, Ltd. 3,431,000 4,811,254
Biostime International Holdings, Ltd. 48,000 368,609
Brilliance China Automotive Holdings, Ltd. 2,052,000 3,573,440
#* Byd Co., Ltd. Class H 415,886 2,064,558
China BlueChemical, Ltd. 1,502,000 963,534
China CITIC Bank Corp., Ltd. Class H 7,023,928 3,948,984
# China Coal Energy Co., Ltd. Class H 3,792,777 2,322,460
China Communications Construction Co., Ltd. Class H 3,581,000 2,918,245
China Communications Services Corp., Ltd. Class H 2,892,000 1,787,501
China Construction Bank Corp. Class H 56,443,590 43,914,613
#* China COSCO Holdings Co., Ltd. Class H 2,263,000 1,077,331
* China Eastern Airlines Corp., Ltd. ADR 2,800 47,348
* China Eastern Airlines Corp., Ltd. Class H 1,382,000 475,721
China Everbright International, Ltd. 627,000 626,671
# China Gas Holdings, Ltd. 2,348,000 2,609,603
China International Marine Containers Group Co., Ltd. Class H 330,000 621,424
China Life Insurance Co., Ltd. ADR 330,798 13,043,365
China Life Insurance Co., Ltd. Class H 784,000 2,069,586
China Longyuan Power Group Corp. Class H 1,745,000 2,005,409
China Mengniu Dairy Co., Ltd. 976,000 4,274,454
China Merchants Bank Co., Ltd. Class H 3,724,554 7,405,880
China Merchants Holdings International Co., Ltd. 1,023,426 3,621,437
# China Minsheng Banking Corp., Ltd. Class H 4,422,500 5,067,908
China Mobile, Ltd. 73,500 763,786
# China Mobile, Ltd. Sponsored ADR 877,340 45,639,227
China Molybdenum Co., Ltd. Class H 896,322 365,691
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
CHINA -- (Continued)
# China National Building Material Co., Ltd. Class H 2,181,916 $ 2,130,521
China Oilfield Services, Ltd. Class H 1,184,000 3,308,906
China Overseas Land & Investment, Ltd. 3,042,000 9,407,583
China Pacific Insurance Group Co., Ltd. Class H 1,946,000 7,019,557
China Petroleum & Chemical Corp. ADR 138,384 11,121,898
China Petroleum & Chemical Corp. Class H 8,186,800 6,627,276
# China Railway Construction Corp., Ltd. Class H 2,554,000 2,794,679
China Railway Group, Ltd. Class H 3,077,000 1,741,534
China Resources Cement Holdings, Ltd. 1,609,335 1,074,774
China Resources Enterprise, Ltd. 1,055,000 3,729,566
China Resources Gas Group, Ltd. 572,000 1,480,068
China Resources Land, Ltd. 1,574,000 4,559,723
China Resources Power Holdings Co., Ltd. 1,180,000 3,096,457
China Shenhua Energy Co., Ltd. Class H 2,766,500 8,397,514
#* China Shipping Container Lines Co., Ltd. Class H 4,653,000 1,151,825
China Southern Airlines Co., Ltd. Class H 1,006,000 368,111
China Southern Airlines Co., Ltd. Sponsored ADR 10,900 201,650
China State Construction International Holdings, Ltd. 1,318,000 2,217,311
* China Taiping Insurance Holdings Co., Ltd. 536,800 837,358
China Telecom Corp., Ltd. ADR 50,817 2,626,223
China Telecom Corp., Ltd. Class H 3,562,000 1,860,628
China Unicom Hong Kong, Ltd. ADR 470,600 7,341,360
Chongqing Rural Commercial Bank Class H 26,000 13,135
# CITIC Pacific, Ltd. 1,669,000 2,367,193
# CITIC Securities Co., Ltd. Class H 896,000 1,876,482
CNOOC, Ltd. 3,105,000 6,299,613
CNOOC, Ltd. ADR 115,255 23,317,239
COSCO Pacific, Ltd. 2,285,058 3,316,636
Country Garden Holdings Co., Ltd. 3,575,769 2,461,236
CSR Corp., Ltd. 1,471,000 1,218,245
Datang International Power Generation Co., Ltd. Class H 1,616,000 740,153
Dongfang Electric Corp., Ltd. Class H 290,200 466,080
Dongfeng Motor Group Co., Ltd. Class H 2,302,000 3,242,736
ENN Energy Holdings, Ltd. 514,000 3,030,872
# Evergrande Real Estate Group, Ltd. 6,559,000 2,775,729
Fosun International, Ltd. 1,717,441 1,657,437
* GCL-Poly Energy Holdings, Ltd. 5,826,814 1,780,275
# Geely Automobile Holdings, Ltd. 3,655,000 1,847,148
# Golden Eagle Retail Group, Ltd. 414,000 613,693
Great Wall Motor Co., Ltd. Class H 712,000 4,175,748
# Greentown China Holdings, Ltd. 650,500 1,261,387
Guangdong Investment, Ltd. 1,630,000 1,401,072
Guangshen Railway Co., Ltd. Sponsored ADR 29,254 769,380
Guangzhou Automobile Group Co., Ltd. Class H 1,996,259 2,366,711
* Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class H 174,000 628,726
Guangzhou R&F Properties Co., Ltd. 1,225,600 2,147,290
Haier Electronics Group Co., Ltd. 639,000 1,362,369
Haitian International Holdings, Ltd. 79,000 190,427
* Hanergy Solar Group, Ltd. 6,844,000 1,164,777
Hengan International Group Co., Ltd. 545,500 6,682,917
Huadian Power International Corp., Ltd. Class H 856,000 396,501
Huaneng Power International, Inc. Class H 602,000 626,046
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
CHINA -- (Continued)
Huaneng Power International, Inc. Sponsored ADR 34,452 $ 1,424,246
Industrial & Commercial Bank of China, Ltd. Class H 59,907,185 41,919,158
# Jiangsu Expressway Co., Ltd. Class H 820,000 1,028,845
Jiangxi Copper Co., Ltd. Class H 1,421,000 2,727,994
Kunlun Energy Co., Ltd. 2,312,000 3,788,068
# Lenovo Group, Ltd. 4,593,278 4,908,482
Longfor Properties Co., Ltd. 1,094,000 1,787,911
#* Metallurgical Corp. of China, Ltd. Class H 2,646,000 542,838
* New China Life Insurance Co., Ltd. Class H 395,800 1,115,752
New World China Land, Ltd. 2,554,000 1,405,596
# Nine Dragons Paper Holdings, Ltd. 1,905,000 1,569,343
# PetroChina Co., Ltd. ADR 145,110 16,436,610
PetroChina Co., Ltd. Class H 2,814,000 3,204,529
PICC Property & Casualty Co., Ltd. Class H 2,279,920 3,478,462
# Ping An Insurance Group Co. of China, Ltd. Class H 1,408,000 11,102,437
# Shandong Weigao Group Medical Polymer Co., Ltd. Class H 1,204,000 1,127,449
Shanghai Electric Group Co., Ltd. Class H 2,502,000 880,846
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H 162,000 365,980
Shanghai Industrial Holdings, Ltd. 701,274 2,305,263
Shanghai Pharmaceuticals Holding Co., Ltd. Class H 495,400 1,025,536
Shenzhou International Group Holdings, Ltd. 390,000 1,337,165
# Shimao Property Holdings, Ltd. 1,956,371 4,901,753
Sihuan Pharmaceutical Holdings Group, Ltd. 704,000 524,549
Sino Biopharmaceutical 1,120,000 785,805
# Sino-Ocean Land Holdings, Ltd. 2,338,192 1,482,647
Sinopec Shanghai Petrochemical Co., Ltd. Class H 1,593,000 420,733
# Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR 6,545 253,684
* Sinopec Yizheng Chemical Fibre Co., Ltd. Class H 896,000 248,234
Sinopharm Group Co., Ltd. Class H 747,600 2,020,137
# SOHO China, Ltd. 2,899,263 2,545,194
Sun Art Retail Group, Ltd. 1,746,000 2,855,362
Tencent Holdings, Ltd. 763,600 41,659,099
Tingyi Cayman Islands Holding Corp. 1,440,000 4,068,319
Tsingtao Brewery Co., Ltd. Class H 186,000 1,522,039
# Uni-President China Holdings, Ltd. 759,000 756,397
Want Want China Holdings, Ltd. 4,391,000 6,728,884
Weichai Power Co., Ltd. Class H 428,200 1,713,920
# Yanzhou Coal Mining Co., Ltd. Class H 900,000 932,421
# Yanzhou Coal Mining Co., Ltd. Sponsored ADR 108,916 1,116,389
Zhaojin Mining Industry Co., Ltd. 178,500 143,475
Zhejiang Expressway Co., Ltd. Class H 968,000 883,750
# Zhuzhou CSR Times Electric Co., Ltd. Class H 276,000 979,992
# Zijin Mining Group Co., Ltd. Class H 4,821,000 1,122,815
# Zoomlion Heavy Industry Science and Technology Co., Ltd. 1,066,200 986,280
#* ZTE Corp. Class H 499,038 1,087,570
------------
TOTAL CHINA 563,085,164
------------
COLOMBIA -- (0.7%)
Almacenes Exito SA 188,633 3,159,915
Banco de Bogota SA 20,555 727,982
Bancolombia SA 99,771 1,376,079
Bancolombia SA Sponsored ADR 89,105 5,001,464
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
------- -----------
COLOMBIA -- (Continued)
Cementos Argos SA 322,140 $ 1,700,625
Ecopetrol SA 979,672 2,329,656
# Ecopetrol SA Sponsored ADR 220,479 10,441,885
Empresa de Energia de Bogota SA 831,271 698,455
Grupo Aval Acciones y Valores 620,146 435,857
Grupo de Inversiones Suramericana SA 1,578 31,271
Grupo Nutresa SA 19,691 280,951
Interconexion Electrica SA ESP 275,768 1,364,012
Isagen SA ESP 762,874 1,217,470
-----------
TOTAL COLOMBIA 28,765,622
-----------
CZECH REPUBLIC -- (0.3%)
CEZ A.S. 198,179 5,702,935
Komercni Banka A.S. 16,129 3,995,282
Philip Morris CR A.S. 276 156,982
Telefonica Czech Republic A.S. 142,100 2,317,001
* Unipetrol A.S. 12,131 108,718
-----------
TOTAL CZECH REPUBLIC 12,280,918
-----------
EGYPT -- (0.1%)
# Commercial International Bank Egypt S.A.E. GDR 276,614 1,599,823
* Egyptian Financial Group-Hermes Holding GDR 676 1,314
* Global Telecom Holding GDR 428,641 1,450,597
-----------
TOTAL EGYPT 3,051,734
-----------
HONG KONG -- (0.0%)
* FU JI Food and Catering Services Holdings, Ltd. 28,900 6,042
-----------
HUNGARY -- (0.3%)
Magyar Telekom Telecommunications P.L.C. 438,413 601,140
MOL Hungarian Oil and Gas P.L.C. 41,546 2,840,659
OTP Bank P.L.C. 250,935 5,205,691
Richter Gedeon Nyrt 145,205 2,761,122
* Tisza Chemical Group P.L.C. 23,981 350,730
-----------
TOTAL HUNGARY 11,759,342
-----------
INDIA -- (6.3%)
ABB India, Ltd. 46,035 468,037
ACC, Ltd. 51,847 956,996
Adani Enterprises, Ltd. 217,318 733,235
Adani Ports and Special Economic Zone 403,387 952,985
* Adani Power, Ltd. 722,177 381,568
Aditya Birla Nuvo, Ltd. 40,385 803,220
Ambuja Cements, Ltd. 720,850 2,195,203
Apollo Hospitals Enterprise, Ltd. 79,561 1,170,109
Asian Paints, Ltd. 264,310 2,314,086
Axis Bank, Ltd. 270,273 5,381,461
Bajaj Auto, Ltd. 88,932 3,080,795
Bajaj Finserv, Ltd. 38,658 403,056
Bajaj Holdings and Investment, Ltd. 25,772 346,626
Bank of Baroda 95,903 1,006,132
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
INDIA -- (Continued)
Bank of India 151,325 $ 521,283
Berger Paints India, Ltd. 41,763 155,793
Bharat Electronics, Ltd. 17,301 296,519
Bharat Heavy Electricals, Ltd. 637,403 1,462,669
Bharat Petroleum Corp., Ltd. 153,491 896,272
Bharti Airtel, Ltd. 712,612 4,246,448
Bhushan Steel, Ltd. 51,151 399,813
Bosch, Ltd. 11,944 1,706,929
Britannia Industries, Ltd. 15,574 237,646
Cadila Healthcare, Ltd. 39,235 421,314
Cairn India, Ltd. 401,975 2,087,453
Canara Bank 118,214 498,049
Cipla, Ltd. 360,392 2,425,164
Colgate-Palmolive India, Ltd. 41,197 830,204
Container Corp. Of India 54,732 675,928
Cummins India, Ltd. 67,546 434,537
Dabur India, Ltd. 495,434 1,432,160
Divi's Laboratories, Ltd. 41,087 649,578
DLF, Ltd. 486,202 1,198,200
Dr Reddy's Laboratories, Ltd. 23,076 911,834
# Dr Reddy's Laboratories, Ltd. ADR 74,598 2,957,811
Eicher Motors, Ltd. 5,958 383,634
Emami, Ltd. 51,759 417,703
Engineers India, Ltd. 41,692 119,991
* Essar Oil, Ltd. 395,013 334,745
Exide Industries, Ltd. 228,981 464,171
Federal Bank, Ltd. 455,880 611,517
GAIL India, Ltd. 217,415 1,245,732
GAIL India, Ltd. GDR 28,791 998,369
Gillette India, Ltd. 2,685 91,142
GlaxoSmithKline Consumer Healthcare, Ltd. 4,187 313,648
GlaxoSmithKline Pharmaceuticals, Ltd. 25,574 1,010,720
Glenmark Pharmaceuticals, Ltd. 101,902 930,363
GMR Infrastructure, Ltd. 454,854 160,388
Godrej Consumer Products, Ltd. 89,727 1,263,741
Godrej Industries, Ltd. 89,305 427,634
Grasim Industries, Ltd. 6,300 288,359
Havells India, Ltd. 28,408 342,427
HCL Technologies, Ltd. 209,838 3,732,976
HDFC Bank, Ltd. 1,530,953 17,028,382
Hero Motocorp, Ltd. 36,833 1,241,452
Hindalco Industries, Ltd. 1,207,587 2,264,666
Hindustan Petroleum Corp., Ltd. 73,212 239,649
ICICI Bank, Ltd. 8,735 158,592
ICICI Bank, Ltd. Sponsored ADR 208,679 7,787,900
IDBI Bank, Ltd. 346,191 380,816
Idea Cellular, Ltd. 805,036 2,254,294
IDFC, Ltd. 601,656 1,039,776
Indian Oil Corp., Ltd. 327,576 1,080,582
IndusInd Bank, Ltd. 190,939 1,382,314
Infosys, Ltd. 234,483 12,485,974
Infosys, Ltd. Sponsored ADR 233,468 12,387,812
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
INDIA -- (Continued)
ING Vysya Bank, Ltd. 25,010 $ 240,093
Ipca Laboratories, Ltd. 18,943 209,565
ITC, Ltd. 2,259,060 12,277,426
Jaiprakash Associates, Ltd. 1,336,264 1,035,815
* Jaiprakash Power Ventures, Ltd. 454,730 136,166
Jindal Steel & Power, Ltd. 381,409 1,493,990
JSW Energy, Ltd. 592,161 446,727
JSW Steel, Ltd. 124,632 1,746,304
* Jubilant Foodworks, Ltd. 18,139 358,977
Kotak Mahindra Bank, Ltd. 289,527 3,550,852
Larsen & Toubro, Ltd. 312,837 4,952,513
Larsen & Toubro, Ltd. GDR 7,667 117,406
LIC Housing Finance, Ltd. 53,635 196,383
Lupin, Ltd. 134,973 1,945,126
Mahindra & Mahindra, Ltd. 332,035 4,781,557
* Mangalore Refinery & Petrochemicals, Ltd. 355,103 231,237
Marico, Ltd. 116,346 399,147
Maruti Suzuki India, Ltd. 33,769 899,561
Motherson Sumi Systems, Ltd. 134,808 588,886
Mphasis, Ltd. 73,800 507,909
National Aluminium Co., Ltd. 125,699 74,977
Nestle India, Ltd. 15,806 1,440,901
NHPC, Ltd. 2,574,565 756,822
NTPC, Ltd. 924,696 2,238,643
Oberoi Realty, Ltd. 13,876 42,609
Oil & Natural Gas Corp., Ltd. 699,873 3,334,065
Oil India, Ltd. 100,495 773,739
* Oracle Financial Services Software, Ltd. 19,531 1,017,053
