================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7440
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DIMENSIONAL EMERGING MARKETS VALUE FUND
(Exact name of registrant as specified in charter)
-----------------
6300 Bee Cave Road, Building One, Austin, TX 78746
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
Dimensional Emerging Markets Value Fund,
6300 Bee Cave Road, Building One, Austin, TX 78746
(Name and address of agent for service)
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Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: November 1, 2013 - April 30, 2014
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ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO]
SEMI-ANNUAL REPORT
-------------------------------------------------------------------
six months ended: April 30, 2014 (Unaudited)
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL EMERGING MARKETS VALUE FUND
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 2014
Dear Fellow Shareholder,
Since our founding 33 years ago, Dimensional has grown into a global asset
management firm. We believe well-functioning markets that bring together
investors who supply capital with companies that put capital to work are what
make our business and investment approach successful.
At Dimensional, we combine insights gained from academia and a belief in the
power of markets with decades of practical experience implementing in
competitive markets. By applying this approach, we have built up a long and
compelling track record across global equity and fixed income markets.
Sincerely,
/s/ David G. Booth
David G. Booth
Chairman and Co-Chief Executive Officer
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes.............................. 1
DFA Investment Dimensions Group Inc.
Disclosure of Fund Expenses.......................................... 2
Disclosure of Portfolio Holdings..................................... 7
Schedules of Investments/Summary Schedules of Portfolio Holdings
Enhanced U.S. Large Company Portfolio............................ 10
U.S. Large Cap Equity Portfolio.................................. 12
U.S. Large Cap Value Portfolio................................... 15
U.S. Targeted Value Portfolio.................................... 16
U.S. Small Cap Value Portfolio................................... 19
U.S. Core Equity 1 Portfolio..................................... 22
U.S. Core Equity 2 Portfolio..................................... 25
U.S. Vector Equity Portfolio..................................... 28
U.S. Small Cap Portfolio......................................... 31
U.S. Micro Cap Portfolio......................................... 34
DFA Real Estate Securities Portfolio............................. 37
Large Cap International Portfolio................................ 39
International Core Equity Portfolio.............................. 43
International Small Company Portfolio............................ 48
Japanese Small Company Portfolio................................. 49
Asia Pacific Small Company Portfolio............................. 49
United Kingdom Small Company Portfolio........................... 50
Continental Small Company Portfolio.............................. 50
DFA International Real Estate Securities Portfolio............... 51
DFA Global Real Estate Securities Portfolio...................... 55
DFA International Small Cap Value Portfolio...................... 56
International Vector Equity Portfolio............................ 60
World ex U.S. Value Portfolio.................................... 65
World ex U.S. Targeted Value Portfolio........................... 66
World ex U.S. Core Equity Portfolio.............................. 67
Selectively Hedged Global Equity Portfolio....................... 68
Emerging Markets Portfolio....................................... 69
Emerging Markets Small Cap Portfolio............................. 69
Emerging Markets Value Portfolio................................. 69
Emerging Markets Core Equity Portfolio........................... 70
Statements of Assets and Liabilities................................. 74
Statements of Operations............................................. 81
Statements of Changes in Net Assets.................................. 88
Financial Highlights................................................. 98
Notes to Financial Statements........................................ 119
DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio
Consolidated Disclosure of Fund Expenses............................. 146
Consolidated Disclosure of Portfolio Holdings........................ 147
Consolidated Schedule of Investments................................. 148
Consolidated Statement of Assets and Liabilities..................... 153
Consolidated Statement of Operations................................. 154
Consolidated Statements of Changes in Net Assets..................... 155
i
TABLE OF CONTENTS
CONTINUED
Page
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Consolidated Financial Highlights............................... 156
Consolidated Notes to Financial Statements...................... 157
Dimensional Investment Group Inc.
Disclosure of Fund Expenses..................................... 169
Disclosure of Portfolio Holdings................................ 171
Schedule of Investments/Summary Schedule of Portfolio Holdings
DFA International Value Portfolio........................... 172
U.S. Large Company Portfolio................................ 173
Statements of Assets and Liabilities............................ 176
Statements of Operations........................................ 177
Statements of Changes in Net Assets............................. 178
Financial Highlights............................................ 179
Notes to Financial Statements................................... 181
The DFA Investment Trust Company
Disclosure of Fund Expenses..................................... 191
Disclosure of Portfolio Holdings................................ 193
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series............................. 195
The DFA International Value Series.......................... 198
The Japanese Small Company Series........................... 202
The Asia Pacific Small Company Series....................... 205
The United Kingdom Small Company Series..................... 208
The Continental Small Company Series........................ 211
The Canadian Small Company Series........................... 215
The Emerging Markets Series................................. 218
The Emerging Markets Small Cap Series....................... 222
Statements of Assets and Liabilities............................ 226
Statements of Operations........................................ 228
Statements of Changes in Net Assets............................. 230
Financial Highlights............................................ 233
Notes to Financial Statements................................... 238
Dimensional Emerging Markets Value Fund
Disclosure of Fund Expenses..................................... 247
Disclosure of Portfolio Holdings................................ 248
Summary Schedule of Portfolio Holdings.......................... 249
Statement of Assets and Liabilities............................. 253
Statement of Operations......................................... 254
Statements of Changes in Net Assets............................. 255
Financial Highlights............................................ 256
Notes to Financial Statements................................... 257
Voting Proxies on Fund Portfolio Securities........................ 263
Board Approval of Investment Advisory Agreements................... 264
This report is submitted for the information of the Funds' shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
ii
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
AUD Australian Dollars
CAD Canadian Dollars
EUR Euro
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.
(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.
1
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2014
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
Enhanced U.S. Large Company Portfolio
-
Actual Fund Return
Institutional Class Shares... $1,000.00 $1,083.50 0.23% $1.19
Hypothetical 5% Annual Return
Institutional Class Shares... $1,000.00 $1,023.65 0.23% $1.15
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Cap Equity Portfolio
-------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,085.10 0.19% $0.98
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.85 0.19% $0.95
U.S. Large Cap Value Portfolio**
--------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,093.50 0.27% $1.40
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.46 0.27% $1.35
U.S. Targeted Value Portfolio
-----------------------------
Actual Fund Return
Class R1 Shares................. $1,000.00 $1,074.50 0.47% $2.42
Class R2 Shares................. $1,000.00 $1,073.50 0.62% $3.19
Institutional Class Shares...... $1,000.00 $1,075.50 0.37% $1.90
Hypothetical 5% Annual Return
Class R1 Shares................. $1,000.00 $1,022.46 0.47% $2.36
Class R2 Shares................. $1,000.00 $1,021.72 0.62% $3.11
Institutional Class Shares...... $1,000.00 $1,022.96 0.37% $1.86
U.S. Small Cap Value Portfolio
------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,071.40 0.52% $2.67
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,022.22 0.52% $2.61
U.S. Core Equity 1 Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,079.70 0.19% $0.98
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.85 0.19% $0.95
U.S. Core Equity 2 Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,079.30 0.21% $1.08
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.75 0.21% $1.05
U.S. Vector Equity Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $1,073.10 0.32% $1.64
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.21 0.32% $1.61
3
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
U.S. Small Cap Portfolio
------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,045.40 0.37% $1.88
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.96 0.37% $1.86
U.S. Micro Cap Portfolio
------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,044.60 0.52% $2.64
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.22 0.52% $2.61
DFA Real Estate Securities Portfolio
------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,084.90 0.18% $0.93
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.90 0.18% $0.90
Large Cap International Portfolio
---------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,049.70 0.28% $1.42
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.41 0.28% $1.40
International Core Equity Portfolio
-----------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,059.70 0.38% $1.94
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.91 0.38% $1.91
International Small Company Portfolio***
----------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,076.10 0.53% $2.73
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.17 0.53% $2.66
Japanese Small Company Portfolio**
----------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $ 974.20 0.55% $2.69
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.07 0.55% $2.76
Asia Pacific Small Company Portfolio**
--------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $ 999.90 0.55% $2.73
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.07 0.55% $2.76
4
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
United Kingdom Small Company Portfolio**
----------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,092.70 0.59% $3.06
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.87 0.59% $2.96
Continental Small Company Portfolio**
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,146.50 0.56% $2.98
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.02 0.56% $2.81
DFA International Real Estate Securities Portfolio
--------------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,043.70 0.38% $1.93
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.91 0.38% $1.91
DFA Global Real Estate Securities Portfolio***
----------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,067.60 0.32% $1.64
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,023.21 0.32% $1.61
DFA International Small Cap Value Portfolio
-------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,093.30 0.68% $3.53
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.42 0.68% $3.41
International Vector Equity Portfolio
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,066.50 0.50% $2.56
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.32 0.50% $2.51
World ex U.S. Value Portfolio***
--------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,038.50 0.60% $3.03
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.82 0.60% $3.01
World ex U.S. Targeted Value Portfolio***
-----------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,056.20 0.70% $3.57
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.32 0.70% $3.51
5
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
World ex U.S. Core Equity Portfolio***
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,042.00 0.47% $2.38
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.46 0.47% $2.36
Selectively Hedged Global Equity Portfolio***
---------------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,055.50 0.40% $2.04
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.81 0.40% $2.01
Emerging Markets Portfolio**
----------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 977.30 0.56% $2.75
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.02 0.56% $2.81
Emerging Markets Small Cap Portfolio**
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $1,018.90 0.72% $3.60
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,021.22 0.72% $3.61
Emerging Markets Value Portfolio**
----------------------------------
Actual Fund Return
Class R2 Shares.............................. $1,000.00 $ 964.30 0.80% $3.90
Institutional Class Shares................... $1,000.00 $ 965.90 0.55% $2.68
Hypothetical 5% Annual Return
Class R2 Shares.............................. $1,000.00 $1,020.83 0.80% $4.01
Institutional Class Shares................... $1,000.00 $1,022.07 0.55% $2.76
Emerging Markets Core Equity Portfolio
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 987.90 0.61% $3.01
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,021.77 0.61% $3.06
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
***The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the indirect payment of the Fund of Funds'
portion of the expenses of its Master Funds (Affiliated Investment
Companies).
6
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 31, 2014. 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 Company's holdings which reflect the investments by
category or country.
FEEDER FUNDS
Affiliated Investment Companies
-------------------------------
U.S. Large Cap Value Portfolio......... 100.0%
Japanese Small Company Portfolio....... 100.0%
Asia Pacific Small Company Portfolio... 100.0%
United Kingdom Small Company Portfolio. 100.0%
Continental Small Company Portfolio.... 100.0%
Emerging Markets Portfolio............. 100.0%
Emerging Markets Small Cap Portfolio... 100.0%
Emerging Markets Value Portfolio....... 100.0%
7
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.................................... 18.0%
Government................................... 32.0%
Foreign Corporate............................ 14.4%
Foreign Government........................... 25.0%
Supranational................................ 10.6%
-----
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. Large Cap Equity Portfolio
Consumer Discretionary....................... 13.3%
Consumer Staples............................. 8.4%
Energy....................................... 11.8%
Financials................................... 13.1%
Health Care.................................. 12.0%
Industrials.................................. 13.4%
Information Technology....................... 18.0%
Materials.................................... 4.7%
Other........................................ --
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 2.8%
Utilities.................................... 2.4%
-----
100.0%
U.S. Targeted Value Portfolio
Consumer Discretionary....................... 13.3%
Consumer Staples............................. 3.3%
Energy....................................... 11.0%
Financials................................... 24.8%
Health Care.................................. 6.3%
Industrials.................................. 17.0%
Information Technology....................... 14.5%
Materials.................................... 7.9%
Other........................................ --
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 1.3%
Utilities.................................... 0.5%
-----
100.0%
U.S. Small Cap Value Portfolio
Consumer Discretionary....................... 14.6%
Consumer Staples............................. 3.0%
Energy....................................... 12.1%
Financials................................... 25.7%
Health Care.................................. 5.3%
Industrials.................................. 18.6%
Information Technology....................... 14.1%
Materials.................................... 6.1%
Other........................................ --
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 0.3%
Utilities.................................... 0.1%
-----
100.0%
U.S. Core Equity 1 Portfolio
Consumer Discretionary....................... 13.9%
Consumer Staples............................. 7.6%
Energy....................................... 10.7%
Financials................................... 15.7%
Health Care.................................. 11.3%
Industrials.................................. 13.6%
Information Technology....................... 17.4%
Materials.................................... 4.9%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 2.1%
Utilities.................................... 2.8%
-----
100.0%
U.S. Core Equity 2 Portfolio
Consumer Discretionary....................... 13.1%
Consumer Staples............................. 6.2%
Energy....................................... 12.4%
Financials................................... 18.6%
Health Care.................................. 10.7%
Industrials.................................. 14.1%
Information Technology....................... 15.4%
Materials.................................... 5.1%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 2.4%
Utilities.................................... 2.0%
-----
100.0%
U.S. Vector Equity Portfolio
Consumer Discretionary....................... 13.5%
Consumer Staples............................. 4.8%
Energy....................................... 12.8%
Financials................................... 23.3%
Health Care.................................. 8.0%
Industrials.................................. 14.3%
Information Technology....................... 13.8%
Materials.................................... 6.0%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 2.2%
Utilities.................................... 1.3%
-----
100.0%
8
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
U.S. Small Cap Portfolio
Consumer Discretionary....................... 17.4%
Consumer Staples............................. 3.9%
Energy....................................... 6.2%
Financials................................... 16.5%
Health Care.................................. 9.4%
Industrials.................................. 18.4%
Information Technology....................... 18.4%
Materials.................................... 5.6%
Other........................................ --
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 0.6%
Utilities.................................... 3.5%
-----
100.0%
U.S. Micro Cap Portfolio
Consumer Discretionary....................... 17.7%
Consumer Staples............................. 4.2%
Energy....................................... 6.2%
Financials................................... 17.1%
Health Care.................................. 9.7%
Industrials.................................. 18.7%
Information Technology....................... 17.6%
Materials.................................... 5.9%
Other........................................ --
Telecommunication Services................... 1.2%
Utilities.................................... 1.7%
-----
100.0%
DFA Real Estate Securities Portfolio
Real Estate Investment Trusts................ 100.0%
-----
100.0%
Large Cap International Portfolio
Consumer Discretionary....................... 11.7%
Consumer Staples............................. 10.1%
Energy....................................... 9.1%
Financials................................... 24.6%
Health Care.................................. 9.5%
Industrials.................................. 12.8%
Information Technology....................... 4.2%
Materials.................................... 9.8%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 4.7%
Utilities.................................... 3.5%
-----
100.0%
International Core Equity Portfolio
Consumer Discretionary....................... 14.3%
Consumer Staples............................. 7.0%
Energy....................................... 9.3%
Financials................................... 23.3%
Health Care.................................. 6.1%
Industrials.................................. 17.1%
Information Technology....................... 5.7%
Materials.................................... 10.9%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 3.4%
Utilities.................................... 2.9%
-----
100.0%
DFA International Real Estate Securities Portfolio
Financials................................... 0.3%
Real Estate Investment Trusts................ 99.7%
-----
100.0%
DFA International Small Cap Value Portfolio
Consumer Discretionary....................... 20.8%
Consumer Staples............................. 3.7%
Energy....................................... 5.0%
Financials................................... 20.3%
Health Care.................................. 1.9%
Industrials.................................. 26.6%
Information Technology....................... 5.2%
Materials.................................... 15.8%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 0.3%
Utilities.................................... 0.4%
-----
100.0%
International Vector Equity Portfolio
Consumer Discretionary....................... 14.7%
Consumer Staples............................. 5.9%
Energy....................................... 8.8%
Financials................................... 23.8%
Health Care.................................. 4.9%
Industrials.................................. 18.7%
Information Technology....................... 6.3%
Materials.................................... 12.3%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 2.5%
Utilities.................................... 2.1%
-----
100.0%
Emerging Markets Core Equity Portfolio
Consumer Discretionary....................... 11.0%
Consumer Staples............................. 7.7%
Energy....................................... 8.5%
Financials................................... 24.3%
Health Care.................................. 2.5%
Industrials.................................. 11.1%
Information Technology....................... 14.7%
Materials.................................... 11.8%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 4.5%
Utilities.................................... 3.9%
-----
100.0%
9
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Face
Amount^ Value+
------- ------
(000)
BONDS -- (60.3%)
AUSTRALIA -- (3.5%)
Commonwealth Bank of Australia
3.875%, 12/14/15............................. GBP 1,015 $ 1,792,316
Westpac Banking Corp.
1.125%, 09/25/15............................. 4,930 4,975,721
-----------
TOTAL AUSTRALIA............................................ 6,768,037
-----------
CANADA -- (4.3%)
Enbridge, Inc.
5.800%, 06/15/14............................. 1,100 1,106,523
Royal Bank of Canada
3.360%, 01/11/16............................. CAD 5,000 4,696,456
TransAlta Corp.
4.750%, 01/15/15............................. 925 949,947
TransCanada PipeLines, Ltd.
3.400%, 06/01/15............................. 1,500 1,545,729
-----------
TOTAL CANADA............................................... 8,298,655
-----------
FRANCE -- (3.3%)
Reseau Ferre de France
2.375%, 12/23/15............................. GBP 2,784 4,814,725
Total Capital SA
3.125%, 10/02/15............................. 1,587 1,645,911
-----------
TOTAL FRANCE............................................... 6,460,636
-----------
GERMANY -- (2.6%)
KFW
1.750%, 01/22/16............................. GBP 3,000 5,134,439
-----------
JAPAN -- (2.1%)
Japan Bank for International Cooperation
2.500%, 01/21/16............................. 4,000 4,138,732
-----------
NETHERLANDS -- (8.2%)
Bank Nederlandse Gemeenten
5.375%, 09/15/15............................. AUD 5,600 5,339,719
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA
2.125%, 10/13/15............................. 5,469 5,596,739
Netherlands Government Bond
0.250%, 09/12/15............................. 5,000 4,996,500
-----------
TOTAL NETHERLANDS.......................................... 15,932,958
-----------
NEW ZEALAND -- (2.7%)
New Zealand Government Bond
6.000%, 04/15/15............................. NZD 6,000 5,296,627
-----------
NORWAY -- (2.6%)
Kommunalbanken A.S.
2.375%, 01/19/16............................. 5,000 5,165,790
-----------
Face
Amount^ Value+
------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (7.8%)
Asian Development Bank
2.500%, 03/15/16............................. $ 4,000 $ 4,152,100
Council Of Europe Development Bank
1.625%, 12/07/15............................. GBP 3,400 5,813,233
European Investment Bank
3.000%, 12/07/15............................. GBP 3,000 5,242,378
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS................ 15,207,711
-----------
SWEDEN -- (4.1%)
Nordea Bank AB
3.875%, 12/15/15............................. GBP 2,000 3,527,066
Svensk Exportkredit AB
0.625%, 09/04/15............................. 4,500 4,518,549
-----------
TOTAL SWEDEN................................................ 8,045,615
-----------
UNITED KINGDOM -- (3.6%)
Ensco P.L.C.
3.250%, 03/15/16............................. 1,155 1,206,631
Royal Bank of Scotland Group P.L.C.
2.550%, 09/18/15............................. 700 714,964
United Kingdom Gilt
2.000%, 01/22/16............................. GBP 3,000 5,178,860
-----------
TOTAL UNITED KINGDOM........................................ 7,100,455
-----------
UNITED STATES -- (15.5%)
Amgen, Inc.
4.850%, 11/18/14............................. 1,600 1,638,840
AT&T, Inc.
2.500%, 08/15/15............................. 1,606 1,645,724
Citigroup, Inc.
6.375%, 08/12/14............................. 762 774,107
CNA Financial Corp.
5.850%, 12/15/14............................. 1,000 1,032,604
Comerica, Inc.
3.000%, 09/16/15............................. 1,000 1,031,516
Constellation Energy Group, Inc.
4.550%, 06/15/15............................. 1,000 1,041,456
Enterprise Products Operating LLC
5.600%, 10/15/14............................. 500 511,204
EOG Resources, Inc.
2.500%, 02/01/16............................. 1,000 1,029,392
Express Scripts Holding Co.
2.100%, 02/12/15............................. 1,000 1,011,509
Ford Motor Credit Co. LLC
2.750%, 05/15/15............................. 1,000 1,021,175
Freeport-McMoRan Copper & Gold, Inc.
1.400%, 02/13/15............................. 500 502,634
10
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Goldman Sachs Group, Inc. (The)
5.125%, 01/15/15............................. $ 894 $ 921,893
HSBC USA, Inc.
2.375%, 02/13/15............................. 1,000 1,015,914
International Paper Co.
5.300%, 04/01/15............................. 1,050 1,094,844
JPMorgan Chase & Co.
1.125%, 02/26/16............................. 1,500 1,506,189
Mondelez International, Inc.
4.125%, 02/09/16............................. 689 729,422
Morgan Stanley
4.200%, 11/20/14............................. 1,500 1,530,483
National City Corp.
4.900%, 01/15/15............................. 1,500 1,546,305
NextEra Energy Capital Holdings, Inc.
1.200%, 06/01/15............................. 1,000 1,005,927
Safeway, Inc.
5.625%, 08/15/14............................. 1,500 1,520,555
Time Warner Cable, Inc.
3.500%, 02/01/15............................. 1,000 1,020,485
Toyota Motor Credit Corp.
0.875%, 07/17/15............................. 2,000 2,008,616
WellPoint, Inc.
5.000%, 12/15/14............................. 1,572 1,616,634
Wells Fargo & Co.
1.500%, 07/01/15............................. 1,500 1,516,662
Williams Partners L.P.
3.800%, 02/15/15............................. 1,000 1,024,201
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Xerox Corp.
4.250%, 02/15/15............................. $ 1,000 $ 1,029,112
------------
TOTAL UNITED STATES.............................. 30,327,403
------------
TOTAL BONDS...................................... 117,877,058
------------
AGENCY OBLIGATIONS -- (6.1%)
Federal National Mortgage Association
0.500%, 03/30/16............................. 12,000 12,017,724
------------
U.S. TREASURY OBLIGATIONS -- (29.3%)
U.S. Treasury Notes
^^ 2.625%, 02/29/16............................. 18,000 18,750,942
0.375%, 03/31/16............................. 6,500 6,499,747
0.250%, 04/15/16............................. 32,000 31,908,736
------------
TOTAL U.S. TREASURY OBLIGATIONS.................. 57,159,425
------------
Shares
------ -
EXCHANGE-TRADED FUNDS -- (4.3%)
UNITED STATES -- (4.3%)
SPDR S&P 500 ETF Trust....................... 44,100 8,309,763
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $189,961,192)............................ $195,363,970
============
Summary of the Portfolio's investments as of April 30, 2014, 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.............................. -- $ 6,768,037 -- $ 6,768,037
Canada................................. -- 8,298,655 -- 8,298,655
France................................. -- 6,460,636 -- 6,460,636
Germany................................ -- 5,134,439 -- 5,134,439
Japan.................................. -- 4,138,732 -- 4,138,732
Netherlands............................ -- 15,932,958 -- 15,932,958
New Zealand............................ -- 5,296,627 -- 5,296,627
Norway................................. -- 5,165,790 -- 5,165,790
Supranational Organization Obligations. -- 15,207,711 -- 15,207,711
Sweden................................. -- 8,045,615 -- 8,045,615
United Kingdom......................... -- 7,100,455 -- 7,100,455
United States.......................... -- 30,327,403 -- 30,327,403
Agency Obligations....................... -- 12,017,724 -- 12,017,724
U.S. Treasury Obligations................ -- 57,159,425 -- 57,159,425
Exchange-Traded Funds.................... $ 8,309,763 -- -- 8,309,763
Futures Contracts**...................... 9,210,168 -- -- 9,210,168
Forward Currency Contracts**............. -- (251,545) -- (251,545)
----------- ------------ -- ------------
TOTAL.................................... $17,519,931 $186,802,662 -- $204,322,593
=========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
11
U.S. LARGE CAP EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (88.6%)
Consumer Discretionary -- (11.8%)
* Amazon.com, Inc.................. 3,260 $ 991,464 0.5%
# Comcast Corp. Class A............ 19,662 1,017,705 0.5%
Home Depot, Inc. (The)........... 13,913 1,106,223 0.6%
McDonald's Corp.................. 9,563 969,497 0.5%
Walt Disney Co. (The)............ 16,094 1,276,898 0.6%
Other Securities................. 20,972,759 10.6%
----------- ------
Total Consumer Discretionary......... 26,334,546 13.3%
----------- ------
Consumer Staples -- (7.4%)
Altria Group, Inc................ 19,164 768,668 0.4%
Coca-Cola Co. (The).............. 33,826 1,379,763 0.7%
CVS Caremark Corp................ 10,891 791,994 0.4%
PepsiCo, Inc..................... 14,898 1,279,589 0.7%
Procter & Gamble Co. (The)....... 20,979 1,731,816 0.9%
Wal-Mart Stores, Inc............. 19,844 1,581,765 0.8%
Other Securities................. 8,969,055 4.5%
----------- ------
Total Consumer Staples............... 16,502,650 8.4%
----------- ------
Energy -- (10.5%)
Chevron Corp..................... 21,017 2,638,054 1.3%
ConocoPhillips................... 14,678 1,090,722 0.6%
Exxon Mobil Corp................. 54,223 5,552,977 2.8%
Occidental Petroleum Corp........ 8,655 828,716 0.4%
Schlumberger, Ltd................ 11,950 1,213,522 0.6%
Other Securities................. 12,036,220 6.1%
----------- ------
Total Energy......................... 23,360,211 11.8%
----------- ------
Financials -- (11.6%)
American Express Co.............. 9,240 807,853 0.4%
Bank of America Corp............. 76,492 1,158,089 0.6%
* Berkshire Hathaway, Inc. Class B. 13,217 1,703,010 0.9%
Citigroup, Inc................... 22,250 1,065,997 0.5%
JPMorgan Chase & Co.............. 34,493 1,930,918 1.0%
Wells Fargo & Co................. 44,451 2,206,548 1.1%
Other Securities................. 16,960,947 8.6%
----------- ------
Total Financials..................... 25,833,362 13.1%
----------- ------
Health Care -- (10.7%)
AbbVie, Inc...................... 15,096 786,200 0.4%
Amgen, Inc....................... 6,929 774,316 0.4%
* Gilead Sciences, Inc............. 14,615 1,147,131 0.6%
Johnson & Johnson................ 24,589 2,490,620 1.3%
Merck & Co., Inc................. 28,433 1,665,036 0.8%
Pfizer, Inc...................... 58,972 1,844,644 0.9%
UnitedHealth Group, Inc.......... 10,774 808,481 0.4%
Other Securities................. 14,215,584 7.2%
----------- ------
Total Health Care.................... 23,732,012 12.0%
----------- ------
Industrials -- (11.8%)
3M Co............................ 6,041 840,243 0.4%
Boeing Co. (The)................. 6,890 888,948 0.5%
Caterpillar, Inc................. 7,328 772,371 0.4%
General Electric Co.............. 89,722 2,412,625 1.2%
12
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
Union Pacific Corp................................. 4,907 $ 934,440 0.5%
United Technologies Corp........................... 8,698 1,029,234 0.5%
Other Securities................................... 19,470,304 9.8%
------------ ------
Total Industrials........................................ 26,348,165 13.3%
------------ ------
Information Technology -- (16.0%)
Apple, Inc......................................... 10,091 5,954,598 3.0%
Cisco Systems, Inc................................. 39,850 920,933 0.5%
* Google, Inc. Class A............................... 1,744 932,831 0.5%
* Google, Inc. Class C............................... 1,744 918,495 0.5%
Hewlett-Packard Co................................. 27,529 910,109 0.5%
Intel Corp......................................... 62,176 1,659,477 0.8%
# International Business Machines Corp............... 9,715 1,908,706 1.0%
MasterCard, Inc. Class A........................... 10,160 747,268 0.4%
Microsoft Corp..................................... 80,082 3,235,313 1.6%
Oracle Corp........................................ 29,564 1,208,576 0.6%
QUALCOMM, Inc...................................... 12,382 974,587 0.5%
Visa, Inc. Class A................................. 3,637 736,893 0.4%
Other Securities................................... 15,377,789 7.7%
------------ ------
Total Information Technology............................. 35,485,575 18.0%
------------ ------
Materials -- (4.1%)
Dow Chemical Co. (The)............................. 13,687 682,981 0.3%
Other Securities................................... 8,508,084 4.3%
------------ ------
Total Materials.......................................... 9,191,065 4.6%
------------ ------
Real Estate Investment Trusts -- (0.1%)
Other Securities................................... 189,753 0.1%
------------ ------
Telecommunication Services -- (2.5%)
AT&T, Inc.......................................... 65,485 2,337,815 1.2%
Verizon Communications, Inc........................ 46,285 2,162,898 1.1%
Other Securities................................... 995,328 0.5%
------------ ------
Total Telecommunication Services......................... 5,496,041 2.8%
------------ ------
Utilities -- (2.1%)
Other Securities................................... 4,660,189 2.4%
------------ ------
TOTAL COMMON STOCKS...................................... 197,133,569 99.8%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 243 0.0%
------------ ------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves, 0.074%. 663,556 663,556 0.3%
------------ ------
Shares/
Face
Amount
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (11.1%)
(S)@ DFA Short Term Investment Fund..................... 2,124,238 24,577,432 12.5%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $200,177,255).................................. $222,374,800 112.6%
============ ======
13
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 26,334,546 -- -- $ 26,334,546
Consumer Staples.............. 16,502,650 -- -- 16,502,650
Energy........................ 23,360,211 -- -- 23,360,211
Financials.................... 25,833,362 -- -- 25,833,362
Health Care................... 23,732,012 -- -- 23,732,012
Industrials................... 26,348,165 -- -- 26,348,165
Information Technology........ 35,485,575 -- -- 35,485,575
Materials..................... 9,191,065 -- -- 9,191,065
Real Estate Investment Trusts. 189,753 -- -- 189,753
Telecommunication Services.... 5,496,041 -- -- 5,496,041
Utilities..................... 4,660,189 -- -- 4,660,189
Rights/Warrants................. -- $ 243 -- 243
Temporary Cash Investments...... 663,556 -- -- 663,556
Securities Lending Collateral... -- 24,577,432 -- 24,577,432
------------ ----------- -- ------------
TOTAL........................... $197,797,125 $24,577,675 -- $222,374,800
============ =========== == ============
See accompanying Notes to Financial Statements.
14
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company..................... $13,614,025,722
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $8,645,898,065)............................. $13,614,025,722
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
15
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (84.8%)
Consumer Discretionary -- (11.3%)
Dillard's, Inc. Class A................ 211,147 $ 20,677,626 0.4%
# GameStop Corp. Class A................. 635,798 25,228,465 0.5%
Graham Holdings Co. Class B............ 31,543 21,172,608 0.4%
* Live Nation Entertainment, Inc......... 924,308 19,299,551 0.4%
# Wendy's Co. (The)...................... 2,361,897 19,627,364 0.4%
Other Securities....................... 552,101,846 11.1%
-------------- ------
Total Consumer Discretionary............... 658,107,460 13.2%
-------------- ------
Consumer Staples -- (2.8%)
Other Securities....................... 161,380,997 3.2%
-------------- ------
Energy -- (9.3%)
Nabors Industries, Ltd................. 1,097,257 28,001,999 0.6%
Patterson-UTI Energy, Inc.............. 740,622 24,092,434 0.5%
* Rowan Cos. P.L.C. Class A.............. 691,059 21,367,544 0.4%
Superior Energy Services, Inc.......... 633,713 20,861,832 0.4%
Tesoro Corp............................ 301,142 16,951,283 0.3%
# Western Refining, Inc.................. 390,087 16,968,784 0.3%
Other Securities....................... 414,674,843 8.4%
-------------- ------
Total Energy............................... 542,918,719 10.9%
-------------- ------
Financials -- (21.0%)
Allied World Assurance Co. Holdings AG. 172,670 18,594,832 0.4%
* American Capital, Ltd.................. 1,547,412 23,195,706 0.5%
American Financial Group, Inc.......... 465,774 27,215,175 0.6%
Aspen Insurance Holdings, Ltd.......... 389,738 17,842,206 0.4%
Assurant, Inc.......................... 471,974 31,815,767 0.6%
Axis Capital Holdings, Ltd............. 606,646 27,754,054 0.6%
CNO Financial Group, Inc............... 1,174,038 20,252,155 0.4%
* E*TRADE Financial Corp................. 1,292,524 29,017,164 0.6%
* Genworth Financial, Inc. Class A....... 2,131,699 38,050,827 0.8%
# Legg Mason, Inc........................ 731,595 34,304,490 0.7%
NASDAQ OMX Group, Inc. (The)........... 858,799 31,689,683 0.6%
Old Republic International Corp........ 1,182,426 19,580,975 0.4%
PartnerRe, Ltd......................... 321,083 33,842,148 0.7%
# People's United Financial, Inc......... 1,543,963 22,047,792 0.5%
Protective Life Corp................... 427,997 21,892,047 0.4%
Reinsurance Group of America, Inc...... 387,086 29,693,367 0.6%
Zions Bancorp.......................... 948,371 27,426,889 0.6%
Other Securities....................... 772,754,830 15.3%
-------------- ------
Total Financials........................... 1,226,970,107 24.7%
-------------- ------
Health Care -- (5.3%)
* Community Health Systems, Inc.......... 490,559 18,587,280 0.4%
# Omnicare, Inc.......................... 597,354 35,405,172 0.7%
Other Securities....................... 258,220,711 5.2%
-------------- ------
Total Health Care.......................... 312,213,163 6.3%
-------------- ------
Industrials -- (14.4%)
AGCO Corp.............................. 303,952 16,930,126 0.3%
AMERCO................................. 84,246 21,070,767 0.4%
#* Avis Budget Group, Inc................. 665,365 34,991,545 0.7%
Owens Corning.......................... 624,093 25,494,199 0.5%
16
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
Ryder System, Inc.................................. 309,611 $ 25,443,832 0.5%
Trinity Industries, Inc............................ 485,295 36,426,243 0.7%
# URS Corp........................................... 366,165 17,253,695 0.4%
Other Securities................................... 663,328,586 13.4%
-------------- ------
Total Industrials........................................ 840,938,993 16.9%
-------------- ------
Information Technology -- (12.3%)
* AOL, Inc........................................... 435,272 18,633,994 0.4%
* Arrow Electronics, Inc............................. 510,838 28,990,056 0.6%
Avnet, Inc......................................... 659,675 28,451,783 0.6%
* Brocade Communications Systems, Inc................ 1,885,092 17,550,207 0.4%
#* First Solar, Inc................................... 629,345 42,474,494 0.9%
* Ingram Micro, Inc. Class A......................... 789,039 21,272,491 0.4%
Marvell Technology Group, Ltd...................... 1,758,707 27,893,093 0.6%
Other Securities................................... 532,902,393 10.6%
-------------- ------
Total Information Technology............................. 718,168,511 14.5%
-------------- ------
Materials -- (6.7%)
Domtar Corp........................................ 183,622 17,142,950 0.4%
Reliance Steel & Aluminum Co....................... 417,707 29,582,010 0.6%
Rock-Tenn Co. Class A.............................. 176,292 16,855,278 0.3%
Steel Dynamics, Inc................................ 945,483 17,273,974 0.4%
# United States Steel Corp........................... 741,765 19,300,725 0.4%
Other Securities................................... 290,976,974 5.8%
-------------- ------
Total Materials.......................................... 391,131,911 7.9%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Real Estate Investment Trusts -- (0.1%)
Other Securities................................... 3,457,010 0.1%
-------------- ------
Telecommunication Services -- (1.1%)
Other Securities................................... 62,739,830 1.3%
-------------- ------
Utilities -- (0.5%)
UGI Corp........................................... 449,464 20,985,474 0.4%
Other Securities................................... 6,488,366 0.2%
-------------- ------
Total Utilities.......................................... 27,473,840 0.6%
-------------- ------
TOTAL COMMON STOCKS...................................... 4,945,500,541 99.6%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 682,686 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves, 0.074%. 15,510,701 15,510,701 0.3%
-------------- ------
Shares/
Face
Amount
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (14.9%)
(S)@ DFA Short Term Investment Fund..................... 74,872,147 866,270,744 17.4%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,310,166,489)................................ $5,827,964,672 117.3%
============== ======
17
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 658,074,122 $ 33,338 -- $ 658,107,460
Consumer Staples.............. 161,380,997 -- -- 161,380,997
Energy........................ 542,918,719 -- -- 542,918,719
Financials.................... 1,226,962,595 7,512 -- 1,226,970,107
Health Care................... 312,001,682 211,481 -- 312,213,163
Industrials................... 840,937,331 1,662 -- 840,938,993
Information Technology........ 718,168,511 -- -- 718,168,511
Materials..................... 391,131,911 -- -- 391,131,911
Other......................... -- -- -- --
Real Estate Investment Trusts. 3,457,010 -- -- 3,457,010
Telecommunication Services.... 62,739,830 -- -- 62,739,830
Utilities..................... 27,473,840 -- -- 27,473,840
Rights/Warrants................. -- 682,686 -- 682,686
Temporary Cash Investments...... 15,510,701 -- -- 15,510,701
Securities Lending Collateral... -- 866,270,744 -- 866,270,744
-------------- ------------ -- --------------
TOTAL........................... $4,960,757,249 $867,207,423 -- $5,827,964,672
============== ============ == ==============
See accompanying Notes to Financial Statements.
18
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (83.9%)
Consumer Discretionary -- (12.3%)
* Helen of Troy, Ltd.......................... 842,455 $ 52,821,928 0.5%
#* Iconix Brand Group, Inc..................... 2,048,461 87,059,592 0.8%
* Live Nation Entertainment, Inc.............. 2,763,163 57,694,843 0.5%
Penske Automotive Group, Inc................ 1,250,616 57,353,250 0.5%
# Rent-A-Center, Inc.......................... 1,812,734 52,949,960 0.5%
# Scholastic Corp............................. 1,407,493 46,320,595 0.4%
* Skechers U.S.A., Inc. Class A............... 1,138,657 46,673,550 0.4%
Other Securities............................ 1,166,377,767 10.8%
-------------- ------
Total Consumer Discretionary.................... 1,567,251,485 14.4%
-------------- ------
Consumer Staples -- (2.6%)
# Fresh Del Monte Produce, Inc................ 1,668,743 48,209,985 0.4%
* Seaboard Corp............................... 18,588 45,317,544 0.4%
# Universal Corp.............................. 830,795 45,336,483 0.4%
Other Securities............................ 188,473,110 1.8%
-------------- ------
Total Consumer Staples.......................... 327,337,122 3.0%
-------------- ------
Energy -- (10.2%)
# Bristow Group, Inc.......................... 1,350,016 103,681,229 1.0%
# Exterran Holdings, Inc...................... 2,367,691 101,858,067 0.9%
#* Helix Energy Solutions Group, Inc........... 3,591,562 86,341,150 0.8%
#* Hornbeck Offshore Services, Inc............. 1,311,935 54,353,467 0.5%
#* SEACOR Holdings, Inc........................ 572,132 47,710,087 0.4%
# Western Refining, Inc....................... 1,084,054 47,156,349 0.4%
Other Securities............................ 861,451,752 7.9%
-------------- ------
Total Energy.................................... 1,302,552,101 11.9%
-------------- ------
Financials -- (21.5%)
# American Equity Investment Life Holding Co.. 2,111,537 49,241,043 0.5%
Argo Group International Holdings, Ltd...... 1,019,162 45,271,176 0.4%
Aspen Insurance Holdings, Ltd............... 1,316,288 60,259,665 0.6%
CNO Financial Group, Inc.................... 8,473,636 146,170,221 1.3%
Endurance Specialty Holdings, Ltd........... 1,345,668 68,386,848 0.6%
# First American Financial Corp............... 1,825,531 48,559,125 0.5%
Hanover Insurance Group, Inc. (The)......... 1,120,492 65,492,757 0.6%
Kemper Corp................................. 1,652,800 65,136,848 0.6%
* MBIA, Inc................................... 6,187,865 74,996,924 0.7%
# Montpelier Re Holdings, Ltd................. 2,155,898 65,927,361 0.6%
#* PHH Corp.................................... 2,038,158 48,447,016 0.5%
Platinum Underwriters Holdings, Ltd......... 978,955 61,390,268 0.6%
Susquehanna Bancshares, Inc................. 5,950,068 61,642,704 0.6%
# Umpqua Holdings Corp........................ 4,077,772 67,813,348 0.6%
Washington Federal, Inc..................... 2,231,745 48,161,057 0.5%
Webster Financial Corp...................... 2,295,144 69,175,640 0.6%
# Wintrust Financial Corp..................... 1,388,818 62,246,823 0.6%
Other Securities............................ 1,646,540,295 14.8%
-------------- ------
Total Financials................................ 2,754,859,119 25.2%
-------------- ------
Health Care -- (4.4%)
* LifePoint Hospitals, Inc.................... 1,892,213 105,812,551 1.0%
Other Securities............................ 460,081,866 4.2%
-------------- ------
Total Health Care............................... 565,894,417 5.2%
-------------- ------
19
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (15.6%)
AMERCO............................................. 343,691 $ 85,960,556 0.8%
* Avis Budget Group, Inc............................. 3,370,535 177,256,436 1.6%
* Esterline Technologies Corp........................ 1,145,345 124,865,512 1.2%
# GATX Corp.......................................... 1,763,892 115,764,232 1.1%
#* JetBlue Airways Corp............................... 10,804,486 85,409,462 0.8%
# Mobile Mini, Inc................................... 1,175,105 51,916,139 0.5%
Other Securities................................... 1,358,678,571 12.3%
--------------- ------
Total Industrials........................................ 1,999,850,908 18.3%
--------------- ------
Information Technology -- (11.8%)
* Benchmark Electronics, Inc......................... 2,299,623 53,305,261 0.5%
#* CACI International, Inc. Class A................... 827,960 57,667,414 0.5%
# Convergys Corp..................................... 3,909,664 84,214,163 0.8%
#* Fairchild Semiconductor International, Inc......... 3,649,415 46,457,053 0.4%
* SYNNEX Corp........................................ 1,217,746 82,051,726 0.8%
* Tech Data Corp..................................... 947,224 59,192,028 0.5%
* TriQuint Semiconductor, Inc........................ 3,614,088 51,247,768 0.5%
# Vishay Intertechnology, Inc........................ 4,983,062 70,859,142 0.7%
Other Securities................................... 1,006,139,840 9.1%
--------------- ------
Total Information Technology............................. 1,511,134,395 13.8%
--------------- ------
Materials -- (5.1%)
* Graphic Packaging Holding Co....................... 5,789,957 59,404,959 0.5%
#* Louisiana-Pacific Corp............................. 4,511,484 73,943,223 0.7%
Other Securities................................... 524,216,549 4.8%
--------------- ------
Total Materials.......................................... 657,564,731 6.0%
--------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
--------------- ------
Real Estate Investment Trusts -- (0.1%)
Other Securities................................... 10,368,599 0.1%
--------------- ------
Telecommunication Services -- (0.2%)
Other Securities................................... 27,904,905 0.3%
--------------- ------
Utilities -- (0.1%)
Other Securities................................... 7,480,762 0.1%
--------------- ------
TOTAL COMMON STOCKS...................................... 10,732,198,544 98.3%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities................................... -- 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 2,716,551 0.0%
--------------- ------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional Liquid Reserves, 0.074%. 131,694,550 131,694,550 1.2%
--------------- ------
Shares/
Face
Amount
------- -
(000)
SECURITIES LENDING COLLATERAL -- (15.1%)
(S)@ DFA Short Term Investment Fund..................... 166,620,285 1,927,796,697 17.7%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $9,487,737,808)................................ $12,794,406,342 117.2%
=============== ======
20
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 1,567,239,203 $ 12,282 -- $ 1,567,251,485
Consumer Staples.............. 327,337,122 -- -- 327,337,122
Energy........................ 1,302,552,101 -- -- 1,302,552,101
Financials.................... 2,754,809,216 49,903 -- 2,754,859,119
Health Care................... 564,629,295 1,265,122 -- 565,894,417
Industrials................... 1,999,841,403 9,505 -- 1,999,850,908
Information Technology........ 1,511,134,395 -- -- 1,511,134,395
Materials..................... 657,564,731 -- -- 657,564,731
Other......................... -- -- -- --
Real Estate Investment Trusts. 10,368,599 -- -- 10,368,599
Telecommunication Services.... 27,904,905 -- -- 27,904,905
Utilities..................... 7,480,762 -- -- 7,480,762
Preferred Stocks
Other......................... -- -- -- --
Rights/Warrants -- 2,716,551 -- 2,716,551
Temporary Cash Investments...... 131,694,550 -- -- 131,694,550
Securities Lending Collateral -- 1,927,796,697 -- 1,927,796,697
Futures Contracts**............. (4,123,080) -- -- (4,123,080)
--------------- -------------- -- ---------------
TOTAL........................... $10,858,433,202 $1,931,850,060 -- $12,790,283,262
=============== ============== == ===============
**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.
21
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (91.7%)
Consumer Discretionary -- (12.7%)
* Amazon.com, Inc................... 117,726 $ 35,804,008 0.4%
Comcast Corp. Class A............. 754,125 39,033,510 0.4%
Home Depot, Inc. (The)............ 418,549 33,278,831 0.4%
McDonald's Corp................... 366,308 37,136,305 0.4%
Walt Disney Co. (The)............. 447,208 35,481,483 0.4%
Other Securities.................. 1,076,715,488 11.8%
-------------- -----
Total Consumer Discretionary.......... 1,257,449,625 13.8%
-------------- -----
Consumer Staples -- (6.9%)
Altria Group, Inc................. 732,996 29,400,469 0.3%
Coca-Cola Co. (The)............... 1,231,353 50,226,889 0.6%
CVS Caremark Corp................. 420,555 30,582,760 0.3%
PepsiCo, Inc...................... 548,723 47,129,818 0.5%
Philip Morris International, Inc.. 379,444 32,415,901 0.4%
Procter & Gamble Co. (The)........ 620,688 51,237,794 0.6%
Wal-Mart Stores, Inc.............. 614,660 48,994,549 0.5%
Other Securities.................. 393,831,831 4.3%
-------------- -----
Total Consumer Staples................ 683,820,011 7.5%
-------------- -----
Energy -- (9.8%)
Chevron Corp...................... 731,435 91,809,721 1.0%
ConocoPhillips.................... 459,670 34,158,078 0.4%
Exxon Mobil Corp.................. 1,886,883 193,235,688 2.1%
Occidental Petroleum Corp......... 304,289 29,135,672 0.3%
Schlumberger, Ltd................. 337,427 34,265,712 0.4%
Other Securities.................. 585,460,350 6.5%
-------------- -----
Total Energy.......................... 968,065,221 10.7%
-------------- -----
Financials -- (14.4%)
American Express Co............... 342,243 29,922,306 0.3%
Bank of America Corp.............. 3,840,087 58,138,917 0.7%
* Berkshire Hathaway, Inc. Class B.. 406,267 52,347,503 0.6%
Citigroup, Inc.................... 1,034,416 49,558,871 0.6%
JPMorgan Chase & Co............... 1,360,498 76,160,678 0.8%
U.S. Bancorp...................... 640,200 26,107,356 0.3%
Wells Fargo & Co.................. 1,811,112 89,903,600 1.0%
Other Securities.................. 1,042,247,501 11.4%
-------------- -----
Total Financials...................... 1,424,386,732 15.7%
-------------- -----
Health Care -- (10.4%)
AbbVie, Inc....................... 586,332 30,536,171 0.3%
* Gilead Sciences, Inc.............. 585,923 45,989,096 0.5%
Johnson & Johnson................. 871,648 88,289,226 1.0%
Merck & Co., Inc.................. 801,185 46,917,394 0.5%
Pfizer, Inc....................... 2,295,798 71,812,561 0.8%
UnitedHealth Group, Inc........... 363,224 27,256,329 0.3%
Other Securities.................. 709,823,334 7.8%
-------------- -----
Total Health Care..................... 1,020,624,111 11.2%
-------------- -----
Industrials -- (12.4%)
3M Co............................. 232,760 32,374,588 0.4%
Boeing Co. (The).................. 264,277 34,097,019 0.4%
General Electric Co............... 3,214,914 86,449,037 1.0%
22
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
Union Pacific Corp................................. 165,151 $ 31,449,705 0.4%
United Technologies Corp........................... 222,603 26,340,613 0.3%
Other Securities................................... 1,016,675,164 11.0%
-------------- -----
Total Industrials...................................... 1,227,386,126 13.5%
-------------- -----
Information Technology -- (16.0%)
Apple, Inc......................................... 319,378 188,461,764 2.1%
Cisco Systems, Inc................................. 1,871,862 43,258,731 0.5%
* Facebook, Inc. Class A............................. 459,531 27,470,763 0.3%
* Google, Inc. Class A............................... 68,974 36,892,813 0.4%
* Google, Inc. Class C............................... 68,974 36,325,847 0.4%
Hewlett-Packard Co................................. 931,583 30,798,134 0.4%
Intel Corp......................................... 2,209,569 58,973,397 0.7%
International Business Machines Corp............... 334,798 65,777,763 0.7%
MasterCard, Inc. Class A........................... 384,167 28,255,483 0.3%
Microsoft Corp..................................... 2,517,862 101,721,625 1.1%
Oracle Corp........................................ 1,063,571 43,478,782 0.5%
QUALCOMM, Inc...................................... 411,597 32,396,800 0.4%
Visa, Inc. Class A................................. 127,752 25,883,833 0.3%
Other Securities................................... 859,943,985 9.3%
-------------- -----
Total Information Technology........................... 1,579,639,720 17.4%
-------------- -----
Materials -- (4.5%)
Other Securities................................... 442,316,665 4.9%
-------------- -----
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- -----
Real Estate Investment Trusts -- (0.0%)
Other Securities................................... 1,984,308 0.0%
-------------- -----
Telecommunication Services -- (2.0%)
AT&T, Inc.......................................... 2,012,756 71,855,389 0.8%
Verizon Communications, Inc........................ 1,347,334 62,960,918 0.7%
Other Securities................................... 55,965,589 0.6%
-------------- -----
Total Telecommunication Services....................... 190,781,896 2.1%
-------------- -----
Utilities -- (2.6%)
Other Securities................................... 257,742,240 2.8%
-------------- -----
TOTAL COMMON STOCKS.................................... 9,054,196,655 99.6%
-------------- -----
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 153,458 0.0%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves, 0.074%. 30,400,127 30,400,127 0.3%
-------------- -----
23
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Shares/
Face Percentage
Amount Value+ of Net Assets**
------- ------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (8.0%)
(S)@ DFA Short Term Investment Fund.. 68,556,843 $ 793,202,676 8.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,040,623,421).............. $9,877,952,916 108.7%
============== ======
Summary of the Portfolio's investments as of April 30, 2014, 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........ $1,257,420,628 $ 28,997 -- $1,257,449,625
Consumer Staples.............. 683,820,011 -- -- 683,820,011
Energy........................ 968,065,221 -- -- 968,065,221
Financials.................... 1,424,383,853 2,879 -- 1,424,386,732
Health Care................... 1,020,600,980 23,131 -- 1,020,624,111
Industrials................... 1,227,385,870 256 -- 1,227,386,126
Information Technology........ 1,579,639,720 -- -- 1,579,639,720
Materials..................... 442,316,665 -- -- 442,316,665
Other......................... -- -- -- --
Real Estate Investment Trusts. 1,984,308 -- -- 1,984,308
Telecommunication Services.... 190,781,896 -- -- 190,781,896
Utilities..................... 257,742,240 -- -- 257,742,240
Preferred Stocks
Other......................... -- -- -- --
Rights/Warrants................. -- 153,458 -- 153,458
Temporary Cash Investments...... 30,400,127 -- -- 30,400,127
Securities Lending Collateral... -- 793,202,676 -- 793,202,676
-------------- ------------ -- --------------
TOTAL........................... $9,084,541,519 $793,411,397 -- $9,877,952,916
============== ============ == ==============
See accompanying Notes to Financial Statements.
24
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (91.0%)
Consumer Discretionary -- (11.9%)
Comcast Corp. Class A.................. 1,101,420 $ 57,009,499 0.5%
Time Warner, Inc....................... 517,992 34,425,748 0.3%
Twenty-First Century Fox, Inc. Class A. 846,333 27,099,583 0.2%
Walt Disney Co. (The).................. 830,524 65,893,774 0.6%
Other Securities....................... 1,314,336,060 11.5%
-------------- -----
Total Consumer Discretionary............... 1,498,764,664 13.1%
-------------- -----
Consumer Staples -- (5.7%)
Coca-Cola Co. (The).................... 710,972 29,000,548 0.3%
CVS Caremark Corp...................... 680,040 49,452,509 0.4%
Mondelez International, Inc. Class A... 938,871 33,470,751 0.3%
PepsiCo, Inc........................... 321,785 27,638,114 0.3%
Procter & Gamble Co. (The)............. 646,219 53,345,378 0.5%
Wal-Mart Stores, Inc................... 773,229 61,634,084 0.5%
Other Securities....................... 456,824,401 3.9%
-------------- -----
Total Consumer Staples..................... 711,365,785 6.2%
-------------- -----
Energy -- (11.2%)
Anadarko Petroleum Corp................ 289,878 28,703,720 0.3%
Chevron Corp........................... 1,126,532 141,402,297 1.2%
ConocoPhillips......................... 719,368 53,456,236 0.5%
EOG Resources, Inc..................... 313,746 30,747,108 0.3%
Exxon Mobil Corp....................... 3,041,760 311,506,642 2.7%
Occidental Petroleum Corp.............. 470,771 45,076,323 0.4%
Phillips 66............................ 330,183 27,477,829 0.2%
Schlumberger, Ltd...................... 324,889 32,992,478 0.3%
Other Securities....................... 741,633,360 6.4%
-------------- -----
Total Energy............................... 1,412,995,993 12.3%
-------------- -----
Financials -- (16.9%)
American International Group, Inc...... 794,955 42,235,959 0.4%
Ameriprise Financial, Inc.............. 219,392 24,490,729 0.2%
Bank of America Corp................... 5,487,830 83,085,746 0.7%
* Berkshire Hathaway, Inc. Class B....... 232,188 29,917,424 0.3%
Citigroup, Inc......................... 1,691,954 81,061,516 0.7%
Goldman Sachs Group, Inc. (The)........ 245,156 39,180,832 0.4%
JPMorgan Chase & Co.................... 2,211,559 123,803,073 1.1%
U.S. Bancorp........................... 1,031,884 42,080,230 0.4%
Wells Fargo & Co....................... 2,946,809 146,279,599 1.3%
Other Securities....................... 1,511,570,030 13.0%
-------------- -----
Total Financials........................... 2,123,705,138 18.5%
-------------- -----
Health Care -- (9.8%)
Amgen, Inc............................. 259,507 28,999,907 0.3%
* Express Scripts Holding Co............. 462,397 30,786,392 0.3%
Johnson & Johnson...................... 664,537 67,310,953 0.6%
Merck & Co., Inc....................... 1,401,705 82,083,845 0.7%
Pfizer, Inc............................ 3,831,803 119,858,798 1.1%
UnitedHealth Group, Inc................ 576,403 43,253,281 0.4%
Zoetis, Inc............................ 936,170 28,328,504 0.3%
Other Securities....................... 829,025,218 7.0%
-------------- -----
Total Health Care.......................... 1,229,646,898 10.7%
-------------- -----
25
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (12.8%)
Caterpillar, Inc................................... 237,421 $ 25,024,173 0.2%
General Electric Co................................ 5,351,514 143,902,211 1.3%
Union Pacific Corp................................. 267,041 50,852,618 0.5%
Other Securities................................... 1,391,070,871 12.0%
--------------- -----
Total Industrials...................................... 1,610,849,873 14.0%
--------------- -----
Information Technology -- (14.0%)
Apple, Inc......................................... 318,984 188,229,269 1.7%
Cisco Systems, Inc................................. 3,101,253 71,669,957 0.6%
EMC Corp........................................... 1,136,231 29,314,760 0.3%
Hewlett-Packard Co................................. 1,806,885 59,735,618 0.5%
Intel Corp......................................... 3,577,014 95,470,504 0.8%
International Business Machines Corp............... 159,105 31,259,359 0.3%
* Micron Technology, Inc............................. 1,086,356 28,375,619 0.3%
Microsoft Corp..................................... 1,623,715 65,598,086 0.6%
Oracle Corp........................................ 676,733 27,664,845 0.3%
Visa, Inc. Class A................................. 196,429 39,798,480 0.4%
Other Securities................................... 1,120,511,351 9.5%
--------------- -----
Total Information Technology........................... 1,757,627,848 15.3%
--------------- -----
Materials -- (4.7%)
Dow Chemical Co. (The)............................. 627,320 31,303,268 0.3%
Other Securities................................... 555,457,079 4.8%
--------------- -----
Total Materials........................................ 586,760,347 5.1%
--------------- -----
Other -- (0.0%)
Other Securities................................... -- 0.0%
--------------- -----
Real Estate Investment Trusts -- (0.0%)
Other Securities................................... 547,524 0.0%
--------------- -----
Telecommunication Services -- (2.2%)
AT&T, Inc.......................................... 3,399,091 121,347,549 1.1%
Verizon Communications, Inc........................ 1,787,444 83,527,258 0.7%
Other Securities................................... 73,034,442 0.6%
--------------- -----
Total Telecommunication Services....................... 277,909,249 2.4%
--------------- -----
Utilities -- (1.8%)
Other Securities................................... 231,094,679 2.0%
--------------- -----
TOTAL COMMON STOCKS.................................... 11,441,267,998 99.6%
--------------- -----
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities................................... -- 0.0%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 276,051 0.0%
--------------- -----
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional Liquid Reserves, 0.074%. 60,382,618 60,382,618 0.5%
--------------- -----
26
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Shares/
Face Percentage
Amount Value+ of Net Assets**
------- ------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (8.5%)
(S)@ DFA Short Term Investment Fund.. 92,686,728 $ 1,072,385,449 9.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,675,132,024)........... $12,574,312,116 109.4%
=============== ======
Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 1,498,711,426 $ 53,238 -- $ 1,498,764,664
Consumer Staples.............. 711,365,785 -- -- 711,365,785
Energy........................ 1,412,995,993 -- -- 1,412,995,993
Financials.................... 2,123,698,674 6,464 -- 2,123,705,138
Health Care................... 1,229,592,912 53,986 -- 1,229,646,898
Industrials................... 1,610,849,230 643 -- 1,610,849,873
Information Technology........ 1,757,627,848 -- -- 1,757,627,848
Materials..................... 586,760,347 -- -- 586,760,347
Other......................... -- -- -- --
Real Estate Investment Trusts. 547,524 -- -- 547,524
Telecommunication Services.... 277,909,249 -- -- 277,909,249
Utilities..................... 231,094,679 -- -- 231,094,679
Preferred Stocks
Other......................... -- -- -- --
Rights/Warrants................. -- 276,051 -- 276,051
Temporary Cash Investments...... 60,382,618 -- -- 60,382,618
Securities Lending Collateral... -- 1,072,385,449 -- 1,072,385,449
--------------- -------------- -- ---------------
TOTAL........................... $11,501,536,285 $1,072,775,831 -- $12,574,312,116
=============== ============== == ===============
See accompanying Notes to Financial Statements.
27
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (88.2%)
Consumer Discretionary -- (11.9%)
Comcast Corp. Class A......................... 336,814 $ 17,433,493 0.6%
Walt Disney Co. (The)......................... 118,253 9,382,193 0.3%
Other Securities.............................. 401,632,968 12.5%
------------ -----
Total Consumer Discretionary...................... 428,448,654 13.4%
------------ -----
Consumer Staples -- (4.3%)
CVS Caremark Corp............................. 113,204 8,232,195 0.3%
Mondelez International, Inc. Class A.......... 234,487 8,359,462 0.3%
Procter & Gamble Co. (The).................... 105,525 8,711,089 0.3%
Tyson Foods, Inc. Class A..................... 164,162 6,889,879 0.2%
Wal-Mart Stores, Inc.......................... 102,008 8,131,058 0.3%
Other Securities.............................. 113,596,910 3.4%
------------ -----
Total Consumer Staples............................ 153,920,593 4.8%
------------ -----
Energy -- (11.3%)
Anadarko Petroleum Corp....................... 78,236 7,746,929 0.3%
Chesapeake Energy Corp........................ 411,342 11,826,082 0.4%
Chevron Corp.................................. 304,598 38,233,141 1.2%
ConocoPhillips................................ 202,245 15,028,826 0.5%
Exxon Mobil Corp.............................. 436,562 44,708,314 1.4%
Nabors Industries, Ltd........................ 272,425 6,952,286 0.2%
Occidental Petroleum Corp..................... 138,481 13,259,556 0.4%
Phillips 66................................... 91,273 7,595,739 0.2%
Tesoro Corp................................... 131,157 7,382,828 0.2%
* Weatherford International, Ltd................ 429,641 9,022,461 0.3%
Other Securities.............................. 247,244,735 7.7%
------------ -----
Total Energy...................................... 409,000,897 12.8%
------------ -----
Financials -- (20.5%)
American Financial Group, Inc................. 125,705 7,344,943 0.2%
American International Group, Inc............. 128,798 6,843,038 0.2%
Ameriprise Financial, Inc..................... 68,100 7,602,003 0.3%
Bank of America Corp.......................... 1,375,380 20,823,253 0.7%
Citigroup, Inc................................ 394,453 18,898,243 0.6%
Goldman Sachs Group, Inc. (The)............... 52,050 8,318,631 0.3%
Hartford Financial Services Group, Inc. (The). 282,497 10,133,167 0.3%
JPMorgan Chase & Co........................... 570,669 31,946,051 1.0%
Lincoln National Corp......................... 152,570 7,401,171 0.2%
# M&T Bank Corp................................. 62,325 7,604,273 0.3%
MetLife, Inc.................................. 134,576 7,045,054 0.2%
Principal Financial Group, Inc................ 157,281 7,367,042 0.2%
Regions Financial Corp........................ 681,506 6,910,471 0.2%
Wells Fargo & Co.............................. 664,411 32,981,362 1.0%
Other Securities.............................. 560,785,700 17.5%
------------ -----
Total Financials.................................. 742,004,402 23.2%
------------ -----
Health Care -- (7.1%)
Johnson & Johnson............................. 90,092 9,125,419 0.3%
Merck & Co., Inc.............................. 149,737 8,768,599 0.3%
Pfizer, Inc................................... 459,005 14,357,676 0.5%
Other Securities.............................. 223,631,656 6.9%
------------ -----
Total Health Care................................. 255,883,350 8.0%
------------ -----
28
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (12.6%)
General Electric Co................................ 773,205 $ 20,791,482 0.7%
Southwest Airlines Co.............................. 457,205 11,050,645 0.4%
Union Pacific Corp................................. 38,051 7,246,052 0.2%
Other Securities................................... 415,579,849 12.9%
-------------- ------
Total Industrials........................................ 454,668,028 14.2%
-------------- ------
Information Technology -- (12.2%)
Apple, Inc......................................... 44,049 25,992,874 0.8%
Fidelity National Information Services, Inc........ 135,134 7,220,210 0.2%
Hewlett-Packard Co................................. 265,841 8,788,703 0.3%
IAC/InterActiveCorp................................ 115,491 7,654,743 0.3%
Intel Corp......................................... 534,019 14,252,967 0.5%
* Micron Technology, Inc............................. 569,578 14,877,377 0.5%
Visa, Inc. Class A................................. 37,703 7,639,005 0.3%
Western Digital Corp............................... 122,881 10,829,503 0.4%
Xerox Corp......................................... 731,469 8,843,460 0.3%
Other Securities................................... 333,621,346 10.1%
-------------- ------
Total Information Technology............................. 439,720,188 13.7%
-------------- ------
Materials -- (5.3%)
Alcoa, Inc......................................... 555,703 7,485,319 0.3%
Other Securities................................... 184,217,343 5.7%
-------------- ------
Total Materials.......................................... 191,702,662 6.0%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Real Estate Investment Trusts -- (0.0%)
Other Securities................................... 348,570 0.0%
-------------- ------
Telecommunication Services -- (1.9%)
AT&T, Inc.......................................... 796,344 28,429,481 0.9%
# Frontier Communications Corp....................... 1,416,600 8,428,770 0.3%
Verizon Communications, Inc........................ 259,639 12,132,931 0.4%
Other Securities................................... 21,569,670 0.6%
-------------- ------
Total Telecommunication Services......................... 70,560,852 2.2%
-------------- ------
Utilities -- (1.1%)
Other Securities................................... 40,459,179 1.3%
-------------- ------
TOTAL COMMON STOCKS...................................... 3,186,717,375 99.6%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 115,879 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional Liquid Reserves, 0.074%. 4,430,137 4,430,137 0.1%
-------------- ------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (11.7%)
(S)@ DFA Short Term Investment Fund..................... 36,602,480 423,490,694 13.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,520,716,777)................................ $3,614,754,085 112.9%
============== ======
29
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 428,433,899 $ 14,755 -- $ 428,448,654
Consumer Staples.............. 153,920,593 -- -- 153,920,593
Energy........................ 409,000,897 -- -- 409,000,897
Financials.................... 742,001,713 2,689 -- 742,004,402
Health Care................... 255,844,065 39,285 -- 255,883,350
Industrials................... 454,667,543 485 -- 454,668,028
Information Technology........ 439,720,188 -- -- 439,720,188
Materials..................... 191,702,662 -- -- 191,702,662
Other......................... -- -- -- --
Real Estate Investment Trusts. 348,570 -- -- 348,570
Telecommunication Services.... 70,560,852 -- -- 70,560,852
Utilities..................... 40,459,179 -- -- 40,459,179
Rights/Warrants................. -- 115,879 -- 115,879
Temporary Cash Investments...... 4,430,137 -- -- 4,430,137
Securities Lending Collateral... -- 423,490,694 -- 423,490,694
-------------- ------------ -- --------------
TOTAL........................... $3,191,090,298 $423,663,787 -- $3,614,754,085
============== ============ == ==============
See accompanying Notes to Financial Statements.
30
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (79.8%)
Consumer Discretionary -- (13.9%)
* Buffalo Wild Wings, Inc........................ 154,231 $ 22,536,234 0.3%
# Cheesecake Factory, Inc. (The)................. 395,850 17,769,706 0.2%
#* Deckers Outdoor Corp........................... 252,472 19,932,664 0.2%
Men's Wearhouse, Inc. (The).................... 366,998 17,388,365 0.2%
# Pool Corp...................................... 297,781 17,575,035 0.2%
# Thor Industries, Inc........................... 280,232 17,057,722 0.2%
Other Securities............................... 1,344,069,552 16.1%
-------------- ------
Total Consumer Discretionary....................... 1,456,329,278 17.4%
-------------- ------
Consumer Staples -- (3.1%)
Other Securities............................... 324,070,330 3.9%
-------------- ------
Energy -- (5.0%)
Bristow Group, Inc............................. 240,116 18,440,909 0.2%
#* Carrizo Oil & Gas, Inc......................... 362,513 19,945,465 0.2%
# Exterran Holdings, Inc......................... 427,513 18,391,609 0.2%
# Western Refining, Inc.......................... 474,279 20,631,136 0.3%
Other Securities............................... 442,818,280 5.3%
-------------- ------
Total Energy....................................... 520,227,399 6.2%
-------------- ------
Financials -- (13.2%)
Aspen Insurance Holdings, Ltd.................. 393,938 18,034,482 0.2%
# Bank of Hawaii Corp............................ 311,016 17,158,753 0.2%
CNO Financial Group, Inc....................... 978,475 16,878,694 0.2%
PacWest Bancorp................................ 529,478 20,845,549 0.3%
#* Portfolio Recovery Associates, Inc............. 311,847 17,822,056 0.2%
* Stifel Financial Corp.......................... 367,302 17,178,715 0.2%
# TCF Financial Corp............................. 1,122,858 17,628,871 0.2%
Webster Financial Corp......................... 593,754 17,895,746 0.2%
Other Securities............................... 1,241,022,930 14.8%
-------------- ------
Total Financials................................... 1,384,465,796 16.5%
-------------- ------
Health Care -- (7.5%)
* Charles River Laboratories International, Inc.. 349,228 18,760,528 0.2%
#* Myriad Genetics, Inc........................... 502,527 21,211,665 0.3%
STERIS Corp.................................... 351,014 16,866,223 0.2%
* VCA Antech, Inc................................ 590,362 18,082,788 0.2%
Other Securities............................... 708,767,643 8.4%
-------------- ------
Total Health Care.................................. 783,688,847 9.3%
-------------- ------
Industrials -- (14.7%)
# Alliant Techsystems, Inc....................... 169,067 24,382,843 0.3%
AMERCO......................................... 73,355 18,346,819 0.2%
#* Avis Budget Group, Inc......................... 435,404 22,897,896 0.3%
Deluxe Corp.................................... 335,346 18,427,263 0.2%
# EnerSys, Inc................................... 269,950 18,243,221 0.2%
* Esterline Technologies Corp.................... 177,418 19,342,110 0.2%
Huntington Ingalls Industries, Inc............. 227,971 23,481,013 0.3%
# Landstar System, Inc........................... 277,211 17,461,521 0.2%
# Manitowoc Co., Inc. (The)...................... 789,124 25,078,361 0.3%
#* MasTec, Inc.................................... 498,398 19,726,593 0.2%
* Middleby Corp. (The)........................... 73,604 18,583,538 0.2%
31
U.S. SMALL CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
* Spirit Airlines, Inc................ 478,914 $ 27,221,472 0.3%
Other Securities.................... 1,283,126,117 15.4%
--------------- ------
Total Industrials......................... 1,536,318,767 18.3%
--------------- ------
Information Technology -- (14.7%)
Anixter International, Inc.......... 180,205 17,656,486 0.2%
* ARRIS Group, Inc.................... 747,557 19,503,762 0.2%
Belden, Inc......................... 250,180 18,465,786 0.2%
#* Finisar Corp........................ 716,199 18,728,604 0.2%
# Lexmark International, Inc. Class A. 437,283 18,803,169 0.2%
* RF Micro Devices, Inc............... 2,305,447 19,457,973 0.2%
#* SunEdison, Inc...................... 1,202,919 23,132,132 0.3%
#* Synaptics, Inc...................... 276,279 17,170,740 0.2%
* Zebra Technologies Corp. Class A.... 306,956 21,315,025 0.3%
Other Securities.................... 1,368,724,282 16.4%
--------------- ------
Total Information Technology.............. 1,542,957,959 18.4%
--------------- ------
Materials -- (4.4%)
* KapStone Paper and Packaging Corp... 665,719 17,561,667 0.2%
# PolyOne Corp........................ 529,913 19,855,840 0.2%
Sensient Technologies Corp.......... 327,419 17,696,997 0.2%
Worthington Industries, Inc......... 463,710 17,064,528 0.2%
Other Securities.................... 393,298,139 4.7%
--------------- ------
Total Materials........................... 465,477,171 5.5%
--------------- ------
Other -- (0.0%)
Other Securities.................... -- 0.0%
--------------- ------
Real Estate Investment Trusts -- (0.1%)
Other Securities.................... 6,475,221 0.1%
--------------- ------
Telecommunication Services -- (0.5%)
Other Securities.................... 50,995,661 0.6%
--------------- ------
Utilities -- (2.7%)
Black Hills Corp.................... 299,559 17,299,532 0.2%
# IDACORP, Inc........................ 331,395 18,604,515 0.2%
# Portland General Electric Co........ 503,278 16,844,715 0.2%
Other Securities.................... 236,745,206 2.8%
--------------- ------
Total Utilities........................... 289,493,968 3.4%
--------------- ------
TOTAL COMMON STOCKS....................... 8,360,500,397 99.6%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities.................... -- 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.................... 806,391 0.0%
--------------- ------
Shares/
Face
Amount
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (20.2%)
(S)@ DFA Short Term Investment Fund...... 182,508,338 2,111,621,465 25.2%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,157,126,718)................. $10,472,928,253 124.8%
=============== ======
32
U.S. SMALL CAP PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2014, 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........ $1,456,311,570 $ 17,708 -- $ 1,456,329,278
Consumer Staples.............. 324,070,330 -- -- 324,070,330
Energy........................ 520,227,399 -- -- 520,227,399
Financials.................... 1,384,444,603 21,193 -- 1,384,465,796
Health Care................... 783,552,244 136,603 -- 783,688,847
Industrials................... 1,536,314,041 4,726 -- 1,536,318,767
Information Technology........ 1,542,957,959 -- -- 1,542,957,959
Materials..................... 465,477,171 -- -- 465,477,171
Other......................... -- -- -- --
Real Estate Investment Trusts. 6,475,221 -- -- 6,475,221
Telecommunication Services.... 50,995,661 -- -- 50,995,661
Utilities..................... 289,493,968 -- -- 289,493,968
Preferred Stocks
Other......................... -- -- -- --
Rights/Warrants................. -- 806,391 -- 806,391
Securities Lending Collateral... -- 2,111,621,465 -- 2,111,621,465
-------------- -------------- -- ---------------
TOTAL........................... $8,360,320,167 $2,112,608,086 -- $10,472,928,253
============== ============== == ===============
See accompanying Notes to Financial Statements.
33
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (83.4%)
Consumer Discretionary -- (14.7%)
* Asbury Automotive Group, Inc...... 272,113 $ 16,800,257 0.4%
#* Conn's, Inc....................... 297,054 13,138,698 0.3%
Finish Line, Inc. (The) Class A... 566,582 15,598,002 0.3%
#* G-III Apparel Group, Ltd.......... 192,344 13,804,529 0.3%
#* Grand Canyon Education, Inc....... 367,324 15,839,011 0.3%
* Helen of Troy, Ltd................ 194,371 12,187,062 0.3%
La-Z-Boy, Inc..................... 560,610 13,583,580 0.3%
Papa John's International, Inc.... 398,990 17,499,701 0.4%
#* Pinnacle Entertainment, Inc....... 540,950 12,587,906 0.3%
#* Sonic Corp........................ 614,578 11,701,565 0.3%
# Sturm Ruger & Co., Inc............ 185,803 11,956,423 0.3%
Other Securities.................. 688,649,062 14.1%
------------ ------
Total Consumer Discretionary.......... 843,345,796 17.6%
------------ ------
Consumer Staples -- (3.5%)
Andersons, Inc. (The)............. 247,908 15,442,189 0.3%
# Cal-Maine Foods, Inc.............. 201,183 11,996,542 0.3%
J&J Snack Foods Corp.............. 162,568 15,216,365 0.3%
#* Susser Holdings Corp.............. 245,851 19,023,950 0.4%
Other Securities.................. 138,857,525 2.9%
------------ ------
Total Consumer Staples................ 200,536,571 4.2%
------------ ------
Energy -- (5.2%)
* Carrizo Oil & Gas, Inc............ 216,987 11,938,625 0.3%
* Clayton Williams Energy, Inc...... 109,912 15,880,086 0.3%
EnLink Midstream LLC.............. 460,526 16,270,384 0.3%
#* EPL Oil & Gas, Inc................ 309,088 12,097,704 0.3%
* Rex Energy Corp................... 567,510 11,951,761 0.3%
Other Securities.................. 228,737,824 4.7%
------------ ------
Total Energy.......................... 296,876,384 6.2%
------------ ------
Financials -- (14.3%)
#* Encore Capital Group, Inc......... 293,377 12,679,754 0.3%
# FBL Financial Group, Inc. Class A. 271,426 12,135,456 0.3%
Horace Mann Educators Corp........ 426,348 12,820,284 0.3%
* Western Alliance Bancorp.......... 615,654 14,203,138 0.3%
Other Securities.................. 766,060,935 15.8%
------------ ------
Total Financials...................... 817,899,567 17.0%
------------ ------
Health Care -- (8.1%)
* Amsurg Corp....................... 290,077 12,563,235 0.3%
CONMED Corp....................... 254,463 11,789,271 0.3%
* Corvel Corp....................... 270,276 12,308,369 0.3%
* NuVasive, Inc..................... 346,328 11,674,717 0.2%
* Prestige Brands Holdings, Inc..... 349,826 11,726,167 0.3%
Other Securities.................. 401,549,501 8.2%
------------ ------
Total Health Care..................... 461,611,260 9.6%
------------ ------
Industrials -- (15.5%)
# AAON, Inc......................... 412,028 11,680,994 0.2%
# American Railcar Industries, Inc.. 183,840 12,765,850 0.3%
#* EnPro Industries, Inc............. 205,444 14,629,667 0.3%
#* Greenbrier Cos., Inc. (The)....... 233,628 12,251,452 0.3%
34
U.S. MICRO CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
* H&E Equipment Services, Inc........................ 315,381 $ 12,157,938 0.3%
* Huron Consulting Group, Inc........................ 164,171 11,688,975 0.2%
Mueller Water Products, Inc. Class A............... 1,433,001 13,068,969 0.3%
# Raven Industries, Inc.............................. 372,560 11,512,104 0.2%
Other Securities................................... 789,855,016 16.4%
-------------- ------
Total Industrials........................................ 889,610,965 18.5%
-------------- ------
Information Technology -- (14.7%)
* Electronics for Imaging, Inc....................... 378,928 14,319,689 0.3%
# Heartland Payment Systems, Inc..................... 339,474 13,898,066 0.3%
* iGATE Corp......................................... 444,069 16,252,925 0.3%
* Integrated Device Technology, Inc.................. 1,086,430 12,678,638 0.3%
* Manhattan Associates, Inc.......................... 797,364 25,140,887 0.5%
Methode Electronics, Inc........................... 439,533 12,192,645 0.3%
* Netscout Systems, Inc.............................. 328,700 12,806,152 0.3%
#* SunEdison, Inc..................................... 1,431,312 27,524,130 0.6%
#* Tyler Technologies, Inc............................ 200,480 16,369,192 0.3%
Other Securities................................... 690,094,080 14.3%
-------------- ------
Total Information Technology............................. 841,276,404 17.5%
-------------- ------
Materials -- (5.0%)
AMCOL International Corp........................... 270,805 12,416,409 0.3%
* Clearwater Paper Corp.............................. 188,063 11,545,188 0.2%
#* Flotek Industries, Inc............................. 458,236 12,835,190 0.3%
* KapStone Paper and Packaging Corp.................. 640,153 16,887,236 0.4%
Other Securities................................... 229,804,098 4.7%
-------------- ------
Total Materials.......................................... 283,488,121 5.9%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Telecommunication Services -- (1.0%)
Other Securities................................... 54,707,698 1.1%
-------------- ------
Utilities -- (1.4%)
Other Securities................................... 81,698,194 1.7%
-------------- ------
TOTAL COMMON STOCKS 4,771,050,960 99.3%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 442,939 0.0%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional Liquid Reserves, 0.074%. 13,684,516 13,684,516 0.3%
-------------- ------
Shares/
Face
Amount
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (16.4%)
(S)@ DFA Short Term Investment Fund..................... 80,788,021 934,717,403 19.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,074,714,677)................................ $5,719,895,818 119.1%
============== ======
35
U.S. MICRO CAP PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2014, 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...... $ 843,342,070 $ 3,726 -- $ 843,345,796
Consumer Staples............ 200,536,571 -- -- 200,536,571
Energy...................... 296,876,384 -- -- 296,876,384
Financials.................. 817,859,351 40,216 -- 817,899,567
Health Care................. 461,416,467 194,793 -- 461,611,260
Industrials................. 889,606,810 4,155 -- 889,610,965
Information Technology...... 841,276,404 -- -- 841,276,404
Materials................... 283,488,121 -- -- 283,488,121
Other....................... -- -- -- --
Telecommunication Services.. 54,707,698 -- -- 54,707,698
Utilities................... 81,698,194 -- -- 81,698,194
Preferred Stocks
Other....................... -- -- -- --
Rights/Warrants............... -- 442,939 -- 442,939
Temporary Cash Investments.... 13,684,516 -- -- 13,684,516
Securities Lending Collateral. -- 934,717,403 -- 934,717,403
-------------- ------------ -- --------------
TOTAL......................... $4,784,492,586 $935,403,232 -- $5,719,895,818
============== ============ == ==============
See accompanying Notes to Financial Statements.
