================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6067
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DIMENSIONAL INVESTMENT GROUP INC.
(Exact name of registrant as specified in charter)
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6300 Bee Cave Road, Building One, Austin, TX 78746
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
Dimensional Investment Group Inc.,
6300 Bee Cave Road, Building One, Austin, TX 78746
(Name and address of agent for service)
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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
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2014 (Unaudited)
Dimensional Investment Group Inc.
LWAS/DFA U.S. High Book to Market Portfolio
LWAS/DFA Two-Year Fixed Income Portfolio
LWAS/DFA Two-Year Government Portfolio
DFA Investment Dimensions Group Inc.
LWAS/DFA International High Book to Market Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 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
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes.................................................. 1
Dimensional Investment Group Inc.
Disclosure of Fund Expenses.............................................................. 2
Disclosure of Portfolio Holdings......................................................... 4
Schedules of Investments
LWAS/DFA U.S. High Book to Market Portfolio.......................................... 5
LWAS/DFA Two-Year Fixed Income Portfolio............................................. 6
LWAS/DFA Two-Year Government Portfolio............................................... 8
Statements of Assets and Liabilities..................................................... 9
Statements of Operations................................................................. 11
Statements of Changes in Net Assets...................................................... 12
Financial Highlights..................................................................... 13
Notes to Financial Statements............................................................ 15
DFA Investment Dimensions Group Inc. - LWAS/DFA International High Book to Market Portfolio
Disclosure of Fund Expenses.............................................................. 22
Disclosure of Portfolio Holdings......................................................... 23
Schedule of Investments.................................................................. 24
Statement of Assets and Liabilities...................................................... 25
Statement of Operations.................................................................. 26
Statements of Changes in Net Assets...................................................... 27
Financial Highlights..................................................................... 28
Notes to Financial Statements............................................................ 29
The DFA Investment Trust Company
Disclosure of Fund Expenses.............................................................. 33
Disclosure of Portfolio Holdings......................................................... 34
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series...................................................... 35
The DFA International Value Series................................................... 38
Statements of Assets and Liabilities..................................................... 42
Statements of Operations................................................................. 43
Statements of Changes in Net Assets...................................................... 44
Financial Highlights..................................................................... 45
Notes to Financial Statements............................................................ 46
Voting Proxies on Fund Portfolio Securities................................................. 53
Board Approval of Investment Advisory Agreements............................................ 54
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do not represent more than 1.0% of
the net assets of the Fund. Some of the individual securities within this category may include Total or
Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(r) The adjustable rate shown is effective as of April 30, 2014.
(S) Affiliated Fund.
Financial Highlights
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
(C) Non-Annualized
(D) Annualized
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2014
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA U.S. High Book to Market Portfolio**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,093.00 0.34% $1.76
Hypothetical 5% Annual Return................. $1,000.00 $1,023.11 0.34% $1.71
LWAS/DFA Two-Year Fixed Income Portfolio
----------------------------------------
Actual Fund Return............................ $1,000.00 $1,002.20 0.28% $1.39
Hypothetical 5% Annual Return................. $1,000.00 $1,023.41 0.28% $1.40
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*
--------- --------- ---------- --------
LWAS/DFA Two-Year Government Portfolio
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,001.30 0.27% $1.34
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.46 0.27% $1.35
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 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.
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
-----------------------------
LWAS/DFA U.S. High Book to Market Portfolio. 100.0%
FIXED INCOME PORTFOLIOS
LWAS/DFA Two-Year Fixed Income Portfolio
Corporate.................................... 6.9%
Government................................... 37.6%
Foreign Corporate............................ 20.6%
Foreign Government........................... 23.8%
Supranational................................ 11.1%
-----
100.0%
LWAS/DFA Two-Year Government Portfolio
Government................................... 100.0%
-----
100.0%
4
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Value+
-----------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $69,318,953
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$33,485,019)........................................... $69,318,953
===========
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.
5
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Face
Amount Value+
------ ------
(000)
AGENCY OBLIGATIONS -- (11.9%)
Federal Home Loan Mortgage Corporation
1.750%, 09/10/15............................. $3,900 $ 3,981,089
Federal National Mortgage Association
0.500%, 09/28/15............................. 500 501,735
4.375%, 10/15/15............................. 3,500 3,708,757
1.625%, 10/26/15............................. 3,500 3,572,646
-----------
TOTAL AGENCY OBLIGATIONS.......................... 11,764,227
-----------
BONDS -- (61.9%)
Agence Francaise de Developpement
1.250%, 06/09/14............................. 2,000 2,001,872
Asian Development Bank
0.500%, 08/17/15............................. 1,000 1,002,920
Australia & New Zealand Banking Group, Ltd.
3.700%, 01/13/15............................. 1,500 1,535,350
0.900%, 02/12/16............................. 500 502,773
Bank Nederlandse Gemeenten
3.125%, 01/12/15............................. 500 509,802
1.375%, 03/23/15............................. 1,000 1,009,690
2.750%, 07/01/15............................. 500 514,017
2.500%, 01/11/16............................. 600 620,700
Bank of New York Mellon Corp. (The)
3.100%, 01/15/15............................. 700 713,908
2.950%, 06/18/15............................. 1,000 1,028,174
Bank of Nova Scotia Floating Rate Note
(r) 0.575%, 08/01/14............................. 2,000 2,001,958
British Columbia, Province of Canada
2.850%, 06/15/15............................. 2,000 2,057,850
Commonwealth Bank of Australia
3.750%, 10/15/14............................. 1,500 1,522,507
3.500%, 03/19/15............................. 300 308,372
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA
1.875%, 12/15/14............................. 2,000 2,018,940
2.125%, 10/13/15............................. 500 511,678
Council Of Europe Development Bank
2.750%, 02/10/15............................. 900 917,258
2.625%, 02/16/16............................. 1,000 1,038,861
1.375%, 03/22/16............................. 600 610,062
Development Bank of Japan, Inc.
2.875%, 04/20/15............................. 500 512,266
EUROFIMA
4.500%, 03/06/15............................. 1,000 1,035,108
European Bank for Reconstruction & Development
2.500%, 03/15/16............................. 1,000 1,037,455
European Investment Bank
4.875%, 02/16/16............................. 2,000 2,157,802
FMS Wertmanagement AoeR
0.625%, 04/18/16............................. 500 501,171
Face
Amount Value+
------ ------
(000)
General Electric Capital Corp.
1.000%, 01/08/16............................. $2,500 $ 2,516,875
International Bank for Reconstruction &
Development
2.125%, 03/15/16............................. 2,000 2,063,710
KFW
1.250%, 10/26/15............................. 2,000 2,026,516
Kommunalbanken A.S.
1.000%, 02/09/15............................. 500 502,920
2.750%, 05/05/15............................. 400 409,916
2.375%, 01/19/16............................. 1,700 1,756,369
Kommunekredit
0.750%, 09/02/14............................. 1,000 1,001,640
Manitoba, Province of Canada
2.625%, 07/15/15............................. 1,200 1,233,466
National Australia Bank, Ltd.
2.000%, 03/09/15............................. 2,000 2,027,764
1.600%, 08/07/15............................. 500 507,226
Nederlandse Waterschapsbank NV
0.750%, 03/29/16............................. 2,000 2,008,312
Nordea Bank AB
3.700%, 11/13/14............................. 2,000 2,035,308
Nordic Investment Bank
2.250%, 03/15/16............................. 1,000 1,033,484
Oesterreichische Kontrollbank AG
4.875%, 02/16/16............................. 1,000 1,078,383
Ontario, Province of Canada
4.500%, 02/03/15............................. 800 825,396
2.950%, 02/05/15............................. 1,300 1,326,500
4.750%, 01/19/16............................. 556 596,655
Quebec, Province of Canada
4.600%, 05/26/15............................. 2,000 2,090,680
Royal Bank of Canada
0.800%, 10/30/15............................. 450 452,101
2.625%, 12/15/15............................. 2,000 2,066,328
Svensk Exportkredit AB
0.625%, 09/04/15............................. 800 803,298
Toronto-Dominion Bank (The) Floating Rate Note
(r) 0.416%, 05/01/15............................. 2,250 2,253,562
Toyota Motor Credit Corp.
1.000%, 02/17/15............................. 1,200 1,207,348
2.800%, 01/11/16............................. 1,235 1,281,188
Westpac Banking Corp.
3.000%, 08/04/15............................. 2,000 2,062,224
1.125%, 09/25/15............................. 474 478,396
-----------
TOTAL BONDS....................................... 61,316,059
-----------
U.S. TREASURY OBLIGATIONS -- (25.6%)
U.S. Treasury Notes
0.375%, 11/15/15............................. 1,000 1,002,148
0.250%, 12/15/15............................. 4,300 4,298,486
2.125%, 12/31/15............................. 1,900 1,958,113
0.375%, 01/15/16............................. 4,800 4,806,187
6
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
Face
Amount Value+
------ ------
(000)
2.000%, 01/31/16............................. $2,600 $ 2,676,781
0.375%, 02/15/16............................. 2,000 2,001,718
2.625%, 02/29/16............................. 1,400 1,458,407
0.375%, 03/15/16............................. 3,000 3,000,819
0.375%, 03/31/16............................. 2,200 2,199,914
0.375%, 04/30/16............................. 2,000 1,998,438
-----------
TOTAL U.S. TREASURY OBLIGATIONS.................. 25,401,011
-----------
Shares
------
TEMPORARY CASH INVESTMENTS -- (0.6%)
State Street Institutional Liquid Reserves,
0.074%...................................... 603,644 603,644
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $98,973,590)............................. $99,084,941
===========
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
-------- ----------- ------- -----------
Agency Obligations......... -- $11,764,227 -- $11,764,227
Bonds...................... -- 61,316,059 -- 61,316,059
U.S. Treasury Obligations.. -- 25,401,011 -- 25,401,011
Temporary Cash Investments. $603,644 -- -- 603,644
-------- ----------- -- -----------
TOTAL...................... $603,644 $98,481,297 -- $99,084,941
======== =========== == ===========
See accompanying Notes to Financial Statements.