Petronet LNG, Ltd. 201,679 405,207
Pidilite Industries, Ltd. 144,452 676,501
Piramal Enterprises, Ltd. 60,551 554,284
Power Grid Corp. of India, Ltd. 900,251 1,480,598
Procter & Gamble Hygiene & Health Care, Ltd. 7,944 355,821
* Ranbaxy Laboratories, Ltd. 137,683 875,833
Reliance Capital, Ltd. 97,310 588,408
Reliance Communications, Ltd. 594,072 1,428,562
Reliance Industries, Ltd. 1,433,931 21,342,373
Reliance Infrastructure, Ltd. 111,967 787,579
* Reliance Power, Ltd. 771,219 918,854
Rural Electrification Corp., Ltd. 47,495 150,372
Sesa Sterlite, Ltd. 1,599,539 5,231,607
Shree Cement, Ltd. 8,675 625,379
Shriram Transport Finance Co., Ltd. 76,457 764,579
Siemens, Ltd. 73,172 701,722
SJVN, Ltd. 381,249 119,239
State Bank of India 152,568 4,456,840
Steel Authority of India, Ltd. 346,711 350,380
Sun Pharmaceutical Industries, Ltd. 613,492 6,059,298
Sun TV Network, Ltd. 78,375 534,821
Tata Chemicals, Ltd. 6,064 26,463
Tata Consultancy Services, Ltd. 413,679 14,186,300
Tata Global Beverages, Ltd. 370,091 987,476
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
INDIA -- (Continued)
Tata Motors, Ltd. 679,237 $ 4,210,233
# Tata Motors, Ltd. Sponsored ADR 81,024 2,537,672
Tata Power Co., Ltd. 763,990 1,020,502
Tata Steel, Ltd. 301,827 1,654,195
Tech Mahindra, Ltd. 56,640 1,427,703
Titan Industries, Ltd. 207,778 912,550
Torrent Power, Ltd. 5,032 6,857
Ultratech Cement, Ltd. 40,093 1,278,594
Union Bank of India 151,552 304,434
* Unitech, Ltd. 1,237,337 351,654
United Breweries, Ltd. 66,842 999,004
United Spirits, Ltd. 85,313 3,568,707
Wipro, Ltd. 491,956 3,838,164
Wockhardt, Ltd. 19,651 142,527
Yes Bank, Ltd. 161,542 968,023
Zee Entertainment Enterprises, Ltd. 389,718 1,685,695
------------
TOTAL INDIA 251,818,041
------------
INDONESIA -- (2.4%)
Adaro Energy Tbk PT 12,163,000 1,099,592
AKR Corporindo Tbk PT 1,720,000 739,212
Alam Sutera Realty Tbk PT 12,012,500 647,773
Aneka Tambang Persero Tbk PT 1,281,500 181,612
Astra Agro Lestari Tbk PT 415,000 684,106
Astra International Tbk PT 17,653,110 10,408,071
Bank Central Asia Tbk PT 10,755,500 9,965,050
Bank Danamon Indonesia Tbk PT 3,627,079 1,384,556
Bank Mandiri Persero Tbk PT 9,040,117 6,903,025
Bank Negara Indonesia Persero Tbk PT 7,388,222 3,149,505
* Bank Pan Indonesia Tbk PT 7,175,000 457,130
Bank Rakyat Indonesia Persero Tbk PT 10,941,500 7,679,040
* Bank Tabungan Pensiunan Nasional Tbk PT 768,500 298,023
* Bayan Resources Tbk PT 79,500 61,323
Bumi Serpong Damai PT 7,524,500 1,043,790
Charoen Pokphand Indonesia Tbk PT 6,496,500 2,245,280
Ciputra Development Tbk PT 3,311,000 302,101
Global Mediacom Tbk PT 8,870,500 1,502,468
Gudang Garam Tbk PT 443,500 1,450,029
Holcim Indonesia Tbk PT 1,926,500 439,966
Indo Tambangraya Megah Tbk PT 355,000 941,292
Indocement Tunggal Prakarsa Tbk PT 1,284,500 2,380,443
Indofood CBP Sukses Makmur Tbk PT 998,500 991,299
Indofood Sukses Makmur Tbk PT 4,404,000 2,594,513
Indomobil Sukses Internasional Tbk PT 22,000 9,951
Indosat Tbk PT 1,006,500 392,592
Indosat Tbk PT ADR 1,674 34,317
* Inovisi Infracom Tbk PT 271,945 18,563
Japfa Comfeed Indonesia Tbk PT 853,500 105,919
Jasa Marga Persero Tbk PT 1,526,500 710,646
Kalbe Farma Tbk PT 21,762,500 2,505,587
* Lippo Karawaci Tbk PT 31,811,500 3,185,355
Mayora Indah Tbk PT 870,333 2,258,409
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- -----------
INDONESIA -- (Continued)
Media Nusantara Citra Tbk PT 4,428,000 $ 980,654
MNC Investama Tbk PT 13,972,500 433,494
* Panasia Indo Resources Tbk PT 75,100 2,765
Perusahaan Gas Negara Persero Tbk PT 8,045,500 3,638,921
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 8,500 1,205
Semen Indonesia Persero Tbk PT 2,585,500 3,289,513
Sinar Mas Agro Resources and Technology Tbk PT 1,116,500 643,574
Sumber Alfaria Trijaya Tbk PT 40,000 1,914
Surya Citra Media Tbk PT 2,348,500 489,471
Tambang Batubara Bukit Asam Persero Tbk PT 848,500 914,646
Telekomunikasi Indonesia Persero Tbk PT 39,175,700 8,148,953
* Tower Bersama Infrastructure Tbk PT 1,510,500 763,319
* Trada Maritime Tbk PT 3,944,000 531,694
Unilever Indonesia Tbk PT 1,381,500 3,673,378
United Tractors Tbk PT 1,461,196 2,267,886
Vale Indonesia Tbk PT 3,118,500 682,950
XL Axiata Tbk PT 2,210,000 876,631
-----------
TOTAL INDONESIA 94,111,506
-----------
MALAYSIA -- (4.1%)
Aeon Co. M Bhd 46,100 233,520
Affin Holdings Bhd 532,900 719,766
# AirAsia BHD 1,748,600 1,484,466
Alliance Financial Group Bhd 1,339,200 2,201,353
AMMB Holdings Bhd 2,074,859 4,869,634
Axiata Group Bhd 2,713,975 5,907,866
Batu Kawan BHD 86,200 534,558
Berjaya Land Bhd 95,000 25,441
Berjaya Sports Toto Bhd 725,025 935,147
Boustead Holdings Bhd 454,586 753,459
British American Tobacco Malaysia Bhd 119,400 2,402,822
* Bumi Armada Bhd 1,127,700 1,415,219
# CIMB Group Holdings Bhd 5,147,141 12,234,882
Dialog Group BHD 1,706,900 1,486,691
DiGi.Com Bhd 3,544,020 5,613,007
DRB-Hicom Bhd 1,203,600 968,555
Fraser & Neave Holdings Bhd 90,500 533,870
Gamuda Bhd 1,929,900 2,978,409
Genting Bhd 1,894,300 6,289,120
# Genting Malaysia Bhd 3,181,700 4,354,954
Genting Plantations Bhd 282,600 974,103
Guinness Anchor Bhd 135,200 740,962
Hartalega Holdings Bhd 127,900 293,158
Hong Leong Bank Bhd 606,560 2,746,170
Hong Leong Financial Group Bhd 231,829 1,111,172
IJM Corp. Bhd 1,628,281 2,993,924
IOI Corp. Bhd 3,073,105 5,301,318
KPJ Healthcare Bhd 66,100 127,800
Kuala Lumpur Kepong Bhd 477,300 3,492,611
Kulim Malaysia BHD 470,200 506,583
Lafarge Malayan Bhd 343,580 1,084,725
Magnum Bhd 39,300 41,240
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
MALAYSIA -- (Continued)
# Malayan Banking Bhd 5,003,321 $ 15,508,389
Malaysia Airports Holdings Bhd 811,351 2,163,257
Malaysia Marine and Heavy Engineering Holdings Bhd 414,500 509,731
* Malaysian Airline System Bhd 4,055,900 436,425
# Maxis Bhd 2,398,100 5,464,988
* MISC Bhd 1,391,098 2,251,541
MMC Corp. Bhd 1,092,100 927,246
Nestle Malaysia Bhd 189,300 4,077,784
# Parkson Holdings Bhd 585,720 697,999
Petronas Chemicals Group Bhd 2,844,500 6,409,586
Petronas Dagangan BHD 259,900 2,520,542
Petronas Gas Bhd 495,300 3,850,433
# PPB Group Bhd 531,900 2,476,808
Public Bank Bhd(B012W42) 67,739 393,149
Public Bank Bhd(B012W53) 1,029,701 5,977,690
RHB Capital Bhd 779,295 1,949,590
* Sapurakencana Petroleum Bhd 3,695,300 4,685,414
Shell Refining Co. Federation of Malaya Bhd 108,100 244,074
Sime Darby Bhd 2,858,620 8,634,345
SP Setia Bhd 623,400 606,817
Sunway Bhd 48,000 42,383
Telekom Malaysia Bhd 898,300 1,491,500
Tenaga Nasional Bhd 2,536,450 7,579,716
UEM Sunrise Bhd 2,094,637 1,552,038
UMW Holdings Bhd 593,466 2,406,662
United Plantations BHD 49,300 417,483
YTL Corp. Bhd 5,691,586 2,975,672
# YTL Power International Bhd 1,948,640 1,173,318
------------
TOTAL MALAYSIA 162,781,085
------------
MEXICO -- (5.2%)
Alfa S.A.B. de C.V. Class A 3,254,340 8,909,542
# Alpek S.A. de C.V. 57,811 124,951
# America Movil S.A.B. de C.V. Series L 37,750,669 40,420,537
America Movil S.A.B. de C.V. Series L ADR 22,528 482,324
Arca Continental S.A.B. de C.V. 357,200 2,113,537
#* Cemex S.A.B. de C.V. 1,864,388 1,980,526
* Cemex S.A.B. de C.V. Sponsored ADR 1,285,964 13,605,497
# Coca-Cola Femsa S.A.B. de C.V. Series L 298,900 3,642,538
Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 13,716 1,667,043
Controladora Comercial Mexicana S.A.B. de C.V. 587,862 2,397,901
* Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B 8,726 5,952
El Puerto de Liverpool S.A.B. de C.V. 177,295 1,909,346
Fomento Economico Mexicano S.A.B. de C.V. 1,793,669 16,765,060
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 25,323 2,362,636
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 34,897 4,153,092
# Grupo Bimbo S.A.B. de C.V. Series A 1,661,379 5,590,031
# Grupo Carso S.A.B. de C.V. Series A1 704,241 3,837,168
Grupo Comercial Chedraui S.A. de C.V. 359,836 1,121,380
Grupo Financiero Banorte S.A.B. de C.V. 2,832,687 18,133,018
Grupo Financiero Inbursa S.A.B. de C.V. 2,146,713 5,531,625
Grupo Industrial Maseca S.A.B. de C.V. Class B 92,387 165,270
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
MEXICO -- (Continued)
Grupo Mexico S.A.B. de C.V. Series B 3,796,416 $ 12,031,792
* Grupo Qumma S.A. de C.V. Series B 1,591 --
Grupo Televisa S.A.B. Series CPO 2,556,698 15,557,014
Grupo Televisa S.A.B. Sponsored ADR 116,618 3,549,852
#* Impulsora del Desarrollo y El Empleo en America Latina S.A.B. de C.V. 2,373,426 4,820,617
* Industrias CH S.A.B. de C.V. Series B 19,078 93,612
Industrias Penoles S.A.B. de C.V. 108,150 3,140,161
Kimberly-Clark de Mexico S.A.B. de C.V. Class A 1,823,400 5,544,025
Mexichem S.A.B. de C.V. 1,035,324 4,313,569
#* Minera Frisco S.A.B. de C.V. 783,633 2,012,049
#* OHL Mexico S.A.B. de C.V. 761,383 1,953,753
* Organizacion Soriana S.A.B. de C.V. Class B 1,112,475 3,599,892
#* Promotora y Operadora de Infraestructura S.A.B. de C.V. 34,023 345,491
Savia SA Class A 120,000 --
Wal-Mart de Mexico S.A.B. de C.V. Series V 5,418,775 14,087,631
------------
TOTAL MEXICO 205,968,432
------------
PERU -- (0.3%)
Cementos Pacasmayo SAA ADR 3,559 42,067
# Cia de Minas Buenaventura SA ADR 103,995 1,507,928
Credicorp, Ltd. 63,638 8,692,951
------------
TOTAL PERU 10,242,946
------------
PHILIPPINES -- (1.3%)
Aboitiz Equity Ventures, Inc. 1,585,460 1,867,483
Aboitiz Power Corp. 1,495,200 1,177,078
Alliance Global Group, Inc. 6,710,300 4,094,443
Ayala Corp. 183,605 2,563,503
Ayala Land, Inc. 5,882,318 4,004,506
Bank of the Philippine Islands 844,014 1,953,048
BDO Unibank, Inc. 1,533,841 2,877,595
China Banking Corp. 1,380 1,980
DMCI Holdings, Inc. 1,070,440 1,282,267
Energy Development Corp. 8,586,100 1,152,282
* Fwbc Holdings, Inc. 2,006,957 --
Globe Telecom, Inc. 34,395 1,385,633
International Container Terminal Services, Inc. 876,380 2,109,925
JG Summit Holdings, Inc. 168,900 170,691
Jollibee Foods Corp. 408,700 1,678,645
LT Group, Inc. 1,742,400 669,463
Manila Electric Co. 126,130 887,082
Megaworld Corp. 18,982,000 1,684,115
Metro Pacific Investments Corp. 9,128,100 1,030,550
Metropolitan Bank & Trust 1,146,499 2,363,902
Philippine Long Distance Telephone Co. 36,785 2,440,978
Philippine Long Distance Telephone Co. Sponsored ADR 3,998 264,468
* Philippine National Bank 349,520 780,771
Robinsons Land Corp. 2,175,300 1,141,102
San Miguel Corp. 427,890 752,713
Semirara Mining Corp. 112,800 720,168
SM Investments Corp. 294,252 5,829,165
SM Prime Holdings, Inc. 5,616,110 2,487,796
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
PHILIPPINES -- (Continued)
Top Frontier Investment Holdings, Inc. 42,789 $ 38,125
Universal Robina Corp. 879,930 2,597,230
-----------
TOTAL PHILIPPINES 50,006,707
-----------
POLAND -- (1.7%)
Bank Handlowy w Warszawie SA 36,694 1,410,312
* Bank Millennium SA 701,813 1,744,300
Bank Pekao SA 132,686 8,307,741
Bank Zachodni WBK SA 3,346 407,542
# BRE Bank SA 17,078 2,820,500
* Cyfrowy Polsat SA 86,412 628,642
Enea SA 73,778 347,175
Eurocash SA 72,770 1,117,844
* Getin Noble Bank SA 1,002,923 884,879
Grupa Azoty SA 27,128 717,156
* Grupa Lotos SA 25,811 314,854
Grupa Zywiec SA 11,564 1,654,765
* ING Bank Slaski SA 34,085 1,249,699
Jastrzebska Spolka Weglowa SA 38,639 834,216
* Kernel Holding SA 14,630 196,800
KGHM Polska Miedz SA 131,777 5,320,103
LPP SA 521 1,525,280
Lubelski Wegiel Bogdanka SA 9,469 349,917
PGE SA 920,894 5,379,332
Polski Koncern Naftowy Orlen SA 378,082 5,333,795
Polskie Gornictwo Naftowe i Gazownictwo SA 1,617,383 2,974,738
Powszechna Kasa Oszczednosci Bank Polski SA 854,863 11,324,324
Powszechny Zaklad Ubezpieczen SA 59,813 9,098,301
Synthos SA 506,543 857,880
Tauron Polska Energia SA 776,176 1,266,154
Telekomunikacja Polska SA 616,223 1,995,723
-----------
TOTAL POLAND 68,061,972
-----------
RUSSIA -- (5.2%)
Eurasia Drilling Co., Ltd. GDR 126,471 5,352,340
Federal Hydrogenerating Co. JSC ADR 1,423,628 2,402,651
Gazprom OAO Sponsored ADR 6,850,921 64,038,306
Globaltrans Investment P.L.C. GDR 83,363 1,268,848
Lukoil OAO Sponsored ADR 556,966 36,477,853
Magnitogorsk Iron & Steel Works GDR 155,928 503,891
Mail.ru Group, Ltd. GDR 46,941 1,730,776
#* Mechel Sponsored ADR 170,001 537,203
MMC Norilsk Nickel OJSC ADR 532,268 8,040,268
Novolipetsk Steel OJSC GDR 97,820 1,666,731
Novorossiysk Commercial Sea Port PJSC GDR 33,123 273,313
O'Key Group SA GDR 35,623 421,309
Phosagro OAO GDR 52,146 539,336
* PIK Group GDR 2,241 4,513
Rosneft OAO GDR 1,224,426 9,660,424
Rostelecom OJSC Sponsored ADR 69,399 1,508,206
Sberbank of Russia Sponsored ADR 2,809,303 35,825,291
Severstal OAO GDR 247,044 2,151,943