36
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (90.4%)
Real Estate Investment Trusts -- (90.4%)
Alexandria Real Estate Equities, Inc.......... 752,209 $ 55,528,068 1.0%
American Campus Communities, Inc.............. 1,102,469 42,114,316 0.8%
# American Realty Capital Properties, Inc....... 2,343,374 30,674,766 0.5%
Apartment Investment & Management Co. Class A. 1,543,197 47,576,763 0.9%
AvalonBay Communities, Inc.................... 1,289,209 176,041,489 3.2%
BioMed Realty Trust, Inc...................... 2,007,467 41,956,060 0.8%
Boston Properties, Inc........................ 1,593,847 186,703,238 3.4%
Camden Property Trust......................... 899,150 61,582,783 1.1%
# CBL & Associates Properties, Inc.............. 1,712,564 31,117,288 0.6%
# DDR Corp...................................... 3,171,416 54,453,213 1.0%
# Digital Realty Trust, Inc..................... 1,335,363 71,308,384 1.3%
Douglas Emmett, Inc........................... 1,411,552 38,958,835 0.7%
Duke Realty Corp.............................. 3,429,756 60,089,325 1.1%
# EPR Properties................................ 539,553 28,925,436 0.5%
Equity Lifestyle Properties, Inc.............. 825,232 34,552,464 0.6%
Equity Residential............................ 3,570,728 212,244,072 3.8%
# Essex Property Trust, Inc..................... 623,473 108,022,932 1.9%
Extra Space Storage, Inc...................... 1,144,911 59,913,193 1.1%
# Federal Realty Investment Trust............... 698,327 82,081,356 1.5%
# General Growth Properties, Inc................ 5,007,143 115,014,075 2.1%
HCP, Inc...................................... 4,900,540 205,136,604 3.7%
Health Care REIT, Inc......................... 3,036,531 191,574,741 3.4%
# Highwoods Properties, Inc..................... 948,863 38,286,622 0.7%
# Home Properties, Inc.......................... 592,941 36,525,166 0.7%
Hospitality Properties Trust.................. 1,567,938 47,116,537 0.8%
Host Hotels & Resorts, Inc.................... 8,001,851 171,639,704 3.1%
# Kilroy Realty Corp............................ 856,391 51,015,212 0.9%
# Kimco Realty Corp............................. 4,266,286 97,783,275 1.8%
LaSalle Hotel Properties...................... 1,085,950 35,923,226 0.6%
Liberty Property Trust........................ 1,534,176 57,531,600 1.0%
# Macerich Co. (The)............................ 1,466,758 95,207,262 1.7%
# Mid-America Apartment Communities, Inc........ 771,284 53,719,931 1.0%
# National Retail Properties, Inc............... 1,280,917 43,717,697 0.8%
# Omega Healthcare Investors, Inc............... 1,298,132 45,149,031 0.8%
# Piedmont Office Realty Trust, Inc. Class A.... 1,644,951 28,967,587 0.5%
Post Properties, Inc.......................... 560,041 28,119,659 0.5%
Prologis, Inc................................. 5,219,304 212,060,322 3.8%
Public Storage................................ 1,516,772 266,208,654 4.8%
# Realty Income Corp............................ 2,287,827 99,406,083 1.8%
# Regency Centers Corp.......................... 962,678 50,473,208 0.9%
Senior Housing Properties Trust............... 1,963,761 46,089,471 0.8%
Simon Property Group, Inc..................... 3,160,039 547,318,755 9.9%
# SL Green Realty Corp.......................... 990,296 103,693,894 1.9%
Sunstone Hotel Investors, Inc................. 1,933,826 27,673,050 0.5%
# Tanger Factory Outlet Centers, Inc............ 995,423 35,516,693 0.6%
Taubman Centers, Inc.......................... 660,158 48,085,909 0.9%
UDR, Inc...................................... 2,621,647 67,795,791 1.2%
Ventas, Inc................................... 3,063,137 202,412,093 3.6%
Vornado Realty Trust.......................... 1,757,940 180,364,644 3.2%
# Weingarten Realty Investors................... 1,209,563 37,738,366 0.7%
Other Securities.............................. 832,961,759 15.1%
-------------- ------
TOTAL COMMON STOCKS............................... 5,524,070,602 99.6%
-------------- ------
37
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional Liquid Reserves, 0.074%. 29,680,720 $ 29,680,720 0.5%
-------------- ------
Shares/
Face
Amount
------- - -
(000)
SECURITIES LENDING COLLATERAL -- (9.1%)
(S)@ DFA Short Term Investment Fund..................... 48,147,372 557,065,090 10.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,448,507,178)................................ $6,110,816,412 110.2%
============== ======
Summary of the Portfolio's investments as of April 30, 2014, 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. $5,524,070,602 -- -- $5,524,070,602
Temporary Cash Investments...... 29,680,720 -- -- 29,680,720
Securities Lending Collateral... -- $557,065,090 -- 557,065,090
-------------- ------------ -- --------------
TOTAL........................... $5,553,751,322 $557,065,090 -- $6,110,816,412
============== ============ == ==============
See accompanying Notes to Financial Statements.
38
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (87.1%)
AUSTRALIA -- (6.0%)
Australia & New Zealand Banking Group, Ltd.. 498,606 $ 16,034,058 0.5%
BHP Billiton, Ltd........................... 485,719 17,105,369 0.6%
Commonwealth Bank of Australia.............. 300,939 22,137,341 0.7%
National Australia Bank, Ltd................ 421,443 13,877,011 0.5%
Westpac Banking Corp........................ 485,651 15,907,261 0.5%
Other Securities............................ 121,778,789 4.0%
------------ ------
TOTAL AUSTRALIA................................. 206,839,829 6.8%
------------ ------
AUSTRIA -- (0.3%)
Other Securities............................ 9,481,989 0.3%
------------ ------
BELGIUM -- (1.0%)
Anheuser-Busch InBev NV..................... 129,307 14,093,925 0.5%
Other Securities............................ 20,889,968 0.6%
------------ ------
TOTAL BELGIUM................................... 34,983,893 1.1%
------------ ------
CANADA -- (8.1%)
Bank of Nova Scotia......................... 196,436 11,936,169 0.4%
# Royal Bank of Canada........................ 239,589 15,990,087 0.5%
Suncor Energy, Inc.......................... 279,079 10,765,440 0.4%
# Toronto-Dominion Bank (The)................. 301,119 14,486,570 0.5%
Other Securities............................ 228,687,008 7.5%
------------ ------
TOTAL CANADA.................................... 281,865,274 9.3%
------------ ------
DENMARK -- (1.3%)
Novo Nordisk A.S. Class B................... 283,026 12,845,413 0.4%
Other Securities............................ 30,841,351 1.0%
------------ ------
TOTAL DENMARK................................... 43,686,764 1.4%
------------ ------
FINLAND -- (0.8%)
Other Securities............................ 28,842,867 0.9%
------------ ------
FRANCE -- (8.2%)
BNP Paribas SA.............................. 209,632 15,752,684 0.5%
LVMH Moet Hennessy Louis Vuitton SA......... 48,617 9,577,268 0.3%
Sanofi...................................... 180,968 19,530,038 0.6%
Total SA.................................... 294,621 21,078,411 0.7%
# Total SA Sponsored ADR...................... 157,489 11,219,516 0.4%
Other Securities............................ 207,133,116 6.8%
------------ ------
TOTAL FRANCE.................................... 284,291,033 9.3%
------------ ------
GERMANY -- (7.1%)
# Allianz SE.................................. 68,800 11,973,254 0.4%
# BASF SE..................................... 164,609 19,095,584 0.6%
# Bayer AG.................................... 134,071 18,641,456 0.6%
Bayerische Motoren Werke AG................. 78,275 9,839,554 0.3%
Daimler AG.................................. 188,841 17,580,932 0.6%
SAP AG...................................... 139,819 11,301,152 0.4%
Siemens AG.................................. 114,499 15,104,734 0.5%
Other Securities............................ 140,906,226 4.6%
------------ ------
TOTAL GERMANY................................... 244,442,892 8.0%
------------ ------
39
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.4%)
AIA Group, Ltd........................ 2,235,600 $ 10,873,050 0.4%
Other Securities...................... 72,447,662 2.3%
------------ ------
TOTAL HONG KONG........................... 83,320,712 2.7%
------------ ------
IRELAND -- (0.3%)
Other Securities...................... 10,786,964 0.4%
------------ ------
ISRAEL -- (0.4%)
Other Securities...................... 13,635,661 0.4%
------------ ------
ITALY -- (2.0%)
Other Securities...................... 70,555,232 2.3%
------------ ------
JAPAN -- (15.2%)
Softbank Corp......................... 194,300 14,471,074 0.5%
Sumitomo Mitsui Financial Group, Inc.. 261,540 10,338,756 0.4%
Toyota Motor Corp..................... 343,900 18,580,281 0.6%
Toyota Motor Corp. Sponsored ADR...... 103,254 11,194,799 0.4%
Other Securities...................... 471,850,821 15.4%
------------ ------
TOTAL JAPAN............................... 526,435,731 17.3%
------------ ------
NETHERLANDS -- (2.3%)
# Unilever NV........................... 242,733 10,408,659 0.3%
Other Securities...................... 68,281,059 2.3%
------------ ------
TOTAL NETHERLANDS......................... 78,689,718 2.6%
------------ ------
NEW ZEALAND -- (0.1%)
Other Securities...................... 3,643,491 0.1%
------------ ------
NORWAY -- (0.8%)
Other Securities...................... 28,381,846 0.9%
------------ ------
PORTUGAL -- (0.1%)
Other Securities...................... 4,988,608 0.2%
------------ ------
SINGAPORE -- (1.2%).......................
Other Securities...................... 41,909,348 1.4%
------------ ------
SPAIN -- (2.8%)
Banco Santander SA.................... 1,336,231 13,289,713 0.4%
Other Securities...................... 82,331,508 2.7%
------------ ------
TOTAL SPAIN............................... 95,621,221 3.1%
------------ ------
SWEDEN -- (2.6%)
Other Securities...................... 89,891,860 3.0%
------------ ------
SWITZERLAND -- (7.0%)
Cie Financiere Richemont SA........... 99,748 10,148,362 0.3%
Nestle SA............................. 588,034 45,445,776 1.5%
Novartis AG........................... 286,619 24,916,505 0.8%
Roche Holding AG...................... 142,306 41,744,908 1.4%
UBS AG................................ 640,816 13,401,938 0.4%
Other Securities...................... 106,647,162 3.6%
------------ ------
TOTAL SWITZERLAND......................... 242,304,651 8.0%
------------ ------
40
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (17.1%)
Anglo American P.L.C.................... 488,404 $ 13,056,552 0.4%
AstraZeneca P.L.C....................... 135,231 10,674,404 0.4%
BG Group P.L.C.......................... 637,847 12,903,202 0.4%
BP P.L.C. Sponsored ADR................. 567,667 28,735,304 0.9%
British American Tobacco P.L.C.......... 285,586 16,491,143 0.5%
# Diageo P.L.C. Sponsored ADR............. 84,093 10,324,939 0.3%
GlaxoSmithKline P.L.C................... 528,451 14,601,382 0.5%
GlaxoSmithKline P.L.C. Sponsored ADR.... 229,916 12,730,449 0.4%
HSBC Holdings P.L.C..................... 1,640,666 16,763,687 0.6%
HSBC Holdings P.L.C. Sponsored ADR...... 376,440 19,318,900 0.6%
Reckitt Benckiser Group P.L.C........... 127,159 10,265,031 0.3%
# Royal Dutch Shell P.L.C. ADR(780259107). 258,685 21,897,685 0.7%
Royal Dutch Shell P.L.C. ADR(780259206). 195,713 15,410,442 0.5%
SABMiller P.L.C......................... 177,232 9,650,453 0.3%
Vodafone Group P.L.C. Sponsored ADR..... 316,816 12,026,349 0.4%
Other Securities........................ 367,896,458 12.3%
-------------- ------
TOTAL UNITED KINGDOM.......................... 592,746,380 19.5%
-------------- ------
TOTAL COMMON STOCKS........................... 3,017,345,964 99.0%
-------------- ------
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities........................ 2,130,834 0.1%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities........................ 93,648 0.0%
-------------- ------
TOTAL PREFERRED STOCKS........................ 2,224,482 0.1%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities........................ 15,347 0.0%
-------------- ------
FRANCE -- (0.0%)
Other Securities........................ 126,509 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities........................ 18,500 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities........................ 282,687 0.0%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities........................ 195,911 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS......................... 638,954 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (12.8%)
(S)@ DFA Short Term Investment Fund.......... 38,225,151 442,265,001 14.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,739,201,752)..................... $3,462,474,401 113.6%
============== ======
41
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2014, 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................... $ 7,543,149 $ 199,296,680 -- $ 206,839,829
Austria..................... 189,081 9,292,908 -- 9,481,989
Belgium..................... 3,688,738 31,295,155 -- 34,983,893
Canada...................... 281,865,274 -- -- 281,865,274
Denmark..................... 5,290,431 38,396,333 -- 43,686,764
Finland..................... 1,730,140 27,112,727 -- 28,842,867
France...................... 19,252,865 265,038,168 -- 284,291,033
Germany..................... 23,571,412 220,871,480 -- 244,442,892
Hong Kong................... 1,032,065 82,288,647 -- 83,320,712
Ireland..................... 2,381,377 8,405,587 -- 10,786,964
Israel...................... 7,382,132 6,253,529 -- 13,635,661
Italy....................... 6,588,527 63,966,705 -- 70,555,232
Japan....................... 38,521,216 487,914,515 -- 526,435,731
Netherlands................. 13,446,367 65,243,351 -- 78,689,718
New Zealand................. -- 3,643,491 -- 3,643,491
Norway...................... 2,220,484 26,161,362 -- 28,381,846
Portugal.................... 84,245 4,904,363 -- 4,988,608
Singapore................... -- 41,909,348 -- 41,909,348
Spain....................... 22,299,146 73,322,075 -- 95,621,221
Sweden...................... 762,720 89,129,140 -- 89,891,860
Switzerland................. 19,611,858 222,692,793 -- 242,304,651
United Kingdom.............. 195,703,285 397,043,095 -- 592,746,380
Preferred Stocks
Germany..................... -- 2,130,834 -- 2,130,834
United Kingdom.............. -- 93,648 -- 93,648
Rights/Warrants
Australia................... -- 15,347 -- 15,347
France...................... -- 126,509 -- 126,509
Hong Kong................... -- 18,500 -- 18,500
Spain....................... -- 282,687 -- 282,687
United Kingdom.............. -- 195,911 -- 195,911
Securities Lending Collateral. -- 442,265,001 -- 442,265,001
------------ -------------- -- --------------
TOTAL......................... $653,164,512 $2,809,309,889 -- $3,462,474,401
============ ============== == ==============
See accompanying Notes to Financial Statements.
42
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (87.6%)
AUSTRALIA -- (5.4%)
Australia & New Zealand Banking Group, Ltd.. 1,174,816 $ 37,779,466 0.3%
Commonwealth Bank of Australia.............. 384,649 28,295,122 0.3%
National Australia Bank, Ltd................ 1,331,618 43,846,685 0.4%
Westpac Banking Corp........................ 1,072,084 35,115,589 0.3%
Other Securities............................ 558,033,635 4.8%
------------ ------
TOTAL AUSTRALIA................................. 703,070,497 6.1%
------------ ------
AUSTRIA -- (0.5%)
Other Securities............................ 59,710,095 0.5%
------------ ------
BELGIUM -- (1.2%)
Anheuser-Busch InBev NV..................... 228,944 24,953,943 0.2%
Other Securities............................ 130,112,449 1.2%
------------ ------
TOTAL BELGIUM................................... 155,066,392 1.4%
------------ ------
BRAZIL -- (0.0%)
Other Securities............................ 6,373 0.0%
------------ ------
CANADA -- (7.7%)
Suncor Energy, Inc.......................... 729,529 28,141,494 0.3%
# Toronto-Dominion Bank (The)................. 701,544 33,750,664 0.3%
Other Securities............................ 933,602,907 8.1%
------------ ------
TOTAL CANADA.................................... 995,495,065 8.7%
------------ ------
CHINA -- (0.0%)
Other Securities............................ 810,990 0.0%
------------ ------
DENMARK -- (1.4%)
Other Securities............................ 176,447,554 1.5%
------------ ------
FINLAND -- (1.5%)
#* Nokia Oyj................................... 3,651,928 27,344,067 0.2%
Other Securities............................ 162,290,235 1.5%
------------ ------
TOTAL FINLAND................................... 189,634,302 1.7%
------------ ------
FRANCE -- (7.1%)
BNP Paribas SA.............................. 468,229 35,184,814 0.3%
Cie de St-Gobain............................ 420,301 25,749,926 0.2%
# Sanofi ADR.................................. 522,052 28,086,398 0.3%
Total SA.................................... 800,396 57,263,657 0.5%
# Total SA Sponsored ADR...................... 595,142 42,397,916 0.4%
Other Securities............................ 735,859,847 6.4%
------------ ------
TOTAL FRANCE.................................... 924,542,558 8.1%
------------ ------
GERMANY -- (6.1%)
# Allianz SE.................................. 150,380 26,170,608 0.2%
Bayerische Motoren Werke AG................. 248,108 31,188,401 0.3%
Daimler AG.................................. 531,976 49,526,500 0.4%
Deutsche Telekom AG......................... 1,506,152 25,304,945 0.2%
Fresenius SE & Co. KGaA..................... 161,560 24,581,785 0.2%
Linde AG.................................... 112,611 23,387,591 0.2%
RWE AG...................................... 673,370 25,696,523 0.2%
43
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
GERMANY -- (Continued)
# Siemens AG Sponsored ADR.............. 195,766 $ 25,807,832 0.2%
Other Securities...................... 563,950,455 5.0%
-------------- ------
TOTAL GERMANY............................. 795,614,640 6.9%
-------------- ------
GREECE -- (0.0%)
Other Securities...................... 71,924 0.0%
-------------- ------
HONG KONG -- (2.3%)
Other Securities...................... 296,427,284 2.6%
-------------- ------
IRELAND -- (0.4%)
Other Securities...................... 53,315,547 0.5%
-------------- ------
ISRAEL -- (0.6%)
Other Securities...................... 75,339,506 0.7%
-------------- ------
ITALY -- (2.5%)
Other Securities...................... 327,008,278 2.9%
-------------- ------
JAPAN -- (16.8%)
Mitsubishi UFJ Financial Group, Inc... 4,619,100 24,571,275 0.2%
Mizuho Financial Group, Inc........... 13,495,060 26,431,521 0.3%
Sumitomo Mitsui Financial Group, Inc.. 754,470 29,824,427 0.3%
Toyota Motor Corp..................... 437,186 23,620,350 0.2%
Toyota Motor Corp. Sponsored ADR...... 373,184 40,460,609 0.4%
Other Securities...................... 2,036,769,274 17.6%
-------------- ------
TOTAL JAPAN............................... 2,181,677,456 19.0%
-------------- ------
NETHERLANDS -- (2.4%)
Other Securities...................... 309,742,635 2.7%
-------------- ------
NEW ZEALAND -- (0.2%)
Other Securities...................... 33,520,537 0.3%
-------------- ------
NORWAY -- (0.9%)
Other Securities...................... 119,520,057 1.0%
-------------- ------
PORTUGAL -- (0.3%)
Other Securities...................... 41,275,501 0.4%
-------------- ------
SINGAPORE -- (1.2%)
Other Securities...................... 154,841,578 1.4%
-------------- ------
SPAIN -- (2.5%)
Banco Santander SA.................... 4,226,645 42,036,805 0.4%
Other Securities...................... 283,152,598 2.4%
-------------- ------
TOTAL SPAIN............................... 325,189,403 2.8%
-------------- ------
SWEDEN -- (2.9%)
Nordea Bank AB........................ 1,644,450 23,829,063 0.2%
Other Securities...................... 348,318,956 3.0%
-------------- ------
TOTAL SWEDEN.............................. 372,148,019 3.2%
-------------- ------
SWITZERLAND -- (6.2%)
ABB, Ltd.............................. 1,199,336 28,875,314 0.3%
Credit Suisse Group AG................ 1,122,531 35,587,188 0.3%
44
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Nestle SA............................... 1,067,180 $ 82,476,222 0.7%
# Novartis AG ADR......................... 818,651 71,173,518 0.6%
Roche Holding AG........................ 128,140 37,589,368 0.3%
Swiss Re AG............................. 365,604 31,968,810 0.3%
UBS AG.................................. 1,549,112 32,397,918 0.3%
Zurich Insurance Group AG............... 144,746 41,507,170 0.4%
Other Securities........................ 441,725,643 3.8%
--------------- ------
TOTAL SWITZERLAND........................... 803,301,151 7.0%
--------------- ------
UNITED KINGDOM -- (17.5%)
Anglo American P.L.C.................... 1,385,123 37,028,629 0.3%
AstraZeneca P.L.C. Sponsored ADR........ 426,473 33,712,691 0.3%
Aviva P.L.C............................. 3,728,348 33,226,253 0.3%
Barclays P.L.C. Sponsored ADR........... 2,177,140 37,250,873 0.3%
BG Group P.L.C.......................... 1,868,453 37,797,509 0.3%
BP P.L.C. Sponsored ADR................. 2,000,170 101,248,602 0.9%
HSBC Holdings P.L.C. Sponsored ADR...... 1,787,953 91,757,748 0.8%
* Lloyds Banking Group P.L.C.............. 23,313,762 29,729,999 0.3%
# Prudential P.L.C. ADR................... 635,609 29,358,780 0.3%
# Rio Tinto P.L.C. Sponsored ADR.......... 656,443 35,638,290 0.3%
# Royal Dutch Shell P.L.C. ADR(780259107). 1,398,074 118,346,964 1.0%
Royal Dutch Shell P.L.C. ADR(780259206). 443,387 34,912,292 0.3%
Tesco P.L.C............................. 5,068,750 25,110,209 0.2%
Vodafone Group P.L.C. Sponsored ADR..... 1,234,928 46,877,857 0.4%
Other Securities........................ 1,581,233,578 13.8%
--------------- ------
TOTAL UNITED KINGDOM........................ 2,273,230,274 19.8%
--------------- ------
UNITED STATES -- (0.0%)
Other Securities........................ 2,046,379 0.0%
--------------- ------
TOTAL COMMON STOCKS......................... 11,369,053,995 99.2%
--------------- ------
PREFERRED STOCKS -- (0.1%)
FRANCE -- (0.0%)
Other Securities........................ 7,584 0.0%
--------------- ------
GERMANY -- (0.1%)
Other Securities........................ 6,167,108 0.1%
--------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities........................ 220,292 0.0%
--------------- ------
TOTAL PREFERRED STOCKS...................... 6,394,984 0.1%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities........................ 64,003 0.0%
--------------- ------
AUSTRIA -- (0.0%)
Other Securities........................ -- 0.0%
--------------- ------
FRANCE -- (0.0%)
Other Securities........................ 931,517 0.0%
--------------- ------
HONG KONG -- (0.0%)
Other Securities........................ 59,233 0.0%
--------------- ------
45
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
ISRAEL -- (0.0%)
Other Securities................ $ 4,188 0.0%
--------------- ------
ITALY -- (0.0%)
Other Securities................ -- 0.0%
--------------- ------
PORTUGAL -- (0.0%)
Other Securities................ 118,196 0.0%
--------------- ------
SINGAPORE -- (0.0%)
Other Securities................ 1,460 0.0%
--------------- ------
SPAIN -- (0.0%)
Other Securities................ 900,196 0.0%
--------------- ------
SWEDEN -- (0.0%)
Other Securities................ 54,914 0.0%
--------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities................ 1,008,452 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS................... 3,142,159 0.0%
--------------- ------
Shares/
Face
Amount Value+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (12.3%)
(S)@ DFA Short Term Investment Fund.. 138,213,468 1,599,129,820 13.9%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,943,662,398).............. $12,977,720,958 113.2%
=============== ======
46
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2014, 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................... $ 27,349,796 $ 675,720,701 -- $ 703,070,497
Austria..................... 633,710 59,076,385 -- 59,710,095
Belgium..................... 12,903,368 142,163,024 -- 155,066,392
Brazil...................... 6,373 -- -- 6,373
Canada...................... 995,459,311 35,754 -- 995,495,065
China....................... -- 810,990 -- 810,990
Denmark..................... 7,667,415 168,780,139 -- 176,447,554
Finland..................... 4,107,611 185,526,691 -- 189,634,302
France...................... 106,636,570 817,905,988 -- 924,542,558
Germany..................... 89,203,687 706,410,953 -- 795,614,640
Greece...................... -- 71,924 -- 71,924
Hong Kong................... 634,204 295,793,080 -- 296,427,284
Ireland..................... 14,600,045 38,715,502 -- 53,315,547
Israel...................... 24,857,510 50,481,996 -- 75,339,506
Italy....................... 18,924,297 308,083,981 -- 327,008,278
Japan....................... 103,863,877 2,077,813,579 -- 2,181,677,456
Netherlands................. 50,534,444 259,208,191 -- 309,742,635
New Zealand................. 78,338 33,442,199 -- 33,520,537
Norway...................... 13,497,244 106,022,813 -- 119,520,057
Portugal.................... 348,577 40,926,924 -- 41,275,501
Singapore................... -- 154,841,578 -- 154,841,578
Spain....................... 44,575,753 280,613,650 -- 325,189,403
Sweden...................... 9,839,720 362,308,299 -- 372,148,019
Switzerland................. 111,966,697 691,334,454 -- 803,301,151
United Kingdom.............. 691,897,766 1,581,332,508 -- 2,273,230,274
United States............... 1,489,186 557,193 -- 2,046,379
Preferred Stocks
France...................... -- 7,584 -- 7,584
Germany..................... -- 6,167,108 -- 6,167,108
United Kingdom.............. -- 220,292 -- 220,292
Rights/Warrants
Australia................... -- 64,003 -- 64,003
Austria..................... -- -- -- --
France...................... -- 931,517 -- 931,517
Hong Kong................... -- 59,233 -- 59,233
Israel...................... -- 4,188 -- 4,188
Italy....................... -- -- -- --
Portugal.................... -- 118,196 -- 118,196
Singapore................... -- 1,460 -- 1,460
Spain....................... -- 900,196 -- 900,196
Sweden...................... -- 54,914 -- 54,914
United Kingdom.............. -- 1,008,452 -- 1,008,452
Securities Lending Collateral -- 1,599,129,820 -- 1,599,129,820
-------------- --------------- -- ---------------
TOTAL......................... $2,331,075,499 $10,646,645,459 -- $12,977,720,958
============== =============== == ===============
See accompanying Notes to Financial Statements.
47
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Value+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company....................... $3,419,018,670
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company....................... 2,103,306,949
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company....................... 1,837,501,135
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company....................... 1,012,307,182
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company....................... 844,393,080
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $7,184,900,942)............................... 9,216,527,016
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,184,900,942)............................... $9,216,527,016
==============
Summary of the Portfolio's investments as of April 30, 2014, 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. $9,216,527,016 -- -- $9,216,527,016
-------------- -- -- --------------
TOTAL........................... $9,216,527,016 -- -- $9,216,527,016
============== == == ==============
See accompanying Notes to Financial Statements.
48
SCHEDULES OF INVESTMENTS
April 30, 2014
(Unaudited)
JAPANESE SMALL COMPANY PORTFOLIO
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company..................... $380,419,466
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $372,912,556)............................... $380,419,466
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014,
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..................... $397,070,438
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $370,732,046)............................... $397,070,438
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
49
SCHEDULES OF INVESTMENTS
April 30, 2014
(Unaudited)
UNITED KINGDOM SMALL COMPANY PORTFOLIO
Value+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company....................... $39,058,159
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $23,030,770).................................. $39,058,159
===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2014,
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..................... $194,297,639
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $135,662,649)............................... $194,297,639
============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
50
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (93.4%)
AUSTRALIA -- (20.4%)
# CFS Retail Property Trust Group. 15,732,519 $ 29,454,557 1.1%
# Dexus Property Group............ 39,586,350 41,879,353 1.6%
Federation Centres, Ltd......... 10,569,645 24,535,114 1.0%
Goodman Group................... 12,869,784 59,779,493 2.3%
GPT Group....................... 12,514,991 45,671,312 1.8%
Investa Office Fund............. 4,767,134 14,841,377 0.6%
Stockland....................... 17,051,348 61,813,398 2.4%
Westfield Group................. 15,048,469 153,558,494 6.0%
Westfield Retail Trust.......... 22,117,295 65,709,998 2.6%
Other Securities................ 56,615,191 2.1%
------------ ------
TOTAL AUSTRALIA..................... 553,858,287 21.5%
------------ ------
BELGIUM -- (1.5%)
# Cofinimmo....................... 133,272 16,330,923 0.6%
Other Securities................ 25,391,147 1.0%
------------ ------
TOTAL BELGIUM....................... 41,722,070 1.6%
------------ ------
CANADA -- (5.8%)
H&R REIT........................ 1,036,249 21,820,749 0.9%
# RioCan REIT..................... 1,208,099 30,013,718 1.2%
Other Securities................ 107,221,533 4.1%
------------ ------
TOTAL CANADA........................ 159,056,000 6.2%
------------ ------
CHINA -- (0.2%)
Other Securities................ 4,571,991 0.2%
------------ ------
FRANCE -- (4.4%)
Fonciere Des Regions............ 216,638 22,004,934 0.9%
Gecina SA....................... 170,260 22,917,358 0.9%
ICADE........................... 263,943 26,929,628 1.0%
Klepierre....................... 736,242 33,779,445 1.3%
Other Securities................ 12,776,963 0.5%
------------ ------
TOTAL FRANCE........................ 118,408,328 4.6%
------------ ------
GERMANY -- (0.4%)
Other Securities................ 10,820,324 0.4%
------------ ------
GREECE -- (0.0%)
Other Securities................ 1,118,030 0.0%
------------ ------
HONG KONG -- (4.1%)
Link REIT (The)................. 18,378,305 91,500,709 3.6%
Other Securities................ 21,307,504 0.8%
------------ ------
TOTAL HONG KONG..................... 112,808,213 4.4%
------------ ------
ISRAEL -- (0.2%)
Other Securities................ 5,677,221 0.2%
------------ ------
ITALY -- (0.3%)
Other Securities................ 9,202,109 0.4%
------------ ------
51
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
JAPAN -- (15.9%)
Advance Residence Investment Corp..... 9,531 $ 21,564,256 0.8%
Frontier Real Estate Investment Corp.. 3,541 18,373,028 0.7%
# Japan Logistics Fund, Inc............. 5,690 12,841,538 0.5%
# Japan Prime Realty Investment Corp.... 5,974 21,022,232 0.8%
# Japan Real Estate Investment Corp..... 9,096 48,222,766 1.9%
Japan Retail Fund Investment Corp..... 17,708 35,616,260 1.4%
# Kenedix Office Investment Corp........ 2,400 11,989,118 0.5%
# Mori Trust Sogo Reit, Inc............. 8,135 12,209,297 0.5%
# Nippon Accommodations Fund, Inc....... 3,405 12,009,375 0.5%
# Nippon Building Fund, Inc............. 10,488 58,150,335 2.3%
# Nomura Real Estate Office Fund, Inc... 2,663 11,524,505 0.4%
# Orix JREIT, Inc....................... 13,599 17,299,637 0.7%
# United Urban Investment Corp.......... 18,210 27,483,355 1.1%
Other Securities...................... 123,616,133 4.7%
------------ ------
TOTAL JAPAN............................... 431,921,835 16.8%
------------ ------
MALAYSIA -- (0.7%)
Other Securities...................... 18,395,261 0.7%
------------ ------
MEXICO -- (1.3%)
# Fibra Uno Administracion S.A. de C.V.. 9,758,445 31,991,722 1.3%
Other Securities...................... 3,590,142 0.1%
------------ ------
TOTAL MEXICO.............................. 35,581,864 1.4%
------------ ------
NETHERLANDS -- (9.3%)
Corio NV.............................. 517,775 24,261,738 0.9%
Eurocommercial Properties NV.......... 286,433 13,149,996 0.5%
Unibail-Rodamco SE.................... 708,508 191,470,269 7.5%
# Wereldhave NV......................... 167,438 14,080,055 0.6%
Other Securities...................... 10,776,088 0.4%
------------ ------
TOTAL NETHERLANDS......................... 253,738,146 9.9%
------------ ------
NEW ZEALAND -- (0.7%)
Other Securities...................... 18,601,913 0.7%
------------ ------
SINGAPORE -- (7.9%)
Ascendas REIT......................... 16,266,000 29,772,683 1.2%
# CapitaCommercial Trust................ 16,050,000 20,539,942 0.8%
CapitaMall Trust...................... 19,365,300 30,869,017 1.2%
Suntec REIT........................... 17,180,000 23,547,892 0.9%
Other Securities...................... 108,774,168 4.2%
------------ ------
TOTAL SINGAPORE........................... 213,503,702 8.3%
------------ ------
SOUTH AFRICA -- (2.9%)
Capital Property Fund................. 11,430,703 11,524,993 0.5%
Growthpoint Properties, Ltd........... 8,720,596 20,159,101 0.8%
Other Securities...................... 47,430,990 1.8%
------------ ------
TOTAL SOUTH AFRICA........................ 79,115,084 3.1%
------------ ------
TAIWAN -- (0.5%)
Other Securities...................... 12,661,014 0.5%
------------ ------
52
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TURKEY -- (1.2%)
Emlak Konut Gayrimenkul Yatirim Ortakligi A.S.. 18,208,982 $ 23,910,479 0.9%
Other Securities............................... 9,634,868 0.4%
-------------- ------
TOTAL TURKEY......................................... 33,545,347 1.3%
-------------- ------
UNITED KINGDOM -- (15.7%)
British Land Co. P.L.C......................... 7,167,344 83,735,630 3.3%
Derwent London P.L.C........................... 688,726 31,683,138 1.2%
Great Portland Estates P.L.C................... 2,582,483 27,381,627 1.1%
Hammerson P.L.C................................ 5,226,737 50,443,712 2.0%
Intu Properties P.L.C.......................... 6,250,871 30,880,534 1.2%
Land Securities Group P.L.C.................... 5,795,651 104,114,043 4.0%
Segro P.L.C.................................... 5,504,210 32,576,737 1.3%
Shaftesbury P.L.C.............................. 1,925,660 21,530,655 0.8%
Other Securities............................... 45,007,374 1.7%
-------------- ------
TOTAL UNITED KINGDOM................................. 427,353,450 16.6%
-------------- ------
TOTAL COMMON STOCKS.................................. 2,541,660,189 98.8%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SOUTH AFRICA -- (0.0%)
Other Securities............................... 34,267 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (6.6%)
(S)@ DFA Short Term Investment Fund................. 15,503,469 179,375,134 7.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,383,949,446)............................ $2,721,069,590 105.8%
============== ======
53
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2014, 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................... -- $ 553,858,287 -- $ 553,858,287
Belgium..................... -- 41,722,070 -- 41,722,070
Canada...................... $159,056,000 -- -- 159,056,000
China....................... -- 4,571,991 -- 4,571,991
France...................... -- 118,408,328 -- 118,408,328
Germany..................... -- 10,820,324 -- 10,820,324
Greece...................... -- 1,118,030 -- 1,118,030
Hong Kong................... -- 112,808,213 -- 112,808,213
Israel...................... -- 5,677,221 -- 5,677,221
Italy....................... -- 9,202,109 -- 9,202,109
Japan....................... -- 431,921,835 -- 431,921,835
Malaysia.................... -- 18,395,261 -- 18,395,261
Mexico...................... 35,581,864 -- -- 35,581,864
Netherlands................. -- 253,738,146 -- 253,738,146
New Zealand................. -- 18,601,913 -- 18,601,913
Singapore................... -- 213,503,702 -- 213,503,702
South Africa................ -- 79,115,084 -- 79,115,084
Taiwan...................... -- 12,661,014 -- 12,661,014
Turkey...................... -- 33,545,347 -- 33,545,347
United Kingdom.............. -- 427,353,450 -- 427,353,450
Rights/Warrants
South Africa................ -- 34,267 -- 34,267
Securities Lending Collateral. -- 179,375,134 -- 179,375,134
------------ -------------- -- --------------
TOTAL......................... $194,637,864 $2,526,431,726 -- $2,721,069,590
============ ============== == ==============
See accompanying Notes to Financial Statements.
54
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Shares Value+
----------- --------------
AFFILIATED INVESTMENT COMPANIES -- (99.7%)
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc............................... 52,315,005 $1,543,292,654
Investment in DFA International Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc............................... 186,019,691 1,010,086,920
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $2,084,675,000).......................................... 2,553,379,574
--------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves, 0.074%
(Cost $7,403,043)................................................. 7,403,043 7,403,043
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,092,078,043).......................................... $2,560,782,617
==============
Summary of the Portfolio's investments as of April 30, 2014, 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. $2,553,379,574 -- -- $2,553,379,574
Temporary Cash Investments...... 7,403,043 -- -- 7,403,043
-------------- -- -- --------------
TOTAL........................... $2,560,782,617 -- -- $2,560,782,617
============== == == ==============
See accompanying Notes to Financial Statements.
55
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (89.3%)
AUSTRALIA -- (4.8%)
Primary Health Care, Ltd..... 10,254,873 $ 44,821,248 0.4%
Other Securities............. 608,331,344 4.9%
-------------- ----
TOTAL AUSTRALIA.................. 653,152,592 5.3%
-------------- ----
AUSTRIA -- (0.8%)
# Wienerberger AG.............. 2,849,957 52,899,209 0.4%
Other Securities 53,951,197 0.5%
-------------- ----
TOTAL AUSTRIA.................... 106,850,406 0.9%
-------------- ----
BELGIUM -- (0.8%)
Other Securities............. 113,216,088 0.9%
-------------- ----
CANADA -- (8.3%)
* Celestica, Inc............... 4,266,945 47,339,128 0.4%
West Fraser Timber Co., Ltd.. 1,144,822 51,180,401 0.4%
Other Securities............. 1,037,743,280 8.4%
-------------- ----
TOTAL CANADA..................... 1,136,262,809 9.2%
-------------- ----
CHINA -- (0.1%)
Other Securities............. 7,371,120 0.1%
-------------- ----
DENMARK -- (1.8%)
* Vestas Wind Systems A.S...... 3,314,030 147,179,632 1.2%
Other Securities............. 105,956,002 0.8%
-------------- ----
TOTAL DENMARK.................... 253,135,634 2.0%
-------------- ----
FINLAND -- (2.1%)
Huhtamaki Oyj................ 1,803,288 47,415,958 0.4%
Other Securities............. 244,722,435 2.0%
-------------- ----
TOTAL FINLAND.................... 292,138,393 2.4%
-------------- ----
FRANCE -- (3.9%)
#* Air France-KLM............... 3,419,028 49,186,239 0.4%
Other Securities............. 485,571,574 3.9%
-------------- ----
TOTAL FRANCE..................... 534,757,813 4.3%
-------------- ----
GERMANY -- (4.9%)
* Aareal Bank AG............... 1,133,243 51,511,183 0.4%
Aurubis AG................... 1,045,010 55,829,083 0.5%
# Bilfinger SE................. 536,449 63,958,308 0.5%
# Rheinmetall AG............... 647,831 43,158,259 0.4%
# TUI AG....................... 3,423,151 56,999,471 0.5%
Other Securities............. 394,504,669 3.1%
-------------- ----
TOTAL GERMANY.................... 665,960,973 5.4%
-------------- ----
GREECE -- (0.0%)
Other Securities............. 550,774 0.0%
-------------- ----
HONG KONG -- (2.0%)
Other Securities............. 277,530,134 2.2%
-------------- ----
56
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
IRELAND -- (0.4%)
Smurfit Kappa Group P.L.C..... 2,066,589 $ 46,038,830 0.4%
Other Securities.............. 6,031,615 0.0%
-------------- -----
TOTAL IRELAND..................... 52,070,445 0.4%
-------------- -----
ISRAEL -- (0.7%)
Other Securities.............. 92,649,143 0.7%
-------------- -----
ITALY -- (3.8%)
#* Banca Popolare di Milano SCRL. 77,876,899 78,757,121 0.6%
* Banco Popolare SC............. 8,136,202 168,146,133 1.4%
* UnipolSai SpA................. 12,757,315 46,941,304 0.4%
Other Securities.............. 232,401,233 1.9%
-------------- -----
TOTAL ITALY....................... 526,245,791 4.3%
-------------- -----
JAPAN -- (19.0%)
Other Securities.............. 2,611,882,082 21.2%
-------------- -----
LUXEMBOURG -- (0.0%)
Other Securities.............. 122,353 0.0%
-------------- -----
NETHERLANDS -- (2.1%)
#* APERAM........................ 1,753,419 45,621,474 0.4%
Delta Lloyd NV................ 2,392,235 62,958,731 0.5%
Other Securities.............. 175,524,914 1.4%
-------------- -----
TOTAL NETHERLANDS................. 284,105,119 2.3%
-------------- -----
NEW ZEALAND -- (0.3%)
Other Securities.............. 45,818,058 0.4%
-------------- -----
NORWAY -- (0.9%)
Other Securities.............. 127,240,320 1.0%
-------------- -----
PORTUGAL -- (0.6%)
#* Banco Comercial Portugues SA.. 187,787,505 57,067,629 0.5%
Other Securities.............. 22,816,373 0.1%
-------------- -----
TOTAL PORTUGAL.................... 79,884,002 0.6%
-------------- -----
SINGAPORE -- (1.4%)
Other Securities.............. 192,081,968 1.6%
-------------- -----
SPAIN -- (2.4%)
Bankinter SA.................. 9,498,044 72,721,437 0.6%
* Gamesa Corp. Tecnologica SA... 7,418,085 73,734,457 0.6%
#* Sacyr SA...................... 7,565,697 49,830,722 0.4%
Other Securities.............. 129,615,239 1.0%
-------------- -----
TOTAL SPAIN....................... 325,901,855 2.6%
-------------- -----
SWEDEN -- (3.5%)
BillerudKorsnas AB............ 3,506,767 51,248,998 0.4%
Holmen AB Class B............. 1,385,639 48,972,666 0.4%
# Trelleborg AB Class B......... 5,405,103 115,650,402 0.9%
Other Securities.............. 264,275,372 2.2%
-------------- -----
TOTAL SWEDEN...................... 480,147,438 3.9%
-------------- -----
57
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (3.9%)
Helvetia Holding AG.................. 121,594 $ 60,608,318 0.5%
Swiss Life Holding AG................ 180,130 44,379,643 0.4%
Other Securities..................... 432,661,095 3.5%
--------------- -----
TOTAL SWITZERLAND........................ 537,649,056 4.4%
--------------- -----
UNITED KINGDOM -- (20.8%)
Amlin P.L.C.......................... 11,024,189 83,350,349 0.7%
Ashtead Group P.L.C.................. 9,060,925 134,248,301 1.1%
Barratt Developments P.L.C........... 23,304,329 145,749,037 1.2%
Beazley P.L.C........................ 12,470,827 51,733,665 0.4%
Bellway P.L.C........................ 3,448,205 83,973,177 0.7%
Bodycote P.L.C....................... 5,021,077 61,957,596 0.5%
Bovis Homes Group P.L.C.............. 3,820,358 51,089,368 0.4%
Catlin Group, Ltd.................... 9,072,341 81,027,071 0.7%
CSR P.L.C............................ 4,886,688 47,481,162 0.4%
* Dixons Retail P.L.C.................. 74,506,019 56,667,531 0.5%
DS Smith P.L.C....................... 15,172,280 80,853,845 0.7%
easyJet P.L.C........................ 1,792,771 49,605,324 0.4%
Greene King P.L.C.................... 4,908,532 73,898,809 0.6%
Hiscox, Ltd.......................... 8,547,223 101,972,677 0.8%
Home Retail Group P.L.C.............. 17,508,245 60,496,425 0.5%
Inchcape P.L.C....................... 8,776,728 95,343,359 0.8%
Millennium & Copthorne Hotels P.L.C.. 4,813,561 45,187,618 0.4%
Mondi P.L.C.......................... 4,406,737 73,257,173 0.6%
* Persimmon P.L.C...................... 7,739,467 171,754,093 1.4%
SIG P.L.C............................ 14,208,459 46,048,206 0.4%
Taylor Wimpey P.L.C.................. 76,091,760 135,325,001 1.1%
* Thomas Cook Group P.L.C.............. 26,803,185 79,232,848 0.7%
Travis Perkins P.L.C................. 4,514,252 130,328,001 1.1%
Other Securities..................... 910,456,432 7.0%
--------------- -----
TOTAL UNITED KINGDOM..................... 2,851,037,068 23.1%
--------------- -----
TOTAL COMMON STOCKS...................... 12,247,761,434 99.2%
--------------- -----
PREFERRED STOCKS -- (0.0%)
FRANCE -- (0.0%)
Other Securities..................... 10,799 0.0%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities..................... 194,468 0.0%
--------------- -----
AUSTRIA -- (0.0%)
Other Securities..................... -- 0.0%
--------------- -----
FRANCE -- (0.0%)
Other Securities..................... 4,405,989 0.0%
--------------- -----
HONG KONG -- (0.0%)
Other Securities..................... -- 0.0%
--------------- -----
ISRAEL -- (0.0%)
Other Securities..................... 56,668 0.0%
--------------- -----
SINGAPORE -- (0.0%)
Other Securities..................... 442 0.0%
--------------- -----
58
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWEDEN -- (0.0%)
Other Securities................ $ 21,426 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS................... 4,678,993 0.0%
--------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (10.7%)
(S)@ DFA Short Term Investment Fund.. 126,129,433 1,459,317,538 11.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,916,859,971).............. $13,711,768,764 111.0%
=============== ======
Summary of the Portfolio's investments as of April 30, 2014, 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................... $ 741,079 $ 652,411,513 -- $ 653,152,592
Austria..................... -- 106,850,406 -- 106,850,406
Belgium..................... -- 113,216,088 -- 113,216,088
Canada...................... 1,135,620,017 642,792 -- 1,136,262,809
China....................... -- 7,371,120 -- 7,371,120
Denmark..................... -- 253,135,634 -- 253,135,634
Finland..................... 2,509 292,135,884 -- 292,138,393
France...................... -- 534,757,813 -- 534,757,813
Germany..................... 953 665,960,020 -- 665,960,973
Greece...................... -- 550,774 -- 550,774
Hong Kong................... -- 277,530,134 -- 277,530,134
Ireland..................... -- 52,070,445 -- 52,070,445
Israel...................... -- 92,649,143 -- 92,649,143
Italy....................... -- 526,245,791 -- 526,245,791
Japan....................... 737,791 2,611,144,291 -- 2,611,882,082
Luxembourg.................. -- 122,353 -- 122,353
Netherlands................. -- 284,105,119 -- 284,105,119
New Zealand................. -- 45,818,058 -- 45,818,058
Norway...................... -- 127,240,320 -- 127,240,320
Portugal.................... -- 79,884,002 -- 79,884,002
Singapore................... -- 192,081,968 -- 192,081,968
Spain....................... 385,079 325,516,776 -- 325,901,855
Sweden...................... -- 480,147,438 -- 480,147,438
Switzerland................. -- 537,649,056 -- 537,649,056
United Kingdom.............. 1,357,865 2,849,679,203 -- 2,851,037,068
Preferred Stocks
France...................... -- 10,799 -- 10,799
Rights/Warrants
Australia................... -- 194,468 -- 194,468
Austria..................... -- -- -- --
France...................... -- 4,405,989 -- 4,405,989
Hong Kong................... -- -- -- --
Israel...................... -- 56,668 -- 56,668
Singapore................... -- 442 -- 442
Sweden...................... -- 21,426 -- 21,426
Securities Lending Collateral -- 1,459,317,538 -- 1,459,317,538
-------------- --------------- -- ---------------
TOTAL......................... $1,138,845,293 $12,572,923,471 -- $13,711,768,764
============== =============== == ===============
See accompanying Notes to Financial Statements.
59
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (89.0%)
AUSTRALIA -- (5.9%)
Australia & New Zealand Banking Group, Ltd.. 122,194 $ 3,929,487 0.3%
National Australia Bank, Ltd................ 100,779 3,318,388 0.3%
Origin Energy, Ltd.......................... 187,380 2,603,063 0.2%
Other Securities............................ 75,419,644 5.8%
------------ ----
TOTAL AUSTRALIA................................. 85,270,582 6.6%
------------ ----
AUSTRIA -- (0.5%)
Other Securities............................ 7,419,876 0.6%
------------ ----
BELGIUM -- (1.4%)
Other Securities............................ 19,871,642 1.5%
------------ ----
BRAZIL -- (0.0%)
Other Securities............................ 2,108 0.0%
------------ ----
CANADA -- (8.0%)
Other Securities............................ 116,086,834 9.0%
------------ ----
CHINA -- (0.0%)
Other Securities............................ 143,635 0.0%
------------ ----
DENMARK -- (1.5%)
Other Securities............................ 21,021,087 1.6%
------------ ----
FINLAND -- (1.9%)
# Fortum Oyj.................................. 101,620 2,295,807 0.2%
#* Nokia Oyj................................... 438,160 3,280,754 0.3%
UPM-Kymmene Oyj............................. 170,168 2,980,288 0.2%
Other Securities............................ 19,056,773 1.4%
------------ ----
TOTAL FINLAND................................... 27,613,622 2.1%
------------ ----
FRANCE -- (6.6%)
* Alcatel-Lucent.............................. 763,771 3,028,903 0.2%
BNP Paribas SA.............................. 41,203 3,096,177 0.3%
Cie de St-Gobain............................ 42,228 2,587,117 0.2%
* Credit Agricole SA.......................... 153,510 2,422,149 0.2%
Lafarge SA.................................. 30,333 2,775,434 0.2%
Orange SA................................... 153,868 2,492,857 0.2%
Renault SA.................................. 30,047 2,937,691 0.2%
Sanofi...................................... 23,775 2,565,794 0.2%
Societe Generale SA......................... 51,102 3,182,488 0.3%
Total SA.................................... 63,258 4,525,740 0.4%
Other Securities............................ 66,076,408 5.0%
------------ ----
TOTAL FRANCE.................................... 95,690,758 7.4%
------------ ----
GERMANY -- (5.7%)
# Allianz SE.................................. 20,504 3,568,308 0.3%
Bayerische Motoren Werke AG................. 19,013 2,390,028 0.2%
* Commerzbank AG.............................. 141,238 2,518,434 0.2%
Daimler AG.................................. 38,229 3,559,086 0.3%
RWE AG...................................... 85,573 3,265,558 0.3%
Other Securities............................ 66,343,426 5.0%
------------ ----
TOTAL GERMANY................................... 81,644,840 6.3%
------------ ----
60
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
GREECE -- (0.0%)
Other Securities...................... $ 1 0.0%
------------ -----
HONG KONG -- (2.5%)
Other Securities...................... 35,449,540 2.7%
------------ -----
IRELAND -- (0.5%)
Other Securities...................... 7,289,034 0.6%
------------ -----
ISRAEL -- (0.6%)
Other Securities...................... 8,578,989 0.7%
------------ -----
ITALY -- (2.6%)
#* Banco Popolare SC..................... 143,248 2,960,423 0.2%
Unione di Banche Italiane SCPA........ 339,391 3,239,654 0.3%
Other Securities...................... 31,154,981 2.4%
------------ -----
TOTAL ITALY............................... 37,355,058 2.9%
------------ -----
JAPAN -- (17.4%)
Mitsubishi UFJ Financial Group, Inc... 543,100 2,889,017 0.2%
Mizuho Financial Group, Inc........... 1,155,460 2,263,092 0.2%
Sumitomo Mitsui Financial Group, Inc.. 63,441 2,507,842 0.2%
Other Securities...................... 243,475,607 18.8%
------------ -----
TOTAL JAPAN............................... 251,135,558 19.4%
------------ -----
NETHERLANDS -- (2.4%)
Aegon NV.............................. 258,749 2,371,799 0.2%
Other Securities...................... 32,016,800 2.5%
------------ -----
TOTAL NETHERLANDS......................... 34,388,599 2.7%
------------ -----
NEW ZEALAND -- (0.4%)
Other Securities...................... 5,800,408 0.4%
------------ -----
NORWAY -- (1.0%)
Other Securities...................... 14,244,438 1.1%
------------ -----
PORTUGAL -- (0.4%)
Other Securities...................... 6,389,074 0.5%
------------ -----
SINGAPORE -- (1.3%)
Other Securities...................... 19,388,752 1.5%
------------ -----
SPAIN -- (2.4%)
Banco de Sabadell SA.................. 737,273 2,508,410 0.2%
Banco Popular Espanol SA.............. 355,602 2,620,401 0.2%
Banco Santander SA.................... 494,085 4,914,003 0.4%
Other Securities...................... 25,077,148 1.9%
------------ -----
TOTAL SPAIN............................... 35,119,962 2.7%
------------ -----
SWEDEN -- (2.9%)
Other Securities...................... 42,060,472 3.2%
------------ -----
SWITZERLAND -- (6.0%)
Aryzta AG............................. 25,690 2,374,667 0.2%
Credit Suisse Group AG................ 127,686 4,047,982 0.3%
61
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Holcim, Ltd............................. 28,208 $ 2,587,136 0.2%
Julius Baer Group, Ltd.................. 64,356 3,014,461 0.2%
Nestle SA............................... 64,442 4,980,353 0.4%
Novartis AG............................. 53,863 4,682,445 0.4%
Swiss Re AG............................. 55,384 4,842,837 0.4%
Zurich Insurance Group AG............... 15,572 4,465,406 0.4%
Other Securities........................ 56,405,005 4.2%
-------------- -----
TOTAL SWITZERLAND........................... 87,400,292 6.7%
-------------- -----
UNITED KINGDOM -- (17.1%)
Anglo American P.L.C.................... 214,596 5,736,816 0.4%
Aviva P.L.C............................. 255,520 2,277,140 0.2%
Barratt Developments P.L.C.............. 440,009 2,751,887 0.2%
BP P.L.C................................ 304,568 2,571,502 0.2%
BP P.L.C. Sponsored ADR................. 118,597 6,003,380 0.5%
HSBC Holdings P.L.C. Sponsored ADR...... 175,852 9,024,725 0.7%
* Lloyds Banking Group P.L.C.............. 2,002,798 2,553,993 0.2%
Old Mutual P.L.C........................ 684,794 2,314,662 0.2%
Resolution, Ltd......................... 461,924 2,330,334 0.2%
Royal Dutch Shell P.L.C. ADR(780259107). 83,543 7,071,915 0.6%
Royal Dutch Shell P.L.C. ADR(780259206). 80,746 6,357,940 0.5%
Vodafone Group P.L.C. Sponsored ADR..... 100,243 3,805,231 0.3%
Other Securities........................ 194,442,210 14.9%
-------------- -----
TOTAL UNITED KINGDOM........................ 247,241,735 19.1%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities........................ 442,310 0.0%
-------------- -----
TOTAL COMMON STOCKS......................... 1,287,049,206 99.3%
-------------- -----
PREFERRED STOCKS -- (0.0%)
GERMANY -- (0.0%)
Other Securities........................ 223,512 0.0%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities........................ 17,710 0.0%
-------------- -----
TOTAL PREFERRED STOCKS...................... 241,222 0.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities........................ 7,208 0.0%
-------------- -----
AUSTRIA -- (0.0%)
Other Securities........................ -- 0.0%
-------------- -----
FRANCE -- (0.0%)
Other Securities........................ 176,352 0.1%
-------------- -----
HONG KONG -- (0.0%)
Other Securities........................ 5,333 0.0%
-------------- -----
ISRAEL -- (0.0%)
Other Securities........................ 1,030 0.0%
-------------- -----
62
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
PORTUGAL -- (0.0%)
Other Securities................ $ 17,815 0.0%
-------------- ------
SINGAPORE -- (0.0%)
Other Securities................ 7,113 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities................ 109,998 0.0%
-------------- ------
SWEDEN -- (0.0%)
Other Securities................ 8,621 0.0%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities................ 65,564 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................... 399,034 0.1%
-------------- ------
Shares/
Face
Amount Value+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (11.0%)
(S)@ DFA Short Term Investment Fund.. 13,700,803 158,518,289 12.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,166,313,446)............... $1,446,207,751 111.6%
============== ======
63
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2014, 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................... $ 1,165,621 $ 84,104,961 -- $ 85,270,582
Austria..................... 43,407 7,376,469 -- 7,419,876
Belgium..................... 963,430 18,908,212 -- 19,871,642
Brazil...................... 2,108 -- -- 2,108
Canada...................... 116,078,253 8,581 -- 116,086,834
China....................... -- 143,635 -- 143,635
Denmark..................... -- 21,021,087 -- 21,021,087
Finland..................... 22,326 27,591,296 -- 27,613,622
France...................... 2,203,144 93,487,614 -- 95,690,758
Germany..................... 3,912,672 77,732,168 -- 81,644,840
Greece...................... -- 1 -- 1
Hong Kong................... 151,268 35,298,272 -- 35,449,540
Ireland..................... 1,934,504 5,354,530 -- 7,289,034
Israel...................... 1,417,135 7,161,854 -- 8,578,989
Italy....................... 1,090,925 36,264,133 -- 37,355,058
Japan....................... 4,568,327 246,567,231 -- 251,135,558
Netherlands................. 5,486,144 28,902,455 -- 34,388,599
New Zealand................. 3,451 5,796,957 -- 5,800,408
Norway...................... 708,863 13,535,575 -- 14,244,438
Portugal.................... -- 6,389,074 -- 6,389,074
Singapore................... -- 19,388,752 -- 19,388,752
Spain....................... 1,381,192 33,738,770 -- 35,119,962
Sweden...................... 130,505 41,929,967 -- 42,060,472
Switzerland................. 5,732,891 81,667,401 -- 87,400,292
United Kingdom.............. 43,379,209 203,862,526 -- 247,241,735
United States............... 261,294 181,016 -- 442,310
Preferred Stocks
Germany..................... -- 223,512 -- 223,512
United Kingdom.............. -- 17,710 -- 17,710
Rights/Warrants
Australia................... -- 7,208 -- 7,208
Austria..................... -- -- -- --
France...................... -- 176,352 -- 176,352
Hong Kong................... -- 5,333 -- 5,333
Israel...................... -- 1,030 -- 1,030
Portugal.................... -- 17,815 -- 17,815
Singapore................... -- 7,113 -- 7,113
Spain....................... -- 109,998 -- 109,998
Sweden...................... -- 8,621 -- 8,621
United Kingdom.............. -- 65,564 -- 65,564
Securities Lending Collateral. -- 158,518,289 -- 158,518,289
------------ -------------- -- --------------
TOTAL......................... $190,636,669 $1,255,571,082 -- $1,446,207,751
============ ============== == ==============
See accompanying Notes to Financial Statements.
64
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Shares Value+
------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company........................... $ 83,290,755
Investment in Dimensional Emerging Markets Value Fund........ 25,156,979
Investment in DFA International Small Cap Value Portfolio of
DFA Investment Dimensions Group Inc........................ 492,190 10,582,093
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $102,766,559)..................................... 119,029,827
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $102,766,559)..................................... $119,029,827
============
Summary of the Portfolio's investments as of April 30, 2014, 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. $119,029,827 -- -- $119,029,827
------------ -- -- ------------
TOTAL........................... $119,029,827 -- -- $119,029,827
============ == == ============
See accompanying Notes to Financial Statements.
65
WORLD EX U.S. TARGETED VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Shares Value+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in DFA International Small Cap Value Portfolio of
DFA Investment Dimensions Group Inc........................ 4,156,347 $ 89,361,459
Investment in Dimensional Emerging Markets Value Fund........ 33,114,738
Investment in International Vector Equity Portfolio of
DFA Investment Dimensions Group Inc........................ 1,051,685 12,977,794
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company........................... 8,628,037
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $127,171,473)..................................... 144,082,028
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $127,171,473)..................................... $144,082,028
============
Summary of the Portfolio's investments as of April 30, 2014, 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. $144,082,028 -- -- $144,082,028
------------ -- -- ------------
TOTAL........................... $144,082,028 -- -- $144,082,028
============ == == ============
See accompanying Notes to Financial Statements.
66
WORLD EX U.S. CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Shares Value+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 12,532,551 $165,053,695
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 2,486,894 49,041,546
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $194,730,846)................................. 214,095,241
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $194,730,846)................................. $214,095,241
============
Summary of the Portfolio's investments as of April 30, 2014, 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. $214,095,241 -- -- $214,095,241
------------ -- -- ------------
TOTAL........................... $214,095,241 -- -- $214,095,241
============ == == ============
See accompanying Notes to Financial Statements.
67
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Shares Value+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc.................... 2,911,282 $ 48,239,940
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 3,170,732 41,758,540
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 878,674 17,327,446
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $89,796,778).................................. 107,325,926
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $89,796,778).................................. $107,325,926
============
Summary of the Portfolio's investments as of April 30, 2014, 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. $107,325,926 -- -- $107,325,926
Futures Contracts**............. 11,733 -- -- 11,733
Forward Currency Contracts**.... -- $(4,611) -- (4,611)
------------ ------- -- ------------
TOTAL........................... $107,337,659 $(4,611) -- $107,333,048
============ ======= == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
68
SCHEDULES OF INVESTMENTS
April 30, 2014
(Unaudited)
EMERGING MARKETS PORTFOLIO
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of The DFA
Investment Trust Company.................................. $3,865,541,570
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$2,811,506,415)........................................ $3,865,541,570
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014,
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.............................. $4,318,081,018
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$3,854,021,374)........................................ $4,318,081,018
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
EMERGING MARKETS VALUE PORTFOLIO
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in Dimensional Emerging Markets Value Fund....... $18,795,867,195
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$18,820,240,077)....................................... $18,795,867,195
===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
69
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (87.6%)
BRAZIL -- (6.7%)
AMBEV SA ADR........................................ 6,417,027 $ 46,523,446 0.3%
BM&FBovespa SA...................................... 9,686,489 49,523,926 0.4%
Petroleo Brasileiro SA ADR.......................... 3,836,209 53,246,581 0.4%
# Vale SA Sponsored ADR(91912E105).................... 3,456,710 45,697,706 0.3%
Other Securities.................................... 834,387,140 5.8%
-------------- -----
TOTAL BRAZIL............................................ 1,029,378,799 7.2%
-------------- -----
CHILE -- (1.4%)
Other Securities.................................... 215,878,185 1.5%
-------------- -----
CHINA -- (13.2%)
Bank of China, Ltd. Class H......................... 157,471,702 69,585,230 0.5%
China Construction Bank Corp. Class H............... 158,865,302 109,994,041 0.8%
China Mobile, Ltd................................... 3,987,000 37,950,155 0.3%
China Mobile, Ltd. Sponsored ADR.................... 1,837,282 87,142,285 0.6%
CNOOC, Ltd.......................................... 21,558,000 35,465,333 0.3%
# CNOOC, Ltd. ADR..................................... 213,780 35,314,318 0.3%
Industrial & Commercial Bank of China, Ltd. Class H. 158,902,725 94,741,662 0.7%
Tencent Holdings, Ltd............................... 1,224,700 77,138,952 0.6%
Other Securities.................................... 1,494,120,830 10.2%
-------------- -----
TOTAL CHINA............................................. 2,041,452,806 14.3%
-------------- -----
COLOMBIA -- (0.5%)
Other Securities.................................... 76,048,438 0.5%
-------------- -----
CZECH REPUBLIC -- (0.3%)
Other Securities.................................... 40,891,082 0.3%
-------------- -----
EGYPT -- (0.1%)
Other Securities.................................... 9,188,254 0.1%
-------------- -----
GREECE -- (0.5%)
Other Securities.................................... 80,128,027 0.6%
-------------- -----
HUNGARY -- (0.2%)
Other Securities.................................... 38,110,855 0.3%
-------------- -----
INDIA -- (7.2%)
HDFC Bank, Ltd...................................... 2,994,559 36,021,014 0.3%
# Infosys, Ltd. Sponsored ADR......................... 875,587 47,027,778 0.3%
Reliance Industries, Ltd............................ 3,980,031 61,885,899 0.5%
Other Securities.................................... 968,812,215 6.7%
-------------- -----
TOTAL INDIA............................................. 1,113,746,906 7.8%
-------------- -----
INDONESIA -- (2.9%)
Astra International Tbk PT.......................... 60,036,200 38,680,848 0.3%
Other Securities.................................... 408,123,547 2.8%
-------------- -----
TOTAL INDONESIA......................................... 446,804,395 3.1%
-------------- -----
ISRAEL -- (0.0%)
Other Securities.................................... 197,002 0.0%
-------------- -----
MALAYSIA -- (4.3%)
# CIMB Group Holdings Bhd............................. 16,181,395 37,275,314 0.3%
Malayan Banking Bhd................................. 14,680,988 44,564,178 0.3%
Other Securities.................................... 585,447,642 4.1%
-------------- -----
TOTAL MALAYSIA.......................................... 667,287,134 4.7%
-------------- -----
70
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MEXICO -- (5.0%)
America Movil S.A.B. de C.V. Series L ADR........... 2,771,184 $ 55,645,374 0.4%
#* Cemex S.A.B. de C.V. Sponsored ADR.................. 6,545,913 82,740,339 0.6%
# Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR................................................ 599,632 54,428,597 0.4%
# Grupo Financiero Banorte S.A.B. de C.V.............. 8,827,008 58,625,192 0.4%
# Grupo Mexico S.A.B. de C.V. Series B................ 12,753,153 38,407,386 0.3%
Grupo Televisa S.A.B. Sponsored ADR................. 1,810,392 59,398,962 0.4%
Other Securities.................................... 421,286,430 2.9%
-------------- -----
TOTAL MEXICO............................................ 770,532,280 5.4%
-------------- -----
PERU -- (0.1%)
Other Securities.................................... 21,006,749 0.1%
-------------- -----
PHILIPPINES -- (1.4%)
Other Securities.................................... 208,990,003 1.5%
-------------- -----
POLAND -- (2.1%)
Powszechna Kasa Oszczednosci Bank Polski SA......... 3,042,817 41,757,735 0.3%
Other Securities.................................... 276,377,295 1.9%
-------------- -----
TOTAL POLAND............................................ 318,135,030 2.2%
-------------- -----
RUSSIA -- (2.4%)
Gazprom OAO Sponsored ADR........................... 12,507,217 90,388,857 0.6%
Lukoil OAO Sponsored ADR............................ 1,314,573 69,592,735 0.5%
Sberbank of Russia Sponsored ADR.................... 4,255,587 35,849,359 0.3%
Other Securities.................................... 176,863,111 1.2%
-------------- -----
TOTAL RUSSIA............................................ 372,694,062 2.6%
-------------- -----
SOUTH AFRICA -- (7.4%)
# Bidvest Group, Ltd.................................. 1,371,437 37,656,689 0.3%
FirstRand, Ltd...................................... 10,566,034 38,876,557 0.3%
MTN Group, Ltd...................................... 4,151,165 83,279,867 0.6%
Naspers, Ltd. Class N............................... 654,201 61,821,507 0.4%
Sanlam, Ltd......................................... 8,139,212 43,602,905 0.3%
Sasol, Ltd.......................................... 919,023 51,506,006 0.4%
Sasol, Ltd. Sponsored ADR........................... 947,919 52,524,192 0.4%
Standard Bank Group, Ltd............................ 4,181,964 54,946,605 0.4%
Steinhoff International Holdings, Ltd............... 8,312,234 43,193,202 0.3%
Other Securities.................................... 675,819,987 4.6%
-------------- -----
TOTAL SOUTH AFRICA...................................... 1,143,227,517 8.0%
-------------- -----
SOUTH KOREA -- (13.8%)
Hana Financial Group, Inc........................... 1,140,149 40,231,352 0.3%
Hyundai Mobis....................................... 153,167 43,757,279 0.3%
# Hyundai Motor Co.................................... 364,834 81,345,741 0.6%
Kia Motors Corp..................................... 649,372 36,028,576 0.3%
# POSCO ADR........................................... 511,345 37,634,992 0.3%
# Samsung Electronics Co., Ltd........................ 266,899 348,025,666 2.5%
Other Securities.................................... 1,550,304,091 10.7%
-------------- -----
TOTAL SOUTH KOREA....................................... 2,137,327,697 15.0%
-------------- -----
TAIWAN -- (13.4%)
Hon Hai Precision Industry Co., Ltd................. 31,724,623 91,111,876 0.7%
Taiwan Semiconductor Manufacturing Co., Ltd......... 40,714,652 159,982,333 1.1%
Other Securities.................................... 1,817,777,237 12.7%
-------------- -----
TOTAL TAIWAN............................................ 2,068,871,446 14.5%
-------------- -----
71
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
THAILAND -- (2.8%)
Other Securities..................... $ 425,257,152 3.0%
--------------- -----
TURKEY -- (2.0%)
Other Securities..................... 310,315,543 2.2%
--------------- -----
TOTAL COMMON STOCKS...................... 13,535,469,362 94.9%
--------------- -----
PREFERRED STOCKS -- (3.6%)
BRAZIL -- (3.5%)
# Banco Bradesco SA ADR................ 5,097,969 75,806,794 0.5%
Itau Unibanco Holding SA............. 2,951,785 48,716,532 0.4%
Itau Unibanco Holding SA ADR......... 5,554,966 90,879,242 0.7%
# Petroleo Brasileiro SA Sponsored ADR. 5,128,535 75,902,318 0.5%
Vale SA Sponsored ADR................ 4,036,193 47,909,611 0.4%
Other Securities..................... 196,079,468 1.3%
--------------- -----
TOTAL BRAZIL............................. 535,293,965 3.8%
--------------- -----
CHILE -- (0.0%)
Other Securities..................... 1,666,912 0.0%
--------------- -----
COLOMBIA -- (0.1%)
Other Securities..................... 11,297,396 0.1%
--------------- -----
INDIA -- (0.0%)
Other Securities..................... 376,100 0.0%
--------------- -----
TOTAL PREFERRED STOCKS................... 548,634,373 3.9%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities..................... 3,614 0.0%
--------------- -----
CHILE -- (0.0%)
Other Securities..................... -- 0.0%
--------------- -----
HONG KONG -- (0.0%)
Other Securities..................... 2,620 0.0%
--------------- -----
INDIA -- (0.0%)
Other Securities..................... 1,400 0.0%
--------------- -----
MALAYSIA -- (0.0%)
Other Securities..................... 32,807 0.0%
--------------- -----
PHILIPPINES -- (0.0%)
Other Securities..................... 8,573 0.0%
--------------- -----
SOUTH AFRICA -- (0.0%)
Other Securities..................... 22,898 0.0%
--------------- -----
SOUTH KOREA -- (0.0%)
Other Securities..................... 658,482 0.0%
--------------- -----
TAIWAN -- (0.0%)
Other Securities..................... 1,067 0.0%
--------------- -----
THAILAND -- (0.0%)
Other Securities..................... 683,885 0.0%
--------------- -----
TURKEY -- (0.0%)
Other Securities..................... 644,458 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS.................... 2,059,804 0.0%
--------------- -----
72
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Shares/
Face Percentage
Amount Value+ of Net Assets**
------- ------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (8.8%)
(S)@ DFA Short Term Investment Fund.. 117,489,125 $ 1,359,349,182 9.5%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $14,362,067,155)............. $15,445,512,721 108.3%
=============== ======
Summary of the Portfolio's investments as of April 30, 2014, 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...................... $1,029,378,799 -- -- $ 1,029,378,799
Chile....................... 215,878,185 -- -- 215,878,185
China....................... 218,118,001 $ 1,823,334,805 -- 2,041,452,806
Colombia.................... 76,048,438 -- -- 76,048,438
Czech Republic.............. -- 40,891,082 -- 40,891,082
Egypt....................... -- 9,188,254 -- 9,188,254
Greece...................... 3,127,948 77,000,079 -- 80,128,027
Hungary..................... 259,235 37,851,620 -- 38,110,855
India....................... 96,383,021 1,017,363,885 -- 1,113,746,906
Indonesia................... 14,873,084 431,931,311 -- 446,804,395
Israel...................... -- 197,002 -- 197,002
Malaysia.................... -- 667,287,134 -- 667,287,134
Mexico...................... 770,410,285 121,995 -- 770,532,280
Peru........................ 21,006,749 -- -- 21,006,749
Philippines................. 4,292,475 204,697,528 -- 208,990,003
Poland...................... -- 318,135,030 -- 318,135,030
Russia...................... 18,245,778 354,448,284 -- 372,694,062
South Africa................ 103,835,775 1,039,391,742 -- 1,143,227,517
South Korea................. 97,629,876 2,039,697,821 -- 2,137,327,697
Taiwan...................... 46,309,507 2,022,561,939 -- 2,068,871,446
Thailand.................... 424,964,654 292,498 -- 425,257,152
Turkey...................... 4,256,063 306,059,480 -- 310,315,543
Preferred Stocks
Brazil...................... 535,293,965 -- -- 535,293,965
Chile....................... 1,666,912 -- -- 1,666,912
Colombia.................... 11,297,396 -- -- 11,297,396
India....................... 376,100 -- -- 376,100
Rights/Warrants
Brazil...................... -- 3,614 -- 3,614
Chile....................... -- -- -- --
Hong Kong................... -- 2,620 -- 2,620
India....................... -- 1,400 -- 1,400
Malaysia.................... -- 32,807 -- 32,807
Philippines................. -- 8,573 -- 8,573
South Africa................ -- 22,898 -- 22,898
South Korea................. 14,213 644,269 -- 658,482
Taiwan...................... 1,067 -- -- 1,067
Thailand.................... -- 683,885 -- 683,885
Turkey...................... -- 644,458 -- 644,458
Securities Lending Collateral. -- 1,359,349,182 -- 1,359,349,182
-------------- --------------- -- ---------------
TOTAL......................... $3,693,667,526 $11,751,845,195 -- $15,445,512,721
============== =============== == ===============
See accompanying Notes to Financial Statements.
73
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Enhanced U.S.
Large U.S. Large Cap
Company Equity U.S. Large Cap U.S. Targeted
Portfolio Portfolio Value Portfolio Value Portfolio
- ------------- -------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Company at Value............... -- -- $ 13,614,026 --
Investments at Value (including $0, $24,192, $0 and $846,388 of
securities on loan, respectively).................................. $ 195,364 $ 197,133 -- $ 4,946,183
Temporary Cash Investments at Value & Cost.......................... -- 664 -- 15,511
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost............................................................... -- 24,577 -- 866,271
Cash................................................................ 2,452 -- -- 5,694
Receivables:
Investment Securities/Affiliated Investment Company Sold.......... -- -- -- 12,756
Dividends, Interest and Tax Reclaims.............................. 1,046 167 -- 1,702
Securities Lending Income......................................... -- 6 -- 308
Fund Shares Sold.................................................. 34 109 10,312 6,830
Futures Margin Variation.......................................... 616 -- -- --
Unrealized Gain on Forward Currency Contracts....................... 15 -- -- --
Deferred Offering Costs............................................. -- 7 -- --
Prepaid Expenses and Other Assets................................... 15 18 97 53
------------ ------------ -------------- ------------
Total Assets.................................................... 199,542 222,681 13,624,435 5,855,308
------------ ------------ -------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................. -- 24,577 -- 866,271
Investment Securities/Affiliated Investment Company
Purchased........................................................ -- 445 -- 14,408
Fund Shares Redeemed.............................................. 114 157 4,455 4,364
Due to Advisor.................................................... 32 14 1,662 1,423
Unrealized Loss on Forward Currency Contracts....................... 267 -- -- --
Accrued Expenses and Other Liabilities.............................. 19 9 371 237
------------ ------------ -------------- ------------
Total Liabilities............................................... 432 25,202 6,488 886,703
------------ ------------ -------------- ------------
NET ASSETS.......................................................... $ 199,110 $ 197,479 $ 13,617,947 $ 4,968,605
============ ============ ============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R1 Shares -- based on net assets of $0; $0; $0 and
$12,061 and shares outstanding of 0; 0; 0 and 527,767,
respectively....................................................... N/A N/A N/A $ 22.85
============ ============ ============== ============
NUMBER OF SHARES AUTHORIZED......................................... N/A N/A N/A 100,000,000
============ ============ ============== ============
Class R2 Shares -- based on net assets of $0; $0; $0 and
$77,227 and shares outstanding of 0; 0; 0 and 3,389,444,
respectively....................................................... N/A N/A N/A $ 22.78
============ ============ ============== ============
NUMBER OF SHARES AUTHORIZED......................................... N/A N/A N/A 100,000,000
============ ============ ============== ============
Institutional Class Shares -- based on net assets of $199,110;
$197,479; $13,617,947 and $4,879,317 and shares
outstanding of 15,750,989; 16,582,695; 422,542,710 and
213,729,854, respectively.......................................... $ 12.64 $ 11.91 $ 32.23 $ 22.83
============ ============ ============== ============
NUMBER OF SHARES AUTHORIZED......................................... 300,000,000 100,000,000 2,000,000,000 700,000,000
============ ============ ============== ============
Investments in Affiliated Investment Company at Cost................ $ -- $ -- $ 8,645,898 $ --
------------ ------------ -------------- ------------
Investments at Cost................................................. $ 189,961 $ 174,936 $ -- $ 3,428,385
============ ============ ============== ============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 180,459 $ 174,689 $ 8,844,213 $ 3,324,423
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)............................................. 212 440 28,282 5,539
Accumulated Net Realized Gain (Loss)................................ 4,069 153 (222,676) 120,845
Net Unrealized Foreign Exchange Gain (Loss)......................... (243) -- -- --
Net Unrealized Appreciation (Depreciation).......................... 14,613 22,197 4,968,128 1,517,798
------------ ------------ -------------- ------------
NET ASSETS.......................................................... $ 199,110 $ 197,479 $ 13,617,947 $ 4,968,605
============ ============ ============== ============
See accompanying Notes to Financial Statements.