7
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Face
Amount Value+
------- ------------
(000)
AGENCY OBLIGATIONS -- (23.2%)
Federal Farm Credit Bank
0.500%, 06/23/15................... $ 320 $ 321,398
Federal Home Loan Bank
1.750%, 09/11/15................... 22,705 23,173,677
0.375%, 02/19/16................... 5,900 5,898,655
3.125%, 03/11/16................... 4,485 4,715,919
------------
TOTAL AGENCY OBLIGATIONS............. 34,109,649
------------
U.S. TREASURY OBLIGATIONS -- (76.3%)
U.S. Treasury Notes
1.750%, 07/31/15................... 2,000 2,039,766
4.250%, 08/15/15................... 200 210,531
0.250%, 09/15/15................... 17,600 17,614,432
0.250%, 10/15/15................... 700 700,410
0.375%, 11/15/15................... 31,800 31,868,307
0.250%, 12/15/15................... 15,500 15,494,544
2.625%, 02/29/16................... 15,600 16,250,816
0.250%, 04/15/16................... 27,800 27,720,715
------------
TOTAL U.S. TREASURY OBLIGATIONS...... 111,899,521
------------
Shares
-------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional U.S. Government Money Market Fund. 684,313 684,313
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $146,511,864)......................................... $146,693,483
============
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
-------- ------------ ------- ------------
Agency Obligations......... -- $ 34,109,649 -- $ 34,109,649
U.S. Treasury Obligations.. -- 111,899,521 -- 111,899,521
Temporary Cash Investments. $684,313 -- -- 684,313
-------- ------------ -- ------------
TOTAL...................... $684,313 $146,009,170 -- $146,693,483
======== ============ == ============
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company
(Affiliated Investment Company) at Value.............................................. $ 69,319
Prepaid Expenses and Other Assets...................................................... 12
------------
Total Assets...................................................................... 69,331
------------
LIABILITIES:
Payables:
Due to Advisor....................................................................... 1
Accrued Expenses and Other Liabilities................................................. 17
------------
Total Liabilities................................................................. 18
------------
NET ASSETS............................................................................. $ 69,313
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 3,598,645
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 19.26
============
Investment in Affiliated Investment Company at Cost.................................... $ 33,485
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 31,173
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 137
Accumulated Net Realized Gain (Loss)................................................... 2,169
Net Unrealized Appreciation (Depreciation)............................................. 35,834
------------
NET ASSETS............................................................................. $ 69,313
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000
============
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands, except share and per share amounts)
LWAS/DFA LWAS/DFA
Two-Year Two-Year
Fixed Income Government
Portfolio Portfolio
------------ ------------
ASSETS:
Investments at Value................................................................... $ 98,481 $ 146,009
Temporary Cash Investments at Value & Cost............................................. 604 684
Receivables:
Interest............................................................................. 450 237
Prepaid Expenses and Other Assets...................................................... 12 13
------------ ------------
Total Assets...................................................................... 99,547 146,943
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................. 14 25
Due to Advisor....................................................................... 12 18
Accrued Expenses and Other Liabilities................................................. 17 25
------------ ------------
Total Liabilities................................................................. 43 68
------------ ------------
NET ASSETS............................................................................. $ 99,504 $ 146,875
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 9,935,238 14,836,477
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 10.02 $ 9.90
============ ============
Investments at Cost.................................................................... $ 98,370 $ 145,828
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 99,301 $ 146,521
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 29 12
Accumulated Net Realized Gain (Loss)................................................... 63 161
Net Unrealized Appreciation (Depreciation)............................................. 111 181
------------ ------------
NET ASSETS............................................................................. $ 99,504 $ 146,875
============ ============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
LWAS/DFA LWAS/DFA
U.S. High Two-Year LWAS/DFA
Book to Fixed Two-Year
Market Income Government
Portfolio* Portfolio Portfolio
---------- --------- ----------
Investment Income
Net Investment Income Allocated from Affiliated Investment Company:
Dividends.............................................................. $ 642 -- --
Income from Securities Lending......................................... 7 -- --
Expenses Allocated from Affiliated Investment Company.................. (37) -- --
------ ---- ----
Total Net Investment Income Received from Affiliated Investment
Company............................................................ 612 -- --
------ ---- ----
Fund Investment Income
Interest............................................................... -- $237 $242
------ ---- ----
Total Investment Income............................................. -- 237 242
------ ---- ----
Fund Expenses
Investment Advisory Services Fees...................................... -- 72 109
Administrative Services Fees........................................... 3 -- --
Accounting & Transfer Agent Fees....................................... 10 5 6
Shareholder Servicing Fees............................................. 51 39 58
Custodian Fees......................................................... -- 1 1
Filing Fees............................................................ 8 9 10
Shareholders' Reports.................................................. 2 3 5
Directors'/Trustees' Fees & Expenses................................... -- 1 1
Professional Fees...................................................... 1 2 4
Other.................................................................. 2 1 1
------ ---- ----
Total Expenses...................................................... 77 133 195
------ ---- ----
Net Investment Income (Loss)........................................... 535 104 47
------ ---- ----
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold........................................... 2,173 71 172
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................................ 3,370 (12) 17
------ ---- ----
Net Realized and Unrealized Gain (Loss)................................ 5,543 59 189
------ ---- ----
Net Increase (Decrease) in Net Assets Resulting from Operations.......... $6,078 $163 $236
====== ==== ====
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
LWAS/DFA U.S. High Book LWAS/DFA Two-Year LWAS/DFA Two-Year
to Market Portfolio Fixed Income Portfolio Government Portfolio
------------------------ -------------------- --------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013 2014 2013
----------- -------- ----------- -------- ----------- --------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................. $ 535 $ 1,142 $ 104 $ 244 $ 47 $ 72
Net Realized Gain (Loss) on:
Investment Securities Sold................. 2,173 6,899 71 116 172 319
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities...................... 3,370 11,517 (12) (101) 17 (95)
------- -------- ------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 6,078 19,558 163 259 236 296
------- -------- ------- -------- -------- --------
Distributions From:
Net Investment Income........................ (436) (1,172) (99) (271) (30) (116)
Net Short-Term Gains......................... -- -- (67) (360) (135) (955)
Net Long-Term Gains.......................... (2,398) -- (48) (44) (180) (29)
------- -------- ------- -------- -------- --------
Total Distributions....................... (2,834) (1,172) (214) (675) (345) (1,100)
------- -------- ------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued................................ 1,730 5,461 9,483 18,639 12,447 28,064
Shares Issued in Lieu of Cash
Distributions............................... 2,834 1,049 214 560 344 805
Shares Redeemed.............................. (5,761) (18,546) (4,868) (13,383) (11,012) (28,133)
------- -------- ------- -------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions....................... (1,197) (12,036) 4,829 5,816 1,779 736
------- -------- ------- -------- -------- --------
Total Increase (Decrease) in Net
Assets................................... 2,047 6,350 4,778 5,400 1,670 (68)
Net Assets
Beginning of Period.......................... 67,266 60,916 94,726 89,326 145,205 145,273
------- -------- ------- -------- -------- --------
End of Period................................ $69,313 $ 67,266 $99,504 $ 94,726 $146,875 $145,205
======= ======== ======= ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued................................ 92 340 947 1,860 1,257 2,835
Shares Issued in Lieu of Cash
Distributions............................... 156 67 21 56 35 81
Shares Redeemed.............................. (305) (1,152) (486) (1,335) (1,113) (2,841)
------- -------- ------- -------- -------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... (57) (745) 482 581 179 75
======= ======== ======= ======== ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)............................ $ 137 $ 38 $ 29 $ 24 $ 12 $ (5)
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA U.S. High Book to Market 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......................... $ 18.40 $ 13.84 $ 11.96 $ 11.52 $ 9.80 $ 9.04
------- ------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.15 0.28 0.25 0.20 0.19 0.18
Net Gains (Losses) on Securities (Realized and Unrealized). 1.51 4.57 1.87 0.44 1.72 0.79
------- ------- ------- ------- ------- -------
Total from Investment Operations.......................... 1.66 4.85 2.12 0.64 1.91 0.97
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.12) (0.29) (0.24) (0.20) (0.19) (0.21)
Net Realized Gains......................................... (0.68) -- -- -- -- --
------- ------- ------- ------- ------- -------
Total Distributions....................................... (0.80) (0.29) (0.24) (0.20) (0.19) (0.21)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 19.26 $ 18.40 $ 13.84 $ 11.96 $ 11.52 $ 9.80
============================================================= =========== ======== ======== ======== ======== ========
Total Return................................................. 9.30%(C) 35.41% 18.01% 5.48% 19.71% 11.61%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $69,313 $67,266 $60,916 $62,759 $67,314 $65,927
Ratio of Expenses to Average Net Assets (B).................. 0.34%(D) 0.34% 0.34% 0.34% 0.35% 0.38%
Ratio of Net Investment Income to Average Net Assets......... 1.59%(D) 1.77% 1.93% 1.56% 1.78% 2.20%
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
LWAS/DFA Two-Year Fixed Income 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................. $ 10.02 $ 10.07 $ 10.10 $ 10.13 $ 10.03 $ 9.84
------- ------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... 0.01 0.03 0.04 0.05 0.08 0.19
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 0.01 -- 0.03 0.03 0.11 0.23
------- ------- ------- ------- ------- -------
Total from Investment Operations.................. 0.02 0.03 0.07 0.08 0.19 0.42
-----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................. (0.01) (0.03) (0.04) (0.06) (0.09) (0.23)
Net Realized Gains................................. (0.01) (0.05) (0.06) (0.05) -- --
------- ------- ------- ------- ------- -------
Total Distributions............................... (0.02) (0.08) (0.10) (0.11) (0.09) (0.23)
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....................... $ 10.02 $ 10.02 $ 10.07 $ 10.10 $ 10.13 $ 10.03
===================================================== =========== ======== ======== ======== ======== ========
Total Return......................................... 0.22%(C) 0.26% 0.75% 0.73% 1.89% 4.31%
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $99,504 $94,726 $89,326 $92,897 $89,264 $77,398
Ratio of Expenses to Average Net Assets.............. 0.28%(D) 0.29% 0.30% 0.30% 0.31% 0.34%
Ratio of Net Investment Income to Average Net Assets. 0.22%(D) 0.27% 0.40% 0.54% 0.82% 1.92%
Portfolio Turnover Rate.............................. 51%(C) 57% 102% 98% 113% 77%
-----------------------------------------------------------------------------------------------------------------
LWAS/DFA Two-Year Government 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................. $ 9.91 $ 9.96 $ 9.98 $ 10.07 $ 10.10 $ 9.80
-------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................... -- 0.01 0.02 0.04 0.07 0.18
Net Gains (Losses) on Securities (Realized and
Unrealized)....................................... 0.01 0.02 0.04 0.02 0.13 0.33
-------- -------- -------- -------- -------- --------
Total from Investment Operations.................. 0.01 0.03 0.06 0.06 0.20 0.51
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.............................. -- (0.01) (0.03) (0.04) (0.08) (0.21)
Net Realized Gains................................. (0.02) (0.07) (0.05) (0.11) (0.15) --
-------- -------- -------- -------- -------- --------
Total Distributions............................... (0.02) (0.08) (0.08) (0.15) (0.23) (0.21)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....................... $ 9.90 $ 9.91 $ 9.96 $ 9.98 $ 10.07 $ 10.10
===================================================== =========== ======== ======== ======== ======== ========
Total Return......................................... 0.13%(C) 0.26% 0.50% 0.66% 1.98% 5.21%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................ $146,875 $145,205 $145,273 $178,442 $173,724 $136,508
Ratio of Expenses to Average Net Assets.............. 0.27%(D) 0.28% 0.28% 0.29% 0.29% 0.31%
Ratio of Net Investment Income to Average Net Assets. 0.06%(D) 0.05% 0.19% 0.41% 0.72% 1.76%
Portfolio Turnover Rate.............................. 78%(C) 160% 111% 127% 166% 112%
---------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, three of which, LWAS/DFA U.S. High Book to Market Portfolio,
LWAS/DFA Two-Year Fixed Income Portfolio and LWAS/DFA Two-Year Government
Portfolio (the "Portfolios"), are presented in this report. The remaining
operational portfolios are presented in separate reports.