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
RUSSIA -- (Continued)
Tatneft OAO Sponsored ADR 241,102 $ 9,903,972
TMK OAO GDR 52,030 671,811
Uralkali OJSC GDR 271,413 7,242,402
# VimpelCom, Ltd. Sponsored ADR 610,357 8,783,037
VTB Bank OJSC GDR 1,820,217 5,043,262
* X5 Retail Group NV GDR 98,102 1,594,710
------------
TOTAL RUSSIA 205,642,396
------------
SOUTH AFRICA -- (7.1%)
# African Bank Investments, Ltd. 709,671 1,198,912
African Rainbow Minerals, Ltd. 128,693 2,463,932
* Anglo American Platinum, Ltd. 74,041 2,993,122
# AngloGold Ashanti, Ltd. Sponsored ADR 331,815 5,010,406
* ArcelorMittal South Africa, Ltd. 203,913 803,388
Aspen Pharmacare Holdings, Ltd. 307,375 8,551,052
Assore, Ltd. 31,119 1,270,935
AVI, Ltd. 294,307 1,728,847
# Barclays Africa Group, Ltd. 365,243 5,641,249
Barloworld, Ltd. 275,602 2,468,889
# Bidvest Group, Ltd. 338,327 9,014,568
# Capitec Bank Holdings, Ltd. 44,862 955,715
Coronation Fund Managers, Ltd. 230,512 1,880,019
Discovery, Ltd. 357,805 3,023,665
Distell Group, Ltd. 16,261 217,697
# Exxaro Resources, Ltd. 142,511 2,182,475
FirstRand, Ltd. 3,444,432 12,365,468
Foschini Group, Ltd. (The) 229,375 2,642,421
# Gold Fields, Ltd. Sponsored ADR 710,430 3,267,978
Harmony Gold Mining Co., Ltd. 77,306 266,751
Impala Platinum Holdings, Ltd. 509,209 6,185,195
Imperial Holdings, Ltd. 227,001 4,824,722
Investec, Ltd. 266,068 1,885,783
# Kumba Iron Ore, Ltd. 74,255 3,105,361
Liberty Holdings, Ltd. 159,000 1,965,781
Life Healthcare Group Holdings, Ltd. 937,361 3,823,307
Massmart Holdings, Ltd. 103,729 1,663,046
Mediclinic International, Ltd. 306,464 2,309,490
MMI Holdings, Ltd. 1,346,403 3,300,819
Mondi, Ltd. 128,477 2,296,433
# Mr Price Group, Ltd. 238,341 3,751,202
# MTN Group, Ltd. 1,882,816 37,425,026
Nampak, Ltd. 704,489 2,328,997
# Naspers, Ltd. Class N 416,705 39,005,158
Nedbank Group, Ltd. 230,958 5,021,448
Netcare, Ltd. 1,050,827 2,607,564
# Pick n Pay Stores, Ltd. 244,318 1,154,662
PPC, Ltd. 60,146 190,005
PSG Group, Ltd. 61,341 504,395
Sanlam, Ltd. 1,983,108 10,640,506
Santam, Ltd. 38,343 727,798
# Sasol, Ltd. 19,082 975,048
# Sasol, Ltd. Sponsored ADR 583,774 29,784,149
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
SOUTH AFRICA -- (Continued)
Shoprite Holdings, Ltd. 430,118 $ 7,876,581
Spar Group, Ltd. (The) 171,619 2,196,130
Standard Bank Group, Ltd. 1,209,908 15,392,568
#* Steinhoff International Holdings, Ltd. 1,482,591 5,723,271
# Tiger Brands, Ltd. 168,710 4,949,436
Truworths International, Ltd. 453,643 4,335,321
Tsogo Sun Holdings, Ltd. 288,868 810,061
# Vodacom Group, Ltd. 391,328 4,488,711
Woolworths Holdings, Ltd. 667,992 5,024,178
------------
TOTAL SOUTH AFRICA 284,219,641
------------
SOUTH KOREA -- (14.9%)
Amorepacific Corp. 2,987 2,451,185
# AMOREPACIFIC Group 3,010 1,062,180
BS Financial Group, Inc. 221,660 3,558,705
# Celltrion, Inc. 55,053 2,394,059
Cheil Industries, Inc. 51,812 4,393,147
* Cheil Worldwide, Inc. 87,060 2,145,048
# CJ CheilJedang Corp. 8,825 2,141,755
# CJ Corp. 16,574 1,733,466
* CJ Korea Express Co., Ltd. 5,587 485,660
Coway Co., Ltd. 50,818 2,908,622
Daelim Industrial Co., Ltd. 36,223 3,362,334
#* Daewoo Engineering & Construction Co., Ltd. 133,508 1,081,754
# Daewoo International Corp. 45,753 1,685,213
Daewoo Securities Co., Ltd. 220,281 2,055,924
# Daewoo Shipbuilding & Marine Engineering Co., Ltd. 109,830 3,458,486
Dongbu Insurance Co., Ltd. 45,450 2,033,796
Doosan Corp. 9,398 1,259,008
# Doosan Heavy Industries & Construction Co., Ltd. 52,779 2,154,093
#* Doosan Infracore Co., Ltd. 100,420 1,437,335
E-Mart Co., Ltd. 25,293 6,052,515
# GS Engineering & Construction Corp. 38,637 1,304,484
GS Holdings 66,625 3,668,849
Hana Financial Group, Inc. 316,379 12,165,496
Hankook Tire Co., Ltd. 66,995 3,930,219
# Hanwha Chemical Corp. 98,760 2,167,636
Hanwha Corp. 47,620 1,802,446
Hanwha Life Insurance Co., Ltd. 204,320 1,366,221
Hite Jinro Co., Ltd. 22,640 555,726
# Hotel Shilla Co., Ltd. 31,278 2,020,508
Hyundai Department Store Co., Ltd. 17,135 2,728,457
Hyundai Engineering & Construction Co., Ltd. 77,500 4,446,185
Hyundai Glovis Co., Ltd. 11,990 2,658,328
# Hyundai Heavy Industries Co., Ltd. 44,760 10,688,559
Hyundai Hysco Co., Ltd. 35,114 1,390,074
Hyundai Marine & Fire Insurance Co., Ltd. 68,600 1,960,088
#* Hyundai Merchant Marine Co., Ltd. 47,685 617,006
Hyundai Mobis 70,280 19,824,583
Hyundai Motor Co. 158,812 37,835,980
Hyundai Steel Co. 70,734 5,824,103
Hyundai Wia Corp. 14,396 2,478,489
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
------- ------------
SOUTH KOREA -- (Continued)
Industrial Bank of Korea 195,210 $ 2,255,001
# Kangwon Land, Inc. 114,660 3,150,952
KB Financial Group, Inc. 353,265 13,912,801
KB Financial Group, Inc. ADR 97,918 3,800,198
KCC Corp. 6,039 2,421,775
# KEPCO Engineering & Construction Co., Inc. 8,507 451,492
KEPCO Plant Service & Engineering Co., Ltd. 12,199 618,348
# Kia Motors Corp. 270,669 15,726,190
# Korea Aerospace Industries, Ltd. 35,900 947,386
* Korea Electric Power Corp. 197,690 5,279,505
Korea Gas Corp. 22,866 1,374,913
Korea Investment Holdings Co., Ltd. 32,780 1,278,863
Korea Zinc Co., Ltd. 9,259 2,684,088
* Korean Air Lines Co., Ltd. 31,881 1,016,863
KT Corp. 23,160 765,491
# KT&G Corp. 100,502 7,337,930
Kumho Petro chemical Co., Ltd. 15,006 1,468,977
LG Chem, Ltd. 47,843 13,495,647
LG Corp. 108,548 6,417,094
* LG Display Co., Ltd. 14,300 334,718
#* LG Display Co., Ltd. ADR 486,337 5,690,143
# LG Electronics, Inc. 113,853 7,292,964
# LG Household & Health Care, Ltd. 8,626 4,484,056
* LG Uplus Corp. 259,030 2,965,918
Lotte Chemical Corp. 21,503 4,405,953
Lotte Confectionery Co., Ltd. 263 451,000
Lotte Shopping Co., Ltd. 12,940 4,912,401
LS Corp. 17,345 1,296,403
Macquarie Korea Infrastructure Fund 200,980 1,250,062
# Mando Corp. 10,816 1,458,139
Naver Corp. 27,242 15,287,313
# NCSoft Corp. 14,464 2,803,631
# OCI Co., Ltd. 17,637 3,191,755
# Orion Corp/Republic of South Korea 3,321 3,238,551
POSCO 50,240 14,998,694
POSCO ADR 67,985 5,062,163
S-1 Corp. 16,316 973,019
S-Oil Corp. 47,441 3,461,862
Samsung C&T Corp. 143,779 8,531,551
Samsung Card Co., Ltd. 23,720 878,949
# Samsung Electro-Mechanics Co., Ltd. 57,281 4,393,962
Samsung Electronics Co., Ltd. 81,840 112,862,139
Samsung Electronics Co., Ltd. GDR 49,372 34,218,733
# Samsung Engineering Co., Ltd. 27,417 1,933,129
Samsung Fire & Marine Insurance Co., Ltd. 37,748 8,827,137
# Samsung Heavy Industries Co., Ltd. 168,600 6,182,114
Samsung Life Insurance Co., Ltd. 61,987 6,103,529
# Samsung SDI Co., Ltd. 39,230 6,539,296
Samsung Securities Co., Ltd. 68,528 3,037,852
Samsung Techwin Co., Ltd. 34,401 1,875,037
Shinhan Financial Group Co., Ltd. 374,876 16,345,946
Shinhan Financial Group Co., Ltd. ADR 86,082 3,730,794
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
SOUTH KOREA -- (Continued)
Shinsegae Co., Ltd. 6,575 $ 1,655,278
SK C&C Co., Ltd. 21,215 2,286,460
SK Holdings Co., Ltd. 29,943 5,426,863
* SK Hynix, Inc. 512,610 15,424,892
SK Innovation Co., Ltd. 69,006 9,671,813
SK Networks Co., Ltd. 5,020 31,514
SK Telecom Co., Ltd. 8,002 1,743,798
Woori Finance Holdings Co., Ltd. 419,590 4,970,990
# Woori Finance Holdings Co., Ltd. ADR 1,223 42,854
Woori Investment & Securities Co., Ltd. 147,510 1,557,884
Young Poong Corp. 176 234,109
------------
TOTAL SOUTH KOREA 593,756,604
------------
TAIWAN -- (12.3%)
#* Acer, Inc. 3,542,040 2,314,230
Advanced Semiconductor Engineering, Inc. 6,439,929 6,341,065
Advanced Semiconductor Engineering, Inc. ADR 77,739 383,253
Advantech Co., Ltd. 273,200 1,751,109
Asia Cement Corp. 2,445,802 3,317,699
# Asustek Computer, Inc. 834,180 6,366,541
#* AU Optronics Corp. 7,260,873 2,374,972
* AU Optronics Corp. Sponsored ADR 326,626 1,032,138
# Catcher Technology Co., Ltd. 762,429 4,432,855
Cathay Financial Holding Co., Ltd. 8,634,048 13,043,972
Cathay Real Estate Development Co., Ltd. 839,000 585,059
Chang Hwa Commercial Bank 5,665,043 3,398,232
Cheng Shin Rubber Industry Co., Ltd. 2,017,965 5,380,955
Cheng Uei Precision Industry Co., Ltd. 384,109 805,525
Chicony Electronics Co., Ltd. 507,574 1,264,980
* China Airlines, Ltd. 3,543,536 1,283,623
China Development Financial Holding Corp. 16,637,121 4,972,731
China Life Insurance Co., Ltd. 2,999,797 2,943,938
China Motor Corp. 649,000 620,199
China Petrochemical Development Corp. 2,243,613 1,128,319
China Steel Chemical Corp. 148,000 886,819
# China Steel Corp. 12,562,895 10,917,997
# Chipbond Technology Corp. 575,000 1,161,939
Chunghwa Telecom Co., Ltd. 947,000 3,040,317
# Chunghwa Telecom Co., Ltd. ADR 236,502 7,530,224
Clevo Co. 526,075 1,118,509
Compal Electronics, Inc. 5,806,541 4,543,343
CTBC Financial Holding Co., Ltd. 14,872,997 10,088,839
CTCI Corp. 638,000 1,115,795
Delta Electronics, Inc. 1,873,366 9,742,390
# E.Sun Financial Holding Co., Ltd. 5,847,651 3,916,182
Eclat Textile Co., Ltd. 159,120 1,749,919
# Epistar Corp. 1,169,000 2,027,153
* Eva Airways Corp. 1,930,600 1,074,689
* Evergreen Marine Corp. Taiwan, Ltd. 2,269,249 1,335,078
Far Eastern Department Stores Co., Ltd. 1,110,993 1,195,001
Far Eastern New Century Corp. 3,475,335 3,991,931
Far EasTone Telecommunications Co., Ltd. 1,630,000 3,734,004
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- -----------
TAIWAN -- (Continued)
Farglory Land Development Co., Ltd. 394,229 $ 724,138
Feng Hsin Iron & Steel Co. 214,000 389,438
Feng TAY Enterprise Co., Ltd. 53,000 138,916
First Financial Holding Co., Ltd. 8,434,371 5,220,114
Formosa Chemicals & Fibre Corp. 3,500,518 10,117,665
Formosa International Hotels Corp. 31,460 378,831
Formosa Petrochemical Corp. 1,179,000 3,167,377
Formosa Plastics Corp. 4,268,153 11,598,832
Formosa Taffeta Co., Ltd. 848,000 1,053,975
Foxconn Technology Co., Ltd. 996,237 2,503,636
Fubon Financial Holding Co., Ltd. 7,497,233 10,987,630
Giant Manufacturing Co., Ltd. 274,506 2,060,129
# Gourmet Master Co., Ltd. 33,000 219,690
#* HannStar Display Corp. 3,348,000 1,121,007
Highwealth Construction Corp. 384,200 829,360
# Hiwin Technologies Corp. 174,173 1,371,908
Hon Hai Precision Industry Co., Ltd. 12,590,056 32,007,618
# Hotai Motor Co., Ltd. 235,000 2,795,579
# HTC Corp. 813,235 3,991,612
Hua Nan Financial Holdings Co., Ltd. 6,620,828 3,925,446
#* Innolux Corp. 8,365,341 3,317,575
* Inotera Memories, Inc. 1,642,000 1,058,805
Inventec Corp. 3,189,551 2,854,837
Kenda Rubber Industrial Co., Ltd. 532,481 1,046,963
Kinsus Interconnect Technology Corp. 289,000 1,031,794
Largan Precision Co., Ltd. 97,860 3,332,456
LCY Chemical Corp. 434,123 573,073
Lite-On Technology Corp. 2,310,358 4,044,631
# Lung Yen Life Service Corp. 117,000 354,160
#* Macronix International 4,110,218 960,823
# MediaTek, Inc. 1,249,995 17,089,840
Mega Financial Holding Co., Ltd. 10,462,000 9,058,925
Merida Industry Co., Ltd. 194,750 1,474,336
Nan Kang Rubber Tire Co., Ltd. 534,780 687,258
Nan Ya Plastics Corp. 4,851,599 11,065,717
Novatek Microelectronics Corp. 582,000 2,305,554
Oriental Union Chemical Corp. 248,000 263,738
# Pegatron Corp. 2,039,345 2,841,563
# Phison Electronics Corp. 146,000 1,049,236
Pou Chen Corp. 2,701,487 3,290,669
Powertech Technology, Inc. 929,819 1,675,656
President Chain Store Corp. 556,831 4,061,504
# Quanta Computer, Inc. 2,553,000 6,052,631
# Radiant Opto-Electronics Corp. 474,170 1,774,342
# Realtek Semiconductor Corp. 398,950 927,507
# Ruentex Development Co., Ltd. 699,351 1,463,704
# Ruentex Industries, Ltd. 496,937 1,282,238
Sanyang Industry Co., Ltd. 418,000 731,492
ScinoPharm Taiwan, Ltd. 245,440 816,569
# Shin Kong Financial Holding Co., Ltd. 8,569,708 2,980,368
Siliconware Precision Industries Co. 2,997,324 3,641,645
Siliconware Precision Industries Co. Sponsored ADR 67,173 402,366
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
TAIWAN -- (Continued)
Simplo Technology Co., Ltd. 298,000 $ 1,465,272
SinoPac Financial Holdings Co., Ltd. 7,945,105 3,931,743
St Shine Optical Co., Ltd. 42,000 1,236,997
Standard Foods Corp. 269,784 827,230
Synnex Technology International Corp. 1,493,756 2,383,034
Taishin Financial Holding Co., Ltd. 8,855,372 4,472,425
* Taiwan Business Bank 4,733,871 1,454,971
Taiwan Cement Corp. 4,100,720 5,968,142
Taiwan Cooperative Financial Holding 6,737,371 3,788,474
Taiwan FamilyMart Co., Ltd. 16,000 87,138
Taiwan Fertilizer Co., Ltd. 1,089,000 2,594,996
Taiwan Glass Industry Corp. 1,136,253 1,149,856
Taiwan Mobile Co., Ltd. 1,725,300 5,884,815
Taiwan Secom Co., Ltd. 49,000 118,743
# Taiwan Semiconductor Manufacturing Co., Ltd. 25,188,808 92,834,992
Teco Electric and Machinery Co., Ltd. 2,181,000 2,326,080