74
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(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 $1,893,187,
$777,662, $1,049,551 and $414,138 of securities
on loan, respectively).............................. $ 10,734,915 $ 9,054,350 $ 11,441,544 $ 3,186,833
Temporary Cash Investments at Value & Cost........... 131,695 30,400 60,383 4,430
Collateral from Securities on Loan Invested in
Affiliate at Value & Cost........................... 1,927,797 793,203 1,072,385 423,491
Segregated Cash for Futures Contracts................ 3,570 -- -- --
Cash................................................. 4,059 1,193 1,818 1,229
Receivables:
Investment Securities Sold......................... 516 9,728 12,887 7,999
Dividends, Interest and Tax Reclaims............... 4,664 6,072 7,370 1,705
Securities Lending Income.......................... 481 351 523 198
Fund Shares Sold................................... 111,751 15,245 27,483 4,108
Futures Margin Variation........................... 511 -- -- --
Prepaid Expenses and Other Assets.................... 74 81 98 42
-------------- -------------- -------------- --------------
Total Assets.................................... 12,920,033 9,910,623 12,624,491 3,630,035
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... 1,927,797 793,203 1,072,385 423,491
Investment Securities Purchased.................... 71,391 23,568 53,470 2,753
Fund Shares Redeemed............................... 3,029 4,110 2,535 1,469
Due to Advisor..................................... 4,443 1,250 1,862 787
Accrued Expenses and Other Liabilities............... 517 319 455 142
-------------- -------------- -------------- --------------
Total Liabilities............................... 2,007,177 822,450 1,130,707 428,642
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 10,912,856 $ 9,088,173 $ 11,493,784 $ 3,201,393
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$10,912,856; $9,088,173; $11,493,784 and
$3,201,393 and shares outstanding of
310,433,216; 541,215,281; 693,802,835 and
194,732,517, respectively........................... $ 35.15 $ 16.79 $ 16.57 $ 16.44
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.......................... 1,700,000,000 1,500,000,000 2,300,000,000 1,000,000,000
============== ============== ============== ==============
Investments at Cost.................................. $ 7,428,246 $ 6,217,021 $ 7,542,364 $ 2,092,796
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 7,400,488 $ 6,209,345 $ 7,581,677 $ 2,074,195
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 1,117 18,227 22,493 5,288
Accumulated Net Realized Gain (Loss)................. 208,705 23,272 (9,566) 27,873
Net Unrealized Appreciation (Depreciation)........... 3,302,546 2,837,329 3,899,180 1,094,037
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 10,912,856 $ 9,088,173 $ 11,493,784 $ 3,201,393
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
75
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(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 $2,063,289, $917,738,
$544,266 and $419,668 of securities on loan,
respectively).............................................. $ 8,361,307 $ 4,771,493 $ 5,524,070 $ 3,020,209
Temporary Cash Investments at Value & Cost.................. -- 13,685 29,681 --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... 2,111,621 934,717 557,065 442,265
Foreign Currencies at Value................................. -- -- -- 6,386
Cash........................................................ 6,764 7,969 -- 16,317
Receivables:
Investment Securities Sold 12,095 18,154 -- --
Dividends, Interest and Tax Reclaims...................... 2,680 1,580 4,325 13,944
Securities Lending Income................................. 872 471 131 613
Fund Shares Sold.......................................... 20,435 2,677 6,402 2,982
Unrealized Gain on Foreign Currency Contracts............... -- -- -- 24
Prepaid Expenses and Other Assets........................... 61 55 51 25
-------------- -------------- ------------ ------------
Total Assets........................................... 10,515,835 5,750,801 6,121,725 3,502,765
-------------- -------------- ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 2,111,621 934,717 557,065 442,265
Investment Securities Purchased........................... 46 8,020 16,366 11,659
Fund Shares Redeemed...................................... 3,090 2,224 2,342 873
Due to Advisor............................................ 2,429 2,002 722 614
Line of Credit............................................ 6,922 -- -- --
Accrued Expenses and Other Liabilities...................... 315 253 260 164
-------------- -------------- ------------ ------------
Total Liabilities...................................... 2,124,423 947,216 576,755 455,575
-------------- -------------- ------------ ------------
NET ASSETS.................................................. $ 8,391,412 $ 4,803,585 $ 5,544,970 $ 3,047,190
============== ============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$8,391,412; $4,803,585; $5,544,970 and $3,047,190
and shares outstanding of 276,835,874; 245,906,230;
187,942,308 and 132,523,183, respectively.................. $ 30.31 $ 19.53 $ 29.50 $ 22.99
============== ============== ============ ============
NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,500,000,000 700,000,000 500,000,000
============== ============== ============ ============
Investments at Cost......................................... $ 6,045,505 $ 3,126,312 $ 3,861,761 $ 2,296,937
============== ============== ============ ============
Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ 6,365
============== ============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 5,894,973 $ 2,993,424 $ 4,100,308 $ 2,532,998
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 9,420 4,138 32,871 24,934
Accumulated Net Realized Gain (Loss)........................ 171,217 160,842 (250,518) (234,122)
Net Unrealized Foreign Exchange Gain (Loss)................. -- -- -- 87
Net Unrealized Appreciation (Depreciation).................. 2,315,802 1,645,181 1,662,309 723,293
-------------- -------------- ------------ ------------
NET ASSETS.................................................. $ 8,391,412 $ 4,803,585 $ 5,544,970 $ 3,047,190
============== ============== ============ ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
76
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands, except share and per share amounts)
International Asia Pacific
International Small Japanese Small Small
Core Equity Company Company Company
Portfolio* Portfolio Portfolio Portfolio
-------------- -------------- -------------- ------------
ASSETS:
Investments in Affiliated Investment Companies at
Value...................................................... -- $ 9,216,527 $ 380,419 $ 397,070
Investments at Value (including $1,541,869, $0, $0 and
$0 of securities on loan, respectively).................... $ 11,378,591 -- -- --
Temporary Cash.............................................. -- 6,065 -- --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... 1,599,130 -- -- --
Foreign Currencies at Value................................. 8,329 -- -- --
Cash........................................................ 19,837 -- -- --
Receivables:
Investment Securities Sold................................ 22,558 -- -- --
Dividends, Interest and Tax Reclaims...................... 48,337 -- -- --
Securities Lending Income................................. 2,536 -- -- --
Fund Shares Sold.......................................... 21,089 4,171 9 34
Unrealized Gain on Foreign Currency Contracts............... 24 -- -- --
Prepaid Expenses and Other Assets........................... 84 54 14 14
-------------- -------------- ------------ ------------
Total Assets........................................... 13,100,515 9,226,817 380,442 397,118
-------------- -------------- ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 1,599,130 -- -- --
Investment Securities Purchased........................... 32,285 -- -- --
Fund Shares Redeemed...................................... 3,175 2,655 358 2
Due to Advisor............................................ 3,215 3,023 123 129
Unrealized Loss on Foreign Currency Contracts............... 10 -- -- --
Accrued Expenses and Other Liabilities...................... 525 309 17 14
-------------- -------------- ------------ ------------
Total Liabilities...................................... 1,638,340 5,987 498 145
-------------- -------------- ------------ ------------
NET ASSETS.................................................. $ 11,462,175 $ 9,220,830 $ 379,944 $ 396,973
============== ============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$11,462,175; $9,220,830; $379,944 and $396,973 and
shares outstanding of 870,277,070; 460,392,549;
20,772,450 and 16,688,077, respectively.................... $ 13.17 $ 20.03 $ 18.29 $ 23.79
============== ============== ============ ============
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...... $ -- $ 7,184,901 $ 372,913 $ 370,732
============== ============== ============ ============
Investments at Cost......................................... $ 9,344,533 $ -- $ -- $ --
============== ============== ============ ============
Foreign Currencies at Cost.................................. $ 8,311 $ -- $ -- $ --
============== ============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 9,587,606 $ 7,015,977 $ 439,857 $ 398,913
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 90,015 13,847 (2,183) (1,261)
Accumulated Net Realized Gain (Loss)........................ (249,682) 159,259 (65,205) (27,019)
Net Unrealized Foreign Exchange Gain (Loss)................. 160 121 (31) 2
Net Unrealized Appreciation (Depreciation).................. 2,034,076 2,031,626 7,506 26,338
-------------- -------------- ------------ ------------
NET ASSETS.................................................. $ 11,462,175 $ 9,220,830 $ 379,944 $ 396,973
============== ============== ============ ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
77
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(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............... $ 39,058 $ 194,298 -- $ 2,553,380
Investments at Value (including $0, $0, $171,423 and $0 of securities
on loan, respectively)............................................... -- -- $ 2,541,694 --
Temporary Cash Investments at Value & Cost............................ -- -- -- 7,403
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost................................................................. -- -- 179,375 --
Foreign Currencies at Value........................................... -- -- 3,794 --
Cash.................................................................. -- -- 22,829 --
Receivables:
Dividends, Interest and Tax Reclaims................................ -- -- 10,682 1
Securities Lending Income........................................... -- -- 301 --
Fund Shares Sold.................................................... 103 1 2,872 2,433
Unrealized Gain on Foreign Currency Contracts......................... -- -- 21 --
Prepaid Expenses and Other Assets..................................... 10 11 29 61
------------ ------------ ------------ ------------
Total Assets..................................................... 39,171 194,310 2,761,597 2,563,278
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................... -- -- 179,375 --
Investment Securities/Affiliated Investment Company Purchased....... -- -- 8,019 3,700
Fund Shares Redeemed................................................ -- -- 954 1,623
Due to Advisor...................................................... 12 63 716 94
Unrealized Loss on Foreign Currency Contracts......................... -- -- 1 --
Accrued Expenses and Other Liabilities................................ 5 12 142 44
------------ ------------ ------------ ------------
Total Liabilities................................................ 17 75 189,207 5,461
------------ ------------ ------------ ------------
NET ASSETS............................................................ $ 39,154 $ 194,235 $ 2,572,390 $ 2,557,817
============ ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE:
Institutional Class Shares -- based on net assets of $39,154;
$194,235; $2,572,390 and $2,557,817 and shares outstanding of
994,067; 8,378,036; 473,527,873 and 259,118,853, respectively........ $ 39.39 $ 23.18 $ 5.43 $ 9.87
============ ============ ============ ============
NUMBER OF SHARES AUTHORIZED........................................... 100,000,000 100,000,000 700,000,000 500,000,000
============ ============ ============ ============
Investments in Affiliated Investment Companies at Cost................ $ 23,031 $ 135,663 $ -- $ 2,084,675
============ ============ ============ ============
Investments at Cost................................................... $ -- $ -- $ 2,204,574 $ --
============ ============ ============ ============
Foreign Currencies at Cost............................................ $ -- $ -- $ 3,783 $ --
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital....................................................... $ 21,978 $ 157,541 $ 2,684,147 $ 2,120,338
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................... 75 1,257 (212,733) 5,607
Accumulated Net Realized Gain (Loss).................................. 1,069 (23,331) (236,204) (36,833)
Net Unrealized Foreign Exchange Gain (Loss)........................... 5 133 49 --
Net Unrealized Appreciation (Depreciation)............................ 16,027 58,635 337,131 468,705
------------ ------------ ------------ ------------
NET ASSETS............................................................ $ 39,154 $ 194,235 $ 2,572,390 $ 2,557,817
============ ============ ============ ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
78
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(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................................................... -- -- $ 119,030 $ 144,082
Investments at Value (including $1,377,769, $152,547,
$0, $0 and $0 of securities on loan, respectively)...... $ 12,252,451 $ 1,287,689 -- --
Collateral from Securities on Loan Invested in Affiliate
at Value & Cost......................................... 1,459,318 158,518 -- --
Foreign Currencies at Value.............................. 23,108 2,971 -- --
Cash..................................................... 34,369 4,690 20 --
Receivables:
Investment Securities Sold............................. 4,894 7,151 -- 143
Dividends, Interest and Tax Reclaims................... 60,168 5,454 -- --
Securities Lending Income.............................. 3,099 303 -- --
Fund Shares Sold....................................... 13,188 1,835 55 184
From Advisor........................................... -- -- -- --
Unrealized Gain on Foreign Currency Contracts............ 10 12 -- --
Prepaid Expenses and Other Assets........................ 66 18 12 15
-------------- ------------ ------------ ------------
Total Assets......................................... 13,850,671 1,468,641 119,117 144,424
-------------- ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... 1,459,318 158,518 -- --
Investment Securities Purchased........................ 15,883 12,721 -- --
Fund Shares Redeemed................................... 20,677 367 -- 49
Due to Advisor......................................... 6,561 470 40 15
Line of Credit......................................... -- -- -- 197
Unrealized Loss on Foreign Currency Contracts............ 2 1 -- --
Accrued Expenses and Other Liabilities................... 638 115 5 6
-------------- ------------ ------------ ------------
Total Liabilities.................................... 1,503,079 172,192 45 267
-------------- ------------ ------------ ------------
NET ASSETS............................................... $ 12,347,592 $ 1,296,449 $ 119,072 $ 144,157
============== ============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$12,347,592; $1,296,449; $119,072; $144,157 and
$214,650 and shares outstanding of 574,253,032;
105,035,982; 9,767,042; 11,207,500 and 19,321,513,
respectively............................................ $ 21.50 $ 12.34 $ 12.19 $ 12.86
============== ============ ============ ============
NUMBER OF SHARES AUTHORIZED.............................. 2,300,000,000 500,000,000 100,000,000 100,000,000
============== ============ ============ ============
Investments in Affiliated Investment Companies at Cost... $ -- $ -- $ 102,767 $ 127,171
============== ============ ============ ============
Investments at Cost...................................... $ 9,457,542 $ 1,007,795 $ -- $ --
============== ============ ============ ============
Foreign Currencies at Cost............................... $ 23,046 $ 2,961 $ -- $ --
============== ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 9,384,721 $ 1,003,321 $ 104,050 $ 126,647
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ 5,646 9,896 800 (112)
Accumulated Net Realized Gain (Loss)..................... 162,049 3,310 (2,010) 711
Net Unrealized Foreign Exchange Gain (Loss).............. 205 18 (31) --
Net Unrealized Appreciation (Depreciation)............... 2,794,971 279,904 16,263 16,911
-------------- ------------ ------------ ------------
NET ASSETS............................................... $ 12,347,592 $ 1,296,449 $ 119,072 $ 144,157
============== ============ ============ ============
World ex U.S.
Core Equity
Portfolio
-------------
ASSETS:
Investments in Affiliated Investment Companies at
Value................................................... $ 214,095
Investments at Value (including $1,377,769, $152,547,
$0, $0 and $0 of securities on loan, respectively)...... --
Collateral from Securities on Loan Invested in Affiliate
at Value & Cost......................................... --
Foreign Currencies at Value.............................. --
Cash..................................................... 1,395
Receivables:
Investment Securities Sold............................. --
Dividends, Interest and Tax Reclaims................... --
Securities Lending Income.............................. --
Fund Shares Sold....................................... 436
From Advisor........................................... 1
Unrealized Gain on Foreign Currency Contracts............ --
Prepaid Expenses and Other Assets........................ 22
------------
Total Assets......................................... 215,949
------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................... --
Investment Securities Purchased........................ 1,289
Fund Shares Redeemed................................... 4
Due to Advisor......................................... --
Line of Credit......................................... --
Unrealized Loss on Foreign Currency Contracts............ --
Accrued Expenses and Other Liabilities................... 6
------------
Total Liabilities.................................... 1,299
------------
NET ASSETS............................................... $ 214,650
============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$12,347,592; $1,296,449; $119,072; $144,157 and
$214,650 and shares outstanding of 574,253,032;
105,035,982; 9,767,042; 11,207,500 and 19,321,513,
respectively............................................ $ 11.11
============
NUMBER OF SHARES AUTHORIZED.............................. 100,000,000
============
Investments in Affiliated Investment Companies at Cost... $ 194,731
============
Investments at Cost...................................... $ --
============
Foreign Currencies at Cost............................... $ --
============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 195,500
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................ (15)
Accumulated Net Realized Gain (Loss)..................... (199)
Net Unrealized Foreign Exchange Gain (Loss).............. --
Net Unrealized Appreciation (Depreciation)............... 19,364
------------
NET ASSETS............................................... $ 214,650
============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
79
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Selectively Emerging
Hedged Global Emerging Markets Emerging
Equity Markets Small Cap Markets Value
Portfolio Portfolio Portfolio Portfolio
------------- ------------ ------------ --------------
ASSETS:
Investments in Affiliated Investment Companies at Value........ $ 107,326 $ 3,865,542 $ 4,318,081 $ 18,795,867
Investments at Value (including $0, $0, $0, $0 and $1,687,457
of securities on loan, respectively).......................... -- -- -- --
Temporary Cash................................................. 2,871 -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost.................................................. -- -- -- --
Segregated Cash for Futures Contracts.......................... 134 -- -- --
Foreign Currencies at Value.................................... -- -- -- --
Cash........................................................... -- -- -- --
Receivables:
Investment Securities/Affiliated Investment Companies Sold... -- -- -- --
Dividends, Interest and Tax Reclaims......................... -- -- -- --
Securities Lending Income.................................... -- -- -- --
Fund Shares Sold............................................. 22 15,173 2,235 87,366
Futures Margin Variation..................................... 9 -- -- --
Unrealized Gain on Forward Currency Contracts.................. 6 -- -- --
Unrealized Gain on Foreign Currency Contracts.................. -- -- -- --
Prepaid Expenses and Other Assets.............................. 13 55 44 109
------------ ------------ ------------ --------------
Total Assets............................................... 110,381 3,880,770 4,320,360 18,883,342
------------ ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................. -- -- -- --
Investment Securities/Affiliated Investment Companies
Purchased................................................... -- -- -- --
Fund Shares Redeemed......................................... 5 1,920 494 2,919
Due to Advisor............................................... 1 1,273 1,599 6,213
Unrealized Loss on Forward Currency Contracts.................. 11 -- -- --
Unrealized Loss on Foreign Currency Contracts.................. -- -- -- --
Accrued Expenses and Other Liabilities......................... 4 133 117 604
------------ ------------ ------------ --------------
Total Liabilities.......................................... 21 3,326 2,210 9,736
------------ ------------ ------------ --------------
NET ASSETS..................................................... $ 110,360 $ 3,877,444 $ 4,318,150 $ 18,873,606
============ ============ ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R2 Shares -- based on net assets of $0; $0; $0;
$99,196 and $0 and shares outstanding of 0; 0; 0;
3,597,251 and 0, respectively................................. N/A N/A N/A $ 27.58
============ ============ ============ ==============
Institutional Class Shares -- based on net assets of $110,360;
$3,877,444; $4,318,150; $18,774,410 and $14,261,288 and
shares outstanding of 7,939,154; 148,887,919;
206,031,261; 680,326,395 and 723,328,353, respectively........ $ 13.90 $ 26.04 $ 20.96 $ 27.60
============ ============ ============ ==============
NUMBER OF SHARES AUTHORIZED.................................... 100,000,000 500,000,000 500,000,000 1,500,000,000
============ ============ ============ ==============
Investments in Affiliated Investment Companies at Cost......... $ 89,797 $ 2,811,506 $ 3,854,021 $ 18,820,240
============ ============ ============ ==============
Investments at Cost............................................ $ -- $ -- $ -- $ --
============ ============ ============ ==============
Foreign Currencies at Cost..................................... $ -- $ -- $ -- $ --
============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................ $ 90,931 $ 2,834,302 $ 3,822,233 $ 19,282,308
Undistributed Net Investment Income (Distributions in Excess
of Net Investment Income)..................................... 215 10,070 877 (12,750)
Accumulated Net Realized Gain (Loss)........................... 1,678 (20,953) 30,977 (371,767)
Net Unrealized Foreign Exchange Gain (Loss).................... (5) (11) 3 188
Net Unrealized Appreciation (Depreciation)..................... 17,541 1,054,036 464,060 (24,373)
------------ ------------ ------------ --------------
NET ASSETS..................................................... $ 110,360 $ 3,877,444 $ 4,318,150 $ 18,873,606
============ ============ ============ ==============
Emerging
Markets Core
Equity
Portfolio*
--------------
ASSETS:
Investments in Affiliated Investment Companies at Value........ --
Investments at Value (including $0, $0, $0, $0 and $1,687,457
of securities on loan, respectively).......................... $ 14,086,164
Temporary Cash................................................. --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost.................................................. 1,359,349
Segregated Cash for Futures Contracts.......................... --
Foreign Currencies at Value.................................... 30,268
Cash........................................................... 52,379
Receivables:
Investment Securities/Affiliated Investment Companies Sold... 28,381
Dividends, Interest and Tax Reclaims......................... 31,776
Securities Lending Income.................................... 3,058
Fund Shares Sold............................................. 64,597
Futures Margin Variation..................................... --
Unrealized Gain on Forward Currency Contracts.................. --
Unrealized Gain on Foreign Currency Contracts.................. 15
Prepaid Expenses and Other Assets.............................. 109
--------------
Total Assets............................................... 15,656,096
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................. 1,359,349
Investment Securities/Affiliated Investment Companies
Purchased................................................... 21,414
Fund Shares Redeemed......................................... 6,586
Due to Advisor............................................... 6,427
Unrealized Loss on Forward Currency Contracts.................. --
Unrealized Loss on Foreign Currency Contracts.................. 13
Accrued Expenses and Other Liabilities......................... 1,019
--------------
Total Liabilities.......................................... 1,394,808
--------------
NET ASSETS..................................................... $ 14,261,288
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R2 Shares -- based on net assets of $0; $0; $0;
$99,196 and $0 and shares outstanding of 0; 0; 0;
3,597,251 and 0, respectively................................. N/A
==============
Institutional Class Shares -- based on net assets of $110,360;
$3,877,444; $4,318,150; $18,774,410 and $14,261,288 and
shares outstanding of 7,939,154; 148,887,919;
206,031,261; 680,326,395 and 723,328,353, respectively........ $ 19.72
==============
NUMBER OF SHARES AUTHORIZED.................................... 1,000,000,000
==============
Investments in Affiliated Investment Companies at Cost......... $ --
==============
Investments at Cost............................................ $ 13,002,718
==============
Foreign Currencies at Cost..................................... $ 30,203
==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................ $ 13,257,871
Undistributed Net Investment Income (Distributions in Excess
of Net Investment Income)..................................... 38,276
Accumulated Net Realized Gain (Loss)........................... (118,376)
Net Unrealized Foreign Exchange Gain (Loss).................... 6
Net Unrealized Appreciation (Depreciation)..................... 1,083,511
--------------
NET ASSETS..................................................... $ 14,261,288
==============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
80
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
Enhanced
U.S. Large U.S. Large U.S. Large U.S. Targeted
Company Cap Equity Cap Value Value
Portfolio Portfolio Portfolio* Portfolio
---------- ---------- ---------- -------------
Investment Income
Net Investment Income Allocated from Affiliated Investment Company:
Dividends.................................................................... -- -- $ 120,674 --
Interest..................................................................... -- -- 2 --
Income from Securities Lending............................................... -- -- 1,259 --
Expenses Allocated from Affiliated Investment Company........................ -- -- (6,990) --
------- ------- ---------- --------
Total Net Investment Income Received from Affiliated Investment Company.... -- -- 114,945 --
------- ------- ---------- --------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0 and $3, respectively). $ 80 $ 1,628 -- $ 26,324
Interest..................................................................... 773 1 -- 2
Income from Securities Lending............................................... -- 29 -- 1,537
------- ------- ---------- --------
Total Investment Income.................................................... 853 1,658 -- 27,863
------- ------- ---------- --------
Fund Expenses
Investment Advisory Services Fees............................................ 51 127 -- 2,297
Administrative Services Fees................................................. 153 -- 9,518 5,742
Accounting & Transfer Agent Fees............................................. 8 9 49 135
S&P 500(R) Fees.............................................................. 4 -- -- --
Shareholder Servicing Fees --
Class R1 Shares............................................................. -- -- -- 5
Class R2 Shares............................................................. -- -- -- 64
Custodian Fees............................................................... 4 10 -- 32
Filing Fees.................................................................. 12 10 95 72
Shareholders' Reports........................................................ 2 1 105 51
Directors'/Trustees' Fees & Expenses......................................... 1 1 79 28
Professional Fees............................................................ 2 1 15 46
Organizational & Offering Costs.............................................. -- 21 -- --
Other........................................................................ 2 2 44 23
------- ------- ---------- --------
Total Expenses............................................................. 239 182 9,905 8,495
------- ------- ---------- --------
Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered
by Advisor (Note C)......................................................... -- (21) -- --
Fees Paid Indirectly......................................................... (1) -- -- --
------- ------- ---------- --------
Net Expenses................................................................. 238 161 9,905 8,495
------- ------- ---------- --------
Net Investment Income (Loss)................................................. 615 1,497 105,040 19,368
------- ------- ---------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold................................................... 393 156 290,376 121,670
Futures...................................................................... 13,862 -- -- --
Foreign Currency Transactions................................................ (1,214) -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................... 1,462 11,637 742,075 184,208
Futures...................................................................... 1,296 -- -- --
Translation of Foreign Currency Denominated Amounts.......................... (26) -- -- --
------- ------- ---------- --------
Net Realized and Unrealized Gain (Loss)...................................... 15,773 11,793 1,032,451 305,878
------- ------- ---------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations................ $16,388 $13,290 $1,137,491 $325,246
======= ======= ========== ========
----------
* 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.
81
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(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 $13, $21, $19 and $2,
respectively)..................................................... $ 54,565 $ 72,193 $ 91,680 $ 22,783
Interest........................................................... 11 3 2 --
Income from Securities Lending..................................... 2,744 1,900 2,990 1,134
-------- -------- -------- --------
Total Investment Income......................................... 57,320 74,096 94,672 23,917
-------- -------- -------- --------
Expenses
Investment Advisory Services Fees.................................. 10,116 7,043 10,651 4,575
Administrative Services Fees....................................... 15,174 -- -- --
Accounting & Transfer Agent Fees................................... 292 238 307 89
Custodian Fees..................................................... 61 55 63 23
Filing Fees........................................................ 104 137 115 44
Shareholders' Reports.............................................. 75 40 58 29
Directors'/Trustees' Fees & Expenses............................... 65 50 66 19
Professional Fees.................................................. 108 77 103 31
Other.............................................................. 54 39 50 16
-------- -------- -------- --------
Total Expenses.................................................. 26,049 7,679 11,413 4,826
-------- -------- -------- --------
Net Investment Income (Loss)....................................... 31,271 66,417 83,259 19,091
-------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold....................................... 224,358 23,838 (7,137) 28,435
Futures.......................................................... (7,540) -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................ 433,478 538,175 729,705 166,284
Futures.......................................................... (4,123) -- -- --
-------- -------- -------- --------
Net Realized and Unrealized Gain (Loss)............................ 646,173 562,013 722,568 194,719
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations...... $677,444 $628,430 $805,827 $213,810
======== ======== ======== ========
See accompanying Notes to Financial Statements.
82
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(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 $13, $5, $0 and
$3,634, respectively)........................................ $ 44,982 $ 25,516 $100,124 $ 59,160
Interest...................................................... -- -- 1 --
Income from Securities Lending................................ 5,126 3,289 598 1,604
-------- -------- -------- --------
Total Investment Income.................................... 50,108 28,805 100,723 60,764
-------- -------- -------- --------
Expenses
Investment Advisory Services Fees............................. 1,204 2,393 4,131 3,546
Administrative Services Fees.................................. 12,842 9,572 -- --
Accounting & Transfer Agent Fees.............................. 231 140 141 88
Custodian Fees................................................ 61 36 25 178
Filing Fees................................................... 103 48 69 32
Shareholders' Reports......................................... 59 41 69 46
Directors'/Trustees' Fees & Expenses.......................... 48 31 31 18
Professional Fees............................................. 81 53 51 46
Other......................................................... 35 25 24 23
-------- -------- -------- --------
Total Expenses............................................. 14,664 12,339 4,541 3,977
-------- -------- -------- --------
Fees (Waived), Expenses Reimbursed, and/or Previously Waived
Fees Recovered by Advisor (Note C)........................... -- -- (168) --
Fees Paid Indirectly.......................................... -- -- -- (3)
-------- -------- -------- --------
Net Expenses.................................................. 14,664 12,339 4,373 3,974
-------- -------- -------- --------
Net Investment Income (Loss).................................. 35,444 16,466 96,350 56,790
-------- -------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold*................................. 189,291 168,603 10,339 1,158
Futures..................................................... -- (692) (553) --
Foreign Currency Transactions............................... -- -- -- (372)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 113,166 24,591 329,632 85,409
Translation of Foreign Currency Denominated Amounts......... -- -- -- 45
-------- -------- -------- --------
Net Realized and Unrealized Gain (Loss)....................... 302,457 192,502 339,418 86,240
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations..................................................... $337,901 $208,968 $435,768 $143,030
======== ======== ======== ========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $2, respectively.
See accompanying Notes to Financial Statements.
83
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(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, $8,927, $442 and $141,
respectively).......................................................... -- $103,617 $ 3,988 $ 5,641
Interest................................................................ -- 1 -- --
Income from Securities Lending.......................................... -- 9,526 252 515
Expenses Allocated from Affiliated Investment Companies................. -- (5,545) (250) (235)
--------- -------- -------- -------
Total Net Investment Income Received from Affiliated Investment
Companies........................................................... -- 107,599 3,990 5,921
--------- -------- -------- -------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $12,086, $0, $0 and $0,
respectively).......................................................... $ 190,060 -- -- --
Interest................................................................ -- 25 -- --
Income from Securities Lending.......................................... 7,270 -- -- --
--------- -------- -------- -------
Total Investment Income.............................................. 197,330 25 -- --
--------- -------- -------- -------
Fund Expenses
Investment Advisory Services Fees....................................... 17,944 -- -- --
Administrative Services Fees............................................ -- 17,602 779 708
Accounting & Transfer Agent Fees........................................ 299 45 13 12
Custodian Fees.......................................................... 640 1 -- --
Filing Fees............................................................. 152 70 11 13
Shareholders' Reports................................................... 79 92 2 2
Directors'/Trustees' Fees & Expenses.................................... 62 56 3 2
Professional Fees....................................................... 103 22 2 1
Other................................................................... 76 31 2 2
--------- -------- -------- -------
Total Expenses....................................................... 19,355 17,919 812 740
--------- -------- -------- -------
Fees Paid Indirectly.................................................... (17) -- -- --
--------- -------- -------- -------
Net Expenses............................................................ 19,338 17,919 812 740
--------- -------- -------- -------
Net Investment Income (Loss)............................................ 177,992 89,705 3,178 5,181
--------- -------- -------- -------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**........................................... (134,267) 168,729 4,029 (5)
Futures................................................................ -- (945) -- --
Foreign Currency Transactions.......................................... 95 805 (75) 31
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................. 579,099 392,809 (17,109) (3,622)
Futures................................................................ -- -- -- --
Translation of Foreign Currency Denominated Amounts.................... 69 104 (19) (1)
--------- -------- -------- -------
Net Realized and Unrealized Gain (Loss)................................. 444,996 561,502 (13,174) (3,597)
--------- -------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations........... $ 622,988 $651,207 $ (9,996) $ 1,584
========= ======== ======== =======
----------
* 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 $65, $175, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
84
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(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 $4, $265, $0 and $0,
respectively)....................................................... $ 566 $ 1,709 -- --
Income Distributions Received from Affiliated Investment Companies... -- -- -- $ 66,663
Income from Securities Lending....................................... 3 300 -- --
Expenses Allocated from Affiliated Investment Company................ (22) (118) -- --
------ ------- -------- --------
Total Net Investment Income Received from Affiliated Investment
Company........................................................... 547 1,891 -- 66,663
------ ------- -------- --------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $0, $5,365 and $0,
respectively)....................................................... -- -- $ 45,050 --
Interest............................................................. -- 1 -- 1
Income from Securities Lending....................................... -- -- 778 --
------ ------- -------- --------
Total Fund Investment Income....................................... -- 1 45,828 1
------ ------- -------- --------
Fund Expenses
Investment Advisory Services Fees.................................... -- -- 3,944 2,981
Administrative Services Fees......................................... 77 359 -- --
Accounting & Transfer Agent Fees..................................... 9 12 71 26
Custodian Fees....................................................... -- -- 175 --
Filing Fees.......................................................... 8 9 50 78
Shareholders' Reports................................................ 1 1 36 27
Directors'/Trustees' Fees & Expenses................................. -- 1 14 13
Professional Fees.................................................... 1 1 24 6
Other................................................................ 1 1 17 3
------ ------- -------- --------
Total Expenses..................................................... 97 384 4,331 3,134
------ ------- -------- --------
Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees
Recovered by Advisor (Note C)....................................... (6) -- -- (2,489)
Fees Paid Indirectly................................................. -- -- (6) --
------ ------- -------- --------
Net Expenses......................................................... 91 384 4,325 645
------ ------- -------- --------
Net Investment Income (Loss)......................................... 456 1,508 41,503 66,019
------ ------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**........................................ 1,243 3,328 3,938 (2,771)
Futures............................................................. -- (53) -- --
Foreign Currency Transactions....................................... 3 50 287 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... 1,744 19,983 69,723 102,401
Futures............................................................. -- -- -- --
Translation of Foreign Currency Denominated Amounts................. 1 4 63 --
------ ------- -------- --------
Net Realized and Unrealized Gain (Loss).............................. 2,991 23,312 74,011 99,630
------ ------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations........ $3,447 $24,820 $115,514 $165,649
====== ======= ======== ========
----------
* 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, $8, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
85
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(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*
------------- ------------- ------------- -------------
Investment Income
Net Investment Income Allocated from Affiliated
Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $0,
$128, $35 and $0, respectively).......................... -- -- $2,628 $ 333
Income Distributions Received from Affiliated Investment
Companies................................................ -- -- 105 689
Income from Securities Lending............................ -- -- 64 30
Expenses Allocated from Affiliated Investment
Companies................................................ -- -- (106) (30)
---------- ------- ------ ------
Total Net Investment Income Received from
Affiliated Investment Companies....................... -- -- 2,691 1,022
---------- ------- ------ ------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $10,862,
$1,278, $0, $0 and $0, respectively)..................... $ 130,033 $18,611 -- --
Income from Securities Lending............................ 10,103 911 -- --
---------- ------- ------ ------
Total Investment Income................................ 140,136 19,522 -- --
---------- ------- ------ ------
Fund Expenses
Investment Advisory Services Fees......................... 37,631 2,637 272 335
Accounting & Transfer Agent Fees.......................... 339 40 10 16
Custodian Fees............................................ 643 185 1 3
Filing Fees............................................... 78 30 11 23
Shareholders' Reports..................................... 104 9 1 --
Directors'/Trustees' Fees & Expenses...................... 74 7 1 1
Professional Fees......................................... 129 26 3 3
Organizational & Offering Costs........................... -- -- -- --
Other..................................................... 84 14 2 2
---------- ------- ------ ------
Total Expenses......................................... 39,082 2,948 301 383
---------- ------- ------ ------
Fees (Waived), Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C)................ -- -- (94) (276)
Fees Paid Indirectly...................................... (6) (2) -- --
---------- ------- ------ ------
Net Expenses.............................................. 39,076 2,946 207 107
---------- ------- ------ ------
Net Investment Income (Loss).............................. 101,060 16,576 2,484 915
---------- ------- ------ ------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated
Investment Companies..................................... -- -- 157 983
Net Realized Gain (Loss) on:
Investment Securities Sold**............................. 165,817 4,258 702 (173)
Foreign Currency Transactions............................ 857 (82) (1) (2)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 776,696 57,502 969 5,265
Futures.................................................. -- -- 1 --
Translation of Foreign Currency Denominated
Amounts................................................. 79 (2) 1 --
---------- ------- ------ ------
Net Realized and Unrealized Gain (Loss)................... 943,449 61,676 1,829 6,073
---------- ------- ------ ------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................. $1,044,509 $78,252 $4,313 $6,988
========== ======= ====== ======
World ex U.S.
Core Equity
Portfolio
-------------
Investment Income
Net Investment Income Allocated from Affiliated
Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $0,
$128, $35 and $0, respectively).......................... --
Income Distributions Received from Affiliated Investment
Companies................................................ $1,507
Income from Securities Lending............................ --
Expenses Allocated from Affiliated Investment
Companies................................................ --
------
Total Net Investment Income Received from
Affiliated Investment Companies....................... 1,507
------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $10,862,
$1,278, $0, $0 and $0, respectively)..................... --
Income from Securities Lending............................ --
------
Total Investment Income................................ --
------
Fund Expenses
Investment Advisory Services Fees......................... 326
Accounting & Transfer Agent Fees.......................... 12
Custodian Fees............................................ 2
Filing Fees............................................... 6
Shareholders' Reports..................................... --
Directors'/Trustees' Fees & Expenses...................... 1
Professional Fees......................................... 3
Organizational & Offering Costs........................... 16
Other..................................................... 2
------
Total Expenses......................................... 368
------
Fees (Waived), Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C)................ (334)
Fees Paid Indirectly...................................... --
------
Net Expenses.............................................. 34
------
Net Investment Income (Loss).............................. 1,473
------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated
Investment Companies..................................... --
Net Realized Gain (Loss) on:
Investment Securities Sold**............................. (104)
Foreign Currency Transactions............................ --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 7,644
Futures.................................................. --
Translation of Foreign Currency Denominated
Amounts................................................. --
------
Net Realized and Unrealized Gain (Loss)................... 7,540
------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................. $9,013
======
----------
* 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 $33, $8, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
86
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(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, $3,914, $3,244,
$18,462 and $0, respectively)................................... -- $ 32,578 $35,302 $ 177,117 --
Income Distributions Received from Affiliated Investment
Companies....................................................... $ 714 -- -- -- --
Interest......................................................... -- 1 1 4 --
Income from Securities Lending................................... -- 2,113 8,241 10,709 --
Expenses Allocated from Affiliated Investment Companies.......... -- (2,641) (5,316) (13,447) --
------ -------- ------- --------- ---------
Total Net Investment Income Received from Affiliated
Investment Companies......................................... 714 32,051 38,228 174,383 --
------ -------- ------- --------- ---------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and
$13,603, respectively).......................................... -- -- -- -- $ 114,238
Interest......................................................... 1 -- -- -- --
Income from Securities Lending................................... -- -- -- -- 13,860
------ -------- ------- --------- ---------
Total Fund Investment Income.................................. 1 -- -- -- 128,098
------ -------- ------- --------- ---------
Fund Expenses
Investment Advisory Services Fees................................ 134 -- -- -- 35,983
Administrative Services Fees..................................... -- 7,159 9,037 36,256 --
Accounting & Transfer Agent Fees................................. 9 22 24 71 382
Shareholder Servicing Fees --
Class R2 Shares................................................. -- -- -- 119 --
Custodian Fees................................................... 2 -- -- -- 2,551
Filing Fees...................................................... 13 58 55 130 210
Shareholders' Reports............................................ -- 59 29 109 113
Directors'/Trustees' Fees & Expenses............................. -- 24 26 123 81
Professional Fees................................................ 3 6 6 27 170
Other............................................................ 1 13 16 69 98
------ -------- ------- --------- ---------
Total Expenses................................................ 162 7,341 9,193 36,904 39,588
------ -------- ------- --------- ---------
Fees (Waived), Expenses Reimbursed, and/or Previously Waived
Fees Recovered by Advisor (Note C).............................. (130) -- -- -- --
Fees Paid Indirectly............................................. -- -- -- -- (46)
------ -------- ------- --------- ---------
Net Expenses..................................................... 32 7,341 9,193 36,904 39,542
------ -------- ------- --------- ---------
Net Investment Income (Loss)..................................... 683 24,710 29,035 137,479 88,556
------ -------- ------- --------- ---------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment
Companies....................................................... 342 -- -- -- --
Net Realized Gain (Loss) on:.....................................
Investment Securities Sold...................................... 1,409 (19,190) 43,554 (354,332) (64,782)
Futures......................................................... 341 -- -- -- --
Foreign Currency Transactions................................... 90 (53) (82) (2,053) (735)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... 2,158 (77,616) 9,405 (440,131) (139,793)
Futures......................................................... (121) -- (4) -- --
Translation of Foreign Currency Denominated Amounts............. (33) 28 94 100 54
------ -------- ------- --------- ---------
Net Realized and Unrealized Gain (Loss).......................... 4,186 (96,831) 52,967 (796,416) (205,256)
------ -------- ------- --------- ---------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................................ $4,869 $(72,121) $82,002 $(658,937) $(116,700)
====== ======== ======= ========= =========
----------
* 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.
87
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
Six Months Year Six Months June 25, Six Months Year
Ended Ended Ended 2013(a) to Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013 2014 2013
----------- -------- ----------- ---------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................. $ 615 $ 1,274 $ 1,497 $ 591 $ 105,040 $ 183,780
Net Realized Gain (Loss) on:
Investment Securities Sold................... 393 (238) 156 37 290,376 819,592
Futures...................................... 13,862 40,444 -- -- -- --
Foreign Currency Transactions................ (1,214) (934) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................... 1,462 1,803 11,637 10,560 742,075 2,030,120
Futures...................................... 1,296 5,088 -- -- -- --
Translation of Foreign Currency
Denominated Amounts......................... (26) 946 -- -- -- --
-------- -------- -------- -------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................. 16,388 48,383 13,290 11,188 1,137,491 3,033,492
-------- -------- -------- -------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares................... (603) (1,597) (1,338) (321) (104,961) (180,943)
Net Short-Term Gains:
Institutional Class Shares................... -- -- (40) -- -- --
-------- -------- -------- -------- ----------- -----------
Total Distributions........................ (603) (1,597) (1,378) (321) (104,961) (180,943)
-------- -------- -------- -------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................. 18,407 49,190 56,777 127,286 1,699,268 2,669,600
Shares Issued in Lieu of Cash Distributions... 506 1,381 1,377 321 95,900 165,830
Shares Redeemed............................... (48,428) (74,528) (7,994) (3,067) (1,172,823) (2,059,492)
-------- -------- -------- -------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions........................ (29,515) (23,957) 50,160 124,540 622,345 775,938
-------- -------- -------- -------- ----------- -----------
Total Increase (Decrease) in Net Assets.... (13,730) 22,829 62,072 135,407 1,654,875 3,628,487
Net Assets
Beginning of Period........................... 212,840 190,011 135,407 -- 11,963,072 8,334,585
-------- -------- -------- -------- ----------- -----------
End of Period................................. $199,110 $212,840 $197,479 $135,407 $13,617,947 $11,963,072
======== ======== ======== ======== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................. 1,496 4,732 4,924 12,483 54,556 102,131
Shares Issued in Lieu of Cash Distributions... 41 142 120 30 3,101 6,512
Shares Redeemed............................... (3,974) (7,146) (688) (286) (37,684) (79,135)
-------- -------- -------- -------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed....................... (2,437) (2,272) 4,356 12,227 19,973 29,508
======== ======== ======== ======== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)........................................ $ 212 $ 200 $ 440 $ 281 $ 28,282 $ 28,203
----------
Seepage 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
88
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Targeted Value U.S. Small Cap Value U.S. Core Equity 1
Portfolio Portfolio Portfolio
----------------------- ------------------------ -----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013 2014 2013
----------- ----------- ----------- ----------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 19,368 $ 45,589 $ 31,271 $ 104,594 $ 66,417 $ 109,577
Net Realized Gain (Loss) on:
Investment Securities Sold................. 121,670 274,964 224,358 467,388 23,838 48,730
Futures.................................... -- 4,864 (7,540) 4,175 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities...................... 184,208 903,746 433,478 2,087,253 538,175 1,549,261
Futures.................................... -- -- (4,123) -- -- --
---------- ----------- ----------- ----------- ---------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 325,246 1,229,163 677,444 2,663,410 628,430 1,707,568
---------- ----------- ----------- ----------- ---------- -----------
Distributions From:
Net Investment Income:
Class R1 Shares............................ (28) (604) -- -- -- --
Class R2 Shares............................ (66) (171) -- -- -- --
Institutional Class Shares................. (14,219) (44,723) (31,520) (97,302) (62,668) (105,633)
Net Short-Term Gains:
Class R1 Shares............................ (32) (162) -- -- -- --
Class R2 Shares............................ (84) (43) -- -- -- --
Institutional Class Shares................. (13,954) (9,669) (2,510) (15,668) -- --
Net Long-Term Gains:
Class R1 Shares............................ (544) (2,657) -- -- -- --
Class R2 Shares............................ (1,417) (709) -- -- -- --
Institutional Class Shares................. (235,328) (158,843) (443,795) (380,218) (34,892) --
---------- ----------- ----------- ----------- ---------- -----------
Total Distributions....................... (265,672) (217,581) (477,825) (493,188) (97,560) (105,633)
---------- ----------- ----------- ----------- ---------- -----------
Capital Share Transactions (1):
Shares Issued............................... 979,367 1,069,213 1,830,029 1,700,691 1,479,566 2,012,312
Shares Issued in Lieu of Cash Distributions. 249,000 193,793 434,012 448,519 92,248 95,895
Shares Redeemed............................. (533,085) (1,112,648) (1,077,785) (1,880,921) (580,690) (1,020,936)
---------- ----------- ----------- ----------- ---------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... 695,282 150,358 1,186,256 268,289 991,124 1,087,271
---------- ----------- ----------- ----------- ---------- -----------
Total Increase (Decrease) in Net Assets... 754,856 1,161,940 1,385,875 2,438,511 1,521,994 2,689,206
Net Assets
Beginning of Period......................... 4,213,749 3,051,809 9,526,981 7,088,470 7,566,179 4,876,973
---------- ----------- ----------- ----------- ---------- -----------
End of Period............................... $4,968,605 $ 4,213,749 $10,912,856 $ 9,526,981 $9,088,173 $ 7,566,179
========== =========== =========== =========== ========== ===========
(1) Shares Issued and Redeemed:
Shares Issued............................... 43,377 54,473 52,200 56,681 90,493 144,586
Shares Issued in Lieu of Cash Distributions. 11,530 11,549 12,925 17,521 5,741 7,046
Shares Redeemed............................. (23,676) (56,250) (30,974) (64,686) (35,592) (73,616)
---------- ----------- ----------- ----------- ---------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 31,231 9,772 34,151 9,516 60,642 78,016
========== =========== =========== =========== ========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)...................................... $ 5,539 $ 484 $ 1,117 $ 1,373 $ 18,227 $ 14,478
See accompanying Notes to Financial Statements.
89
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
------------------------ ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013 2014 2013
----------- ----------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 83,259 $ 146,563 $ 19,091 $ 36,935 $ 35,444 $ 76,179
Net Realized Gain (Loss) on:
Investment Securities Sold............. (7,137) 106,205 28,435 42,264 189,291 252,589
Futures................................ -- -- -- (48) -- (331)
Foreign Currency Transactions.......... -- -- -- -- -- 1
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities.................. 729,705 2,176,008 166,284 684,534 113,166 1,551,354
----------- ----------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 805,827 2,428,776 213,810 763,685 337,901 1,879,792
----------- ----------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares............. (75,321) (143,640) (16,899) (34,959) (29,188) (74,990)
Net Short-Term Gains:
Institutional Class Shares............. (4,518) -- (1,492) -- (19,821) (8,279)
Net Long-Term Gains:
Institutional Class Shares............. (98,745) (55,772) (38,966) (3,507) (218,795) (228,672)
----------- ----------- ---------- ---------- ---------- ----------
Total Distributions.................. (178,584) (199,412) (57,357) (38,466) (267,804) (311,941)
----------- ----------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued........................... 1,431,777 1,993,887 384,200 590,251 1,304,454 2,025,365
Shares Issued in Lieu of Cash
Distributions.......................... 176,698 194,014 57,091 37,851 251,695 287,893
Shares Redeemed......................... (731,498) (1,351,685) (290,193) (468,656) (681,661) (997,627)
----------- ----------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions.......... 876,977 836,216 151,098 159,446 874,488 1,315,631
----------- ----------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 1,504,220 3,065,580 307,551 884,665 944,585 2,883,482
Net Assets
Beginning of Period..................... 9,989,564 6,923,984 2,893,842 2,009,177 7,446,827 4,563,345
----------- ----------- ---------- ---------- ---------- ----------
End of Period........................... $11,493,784 $ 9,989,564 $3,201,393 $2,893,842 $8,391,412 $7,446,827
=========== =========== ========== ========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued........................... 88,303 145,060 23,767 43,824 42,605 76,522
Shares Issued in Lieu of Cash
Distributions.......................... 11,195 14,935 3,639 2,932 8,530 12,811
Shares Redeemed......................... (45,260) (98,040) (17,980) (34,484) (22,301) (38,832)
----------- ----------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed.......... 54,238 61,955 9,426 12,272 28,834 50,501
=========== =========== ========== ========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)....................... $ 22,493 $ 14,563 $ 5,288 $ 3,099 $ 9,420 $ 3,169
See accompanying Notes to Financial Statements.
90
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA Real Estate Securities Large Cap International
U.S. Micro Cap Portfolio Portfolio Portfolio
---------------------- ------------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013 2014 2013
----------- ---------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................. $ 16,466 $ 46,722 $ 96,350 $ 103,396 $ 56,790 $ 68,706
Capital Gain Distributions Received from
Investment Securities....................... -- -- -- 15,455 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*................. 168,603 227,715 10,339 15,023 1,158 (15,210)
Futures..................................... (692) (423) (553) -- -- --
Foreign Currency Transactions............... -- -- -- -- (372) (394)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency.. 24,591 1,117,408 329,632 254,603 85,409 476,010
Translation of Foreign Currency
Denominated Amounts........................ -- -- -- -- 45 154
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................. 208,968 1,391,422 435,768 388,477 143,030 529,266
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares.................. (13,984) (46,915) (95,869) (102,731) (38,435) (70,787)
Net Short-Term Gains:
Institutional Class Shares.................. (12,783) -- -- -- -- --
Net Long-Term Gains:
Institutional Class Shares.................. (200,738) (176,365) -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions........................ (227,505) (223,280) (95,869) (102,731) (38,435) (70,787)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................ 355,827 605,885 762,503 1,428,666 312,962 631,372
Shares Issued in Lieu of Cash Distributions.. 212,873 207,612 94,299 99,760 35,272 66,684
Shares Redeemed.............................. (442,409) (723,766) (329,149) (853,143) (160,753) (457,180)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions........................ 126,291 89,731 527,653 675,283 187,481 240,876
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets.... 107,754 1,257,873 867,552 961,029 292,076 699,355
Net Assets
Beginning of Period.......................... 4,695,831 3,437,958 4,677,418 3,716,389 2,755,114 2,055,759
---------- ---------- ---------- ---------- ---------- ----------
End of Period................................ $4,803,585 $4,695,831 $5,544,970 $4,677,418 $3,047,190 $2,755,114
========== ========== ========== ========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued................................ 17,986 36,865 28,072 51,717 14,050 31,421
Shares Issued in Lieu of Cash Distributions.. 11,188 14,570 3,624 3,726 1,593 3,350
Shares Redeemed.............................. (22,393) (43,945) (12,177) (30,873) (7,223) (22,837)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed....................... 6,781 7,490 19,519 24,570 8,420 11,934
========== ========== ========== ========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)....................................... $ 4,138 $ 1,665 $ 32,871 $ 31,615 $ 24,934 $ 6,579
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $2 and $1,
respectively.
See accompanying Notes to Financial Statements.
91
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
------------------------ ----------------------- ---------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013 2014 2013
----------- ----------- ----------- ----------- ----------- ---------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 177,992 $ 218,030 $ 89,705 $ 180,481 $ 3,178 $ 6,101
Net Realized Gain (Loss) on:
Investment Securities Sold*................ (134,267) (10,392) 168,729 262,518 4,029 5,783
Futures.................................... -- -- (945) (29) -- --
Foreign Currency Transactions.............. 95 (2,185) 805 (2,035) (75) (468)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 579,099 1,736,462 392,809 1,540,906 (17,109) 94,197
Futures.................................... -- -- -- 30 -- --
Translation of Foreign Currency
Denominated Amounts....................... 69 312 104 438 (19) 26
----------- ----------- ---------- ----------- -------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 622,988 1,942,227 651,207 1,982,309 (9,996) 105,639
----------- ----------- ---------- ----------- -------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (115,306) (214,687) (102,941) (159,066) (11,539) (2,836)
Net Short-Term Gains:
Institutional Class Shares................. -- -- (27,834) -- -- --
Net Long-Term Gains:
Institutional Class Shares................. -- -- (211,626) (39,012) -- --
----------- ----------- ---------- ----------- -------- ---------
Total Distributions....................... (115,306) (214,687) (342,401) (198,078) (11,539) (2,836)
----------- ----------- ---------- ----------- -------- ---------
Capital Share Transactions (1):
Shares Issued............................... 1,971,730 2,415,089 645,464 1,229,487 48,508 142,226
Shares Issued in Lieu of Cash Distributions. 112,236 206,673 333,784 188,769 10,648 2,638
Shares Redeemed............................. (637,939) (1,323,574) (587,941) (1,104,930) (71,809) (127,503)
----------- ----------- ---------- ----------- -------- ---------
Net Increase (Decrease) from Capital
Share Transactions....................... 1,446,027 1,298,188 391,307 313,326 (12,653) 17,361
----------- ----------- ---------- ----------- -------- ---------
Total Increase (Decrease) in Net Assets... 1,953,709 3,025,728 700,113 2,097,557 (34,188) 120,164
Net Assets
Beginning of Period......................... 9,508,466 6,482,738 8,520,717 6,423,160 414,132 293,968
----------- ----------- ---------- ----------- -------- ---------
End of Period............................... $11,462,175 $ 9,508,466 $9,220,830 $ 8,520,717 $379,944 $ 414,132
=========== =========== ========== =========== ======== =========
(1) Shares Issued and Redeemed:
Shares Issued............................... 155,035 213,883 33,274 72,452 2,633 8,814
Shares Issued in Lieu of Cash Distributions. 8,913 18,646 18,190 11,691 579 173
Shares Redeemed............................. (50,305) (117,963) (30,311) (65,368) (3,862) (7,179)
----------- ----------- ---------- ----------- -------- ---------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 113,643 114,566 21,153 18,775 (650) 1,808
=========== =========== ========== =========== ======== =========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)...................................... $ 90,015 $ 27,329 $ 13,847 $ 27,396 $ (2,183) $ 6,178
----------
* Net of foreign capital gain taxes withheld of $65, $14, $175, $27, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
92
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
-------------------- ------------------- --------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013 2014 2013
----------- -------- ----------- -------- ----------- --------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)...................... $ 5,181 $ 11,525 $ 456 $ 933 $ 1,508 $ 2,635
Net Realized Gain (Loss) on:
Investment Securities Sold*...................... (5) (255) 1,243 2,545 3,328 2,298
Futures.......................................... -- -- -- -- (53) 29
Foreign Currency Transactions.................... 31 9 3 -- 50 (3)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency....... (3,622) 17,462 1,744 7,107 19,983 41,299
Futures.......................................... -- -- -- -- -- (29)
Translation of Foreign Currency Denominated
Amounts......................................... (1) (1) 1 -- 4 7
-------- -------- ------- ------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations..................... 1,584 28,740 3,447 10,585 24,820 46,236
-------- -------- ------- ------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares....................... (12,860) (7,603) (510) (953) (343) (2,834)
Net Long-Term Gains:
Institutional Class Shares....................... -- -- (406) -- -- --
-------- -------- ------- ------- -------- --------
Total Distributions............................ (12,860) (7,603) (916) (953) (343) (2,834)
-------- -------- ------- ------- -------- --------
Capital Share Transactions (1):
Shares Issued..................................... 75,143 96,294 3,759 2,464 8,648 32,191
Shares Issued in Lieu of Cash Distributions....... 12,189 7,183 700 729 281 2,141
Shares Redeemed................................... (10,249) (31,639) (4,932) (7,045) (9,977) (13,244)
-------- -------- ------- ------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions.................................. 77,083 71,838 (473) (3,852) (1,048) 21,088
-------- -------- ------- ------- -------- --------
Total Increase (Decrease) in Net Assets........ 65,807 92,975 2,058 5,780 23,429 64,490
Net Assets
Beginning of Period............................... 331,166 238,191 37,096 31,316 170,806 106,316
-------- -------- ------- ------- -------- --------
End of Period..................................... $396,973 $331,166 $39,154 $37,096 $194,235 $170,806
======== ======== ======= ======= ======== ========
(1) Shares Issued and Redeemed:
Shares Issued....................................... 3,242 4,135 98 78 395 1,806
Shares Issued in Lieu of Cash Distributions......... 549 309 19 24 14 128
Shares Redeemed..................................... (445) (1,362) (127) (224) (460) (834)
-------- -------- ------- ------- -------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed.................................. 3,346 3,082 (10) (122) (51) 1,100
======== ======== ======= ======= ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................ $ (1,261) $ 6,418 $ 75 $ 129 $ 1,257 $ 92
----------
* Net of foreign capital gain taxes withheld of $0, $0, $1, $0, $8 and $1,
respectively.
See accompanying Notes to Financial Statements.
93
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
---------------------- ---------------------- ------------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013 2014 2013
----------- ---------- ----------- ---------- ----------- -----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 41,503 $ 72,994 $ 66,019 $ 84,342 $ 101,060 $ 208,592
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 3,938 (19,009) (2,771) (3,169) 165,817 179,935
Futures.................................... -- 888 -- -- -- --
Foreign Currency Transactions.............. 287 (860) -- -- 857 (2,311)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 69,723 105,321 102,401 60,459 776,696 2,722,774
Translation of Foreign Currency
Denominated Amounts....................... 63 18 -- -- 79 666
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 115,514 159,352 165,649 141,632 1,044,509 3,109,656
---------- ---------- ---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (106,263) (181,848) (72,036) (84,341) (110,870) (198,381)
Net Short-Term Gains:
Institutional Class Shares................. -- -- -- -- (38,805) --
Net Long-Term Gains:
Institutional Class Shares................. -- -- -- -- (127,501) (117,102)
---------- ---------- ---------- ---------- ----------- -----------
Total Distributions....................... (106,263) (181,848) (72,036) (84,341) (277,176) (315,483)
---------- ---------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued............................... 473,955 842,458 498,786 932,289 984,843 1,644,691
Shares Issued in Lieu of Cash Distributions. 105,300 180,122 70,668 82,056 254,292 292,218
Shares Redeemed............................. (175,093) (372,815) (187,957) (304,476) (807,775) (1,848,793)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... 404,162 649,765 381,497 709,869 431,360 88,116
---------- ---------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in Net Assets... 413,413 627,269 475,110 767,160 1,198,693 2,882,289
Net Assets
Beginning of Period......................... 2,158,977 1,531,708 2,082,707 1,315,547 11,148,899 8,266,610
---------- ---------- ---------- ---------- ----------- -----------
End of Period............................... $2,572,390 $2,158,977 $2,557,817 $2,082,707 $12,347,592 $11,148,899
========== ========== ========== ========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued............................... 92,762 159,658 54,388 99,632 47,785 96,297
Shares Issued in Lieu of Cash Distributions. 21,490 35,387 8,208 9,335 13,067 18,141
Shares Redeemed............................. (34,677) (71,419) (20,659) (32,860) (39,239) (106,982)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 79,575 123,626 41,937 76,107 21,613 7,456
========== ========== ========== ========== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)...................................... $ (212,733) $ (147,973) $ 5,607 $ 11,624 $ 5,646 $ 14,704
----------
* Net of foreign capital gain taxes withheld of $0, $7, $0, $0, $33 and $6,
respectively.
See accompanying Notes to Financial Statements.
94
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
International Vector World ex U.S. Value World ex U.S. Targeted
Equity Portfolio Portfolio Value Portfolio
---------------------- -------------------- ---------------------
Period
Six Months Year Six Months Year Six Months Nov. 1,
Ended Ended Ended Ended Ended 2012(a) to
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013 2014 2013
----------- ---------- ----------- -------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).............................. $ 16,576 $ 18,816 $ 2,484 $ 2,186 $ 915 $ 1,009
Capital Gain Distributions Received from Affiliated
Investment Companies..................................... -- -- 157 64 983 191
Net Realized Gain (Loss) on:
Investment Securities Sold*.............................. 4,258 8,277 702 3,077 (173) 947
Futures.................................................. -- -- -- (12) -- 1
Foreign Currency Transactions............................ (82) (71) (1) (14) (2) (3)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 57,502 172,846 969 13,382 5,265 11,646
Futures.................................................. -- -- 1 (1) -- --
Translation of Foreign Currency Denominated
Amounts................................................. (2) 46 1 (15) -- --
---------- ---------- -------- -------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. 78,252 199,914 4,313 18,667 6,988 13,791
---------- ---------- -------- -------- -------- -------
Distributions From:
Net Investment Income:
Institutional Class Shares............................... (9,166) (17,456) (1,871) (2,334) (1,042) (993)
Net Short-Term Gains:
Institutional Class Shares............................... (571) -- -- -- (48) --
Net Long-Term Gains:
Institutional Class Shares............................... (7,322) (2,044) -- -- (1,147) --
---------- ---------- -------- -------- -------- -------
Total Distributions..................................... (17,059) (19,500) (1,871) (2,334) (2,237) (993)
---------- ---------- -------- -------- -------- -------
Capital Share Transactions (1):
Shares Issued............................................. 189,011 419,905 4,943 53,066 48,578 87,917
Shares Issued in Lieu of Cash Distributions............... 16,870 18,898 1,867 2,232 2,238 993
Shares Redeemed........................................... (61,399) (89,842) (7,767) (11,241) (7,420) (5,698)
---------- ---------- -------- -------- -------- -------
Net Increase (Decrease) from Capital Share
Transactions........................................... 144,482 348,961 (957) 44,057 43,396 83,212
---------- ---------- -------- -------- -------- -------
Total Increase (Decrease) in Net Assets................. 205,675 529,375 1,485 60,390 48,147 96,010
Net Assets
Beginning of Period....................................... 1,090,774 561,399 117,587 57,197 96,010 --
---------- ---------- -------- -------- -------- -------
End of Period............................................. $1,296,449 $1,090,774 $119,072 $117,587 $144,157 $96,010
========== ========== ======== ======== ======== =======
(1) Shares Issued and Redeemed:
Shares Issued............................................. 15,897 39,490 416 4,923 3,922 8,136
Shares Issued in Lieu of Cash Distributions............... 1,467 1,856 159 209 189 90
Shares Redeemed........................................... (5,173) (8,665) (661) (1,036) (608) (522)
---------- ---------- -------- -------- -------- -------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 12,191 32,681 (86) 4,096 3,503 7,704
========== ========== ======== ======== ======== =======
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... $ 9,896 $ 2,486 $ 800 $ 187 $ (112) $ 15
----------
Seepage 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $8, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
95
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
World ex U.S.
Core Equity Selectively Hedged
Portfolio Global Equity Portfolio
--------------------- ----------------------
Period
Six Months April 9, Six Months Year
Ended 2013(a) to Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013
----------- ---------- ----------- --------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).............................. $ 1,473 $ 1,160 $ 683 $ 1,317
Capital Gain Distributions Received from Affiliated
Investment Companies..................................... -- -- 342 115
Net Realized Gain (Loss) on:
Investment Securities Sold*.............................. (104) (30) 1,409 (81)
Futures.................................................. -- -- 341 545
Foreign Currency Transactions............................ -- -- 90 237
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 7,644 11,720 2,158 12,814
Futures.................................................. -- -- (121) 150
Translation of Foreign Currency Denominated Amounts...... -- -- (33) 121
-------- -------- -------- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. 9,013 12,850 4,869 15,218
-------- -------- -------- -------
Distributions From:
Net Investment Income:
Institutional Class Shares............................... (1,487) (1,171) (1,858) (330)
Net Short-Term Gains:
Institutional Class Shares............................... (64) -- (281) (43)
Net Long-Term Gains:
Institutional Class Shares............................... -- -- (539) (56)
-------- -------- -------- -------
Total Distributions..................................... (1,551) (1,171) (2,678) (429)
-------- -------- -------- -------
Capital Share Transactions (1):
Shares Issued............................................. 90,848 125,005 33,064 43,832
Shares Issued in Lieu of Cash Distributions............... 1,548 1,169 2,678 429
Shares Redeemed........................................... (14,928) (8,133) (18,921) (2,652)
-------- -------- -------- -------
Net Increase (Decrease) from Capital Share
Transactions........................................... 77,468 118,041 16,821 41,609
-------- -------- -------- -------
Total Increase (Decrease) in Net Assets................. 84,930 129,720 19,012 56,398
Net Assets
Beginning of Period....................................... 129,720 -- 91,348 34,950
-------- -------- -------- -------
End of Period............................................. $214,650 $129,720 $110,360 $91,348
======== ======== ======== =======
(1) Shares Issued and Redeemed:
Shares Issued............................................. 8,523 12,721 2,427 3,666
Shares Issued in Lieu of Cash Distributions............... 146 117 205 39
Shares Redeemed........................................... (1,395) (790) (1,397) (217)
-------- -------- -------- -------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 7,274 12,048 1,235 3,488
======== ======== ======== =======
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... $ (15) $ (1) $ 215 $ 1,390
Emerging Markets
Portfolio
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2014 2013
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).............................. $ 24,710 $ 61,645
Capital Gain Distributions Received from Affiliated
Investment Companies..................................... -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*.............................. (19,190) 22,235
Futures.................................................. -- --
Foreign Currency Transactions............................ (53) (124)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... (77,616) 143,306
Futures.................................................. -- --
Translation of Foreign Currency Denominated Amounts...... 28 (6)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. (72,121) 227,056
---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares............................... (21,495) (59,866)
Net Short-Term Gains:
Institutional Class Shares............................... -- --
Net Long-Term Gains:
Institutional Class Shares............................... (21,358) (30,527)
---------- ----------
Total Distributions..................................... (42,853) (90,393)
---------- ----------
Capital Share Transactions (1):
Shares Issued............................................. 630,227 1,304,374
Shares Issued in Lieu of Cash Distributions............... 40,365 84,860
Shares Redeemed........................................... (333,914) (667,334)
---------- ----------
Net Increase (Decrease) from Capital Share
Transactions........................................... 336,678 721,900
---------- ----------
Total Increase (Decrease) in Net Assets................. 221,704 858,563
Net Assets
Beginning of Period....................................... 3,655,740 2,797,177
---------- ----------
End of Period............................................. $3,877,444 $3,655,740
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued............................................. 24,959 50,466
Shares Issued in Lieu of Cash Distributions............... 1,580 3,233
Shares Redeemed........................................... (13,207) (25,465)
---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 13,332 28,234
========== ==========
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... $ 10,070 $ 6,864
----------
Seepage 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
96
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Emerging Markets Small Emerging Markets Value
Cap Portfolio Portfolio
---------------------- ------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013
----------- ---------- ----------- -----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................... $ 29,035 $ 69,684 $ 137,479 $ 342,372
Net Realized Gain (Loss) on:
Investment Securities Sold*.......................... 43,554 64,325 (354,332) 296,735
Futures.............................................. -- 452 -- --
Foreign Currency Transactions........................ (82) (1,227) (2,053) (2,807)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........... 9,405 146,169 (440,131) 717,140
Futures.............................................. (4) 4 -- --
Translation of Foreign Currency Denominated
Amounts............................................. 94 (42) 100 7
---------- ---------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations.................................... 82,002 279,365 (658,937) 1,353,447
---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares...................................... -- -- (833) (1,837)
Institutional Class Shares........................... (36,498) (67,721) (164,213) (355,664)
Net Short-Term Gains:
Class R2 Shares...................................... -- -- (62) --
Institutional Class Shares........................... -- (3,428) (11,122) --
Net Long-Term Gains:
Class R2 Shares...................................... -- -- (1,472) (2,090)
Institutional Class Shares........................... (63,095) (92,100) (262,348) (342,441)
---------- ---------- ----------- -----------
Total Distributions................................. (99,593) (163,249) (440,050) (702,032)
---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued......................................... 442,550 1,458,450 1,914,815 4,240,153
Shares Issued in Lieu of Cash Distributions........... 92,750 142,712 419,285 656,583
Shares Redeemed....................................... (241,422) (583,088) (1,630,414) (2,967,974)
---------- ---------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions....................................... 293,878 1,018,074 703,686 1,928,762
---------- ---------- ----------- -----------
Total Increase (Decrease) in Net Assets............. 276,287 1,134,190 (395,301) 2,580,177
Net Assets
Beginning of Period................................... 4,041,863 2,907,673 19,268,907 16,688,730
---------- ---------- ----------- -----------
End of Period......................................... $4,318,150 $4,041,863 $18,873,606 $19,268,907
========== ========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued......................................... 21,892 69,669 70,732 148,957
Shares Issued in Lieu of Cash Distributions........... 4,651 6,956 15,454 22,991
Shares Redeemed....................................... (12,083) (28,076) (60,445) (105,179)
---------- ---------- ----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed........................................... 14,460 48,549 25,741 66,769
========== ========== =========== ===========
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income).................... $ 877 $ 8,340 $ (12,750) $ 14,739
Emerging Markets Core
Equity Portfolio
------------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2014 2013
----------- -----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................... $ 88,556 $ 211,992
Net Realized Gain (Loss) on:
Investment Securities Sold*.......................... (64,782) (9,977)
Futures.............................................. -- --
Foreign Currency Transactions........................ (735) (2,207)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........... (139,793) 581,086
Futures.............................................. -- --
Translation of Foreign Currency Denominated
Amounts............................................. 54 (79)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations.................................... (116,700) 780,815
----------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares...................................... -- --
Institutional Class Shares........................... (81,635) (205,400)
Net Short-Term Gains:
Class R2 Shares...................................... -- --
Institutional Class Shares........................... -- --
Net Long-Term Gains:
Class R2 Shares...................................... -- --
Institutional Class Shares........................... -- --
----------- -----------
Total Distributions................................. (81,635) (205,400)
----------- -----------
Capital Share Transactions (1):
Shares Issued......................................... 2,631,076 5,406,041
Shares Issued in Lieu of Cash Distributions........... 74,799 187,871
Shares Redeemed....................................... (1,267,214) (1,743,072)
----------- -----------
Net Increase (Decrease) from Capital Share
Transactions....................................... 1,438,661 3,850,840
----------- -----------
Total Increase (Decrease) in Net Assets............. 1,240,326 4,426,255
Net Assets
Beginning of Period................................... 13,020,962 8,594,707
----------- -----------
End of Period......................................... $14,261,288 $13,020,962
=========== ===========
(1) Shares Issued and Redeemed:
Shares Issued......................................... 138,032 276,461
Shares Issued in Lieu of Cash Distributions........... 3,886 9,689
Shares Redeemed....................................... (66,650) (90,412)
----------- -----------
Net Increase (Decrease) from Shares Issued and
Redeemed........................................... 75,268 195,738
=========== ===========
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income).................... $ 38,276 $ 31,355
----------
* Net of foreign capital gain taxes withheld of $0, $1, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
97
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio
--------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period........................ $ 11.70 $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 6.47
-------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.04 0.07 0.07 0.07 0.07 0.05
Net Gains (Losses) on Securities (Realized and Unrealized). 0.94 2.42 1.20 0.56 1.05 0.61
-------- -------- -------- -------- -------- --------
Total from Investment Operations......................... 0.98 2.49 1.27 0.63 1.12 0.66
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.04) (0.08) (0.13) (0.01) (0.07) (0.59)
Net Realized Gains......................................... -- -- -- -- -- (0.06)
-------- -------- -------- -------- -------- --------
Total Distributions...................................... (0.04) (0.08) (0.13) (0.01) (0.07) (0.65)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 12.64 $ 11.70 $ 9.29 $ 8.15 $ 7.53 $ 6.48
=========================================================== =========== ======== ======== ======== ======== ========
Total Return................................................ 8.35%(D) 26.99% 15.84% 8.41% 17.40% 12.23%
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $199,110 $212,840 $190,011 $171,128 $157,730 $165,231
Ratio of Expenses to Average Net Assets..................... 0.23%(E) 0.24% 0.25% 0.26% 0.26% 0.29%**
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumption of Expenses and/or Recovery of Previously
Waived Fees and Fees Paid Indirectly)...................... 0.23%(E) 0.24% 0.25% 0.26% 0.26% 0.29%**
Ratio of Net Investment Income to Average Net Assets........ 0.60%(E) 0.63% 0.80% 0.86% 0.98% 0.86%
Portfolio Turnover Rate..................................... 86%(D) 139% 76% 140% 78% 46%*
-------------------------------------------------------------------------------------------------------------------------------
U.S. Large Cap Equity
Portfolio
-----------------------
Period
Six Months June 25,
Ended 2013(a) to
April 30, Oct. 31,
2014 2013
-------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period........................ $ 11.07 $ 10.00
-------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.10 0.06
Net Gains (Losses) on Securities (Realized and Unrealized). 0.83 1.04
-------- --------
Total from Investment Operations......................... 0.93 1.10
-------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.09) (0.03)
Net Realized Gains......................................... -- --
-------- --------
Total Distributions...................................... (0.09) (0.03)
-------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 11.91 $ 11.07
=========================================================== =========== ==========
Total Return................................................ 8.51%(D) 11.01%(D)
-------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $197,479 $135,407
Ratio of Expenses to Average Net Assets..................... 0.19%(E) 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)...................... 0.21%(E) 0.25%(C)(E)
Ratio of Net Investment Income to Average Net Assets........ 1.77%(E) 1.58%(C)(E)
Portfolio Turnover Rate..................................... 0%(D) 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.
98
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Cap Value Portfolio
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010
------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period........................ $ 29.72 $ 22.34 $ 19.29 $ 18.58 $ 15.81
----------- ----------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.26 0.47 0.41 0.33 0.33
Net Gains (Losses) on Securities (Realized and Unrealized). 2.51 7.38 3.04 0.70 2.76
----------- ----------- ---------- ---------- ----------
Total from Investment Operations......................... 2.77 7.85 3.45 1.03 3.09
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.26) (0.47) (0.40) (0.32) (0.32)
Net Realized Gains......................................... -- -- -- -- --
----------- ----------- ---------- ---------- ----------
Total Distributions...................................... (0.26) (0.47) (0.40) (0.32) (0.32)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 32.23 $ 29.72 $ 22.34 $ 19.29 $ 18.58
=========================================================== =========== =========== ========== ========== ==========
Total Return................................................ 9.35%(D) 35.52% 18.14% 5.53% 19.72%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $13,617,947 $11,963,072 $8,334,585 $7,340,344 $6,921,036
Ratio of Expenses to Average Net Assets (B)................. 0.27%(E) 0.27% 0.27% 0.28% 0.28%
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumptions of Expenses and/or Recovery of Previously
Waived Fees and Fees Paid Indirectly) (B).................. 0.27%(E) 0.27% 0.27% 0.28% 0.28%
Ratio of Net Investment Income to Average Net Assets........ 1.66%(E) 1.82% 1.99% 1.63% 1.86%
------------------------------------------------------------------------------------------------------------------------------
-----------
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 (B)................. 0.30%
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumptions of Expenses and/or Recovery of Previously
Waived Fees and Fees Paid Indirectly) (B).................. 0.30%
Ratio of Net Investment Income to Average Net Assets........ 2.26%
------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
99
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R1 Shares+
---------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 22.63 $17.28 $ 15.32 $ 14.75 $ 11.73 $ 10.92
------- ------ ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.08 0.27 0.15 0.10 0.07 0.12
Net Gains (Losses) on Securities (Realized and Unrealized). 1.52 6.28 2.06 0.60 3.07 0.87
------- ------ ------- ------- ------- -------
Total from Investment Operations.......................... 1.60 6.55 2.21 0.70 3.14 0.99
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.06) (0.22) (0.13) (0.10) (0.12) (0.18)
Net Realized Gains......................................... (1.32) (0.98) (0.12) (0.03) -- --
------- ------ ------- ------- ------- -------
Total Distributions....................................... (1.38) (1.20) (0.25) (0.13) (0.12) (0.18)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 22.85 $22.63 $ 17.28 $ 15.32 $ 14.75 $ 11.73
============================================================= =========== ======== ======== ======== ======== ========
Total Return................................................. 7.45%(D) 40.39% 14.67% 4.69% 26.93% 9.36%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $12,061 $9,470 $49,423 $45,132 $41,316 $31,393
Ratio of Expenses to Average Net Assets...................... 0.47%(E) 0.47% 0.48% 0.48% 0.49% 0.52%
Ratio of Net Investment Income to Average Net Assets......... 0.74%(E) 1.42% 0.93% 0.61% 0.59% 1.12%
Portfolio Turnover Rate...................................... 5%(D) 16% 20% 23% 20% 17%
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
100
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R2 Shares+
---------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 22.57 $ 17.26 $ 15.31 $ 14.76 $11.74 $10.91
------- ------- ------- ------- ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.06 0.19 0.13 0.07 0.05 0.10
Net Gains (Losses) on Securities (Realized and Unrealized). 1.52 6.31 2.05 0.60 3.07 0.88
------- ------- ------- ------- ------ ------
Total from Investment Operations.......................... 1.58 6.50 2.18 0.67 3.12 0.98
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.05) (0.21) (0.11) (0.09) (0.10) (0.15)
Net Realized Gains......................................... (1.32) (0.98) (0.12) (0.03) -- --
------- ------- ------- ------- ------ ------
Total Distributions....................................... (1.37) (1.19) (0.23) (0.12) (0.10) (0.15)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 22.78 $ 22.57 $ 17.26 $ 15.31 $14.76 $11.74
============================================================= =========== ======== ======== ======== ======== ========
Total Return................................................. 7.35%(D) 40.10% 14.46% 4.50% 26.66% 9.23%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $77,227 $23,305 $12,754 $10,918 $5,967 $2,930
Ratio of Expenses to Average Net Assets...................... 0.62%(E) 0.62% 0.63% 0.63% 0.64% 0.67%
Ratio of Net Investment Income to Average Net Assets......... 0.54%(E) 0.95% 0.78% 0.42% 0.44% 0.91%
Portfolio Turnover Rate...................................... 5%(D) 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.
101
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Institutional Class Shares
-------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
-----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............. $ 22.60 $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 10.84
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.10 0.24 0.17 0.12 0.09 0.12
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 1.52 6.31 2.06 0.59 3.06 0.88
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations............... 1.62 6.55 2.23 0.71 3.15 1.00
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.07) (0.25) (0.15) (0.12) (0.09) (0.14)
Net Realized Gains............................... (1.32) (0.98) (0.12) (0.03) -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................ (1.39) (1.23) (0.27) (0.15) (0.09) (0.14)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 22.83 $ 22.60 $ 17.28 $ 15.32 $ 14.76 $ 11.70
================================================= =========== ========== ========== ========== ========== ==========
Total Return...................................... 7.55%(D) 40.40% 14.78% 4.76% 27.02% 9.47%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $4,879,317 $4,180,974 $2,989,632 $2,487,929 $2,223,982 $1,449,437
Ratio of Expenses to Average Net Assets........... 0.37%(E) 0.37% 0.38% 0.38% 0.38% 0.41%
Ratio of Net Investment Income to Average Net
Assets........................................... 0.85%(E) 1.25% 1.03% 0.71% 0.69% 1.19%
Portfolio Turnover Rate........................... 5%(D) 16% 20% 23% 20% 17%
-----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
102
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Small Cap Value Portfolio
---------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010
------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 34.48 $ 26.57 $ 23.50 $ 22.49 $ 17.69
----------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.11 0.39 0.20 0.16 0.09
Net Gains (Losses) on Securities (Realized and Unrealized). 2.27 9.41 3.38 1.00 4.79
----------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 2.38 9.80 3.58 1.16 4.88
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.11) (0.37) (0.18) (0.15) (0.08)
Net Realized Gains......................................... (1.60) (1.52) (0.33) -- --
----------- ---------- ---------- ---------- ----------
Total Distributions....................................... (1.71) (1.89) (0.51) (0.15) (0.08)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 35.15 $ 34.48 $ 26.57 $ 23.50 $ 22.49
============================================================= =========== ========== ========== ========== ==========
Total Return................................................. 7.14%(D) 39.35% 15.60% 5.13% 27.69%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $10,912,856 $9,526,981 $7,088,470 $6,540,863 $6,555,277
Ratio of Expenses to Average Net Assets...................... 0.52%(E) 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to Average Net Assets......... 0.62%(E) 1.28% 0.78% 0.62% 0.43%
Portfolio Turnover Rate...................................... 4%(D) 14% 15% 14% 19%
------------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Oct. 31,
2009
---------------------------------------------------------------------------
Net Asset Value, Beginning of Period......................... $ 16.32
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.04
Net Gains (Losses) on Securities (Realized and Unrealized). 1.54
----------
Total from Investment Operations.......................... 1.58
---------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.21)
Net Realized Gains......................................... --
----------
Total Distributions....................................... (0.21)
---------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 17.69
============================================================= ==========
Total Return................................................. 9.97%
---------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $5,669,659
Ratio of Expenses to Average Net Assets...................... 0.54%++
Ratio of Net Investment Income to Average Net Assets......... 0.27%
Portfolio Turnover Rate...................................... 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.
103
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Core Equity 1 Portfolio
------------------------------------------------------------------------- ---------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2014 2013 2012 2011 2010 2009 2014
---------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of Period. $ 15.74 $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 15.62
---------- ---------- ---------- ---------- ---------- ---------- -----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.13 0.25 0.21 0.17 0.15 0.15 0.13
Net Gains (Losses) on Securities
(Realized and Unrealized).......... 1.11 3.62 1.32 0.59 1.61 0.73 1.09
---------- ---------- ---------- ---------- ---------- ---------- -----------
Total from Investment
Operations....................... 1.24 3.87 1.53 0.76 1.76 0.88 1.22
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.12) (0.24) (0.20) (0.16) (0.12) (0.15) (0.11)
Net Realized Gains.................. (0.07) -- -- -- -- -- (0.16)
---------- ---------- ---------- ---------- ---------- ---------- -----------
Total Distributions............... (0.19) (0.24) (0.20) (0.16) (0.12) (0.15) (0.27)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 16.79 $ 15.74 $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 16.57
===================================== =========== ========== ========== ========== ========== ========== ===========
Total Return......................... 7.97%(D) 32.32% 14.29% 7.47% 20.80% 11.64% 7.93%(D)
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $9,088,173 $7,566,179 $4,876,973 $3,731,411 $2,897,409 $1,989,583 $11,493,784
Ratio of Expenses to Average Net
Assets.............................. 0.19%(E) 0.19% 0.19% 0.20% 0.20% 0.22% 0.21%(E)
Ratio of Net Investment Income to
Average Net Assets.................. 1.60%(E) 1.79% 1.79% 1.49% 1.53% 2.02% 1.56%(E)
Portfolio Turnover Rate.............. 1%(D) 1% 3% 5% 4% 7% 1%(D)
---------------------------------------------------------------------------------------------------------------------------------
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 Period. $ 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 Period....... $ 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 Period
(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.
104
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Vector Equity Portfolio
--------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period........................ $ 15.62 $ 11.61 $ 10.28 $ 9.82 $ 8.03
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.10 0.20 0.16 0.12 0.10
Net Gains (Losses) on Securities (Realized and Unrealized). 1.03 4.03 1.32 0.46 1.79
---------- ---------- ---------- ---------- ----------
Total from Investment Operations......................... 1.13 4.23 1.48 0.58 1.89
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.09) (0.20) (0.15) (0.12) (0.10)
Net Realized Gains......................................... (0.22) (0.02) -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions...................................... (0.31) (0.22) (0.15) (0.12) (0.10)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 16.44 $ 15.62 $ 11.61 $ 10.28 $ 9.82
=========================================================== =========== ========== ========== ========== ==========
Total Return................................................ 7.31%(D) 36.80% 14.55% 5.86% 23.65%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $3,201,393 $2,893,842 $2,009,177 $1,851,895 $1,558,423
Ratio of Expenses to Average Net Assets..................... 0.32%(E) 0.32% 0.32% 0.33% 0.33%
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumptions of Expenses and/or Recovery of Previously
Waived Fees)............................................... 0.32%(E) 0.32% 0.32% 0.33% 0.33%
Ratio of Net Investment Income to Average Net Assets........ 1.25%(E) 1.50% 1.45% 1.11% 1.13%
Portfolio Turnover Rate..................................... 2%(D) 3% 9% 10% 11%
----------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Oct. 31,
2009
------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................ $ 7.48
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.11
Net Gains (Losses) on Securities (Realized and Unrealized). 0.57
----------
Total from Investment Operations......................... 0.68
------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.13)
Net Realized Gains......................................... --
----------
Total Distributions...................................... (0.13)
------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 8.03
=========================================================== ==========
Total Return................................................ 9.47%
------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $1,178,114
Ratio of Expenses to Average Net Assets..................... 0.35%
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumptions of Expenses and/or Recovery of Previously
Waived Fees)............................................... 0.35%
Ratio of Net Investment Income to Average Net Assets........ 1.60%
Portfolio Turnover Rate..................................... 11%
------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
105
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Small Cap Portfolio
------------------------------------------------------------------------- --------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2014 2013 2012 2011 2010 2009 2014
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period........................... $ 30.03 $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 19.64
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A). 0.13 0.35 0.25 0.18 0.13 0.06 0.07
Net Gains (Losses) on Securities
(Realized and Unrealized)....... 1.20 8.13 2.53 1.49 4.17 1.65 0.78
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... 1.33 8.48 2.78 1.67 4.30 1.71 0.85
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............ (0.11) (0.36) (0.22) (0.18) (0.13) (0.17) (0.06)
Net Realized Gains............... (0.94) (1.20) -- -- -- -- (0.90)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............ (1.05) (1.56) (0.22) (0.18) (0.13) (0.17) (0.96)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 30.31 $ 30.03 $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 19.53
================================== =========== ========== ========== ========== ========== ========== ===========
Total Return...................... 4.54%(D) 39.03% 13.61% 8.76% 28.99% 13.08% 4.46%(D)
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $8,391,412 $7,446,827 $4,563,345 $3,770,323 $3,391,457 $2,522,001 $4,803,585
Ratio of Expenses to Average Net
Assets........................... 0.37%(E) 0.37% 0.37% 0.37% 0.37% 0.40%** 0.52%(E)
Ratio of Net Investment Income to
Average Net Assets............... 0.88%(E) 1.33% 1.14% 0.84% 0.76% 0.50% 0.69%(E)
Portfolio Turnover Rate........... 4%(D) 10% 16% 23% 19% 17%* 6%(D)
-------------------------------------------------------------------------------------------------------------------------------
U.S. Micro 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
Period........................... $ 14.84 $ 13.24 $ 12.25 $ 9.57 $ 9.19
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A). 0.19 0.14 0.09 0.06 0.03
Net Gains (Losses) on Securities
(Realized and Unrealized)....... 5.57 1.59 0.99 2.68 0.54
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... 5.76 1.73 1.08 2.74 0.57
------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............ (0.20) (0.13) (0.09) (0.06) (0.19)
Net Realized Gains............... (0.76) -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions............ (0.96) (0.13) (0.09) (0.06) (0.19)
------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 19.64 $ 14.84 $ 13.24 $ 12.25 $ 9.57
================================== ========== ========== ========== ========== ==========
Total Return...................... 41.34% 13.13% 8.85% 28.77% 6.61%
------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $4,695,831 $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% 0.52% 0.54%**
Ratio of Net Investment Income to
Average Net Assets............... 1.16% 0.99% 0.69% 0.58% 0.38%
Portfolio Turnover Rate........... 11% 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.