LWAS/DFA U.S. High Book to Market Portfolio ("Feeder Fund") primarily
invests its assets in The U.S. Large Cap Value Series (the "Series"), a
corresponding series of The DFA Investment Trust Company. At April 30, 2014,
the Feeder Fund owned 1% of the Series.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by LWAS/DFA Two-Year Fixed Income Portfolio and
LWAS/DFA Two-Year Government Portfolio are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities which are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. Securities for
which quotations are not readily available (including restricted securities),
or for which market quotations have become unreliable, are valued in good faith
at fair value in accordance with procedures adopted by the Board. These
valuations are generally categorized as Level 2 in the hierarchy. Fair value
pricing may also be used if events that have a significant effect on the value
of an investment (as determined in the discretion of the Investment Committee
of Dimensional Fund Advisors LP) occur before the net asset value is
calculated. When fair value pricing is used, the prices of securities used by
the Portfolios may differ from the quoted or published prices for the same
securities on their primary markets or exchanges. These securities are
generally categorized as Level 2 in the hierarchy.
15
The Feeder Fund's investment reflects its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Schedules
of Investments. The inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
For the six months ended April 30, 2014, there were no significant transfers
between Level 1 and Level 2 and no Level 3 investments held by the Portfolios.
2. Deferred Compensation Plan: Each eligible Director/Trustee of the Fund
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of April 30, 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 of net investment
income and realized and unrealized gains/losses of investment securities, on a
daily basis, from its Series, which is treated as a partnership for federal
income tax purposes. Security transactions are accounted for as of the trade
date. Costs used in determining realized gains and losses on the sale of
investment securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities, utilizing
the effective interest method. Expenses directly attributable to a Portfolio
are directly charged. Common expenses of the Fund or Portfolios are allocated
using methods approved by the Board, generally based on average net assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides administrative services
to the Feeder Fund, including supervision of services provided by others,
providing information to shareholders and the Board, and other administrative
services. The Advisor provides investment advisory services to the Portfolios.
The Advisor receives no additional compensation for the investment advisory
services it provides to the Feeder Fund, but is compensated for the investment
advisory services it provides to the Feeder Fund's Master Fund. For the
16
six months ended April 30, 2014, the Portfolios' administrative services fees
or investment advisory services fees were accrued daily and paid monthly to the
Advisor based on the following effective annual rates of average daily net
assets:
Administrative Advisory
Services Fees Services Fees
-------------- -------------
LWAS/DFA U.S. High Book to Market Portfolio. 0.01% --
LWAS/DFA Two-Year Fixed Income Portfolio.... -- 0.15%
LWAS/DFA Two-Year Government Portfolio...... -- 0.15%
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolios pay monthly Shareholder Servicing Fees to LWIF at the
following effective annual rates of their average daily net assets:
Shareholder
Servicing Fees
--------------
LWAS/DFA U.S. High Book to Market Portfolio. 0.15%
LWAS/DFA Two-Year Fixed Income Portfolio.... 0.08%
LWAS/DFA Two-Year Government Portfolio...... 0.08%
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2014, the total
related amounts paid by the Fund to the CCO were $15 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. Deferred Compensation:
At April 30, 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):
LWAS/DFA U.S. High Book to Market Portfolio. $3
LWAS/DFA Two-Year Fixed Income Portfolio.... 4
LWAS/DFA Two-Year Government Portfolio...... 6
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 Securities Other Investment Securities
-------------------------- ---------------------------
Purchases Sales Purchases Sales
--------- -------- --------- -------
LWAS/DFA Two-Year Fixed Income Portfolio. $ 27,879 $ 19,191 $25,202 $28,310
LWAS/DFA Two-Year Government Portfolio... 115,183 112,505 -- --
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
17
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 tax equalization, 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)
--------------- -------------- --------------
LWAS/DFA U.S. High Book to Market Portfolio. $443 $(114) $(329)
LWAS/DFA Two-Year Fixed Income Portfolio.... -- -- --
LWAS/DFA Two-Year Government Portfolio...... -- -- --
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2012 and October 31, 2013 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- ------
LWAS/DFA U.S. High Book to Market Portfolio
2012........................................ $1,185 -- $1,185
2013........................................ 1,172 -- 1,172
LWAS/DFA Two-Year Fixed Income Portfolio
2012........................................ 854 $90 944
2013........................................ 631 44 675
LWAS/DFA Two-Year Government Portfolio
2012........................................ 1,187 -- 1,187
2013........................................ 1,071 29 1,100
At October 31, 2013, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -----
LWAS/DFA U.S. High Book to Market Portfolio. $114 $329 $443
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Unrealized Earnings
Short-Term Long-Term Appreciation Accumulated
Capital Gains Capital Gains (Depreciation) (Losses)
-------------- ------------- -------------- -------------
LWAS/DFA U.S. High Book to Market Portfolio. $ 42 $2,396 $32,462 $34,900
LWAS/DFA Two-Year Fixed Income Portfolio.... 88 46 123 257
LWAS/DFA Two-Year Government Portfolio...... 126 179 164 469
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after
18
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 no capital loss
carryforwards available to offset future realized capital gains. During the
year ended October 31, 2013, the LWAS/DFA U.S. High Book to Market Portfolio
utilized the following capital loss carryforwards to offset realized capital
gains for federal income tax purposes (amounts in thousands):
LWAS/DFA U.S. High Book to Market Portfolio. $4,175
At 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 (amounts in
thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
-------- ------------ -------------- --------------
LWAS/DFA U.S. High Book to Market Portfolio. $ 33,486 $35,833 -- $35,833
LWAS/DFA Two-Year Fixed Income Portfolio.... 98,974 117 $(6) 111
LWAS/DFA Two-Year Government Portfolio...... 146,512 181 -- 181
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Portfolio's
tax 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.
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.
There were no borrowings by the Portfolios under the lines of credit during
the six months ended April 30, 2014.
19
H. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. 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
------------ --------------
LWAS/DFA U.S. High Book to Market Portfolio. 2 95%
LWAS/DFA Two-Year Fixed Income Portfolio.... 3 97%
LWAS/DFA Two-Year Government Portfolio...... 2 93%
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.
20
The U.S. Large Cap Value Series also cannot predict what its size might be
at the time the cost of the Lawsuits might be quantifiable and thus potentially
deducted from its net asset value. Therefore, at this time, those investors
buying or redeeming shares of The U.S. Large Cap Value Series will pay or
receive, as the case may be, a price based on the net asset value of The U.S.
Large Cap Value Series, with no adjustment relating to the Lawsuits. The
attorneys' fees and costs relating to the Lawsuits will be taken as expenses by
The U.S. Large Cap Value Series as incurred and in a manner similar to any
other expense incurred by The U.S. Large Cap Value Series.
J. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
21
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2014
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
LWAS/DFA International High Book to Market Portfolio
----------------------------------------------------
Actual Fund Return................................... $1,000.00 $1,053.20 0.50% $2.55
Hypothetical 5% Annual Return........................ $1,000.00 $1,022.32 0.50% $2.51
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
22
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on March 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 of industry classification for the Affiliated Investment
Company are represented in its Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedule of
Portfolio Holdings for the underlying Affiliated Investment Company's holdings
which reflect the investments by country.
Affiliated Investment Company. 100.0%
23
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET 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.................................. $79,435,206
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$63,154,597)........................................... $79,435,206
===========
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.
24
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(Affiliated Investment Company) at Value.............................................. $ 79,435
Prepaid Expenses and Other Assets...................................................... 12
------------
Total Assets...................................................................... 79,447
------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................. 5
Due to Advisor....................................................................... 1
Accrued Expenses and Other Liabilities................................................. 22
------------
Total Liabilities................................................................. 28
------------
NET ASSETS............................................................................. $ 79,419
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 8,492,576
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 9.35
============
Investment in Affiliated Investment Company at Cost.................................... $ 63,155
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 61,355
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 663
Accumulated Net Realized Gain (Loss)................................................... 1,111
Net Unrealized Foreign Exchange Gain (Loss)............................................ 10
Net Unrealized Appreciation (Depreciation)............................................. 16,280
------------
NET ASSETS............................................................................. $ 79,419
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 200,000,000
============
See accompanying Notes to Financial Statements.
25
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO*
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
Investment Income
Dividends (Net of Foreign Taxes Withheld of $97).............. $2,291
Income from Securities Lending................................ 47
Expenses Allocated from Affiliated Investment Company......... (83)
------
Total Investment Income.................................... 2,255
------
Expenses
Administrative Services Fees.................................. 4
Accounting & Transfer Agent Fees.............................. 12
Shareholder Servicing Fees.................................... 73
Filing Fees................................................... 14
Shareholders' Reports......................................... 3
Directors'/Trustees' Fees & Expenses.......................... 1
Professional Fees............................................. 1
Other......................................................... 1
------
Total Expenses............................................. 109
------
Net Investment Income (Loss).................................. 2,146
------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................. 1,131
Foreign Currency Transactions............................... 3
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 758
------
Net Realized and Unrealized Gain (Loss)....................... 1,892
------
Net Increase (Decrease) in Net Assets Resulting from Operations. $4,038
======
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
26
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Six Months Year
Ended Ended
April 30, Oct. 31,
2014 2013
- ----------- --------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)......................................................... $ 2,146 $ 2,079
Net Realized Gain (Loss) on:
Investment Securities Sold......................................................... 1,131 3,625
Futures............................................................................ -- (14)
Foreign Currency Transactions...................................................... 3 (20)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................................... 758 11,905
Translation of Foreign Currency Denominated Amounts................................ -- 6
------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations................... 4,038 17,581
------- --------
Distributions From:
Net Investment Income................................................................ (1,547) (2,242)
Net Short-Term Gains................................................................. (145) --
Net Long-Term Gains.................................................................. (3,304) (4,494)
------- --------
Total Distributions............................................................... (4,996) (6,736)
------- --------
Capital Share Transactions (1):
Shares Issued........................................................................ 2,753 7,334
Shares Issued in Lieu of Cash Distributions.......................................... 4,995 5,799
Shares Redeemed...................................................................... (5,272) (12,977)
------- --------
Net Increase (Decrease) from Capital Share Transactions........................... 2,476 156
------- --------
Total Increase (Decrease) in Net Assets........................................... 1,518 11,001
Net Assets
Beginning of Period.................................................................. 77,901 66,900
------- --------
End of Period........................................................................ $79,419 $ 77,901
======= ========
(1) Shares Issued and Redeemed:
Shares Issued........................................................................ 299 869
Shares Issued in Lieu of Cash Distributions.......................................... 562 723
Shares Redeemed...................................................................... (569) (1,527)
------- --------
Net Increase (Decrease) from Shares Issued and Redeemed........................... 292 65
======= ========
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 663 $ 64
See accompanying Notes to Financial Statements.