# Ton Yi Industrial Corp. 763,000 844,249
Transcend Information, Inc. 231,181 730,123
Tripod Technology Corp. 482,870 954,813
TSRC Corp. 633,300 1,170,961
U-Ming Marine Transport Corp. 551,860 906,256
Uni-President Enterprises Corp. 4,524,515 8,616,168
Unimicron Technology Corp. 1,848,896 1,462,342
# United Microelectronics Corp. 15,073,000 6,394,166
Vanguard International Semiconductor Corp. 834,000 901,496
* Walsin Lihwa Corp. 3,769,000 1,168,348
Wan Hai Lines, Ltd. 1,104,800 595,373
#* Wintek Corp. 1,832,760 684,604
# Wistron Corp. 3,015,444 2,830,976
WPG Holdings, Ltd. 1,645,869 2,001,870
* Yang Ming Marine Transport Corp. 1,741,300 772,204
Yuanta Financial Holding Co., Ltd. 10,373,577 5,656,796
Yulon Motor Co., Ltd. 1,075,000 1,897,486
Zhen Ding Technology Holding, Ltd. 247,700 580,935
------------
TOTAL TAIWAN 489,720,474
------------
THAILAND -- (2.6%)
Advanced Info Service PCL 1,016,500 8,327,952
Airports of Thailand PCL 378,800 2,580,100
Bangkok Bank PCL(6368360) 605,300 4,006,162
Bangkok Bank PCL(6077019) 329,000 2,177,478
Bangkok Dusit Medical Services PCL 524,400 2,257,658
Bangkok Life Assurance PCL 435,800 882,101
Bank of Ayudhya PCL 2,590,200 3,183,137
Banpu PCL 1,185,500 1,104,562
BEC World PCL 645,300 1,207,670
Berli Jucker PCL 457,700 731,585
Big C Supercenter PCL(6368434) 255,200 1,598,843
Big C Supercenter PCL(6763932) 24,600 154,120
Bumrungrad Hospital PCL 239,000 668,048
Central Pattana PCL 1,159,900 1,788,761
Central Plaza Hotel PCL 290,900 366,838
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
THAILAND -- (Continued)
Charoen Pokphand Foods PCL 2,881,300 $ 2,249,497
CP ALL PCL 3,073,400 3,875,693
Delta Electronics Thailand PCL 429,500 658,912
Electricity Generating PCL 149,800 616,045
Glow Energy PCL 393,200 919,046
Home Product Center PCL 3,093,603 1,152,957
Indorama Ventures PCL 1,846,900 1,483,454
IRPC PCL 8,984,500 1,033,398
Jasmine International PCL 2,397,900 650,996
Kasikornbank PCL(6364766) 95,500 582,972
Kasikornbank PCL(6888794) 1,146,600 7,146,679
Krung Thai Bank PCL 5,908,587 3,853,633
Land and Houses PCL 3,400,100 1,201,642
Minor International PCL 1,438,700 1,282,696
Pruksa Real Estate PCL 483,900 346,698
PTT Exploration & Production PCL(B1359J0) 1,352,555 7,322,266
PTT Exploration & Production PCL(B1359L2) 65,409 354,102
PTT Global Chemical PCL 1,758,472 4,435,022
PTT PCL 1,015,400 10,341,584
Ratchaburi Electricity Generating Holding PCL 521,300 845,804
Robinson Department Store PCL 398,300 675,030
Siam Cement PCL(6609906) 124,800 1,764,241
Siam Cement PCL(6609928) 168,800 2,321,169
Siam City Cement PCL 94,913 1,213,667
Siam Commercial Bank PCL 1,160,966 6,135,868
Siam Global House PCL 956,200 586,777
Thai Airways International PCL 882,600 575,640
Thai Oil PCL 879,500 1,780,193
Thai Union Frozen Products PCL 452,560 817,879
TMB Bank PCL 19,864,000 1,748,670
Total Access Communication PCL(B1YWK08) 548,200 1,981,446
Total Access Communication PCL(B231MK7) 214,100 773,855
* True Corp. PCL 4,539,800 1,290,835
------------
TOTAL THAILAND 103,053,381
------------
TURKEY -- (1.9%)
Akbank TAS 2,149,304 8,400,809
Anadolu Efes Biracilik Ve Malt Sanayii A.S. 224,564 2,859,777
Arcelik A.S. 270,945 1,725,393
# Aselsan Elektronik Sanayi Ve Ticaret A.S. 95,843 451,880
# BIM Birlesik Magazalar A.S. 207,155 4,334,075
Coca-Cola Icecek A.S. 64,801 1,853,182
* Dogan Yayin Holding A.S. 1 1
Enka Insaat ve Sanayi A.S. 458,239 1,339,836
Eregli Demir ve Celik Fabrikalari TAS 2,031,348 2,808,656
Ford Otomotiv Sanayi A.S. 74,222 1,042,001
KOC Holding A.S. 767,893 3,760,957
Koza Altin Isletmeleri A.S. 47,592 841,865
* Migros Ticaret A.S. 33,309 295,946
* Petkim Petrokimya Holding A.S. 80,883 127,319
TAV Havalimanlari Holding A.S. 170,054 1,230,461
Tofas Turk Otomobil Fabrikasi A.S. 132,651 876,940
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- --------------
TURKEY -- (Continued)
Tupras Turkiye Petrol Rafinerileri A.S. 127,754 $ 2,887,807
# Turk Hava Yollari 1,063,361 4,146,235
# Turk Telekomunikasyon A.S. 563,410 1,941,472
Turk Traktor ve Ziraat Makineleri A.S. 8,237 270,988
#* Turkcell Iletisim Hizmetleri A.S. 681,855 4,231,342
* Turkcell Iletisim Hizmetleri A.S. ADR 73,838 1,154,826
Turkiye Garanti Bankasi A.S. 2,626,667 10,532,489
Turkiye Halk Bankasi A.S. 715,217 5,746,955
Turkiye Is Bankasi 1,910,546 5,219,387
Turkiye Sise ve Cam Fabrikalari A.S. 711,487 1,044,005
Turkiye Vakiflar Bankasi Tao 943,516 2,257,591
Ulker Biskuvi Sanayi A.S. 90,680 691,726
Yapi ve Kredi Bankasi A.S. 1,054,650 2,434,261
--------------
TOTAL TURKEY 74,508,182
--------------
TOTAL COMMON STOCKS 3,585,792,930
--------------
PREFERRED STOCKS -- (3.8%)
BRAZIL -- (3.7%)
AES Tiete SA 91,098 892,833
Banco Bradesco SA 2,244,395 32,334,852
Banco do Estado do Rio Grande do Sul SA Class B 200,100 1,441,427
* Braskem SA Class A 73,800 652,039
Centrais Eletricas Brasileiras SA Class B 125,500 650,879
Cia Brasileira de Distribuicao Grupo Pao de Acucar 41,100 2,041,851
* Cia de Bebidas das Americas 171,064 6,364,236
Cia de Gas de Sao Paulo Class A 13,227 350,318
* Cia de Transmissao de Energia Eletrica Paulista 30,889 440,629
Cia Energetica de Minas Gerais 467,267 4,157,056
Cia Energetica de Sao Paulo Class B 149,110 1,556,629
Cia Paranaense de Energia 32,400 452,958
* Empresa Nacional de Comercio Redito e Participacoes SA 380 7,718
Gerdau SA 836,068 6,597,506
Itau Unibanco Holding SA 2,568,240 39,737,954
Klabin SA 663,777 3,529,767
Lojas Americanas SA 416,467 3,095,622
Marcopolo SA 290,900 749,941
Oi SA 463,558 775,094
Petroleo Brasileiro SA 947,300 8,589,281
Suzano Papel e Celulose SA Class A 419,600 1,694,728
Telefonica Brasil SA 248,684 5,463,029
* Usinas Siderurgicas de Minas Gerais SA Class A 609,817 3,223,050
Vale SA 1,529,491 22,387,437
--------------
TOTAL BRAZIL 147,186,834
--------------
CHILE -- (0.0%)
Embotelladora Andina SA Class B 9,255 52,088
--------------
COLOMBIA -- (0.1%)
Avianca Holdings SA 75,566 169,513
Banco Davivienda SA 114,619 1,503,339
Bancolombia SA 10,827 151,619
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
----------- --------------
COLOMBIA -- (Continued)
Grupo Aval Acciones y Valores 1,520,771 $ 1,056,788
Grupo de Inversiones Suramericana SA 41,562 825,815
--------------
TOTAL COLOMBIA 3,707,074
--------------
TOTAL PREFERRED STOCKS 150,945,996
--------------
RIGHTS/WARRANTS -- (0.0%)
SOUTH KOREA -- (0.0%)
* Hyundai Merchant Marine Co., Ltd. Rights
11/05/13 3,751 --
--------------
SHARES/
FACE
AMOUNT
(000) VALUE+
----------- --------------
SECURITIES LENDING COLLATERAL -- (6.1%)
(S)@ DFA Short Term Investment Fund 21,089,023 244,000,000
@ Repurchase Agreement, Deutsche Bank
Securities, Inc. 0.12%, 11/01/13
(Collateralized by $799,156 FNMA, rates
ranging from 2.500% to 4.500%, maturities
ranging from 04/01/27 to 10/01/43, valued at
$722,691) to be repurchased at $708,523 $ 709 708,521
--------------
TOTAL SECURITIES LENDING COLLATERAL 244,708,521
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $2,769,771,714) $3,981,447,447
==============
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2013
SHARES VALUE+
--------- ------------
COMMON STOCKS -- (95.6%)
Consumer Discretionary -- (18.1%)
* 1-800-Flowers.com, Inc. Class A 44,330 $ 240,712
# AH Belo Corp. Class A 14,556 117,030
* ALCO Stores, Inc. 700 7,714
Arctic Cat, Inc. 3,436 180,046
#* Ascent Capital Group, Inc. Class A 8,564 722,973
# Autoliv, Inc. 9,404 839,119
* Ballantyne Strong, Inc. 9,030 45,060
#* Barnes & Noble, Inc. 12,200 172,386
Bassett Furniture Industries, Inc. 2,900 40,600
# Beasley Broadcasting Group, Inc. Class A 9,471 82,114
#* Beazer Homes USA, Inc. 12,516 227,416
# bebe stores, Inc. 19,551 117,893
Belo Corp. Class A 62,627 859,869
Best Buy Co., Inc. 197,800 8,465,840
Big 5 Sporting Goods Corp. 8,501 160,754
* Biglari Holdings, Inc. 1,953 851,547
# Bob Evans Farms, Inc. 52,387 2,990,774
# Bon-Ton Stores, Inc. (The) 2,986 34,190
#* Books-A-Million, Inc. 14,887 37,366
Brown Shoe Co., Inc. 74,697 1,676,201
* Build-A-Bear Workshop, Inc. 25,874 203,370
#* Cabela's, Inc. 53,051 3,146,985
* Cache, Inc. 26,610 160,458
Callaway Golf Co. 122,359 1,031,486
* Cambium Learning Group, Inc. 37,733 55,090
Canterbury Park Holding Corp. 2,755 31,159
Carnival Corp. 489,649 16,966,338
Carriage Services, Inc. 20,916 420,202
#* Cavco Industries, Inc. 7,600 445,132
CBS Corp. Class A 28,263 1,670,626
CBS Corp. Class B 201,625 11,924,102
* Christopher & Banks Corp. 56,231 324,453
Churchill Downs, Inc. 7,682 659,961
* Citi Trends, Inc. 3,415 50,132
* Coast Distribution System (The) 547 1,884
Columbia Sportswear Co. 4,317 288,678
Comcast Corp. Class A 3,446,875 164,002,312
Comcast Corp. Special Class A 1,088,341 50,390,188
#* Conn's, Inc. 25,450 1,538,198
Core-Mark Holding Co., Inc. 24,059 1,701,693
* Corinthian Colleges, Inc. 36,345 77,778
CSS Industries, Inc. 13,050 337,865
# CST Brands, Inc. 54,449 1,755,436
Culp, Inc. 10,036 194,197
#* dELiA*s, Inc. 22,143 30,557
#* Delta Apparel, Inc. 7,532 142,355
Destination Maternity Corp. 200 6,248
* Destination XL Group, Inc. 15,601 108,427
# DeVry, Inc. 6,079 218,236
* Digital Generation, Inc. 8,748 110,662
Dillard's, Inc. Class A 120,300 9,862,194
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
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Consumer Discretionary -- (Continued)
* Discovery Communications, Inc. Class B 3,762 $ 332,373
* Dixie Group, Inc. (The) 11,800 148,680
# Dorman Products, Inc. 20,712 1,006,810
Dover Downs Gaming & Entertainment, Inc. 5,935 8,962
Dover Motorsports, Inc. 15,098 35,631
# DR Horton, Inc. 208,125 3,943,969
#* DreamWorks Animation SKG, Inc. Class A 46,429 1,589,729
#* Education Management Corp. 13,202 201,991
Educational Development Corp. 1,679 4,802
Escalade, Inc. 277 2,443
#* EW Scripps Co. Class A 41,061 813,829
#* Federal-Mogul Corp. 38,585 790,607
#* Flanigan's Enterprises, Inc. 865 9,584
# Flexsteel Industries, Inc. 2,068 56,787
Foot Locker, Inc. 15,700 544,790
Fred's, Inc. Class A 47,275 765,855
Frisch's Restaurants, Inc. 600 14,442
* Fuel Systems Solutions, Inc. 3,398 61,028
#* Full House Resorts, Inc. 2,574 7,079
* G-III Apparel Group, Ltd. 11,394 646,268
* Gaiam, Inc. Class A 5,988 37,545
# GameStop Corp. Class A 104,752 5,742,505
Gaming Partners International Corp. 500 4,150
Gannett Co., Inc. 119,639 3,310,411
* General Motors Co. 674,707 24,930,424
#* Genesco, Inc. 6,456 439,718
#* Gray Television, Inc. 46,874 396,085
# Group 1 Automotive, Inc. 57,936 3,707,904
* Hallwood Group, Inc. (The) 296 2,828
Harte-Hanks, Inc. 12,432 99,083
# Hastings Entertainment, Inc. 300 618
# Haverty Furniture Cos., Inc. 33,479 931,051
* Helen of Troy, Ltd. 64,389 3,008,254
#* hhgregg, Inc. 36,388 564,378
* Hollywood Media Corp. 19,037 35,599
# Hooker Furniture Corp. 14,814 234,061
* Hyatt Hotels Corp. Class A 12,101 576,008
#* Iconix Brand Group, Inc. 95,618 3,450,854
International Speedway Corp. Class A 24,844 812,647
* Isle of Capri Casinos, Inc. 15,434 125,170
# JAKKS Pacific, Inc. 13,103 84,383
* Jarden Corp. 162,075 8,972,472
#* JC Penney Co., Inc. 85,215 639,113
Johnson Outdoors, Inc. Class A 15,588 427,579
Jones Group, Inc. (The) 103,143 1,602,842
* Journal Communications, Inc. Class A 77,674 648,578
# KB Home 30,800 522,676
* Kid Brands, Inc. 9,776 13,638
Kohl's Corp. 14,353 815,250
La-Z-Boy, Inc. 56,332 1,300,143
* Lakeland Industries, Inc. 11,757 63,841
#* Lee Enterprises, Inc. 38,128 104,852
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
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Consumer Discretionary -- (Continued)
# Lennar Corp. Class A 224,100 $ 7,966,755
Lennar Corp. Class B 7,868 231,870
* Liberty Interactive Corp. Class A 882,463 23,791,202
#* Liberty Interactive Corp. Class B 35,706 963,348
* Liberty Media Corp. Class A 96,383 14,737,925
* Liberty Media Corp. Class B 7,622 1,149,169
* Liberty Ventures Series A 38,401 4,123,115
* Liberty Ventures Series B 1,785 192,584
#* Life Time Fitness, Inc. 13,317 604,858
Lifetime Brands, Inc. 16,431 257,309
Lithia Motors, Inc. Class A 34,933 2,195,539
* Live Nation Entertainment, Inc. 145,347 2,825,546
Loral Space & Communications, Inc. 26,050 1,859,188
Lowe's Cos., Inc. 139,546 6,946,600
* Luby's, Inc. 44,415 340,219
#* M/I Homes, Inc. 37,930 776,427
Mac-Gray Corp. 13,104 276,232
* Madison Square Garden Co. (The) Class A 29,558 1,788,850
Marcus Corp. 18,899 271,390
* MarineMax, Inc. 29,164 429,586
* Marriott Vacations Worldwide Corp. 662 33,153