106
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Real Estate Securities Portfolio
------------------------------------------------------------------------- --------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2014 2013 2012 2011 2010 2009 2014
-------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period............................. $ 27.77 $ 25.83 $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 22.20
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).. 0.54 0.67 0.57 0.40 0.58 0.58 0.44
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 1.74 1.95 2.74 1.93 5.92 (0.62) 0.65
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... 2.28 2.62 3.31 2.33 6.50 (0.04) 1.09
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.55) (0.68) (0.73) (0.32) (0.55) (0.83) (0.30)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.55) (0.68) (0.73) (0.32) (0.55) (0.83) (0.30)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 29.50 $ 27.77 $ 25.83 $ 23.25 $ 21.24 $ 15.29 $ 22.99
==================================== =========== ========== ========== ========== ========== ========== ===========
Total Return........................ 8.49%(D) 10.28% 14.45% 11.09% 43.21% 0.98% 4.97%(D)
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $5,544,970 $4,677,418 $3,716,389 $3,098,647 $2,689,552 $2,018,559 $3,047,190
Ratio of Expenses to Average Net
Assets............................. 0.18%(E) 0.18% 0.22% 0.32% 0.33% 0.36% 0.28%(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).......... 0.19%(E) 0.19% 0.23% 0.32% 0.33% 0.36% 0.28%(E)
Ratio of Net Investment Income to
Average Net Assets................. 3.96%(E) 2.42% 2.29% 1.76% 3.13% 4.54% 4.00%(E)
Portfolio Turnover Rate............. 0%(D) 1% 0% 3% 2% 2% 3%(D)
-------------------------------------------------------------------------------------------------------------------------------
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
Period............................. $ 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 Period...... $ 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 Period
(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.
107
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Core Equity Portfolio
----------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010
------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period........................ $ 12.57 $ 10.10 $ 9.89 $ 10.78 $ 9.79
----------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.22 0.31 0.31 0.33 0.23
Net Gains (Losses) on Securities (Realized and Unrealized). 0.52 2.47 0.20 (0.89) 0.96
----------- ---------- ---------- ---------- ----------
Total from Investment Operations......................... 0.74 2.78 0.51 (0.56) 1.19
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.14) (0.31) (0.30) (0.33) (0.20)
----------- ---------- ---------- ---------- ----------
Total Distributions...................................... (0.14) (0.31) (0.30) (0.33) (0.20)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 13.17 $ 12.57 $ 10.10 $ 9.89 $ 10.78
=========================================================== =========== ========== ========== ========== ==========
Total Return................................................ 5.97%(D) 27.98% 5.49% (5.49)% 12.48%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $11,462,175 $9,508,466 $6,482,738 $5,395,884 $4,866,989
Ratio of Expenses to Average Net Assets..................... 0.38%(E) 0.39% 0.40% 0.40% 0.40%
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumption of Expenses and/or Recovery of Previously
Waived Fees and Fees Paid Indirectly)...................... 0.38%(E) 0.39% 0.40% 0.40% 0.40%
Ratio of Net Investment Income to Average Net Assets........ 3.47%(E) 2.80% 3.18% 2.96% 2.31%
Portfolio Turnover Rate..................................... 4%(D) 3% 5% 3% 2%
------------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Oct. 31,
2009
------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................ $ 7.46
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.23
Net Gains (Losses) on Securities (Realized and Unrealized). 2.32
----------
Total from Investment Operations......................... 2.55
------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.22)
----------
Total Distributions...................................... (0.22)
------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 9.79
=========================================================== ==========
Total Return................................................ 34.81%
------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $3,699,842
Ratio of Expenses to Average Net Assets..................... 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)...................... 0.41%
Ratio of Net Investment Income to Average Net Assets........ 2.84%
Portfolio Turnover Rate..................................... 5%
------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
108
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Small Company Portfolio
-------------------------------------------------------------------------- --------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2014 2013 2012 2011 2010 2009 2014
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period............................. $ 19.40 $ 15.28 $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 19.33
---------- ---------- ---------- ---------- ---------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).. 0.20 0.42 0.38 0.40 0.28 0.28 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 1.20 4.16 0.39 (0.83) 2.13 3.91 (0.64)
---------- ---------- ---------- ---------- ---------- ---------- --------
Total from Investment
Operations...................... 1.40 4.58 0.77 (0.43) 2.41 4.19 (0.49)
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.23) (0.37) (0.42) (0.50) (0.26) (0.27) (0.55)
Net Realized Gains................ (0.54) (0.09) (0.28) -- -- -- --
---------- ---------- ---------- ---------- ---------- ---------- --------
Total Distributions.............. (0.77) (0.46) (0.70) (0.50) (0.26) (0.27) (0.55)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 20.03 $ 19.40 $ 15.28 $ 15.21 $ 16.14 $ 13.99 $ 18.29
=================================== =========== ========== ========== ========== ========== ========== ===========
Total Return........................ 7.61%(D) 30.66% 5.63% (2.92)% 17.61% 42.34% (2.58)%(D)
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $9,220,830 $8,520,717 $6,423,160 $5,834,015 $5,511,594 $4,269,864 $379,944
Ratio of Expenses to Average Net
Assets (B)......................... 0.53%(E) 0.54% 0.56% 0.55% 0.56% 0.57% 0.55%(E)
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumptions of Expenses and/or
Recovery of Previously Waived
Fees) (B).......................... 0.53%(E) 0.54% 0.56% 0.55% 0.56% 0.57% 0.55%(E)
Ratio of Net Investment Income to
Average Net Assets................. 2.04%(E) 2.47% 2.58% 2.37% 1.94% 2.48% 1.63%(E)
--------------------------------------------------------------------------------------------------------------------------------
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
Period............................. $ 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 Period...... $ 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 Period
(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.
109
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Asia Pacific Small Company Portfolio
----------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period................. $ 24.82 $ 23.22 $ 23.04 $ 25.64 $ 20.59 $ 11.67
-------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... 0.34 1.01 0.87 0.85 0.69 0.50
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... (0.41) 1.37 0.58 (2.16) 4.99 8.95
-------- -------- -------- -------- --------
Total from Investment Operations.................. (0.07) 2.38 1.45 (1.31) 5.68 9.45
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................. (0.96) (0.78) (1.27) (1.29) (0.63) (0.53)
Net Realized Gains................................. -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions............................... (0.96) (0.78) (1.27) (1.29) (0.63) (0.53)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....................... $ 23.79 $ 24.82 $ 23.22 $ 23.04 $ 25.64 $ 20.59
===================================================== =========== ======== ======== ======== ======== ========
Total Return......................................... (0.01)%(D) 10.46% 7.09% (5.59)% 28.36% 84.11%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $396,973 $331,166 $238,191 $139,262 $131,511 $101,853
Ratio of Expenses to Average Net Assets (B).......... 0.55%(E) 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)............. 0.55%(E) 0.57% 0.59% 0.60% 0.61% 0.65%
Ratio of Net Investment Income to Average Net Assets. 2.93%(E) 4.26% 3.91% 3.34% 3.14% 3.53%
------------------------------------------------------------------------------------------------------------------------
United Kingdom Small Company Portfolio
----------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
-----------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period................. $ 36.96 $ 27.81 $ 23.44 $ 24.24 $ 19.83 $ 14.27
------- ------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... 0.45 0.88 0.69 0.82 0.50 0.55
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 2.90 9.17 4.47 (0.85) 4.41 5.44
------- ------- ------- ------- ------- -------
Total from Investment Operations.................. 3.35 10.05 5.16 (0.03) 4.91 5.99
-----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................. (0.51) (0.90) (0.79) (0.77) (0.50) (0.43)
Net Realized Gains................................. (0.41) -- -- -- -- --
------- ------- ------- ------- ------- -------
Total Distributions............................... (0.92) (0.90) (0.79) (0.77) (0.50) (0.43)
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....................... $ 39.39 $ 36.96 $ 27.81 $ 23.44 $ 24.24 $ 19.83
===================================================== =========== ======== ======== ======== ======== ========
Total Return......................................... 9.27%(D) 36.81% 22.82% (0.28)% 25.37% 42.81%
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $39,154 $37,096 $31,316 $33,869 $33,751 $27,863
Ratio of Expenses to Average Net Assets (B).......... 0.59%(E) 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)............. 0.61%(E) 0.63% 0.63% 0.62% 0.64% 0.70%
Ratio of Net Investment Income to Average Net Assets. 2.36%(E) 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.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Continental Small Company Portfolio
-----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period. $ 20.26 $ 14.51 $ 14.66 $ 16.93 $ 15.02 $ 10.73
-------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.18 0.37 0.39 0.39 0.27 0.28
Net Gains (Losses) on Securities
(Realized and Unrealized).......... 2.78 5.78 (0.17) (2.20) 1.89 4.29
-------- -------- -------- -------- -------- --------
Total from Investment
Operations....................... 2.96 6.15 0.22 (1.81) 2.16 4.57
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.04) (0.40) (0.37) (0.46) (0.25) (0.28)
-------- -------- -------- -------- -------- --------
Total Distributions............... (0.04) (0.40) (0.37) (0.46) (0.25) (0.28)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 23.18 $ 20.26 $ 14.51 $ 14.66 $ 16.93 $ 15.02
===================================== =========== ======== ======== ======== ======== ========
Total Return......................... 14.65%(D) 42.99% 1.85% (11.09)% 14.85% 43.12%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $194,235 $170,806 $106,316 $117,452 $128,106 $110,926
Ratio of Expenses to Average Net
Assets.............................. 0.56%(B)(E) 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)........... 0.56%(B)(E) 0.58%(B) 0.59%(B) 0.58%(B) 0.59%(B) 0.61%(B)
Ratio of Net Investment Income to
Average Net Assets.................. 1.68%(E) 2.16% 2.78% 2.25% 1.78% 2.39%
Portfolio Turnover Rate.............. N/A N/A N/A N/A N/A N/A
------------------------------------------------------------------------------------------------------------------------
DFA International Real Estate Securities Portfolio
----------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period. $ 5.48 $ 5.67 $ 4.90 $ 5.58 $ 5.24 $ 4.18
---------- ---------- ---------- ---------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.09 0.22 0.27 0.30 0.31 0.26
Net Gains (Losses) on Securities
(Realized and Unrealized).......... 0.12 0.25 0.75 (0.33) 0.58 0.91
---------- ---------- ---------- ---------- -------- --------
Total from Investment
Operations....................... 0.21 0.47 1.02 (0.03) 0.89 1.17
-------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.26) (0.66) (0.25) (0.65) (0.55) (0.11)
---------- ---------- ---------- ---------- -------- --------
Total Distributions............... (0.26) (0.66) (0.25) (0.65) (0.55) (0.11)
-------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 5.43 $ 5.48 $ 5.67 $ 4.90 $ 5.58 $ 5.24
===================================== =========== ========== ========== ========== ======== ========
Total Return......................... 4.37%(D) 9.24% 22.34% (0.43)% 18.96% 29.25%
-------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $2,572,390 $2,158,977 $1,531,708 $1,060,156 $958,554 $742,329
Ratio of Expenses to Average Net
Assets.............................. 0.38%(E) 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)........... 0.38%(E) 0.39% 0.41% 0.42% 0.41% 0.43%
Ratio of Net Investment Income to
Average Net Assets.................. 3.68%(E) 4.07% 5.45% 5.73% 6.42% 6.40%
Portfolio Turnover Rate.............. 1%(D) 5% 3% 7% 6% 5%
-------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Global Real Estate Securities Portfolio
----------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
-----------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 9.59 $ 9.33 $ 8.21 $ 8.28 $ 6.75 $ 6.04
---------- ---------- ---------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................... 0.27 0.49 0.29 0.41 0.40 0.19
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 0.33 0.37 1.07 0.06 1.60 0.62
---------- ---------- ---------- -------- --------
Total from Investment
Operations................. 0.60 0.86 1.36 0.47 2.00 0.81
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.32) (0.60) (0.24) (0.54) (0.47) (0.10)
Net Realized Gains............ -- -- -- -- -- --
---------- ---------- ---------- -------- -------- --------
Total Distributions......... (0.32) (0.60) (0.24) (0.54) (0.47) (0.10)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 9.87 $ 9.59 $ 9.33 $ 8.21 $ 8.28 $ 6.75
=============================== =========== ========== ========== ======== ======== ========
Total Return................... 6.76%(D) 9.74% 17.33% 6.17% 31.38% 13.81%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $2,557,817 $2,082,707 $1,315,547 $869,348 $695,461 $432,502
Ratio of Expenses to Average
Net Assets.................... 0.32%(B)(E) 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)(E) 0.55%(B) 0.60%(B) 0.73%(B) 0.73%(B) 0.79%(B)
Ratio of Net Investment Income
to Average Net Assets......... 5.98%(E) 5.18% 3.38% 5.01% 5.59% 3.40%
Portfolio Turnover Rate........ N/A N/A N/A N/A N/A N/A
-----------------------------------------------------------------------------------------------------------------------
DFA International Small Cap Value Portfolio
----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of
Period........................ $ 20.17 $ 15.16 $ 14.85 $ 16.16 $ 14.92 $ 10.82
----------- ----------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................... 0.18 0.37 0.34 0.34 0.24 0.26
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 1.65 5.21 0.61 (0.98) 1.22 4.14
----------- ----------- ---------- ---------- ---------- ----------
Total from Investment
Operations................. 1.83 5.58 0.95 (0.64) 1.46 4.40
-------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income......... (0.20) (0.36) (0.36) (0.38) (0.22) (0.24)
Net Realized Gains............ (0.30) (0.21) (0.28) (0.29) -- (0.06)
----------- ----------- ---------- ---------- ---------- ----------
Total Distributions......... (0.50) (0.57) (0.64) (0.67) (0.22) (0.30)
-------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 21.50 $ 20.17 $ 15.16 $ 14.85 $ 16.16 $ 14.92
=============================== =========== =========== ========== ========== ========== ==========
Total Return................... 9.33%(D) 37.79% 6.92% (4.39)% 10.01% 41.42%
-------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $12,347,592 $11,148,899 $8,266,610 $7,459,144 $7,655,318 $6,859,957
Ratio of Expenses to Average
Net Assets.................... 0.68%(E) 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)................... 0.68%(E) 0.69% 0.71% 0.70% 0.70% 0.71%
Ratio of Net Investment Income
to Average Net Assets......... 1.75%(E) 2.16% 2.30% 2.05% 1.57% 2.19%
Portfolio Turnover Rate........ 4%(D) 9% 18% 16% 18% 22%
-------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Vector Equity Portfolio
------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period............... $ 11.75 $ 9.33 $ 9.34 $ 10.28 $ 9.22 $ 6.74
---------- ---------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).................. 0.17 0.26 0.27 0.29 0.18 0.17
Net Gains (Losses) on Securities (Realized and
Unrealized)...................................... 0.59 2.44 0.14 (0.87) 1.05 2.46
---------- ---------- -------- -------- -------- --------
Total from Investment Operations................ 0.76 2.70 0.41 (0.58) 1.23 2.63
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................. (0.09) (0.25) (0.27) (0.29) (0.17) (0.15)
Net Realized Gains................................ (0.08) (0.03) (0.15) (0.07) -- --
---------- ---------- -------- -------- -------- --------
Total Distributions............................. (0.17) (0.28) (0.42) (0.36) (0.17) (0.15)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 12.34 $ 11.75 $ 9.33 $ 9.34 $ 10.28 $ 9.22
=================================================== =========== ========== ======== ======== ======== ========
Total Return....................................... 6.65%(D) 29.52% 4.90% (5.99)% 13.62% 39.52%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $1,296,449 $1,090,774 $561,399 $410,580 $363,123 $262,544
Ratio of Expenses to Average Net Assets............ 0.50%(E) 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)....................................... 0.50%(E) 0.51% 0.54% 0.54% 0.53% 0.59%
Ratio of Net Investment Income to Average Net
Assets............................................ 2.83%(E) 2.51% 2.94% 2.73% 1.91% 2.31%
Portfolio Turnover Rate............................ 4%(D) 2% 5% 10% 5% 8%
------------------------------------------------------------------------------------------------------------------------
World ex U.S. Value Portfolio
--------------------------------------------------------------
Period
Six Months Year Year Year Aug. 23,
Ended Ended Ended Ended 2010(a) to
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period............... $ 11.93 $ 9.94 $ 9.96 $ 11.35 $ 10.00
-------- -------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).................. 0.25 0.29 0.29 0.30 0.02
Net Gains (Losses) on Securities (Realized and
Unrealized)...................................... 0.20 2.02 (0.05) (1.35) 1.33
-------- -------- ------- ------- -------
Total from Investment Operations................ 0.45 2.31 0.24 (1.05) 1.35
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................. (0.19) (0.32) (0.26) (0.26) --
Net Realized Gains................................ -- -- -- (0.08) --
-------- -------- ------- ------- -------
Total Distributions............................. (0.19) (0.32) (0.26) (0.34) --
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..................... $ 12.19 $ 11.93 $ 9.94 $ 9.96 $ 11.35
=================================================== =========== ======== ======== ======== ==========
Total Return....................................... 3.85%(D) 23.61% 2.70% (9.59)% 13.50%(D)
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $119,072 $117,587 $57,197 $47,165 $29,616
Ratio of Expenses to Average Net Assets............ 0.60%(B)(E) 0.60%(B) 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)....................................... 0.76%(B)(E) 0.76%(B) 0.84%(B) 0.91%(B) 1.37%(B)(C)(E)
Ratio of Net Investment Income to Average Net
Assets............................................ 4.29%(E) 2.61% 2.97% 2.64% 0.76%(C)(E)
Portfolio Turnover Rate............................ N/A N/A N/A N/A N/A
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
World ex U.S. Targeted World ex U.S. Core Equity
Value Portfolio Portfolio
---------------------- -----------------------
Period Period
Six Months Nov. 1, Six Months April 9,
Ended 2012(a) to Ended 2013(a) to
April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013
--------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of Period........................ $ 12.46 $ 10.00 $ 10.77 $ 10.00
-------- ------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.10 0.20 0.10 0.18
Net Gains (Losses) on Securities (Realized and Unrealized). 0.58 2.46 0.35 0.77
-------- ------- -------- --------
Total from Investment Operations.......................... 0.68 2.66 0.45 0.95
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.13) (0.20) (0.10) (0.18)
Net Realized Gains......................................... (0.15) -- (0.01) --
-------- ------- -------- --------
Total Distributions....................................... (0.28) (0.20) (0.11) (0.18)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 12.86 $ 12.46 $ 11.11 $ 10.77
=========================================================== =========== ========== =========== ==========
Total Return................................................ 5.62%(D) 26.90%(D) 4.20%(D) 9.62%(D)
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $144,157 $96,010 $214,650 $129,720
Ratio of Expenses to Average Net Assets(B).................. 0.70%(E) 0.79%(C)(E) 0.47%(E) 0.47%(C)(E)
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumption of Expenses and/or Recovery of Previously
Waived Fees)(B)............................................ 1.18%(E) 1.27%(C)(E) 0.88%(E) 0.97%(C)(E)
Ratio of Net Investment Income to Average Net Assets........ 1.58%(E) 1.78%(C)(E) 1.81%(E) 3.12%(C)(E)
--------------------------------------------------------------------------------------------------------------------------
Selectively Hedged Global Equity
Portfolio
-------------------------------
Period
Six Months Year Nov. 14,
Ended Ended 2011(a) to
April 30, Oct. 31, Oct. 31,
2014 2013 2012
---------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period........................ $ 13.63 $ 10.87 $ 10.00
-------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.10 0.24 0.22
Net Gains (Losses) on Securities (Realized and Unrealized). 0.63 2.65 0.87
-------- ------- -------
Total from Investment Operations.......................... 0.73 2.89 1.09
---------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.32) (0.10) (0.22)
Net Realized Gains......................................... (0.14) (0.03) --
-------- ------- -------
Total Distributions....................................... (0.46) (0.13) (0.22)
---------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 13.90 $ 13.63 $ 10.87
=========================================================== =========== ======== ==========
Total Return................................................ 5.55%(D) 26.86% 11.11%(D)
---------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $110,360 $91,348 $34,950
Ratio of Expenses to Average Net Assets(B).................. 0.40%(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)............................................ 0.69%(E) 0.72% 1.00%(C)(E)
Ratio of Net Investment Income to Average Net Assets........ 1.53%(E) 1.93% 2.13%(C)(E)
---------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Portfolio
--------------------------------------------------------------------------- --------------
Six Months Year Year Year Year Year Six Months
Ended Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30,
2014 2013 2012 2011 2010 2009 2014
---------------------------------------------------------------------------------------------------------------------------------
(Unaudited) (Unaudited)
Net Asset Value, Beginning of
Period............................. $ 26.97 $ 26.06 $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 21.10
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).. 0.17 0.52 0.55 0.61 0.48 0.42 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized)........ (0.78) 1.17 0.37 (2.53) 6.07 8.42 0.23
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... (0.61) 1.69 0.92 (1.92) 6.55 8.84 0.38
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.16) (0.50) (0.50) (0.53) (0.46) (0.41) (0.19)
Net Realized Gains................ (0.16) (0.28) (1.04) (1.77) (0.42) (0.25) (0.33)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.32) (0.78) (1.54) (2.30) (0.88) (0.66) (0.52)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 26.04 $ 26.97 $ 26.06 $ 26.68 $ 30.90 $ 25.23 $ 20.96
=================================== =========== ========== ========== ========== ========== ========== ===========
Total Return........................ (2.27)%(D) 6.58% 4.08% (6.82)% 26.53% 53.39% 1.89%(D)
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $3,877,444 $3,655,740 $2,797,177 $2,313,035 $2,372,498 $1,966,288 $4,318,150
Ratio of Expenses to Average Net
Assets (B)......................... 0.56%(E) 0.57% 0.61% 0.61% 0.60% 0.62% 0.72%(E)
Ratio of Net Investment Income to
Average Net Assets................. 1.38%(E) 1.97% 2.14% 2.07% 1.76% 2.15% 1.45%(E)
---------------------------------------------------------------------------------------------------------------------------------
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
Period............................. $ 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 Period...... $ 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 Period
(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.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Class R2 Shares+
------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
---------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period......................... $ 29.27 $ 28.21 $ 29.02 $ 36.35 $ 46.84 $ 85.43
------- -------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.17 0.47 0.50 0.20 0.56 0.56
Net Gains (Losses) on Securities (Realized and Unrealized). (1.21) 1.68 (0.45) (5.45) 9.18 21.36
------- -------- ------- ------- ------- -------
Total from Investment Operations.......................... (1.04) 2.15 0.05 (5.25) 9.74 21.92
---------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.23) (0.50) (0.47) (0.45) (7.12) (6.00)
Net Realized Gains......................................... (0.42) (0.59) (0.39) (1.63) (13.11) (54.52)
------- -------- ------- ------- ------- -------
Total Distributions....................................... (0.65) (1.09) (0.86) (2.08) (20.23) (60.52)
---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 27.58 $ 29.27 $ 28.21 $ 29.02 $ 36.35 $ 46.83
============================================================= =========== ======== ======== ======== ======== ========
Total Return................................................. (3.57)%(D) 7.75% 0.43% (15.24)% 29.71% 78.29%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $99,196 $106,070 $99,111 $78,157 $39,668 $ 5,082
Ratio of Expenses to Average Net Assets (B).................. 0.80%(E) 0.82% 0.86% 0.86% 0.86% 0.90%
Ratio of Net Investment Income to Average Net Assets......... 1.25%(E) 1.65% 1.78% 1.56% 1.39% 1.39%
---------------------------------------------------------------------------------------------------------------------------
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.
116
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Institutional Class Shares
--------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.... $ 29.28 $ 28.22 $ 29.02 $ 36.27 $ 28.90 $ 19.36
----------- ----------- ----------- ----------- ----------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.20 0.55 0.57 0.64 0.45 0.38
Net Gains (Losses) on
Securities (Realized and Unrealized). (1.21) 1.67 (0.44) (5.72) 8.01 12.41
----------- ----------- ----------- ----------- ----------- ----------
Total from Investment Operations..... (1.01) 2.22 0.13 (5.08) 8.46 12.79
--------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.25) (0.57) (0.54) (0.54) (0.39) (0.34)
Net Realized Gains..................... (0.42) (0.59) (0.39) (1.63) (0.70) (2.91)
----------- ----------- ----------- ----------- ----------- ----------
Total Distributions.................. (0.67) (1.16) (0.93) (2.17) (1.09) (3.25)
--------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 27.60 $ 29.28 $ 28.22 $ 29.02 $ 36.27 $ 28.90
======================================= =========== =========== =========== =========== =========== ==========
Total Return............................ (3.41)%(D) 8.01% 0.70% (14.84)% 30.04% 78.59%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $18,774,410 $19,162,837 $16,589,619 $13,730,213 $11,542,870 $7,401,266
Ratio of Expenses to Average Net Assets
(B).................................... 0.55%(E) 0.57% 0.61% 0.61% 0.60% 0.62%
Ratio of Net Investment Income to
Average Net Assets..................... 1.52%(E) 1.91% 2.03% 1.88% 1.40% 1.76%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
117
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Core Equity Portfolio
------------------------------------------------------------------
Six Months Year Year Year Year
Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period........................ $ 20.09 $ 19.00 $ 18.73 $ 21.31 $ 16.49
----------- ----------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.13 0.39 0.41 0.43 0.30
Net Gains (Losses) on Securities (Realized and Unrealized). (0.38) 1.07 0.23 (2.65) 4.81
----------- ----------- ---------- ---------- ----------
Total from Investment Operations......................... (0.25) 1.46 0.64 (2.22) 5.11
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.12) (0.37) (0.37) (0.36) (0.29)
----------- ----------- ---------- ---------- ----------
Total Distributions...................................... (0.12) (0.37) (0.37) (0.36) (0.29)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 19.72 $ 20.09 $ 19.00 $ 18.73 $ 21.31
=========================================================== =========== =========== ========== ========== ==========
Total Return................................................ (1.21)%(D) 7.75% 3.55% (10.59)% 31.30%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $14,261,288 $13,020,962 $8,594,707 $5,367,473 $4,179,882
Ratio of Expenses to Average Net Assets..................... 0.61%(E) 0.63% 0.68% 0.67% 0.65%
Ratio of Expenses to Average Net Assets (Excluding Waivers
and Assumption of Expenses and/or Recovery of Previously
Waived Fees and Fees Paid Indirectly)...................... 0.61%(E) 0.63% 0.68% 0.68% 0.65%
Ratio of Net Investment Income to Average Net Assets........ 1.35%(E) 1.97% 2.18% 2.04% 1.63%
Portfolio Turnover Rate..................................... 1%(D) 1% 1% 1% 4%
--------------------------------------------------------------------------------------------------------------------------------
-----------
Year
Ended
Oct. 31,
2009
------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................ $ 9.88
----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.25
Net Gains (Losses) on Securities (Realized and Unrealized). 6.56
----------
Total from Investment Operations......................... 6.81
------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.20)
----------
Total Distributions...................................... (0.20)
------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 16.49
=========================================================== ==========
Total Return................................................ 69.47%
------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $2,455,035
Ratio of Expenses to Average Net Assets..................... 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)...................... 0.67%
Ratio of Net Investment Income to Average Net Assets........ 2.03%
Portfolio Turnover Rate..................................... 6%
------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
118
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of seventy-seven
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 04/30/14
------------ ------------ -----------
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 81%
Japanese Small Company Portfolio The Japanese Small Company Series 17%
Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 28%
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 99%
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 83%
The United Kingdom Small Company Series 98%
The Asia Pacific Small Company Series 72%
The Canadian Small Company Series 98%
DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 28%
DFA International Real Estate Securities Portfolio 40%
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%.
119
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 engage 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.
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 information on listed
securities is taken from the exchange where the security is primarily traded.
Generally,
120
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, the previous
day), 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 and DEM), World
ex U.S. Targeted Value Portfolio (except The Emerging Markets Small Cap Series
and DEM), 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.
121
Targeted Value Portfolio's investments in Series of DFAITC or DEM reflect their
proportionate interest in the net assets of such corresponding Master Fund.
These valuations are classified as Level 1 in the hierarchy.
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 April 30, 2014, Emerging Markets Core Equity Portfolio had significant
transfers of securities with a total value of $1,029,767 (in thousands) that
transferred from Level 2 to Level 1 because fair value procedures were no
longer applied. 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 Fixed Income Portfolio, the International Equity Portfolios
and Selectively Hedged Global Equity Portfolio 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 Fixed Income 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, the Fixed
Income Portfolio and Selectively Hedged Global Equity Portfolio do 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, Fixed Income Portfolio and Selectively Hedged
Global Equity 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
122
selecting a different distribution date). As of April 30, 2014, 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 and International Small
Company Portfolio, including supervision of services provided by others,
providing information to shareholders and the Board, and other administrative
services.
For the six months ended April 30, 2014, 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%
123
U.S. Small Cap Portfolio*.......................... 0.03%
U.S. Micro Cap Portfolio*.......................... 0.10%
DFA Real Estate Securities Portfolio............... 0.17%
Large Cap International Portfolio.................. 0.25%
International Core Equity Portfolio................ 0.35%
DFA International Real Estate Securities Portfolio. 0.35%
DFA Global Real Estate Securities Portfolio........ 0.27%
DFA International Small Cap Value Portfolio........ 0.65%
International Vector Equity Portfolio.............. 0.45%
World ex U.S. Value Portfolio...................... 0.47%
World ex U.S. Targeted Value Portfolio............. 0.58%
World ex U.S. Core Equity Portfolio................ 0.40%
Selectively Hedged Global Equity Portfolio......... 0.30%
Emerging Markets Core Equity Portfolio............. 0.55%
For the six months ended April 30, 2014, the Feeder Funds' and the Enhanced
U.S. Large Company Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap
Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio's
administrative services fees were accrued daily and paid monthly to the Advisor
based on the following effective annual rates of average daily net assets:
Enhanced U.S. Large Company Portfolio*. 0.15%
U.S. Large Cap Value Portfolio......... 0.15%
U.S. Targeted Value Portfolio*......... 0.25%
U.S. Small Cap Value Portfolio*........ 0.30%
U.S. Small Cap Portfolio*.............. 0.32%
U.S. Micro Cap Portfolio*.............. 0.40%
International Small Company Portfolio.. 0.40%
Japanese Small Company Portfolio....... 0.40%
Asia Pacific Small Company Portfolio... 0.40%
United Kingdom Small Company Portfolio. 0.40%
Continental Small Company Portfolio.... 0.40%
Emerging Markets Portfolio............. 0.40%
Emerging Markets Small Cap Portfolio... 0.45%
Emerging Markets Value Portfolio....... 0.40%
* Effective 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 invested 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 advisory 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. Further, prior
to February 28, 2014, the Portfolios and the U.S. Targeted Value Portfolio
each were provided administrative services under an administrative agreement.
Effective February 28, 2014, the administrative agreement and investment
advisory agreement for each of these Portfolios were combined into an
investment management agreement that provides for an investment management
fee, equal to each Portfolio's previous investment advisory services fee and
administrative services fee, payable to the Advisor for both investment
advisory services and administrative services.
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, 2015, and may only be terminated by the Fund's Board of
Directors prior to that date. The Fee Waiver Agreement shall continue in effect
from year to year thereafter unless terminated by the Fund or the Advisor. For
the six months ended April 30, 2014, 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).
124
The Fund, on behalf of the Portfolios, is not obligated to reimburse the
Advisor for fees previously waived or expenses previously assumed by the
Advisor more than thirty-six months before the date of recovery.
Previously
Recovery Waived Fees/
Expense of Previously Expenses Assumed
Limitation Waived Fees/ Subject to Future
Institutional Class Shares Amount Expenses Assumed Recovery
-------------------------- ---------- ---------------- -----------------
U.S. Large Cap Equity Portfolio (1).................... 0.19% -- $ 45
U.S. Targeted Value Portfolio (2)...................... 0.50% -- --
U.S. Core Equity 1 Portfolio (1)....................... 0.23% -- --
U.S. Core Equity 2 Portfolio (1)....................... 0.26% -- --
U.S. Vector Equity Portfolio (1)....................... 0.36% -- --
DFA Real Estate Securities Portfolio (1)............... 0.18% -- 1,009
International Core Equity Portfolio (1)................ 0.49% -- --
International Small Company Portfolio (3).............. 0.45% -- --
Japanese Small Company Portfolio (4)................... 0.47% -- --
Asia Pacific Small Company Portfolio (4)............... 0.47% -- --
United Kingdom Small Company Portfolio (4)............. 0.47% -- 32
Continental Small Company Portfolio (4)................ 0.47% -- --
DFA International Real Estate Securities Portfolio (1). 0.65% -- --
DFA Global Real Estate Securities Portfolio (5)........ 0.32% -- 10,337
International Vector Equity Portfolio (1).............. 0.60% -- --
World ex U.S. Value Portfolio (6)...................... 0.60% -- 447
World ex U.S. Targeted Value Portfolio (7)............. 0.80% -- 546
World ex U.S. Core Equity Portfolio (8)................ 0.47% -- 491
Selectively Hedged Global Equity Portfolio (9)......... 0.40% -- 497
Emerging Markets Core Equity Portfolio (1)............. 0.85% -- --
Class R1 Shares
---------------
U.S. Targeted Value Portfolio (10)..................... 0.62% -- --
Class R2 Shares
---------------
U.S. Targeted Value Portfolio (10)..................... 0.77% -- --
Emerging Markets Value Portfolio (11).................. 0.96% -- --
(1) 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.
(2) The Advisor has contractually agreed to waive its management 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.
(3) The Advisor has contractually agreed to waive its administration fee and
to assume the other direct expenses of the Portfolio (excluding expenses
incurred through its investment in other investment companies and
125
excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent
necessary to limit the Portfolio Expenses of the Portfolio, on an annualized
basis, to the rate listed above as a percentage of average net assets (the
"Expense Limitation Amount"). At any time that the Portfolio Expenses of the
Portfolio are less than the Expense Limitation Amount listed above, the Advisor
retains the right to seek reimbursement for any fees previously waived and/or
expenses previously assumed to the extent that the amount of such reimbursement
will not cause the annualized Portfolio Expenses of the Portfolio to exceed the
applicable Expense Limitation Amount, as listed above.
(4) The Advisor has contractually agreed to waive its administration fee and
to assume each Portfolio's other direct expenses to the extent necessary to
limit the direct expenses of each Portfolio to the rates listed above as a
percentage of average net assets on an annualized basis (the "Expense
Limitation Amount"). The Fee Waiver Agreement does not include the indirect
expenses each Portfolio bears as a shareholder of its Master Fund. At any time
that the direct expenses of a Portfolio are less than the Expense Limitation
Amount listed above, the Advisor retains the right to recover any fees
previously waived and/or expenses previously assumed to the extent that such
recovery will not cause the Portfolio's direct expenses to exceed the Expense
Limitation Amount, as listed above.
(5) Effective February 28, 2012, the Advisor has contractually agreed to
waive all or a portion of its advisory fee and to assume the expenses of the
Portfolio (including the expenses that the Portfolio bears as a shareholder of
other funds managed by the Advisor but excluding the expenses that the
Portfolio incurs indirectly through its investment in unaffiliated investment
companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to
the extent necessary to limit the Portfolio Expenses of the Portfolio to the
rate listed above as a percentage of average net assets on an annualized basis
(the "Expense Limitation Amount"). At any time that the Portfolio Expenses of
the Portfolio are less than the Expense Limitation Amount listed above, the
Advisor retains the right to recover any fees previously waived and/or expenses
previously assumed to the extent that such recovery will not cause the
Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation
Amount, as listed above.
Prior to February 28, 2012, the Advisor contractually agreed to waive all or
a portion of its advisory fee and to assume the expenses of the Portfolio
(including the expenses that the Portfolio bears as a shareholder of other
investment companies managed by the Advisor but excluding the expenses that the
Portfolio incurs indirectly through its investment in unaffiliated investment
companies) ("Portfolio Expenses") to the extent necessary to limit the
Portfolio Expenses of the Portfolio to 0.55% of average net assets on an
annualized basis. At any time that the annualized Portfolio Expenses of the
Portfolio were less than 0.55% of average net assets on an annualized basis,
the Advisor retained the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery did not cause the
Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation
Amount then in effect. The Advisor voluntarily agreed to waive all or a portion
of its advisory fee to the extent necessary to limit the total advisory fees
paid by the Portfolio to the Advisor directly and indirectly (the proportionate
share of the advisory fees paid by the Portfolio through its investment in
other funds managed by the Advisor) to 0.35% of the Portfolio's average net
assets on an annualized basis.
(6) The Advisor has contractually agreed to waive up to the full amount of
the Portfolio's advisory fee of 0.47% to the extent necessary to offset the
proportionate share of the advisory fees paid by the Portfolio through its
investment in its Master Funds. In addition, under the Fee Waiver Agreement,
the Advisor also has agreed to waive all or a portion of the advisory fee that
remains payable by the Portfolio (i.e., the advisory fee remaining after the
proportionate share of the Master Funds' advisory services fees have been
offset (the "Remaining Management Fee")) to the extent necessary to reduce the
Portfolio's ordinary operating expenses (including expenses incurred through
its investment in other investment companies but excluding any applicable 12b-1
fees) ("Portfolio Expenses") so that such Portfolio Expenses do not exceed the
rate listed above as a percentage of average net assets on an annualized basis
(the "Expense Limitation Amount"). The maximum amount that may be waived to
limit Portfolio Expenses is the amount of the Remaining Management Fee.
Further, at any time that the Portfolio 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.
126
(7) The Advisor has contractually agreed to waive up to the full amount of
the Portfolio's advisory fee of 0.58% to the extent necessary to offset the
proportionate share of the advisory fees paid by the Portfolio through its
investment in its Master Funds. In addition, under the Fee Waiver Agreement,
the Advisor has also agreed to waive all or a portion of the advisory fee and
to assume the ordinary operating expenses of a class of the Portfolio
(including expenses incurred through its investment in other investment
companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") to
the extent necessary to limit the Portfolio Expenses of a class of the
Portfolio to the rate listed above as a percentage of the average net assets of
a class of the Portfolio on an annualized basis (the "Expense Limitation
Amount"). At any time that the Portfolio Expenses of a class of the Portfolio
are less than the Expense Limitation Amount for such class of the Portfolio,
the Advisor retains the right to seek reimbursement for any fees previously
waived and/or expenses previously assumed to the extent that such reimbursement
will not cause the annualized Portfolio Expenses for such class of shares of
the Portfolio to exceed the Expense Limitation Amount, as listed above.
(8) The Advisor has contractually agreed to waive all or a portion of its
advisory fee and to assume the expenses of a class of the Portfolio (including
the expenses that the Portfolio bears as a shareholder of its Master Funds but
excluding the expenses that the Portfolio incurs indirectly through its
investment in unaffiliated investment companies and excluding any applicable
12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the
Portfolio Expenses of a class of the Portfolio to the rate listed 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, the Advisor retains the right to seek
reimbursement for any fees previously waived and/or expenses previously assumed
to the extent that such reimbursement will not cause the annualized Portfolio
Expenses for such class of shares of the Portfolio to exceed the Expense
Limitation Amount, as listed above.
(9) The Advisor has contractually agreed to waive up to the full amount of
the Portfolio's management fee of 0.30% to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through its
investment in its Master Funds. In addition, under the Fee Waiver Agreement,
the Advisor has also agreed to waive all or a portion of the management fee and
to assume the expenses of a class of the Portfolio to the extent necessary to
reduce the ordinary operating expenses (including expenses incurred through its
investment in other investment companies but excluding any applicable 12b-1
fees) ("Portfolio Expenses") of the Portfolio to the rate listed above as a
percentage of average net assets of a class of the Portfolio on an annualized
basis (the "Expense Limitation Amount"). At any time that the Portfolio
Expenses of a class of the Portfolio are less than the Expense Limitation
Amount for such class of the Portfolio listed above, the Advisor retains the
right to seek reimbursement for any fees previously waived and/or expenses
previously assumed to the extent that such reimbursement will not cause the
annualized Portfolio Expenses for such class of shares of the Portfolio to
exceed the Expense Limitation Amount, as listed above.
(10) The Advisor has contractually agreed to reduce all or a portion of its
management fee and to assume the direct and indirect expenses of the Class R1
shares and Class R2 shares of the Portfolio (excluding the expenses the
Portfolio incurs indirectly through investment in other investment companies
and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent
necessary to limit the Portfolio Expenses of the Class R1 shares and Class R2
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 the Class R1
shares or Class R2 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.
(11) 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 of the Class R2 shares of the Portfolio (excluding the
expenses the Portfolio incurs indirectly through investment in other investment
companies) ("Portfolio Expenses") to the rate listed above as a percentage of
average net assets on an annualized basis (the "Expense Limitation Amount"). At
any time that the Portfolio Expenses of the Class R2 shares 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
127
previously assumed to the extent that such recovery will not cause the
annualized Portfolio Expenses of the Class R2 shares of the Portfolio 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 six months ended April 30, 2014, expenses reduced were as follows
(amounts in thousands):
Fees Paid
Indirectly
----------
Enhanced U.S. Large Company Portfolio.............. $ 1
Large Cap International Portfolio.................. 3
International Core Equity Portfolio................ 17
DFA International Real Estate Securities Portfolio. 6
DFA International Small Cap Value Portfolio........ 6
International Vector Equity Portfolio.............. 2
World ex U.S. Value Portfolio...................... --
World ex U.S. Targeted Value Portfolio............. --
World ex U.S. Core Equity Portfolio................ --
Emerging Markets Core Equity Portfolio............. 46
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2014, the total
related amounts paid by the Fund to the CCO were $130 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. Deferred Compensation:
At April 30, 2014, 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.. $ 8
U.S. Large Cap Equity Portfolio........ 1
U.S. Large Cap Value Portfolio......... 302
U.S. Targeted Value Portfolio.......... 87
U.S. Small Cap Value Portfolio......... 278
U.S. Core Equity 1 Portfolio........... 133
U.S. Core Equity 2 Portfolio........... 210
U.S. Vector Equity Portfolio........... 64
U.S. Small Cap Portfolio............... 147
U.S. Micro Cap Portfolio............... 139
DFA Real Estate Securities Portfolio... 108
Large Cap International Portfolio...... 70
International Core Equity Portfolio.... 196
International Small Company Portfolio.. 211
Japanese Small Company Portfolio....... 8
Asia Pacific Small Company Portfolio... 6
United Kingdom Small Company Portfolio. 1
Continental Small Company Portfolio.... 5
128
DFA International Real Estate Securities Portfolio. $ 40
DFA Global Real Estate Securities Portfolio........ 29
DFA International Small Cap Value Portfolio........ 311
International Vector Equity Portfolio.............. 16
World ex U.S. Value Portfolio...................... 1
World ex U.S. Targeted Value Portfolio............. 1
World ex U.S. Core Equity Portfolio................ 1
Selectively Hedged Global Equity Portfolio......... 1
Emerging Markets Portfolio......................... 95
Emerging Markets Small Cap Portfolio............... 71
Emerging Markets Value Portfolio................... 407
Emerging Markets Core Equity Portfolio............. 192
E. Purchases and Sales of Securities:
For the six months ended April 30, 2014, 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.............. $108,402 $126,013 $ 66,492 $ 65,380
U.S. Large Cap Equity Portfolio.................... -- -- 51,836 552
U.S. Targeted Value Portfolio...................... -- -- 706,137 232,060
U.S. Small Cap Value Portfolio..................... -- -- 1,151,430 356,199
U.S. Core Equity 1 Portfolio....................... -- -- 1,071,182 75,925
U.S. Core Equity 2 Portfolio....................... -- -- 949,045 137,632
U.S. Vector Equity Portfolio....................... -- -- 190,766 74,918
U.S. Small Cap Portfolio........................... -- -- 1,062,912 312,760
U.S. Micro Cap Portfolio........................... -- -- 298,851 302,714
DFA Real Estate Securities Portfolio............... -- -- 543,502 3,814
Large Cap International Portfolio.................. -- -- 256,748 75,708
International Core Equity Portfolio................ -- -- 1,901,094 419,284
DFA International Real Estate Securities Portfolio. -- -- 345,430 21,832
DFA International Small Cap Value Portfolio........ -- -- 738,880 515,899
International Vector Equity Portfolio.............. -- -- 189,491 46,097
Emerging Markets Core Equity Portfolio............. -- -- 1,570,823 171,943
For the six months ended April 30, 2014, 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 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------- -------- ----------------
DFA Real Estate Securities
Portfolio....................... $1,235,206 $1,543,293 $227,454 $14,000 $25,503 --
DFA International Real Estate
Securities Portfolio............ 842,644 1,010,087 162,445 -- 41,160 --
World ex U.S. Value Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------- -------- ----------------
DFA International Small Cap Value
Portfolio....................... $ 10,626 $ 10,582 $ 342 $ 1,047 $ 105 $157
129
World ex U.S. Targeted Value Portfolio
----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------ -------- ----------------
DFA International Small Cap Value
Portfolio......................... $59,508 $ 89,361 $25,854 $1,022 $ 613 $919
International Vector Equity
Portfolio......................... 8,639 12,978 3,933 164 76 64
World ex U.S. Core Equity Portfolio
----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------ -------- ----------------
International Core Equity Portfolio. $99,732 $165,054 $65,762 $7,685 $1,326 --
Emerging Markets Core Equity
Portfolio......................... 29,703 49,042 21,359 2,315 181 --
Selectively Hedged Global Equity Portfolio
----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------ -------- ----------------
U.S. Core Equity 2 Portfolio........ $37,594 $ 48,240 $15,642 $7,200 $ 261 $342
International Core Equity Portfolio. 34,847 41,759 10,859 5,580 370 --
Emerging Markets Core Equity
Portfolio......................... 15,187 17,327 5,011 2,600 83 --
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........ -- -- --
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)
130
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
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
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
131
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
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
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
132
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
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
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
133
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 Carryforwards (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
134
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 (amounts 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
135
At April 30, 2014, 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, as follows
(amounts in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
----------- ------------ ------------ --------------
Enhanced U.S. Large Company Portfolio.............. $ 189,961 $ 5,464 $ (61) $ 5,403
U.S. Large Cap Equity Portfolio.................... 200,177 23,990 (1,793) 22,197
U.S. Large Cap Value Portfolio..................... 8,646,051 4,967,975 -- 4,967,975
U.S. Targeted Value Portfolio...................... 4,313,344 1,636,269 (121,648) 1,514,621
U.S. Small Cap Value Portfolio..................... 9,510,581 3,866,821 (582,995) 3,283,826
U.S. Core Equity 1 Portfolio....................... 7,041,677 2,969,794 (133,518) 2,836,276
U.S. Core Equity 2 Portfolio....................... 8,678,236 4,125,770 (229,694) 3,896,076
U.S. Vector Equity Portfolio....................... 2,521,865 1,201,670 (108,781) 1,092,889
U.S. Small Cap Portfolio........................... 8,177,572 2,633,330 (337,974) 2,295,356
U.S. Micro Cap Portfolio........................... 4,084,414 1,979,793 (344,312) 1,635,481
DFA Real Estate Securities Portfolio............... 4,529,600 1,626,242 (45,026) 1,581,216
Large Cap International Portfolio.................. 2,764,544 860,138 (162,208) 697,930
International Core Equity Portfolio................ 10,960,045 2,590,863 (573,187) 2,017,676
International Small Company Portfolio.............. 7,257,475 1,959,316 (264) 1,959,052
Japanese Small Company Portfolio................... 380,848 -- (429) (429)
Asia Pacific Small Company Portfolio............... 376,158 20,912 -- 20,912
United Kingdom Small Company Portfolio............. 23,523 15,535 -- 15,535
Continental Small Company Portfolio................ 136,008 58,290 -- 58,290
DFA International Real Estate Securities Portfolio. 2,657,179 118,435 (54,545) 63,890
DFA Global Real Estate Securities Portfolio........ 2,125,332 435,451 -- 435,451
DFA International Small Cap Value Portfolio........ 11,011,882 4,059,746 (1,359,859) 2,699,887
International Vector Equity Portfolio.............. 1,169,939 317,554 (41,286) 276,268
World ex U.S. Value Portfolio...................... 103,071 15,959 -- 15,959
World ex U.S. Targeted Value Portfolio............. 127,342 17,670 (930) 16,740
World ex U.S. Core Equity Portfolio................ 194,824 19,271 -- 19,271
Selectively Hedged Global Equity Portfolio......... 90,160 17,166 -- 17,166
Emerging Markets Portfolio......................... 2,820,167 1,045,375 -- 1,045,375
Emerging Markets Small Cap Portfolio............... 3,885,986 432,095 -- 432,095
Emerging Markets Value Portfolio................... 18,937,378 -- (141,511) (141,511)
Emerging Markets Core Equity Portfolio............. 14,387,169 2,496,594 (1,438,250) 1,058,344
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 Portfolio's federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
136
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Six Months Ended Year Ended
April 30, 2014 Oct. 31, 2013
-------------------- ---------------------
(Unaudited)
Amount Shares Amount Shares
----------- ------- ----------- --------
U.S. Targeted Value Portfolio
Class R1 Shares
Shares Issued........................................ $ 2,778 122 $ 9,003 477
Shares Issued in Lieu of Cash Distributions.......... 605 28 3,423 205
Shares Redeemed...................................... (927) (41) (61,998) (3,124)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R1 Shares............ $ 2,456 109 $ (49,572) (2,442)
=========== ======= =========== ========
Class R2 Shares
Shares Issued........................................ $ 59,653 2,648 $ 10,505 520
Shares Issued in Lieu of Cash Distributions.......... 1,568 73 923 55
Shares Redeemed...................................... (8,140) (365) (5,597) (281)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ 53,081 2,356 $ 5,831 294
=========== ======= =========== ========
Institutional Class Shares
Shares Issued........................................ $ 916,936 40,607 $ 1,049,705 53,476
Shares Issued in Lieu of Cash Distributions.......... 246,827 11,429 189,447 11,289
Shares Redeemed...................................... (524,018) (23,270) (1,045,053) (52,845)
----------- ------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares. $ 639,745 28,766 $ 194,099 11,920
=========== ======= =========== ========
Emerging Markets Value Portfolio
Class R2 Shares
Shares Issued........................................ $ 20,867 771 $ 27,484 947
Shares Issued in Lieu of Cash Distributions.......... 2,368 87 3,927 137
Shares Redeemed...................................... (24,031) (885) (27,940) (973)
----------- ------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ (796) (27) $ 3,471 111
=========== ======= =========== ========
Institutional Class Shares
Shares Issued........................................ $ 1,893,948 69,961 $ 4,212,669 148,010
Shares Issued in Lieu of Cash Distributions.......... 416,917 15,367 652,656 22,854
Shares Redeemed...................................... (1,606,383) (59,560) (2,940,034) (104,206)
----------- ------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares. $ 704,482 25,768 $ 1,925,291 66,658
=========== ======= =========== ========
On October 29, 2010, the Board of Directors of the Fund 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,
137
shareholders and investors purchased and redeemed Class R2A Shares of the
Portfolio. The value of a shareholder's investment in the Portfolio was not
impacted by the conversion, however, a shareholder received fewer Class R2A
Shares than the number of Class R2 Shares held at the time of the conversion
because the Class R2A Shares had a higher net asset value per share. Effective
February 28, 2011, Class R2A Shares were renamed to Class R2 Shares.
The per share data in the financial highlights prior to the year ended
October 31, 2011 have been retroactively restated to reflect the conversion.
Additionally, the capital share activity in the Statement of Changes in Net
Assets and capital share activity earlier in this note shows the reduction of
shares as a result of the conversion.
H. Financial Instruments:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest, either directly or indirectly through their investment
in a corresponding Master Fund, in certain financial instruments that have
off-balance sheet risk in excess of the amounts recognized in the financial
statements and concentrations of credit and market risk. These instruments and
their significant corresponding risks are described below:
1. 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.
2. Forward Currency Contracts: Enhanced U.S. Large Company Portfolio and
Selectively Hedged Global Equity Portfolio may enter into forward currency
contracts to hedge against adverse changes in the relationship of the U.S.
dollar to foreign currencies (foreign exchange rate risk). The decision to
hedge a Portfolio's currency exposure with respect to a foreign market will be
based primarily on the Portfolio's existing exposure to a given foreign
currency. Each contract is valued daily and the change in value is recorded by
the Portfolio as an unrealized gain or loss, which is presented in the
Statements of Operations as the change in unrealized appreciation or
depreciation from translation of foreign currency denominated amounts. When the
contract is closed or offset with the same counterparty, the Portfolio records
a realized gain or loss equal to the change in the value of the contract when
it was opened and the value at the time it was closed or offset. This is
presented in the Statements of Operations as a net realized gain or loss on
foreign currency transactions. At April 30, 2014, The Fixed Income Portfolio
and Selectively Hedged Global Equity Portfolio had entered into the following
contracts and the net unrealized foreign exchange gain (loss) is reflected in
the accompanying financial statements (amounts in thousands):
Enhanced U.S. Large Company Portfolio*
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Amount April 30, 2014 Gain (Loss)
---------- -------- ------------------ -------- -------------- -----------
05/27/14 (5,968) Australian Dollar $ (5,525) $ (5,535) $ (10)
05/13/14 (5,207) Canadian Dollar (4,764) (4,749) 15
05/05/14 (6,178) New Zealand Dollar (5,284) (5,326) (42)
05/13/14 (18,844) UK Pound Sterling (31,599) (31,814) (215)
-------- -------- -----
$(47,172) $(47,424) $(252)
======== ======== =====
138
Selectively Hedged Global Equity Portfolio*
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Amount April 30, 2014 Gain (Loss)
---------- -------- ---------------- -------- -------------- -----------
05/23/14 (400) Denmark Krone $ (75) $ (75) --
05/23/14 (2,686) Denmark Krone (498) (500) $(2)
05/15/14 (21,981) Hong Kong Dollar (2,835) (2,835) --
05/07/14 (88,881) Japanese Yen (869) (869) --
05/07/14 (641,645) Japanese Yen (6,267) (6,276) (9)
07/10/14 (2,235) Swiss Franc (2,546) (2,540) 6
-------- -------- ---
$(13,090) $(13,095) $(5)
======== ======== ===
* During the six months ended April 30, 2014, Enhanced U.S. Large Company
Portfolio's and Selectively Hedged Global Equity Portfolio's average contract
amount of forward currency contracts was $43,645 and $16,947 (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.
3. 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, U.S. Small Cap Value 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), Russell 2000
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.
At April 30, 2014, the following Portfolios had outstanding futures
contracts (dollar amounts in thousands):
Approximate
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
----------------------- ---------- ---------- -------- ----------- -----------
Enhanced U.S. Large
Company Portfolio....... S&P 500 Index(R) 06/19/14 404 $189,668 $ 9,210 --
U.S. Small Cap Value
Portfolio............... Russell 2000(R) Index 06/20/14 700 78,652 (4,123) $3,570
Selectively Hedged Global
Equity Portfolio........ S&P 500 Index(R) Emini 06/20/14 29 2,723 12 134
Securities have been segregated as collateral for open futures contracts.
* During the six months ended April 30, 2014, Enhanced U.S. Large Company
Portfolio's, U.S. Small Cap Value Portfolio's and Selectively Hedged Global
Equity Portfolio's average notional contract amount of outstanding futures
contracts were $188,630, $65,869 and $2,299 (in thousands), respectively.
139
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of April 30, 2014:
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 Receivables: Futures
Margin Variation
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of April 30, 2014 (amounts in
thousands):
Asset Derivatives Value
---------------------------------
Total Value Foreign
at Exchange Equity
April 30, 2014 Contracts Contracts
- -------------- --------- ---------
Enhanced U.S. Large Company Portfolio...... $ 9,225 $ 15 $ 9,210*
Selectively Hedged Global Equity Portfolio. 18 6 12*
Liability Derivatives Value
---------------------------------
Total Value Foreign
at Exchange Equity
April 30, 2014 Contracts Contracts
- -------------- --------- ---------
Enhanced U.S. Large Company Portfolio...... $ (267) $(267) --
U.S. Small Cap Value Portfolio............. (4,123) -- $(4,123)*
Selectively Hedged Global Equity Portfolio. (11) (11) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reporting within the Statements 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 six months ended
April 30, 2014 (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
140
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure through the six months ended April 30, 2014 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives Recognized in Income
-------------------------------
Foreign
Exchange Equity
Total Contracts Contracts
------- --------- ---------
Enhanced U.S. Large Company Portfolio...... $12,660 $(1,202) $13,862
U.S. Small Cap Value Portfolio............. (7,540) -- (7,540)
U.S. Micro Cap Portfolio*.................. (692) -- (692)
DFA Real Estate Securities Portfolio*...... (553) -- (553)
Selectively Hedged Global Equity Portfolio. 431 90 341
Change in Unrealized Appreciation
(Depreciation) on Derivatives
Recognized in Income
-------------------------------
Foreign
Exchange Equity
Total Contracts Contracts
------- --------- ---------
Enhanced U.S. Large Company Portfolio...... $ 1,261 $ (35) $ 1,296
U.S. Small Cap Value Portfolio............. (4,123) -- (4,123)
Selectively Hedged Global Equity Portfolio. (154) (33) (121)
* As of April 30, 2014, there were no futures contracts outstanding. During the
six months ended April 30, 2014, the Portfolios had limited activity in
futures contracts.
Offsetting of Derivative Assets and Derivative Liabilities
The following tables present the Portfolio's gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Porfolios as of April 30, 2014
(Amounts in thousands):
Gross Amounts Not
Offset in the Statements
of Assets and Liabilities
--------------------------
Net Amounts of
Gross Assets Presented Gross
Amounts of in the Statements Cash Amounts of
Recognized of Assets and Financial Collateral Net Recognized
Description Assets (a) Liabilities Instruments (b) Received Amount (c) Liabilities (a)
------------------------------------------------------------------------------------------------ ----------------
Assets -
------------------------------------------------------------------- ---------------
Enhanced U.S. Large Company
Portfolio
Forward Currency Contracts.. $15 $15 $(15) -- -- $267
Selectively Hedged Global
Equity Portfolio
Forward Currency Contracts.. 6 6 -- -- $ 6 11
Gross Amounts Not
Offset in the Statements
of Assets and Liabilities
--------------------------
Net Amounts
of Liabilities
Presented in
the Statements Cash
of Assets and Financial Collateral Net
Description Liabilities Instruments (d) Pledged Amount (e)
---------------------------------------------------------------------------------
Liabilities
-----------------------------------------------------
Enhanced U.S. Large Company
Portfolio
Forward Currency Contracts.. $267 $(15) -- $252
Selectively Hedged Global
Equity Portfolio
Forward Currency Contracts.. 11 -- -- 11
(a)No amounts have been netted against the gross amounts recognized in the
Statements of Assets and Liabilities
(b)Represents the amount of assets that could be offset by liabilities with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(c)Represents the net amount due from counterparties in the event of default.
(d)Represents the amount of liabilities that could be offset by assets with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(e)Represents the net amount due to counterparties in the event of default.
Note J contains information regarding securities lending amounts that are
subject to netting arrangements.
I. 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
141
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
agreement for the line of credit was scheduled to expire on March 3, 2014,
however, effective March 3, 2014, the term was extended until March 2, 2015.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 10, 2014 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 line of credit agreement expires on
January 9, 2015.
For the six months ended April 30, 2014, 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. Large Cap Equity Portfolio........ 0.84% $ 81 2 -- $ 83
U.S. Small Cap Value Portfolio......... 0.84% 15,354 24 $ 9 43,715
U.S. Small Cap Portfolio............... 0.84% 6,921 1 -- 6,921
U.S. Micro Cap Portfolio............... 0.85% 2,595 32 2 6,726
Large Cap International Portfolio...... 0.83% 1,807 1 -- 1,807
International Small Company Portfolio.. 0.83% 5,142 7 1 12,200
DFA International Small Cap Value
Portfolio............................ 0.83% 6,164 10 1 15,323
World ex U.S. Value Portfolio.......... 0.83% 137 19 -- 1,347
World ex U.S. Targeted Value Portfolio. 0.83% 237 8 -- 508
World ex U.S. Core Equity Portfolio.... 0.83% 1,041 10 -- 6,277
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2014, that each Portfolio's available
line of credit was utilized.
At April 30, 2014, U.S. Small Cap Portfolio and World ex U.S. Targeted Value
Portfolio had loans outstanding of $6,922 and $197 (amounts in thousands),
respectively.
J. Securities Lending:
As of April 30, 2014, 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.................. $ 9,285
International Core Equity Portfolio................ 43,741
DFA International Real Estate Securities Portfolio. 1,617
DFA International Small Cap Value Portfolio........ 24,291
International Vector Equity Portfolio.............. 3,710
Emerging Markets Core Equity Portfolio............. 448,702
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
142
of the U.S. government or its agencies, (ii) 102% of the current market value
of the loaned securities with respect to U.S. securities, and (iii) 105% of the
current market value of the loaned securities with respect to foreign
securities. However, daily market fluctuations could cause the Portfolio's
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities.
Subject to their stated investment policies, each Portfolio will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Each Portfolio also may invest the cash collateral received for the
loaned securities in securities of the U.S. government or its agencies,
repurchase agreements collateralized by securities of the U.S. government or
its agencies, and affiliated and unaffiliated registered and unregistered money
market funds. For purposes of this paragraph, agencies include both agency
debentures and agency mortgage-backed securities. In addition, each Portfolio
will be able to terminate the loan at any time and will receive reasonable
interest on the loan, as well as amounts equal to any dividends, interest or
other distributions on the loaned securities. However, dividend income received
from loaned securities may not be eligible to be taxed at qualified dividend
income rates.
K. Shareholder Servicing Fees:
The Class R1 Shares pay a shareholder servicing fee in the amount of 0.10%
and Class R2 Shares pay a shareholder servicing fee in the amount of 0.25% of
their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares and
Emerging Markets Value Portfolio Class R2 Shares.
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. Other:
At April 30, 2014, the following number of shareholders held the following
approximate percentages of the stated fund outstanding shares. One or more of
the shareholders may be omnibus accounts, which typically hold shares for the
benefit of several other underlying investors.
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
Enhanced U.S. Large Company Portfolio -- Institutional Class
Shares...................................................... 5 83%
U.S. Large Cap Equity Portfolio -- Institutional Class Shares. 3 97%
U.S. Large Cap Value Portfolio -- Institutional Class Shares.. 3 72%
U.S. Targeted Value Portfolio -- Class R1 Shares.............. 5 96%
U.S. Targeted Value Portfolio -- Class R2 Shares.............. 6 87%
U.S. Targeted Value Portfolio -- Institutional Class Shares... 3 59%
143
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
U.S. Small Cap Value Portfolio -- Institutional Class Shares........ 3 59%
U.S. Core Equity 1 Portfolio -- Institutional Class Shares.......... 4 74%
U.S. Core Equity 2 Portfolio -- Institutional Class Shares.......... 6 82%
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.............. 5 75%
DFA Real Estate Securities Portfolio -- Institutional Class
Shares............................................................ 4 85%
Large Cap International Portfolio -- Institutional Class Shares..... 3 68%
International Core Equity Portfolio -- Institutional Class Shares... 4 73%
International Small Company Portfolio -- Institutional Class
Shares............................................................ 4 60%
Japanese Small Company Portfolio -- Institutional Class Shares...... 3 82%
Asia Pacific Small Company Portfolio -- Institutional Class
Shares............................................................ 3 89%
United Kingdom Small Company Portfolio -- Institutional Class
Shares............................................................ 4 97%
Continental Small Company Portfolio -- Institutional Class
Shares............................................................ 5 94%
DFA International Real Estate Securities Portfolio -- Institutional
Class Shares...................................................... 4 91%
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 83%
World ex U.S. Targeted Value Portfolio -- Institutional Class
Shares............................................................ 3 100%
World ex U.S. Core Equity Portfolio -- Institutional Class Shares... 2 95%
Selectively Hedged Global Equity Portfolio -- Institutional Class
Shares............................................................ 3 95%
Emerging Markets Portfolio -- Institutional Class Shares............ 4 69%
Emerging Markets Small Cap Portfolio -- Institutional Class
Shares............................................................ 5 58%
Emerging Markets Value Portfolio -- Class R2 Shares................. 5 84%
Emerging Markets Value Portfolio -- Institutional Class Shares...... 2 28%
Emerging Markets Core Equity Portfolio -- Institutional Class
Shares............................................................ 3 60%
Further, on December 13, 2013, the Board of the Fund voted to approve the
combination of the Investment Advisory Agreement and the Administration
Agreement (together, the "Previous Agreements") into a bundled Investment
Management Agreement for 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. The Investment Management Agreements
became effective on February 28, 2014. The nature and level of services to each
Portfolio under the Investment Management Agreements are the same as under the
Previous Agreements. As of February 28, 2014, the Portfolios pay the Advisor an
investment management fee that is equal to the sum of the previous investment
advisory and administration fees that were paid by each Portfolio to the
Advisor under the Previous Agreements.
144
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 a motion to dismiss on behalf of all shareholder
defendants in the Committee Action was filed on May 23, 2014. Briefing on the
motion to dismiss will be completed by July 2014, with oral argument on the
motion to be held thereafter. The Committee Action is stayed pending the
disposition of the motion to dismiss.
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.
N. 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.
145
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 April 30, 2014
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
DFA Commodity Strategy Portfolio
--------------------------------
Actual Fund Return............... $1,000.00 $1,118.20 0.33% $1.73
Hypothetical 5% Annual Return.... $1,000.00 $1,023.16 0.33% $1.66
----------
* DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity
Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional
Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses
are equal to the fund's annualized expense ratio for the six-month period,
multiplied by the average account value over the period, multiplied by the
number of days in the most recent six-month period (181), then divided by the
number of days in the year (365) to reflect the six-month period.
146
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 31, 2014. 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.................................... 34.6%
Foreign Corporate............................ 18.4%
Foreign Government........................... 26.0%
Government................................... 10.8%
Supranational................................ 10.2%
-----
100.0%
147
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Face
Amount^ Value+
------- ------
(000)
BONDS -- (82.6%)
AUSTRALIA -- (5.1%)
Australia & New Zealand Banking Group, Ltd.
1.250%, 01/10/17............................. $ 12,000 $12,052,596
Commonwealth Bank of Australia
1.250%, 09/18/15............................. 4,780 4,830,658
1.125%, 03/13/17............................. 8,737 8,729,993
National Australia Bank, Ltd.
5.500%, 05/20/15............................. EUR 6,500 9,487,344
0.900%, 01/20/16............................. 5,000 5,036,165
1.300%, 07/25/16............................. 7,000 7,066,955
Westpac Banking Corp.
3.000%, 08/04/15............................. 3,920 4,041,959
-----------
TOTAL AUSTRALIA.................................. 51,245,670
-----------
CANADA -- (7.4%)
Bank of Nova Scotia
2.050%, 10/07/15............................. 1,500 1,532,813
Enbridge, Inc.
5.800%, 06/15/14............................. 1,900 1,911,267
4.900%, 03/01/15............................. 1,500 1,552,861
Export Development Canada
0.875%, 12/07/16............................. GBP 10,000 16,746,387
Ontario, Province of Canada
2.300%, 05/10/16............................. 5,000 5,171,300
Potash Corp. of Saskatchewan, Inc.
3.750%, 09/30/15............................. 1,830 1,908,705
Royal Bank of Canada
0.800%, 10/30/15............................. 2,500 2,511,672
2.625%, 12/15/15............................. 2,500 2,582,910
2.300%, 07/20/16............................. 5,000 5,172,265
1.200%, 01/23/17............................. 7,000 7,016,128
Toronto-Dominion Bank (The)
2.500%, 07/14/16............................. 2,500 2,594,672
2.375%, 10/19/16............................. 19,000 19,705,280
TransAlta Corp.
4.750%, 01/15/15............................. 2,508 2,575,641
TransCanada PipeLines, Ltd.
3.400%, 06/01/15............................. 3,106 3,200,690
-----------
TOTAL CANADA..................................... 74,182,591
-----------
FINLAND -- (1.6%)
Municipality Finance P.L.C.
2.375%, 05/16/16............................. 15,000 15,533,550
-----------
FRANCE -- (0.8%)
Agence Francaise de Developpement
2.500%, 07/15/15............................. 3,000 3,075,246
BNP Paribas SA
3.250%, 03/11/15............................. 4,035 4,128,915
Face
Amount^ Value+
------- ------
(000)
FRANCE -- (Continued)
Orange SA
2.125%, 09/16/15............................. $ 500 $ 508,389
-----------
TOTAL FRANCE..................................... 7,712,550
-----------
GERMANY -- (2.9%)
Deutsche Bank AG
3.875%, 08/18/14............................. 1,750 1,767,855
3.250%, 01/11/16............................. 1,000 1,041,317
Landeskreditbank Baden- Wuerttemberg Foerderbank
2.250%, 07/15/16............................. 10,000 10,332,080
Landwirtschaftliche Rentenbank
3.250%, 12/07/16............................. GBP 9,000 15,963,730
-----------
TOTAL GERMANY.................................... 29,104,982
-----------
JAPAN -- (1.4%)
Japan Bank for International Cooperation
2.250%, 07/13/16............................. 8,000 8,271,000
Nomura Holdings, Inc.
5.000%, 03/04/15............................. 3,500 3,623,728
2.000%, 09/13/16............................. 1,000 1,013,282
Sumitomo Mitsui Banking Corp.
1.300%, 01/10/17............................. 1,000 1,003,324
-----------
TOTAL JAPAN...................................... 13,911,334
-----------
NETHERLANDS -- (5.1%)
Aegon NV
4.625%, 12/01/15............................. 3,489 3,695,695
Bank Nederlandse Gemeenten
2.750%, 07/01/15............................. 9,500 9,766,323
Cooperatieve Centrale Raiffeisen-
Boerenleenbank BA
3.125%, 02/05/15............................. CAD 7,000 6,462,123
2.125%, 10/13/15............................. 7,000 7,163,499
Deutsche Telekom International Finance BV
4.875%, 07/08/14............................. 1,900 1,914,712
Nederlandse Waterschapsbank NV
2.125%, 09/07/16............................. GBP 10,000 17,251,219
2.125%, 02/09/17............................. 4,000 4,119,784
-----------
TOTAL NETHERLANDS................................ 50,373,355
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.5%)
Asian Development Bank
1.000%, 12/15/16............................. GBP 10,000 16,800,416
148
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
Council Of Europe Development Bank
1.750%, 12/19/16............................. GBP 9,000 $15,399,214
European Investment Bank
6.500%, 09/10/14............................. NZD 2,531 2,201,862
3.250%, 12/07/16............................. GBP 9,000 15,952,333
4.875%, 01/17/17............................. 4,000 4,429,240
Nordic Investment Bank
7.500%, 04/15/15............................. NZD 11,000 9,808,893
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 64,591,958
-----------
SWEDEN -- (4.8%)
Kommuninvest I Sverige AB
1.625%, 02/13/17............................. 4,500 4,579,524
Nordea Bank AB
2.250%, 03/20/15............................. 5,250 5,337,434
2.750%, 08/11/15............................. EUR 5,000 7,137,163
Svensk Exportkredit AB
2.125%, 07/13/16............................. 7,000 7,214,739
1.125%, 12/15/16............................. GBP 8,000 13,450,193
Svenska Handelsbanken AB
3.125%, 07/12/16............................. 9,250 9,701,816
-----------
TOTAL SWEDEN..................................... 47,420,869
-----------
SWITZERLAND -- (0.2%)
Credit Suisse New York
5.500%, 05/01/14............................. 250 250,000
3.500%, 03/23/15............................. 1,000 1,027,387
UBS AG
3.875%, 01/15/15............................. 1,163 1,190,763
-----------
TOTAL SWITZERLAND................................ 2,468,150
-----------
UNITED KINGDOM -- (7.0%)
Barclays Bank P.L.C.
5.200%, 07/10/14............................. 1,500 1,513,286
5.000%, 09/22/16............................. 1,700 1,858,948
BP Capital Markets P.L.C.
2.248%, 11/01/16............................. 1,500 1,549,867
British Telecommunications P.L.C.
2.000%, 06/22/15............................. 3,100 3,147,253
1.250%, 02/14/17............................. 1,200 1,200,980
Diageo Capital P.L.C.
5.500%, 09/30/16............................. 2,000 2,222,518
Lloyds Bank P.L.C.
4.875%, 01/21/16............................. 5,000 5,347,795
Network Rail Infrastructure Finance P.L.C.
1.125%, 12/15/16............................. GBP 13,000 21,916,222
Face
Amount^ Value+
------- ------
(000)
UNITED KINGDOM -- (Continued)
Rio Tinto Finance USA P.L.C.
1.125%, 03/20/15............................. $ 3,850 $ 3,870,605
Royal Bank of Scotland Group P.L.C.
2.550%, 09/18/15............................. 6,300 6,434,675
United Kingdom Gilt
4.000%, 09/07/16............................. GBP 9,000 16,298,945
Vodafone Group P.L.C.
1.625%, 03/20/17............................. 3,951 3,992,300
-----------
TOTAL UNITED KINGDOM............................. 69,353,394
-----------
UNITED STATES -- (39.8%)
AbbVie, Inc.
1.200%, 11/06/15............................. 4,000 4,033,188
ACE INA Holdings, Inc.
5.875%, 06/15/14............................. 1,250 1,257,925
2.600%, 11/23/15............................. 3,295 3,396,292
Aflac, Inc.
3.450%, 08/15/15............................. 800 830,077
Air Products & Chemicals, Inc.
2.000%, 08/02/16............................. 3,615 3,714,076
Allstate Corp. (The)
5.000%, 08/15/14............................. 2,130 2,156,955
Altria Group, Inc.
4.125%, 09/11/15............................. 2,170 2,270,744
American Express Credit Corp.
5.125%, 08/25/14............................. 1,700 1,724,789
1.750%, 06/12/15............................. 1,200 1,216,949
2.750%, 09/15/15............................. 2,250 2,317,511
American International Group, Inc.
3.000%, 03/20/15............................. 6,000 6,131,724
Ameriprise Financial, Inc.
5.650%, 11/15/15............................. 813 870,761
Amgen, Inc.
1.875%, 11/15/14............................. 1,825 1,839,328
4.850%, 11/18/14............................. 1,000 1,024,275
Anadarko Petroleum Corp.
5.950%, 09/15/16............................. 7,000 7,802,207
Anheuser-Busch Cos., LLC
5.600%, 03/01/17............................. 6,000 6,717,246
Anheuser-Busch InBev Worldwide, Inc.
0.800%, 07/15/15............................. 2,000 2,007,986
Apache Corp.
5.625%, 01/15/17............................. 1,500 1,676,985
Apple, Inc.
0.450%, 05/03/16............................. 10,000 9,985,270
AT&T, Inc.
2.500%, 08/15/15............................. 4,600 4,713,781
2.400%, 08/15/16............................. 1,000 1,031,803
AutoZone, Inc.
6.950%, 06/15/16............................. 3,000 3,352,830
149
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Bank of America Corp.
1.500%, 10/09/15............................. $ 5,000 $5,047,845
3.750%, 07/12/16............................. 1,500 1,583,795
Becton Dickinson and Co.
1.750%, 11/08/16............................. 1,500 1,532,895
BlackRock, Inc.
3.500%, 12/10/14............................. 2,000 2,039,420
Branch Banking & Trust Co.
1.000%, 04/03/17............................. 4,400 4,374,432
Burlington Northern Santa Fe LLC
4.875%, 01/15/15............................. 200 206,036
Capital One Financial Corp.
7.375%, 05/23/14............................. 1,189 1,193,137
2.150%, 03/23/15............................. 4,700 4,769,536
Cardinal Health, Inc.
4.000%, 06/15/15............................. 3,000 3,103,776
Caterpillar Financial Services Corp.
2.650%, 04/01/16............................. 5,000 5,183,800
1.350%, 09/06/16............................. 2,000 2,022,410
CenterPoint Energy Resources Corp.
6.150%, 05/01/16............................. 5,000 5,509,550
Charles Schwab Corp. (The)
0.850%, 12/04/15............................. 3,000 3,011,052
Citigroup, Inc.
6.375%, 08/12/14............................. 636 646,105
5.300%, 01/07/16............................. 2,716 2,908,480
CNA Financial Corp.
5.850%, 12/15/14............................. 3,277 3,383,843
Colgate-Palmolive Co.
1.300%, 01/15/17............................. 9,723 9,822,758
Comcast Corp.
4.950%, 06/15/16............................. 3,500 3,803,100
6.500%, 01/15/17............................. 1,000 1,142,855
Comerica, Inc.
3.000%, 09/16/15............................. 2,277 2,348,762
Computer Sciences Corp.
2.500%, 09/15/15............................. 3,558 3,627,794
CVS Caremark Corp.
3.250%, 05/18/15............................. 1,000 1,026,442
Devon Energy Corp.
1.200%, 12/15/16............................. 6,970 6,994,270
DIRECTV Holdings LLC / DIRECTV Financing Co.,
Inc.
3.500%, 03/01/16............................. 5,000 5,228,415
Dominion Resources, Inc.
5.150%, 07/15/15............................. 1,400 1,473,885
2.250%, 09/01/15............................. 5,000 5,103,510
Dow Chemical Co. (The)
2.500%, 02/15/16............................. 6,000 6,170,574
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Eastman Chemical Co.
3.000%, 12/15/15............................. $ 1,000 $1,031,645
Ecolab, Inc.
1.000%, 08/09/15............................. 2,000 2,009,420
Enbridge Energy Partners L.P.
5.350%, 12/15/14............................. 1,475 1,516,906
Energy Transfer Partners L.P.
5.950%, 02/01/15............................. 1,200 1,245,289
Enterprise Products Operating LLC
5.600%, 10/15/14............................. 2,666 2,725,740
EOG Resources, Inc.
2.950%, 06/01/15............................. 2,440 2,503,725
2.500%, 02/01/16............................. 6,000 6,176,352
Exelon Corp.
4.900%, 06/15/15............................. 500 522,090
Express Scripts Holding Co.
2.100%, 02/12/15............................. 4,000 4,046,036
3.125%, 05/15/16............................. 1,975 2,069,859
Fifth Third Bancorp
3.625%, 01/25/16............................. 1,000 1,047,258
Fifth Third Bank
0.900%, 02/26/16............................. 2,000 2,006,010
Ford Motor Credit Co. LLC
12.000%, 05/15/15............................ 3,500 3,903,746
Freeport-McMoRan Copper & Gold, Inc.
1.400%, 02/13/15............................. 3,996 4,017,051
GATX Corp.
4.750%, 05/15/15............................. 5,240 5,449,532
General Electric Capital Corp.
1.625%, 07/02/15............................. 2,000 2,026,782
Gilead Sciences, Inc.
2.400%, 12/01/14............................. 3,000 3,033,834
Goldman Sachs Group, Inc. (The)
3.300%, 05/03/15............................. 3,500 3,592,319
3.625%, 02/07/16............................. 1,000 1,045,659
Google, Inc.