27
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Six Months Year Year Year Year 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......................... $ 9.50 $ 8.22 $ 8.68 $ 10.38 $ 9.66 $ 11.40
------- ------- ------- ------- ------- -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.26 0.25 0.28 0.32 0.22 0.25
Net Gains (Losses) on Securities (Realized and Unrealized). 0.21 1.87 (0.10) (1.09) 0.79 2.14
------- ------- ------- ------- ------- -------
Total from Investment Operations.......................... 0.47 2.12 0.18 (0.77) 1.01 2.39
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.19) (0.27) (0.28) (0.31) (0.23) (0.27)
Net Realized Gains......................................... (0.43) (0.57) (0.36) (0.62) (0.06) (3.86)
------- ------- ------- ------- ------- -------
Total Distributions....................................... (0.62) (0.84) (0.64) (0.93) (0.29) (4.13)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 9.35 $ 9.50 $ 8.22 $ 8.68 $ 10.38 $ 9.66
============================================================= =========== ======== ======== ======== ======== ========
Total Return................................................. 5.32%(C) 27.91% 2.89% (8.30)% 10.85% 34.92%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $79,419 $77,901 $66,900 $72,856 $85,892 $85,504
Ratio of Expenses to Average Net Assets (B).................. 0.50%(D) 0.49% 0.50% 0.49% 0.50% 0.52%
Ratio of Net Investment Income to Average Net Assets......... 5.61%(D) 2.91% 3.49% 3.24% 2.29% 2.99%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
28
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of seventy-seven operational
portfolios, one of which, LWAS/DFA International High Book to Market Portfolio
(the "Portfolio"), is presented in this report. The remaining operational
portfolios are presented in separate reports.
The Portfolio primarily invests its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At April 30, 2014, the Portfolio owned 1% of the Series.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolio utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investments reflect its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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
29
included in Directors'/Trustees' Fees & Expenses. 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 in the amount of $3 (in thousands).
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of April 30, 2014, none of the
Directors/Trustees have requested or received a distribution of proceeds of a
deferred fee account.
3. Other: The Portfolio recognizes its pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Distributions received on
securities that represent a return of capital or capital gains are recorded as
a reduction of cost of investments or as a realized gain, respectively.
Expenses directly attributable to the Portfolio are directly charged. Common
expenses of the Fund or its Portfolios are allocated using methods approved by
the Board, generally based on average net assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides administrative services
to the Portfolio, including supervision of services provided by others,
providing information to shareholders and the Board, and other administrative
services. The Advisor provides investment advisory services to the Series. For
the six months ended April 30, 2014, the Portfolio's administrative services
fees were accrued daily and paid monthly to the Advisor based on an effective
annual rate of 0.01% of average daily net assets.
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolio pays a monthly Shareholder Servicing Fee to LWIF an
effective annual rate of 0.19% of its average daily net assets.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the 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.
D. Federal Income Taxes:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2013, primarily
30
attributable to net foreign currency gains (losses) and gains on securities
considered to be "passive foreign investment companies", tax equalization and
foreign capital gains tax were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
LWAS/DFA International High Book to Market Portfolio. $257 $(109) $(148)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2012 and October 31, 2013 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- ------
LWAS/DFA International High Book to Market Portfolio
2012................................................. $2,327 $2,965 $5,292
2013................................................. 2,242 4,494 6,736
At October 31, 2013, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -----
LWAS/DFA International High Book to Market Portfolio. $101 $156 $257
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Unrealized Earnings
Short-Term Long-Term Appreciation (Accumulated
Capital Gains Capital Gains (Depreciation) Losses)
-------------- ------------- -------------- -------------
LWAS/DFA International High Book to Market
Portfolio................................ $266 $3,297 $15,465 $19,028
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolio after October 31, 2011 will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2013, the
Portfolio had no capital loss carryforwards available to offset future realized
capital gains.
During the year ended October 31, 2013, the Portfolio did not utilize
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 (amounts in
thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
-------- ------------ -------------- --------------
LWAS/DFA International High Book to Market Portfolio. $63,222 $16,213 -- $16,213
31
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 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.
E. 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.
F. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
G. Other:
At April 30, 2014, two shareholders held approximately 96% of outstanding
shares of the Portfolio. One or more of the shareholders may be omnibus
accounts, which typically hold shares for the benefit of several other
underlying investors.
H. 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.
32
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
----------
* 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.
33
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%
34
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%
35
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
Thermo Fisher Scientific, Inc...................... 1,947,634 $ 222,030,276 1.3%
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%
=============== ======
36
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.
37
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%
------------ -----
38
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%
39
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%
=============== ======
40
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.
41
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
The U.S. The DFA
Large Cap International
Value Series Value Series*
------------ -------------
ASSETS:
Investments at Value (including $432,843 and $922,064 of securities on loan, respectively). $16,668,644 $ 9,480,370
Temporary Cash Investments at Value & Cost................................................. 69,498 --
Collateral from Securities on Loan Invested in Affiliate at Value & Cost................... 441,535 955,113
Foreign Currencies at Value................................................................ -- 34,442
Cash....................................................................................... -- 12,095
Receivables:
Investment Securities Sold............................................................... 22,131 8,683
Dividends, Interest and Tax Reclaims..................................................... 14,957 38,974
Securities Lending Income................................................................ 265 2,482
Unrealized Gain on Foreign Currency Contracts.............................................. -- 8
----------- -----------
Total Assets.......................................................................... 17,217,030 10,532,167
----------- -----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................................................... 441,535 955,113
Investment Securities Purchased.......................................................... 61,418 36,644
Due to Advisor........................................................................... 1,360 1,541
Unrealized Loss on Foreign Currency Contracts.............................................. -- 10
Accrued Expenses and Other Liabilities..................................................... 779 474
----------- -----------
Total Liabilities..................................................................... 505,092 993,782
----------- -----------
NET ASSETS................................................................................. $16,711,938 $ 9,538,385
=========== ===========
Investments at Cost........................................................................ $10,414,840 $ 7,650,003
=========== ===========
Foreign Currencies at Cost................................................................. $ -- $ 34,284
=========== ===========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
42
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
The U.S. The DFA
Large Cap International
Value Series Value Series
------------ -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0 and $11,473, respectively). $ 148,837 $270,261
Interest.................................................................. 3 1
Income from Securities Lending............................................ 1,553 5,549
---------- --------
Total Investment Income................................................ 150,393 275,811
---------- --------
Expenses
Investment Advisory Services Fees......................................... 7,825 8,965
Accounting & Transfer Agent Fees.......................................... 403 236
Custodian Fees............................................................ 75 362
Shareholders' Reports..................................................... 9 5
Directors'/Trustees' Fees & Expenses...................................... 99 59
Professional Fees......................................................... 172 101
Other..................................................................... 36 47
---------- --------
Total Expenses......................................................... 8,619 9,775
---------- --------
Fees Paid Indirectly...................................................... -- (5)
---------- --------
Net Expenses.............................................................. 8,619 9,770
---------- --------
Net Investment Income (Loss).............................................. 141,774 266,041
---------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold*............................................. 366,497 124,552
Foreign Currency Transactions........................................... -- 335
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................. 907,355 101,142
Translation of Foreign Currency Denominated Amounts..................... -- 66
---------- --------
Net Realized and Unrealized Gain (Loss)................................... 1,273,852 226,095
---------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations............. $1,415,626 $492,136
========== ========
----------
* Net of foreign capital gain taxes withheld of $0 and $7, respectively.
See accompanying Notes to Financial Statements.
43
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap Value The DFA International Value
Series Series
------------------------ --------------------------
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)................................ $ 141,774 $ 250,494 $ 266,041 $ 252,489
Net Realized Gain (Loss) on:
Investment Securities Sold*............................... 366,497 1,042,669 124,552 394,216
Futures................................................... -- -- -- (1,587)
Foreign Currency Transactions............................. -- -- 335 (2,158)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 907,355 2,531,751 101,142 1,329,657
Translation of Foreign Currency Denominated Amounts....... -- -- 66 544
----------- ----------- ---------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 1,415,626 3,824,914 492,136 1,973,161
----------- ----------- ---------- -----------
Transactions in Interest:
Contributions............................................... 825,366 1,639,135 469,662 1,055,913
Withdrawals................................................. (368,042) (1,214,213) (215,543) (1,475,193)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Transactions in Interest.... 457,324 424,922 254,119 (419,280)
----------- ----------- ---------- -----------
Total Increase (Decrease) in Net Assets.................. 1,872,950 4,249,836 746,255 1,553,881
Net Assets
Beginning of Period......................................... 14,838,988 10,589,152 8,792,130 7,238,249
----------- ----------- ---------- -----------
End of Period............................................... $16,711,938 $14,838,988 $9,538,385 $ 8,792,130
=========== =========== ========== ===========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $7 and $3, respectively.
See accompanying Notes to Financial Statements.