* Martha Stewart Living Omnimedia Class A 980 2,509
Matthews International Corp. Class A 3,202 130,001
#* McClatchy Co. (The) Class A 60,603 170,900
MDC Holdings, Inc. 18,400 537,096
#* Media General, Inc. Class A 25,196 367,358
Men's Wearhouse, Inc. (The) 52,860 2,235,978
# Meredith Corp. 32,676 1,676,279
* Meritage Homes Corp. 28,156 1,278,001
#* MGM Resorts International 251,100 4,780,944
* Modine Manufacturing Co. 14,650 195,138
* Mohawk Industries, Inc. 98,740 13,075,151
* Monarch Casino & Resort, Inc. 1,103 18,652
* Motorcar Parts of America, Inc. 13,074 178,852
Movado Group, Inc. 36,900 1,720,647
* MTR Gaming Group, Inc. 24,536 127,587
* Multimedia Games Holding Co., Inc. 23,224 755,012
* Murphy USA, Inc. 47,356 1,921,706
NACCO Industries, Inc. Class A 6,832 389,219
* New York & Co., Inc. 6,926 35,461
* News Corp. Class A 402,247 7,079,547
* News Corp. Class B 99,903 1,791,261
* Office Depot, Inc. 94,997 531,033
OfficeMax, Inc. 32,198 482,326
* Orient-Express Hotels, Ltd. Class A 75,198 1,000,885
#* Pacific Sunwear of California, Inc. 43,900 118,091
* Penn National Gaming, Inc. 63,446 3,712,225
Penske Automotive Group, Inc. 43,845 1,737,139
* Pep Boys-Manny Moe & Jack (The) 75,098 971,768
* Perfumania Holdings, Inc. 537 2,497
Perry Ellis International, Inc. 21,492 408,563
#* Pinnacle Entertainment, Inc. 71,930 1,683,162
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
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Consumer Discretionary -- (Continued)
PulteGroup, Inc. 143,221 $ 2,527,851
PVH Corp. 31,964 3,981,755
#* Quiksilver, Inc. 74,010 615,763
#* Radio One, Inc. Class D 13,955 41,865
#* RadioShack Corp. 46,847 131,640
* Red Lion Hotels Corp. 8,907 53,620
* Red Robin Gourmet Burgers, Inc. 31,175 2,374,911
# Regis Corp. 54,292 787,234
# Rent-A-Center, Inc. 76,435 2,617,134
#* Rick's Cabaret International, Inc. 12,026 135,774
Rocky Brands, Inc. 8,729 132,332
Royal Caribbean Cruises, Ltd. 322,500 13,557,900
* Ruby Tuesday, Inc. 70,361 417,241
Saga Communications, Inc. Class A 8,693 413,874
#* Saks, Inc. 95,502 1,527,077
Salem Communications Corp. Class A 10,922 90,216
# Scholastic Corp. 30,900 886,521
* Scientific Games Corp. Class A 41,635 761,088
#* Sears Holdings Corp. 70,001 4,065,658
Service Corp. International/US 274,069 4,935,983
Shiloh Industries, Inc. 24,793 407,101
# Shoe Carnival, Inc. 33,450 869,365
* Skechers U.S.A., Inc. Class A 49,610 1,445,635
Spartan Motors, Inc. 16,820 114,208
Speedway Motorsports, Inc. 52,187 952,935
* Sport Chalet, Inc. Class A 875 1,006
* Sport Chalet, Inc. Class B 299 387
# Stage Stores, Inc. 53,575 1,106,324
# Standard Motor Products, Inc. 37,342 1,350,287
* Stanley Furniture Co., Inc. 15,798 61,454
# Staples, Inc. 497,525 8,020,103
* Starz Class A 96,383 2,905,947
* Starz Class B 7,622 230,337
# Stein Mart, Inc. 22,915 338,455
* Steiner Leisure, Ltd. 2,225 124,645
# Stewart Enterprises, Inc. Class A 85,569 1,130,366
* Stoneridge, Inc. 19,361 247,046
# Strattec Security Corp. 5,224 211,676
Superior Industries International, Inc. 37,089 695,419
Superior Uniform Group, Inc. 8,978 135,568
Systemax, Inc. 11,750 111,625
#* Tandy Leather Factory, Inc. 500 4,150
Time Warner Cable, Inc. 693,942 83,377,131
Time Warner, Inc. 1,534,860 105,506,276
#* Toll Brothers, Inc. 203,299 6,684,471
Trans World Entertainment Corp. 5,781 25,032
#* Tuesday Morning Corp. 60,500 856,075
Twenty-First Century Fox, Inc. Class A 1,287,383 43,874,013
Twenty-First Century Fox, Inc. Class B 550,972 18,733,048
* Unifi, Inc. 43,422 1,059,063
* Universal Electronics, Inc. 3,206 124,745
Vail Resorts, Inc. 11,600 817,220
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
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Consumer Discretionary -- (Continued)
* Valuevision Media, Inc. Class A 3,998 $ 21,349
#* VOXX International Corp. 24,496 379,933
Walt Disney Co. (The) 26,220 1,798,430
# Washington Post Co. (The) Class B 5,780 3,718,390
# Wendy's Co. (The) 242,704 2,109,098
* West Marine, Inc. 26,468 323,174
#* Wet Seal, Inc. (The) Class A 13,619 45,079
Whirlpool Corp. 30,049 4,387,454
Wyndham Worldwide Corp. 144,114 9,569,170
* Zale Corp. 23,799 371,978
------------
Total Consumer Discretionary 825,492,783
------------
Consumer Staples -- (7.0%)
Alico, Inc. 960 38,362
* Alliance One International, Inc. 35,084 104,199
Andersons, Inc. (The) 15,774 1,170,115
Archer-Daniels-Midland Co. 813,476 33,271,168
Beam, Inc. 131,553 8,853,517
* Boulder Brands, Inc. 76,099 1,247,263
Bunge, Ltd. 121,368 9,967,954
# CCA Industries, Inc. 8,323 25,718
#* Central Garden and Pet Co. 25,184 191,147
* Central Garden and Pet Co. Class A 54,453 400,774
#* Chiquita Brands International, Inc. 69,284 717,089
* Constellation Brands, Inc. Class A 249,042 16,262,443
* Constellation Brands, Inc. Class B 12,715 815,095
* Craft Brew Alliance, Inc. 9,754 158,210
CVS Caremark Corp. 1,510,745 94,058,984
* Dole Food Co., Inc. 19,567 265,133
* Farmer Bros Co. 6,695 120,912
Fresh Del Monte Produce, Inc. 39,437 1,048,630
# Griffin Land & Nurseries, Inc. 1,500 49,500
#* Hain Celestial Group, Inc. (The) 43,646 3,632,657
Ingles Markets, Inc. Class A 11,437 295,189
Ingredion, Inc. 62,117 4,084,814
JM Smucker Co. (The) 108,204 12,033,367
John B Sanfilippo & Son, Inc. 10,428 256,320
Kraft Foods Group, Inc. 214,436 11,661,030
* Mannatech, Inc. 717 16,914
MGP Ingredients, Inc. 4,788 25,328
Molson Coors Brewing Co. Class A 1,908 105,121
Molson Coors Brewing Co. Class B 186,550 10,073,700
Mondelez International, Inc. Class A 2,081,099 70,008,170
Nash Finch Co. 1,082 30,361
Nutraceutical International Corp. 14,615 351,491
# Oil-Dri Corp. of America 5,047 179,118
* Omega Protein Corp. 25,852 241,975
* Pantry, Inc. (The) 22,475 300,940
* Post Holdings, Inc. 50,201 2,156,133
* Prestige Brands Holdings, Inc. 111,489 3,481,801
Safeway, Inc. 157,807 5,507,464
Sanderson Farms, Inc. 16,100 1,017,681
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Staples -- (Continued)
Seaboard Corp. 1,812 $ 4,946,760
* Seneca Foods Corp. Class A 6,301 184,745
* Seneca Foods Corp. Class B 300 8,850
Snyders-Lance, Inc. 28,337 849,827
# Spartan Stores, Inc. 32,983 776,090
Spectrum Brands Holdings, Inc. 46,130 3,040,890
#* Susser Holdings Corp. 12,360 677,822
* TreeHouse Foods, Inc. 22,732 1,665,346
Tyson Foods, Inc. Class A 405,030 11,207,180
# Universal Corp. 22,290 1,182,039
Weis Markets, Inc. 11,602 593,674
------------
Total Consumer Staples 319,359,010
------------
Energy -- (15.2%)
Adams Resources & Energy, Inc. 6,004 310,827
# Alon USA Energy, Inc. 33,484 404,487
#* Alpha Natural Resources, Inc. 170,794 1,195,558
Anadarko Petroleum Corp. 845,068 80,526,530
Apache Corp. 289,715 25,726,692
#* Approach Resources, Inc. 6,883 193,756
# Arch Coal, Inc. 60,743 257,550
#* Atwood Oceanics, Inc. 4,600 244,398
Baker Hughes, Inc. 84,672 4,918,596
* Barnwell Industries, Inc. 8,038 28,535
#* Bill Barrett Corp. 51,500 1,425,005
Bolt Technology Corp. 9,574 171,279
Bristow Group, Inc. 43,589 3,507,607
#* C&J Energy Services, Inc. 37,416 862,065
Cabot Oil & Gas Corp. 568 20,062
* Callon Petroleum Co. 5,219 35,646
# Chesapeake Energy Corp. 624,655 17,465,354
Chevron Corp. 668,412 80,182,703
* Cloud Peak Energy, Inc. 33,115 516,925
# Comstock Resources, Inc. 32,421 554,723
ConocoPhillips 1,766,829 129,508,566
Contango Oil & Gas Co. 1,064 45,604
* Dawson Geophysical Co. 17,055 498,688
Delek US Holdings, Inc. 52,256 1,335,141
* Denbury Resources, Inc. 289,460 5,496,845
Devon Energy Corp. 42,463 2,684,511
* Double Eagle Petroleum Co. 7,844 21,806
* Emerald Oil, Inc. 32,065 278,965
#* Endeavour International Corp. 4,300 25,542
EOG Resources, Inc. 6,045 1,078,428
* EPL Oil & Gas, Inc. 27,489 876,349
* Era Group, Inc. 36,653 1,158,235
#* Exterran Holdings, Inc. 69,200 1,975,660
# Green Plains Renewable Energy, Inc. 26,534 427,993
Gulf Island Fabrication, Inc. 15,018 378,754
Gulfmark Offshore, Inc. Class A 35,505 1,767,439
#* Harvest Natural Resources, Inc. 48,645 243,225
* Helix Energy Solutions Group, Inc. 103,010 2,437,217
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
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Energy -- (Continued)
# Helmerich & Payne, Inc. 108,670 $ 8,427,358
* Hercules Offshore, Inc. 107,413 730,408
Hess Corp. 378,130 30,704,156
* HKN, Inc. 564 42,018
HollyFrontier Corp. 7,105 327,256
* Hornbeck Offshore Services, Inc. 29,719 1,642,569
#* James River Coal Co. 10,139 19,467
#* Key Energy Services, Inc. 49,745 389,006
Knightsbridge Tankers, Ltd. 14,861 122,455
#* Magnum Hunter Resources Corp. 82,198 586,072
Marathon Oil Corp. 903,937 31,872,819
Marathon Petroleum Corp. 451,968 32,388,027
* Matador Resources Co. 6,400 117,824
* Matrix Service Co. 15,423 320,644
* McDermott International, Inc. 63,698 450,345
Murphy Oil Corp. 189,426 11,426,176
Nabors Industries, Ltd. 272,782 4,768,229
National Oilwell Varco, Inc. 250,948 20,371,959
* Natural Gas Services Group, Inc. 15,026 420,578
* Newfield Exploration Co. 40,262 1,225,978
#* Newpark Resources, Inc. 97,395 1,241,786
Noble Corp. 74,243 2,798,961
Noble Energy, Inc. 133,794 10,025,184
#* Northern Oil and Gas, Inc. 16,372 268,992
Occidental Petroleum Corp. 32,222 3,095,890
#* Overseas Shipholding Group, Inc. 2,355 8,125
* Parker Drilling Co. 142,573 1,026,526
# Patterson-UTI Energy, Inc. 152,325 3,695,404
* PDC Energy, Inc. 24,103 1,634,424
* Penn Virginia Corp. 35,279 300,224
* PHI, Inc.(69336T106) 1,099 41,344
* PHI, Inc.(69336T205) 21,843 869,788
Phillips 66 883,414 56,918,364
* Pioneer Energy Services Corp. 98,221 825,056
Pioneer Natural Resources Co. 88,400 18,102,552
QEP Resources, Inc. 33,043 1,092,402
* Renewable Energy Group, Inc. 2,882 31,443
* REX American Resources Corp. 4,050 116,802
#* Rex Energy Corp. 35,100 754,650
* Rowan Cos. P.L.C. Class A 121,858 4,396,637
# SEACOR Holdings, Inc. 36,653 3,584,663
SemGroup Corp. Class A 4,727 285,464
# Ship Finance International, Ltd. 40,467 669,729
* Stone Energy Corp. 1,115 38,869
* Superior Energy Services, Inc. 72,294 1,939,648
#* Swift Energy Co. 34,900 478,828
# Teekay Corp. 37,720 1,638,180
* Tesco Corp. 3,745 64,339
Tesoro Corp. 168,807 8,252,974
* TETRA Technologies, Inc. 25,510 330,865
TGC Industries, Inc. 1,787 13,170
Tidewater, Inc. 49,127 2,958,428
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
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Energy -- (Continued)
# Transocean, Ltd. 274,265 $ 12,909,654
* Triangle Petroleum Corp. 7,779 82,224
* Unit Corp. 57,000 2,930,370
#* USEC, Inc. 6,111 49,255
Valero Energy Corp. 605,899 24,944,862
* Weatherford International, Ltd. 281,383 4,625,937
# Western Refining, Inc. 68,485 2,210,011
* Whiting Petroleum Corp. 16,007 1,070,708
* Willbros Group, Inc. 18,620 181,731
------------
Total Energy 691,645,073
------------
Financials -- (18.0%)
# 1st Source Corp. 41,187 1,292,448
1st United Bancorp Inc/Boca Raton 863 6,593
ACE, Ltd. 46,348 4,423,453
* Alexander & Baldwin, Inc. 66,838 2,473,006
* Alleghany Corp. 2,626 1,064,633
Allied World Assurance Co. Holdings AG 25,477 2,758,904
Allstate Corp. (The) 157,339 8,348,407
* American Capital, Ltd. 422,803 5,923,470
# American Equity Investment Life Holding Co. 88,700 1,848,508
American Financial Group, Inc. 173,596 9,766,511
* American Independence Corp. 173 1,917
American International Group, Inc. 849,581 43,880,859
American National Insurance Co. 37,287 3,768,597
* Ameris Bancorp 12,022 220,003
AmeriServ Financial, Inc. 33,075 103,856
Argo Group International Holdings, Ltd. 42,675 1,791,496
Aspen Insurance Holdings, Ltd. 102,623 4,003,323
Associated Banc-Corp. 31,434 511,117
Assurant, Inc. 65,820 3,849,154
Assured Guaranty, Ltd. 122,989 2,521,274
Asta Funding, Inc. 7,527 64,582
# Astoria Financial Corp. 19,344 255,534
* Atlantic Coast Financial Corp. 379 1,478
#* Atlanticus Holdings Corp. 19,218 67,071
#* AV Homes, Inc. 15,767 301,150
Axis Capital Holdings, Ltd. 800 37,936
Baldwin & Lyons, Inc. Class A 300 8,060
# Baldwin & Lyons, Inc. Class B 6,556 179,175
# Banc of California, Inc. 810 11,429
* Bancorp, Inc. 459 7,422
Bank Mutual Corp. 51,232 325,836
Bank of America Corp. 6,543,356 91,345,250
Bank of New York Mellon Corp. (The) 491,755 15,637,809
BankFinancial Corp. 39,867 370,364
Banner Corp. 7,943 303,899
BCB Bancorp, Inc. 1,059 11,713
Berkshire Hills Bancorp, Inc. 25,980 659,113
#* BofI Holding, Inc. 8,208 495,927
* Capital Bank Financial Corp. Class A 233 5,177
#* Capital City Bank Group, Inc. 16,844 207,181
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