2.125%, 05/19/16............................. 6,000 6,195,756
Hartford Financial Services Group, Inc. (The)
4.000%, 03/30/15............................. 1,400 1,442,778
Hewlett-Packard Co.
2.625%, 12/09/14............................. 1,300 1,315,326
3.000%, 09/15/16............................. 2,000 2,089,060
Hillshire Brands Co. (The)
2.750%, 09/15/15............................. 1,666 1,708,866
HSBC USA, Inc.
2.375%, 02/13/15............................. 2,000 2,031,828
Humana, Inc.
6.450%, 06/01/16............................. 4,500 4,984,564
John Deere Capital Corp.
2.000%, 01/13/17............................. 1,500 1,542,779
150
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Johnson Controls, Inc.
5.500%, 01/15/16............................. $ 1,282 $1,380,604
JPMorgan Chase & Co.
3.700%, 01/20/15............................. 2,800 2,864,422
3.400%, 06/24/15............................. 1,000 1,030,791
Kellogg Co.
1.875%, 11/17/16............................. 2,000 2,045,472
KeyBank NA
1.100%, 11/25/16............................. 1,000 1,002,819
KeyCorp
3.750%, 08/13/15............................. 3,000 3,115,497
Kroger Co. (The)
2.200%, 01/15/17............................. 1,000 1,022,849
Lorillard Tobacco Co.
3.500%, 08/04/16............................. 4,000 4,217,560
Lowe's Cos., Inc.
5.000%, 10/15/15............................. 1,050 1,116,116
Marathon Oil Corp.
0.900%, 11/01/15............................. 1,140 1,143,298
Marsh & McLennan Cos., Inc.
5.750%, 09/15/15............................. 1,916 2,041,019
Medtronic, Inc.
4.750%, 09/15/15............................. 1,087 1,149,057
MetLife, Inc.
5.500%, 06/15/14............................. 1,250 1,257,283
5.000%, 06/15/15............................. 500 525,274
Mondelez International, Inc.
4.125%, 02/09/16............................. 3,716 3,934,010
Morgan Stanley
3.800%, 04/29/16............................. 6,000 6,313,998
Mylan, Inc.
1.350%, 11/29/16............................. 2,038 2,044,962
NASDAQ OMX Group, Inc. (The)
4.000%, 01/15/15............................. 2,800 2,859,839
Occidental Petroleum Corp.
1.750%, 02/15/17............................. 1,000 1,016,805
Omnicom Group, Inc.
5.900%, 04/15/16............................. 1,750 1,913,483
PepsiCo, Inc.
0.700%, 08/13/15............................. 5,595 5,608,148
Philip Morris International, Inc.
2.500%, 05/16/16............................. 3,224 3,347,154
Plains All American Pipeline L.P. / PAA Finance
Corp.
3.950%, 09/15/15............................. 2,830 2,951,823
PNC Funding Corp.
5.400%, 06/10/14............................. 2,075 2,085,288
4.250%, 09/21/15............................. 600 629,199
PPG Industries, Inc.
1.900%, 01/15/16............................. 2,050 2,087,021
Progress Energy, Inc.
5.625%, 01/15/16............................. 2,000 2,159,788
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Prudential Financial, Inc.
3.875%, 01/14/15............................. $ 1,000 $ 1,024,348
6.200%, 01/15/15............................. 2,448 2,544,936
Quest Diagnostics, Inc.
5.450%, 11/01/15............................. 4,000 4,263,368
Qwest Corp.
7.500%, 10/01/14............................. 2,300 2,359,188
Reynolds American, Inc.
1.050%, 10/30/15............................. 4,000 4,007,992
Safeway, Inc.
5.625%, 08/15/14............................. 4,500 4,561,664
Sherwin-Williams Co. (The)
3.125%, 12/15/14............................. 1,048 1,064,345
Southern Power Co.
4.875%, 07/15/15............................. 3,660 3,835,362
Spectra Energy Capital LLC
5.668%, 08/15/14............................. 955 967,956
Starbucks Corp.
0.875%, 12/05/16............................. 1,000 997,725
SunTrust Banks, Inc.
3.600%, 04/15/16............................. 4,000 4,202,588
TD Ameritrade Holding Corp.
4.150%, 12/01/14............................. 2,350 2,399,547
Textron, Inc.
6.200%, 03/15/15............................. 1,500 1,571,165
Thermo Fisher Scientific, Inc.
3.200%, 05/01/15............................. 2,250 2,305,012
2.250%, 08/15/16............................. 2,953 3,035,610
Time Warner Cable, Inc.
3.500%, 02/01/15............................. 4,000 4,081,940
Time Warner, Inc.
5.875%, 11/15/16............................. 1,000 1,118,598
Toyota Motor Credit Corp.
2.000%, 09/15/16............................. 15,819 16,267,943
Union Bank NA
3.000%, 06/06/16............................. 1,000 1,044,055
UnitedHealth Group, Inc.
5.000%, 08/15/14............................. 1,170 1,184,872
1.875%, 11/15/16............................. 1,000 1,023,950
Valero Energy Corp.
4.500%, 02/01/15............................. 900 926,823
Verizon Communications, Inc.
0.700%, 11/02/15............................. 3,000 3,005,145
Walgreen Co.
1.000%, 03/13/15............................. 3,720 3,736,989
Walt Disney Co. (The)
0.875%, 12/01/14............................. 1,500 1,504,547
1.125%, 02/15/17............................. 2,000 2,010,470
WellPoint, Inc.
5.000%, 12/15/14............................. 2,500 2,570,982
5.250%, 01/15/16............................. 3,000 3,221,856
Wells Fargo & Co.
3.750%, 10/01/14............................. 2,300 2,332,577
1.250%, 02/13/15............................. 1,000 1,007,168
151
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
1.500%, 07/01/15............................. $ 2,500 $ 2,527,770
Western Union Co. (The)
5.930%, 10/01/16............................. 2,348 2,591,974
Whirlpool Corp.
1.350%, 03/01/17............................. 2,000 1,999,794
Williams Partners L.P.
3.800%, 02/15/15............................. 2,300 2,355,662
Xerox Corp.
4.250%, 02/15/15............................. 3,500 3,601,892
Yum! Brands, Inc.
4.250%, 09/15/15............................. 2,485 2,601,350
Zimmer Holdings, Inc.
1.400%, 11/30/14............................. 1,000 1,004,458
------------
TOTAL UNITED STATES.............................. 396,336,589
------------
TOTAL BONDS...................................... 822,234,992
------------
Face
Amount^ Value+
------- ------
(000)
AGENCY OBLIGATIONS -- (6.8%)
Federal National Mortgage Association
0.500%, 03/30/16............................. $ 27,000 $ 27,039,879
1.375%, 11/15/16............................. 30,000 30,503,160
0.750%, 04/20/17............................. 10,000 9,948,320
------------
TOTAL AGENCY OBLIGATIONS........................... 67,491,359
------------
U.S. TREASURY OBLIGATIONS -- (10.6%)
U.S. Treasury Notes
++^^ 0.375%, 11/15/15............................. 75,000 75,161,100
0.875%, 12/31/16............................. 30,000 30,112,500
------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 105,273,600
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $988,722,714).............................. $994,999,951
============
Summary of the Portfolio's investments as of April 30, 2014, 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.............................. -- $ 51,245,670 -- $ 51,245,670
Canada................................. -- 74,182,591 -- 74,182,591
Finland................................ -- 15,533,550 -- 15,533,550
France................................. -- 7,712,550 -- 7,712,550
Germany................................ -- 29,104,982 -- 29,104,982
Japan.................................. -- 13,911,334 -- 13,911,334
Netherlands............................ -- 50,373,355 -- 50,373,355
Supranational Organization Obligations. -- 64,591,958 -- 64,591,958
Sweden................................. -- 47,420,869 -- 47,420,869
Switzerland............................ -- 2,468,150 -- 2,468,150
United Kingdom......................... -- 69,353,394 -- 69,353,394
United States.......................... -- 396,336,589 -- 396,336,589
Agency Obligations....................... -- 67,491,359 -- 67,491,359
U.S. Treasury Obligations................ -- 105,273,600 -- 105,273,600
Swap Agreements**........................ -- (984,679) -- (984,679)
Futures Contracts**...................... $2,080,114 -- -- 2,080,114
Forward Currency Contracts**............. -- (1,248,175) -- (1,248,175)
---------- ------------ -- ------------
TOTAL.................................... $2,080,114 $992,767,097 -- $994,847,211
========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
152
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investments at Value................................................................... $ 995,000
Temporary Cash......................................................................... 31,914
Foreign Currencies at Value............................................................ 3
Cash................................................................................... 60,813
Receivables:
Interest............................................................................. 7,580
Fund Shares Sold..................................................................... 4,131
Unrealized Gain on Swap Contracts...................................................... 1,856
Unrealized Gain on Forward Currency Contracts.......................................... 88
Prepaid Expenses and Other Assets...................................................... 52
------------
Total Assets...................................................................... 1,101,437
------------
LIABILITIES:
Payables:
Investment Securities Purchased...................................................... 15,686
Fund Shares Redeemed................................................................. 292
Due to Advisor....................................................................... 260
Futures Margin Variation............................................................. 461
Unrealized Loss on Swap Contracts...................................................... 2,841
Unrealized Loss on Forward Currency Contracts.......................................... 1,336
Accrued Expenses and Other Liabilities................................................. 28
------------
Total Liabilities................................................................. 20,904
------------
NET ASSETS............................................................................. $ 1,080,533
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 116,897,142
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 9.24
============
Investments at Cost.................................................................... $ 988,723
============
Foreign Currencies at Cost............................................................. $ 3
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 979,846
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 1,470
Accumulated Net Realized Gain (Loss)................................................... 93,054
Net Unrealized Foreign Exchange Gain (Loss)............................................ (1,209)
Net Unrealized Appreciation (Depreciation)............................................. 7,372
------------
NET ASSETS............................................................................. $ 1,080,533
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000
============
See accompanying Notes to Financial Statements.
153
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
Investment Income
Interest........................................................................................ $ 4,382
--------
Total Investment Income...................................................................... 4,382
--------
Expenses
Investment Advisory Services Fees............................................................... 1,639
Accounting & Transfer Agent Fees................................................................ 27
Custodian Fees.................................................................................. 12
Filing Fees..................................................................................... 46
Shareholders' Reports........................................................................... 17
Directors'/Trustees' Fees & Expenses............................................................ 5
Professional Fees............................................................................... 18
Other........................................................................................... 5
--------
Total Expenses............................................................................... 1,769
--------
Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note D). (305)
Fees Paid Indirectly............................................................................ (4)
--------
Net Expenses.................................................................................... 1,460
--------
Net Investment Income (Loss).................................................................... 2,922
--------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................................................... 1,752
Futures....................................................................................... 4,295
Swap Contracts................................................................................ 91,609
Foreign Currency Transactions................................................................. (4,519)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................................................... 3,495
Futures....................................................................................... 2,648
Swap Contracts................................................................................ 4,601
Translation of Foreign Currency Denominated Amounts........................................... (435)
--------
Net Realized and Unrealized Gain (Loss)......................................................... 103,446
--------
Net Increase (Decrease) in Net Assets Resulting from Operations................................... $106,368
========
See accompanying Notes to Financial Statements.
154
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Six Months Year
Ended Ended
April 30, Oct. 31,
2014 2013
----------- ---------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................................................... $ 2,922 $ 4,128
Net Realized Gain (Loss) on:
Investment Securities Sold......................................................... 1,752 952
Futures............................................................................ 4,295 (1,683)
Swap Contracts..................................................................... 91,609 (68,369)
Foreign Currency Transactions...................................................... (4,519) (1,229)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... 3,495 75
Futures............................................................................ 2,648 (717)
Swap Contracts..................................................................... 4,601 (6,861)
Translation of Foreign Currency Denominated Amounts................................ (435) 715
---------- ---------
Net Increase (Decrease) in Net Assets Resulting from Operations................... 106,368 (72,989)
---------- ---------
Distributions From:
Net Investment Income:
Institutional Class Shares......................................................... (2,952) (2,493)
Net Short-Term Gains:
Institutional Class Shares......................................................... (379) (472)
Net Long-Term Gains:
Institutional Class Shares......................................................... (474) (472)
---------- ---------
Total Distributions............................................................... (3,805) (3,437)
---------- ---------
Capital Share Transactions (1):
Shares Issued........................................................................ 382,881 552,864
Shares Issued in Lieu of Cash Distributions.......................................... 3,737 3,267
Shares Redeemed...................................................................... (194,962) (151,470)
---------- ---------
Net Increase (Decrease) from Capital Share Transactions........................... 191,656 404,661
---------- ---------
Total Increase (Decrease) in Net Assets........................................... 294,219 328,235
Net Assets
Beginning of Period.................................................................. 786,314 458,079
---------- ---------
End of Period........................................................................ $1,080,533 $ 786,314
========== =========
(1) Shares Issued and Redeemed:
Shares Issued........................................................................ 44,947 63,019
Shares Issued in Lieu of Cash Distributions.......................................... 435 366
Shares Redeemed...................................................................... (23,182) (17,417)
---------- ---------
Net Increase (Decrease) from Shares Issued and Redeemed........................... 22,200 45,968
========== =========
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 1,470 $ 1,500
See accompanying Notes to Financial Statements.
155
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Six Months Year Year
Ended Ended Ended
April 30, Oct. 31, Oct. 31,
2014 2013 2012
----------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.................................................. $ 8.30 $ 9.40 $ 9.77
---------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).................................................... 0.03 0.06 0.07
Net Gains (Losses) on Securities (Realized and Unrealized).......................... 0.95 (1.10) (0.37)
---------- -------- --------
Total from Investment Operations................................................... 0.98 (1.04) (0.30)
----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................................................... (0.03) (0.04) (0.06)
Net Realized Gains.................................................................. (0.01) (0.02) (0.01)
---------- -------- --------
Total Distributions................................................................ (0.04) (0.06) (0.07)
----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period........................................................ $ 9.24 $ 8.30 $ 9.40
====================================================================================== =========== ======== ========
Total Return.......................................................................... 11.82%(D) (11.15)% (3.08)%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................................................. $1,080,533 $786,314 $458,079
Ratio of Expenses to Average Net Assets............................................... 0.33%(E) 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%(E) 0.40% 0.41%
Ratio of Net Investment Income to Average Net Assets.................................. 0.66%(E) 0.66% 0.79%
Portfolio Turnover Rate............................................................... 39%(D) 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.
156
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, as
amended (the "1940 Act"), whose shares are generally offered, without a sales
charge, to institutional investors, retirement plans and clients of registered
investment advisors. The Fund consists of seventy-seven operational portfolios,
one of which, DFA Commodity Strategy Portfolio (the "Portfolio"), is included
in this section of the report. The remaining operational portfolios are
presented in separate reports.
The Portfolio wholly owns and controls Dimensional Cayman Commodity Fund I,
LTD. (the "Subsidiary"), a company organized under the laws of the Cayman
Islands. The Subsidiary is not registered as an investment company under the
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.
157
A summary of the inputs used to value the Portfolio's investments by each
major security type, industry and/or country is disclosed previously in this
note. A valuation hierarchy table has been included at the end of the Schedule
of Investments. The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
For the six months ended April 30, 2014, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolio.
2. Deferred Compensation Plan: Each eligible Director/Trustee of the Fund
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of April 30, 2014, 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.
158
To the extent of the Portfolio's investment through the Subsidiary, it will
be subject to the risks associated with the commodities, derivatives and other
instruments in which the Subsidiary invests. By investing in the Subsidiary,
the Portfolio is indirectly exposed to the risks associated with the
Subsidiary's investments. The derivatives and other investments held by the
Subsidiary are generally similar to those that are permitted to be held by the
Portfolio and are subject to the same risks that apply to similar investments
if held directly by the Portfolio.
The Subsidiary is classified as a controlled foreign corporation under
Subchapter M of the Internal Revenue Code. Therefore, the Portfolio is required
to increase its taxable income by its share of the Subsidiary's income. Net
investment losses of the Subsidiary cannot be deducted by the Portfolio in the
current period nor carried forward to offset taxable income in future periods.
As of April 30, 2014, the Portfolio held $234,587,322 in the Subsidiary,
representing 21.30% of the Portfolio's total assets. The accompanying
consolidated financial statements include all assets, liabilities, revenues and
expenses of the Portfolio and its wholly-owned Subsidiary. The accompanying
consolidated financial statements include the accounts of the Subsidiary.
Intercompany balances and transactions have been eliminated in consolidation.
D. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Portfolio. For the six months ended April 30, 2014, 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 "Fee Waiver 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, 2015,
and may only be terminated by the Fund's Board of Directors prior to that date.
The Fee Waiver Agreement will continue in effect from year to year thereafter
unless terminated by the Fund or the Advisor. At April 30, 2014, there were no
previously waived fees subjected to future recovery by the Advisor.
The Subsidiary has entered into a separate contract with the Advisor whereby
the Advisor or its affiliates provide investment advisory and other services to
the Subsidiary. For the investment advisory services it provides, the Advisor
is entitled to a fee from the Subsidiary equal to 0.30% of the Subsidiary's
average net assets on an annualized basis; however, pursuant to a contractual
agreement, the Advisor has agreed to waive the management fee of the Subsidiary.
For the six months ended April 30, 2014, approximately $305 (in thousands)
of the Subsidiary's management fees were waived pursuant to the Subsidiary fee
waiver agreement.
Earned Income Credit:
In addition, the Portfolio has entered into an arrangement with its
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of the Portfolio's custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
During the six months ended April 30, 2014, expenses reduced were as follows
(amounts in thousands):
Fees Paid
Indirectly
----------
DFA Commodity Strategy Portfolio. $4
159
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2014, the total
related amounts paid by the Fund to the CCO were $130 (in thousands). The total
related amounts paid by the Portfolio are included in Other Expenses on the
Statement of Operations.
E. Deferred Compensation:
At April 30, 2014, 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. $7
F. Purchases and Sales of Securities:
For the six months ended April 30, 2014, 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. $140,824 $189,777 $430,523 $144,111
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
160
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 April 30, 2014, 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, as follows
(amounts in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
-------- ------------ ------------ --------------
DFA Commodity Strategy Portfolio. $988,723 $7,163 $(886) $6,277
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.
161
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
Statement 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 Statement of Operations as a net realized gain or loss on
foreign currency transactions.
At April 30, 2014, 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
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Amount April 30, 2014 Gain (Loss)
---------- -------- ------------------ --------- -------------- -----------
05/22/14 (7,148) Canadian Dollar $ (6,490) $ (6,518) $ (28)
06/09/14 (12,144) Euro (16,724) (16,846) (122)
05/13/14 (14,127) New Zealand Dollar (12,259) (12,171) 88
05/08/14 (89,475) UK Pound Sterling (149,876) (151,062) (1,186)
--------- --------- -------
$(185,349) $(186,597) $(1,248)
========= ========= =======
* During the six months ended April 30, 2014, the Portfolio's average contract
amount of forward currency contracts was $159,130 (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
162
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
163
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 April 30, 2014, 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. 08/14/14 39 $4,146 $(45)
CBT Wheat Futures....... 07/14/14 72 2,597 91
Coffee 'C' Futures...... 07/21/14 34 2,625 278
Copper Futures.......... 07/29/14 58 4,390 39
Corn Futures............ 07/14/14 242 6,280 276
Cotton No.2 Futures..... 07/09/14 24 1,131 1
Gasoline RBOB Futures... 06/30/14 21 2,583 51
Gold 100 oz Futures..... 08/27/14 61 7,905 72
164
Expiration Number of Contract Unrealized
Description Date Contracts* Amount Gain (Loss)
----------- ---------- ---------- -------- -----------
KCB Wheat Futures.......... 07/14/14 24 975 54
LME Nickel Futures......... 07/16/14 16 1,760 199
LME Prime Aluminum Futures. 07/14/14 69 3,095 3
LME Zinc Futures........... 07/14/14 29 1,482 31
Lean Hogs Futures.......... 07/15/14 35 1,714 1
Live Cattle Futures........ 08/29/14 39 2,123 39
NY Harbor ULSD Futures..... 06/30/14 20 2,456 2
Natural Gas Futures........ 06/26/14 153 7,410 514
Silver Futures............. 07/29/14 27 2,588 (108)
Soybean Futures............ 07/14/14 160 12,101 395
Soybean Meal Futures....... 07/14/14 42 2,074 161
Soybean Oil Futures........ 07/14/14 81 2,047 34
Sugar #11 Futures.......... 06/30/14 143 2,838 (11)
WTI Crude Futures.......... 06/20/14 59 5,847 3
------- ------
$80,167 $2,080
======= ======
The Subsidiary's securities have been segregated as collateral for open
futures contracts.
* During the six months ended April 30, 2014 the Subsidiary's average notional
contract amount of outstanding futures contracts was $51,214 (in thousands).
At April 30, 2014, the Subsidiary had the following outstanding commodity
total return swaps, which are typically on custom commodity indices that
include exposure to various precious metal, energy and agricultural commodities
(dollar amounts in thousands):
Unrealized
Commodity Expiration Notional Appreciation
Counterparty Exposure Date Amount* (Depreciation)
------------ ----------- ---------- --------- --------------
Citibank, N.A................... Index** 06/30/14 USD $(248,143) $ (33)
Citibank, N.A................... Natural Gas 07/02/14 USD 66,808 (994)
Citibank, N.A................... Natural Gas 09/02/14 USD (66,402) 979
Credit Suisse................... Corn 05/30/14 USD (38,583) 244
Credit Suisse................... Corn 05/30/14 USD (11,958) 135
Credit Suisse................... Index** 05/30/14 USD (229,756) (31)
Credit Suisse................... Corn 05/30/14 USD 12,113 (214)
Credit Suisse................... Corn 05/30/14 USD 38,888 (686)
Deutsche Bank AG, London Branch. Soybean 05/30/14 USD (33,784) 498
Deutsche Bank AG, London Branch. Index** 05/30/14 USD (276,178) (37)
Deutsche Bank AG, London Branch. Soybean 05/30/14 USD 40,782 (814)
UBS AG.......................... Index** 07/31/14 USD (240,093) (32)
--------- -----
$(986,306) $(985)
========= =====
The Portfolio received cash collateral of $7,300 (in thousands) and
securities with a market value of $11,592 (in thousands) for swap contracts.
* During the six months ended April 30, 2014 the Subsidiary's average notional
value of outstanding swap contracts was $1,003,468 (in thousands).
**Swap is exposed to the 22 commodities in the Dow Jones-UBS Commodity Index.
165
The following is a summary of the location of derivatives on the Portfolio's
Statement of Assets and Liabilities as of April 30, 2014:
Location on the Statement 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 April 30, 2014 (amounts in
thousands):
Asset Derivatives Value
-------------------------------------------
Total Value Foreign
at Exchange Commodity Swap
April 30, 2014 Contracts Contracts Contracts
- -------------- --------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD.. 4,188 88 2,244* 1,856
Liability Derivatives Value
-------------------------------------------
Total Value Foreign
at Exchange Commodity Swap
April 30, 2014 Contracts Contracts Contracts
- -------------- --------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD.. (4,341) (1,336) (164)* (2,841)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reporting within the Statement of Assets
and Liabilities.
The following is a summary of the location on the Portfolio's Statement of
Operations of realized and change in unrealized gains and losses from the
Portfolio's derivative instrument holdings for the six months ended April 30,
2014:
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 six months ended April 30, 2014 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives Recognized in Income
------------------------------------
Foreign
Exchange Commodity Swap
Total Contracts Contracts Contracts
------ --------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD.. 91,460 (4,444) 4,295 91,609
166
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
-----------------------------------
Foreign
Exchange Commodity Swap
Total Contracts Contracts Contracts
----- --------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD.. 6,786 (463) 2,648 4,601
Offsetting of Derivative Assets and Derivative Liabilities
The following tables present the Portfolio's gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolio as of April 30, 2014
(Amounts in thousands):
Gross Amounts Not
Offset in the
Consolidated
Statement of
Assets and Liabilities
-----------------------
Net Amounts of
Assets
Presented in
Gross the Consolidated Gross
Amounts of Statement of Cash Amounts of
Recognized Assets and Financial Collateral Net Recognized
Description Assets (a) Liabilities Instruments (b) Received Amount (c) - Liabilities (a)
------------------------------------------------------------------------------------------ ----------------
Assets
------------------------------------------------------------------ ---------------
DFA Commodity Strategy
Portfolio
Forward Currency
Contracts........... $ 88 $ 88 -- -- $88 $1,336
Swap Contracts....... 1,856 1,856 $(1,856)(f) --(f) -- 2,841
Gross Amounts Not
Offset in the
Consolidated
Statement of
Assets and Liabilities
--------------------------
Net Amounts
of Liabilities
Presented in
the Consolidated
Statement of Cash
Assets and Financial Collateral Net
Description Liabilities Instruments (d) Pledged Amount (e)
------------------------------------------------------------------------------
Liabilities
-------------------------------------------------------
DFA Commodity Strategy
Portfolio
Forward Currency
Contracts........... $1,336 -- -- $1,336
Swap Contracts....... 2,841 $(2,841)(f) -- --
(a)No amounts have been netted against the gross amounts recognized in the
Statement of Assets and Liabilities
(b)Represents the amount of assets that could be offset by liabilities with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Consolidated Statement of Assets and Liabilities.
(c)Represents the net amount due from counterparties in the event of default.
(d)Represents the amount of liabilities that could be offset by assets with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Consolidated Statement of Assets and Liabilities.
(e)Represents the net amount due to counterparties in the event of default.
(f)The actual collateral received is greater than the amount shown here due to
overcollateralization.
I. 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 agreement for the line of credit was scheduled to
expire on March 3, 2014, however, effective March 3, 2014, the term was
extended until March 2, 2015.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 10, 2014 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 line of credit agreement expires on
January 9, 2015.
There were no borrowings by the Portfolio under the lines of credit during
the six months ended April 30, 2014.
167
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. Other:
At April 30, 2014, three shareholders held 84% 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.
L. 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.
168
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2014
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,052.50 0.68% $3.46
Institutional Class Shares......... $1,000.00 $1,053.80 0.43% $2.19
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,021.42 0.68% $3.41
Institutional Class Shares......... $1,000.00 $1,022.66 0.43% $2.16
169
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Company Portfolio
----------------------------
Actual Fund Return............ $1,000.00 $1,083.40 0.08% $0.41
Hypothetical 5% Annual Return. $1,000.00 $1,024.40 0.08% $0.40
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
170
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 31, 2014. 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....................... 11.8%
Consumer Staples............................. 9.9%
Energy....................................... 10.6%
Financials................................... 13.9%
Health Care.................................. 13.2%
Industrials.................................. 10.7%
Information Technology....................... 18.5%
Materials.................................... 3.5%
Real Estate Investment Trusts................ 2.2%
Telecommunication Services................... 2.5%
Utilities.................................... 3.2%
-----
100.0%
171
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $7,124,146,659
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $5,792,632,219)............................. $7,124,146,659
==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014,
based on their valuation inputs, is located within this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
172
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (96.6%)
Consumer Discretionary -- (11.4%)
* Amazon.com, Inc.................... 115,310 $ 35,069,230 0.7%
Comcast Corp. Class A.............. 807,950 41,819,492 0.8%
Home Depot, Inc. (The)............. 436,507 34,706,672 0.7%
McDonald's Corp.................... 306,833 31,106,730 0.6%
Walt Disney Co. (The).............. 505,068 40,072,095 0.8%
Other Securities................... 433,654,316 8.1%
------------ -----
Total Consumer Discretionary........... 616,428,535 11.7%
------------ -----
Consumer Staples -- (9.5%)
Altria Group, Inc.................. 617,723 24,776,870 0.5%
Coca-Cola Co. (The)................ 1,174,494 47,907,610 0.9%
CVS Caremark Corp.................. 366,516 26,653,044 0.5%
PepsiCo, Inc....................... 471,917 40,532,951 0.8%
Philip Morris International, Inc... 491,361 41,976,970 0.8%
Procter & Gamble Co. (The)......... 840,453 69,379,395 1.3%
Wal-Mart Stores, Inc............... 501,495 39,974,166 0.7%
Other Securities................... 222,247,299 4.2%
------------ -----
Total Consumer Staples................. 513,448,305 9.7%
------------ -----
Energy -- (10.2%)
Chevron Corp....................... 591,771 74,279,096 1.4%
ConocoPhillips..................... 380,055 28,241,887 0.5%
Exxon Mobil Corp................... 1,339,451 137,173,177 2.6%
Occidental Petroleum Corp.......... 246,347 23,587,725 0.4%
Schlumberger, Ltd.................. 405,232 41,151,310 0.8%
Other Securities................... 247,777,364 4.8%
------------ -----
Total Energy........................... 552,210,559 10.5%
------------ -----
Financials -- (13.4%)
American Express Co................ 283,252 24,764,722 0.5%
American International Group, Inc.. 453,816 24,111,244 0.5%
Bank of America Corp............... 3,275,795 49,595,536 0.9%
* Berkshire Hathaway, Inc. Class B... 558,002 71,898,558 1.4%
Citigroup, Inc..................... 941,208 45,093,275 0.9%
JPMorgan Chase & Co................ 1,173,799 65,709,268 1.2%
Wells Fargo & Co................... 1,484,218 73,676,582 1.4%
Other Securities................... 369,599,648 6.9%
------------ -----
Total Financials....................... 724,448,833 13.7%
------------ -----
Health Care -- (12.8%)
AbbVie, Inc........................ 492,392 25,643,775 0.5%
Amgen, Inc......................... 234,029 26,152,741 0.5%
Bristol-Myers Squibb Co............ 509,604 25,526,064 0.5%
* Gilead Sciences, Inc............... 476,811 37,424,895 0.7%
Johnson & Johnson.................. 876,872 88,818,365 1.7%
Merck & Co., Inc................... 911,502 53,377,557 1.0%
Pfizer, Inc........................ 1,978,510 61,887,793 1.2%
Other Securities................... 369,084,402 6.9%
------------ -----
Total Health Care...................... 687,915,592 13.0%
------------ -----
173
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (10.4%)
3M Co.............................................. 195,143 $ 27,142,440 0.5%
Boeing Co. (The)................................... 211,998 27,351,982 0.5%
General Electric Co................................ 3,109,960 83,626,824 1.6%
Union Pacific Corp................................. 141,054 26,860,913 0.5%
United Technologies Corp........................... 260,999 30,884,012 0.6%
Other Securities................................... 363,864,275 6.9%
-------------- ------
Total Industrials........................................ 559,730,446 10.6%
-------------- ------
Information Technology -- (17.9%)
Apple, Inc......................................... 276,489 163,153,394 3.1%
Cisco Systems, Inc................................. 1,596,738 36,900,615 0.7%
* Facebook, Inc. Class A............................. 529,529 31,655,244 0.6%
* Google, Inc. Class A............................... 87,499 46,801,465 0.9%
* Google, Inc. Class C............................... 87,499 46,082,223 0.9%
Intel Corp......................................... 1,541,166 41,133,721 0.8%
International Business Machines Corp............... 303,417 59,612,338 1.1%
MasterCard, Inc. Class A........................... 316,300 23,263,865 0.4%
Microsoft Corp..................................... 2,341,401 94,592,600 1.8%
Oracle Corp........................................ 1,073,425 43,881,614 0.8%
QUALCOMM, Inc...................................... 524,183 41,258,444 0.8%
Visa, Inc. Class A................................. 157,121 31,834,286 0.6%
Other Securities................................... 305,937,266 5.8%
-------------- ------
Total Information Technology............................. 966,107,075 18.3%
-------------- ------
Materials -- (3.4%)
Other Securities................................... 182,878,835 3.5%
-------------- ------
Real Estate Investment Trusts -- (2.1%)
Other Securities................................... 115,836,157 2.2%
-------------- ------
Telecommunication Services -- (2.4%)
AT&T, Inc.......................................... 1,613,962 57,618,443 1.1%
Verizon Communications, Inc........................ 1,283,626 59,983,843 1.2%
Other Securities................................... 9,773,159 0.1%
-------------- ------
Total Telecommunication Services......................... 127,375,445 2.4%
-------------- ------
Utilities -- (3.1%)
Other Securities................................... 165,559,104 3.1%
-------------- ------
TOTAL COMMON STOCKS...................................... 5,211,938,886 98.7%
-------------- ------
TEMPORARY CASH INVESTMENTS -- (1.1%)
State Street Institutional Liquid Reserves, 0.074%. 61,231,350 61,231,350 1.2%
-------------- ------
Shares/
Face
Amount
-------
(000)
SECURITIES LENDING COLLATERAL -- (2.3%)
(S)@ DFA Short Term Investment Fund..................... 10,498,920 121,472,506 2.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,765,040,167)................................ $5,394,642,742 102.2%
============== ======
174
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 616,428,535 -- -- $ 616,428,535
Consumer Staples.............. 513,448,305 -- -- 513,448,305
Energy........................ 552,210,559 -- -- 552,210,559
Financials.................... 724,448,833 -- -- 724,448,833
Health Care................... 687,915,592 -- -- 687,915,592
Industrials................... 559,730,446 -- -- 559,730,446
Information Technology........ 966,107,075 -- -- 966,107,075
Materials..................... 182,878,835 -- -- 182,878,835
Real Estate Investment Trusts. 115,836,157 -- -- 115,836,157
Telecommunication Services.... 127,375,445 -- -- 127,375,445
Utilities..................... 165,559,104 -- -- 165,559,104
Temporary Cash Investments...... 61,231,350 -- -- 61,231,350
Securities Lending Collateral... -- $121,472,506 -- 121,472,506
Futures Contracts**............. 591,423 -- -- 591,423
-------------- ------------ -- --------------
TOTAL........................... $5,273,761,659 $121,472,506 -- $5,395,234,165
============== ============ == ==============
**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.
175
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands, except share and per share amounts)
DFA U.S. Large
International Company
Value Portfolio Portfolio
--------------- ------------
ASSETS:
Investments in Affiliated Investment Company at Value..................................... $ 7,124,147 $ --
Investments at Value (including $0 and $119,833 of securities on loan, respectively)...... $ -- $ 5,211,939
Temporary Cash Investments at Value & Cost................................................ -- 61,231
Collateral from Securities on Loan Invested in Affiliate at Value & Cost.................. -- 121,473
Segregated Cash for Futures Contracts..................................................... -- 2,898
Receivables:
Dividends, Interest and Tax Reclaims.................................................... -- 4,830
Securities Lending Income............................................................... -- 20
Fund Shares Sold........................................................................ 12,953 4,910
Futures Margin Variation................................................................ -- 214
Prepaid Expenses and Other Assets......................................................... 67 49
-------------- ------------
Total Assets......................................................................... 7,137,167 5,407,564
-------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................................................ -- 121,473
Investment Securities Purchased......................................................... -- 1,550
Fund Shares Redeemed.................................................................... 2,655 2,873
Due to Advisor.......................................................................... 1,150 242
Accrued Expenses and Other Liabilities.................................................... 273 583
-------------- ------------
Total Liabilities.................................................................... 4,078 126,721
-------------- ------------
NET ASSETS................................................................................ $ 7,133,089 $ 5,280,843
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $11,702 and $0 and shares outstanding of
583,059 and 0, respectively.............................................................. $ 20.07 $ N/A
============== ============
NUMBER OF SHARES AUTHORIZED............................................................... 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net assets of $7,121,387 and $5,280,843 and shares
outstanding of 355,005,317 and 354,982,901, respectively................................. $ 20.06 $ 14.88
============== ============
NUMBER OF SHARES AUTHORIZED............................................................... 1,500,000,000 900,000,000
============== ============
Investments in Affiliated Investment Companies at Cost.................................... $ 5,792,632 $ --
-------------- ------------
Investments at Cost....................................................................... $ -- $ 2,582,337
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................... $ 6,259,382 $ 2,983,253
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... 60,195 13,361
Accumulated Net Realized Gain (Loss)...................................................... (518,400) (345,964)
Net Unrealized Foreign Exchange Gain (Loss)............................................... 397 --
Net Unrealized Appreciation (Depreciation)................................................ 1,331,515 2,630,193
-------------- ------------
NET ASSETS................................................................................ $ 7,133,089 $ 5,280,843
============== ============
See accompanying Notes to Financial Statements.
176
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(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 $8,558 and $0, respectively)........ $201,665 $ --
Interest........................................................................ 1 --
Income from Securities Lending.................................................. 4,138 --
Expenses Allocated from Affiliated Investment Company........................... (7,284) --
-------- --------
Total Net Investment Income Received from Affiliated Investment Companies.... 198,520 --
-------- --------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0 and $4, respectively)............ $ -- $ 52,445
Interest........................................................................ -- 2
Income from Securities Lending.................................................. -- 120
-------- --------
Total Investment Income...................................................... -- 52,567
-------- --------
Expenses
Investment Advisory Services Fees............................................... -- 634
Administrative Services Fees.................................................... 6,682 887
Accounting & Transfer Agent Fees................................................ 32 148
S&P 500(R) Fees................................................................. -- 51
Shareholder Servicing Fees -- Class R2 Shares................................... 8 --
Custodian Fees.................................................................. -- 31
Filing Fees..................................................................... 63 41
Shareholders' Reports........................................................... 65 45
Directors'/Trustees' Fees & Expenses............................................ 44 35
Professional Fees............................................................... 22 111
Other........................................................................... 24 25
-------- --------
Total Expenses............................................................... 6,940 2,008
-------- --------
Net Expenses.................................................................... 6,940 2,008
-------- --------
Net Investment Income (Loss).................................................... 191,580 50,559
-------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................................. 93,970 45,964
Futures....................................................................... -- 7,403
Foreign Currency Transactions................................................. 262 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................................... 74,672 305,650
Futures....................................................................... (25) (1,675)
Translation of Foreign Currency Denominated Amounts........................... 49 --
-------- --------
Net Realized and Unrealized Gain (Loss)......................................... 168,928 357,342
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations................... $360,508 $407,901
======== ========
----------
* 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 $6 and $0, respectively.
See accompanying Notes to Financial Statements.
177
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International Value U.S. Large Company
Portfolio Portfolio
----------------------- ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013
----------- ----------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................... $ 191,580 $ 177,660 $ 50,559 $ 95,270
Capital Gain Distributions Received from Investment Securities. -- -- -- 409
Net Realized Gain (Loss) on:
Investment Securities Sold*.................................. 93,970 296,792 45,964 180,412
Futures...................................................... -- (1,213) 7,403 8,021
Foreign Currency Transactions................................ 262 (1,636) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... 74,672 993,902 305,650 780,086
Futures...................................................... (25) 27 (1,675) 2,321
Translation of Foreign Currency Denominated Amounts.......... 49 396 -- --
---------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................. 360,508 1,465,928 407,901 1,066,519
---------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Class R2 Shares.............................................. (119) (218) -- --
Institutional Class Shares................................... (145,688) (189,040) (49,877) (94,840)
---------- ----------- ---------- ----------
Total Distributions......................................... (145,807) (189,258) (49,877) (94,840)
---------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued.................................................. 812,590 1,466,636 370,836 774,924
Shares Issued in Lieu of Cash Distributions.................... 141,263 178,512 43,658 82,335
Shares Redeemed................................................ (563,337) (1,881,241) (409,011) (948,938)
---------- ----------- ---------- ----------
Net Increase (Decrease) from Capital Share Transactions..... 390,516 (236,093) 5,483 (91,679)
---------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets..................... 605,217 1,040,577 363,507 880,000
Net Assets
Beginning of Period............................................ 6,527,872 5,487,295 4,917,336 4,037,336
---------- ----------- ---------- ----------
End of Period.................................................. $7,133,089 $ 6,527,872 $5,280,843 $4,917,336
========== =========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued.................................................. 41,533 83,922 25,748 62,326
Shares Issued in Lieu of Cash Distributions.................... 7,230 10,436 3,057 6,727
Shares Redeemed................................................ (28,832) (107,838) (28,360) (76,529)
---------- ----------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed................................................... 19,931 (13,480) 445 (7,476)
========== =========== ========== ==========
Undistributed Net Investment Income (Distributions in Excess
of Net Investment Income)....................................... $ 60,195 $ 14,422 $ 13,361 $ 12,679
----------
* Net of foreign capital gain taxes withheld of $6, $2, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
178
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio-Class R2 Shares+
----------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
---------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............. $ 19.46 $15.72 $15.83 $17.82 $17.13 $13.58
------- ------ ------ ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.55 0.49 0.51 0.53 0.37 0.42
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.46 3.77 (0.13) (2.00) 1.29 4.10
------- ------ ------ ------ ------ ------
Total from Investment Operations............... 1.01 4.26 0.38 (1.47) 1.66 4.52
---------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.40) (0.52) (0.49) (0.52) (0.97) (0.97)
------- ------ ------ ------ ------ ------
Total Distributions............................ (0.40) (0.52) (0.49) (0.52) (0.97) (0.97)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 20.07 $19.46 $15.72 $15.83 $17.82 $17.13
================================================= =========== ======== ======== ======== ======== ========
Total Return...................................... 5.25%(D) 27.61% 2.70% (8.53)% 10.60% 34.86%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $11,702 $5,517 $6,407 $6,102 $4,952 $3,443
Ratio of Expenses to Average Net Assets (B)....... 0.68%(E) 0.69% 0.71% 0.71% 0.72% 0.74%
Ratio of Net Investment Income to Average Net
Assets........................................... 5.65%(E) 2.84% 3.33% 2.97% 2.11% 2.96%
---------------------------------------------------------------------------------------------------------------
DFA International Value Portfolio-Institutional Class Shares
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............. $ 19.45 $ 15.72 $ 15.83 $ 17.81 $ 16.46 $ 12.54
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.56 0.52 0.54 0.58 0.39 0.40
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.47 3.78 (0.12) (1.99) 1.34 3.92
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations............... 1.03 4.30 0.42 (1.41) 1.73 4.32
------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.42) (0.57) (0.53) (0.57) (0.38) (0.40)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............................ (0.42) (0.57) (0.53) (0.57) (0.38) (0.40)
------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 20.06 $ 19.45 $ 15.72 $ 15.83 $ 17.81 $ 16.46
================================================= =========== ========== ========== ========== ========== ==========
Total Return...................................... 5.38%(D) 27.90% 2.98% (8.26)% 10.94% 35.11%
------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $7,121,387 $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%(E) 0.43% 0.45% 0.45% 0.45% 0.46%
Ratio of Net Investment Income to Average Net
Assets........................................... 5.73%(E) 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.
179
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Company Portfolio
-------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
--------------------------------------------------------------------------------------------------------------------------------
(Unaudited)
Net Asset Value, Beginning of Period.............. $ 13.87 $ 11.15 $ 9.90 $ 9.34 $ 8.16 $ 7.62
---------- ---------- ---------- ---------- ---------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.14 0.27 0.22 0.19 0.18 0.18
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 1.01 2.71 1.25 0.56 1.15 0.55
---------- ---------- ---------- ---------- ---------- --------
Total from Investment Operations............... 1.15 2.98 1.47 0.75 1.33 0.73
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.14) (0.26) (0.22) (0.19) (0.15) (0.19)
---------- ---------- ---------- ---------- ---------- --------
Total Distributions............................ (0.14) (0.26) (0.22) (0.19) (0.15) (0.19)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 14.88 $ 13.87 $ 11.15 $ 9.90 $ 9.34 $ 8.16
================================================= =========== ========== ========== ========== ========== ========
Total Return...................................... 8.34%(D) 27.10% 15.02% 8.09% 16.47% 10.07%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $5,280,843 $4,917,336 $4,037,336 $3,762,013 $3,712,973 $785,689
Ratio of Expenses to Average Net Assets........... 0.08%(E) 0.09% 0.10% 0.10% 0.10%** 0.10%(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)............................ 0.08%(E) 0.10% 0.10% 0.10% 0.11%** 0.13%(B)
Ratio of Net Investment Income to Average Net
Assets........................................... 1.99%(E) 2.13% 2.10% 1.95% 1.99% 2.53%
Portfolio Turnover Rate........................... 2%(D) 3% 4% 4% 1%* 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.
180
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group, Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, two of which, DFA International Value Portfolio and U.S. Large
Company Portfolio (the "Portfolios"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
DFA International Value Portfolio (the "Feeder Fund") primarily invests its
assets in The DFA International Value Series (the "Series"), a corresponding
series of The DFA Investment Trust Company. At April 30, 2014, the Feeder Fund
owned 75% 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.
181
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
182
Summary Schedule of Portfolio Holdings/Schedule of Investments. The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the six months ended April 30, 2014, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolios.
2. Deferred Compensation Plan: Each eligible Director/Trustee of the Fund
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of April 30, 2014, 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 six months ended April 30, 2014, 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*..... 0.035%
183
For the six months ended April 30, 2014, 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%
Prior to February 28, 2014, the Portfolio was provided administrative
services under an administrative agreement. Effective February 28, 2014, the
administrative agreement and investment advisory agreement for the Portfolio
was combined into an investment management agreement that provides for an
investment management fee, equal to the Portfolio's previous investment
advisory services fee and administrative services fee, payable to the Advisor
for both investment advisory services and administrative services.
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 will remain in effect
through February 28, 2015, and may only be terminated by the Fund's Board of
Directors prior to that date. The Fee Waiver Agreement shall continue in effect
from year to year thereafter unless terminated by the Fund or the Advisor. For
the six months ended April 30, 2014, 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
----------------- ------------- -----------------
Institutional Class Shares
U.S. Large Company Portfolio (1)...... 0.08% $40 $432
Class R2 Shares
DFA International Value Portfolio (2). 0.79% -- --
(1) Effective August 1, 2013, the Advisor has contractually agreed to waive
all or a portion of its management 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.
184
(2) 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 of the Class R2 shares of the Portfolio (excluding the
expenses the Portfolio incurs indirectly through investment in other investment
companies) 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 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
annualized expenses of the Class R2 shares of the Portfolio to exceed the
Expense Limitation Amount, as listed above.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2014, the total
related amounts paid by the Fund to the CCO were $15 (in thousands). The total
related amounts paid by each Portfolio are included in Other Expenses on the
Statement of Operations.
D. Deferred Compensation:
At April 30, 2014, 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. $201
U.S. Large Company Portfolio...... 255
E. Purchases and Sales of Securities:
For the six months ended April 30, 2014, 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. $95,742 $76,223
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
185
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...... -- --
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 Other Unrealized Earnings
Short-Term Capital Loss Temporary Appreciation (Accumulated
Capital Gains Carryforwards 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 (amounts in thousands):
DFA International Value Portfolio. $295,092
U.S. Large Company Portfolio...... 166,609
186
At April 30, 2014, 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, as follows
(amounts in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
---------- ------------ ------------ --------------
DFA International Value Portfolio. $5,798,069 $1,326,078 -- $1,326,078
U.S. Large Company Portfolio...... 2,767,776 2,696,937 $(70,070) 2,626,867
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolios'
tax positions and has concluded that no additional provision for income tax is
required in the Portfolios' financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Portfolios' federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Six Months Ended Year Ended
April 30, 2014 Oct. 31, 2013
------------------ ---------------------
(Unaudited)
------------------
Amount Shares Amount Shares
--------- ------- ----------- --------
DFA International Value Portfolio
Class R2 Shares
Shares Issued........................................ $ 9,212 465 $ 1,969 112
Shares Issued in Lieu of Cash Distributions.......... 119 6 218 13
Shares Redeemed...................................... (3,420) (172) (4,454) (249)
--------- ------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ 5,911 299 $ (2,267) (124)
========= ======= =========== ========
Institutional Class Shares
Shares Issued........................................ $ 803,378 41,068 $ 1,464,667 83,810
Shares Issued in Lieu of Cash Distributions.......... 141,144 7,224 178,294 10,423
Shares Redeemed...................................... (559,917) (28,660) (1,876,787) (107,589)
--------- ------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares. $ 384,605 19,632 $ (233,826) (13,356)
========= ======= =========== ========
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
187
statements and concentrations of credit and market risk. These instruments and
their significant corresponding risks are described below:
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
1. Futures Contracts: The Portfolios may enter into futures contracts to
gain market exposure on uninvested cash pending investment in securities or to
maintain liquidity to pay redemptions. Upon entering into a futures contract,
the Portfolios deposit cash or 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. Entering into stock index futures subjects the
Portfolios to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the
exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
At April 30, 2014, the U.S. Large Company Portfolio had outstanding futures
contracts (dollar amounts in thousands):
Unrealized Approximate
Expiration Number of Contract Gain Cash
Description Date Contracts* Value (Loss) Collateral
----------------------- ---------- ---------- -------- ---------- -----------
U.S. Large Company
Portfolio........ S&P 500 Index(R) Emini 06/20/14 692 $64,975 $591 $2,898
* During the six months ended April 30, 2014, U.S. Large Company Portfolio's
average notional contract amount of outstanding futures contracts was $56,884
(in thousands).
The following is a summary of the location of derivatives on the U.S. Large
Company Portfolio's Statement of Assets and Liabilities as of April 30, 2014:
Location on the Statements of Assets and
Liabilities
---------------------------------------------------
Derivative Type Asset Derivatives Liability Derivatives
--------------- ------------------------ ------------------------
Equity contracts......... Receivables: Futures
Margin Variation
The following is a summary of the U.S. Large Company Portfolio's derivative
instrument holdings categorized by primary risk exposure as of April 30, 2014
(amounts in thousands):
Asset Derivatives Value
------------------------------
Total Value
at
April 30, 2014 Equity Contracts
- -------------- ----------------
U.S. Large Company Portfolio. $591 $591*
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reporting within the Statements of Assets
and Liabilities.
188
The following is a summary of the location of realized and change in
unrealized gains and losses on the U.S. Large Company Portfolio's Statement of
Operations for the Portfolio's derivative instrument holdings for the six
months ended April 30, 2014:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income
--------------- -----------------------------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of:
Futures
The following is a summary of the realized and change in unrealized gains
and losses from the U.S. Large Company Portfolio's direct investment in
derivative instrument holdings categorized by primary risk exposure through the
six months ended April 30, 2014 (amounts in thousands):
Realized Gain (Loss) on
Derivatives Recognized in Income
--------------------------------
Equity
Total Contracts
--------- -------------
U.S. Large Company Portfolio. $7,403 $7,403
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
-------------------------------
Equity
Total Contracts
--------- -------------
U.S. Large Company Portfolio. $(1,675) $(1,675)
I. 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 agreement for the line of credit was scheduled to
expire on March 3, 2014, however, effective March 3, 2014, the term was
extended until March 2, 2015.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 10, 2014 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 line of credit agreement expires on
January 9, 2015.
There were no borrowings by the Portfolios under the lines of credit during
the six months ended April 30, 2014.
J. Securities Lending:
As of April 30, 2014, 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
189
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. Other:
At April 30, 2014, 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............ 4 95%
DFA International Value Portfolio -- Institutional Class Shares. 3 66%
U.S. Large Company Portfolio.................................... 3 74%
Further, on December 13, 2013, the Board of the Fund voted to approve the
combination of the Investment Advisory Agreement and the Administration
Agreement (together, the "Previous Agreements") into a bundled Investment
Management Agreement for the U.S. Large Company Portfolio. The Investment
Management Agreement became effective on February 28, 2014. The nature and
level of services to the Portfolio under the Investment Management Agreement
are the same as under the Previous Agreements. As of February 28, 2014, the
Portfolio pays the Advisor an investment management fee that is equal to the
sum of the previous investment advisory and administration fees that were paid
by the Portfolio to the Advisor under the Previous Agreements.
N. 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.
190
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2014
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
-
Actual Fund Return............ $1,000.00 $1,094.50 0.11% $0.57
Hypothetical 5% Annual Return. $1,000.00 $1,024.25 0.11% $0.55
The DFA International Value Series
-
Actual Fund Return............ $1,000.00 $1,055.10 0.22% $1.12
Hypothetical 5% Annual Return. $1,000.00 $1,023.70 0.22% $1.10
191
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
The Japanese Small Company Series
---------------------------------
Actual Fund Return...................... $1,000.00 $ 976.20 0.13% $0.64
Hypothetical 5% Annual Return........... $1,000.00 $1,024.15 0.13% $0.65
The Asia Pacific Small Company Series
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,002.10 0.13% $0.65
Hypothetical 5% Annual Return........... $1,000.00 $1,024.15 0.13% $0.65
The United Kingdom Small Company Series
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,095.20 0.12% $0.62
Hypothetical 5% Annual Return........... $1,000.00 $1,024.20 0.12% $0.60
The Continental Small Company Series
------------------------------------
Actual Fund Return...................... $1,000.00 $1,148.90 0.13% $0.69
Hypothetical 5% Annual Return........... $1,000.00 $1,024.15 0.13% $0.65
The Canadian Small Company Series
---------------------------------
Actual Fund Return...................... $1,000.00 $1,103.70 0.12% $0.63
Hypothetical 5% Annual Return........... $1,000.00 $1,024.20 0.12% $0.60
The Emerging Markets Series
---------------------------
Actual Fund Return...................... $1,000.00 $ 979.50 0.15% $0.74
Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.15% $0.75
The Emerging Markets Small Cap Series
-------------------------------------
Actual Fund Return...................... $1,000.00 $1,021.20 0.26% $1.30
Hypothetical 5% Annual Return........... $1,000.00 $1,023.51 0.26% $1.30
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
192
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 31, 2014. 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....................... 12.0%
Consumer Staples............................. 7.1%
Energy....................................... 22.2%
Financials................................... 22.6%
Health Care.................................. 9.7%
Industrials.................................. 11.4%
Information Technology....................... 7.2%
Materials.................................... 3.3%
Telecommunication Services................... 4.2%
Utilities.................................... 0.3%
-----
100.0%
The DFA International Value Series
Consumer Discretionary....................... 9.6%
Consumer Staples............................. 4.6%
Energy....................................... 14.3%
Financials................................... 34.7%
Health Care.................................. 3.7%
Industrials.................................. 10.0%
Information Technology....................... 3.5%
Materials.................................... 11.3%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 4.8%
Utilities.................................... 3.5%
-----
100.0%
The Japanese Small Company Series
Consumer Discretionary....................... 20.4%
Consumer Staples............................. 9.6%
Energy....................................... 1.1%
Financials................................... 11.3%
Health Care.................................. 5.1%
Industrials.................................. 29.5%
Information Technology....................... 11.3%
Materials.................................... 11.2%
Telecommunication Services................... --
Utilities.................................... 0.5%
-----
100.0%
193
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
The Asia Pacific Small Company Series
Consumer Discretionary....................... 28.7%
Consumer Staples............................. 4.1%
Energy....................................... 6.2%
Financials................................... 12.7%
Health Care.................................. 5.6%
Industrials.................................. 19.4%
Information Technology....................... 5.2%
Materials.................................... 11.7%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 3.7%
Utilities.................................... 2.7%
-----
100.0%
The United Kingdom Small Company Series
Consumer Discretionary....................... 26.0%
Consumer Staples............................. 4.1%
Energy....................................... 5.9%
Financials................................... 14.6%
Health Care.................................. 3.0%
Industrials.................................. 25.6%
Information Technology....................... 7.8%
Materials.................................... 7.7%
Telecommunication Services................... 2.7%
Utilities.................................... 2.6%
-----
100.0%
The Continental Small Company Series
Consumer Discretionary....................... 14.7%
Consumer Staples............................. 5.8%
Energy....................................... 4.3%
Financials................................... 18.3%
Health Care.................................. 9.1%
Industrials.................................. 26.0%
Information Technology....................... 9.6%
Materials.................................... 7.6%
Other........................................ --
Telecommunication Services................... 2.5%
Utilities.................................... 2.1%
-----
100.0%
The Canadian Small Company Series
Consumer Discretionary....................... 9.7%
Consumer Staples............................. 3.4%
Energy....................................... 29.5%
Financials................................... 7.8%
Health Care.................................. 2.3%
Industrials.................................. 14.4%
Information Technology....................... 5.9%
Materials.................................... 21.5%
Telecommunication Services................... 0.3%
Utilities.................................... 5.2%
-----
100.0%
The Emerging Markets Series
Consumer Discretionary....................... 9.4%
Consumer Staples............................. 8.6%
Energy....................................... 10.3%
Financials................................... 25.1%
Health Care.................................. 1.8%
Industrials.................................. 7.7%
Information Technology....................... 16.6%
Materials.................................... 10.1%
Other........................................ --
Telecommunication Services................... 6.7%
Utilities.................................... 3.7%
-----
100.0%
The Emerging Markets Small Cap Series
Consumer Discretionary....................... 17.6%
Consumer Staples............................. 8.8%
Energy....................................... 2.6%
Financials................................... 16.2%
Health Care.................................. 5.8%
Industrials.................................. 18.3%
Information Technology....................... 13.4%
Materials.................................... 12.8%
Other........................................ --
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 0.9%
Utilities.................................... 3.5%
-----
100.0%
194
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (97.0%)
Consumer Discretionary -- (11.6%)
Comcast Corp. Class A................ 9,873,756 $ 511,065,611 3.1%
# Comcast Corp. Special Class A........ 3,813,064 194,580,656 1.2%
General Motors Co.................... 3,716,863 128,157,436 0.8%
Time Warner Cable, Inc............... 1,876,119 265,395,794 1.6%
Time Warner, Inc..................... 5,052,904 335,816,000 2.0%
Other Securities..................... 556,054,796 3.2%
-------------- -----
Total Consumer Discretionary............. 1,991,070,293 11.9%
-------------- -----
Consumer Staples -- (6.9%)
Archer-Daniels-Midland Co............ 3,151,861 137,830,881 0.8%
CVS Caremark Corp.................... 6,986,047 508,025,338 3.0%
Mondelez International, Inc. Class A. 7,976,433 284,359,836 1.7%
Other Securities..................... 251,992,010 1.6%
-------------- -----
Total Consumer Staples................... 1,182,208,065 7.1%
-------------- -----
Energy -- (21.6%)
Anadarko Petroleum Corp.............. 2,644,697 261,877,897 1.6%
Apache Corp.......................... 1,895,772 164,553,010 1.0%
Baker Hughes, Inc.................... 1,938,026 135,468,017 0.8%
Chevron Corp......................... 4,835,771 606,985,976 3.6%
ConocoPhillips....................... 6,993,622 519,696,051 3.1%
Devon Energy Corp.................... 1,721,246 120,487,220 0.7%
Exxon Mobil Corp..................... 1,502,573 153,878,501 0.9%
Hess Corp............................ 1,628,606 145,206,511 0.9%
Marathon Oil Corp.................... 3,640,872 131,617,523 0.8%
Marathon Petroleum Corp.............. 1,752,484 162,893,388 1.0%
National Oilwell Varco, Inc.......... 2,032,845 159,639,318 1.0%
Occidental Petroleum Corp............ 2,152,468 206,098,811 1.2%
Phillips 66.......................... 2,926,797 243,568,046 1.5%
Valero Energy Corp................... 2,806,975 160,474,761 1.0%
Other Securities..................... 532,312,812 3.1%
-------------- -----
Total Energy............................. 3,704,757,842 22.2%
-------------- -----
Financials -- (22.0%)
American International Group, Inc.... 6,143,899 326,425,354 2.0%
Bank of America Corp................. 26,957,644 408,138,730 2.4%
Bank of New York Mellon Corp. (The).. 3,735,585 126,524,264 0.8%
Capital One Financial Corp........... 2,096,624 154,940,514 0.9%
Citigroup, Inc....................... 7,932,413 380,041,907 2.3%
CME Group, Inc....................... 1,612,799 113,524,922 0.7%
JPMorgan Chase & Co.................. 9,265,436 518,679,107 3.1%
MetLife, Inc......................... 4,300,949 225,154,680 1.3%
Morgan Stanley....................... 6,887,527 213,031,210 1.3%
Prudential Financial, Inc............ 1,944,264 156,863,220 0.9%
SunTrust Banks, Inc.................. 2,600,602 99,499,033 0.6%
Other Securities..................... 1,051,677,256 6.3%
-------------- -----
Total Financials......................... 3,774,500,197 22.6%
-------------- -----
Health Care -- (9.3%)
Aetna, Inc........................... 2,009,110 143,550,909 0.9%
* Express Scripts Holding Co........... 3,072,578 204,572,243 1.2%
Pfizer, Inc.......................... 16,350,996 511,459,155 3.1%
Thermo Fisher Scientific, Inc........ 1,947,634 222,030,276 1.3%
195
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
WellPoint, Inc..................................... 1,674,297 $ 168,568,222 1.0%
Other Securities................................... 357,718,328 2.1%
--------------- ------
Total Health Care........................................ 1,607,899,133 9.6%
--------------- ------
Industrials -- (11.1%)
CSX Corp........................................... 5,604,703 158,164,719 1.0%
Eaton Corp. P.L.C.................................. 2,273,922 165,177,694 1.0%
FedEx Corp......................................... 828,737 112,915,416 0.7%
General Electric Co................................ 12,431,885 334,293,388 2.0%
Norfolk Southern Corp.............................. 1,681,939 158,993,694 1.0%
Northrop Grumman Corp.............................. 1,364,645 165,818,014 1.0%
Union Pacific Corp................................. 1,891,022 360,107,319 2.2%
Other Securities................................... 448,194,227 2.5%
--------------- ------
Total Industrials........................................ 1,903,664,471 11.4%
--------------- ------
Information Technology -- (7.0%)
Corning, Inc....................................... 5,762,032 120,484,089 0.7%
Hewlett-Packard Co................................. 9,619,949 318,035,514 1.9%
Intel Corp......................................... 5,871,145 156,700,860 0.9%
Other Securities................................... 606,174,129 3.7%
--------------- ------
Total Information Technology............................. 1,201,394,592 7.2%
--------------- ------
Materials -- (3.2%)
Freeport-McMoRan Copper & Gold, Inc................ 4,647,012 159,717,802 1.0%
Other Securities................................... 395,751,544 2.3%
--------------- ------
Total Materials.......................................... 555,469,346 3.3%
--------------- ------
Telecommunication Services -- (4.0%)
AT&T, Inc.......................................... 15,116,213 539,648,804 3.2%
Other Securities................................... 153,431,442 0.9%
--------------- ------
Total Telecommunication Services......................... 693,080,246 4.1%
--------------- ------
Utilities -- (0.3%)
Other Securities................................... 54,600,112 0.3%
--------------- ------
TOTAL COMMON STOCKS...................................... 16,668,644,297 99.7%
--------------- ------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional Liquid Reserves, 0.074%. 69,498,079 69,498,079 0.4%
--------------- ------
Shares/
Face
Amount
----------
(000)
SECURITIES LENDING COLLATERAL -- (2.6%)
(S)@ DFA Short Term Investment Fund..................... 38,162,068 441,535,131 2.7%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,925,873,386)............................... $17,179,677,507 102.8%
=============== ======
196
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2014, 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...... $ 1,991,070,293 -- -- $ 1,991,070,293
Consumer Staples............ 1,182,208,065 -- -- 1,182,208,065
Energy...................... 3,704,757,842 -- -- 3,704,757,842
Financials.................. 3,774,500,197 -- -- 3,774,500,197
Health Care................. 1,607,899,133 -- -- 1,607,899,133
Industrials................. 1,903,664,471 -- -- 1,903,664,471
Information Technology...... 1,201,394,592 -- -- 1,201,394,592
Materials................... 555,469,346 -- -- 555,469,346
Telecommunication Services.. 693,080,246 -- -- 693,080,246
Utilities................... 54,600,112 -- -- 54,600,112
Temporary Cash Investments.... 69,498,079 -- -- 69,498,079
Securities Lending Collateral. -- $441,535,131 -- 441,535,131
--------------- ------------ -- ---------------
TOTAL......................... $16,738,142,376 $441,535,131 -- $17,179,677,507
=============== ============ == ===============
See accompanying Notes to Financial Statements.
197
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (90.6%)
AUSTRALIA -- (4.6%)
Santos, Ltd...................... 4,099,271 $ 52,558,232 0.6%
Wesfarmers, Ltd.................. 2,586,337 102,933,877 1.1%
Other Securities................. 321,643,082 3.3%
------------ -----
TOTAL AUSTRALIA...................... 477,135,191 5.0%
------------ -----
AUSTRIA -- (0.1%)
Other Securities................. 15,658,992 0.2%
------------ -----
BELGIUM -- (1.2%)
Other Securities................. 128,323,164 1.4%
------------ -----
CANADA -- (8.0%)
# Canadian Natural Resources, Ltd.. 1,849,320 75,352,978 0.8%
Manulife Financial Corp.......... 3,287,435 61,726,575 0.7%
Suncor Energy, Inc............... 3,750,370 144,670,082 1.5%
Other Securities................. 554,656,413 5.8%
------------ -----
TOTAL CANADA......................... 836,406,048 8.8%
------------ -----
DENMARK -- (1.6%)
Other Securities................. 163,115,860 1.7%
------------ -----
FINLAND -- (0.9%)
Other Securities................. 94,719,007 1.0%
------------ -----
FRANCE -- (9.5%)
AXA SA........................... 4,004,754 104,508,095 1.1%
BNP Paribas SA................... 1,975,744 148,466,225 1.6%
Cie de St-Gobain................. 1,078,023 66,045,558 0.7%
# GDF Suez......................... 3,247,971 81,859,990 0.9%
Orange SA........................ 3,875,091 62,781,400 0.7%
Renault SA....................... 740,603 72,408,643 0.8%
Societe Generale SA.............. 1,296,228 80,725,428 0.8%
Vivendi SA....................... 3,686,124 99,034,179 1.0%
Other Securities................. 279,123,896 2.8%
------------ -----
TOTAL FRANCE......................... 994,953,414 10.4%
------------ -----
GERMANY -- (7.4%)
# Allianz SE....................... 518,031 90,152,856 1.0%
Bayerische Motoren Werke AG...... 683,720 85,946,981 0.9%
Daimler AG....................... 2,088,586 194,445,529 2.0%
# E.ON SE.......................... 3,638,090 69,687,054 0.7%
# Muenchener Rueckversicherungs AG. 297,828 68,845,597 0.7%
RWE AG........................... 1,358,567 51,844,377 0.6%
Other Securities................. 207,837,909 2.2%
------------ -----
TOTAL GERMANY........................ 768,760,303 8.1%
------------ -----
HONG KONG -- (1.9%)
Hutchison Whampoa, Ltd........... 5,076,000 69,640,150 0.7%
Other Securities................. 134,088,552 1.4%
------------ -----
TOTAL HONG KONG...................... 203,728,702 2.1%
------------ -----
198
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
IRELAND -- (0.2%)
Other Securities........................ $ 18,770,592 0.2%
-------------- -----
ISRAEL -- (0.3%)
Other Securities........................ 32,609,956 0.3%
-------------- -----
ITALY -- (1.6%)
UniCredit SpA........................... 6,290,570 56,361,264 0.6%
Other Securities........................ 113,430,866 1.2%
-------------- -----
TOTAL ITALY................................. 169,792,130 1.8%
-------------- -----
JAPAN -- (18.3%)
Mitsubishi Corp......................... 3,482,500 62,362,177 0.7%
Mitsubishi UFJ Financial Group, Inc..... 24,653,206 131,142,580 1.4%
Mitsui & Co., Ltd....................... 4,220,700 59,859,529 0.6%
Mizuho Financial Group, Inc............. 42,833,200 83,893,411 0.9%
Nippon Steel & Sumitomo Metal Corp...... 19,029,940 49,927,655 0.5%
Sumitomo Mitsui Financial Group, Inc.... 1,688,300 66,739,011 0.7%
Other Securities........................ 1,455,186,354 15.2%
-------------- -----
TOTAL JAPAN................................. 1,909,110,717 20.0%
-------------- -----
NETHERLANDS -- (3.2%)
# ArcelorMittal......................... 3,159,312 51,374,315 0.5%
* ING Groep NV.......................... 6,479,202 92,619,251 1.0%
Other Securities........................ 195,212,987 2.1%
-------------- -----
TOTAL NETHERLANDS........................... 339,206,553 3.6%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities........................ 8,078,915 0.1%
-------------- -----
NORWAY -- (0.7%)
Other Securities........................ 70,152,730 0.7%
-------------- -----
PORTUGAL -- (0.1%)
Other Securities........................ 8,215,156 0.1%
-------------- -----
SINGAPORE -- (1.1%)
Other Securities........................ 118,422,958 1.2%
-------------- -----
SPAIN -- (2.6%)
Banco Santander SA...................... 8,200,002 81,554,496 0.8%
Iberdrola SA............................ 9,376,631 65,500,776 0.7%
Other Securities........................ 119,686,535 1.3%
-------------- -----
TOTAL SPAIN................................. 266,741,807 2.8%
-------------- -----
SWEDEN -- (2.9%)
Nordea Bank AB.......................... 5,366,449 77,763,053 0.8%
Telefonaktiebolaget LM Ericsson Class B. 4,713,081 56,832,490 0.6%
Other Securities........................ 163,261,946 1.7%
-------------- -----
TOTAL SWEDEN................................ 297,857,489 3.1%
-------------- -----
SWITZERLAND -- (8.8%)
Credit Suisse Group AG.................. 1,928,358 61,134,025 0.6%
Holcim, Ltd............................. 887,877 81,432,888 0.9%
Novartis AG............................. 2,434,443 211,632,207 2.2%
Novartis AG ADR......................... 681,571 59,255,783 0.6%
199
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Swiss Re AG............................. 1,412,545 $ 123,514,466 1.3%
UBS AG.................................. 4,344,251 90,855,076 1.0%
Zurich Insurance Group AG............... 321,452 92,179,146 1.0%
Other Securities........................ 194,865,896 2.0%
--------------- ------
TOTAL SWITZERLAND............................. 914,869,487 9.6%
--------------- ------
UNITED KINGDOM -- (15.5%)
Anglo American P.L.C.................... 2,938,851 78,564,591 0.8%
Barclays P.L.C. Sponsored ADR........... 5,037,005 86,183,156 0.9%
BP P.L.C. Sponsored ADR................. 6,938,726 351,238,309 3.7%
Glencore Xstrata P.L.C.................. 9,442,477 50,949,377 0.5%
# HSBC Holdings P.L.C. Sponsored ADR...... 1,892,534 97,124,844 1.0%
Kingfisher P.L.C........................ 8,040,406 56,896,948 0.6%
# Royal Dutch Shell P.L.C. ADR(780259107). 3,323,210 281,309,727 3.0%
Royal Dutch Shell P.L.C. ADR(780259206). 755,142 59,459,881 0.6%
Vodafone Group P.L.C.................... 19,078,000 72,431,667 0.8%
Vodafone Group P.L.C. Sponsored ADR..... 2,056,797 78,076,025 0.8%
Other Securities........................ 401,284,528 4.2%
--------------- ------
TOTAL UNITED KINGDOM.......................... 1,613,519,053 16.9%
--------------- ------
TOTAL COMMON STOCKS........................... 9,450,148,224 99.1%
--------------- ------
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities........................ 28,133,374 0.3%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities........................ -- 0.0%
--------------- ------
FRANCE -- (0.0%)
Other Securities........................ 304,214 0.0%
--------------- ------
HONG KONG -- (0.0%)
Other Securities........................ 49,049 0.0%
--------------- ------
SPAIN -- (0.0%)
Other Securities........................ 1,734,756 0.0%
--------------- ------
TOTAL RIGHTS/WARRANTS......................... 2,088,019 0.0%
--------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (9.1%)
(S)@ DFA Short Term Investment Fund.......... 82,550,804 955,112,801 10.0%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,605,115,658)..................... $10,435,482,418 109.4%
=============== ======
200
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2014, 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................... $ 1,974,118 $ 475,161,073 -- $ 477,135,191
Austria..................... -- 15,658,992 -- 15,658,992
Belgium..................... 3,952,688 124,370,476 -- 128,323,164
Canada...................... 836,406,048 -- -- 836,406,048
Denmark..................... -- 163,115,860 -- 163,115,860
Finland..................... 2,128,584 92,590,423 -- 94,719,007
France...................... 5,948,762 989,004,652 -- 994,953,414
Germany..................... 76,929,392 691,830,911 -- 768,760,303
Hong Kong................... -- 203,728,702 -- 203,728,702
Ireland..................... 6,301,524 12,469,068 -- 18,770,592
Israel...................... -- 32,609,956 -- 32,609,956
Italy....................... 24,068,580 145,723,550 -- 169,792,130
Japan....................... 62,859,115 1,846,251,602 -- 1,909,110,717
Netherlands................. 27,544,627 311,661,926 -- 339,206,553
New Zealand................. -- 8,078,915 -- 8,078,915
Norway...................... 322,262 69,830,468 -- 70,152,730
Portugal.................... -- 8,215,156 -- 8,215,156
Singapore................... -- 118,422,958 -- 118,422,958
Spain....................... 15,348,649 251,393,158 -- 266,741,807
Sweden...................... 11,416,422 286,441,067 -- 297,857,489
Switzerland................. 102,217,682 812,651,805 -- 914,869,487
United Kingdom.............. 996,765,713 616,753,340 -- 1,613,519,053
Preferred Stocks
Germany..................... -- 28,133,374 -- 28,133,374
Rights/Warrants
Australia................... -- -- -- --
France...................... -- 304,214 -- 304,214
Hong Kong................... -- 49,049 -- 49,049
Spain....................... -- 1,734,756 -- 1,734,756
Securities Lending Collateral. -- 955,112,801 -- 955,112,801
-------------- -------------- -- ---------------
TOTAL......................... $2,174,184,166 $8,261,298,252 -- $10,435,482,418
============== ============== == ===============
See accompanying Notes to Financial Statements.
201
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (87.4%)
Consumer Discretionary -- (17.8%)
# Accordia Golf Co., Ltd...................... 575,900 $ 7,387,781 0.3%
Aoyama Trading Co., Ltd..................... 315,900 7,839,037 0.4%
Autobacs Seven Co., Ltd..................... 378,000 5,848,087 0.3%
Nifco, Inc.................................. 277,500 7,750,861 0.4%
Resorttrust, Inc............................ 401,216 6,295,018 0.3%
# Shimachu Co., Ltd........................... 273,900 6,018,295 0.3%
Toyo Tire & Rubber Co., Ltd................. 1,040,000 7,755,129 0.4%
Other Securities............................ 399,151,836 17.8%
------------ -----
Total Consumer Discretionary.................... 448,046,044 20.2%
------------ -----
Consumer Staples -- (8.4%)
Kose Corp................................... 176,000 5,849,699 0.3%
Nichirei Corp............................... 1,382,000 6,710,948 0.3%
Pigeon Corp................................. 191,600 8,578,134 0.4%
Sapporo Holdings, Ltd....................... 1,874,000 7,945,790 0.4%
# UNY Group Holdings Co., Ltd................. 1,183,300 7,636,496 0.4%
Other Securities............................ 173,384,344 7.7%
------------ -----
Total Consumer Staples.......................... 210,105,411 9.5%
------------ -----
Energy -- (1.0%)
Other Securities............................ 23,937,414 1.1%
------------ -----
Financials -- (9.8%)
Awa Bank, Ltd. (The)........................ 1,095,000 5,863,553 0.3%
Daishi Bank, Ltd. (The)..................... 2,006,000 7,245,069 0.3%
Juroku Bank, Ltd. (The)..................... 1,985,000 6,934,046 0.3%
#* Leopalace21 Corp............................ 1,247,000 6,449,102 0.3%
Musashino Bank, Ltd. (The).................. 196,000 6,280,815 0.3%
San-In Godo Bank, Ltd. (The)................ 961,000 6,342,751 0.3%
Other Securities............................ 208,060,708 9.3%
------------ -----
Total Financials................................ 247,176,044 11.1%
------------ -----
Health Care -- (4.5%)
# Kaken Pharmaceutical Co., Ltd............... 440,000 7,582,213 0.3%
Nihon Kohden Corp........................... 179,000 7,330,666 0.3%
Rohto Pharmaceutical Co., Ltd............... 382,100 6,740,824 0.3%
# Ship Healthcare Holdings, Inc............... 193,400 6,595,411 0.3%
Other Securities............................ 83,698,202 3.8%
------------ -----
Total Health Care............................... 111,947,316 5.0%
------------ -----
Industrials -- (25.7%)
# Aica Kogyo Co., Ltd......................... 282,300 5,903,544 0.3%
Daifuku Co., Ltd............................ 505,000 5,822,461 0.3%
DMG Mori Seiki Co., Ltd..................... 504,000 6,287,404 0.3%
Fujikura, Ltd............................... 2,042,000 8,792,791 0.4%
# Furukawa Electric Co., Ltd.................. 3,973,000 8,945,051 0.4%
Glory, Ltd.................................. 305,500 7,903,712 0.4%
# Iwatani Corp................................ 1,022,000 5,997,386 0.3%
Kyowa Exeo Corp............................. 482,300 6,238,888 0.3%
# Maeda Corp.................................. 845,000 6,288,202 0.3%
Mitsui Engineering & Shipbuilding Co., Ltd.. 4,170,000 8,090,757 0.4%
#* Nippon Sheet Glass Co., Ltd................. 5,424,000 6,957,041 0.3%
Nishimatsu Construction Co., Ltd............ 1,855,000 6,674,929 0.3%
202
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Industrials -- (Continued)
Nisshinbo Holdings, Inc................... 839,000 $ 7,187,941 0.3%
# OKUMA Corp................................ 792,000 6,779,020 0.3%
OSG Corp.................................. 401,700 6,474,736 0.3%
Sankyu, Inc............................... 1,545,000 5,889,261 0.3%
Sanwa Holdings Corp....................... 1,215,000 7,422,723 0.3%
Other Securities.......................... 528,825,107 23.7%
-------------- ------
Total Industrials............................... 646,480,954 29.2%
-------------- ------
Information Technology -- (9.9%)
# Anritsu Corp.............................. 606,100 6,787,474 0.3%
# Horiba, Ltd............................... 218,850 7,564,844 0.4%
IT Holdings Corp.......................... 448,301 6,949,558 0.3%
Japan Aviation Electronics Industry, Ltd.. 349,600 5,950,871 0.3%
# Oki Electric Industry Co., Ltd............ 3,320,000 6,499,146 0.3%
# Taiyo Yuden Co., Ltd...................... 619,100 7,654,809 0.4%
Other Securities.......................... 206,580,090 9.2%
-------------- ------
Total Information Technology.................... 247,986,792 11.2%
-------------- ------
Materials -- (9.8%)
Mitsui Mining & Smelting Co., Ltd......... 3,353,000 8,314,258 0.4%
Nihon Parkerizing Co., Ltd................ 271,000 5,906,762 0.3%
# NOF Corp.................................. 833,000 5,777,172 0.3%
Sumitomo Osaka Cement Co., Ltd............ 2,274,000 9,043,980 0.4%
Toyobo Co., Ltd........................... 4,867,000 7,859,484 0.4%
Other Securities.......................... 209,756,702 9.3%
-------------- ------
Total Materials................................. 246,658,358 11.1%
-------------- ------
Telecommunication Services -- (0.0%)
Other Securities.......................... 1,034,943 0.0%
-------------- ------
Utilities -- (0.5%)
Other Securities 11,294,586 0.5%
-------------- ------
TOTAL COMMON STOCKS............................. 2,194,667,862 98.9%
-------------- ------
Shares/
Face
Amount Value+
---------- ------
(000)
SECURITIES LENDING COLLATERAL -- (12.6%)
(S)@ DFA Short Term Investment Fund............ 27,404,988 317,075,711 14.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,426,853,978)....................... $2,511,743,573 113.2%
============== ======
203
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2014, 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...... -- $ 448,046,044 -- $ 448,046,044
Consumer Staples............ $3,668,423 206,436,988 -- 210,105,411
Energy...................... -- 23,937,414 -- 23,937,414
Financials.................. 4,498,409 242,677,635 -- 247,176,044
Health Care................. -- 111,947,316 -- 111,947,316
Industrials................. -- 646,480,954 -- 646,480,954
Information Technology...... -- 247,986,792 -- 247,986,792
Materials................... -- 246,658,358 -- 246,658,358
Telecommunication Services.. -- 1,034,943 -- 1,034,943
Utilities................... -- 11,294,586 -- 11,294,586
Securities Lending Collateral. -- 317,075,711 -- 317,075,711
---------- -------------- -- --------------
TOTAL......................... $8,166,832 $2,503,576,741 -- $2,511,743,573
========== ============== == ==============
See accompanying Notes to Financial Statements.