44
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series
---------------------------------------------------------------------------- --------------
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)
Total Return...................... 9.45%(C) 35.68% 18.31% 5.69% 19.96% 11.90% 5.51%(C)
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $16,711,938 $14,838,988 $10,589,152 $9,335,107 $8,816,400 $7,508,400 $9,538,385
Ratio of Expenses to Average Net
Assets........................... 0.11%(D) 0.11% 0.12% 0.12% 0.12% 0.13% 0.22%(D)
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)...................... 0.11%(D) 0.11% 0.12% 0.12% 0.12% 0.13% 0.22%(D)
Ratio of Net Investment Income to
Average Net Assets............... 1.81%(D) 1.98% 2.15% 1.79% 2.02% 2.42% 5.94%(D)
Portfolio Turnover Rate........... 8%(C) 15% 10% 14% 28% 29% 8%(C)
--------------------------------------------------------------------------------------------------------------------------------
The DFA International Value Series
------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-----------------------------------------------------------------------------------------------
Total Return...................... 28.18% 3.17% (8.04)% 11.13% 35.41%
-----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $8,792,130 $7,238,249 $6,955,907 $6,919,633 $6,191,964
Ratio of Expenses to Average Net
Assets........................... 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Expenses to Average Net
Assets (Excluding Fees Paid
Indirectly)...................... 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Net Investment Income to
Average Net Assets............... 3.20% 3.75% 3.47% 2.55% 3.22%
Portfolio Turnover Rate........... 15% 14% 9% 20% 18%
-----------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
45
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, two of which, The U.S. Large Cap Value
Series and The DFA International Value Series (the "Series"), are presented in
this section of the report. The remaining operational portfolios are presented
in separate reports.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices which approximate fair value. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Generally, securities issued by open-end investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors/Trustees. Fair value pricing may also be used if events
that have a significant effect on the value of an investment (as determined in
the discretion of the Investment Committee of Dimensional Fund Advisors LP)
occur before the net asset value is calculated. When fair value pricing is
used, the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(normally, 11:00 p.m. PT, 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 International
46
Series is computed. Due to the time differences between the closings of the
relevant foreign securities exchanges and the time the International Series
prices its shares at the close of the NYSE, the International Series will fair
value its foreign investments when it is determined that the market quotations
for the foreign investments are either unreliable or not readily available. The
fair value prices will attempt to reflect the impact of the U.S. financial
markets' perceptions and trading activities on the International Series foreign
investments since the last closing prices of the foreign investments were
calculated on their primary foreign securities markets or exchanges. For these
purposes, the Board of Directors/Trustees of the International Series has
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable. Fair valuation
of portfolio securities may occur on a daily basis. The fair value pricing by
the International Series utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values
of foreign investments). The fair value prices of portfolio securities
generally will be used when it is determined that the use of such prices will
have a material impact on the net asset value of the International Series. When
the International Series uses fair value pricing, the values assigned to the
International Series foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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
Series.
2. Foreign Currency Translation: Securities and other assets and
liabilities of the International Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. Deferred Compensation Plan: Each eligible Director/Trustee of the Trust
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the
47
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 Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to each Series. For the six months ended April 30, 2014, the
investment advisory services fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.10% and 0.20% of average daily
net assets for The U.S. Large Cap Value Series and The DFA International Value
Series, respectively.
Earned Income Credit:
In addition, the Series entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2014, expenses reduced were as follows (amounts in
thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series. $5
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.
48
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
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
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 Unrealized Unrealized Appreciation
Tax 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 difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
G. Financial Instruments:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
49
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.
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
* 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 Series received cash collateral. Each Series invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. In addition, The DFA
International Value Series received non-cash collateral consisting of short
and/or long term U.S. Treasury securities with a market value of $24,703 (in
thousands). Loans of securities are expected at all times to be secured by
collateral equal to at least (i) 100% of the current market value of the loaned
securities with respect to securities of the U.S. government or its agencies,
(ii) 102% of the current market value of the loaned securities with respect to
U.S. securities, and (iii) 105% of the current market value of the loaned
securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Such Series also may invest the cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by
50
securities of the U.S. government or its agencies, and affiliated and
unaffiliated registered and unregistered money market funds. For purposes of
this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. In addition, each Series will be able to terminate
the loan at any time and will receive reasonable interest on the loan, as well
as amounts equal to any dividends, interest or other distributions on the
loaned securities. However, dividend income received from loaned securities may
not be eligible to be taxed at qualified dividend income rates.
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. 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 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
51
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.
52
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.
53
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 13, 2013 (the "Meeting"), the Board of
Directors of Dimensional Investment Group Inc. and the Board of Trustees of The
DFA Investment Trust Company (together, the "Board") considered the
continuation of the investment advisory/management agreements for each
portfolio or series (collectively, the "Funds") and the sub-advisory agreements
for The DFA International Value Series. For The DFA International Value Series,
Dimensional Fund Advisors Ltd. and DFA Australia Limited 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
based on the Fund's investment strategies and the expectations of its
shareholder base, among other things, that the performance of each Fund was
reasonable as compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
54
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.
55
[LOGO] DFA043014-003S
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2014 (Unaudited)
Dimensional Investment Group Inc.
Global Equity Portfolio
Global Allocation 60/40 Portfolio
Global Allocation 25/75 Portfolio
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 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
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes....... 1
Disclosure of Fund Expenses................... 2
Disclosure of Portfolio Holdings.............. 4
Schedules of Investments
Global Equity Portfolio................... 5
Global Allocation 60/40 Portfolio......... 6
Global Allocation 25/75 Portfolio......... 7
Statements of Assets and Liabilities.......... 8
Statements of Operations...................... 9
Statements of Changes in Net Assets........... 10
Financial Highlights.......................... 11
Notes to Financial Statements................. 15
Voting Proxies on Fund Portfolio Securities...... 24
Board Approval of Investment Advisory Agreements. 25
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments
------------------------
Investment Footnotes
+ See Note B to Financial Statements.
Financial Highlights
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
(C) Non-Annualized
(D) Annualized
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
N/A Does not apply to this fund.
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2014
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
Global Equity Portfolio**
-------------------------
Actual Fund Return
Class R2 Shares.............. $1,000.00 $1,065.00 0.55% $2.82
Institutional Class Shares... $1,000.00 $1,066.80 0.30% $1.54
Hypothetical 5% Annual Return
Class R2 Shares.............. $1,000.00 $1,022.07 0.55% $2.76
Institutional Class Shares... $1,000.00 $1,023.31 0.30% $1.51
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*
--------- --------- ---------- --------
Global Allocation 60/40 Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,043.40 0.53% $2.69
Institutional Class Shares......... $1,000.00 $1,044.80 0.28% $1.42
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.17 0.53% $2.66
Institutional Class Shares......... $1,000.00 $1,023.41 0.28% $1.40
Global Allocation 25/75 Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,019.20 0.53% $2.65
Institutional Class Shares......... $1,000.00 $1,020.60 0.28% $1.40
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.17 0.53% $2.66
Institutional Class Shares......... $1,000.00 $1,023.41 0.28% $1.40
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the indirect payment of the Fund of Funds'
portion of the expenses of its Master Funds (Affiliated Investment Companies).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 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.
Affiliated Investment Companies
-------------------------------
Global Equity Portfolio........... 100.0%
Global Allocation 60/40 Portfolio. 100.0%
Global Allocation 25/75 Portfolio. 100.0%
4
GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Shares Value+
----------- --------------
AFFILIATED INVESTMENT COMPANIES -- (99.2%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc.................... 101,649,309 $1,684,329,054
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 72,991,196 961,294,045
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc.................... 33,474,775 562,041,470
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 15,460,537 304,881,782
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc.................... 1,828,951 53,954,069
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company....................... 1,137
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $2,438,348,770)............................... 3,566,501,557
--------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional Liquid Reserves, 0.074%
(Cost $27,751,603)..................................... 27,751,603 27,751,603
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,466,100,373)............................... $3,594,253,160
==============
Summary of the Global 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
-------------- ------- ------- --------------
Affiliated Investment Companies. $3,566,501,557 -- -- $3,566,501,557
Temporary Cash Investments...... 27,751,603 -- -- 27,751,603
-------------- -- -- --------------
TOTAL........................... $3,594,253,160 -- -- $3,594,253,160
============== == == ==============
See accompanying Notes to Financial Statements.
5
GLOBAL ALLOCATION 60/40 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................................. 36,285,668 $ 601,253,520
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 26,146,390 344,347,962
Investment in DFA Selectively Hedged Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 31,249,213 318,741,969
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 19,545,408 212,067,677
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................. 12,044,078 202,220,075
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................. 5,512,890 108,714,189
Investment in DFA Intermediate-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................. 9,966,398 106,241,806
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 9,683,981 106,136,429
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 4,479,590 53,083,137
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................. 5,158,482 53,080,782
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................. 651,112 19,207,790
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $1,707,630,491)............................................ 2,125,095,336
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,707,630,491)............................................ $2,125,095,336
==============
Summary of the Global 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
-------------- ------- ------- --------------
Affiliated Investment Companies. $2,125,095,336 -- -- $2,125,095,336
-------------- -- -- --------------
TOTAL........................... $2,125,095,336 -- -- $2,125,095,336
============== == == ==============
See accompanying Notes to Financial Statements.