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Financials -- (Continued)
Capital One Financial Corp. 356,632 $ 24,489,919
Capital Southwest Corp. 27,628 908,132
Cathay General Bancorp 17,730 436,690
Centerstate Banks, Inc. 747 7,365
Century Bancorp, Inc. Class A 495 16,088
CFS Bancorp, Inc. 14,148 176,709
Chicopee Bancorp, Inc. 1,000 17,550
* CIT Group, Inc. 39,411 1,898,034
Citigroup, Inc. 2,115,722 103,204,919
Citizens Community Bancorp, Inc. 10,355 79,009
CME Group, Inc. 414,385 30,751,511
CNA Financial Corp. 277,671 11,270,666
CNO Financial Group, Inc. 301,264 4,693,693
# Codorus Valley Bancorp, Inc. 126 2,646
* Community West Bancshares 400 2,350
* Cowen Group, Inc. Class A 15,961 63,365
Donegal Group, Inc. Class A 27,472 435,431
Donegal Group, Inc. Class B 300 6,300
* E*TRADE Financial Corp. 89,699 1,516,810
Eastern Insurance Holdings, Inc. 23,026 562,755
* Eastern Virginia Bankshares, Inc. 307 1,851
EMC Insurance Group, Inc. 18,341 624,328
#* Encore Capital Group, Inc. 627 30,629
# Endurance Specialty Holdings, Ltd. 76,288 4,217,964
Enterprise Financial Services Corp. 3,235 58,327
# ESB Financial Corp. 432 5,750
ESSA Bancorp, Inc. 8,217 90,058
Evans Bancorp, Inc. 1,681 33,998
Everest Re Group, Ltd. 34,913 5,367,525
* Farmers Capital Bank Corp. 302 6,203
FBL Financial Group, Inc. Class A 24,660 1,103,288
Federal Agricultural Mortgage Corp. Class A 177 5,182
Federal Agricultural Mortgage Corp. Class C 9,200 328,348
Federated National Holding Co. Class C 13,665 140,066
Fidelity National Financial, Inc. Class A 46,321 1,303,936
Fidelity Southern Corp. 7,185 109,716
* First Acceptance Corp. 39,006 66,310
# First American Financial Corp. 61,982 1,602,855
#* First BanCorp 7,500 41,625
First Bancorp 16,138 241,747
* First Bancshares, Inc. 400 3,400
# First Business Financial Services, Inc. 482 16,976
First Citizens BancShares, Inc. Class A 8,627 1,826,595
First Commonwealth Financial Corp. 30,547 265,453
First Community Bancshares, Inc. 183 3,054
First Defiance Financial Corp. 10,880 280,922
First Federal of Northern Michigan Bancorp, Inc. 900 4,266
First Financial Holdings, Inc. 8,549 512,342
# First Financial Northwest, Inc. 25,371 275,022
# First Merchants Corp. 37,631 707,463
# First Midwest Bancorp, Inc. 7,168 119,204
First Niagara Financial Group, Inc. 20,401 225,023
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
* First South Bancorp, Inc. 2,278 $ 15,399
Fox Chase Bancorp, Inc. 351 6,062
* Genworth Financial, Inc. Class A 34,964 508,027
# German American Bancorp, Inc. 7,459 202,736
GFI Group, Inc. 2,875 9,976
#* Gleacher & Co., Inc. 450 5,931
* Global Indemnity P.L.C. 8,282 203,986
Goldman Sachs Group, Inc. (The) 143,685 23,113,169
# Great Southern Bancorp, Inc. 1,616 45,377
Guaranty Bancorp 15,867 214,204
#* Guaranty Federal Bancshares, Inc. 1,684 18,970
* Hallmark Financial Services, Inc. 25,666 218,418
# Hampden Bancorp, Inc. 5,886 101,239
Hanover Insurance Group, Inc. (The) 88,829 5,200,050
Hartford Financial Services Group, Inc. 308,762 10,405,279
HCC Insurance Holdings, Inc. 17,700 808,005
# Heartland Financial USA, Inc. 465 12,318
Heritage Commerce Corp. 14,483 112,823
HF Financial Corp. 400 5,332
#* Hilltop Holdings, Inc. 26,171 453,805
# Hingham Institution for Savings 500 36,360
* HMN Financial, Inc. 3,456 29,756
* Home Bancorp, Inc. 719 13,064
Home Federal Bancorp, Inc. 9,420 146,858
HopFed Bancorp, Inc. 6,781 73,574
Horace Mann Educators Corp. 58,206 1,612,306
Hudson City Bancorp, Inc. 28,191 253,155
* ICG Group, Inc. 1,184 19,311
* Imperial Holdings, Inc. 2,882 16,889
Independence Holding Co. 24,172 331,640
Infinity Property & Casualty Corp. 15,800 1,083,564
International Bancshares Corp. 800 18,280
* Intervest Bancshares Corp. Class A 2,078 15,149
* Investment Technology Group, Inc. 23,677 379,306
Investors Title Co. 1,169 91,346
# Janus Capital Group, Inc. 24,840 245,171
JPMorgan Chase & Co. 1,148,419 59,189,515
Kemper Corp. 67,002 2,480,414
# Kentucky First Federal Bancorp 2,800 22,652
KeyCorp 526,210 6,593,411
# Lakeland Bancorp, Inc. 8,324 94,894
Landmark Bancorp, Inc. 1,875 37,706
# Legg Mason, Inc. 93,283 3,588,597
Lincoln National Corp. 378,093 17,169,203
LNB Bancorp, Inc. 13,395 130,333
Loews Corp. 243,798 11,777,881
#* Louisiana Bancorp, Inc. 5,606 100,319
* Macatawa Bank Corp. 18,892 92,760
* Magyar Bancorp, Inc. 500 3,663
Maiden Holdings, Ltd. 5,792 63,422
MainSource Financial Group, Inc. 45,000 729,900
Marlin Business Services Corp. 14,241 392,624
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
MB Financial, Inc. 19,678 $ 584,437
#* MBIA, Inc. 82,267 935,376
* MBT Financial Corp. 23,185 89,030
MCG Capital Corp. 11,930 56,190
# Meadowbrook Insurance Group, Inc. 26,353 174,984
# Medallion Financial Corp. 9,550 144,969
Mercantile Bank Corp. 4,422 96,576
# Meta Financial Group, Inc. 1,083 40,309
MetLife, Inc. 1,126,173 53,279,245
* Metro Bancorp, Inc. 26,598 567,601
MetroCorp Bancshares, Inc. 2,250 32,243
#* MGIC Investment Corp. 72,733 592,047
MicroFinancial, Inc. 5,900 50,681
MidWestOne Financial Group, Inc. 346 9,141
Montpelier Re Holdings, Ltd. 38,746 1,069,777
Morgan Stanley 1,476,248 42,412,605
MutualFirst Financial, Inc. 2,300 39,100
NASDAQ OMX Group, Inc. (The) 42,129 1,492,630
National Western Life Insurance Co. Class A 900 187,200
* Navigators Group, Inc. (The) 3,685 207,244
#* New Century Bancorp, Inc. 600 3,966
# New Hampshire Thrift Bancshares, Inc. 3,667 52,071
* NewBridge Bancorp 11,413 85,141
* NewStar Financial, Inc. 41,166 716,700
* North Valley Bancorp 907 17,142
Northeast Community Bancorp, Inc. 18,190 137,334
Northrim BanCorp, Inc. 5,734 143,923
NYSE Euronext 8,639 380,289
OFG Bancorp 30,191 447,129
Old Republic International Corp. 280,714 4,713,188
#* Old Second Bancorp, Inc. 4,874 23,249
# Oppenheimer Holdings, Inc. Class A 3,097 61,414
* Pacific Mercantile Bancorp 16,236 100,988
PacWest Bancorp 1,076 40,942
Park Sterling Corp. 3,253 21,177
PartnerRe, Ltd. 52,224 5,233,367
# People's United Financial, Inc. 68,700 991,341
Peoples Bancorp of North Carolina, Inc. 250 3,273
Peoples Bancorp, Inc. 17,608 394,771
#* PHH Corp. 91,804 2,207,886
#* Phoenix Cos., Inc. (The) 2,631 101,478
#* Pinnacle Financial Partners, Inc. 23,924 741,644
* Piper Jaffray Cos. 312 11,198
Platinum Underwriters Holdings, Ltd. 21,715 1,350,456
* Popular, Inc. 56,536 1,427,534
* Porter Bancorp, Inc. 1,737 1,945
* Portfolio Recovery Associates, Inc. 28,203 1,676,668
Premier Financial Bancorp, Inc. 1,301 15,638
Principal Financial Group, Inc. 217,722 10,333,086
Protective Life Corp. 98,037 4,517,545
# Provident Financial Holdings, Inc. 544 8,247
Provident Financial Services, Inc. 21,059 394,646
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
Prudential Financial, Inc. 497,625 $40,501,699
Pulaski Financial Corp. 4,550 49,550
# Radian Group, Inc. 161,945 2,359,539
Regions Financial Corp. 1,302,555 12,543,605
Reinsurance Group of America, Inc. 169,166 12,041,236
# Renasant Corp. 42,102 1,207,485
* Republic First Bancorp, Inc. 2,174 6,848
Resource America, Inc. Class A 21,051 181,670
* Riverview Bancorp, Inc. 15,319 40,749
# Safety Insurance Group, Inc. 11,042 603,887
Sandy Spring Bancorp, Inc. 9,125 223,471
Selective Insurance Group, Inc. 45,200 1,187,404
SI Financial Group, Inc. 5,661 64,139
(degrees) Southern Community Financial 29,890 6,576
* Southern First Bancshares, Inc. 1,216 16,343
* Southwest Bancorp, Inc. 16,974 271,754
StanCorp Financial Group, Inc. 15,636 920,960
State Auto Financial Corp. 56,823 1,079,637
StellarOne Corp. 24,952 580,883
Sterling Bancorp 70,552 826,869
# Stewart Information Services Corp. 12,271 384,328
* Stratus Properties, Inc. 3,069 47,201
* Suffolk Bancorp 205 4,008
#* Sun Bancorp, Inc. 4,075 13,448
SunTrust Banks, Inc. 491,691 16,540,485
Susquehanna Bancshares, Inc. 97,547 1,149,591
Symetra Financial Corp. 20,319 380,575
Synovus Financial Corp. 159,578 518,628
Teche Holding Co. 600 30,180
TF Financial Corp. 630 17,483
Timberland Bancorp, Inc. 2,500 22,175
Travelers Cos., Inc. (The) 28,000 2,416,400
# Tree.com, Inc. 5,635 166,289
# Trustmark Corp. 4,194 113,909
# Umpqua Holdings Corp. 34,932 571,837
Unico American Corp. 1,900 23,826
# Union First Market Bankshares Corp. 12,742 307,337
United Financial Bancorp, Inc. 6,824 107,000
United Fire Group, Inc. 38,612 1,224,000
* United Security Bancshares 390 2,004
Unity Bancorp, Inc. 3,306 24,497
Unum Group 517,445 16,423,704
Validus Holdings, Ltd. 4,399 173,673
* Virginia Commerce Bancorp, Inc. 22,274 357,052
Washington Federal, Inc. 1,243 28,316
#* Waterstone Financial, Inc. 1,300 13,832
# WesBanco, Inc. 31,462 924,983
West BanCorp., Inc. 13,957 192,886
Westfield Financial, Inc. 10,811 77,947
# Wintrust Financial Corp. 24,224 1,053,986
XL Group P.L.C. 240,766 7,360,217
#* Yadkin Financial Corp. 5,570 91,459
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Financials -- (Continued)
Zions BanCorp. 53,325 $ 1,512,830
* ZipRealty, Inc. 10,028 55,154
------------
Total Financials 822,969,437
------------
Health Care -- (9.8%)
* Addus HomeCare Corp. 2,044 52,837
Aetna, Inc. 558,462 35,015,567
#* Affymetrix, Inc. 42,297 299,040
* Albany Molecular Research, Inc. 34,587 453,090
* Alere, Inc. 74,130 2,500,405
* Allied Healthcare Products 1,000 2,330
#* Allscripts Healthcare Solutions, Inc. 187,470 2,592,710
* Alphatec Holdings, Inc. 5,644 10,272
#* Amedisys, Inc. 19,727 321,156
* AMN Healthcare Services, Inc. 8,600 106,640
* Amsurg Corp. 30,743 1,318,567
Analogic Corp. 2,988 275,583
* AngioDynamics, Inc. 44,530 700,012
#* Anika Therapeutics, Inc. 14,671 438,223
#* Arrhythmia Research Technology, Inc. 1,200 3,918
#* Baxano Surgical, Inc. 5,997 7,256
* BioScrip, Inc. 36,570 256,356
* BioTelemetry, Inc. 5,328 48,698
* Boston Scientific Corp. 1,204,199 14,077,086
* Cambrex Corp. 43,567 732,797
#* Capital Senior Living Corp. 54,559 1,210,119
* CareFusion Corp. 207,163 8,031,709
* Celldex Therapeutics, Inc. 4,759 109,029
Cigna Corp. 42,954 3,306,599
Community Health Systems, Inc. 105,314 4,594,850
CONMED Corp. 43,239 1,568,278
Cooper Cos., Inc. (The) 13,956 1,803,255
* Cross Country Healthcare, Inc. 28,968 172,070
CryoLife, Inc. 17,502 157,343
#* Cumberland Pharmaceuticals, Inc. 23,319 114,030
#* Cutera, Inc. 23,864 239,833
* Cynosure, Inc. Class A 8,077 174,544
Daxor Corp. 545 4,071
* Digirad Corp. 29,111 96,940
* Emergent Biosolutions, Inc. 8,678 169,481
* Endo Health Solutions, Inc. 54,588 2,387,133
* Enzo Biochem, Inc. 47,997 119,513
* Exactech, Inc. 3,390 76,953
* Express Scripts Holding Co. 493,239 30,837,302
* Five Star Quality Care, Inc. 28,953 146,792
* Forest Laboratories, Inc. 78,471 3,690,491
* Gentiva Health Services, Inc. 31,640 362,278
* Greatbatch, Inc. 41,672 1,588,537
#* Hanger, Inc. 16,897 620,120
* Harvard Bioscience, Inc. 32,107 189,110
* Health Net, Inc. 44,958 1,366,723
#* Healthways, Inc. 46,297 445,840
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Health Care -- (Continued)
* Hologic, Inc. 305,036 $ 6,829,756
Humana, Inc. 236,814 21,822,410
* Impax Laboratories, Inc. 4,700 95,222
Invacare Corp. 30,851 662,371
Kewaunee Scientific Corp. 1,631 28,314
# Kindred Healthcare, Inc. 59,114 820,502
* Lannett Co., Inc. 3,649 86,153
* LCA-Vision, Inc. 700 2,303
LeMaitre Vascular, Inc. 5,100 41,004
#* LHC Group, Inc. 1,418 29,211
* Life Technologies Corp. 94,990 7,153,697
* LifePoint Hospitals, Inc. 82,208 4,245,221
* Magellan Health Services, Inc. 17,899 1,050,671
(degrees)* Maxygen, Inc. 43,105 1,293
* MedAssets, Inc. 44,682 1,029,026
(degrees)* MedCath Corp. 29,240 40,059
* Medical Action Industries, Inc. 24,509 148,525
#* Merit Medical Systems, Inc. 13,395 214,186
* Misonix, Inc. 4,083 17,067
* Molina Healthcare, Inc. 24,941 789,133
# National Healthcare Corp. 6,484 313,696
#* Natus Medical, Inc. 15,698 309,722
* NuVasive, Inc. 2,045 64,990
Omnicare, Inc. 197,388 10,885,948
* Omnicell, Inc. 35,405 816,793
#* PDI, Inc. 14,978 71,445
PerkinElmer, Inc. 76,500 2,910,060
Pfizer, Inc. 3,950,849 121,212,047
#* PharMerica Corp. 33,305 491,582
#* Repligen Corp. 21,271 232,705
#* RTI Biologics, Inc. 73,086 203,910
* Sciclone Pharmaceuticals, Inc. 13,028 61,622
Select Medical Holdings Corp. 42,204 357,890
#* Skilled Healthcare Group, Inc. Class A 9,380 39,959
#* Solta Medical, Inc. 4,035 7,465
#* Sucampo Pharmaceuticals, Inc. Class A 3,605 22,351
* SunLink Health Systems, Inc. 1,750 1,409
* SurModics, Inc. 5,593 131,883
* Symmetry Medical, Inc. 77,051 624,113
# Teleflex, Inc. 37,223 3,431,216
Thermo Fisher Scientific, Inc. 499,520 48,843,066