204
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (82.0%)
AUSTRALIA -- (42.3%)
Adelaide Brighton, Ltd................ 2,293,533 $ 8,359,967 0.6%
# Ansell, Ltd........................... 474,660 7,993,784 0.6%
Aristocrat Leisure, Ltd............... 2,718,335 12,753,277 0.9%
Arrium, Ltd........................... 8,470,367 9,439,848 0.7%
#* Aurora Oil & Gas, Ltd................. 2,641,857 10,038,097 0.7%
Beach Energy, Ltd..................... 7,988,779 12,784,944 0.9%
* BlueScope Steel, Ltd.................. 1,645,807 9,950,203 0.7%
carsales.com, Ltd..................... 1,525,864 15,452,742 1.1%
CSR, Ltd.............................. 3,097,442 10,548,682 0.8%
# David Jones, Ltd...................... 4,278,429 15,673,354 1.1%
Downer EDI, Ltd....................... 2,684,206 12,530,715 0.9%
DuluxGroup, Ltd....................... 2,795,953 14,933,774 1.1%
Echo Entertainment Group, Ltd......... 2,941,638 7,737,062 0.6%
Envestra, Ltd......................... 7,569,682 8,215,136 0.6%
Fairfax Media, Ltd.................... 12,512,986 11,432,785 0.8%
Goodman Fielder, Ltd.................. 10,646,991 6,681,884 0.5%
GrainCorp, Ltd. Class A............... 1,115,664 9,201,387 0.7%
# iiNET, Ltd............................ 980,332 6,544,683 0.5%
# Invocare, Ltd......................... 761,399 7,548,493 0.5%
IOOF Holdings, Ltd.................... 1,448,038 11,448,962 0.8%
# Iress, Ltd............................ 953,472 7,356,247 0.5%
# JB Hi-Fi, Ltd......................... 856,886 15,398,204 1.1%
Mineral Resources, Ltd................ 1,031,955 11,204,592 0.8%
# Monadelphous Group, Ltd............... 707,732 11,539,053 0.8%
# Myer Holdings, Ltd.................... 3,842,110 7,959,500 0.6%
Navitas, Ltd.......................... 1,381,635 9,474,476 0.7%
# OZ Minerals, Ltd...................... 1,930,585 6,644,200 0.5%
Perpetual, Ltd........................ 312,245 13,669,025 1.0%
Primary Health Care, Ltd.............. 1,910,970 8,352,328 0.6%
Reece Australia, Ltd.................. 238,257 6,749,710 0.5%
#* Sims Metal Management, Ltd............ 1,094,048 10,005,822 0.7%
Spark Infrastructure Group............ 7,787,168 12,796,582 0.9%
# Super Retail Group, Ltd............... 1,291,875 12,227,993 0.9%
# TPG Telecom, Ltd...................... 1,357,245 7,525,986 0.5%
* Transpacific Industries Group, Ltd.... 7,269,623 7,559,759 0.5%
# UGL, Ltd.............................. 1,204,535 7,575,350 0.5%
Other Securities...................... 357,279,418 25.1%
------------ -----
TOTAL AUSTRALIA........................... 722,588,024 51.3%
------------ -----
CHINA -- (0.1%)
Other Securities...................... 2,088,732 0.2%
------------ -----
HONG KONG -- (21.2%)
Esprit Holdings, Ltd.................. 12,854,950 21,468,905 1.5%
Hopewell Holdings, Ltd................ 2,385,000 8,209,761 0.6%
# Luk Fook Holdings International, Ltd.. 2,487,000 7,061,737 0.5%
Melco International Development, Ltd.. 4,358,000 13,383,642 1.0%
Pacific Basin Shipping, Ltd........... 12,828,000 7,535,656 0.5%
# SA SA International Holdings, Ltd..... 7,820,000 6,560,548 0.5%
Xinyi Glass Holdings, Ltd............. 13,316,000 10,506,644 0.8%
Other Securities...................... 287,931,533 20.3%
------------ -----
TOTAL HONG KONG........................... 362,658,426 25.7%
------------ -----
205
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
NEW ZEALAND -- (7.3%)
# Fisher & Paykel Healthcare Corp., Ltd.. 3,763,394 $ 13,265,637 0.9%
Port of Tauranga, Ltd.................. 528,322 6,560,678 0.5%
# Ryman Healthcare, Ltd.................. 2,086,942 15,589,741 1.1%
Sky Network Television, Ltd............ 1,730,057 9,985,491 0.7%
SKYCITY Entertainment Group, Ltd....... 3,798,254 13,869,634 1.0%
Other Securities....................... 65,017,257 4.6%
-------------- ------
TOTAL NEW ZEALAND............................ 124,288,438 8.8%
-------------- ------
SINGAPORE -- (11.1%)
Singapore Post, Ltd.................... 8,837,120 9,983,859 0.7%
Venture Corp., Ltd..................... 1,650,000 10,106,502 0.7%
Other Securities....................... 170,174,764 12.1%
-------------- ------
TOTAL SINGAPORE.............................. 190,265,125 13.5%
-------------- ------
TOTAL COMMON STOCKS.......................... 1,401,888,745 99.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities....................... 357,205 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities....................... 16,808 0.0%
-------------- ------
SINGAPORE -- (0.0%)
Other Securities....................... 8,531 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS........................ 382,544 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (18.0%)
(S)@ DFA Short Term Investment Fund......... 26,673,434 308,611,628 21.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,619,552,911).................... $1,710,882,917 121.4%
============== ======
206
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2014, 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................... $234,096 $ 722,353,928 -- $ 722,588,024
China....................... -- 2,088,732 -- 2,088,732
Hong Kong................... 255,437 362,402,989 -- 362,658,426
New Zealand................. -- 124,288,438 -- 124,288,438
Singapore................... -- 190,265,125 -- 190,265,125
Rights/Warrants
Australia................... -- 357,205 -- 357,205
Hong Kong................... -- 16,808 -- 16,808
Singapore................... -- 8,531 -- 8,531
Securities Lending Collateral. -- 308,611,628 -- 308,611,628
-------- -------------- -- --------------
TOTAL......................... $489,533 $1,710,393,384 -- $1,710,882,917
======== ============== == ==============
See accompanying Notes to Financial Statements.
207
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (98.2%)
Consumer Discretionary -- (25.5%)
Barratt Developments P.L.C........ 4,268,971 $ 26,698,834 1.2%
Bellway P.L.C..................... 652,849 15,898,650 0.7%
Berkeley Group Holdings P.L.C..... 650,346 25,234,511 1.2%
Daily Mail & General Trust P.L.C.. 1,328,069 18,306,282 0.9%
Greene King P.L.C................. 1,421,372 21,399,005 1.0%
Home Retail Group P.L.C........... 4,196,363 14,499,738 0.7%
Howden Joinery Group P.L.C........ 3,180,986 17,512,897 0.8%
Inchcape P.L.C.................... 2,319,770 25,200,127 1.2%
Informa P.L.C..................... 3,121,619 25,492,179 1.2%
* Persimmon P.L.C................... 904,357 20,069,472 0.9%
Rightmove P.L.C................... 466,340 18,998,360 0.9%
Taylor Wimpey P.L.C............... 15,614,170 27,768,941 1.3%
* Thomas Cook Group P.L.C........... 7,517,966 22,223,846 1.0%
William Hill P.L.C................ 3,678,697 22,042,897 1.0%
Other Securities.................. 254,217,680 11.8%
------------ -----
Total Consumer Discretionary.......... 555,563,419 25.8%
------------ -----
Consumer Staples -- (4.1%)
Booker Group P.L.C................ 7,511,637 18,685,793 0.9%
Britvic P.L.C..................... 1,240,873 15,197,635 0.7%
Other Securities.................. 54,619,670 2.5%
------------ -----
Total Consumer Staples................ 88,503,098 4.1%
------------ -----
Energy -- (5.8%)
* Afren P.L.C....................... 5,639,345 14,979,341 0.7%
AMEC P.L.C........................ 1,114,094 23,268,048 1.1%
John Wood Group P.L.C............. 1,508,579 20,003,334 0.9%
Premier Oil P.L.C................. 2,484,308 14,225,273 0.7%
Other Securities.................. 53,247,457 2.4%
------------ -----
Total Energy.......................... 125,723,453 5.8%
------------ -----
Financials -- (14.4%)
Amlin P.L.C....................... 2,613,209 19,757,633 0.9%
Catlin Group, Ltd................. 1,812,653 16,189,202 0.8%
Close Brothers Group P.L.C........ 777,213 18,358,740 0.9%
Henderson Group P.L.C............. 5,229,541 22,218,077 1.0%
Hiscox, Ltd....................... 1,645,320 19,629,497 0.9%
ICAP P.L.C........................ 2,874,272 20,133,934 0.9%
IG Group Holdings P.L.C........... 1,796,260 19,316,253 0.9%
Man Group P.L.C................... 9,800,117 16,354,917 0.8%
Other Securities.................. 161,296,743 7.4%
------------ -----
Total Financials...................... 313,254,996 14.5%
------------ -----
Health Care -- (2.9%)
* BTG P.L.C......................... 1,781,080 16,015,427 0.8%
Hikma Pharmaceuticals P.L.C....... 713,706 18,728,962 0.9%
Other Securities.................. 29,069,010 1.3%
------------ -----
Total Health Care..................... 63,813,399 3.0%
------------ -----
Industrials -- (25.2%)
Ashtead Group P.L.C............... 2,326,314 34,467,088 1.6%
Balfour Beatty P.L.C.............. 3,596,658 17,080,799 0.8%
BBA Aviation P.L.C................ 2,792,163 14,648,757 0.7%
208
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Industrials -- (Continued)
Berendsen P.L.C................. 832,065 $ 14,541,122 0.7%
Bodycote P.L.C.................. 1,253,236 15,464,310 0.7%
Cobham P.L.C.................... 5,618,202 29,309,381 1.4%
DCC P.L.C....................... 431,941 22,147,399 1.0%
Hays P.L.C...................... 7,041,541 17,964,367 0.8%
Melrose Industries P.L.C........ 3,712,937 17,930,030 0.8%
Rentokil Initial P.L.C.......... 7,336,389 14,782,500 0.7%
Rotork P.L.C.................... 339,433 14,886,294 0.7%
Spirax-Sarco Engineering P.L.C.. 369,703 18,123,272 0.8%
Stagecoach Group P.L.C.......... 2,248,039 14,097,073 0.7%
Other Securities................ 303,280,796 14.0%
-------------- ------
Total Industrials...................... 548,723,188 25.4%
-------------- ------
Information Technology -- (7.7%)
Halma P.L.C..................... 1,878,529 17,847,458 0.8%
Spectris P.L.C.................. 601,319 22,625,619 1.1%
Other Securities................ 126,510,630 5.8%
-------------- ------
Total Information Technology........... 166,983,707 7.7%
-------------- ------
Materials -- (7.5%)
Croda International P.L.C....... 442,133 19,256,876 0.9%
DS Smith P.L.C.................. 4,875,734 25,983,032 1.2%
Other Securities................ 118,648,706 5.5%
-------------- ------
Total Materials........................ 163,888,614 7.6%
-------------- ------
Telecommunication Services -- (2.6%)
Inmarsat P.L.C.................. 2,296,017 28,251,173 1.3%
Other Securities................ 29,524,691 1.4%
-------------- ------
Total Telecommunication Services....... 57,775,864 2.7%
-------------- ------
Utilities -- (2.5%)
Drax Group P.L.C................ 2,103,725 23,549,099 1.1%
Pennon Group P.L.C.............. 2,007,940 25,704,962 1.2%
Other Securities................ 5,970,020 0.3%
-------------- ------
Total Utilities........................ 55,224,081 2.6%
-------------- ------
TOTAL COMMON STOCKS.................... 2,139,453,819 99.2%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Other Securities................ 24,556 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (1.8%)
(S)@ DFA Short Term Investment Fund.. 3,383,365 39,145,532 1.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,426,290,113).............. $2,178,623,907 101.0%
============== ======
209
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2014, 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...... -- $ 555,563,419 -- $ 555,563,419
Consumer Staples............ -- 88,503,098 -- 88,503,098
Energy...................... $1,369,297 124,354,156 -- 125,723,453
Financials.................. -- 313,254,996 -- 313,254,996
Health Care................. -- 63,813,399 -- 63,813,399
Industrials................. 141,153 548,582,035 -- 548,723,188
Information Technology...... -- 166,983,707 -- 166,983,707
Materials................... -- 163,888,614 -- 163,888,614
Telecommunication Services.. -- 57,775,864 -- 57,775,864
Utilities................... -- 55,224,081 -- 55,224,081
Preferred Stocks.............. -- 24,556 -- 24,556
Securities Lending Collateral. -- 39,145,532 -- 39,145,532
---------- -------------- -- --------------
TOTAL......................... $1,510,450 $2,177,113,457 -- $2,178,623,907
========== ============== == ==============
See accompanying Notes to Financial Statements.
210
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (83.4%)
AUSTRIA -- (2.1%)
Other Securities.......... $ 91,183,148 2.5%
------------ -----
BELGIUM -- (2.7%)
Ackermans & van Haaren NV. 118,073 15,268,356 0.4%
Other Securities.......... 101,424,201 2.8%
------------ -----
TOTAL BELGIUM................. 116,692,557 3.2%
------------ -----
DENMARK -- (4.1%)
GN Store Nord A.S......... 772,340 18,658,711 0.5%
* Jyske Bank A.S............ 301,282 16,564,443 0.5%
* Topdanmark A.S............ 507,925 14,861,733 0.4%
* Vestas Wind Systems A.S... 533,999 23,715,469 0.7%
Other Securities.......... 102,172,521 2.8%
------------ -----
TOTAL DENMARK................. 175,972,877 4.9%
------------ -----
FINLAND -- (5.7%)
# Elisa Oyj................. 702,558 20,996,081 0.6%
Kesko Oyj Class B......... 315,046 12,895,665 0.4%
# Metso Oyj................. 499,824 20,117,792 0.6%
# Neste Oil Oyj............. 609,759 12,540,136 0.4%
Other Securities.......... 180,019,515 4.8%
------------ -----
TOTAL FINLAND................. 246,569,189 6.8%
------------ -----
FRANCE -- (10.8%)
* Alcatel-Lucent............ 4,446,911 17,635,210 0.5%
# Ingenico.................. 157,666 13,758,146 0.4%
Lagardere SCA............. 498,840 20,906,648 0.6%
# Neopost SA................ 167,752 13,774,636 0.4%
#* Peugeot SA................ 1,076,690 19,049,823 0.5%
Teleperformance........... 275,593 15,805,902 0.4%
Other Securities.......... 364,428,615 10.0%
------------ -----
TOTAL FRANCE.................. 465,358,980 12.8%
------------ -----
GERMANY -- (12.0%)
* Aareal Bank AG............ 423,110 19,232,324 0.5%
# Deutsche Wohnen AG........ 837,032 17,968,901 0.5%
Freenet AG................ 498,012 17,247,703 0.5%
# MTU Aero Engines AG....... 153,372 14,460,904 0.4%
# Rheinmetall AG............ 195,657 13,034,596 0.4%
Rhoen Klinikum AG......... 500,406 16,157,728 0.5%
Stada Arzneimittel AG..... 298,237 13,004,803 0.4%
Other Securities.......... 406,963,205 11.1%
------------ -----
TOTAL GERMANY................. 518,070,164 14.3%
------------ -----
GREECE -- (0.0%)
Other Securities.......... 140,446 0.0%
------------ -----
IRELAND -- (1.7%)
Paddy Power P.L.C......... 175,221 13,563,627 0.4%
Other Securities.......... 61,055,913 1.7%
------------ -----
TOTAL IRELAND................. 74,619,540 2.1%
------------ -----
211
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
ISRAEL -- (2.1%)
Other Securities...................... $ 90,746,828 2.5%
------------ -----
ITALY -- (8.5%)
Azimut Holding SpA.................... 491,069 15,330,070 0.4%
* Banca Popolare dell'Emilia Romagna SC. 1,449,109 16,703,718 0.5%
#* Banca Popolare di Milano SCRL......... 13,321,904 13,472,478 0.4%
#* Banco Popolare SC..................... 1,398,450 28,900,941 0.8%
* Finmeccanica SpA...................... 1,838,316 17,012,572 0.5%
Other Securities...................... 276,213,451 7.6%
------------ -----
TOTAL ITALY............................... 367,633,230 10.2%
------------ -----
NETHERLANDS -- (5.0%)
Aalberts Industries NV................ 480,720 16,013,637 0.4%
Delta Lloyd NV........................ 982,406 25,854,916 0.7%
Fugro NV.............................. 187,058 12,395,329 0.3%
Nutreco NV............................ 359,256 16,724,497 0.5%
* SBM Offshore NV....................... 962,257 17,613,428 0.5%
Other Securities...................... 125,951,348 3.5%
------------ -----
TOTAL NETHERLANDS......................... 214,553,155 5.9%
------------ -----
NORWAY -- (2.7%)
* DNO International ASA................. 3,792,519 13,171,371 0.4%
Other Securities...................... 104,476,401 2.8%
------------ -----
TOTAL NORWAY.............................. 117,647,772 3.2%
------------ -----
PORTUGAL -- (1.7%)
#* Banco Comercial Portugues SA.......... 44,641,579 13,566,339 0.4%
Other Securities...................... 60,933,496 1.7%
------------ -----
TOTAL PORTUGAL............................ 74,499,835 2.1%
------------ -----
SPAIN -- (5.1%)
# Bolsas y Mercados Espanoles SA........ 342,685 14,929,199 0.4%
* Jazztel P.L.C......................... 1,044,478 16,041,093 0.5%
Other Securities...................... 186,878,491 5.1%
------------ -----
TOTAL SPAIN............................... 217,848,783 6.0%
------------ -----
SWEDEN -- (8.8%)
Castellum AB.......................... 752,681 12,835,253 0.4%
Husqvarna AB Class B.................. 1,703,432 14,222,953 0.4%
# JM AB................................. 372,482 12,656,896 0.4%
Meda AB Class A....................... 976,572 17,553,824 0.5%
NCC AB Class B........................ 373,389 13,081,870 0.4%
Other Securities...................... 309,049,087 8.4%
------------ -----
TOTAL SWEDEN.............................. 379,399,883 10.5%
------------ -----
SWITZERLAND -- (10.4%)
* Dufry AG.............................. 89,373 14,790,930 0.4%
# Galenica AG........................... 16,866 17,174,300 0.5%
GAM Holding AG........................ 806,220 14,683,775 0.4%
Georg Fischer AG...................... 18,366 14,569,839 0.4%
Helvetia Holding AG................... 27,336 13,625,582 0.4%
Lonza Group AG........................ 255,221 26,711,567 0.7%
OC Oerlikon Corp. AG.................. 858,856 13,681,316 0.4%
PSP Swiss Property AG................. 148,327 14,256,468 0.4%
212
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Other Securities................ $ 320,095,537 8.8%
-------------- ------
TOTAL SWITZERLAND....................... 449,589,314 12.4%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities................ 378,477 0.0%
-------------- ------
TOTAL COMMON STOCKS..................... 3,600,904,178 99.4%
-------------- ------
RIGHTS/WARRANTS -- (0.1%)
AUSTRIA -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
FRANCE -- (0.1%)
Other Securities................ 2,059,874 0.1%
-------------- ------
ISRAEL -- (0.0%)
Other Securities................ 10,893 0.0%
-------------- ------
ITALY -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
PORTUGAL -- (0.0%)
Other Securities................ 286,655 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities................ 471,463 0.0%
-------------- ------
SWEDEN -- (0.0%)
Other Securities................ 193,526 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................... 3,022,411 0.1%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (16.5%)
(S)@ DFA Short Term Investment Fund.. 61,420,624 710,636,625 19.6%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,155,257,765)............... $4,314,563,214 119.1%
============== ======
213
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2014, 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..................... $ 14,102 $ 91,169,046 -- $ 91,183,148
Belgium..................... -- 116,692,557 -- 116,692,557
Denmark..................... -- 175,972,877 -- 175,972,877
Finland..................... -- 246,569,189 -- 246,569,189
France...................... -- 465,358,980 -- 465,358,980
Germany..................... 9,143,389 508,926,775 -- 518,070,164
Greece...................... -- 140,446 -- 140,446
Ireland..................... 93,788 74,525,752 -- 74,619,540
Israel...................... -- 90,746,828 -- 90,746,828
Italy....................... -- 367,633,230 -- 367,633,230
Netherlands................. 2,691,653 211,861,502 -- 214,553,155
Norway...................... -- 117,647,772 -- 117,647,772
Portugal.................... -- 74,499,835 -- 74,499,835
Spain....................... 153,883 217,694,900 -- 217,848,783
Sweden...................... 3,828,654 375,571,229 -- 379,399,883
Switzerland................. -- 449,589,314 -- 449,589,314
United Kingdom.............. -- 378,477 -- 378,477
Rights/Warrants
Austria..................... -- -- -- --
France...................... -- 2,059,874 -- 2,059,874
Israel...................... -- 10,893 -- 10,893
Italy....................... -- -- -- --
Portugal.................... -- 286,655 -- 286,655
Spain....................... -- 471,463 -- 471,463
Sweden...................... -- 193,526 -- 193,526
Securities Lending Collateral. -- 710,636,625 -- 710,636,625
----------- -------------- -- --------------
TOTAL......................... $15,925,469 $4,298,637,745 -- $4,314,563,214
=========== ============== == ==============
See accompanying Notes to Financial Statements.
214
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (80.1%)
Consumer Discretionary -- (7.7%)
# Cineplex, Inc.......................... 271,135 $ 10,219,047 1.2%
# Corus Entertainment, Inc. Class B...... 369,716 8,304,738 1.0%
#* Imax Corp.............................. 229,046 5,870,081 0.7%
Linamar Corp........................... 269,606 13,496,904 1.6%
RONA, Inc.............................. 681,945 6,875,136 0.8%
Other Securities....................... 38,233,526 4.4%
------------ -----
Total Consumer Discretionary............... 82,999,432 9.7%
------------ -----
Consumer Staples -- (2.7%)
Maple Leaf Foods, Inc.................. 500,264 8,265,847 0.9%
Other Securities....................... 20,983,102 2.5%
------------ -----
Total Consumer Staples..................... 29,248,949 3.4%
------------ -----
Energy -- (23.7%)
* Advantage Oil & Gas, Ltd............... 1,098,231 6,953,810 0.8%
* Bankers Petroleum, Ltd................. 1,277,846 6,960,212 0.8%
* Bellatrix Exploration, Ltd............. 938,858 9,131,177 1.1%
Calfrac Well Services, Ltd............. 159,947 5,538,058 0.6%
* Crew Energy, Inc....................... 542,884 6,151,744 0.7%
# Enbridge Income Fund Holdings, Inc..... 227,285 5,524,267 0.6%
* Gran Tierra Energy, Inc................ 1,391,012 9,886,395 1.2%
* Legacy Oil + Gas, Inc.................. 745,800 5,804,182 0.7%
# Mullen Group, Ltd...................... 458,025 12,419,600 1.4%
* NuVista Energy, Ltd.................... 606,009 6,048,755 0.7%
# Parkland Fuel Corp..................... 353,327 6,543,988 0.8%
# Pason Systems, Inc..................... 292,560 8,125,110 1.0%
Secure Energy Services, Inc............ 437,854 7,853,848 0.9%
ShawCor, Ltd........................... 125,996 5,612,084 0.7%
Trican Well Service, Ltd............... 643,185 9,213,087 1.1%
Trinidad Drilling, Ltd................. 663,617 7,422,968 0.9%
# Whitecap Resources, Inc................ 848,168 11,189,735 1.3%
Other Securities....................... 123,066,870 14.1%
------------ -----
Total Energy............................... 253,445,890 29.4%
------------ -----
Financials -- (6.2%)
Canadian Western Bank.................. 300,957 10,198,023 1.2%
FirstService Corp...................... 138,348 6,828,728 0.8%
# Home Capital Group, Inc................ 241,200 10,191,115 1.2%
Laurentian Bank of Canada.............. 147,250 6,325,013 0.7%
Other Securities....................... 33,049,262 3.8%
------------ -----
Total Financials........................... 66,592,141 7.7%
------------ -----
Health Care -- (1.8%)
* Endo International P.L.C............... 87,493 5,484,827 0.7%
Other Securities....................... 13,758,022 1.5%
------------ -----
Total Health Care.......................... 19,242,849 2.2%
------------ -----
Industrials -- (11.5%)
* ATS Automation Tooling Systems, Inc.... 455,298 5,898,665 0.7%
# Black Diamond Group, Ltd............... 199,089 6,259,392 0.7%
MacDonald Dettwiler & Associates, Ltd.. 85,470 6,628,302 0.8%
# Ritchie Bros Auctioneers, Inc.......... 347,194 8,676,286 1.0%
# Russel Metals, Inc..................... 316,110 9,301,170 1.1%
215
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Industrials -- (Continued)
Stantec, Inc...................... 228,285 $ 13,529,851 1.6%
TransForce, Inc................... 388,103 8,473,432 1.0%
WSP Global, Inc................... 189,353 6,480,207 0.8%
Other Securities.................. 58,517,140 6.7%
-------------- ------
Total Industrials....................... 123,764,445 14.4%
-------------- ------
Information Technology -- (4.8%)
* Celestica, Inc.................... 949,607 10,535,305 1.2%
# Davis + Henderson Corp............ 380,812 11,027,757 1.3%
Other Securities.................. 29,406,747 3.4%
-------------- ------
Total Information Technology............ 50,969,809 5.9%
-------------- ------
Materials -- (17.2%)
Alamos Gold, Inc.................. 579,498 5,419,328 0.6%
* B2Gold Corp....................... 2,539,819 7,299,329 0.9%
CCL Industries, Inc. Class B...... 111,467 10,135,305 1.2%
# HudBay Minerals, Inc.............. 872,492 7,442,909 0.9%
* Osisko Mining Corp................ 1,551,415 11,111,361 1.3%
# Pan American Silver Corp.......... 627,915 8,135,024 1.0%
Sherritt International Corp....... 1,628,826 6,895,445 0.8%
Other Securities.................. 128,188,750 14.8%
-------------- ------
Total Materials......................... 184,627,451 21.5%
-------------- ------
Telecommunication Services -- (0.3%)
Other Securities.................. 2,808,121 0.3%
-------------- ------
Utilities -- (4.2%)
# Algonquin Power & Utilities Corp.. 912,415 6,559,765 0.8%
# Capital Power Corp................ 389,209 8,742,599 1.0%
# Just Energy Group, Inc............ 675,567 5,368,540 0.6%
# Northland Power, Inc.............. 373,925 5,844,017 0.7%
# Superior Plus Corp................ 653,197 7,872,572 0.9%
Other Securities.................. 10,170,144 1.2%
-------------- ------
Total Utilities......................... 44,557,637 5.2%
-------------- ------
TOTAL COMMON STOCKS..................... 858,256,724 99.7%
-------------- ------
Shares/
Face
Amount Value+
------- ------
(000)
SECURITIES LENDING COLLATERAL -- (19.9%)
(S)@ DFA Short Term Investment Fund.... 18,400,940 212,898,875 24.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,078,682,448)............... $1,071,155,599 124.4%
============== ======
216
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2014, 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...... $ 82,999,432 -- -- $ 82,999,432
Consumer Staples............ 29,248,949 -- -- 29,248,949
Energy...................... 253,445,492 $ 398 -- 253,445,890
Financials.................. 66,592,141 -- -- 66,592,141
Health Care................. 19,234,585 8,264 -- 19,242,849
Industrials................. 123,764,445 -- -- 123,764,445
Information Technology...... 50,969,809 -- -- 50,969,809
Materials................... 184,584,754 42,697 -- 184,627,451
Telecommunication Services.. 2,808,121 -- -- 2,808,121
Utilities................... 44,557,637 -- -- 44,557,637
Securities Lending Collateral. -- 212,898,875 -- 212,898,875
------------ ------------ -- --------------
TOTAL......................... $858,205,365 $212,950,234 -- $1,071,155,599
============ ============ == ==============
See accompanying Notes to Financial Statements.
217
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (88.9%)
BRAZIL -- (6.7%)
AMBEV SA ADR........................................ 4,150,723 $ 30,092,742 0.8%
Cielo SA............................................ 743,950 13,179,074 0.3%
Petroleo Brasileiro SA ADR.......................... 1,308,418 18,160,842 0.5%
# Vale SA Sponsored ADR............................... 1,238,400 16,371,648 0.4%
Other Securities.................................... 206,249,292 5.2%
------------ ------
TOTAL BRAZIL............................................ 284,053,598 7.2%
------------ ------
CHILE -- (1.5%)
Other Securities.................................... 64,710,527 1.6%
------------ ------
CHINA -- (13.1%)
Bank of China, Ltd. Class H......................... 64,409,100 28,461,762 0.7%
China Construction Bank Corp. Class H............... 58,649,590 40,607,391 1.0%
# China Mobile, Ltd. Sponsored ADR.................... 926,803 43,958,266 1.1%
# CNOOC, Ltd. ADR..................................... 120,801 19,955,117 0.5%
Industrial & Commercial Bank of China, Ltd. Class H. 59,907,185 35,718,118 0.9%
PetroChina Co., Ltd. ADR............................ 143,410 16,538,041 0.4%
Tencent Holdings, Ltd............................... 812,600 51,182,422 1.3%
Other Securities.................................... 315,817,149 8.0%
------------ ------
TOTAL CHINA............................................. 552,238,266 13.9%
------------ ------
COLOMBIA -- (0.7%)
Other Securities.................................... 29,238,872 0.7%
------------ ------
CZECH REPUBLIC -- (0.3%)
Other Securities.................................... 12,511,686 0.3%
------------ ------
EGYPT -- (0.1%)
Other Securities.................................... 4,201,649 0.1%
------------ ------
GREECE -- (0.5%)
Other Securities.................................... 22,410,533 0.6%
------------ ------
HUNGARY -- (0.3%)
Other Securities.................................... 12,077,981 0.3%
------------ ------
INDIA -- (7.3%)
HDFC Bank, Ltd...................................... 1,530,953 18,415,560 0.5%
Infosys, Ltd........................................ 246,907 13,124,831 0.3%
ITC, Ltd............................................ 2,345,449 13,243,148 0.3%
Reliance Industries, Ltd............................ 1,443,896 22,451,283 0.6%
Tata Consultancy Services, Ltd...................... 504,640 18,333,675 0.5%
Other Securities.................................... 223,122,534 5.6%
------------ ------
TOTAL INDIA............................................. 308,691,031 7.8%
------------ ------
INDONESIA -- (2.9%)
Astra International Tbk PT.......................... 20,701,010 13,337,497 0.4%
Other Securities.................................... 106,769,377 2.6%
------------ ------
TOTAL INDONESIA......................................... 120,106,874 3.0%
------------ ------
218
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MALAYSIA -- (4.2%)
# CIMB Group Holdings Bhd..................... 5,534,976 $ 12,750,320 0.3%
# Malayan Banking Bhd......................... 4,820,521 14,632,704 0.4%
Other Securities............................ 149,286,724 3.7%
-------------- ------
TOTAL MALAYSIA.................................. 176,669,748 4.4%
-------------- ------
MEXICO -- (5.1%)
# America Movil S.A.B. de C.V. Series L....... 37,750,669 38,060,142 1.0%
#* Cemex S.A.B. de C.V. Sponsored ADR.......... 1,337,402 16,904,765 0.4%
Fomento Economico Mexicano S.A.B. de C.V.... 1,793,669 16,295,924 0.4%
# Grupo Financiero Banorte S.A.B. de C.V...... 2,819,018 18,722,705 0.5%
Grupo Mexico S.A.B. de C.V. Series B........ 4,225,397 12,725,202 0.3%
Grupo Televisa S.A.B. Series CPO............ 2,556,698 16,751,841 0.4%
# Wal-Mart de Mexico S.A.B. de C.V. Series V.. 5,248,185 13,278,166 0.3%
Other Securities............................ 83,475,903 2.1%
-------------- ------
TOTAL MEXICO.................................... 216,214,648 5.4%
-------------- ------
PERU -- (0.3%)
Other Securities............................ 12,233,584 0.3%
-------------- ------
PHILIPPINES -- (1.3%)
Other Securities............................ 55,163,199 1.4%
-------------- ------
POLAND -- (1.9%)
Powszechna Kasa Oszczednosci Bank Polski SA. 967,168 13,272,814 0.3%
Other Securities............................ 65,668,845 1.7%
-------------- ------
TOTAL POLAND.................................... 78,941,659 2.0%
-------------- ------
RUSSIA -- (3.4%)
Gazprom OAO Sponsored ADR................... 6,186,601 44,710,169 1.1%
Lukoil OAO Sponsored ADR.................... 430,626 22,797,092 0.6%
Other Securities............................ 74,082,277 1.9%
-------------- ------
TOTAL RUSSIA.................................... 141,589,538 3.6%
-------------- ------
SOUTH AFRICA -- (7.9%)
FirstRand, Ltd.............................. 3,475,911 12,789,231 0.3%
MTN Group, Ltd.............................. 1,869,995 37,515,477 0.9%
Naspers, Ltd. Class N....................... 444,856 42,038,561 1.1%
Sasol, Ltd. Sponsored ADR................... 609,116 33,751,118 0.9%
Standard Bank Group, Ltd.................... 1,498,309 19,686,203 0.5%
Other Securities............................ 185,951,484 4.7%
-------------- ------
TOTAL SOUTH AFRICA.............................. 331,732,074 8.4%
-------------- ------
SOUTH KOREA -- (13.9%)
Hyundai Mobis............................... 67,404 19,256,211 0.5%
# Hyundai Motor Co............................ 151,763 33,838,057 0.9%
Kia Motors Corp............................. 270,079 14,984,572 0.4%
Naver Corp.................................. 27,242 19,617,420 0.5%
POSCO....................................... 47,828 14,129,742 0.4%
Samsung Electronics Co., Ltd................ 81,120 105,777,262 2.7%
Samsung Electronics Co., Ltd. GDR........... 49,372 31,872,757 0.8%
Shinhan Financial Group Co., Ltd............ 374,876 16,362,733 0.4%
* SK Hynix, Inc............................... 512,610 19,988,432 0.5%
Other Securities............................ 308,657,620 7.6%
-------------- ------
TOTAL SOUTH KOREA............................... 584,484,806 14.7%
-------------- ------
219
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (13.3%)
Hon Hai Precision Industry Co., Ltd.......... 12,802,056 $ 36,767,003 0.9%
MediaTek, Inc................................ 1,280,995 20,073,171 0.5%
Taiwan Semiconductor Manufacturing Co., Ltd.. 25,188,808 98,975,776 2.5%
Other Securities............................. 403,470,157 10.2%
-------------- ------
TOTAL TAIWAN....................................... 559,286,107 14.1%
-------------- ------
THAILAND -- (2.5%)
Other Securities............................. 103,805,802 2.6%
-------------- ------
TURKEY -- (1.7%)
Other Securities............................. 69,707,052 1.8%
-------------- ------
TOTAL COMMON STOCKS................................ 3,740,069,234 94.2%
-------------- ------
PREFERRED STOCKS -- (4.3%)
BRAZIL --(4.2%)
Banco Bradesco SA............................ 2,233,995 33,253,187 0.8%
Itau Unibanco Holding SA..................... 2,568,240 42,386,470 1.1%
Vale SA...................................... 1,529,491 18,122,728 0.5%
Petroleo Brasileiro SA Sponsored ADR......... 1,981,166 29,321,257 0.8%
Other Securities............................. 52,447,182 1.3%
-------------- ------
TOTAL BRAZIL....................................... 175,530,824 4.5%
-------------- ------
CHILE -- (0.0%)
Other Securities............................. 37,233 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities............................. 4,491,365 0.1%
-------------- ------
INDIA -- (0.0%)
Other Securities............................. 104,480 0.0%
-------------- ------
TOTAL PREFERRED STOCKS............................. 180,163,902 4.6%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities............................. 1,147 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities............................. 674 0.0%
-------------- ------
PHILIPPINES -- (0.0%)
Other Securities............................. 19 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities............................. 105,022 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities............................. 149,367 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.............................. 256,229 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (6.8%)
(S)@ DFA Short Term Investment Fund............... 24,744,687 286,296,034 7.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,075,524,424)............................. $4,206,785,399 106.0%
============== ======
220
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2014, 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...................... $ 284,053,598 -- -- $ 284,053,598
Chile....................... 64,710,527 -- -- 64,710,527
China....................... 119,688,115 $ 432,550,151 -- 552,238,266
Colombia.................... 29,238,872 -- -- 29,238,872
Czech Republic.............. -- 12,511,686 -- 12,511,686
Egypt....................... -- 4,201,649 -- 4,201,649
Greece...................... -- 22,410,533 -- 22,410,533
Hungary..................... -- 12,077,981 -- 12,077,981
India....................... 26,959,956 281,731,075 -- 308,691,031
Indonesia................... 441,711 119,665,163 -- 120,106,874
Malaysia.................... -- 176,669,748 -- 176,669,748
Mexico...................... 216,214,648 -- -- 216,214,648
Peru........................ 12,233,584 -- -- 12,233,584
Philippines................. 466,980 54,696,219 -- 55,163,199
Poland...................... -- 78,941,659 -- 78,941,659
Russia...................... 5,314,230 136,275,308 -- 141,589,538
South Africa................ 49,122,772 282,609,302 -- 331,732,074
South Korea................. 18,871,719 565,613,087 -- 584,484,806
Taiwan...................... 14,168,502 545,117,605 -- 559,286,107
Thailand.................... 103,805,802 -- -- 103,805,802
Turkey...................... 1,069,174 68,637,878 -- 69,707,052
Preferred Stocks
Brazil...................... 175,530,824 -- -- 175,530,824
Chile....................... 37,233 -- -- 37,233
Colombia.................... 4,491,365 -- -- 4,491,365
India....................... 104,480 -- -- 104,480
Rights/Warrants
Brazil...................... -- 1,147 -- 1,147
Hong Kong................... -- 674 -- 674
Philippines................. -- 19 -- 19
South Korea................. -- 105,022 -- 105,022
Thailand.................... -- 149,367 -- 149,367
Securities Lending Collateral -- 286,296,034 -- 286,296,034
-------------- -------------- -- --------------
TOTAL......................... $1,126,524,092 $3,080,261,307 -- $4,206,785,399
============== ============== == ==============
See accompanying Notes to Financial Statements.
221
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (87.9%)
BRAZIL -- (6.9%)
ALL -- America Latina Logistica SA........... 2,092,128 $ 8,285,005 0.2%
Anhanguera Educacional Participacoes SA...... 2,379,735 14,728,262 0.3%
Cia Hering................................... 1,041,790 11,007,769 0.3%
EDP -- Energias do Brasil SA................. 2,249,598 9,776,255 0.2%
Equatorial Energia SA........................ 1,447,935 13,221,194 0.3%
Estacio Participacoes SA..................... 1,643,304 17,599,327 0.4%
Mills Estruturas e Servicos de Engenharia SA. 703,026 8,866,057 0.2%
MRV Engenharia e Participacoes SA............ 3,395,133 10,749,922 0.2%
Odontoprev SA................................ 2,549,265 10,232,502 0.2%
Sul America SA............................... 1,801,909 13,212,784 0.3%
Totvs SA..................................... 604,100 9,864,461 0.2%
Other Securities............................. 206,207,230 4.8%
-------------- ------
TOTAL BRAZIL..................................... 333,750,768 7.6%
-------------- ------
CHILE -- (1.2%)
Parque Arauco SA............................. 5,518,473 9,876,927 0.2%
Vina Concha y Toro SA........................ 3,824,015 7,996,983 0.2%
Other Securities............................. 41,004,617 0.9%
-------------- ------
TOTAL CHILE...................................... 58,878,527 1.3%
-------------- ------
CHINA -- (12.4%)
# GOME Electrical Appliances Holding, Ltd...... 43,306,000 8,119,841 0.2%
# Kingsoft Corp., Ltd.......................... 2,937,000 9,102,261 0.2%
Sino Biopharmaceutical, Ltd.................. 13,536,000 10,605,251 0.3%
Other Securities............................. 574,418,805 13.1%
-------------- ------
TOTAL CHINA...................................... 602,246,158 13.8%
-------------- ------
COLOMBIA -- (0.0%)
Other Securities............................. 803,444 0.0%
-------------- ------
GREECE -- (1.0%)
Other Securities............................. 50,803,666 1.2%
-------------- ------
HUNGARY -- (0.0%)
Other Securities............................. 1,394,021 0.0%
-------------- ------
INDIA -- (8.1%)
Aurobindo Pharma, Ltd........................ 1,129,123 10,783,152 0.3%
UPL, Ltd..................................... 2,016,992 8,959,003 0.2%
Other Securities............................. 376,249,458 8.5%
-------------- ------
TOTAL INDIA...................................... 395,991,613 9.0%
-------------- ------
INDONESIA -- (3.5%)
Other Securities............................. 167,842,174 3.8%
-------------- ------
ISRAEL -- (0.0%)
Other Securities............................. 16,234 0.0%
-------------- ------
MALAYSIA -- (5.8%)
# Bursa Malaysia Bhd........................... 3,632,100 8,447,507 0.2%
Other Securities............................. 274,096,774 6.2%
-------------- ------
TOTAL MALAYSIA................................... 282,544,281 6.4%
-------------- ------
222
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MEXICO -- (4.6%)
# Alsea S.A.B. de C.V..................................... 4,006,952 $ 13,859,057 0.3%
# Banregio Grupo Financiero S.A.B. de C.V................. 1,487,396 8,616,670 0.2%
#* Genomma Lab Internacional S.A.B. de C.V. Class B........ 7,354,004 18,679,066 0.4%
* Gruma S.A.B. de C.V. Class B............................ 1,690,397 14,949,375 0.3%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B. 2,116,469 12,739,824 0.3%
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR...... 98,029 11,984,045 0.3%
Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B.. 713,342 8,730,060 0.2%
#* Industrias CH S.A.B. de C.V. Series B................... 1,696,510 8,999,468 0.2%
#* Promotora y Operadora de Infraestructura S.A.B. de C.V.. 1,698,488 23,719,307 0.5%
Other Securities........................................ 99,129,487 2.4%
-------------- ------
TOTAL MEXICO................................................ 221,406,359 5.1%
-------------- ------
PHILIPPINES -- (1.4%)
Other Securities........................................ 69,493,951 1.6%
-------------- ------
POLAND -- (2.3%)
Asseco Poland SA........................................ 620,582 9,240,662 0.2%
* Grupa Lotos SA.......................................... 645,490 8,324,023 0.2%
Lubelski Wegiel Bogdanka SA............................. 272,426 11,151,681 0.3%
Other Securities........................................ 84,097,601 1.9%
-------------- ------
TOTAL POLAND................................................ 112,813,967 2.6%
-------------- ------
SOUTH AFRICA -- (7.4%)
Aeci, Ltd............................................... 856,959 9,571,562 0.2%
AVI, Ltd................................................ 2,687,799 14,830,459 0.3%
Barloworld, Ltd......................................... 859,133 9,372,443 0.2%
Clicks Group, Ltd....................................... 2,275,094 13,872,087 0.3%
Coronation Fund Managers, Ltd........................... 1,346,747 13,004,885 0.3%
Nampak, Ltd............................................. 2,490,646 9,291,754 0.2%
* Northam Platinum, Ltd................................... 2,145,957 8,376,688 0.2%
Omnia Holdings, Ltd..................................... 513,646 11,042,991 0.3%
PPC, Ltd................................................ 4,213,403 12,258,981 0.3%
Reunert, Ltd............................................ 1,274,935 8,378,275 0.2%
#* Sappi, Ltd.............................................. 4,391,943 13,922,148 0.3%
Spar Group, Ltd. (The).................................. 1,016,062 11,938,034 0.3%
Sun International, Ltd.................................. 813,283 8,038,794 0.2%
Tongaat Hulett, Ltd..................................... 744,400 8,850,235 0.2%
Other Securities........................................ 206,766,869 4.7%
-------------- ------
TOTAL SOUTH AFRICA.......................................... 359,516,205 8.2%
-------------- ------
SOUTH KOREA -- (13.6%)
DGB Financial Group, Inc................................ 682,483 10,353,694 0.3%
Hotel Shilla Co., Ltd................................... 104,723 8,818,864 0.2%
Hyosung Corp............................................ 121,019 8,645,977 0.2%
# Hyundai Development Co.................................. 299,750 8,593,993 0.2%
Macquarie Korea Infrastructure Fund..................... 1,514,061 9,376,240 0.2%
Other Securities........................................ 614,513,213 14.0%
-------------- ------
TOTAL SOUTH KOREA........................................... 660,301,981 15.1%
-------------- ------
TAIWAN -- (13.1%)
Other Securities........................................ 637,407,713 14.6%
-------------- ------
THAILAND -- (3.9%)
Other Securities........................................ 191,129,803 4.4%
-------------- ------
223
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TURKEY -- (2.7%)
Other Securities................ $ 130,850,483 3.0%
-------------- ------
TOTAL COMMON STOCKS..................... 4,277,191,348 97.7%
-------------- ------
PREFERRED STOCKS -- (1.1%)
BRAZIL -- (1.1%)
Other Securities................ 50,734,982 1.2%
-------------- ------
CHILE -- (0.0%)
Other Securities................ 15,095 0.0%
-------------- ------
COLOMBIA -- (0.0%)
Other Securities................ 1,764,896 0.0%
-------------- ------
TOTAL PREFERRED STOCKS.................. 52,514,973 1.2%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
CHILE -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
INDIA -- (0.0%)
Other Securities................ 11,605 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 45,846 0.0%
-------------- ------
PHILIPPINES -- (0.0%)
Other Securities................ 9,262 0.0%
-------------- ------
SOUTH AFRICA -- (0.0%)
Other Securities................ 12,893 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................ 517,706 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities................ 895 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities................ 103,908 0.0%
-------------- ------
TURKEY -- (0.0%)
Other Securities................ 591,552 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................... 1,293,667 0.0%
-------------- ------
Shares/
Face
Amount Value+
------- ------ -
(000)
SECURITIES LENDING COLLATERAL -- (11.0%)
(S)@ DFA Short Term Investment Fund.. 46,389,128 536,722,214 12.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,396,701,201).................. $4,867,722,202 111.2%
============== ======
224
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of the Series' investments as of April 30, 2014, 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...................... $333,750,768 -- -- $ 333,750,768
Chile....................... 58,878,527 -- -- 58,878,527
China....................... 138,453 $ 602,107,705 -- 602,246,158
Colombia.................... 803,444 -- -- 803,444
Greece...................... -- 50,803,666 -- 50,803,666
Hungary..................... -- 1,394,021 -- 1,394,021
India....................... 908,836 395,082,777 -- 395,991,613
Indonesia................... 1,931,582 165,910,592 -- 167,842,174
Israel...................... -- 16,234 -- 16,234
Malaysia.................... -- 282,544,281 -- 282,544,281
Mexico...................... 221,229,791 176,568 -- 221,406,359
Philippines................. -- 69,493,951 -- 69,493,951
Poland...................... -- 112,813,967 -- 112,813,967
South Africa................ 12,889,367 346,626,838 -- 359,516,205
South Korea................. 2,197,056 658,104,925 -- 660,301,981
Taiwan...................... -- 637,407,713 -- 637,407,713
Thailand.................... 190,762,395 367,408 -- 191,129,803
Turkey...................... -- 130,850,483 -- 130,850,483
Preferred Stocks
Brazil...................... 50,734,982 -- -- 50,734,982
Chile....................... 15,095 -- -- 15,095
Colombia.................... 1,764,896 -- -- 1,764,896
Rights/Warrants
Brazil...................... -- -- -- --
Chile....................... -- -- -- --
India....................... -- 11,605 -- 11,605
Malaysia.................... -- 45,846 -- 45,846
Philippines................. -- 9,262 -- 9,262
South Africa................ -- 12,893 -- 12,893
South Korea................. 19,596 498,110 -- 517,706
Taiwan...................... 895 -- -- 895
Thailand.................... -- 103,908 -- 103,908
Turkey...................... -- 591,552 -- 591,552
Securities Lending Collateral. -- 536,722,214 -- 536,722,214
------------ -------------- -- --------------
TOTAL......................... $876,025,683 $3,991,696,519 -- $4,867,722,202
============ ============== == ==============
See accompanying Notes to Financial Statements.
225
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
The Japanese The Asia
The U.S. Large The DFA Small Pacific Small
Cap Value International Company Company
Series Value Series* Series Series*
-------------- ------------- ------------ -------------
ASSETS:
Investments at Value (including $432,843, $922,064, $296,939
and $285,587 of securities on loan, respectively)........... $16,668,644 $ 9,480,370 $2,194,668 $1,402,271
Temporary Cash Investments at Value & Cost................... 69,498 -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost................................................ 441,535 955,113 317,076 308,612
Foreign Currencies at Value.................................. -- 34,442 606 990
Cash......................................................... -- 12,095 953 2,102
Receivables:
Investment Securities Sold................................. 22,131 8,683 1,884 1,890
Dividends, Interest and Tax Reclaims....................... 14,957 38,974 21,266 1,998
Securities Lending Income.................................. 265 2,482 262 342
Unrealized Gain on Foreign Currency Contracts................ -- 8 -- --
Prepaid Expenses and Other Assets............................ -- -- 1 2
----------- ----------- ---------- ----------
Total Assets............................................ 17,217,030 10,532,167 2,536,716 1,718,207
----------- ----------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................... 441,535 955,113 317,076 308,612
Investment Securities Purchased............................ 61,418 36,644 1,346 --
Due to Advisor............................................. 1,360 1,541 182 117
Unrealized Loss on Foreign Currency Contracts................ -- 10 9 --
Accrued Expenses and Other Liabilities....................... 779 474 182 100
----------- ----------- ---------- ----------
Total Liabilities....................................... 505,092 993,782 318,795 308,829
----------- ----------- ---------- ----------
NET ASSETS................................................... $16,711,938 $ 9,538,385 $2,217,921 $1,409,378
=========== =========== ========== ==========
Investments at Cost.......................................... $10,414,840 $ 7,650,003 $2,109,778 $1,310,941
=========== =========== ========== ==========
Foreign Currencies at Cost................................... $ -- $ 34,284 $ 605 $ 989
=========== =========== ========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
226
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
The
The United Continental The Canadian
Kingdom Small Small Small The Emerging
Company Company Company The Emerging Markets Small
Series Series* Series* Markets Series* Cap Series*
------------- ----------- ------------ --------------- -------------
ASSETS:
Investments at Value (including $37,099,
$654,103, $241,247, $349,865 and
$652,668 of securities on loan,
respectively).............................. $2,139,478 $3,603,927 $ 858,257 $3,920,489 $4,331,000
Collateral from Securities on Loan Invested
in Affiliate at Value & Cost............... 39,146 710,637 212,899 286,296 536,722
Foreign Currencies at Value................. 3,585 8,501 1,146 6,932 26,355
Cash........................................ 259 677 410 30,539 13,561
Receivables:
Investment Securities Sold................ 2,188 3,006 294 12,474 1,394
Dividends, Interest and Tax Reclaims...... 13,968 7,799 656 8,691 9,595
Securities Lending Income................. 24 1,682 260 436 1,818
Unrealized Gain on Foreign Currency
Contracts.................................. -- 1 -- -- 1
---------- ---------- ---------- ---------- ----------
Total Assets........................... 2,198,648 4,336,230 1,073,922 4,265,857 4,920,446
---------- ---------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......... 39,146 710,637 212,899 286,296 536,722
Investment Securities Purchased........... 1,734 3,691 -- 5,504 6,244
Due to Advisor............................ 178 295 70 327 720
Unrealized Loss on Foreign Currency
Contracts.................................. -- -- -- 8 2
Accrued Expenses and Other Liabilities...... 103 218 38 286 402
---------- ---------- ---------- ---------- ----------
Total Liabilities...................... 41,161 714,841 213,007 292,421 544,090
---------- ---------- ---------- ---------- ----------
NET ASSETS.................................. $2,157,487 $3,621,389 $ 860,915 $3,973,436 $4,376,356
========== ========== ========== ========== ==========
Investments at Cost......................... $1,387,145 $2,444,621 $ 865,784 $2,789,228 $3,859,979
========== ========== ========== ========== ==========
Foreign Currencies at Cost.................. $ 3,577 $ 8,476 $ 1,140 $ 6,901 $ 26,272
========== ========== ========== ========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
227
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
The Japanese The Asia
The U.S. The DFA Small Pacific Small
Large Cap International Company Company
Value Series Value Series Series Series
------------ ------------- ------------ -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $11,473,
$2,616 and $520, respectively)........................... $ 148,837 $270,261 $ 23,549 $ 20,810
Interest.................................................. 3 1 -- --
Income from Securities Lending............................ 1,553 5,549 1,450 1,902
---------- -------- --------- --------
Total Investment Income................................ 150,393 275,811 24,999 22,712
---------- -------- --------- --------
Expenses
Investment Advisory Services Fees......................... 7,825 8,965 1,115 654
Accounting & Transfer Agent Fees.......................... 403 236 60 39
Custodian Fees............................................ 75 362 212 151
Shareholders' Reports..................................... 9 5 1 1
Directors'/Trustees' Fees & Expenses...................... 99 59 15 8
Professional Fees......................................... 172 101 25 14
Other..................................................... 36 47 15 8
---------- -------- --------- --------
Total Expenses......................................... 8,619 9,775 1,443 875
---------- -------- --------- --------
Fees Paid Indirectly...................................... -- (5) (1) (3)
---------- -------- --------- --------
Net Expenses.............................................. 8,619 9,770 1,442 872
---------- -------- --------- --------
Net Investment Income (Loss).............................. 141,774 266,041 23,557 21,840
---------- -------- --------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold*............................. 366,497 124,552 45,562 1,126
Foreign Currency Transactions........................... -- 335 (531) 190
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. 907,355 101,142 (122,509) (15,777)
Translation of Foreign Currency Denominated Amounts..... -- 66 (91) (4)
---------- -------- --------- --------
Net Realized and Unrealized Gain (Loss)................... 1,273,852 226,095 (77,569) (14,465)
---------- -------- --------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................. $1,415,626 $492,136 $ (54,012) $ 7,375
========== ======== ========= ========
----------
* Net of foreign capital gain taxes withheld of $0, $7, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
228
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
The United The
Kingdom Continental The Canadian The Emerging
Small Small Small The Emerging Markets
Company Company Company Markets Small Cap
Series Series Series Series Series
---------- ----------- ------------ ------------ ------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $229,
$4,968, $1,485, $4,027 and $3,287,
respectively)........................................ $ 30,967 $ 32,089 $ 8,531 $ 33,520 $35,778
Interest.............................................. -- 21 -- 1 1
Income from Securities Lending........................ 149 5,627 1,509 2,174 8,352
-------- -------- ------- -------- -------
Total Investment Income............................ 31,116 37,737 10,040 35,695 44,131
-------- -------- ------- -------- -------
Expenses
Investment Advisory Services Fees..................... 1,048 1,687 386 1,842 4,072
Accounting & Transfer Agent Fees...................... 56 92 20 100 110
Custodian Fees........................................ 62 351 26 674 1,041
Shareholders' Reports................................. 1 2 -- 2 3
Directors'/Trustees' Fees & Expenses.................. 13 21 5 24 26
Professional Fees..................................... 22 51 8 62 111
Other................................................. 10 17 3 20 28
-------- -------- ------- -------- -------
Total Expenses..................................... 1,212 2,221 448 2,724 5,391
-------- -------- ------- -------- -------
Fees Paid Indirectly.................................. -- (1) (1) (7) (4)
-------- -------- ------- -------- -------
Net Expenses.......................................... 1,212 2,220 447 2,717 5,387
-------- -------- ------- -------- -------
Net Investment Income (Loss).......................... 29,904 35,517 9,593 32,978 38,744
-------- -------- ------- -------- -------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold*......................... 59,165 68,682 4,287 (19,598) 44,685
Futures............................................. -- (1,000) -- -- --
Foreign Currency Transactions....................... 188 1,010 (29) (37) (86)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......... 99,246 367,643 66,933 (80,366) 9,022
Translation of Foreign Currency Denominated
Amounts............................................ 91 78 17 29 95
-------- -------- ------- -------- -------
Net Realized and Unrealized Gain (Loss)............... 158,690 436,413 71,208 (99,972) 53,716
-------- -------- ------- -------- -------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ $188,594 $471,930 $80,801 $(66,994) $92,460
======== ======== ======= ======== =======
----------
* Net of foreign capital gain taxes withheld of $38, $145, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
229
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap Value The DFA International The Japanese Small
Series Value Series Company Series
------------------------ ----------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013 2014 2013
----------- ----------- ----------- ----------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)........... $ 141,774 $ 250,494 $ 266,041 $ 252,489 $ 23,557 $ 37,996
Net Realized Gain (Loss) on:
Investment Securities Sold*.......... 366,497 1,042,669 124,552 394,216 45,562 94,606
Futures.............................. -- -- -- (1,587) -- --
Foreign Currency Transactions........ -- -- 335 (2,158) (531) (2,405)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ 907,355 2,531,751 101,142 1,329,657 (122,509) 403,911
Translation of Foreign Currency
Denominated Amounts................. -- -- 66 544 (91) 393
----------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 1,415,626 3,824,914 492,136 1,973,161 (54,012) 534,501
----------- ----------- ---------- ----------- ---------- ----------
Transactions in Interest:
Contributions.......................... 825,366 1,639,135 469,662 1,055,913 68,555 268,246
Withdrawals............................ (368,042) (1,214,213) (215,543) (1,475,193) (78,246) (207,854)
----------- ----------- ---------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest........... 457,324 424,922 254,119 (419,280) (9,691) 60,392
----------- ----------- ---------- ----------- ---------- ----------
Total Increase (Decrease) in
Net Assets......................... 1,872,950 4,249,836 746,255 1,553,881 (63,703) 594,893
Net Assets
Beginning of Period.................... 14,838,988 10,589,152 8,792,130 7,238,249 2,281,624 1,686,731
----------- ----------- ---------- ----------- ---------- ----------
End of Period.......................... $16,711,938 $14,838,988 $9,538,385 $ 8,792,130 $2,217,921 $2,281,624
=========== =========== ========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $7, $3, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
230
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Asia Pacific Small The United Kingdom Small The Continental Small
Company Series Company Series Company Series
---------------------- ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013 2014 2013
----------- ---------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 21,840 $ 51,800 $ 29,904 $ 55,266 $ 35,517 $ 70,319
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 1,126 2,045 59,165 110,830 68,682 61,594
Futures............................... -- -- -- -- (1,000) --
Foreign Currency Transactions......... 190 32 188 8 1,010 (97)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. (15,777) 64,761 99,246 377,497 367,643 843,629
Translation of Foreign Currency
Denominated Amounts.................. (4) (13) 91 (22) 78 123
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 7,375 118,625 188,594 543,579 471,930 975,568
---------- ---------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 193,486 243,954 5,444 20,921 21,726 97,213
Withdrawals............................. (56,981) (100,941) (24,838) (41,051) (90,033) (100,194)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 136,505 143,013 (19,394) (20,130) (68,307) (2,981)
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 143,880 261,638 169,200 523,449 403,623 972,587
Net Assets
Beginning of Period..................... 1,265,498 1,003,860 1,988,287 1,464,838 3,217,766 2,245,179
---------- ---------- ---------- ---------- ---------- ----------
End of Period........................... $1,409,378 $1,265,498 $2,157,487 $1,988,287 $3,621,389 $3,217,766
========== ========== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $38, $14, $145 and $14,
respectively.
See accompanying Notes to Financial Statements.
231
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
-------------------- ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013 2014 2013
----------- -------- ----------- ---------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................. $ 9,593 $ 20,407 $ 32,978 $ 77,332 $ 38,744 $ 87,786
Net Realized Gain (Loss) on:
Investment Securities Sold*................ 4,287 5,104 (19,598) 24,456 44,685 69,227
Futures.................................... -- -- -- -- -- 463
Foreign Currency Transactions.............. (29) (36) (37) (130) (86) (1,240)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 66,933 14,601 (80,366) 145,893 9,022 144,458
Translation of Foreign Currency
Denominated Amounts....................... 17 (11) 29 (8) 95 (41)
-------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 80,801 40,065 (66,994) 247,543 92,460 300,653
-------- -------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions................................ 42,660 42,578 337,722 937,021 316,401 1,276,889
Withdrawals.................................. (3,750) (30,525) (63,452) (331,711) (124,028) (439,369)
-------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest................. 38,910 12,053 274,270 605,310 192,373 837,520
-------- -------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................... 119,711 52,118 207,276 852,853 284,833 1,138,173
Net Assets
Beginning of Period.......................... 741,204 689,086 3,766,160 2,913,307 4,091,523 2,953,350
-------- -------- ---------- ---------- ---------- ----------
End of Period................................ $860,915 $741,204 $3,973,436 $3,766,160 $4,376,356 $4,091,523
======== ======== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $1,
respectively.
See accompanying Notes to Financial Statements.
232
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series
----------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
-----------------------------------------------------------------------------
(Unaudited)
----------------------------------------------------------------------------------------------------------------------------
Total Return.................................. 9.45%(D) 35.68% 18.31% 5.69% 19.96% 11.90%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $16,711,938 $14,838,988 $10,589,152 $9,335,107 $8,816,400 $7,508,400
Ratio of Expenses to Average Net Assets....... 0.11%(E) 0.11% 0.12% 0.12% 0.12% 0.13%
Ratio of Net Investment Income to Average Net
Assets....................................... 1.81%(E) 1.98% 2.15% 1.79% 2.02% 2.42%
Portfolio Turnover Rate....................... 8%(D) 15% 10% 14% 28% 29%
----------------------------------------------------------------------------------------------------------------------------
The DFA International Value Series
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
---------------------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------
Total Return.................................. 5.51%(D) 28.18% 3.17% (8.04)% 11.13% 35.41%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $9,538,385 $8,792,130 $7,238,249 $6,955,907 $6,919,633 $6,191,964
Ratio of Expenses to Average Net Assets....... 0.22%(E) 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............. 0.22%(E) 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Net Investment Income to Average Net
Assets....................................... 5.94%(E) 3.20% 3.75% 3.47% 2.55% 3.22%
Portfolio Turnover Rate....................... 8%(D) 15% 14% 9% 20% 18%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
233
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Japanese Small Company Series
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
---------------------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------
Total Return.................................. (2.38)%(D) 30.62% 0.54% 10.07% 0.72% 22.69%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $2,217,921 $2,281,624 $1,686,731 $1,502,815 $1,211,600 $1,183,036
Ratio of Expenses to Average Net Assets....... 0.13%(E) 0.14% 0.15% 0.14% 0.14% 0.15%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............. 0.13%(E) 0.14% 0.15% 0.14% 0.14% 0.15%
Ratio of Net Investment Income to Average Net
Assets....................................... 2.11%(E) 1.87% 2.17% 2.07% 1.95% 2.15%
Portfolio Turnover Rate....................... 5%(D) 16% 7% 5% 10% 7%
--------------------------------------------------------------------------------------------------------------------------
The Asia Pacific Small Company Series
--------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
---------------------------------------------------------------------
(Unaudited)
-------------------------------------------------------------------------------------------------------------------------
Total Return....................................... 0.21%(D) 10.97% 7.48% (5.15)% 28.91% 84.98%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $1,409,378 $1,265,498 $1,003,860 $906,734 $935,138 $680,997
Ratio of Expenses to Average Net Assets............ 0.13%(E) 0.15% 0.16% 0.16% 0.17% 0.18%
Ratio of Expenses to Average Net Assets (Excluding
Fees Paid Indirectly)............................. 0.13%(E) 0.15% 0.16% 0.16% 0.17% 0.18%
Ratio of Net Investment Income to Average Net
Assets............................................ 3.34%(E) 4.64% 4.26% 3.78% 3.64% 4.00%
Portfolio Turnover Rate............................ 2%(D) 9% 18% 17% 18% 23%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
234
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The United Kingdom Small Company Series
-----------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
------------------------------------------------------------------------
(Unaudited)
----------------------------------------------------------------------------------------------------------------------------
Total Return....................................... 9.52%(D) 37.42% 23.41% 0.20% 25.94% 43.51%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands).............. $2,157,487 $1,988,287 $1,464,838 $1,133,845 $1,036,694 $770,472
Ratio of Expenses to Average Net Assets............ 0.12%(E) 0.12% 0.13% 0.13% 0.13% 0.14%
Ratio of Expenses to Average Net Assets (Excluding
Fees Paid Indirectly)............................. 0.12%(E) 0.12% 0.13% 0.13% 0.13% 0.14%
Ratio of Net Investment Income to Average Net
Assets............................................ 2.85%(E) 3.29% 3.37% 3.76% 2.86% 4.02%
Portfolio Turnover Rate............................ 4%(D) 17% 6% 7% 15% 10%
----------------------------------------------------------------------------------------------------------------------------
The Continental Small Company Series
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
---------------------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------
Total Return.................................. 14.89%(D) 43.67% 2.29% (10.75)% 15.37% 43.78%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $3,621,389 $3,217,766 $2,245,179 $2,001,763 $2,072,484 $1,630,892
Ratio of Expenses to Average Net Assets....... 0.13%(E) 0.14% 0.16% 0.15% 0.15% 0.16%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............. 0.13%(E) 0.14% 0.16% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to Average Net
Assets....................................... 2.11%(E) 2.67% 3.15% 2.72% 2.24% 2.93%
Portfolio Turnover Rate....................... 6%(D) 13% 9% 10% 12% 7%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
235
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Canadian Small Company Series
---------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
----------------------------------------------------------------
(Unaudited)
-------------------------------------------------------------------------------------------------------------------------
Total Return............................................ 10.37%(D) 5.71% (2.51)% 0.27% 43.17% 61.67%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................... $860,915 $741,204 $689,086 $736,262 $663,722 $365,181
Ratio of Expenses to Average Net Assets................. 0.12%(E) 0.13% 0.15% 0.14% 0.15% 0.17%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly)....................................... 0.12%(E) 0.13% 0.15% 0.14% 0.15% 0.17%
Ratio of Net Investment Income to Average Net Assets.... 2.49%(E) 2.99% 2.29% 1.72% 1.05% 1.37%
Portfolio Turnover Rate................................. 2%(D) 14% 22% 24% 10% 23%
-------------------------------------------------------------------------------------------------------------------------
The Emerging Markets Series
---------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
----------------------------------------------------------------------------
(Unaudited)
---------------------------------------------------------------------------------------------------------------------------
Total Return.................................. (2.05)%(D) 6.99% 4.55% (6.44)% 27.04% 53.99%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $3,973,436 $3,766,160 $2,913,307 $2,439,981 $2,529,493 $2,109,316
Ratio of Expenses to Average Net Assets....... 0.15%(E) 0.16% 0.20% 0.20% 0.19% 0.20%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............. 0.15%(E) 0.16% 0.20% 0.20% 0.19% 0.20%
Ratio of Net Investment Income to Average Net
Assets....................................... 1.79%(E) 2.38% 2.55% 2.48% 2.18% 2.57%
Portfolio Turnover Rate....................... 2%(D) 4% 5% 16% 12% 14%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
236
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Emerging Markets Small Cap Series
--------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
---------------------------------------------------------------------------
(Unaudited)
--------------------------------------------------------------------------------------------------------------------------
Total Return.................................. 2.12%(D) 9.41% 7.19% (12.94)% 41.96% 92.08%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $4,376,356 $4,091,523 $2,953,350 $1,874,926 $1,881,356 $1,167,973
Ratio of Expenses to Average Net Assets....... 0.26%(E) 0.29% 0.36% 0.33% 0.32% 0.33%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............. 0.26%(E) 0.29% 0.36% 0.33% 0.32% 0.33%
Ratio of Net Investment Income to Average Net
Assets....................................... 1.90%(E) 2.37% 2.48% 2.32% 2.16% 2.52%
Portfolio Turnover Rate....................... 4%(D) 11% 13% 18% 15% 13%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
237
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, nine of which are included in this section
of the report (collectively, the "Series"). The remaining operational
portfolios are presented in separate reports.
Domestic Equity Portfolio International Equity Portfolios
------------------------- -------------------------------
The U.S. Large Cap Value Series The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Canadian Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
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.
238
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, the previous
day), 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 April 30, 2014, The Emerging Markets Series and The Emerging Markets Small
Cap Series had significant transfers of securities with a total value of
$315,950 and $436,276 (in thousands), respectively, that transferred from Level
2 to Level 1 because fair value procedures were no longer applied. 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
239
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 April 30, 2014, 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.
240
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Trust. For the six months ended April 30, 2014, the Series'
investment advisory services fees were accrued daily and paid monthly to the
Advisor based on the following effective annual rates of average daily net
assets:
The U.S. Large Cap Value Series......... 0.10%
The DFA International Value Series...... 0.20%
The Japanese Small Company Series....... 0.10%
The Asia Pacific Small Company Series... 0.10%
The United Kingdom Small Company Series. 0.10%
The Continental Small Company Series.... 0.10%
The Canadian Small Company Series....... 0.10%
The Emerging Markets Series............. 0.10%
The Emerging Markets Small Cap Series... 0.20%
Earned Income Credit:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2014, expenses reduced were as follows (amounts in
thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series...... $ 5
The Japanese Small Company Series....... 1
The Asia Pacific Small Company Series... 3
The United Kingdom Small Company Series. --
The Continental Small Company Series.... 1
The Canadian Small Company Series....... 1
The Emerging Markets Series............. 7
The Emerging Markets Small Cap Series... 4
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the six months ended April 30, 2014, the total
related amounts paid by the Trust to the CCO were $41 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. Deferred Compensation:
At April 30, 2014, 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......... $383
The DFA International Value Series...... 276
The Japanese Small Company Series....... 62
The Asia Pacific Small Company Series... 32
The United Kingdom Small Company Series. 42
The Continental Small Company Series.... 77
The Canadian Small Company Series....... 19
The Emerging Markets Series............. 100
The Emerging Markets Small Cap Series... 72
241
E. Purchases and Sales of Securities:
For the six months ended April 30, 2014, the Series made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
Purchases Sales
---------- ----------
The U.S. Large Cap Value Series......... $1,851,848 $1,259,638
The DFA International Value Series...... 1,125,082 709,817
The Japanese Small Company Series....... 111,283 105,085
The Asia Pacific Small Company Series... 189,668 32,500
The United Kingdom Small Company Series. 104,334 94,753
The Continental Small Company Series.... 213,433 252,487
The Canadian Small Company Series....... 68,569 15,382
The Emerging Markets Series............. 352,219 68,542
The Emerging Markets Small Cap Series... 411,009 172,691
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At April 30, 2014, 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, as follows
(amounts in thousands):
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
----------- ------------ -------------- --------------
The U.S. Large Cap Value Series......... $10,926,067 $6,313,025 $ (59,415) $6,253,610
The DFA International Value Series...... 8,613,314 2,266,781 (444,612) 1,822,169
The Japanese Small Company Series....... 2,457,648 327,237 (273,141) 54,096
The Asia Pacific Small Company Series... 1,643,730 352,204 (285,051) 67,153
The United Kingdom Small Company Series. 1,446,589 810,805 (78,770) 732,035
The Continental Small Company Series.... 3,161,909 1,375,511 (222,856) 1,152,655
The Canadian Small Company Series....... 1,082,507 183,823 (195,174) (11,351)
The Emerging Markets Series............. 3,085,526 1,338,279 (217,020) 1,121,259
The Emerging Markets Small Cap Series... 4,428,649 941,842 (502,769) 439,073
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 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
242
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 Series may be inhibited.
Derivative Financial Instruments:
Summarized below are the specific types of derivative instruments used by
the Series.
2. Futures Contracts: The Series may enter into futures contracts to gain
market exposure on uninvested cash pending investment in securities or to
maintain liquidity to pay redemptions. Upon entering into a futures contract,
the Series 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 location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the six months ended April 30, 2014 (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
-------------------------------
Total Equity Contracts
------- ------------------
The Continental Small Company Series*. $(1,000) $(1,000)
* As of April 30, 2014, there were no futures contracts outstanding. During the
six months ended April 30, 2014, the Series had limited activity in futures
contracts.
H. 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 agreement for the line of credit was scheduled to
expire on March 3, 2014, however, effective March 3, 2014, the term was
extended until March 2, 2015.
243
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 10, 2014 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 line of credit agreement expires on
January 9, 2015.
For the six months ended April 30, 2014, 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....... 0.85% $12,485 8 $ 2 $32,996
The DFA International Value Series.... 0.83% 10,282 4 1 11,874
The Japanese Small Company Series..... 0.83% 5,915 9 1 9,696
The Asia Pacific Small Company Series. 0.83% 310 5 -- 889
The United Kingdom Small Company
Series.............................. 0.83% 259 7 -- 798
The Continental Small Company Series.. 0.82% 257 27 -- 1,099
The Emerging Markets Small Cap Series. 0.83% 4,378 23 2 9,078
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2014, that each Series' available line
of credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of April 30, 2014.
I. Securities Lending:
As of April 30, 2014, 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.... $ 24,703
The Asia Pacific Small Company Series. 1,302
The Continental Small Company Series.. 437
The Canadian Small Company Series..... 41,339
The Emerging Markets Series........... 83,669
The Emerging Markets Small Cap Series. 181,387
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
244
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. 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 a
motion to dismiss on behalf of all shareholder defendants in the Committee
Action was filed on May 23, 2014. Briefing on the motion to dismiss will be
completed by July 2014, with oral argument on the motion to be held thereafter.
The Committee Action is stayed pending the disposition of the motion to dismiss.
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
245
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.
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.
246
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2014
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
Dimensional Emerging Markets Value Fund
---------------------------------------
Actual Fund Return...................... $1,000.00 $ 967.80 0.15% $0.73
Hypothetical 5% Annual Return........... $1,000.00 $1,024.05 0.15% $0.75
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
247
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For the
Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters
ending January 31 and July 31. The Form N-Q filing must be made within 60 days
of the end of the quarter. Dimensional Emerging Markets Value Fund filed its
most recent Form N-Q with the SEC on March 31, 2014. 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....................... 6.5%
Consumer Staples............................. 5.0%
Energy....................................... 14.7%
Financials................................... 34.1%
Health Care.................................. 0.4%
Industrials.................................. 12.0%
Information Technology....................... 7.6%
Materials.................................... 16.1%
Other........................................ --
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 1.3%
Utilities.................................... 2.2%
-----
100.0%
248
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (89.8%)
BRAZIL -- (5.8%)
Banco do Brasil SA.................................. 9,750,973 $ 102,374,830 0.6%
# Banco Santander Brasil SA ADR....................... 17,807,476 118,419,715 0.6%
BM&FBovespa SA...................................... 22,165,187 113,323,526 0.6%
Gerdau SA Sponsored ADR............................. 15,421,303 92,682,031 0.5%
# Petroleo Brasileiro SA ADR.......................... 18,327,471 254,385,297 1.4%
# Vale SA Sponsored ADR............................... 5,665,567 74,898,796 0.4%
Other Securities.................................... 420,067,291 2.1%
--------------- ------
TOTAL BRAZIL............................................ 1,176,151,486 6.2%
--------------- ------
CHILE -- (1.4%)
Enersis SA Sponsored ADR............................ 5,733,186 92,304,295 0.5%
Other Securities.................................... 184,756,836 1.0%
--------------- ------
TOTAL CHILE............................................. 277,061,131 1.5%
--------------- ------
CHINA -- (13.9%)
Agricultural Bank of China, Ltd. Class H............ 255,464,000 107,163,539 0.6%
Bank of China, Ltd. Class H......................... 763,167,331 337,236,300 1.8%
China Construction Bank Corp. Class H............... 526,917,940 364,823,738 1.9%
# China Petroleum & Chemical Corp. ADR................ 1,255,935 111,614,926 0.6%
China Petroleum & Chemical Corp. Class H............ 153,367,575 135,755,471 0.7%
# China Unicom Hong Kong, Ltd. ADR.................... 7,285,774 111,690,915 0.6%
Industrial & Commercial Bank of China, Ltd. Class H. 294,086,996 175,341,806 0.9%
Other Securities.................................... 1,453,697,436 7.6%
--------------- ------
TOTAL CHINA............................................. 2,797,324,131 14.7%
--------------- ------
COLOMBIA -- (0.1%)
Other Securities.................................... 22,287,355 0.1%
--------------- ------
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 37,080,820 0.2%
--------------- ------
GREECE -- (0.1%)
Other Securities.................................... 29,719,693 0.1%
--------------- ------
HUNGARY -- (0.4%)
# OTP Bank P.L.C...................................... 4,005,156 76,482,558 0.4%
Other Securities.................................... 11,937,305 0.1%
--------------- ------
TOTAL HUNGARY........................................... 88,419,863 0.5%
--------------- ------
INDIA -- (7.3%)
ICICI Bank, Ltd. Sponsored ADR...................... 3,344,526 142,710,924 0.8%
Reliance Industries, Ltd............................ 21,131,225 328,571,526 1.8%
State Bank of India................................. 2,505,452 86,574,863 0.5%
Other Securities.................................... 903,630,114 4.6%
--------------- ------
TOTAL INDIA............................................. 1,461,487,427 7.7%
--------------- ------
INDONESIA -- (2.6%)
Other Securities.................................... 531,581,240 2.8%
--------------- ------
ISRAEL -- (0.0%)
Other Securities.................................... 179,391 0.0%
--------------- ------
249
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MALAYSIA -- (3.9%)
Other Securities.................................... $ 774,185,098 4.1%
--------------- ------
MEXICO -- (6.7%)
Alfa S.A.B. de C.V. Class A......................... 50,229,549 132,688,709 0.7%
#* Cemex S.A.B. de C.V. Sponsored ADR.................. 17,909,307 226,373,641 1.2%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR................................................ 2,566,579 232,968,375 1.2%
# Grupo Financiero Banorte S.A.B. de C.V.............. 23,649,283 157,068,369 0.8%
Other Securities.................................... 589,874,651 3.2%
--------------- ------
TOTAL MEXICO............................................ 1,338,973,745 7.1%
--------------- ------
PHILIPPINES -- (1.1%)
Other Securities.................................... 211,231,050 1.1%
--------------- ------
POLAND -- (1.9%)
PGE SA.............................................. 14,358,931 99,777,343 0.5%
# Polski Koncern Naftowy Orlen SA..................... 6,279,050 94,021,799 0.5%
Other Securities.................................... 191,785,994 1.0%
--------------- ------
TOTAL POLAND............................................ 385,585,136 2.0%
--------------- ------
RUSSIA -- (3.6%)
Gazprom OAO Sponsored ADR........................... 93,269,773 674,054,680 3.6%
Other Securities.................................... 59,127,634 0.3%
--------------- ------
TOTAL RUSSIA............................................ 733,182,314 3.9%
--------------- ------
SOUTH AFRICA -- (7.4%)
* AngloGold Ashanti, Ltd. Sponsored ADR............... 4,066,826 73,609,551 0.4%
Barclays Africa Group, Ltd.......................... 6,214,975 91,043,580 0.5%
# Nedbank Group, Ltd.................................. 3,855,686 82,653,953 0.4%
Sanlam, Ltd......................................... 23,829,161 127,656,171 0.7%
Standard Bank Group, Ltd............................ 20,138,333 264,596,500 1.4%
# Steinhoff International Holdings, Ltd............... 23,854,878 123,958,079 0.7%
Other Securities.................................... 728,775,665 3.8%
--------------- ------
TOTAL SOUTH AFRICA...................................... 1,492,293,499 7.9%
--------------- ------
SOUTH KOREA -- (14.3%)
Hana Financial Group, Inc........................... 3,815,029 134,617,332 0.7%
# Hyundai Motor Co.................................... 382,144 85,205,290 0.5%
KB Financial Group, Inc............................. 2,611,033 89,320,287 0.5%
# KB Financial Group, Inc. ADR........................ 3,171,116 108,864,412 0.6%
# LG Electronics, Inc................................. 1,776,548 118,328,679 0.6%
POSCO............................................... 675,780 199,644,504 1.1%
# POSCO ADR........................................... 1,617,993 119,084,285 0.6%
Samsung C&T Corp.................................... 1,386,322 87,182,647 0.5%
Shinhan Financial Group Co., Ltd.................... 5,061,519 220,927,148 1.2%
SK Holdings Co., Ltd................................ 513,323 91,053,325 0.5%
SK Innovation Co., Ltd.............................. 845,193 96,824,762 0.5%
Other Securities.................................... 1,517,903,887 7.8%
--------------- ------
TOTAL SOUTH KOREA....................................... 2,868,956,558 15.1%
--------------- ------
TAIWAN -- (14.0%)
Fubon Financial Holding Co., Ltd.................... 88,739,471 114,853,842 0.6%
Mega Financial Holding Co., Ltd..................... 136,903,915 104,811,122 0.6%
# United Microelectronics Corp........................ 214,601,681 93,569,573 0.5%
250
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (Continued)
Other Securities..................... $ 2,503,584,789 13.1%
--------------- -----
TOTAL TAIWAN............................. 2,816,819,326 14.8%
--------------- -----
THAILAND -- (2.8%)
PTT PCL.............................. 14,249,300 137,825,430 0.7%
Other Securities..................... 419,320,311 2.2%
--------------- -----
TOTAL THAILAND........................... 557,145,741 2.9%
--------------- -----
TURKEY -- (2.3%)
Turkiye Is Bankasi................... 33,315,167 78,789,979 0.4%
Other Securities..................... 378,437,180 2.0%
--------------- -----
TOTAL TURKEY............................. 457,227,159 2.4%
--------------- -----
TOTAL COMMON STOCKS...................... 18,056,892,163 95.1%
--------------- -----
PREFERRED STOCKS -- (3.5%)
BRAZIL -- (3.4%)
Petroleo Brasileiro SA............... 18,238,804 135,538,505 0.7%
Vale SA.............................. 6,212,932 73,616,174 0.4%
Petroleo Brasileiro SA Sponsored ADR. 21,196,251 313,704,515 1.8%
Other Securities..................... 159,563,066 0.7%
--------------- -----
TOTAL BRAZIL............................. 682,422,260 3.6%
--------------- -----
COLOMBIA -- (0.1%)
Other Securities..................... 15,735,620 0.1%
--------------- -----
TOTAL PREFERRED STOCKS................... 698,157,880 3.7%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Other Securities..................... 4,380 0.0%
--------------- -----
CHILE -- (0.0%)
Other Securities..................... -- 0.0%
--------------- -----
HONG KONG -- (0.0%)
Other Securities..................... 5,766 0.0%
--------------- -----
MALAYSIA -- (0.0%)
Other Securities..................... 86,959 0.0%
--------------- -----
PHILIPPINES -- (0.0%)
Other Securities..................... 5,696 0.0%
--------------- -----
SOUTH KOREA -- (0.0%)
Other Securities..................... 1,418,855 0.0%
--------------- -----
TAIWAN -- (0.0%)
Other Securities..................... 82 0.0%
--------------- -----
THAILAND -- (0.0%)
Other Securities..................... 122,763 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS.................... 1,644,501 0.0%
--------------- -----
251
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Shares/
Face Percentage
Amount Value+ of Net Assets**
------- ------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (6.7%)
(S)@ DFA Short Term Investment Fund.. 116,161,904 $ 1,343,993,228 7.1%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $20,065,502,363)............. $20,100,687,772 105.9%
=============== ======
Summary of the Fund's investments as of April 30, 2014, 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...................... $1,176,151,486 -- -- $ 1,176,151,486
Chile....................... 277,061,131 -- -- 277,061,131
China....................... 239,991,379 $ 2,557,332,752 -- 2,797,324,131
Colombia.................... 22,287,355 -- -- 22,287,355
Czech Republic.............. -- 37,080,820 -- 37,080,820
Greece...................... -- 29,719,693 -- 29,719,693
Hungary..................... -- 88,419,863 -- 88,419,863
India....................... 167,750,251 1,293,737,176 -- 1,461,487,427
Indonesia................... 6,576,577 525,004,663 -- 531,581,240
Israel...................... -- 179,391 -- 179,391
Malaysia.................... -- 774,185,098 -- 774,185,098
Mexico...................... 1,338,336,304 637,441 -- 1,338,973,745
Philippines................. -- 211,231,050 -- 211,231,050
Poland...................... -- 385,585,136 -- 385,585,136
Russia...................... 921,795 732,260,519 -- 733,182,314
South Africa................ 202,757,635 1,289,535,864 -- 1,492,293,499
South Korea................. 352,323,627 2,516,632,931 -- 2,868,956,558
Taiwan...................... 35,847,620 2,780,971,706 -- 2,816,819,326
Thailand.................... 555,779,886 1,365,855 -- 557,145,741
Turkey...................... -- 457,227,159 -- 457,227,159
Preferred Stocks
Brazil...................... 682,422,260 -- -- 682,422,260
Colombia.................... 15,735,620 -- -- 15,735,620
Rights/Warrants
Brazil...................... -- 4,380 -- 4,380
Chile....................... -- -- -- --
Hong Kong................... -- 5,766 -- 5,766
Malaysia.................... -- 86,959 -- 86,959
Philippines................. -- 5,696 -- 5,696
South Korea................. -- 1,418,855 -- 1,418,855
Taiwan...................... 82 -- -- 82
Thailand.................... -- 122,763 -- 122,763
Securities Lending Collateral. -- 1,343,993,228 -- 1,343,993,228
-------------- --------------- -- ---------------
TOTAL......................... $5,073,943,008 $15,026,744,764 -- $20,100,687,772
============== =============== == ===============
See accompanying Notes to Financial Statements.