6
GLOBAL ALLOCATION 25/75 PORTFOLIO
SCHEDULE OF INVESTMENTS
April 30, 2014
(Unaudited)
Shares Value+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in DFA Two-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................ 18,294,858 $183,131,532
Investment in DFA Short-Term Extended Quality Portfolio of
DFA Investment Dimensions Group Inc................................ 16,877,185 183,117,457
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc................................ 4,365,345 72,333,768
Investment in DFA Inflation-Protected Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 5,666,047 67,142,651
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 3,139,989 41,353,649
Investment in DFA World ex U.S. Government Fixed Income Portfolio of
DFA Investment Dimensions Group Inc................................ 2,370,559 24,393,048
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc................................ 1,446,477 24,286,347
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc................................ 658,027 12,976,296
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc................................ 85,566 2,524,186
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $551,701,257)............................................. 611,258,934
------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional Liquid Reserves, 0.074%
(Cost $151,038).................................................... 151,038 151,038
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $551,852,295)............................................. $611,409,972
============
Summary of the Global 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
------------ ------- ------- ------------
Affiliated Investment Companies. $611,258,934 -- -- $611,258,934
Temporary Cash Investments...... 151,038 -- -- 151,038
------------ -- -- ------------
TOTAL........................... $611,409,972 -- -- $611,409,972
============ == == ============
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Global Global
Global Equity Allocation Allocation
Portfolio 60/40 Portfolio 25/75 Portfolio
------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Companies at Value..................... $ 3,566,502 $ 2,125,095 $ 611,259
Temporary Cash Investments at Value & Cost.................................. 27,752 -- 151
Receivables:
Affiliated Investment Companies Sold...................................... -- 2,527 --
Interest.................................................................. 1 -- --
Fund Shares Sold.......................................................... 4,047 1,837 322
Prepaid Expenses and Other Assets........................................... 66 51 44
------------ ------------ ------------
Total Assets........................................................... 3,598,368 2,129,510 611,776
------------ ------------ ------------
LIABILITIES:
Payables:
Affiliated Investment Companies Purchased................................. 27,002 -- --
Fund Shares Redeemed...................................................... 1,491 819 105
Due to Advisor............................................................ 12 32 15
Line of Credit............................................................ -- 2,027 --
Accrued Expenses and Other Liabilities...................................... 117 76 27
------------ ------------ ------------
Total Liabilities...................................................... 28,622 2,954 147
------------ ------------ ------------
NET ASSETS.................................................................. $ 3,569,746 $ 2,126,556 $ 611,629
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $10,297; $16,184 and $2,240
and shares outstanding of 558,344; 1,020,953 and 173,852,
respectively............................................................... $ 18.44 $ 15.85 $ 12.88
============ ============ ============
NUMBER OF SHARES AUTHORIZED................................................. 500,000,000 300,000,000 300,000,000
============ ============ ============
Institutional Class Shares -- based on net assets of $3,559,449; $2,110,372
and $609,389 and shares outstanding of 194,526,802; 133,786,270 and
47,527,433, respectively................................................... $ 18.30 $ 15.77 $ 12.82
============ ============ ============
NUMBER OF SHARES AUTHORIZED................................................. 700,000,000 500,000,000 300,000,000
============ ============ ============
Investments in Affiliated Investment Companies at Cost...................... $ 2,438,349 $ 1,707,630 $ 551,701
------------ ------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital............................................................. $ 2,638,453 $ 1,733,949 $ 554,616
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)......................................................... (100) 401 159
Accumulated Net Realized Gain (Loss)........................................ (196,760) (25,259) (2,704)
Net Unrealized Appreciation (Depreciation).................................. 1,128,153 417,465 59,558
------------ ------------ ------------
NET ASSETS.................................................................. $ 3,569,746 $ 2,126,556 $ 611,629
============ ============ ============
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
Global Global
Allocation Allocation
Global Equity 60/40 25/75
Portfolio* Portfolio Portfolio
------------- ---------- ----------
Investment Income
Net Investment Income Allocated from Affiliated Investment Companies:
Income Distributions....................................................... $ 27,017 $18,136 $ 4,187
-------- ------- -------
Total Investment Income Received from Affiliated Investment Companies..... 27,017 18,136 4,187
-------- ------- -------
Fund Investment Income
Interest..................................................................... 1 -- --
-------- ------- -------
Fund Expenses
Administrative Services Fees................................................. 4,846 2,461 580
Accounting & Transfer Agent Fees............................................. 30 26 22
Shareholder Servicing Fees - Class R2 Shares................................. 9 19 3
Custodian Fees............................................................... 1 1 1
Filing Fees.................................................................. 75 50 64
Shareholders' Reports........................................................ 54 30 7
Directors'/Trustees' Fees & Expenses......................................... 20 12 4
Professional Fees............................................................ 16 11 4
Other........................................................................ 6 5 2
-------- ------- -------
Total Expenses............................................................ 5,057 2,615 687
-------- ------- -------
Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered
by Advisor (Note C)......................................................... (4,763) (2,271) (491)
-------- ------- -------
Net Expenses................................................................. 294 344 196
-------- ------- -------
Net Investment Income (Loss)................................................. 26,724 17,792 3,991
-------- ------- -------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment Companies..... 16,780 8,355 1,259
Net Realized Gain (Loss) on:
Affiliated Investment Companies Shares Sold................................ 91 (207) 229
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares..................................... 165,162 61,906 6,656
-------- ------- -------
Net Realized and Unrealized Gain (Loss)...................................... 182,033 70,054 8,144
-------- ------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations................ $208,757 $87,846 $12,135
======== ======= =======
----------
* Investment Income and a portion of Realized and Unrealized Gain (Loss) were
allocated from the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Global Allocation 60/40 Global Allocation 25/75
Global Equity Portfolio Portfolio Portfolio
---------------------- ---------------------- ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013 2014 2013
----------- ---------- ----------- ---------- ----------- --------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................ $ 26,724 $ 51,184 $ 17,792 $ 30,851 $ 3,991 $ 7,083
Capital Gain Distributions Received from
Affiliated Investment Companies............ 16,780 7,950 8,355 4,799 1,259 1,410
Net Realized Gain (Loss) on:
Investment Securities Sold/Affiliated
Investment Companies Shares
Sold..................................... 91 (10,765) (207) 1,303 229 1,772
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities/Affiliated
Investment Companies Shares.............. 165,162 600,681 61,906 209,667 6,656 19,661
---------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.............................. 208,757 649,050 87,846 246,620 12,135 29,926
---------- ---------- ---------- ---------- -------- --------
Distributions From:
Net Investment Income:
Class R2 Shares........................... (46) (86) (125) (217) (14) (30)
Institutional Class Shares................ (26,717) (51,265) (18,447) (30,410) (4,461) (6,867)
Net Long-Term Gains:
Class R2 Shares........................... -- -- -- -- (5) --
Institutional Class Shares................ -- -- -- -- (1,337) --
---------- ---------- ---------- ---------- -------- --------
Total Distributions...................... (26,763) (51,351) (18,572) (30,627) (5,817) (6,897)
---------- ---------- ---------- ---------- -------- --------
Capital Share Transactions:
Shares Issued............................. 581,858 737,795 432,291 596,727 91,096 207,303
Shares Issued in Lieu of Cash
Distributions............................ 26,395 50,093 18,015 29,163 5,808 6,786
Shares Redeemed........................... (244,929) (509,164) (254,935) (354,697) (50,920) (97,919)
---------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions...................... 363,324 278,724 195,371 271,193 45,984 116,170
---------- ---------- ---------- ---------- -------- --------
Total Increase (Decrease) in Net
Assets.................................. 545,318 876,423 264,645 487,186 52,302 139,199
Net Assets
Beginning of Period......................... 3,024,428 2,148,005 1,861,911 1,374,725 559,327 420,128
---------- ---------- ---------- ---------- -------- --------
End of Period............................... $3,569,746 $3,024,428 $2,126,556 $1,861,911 $611,629 $559,327
========== ========== ========== ========== ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)........................... $ (100) $ (61) $ 401 $ 1,181 $ 159 $ 643
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Class R2 Shares
Global Equity Portfolio
---------------------------------------------------------
Six 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.............. $ 17.44 $13.78 $12.67 $12.71 $10.82 $ 9.17
------- ------ ------ ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.11 0.27 0.24 0.22 0.15 0.17
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 1.02 3.67 1.10 (0.04) 1.91 1.64
------- ------ ------ ------ ------ ------
Total from Investment Operations............... 1.13 3.94 1.34 0.18 2.06 1.81
--------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.13) (0.28) (0.23) (0.22) (0.17) (0.16)
Net Realized Gains............................... -- -- -- -- -- --
------- ------ ------ ------ ------ ------
Total Distributions............................ (0.13) (0.28) (0.23) (0.22) (0.17) (0.16)
--------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 18.44 $17.44 $13.78 $12.67 $12.71 $10.82
================================================= =========== ======== ======== ======== ======== ========
Total Return...................................... 6.50%(C) 28.87% 10.78% 1.34% 19.21% 20.06%
--------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $10,297 $5,517 $4,055 $4,294 $3,483 $6,782
Ratio of Expenses to Average Net Assets (B)....... 0.55%(D) 0.57% 0.60% 0.60% 0.59% 0.62%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumptions of Expenses
and/or Recovery of Previously Waived Fees) (B)... 0.85%(D) 0.87% 0.90% 0.90% 0.89% 0.91%
Ratio of Net Investment Income to Average Net
Assets........................................... 1.22%(D) 1.76% 1.85% 1.61% 1.32% 1.83%
--------------------------------------------------------------------------------------------------------------
Global Allocation 60/40 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.............. $ 15.32 $ 13.40 $ 12.66 $12.51 $11.13 $ 9.55
------- ------- ------- ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................. 0.12 0.24 0.21 0.23 0.17 0.14
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 0.54 1.93 0.78 0.16 1.37 1.60
------- ------- ------- ------ ------ ------
Total from Investment Operations............... 0.66 2.17 0.99 0.39 1.54 1.74
-------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................ (0.13) (0.25) (0.25) (0.23) (0.16) (0.12)
Net Realized Gains............................... -- -- -- (0.01) -- (0.04)
------- ------- ------- ------ ------ ------
Total Distributions............................ (0.13) (0.25) (0.25) (0.24) (0.16) (0.16)
-------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 15.85 $ 15.32 $ 13.40 $12.66 $12.51 $11.13
================================================= =========== ======== ======== ======== ======== ========
Total Return...................................... 4.34%(C) 16.35% 8.05% 3.13% 14.01% 18.46%
-------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $16,184 $14,140 $11,403 $3,353 $3,748 $5,187
Ratio of Expenses to Average Net Assets (B)....... 0.53%(D) 0.54% 0.56% 0.58% 0.58% 0.60%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumptions of Expenses
and/or Recovery of Previously Waived Fees) (B)... 0.76%(D) 0.77% 0.79% 0.81% 0.81% 0.83%
Ratio of Net Investment Income to Average Net
Assets........................................... 1.56%(D) 1.71% 1.60% 1.76% 1.44% 1.42%
-------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Class R2 Shares
Global Allocation 25/75 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.............................. $12.75 $12.16 $11.78 $11.65 $10.95 $10.04