#* Triple-S Management Corp. Class B 20,684 368,382
UnitedHealth Group, Inc. 89,716 6,124,014
# Universal American Corp. 84,328 625,714
* VCA Antech, Inc. 62,638 1,782,051
* ViroPharma, Inc. 103,479 4,017,055
* WellCare Health Plans, Inc. 18,375 1,225,245
WellPoint, Inc. 504,640 42,793,472
#* Wright Medical Group, Inc. 32,357 879,140
Zoetis, Inc. 1,007,044 31,883,013
------------
Total Health Care 448,633,568
------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ----------
Industrials -- (13.6%)
AAR Corp. 32,906 $ 963,488
ABM Industries, Inc. 64,500 1,774,395
Aceto Corp. 31,686 505,392
Acme United Corp. 1,030 15,079
Actuant Corp. Class A 44,986 1,689,674
* Adept Technology, Inc. 20,476 170,360
# ADT Corp. (The) 197,193 8,552,260
* AECOM Technology Corp. 23,177 736,565
* Aegion Corp. 83,805 1,718,002
#* Aerovironment, Inc. 35,065 950,612
AGCO Corp. 58,973 3,442,844
* Air Transport Services Group, Inc. 6,308 45,670
Alamo Group, Inc. 22,751 1,073,620
Alaska Air Group, Inc. 52,626 3,718,553
Albany International Corp. Class A 20,551 756,482
Alliant Techsystems, Inc. 38,805 4,224,700
(degrees) Allied Defense Group, Inc. (The) 2,645 13,886
AMERCO 29,431 5,943,002
#* Ameresco, Inc. Class A 981 10,261
# American Railcar Industries, Inc. 20,003 819,323
Ampco-Pittsburgh Corp. 4,007 73,769
#* AMREP Corp. 1,159 9,330
# Apogee Enterprises, Inc. 36,374 1,137,779
Argan, Inc. 21 467
Arkansas Best Corp. 12,135 332,135
#* Ascent Solar Technologies, Inc. 1,951 1,834
Astec Industries, Inc. 22,925 775,094
* Atlas Air Worldwide Holdings, Inc. 36,746 1,360,704
* Avis Budget Group, Inc. 94,608 2,964,069
Baltic Trading, Ltd. 40 179
# Barnes Group, Inc. 36,400 1,293,656
Barrett Business Services, Inc. 12,955 1,078,763
* BlueLinx Holdings, Inc. 17,052 31,717
Brady Corp. Class A 38,500 1,123,815
# Briggs & Stratton Corp. 41,033 752,545
* Builders FirstSource, Inc. 12,182 90,269
#* CAI International, Inc. 17,082 373,925
* Casella Waste Systems, Inc. Class A 14,362 84,879
#* CBIZ, Inc. 38,149 311,296
CDI Corp. 39,837 639,384
# Ceco Environmental Corp. 3,773 66,593
Celadon Group, Inc. 24,642 456,863
# Chicago Rivet & Machine Co. 700 23,240
CIRCOR International, Inc. 6,849 505,251
* CNH Industrial NV 26,635 312,429
* Columbus McKinnon Corp. 17,542 456,267
Comfort Systems USA, Inc. 44,560 830,153
# Compx International, Inc. 500 7,095
* Consolidated Graphics, Inc. 12,008 769,593
* Costa, Inc. 18,022 362,603
Courier Corp. 8,245 140,083
Covanta Holding Corp. 94,292 1,618,994
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Industrials -- (Continued)
* Covenant Transportation Group, Inc. Class A 7,080 $ 46,232
#* CPI Aerostructures, Inc. 4,626 57,362
* CRA International, Inc. 7,613 145,028
CSX Corp. 1,242,950 32,391,277
Curtiss-Wright Corp. 46,353 2,307,452
* DigitalGlobe, Inc. 21,971 699,117
Douglas Dynamics, Inc. 30,234 458,650
#* Ducommun, Inc. 16,645 413,795
* Dycom Industries, Inc. 39,867 1,182,057
Dynamic Materials Corp. 1,436 31,736
Eastern Co. (The) 10,193 168,694
Eaton Corp. P.L.C. 78,508 5,539,524
Ecology and Environment, Inc. Class A 900 9,900
EMCOR Group, Inc. 50,540 1,873,012
Encore Wire Corp. 19,966 988,916
* Energy Recovery, Inc. 1,783 10,413
#* EnerNOC, Inc. 13,197 219,466
EnerSys, Inc. 43,239 2,868,908
* Engility Holdings, Inc. 7,988 247,388
Ennis, Inc. 48,483 860,573
#* EnPro Industries, Inc. 17,635 1,052,280
# ESCO Technologies, Inc. 17,601 635,044
# Espey Manufacturing & Electronics Corp. 1,671 54,307
* Esterline Technologies Corp. 44,968 3,604,635
Exelis, Inc. 73,253 1,207,942
* Federal Signal Corp. 65,358 894,751
FedEx Corp. 142,324 18,644,444
* Flow International Corp. 24,393 97,328
Fortune Brands Home & Security, Inc. 149,626 6,445,888
* Franklin Covey Co. 3,046 57,265
# FreightCar America, Inc. 9,404 209,145
* FTI Consulting, Inc. 25,736 1,044,367
* Furmanite Corp. 31,044 349,245
G&K Services, Inc. Class A 29,714 1,854,154
GATX Corp. 65,445 3,373,690
#* Genco Shipping & Trading, Ltd. 7,630 20,372
* Gencor Industries, Inc. 8,766 80,034
# General Cable Corp. 8,357 275,196
General Dynamics Corp. 28,674 2,484,029
General Electric Co. 5,021,489 131,261,722
* Genesee & Wyoming, Inc. Class A 1,200 119,808
* Gibraltar Industries, Inc. 42,111 674,197
* GP Strategies Corp. 18,583 520,696
Granite Construction, Inc. 27,179 879,241
# Great Lakes Dredge & Dock Corp. 69,820 566,938
#* Greenbrier Cos., Inc. 22,451 595,850
# Griffon Corp. 67,323 843,557
* H&E Equipment Services, Inc. 59,629 1,492,514
Hardinge, Inc. 19,132 282,962
Harsco Corp. 54,994 1,533,233
#* Hawaiian Holdings, Inc. 18,070 149,077
Heidrick & Struggles International, Inc. 18,234 337,694
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Industrials -- (Continued)
* Hertz Global Holdings, Inc. 278,411 $ 6,392,317
* Hill International, Inc. 27,154 93,410
* Hudson Global, Inc. 15,880 51,610
Huntington Ingalls Industries, Inc. 47,666 3,410,502
Hurco Cos., Inc. 7,910 193,716
* Huron Consulting Group, Inc. 4,001 234,339
Hyster-Yale Materials Handling, Inc. 12,246 960,576
* ICF International, Inc. 31,660 1,096,069
Ingersoll-Rand P.L.C. 213,109 14,391,251
Insteel Industries, Inc. 17,578 291,619
International Shipholding Corp. 11,354 281,806
# Intersections, Inc. 26,279 225,211
#* JetBlue Airways Corp. 324,893 2,303,491
Kadant, Inc. 5,786 207,139
KAR Auction Services, Inc. 18,100 537,932
KBR, Inc. 3,600 124,344
Kelly Services, Inc. Class A 41,722 870,321
Kennametal, Inc. 1,000 46,000
* Key Technology, Inc. 3,199 46,290
Kimball International, Inc. Class B 31,258 365,719
* Korn/Ferry International 33,148 788,922
* Kratos Defense & Security Solutions, Inc. 2,711 22,989
L-3 Communications Holdings, Inc. 100,470 10,092,211
* Lawson Products, Inc. 8,847 116,073
#* Layne Christensen Co. 31,561 610,390
LB Foster Co. Class A 6,682 312,383
#* LMI Aerospace, Inc. 13,807 216,770
LS Starrett Co. (The) Class A 4,097 46,583
LSI Industries, Inc. 27,715 255,255
* Lydall, Inc. 14,605 266,103
Manpowergroup, Inc. 22,886 1,787,397
Marten Transport, Ltd. 47,782 842,874
Matson, Inc. 62,316 1,688,140
# McGrath RentCorp 17,552 626,080
* Metalico, Inc. 27,024 44,319
* Mfri, Inc. 8,900 105,376
Miller Industries, Inc. 20,099 376,655
* Mobile Mini, Inc. 54,461 1,967,131
* Moog, Inc. Class A 35,339 2,110,798
Mueller Industries, Inc. 15,456 931,842
Mueller Water Products, Inc. Class A 185,957 1,593,651
Multi-Color Corp. 308 10,728
* MYR Group, Inc. 19,582 517,944
# National Presto Industries, Inc. 571 40,284
* National Technical Systems, Inc. 15,600 357,084
* Navigant Consulting, Inc. 12,297 213,353
# NL Industries, Inc. 51,251 597,587
NN, Inc. 18,396 295,808
Norfolk Southern Corp. 545,229 46,900,599
Northrop Grumman Corp. 337,038 36,234,955
* Northwest Pipe Co. 8,801 317,100
#* Ocean Power Technologies, Inc. 8,400 19,740
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Industrials -- (Continued)
* On Assignment, Inc. 53,951 $ 1,823,004
* Orbital Sciences Corp. 39,656 914,864
* Orion Energy Systems, Inc. 1,043 4,433
* Oshkosh Corp. 14,466 688,437
* Owens Corning 149,300 5,364,349
PAM Transportation Services, Inc. 19,428 338,047
Pentair, Ltd. 117,934 7,912,192
* PGT, Inc. 500 5,225
# Pike Electric Corp. 22,013 237,961
* Powell Industries, Inc. 7,529 473,047
#* PowerSecure International, Inc. 19,459 351,819
# Providence and Worcester Railroad Co. 850 17,400
Quad/Graphics, Inc. 2,390 83,459
Quanex Building Products Corp. 21,431 381,043
* Quanta Services, Inc. 168,307 5,084,554
Raytheon Co. 96,954 7,986,101
# RCM Technologies, Inc. 20,293 130,890
#* Real Goods Solar, Inc. Class A 2,471 8,278
Regal-Beloit Corp. 16,070 1,178,413
* Republic Airways Holdings, Inc. 48,736 574,110
Republic Services, Inc. 429,755 14,383,900
Resources Connection, Inc. 25,955 331,186
* Roadrunner Transportation Systems, Inc. 879 23,294
#* Rush Enterprises, Inc. Class A 32,603 933,098
* Rush Enterprises, Inc. Class B 18,522 450,270
Ryder System, Inc. 89,844 5,914,431
* Saia, Inc. 8,925 290,330
Schawk, Inc. 44,631 652,505
SIFCO Industries, Inc. 6,623 146,898
SkyWest, Inc. 38,506 579,130
SL Industries, Inc. 300 8,100
Southwest Airlines Co. 645,761 11,120,004
* Sparton Corp. 9,132 240,993
SPX Corp. 12,803 1,161,360
* Standard Register Co. (The) 6,086 51,731
Standex International Corp. 22,341 1,374,195
Stanley Black & Decker, Inc. 154,919 12,252,544
Steelcase, Inc. Class A 55,469 909,137
* Sterling Construction Co., Inc. 18,633 178,877
* Supreme Industries, Inc. Class A 1,433 8,770
Sypris Solutions, Inc. 8,460 26,987
# TAL International Group, Inc. 24,053 1,162,000
* Tecumseh Products Co. Class A 12,600 98,280
* Tecumseh Products Co. Class B 1,400 10,206
* Terex Corp. 27,578 963,851
#* Tetra Tech, Inc. 45,222 1,181,651
#* Titan Machinery, Inc. 2,883 50,856
* TRC Cos., Inc. 28,708 220,765
Trinity Industries, Inc. 91,907 4,653,251
Triumph Group, Inc. 57,456 4,116,722
* Tufco Technologies, Inc. 900 4,545
* Tutor Perini Corp. 33,844 776,720
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
Industrials -- (Continued)
Twin Disc, Inc. 900 $ 23,283
Tyco International, Ltd. 240,619 8,794,624
* Ultralife Corp. 10,710 41,769
UniFirst Corp. 18,705 1,923,248
Union Pacific Corp. 444,064 67,231,290
# United Stationers, Inc. 24,021 1,067,493
Universal Forest Products, Inc. 31,800 1,682,856
URS Corp. 84,698 4,592,326
* USA Truck, Inc. 15,105 200,594
# UTi Worldwide, Inc. 16,157 245,586
* Versar, Inc. 5,526 26,138
Viad Corp. 27,114 723,944
* Virco Manufacturing Corp. 12,601 25,580
# VSE Corp. 305 13,359
# Waste Connections, Inc. 2,800 119,672
Watts Water Technologies, Inc. Class A 53,615 3,097,875
# Werner Enterprises, Inc. 34,105 789,872
#* Wesco Aircraft Holdings, Inc. 6,228 114,097
#* WESCO International, Inc. 11,687 998,771
* Willdan Group, Inc. 1,000 3,820
#* Willis Lease Finance Corp. 6,713 117,008
* XPO Logistics, Inc. 12,216 246,519
------------
Total Industrials 619,614,769
------------
Information Technology -- (5.9%)
* Accelrys, Inc. 41,733 390,204
* Active Network, Inc. (The) 5,247 75,767
Activision Blizzard, Inc. 982,162 16,343,176
* Acxiom Corp. 7,769 258,164
* Advanced Energy Industries, Inc. 47,985 1,001,927
* Agilysys, Inc. 16,899 198,563
* Alpha & Omega Semiconductor, Ltd. 419 3,084
* Amtech Systems, Inc. 8,571 68,568
#* ANADIGICS, Inc. 33,721 68,116
* Anaren, Inc. 9,602 239,858
# AOL, Inc. 105,592 3,826,654
* ARRIS Group, Inc. 140,787 2,514,456
* Arrow Electronics, Inc. 182,170 8,747,803
Astro-Med, Inc. 6,285 79,694
* ATMI, Inc. 31,034 848,470
* Aviat Networks, Inc. 44,931 92,558
Avnet, Inc. 139,400 5,534,180
AVX Corp. 172,540 2,286,155
# Aware, Inc. 14,326 74,925
* Axcelis Technologies, Inc. 17,951 38,954
* AXT, Inc. 20,506 46,344
#* Bankrate, Inc. 4,453 74,989
Bel Fuse, Inc. Class A 4,174 86,068
Bel Fuse, Inc. Class B 18,286 384,737
* Benchmark Electronics, Inc. 93,903 2,134,415
Black Box Corp. 26,448 662,258
#* Blucora, Inc. 81,156 1,917,716
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Information Technology -- (Continued)
* Brocade Communications Systems, Inc. 461,513 $ 3,701,334
Brooks Automation, Inc. 50,847 490,165
#* Bsquare Corp. 4,065 13,089
#* BTU International, Inc. 1,600 5,296
#* CACI International, Inc. Class A 24,830 1,787,263
* Calix, Inc. 16,027 162,995
* Cascade Microtech, Inc. 24,071 246,487
* Ceva, Inc. 3,580 51,301
* Checkpoint Systems, Inc. 27,235 463,540
* CIBER, Inc. 85,855 279,029
Cohu, Inc. 40,815 390,191
Communications Systems, Inc. 12,612 143,903
Computer Sciences Corp. 205,559 10,125,836
Comtech Telecommunications Corp. 15,569 467,381
Concurrent Computer Corp. 13,740 101,264
Convergys Corp. 197,364 3,895,965
* CoreLogic, Inc. 96,545 3,212,052
Corning, Inc. 1,201,485 20,533,379
#* Cray, Inc. 12,866 287,684
CSP, Inc. 2,414 18,250
# CTS Corp. 66,936 1,246,348
* CyberOptics Corp. 9,134 46,309
* Datalink Corp. 1,412 14,501
* Dataram Corp. 1,257 3,067
* Digi International, Inc. 31,089 313,377
* Digital River, Inc. 22,145 395,067
* Diodes, Inc. 4,709 114,052
* DSP Group, Inc. 46,713 348,012
* Dynamics Research Corp. 16,772 124,113
EarthLink, Inc. 83,735 423,699
* EchoStar Corp. Class A 23,551 1,129,506
* Edgewater Technology, Inc. 13,603 93,181
Electro Rent Corp. 40,561 735,777
Electro Scientific Industries, Inc. 36,298 434,850
* Electronics for Imaging, Inc. 58,110 1,993,754
#* Emcore Corp. 744 3,966
* Emulex Corp. 52,269 393,586
#* Entropic Communications, Inc. 3,600 15,408
EPIQ Systems, Inc. 23,453 350,857
ePlus, Inc. 8,745 475,378
* Euronet Worldwide, Inc. 23,278 1,010,265
* Exar Corp. 51,341 591,962
* Fabrinet 4,055 67,881