252
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
ASSETS:
Investments at Value (including $1,599,184 of securities on loan)*....... $18,756,695
Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 1,343,993
Foreign Currencies at Value.............................................. 96,617
Cash..................................................................... 75,672
Receivables:
Investment Securities Sold............................................. 36,495
Dividends, Interest and Tax Reclaims................................... 42,093
Securities Lending Income.............................................. 2,577
Unrealized Gain on Foreign Currency Contracts.......................... 5
-----------
Total Assets........................................................ 20,354,147
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................................... 1,343,993
Investment Securities Purchased........................................ 32,937
Due to Advisor......................................................... 1,568
Unrealized Loss on Foreign Currency Contracts............................ 4
Accrued Expenses and Other Liabilities................................... 1,609
-----------
Total Liabilities................................................... 1,380,111
-----------
NET ASSETS............................................................... $18,974,036
===========
Investments at Cost...................................................... $18,721,509
===========
Foreign Currencies at Cost............................................... $ 96,278
===========
----------
* See Note H in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
253
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
Investment Income
Dividends (Net of Foreign Taxes Withheld of $18,636).......... $ 178,771
Interest...................................................... 4
Income from Securities Lending................................ 10,808
---------
Total Investment Income.................................... 189,583
---------
Expenses
Investment Advisory Services Fees............................. 9,150
Accounting & Transfer Agent Fees.............................. 492
Custodian Fees................................................ 3,341
Shareholders' Reports......................................... 13
Directors'/Trustees' Fees & Expenses.......................... 125
Professional Fees............................................. 312
Other......................................................... 166
---------
Total Expenses............................................. 13,599
---------
Fees Paid Indirectly.......................................... (27)
---------
Net Expenses.................................................. 13,572
---------
Net Investment Income (Loss).................................. 176,011
---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:..................................
Investment Securities Sold.................................. (356,782)
Foreign Currency Transactions............................... (2,068)
Change in Unrealized Appreciation (Depreciation) of:..........
Investment Securities and Foreign Currency.................. (444,396)
Translation of Foreign Currency Denominated Amounts......... 100
---------
Net Realized and Unrealized Gain (Loss)....................... (803,146)
---------
Net Increase (Decrease) in Net Assets Resulting from Operations. $(627,135)
=========
See accompanying Notes to Financial Statements.
254
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Six Months Year
Ended Ended
April 30, Oct. 31,
2014 2013
----------- -----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).............................................. $ 176,011 $ 419,407
Net Realized Gain (Loss) on:
Investment Securities Sold.............................................. (356,782) 304,248
Foreign Currency Transactions........................................... (2,068) (2,833)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................. (444,396) 724,674
Translation of Foreign Currency Denominated Amounts..................... 100 7
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations...... (627,135) 1,445,503
----------- -----------
Transactions in Interest:
Contributions............................................................. 896,469 2,894,722
Withdrawals............................................................... (722,584) (1,797,261)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.................. 173,885 1,097,461
----------- -----------
Total Increase (Decrease) in Net Assets................................ (453,250) 2,542,964
Net Assets
Beginning of Period....................................................... 19,427,286 16,884,322
----------- -----------
End of Period............................................................. $18,974,036 $19,427,286
=========== ===========
See accompanying Notes to Financial Statements.
255
DIMENSIONAL EMERGING MARKETS VALUE FUND+
FINANCIAL HIGHLIGHTS
Dimensional Emerging Markets Value Fund
--------------------------------------------------------------------------------
Six Months Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011 2010 2009
---------------------------------------------------------------------------------
(Unaudited)
----------------------------------------------------------------------------------------------------------------------------
Total Return.............................. (3.22)%(D) 8.43% 1.10% (14.47)% 30.55% 79.39%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $18,974,036 $19,427,286 $16,884,322 $14,003,579 $11,917,955 $7,965,125
Ratio of Expenses to Average Net Assets... 0.15%(E) 0.16% 0.20% 0.20% 0.19% 0.21%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)......... 0.15%(E) 0.16% 0.20% 0.20% 0.19% 0.21%
Ratio of Net Investment Income to Average
Net Assets............................... 1.92%(E) 2.32% 2.43% 2.29% 1.81% 2.17%
Portfolio Turnover Rate................... 6%(D) 6% 8% 5% 15% 20%
----------------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
256
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a
closed-end management investment company registered under the Investment
Company Act of 1940, as amended. Effective November 21, 1997, DEM I was
reorganized as an open-end management investment company. On October 27, 2009,
the Board of Directors and shareholders of DEM I approved an Agreement and Plan
of Reorganization that provided for the reorganization of DEM I from a Maryland
corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I
transferred all of its assets and liabilities to Dimensional Emerging Markets
Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free
exchange under Internal Revenue Code (the "IRC") (S)368(a)(1)(F).
Effective November 1, 2009, the Fund, a master fund in a master-feeder
structure, elected with the consent of its holder(s) to change its U.S. federal
income tax classification from that of an association taxable as a corporation
to a partnership pursuant to Treasury Regulation (S)301.7701-3. The change in
capital structure and retroactive reclassification of the statement of changes
in net assets and financial highlights for the Fund is a result of the
treatment of a partnership for book purposes. The Fund will maintain its books
and records and present its financial statements in accordance with generally
accepted accounting principles for investment partnerships.
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
257
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, the previous day), 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
April 30, 2014, the Fund had significant transfers of securities with a total
value of $988,867 (in thousands) that transferred from Level 2 to Level 1
because fair value procedures were no longer applied. 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
258
funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core
Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/Trustees' Fees & Expenses. At April 30, 2014, 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
$425 (in thousands).
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of April 30, 2014, 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 six months ended April 30, 2014, the Fund's
investment advisory services fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.10% of average daily net assets.
Earned Income Credit:
In addition, the Fund has entered into an arrangement with its custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Fund's custody expense. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2014, expenses reduced were $27 (amount in thousands).
259
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2014, the total
related amounts paid by the Fund to the CCO were $12 (in thousands). The total
related amounts paid by the Fund are included in Other Expenses on the
Statement of Operations.
D. Purchases and Sales of Securities:
For the six months ended April 30, 2014, the Fund made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
Purchases Sales
---------- ----------
Dimensional Emerging Markets Value Fund. $1,325,742 $1,034,797
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 April 30, 2014, 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, as follows
(amounts in thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
----------- ------------ ------------ --------------
Dimensional Emerging Markets Value Fund. $20,183,112 $3,056,570 $(3,138,994) $(82,424)
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. 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 securities held
by the Fund may be inhibited.
260
G. 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 agreement for the line of credit was scheduled to
expire on March 3, 2014, however, effective March 3, 2014, the term was
extended until March 2, 2015.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit effective
January 10, 2014 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 line of credit agreement expires on
January 9, 2015.
For the six months ended April 30, 2014, 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. 0.84% $23,708 5 $3 $29,704
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2014, 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 April 30, 2014.
H. Securities Lending:
As of April 30, 2014, 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 $364,411 (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 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
261
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. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Fund and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
262
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (512) 306-7400. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dimensional.com and reflects the twelve-month period beginning
July 1st and ending June 30th.
263
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 13, 2013 (the "Meeting"), the Boards
of Directors of DFA Investment Dimensions Group Inc. and Dimensional Investment
Group Inc., and the Boards of Trustees of The DFA Investment Trust Company and
Dimensional Emerging Markets Value Fund (together, the "Board") considered the
continuation of the investment advisory/management agreements for each
portfolio or series (collectively, the "Funds") and, if applicable, a Fund's
sub-advisory agreements. For certain Funds, Dimensional Fund Advisors Ltd.
and/or DFA Australia Limited serve as sub-advisors. (The investment
advisory/management agreements and the sub-advisory agreements are referred to
as the "Advisory Agreements," and the Advisor and sub-advisors are referred to
as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined,
among other things, that after considering each Fund's investment strategies
and the expectations of its shareholder base, the performance of each Fund was
reasonable as compared with relevant performance standards and appropriate
market indexes.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
264
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative fees paid by the
feeder portfolios. The Board considered the profitability to the Advisor of
managing and servicing the Funds and the Advisor's unregistered clients, such
as collective trusts, group trusts and separate accounts. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of advisory fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
265
[LOGO] DFA043014-001S
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) The Registrant's schedule of investments is provided below.
DIMENSIONAL EMERGING MARKETS VALUE FUND
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULE OF INVESTMENTS
-----------------------
Investment Abbreviations
ADR American Depository Receipt
FNMA Federal National Mortgage Association
GDR Global Depository Receipt
NVDR Non-Voting Depository Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Security Valuation Note within the Notes to Schedule of
Investments.
++ Securities have generally been fair valued. See Security Valuation
Note within the Notes to Schedule of Investments.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from securities on loan.
-- Amounts designated as -- are either zero or rounded to zero.
(S) Affiliated Fund.
Dimensional Emerging Markets Value Fund
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Shares Value++
---------- ------------
COMMON STOCKS -- (89.8%)
BRAZIL -- (5.9%)
ALL - America Latina Logistica SA 1,495,046 $ 5,920,510
Banco Alfa de Investimento SA 82,200 200,178
Banco do Brasil SA 9,750,973 102,374,830
Banco Santander Brasil SA 3,033,726 20,272,460
#Banco Santander Brasil SA ADR 17,807,476 118,419,715
Bematech SA 770,300 2,881,176
*BHG SA - Brazil Hospitality Group 253,714 1,581,623
BM&FBovespa SA 22,165,187 113,323,526
BrasilAgro - Co. Brasileira de Propriedades Agricolas 36,700 147,310
#Braskem SA Sponsored ADR 449,529 6,113,594
*Brazil Pharma SA 207,000 337,921
*Brookfield Incorporacoes SA 7,174,000 4,600,884
Cia Providencia Industria e Comercio SA 359,200 1,303,253
*CR2 Empreendimentos Imobiliarios SA 99,200 135,692
Cremer SA 206,870 1,549,380
Cyrela Brazil Realty SA Empreendimentos e Participacoes 481,700 2,920,769
Eternit SA 180,201 702,297
Even Construtora e Incorporadora SA 5,161,239 16,619,664
*Fertilizantes Heringer SA 274,800 651,953
*Fibria Celulose SA 2,182,200 21,726,579
#*Fibria Celulose SA Sponsored ADR 3,877,210 38,500,695
Forjas Taurus SA 215,956 133,656
Gafisa SA 3,259,978 5,307,196
#Gafisa SA ADR 3,369,856 11,154,223
*General Shopping Brasil SA 129,430 401,104
Gerdau SA 2,014,063 9,764,333
Gerdau SA Sponsored ADR 15,421,303 92,682,031
Grendene SA 319,904 2,022,938
Hypermarcas SA 1,635,246 12,049,374
Industrias Romi SA 635,500 1,439,298
JBS SA 18,033,940 62,276,640
JHSF Participacoes SA 605,827 986,277
Kepler Weber SA 54,287 883,784
Klabin SA 3,221,149 16,902,094
*Log-in Logistica Intermodal SA 760,800 2,726,221
Magnesita Refratarios SA 3,331,666 7,082,452
*Marfrig Global Foods SA 5,057,848 9,436,326
*MMX Mineracao e Metalicos SA 287,383 333,814
MRV Engenharia e Participacoes SA 5,452,772 17,264,972
*Paranapanema SA 4,399,443 7,241,151
*PDG Realty SA Empreendimentos e Participacoes 31,849,819 19,569,123
Petroleo Brasileiro SA 5,246,008 36,773,228
#Petroleo Brasileiro SA ADR 18,327,471 254,385,297
Positivo Informatica SA 461,557 482,309
Profarma Distribuidora de Produtos Farmaceuticos SA 323,225 2,580,291
QGEP Participacoes SA 1,152,894 4,436,296
Rodobens Negocios Imobiliarios SA 366,316 1,899,142
*Rossi Residencial SA 10,825,995 7,768,401
Sao Carlos Empreendimentos e Participacoes SA 67,300 1,056,396
Sao Martinho SA 511,163 7,656,842
SLC Agricola SA 1,034,591 7,887,901
Dimensional Emerging Markets Value Fund
continued
Shares Value++
------------- --------------
BRAZIL -- (Continued)
*Springs Global Participacoes SA 1,522,300 $ 853,403
Sul America SA 217,090 1,591,848
*T4F Entretenimento SA 40,500 91,726
Tecnisa SA 1,177,927 3,660,964
Tereos Internacional SA 568,672 456,519
TPI - Triunfo Participacoes e Investimentos SA 380,600 1,485,018
Trisul SA 95,461 172,962
*Usinas Siderurgicas de Minas Gerais SA 2,009,640 7,219,292
Vale SA 1,092,792 14,408,828
#Vale SA Sponsored ADR 5,665,567 74,898,796
*Vanguarda Agro SA 4,116,979 5,871,507
Via Varejo SA 170,924 544,259
*Viver Incorporadora e Construtora SA 407,561 29,245
--------------
TOTAL BRAZIL 1,176,151,486
--------------
CHILE -- (1.4%)
CAP SA 50,613 758,852
Cementos BIO BIO SA 665,307 607,231
Cencosud SA 1,844,719 6,146,284
Cencosud SA ADR 22,296 224,298
Cia General de Electricidad SA 1,354,569 6,361,677
*Cia Sud Americana de Vapores SA 57,702,158 2,740,636
Cintac SA 155,202 32,429
Corpbanca SA 1,137,122,867 13,099,217
Cristalerias de Chile SA 264,624 1,946,265
Cruz Blanca Salud SA 173,352 145,931
*CTI SA 5,615 10,823
#Embotelladora Andina SA Class A ADR 19,478 376,315
Empresas CMPC SA 20,740,973 46,168,243
Empresas COPEC SA 2,025,010 26,126,614
Empresas Hites SA 1,577,690 881,038
Empresas Iansa SA 49,008,058 1,936,854
*Empresas La Polar SA 137,636 13,660
Enersis SA 82,558,367 26,702,292
Enersis SA Sponsored ADR 5,733,186 92,304,295
Gasco SA 160,580 1,408,709
Grupo Security SA 1,143,589 399,265
Inversiones Aguas Metropolitanas SA 6,084,847 10,072,018
Invexans SA 64,223,012 1,151,850
Latam Airlines Group SA 565,275 8,625,564
#Latam Airlines Group SA Sponsored ADR 356,489 5,464,976
*Madeco SA 64,223,012 268,044
Masisa SA 43,371,870 2,152,240
Parque Arauco SA 27,593 49,385
PAZ Corp. SA 2,030,433 1,137,104
Ripley Corp. SA 11,819,177 7,687,372
Salfacorp SA 2,385,946 2,050,817
Sociedad Matriz SAAM SA 52,294,785 4,226,178
Sociedad Quimica y Minera de Chile SA Class A 27,760 903,563
Socovesa SA 5,773,726 1,074,410
Soquimich Comercial SA 189,354 42,067
Vina Concha y Toro SA 1,559,467 3,261,240
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- ------------
CHILE -- (Continued)
Vina Concha y Toro SA Sponsored ADR 2,846 $ 119,247
Vina San Pedro Tarapaca SA 57,038,434 384,128
------------
TOTAL CHILE 277,061,131
------------
CHINA -- (13.9%)
#361 Degrees International, Ltd. 6,999,000 1,608,536
#Agile Property Holdings, Ltd. 18,252,000 14,801,782
Agricultural Bank of China, Ltd. Class H 255,464,000 107,163,539
Air China, Ltd. Class H 11,188,000 6,377,975
#*Aluminum Corp. of China, Ltd. ADR 295,221 2,656,989
#*Aluminum Corp. of China, Ltd. Class H 20,634,000 7,397,860
AMVIG Holdings, Ltd. 5,605,100 2,040,469
*Angang Steel Co., Ltd. Class H 15,779,640 9,582,602
Anhui Tianda Oil Pipe Co., Ltd. 2,847,412 544,911
Anxin-China Holdings, Ltd. 2,128,000 335,277
Asia Cement China Holdings Corp. 7,617,000 5,537,892
#Asian Citrus Holdings, Ltd. 7,229,000 1,502,941
*Ausnutria Dairy Corp., Ltd. 268,000 9,472
*AVIC International Holding HK, Ltd. 18,676,285 615,847
*AVIC International Holdings, Ltd. 2,526,000 914,535
Bank of China, Ltd. Class H 763,167,331 337,236,300
Bank of Communications Co., Ltd. Class H 103,189,574 64,275,434
#Baoye Group Co., Ltd. Class H 2,335,120 1,387,046
BBMG Corp. Class H 5,155,000 3,615,394
Beijing Capital International Airport Co., Ltd. Class H 24,271,599 16,957,508
Beijing Capital Land, Ltd. Class H 18,113,060 6,101,395
Beijing Enterprises Holdings, Ltd. 4,623,000 40,080,381
Beijing Jingkelong Co., Ltd. Class H 81,000 22,700
#Beijing North Star Co., Ltd. Class H 8,382,000 1,956,943
Boer Power Holdings, Ltd. 609,000 799,396
#*BYD Electronic International Co., Ltd. 12,273,636 7,565,304
#C C Land Holdings, Ltd. 20,944,286 3,932,181
Carrianna Group Holdings Co., Ltd. 3,550,391 711,677
Central China Real Estate, Ltd. 8,003,350 1,975,966
#*Chaoda Modern Agriculture Holdings, Ltd. 37,445,412 2,995,633
*Chigo Holding, Ltd. 49,744,000 1,131,075
#China Aerospace International Holdings, Ltd. 32,830,000 3,313,836
China Agri-Industries Holdings, Ltd. 30,252,500 12,103,591
China Aoyuan Property Group, Ltd. 15,221,000 2,593,669
China Automation Group, Ltd. 7,052,000 1,255,321
China BlueChemical, Ltd. 3,682,878 1,977,032
*China Chengtong Development Group, Ltd. 3,000,000 92,654
China CITIC Bank Corp., Ltd. Class H 93,161,716 55,651,056
#China Coal Energy Co., Ltd. Class H 48,417,000 26,108,428
China Communications Construction Co., Ltd. Class H 61,495,327 40,106,784
China Communications Services Corp., Ltd. Class H 28,699,071 14,527,161
China Construction Bank Corp. Class H 526,917,940 364,823,738
#*China COSCO Holdings Co., Ltd. Class H 31,028,500 12,306,404
#China Dongxiang Group Co. 46,914,127 8,317,983
#*China Eastern Airlines Corp., Ltd. Class H 316,000 97,657
*China Energine International Holdings, Ltd. 5,014,390 440,712
China Everbright, Ltd. 12,195,869 16,344,212
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- ------------
CHINA -- (Continued)
*China Glass Holdings, Ltd. 9,128,000 $ 1,098,009
*China Green Holdings, Ltd. 6,492,800 407,930
#*China Haidian Holdings, Ltd. 22,761,108 2,883,578
*China High Precision Automation Group, Ltd. 429,000 67,507
#*China High Speed Transmission Equipment Group Co., Ltd. 16,532,000 11,556,900
#China Hongqiao Group, Ltd. 2,220,500 1,523,018
*China Huiyuan Juice Group, Ltd. 7,639,983 5,003,954
#China ITS Holdings Co., Ltd. 7,552,000 1,426,728
#China Lumena New Materials Corp. 52,602,000 8,480,965
China Merchants Bank Co., Ltd. Class H 6,337,596 11,322,758
China Merchants Holdings International Co., Ltd. 6,898,279 21,557,153
*China Merchants Land, Ltd. 306,000 39,216
#*China Metal Recycling Holdings, Ltd. 3,259,800 743,372
*China Mining Resources Group, Ltd. 22,647,100 255,616
#China Minsheng Banking Corp., Ltd. Class H 50,567,500 51,018,143
#China National Building Material Co., Ltd. Class H 20,600,000 19,461,833
China National Materials Co., Ltd. 14,631,000 2,837,862
#*China New Town Development Co., Ltd. 19,348,022 1,452,611
*China Nickel Resources Holdings Co., Ltd. 5,020,000 165,111
*China Oriental Group Co., Ltd. 26,000 3,890
#China Petroleum & Chemical Corp. ADR 1,255,935 111,614,926
China Petroleum & Chemical Corp. Class H 153,367,575 135,755,471
#*China Precious Metal Resources Holdings Co., Ltd. 17,026,000 1,693,045
*China Properties Group, Ltd. 7,347,000 1,653,341
China Qinfa Group, Ltd. 6,458,000 275,140
China Railway Construction Corp., Ltd. Class H 27,067,014 22,286,271
China Railway Group, Ltd. Class H 17,380,000 7,784,244
*China Rare Earth Holdings, Ltd. 19,929,000 2,546,769
*China Rongsheng Heavy Industries Group Holdings, Ltd. 21,898,500 3,770,286
#China SCE Property Holdings, Ltd. 3,278,000 710,891
China Shanshui Cement Group, Ltd. 11,158,000 4,330,634
China Shenhua Energy Co., Ltd. Class H 3,096,000 8,387,854
*China Shipping Container Lines Co., Ltd. Class H 55,814,700 13,150,929
*China Shipping Development Co., Ltd. Class H 13,113,488 7,188,344
China South City Holdings, Ltd. 8,044,462 3,378,657
#China Southern Airlines Co., Ltd. Class H 21,276,000 6,353,464
China Starch Holdings, Ltd. 18,995,000 488,748
China Taifeng Beddings Holdings, Ltd. 640,000 71,199
China Tianyi Holdings, Ltd. 2,136,000 287,473
*China Tontine Wines Group, Ltd. 7,246,000 313,234
China Travel International Inv HK 52,275,631 10,529,869
China Unicom Hong Kong, Ltd. 2,150,000 3,290,485
#China Unicom Hong Kong, Ltd. ADR 7,285,774 111,690,915
*China Vanadium Titano - Magnetite Mining Co., Ltd. 14,828,000 1,857,899
*China WindPower Group, Ltd. 970,000 62,941
*China Yurun Food Group, Ltd. 9,933,000 4,801,266
*China ZhengTong Auto Services Holdings, Ltd. 947,000 516,215
#*China Zhongwang Holdings, Ltd. 20,874,954 6,524,791
*Chongqing Iron & Steel Co., Ltd. Class H 6,356,000 910,094
#Chongqing Machinery & Electric Co., Ltd. Class H 18,826,000 2,435,459
Chongqing Rural Commercial Bank Class H 15,277,000 6,659,089
Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 5,494,000 1,668,276
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- ------------
CHINA -- (Continued)
#CITIC Pacific, Ltd. 15,213,000 $ 26,640,201
*CITIC Resources Holdings, Ltd. 42,582,000 6,216,924
Clear Media, Ltd. 652,000 652,071
*Coastal Greenland, Ltd. 3,303,000 103,420
*Comba Telecom Systems Holdings, Ltd. 3,865,500 984,407
#*Comtec Solar Systems Group, Ltd. 7,876,000 1,254,761
Cosco International Holdings, Ltd. 10,074,000 4,201,337
COSCO Pacific, Ltd. 22,224,620 29,830,041
CPMC Holdings, Ltd. 64,000 50,661
CSPC Pharmaceutical Group, Ltd. 932,000 770,507
Da Ming International Holdings, Ltd. 32,000 7,964
*DaChan Food Asia, Ltd. 3,297,000 391,265
Dah Chong Hong Holdings, Ltd. 332,000 210,459
Dalian Port PDA Co., Ltd. Class H 14,226,000 3,363,222
#Dongyue Group, Ltd. 1,910,000 766,453
#*Dynasty Fine Wines Group, Ltd. 9,228,600 321,390
Embry Holdings, Ltd. 544,000 317,599
EVA Precision Industrial Holdings, Ltd. 3,228,000 542,086
#Evergrande Real Estate Group, Ltd. 57,001,000 25,462,231
Evergreen International Holdings, Ltd. 1,628,000 195,662
#Fantasia Holdings Group Co., Ltd. 13,658,515 1,821,196
Fosun International, Ltd. 14,175,244 17,168,039
Franshion Properties China, Ltd. 44,364,580 13,875,800
#Fufeng Group, Ltd. 2,658,000 1,012,770
*Global Bio-Chem Technology Group Co., Ltd. 33,528,360 1,150,173
*Global Sweeteners Holdings, Ltd. 9,900,350 552,626
#*Glorious Property Holdings, Ltd. 41,022,000 5,880,285
Goldbond Group Holdings, Ltd. 310,000 15,032
#Golden Meditech Holdings, Ltd. 18,146,319 1,570,386
#Goldlion Holdings, Ltd. 1,298,000 594,405
#GOME Electrical Appliances Holding, Ltd. 77,549,000 14,540,376
*Great Wall Technology Co., Ltd. Class H 7,550,035 2,939,676
Greenland Hong Kong Holdings, Ltd. 3,730,575 1,706,957
#Greentown China Holdings, Ltd. 8,145,591 8,203,735
Guangdong Land Holdings, Ltd. 2,038,000 402,349
#Guangshen Railway Co., Ltd. Class H 888,000 335,475
#Guangshen Railway Co., Ltd. Sponsored ADR 426,392 8,075,864
Guangzhou Automobile Group Co., Ltd. Class H 23,171,572 23,392,288
Guangzhou R&F Properties Co., Ltd. 11,351,914 14,813,272
Hainan Meilan International Airport Co., Ltd. Class H 1,989,000 1,888,507
#*Hanergy Solar Group, Ltd. 36,580,000 5,298,364
#Harbin Electric Co., Ltd. Class H 10,851,474 6,406,455
*Heng Tai Consumables Group, Ltd. 69,165,195 1,266,606
*Hidili Industry International Development, Ltd. 18,825,000 2,174,737
*HKC Holdings, Ltd. 40,124,878 1,088,238
Hopefluent Group Holdings, Ltd. 374,000 122,581
#*Hopson Development Holdings, Ltd. 11,192,000 10,998,215
Hua Han Bio-Pharmaceutical Holdings, Ltd. 18,785,429 3,924,586
Hutchison Harbour Ring, Ltd. 6,852,000 521,838
Industrial & Commercial Bank of China, Ltd. Class H 294,086,996 175,341,806
Inspur International, Ltd. 6,679,343 1,172,684
Jiangxi Copper Co., Ltd. Class H 4,795,000 7,919,964
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- -----------
CHINA -- (Continued)
Jingwei Textile Machinery Class H 50,000 $ 43,882
Ju Teng International Holdings, Ltd. 11,466,249 8,501,883
*Kai Yuan Holdings, Ltd. 63,040,000 1,170,569
#Kaisa Group Holdings, Ltd. 21,380,632 6,774,593
*Kasen International Holdings, Ltd. 1,885,000 402,120
Kingboard Chemical Holdings, Ltd. 9,260,845 17,699,255
Kingboard Laminates Holdings, Ltd. 7,954,500 3,086,442
KWG Property Holding, Ltd. 19,984,500 11,113,248
Lai Fung Holdings, Ltd. 56,830,560 1,212,017
Lee & Man Paper Manufacturing, Ltd. 6,334,000 3,435,228
*Li Ning Co., Ltd. 766,000 534,748
#Lianhua Supermarket Holdings Co., Ltd. Class H 101,000 55,995
Lingbao Gold Co., Ltd. Class H 4,150,000 736,736
*LK Technology Holdings, Ltd. 112,500 13,561
*Lonking Holdings, Ltd. 18,595,000 3,444,163
*Loudong General Nice Resources China Holdings, Ltd. 21,592,800 1,531,829
*Maanshan Iron & Steel Co., Ltd. Class H 25,898,000 5,428,774
Maoye International Holdings, Ltd. 9,463,000 1,357,551
#*Metallurgical Corp. of China, Ltd. Class H 24,393,659 4,631,301
MIE Holdings Corp. 2,792,000 526,119
MIN XIN Holdings, Ltd. 1,634,418 843,730
*Mingfa Group International Co., Ltd. 34,000 8,513
#Minmetals Land, Ltd. 19,829,205 2,230,024
Minth Group, Ltd. 2,756,000 4,342,918
#*MMG, Ltd. 8,596,000 2,001,683
*Nan Hai Corp., Ltd. 23,550,000 151,920
#New World China Land, Ltd. 24,698,600 20,472,073
New World Department Store China, Ltd. 596,000 279,076
#Nine Dragons Paper Holdings, Ltd. 19,937,000 13,118,484
O-Net Communications Group, Ltd. 3,321,000 864,303
Overseas Chinese Town Asia Holdings, Ltd. 208,000 72,842
#Parkson Retail Group, Ltd. 3,955,500 1,159,780
Peak Sport Products Co., Ltd. 10,288,000 2,885,314
*PetroAsian Energy Holdings, Ltd. 3,626,084 57,496
#Poly Property Group Co., Ltd. 31,419,488 13,641,819
*Pou Sheng International Holdings, Ltd. 10,989,529 468,067
Powerlong Real Estate Holdings, Ltd. 11,217,000 1,694,873
*Prosperity International Holdings HK, Ltd. 19,500,000 666,671
Qingling Motors Co., Ltd. Class H 12,058,000 3,701,659
Qunxing Paper Holdings Co., Ltd. 5,020,071 1,306,664
*Real Gold Mining, Ltd. 3,137,500 106,432
#Real Nutriceutical Group, Ltd. 11,046,000 2,352,173
Regent Manner International Holdings, Ltd. 1,114,000 195,415
*Renhe Commercial Holdings Co., Ltd. 41,344,000 2,372,579
REXLot Holdings, Ltd. 37,241,621 3,902,407
Samson Holding, Ltd. 8,080,453 1,064,092
#Sany Heavy Equipment International Holdings Co., Ltd. 2,948,000 685,054
#*Semiconductor Manufacturing International Corp. 173,313,000 14,246,251
#*Semiconductor Manufacturing International Corp. ADR 1,331,701 5,526,559
#Shandong Chenming Paper Holdings, Ltd. Class H 4,180,318 1,848,114
Shanghai Industrial Holdings, Ltd. 8,240,918 25,415,503
#*Shanghai Industrial Urban Development Group, Ltd. 15,362,000 2,936,669
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- -----------
CHINA -- (Continued)
Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H 16,288,000 $ 4,049,265
Shanghai Prime Machinery Co., Ltd. Class H 7,700,000 1,160,918
*Shanghai Zendai Property, Ltd. 18,655,000 293,980
Shengli Oil & Gas Pipe Holdings, Ltd. 9,946,500 507,290
Shenzhen International Holdings, Ltd. 11,253,107 13,671,594
Shenzhen Investment, Ltd. 40,044,234 13,139,474
Shimao Property Holdings, Ltd. 22,765,535 45,024,009
*Shougang Concord International Enterprises Co., Ltd. 81,194,208 3,783,132
#Shougang Fushan Resources Group, Ltd. 43,564,594 12,942,561
#Shui On Land, Ltd. 58,000,803 15,442,909
*Sijia Group Co. 1,152,649 38,209
Silver Grant International Industries, Ltd. 20,310,804 2,567,446
*SIM Technology Group, Ltd. 9,345,000 429,444
*Sino Oil And Gas Holdings, Ltd. 78,990,000 2,194,302
#Sino-Ocean Land Holdings, Ltd. 42,860,713 22,548,822
Sinofert Holdings, Ltd. 32,014,000 3,932,590
*Sinolink Worldwide Holdings, Ltd. 16,942,508 1,315,488
Sinopec Kantons Holdings, Ltd. 7,083,010 6,609,100
Sinotrans Shipping, Ltd. 15,813,416 4,574,979
Sinotrans, Ltd. Class H 23,247,000 12,800,694
#Sinotruk Hong Kong, Ltd. 9,113,335 4,849,475
#Skyworth Digital Holdings, Ltd. 30,901,796 14,784,606
*SMI Corp., Ltd. 17,684,000 640,414
#SOHO China, Ltd. 29,586,388 23,459,486
*Solargiga Energy Holdings, Ltd. 7,939,486 395,487
*Sparkle Roll Group, Ltd. 600,000 40,988
*SRE Group, Ltd. 40,292,285 1,170,958
Sunac China Holdings, Ltd. 2,445,000 1,244,892
TCC International Holdings, Ltd. 14,035,056 6,883,433
*TCL Multimedia Technology Holdings, Ltd. 7,582,200 2,563,002
Texhong Textile Group, Ltd. 165,500 122,253
Tian An China Investment 7,003,000 5,488,841
Tian Shan Development Holding, Ltd. 502,000 195,758
#Tiangong International Co., Ltd. 15,623,944 2,720,555
Tianjin Port Development Holdings, Ltd. 16,553,657 2,590,505
#Tianneng Power International, Ltd. 4,686,280 1,637,183
Tomson Group, Ltd. 2,911,206 859,058
Tonly Electronics Holdings, Ltd. 760,220 578,403
#TPV Technology, Ltd. 10,594,496 1,749,679
Travelsky Technology, Ltd. Class H 14,914,500 11,375,686
*Trony Solar Holdings Co., Ltd. 8,775,000 133,556
Truly International Holdings, Ltd. 10,575,500 7,162,178
*VODone, Ltd. 13,010,000 1,128,926
Wasion Group Holdings, Ltd. 5,505,291 3,928,566
Weiqiao Textile Co. Class H 7,453,000 4,162,578
West China Cement, Ltd. 27,984,000 3,006,244
*Winsway Coking Coal Holdings, Ltd. 1,201,000 53,670
Xiamen International Port Co., Ltd. Class H 15,252,000 2,267,023
Xingda International Holdings, Ltd. 10,726,000 4,718,862
Xinhua Winshare Publishing and Media Co., Ltd. Class H 4,837,000 3,065,268
*Xinjiang Xinxin Mining Industry Co., Ltd. Class H 10,075,000 1,828,986
Xiwang Property Holdings Co., Ltd. 9,600,736 486,308
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- --------------
CHINA -- (Continued)
Xiwang Special Steel Co., Ltd. 2,966,000 $ 360,141
XTEP International Holdings, Ltd. 2,016,500 815,258
*Yanchang Petroleum International, Ltd. 45,590,000 2,273,276
Yantai North Andre Juice Co. Class H 199,000 49,999
#Yanzhou Coal Mining Co., Ltd. Class H 13,376,000 10,020,555
#Yanzhou Coal Mining Co., Ltd. Sponsored ADR 57,045 426,126
Yip's Chemical Holdings, Ltd. 438,000 310,465
Youyuan International Holdings, Ltd. 473,229 125,167
Yuexiu Property Co., Ltd. 75,308,170 14,618,281
#Yuzhou Properties Co., Ltd. 5,794,960 1,331,638
Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 371,600 202,554
*Zhong An Real Estate, Ltd. 5,490,800 1,304,497
#Zoomlion Heavy Industry Science and Technology Co., Ltd. 9,233,600 6,200,453
--------------
TOTAL CHINA 2,797,324,131
--------------
COLOMBIA -- (0.1%)
Almacenes Exito SA 35,703 543,867
Cementos Argos SA 599,201 3,341,658
Constructora Conconcreto SA 27,675 20,507
*Fabricato SA 12,570,118 111,968
Grupo Argos SA 9,203 101,317
Grupo de Inversiones Suramericana SA 638,207 12,450,569
Grupo Nutresa SA 403,650 5,665,263
Mineros SA 34,983 52,206
--------------
TOTAL COLOMBIA 22,287,355
--------------
CZECH REPUBLIC -- (0.2%)
CEZ A.S. 546,431 16,444,658
Pegas Nonwovens SA 135,370 4,072,679
Telefonica Czech Republic A.S. 438,286 6,644,535
*Unipetrol A.S. 1,423,606 9,918,948
--------------
TOTAL CZECH REPUBLIC 37,080,820
--------------
GREECE -- (0.1%)
*Alpha Bank AE 5,071,956 4,912,943
Bank of Greece 26,513 547,128
*Ellaktor SA 740,517 3,911,513
*Elval - Hellenic Aluminium Industry SA 8,595 22,800
*GEK Terna Holding Real Estate Construction SA 602,242 3,148,067
Hellenic Petroleum SA 285,712 2,452,992
*Intracom Holdings SA 1,482,317 1,678,023
Intralot SA-Integrated Lottery Systems & Services 24,688 71,718
*J&P-Avax SA 13,535 31,952
*Marfin Investment Group Holdings SA 602,263 417,247
*Mytilineos Holdings SA 276,674 2,472,452
*Piraeus Bank SA 4,183,049 9,871,899
*Sidenor Steel Products Manufacturing Co. SA 21,626 52,647
*Titan Cement Co. SA 4,070 128,312
--------------
TOTAL GREECE 29,719,693
--------------
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- -----------
HUNGARY -- (0.4%)
*Danubius Hotel and SpA P.L.C. 108,124 $ 2,744,043
*FHB Mortgage Bank P.L.C. 2,790 11,265
MOL Hungarian Oil and Gas P.L.C. 83,141 4,783,316
#OTP Bank P.L.C. 4,005,156 76,482,558
*PannErgy 119,850 172,654
#*Tisza Chemical Group P.L.C. 235,486 4,226,027
-----------
TOTAL HUNGARY 88,419,863
-----------
INDIA -- (7.3%)
Aban Offshore, Ltd. 217,878 1,876,916
*ABG Shipyard, Ltd. 283,785 1,078,155
Adani Enterprises, Ltd. 2,875,450 20,139,133
Aditya Birla Nuvo, Ltd. 620,942 11,438,026
Akzo Nobel India, Ltd. 37,121 535,210
Alembic Pharmaceuticals, Ltd. 279,704 1,375,767
Allahabad Bank 2,114,906 3,515,877
Alok Industries, Ltd. 10,204,534 1,202,478
Amtek Auto, Ltd. 1,310,781 3,787,244
Amtek India, Ltd. 343,066 439,778
*Anant Raj, Ltd. 1,923,939 1,771,690
Andhra Bank 2,676,709 2,970,101
Apollo Hospitals Enterprise, Ltd. 27,124 402,703
Apollo Tyres, Ltd. 3,385,454 8,981,738
Arvind, Ltd. 3,503,698 10,653,190
Ashok Leyland, Ltd. 20,205,663 7,530,902
Asian Hotels East, Ltd. 1,050 2,702
Atul, Ltd. 16,725 149,954
Axis Bank, Ltd. 244,500 6,180,759
Bajaj Finance, Ltd. 95,610 2,952,202
Bajaj Finserv, Ltd. 60,602 835,270
*Bajaj Hindusthan, Ltd. 2,610,098 774,020
Bajaj Holdings and Investment, Ltd. 384,924 6,817,212
Ballarpur Industries, Ltd. 4,000,857 959,105
Balmer Lawrie & Co., Ltd. 120,671 680,271
Balrampur Chini Mills, Ltd. 2,438,192 2,325,897
Bank of Baroda 1,232,256 16,736,823
Bank of India 1,966,165 7,659,456
Bank Of Maharashtra 1,498,465 956,597
BEML, Ltd. 112,246 719,941
BGR Energy Systems, Ltd. 82,794 188,504
Bharat Electronics, Ltd. 10,591 212,546
Bharat Heavy Electricals, Ltd. 6,517,663 19,607,572
Bharti Airtel, Ltd. 250,518 1,364,015
Bhushan Steel, Ltd. 1,127,438 8,302,648
Birla Corp., Ltd. 131,129 629,655
Bombay Burmah Trading Co. 1,746 3,010
Bombay Dyeing & Manufacturing Co., Ltd. 1,441,969 1,400,541
*Bombay Rayon Fashions, Ltd. 15,542 46,103
Brigade Enterprises, Ltd. 10,795 13,136
Cairn India, Ltd. 7,356,472 40,897,532
Canara Bank 1,722,820 8,192,127
Capital First, Ltd. 260,446 747,112
Dimensional Emerging Markets Value Fund
continued
Shares Value++
--------- -----------
INDIA -- (Continued)
Central Bank Of India 3,187,732 $ 2,821,084
Century Textiles & Industries, Ltd. 966,639 5,389,091
Chambal Fertilizers & Chemicals, Ltd. 2,025,212 1,361,192
City Union Bank, Ltd. 1,450,289 1,415,129
Claris Lifesciences, Ltd. 86,438 220,421
Coromandel International, Ltd. 7,624 27,727
Corp. Bank 436,134 2,118,466
Cox & Kings, Ltd. 545,795 1,368,294
*Cranes Software International, Ltd. 114,443 7,727
Crompton Greaves, Ltd. 196,049 537,698
Dalmia Bharat, Ltd. 159,852 632,613
*DB Realty, Ltd. 1,426,693 1,650,002
*DCB Bank, Ltd. 2,874,325 2,894,243
DCM Shriram, Ltd. 181,494 288,107
Deepak Fertilisers & Petrochemicals Corp., Ltd. 424,886 938,306
*DEN Networks, Ltd. 98,983 287,476
Dena Bank 1,741,961 1,828,568
Dewan Housing Finance Corp., Ltd. 115,020 432,731
DLF, Ltd. 7,623,132 17,697,372
Dredging Corp. Of India, Ltd. 53,414 260,297
Edelweiss Financial Services, Ltd. 1,114,016 633,978
*Educomp Solutions, Ltd. 647,077 275,772
Eicher Motors, Ltd. 15,888 1,639,040
*EID Parry India, Ltd. 818,733 2,067,845
EIH, Ltd. 886,903 1,116,987
*Elder Pharmaceuticals, Ltd. 78,215 279,344
Electrosteel Castings, Ltd. 692,702 266,186
*Era Infra Engineering, Ltd. 974,906 272,102
*Eros International Media, Ltd. 182,238 497,463
Escorts, Ltd. 1,368,597 2,879,274
Ess Dee Aluminium, Ltd. 42,453 438,272
*Essar Oil, Ltd. 1,120,513 1,079,767
Essar Ports, Ltd. 667,039 658,380
*Essar Shipping, Ltd. 241,588 63,588
Essel Propack, Ltd. 724,110 819,680
Federal Bank, Ltd. 9,157,930 13,739,284
*Federal-Mogul Goetze India, Ltd. 3,731 11,320
Financial Technologies India, Ltd. 223,163 1,169,096
Finolex Cables, Ltd. 652,369 1,489,695
Finolex Industries, Ltd. 681,668 2,531,683
*Firstsource Solutions, Ltd. 2,253,442 1,197,317
*Fortis Healthcare, Ltd. 1,405,155 2,323,329
*Future Consumer Enterprise, Ltd. 145,968 16,968
*Future Lifestyle Fashions, Ltd. 4,709 6,390
Future Retail, Ltd. 35,861 78,673
GAIL India, Ltd. 1,786,494 10,969,315
*Gammon India, Ltd. 162,933 46,155
Gateway Distriparks, Ltd. 269,578 797,777
*Gitanjali Gems, Ltd. 405,156 419,886
Godrej Properties, Ltd. 89,893 330,018
Graphite India, Ltd. 586,551 822,097
Grasim Industries, Ltd. 15,142 661,971
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- ------------
INDIA -- (Continued)
Great Eastern Shipping Co., Ltd. (The) 1,015,526 $ 5,659,796
Greaves Cotton, Ltd. 9,635 13,397
*GTL Infrastructure, Ltd. 1,200,337 39,800
Gujarat Alkalies & Chemicals, Ltd. 449,629 1,313,481
Gujarat Fluorochemicals, Ltd. 262,185 1,388,654
Gujarat Mineral Development Corp., Ltd. 94,412 207,016
Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 729,530 981,879
*Gujarat NRE Coke, Ltd. 3,619,364 638,450
Gujarat State Fertilisers & Chemicals, Ltd. 2,186,080 2,012,959
Gujarat State Petronet, Ltd. 1,923,672 2,326,850
Gulf Oil Corp., Ltd. 227,784 459,684
HBL Power Systems, Ltd. 138,136 35,400
*HCL Infosystems, Ltd. 1,107,643 831,876
HEG, Ltd. 138,303 525,843
*HeidelbergCement India, Ltd. 699,011 485,095
*Hexa Tradex, Ltd. 265,877 93,823
Hindalco Industries, Ltd. 22,212,623 50,166,582
Hinduja Global Solutions, Ltd. 60,085 527,050
Hinduja Ventures, Ltd. 67,133 286,207
*Hindustan Construction Co., Ltd. 7,005,199 2,236,900
*Hotel Leela Venture, Ltd. 1,480,240 453,749
*Housing Development & Infrastructure, Ltd. 5,496,603 6,256,503
HSIL, Ltd. 187,119 463,034
HT Media, Ltd. 76,822 117,428
ICICI Bank, Ltd. 590,476 12,239,038
ICICI Bank, Ltd. Sponsored ADR 3,344,526 142,710,924
IDBI Bank, Ltd. 4,225,680 4,798,059
Idea Cellular, Ltd. 953,652 2,153,326
IDFC, Ltd. 6,072,777 11,298,525
IFCI, Ltd. 6,602,323 2,805,286
IIFL Holdings, Ltd. 2,848,913 3,794,641
IL&FS Transportation Networks, Ltd. 12,212 26,761
India Cements, Ltd. (The) 3,947,997 4,510,973
Indiabulls Housing Finance, Ltd. 1,795,884 8,959,814
*Indiabulls Infrastructure and Power, Ltd. 9,986,439 603,966
Indiabulls Real Estate, Ltd. 2,810,580 2,915,914
Indian Bank 1,319,707 2,809,603
Indian Hotels Co., Ltd. 4,950,436 5,931,034
Indian Overseas Bank 3,375,808 3,488,935
Indo Rama Synthetics India 20,657 5,563
Infotech Enterprises, Ltd. 26,080 134,225
ING Vysya Bank, Ltd. 265,599 2,506,362
Ingersoll-Rand India, Ltd. 30,001 224,194
Jai Corp., Ltd. 403,094 467,152
Jain Irrigation Systems, Ltd. 3,654,796 4,976,667
Jaiprakash Associates, Ltd. 20,703,122 18,639,791
Jammu & Kashmir Bank, Ltd. (The) 323,600 9,007,053
Jaypee Infratech, Ltd. 1,716,142 698,442
JB Chemicals & Pharmaceuticals, Ltd. 373,888 960,768
JBF Industries, Ltd. 140,339 195,620
*Jet Airways India, Ltd. 64,150 265,598
Jindal Poly Films, Ltd. 188,270 460,499
Dimensional Emerging Markets Value Fund
continued
Shares Value++
--------- -----------
INDIA -- (Continued)
*Jindal Poly Investments and Finance Co., Ltd. 53,426 $ 52,970
Jindal Saw, Ltd. 2,076,447 1,952,550
*Jindal Stainless, Ltd. 816,596 522,816
Jindal Steel & Power, Ltd. 3,075,688 13,057,437
JK Cement, Ltd. 131,807 492,306
JK Lakshmi Cement, Ltd. 411,178 812,124
JM Financial, Ltd. 4,580,382 2,135,756
JSW Energy, Ltd. 6,026,339 5,311,908
JSW Steel, Ltd. 1,930,901 34,896,081
Jubilant Life Sciences, Ltd. 641,941 1,778,973
Kakinada Fertilizers, Ltd. 2,082,494 72,576
Kalpataru Power Transmission, Ltd. 264,661 507,581
Karnataka Bank, Ltd. 2,195,065 4,480,352
Karur Vysya Bank, Ltd. 372,860 2,407,116
KEC International, Ltd. 471,467 591,242
Kesoram Industries, Ltd. 449,716 469,885
Kirloskar Brothers, Ltd. 2,141 6,642
Kirloskar Oil Engines, Ltd. 318,856 1,061,583
KSB Pumps, Ltd. 7,207 39,905
*KSK Energy Ventures, Ltd. 20,905 24,294
Lakshmi Vilas Bank, Ltd. 457,710 640,203
*Mahanagar Telephone Nigam 784,604 230,635
Maharashtra Seamless, Ltd. 194,873 692,530
Mahindra Lifespace Developers, Ltd. 143,080 944,676
Man Infraconstruction, Ltd. 1,968 3,103
Manaksia, Ltd. 49,183 58,931
MAX India, Ltd. 25,606 91,220
McLeod Russel India, Ltd. 496,900 2,222,703
*Mercator, Ltd. 1,796,935 929,249
Merck, Ltd. 22,680 250,862
MOIL, Ltd. 4,675 19,972
Monnet Ispat & Energy, Ltd. 179,359 250,335
Motilal Oswal Financial Services, Ltd. 4,955 8,610
Mphasis, Ltd. 51,299 353,473
MRF, Ltd. 11,528 3,931,433
*Nagarjuna Oil Refinery, Ltd. 962,714 59,063
Nahar Capital and Financial Services, Ltd. 4,702 3,798
National Aluminium Co., Ltd. 1,851,267 1,172,967
Nava Bharat Ventures, Ltd. 27,806 75,340
NCC, Ltd. 2,621,585 2,201,463
NIIT Technologies, Ltd. 468,992 3,177,879
NIIT, Ltd. 767,524 419,815
Noida Toll Bridge Co., Ltd. 155,450 72,752
Oberoi Realty, Ltd. 27,313 94,145
OCL India, Ltd. 61,362 177,197
OMAXE, Ltd. 1,009,896 2,140,184
*Orchid Chemicals & Pharmaceuticals, Ltd. 193,091 173,047
Orient Cement, Ltd. 567,622 459,879
Orient Paper & Industries, Ltd. 47,163 17,090
Oriental Bank of Commerce 1,205,589 4,962,350
*Oswal Chemicals & Fertilizers 362,297 156,284
*Panacea Biotec, Ltd. 23,946 62,986
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- ------------
INDIA -- (Continued)
*Parsvnath Developers, Ltd. 1,662,316 $ 683,557
Peninsula Land, Ltd. 303,470 164,433
Petronet LNG, Ltd. 710,816 1,701,087
*Pipavav Defence & Offshore Engineering Co., Ltd. 22,287 17,709
Piramal Enterprises, Ltd. 755,009 6,809,253
*Plethico Pharmaceuticals, Ltd. 213,627 148,248
Polaris Financial Technology, Ltd. 908,662 2,723,867
Polyplex Corp., Ltd. 17,713 46,943
Power Finance Corp., Ltd. 16,793 51,580
*Prime Focus, Ltd. 8,309 3,899
*Prism Cement, Ltd. 408,522 313,636
PTC India Financial Services, Ltd. 450,875 128,829
PTC India, Ltd. 3,851,423 4,254,296
*Punj Lloyd, Ltd. 1,800,182 876,130
Punjab & Sind Bank 116,252 92,781
Puravankara Projects, Ltd. 22,265 26,839
Rain Industries, Ltd. 1,429,773 937,918
Rajesh Exports, Ltd. 287,502 547,555
Ramco Cements, Ltd. (The) 395,725 1,418,130
Raymond, Ltd. 629,181 3,238,907
Redington India, Ltd. 96,516 141,896
REI Agro, Ltd. 5,013,829 383,117
Reliance Capital, Ltd. 1,871,725 11,049,176
Reliance Communications, Ltd. 10,751,778 21,947,686
Reliance Industries, Ltd. 21,131,225 328,571,526
Reliance Industries, Ltd. GDR 107,000 3,322,990
*Reliance Power, Ltd. 12,151,717 13,799,764
Rolta India, Ltd. 1,831,833 2,281,641
Ruchi Soya Industries, Ltd. 1,735,191 1,041,776
Rural Electrification Corp., Ltd. 2,768,400 10,903,331
Sesa Sterlite, Ltd. 10,746,999 33,154,130
Sesa Sterlite, Ltd. ADR 1,546,032 18,877,056
*Shipping Corp. of India, Ltd. 2,334,024 1,653,702
Shree Renuka Sugars, Ltd. 7,680,873 2,791,610
Sintex Industries, Ltd. 2,196,726 1,669,869
Sobha Developers, Ltd. 534,292 3,299,986
South Indian Bank, Ltd. 9,724,062 3,714,264
SREI Infrastructure Finance, Ltd. 1,470,670 812,593
SRF, Ltd. 290,002 1,861,463
State Bank of Bikaner & Jaipur 43,134 251,287
State Bank of India 2,505,452 86,574,863
State Bank of India GDR 1,449 99,574
Steel Authority of India, Ltd. 5,196,476 5,867,025
*Sterling Biotech, Ltd. 469,995 67,146
Sterlite Technologies, Ltd. 1,777,282 906,704
Styrolution ABS India, Ltd. 28,114 214,575
Sundaram Finance, Ltd. 3,250 38,985
Sundram Fasteners, Ltd. 25,783 31,845
*Suzlon Energy, Ltd. 16,275,656 3,542,733
Syndicate Bank 2,880,564 4,942,385
Tamil Nadu Newsprint & Papers, Ltd. 45,093 97,272
Tata Chemicals, Ltd. 1,201,925 5,677,822
Dimensional Emerging Markets Value Fund
continued
Shares Value++
------------- --------------
INDIA -- (Continued)
Tata Global Beverages, Ltd. 4,978,918 $ 12,403,533
Tata Investment Corp., Ltd. 27,375 215,650
Tata Motors, Ltd. 1,817,498 12,637,275
#Tata Motors, Ltd. Sponsored ADR 163,263 6,109,301
Tata Steel, Ltd. 8,632,925 57,562,223
Techno Electric & Engineering Co., Ltd. 1,571 4,426
*Teledata Marine Solutions, Ltd. 267,258 --
Time Technoplast, Ltd. 498,379 314,608
Trent, Ltd. 16,579 271,086
Triveni Turbine, Ltd. 166,206 191,031
Tube Investments of India, Ltd. 503,633 1,597,088
*TV18 Broadcast, Ltd. 5,614,655 2,348,157
UCO Bank 5,290,500 6,735,172
Uflex, Ltd. 339,502 482,510
Unichem Laboratories, Ltd. 182,522 660,357
Union Bank of India 1,499,085 3,774,194
*Unitech, Ltd. 31,412,365 8,280,278
UPL, Ltd. 4,268,343 18,958,974
Usha Martin, Ltd. 1,811,897 1,117,424
*Uttam Galva Steels, Ltd. 14,790 16,657
VA Tech Wabag, Ltd. 1,281 16,899
*Vardhman Special Steels, Ltd. 6,934 3,089
Vardhman Textiles, Ltd. 111,378 612,944
Videocon Industries, Ltd. 1,114,865 2,996,035
Vijaya Bank 2,690,477 1,840,140
Voltas, Ltd. 319,969 850,922
Welspun Corp., Ltd. 1,847,557 2,494,436
Welspun Infra Enterprises, Ltd. 92,378 22,974
Wockhardt, Ltd. 312,182 3,983,400
Zensar Technologies, Ltd. 28,981 173,196
Zuari Agro Chemicals, Ltd. 128,304 281,093
Zuari Global, Ltd. 69,501 89,692
--------------
TOTAL INDIA 1,461,487,427
--------------
INDONESIA -- (2.6%)
Adaro Energy Tbk PT 185,755,400 19,111,375
Adhi Karya Persero Tbk PT 10,239,917 2,651,206
Agung Podomoro Land Tbk PT 73,568,400 1,679,216
Alam Sutera Realty Tbk PT 99,030,500 4,563,834
Aneka Tambang Persero Tbk PT 80,886,500 8,247,237
Asahimas Flat Glass Tbk PT 5,277,000 3,199,937
Astra Graphia Tbk PT 3,635,000 629,498
*Bakrie and Brothers Tbk PT 1,056,525,750 4,569,155
*Bakrie Sumatera Plantations Tbk PT 182,168,500 787,370
*Bakrie Telecom Tbk PT 260,426,500 1,126,266
*Bakrieland Development Tbk PT 623,458,520 862,166
Bank Bukopin Tbk PT 63,324,333 3,508,896
Bank Danamon Indonesia Tbk PT 35,637,554 12,633,602
Bank Mandiri Persero Tbk PT 75,216,231 64,265,948
Bank Negara Indonesia Persero Tbk PT 123,523,241 51,625,849
*Bank Pan Indonesia Tbk PT 148,740,401 11,203,143
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 31,833,900 2,656,148
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- -----------
INDONESIA -- (Continued)
*Bank Permata Tbk PT 381,272 $ 44,249
Bank Tabungan Negara Persero Tbk PT 64,185,827 6,421,926
*Barito Pacific Tbk PT 15,599,000 425,502
*Benakat Integra Tbk PT 67,250,400 811,036
*Berau Coal Energy Tbk PT 30,316,500 322,926
*Berlian Laju Tanker Tbk PT 128,161,466 --
Bisi International PT 12,866,900 686,883
*Borneo Lumbung Energi & Metal Tbk PT 12,594,500 123,386
*Budi Starch & Sweetener Tbk PT 12,660,500 126,184
*Bumi Resources Minerals Tbk PT 11,052,500 209,161
*Bumi Resources Tbk PT 209,284,400 3,705,607
Bumi Serpong Damai PT 13,195,000 1,787,543
BW Plantation Tbk PT 666,600 81,163
*Central Proteinaprima Tbk PT 178,071,500 770,039
Charoen Pokphand Indonesia Tbk PT 45,905,630 15,010,146
Ciputra Development Tbk PT 131,947,400 11,616,093
Ciputra Property Tbk PT 24,365,400 1,533,744
Ciputra Surya Tbk PT 17,099,600 3,374,652
Clipan Finance Indonesia Tbk PT 2,995,500 104,929
*Darma Henwa Tbk PT 246,575,442 383,891
*Davomas Abadi Tbk PT 138,239,500 --
*Delta Dunia Makmur Tbk PT 15,009,500 241,077
Elnusa Tbk PT 40,695,700 1,797,837
*Energi Mega Persada Tbk PT 570,221,378 4,650,644
*Erajaya Swasembada Tbk PT 17,565,200 1,828,639
*Ever Shine Textile Tbk PT 19,342,215 368,057
*Exploitasi Energi Indonesia Tbk PT 12,430,900 244,346
Gajah Tunggal Tbk PT 25,803,500 4,285,668
*Garuda Indonesia Persero Tbk PT 23,477,581 936,856
Global Mediacom Tbk PT 94,263,500 17,893,397
*Gozco Plantations Tbk PT 14,839,400 137,516
*Great River International Tbk PT 1,788,000 --
Gudang Garam Tbk PT 2,837,000 13,899,196
Harum Energy Tbk PT 9,042,000 1,852,352
Hexindo Adiperkasa Tbk PT 1,212,344 398,244
Holcim Indonesia Tbk PT 18,187,500 4,478,830
*Indah Kiat Pulp & Paper Corp. Tbk PT 37,851,200 4,433,445
Indika Energy Tbk PT 27,402,500 1,473,906
Indo Tambangraya Megah Tbk PT 152,400 336,847
*Indo-Rama Synthetics Tbk PT 41,500 2,801
Indofood Sukses Makmur Tbk PT 61,516,000 37,631,302
Intiland Development Tbk PT 52,201,400 2,055,132
Japfa Comfeed Indonesia Tbk PT 27,068,750 2,969,537
Jaya Real Property Tbk PT 127,605,000 10,151,305
Kawasan Industri Jababeka Tbk PT 304,453,310 6,737,727
*Krakatau Steel Persero Tbk PT 2,991,500 128,998
*Lippo Cikarang Tbk PT 801,400 530,485
Lippo Karawaci Tbk PT 330,849,649 30,685,425
Matahari Putra Prima Tbk PT 31,128,300 7,475,279
Mayora Indah Tbk PT 8,048,917 19,559,374
Medco Energi Internasional Tbk PT 27,137,000 6,468,093
*Mitra International Resources Tbk PT 8,064,760 35,653
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- ------------
INDONESIA -- (Continued)
MNC Investama Tbk PT 287,585,900 $ 7,647,398
*Modernland Realty Tbk PT 18,274,600 695,273
Multipolar Tbk PT 65,104,700 3,785,077
*Nusantara Infrastructure Tbk PT 8,858,500 180,350
Pabrik Kertas Tjiwi Kimia Tbk PT 246,000 34,000
*Pan Brothers Tbk PT 183,750 6,816
*Panasia Indo Resources Tbk PT 403,200 12,032
*Panin Financial Tbk PT 242,926,900 5,518,545
Panin Insurance Tbk PT 30,949,000 1,864,153
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 46,107,984 9,797,056
Petrosea Tbk PT 3,762,500 448,096
*Polychem Indonesia Tbk PT 11,868,000 205,881
Ramayana Lestari Sentosa Tbk PT 23,587,500 2,615,199
Salim Ivomas Pratama Tbk PT 12,807,300 1,110,483
Sampoerna Agro PT 11,632,441 2,465,963
Samudera Indonesia Tbk PT 34,400 9,113
Selamat Sempurna Tbk PT 12,655,200 3,961,689
*Sentul City Tbk PT 306,823,900 4,583,423
*Sigmagold Inti Perkasa Tbk PT 55,832,700 2,183,308
Sinar Mas Agro Resources and Technology Tbk PT 7,806,900 4,510,920
Sinar Mas Multiartha Tbk PT 2,000 606
Summarecon Agung Tbk PT 18,141,614 1,748,610
*Sunson Textile Manufacturer Tbk PT 2,540,300 16,726
*Surya Dumai Industri Tbk 5,145,000 --
Surya Semesta Internusa Tbk PT 26,436,300 1,907,535
Surya Toto Indonesia Tbk PT 446,000 282,429
*Suryainti Permata Tbk PT 17,378,000 --
Tiga Pilar Sejahtera Food Tbk 30,578,922 5,834,253
Timah Persero Tbk PT 58,412,960 7,598,651
Trias Sentosa Tbk PT 336,500 9,329
*Trimegah Securities Tbk PT 9,367,000 68,009
*Truba Alam Manunggal Engineering PT 129,244,500 55,894
Tunas Baru Lampung Tbk PT 17,379,500 768,271
Tunas Ridean Tbk PT 42,848,500 2,503,644
*Ultrajaya Milk Industry & Trading Co. Tbk PT 10,045,800 3,708,446
Unggul Indah Cahaya Tbk PT 371,435 61,282
United Tractors Tbk PT 8,928,200 16,786,164
Vale Indonesia Tbk PT 42,202,300 12,999,458
*Visi Media Asia Tbk PT 5,510,800 135,339
*Wintermar Offshore Marine Tbk PT 289,000 24,576
XL Axiata Tbk PT 1,982,800 889,369
------------
TOTAL INDONESIA 531,581,240
------------
ISRAEL -- (0.0%)
*Feuchtwanger Investments, Ltd. 10,500 --
*Israel Steel Mills, Ltd. 97,000 --
*Knafaim Holdings, Ltd. 14,695 32,647
*Liberty Properties, Ltd. 2,467 15,684
Mivtach Shamir Holdings, Ltd. 3,973 131,060
------------
TOTAL ISRAEL 179,391
------------
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- -----------
MALAYSIA -- (3.9%)
*Adventa Bhd 62,000 $ 21,341
Affin Holdings Bhd 9,621,500 11,126,122
#AirAsia Bhd 22,497,100 15,307,149
Alam Maritim Resources Bhd 3,625,700 1,647,083
Alliance Financial Group Bhd 16,295,200 22,381,661
Allianz Malaysia Bhd 16,700 52,688
AMMB Holdings Bhd 23,929,662 52,667,563
*Ann Joo Resources Bhd 2,973,600 1,094,051
APM Automotive Holdings Bhd 1,195,300 2,220,243
Batu Kawan Bhd 2,078,750 12,468,910
Benalec Holdings Bhd 5,265,500 1,452,902
Berjaya Assets Bhd 171,900 44,786
Berjaya Corp. Bhd 41,062,780 6,292,659
Berjaya Land Bhd 13,220,000 3,361,718
BIMB Holdings Bhd 4,758,645 6,203,389
BLD Plantation Bhd 6,600 17,778
*Boustead Heavy Industries Corp. Bhd 95,200 74,039
#Boustead Holdings Bhd 7,459,998 12,683,742
Cahya Mata Sarawak Bhd 2,884,500 8,437,789
Can-One Bhd 401,400 377,394
CB Industrial Product Holding Bhd 1,370,300 1,974,392
Chin Teck Plantations Bhd 309,100 922,657
Coastal Contracts Bhd 3,116,200 4,784,177
CSC Steel Holdings Bhd 2,503,800 1,028,111
*Cycle & Carriage Bintang Bhd 135,000 98,005
*Datuk Keramik Holdings Bhd 127,000 --
Daya Materials Bhd 10,663,200 1,096,039
DRB-Hicom Bhd 18,941,300 14,512,818
#Eastern & Oriental Bhd 15,656,115 11,384,386
*ECM Libra Financial Group Bhd 2,242,050 680,954
Engtex Group Bhd 155,800 91,785
*Evergreen Fibreboard Bhd 2,145,426 345,440
Eversendai Corp. Bhd 1,053,300 358,111
Faber Group Bhd 4,005,100 3,651,415
FAR East Holdings Bhd 403,800 941,067
*Fountain View Development Bhd 2,573,200 --
Genting Bhd 6,056,300 18,203,545
#Genting Malaysia Bhd 26,028,700 33,666,982
Genting Plantations Bhd 275,600 937,708
Globetronics Technology Bhd 279,600 308,903
Glomac Bhd 7,416,300 2,500,132
*Goldis Bhd 3,227,495 2,148,450
GuocoLand Malaysia Bhd 1,886,200 666,367
HAP Seng Consolidated Bhd 14,387,600 13,970,393
Hap Seng Plantations Holdings Bhd 3,806,300 3,270,144
Hiap Teck Venture Bhd 863,200 208,988
Hong Leong Financial Group Bhd 2,586,751 12,135,266
Hong Leong Industries Bhd 1,257,300 2,556,791
Hua Yang Bhd 930,233 533,090
*Hubline Bhd 5,352,350 65,928
Hwang Capital Malaysia Bhd 930,700 528,457
IGB Corp. Bhd 15,137,390 12,835,505
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- -----------
MALAYSIA -- (Continued)
#IJM Corp. Bhd 23,540,859 $46,062,061
IJM Land Bhd 7,064,700 6,537,293
#IJM Plantations Bhd 514,200 557,722
*Inch Kenneth Kajang Rubber 1,123,300 285,857
Insas Bhd 5,526,348 2,052,716
Integrated Logistics Bhd 93,128 22,390
Integrax Bhd 974,800 641,461
Iris Corp. Bhd 11,291,000 1,593,983
*JAKS Resources Bhd 9,634,600 1,623,127
Jaya Tiasa Holdings Bhd 4,853,433 4,046,614
JCY International Bhd 10,030,900 2,278,026
*K&N Kenanga Holdings Bhd 4,082,187 976,586
*Karambunai Corp. Bhd 18,222,700 504,772
Keck Seng Malaysia Bhd 2,515,500 5,421,761
Kian JOO CAN Factory Bhd 4,777,380 4,992,467
*KIG Glass Industrial Bhd 260,000 --
Kim Loong Resources Bhd 499,100 431,284
Kimlun Corp. Bhd 657,800 324,406
*Kinsteel Bhd 6,474,800 358,421
KLCC Property Holdings Bhd 5,504,700 11,217,021
*KNM Group Bhd 19,662,825 5,009,387
*Kretam Holdings Bhd 3,322,800 610,944
*KSL Holdings Bhd 2,922,666 1,924,861
*KUB Malaysia Bhd 5,684,400 855,088
*Kulim Malaysia Bhd 9,518,600 10,299,437
Kumpulan Fima Bhd 2,385,600 1,703,661
Kumpulan Perangsang Selangor Bhd 4,262,300 1,986,250
Kwantas Corp. Bhd 288,400 198,700
*Land & General Bhd 10,793,700 1,885,425
*Landmarks Bhd 4,159,308 1,417,652
LBS Bina Group Bhd 3,377,500 1,843,401
Lion Diversified Holdings Bhd 2,237,000 116,519
Lion Industries Corp. Bhd 8,486,481 1,705,087
Magnum Bhd 4,457,600 4,122,679
#Mah Sing Group Bhd 7,426,239 5,146,519
Malayan Flour Mills Bhd 2,057,950 996,638
#Malaysia Airports Holdings Bhd 3,811,710 9,403,118
#*Malaysian Airline System Bhd 38,540,700 2,725,714
Malaysian Bulk Carriers Bhd 6,827,125 3,978,835
Malaysian Pacific Industries Bhd 1,062,075 1,361,950
Malaysian Resources Corp. Bhd 18,569,700 8,937,164
MBM Resources Bhd 2,500,303 2,469,116
Media Prima Bhd 1,296,900 989,107
Mega First Corp. Bhd 1,204,500 842,173
*MISC Bhd 10,929,404 21,835,999
MK Land Holdings Bhd 9,637,500 1,507,788
MKH Bhd 2,067,159 2,773,876
MMC Corp. Bhd 14,697,180 12,600,328
MNRB Holdings Bhd 1,754,000 2,038,892
Muda Holdings Bhd 113,700 66,212
Mudajaya Group Bhd 4,170,600 3,310,387
Muhibbah Engineering M Bhd 5,494,100 4,889,828
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- -----------
MALAYSIA -- (Continued)
*Mulpha International Bhd 33,287,600 $ 4,393,821
Naim Holdings Bhd 3,201,500 3,919,314
NCB Holdings Bhd 2,451,500 2,307,510
Negri Sembilan Oil Palms Bhd 167,600 307,382
Oriental Holdings Bhd 3,680,879 8,794,727
#OSK Holdings Bhd 7,299,671 3,712,344
Pacific & Orient Bhd 334,330 142,409
Panasonic Manufacturing Malaysia Bhd 382,080 2,597,647
Pantech Group Holdings Bhd 904,900 273,685
*Paracorp Bhd 252,000 --
Paramount Corp. Bhd 1,099,900 562,297
#Parkson Holdings Bhd 2,472,634 2,225,535
*Perdana Petroleum Bhd 5,026,380 2,911,922
Perusahaan Sadur Timah Malaysia Bhd 6,800 9,688
Pie Industrial Bhd 323,600 813,231
PJ Development Holdings Bhd 3,863,000 1,811,813
Pos Malaysia Bhd 1,762,917 2,433,078
PPB Group Bhd 8,450,166 42,646,304
Press Metal Bhd 2,955,981 3,147,838
*Prime Utilities Bhd 39,000 --
Protasco Bhd 1,083,500 631,297
RCE Capital Bhd 4,910,500 467,219
#RHB Capital Bhd 12,566,905 31,930,906
Rimbunan Sawit Bhd 5,659,100 1,396,135
Salcon Bhd 7,484,700 1,697,745
Sarawak Oil Palms Bhd 523,320 1,044,083
Sarawak Plantation Bhd 66,900 54,303
Scientex Bhd 43,748 77,755
*Scomi Group Bhd 25,227,900 3,294,947
Selangor Dredging Bhd 1,312,700 430,070
Selangor Properties Bhd 65,700 106,715
Shangri-La Hotels Malaysia Bhd 739,100 1,497,906
*Shell Refining Co. Federation of Malaya Bhd 246,300 451,533
SHL Consolidated Bhd 693,700 478,362
#SP Setia Bhd 1,986,000 1,835,594
Star Publications Malaysia Bhd 1,127,900 893,376
Subur Tiasa Holdings Bhd 343,530 237,505
#Sunway Bhd 12,563,126 11,954,317
#Supermax Corp. Bhd 8,498,700 6,375,134
Suria Capital Holdings Bhd 736,700 587,578
*Symphony Life Bhd 1,589,910 502,037
Ta Ann Holdings Bhd 1,549,722 1,994,015
TA Enterprise Bhd 20,749,900 5,153,028
TA Global Bhd 11,874,080 1,127,614
TAHPS Group Bhd 27,000 60,916
*Talam Transform Bhd 15,950,050 490,532
TAN Chong Motor Holdings Bhd 4,685,000 8,171,814
*Tanjung Offshore Bhd 2,560,900 463,793
TDM Bhd 14,109,900 4,195,491
*Tebrau Teguh Bhd 897,300 374,450
TH Plantations Bhd 185,100 115,028
*Time dotCom Bhd 5,476,280 6,697,657
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- ------------
MALAYSIA -- (Continued)
Tiong NAM Logistics Holdings 246,100 $ 101,089
Tropicana Corp. Bhd 6,756,100 3,188,635
UEM Sunrise Bhd 3,839,745 2,711,174
Unisem M Bhd 8,850,800 3,203,467
United Malacca Bhd 960,500 2,097,298
United Plantations Bhd 422,000 3,267,743
UOA Development Bhd 4,516,100 3,253,344
VS Industry Bhd 1,337,193 663,885
Wah Seong Corp. Bhd 4,824,243 2,910,454
#WCT Holdings Bhd 12,817,315 8,841,793
Wing Tai Malaysia Bhd 1,868,800 1,237,469
WTK Holdings Bhd 6,575,950 2,684,001
YNH Property Bhd 5,291,959 3,195,851
YTL Corp. Bhd 89,825,050 44,313,609
*YTL Land & Development Bhd 3,111,800 896,170
------------
TOTAL MALAYSIA 774,185,098
------------
MEXICO -- (6.7%)
Alfa S.A.B. de C.V. Class A 50,229,549 132,688,709
#Alpek S.A. de C.V. 1,102,074 1,895,371
Arca Continental S.A.B. de C.V. 4,142,783 26,346,108
#*Axtel S.A.B. de C.V. 11,405,148 3,792,199
#*Bio Pappel S.A.B. de C.V. 335,685 717,158
#Bolsa Mexicana de Valores S.A.B. de C.V. 560,927 1,151,202
*Cemex S.A.B. de C.V. 115,602 146,858
#*Cemex S.A.B. de C.V. Sponsored ADR 17,909,307 226,373,641
Cia Minera Autlan S.A.B. de C.V. Series B 1,147,952 1,202,113
#Coca-Cola Femsa S.A.B. de C.V. Series L 33,494 375,269
Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 2,821 315,839
*Consorcio ARA S.A.B. de C.V. Series * 12,701,246 5,592,033
#Controladora Comercial Mexicana S.A.B. de C.V. 5,889,925 22,055,564
#Corp. Actinver S.A.B. de C.V. 31,776 35,218
#*Corp. GEO S.A.B. de C.V. Series B 9,461,653 141,925
*Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B 1,560,786 1,109,500
*Desarrolladora Homex S.A.B. de C.V. 3,011,482 491,875
*Dine S.A.B. de C.V. 1,027,267 471,124
El Puerto de Liverpool S.A.B. de C.V. Series 1 14,100 148,730
*Empaques Ponderosa S.A. de C.V. 90,000 --
*Empresas ICA S.A.B. de C.V. 6,654,223 11,912,014
#*Empresas ICA S.A.B. de C.V. Sponsored ADR 1,113,191 8,026,107
*Financiera Independencia S.A.B. de C.V. 14,576 5,749
#Fomento Economico Mexicano S.A.B. de C.V. 2,503,454 22,744,495
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 2,566,579 232,968,375
#*Gruma S.A.B. de C.V. Class B 3,249,870 28,740,896
*Gruma S.A.B. de C.V. Sponsored ADR 13,352 470,257
#*Grupo Aeromexico S.A.B. de C.V. 780,005 1,266,944
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. 972,349 3,563,044
#Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR 44,097 1,298,216
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 634,177 38,240,873
Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 1,204,121 7,248,058