------ ------ ------ ------ ------ ------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.07 0.16 0.14 0.16 0.22 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.17 0.58 0.43 0.15 0.72 1.06
------ ------ ------ ------ ------ ------
Total from Investment Operations.. 0.24 0.74 0.57 0.31 0.94 1.21
-----------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.08) (0.15) (0.18) (0.16) (0.24) (0.14)
Net Realized Gains.................. (0.03) -- (0.01) (0.02) -- (0.16)
------ ------ ------ ------ ------ ------
Total Distributions............... (0.11) (0.15) (0.19) (0.18) (0.24) (0.30)
-----------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $12.88 $12.75 $12.16 $11.78 $11.65 $10.95
=================================== =========== ======== ======== ======== ======== ========
Total Return......................... 1.92%(C) 6.15% 4.86% 2.71% 8.70% 12.19%
-----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $2,240 $2,215 $2,449 $ 408 $ 418 $1,701
Ratio of Expenses to Average Net
Assets (B).......................... 0.53%(D) 0.53% 0.59% 0.77% 0.63% 0.62%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumptions of Expenses and/or
Recovery of Previously Waived
Fees) (B)........................... 0.70%(D) 0.70% 0.76% 0.94% 0.78% 0.77%
Ratio of Net Investment Income to
Average Net Assets.................. 1.13%(D) 1.28% 1.14% 1.35% 1.93% 1.49%
-----------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
12
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Institutional Class Shares
Global 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.... $ 17.30 $ 13.67 $ 12.58 $ 12.62 $ 10.74 $ 9.14
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.15 0.31 0.27 0.25 0.17 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 1.00 3.63 1.09 (0.04) 1.91 1.61
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 1.15 3.94 1.36 0.21 2.08 1.81
--------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.15) (0.31) (0.27) (0.25) (0.20) (0.21)
Net Realized Gains..................... -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.15) (0.31) (0.27) (0.25) (0.20) (0.21)
--------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 18.30 $ 17.30 $ 13.67 $ 12.58 $ 12.62 $ 10.74
======================================= =========== ========== ========== ========== ========== ==========
Total Return............................ 6.68%(C) 29.19% 11.00% 1.62% 19.58% 20.30%
--------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $3,559,449 $3,018,911 $2,143,950 $1,813,296 $1,628,464 $1,279,862
Ratio of Expenses to Average Net
Assets (B)............................. 0.30%(D) 0.31% 0.33% 0.33% 0.33% 0.35%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumptions of
Expenses and/or Recovery of Previously
Waived Fees (B)........................ 0.60%(D) 0.61% 0.63% 0.63% 0.63% 0.64%
Ratio of Net Investment Income to
Average Net Assets..................... 1.66%(D) 2.02% 2.05% 1.90% 1.50% 2.17%
--------------------------------------------------------------------------------------------------------------------
Global Allocation 60/40 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.... $ 15.24 $ 13.33 $ 12.59 $ 12.45 $ 11.08 $ 9.53
---------- ---------- ---------- ---------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)....... 0.14 0.27 0.28 0.26 0.19 0.18
Net Gains (Losses) on Securities
(Realized and Unrealized)............ 0.54 1.92 0.75 0.16 1.37 1.59
---------- ---------- ---------- ---------- -------- --------
Total from Investment Operations..... 0.68 2.19 1.03 0.42 1.56 1.77
---------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.................. (0.15) (0.28) (0.29) (0.27) (0.19) (0.18)
Net Realized Gains..................... -- -- -- (0.01) -- (0.04)
---------- ---------- ---------- ---------- -------- --------
Total Distributions.................. (0.15) (0.28) (0.29) (0.28) (0.19) (0.22)
---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 15.77 $ 15.24 $ 13.33 $ 12.59 $ 12.45 $ 11.08
======================================= =========== ========== ========== ========== ======== ========
Total Return............................ 4.48%(C) 16.65% 8.37% 3.34% 14.27% 18.95%
---------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $2,110,372 $1,847,771 $1,363,322 $1,129,945 $932,866 $730,400
Ratio of Expenses to Average Net
Assets (B)............................. 0.28%(D) 0.29% 0.30% 0.31% 0.31% 0.33%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumptions of
Expenses and/or Recovery of Previously
Waived Fees (B)........................ 0.51%(D) 0.52% 0.53% 0.54% 0.54% 0.56%
Ratio of Net Investment Income to
Average Net Assets..................... 1.81%(D) 1.93% 2.18% 2.03% 1.64% 1.82%
---------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Institutional Class Shares
Global Allocation 25/75 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.............................. $ 12.69 $ 12.11 $ 11.73 $ 11.60 $ 10.90 $ 10.01
-------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).... 0.09 0.18 0.20 0.21 0.24 0.18
Net Gains (Losses) on Securities
(Realized and Unrealized)......... 0.17 0.59 0.41 0.16 0.74 1.06
-------- -------- -------- -------- -------- --------
Total from Investment Operations.. 0.26 0.77 0.61 0.37 0.98 1.24
-----------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............... (0.10) (0.19) (0.22) (0.22) (0.28) (0.19)
Net Realized Gains.................. (0.03) -- (0.01) (0.02) -- (0.16)
-------- -------- -------- -------- -------- --------
Total Distributions............... (0.13) (0.19) (0.23) (0.24) (0.28) (0.35)
-----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... $ 12.82 $ 12.69 $ 12.11 $ 11.73 $ 11.60 $ 10.90
=================================== =========== ======== ======== ======== ======== ========
Total Return......................... 2.06%(C) 6.38% 5.22% 3.23% 9.17% 12.67%
-----------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)......................... $609,389 $557,112 $417,679 $300,213 $232,241 $160,605
Ratio of Expenses to Average Net
Assets (B).......................... 0.28%(D) 0.27% 0.28% 0.28% 0.29% 0.31%
Ratio of Expenses to Average Net
Assets (Excluding Waivers and
Assumptions of Expenses and/or
Recovery of Previously Waived
Fees (B)............................ 0.45%(D) 0.44% 0.45% 0.45% 0.46% 0.46%
Ratio of Net Investment Income to
Average Net Assets.................. 1.38%(D) 1.47% 1.71% 1.83% 2.19% 1.81%
-----------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers fifteen portfolios,
three of which, Global Equity Portfolio, Global Allocation 60/40 Portfolio and
Global Allocation 25/75 Portfolio (each a "Global Fund" and collectively, the
"Global Funds"), are presented in this report. The remaining operational
portfolios are presented in separate reports.
The Global Funds achieve their investment objectives by primarily investing
in other portfolios within DFA Investment Dimensions Group Inc. ("IDG") and The
DFA Investment Trust Company ("ITC") (collectively, the "Master Funds").
Global Funds (Percentage of Ownership at April 30, 2014)
------------------------------------------------------------
Global Equity Global Allocation 60/40 Global Allocation 25/75
Master Funds Portfolio Portfolio Portfolio
------------ ------------- ----------------------- -----------------------
U.S. Core Equity 1 Portfolio (IDG)........... 6% 2% --
U.S. Core Equity 2 Portfolio (IDG)........... 15% 5% 1%
DFA Real Estate Securities Portfolio (IDG)... 1% -- --
International Core Equity Portfolio (IDG).... 8% 3% --
Emerging Markets Core Equity Portfolio
(IDG)...................................... 2% 1% --
DFA Two-Year Global Fixed Income Portfolio
(IDG)...................................... N/A N/A 3%
DFA Selectively Hedged Global Fixed Income
Portfolio (IDG)............................ N/A 33% N/A
DFA Five-Year Global Fixed Income Portfolio
(IDG)...................................... N/A 1% N/A
DFA Inflation-Protected Securities Portfolio
(IDG)...................................... N/A 2% 3%
DFA Short-Term Extended Quality Portfolio
(IDG)...................................... N/A 6% 5%
DFA Intermediate-Term Extended Quality
Portfolio (IDG)............................ N/A 6% N/A
The Canadian Small Company Series (ITC)...... -- N/A N/A
DFA World ex U.S. Government Fixed Income
Portfolio (IDG)............................ N/A 19% 9%
N/A -- Global Fund does not have any ownership in Master Fund.
Amounts designated as -- are less than 1%.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
15
1. Security Valuation: The Global Funds utilize a fair value hierarchy
which prioritizes the inputs to valuation techniques used to measure fair value
into three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Global Funds'
own assumptions in determining the fair value of investments)
Master Fund shares held by the Global Funds (except the Global Equity
Portfolio's investment in The Canadian Small Company Series) are valued at
their respective daily net asset values as reported by their administrator, as
these Master Funds are treated as regulated investment companies. The Global
Equity Portfolio's investment in The Canadian Small Company Series, which is
taxed as a partnership, reflects its proportionate interest in the net assets
of the Series. These securities are generally categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Global Funds' net assets by each
major security type is disclosed previously in this note. Valuation hierarchy
tables have been included at the end of the Schedule of Investments. The inputs
or methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the 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
Global Funds.
2. Deferred Compensation Plan: Each eligible Director/Trustee of the Fund
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of April 30, 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 affiliated
investment company shares are on the basis of identified cost. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received from the investment in affiliated investment companies
that represent a return of capital or capital gains are recorded as a reduction
of cost of investments or as a realized gain, respectively. The Global Funds
estimate the character of distributions received that may be considered return
of capital distributions. Interest income is recorded on an accrual basis.
Expenses directly attributable to a Global Fund are directly charged. Common
expenses of the Fund or Global Funds are allocated using methods approved by
the Board, generally based on average net assets.
16
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of its Global Fund. Income, gains and losses, and common expenses
of each Global Fund are allocated to each class of shares based on its relative
net assets. Each class will bear its own class-specific expenses, if any.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Master Funds. The Advisor provides administrative services to
the Global Funds, including supervision of services provided by others,
providing information to shareholders and the Board, and other administrative
services. For the six months ended April 30, 2014, the Global Equity Portfolio,
Global Allocation 60/40 Portfolio and Global Allocation 25/75 Portfolio's
administrative services fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.30%, 0.25%, and 0.20%, respectively, of
average daily net assets. The Global Funds do not pay separate management fees
to the Advisor.
Pursuant to a Fee Waiver Agreement, in order to limit the total
administration and management fees received by the Advisor, the Advisor has
contractually agreed to waive its administration fee each Global Fund pays to
the Advisor to the extent necessary to limit the proportionate share of the
total combined administration fees paid by a class of each of the Global Funds
and management fees paid by each Global Fund's Master Funds to the Advisor to
the expense limitations listed below. The maximum amount waived under this
waiver is the full amount of a Global Fund's administration fee to the Advisor.
The Fee Waiver Agreement 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 Global Funds had the expense limitations listed below based
on a percentage of average net assets on an annualized basis.
At any time that the rate of the fees and annualized expenses of a class of
a Global Fund are less than the rates listed below for the Global Fund on an
annualized basis, the Advisor retains the right to recover any fees previously
waived and/or expenses previously assumed to the extent that such recovery will
not cause the Global Fund's Institutional Class and Class R2 Shares' annualized
expense ratios to exceed the expense limitations listed below. Previously
waived fees subject to future recovery by the Advisor are reflected below
(amounts in thousands). The Fund, on behalf of the Global Funds, is not
obligated to reimburse the Advisor for fees previously waived or expenses
previously assumed by the Advisor more than thirty-six months before the date
of recovery.
Previously
Recovery Waived Fees/
of Previously Expenses
Waived Fees/ Assumed
Expense Expenses Subject to Future
Institutional Class Shares Limitation Amount Assumed Recovery
-------------------------- ----------------- ------------- -----------------
Global Equity Portfolio........... 0.27% -- $20,902
Global Allocation 60/40 Portfolio. 0.25% -- 10,175
Global Allocation 25/75 Portfolio. 0.22% -- 2,143
Class R2 Shares
---------------
Global Equity Portfolio........... 0.27% -- 43
Global Allocation 60/40 Portfolio. 0.25% -- 70
Global Allocation 25/75 Portfolio. 0.22% -- 9
Prior to March 1, 2010, the Advisor had also contractually agreed to assume
the direct operating expenses of the Institutional Class Shares of each Global
Fund (excluding administrative services fees paid to the Advisor), to the
extent necessary to limit the total expense ratios (including the expenses that
the Institutional Class Shares of each such Global Fund bears as a shareholder
of the Master Funds, but excluding expenses from investment in other investment
companies) of the Institutional Class Shares. For the period ended February 28,
2010, the Institutional Class Shares had the following expense limits based on
a percentage of average net assets on an annualized basis.