* Fairchild Semiconductor International, Inc. 118,008 1,495,161
Fidelity National Information Services, Inc. 151,857 7,403,029
* Finisar Corp. 61,526 1,415,713
#* First Solar, Inc. 28,266 1,420,932
* FormFactor, Inc. 30,568 159,565
Frequency Electronics, Inc. 16,953 188,348
* Globecomm Systems, Inc. 26,554 372,553
* GSE Systems, Inc. 17,638 29,985
* GSI Technology, Inc. 9,236 64,837
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Information Technology -- (Continued)
Hackett Group, Inc. (The) 53,321 $ 379,646
* Harmonic, Inc. 35,712 261,055
Hewlett-Packard Co. 337,265 8,219,148
* Hutchinson Technology, Inc. 22,425 83,421
IAC/InterActiveCorp 125,298 6,689,660
* ID Systems, Inc. 17,291 89,913
* Identive Group, Inc. 10,175 6,511
* Imation Corp. 28,996 134,831
* Ingram Micro, Inc. Class A 277,679 6,433,822
* Insight Enterprises, Inc. 42,100 887,047
* Integrated Device Technology, Inc. 177,893 1,892,782
* Integrated Silicon Solution, Inc. 42,178 454,679
* Internap Network Services Corp. 32,386 235,446
* International Rectifier Corp. 79,000 2,057,160
* Interphase Corp. 2,999 12,206
Intersil Corp. Class A 119,798 1,336,946
#* Intevac, Inc. 7,954 40,565
* IntraLinks Holdings, Inc. 3,070 31,897
* IntriCon Corp. 2,835 12,559
#* Itron, Inc. 33,397 1,425,050
IXYS Corp. 3,055 35,530
* Juniper Networks, Inc. 138,384 2,579,478
#* Kemet Corp. 2,700 15,309
* Key Tronic Corp. 17,623 191,210
* Kulicke & Soffa Industries, Inc. 71,688 924,775
* KVH Industries, Inc. 35,149 482,947
* Lattice Semiconductor Corp. 108,469 556,446
# Leidos Holdings, Inc. 10,850 510,926
Lexmark International, Inc. Class A 33,976 1,207,847
* Limelight Networks, Inc. 18,463 35,449
* LTX-Credence Corp. 20,165 123,611
# ManTech International Corp. Class A 12,385 346,037
Marchex, Inc. Class B 32,883 293,316
Marvell Technology Group, Ltd. 38,293 459,516
#* Maxwell Technologies, Inc. 2,521 18,907
#* Measurement Specialties, Inc. 251 13,988
Mentor Graphics Corp. 35,620 786,490
#* Mercury Systems, Inc. 339 3,126
Methode Electronics, Inc. 79,272 2,027,778
* Micron Technology, Inc. 758,908 13,417,493
MKS Instruments, Inc. 61,200 1,813,968
#* ModusLink Global Solutions, Inc. 68,955 284,095
Molex, Inc. 14,869 573,943
#* Nanometrics, Inc. 13,265 246,464
* NCI, Inc. Class A 686 3,910
* NETGEAR, Inc. 428 12,309
* Newport Corp. 64,756 1,027,678
* Novatel Wireless, Inc. 22,113 67,776
* Official Payments Holdings, Inc. 2,151 17,939
#* OmniVision Technologies, Inc. 37,132 520,219
* Oplink Communications, Inc. 38,456 701,822
Optical Cable Corp. 10,793 43,064
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ----------
Information Technology -- (Continued)
* PAR Technology Corp. 22,705 $ 126,240
Park Electrochemical Corp. 1,642 46,058
PC Connection, Inc. 39,267 784,947
PC-Tel, Inc. 33,870 311,943
* PCM, Inc. 10,471 110,155
Perceptron, Inc. 8,428 117,908
* Performance Technologies, Inc. 24,790 76,849
* Pericom Semiconductor Corp. 37,284 301,255
#* Photronics, Inc. 79,712 669,581
* Planar Systems, Inc. 3,449 7,208
* Plexus Corp. 8,982 343,831
* PMC - Sierra, Inc. 102,988 604,540
* Polycom, Inc. 36,977 384,561
* Qualstar Corp. 12,400 16,244
* Qumu Corp. 800 11,984
* Radisys Corp. 9,762 29,481
* Rambus, Inc. 1,069 9,343
* RealNetworks, Inc. 30,402 233,183
#* Reis, Inc. 13,511 243,063
RF Industries, Ltd. 2,823 25,943
Richardson Electronics, Ltd. 24,525 282,528
* Rofin-Sinar Technologies, Inc. 4,978 130,672
* Rogers Corp. 7,543 459,821
* Rosetta Stone, Inc. 1,466 22,254
* Rovi Corp. 19,000 318,440
#* Rudolph Technologies, Inc. 45,996 487,558
SanDisk Corp. 13,097 910,241
* Sanmina Corp. 39,846 580,158
* ScanSource, Inc. 14,745 567,093
# Science Applications International Corp. 6,199 218,515
* Seachange International, Inc. 39,044 554,034
* ShoreTel, Inc. 3,200 25,440
* Sigma Designs, Inc. 11,784 64,105
#* Smith Micro Software, Inc. 500 405
* SMTC Corp. 1,200 2,340
#* Sonus Networks, Inc. 33,110 99,330
#* Spansion, Inc. Class A 21,173 253,441
#* Speed Commerce, Inc. 336 1,233
* SS&C Technologies Holdings, Inc. 25,793 1,013,665
* StarTek, Inc. 27,060 169,396
#* STR Holdings, Inc. 1,100 2,189
#* SunEdison, Inc. 154,224 1,434,283
#* SunPower Corp. 18,322 553,141
* Super Micro Computer, Inc. 5,886 81,933
Supertex, Inc. 9,913 252,881
* support.com, Inc. 25,400 113,284
* Sykes Enterprises, Inc. 20,292 379,866
* Symmetricom, Inc. 87,926 630,429
* SYNNEX Corp. 55,900 3,426,670
* Tech Data Corp. 82,952 4,318,481
#* TeleCommunication Systems, Inc. Class A 54,047 123,227
* Telenav, Inc. 9,865 71,521
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Information Technology -- (Continued)
Tellabs, Inc. 232,891 $ 568,254
#* Teradyne, Inc. 26,789 468,540
# Tessco Technologies, Inc. 8,689 307,851
Tessera Technologies, Inc. 48,635 925,038
* TheStreet, Inc. 35,273 82,892
* TriQuint Semiconductor, Inc. 59,493 471,779
TSR, Inc. 550 1,865
* TTM Technologies, Inc. 62,635 548,056
United Online, Inc. 124,466 1,075,386
#* Veeco Instruments, Inc. 15,978 466,717
* Viasystems Group, Inc. 11,376 170,640
* Vicon Industries, Inc. 5,787 17,072
* Video Display Corp. 600 2,172
* Virtusa Corp. 30,064 934,389
#* Vishay Intertechnology, Inc. 228,349 2,801,842
* Vishay Precision Group, Inc. 24,277 398,143
* Westell Technologies, Inc. Class A 16,329 58,621
Western Digital Corp. 212,781 14,815,941
Xerox Corp. 1,188,277 11,811,473
* XO Group, Inc. 6,284 87,222
Xyratex, Ltd. 28,153 279,841
* Yahoo!, Inc. 1,048,770 34,535,996
#* Zygo Corp. 18,732 289,222
#* Zynga, Inc. Class A 170,882 613,466
------------
Total Information Technology 271,012,265
------------
Materials -- (3.1%)
A Schulman, Inc. 32,960 1,091,635
# Alcoa, Inc. 888,828 8,239,435
# Allegheny Technologies, Inc. 22,777 753,919
#* AM Castle & Co. 36,370 520,455
* American Pacific Corp. 7,647 348,091
Ashland, Inc. 112,560 10,417,428
Axiall Corp. 26,423 1,027,590
# Bemis Co., Inc. 24,092 961,271
Cabot Corp. 46,280 2,157,111
#* Century Aluminum Co. 15,822 137,335
* Chemtura Corp. 49,368 1,209,516
* Clearwater Paper Corp. 16,822 878,445
# Cliffs Natural Resources, Inc. 35,738 917,752
* Coeur Mining Inc 128,160 1,564,834
Commercial Metals Co. 85,208 1,564,419
* Continental Materials Corp. 100 1,749
* Core Molding Technologies, Inc. 11,847 127,948
Cytec Industries, Inc. 64,700 5,375,923
Domtar Corp. 30,917 2,618,979
Dow Chemical Co. (The) 14,000 552,580
* Ferro Corp. 42,247 542,029
Freeport-McMoRan Copper & Gold, Inc. 96,952 3,563,955
Friedman Industries, Inc. 16,110 159,811
FutureFuel Corp. 6,104 106,271
* Graphic Packaging Holding Co. 154,000 1,293,600
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
Materials -- (Continued)
Greif, Inc. Class A 4,885 $ 261,299
#* Headwaters, Inc. 23,663 206,578
# Hecla Mining Co. 203,366 634,502
#* Horsehead Holding Corp. 49,015 711,208
Huntsman Corp. 50,242 1,166,619
International Paper Co. 493,615 22,020,165
# Kaiser Aluminum Corp. 27,181 1,833,358
KapStone Paper and Packaging Corp. 40,492 2,103,964
* Kraton Performance Polymers, Inc. 5,435 115,602
Kronos Worldwide, Inc. 4,331 67,174
* Landec Corp. 37,056 433,926
* Louisiana-Pacific Corp. 173,457 2,950,504
LyondellBasell Industries NV Class A 71,793 5,355,758
Materion Corp. 18,497 551,396
MeadWestvaco Corp. 188,451 6,567,517
#* Mercer International, Inc. 21,725 173,800
Minerals Technologies, Inc. 34,280 1,941,276
Myers Industries, Inc. 64,720 1,153,310
Neenah Paper, Inc. 7,684 316,120
* Northern Technologies International Corp. 3,035 51,625
# Nucor Corp. 83,945 4,345,833
# Olin Corp. 62,261 1,401,495
# Olympic Steel, Inc. 9,986 273,317
* OM Group, Inc. 42,299 1,438,166
* Penford Corp. 26,122 355,259
PH Glatfelter Co. 50,600 1,325,720
PolyOne Corp. 8,983 272,185
Reliance Steel & Aluminum Co. 93,801 6,874,675
* Resolute Forest Products, Inc. 1,817 29,054
Rock Tenn Co. Class A 26,305 2,814,898
* RTI International Metals, Inc. 50,032 1,696,085
# Schnitzer Steel Industries, Inc. Class A 14,397 418,089
Sealed Air Corp. 46,499 1,403,340
Sensient Technologies Corp. 38,101 1,986,205
Steel Dynamics, Inc. 94,919 1,705,694
* Stillwater Mining Co. 59,549 649,680
* SunCoke Energy, Inc. 62,210 1,244,200
Synalloy Corp. 5,144 82,767
#* Texas Industries, Inc. 33,762 1,813,019
# Tredegar Corp. 40,177 1,173,972
Tronox, Ltd. Class A 1,600 36,944
#* Universal Stainless & Alloy Products, Inc. 9,093 293,886
Vulcan Materials Co. 58,246 3,119,073
Wausau Paper Corp. 14,684 171,803
Westlake Chemical Corp. 79,076 8,494,344
Worthington Industries, Inc. 47,320 1,918,353
* Zoltek Cos., Inc. 34,022 568,167
------------
Total Materials 140,654,005
------------
Other -- (0.0%)
(degrees)* Gerber Scientific, Inc. Escrow Shares 47,409 --
(degrees)* Petrocorp, Inc. Escrow Shares 900 54
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Other -- (Continued)
(degrees)* Price Communications Liquidation Trust 47,738 $ --
--------------
Total Other 54
--------------
Real Estate Investment Trusts -- (0.0%)
Geo Group, Inc. (The) 6,663 235,004
--------------
Telecommunication Services -- (4.6%)
AT&T, Inc. 4,065,906 147,185,797
Atlantic Tele-Network, Inc. 84 4,655
* Cbeyond, Inc. 11,274 72,605
# CenturyLink, Inc. 510,163 17,274,119
# Frontier Communications Corp. 696,949 3,073,545
* General Communication, Inc. Class A 44,167 420,028
* Iridium Communications, Inc. 14,800 89,244
* Leap Wireless International, Inc. 8,393 135,128
Lumos Networks Corp. 500 11,005
#* ORBCOMM, Inc. 44,499 268,329
* Premiere Global Services, Inc. 2,000 18,020
Shenandoah Telecommunications Co. 3,026 83,911
#* Sprint Corp. 824,326 5,547,714
T-Mobile US, Inc. 113,786 3,155,286
Telephone & Data Systems, Inc. 154,629 4,821,332
United States Cellular Corp. 33,568 1,624,691
USA Mobility, Inc. 12,522 186,828
Verizon Communications, Inc. 547,535 27,655,993
* Vonage Holdings Corp. 85,934 320,534
--------------
Total Telecommunication Services 211,948,764
--------------
Utilities -- (0.3%)
* Calpine Corp. 62,921 1,269,117
# Consolidated Water Co., Ltd. 6,656 100,106
* Genie Energy, Ltd. Class B 5,000 51,650
NRG Energy, Inc. 367,799 10,493,305
# Ormat Technologies, Inc. 20,134 524,893
# SJW Corp. 6,569 185,443
UGI Corp. 52,659 2,178,503
--------------
Total Utilities 14,803,017
--------------
TOTAL COMMON STOCKS 4,366,367,749
--------------
RIGHTS/WARRANTS -- (0.0%)
(degrees)* CVR Energy, Inc. Contingent Value Rights 44,674 --
(degrees)#* Magnum Hunter Resources Corp. Warrants 04/15/16 8,219 --
--------------
TOTAL RIGHTS/WARRANTS --
--------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional Liquid Reserves, 0.073% 22,324,026 22,324,026
--------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES/
FACE
AMOUNT
(000) VALUE+
---------- --------------
SECURITIES LENDING COLLATERAL -- (3.9%)
(S)@ DFA Short Term Investment Fund 15,381,037 $ 177,958,599
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $2,775,925,201) $4,566,650,374
==============
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this Form
N-CSR (the "Report"), the Registrant's Principal Executive Officer and
Principal Financial Officer believe that the disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940, as amended) are effectively designed to ensure that
information required to be disclosed by the Registrant in the Report
is recorded, processed, summarized and reported by the filing date,
including ensuring that information required to be disclosed in the
Report is accumulated and communicated to the Registrant's officers
that are making certifications in the
Report, as appropriate, to allow timely decisions regarding required
disclosure. The Registrant's management, including the Principal
Executive Officer and the Principal Financial Officer, recognizes that
any set of controls and procedures, no matter how well designed and
operated, can provide only reasonable assurance of achieving the
desired control objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the second
fiscal quarter of the period covered by this Report that have
materially affected, or are reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics is filed herewith.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Investment Group Inc.
By: /s/ David G. Booth
---------------------------------
David G. Booth
Chairman, Director, President and
Co-Chief Executive Officer
Date: January 2, 2014
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: January 2, 2014
By: /s/ David R. Martin
---------------------------------
David R. Martin
Principal Financial Officer
Dimensional Investment Group Inc.
Date: January 2, 2014