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 271,607 33,203,956
#Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B 1,203,482 14,728,517
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- --------------
MEXICO -- (Continued)
Grupo Carso S.A.B. de C.V. Series A1 10,391,739 $ 52,948,602
Grupo Cementos de Chihuahua S.A.B. de C.V. 2,799,892 8,344,407
#Grupo Comercial Chedraui S.A. de C.V. 1,635,891 5,025,431
Grupo Elektra S.A.B. de C.V. 89,518 2,562,838
*Grupo Famsa S.A.B. de C.V. Class A 3,160,815 4,324,671
#Grupo Financiero Banorte S.A.B. de C.V. 23,649,283 157,068,369
#Grupo Financiero Inbursa S.A.B. de C.V. 18,352,790 47,008,618
Grupo Financiero Interacciones S.A. de C.V. 35,820 216,299
#Grupo Financiero Santander Mexico S.A.B. de C.V. Class B 2,138,043 5,107,018
Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR 1,544,753 18,382,561
Grupo Gigante S.A.B. de C.V. Series * 471,076 1,185,544
Grupo Industrial Maseca S.A.B. de C.V. Class B 2,756,800 4,296,585
Grupo Industrial Saltillo S.A.B. de C.V. 1,342,969 2,874,253
Grupo KUO S.A.B. de C.V. Series B 2,065,160 4,132,609
#Grupo Mexico S.A.B. de C.V. Series B 19,828,632 59,715,893
*Grupo Pochteca S.A.B. de C.V. 16,900 21,056
Grupo Posadas S.A.B. de C.V. 355,600 659,135
*Grupo Qumma S.A. de C.V. Series B 5,301 --
*Grupo Simec S.A.B. de C.V. Series B 1,979,526 7,454,950
#*Grupo Simec S.A.B. de C.V. Sponsored ADR 19,072 221,998
*Grupo Sports World S.A.B. de C.V. 51,395 79,355
Industrias Bachoco S.A.B. de C.V. ADR 7,664 337,982
#Industrias Bachoco S.A.B. de C.V. Series B 981,113 3,599,658
#*Industrias CH S.A.B. de C.V. Series B 3,336,823 17,700,829
*Inmuebles Carso S.A.B. de C.V. 10,258,893 10,695,863
Medica Sur S.A.B. de C.V. Series B 1,000 3,401
Megacable Holdings S.A.B. de C.V. 155,331 614,188
Mexichem S.A.B. de C.V. 752,961 2,805,744
*Minera Frisco S.A.B. de C.V. 8,444,229 15,439,105
#*OHL Mexico S.A.B. de C.V. 7,075,430 18,820,582
#Organizacion Cultiba S.A.B. de C.V. 16,708 27,611
#*Organizacion Soriana S.A.B. de C.V. Class B 15,016,976 43,514,824
Qualitas Controladora S.A.B. de C.V. 2,009,619 5,844,796
*Savia SA Class A 3,457,285 --
#TV Azteca S.A.B. de C.V. 8,005,859 4,375,371
#*Urbi Desarrollos Urbanos S.A.B. de C.V. 9,102,158 3,641
*Vitro S.A.B. de C.V. Series A 1,544,127 4,092,021
--------------
TOTAL MEXICO 1,338,973,745
--------------
PHILIPPINES -- (1.0%)
A Soriano Corp. 20,194,300 3,186,759
Alliance Global Group, Inc. 24,479,406 17,144,432
Alsons Consolidated Resources, Inc. 17,757,000 698,203
Atlas Consolidated Mining & Development 3,316,800 1,105,223
BDO Unibank, Inc. 11,046,335 21,922,813
Cebu Air, Inc. 430,760 507,328
Cebu Holdings, Inc. 5,500,050 630,601
Century Properties Group, Inc. 13,717,000 457,000
China Banking Corp. 404,176 499,965
*East West Banking Corp. 40,700 27,887
*Empire East Land Holdings, Inc. 49,079,000 1,102,408
*Export & Industry Bank, Inc. Class A 14,950 --
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- ------------
PHILIPPINES -- (Continued)
Filinvest Development Corp. 142,800 $ 15,900
Filinvest Land, Inc. 194,080,031 6,944,408
First Philippine Holdings Corp. 4,465,530 7,112,526
*Fwbc Holdings, Inc. 5,471,786 --
*Global-Estate Resorts, Inc. 14,180,000 628,225
JG Summit Holdings, Inc. 4,364,700 4,954,839
Lopez Holdings Corp. 29,502,300 3,018,485
LT Group, Inc. 2,497,600 1,029,115
Macroasia Corp. 395,000 18,775
Megaworld Corp. 201,002,600 21,045,053
Metropolitan Bank & Trust Co. 11,267,992 21,459,910
*Mondragon International Philippines, Inc. 2,464,000 --
Petron Corp. 2,714,500 749,222
*Philippine National Bank 4,995,673 9,782,589
*Philippine National Construction Corp. 398,900 8,223
Philippine Savings Bank 1,232,313 3,788,690
Philippine Townships, Inc. 226,200 1,466
Philtown Properties, Inc. 6,701 43
Phinma Corp. 2,051,098 512,010
Rizal Commercial Banking Corp. 4,764,548 5,134,831
Robinsons Land Corp. 29,013,450 14,559,632
San Miguel Corp. 6,273,866 11,760,386
San Miguel Pure Foods Co., Inc. 38,100 200,948
Security Bank Corp. 1,536,814 4,141,106
Shang Properties, Inc. 614,285 43,125
SM Prime Holdings, Inc. 6,703,531 2,460,886
*Top Frontier Investment Holdings, Inc. 628,532 1,319,294
Trans-Asia Oil & Energy Development Corp. 16,362,000 858,198
Union Bank Of Philippines, Inc. 2,670,714 7,627,303
Universal Robina Corp. 8,248,305 27,085,471
Vista Land & Lifescapes, Inc. 56,759,968 7,687,772
------------
TOTAL PHILIPPINES 211,231,050
------------
POLAND -- (1.9%)
ABC Data SA 8,429 10,990
*Agora SA 728,442 2,503,592
*AmRest Holdings SE 399 10,785
Asseco Poland SA 1,296,929 19,311,682
*Bank Millennium SA 5,978,035 17,562,133
#*Bioton SA 123,074 278,524
*Ciech SA 533,502 5,715,805
ComArch SA 2,787 80,519
Dom Development SA 36,645 562,231
Enea SA 1,758,128 8,901,550
Firma Oponiarska Debica SA 102,634 3,069,323
Getin Holding SA 3,330,476 3,511,000
#*Getin Noble Bank SA 4,404,668 5,361,055
Grupa Azoty SA 110,107 2,183,715
Grupa Kety SA 117,729 8,479,974
*Grupa Lotos SA 1,265,116 16,314,513
*Hawe SA 245,277 238,723
*Impexmetal SA 5,780,595 4,934,152
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- ------------
POLAND -- (Continued)
#Jastrzebska Spolka Weglowa SA 202,495 $ 2,787,846
*Kernel Holding SA 110,769 1,029,463
*KGHM Polska Miedz SA 845,949 30,630,051
Kopex SA 555,501 2,379,708
*LC Corp. SA 1,774,081 1,138,372
Lentex SA 12,729 35,283
Lubelski Wegiel Bogdanka SA 531 21,736
*MCI Management SA 115,725 340,985
*Netia SA 3,955,309 7,072,992
Orbis SA 538,910 6,978,537
Pelion SA 10,134 257,904
PGE SA 14,358,931 99,777,343
*Polimex-Mostostal SA 10,112,907 301,525
*Polnord SA 78,590 235,363
*Polski Koncern Miesny Duda SA 1,273,793 269,494
#Polski Koncern Naftowy Orlen SA 6,279,050 94,021,799
*Rafako SA 60,222 107,941
*Rawlplug SA 110,853 424,819
*Rovese SA 1,128,715 522,831
*Sygnity SA 194,766 1,106,812
#Synthos SA 5,306,168 8,363,162
Tauron Polska Energia SA 15,331,549 27,160,244
*Trakcja SA 3,539,059 1,524,085
*Vistula Group SA 120,520 66,575
------------
TOTAL POLAND 385,585,136
------------
RUSSIA -- (3.6%)
*AFI Development P.L.C. GDR 59,582 44,027
Gazprom OAO Sponsored ADR 93,269,773 674,054,680
Lukoil OAO Sponsored ADR 689,605 36,507,290
*Magnitogorsk Iron & Steel Works GDR 1,929,398 4,072,128
#*Mechel Sponsored ADR 456,334 921,795
RusHydro JSC ADR 8,655,901 13,468,547
VTB Bank OJSC GDR 1,933,866 4,113,847
------------
TOTAL RUSSIA 733,182,314
------------
SOUTH AFRICA -- (7.4%)
Adcorp Holdings, Ltd. 545,445 1,658,848
Aeci, Ltd. 1,152,215 12,869,340
#African Bank Investments, Ltd. 8,358,950 9,912,145
African Rainbow Minerals, Ltd. 1,966,875 37,034,529
Allied Electronics Corp., Ltd. 563,821 1,304,019
*Anglo American Platinum, Ltd. 88,247 4,201,884
*AngloGold Ashanti, Ltd. 943,140 17,049,264
*AngloGold Ashanti, Ltd. Sponsored ADR 4,066,826 73,609,551
*ArcelorMittal South Africa, Ltd. 2,285,018 8,042,032
Argent Industrial, Ltd. 771,939 359,656
Astral Foods, Ltd. 1,581 14,357
*Aveng, Ltd. 7,722,693 16,593,039
Barclays Africa Group, Ltd. 6,214,975 91,043,580
#Barloworld, Ltd. 4,167,854 45,467,902
Basil Read Holdings, Ltd. 570,445 501,085
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- -----------
SOUTH AFRICA -- (Continued)
Bell Equipment, Ltd. 416,814 $ 691,281
Blue Label Telecoms, Ltd. 4,343,589 3,763,995
*Brait SE 1,689,395 9,103,533
Business Connexion Group, Ltd. 1,823,337 979,493
Caxton and CTP Publishers and Printers, Ltd. 3,267,876 4,961,116
#Clover Industries, Ltd. 342,753 632,317
*Consolidated Infrastructure Group, Ltd. 67,591 184,181
*Corpgro, Ltd. 579,166 --
Datacentrix Holdings, Ltd. 188,927 75,500
DataTec, Ltd. 3,095,790 15,557,994
Distell Group, Ltd. 311,947 3,707,964
Distribution and Warehousing Network, Ltd. 250,120 242,491
DRDGOLD, Ltd. 6,207,591 1,976,687
#DRDGOLD, Ltd. Sponsored ADR 9,454 30,442
Eqstra Holdings, Ltd. 2,357,803 1,636,909
*Evraz Highveld Steel and Vanadium, Ltd. 148,283 128,825
#Exxaro Resources, Ltd. 847,004 11,560,796
Gold Fields, Ltd. 1,768,273 7,505,103
Gold Fields, Ltd. Sponsored ADR 11,900,608 50,339,572
Grand Parade Investments, Ltd. 5,685 2,919
Grindrod, Ltd. 7,243,099 17,151,988
Group Five, Ltd. 990,775 4,075,356
*Harmony Gold Mining Co., Ltd. 2,952,483 9,703,260
*Harmony Gold Mining Co., Ltd. Sponsored ADR 3,137,089 10,321,023
Hudaco Industries, Ltd. 7,738 77,138
*Hulamin, Ltd. 1,508,425 1,047,158
Iliad Africa, Ltd. 179,921 109,610
Illovo Sugar, Ltd. 213,834 589,658
Impala Platinum Holdings, Ltd. 5,593,838 63,060,916
Investec, Ltd. 4,667,299 41,078,874
*JCI, Ltd. 10,677,339 --
#JD Group, Ltd. 2,283,573 5,966,810
KAP Industrial Holdings, Ltd. 50,812 19,804
#Lewis Group, Ltd. 1,851,877 10,993,079
Liberty Holdings, Ltd. 1,514,284 18,163,991
Mediclinic International, Ltd. 850,095 5,946,274
*Merafe Resources, Ltd. 21,718,286 2,291,942
Metair Investments, Ltd. 869,105 3,512,928
MMI Holdings, Ltd. 18,652,591 46,895,771
Mondi, Ltd. 1,730,577 28,816,887
Mpact, Ltd. 2,115,404 5,593,867
*Murray & Roberts Holdings, Ltd. 3,982,145 9,324,714
Mustek, Ltd. 48,438 31,878
#Nedbank Group, Ltd. 3,855,686 82,653,953
*Northam Platinum, Ltd. 3,476,928 13,572,099
Omnia Holdings, Ltd. 390,976 8,405,681
Peregrine Holdings, Ltd. 1,522,645 2,794,891
Petmin, Ltd. 1,374,464 355,002
PSG Group, Ltd. 590,113 5,844,810
Raubex Group, Ltd. 1,163,111 2,404,272
*RCL Foods, Ltd. 26,214 38,373
*Royal Bafokeng Platinum, Ltd. 201,666 1,303,603
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- --------------
SOUTH AFRICA -- (Continued)
Sanlam, Ltd. 23,829,161 $ 127,656,171
*Sappi, Ltd. 8,738,064 27,699,043
*Sappi, Ltd. Sponsored ADR 695,410 2,183,587
Sasol, Ltd. Sponsored ADR 640,884 35,511,382
Sibanye Gold, Ltd. 590,193 1,524,487
Sibanye Gold, Ltd. Sponsored ADR 2,965,465 30,633,253
Standard Bank Group, Ltd. 20,138,333 264,596,500
*Stefanutti Stocks Holdings, Ltd. 526,548 435,067
#Steinhoff International Holdings, Ltd. 23,854,878 123,958,079
*Super Group, Ltd. 3,165,019 8,527,894
#*Telkom SA SOC, Ltd. 4,460,104 15,958,773
Times Media Group, Ltd. 253,556 508,845
Tongaat Hulett, Ltd. 670,959 7,977,089
Trencor, Ltd. 1,227,129 8,697,028
Value Group, Ltd. 976,777 496,932
Wilson Bayly Holmes-Ovcon, Ltd. 3,333 43,101
Zeder Investments, Ltd. 2,397,541 998,309
--------------
TOTAL SOUTH AFRICA 1,492,293,499
--------------
SOUTH KOREA -- (14.3%)
#Aekyung Petrochemical Co., Ltd. 18,254 1,208,932
AK Holdings, Inc. 28,410 1,467,661
AMOREPACIFIC Group 5,052 2,613,695
*Amotech Co., Ltd. 3,050 40,634
#Asia Cement Co., Ltd. 25,169 2,686,942
ASIA Holdings Co., Ltd, 12,156 1,708,242
#Asia Paper Manufacturing Co., Ltd. 41,070 761,772
AtlasBX Co., Ltd. 1,295 52,640
#*AUK Corp. 617,090 1,358,212
Bookook Securities Co., Ltd. 28,655 341,672
Boryung Pharmaceutical Co., Ltd. 24,346 907,839
#BS Financial Group, Inc. 1,679,881 25,720,657
BYC Co., Ltd. 810 183,522
#Byucksan Corp. 156,140 472,514
#*Capro Corp. 79,730 359,339
#*Celltrion Pharm, Inc. 7,951 92,526
#*China Great Star International, Ltd. 425,611 1,294,742
#*China Ocean Resources Co., Ltd. 808,940 1,865,817
Chokwang Paint, Ltd. 1,920 18,056
#Chosun Refractories Co., Ltd. 9,371 862,201
CJ Corp. 199,265 24,133,521
*CJ E&M Corp. 94,562 4,617,297
#*CJ Korea Express Co., Ltd. 99,247 10,488,987
CKD Bio Corp. 20,570 295,943
#*Cosmochemical Co., Ltd. 140,210 959,285
#Dae Dong Industrial Co., Ltd. 145,130 1,305,269
Dae Han Flour Mills Co., Ltd. 14,607 2,093,819
Dae Won Kang Up Co., Ltd. 245,096 1,567,480
#*Dae Young Packaging Co., Ltd. 1,121,470 853,169
#Dae-Il Corp. 66,990 291,777
#*Daechang Co., Ltd. 866,590 794,720
Daeduck Electronics Co. 24,050 177,641
Dimensional Emerging Markets Value Fund
continued
Shares Value++
--------- -----------
SOUTH KOREA -- (Continued)
Daeduck GDS Co., Ltd. 281,480 $ 4,662,986
#Daegu Department Store 122,031 2,770,418
#Daehan Steel Co., Ltd. 183,220 1,226,054
Daekyo Co., Ltd. 521,770 3,362,125
#Daelim Industrial Co., Ltd. 421,284 34,375,897
Daelim Trading Co., Ltd. 8,734 34,630
#Daesang Holdings Co., Ltd. 144,526 1,784,313
#Daesung Holdings Co., Ltd. 41,070 418,335
Daewon San Up Co., Ltd. 19,432 174,883
#*Daewoo Engineering & Construction Co., Ltd. 1,174,710 9,745,016
#*Daewoo Securities Co., Ltd. 2,587,642 21,260,364
#Daewoo Shipbuilding & Marine Engineering Co., Ltd. 647,122 18,781,269
Daewoong Co., Ltd. 5,078 192,059
*Dahaam E-Tec Co., Ltd. 3,535 11,546
#Daishin Securities Co., Ltd. 638,515 5,778,013
#Daou Data Corp. 138,807 752,502
Daou Technology, Inc. 346,698 4,848,461
#*Dasan Networks, Inc. 167,429 1,004,850
#DGB Financial Group, Inc. 1,368,572 20,762,093
#*Digitech Systems Co., Ltd. 10,779 22,115
Dong Ah Tire & Rubber Co., Ltd. 81,994 1,523,045
#*Dong Yang Gang Chul Co., Ltd. 291,430 649,053
Dong-Ah Geological Engineering Co., Ltd. 45,500 373,399
Dong-Il Corp. 18,630 1,354,690
Dongbang Agro Co. 5,640 34,518
#Dongbang Transport Logistics Co., Ltd. 244,640 561,105
*Dongbu CNI Co., Ltd. 16,040 68,021
#*Dongbu Corp. 53,090 131,309
#*Dongbu HiTek Co., Ltd. 368,964 2,490,435
Dongbu Securities Co., Ltd. 351,526 1,261,495
#*Dongbu Steel Co., Ltd. 385,814 1,162,456
#Dongil Industries Co., Ltd. 18,961 949,325
#*Dongkook Industrial Co., Ltd. 248,640 772,283
#Dongkuk Steel Mill Co., Ltd. 708,269 6,813,118
#DONGKUK STRUCTURES & CONSTRUCTION Co., Ltd. 114,484 618,802
#Dongsung Holdings Co., Ltd. 195,870 1,107,531
#Dongwha Pharm Co., Ltd. 261,900 1,524,923
Dongwon F&B Co., Ltd. 18,471 3,604,511
*Dongwon Systems Corp. 3,175 29,771
Dongyang E&P, Inc. 8,224 159,117
Dongyang Mechatronics Corp. 66,640 642,876
#Doosan Corp. 109,796 14,152,416
#*Doosan Engine Co., Ltd. 112,890 949,732
#*Doosan Engineering & Construction Co., Ltd. 36,428 528,522
#Doosan Heavy Industries & Construction Co., Ltd. 181,600 6,138,297
*Doosan Infracore Co., Ltd. 483,210 5,843,031
DRB Holding Co., Ltd. 268,611 2,818,862
E-Mart Co., Ltd. 41,501 9,489,878
#Eagon Industries Co., Ltd. 13,300 228,427
Eugene Corp. 214,298 792,854
*Eugene Investment & Securities Co., Ltd. 763,229 1,941,951
EVERDIGM Corp. 1,702 13,365
Dimensional Emerging Markets Value Fund
continued
Shares Value++
--------- ------------
SOUTH KOREA -- (Continued)
Fursys, Inc. 31,503 $ 875,929
#Gaon Cable Co., Ltd. 20,207 597,149
Global & Yuasa Battery Co., Ltd. 34,827 1,672,403
*GNCO Co., Ltd. 56,982 72,974
#Green Cross Holdings Corp. 50,710 698,239
#*GS Engineering & Construction Corp. 515,821 18,199,322
GS Global Corp. 5,870 54,796
#GS Holdings 750,939 35,041,839
Gwangju Shinsegae Co., Ltd. 5,985 1,378,192
#*Halla Corp. 247,941 1,739,043
Hana Financial Group, Inc. 3,815,029 134,617,332
*Hana Micron, Inc. 3,300 19,305
Handok Pharmaceuticals Co., Ltd. 12,706 269,778
#Handsome Co., Ltd. 214,790 5,438,120
#Hanil Cement Co., Ltd. 52,145 6,021,127
Hanil E-Hwa Co., Ltd. 2,460 50,333
#*Hanjin Heavy Industries & Construction Co., Ltd. 677,791 8,006,038
#Hanjin Heavy Industries & Construction Holdings Co., Ltd. 181,040 1,841,633
*Hanjin Kal Corp. 2,711 58,206
#*Hanjin Shipping Co., Ltd. 1,206,540 7,073,833
*Hanjin Shipping Holdings Co., Ltd. 159,594 1,036,823
Hanjin Transportation Co., Ltd. 140,220 3,447,596
*Hankuk Glass Industries, Inc. 23,020 451,652
Hankuk Paper Manufacturing Co., Ltd. 32,780 807,902
#*Hanmi Science Co., Ltd. 11,791 170,057
Hanmi Semiconductor Co., Ltd. 2,870 41,487
#*Hansol HomeDeco Co., Ltd. 321,490 730,362
Hansol Paper Co. 647,244 7,128,869
#Hanwha Chemical Corp. 1,171,955 20,768,971
#Hanwha Corp. 594,563 17,330,914
#*Hanwha General Insurance Co., Ltd. 189,722 937,304
*Hanwha Investment & Securities Co., Ltd. 906,511 3,279,628
#Hanwha Life Insurance Co., Ltd. 1,528,455 9,962,067
Hanwha Timeworld Co., Ltd. 12,290 381,605
Hanyang Eng Co., Ltd. 7,723 51,708
Hanyang Securities Co., Ltd. 90,530 602,989
#Heung-A Shipping Co., Ltd. 775,917 1,027,982
#Hitejinro Holdings Co., Ltd. 99,611 1,261,034
HMC Investment Securities Co., Ltd. 259,785 2,746,455
#HS R&A Co., Ltd. 37,336 901,031
Humax Co., Ltd. 72,603 880,318
#Husteel Co., Ltd. 59,490 1,170,860
Huvis Corp. 21,080 235,169
#Hwacheon Machine Tool Co., Ltd. 14,227 733,072
Hyosung Corp. 380,987 27,218,906
#*Hyundai BNG Steel Co., Ltd. 140,250 2,946,028
#Hyundai Development Co. 892,664 25,593,154
#Hyundai Heavy Industries Co., Ltd. 255,734 48,081,597
Hyundai Hy Communications & Networks Co., Ltd. 215,230 1,077,145
Hyundai Livart Co., Ltd. 27,580 473,357
#Hyundai Mipo Dockyard 79,837 10,899,702
#Hyundai Motor Co. 382,144 85,205,290
Dimensional Emerging Markets Value Fund
continued
Shares Value++
--------- ------------
SOUTH KOREA -- (Continued)
#*Hyundai Securities Co., Ltd. 1,779,448 $ 11,997,138
#Hyundai Steel Co. 1,075,101 70,445,262
#*Hyunjin Materials Co., Ltd. 64,806 355,630
#Il Dong Pharmaceutical Co., Ltd. 133,130 1,725,011
#Iljin Electric Co., Ltd. 285,940 2,331,451
#Ilshin Spinning Co., Ltd. 16,366 2,133,169
#Ilsung Pharmaceuticals Co., Ltd. 9,407 707,711
#Industrial Bank of Korea 2,385,570 29,383,732
*InnoWireless, Inc. 907 11,859
Intergis Co., Ltd. 24,590 206,859
INTOPS Co., Ltd. 66,079 1,550,400
Inzi Controls Co., Ltd. 89,540 496,651
#INZI Display Co., Ltd. 337,768 606,156
#*IS Dongseo Co., Ltd. 121,855 2,761,957
#ISU Chemical Co., Ltd. 164,530 2,229,694
#JB Financial Group Co., Ltd. 946,863 6,983,717
#Jeil Pharmaceutical Co. 73,180 1,327,801
JW Pharmaceutical Corp. 101,072 1,710,141
KB Capital Co., Ltd. 93,191 1,854,687
KB Financial Group, Inc. 2,611,033 89,320,287
#KB Financial Group, Inc. ADR 3,171,116 108,864,412
#KC Tech Co., Ltd. 286,512 2,196,564
#KCC Corp. 64,340 32,084,781
#*Keangnam Enterprises, Ltd. 131,000 429,972
*KEC Corp. 124,522 101,379
#Keyang Electric Machinery Co., Ltd. 393,920 1,520,354
#KG Chemical Corp. 48,373 909,694
KISCO Corp. 56,021 1,521,680
#KISCO Holdings Co., Ltd. 11,673 520,574
#Kishin Corp. 109,475 815,691
#KISWIRE, Ltd. 69,836 2,511,213
Kolon Corp. 73,455 1,541,017
#*Kolon Global Corp. 308,890 769,759
#Kolon Industries, Inc. 183,954 12,206,105
Kook Soon Dang Brewery Co., Ltd. 9,161 56,301
Korea Airport Service Co., Ltd. 4,670 115,735
#Korea Cast Iron Pipe Industries Co., Ltd. 7,358 27,538
Korea Circuit Co., Ltd. 24,250 301,136
Korea Electric Terminal Co., Ltd. 89,230 3,764,357
#Korea Export Packaging Industrial Co., Ltd. 5,290 111,517
#Korea Flange Co., Ltd. 58,810 830,727
#Korea Investment Holdings Co., Ltd. 542,836 19,938,443
Korea Petrochemical Ind Co., Ltd. 45,171 2,728,382
*Korean Air Lines Co., Ltd. 33,795 1,086,657
Korean Reinsurance Co. 200,292 1,979,564
KPF 36,644 210,711
KPX Chemical Co., Ltd. 12,852 797,254
*KTB Investment & Securities Co., Ltd. 985,680 2,458,898
Kukdo Chemical Co., Ltd. 51,898 2,552,607
#Kumho Electric Co., Ltd. 52,624 1,243,480
#Kunsul Chemical Industrial Co., Ltd. 28,190 1,200,723
#*Kyeryong Construction Industrial Co., Ltd. 48,550 657,285
Dimensional Emerging Markets Value Fund
continued
Shares Value++
--------- ------------
SOUTH KOREA -- (Continued)
*Kyobo Securities Co. 268,372 $ 1,793,341
Kyung Dong Navien Co., Ltd. 8,090 194,738
#Kyung-In Synthetic Corp. 184,400 930,993
Kyungbang, Ltd. 10,105 1,303,525
*LB Semicon, Inc. 59,967 122,016
LF Corp. 22,180 576,671
LG Corp. 1,083,610 60,423,876
#*LG Display Co., Ltd. 1,309,420 34,874,698
#*LG Display Co., Ltd. ADR 3,996,524 53,193,734
#LG Electronics, Inc. 1,776,548 118,328,679
LG Hausys, Ltd. 30,641 5,409,384
LG International Corp. 87,110 2,581,029
LG Uplus Corp. 3,029,481 29,836,873
LIG Insurance Co., Ltd. 54,200 1,588,850
#Lotte Chemical Corp. 67,007 10,607,362
Lotte Chilsung Beverage Co., Ltd. 9,880 14,964,395
Lotte Confectionery Co., Ltd. 9,240 15,842,502
*Lotte Non-Life Insurance Co., Ltd. 37,010 136,156
#Lotte Shopping Co., Ltd. 166,351 51,589,632
LS Corp. 12,139 952,147
Meritz Financial Group, Inc. 23,920 172,065
#Meritz Securities Co., Ltd. 2,576,974 5,667,113
Mi Chang Oil Industrial Co., Ltd. 4,691 325,450
#Mirae Asset Securities Co., Ltd. 414,359 17,024,905
#MK Electron Co., Ltd. 123,903 655,092
*MNTech Co., Ltd. 23,868 157,313
Moorim P&P Co., Ltd. 406,838 1,965,820
#Moorim Paper Co., Ltd. 210,130 566,340
Motonic Corp. 121,010 1,407,202
#Namhae Chemical Corp. 23,510 221,317
Namyang Dairy Products Co., Ltd. 4,293 3,809,124
National Plastic Co. 143,890 921,299
#*NEOWIZ HOLDINGS Corp. 69,796 853,460
#Nexen Corp. 13,326 994,729
NH Investment & Securities Co., Ltd. 406,621 2,639,760
NICE Holdings Co., Ltd. 2,290 30,978
#*NK Co., Ltd. 196,310 776,614
#Nong Shim Holdings Co., Ltd. 24,347 2,379,987
#NongShim Co., Ltd. 40,829 12,153,142
OCI Materials Co., Ltd. 5,913 202,945
#*Osung LST Co., Ltd. 36,975 149,574
Ottogi Corp. 4,626 1,835,166
#*Paik Kwang Industrial Co., Ltd. 100,134 249,891
#*Pan Ocean Co., Ltd. 47,845 159,620
#*PaperCorea, Inc. 404,380 262,904
#Poongsan Corp. 397,200 9,802,988
Poongsan Holdings Corp. 49,788 1,503,829
POSCO 675,780 199,644,504
#POSCO ADR 1,617,993 119,084,285
*POSCO Coated & Color Steel Co., Ltd. 23,830 411,164
*Power Logics Co., Ltd. 8,791 38,833
Pulmuone Co., Ltd. 6,558 597,879
Dimensional Emerging Markets Value Fund
continued
Shares Value++
--------- ------------
SOUTH KOREA -- (Continued)
Pyeong Hwa Automotive Co., Ltd. 6,626 $ 135,313
#S&T Dynamics Co., Ltd. 380,544 4,405,460
S&T Holdings Co., Ltd. 87,883 1,287,319
#S&T Motiv Co., Ltd. 124,000 3,349,588
#*Sajo Industries Co., Ltd. 14,636 496,074
Sam Young Electronics Co., Ltd. 159,570 1,775,874
Sam Yung Trading Co., Ltd. 20,784 395,002
#SAMHWA Paints Industrial Co., Ltd. 2,030 30,266
#Samick Musical Instruments Co., Ltd. 932,470 2,576,889
Samkwang Glass 350 16,592
Samsung C&T Corp. 1,386,322 87,182,647
Samsung Life Insurance Co., Ltd. 12,500 1,163,379
Samsung SDI Co., Ltd. 422,727 62,075,955
Samsung Securities Co., Ltd. 52,330 1,999,791
#Samyang Genex Co., Ltd. 11,337 1,230,730
Samyang Holdings Corp. 86,744 6,049,419
Samyang Tongsang Co., Ltd. 8,060 261,731
#*Samyoung Chemical Co., Ltd. 269,270 596,757
SAVEZONE I&C Corp. 30,450 183,071
Seah Besteel Corp. 168,664 4,556,515
SeAH Holdings Corp. 13,089 1,378,021
SeAH Steel Corp. 32,058 3,820,207
#Sebang Co., Ltd. 137,830 2,388,310
Sejong Industrial Co., Ltd. 102,930 1,729,376
#Sempio Foods Co. 3,110 79,373
#*Seohee Construction Co., Ltd. 1,753,286 1,026,087
#*Seowon Co., Ltd. 86,070 130,980
*Sewon Cellontech Co., Ltd. 23,560 64,163
#*SG Corp. 1,945,560 1,156,126
#Shin Poong Pharmaceutical Co., Ltd. 125,325 555,807
Shinhan Financial Group Co., Ltd. 5,061,519 220,927,148
#Shinhan Financial Group Co., Ltd. ADR 1,626,158 70,900,488
#Shinsegae Co., Ltd. 44,194 9,594,942
Shinsegae Information & Communication Co., Ltd. 5,726 422,737
#*Shinsung Solar Energy Co., Ltd. 765,627 1,102,274
#*Shinsung Tongsang Co., Ltd. 1,106,860 1,374,095
Shinyoung Securities Co., Ltd. 35,820 1,404,332
*Signetics Corp. 104,802 212,592
#Silla Co., Ltd. 64,953 1,562,395
#*Simm Tech Co., Ltd. 10,189 58,922
SIMPAC, Inc. 2,110 14,920
Sindoh Co., Ltd. 43,098 2,828,881
SJM Co., Ltd. 9,114 92,325
#SK Chemicals Co., Ltd. 135,013 7,874,308
SK Gas, Ltd. 47,686 4,381,327
SK Holdings Co., Ltd. 513,323 91,053,325
SK Innovation Co., Ltd. 845,193 96,824,762
*SK Networks Co., Ltd. 2,219,296 20,461,091
#*SK Securities Co., Ltd. 3,931,860 2,817,334
#SKC Co., Ltd. 57,390 1,902,956
SL Corp. 140,660 2,425,837
#Songwon Industrial Co., Ltd. 166,480 1,638,894
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- --------------
SOUTH KOREA -- (Continued)
*Ssangyong Cement Industrial Co., Ltd. 289,296 $ 2,647,099
#*STS Semiconductor & Telecommunications 63,568 145,329
#*STX Engine Co., Ltd. 293,680 997,597
Suheung Co., Ltd. 3,330 123,531
Sun Kwang Co., Ltd. 20,098 356,442
#*Sungchang Enterprise Holdings, Ltd. 16,000 316,734
#*Sungshin Cement Co., Ltd. 119,420 1,320,935
Sungwoo Hitech Co., Ltd. 117,891 1,904,291
#Tae Kyung Industrial Co., Ltd. 116,020 575,653
Taekwang Industrial Co., Ltd. 4,337 5,588,636
#*Taewoong Co., Ltd. 70,311 1,699,606
*Taeyoung Engineering & Construction Co., Ltd. 564,040 3,529,381
#Tailim Packaging Industrial Co., Ltd. 374,220 724,165
TCC Steel 51,210 182,635
#*TK Chemical Corp. 329,048 723,214
*Tong Kook Corp. 607 --
#Tong Yang Moolsan Co., Ltd. 72,180 691,911
Tongyang Life Insurance 95,710 931,733
#TONGYANG Securities, Inc. 918,859 2,047,702
*Top Engineering Co., Ltd. 49,113 212,835
#TS Corp. 65,206 1,991,954
Uju Electronics Co., Ltd. 4,583 81,407
#Unid Co., Ltd. 46,751 3,014,139
Union Steel 38,477 524,817
#*WillBes & Co. (The) 538,070 600,362
Wiscom Co., Ltd. 32,980 166,364
#*Woongjin Energy Co., Ltd. 751,750 1,701,054
#*Woongjin Thinkbig Co., Ltd. 175,710 1,371,398
Wooree ETI Co., Ltd. 83,194 227,539
#*Woori Finance Holdings Co., Ltd. 4,510,507 49,480,262
#*Woori Finance Holdings Co., Ltd. ADR 8,505 280,708
Woori Investment & Securities Co., Ltd. 2,434,303 20,617,035
#WooSung Feed Co., Ltd. 284,940 838,734
YESCO Co., Ltd. 30,550 1,120,447
#Yoosung Enterprise Co., Ltd. 81,335 382,604
YooSung T&S Co., Ltd. 27,033 40,026
Youlchon Chemical Co., Ltd. 159,540 2,182,433
#Young Poong Corp. 4,659 5,366,021
*Young Poong Mining & Construction Corp. 18,030 --
#Young Poong Precision Corp. 52,185 491,148
Youngone Holdings Co., Ltd. 24,409 1,739,942
YuHwa Securities Co., Ltd. 28,680 336,117
*Zinus, Inc. 1,866 --
--------------
TOTAL SOUTH KOREA 2,868,956,558
--------------
TAIWAN -- (14.0%)
#Ability Enterprise Co., Ltd. 2,645,000 1,669,053
AcBel Polytech, Inc. 1,501,219 1,972,583
Accton Technology Corp. 8,825,156 5,255,845
#*Acer, Inc. 44,581,364 27,568,960
ACES Electronic Co., Ltd. 598,000 691,166
#ACHEM Technology Corp. 3,146,318 2,277,732
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- -----------
TAIWAN -- (Continued)
*Action Electronics Co., Ltd. 3,511,084 $ 700,752
*Advanced Connectek, Inc. 602,000 253,683
Advanced International Multitech Co., Ltd. 194,000 198,721
#*Advanced Wireless Semiconductor Co. 555,000 379,848
#*AGV Products Corp. 7,871,701 2,481,747
#AimCore Technology Co., Ltd. 682,797 745,153
#Alcor Micro Corp. 481,000 655,781
#Allis Electric Co., Ltd. 1,471,000 464,639
Alpha Networks, Inc. 5,949,237 4,719,618
#Altek Corp. 6,185,808 6,246,753
#Ambassador Hotel (The) 965,000 890,420
#AMPOC Far-East Co., Ltd. 1,772,000 1,500,922
AmTRAN Technology Co., Ltd. 12,283,956 8,506,702
#APCB, Inc. 2,454,000 1,682,366
#Arcadyan Technology Corp. 1,217,931 1,911,988
Ardentec Corp. 2,182,280 1,854,716
*Arima Communications Corp. 251,566 148,466
#Asia Cement Corp. 25,637,049 33,727,979
#*Asia Optical Co., Inc. 4,048,290 4,040,631
#Asia Polymer Corp. 4,449,478 3,450,175
#Asia Vital Components Co., Ltd. 4,933,984 3,156,827
Asustek Computer, Inc. 730,000 7,547,493
#*AU Optronics Corp. 53,434,812 20,314,124
#*AU Optronics Corp. Sponsored ADR 9,342,184 35,126,612
#Audix Corp. 1,814,164 1,752,056
#Avermedia Technologies 3,229,000 1,331,786
#*Avision, Inc. 2,782,555 942,849
AVY Precision Technology, Inc. 252,000 381,755
Bank of Kaohsiung 6,588,900 2,076,113
Basso Industry Corp. 373,000 463,481
BES Engineering Corp. 25,693,443 6,749,288
#Biostar Microtech International Corp. 2,799,055 1,141,321
*Bright Led Electronics Corp. 1,725,000 900,277
#C Sun Manufacturing, Ltd. 2,535,837 2,420,493
#Cameo Communications, Inc. 3,060,197 907,956
Capital Securities Corp. 25,294,447 8,675,824
Career Technology MFG. Co., Ltd. 2,199,000 3,104,777
#Carnival Industrial Corp. 6,172,000 1,649,886
#Cathay Chemical Works 959,000 531,908
Cathay Real Estate Development Co., Ltd. 14,314,421 8,306,363
#Celxpert Energy Corp. 262,000 141,630
Central Reinsurance Co., Ltd. 2,562,016 1,369,896
#ChainQui Construction Development Co., Ltd. 1,547,173 1,298,177
*Champion Building Materials Co., Ltd. 6,381,828 2,263,681
*Chang Ho Fibre Corp. 50,000 17,068
Chang Hwa Commercial Bank 86,151,711 50,086,975
#Channel Well Technology Co., Ltd. 1,234,000 659,741
#Charoen Pokphand Enterprise 3,055,000 2,700,766
#Chen Full International Co., Ltd. 1,262,000 1,285,347
Cheng Loong Corp. 13,870,659 6,022,785
Cheng Uei Precision Industry Co., Ltd. 5,391,635 10,852,481
#Chia Chang Co., Ltd. 1,158,000 1,374,262
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- -----------
TAIWAN -- (Continued)
*Chia Hsin Cement Corp. 7,583,191 $ 3,980,534
Chien Kuo Construction Co., Ltd. 4,979,247 2,254,083
*Chien Shing Stainless Steel Co., Ltd. 1,034,000 143,037
#Chilisin Electronics Corp. 1,683,836 1,293,932
Chin-Poon Industrial Co., Ltd. 6,084,815 11,421,237
*China Airlines, Ltd. 46,049,353 15,412,072
China Chemical & Pharmaceutical Co., Ltd. 4,203,264 3,101,651
China Development Financial Holding Corp. 200,440,960 57,488,244
China Electric Manufacturing Corp. 4,084,200 1,720,072
#China General Plastics Corp. 6,569,260 3,321,569
#China Glaze Co., Ltd. 2,312,363 1,181,151
China Life Insurance Co., Ltd. 13,412,780 11,750,620
#*China Man-Made Fiber Corp. 21,204,813 7,176,990
China Metal Products 3,572,362 4,120,626
#China Motor Corp. 11,464,749 10,384,436
#China Petrochemical Development Corp. 33,049,397 13,031,049
#China Steel Corp. 2,686,000 2,257,075
China Steel Structure Co., Ltd. 1,435,219 1,582,921
China Synthetic Rubber Corp. 8,076,711 7,731,258
*China United Trust & Investment Corp. 493,999 --
#*China Wire & Cable Co., Ltd. 2,900,000 1,143,942
#Chinese Maritime Transport, Ltd. 1,529,000 1,801,943
#*Chun YU Works & Co., Ltd. 3,012,000 1,270,254
Chun Yuan Steel 6,454,287 2,705,987
#Chung Hsin Electric & Machinery Manufacturing Corp. 6,609,000 4,450,143
*Chung Hung Steel Corp. 12,863,046 3,319,847
#*Chung Hwa Pulp Corp. 6,904,011 2,064,012
*Chung Shing Textile Co., Ltd. 600 --
*Chunghwa Picture Tubes, Ltd. 55,899,412 3,473,149
#*CMC Magnetics Corp. 52,168,830 8,044,925
CoAsia Microelectronics Corp. 1,408,350 701,640
Collins Co., Ltd. 2,467,224 919,718
Compal Electronics, Inc. 73,788,332 52,642,917
Compeq Manufacturing Co., Ltd. 20,781,000 13,626,922
*Compex International Co., Ltd. 46,400 --
*Concord Securities Corp. 1,749,000 451,582
Continental Holdings Corp. 7,293,848 2,768,096
Coretronic Corp. 8,856,000 10,575,943
*Cosmos Bank Taiwan 948,872 468,094
Coxon Precise Industrial Co., Ltd. 2,002,000 3,389,267
#Creative Sensor, Inc. 359,000 301,134
*Crystalwise Technology, Inc. 319,456 321,189
CSBC Corp. Taiwan 6,053,654 3,674,854
CTBC Financial Holding Co., Ltd. 87,968,355 52,338,491
CviLux Corp. 22,000 30,294
#D-Link Corp. 11,107,939 7,278,255
#DA CIN Construction Co., Ltd. 2,401,579 2,235,738
#Darfon Electronics Corp. 6,128,950 4,264,960
#Delpha Construction Co., Ltd. 3,970,016 2,213,522
*Der Pao Construction Co., Ltd. 1,139,000 --
#DFI, Inc. 387,280 482,899
#*Dynamic Electronics Co., Ltd. 4,558,324 1,711,464
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- ------------
TAIWAN -- (Continued)
#*E Ink Holdings, Inc. 10,124,000 $ 6,747,439
#*E-Ton Solar Tech Co., Ltd. 4,038,443 2,497,845
E.Sun Financial Holding Co., Ltd.() 6,699,382 721,008
E.Sun Financial Holding Co., Ltd.(6433912) 73,544,913 44,484,387
*Eastern Media International Corp. 6,127,597 2,667,873
#Edimax Technology Co., Ltd. 3,202,902 1,547,119
#Edison Opto Corp. 862,000 1,026,626
Edom Technology Co., Ltd. 1,046,800 647,290
Elite Material Co., Ltd. 3,578,905 3,200,658
Elite Semiconductor Memory Technology, Inc. 1,247,000 2,274,021
Elitegroup Computer Systems Co., Ltd. 8,410,341 6,233,143
#ENG Electric Co., Ltd. 781,000 636,332
EnTie Commercial Bank 2,271,232 1,008,396
*Episil Technologies, Inc. 3,317,000 1,293,698
#Epistar Corp. 12,896,000 28,221,018
Eternal Chemical Co., Ltd. 1,630,000 1,701,956
*Etron Technology, Inc. 2,448,000 1,328,074
*Eva Airways Corp. 10,051,850 5,098,906
*Ever Fortune Industrial Co., Ltd. 409,000 --
*Everest Textile Co., Ltd. 3,892,002 1,440,703
Evergreen International Storage & Transport Corp. 9,778,000 6,001,055
*Evergreen Marine Corp. Taiwan, Ltd. 30,795,998 17,508,379
Everlight Chemical Industrial Corp. 1,754,005 1,610,726
Everlight Electronics Co., Ltd. 60,000 140,603
Excelsior Medical Co., Ltd. 1,410,200 2,633,188
Far Eastern Department Stores, Ltd. 4,997,652 4,655,589
#Far Eastern International Bank 27,471,817 9,648,754
Far Eastern New Century Corp. 596,000 610,694
*Farglory F T Z Investment Holding Co., Ltd. 909,000 706,846
Farglory Land Development Co., Ltd. 872,264 1,430,632
#Federal Corp. 6,978,685 4,985,994
#*First Copper Technology Co., Ltd. 3,629,750 1,270,051
First Financial Holding Co., Ltd. 123,420,215 72,399,652
First Hotel 1,216,590 771,951
#First Insurance Co., Ltd. 4,017,064 2,504,504
First Steamship Co., Ltd. 5,379,173 3,139,567
Forhouse Corp. 7,061,635 2,871,086
#Formosa Advanced Technologies Co., Ltd. 1,459,000 1,123,039
#*Formosa Epitaxy, Inc. 8,379,000 4,812,799
#Formosa Oilseed Processing 1,111,977 475,608
Formosa Taffeta Co., Ltd. 10,729,511 11,221,082
#Formosan Rubber Group, Inc. 8,194,000 7,673,665
Formosan Union Chemical 2,827,034 1,376,957
Fortune Electric Co., Ltd. 436,000 236,901
#Founding Construction & Development Co., Ltd. 3,092,474 1,927,681
Foxconn Technology Co., Ltd. 526,000 1,308,805
#Foxlink Image Technology Co., Ltd. 768,000 568,538
*Froch Enterprise Co., Ltd. 1,933,000 680,112
#FSP Technology, Inc. 1,986,283 2,133,791
Fubon Financial Holding Co., Ltd. 88,739,471 114,853,842
Fullerton Technology Co., Ltd. 1,753,200 1,581,041
#*Fulltech Fiber Glass Corp. 4,796,690 1,973,361
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- -----------
TAIWAN -- (Continued)
#Fwusow Industry Co., Ltd. 2,782,995 $ 1,401,870
G Shank Enterprise Co., Ltd. 2,883,880 2,172,452
#G Tech Optoelectronics Corp. 296,000 338,762
*Gallant Precision Machining Co., Ltd. 2,001,000 825,249
#Gemtek Technology Corp. 6,366,962 5,755,160
#*Genesis Photonics, Inc. 2,818,059 1,906,906
#Genius Electronic Optical Co., Ltd. 172,000 591,231
#Getac Technology Corp. 8,342,065 4,446,773
#*Giantplus Technology Co., Ltd. 1,289,100 551,154
#Giga Solution Tech Co., Ltd. 669,000 385,993
#Gigabyte Technology Co., Ltd. 9,308,287 14,538,603
#*Gigastorage Corp. 4,351,600 5,287,667
#*Gintech Energy Corp. 6,960,942 7,164,619
#*Global Brands Manufacture, Ltd. 5,083,951 1,710,480
#Global Lighting Technologies, Inc. 668,000 795,722
*Globe Union Industrial Corp. 2,671,000 1,765,693
Gloria Material Technology Corp. 5,283,150 4,285,556
*Gold Circuit Electronics, Ltd. 8,144,965 2,235,815
Goldsun Development & Construction Co., Ltd. 23,939,261 8,452,103
Good Will Instrument Co., Ltd. 466,380 309,184
#Grand Pacific Petrochemical 17,166,000 10,929,824
Great China Metal Industry 871,000 1,132,070
Great Wall Enterprise Co., Ltd. 4,398,767 4,557,359
#*Green Energy Technology, Inc. 4,571,880 3,803,279
#*GTM Corp. 2,449,000 1,566,757
#Hannstar Board Corp. 5,082,635 1,838,895
#*HannStar Display Corp. 49,769,000 17,263,384
*HannsTouch Solution, Inc. 194,000 53,189
#*Harvatek Corp. 3,454,459 2,063,010
*Helix Technology, Inc. 29,585 --
#Hey Song Corp. 3,025,500 3,178,130
*HiTi Digital, Inc. 40,175 25,766
#Hitron Technology, Inc. 3,410,525 2,117,552
#Ho Tung Chemical Corp. 13,367,052 5,964,770
*Hocheng Corp. 4,501,300 1,516,257
#Hold-Key Electric Wire & Cable Co., Ltd. 515,124 162,193
#Holy Stone Enterprise Co., Ltd. 2,793,650 3,770,494
Hong TAI Electric Industrial 3,949,000 1,361,341
#Horizon Securities Co., Ltd. 5,065,000 1,496,279
#Hsin Kuang Steel Co., Ltd. 4,316,124 2,745,629
Hsing TA Cement Co. 2,071,980 983,388
HUA ENG Wire & Cable 7,674,035 2,975,367
Hua Nan Financial Holdings Co., Ltd. 50,911,430 28,681,830
*Hua Yu Lien Development Co., Ltd. 2,799 4,441
*Hualon Corp. 257,040 --
#Hung Ching Development & Construction Co., Ltd. 1,987,468 1,062,108
Hung Poo Real Estate Development Corp. 3,576,655 3,202,015
Hung Sheng Construction, Ltd. 8,741,892 5,666,708
Huxen Corp. 572,281 943,136
*Hwa Fong Rubber Co., Ltd. 1,996,800 1,387,583
#I-Chiun Precision Industry Co., Ltd. 3,240,000 2,340,834
#Ichia Technologies, Inc. 6,144,260 7,545,826
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- -----------
TAIWAN -- (Continued)
Infortrend Technology, Inc. 852,000 $ 534,775
#*Innolux Corp. 124,406,745 42,976,343
#*Inotera Memories, Inc. 30,424,728 31,251,826
#*Inpaq Technology Co., Ltd. 434,000 521,601
Integrated Memory Logic, Ltd. 196,000 536,888
Inventec Corp. 29,168,277 26,895,654
#ITE Technology, Inc. 2,594,479 2,852,369
#*J Touch Corp. 832,000 635,206
*Janfusun Fancyworld Corp. 533,179 92,319
#Jess-Link Products Co., Ltd. 1,299,000 1,226,651
#Jih Sun Financial Holdings Co., Ltd. 4,417,995 1,194,178
#K Laser Technology, Inc. 1,782,601 955,188
Kang Na Hsiung Enterprise Co., Ltd. 1,655,078 795,427
Kao Hsing Chang Iron & Steel 726,700 313,602
#Kaulin Manufacturing Co., Ltd. 2,570,656 2,263,472
#KEE TAI Properties Co., Ltd. 376,000 256,137
*Kenmec Mechanical Engineering Co., Ltd. 1,924,000 888,876
King Yuan Electronics Co., Ltd. 21,676,805 16,553,273
#King's Town Bank 11,853,012 11,006,222
*King's Town Construction Co., Ltd. 44,000 36,737
Kingdom Construction Co. 4,888,000 5,053,254
#Kinko Optical Co., Ltd. 745,000 686,326
#Kinpo Electronics 19,097,375 7,125,210
KS Terminals, Inc. 1,106,880 1,847,088
Kung Sing Engineering Corp. 2,712,000 1,231,013
Kuoyang Construction Co., Ltd. 7,664,840 3,898,162
#Kwong Fong Industries 4,296,720 2,804,047
KYE Systems Corp. 4,072,000 1,757,776
L&K Engineering Co., Ltd. 2,019,000 1,801,461
#LAN FA Textile 3,158,713 976,998
LCY Chemical Corp. 505,000 519,785
#Leader Electronics, Inc. 1,831,056 844,429
Lealea Enterprise Co., Ltd. 12,751,118 4,479,927
Ledtech Electronics Corp. 310,000 199,516
#LEE CHI Enterprises Co., Ltd. 3,466,900 1,945,337
#Lelon Electronics Corp. 1,422,200 1,384,259
#*Leofoo Development Co. 5,249,774 1,984,184
LES Enphants Co., Ltd. 692,000 466,813
#Lextar Electronics Corp. 1,948,000 1,906,992
#*Li Peng Enterprise Co., Ltd. 9,254,703 4,329,604
Lien Hwa Industrial Corp. 9,006,990 5,699,056
Lingsen Precision Industries, Ltd. 6,583,480 4,344,382
#Lite-On Semiconductor Corp. 4,671,190 3,431,135
Lite-On Technology Corp. 30,365,075 46,451,613
#Long Chen Paper Co., Ltd. 8,428,253 3,687,292
Longwell Co. 1,333,000 1,765,727
#Lotes Co., Ltd. 1,030,000 3,349,421
#*Lucky Cement Corp. 3,099,000 893,716
#*Macronix International 72,368,913 17,067,958
Marketech International Corp. 1,948,000 1,414,231
Masterlink Securities Corp. 16,637,000 5,434,464
#Mayer Steel Pipe Corp. 2,472,456 1,121,552
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- ------------
TAIWAN -- (Continued)
#Maywufa Co., Ltd. 252,070 $ 123,960
Mega Financial Holding Co., Ltd. 136,903,915 104,811,122
*Megamedia Corp. 782 --
Meiloon Industrial Co. 1,613,084 951,985
Mercuries & Associates, Ltd. 1,923,937 1,274,634
#*Mercuries Life Insurance Co., Ltd. 514,000 287,824
Micro-Star International Co., Ltd. 14,030,985 15,376,953
#*Microelectronics Technology, Inc. 721,826 384,678
#Mirle Automation Corp. 565,550 514,151
*Mitac Holdings Corp. 9,940,725 8,043,236
*Mosel Vitelic, Inc. 7,422,506 1,477,704
*Motech Industries, Inc. 2,072,000 3,511,549
#*Nan Ren Lake Leisure Amusement Co., Ltd. 954,000 384,591
#*Nan Ya Printed Circuit Board Corp. 3,855,000 5,443,427
Nantex Industry Co., Ltd. 2,345,766 1,472,717
*Nanya Technology Corp. 2,319,000 380,491
#*Neo Solar Power Corp. 1,508,066 1,790,787
New Asia Construction & Development Corp. 1,810,304 469,525
#New Era Electronics Co., Ltd. 146,000 180,489
Nichidenbo Corp. 101,330 100,944
Nien Hsing Textile Co., Ltd. 4,491,721 4,432,226
Nishoku Technology, Inc. 260,000 384,104
O-TA Precision Industry Co., Ltd. 24,000 16,730
*Ocean Plastics Co., Ltd. 556,000 746,093
*Optimax Technology Corp. 1,085,597 188,868
OptoTech Corp. 9,532,000 4,602,890
*Orient Semiconductor Electronics, Ltd. 5,501,276 1,553,746
#Pacific Construction Co. 2,529,452 748,650
#*Pan Jit International, Inc. 6,047,837 2,751,027
#Pan-International Industrial Corp. 3,585,766 2,643,624
#Paragon Technologies Co., Ltd. 1,221,191 3,336,394
#Pegatron Corp. 28,365,998 43,045,423
#Phihong Technology Co., Ltd. 3,177,320 2,129,128
Pixart Imaging, Inc. 87,000 170,492
Plotech Co., Ltd. 760,282 302,747
Portwell, Inc. 781,000 840,940
*Potrans Electrical Corp. 1,139,000 --
Pou Chen Corp. 24,985,550 31,813,749
*Power Quotient International Co., Ltd. 142,000 65,879
*Powercom Co., Ltd. 1,347,500 209,786
Powertech Industrial Co., Ltd. 271,000 194,092
#Powertech Technology, Inc. 11,882,000 19,230,186
#President Securities Corp. 12,690,992 6,962,171
#Prime Electronics Satellitics, Inc. 492,000 352,146
#Prince Housing & Development Corp. 3,185,824 1,474,672
*Prodisc Technology, Inc. 6,185,157 --
Promate Electronic Co., Ltd. 811,000 951,445
#*Qisda Corp. 27,187,171 8,836,955
#Qualipoly Chemical Corp. 78,000 64,659
#Quanta Storage, Inc. 2,413,000 3,017,031
#*Quintain Steel Co., Ltd. 5,893,629 1,302,864
#Radium Life Tech Co., Ltd. 7,783,290 6,100,149
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- -----------
TAIWAN -- (Continued)
#Ralec Electronic Corp. 477,087 $ 913,201
#Rich Development Co., Ltd. 3,664,055 1,724,216
#*Ritek Corp. 53,401,622 8,366,806
Ruentex Industries, Ltd. 189,000 449,484
*Sainfoin Technology Corp. 835,498 --
Sampo Corp. 9,863,925 3,793,378
Sanyang Industry Co., Ltd. 8,894,624 8,145,023
SDI Corp. 506,000 749,995
#Sesoda Corp. 1,037,875 1,082,180
Shan-Loong Transportation Co., Ltd. 66,000 56,721
Sheng Yu Steel Co., Ltd. 1,935,000 1,449,359
ShenMao Technology, Inc. 1,255,000 1,678,670
Shih Her Technologies, Inc. 373,000 889,807
Shih Wei Navigation Co., Ltd. 2,487,718 1,674,337
#Shihlin Electric & Engineering Corp. 4,426,000 5,350,493
#Shin Kong Financial Holding Co., Ltd. 139,399,755 42,222,325
#Shin Zu Shing Co., Ltd. 810,000 2,198,843
#Shinkong Insurance Co., Ltd. 3,610,412 2,806,960
Shinkong Synthetic Fibers Corp. 27,670,754 8,908,979
#Shuttle, Inc. 4,316,015 1,690,165
#Sigurd Microelectronics Corp. 6,663,047 6,634,041
#*Silicon Integrated Systems Corp. 10,317,165 2,933,157
#Silitech Technology Corp. 509,000 689,914
Sinbon Electronics Co., Ltd. 1,636,000 2,439,371
Sincere Navigation Corp. 4,923,740 4,288,022
#Singatron Enterprise Co., Ltd. 63,000 33,030
*Sinkang Industries Co., Ltd. 699,557 276,130
#*Sino-American Silicon Products, Inc. 6,910,000 11,594,486
#Sinon Corp. 6,282,877 3,672,825
SinoPac Financial Holdings Co., Ltd. 118,734,614 53,000,736
Sirtec International Co., Ltd. 181,000 329,290
Sitronix Technology Corp. 1,394,000 2,767,505
#*Siward Crystal Technology Co., Ltd. 2,301,875 1,338,961
#Solar Applied Materials Technology Co. 855,000 760,123
#*Solartech Energy Corp. 3,269,165 2,456,703
Solomon Technology Corp. 1,334,671 853,639
#*Solytech Enterprise Corp. 3,043,000 1,028,626
Southeast Cement Co., Ltd. 3,539,700 1,878,018
Spirox Corp. 946,661 454,358
#Stark Technology, Inc. 2,259,200 2,174,714
Sunonwealth Electric Machine Industry Co., Ltd. 567,421 438,401
#*Sunplus Technology Co., Ltd. 8,214,620 3,121,638
#Sunrex Technology Corp. 1,158,000 516,931
#Super Dragon Technology Co., Ltd. 155,175 105,986
#Supreme Electronics Co., Ltd. 3,705,277 2,032,363
#Sweeten Construction Co., Ltd. 1,258,501 820,082
#Sysage Technology Co., Ltd. 178,500 215,151
Systex Corp. 801,801 1,587,672
#T-Mac Techvest PCB Co., Ltd. 996,000 742,060
TA Chen Stainless Pipe 8,424,281 4,691,530
*Ta Chong Bank, Ltd. 28,713,769 9,567,739
Ta Ya Electric Wire & Cable 8,979,329 2,190,585
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- -----------
TAIWAN -- (Continued)
#TA-I Technology Co., Ltd. 1,782,233 $ 983,423
#Tah Hsin Industrial Co., Ltd. 1,700,000 1,617,526
TAI Roun Products Co., Ltd. 63,000 21,191
Taichung Commercial Bank 30,459,178 10,147,777
#Tainan Enterprises Co., Ltd. 1,985,183 2,101,321
#Tainan Spinning Co., Ltd. 17,901,938 12,044,496
Taishin Financial Holding Co., Ltd. 124,375,804 56,491,381
#*Taisun Enterprise Co., Ltd. 3,464,410 1,468,716
#*Taita Chemical Co., Ltd. 3,554,864 1,196,272
*Taiwan Business Bank 57,772,510 16,856,835
#Taiwan Calsonic Co., Ltd. 48,000 42,999
Taiwan Cement Corp. 45,081,440 71,631,573
Taiwan Cogeneration Corp. 4,188,333 2,781,344
Taiwan Cooperative Financial Holding Co., Ltd. 90,086,827 47,923,245
Taiwan Fertilizer Co., Ltd. 2,273,000 4,523,211
Taiwan Fire & Marine Insurance Co. 1,197,000 930,720
*Taiwan Flourescent Lamp Co., Ltd. 756,000 --
Taiwan FU Hsing Industrial Co., Ltd. 2,128,000 2,192,327
Taiwan Glass Industry Corp. 9,558,710 8,750,925
#Taiwan Hopax Chemicals Manufacturing Co., Ltd. 1,508,000 1,222,277
*Taiwan Kolin Co., Ltd. 5,797,000 --
#*Taiwan Land Development Corp. 12,050,739 4,434,052
*Taiwan Life Insurance Co., Ltd. 788,419 606,616
Taiwan Mask Corp. 3,154,250 1,076,378
Taiwan Navigation Co., Ltd. 1,151,000 846,847
Taiwan Paiho, Ltd. 1,963,549 2,581,351
#Taiwan PCB Techvest Co., Ltd. 1,847,946 2,630,290
#Taiwan Prosperity Chemical Corp. 532,000 520,624
*Taiwan Pulp & Paper Corp. 7,065,660 2,657,541
#Taiwan Sakura Corp. 2,890,472 2,074,978
#Taiwan Semiconductor Co., Ltd. 2,741,000 3,025,147
*Taiwan Styrene Monomer 3,560,045 2,002,897
Taiwan Surface Mounting Technology Co., Ltd. 1,520,600 2,274,018
#*Taiwan TEA Corp. 12,332,092 7,648,798
#Taiwan Union Technology Corp. 3,225,000 3,151,662
#Taiyen Biotech Co., Ltd. 2,363,217 2,012,144
*Tatung Co., Ltd. 37,255,342 11,806,257
Te Chang Construction Co., Ltd. 45,000 45,356
Teco Electric and Machinery Co., Ltd. 32,704,725 35,565,058
*Tecom Co., Ltd. 703,753 72,473
#*Tekcore Co., Ltd. 399,000 188,168
Test-Rite International Co., Ltd. 706,266 507,156
#Tex-Ray Industrial Co., Ltd. 407,000 181,002
#ThaiLin Semiconductor Corp. 1,139,000 791,029
#Thinking Electronic Industrial Co., Ltd. 1,490,000 2,472,367
Ton Yi Industrial Corp. 6,511,600 6,937,946
Tong Yang Industry Co., Ltd. 5,716,228 8,204,144
Tong-Tai Machine & Tool Co., Ltd. 3,193,368 3,234,360
Topco Scientific Co., Ltd. 705,480 1,317,762
#Topoint Technology Co., Ltd. 2,564,288 1,841,504
#Transasia Airways Corp. 768,000 298,867
Tripod Technology Corp. 1,159,000 2,284,445
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- -------------
TAIWAN -- (Continued)
#Tung Ho Steel Enterprise Corp. 12,119,274 $ 10,344,278
#Tung Ho Textile Co., Ltd. 2,542,000 817,426
#TXC Corp. 289,000 417,567
*TYC Brother Industrial Co., Ltd. 2,525,723 1,603,131
#*Tycoons Group Enterprise 7,782,938 1,379,750
*Tyntek Corp. 5,112,683 1,725,551
TZE Shin International Co., Ltd. 738,483 273,065
#*U-Tech Media Corp. 1,946,799 459,354
Unic Technology Corp. 36,361 14,774
#Unimicron Technology Corp. 24,718,363 21,039,531
#*Union Bank Of Taiwan 11,194,494 3,988,004
#Unitech Computer Co., Ltd. 1,399,739 754,119
*Unitech Printed Circuit Board Corp. 10,230,281 3,990,683
United Integrated Services Co., Ltd. 1,576,000 1,722,457
#United Microelectronics Corp. 214,601,681 93,569,573
Universal Cement Corp. 6,391,551 6,123,258
*Unizyx Holding Corp. 6,190,000 3,436,475
UPC Technology Corp. 12,752,746 5,665,832
#USI Corp. 6,088,691 3,853,734
Ve Wong Corp. 1,594,806 1,220,198
#*Wafer Works Corp. 4,343,000 2,222,003
#Wah Hong Industrial Corp. 294,516 299,468
Wah Lee Industrial Corp. 1,891,000 3,619,714
*Walsin Lihwa Corp. 59,959,412 19,696,675
*Walsin Technology Corp. 10,131,230 3,026,497
#*Walton Advanced Engineering, Inc. 5,170,853 2,146,350
Wan Hai Lines, Ltd. 9,533,000 4,756,980
WAN HWA Enterprise Co. 622,550 303,486
Waterland Financial Holdings Co., Ltd. 30,493,739 9,559,914
#Ways Technical Corp., Ltd. 527,000 827,844
*WEI Chih Steel Industrial Co., Ltd. 1,880,898 299,307
#*Wei Mon Industry Co., Ltd. 7,231,691 2,290,617
#Weikeng Industrial Co., Ltd. 1,617,550 1,273,360
#Well Shin Technology Co., Ltd. 987,080 1,807,129
Weltrend Semiconductor 215,100 198,789
#Wha Yu Industrial Co., Ltd. 494,000 264,871
#Win Semiconductors Corp. 3,300,000 2,950,278
*Winbond Electronics Corp. 53,714,885 16,187,044
#*Wintek Corp. 42,711,507 14,314,985
#Wisdom Marine Lines Co., Ltd. 770,350 926,469
#Wistron Corp. 34,969,332 29,220,510
WPG Holdings, Ltd. 515,092 633,680
WT Microelectronics Co., Ltd. 3,726,096 5,087,809
WUS Printed Circuit Co., Ltd. 5,078,928 2,699,475
Yageo Corp. 24,297,788 11,569,802
*Yang Ming Marine Transport Corp. 24,364,676 9,978,689
#YC Co., Ltd. 4,876,764 3,546,748
YC INOX Co., Ltd. 4,679,667 4,345,612
#YeaShin International Development Co., Ltd. 159,000 111,888
YFY, Inc. 19,060,847 8,403,448
#*Yi Jinn Industrial Co., Ltd. 3,814,189 1,074,871
#*Yieh Phui Enterprise Co., Ltd. 16,798,235 5,193,241
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- --------------
TAIWAN -- (Continued)
#Young Fast Optoelectronics Co., Ltd. 2,546,000 $ 2,477,854
#Youngtek Electronics Corp. 213,000 452,204
Yuanta Financial Holding Co., Ltd. 140,084,654 69,928,048
#Yulon Motor Co., Ltd. 13,942,572 21,696,305
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 359,687 953,829
#Zenitron Corp. 3,202,000 1,893,669
#*Zig Sheng Industrial Co., Ltd. 8,536,352 2,604,874
Zinwell Corp. 1,931,000 1,986,074
--------------
TOTAL TAIWAN 2,816,819,326
--------------
THAILAND -- (2.8%)
AAPICO Hitech PCL 681,760 309,699
*AJ Plast PCL 2,076,900 638,602
AP Thailand PCL 22,884,300 4,030,918
Asia Plus Securities PCL 11,510,900 1,244,998
Bangchak Petroleum PCL (The) 10,134,500 10,021,755
Bangkok Bank PCL(6077019) 2,898,400 16,928,232
Bangkok Bank PCL(6368360) 8,550,300 49,806,290
Bangkok Expressway PCL 5,564,000 5,888,968
Bangkok Insurance PCL 212,828 2,269,025
Bangkok Land PCL 120,207,503 6,054,951
Banpu PCL 18,687,700 17,324,815
Cal-Comp Electronics Thailand PCL 26,643,136 2,124,206
Charoong Thai Wire & Cable PCL 1,255,800 358,966
Delta Electronics Thailand PCL 4,067,600 7,164,808
Eastern Water Resources Development and Management PCL 6,205,600 2,109,444
*Esso Thailand PCL 23,848,000 4,605,995
*G J Steel PCL 537,140,250 995,934
*G Steel PCL 79,804,200 369,921
Hana Microelectronics PCL 5,130,500 5,113,060
ICC International PCL 2,682,700 3,274,618
IRPC PCL 141,662,600 16,109,962
*Italian-Thai Development PCL 5,133,000 583,728
Kang Yong Electric PCL 3,400 29,524
KGI Securities Thailand PCL 19,837,300 1,777,756
Kiatnakin Bank PCL 5,785,100 7,687,247
Krung Thai Bank PCL 78,764,400 44,055,489
Laguna Resorts & Hotels PCL 1,317,700 1,262,321
Lanna Resources PCL 335,400 133,704
LH Financial Group PCL 15,909,050 884,929
MBK PCL 8,632,000 4,054,586
Nation Multimedia Group PCL 3,462,900 147,676
*Padaeng Industry PCL 1,284,300 543,724
Polyplex Thailand PCL 5,460,000 1,678,832
Precious Shipping PCL 6,442,200 5,474,676
Property Perfect PCL 47,004,700 1,365,402
PTT Exploration & Production PCL 1,277,700 6,297,687
PTT Global Chemical PCL 30,386,641 65,496,545
PTT PCL 14,249,300 137,825,430
Quality Houses PCL 47,211,441 4,756,159
*Regional Container Lines PCL 5,634,100 1,096,874
Saha Pathana Inter-Holding PCL 2,906,200 2,002,727
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- ------------
THAILAND -- (Continued)
Saha Pathanapibul PCL 1,594,833 $ 2,032,969
Saha-Union PCL 2,963,700 3,457,345
*Sahaviriya Steel Industries PCL 149,229,740 1,660,158
Sansiri PCL 52,749,700 3,113,471
SC Asset Corp PCL 24,913,125 2,648,367
Siam Future Development PCL 5,753,122 995,596
Siamgas & Petrochemicals PCL 495,200 318,299
Somboon Advance Technology PCL 1,519,200 812,180
Sri Ayudhya Capital PCL 233,300 203,669
Sri Trang Agro-Industry PCL 9,198,000 4,206,749
Srithai Superware PCL 877,600 684,778
*Tata Steel Thailand PCL 39,336,300 948,156
*Thai Airways International PCL 16,383,411 6,581,716
Thai Carbon Black PCL 441,000 364,547
Thai Oil PCL 14,409,100 23,265,620
Thai Rayon PCL 165,000 177,186
Thai Stanley Electric PCL(B01GKK6) 174,600 1,149,252
Thai Stanley Electric PCL(B01GKM8) 43,100 283,693
Thai Wacoal PCL 93,300 142,718
Thanachart Capital PCL 10,803,400 11,601,303
Thitikorn PCL 97,700 30,041
*Thoresen Thai Agencies PCL 10,463,770 6,693,450
Tipco Asphalt PCL 71,900 121,648
Tisco Financial Group PCL 2,168,500 2,663,717
TMB Bank PCL 157,829,800 11,217,816
Total Access Communication PCL 4,949,280 19,118,047
TPI Polene PCL 14,898,724 5,478,826
*Tycoons Worldwide Group Thailand PCL 567,800 48,428
*Vanachai Group PCL 8,446,600 1,044,079
Vinythai PCL 6,598,217 2,181,734
------------
TOTAL THAILAND 557,145,741
------------
TURKEY -- (2.3%)
Adana Cimento Sanayii TAS Class A 1,060,628 2,055,037
#*Adese Alisveris Merkezleri Ticaret A.S. 50,874 419,497
#Akbank TAS 14,433,710 50,672,675
#*Akenerji Elektrik Uretim A.S. 3,731,752 2,286,597
#Akfen Holding A.S. 967,535 2,030,377
Aksa Akrilik Kimya Sanayii 1,735,088 6,051,185
Aksigorta A.S. 1,029,597 1,419,868
Alarko Holding A.S. 1,513,761 3,486,645
Albaraka Turk Katilim Bankasi A.S. 3,617,235 2,871,923
*Anadolu Anonim Tuerk Sigorta Sirketi 4,326,842 2,977,397
#Anadolu Cam Sanayii A.S. 2,447,174 2,196,555
#*Anadolu Isuzu Otomotiv Sanayi Ve Ticaret A.S. 32,613 366,232
#*Asya Katilim Bankasi A.S. 10,427,239 8,048,739
#Aygaz A.S. 1,020,159 4,223,504
*Baticim Bati Anadolu Cimento Sanayii A.S. 317,019 909,714
Bolu Cimento Sanayii A.S. 956,668 1,157,804
#Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 884,604 2,888,747
*Boyner Perakende Ve Tekstil Yatirimlari AS 47,480 1,206,913
Cimsa Cimento Sanayi VE Tica 567,028 3,312,104
Dimensional Emerging Markets Value Fund
continued
Shares Value++
---------- -----------
TURKEY -- (Continued)
#*Deva Holding A.S. 1,233,392 $ 1,036,762
#*Dogan Sirketler Grubu Holding A.S. 16,350,354 5,595,166
#*Dogan Yayin Holding A.S. 1,034,173 250,716
#Eczacibasi Yatirim Holding Ortakligi A.S. 855,876 2,160,536
EGE Seramik Sanayi ve Ticaret A.S. 1,418,706 1,941,538
EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve
Ticaret A.S. 3,862,424 4,233,888
#Eregli Demir ve Celik Fabrikalari TAS 24,473,976 34,054,948
Gentas Genel Metal Sanayi ve Ticaret A.S. 840,440 530,462
Global Yatirim Holding A.S. 4,337,368 2,550,641
Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 45,038 1,177,454
#*GSD Holding 4,585,286 3,267,643
*Gunes Sigorta 413,272 372,832
#*Hurriyet Gazetecilik A.S. 3,447,484 982,728
*Ihlas EV Aletleri 1,280,790 218,894
#*Ihlas Holding A.S. 14,952,395 2,412,034
#*Ipek Dogal Enerji Kaynaklari Ve Uretim A.S. 1,771,050 2,247,314
Is Finansal Kiralama A.S. 2,908,338 1,350,675
Is Yatirim Menkul Degerler A.S. Class A 450,584 264,695
#*Izmir Demir Celik Sanayi A.S. 451,647 613,291
*Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 4,207,672 4,763,743
*Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 2,179,441 3,366,359
*Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 13,524,360 9,714,059
#*Karsan Otomotiv Sanayii Ve Ticaret A.S. 1,952,205 964,425
#KOC Holding A.S. 11,338,412 50,809,393
Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve Ticaret
A.S. 64,678 124,267
#*Koza Anadolu Metal Madencilik Isletmeleri A.S. 1,412,866 1,704,844
*Menderes Tekstil Sanayi ve Ticaret A.S. 370,080 98,517
#*Metro Ticari ve Mali Yatirimlar Holding A.S. 4,790,610 1,502,027
*Petkim Petrokimya Holding A.S. 121,341 173,033
Pinar Entegre Et ve Un Sanayi A.S. 343,247 1,610,369
Pinar SUT Mamulleri Sanayii A.S. 152,635 1,321,087
*Raks Elektronik Sanayi ve Ticaret A.S. 5,859 --
*Sabah Yayincilik 31,938 --
#Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 1,345,000 1,960,528
*Sasa Polyester Sanayi A.S. 2,315,248 1,374,393
*Sekerbank TAS 6,884,288 6,440,812
Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 2,308,839 2,181,408
Soda Sanayii A.S. 2,071,338 3,067,199
*Tat Gida Sanayi A.S. 231,395 237,438
#Tekfen Holding A.S. 1,896,452 4,802,360
#*Tekstil Bankasi A.S. 1,683,023 1,552,208
#Trakya Cam Sanayi A.S. 4,911,588 5,601,994
#Turcas Petrol A.S. 1,122,860 1,372,400
Turk Hava Yollari 8,968,974 28,797,561
Turkiye Is Bankasi 33,315,167 78,789,979
#Turkiye Sinai Kalkinma Bankasi A.S. 7,436,484 6,755,588
#Turkiye Sise ve Cam Fabrikalari A.S. 8,800,210 11,046,492
#Turkiye Vakiflar Bankasi Tao 13,257,545 27,842,389
Ulker Biskuvi Sanayi A.S. 97,284 745,517
*Vestel Beyaz Esya Sanayi ve Ticaret A.S. 1,067,440 1,844,819
*Vestel Elektronik Sanayi ve Ticaret A.S. 1,948,645 1,753,180
#Yapi ve Kredi Bankasi A.S. 14,217,721 29,725,235
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- ---------------
TURKEY -- (Continued)
#*Zorlu Enerji Elektrik Uretim A.S. 2,476,533 $ 1,339,806
---------------
TOTAL TURKEY 457,227,159
---------------
TOTAL COMMON STOCKS 18,056,892,163
---------------
PREFERRED STOCKS -- (3.5%)
BRAZIL -- (3.4%)
Banco ABC Brasil SA 1,100,317 6,439,797
Banco Alfa de Investimento SA 60,126 154,781
Banco Daycoval SA 645,148 2,604,028
Banco do Estado do Rio Grande do Sul SA Class B 1,016,568 5,703,449
Banco Industrial e Comercial SA 1,675,900 6,005,355
*Banco Panamericano SA 960,448 1,598,054
Banco Pine SA 429,230 1,401,410
Banco Sofisa SA 598,400 782,301
Braskem SA Class A 1,307,833 8,927,108
Cia Ferro Ligas da Bahia - Ferbasa 920,734 5,244,230
Eucatex SA Industria e Comercio 314,488 754,574
Financeira Alfa SA Credito Financiamento e Investimentos 33,900 60,662
Forjas Taurus SA 1,144,290 533,720
Gerdau SA 6,169,399 36,992,876
*Inepar SA Industria e Construcoes 610,411 145,092
Parana Banco SA 120,800 571,562
Petroleo Brasileiro SA 18,238,804 135,538,505
#Petroleo Brasileiro SA Sponsored ADR 21,196,251 313,704,515
Suzano Papel e Celulose SA Class A 6,234,709 20,327,989
Unipar Carbocloro SA Class B 9,258,736 1,910,088
*Usinas Siderurgicas de Minas Gerais SA Class A 10,222,271 39,976,770
Vale SA 6,212,932 73,616,174
Vale SA Sponsored ADR 1,631,601 19,367,104
Whirlpool SA 34,800 62,116
---------------
TOTAL BRAZIL 682,422,260
---------------
COLOMBIA -- (0.1%)
Grupo de Inversiones Suramericana SA 797,728 15,735,620
---------------
TOTAL PREFERRED STOCKS 698,157,880
---------------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
*Klabin SA Rights 05/23/14 97,653 4,380
---------------
CHILE -- (0.0%)
*Invexans SA Rights 06/30/14 129,794,707 --
---------------
HONG KONG -- (0.0%)
*Fosun International, Ltd. Rights 05/12/14 1,146,268 5,766
---------------
MALAYSIA -- (0.0%)
*BIMB Holdings Bhd Warrants 12/04/23 454,345 86,959
*Malaysian Resources Corp. Bhd Warrants 09/16/18 -- --
Dimensional Emerging Markets Value Fund
continued
Shares Value++
----------- ---------------
MALAYSIA -- (Continued)
*Symphony Life Bhd Warrants 11/11/20 1 $ --
---------------
TOTAL MALAYSIA 86,959
---------------
PHILIPPINES -- (0.0%)
*China Banking Corp. Rights 05/07/14 45,752 5,696
---------------
SOUTH KOREA -- (0.0%)
*GS Engineering & Construction Corp. Rights 06/03/14 166,526 1,402,084
*STS Semiconductor & Telecommunications Rights 05/23/14 26,059 16,771
---------------
TOTAL SOUTH KOREA 1,418,855
---------------
TAIWAN -- (0.0%)
*Mercuries Life Insurance Co. Rights 06/17/14 16,293 54
*YeaShin International Development Co., Ltd. Rights 05/13/14 1,191 28
---------------
TOTAL TAIWAN 82
---------------
THAILAND -- (0.0%)
*Lanna Resources PCL Rights 06/30/14 67,080 622
*LH Financial Group Rights 05/26/14 530,302 13,110
*Thoresen Thai Agencies PCL Warrant 02/28/17 588,041 109,031
---------------
TOTAL THAILAND 122,763
---------------
TOTAL RIGHTS/WARRANTS 1,644,501
---------------
Shares/
Face
Amount
(000) Value+
----------- ---------------
SECURITIES LENDING COLLATERAL -- (6.7%)
(S)@ DFA Short Term Investment Fund 116,161,904 1,343,993,228
---------------
TOTAL INVESTMENTS -- (100.0%) (Cost $20,065,502,363) $20,100,687,772
===============
Dimensional Emerging Markets Value Fund
continued
Summary of the Fund's investments as of April 30, 2014, 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 $1,176,151,486 -- -- $ 1,176,151,486
Chile 277,061,131 -- -- 277,061,131
China 239,991,379 $ 2,557,332,752 -- 2,797,324,131
Colombia 22,287,355 -- -- 22,287,355
Czech Republic -- 37,080,820 -- 37,080,820
Greece -- 29,719,693 -- 29,719,693
Hungary -- 88,419,863 -- 88,419,863
India 167,750,251 1,293,737,176 -- 1,461,487,427
Indonesia 6,576,577 525,004,663 -- 531,581,240
Israel -- 179,391 -- 179,391
Malaysia -- 774,185,098 -- 774,185,098
Mexico 1,338,336,304 637,441 -- 1,338,973,745
Philippines -- 211,231,050 -- 211,231,050
Poland -- 385,585,136 -- 385,585,136
Russia 921,795 732,260,519 -- 733,182,314
South Africa 202,757,635 1,289,535,864 -- 1,492,293,499
South Korea 352,323,627 2,516,632,931 -- 2,868,956,558
Taiwan 35,847,620 2,780,971,706 -- 2,816,819,326
Thailand 555,779,886 1,365,855 -- 557,145,741
Turkey -- 457,227,159 -- 457,227,159
Preferred Stocks
Brazil 682,422,260 -- -- 682,422,260
Colombia 15,735,620 -- -- 15,735,620
Rights/Warrants
Brazil -- 4,380 -- 4,380
Chile -- -- -- --
Hong Kong -- 5,766 -- 5,766
Malaysia -- 86,959 -- 86,959
Philippines -- 5,696 -- 5,696
South Korea -- 1,418,855 -- 1,418,855
Taiwan 82 -- -- 82
Thailand -- 122,763 -- 122,763
Securities Lending Collateral -- 1,343,993,228 -- 1,343,993,228
-------------- --------------- -- ---------------
TOTAL $5,073,943,008 $15,026,744,764 -- $20,100,687,772
============== =============== == ===============
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this
Form N-CSR (the "Report"), the Registrant's Principal Executive
Officer and Principal Financial Officer believe that the disclosure
controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended) are effectively designed
to ensure that information required to be disclosed by the Registrant
in the Report is recorded, processed, summarized and reported by the
filing date, including ensuring that information required to be
disclosed in the Report is accumulated and communicated to the
Registrant's officers that are making certifications in the Report,
as appropriate, to allow timely decisions regarding required
disclosure. The Registrant's management, including the Principal
Executive Officer and the Principal Financial Officer, recognizes
that any set of controls and procedures, no matter how well designed
and operated, can provide only reasonable assurance of achieving the
desired control objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the second
fiscal quarter of the period covered by this Report that have
materially affected, or are reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) This item is not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Emerging Markets Value Fund
By: /s/ David G. Booth
---------------------------------
David G. Booth
Chairman, Trustee, President and
Co-Chief Executive Officer
Date: July 1, 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 Emerging Markets Value Fund
Date: July 1, 2014
By: /s/ David R. Martin
---------------------------------------
David R. Martin
Principal Financial Officer
Dimensional Emerging Markets Value Fund
Date: July 1, 2014