17
Expense
Limits
-------
Global Equity Portfolio........... 0.44%
Global Allocation 60/40 Portfolio. 0.41%
Global Allocation 25/75 Portfolio. 0.37%
Prior to March 1, 2010, the Advisor had contractually agreed to assume the
direct operating expenses of the Class R2 Shares of each Global Fund (excluding
administrative services fees paid to the Advisor) to the extent necessary to
limit the total expense ratios (including the expenses that the Class R2 Shares
of each such Global Fund bears as a shareholder of the Master Funds and
including Shareholder Servicing Fees, but excluding expenses from investment in
other investment companies) of the Class R2 Shares. For the period ended
February 28, 2010, the Class R2 Shares had the following expense limits based
on a percentage of average net assets on an annualized basis.
Expense
Limits
-------
Global Equity Portfolio........... 0.69%
Global Allocation 60/40 Portfolio. 0.66%
Global Allocation 25/75 Portfolio. 0.62%
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 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 Global Funds 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):
Global Equity Portfolio........... $69
Global Allocation 60/40 Portfolio. 41
Global Allocation 25/75 Portfolio. 11
E. Purchases and Sales of Securities:
For the six months ended April 30, 2014, the Global Funds made the following
purchases and sales of Affiliated Investment Companies (amounts in thousands):
Global Equity Portfolio
-----------------------------------------------------------------------
Balance at Balance at Distributions of
Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Dividend Income Realized Gains
------------------------------- ---------- ---------- --------- ------ --------------- ----------------
U.S. Core Equity 2 Portfolio... $1,427,090 $1,684,329 $171,312 $3,617 $10,739 $14,640
International Core Equity
Portfolio.................... 816,791 961,294 102,487 496 9,847 --
U.S. Core Equity 1 Portfolio... 476,515 562,041 57,041 4,179 3,839 2,140
Emerging Markets Core Equity
Portfolio.................... 256,820 304,882 51,003 -- 1,636 --
DFA Real Estate Securities
Portfolio.................... 44,777 53,954 6,738 1,034 956 --
18
Global Allocation 60/40 Portfolio
------------------------------------------------------------------------
Balance at Balance at Distributions of
Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Dividend Income Realized Gains
------------------------------- ---------- ---------- --------- ------- --------------- ----------------
U.S. Core Equity 2 Portfolio....... $524,830 $601,253 $53,482 $10,405 $3,934 $5,418
International Core Equity
Portfolio........................ 301,215 344,348 30,996 3,479 3,602 --
DFA Selectively Hedged Global
Fixed Income Portfolio........... 279,041 318,742 52,281 12,758 3,429 453
DFA Short-Term Extended Quality
Portfolio........................ 186,416 212,068 32,484 6,716 1,257 318
U.S. Core Equity 1 Portfolio....... 176,733 202,220 22,680 9,530 1,410 797
Emerging Markets Core Equity
Portfolio........................ 95,487 108,714 16,138 1,677 611 --
DFA Intermediate-Term Extended
Quality Portfolio................ 93,090 106,242 15,012 3,524 1,400 28
DFA Five-Year Global Fixed
Income Portfolio................. 93,094 106,136 17,313 2,777 836 1,327
DFA Inflation-Protected Securities
Portfolio........................ 46,498 53,083 7,941 1,503 128 --
DFA World ex U.S. Government
Fixed Income Portfolio........... 46,653 53,081 7,753 1,308 1,170 14
DFA Real Estate Securities
Portfolio........................ 16,153 19,208 2,724 939 359 --
Global Allocation 25/75 Portfolio
------------------------------------------------------------------------
Balance at Balance at Distributions of
Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Dividend Income Realized Gains
------------------------------- ---------- ---------- --------- ------- --------------- ----------------
DFA Two-Year Global Fixed
Income Portfolio................. $166,680 $183,132 $18,566 $ 1,274 $1,136 $ 185
DFA Short-Term Extended Quality
Portfolio........................ 166,833 183,117 18,332 1,937 1,107 282
U.S. Core Equity 2 Portfolio....... 67,000 72,334 4,956 3,825 492 686
DFA Inflation-Protected Securities
Portfolio........................ 61,007 67,143 6,512 551 167 --
International Core Equity
Portfolio........................ 38,138 41,354 2,476 1,184 441 --
DFA World ex U.S. Government
Fixed Income Portfolio........... 22,025 24,393 2,548 166 553 7
U.S. Core Equity 1 Portfolio....... 22,753 24,286 2,476 2,491 174 99
Emerging Markets Core Equity
Portfolio........................ 11,936 12,976 1,429 230 73 --
DFA Real Estate Securities
Portfolio........................ 2,186 2,524 181 -- 44 --
F. Federal Income Taxes:
Each Global Fund has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which 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,
19
undistributed net investment income or accumulated net realized gains or losses
as appropriate, in the period that the differences arise. Accordingly, the
following permanent differences as of October 31, 2013, primarily attributable
to passive foreign investment companies, short term distributions received from
underlying RICs, return of capital, the utilization of accumulated earnings and
profits distributed to shareholders on redemptions of shares as part of the
dividends paid deduction for income tax purposes, were reclassified to the
following accounts. These reclassifications had no effect on net assets or net
asset value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
Global Equity Portfolio........... $(114) $114 --
Global Allocation 60/40 Portfolio. -- 678 $(678)
Global Allocation 25/75 Portfolio. -- 430 (430)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2012 and October 31, 2013 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Return of
Capital Gains Capital Total
-------------- --------- -------
Global Equity Portfolio
2012.............................. $40,749 -- $40,749
2013.............................. 51,351 -- 51,351
Global Allocation 60/40 Portfolio
2012.............................. 28,271 -- 28,271
2013.............................. 30,627 -- 30,627
Global Allocation 25/75 Portfolio
2012.............................. 6,492 -- 6,492
2013.............................. 6,897 -- 6,897
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Capital Unrealized Earnings
Short-Term Long-Term Loss Appreciation Accumulated
Capital Gains Capital Gains Carryforwards (Depreciation) (Losses)
-------------- ------------- ------------- -------------- -------------
Global Equity Portfolio........... -- -- $(92,193) $841,554 $749,361
Global Allocation 60/40 Portfolio. $1,219 -- (21,276) 343,427 323,370
Global Allocation 25/75 Portfolio. 653 $1,315 -- 48,736 50,704
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Global Funds after October 31, 2011 will not be
subject to expiration and will retain their character as either short-term or
long-term capital losses. In addition, such losses must be utilized prior to
the losses incurred in the years preceding enactment. As of October 31, 2013,
the Global Funds had the following capital loss carryforwards available to
offset future realized capital gains through the indicated expiration dates
(amounts in thousands):
Expires on October 31,
---------------------------
2016 2017 2018 2019 Unlimited Total
------ ------- ------- ---- --------- -------
Global Equity Portfolio........... $2,732 $74,314 $10,998 $565 $3,584 $92,193
Global Allocation 60/40 Portfolio. -- 21,276 -- -- -- 21,276
20
During the year ended October 31, 2013, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
Global Equity Portfolio........... $1,285
Global Allocation 60/40 Portfolio. 6,294
Global Allocation 25/75 Portfolio. 1,572
At 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)
---------- ------------ ------------ --------------
Global Equity Portfolio........... $2,587,537 $1,006,717 -- $1,006,717
Global Allocation 60/40 Portfolio. 1,719,762 405,333 -- 405,333
Global Allocation 25/75 Portfolio. 556,017 57,758 $(2,365) 55,393
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Global
Fund's tax positions and has concluded that no additional provision for income
tax is required in any Global Fund's financial statements. No Global Fund is
aware of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each Global Fund's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Six Months Ended Year Ended
April 30, 2014 Oct. 31, 2013
------------------- ------------------
(Unaudited)
Amount Shares Amount Shares
----------- ------- --------- -------
Global Equity Portfolio
Class R2 Shares
Shares Issued........................................ $ 4,740 263 $ 1,078 70
Shares Issued in Lieu of Cash Distributions.......... 46 3 86 6
Shares Redeemed...................................... (430) (24) (842) (54)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 4,356 242 $ 322 22
========= ======= ========= =======
Institutional Class Shares
Shares Issued........................................ $ 577,118 32,316 $ 736,717 47,544
Shares Issued in Lieu of Cash Distributions.......... 26,349 1,504 50,007 3,285
Shares Redeemed...................................... (244,499) (13,763) (508,322) (33,219)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 358,968 20,057 $ 278,402 17,610
========= ======= ========= =======
21
Six Months Ended Year Ended
April 30, 2014 Oct. 31, 2013
------------------- ------------------
(Unaudited)
Amount Shares Amount Shares
----------- ------- --------- -------
Global Allocation 60/40 Portfolio
Class R2 Shares
Shares Issued........................................ $ 1,882 122 $ 2,238 157
Shares Issued in Lieu of Cash Distributions.......... 125 8 217 16
Shares Redeemed...................................... (494) (32) (1,438) (101)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 1,513 98 $ 1,017 72
========= ======= ========= =======
Institutional Class Shares
Shares Issued........................................ $ 430,409 27,842 $ 594,489 41,765
Shares Issued in Lieu of Cash Distributions.......... 17,890 1,177 28,946 2,076
Shares Redeemed...................................... (254,441) (16,463) (353,259) (24,890)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 193,858 12,556 $ 270,176 18,951
========= ======= ========= =======
Global Allocation 25/75 Portfolio
Class R2 Shares
Shares Issued........................................ $ 78 6 $ 163 13
Shares Issued in Lieu of Cash Distributions.......... 19 2 30 3
Shares Redeemed...................................... (96) (8) (540) (43)
--------- ------- --------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 1 -- $ (347) (27)
========= ======= ========= =======
Institutional Class Shares
Shares Issued........................................ $ 91,018 7,165 $ 207,140 16,730
Shares Issued in Lieu of Cash Distributions.......... 5,789 459 6,756 552
Shares Redeemed...................................... (50,824) (3,998) (97,379) (7,871)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 45,983 3,626 $ 116,517 9,411
========= ======= ========= =======
H. 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.
22
For the six months ended April 30, 2014, borrowings by the Global Funds
under the lines of credit were as follows (amounts in thousands, except
percentages and days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Loan Days Expense Borrowed During
Interest Rate Balance Outstanding* Incurred The Period
------------- ------------ ------------ -------- ---------------
Global Equity Portfolio........... 0.85% $1,122 9 -- $ 1,421
Global Allocation 60/40 Portfolio. 0.84% 5,102 16 $ 2 24,554
Global Allocation 25/75 Portfolio. 0.85% 663 16 -- 1,691
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2014, that each Global Fund's available
line of credit was utilized.
At April 30, 2014, Global Allocation 60/40 Portfolio had loans outstanding
in the amount of $2,027 (in thousands).
I. Shareholder Servicing Fees:
The Class R2 Shares pay a shareholder servicing fee in the amount of 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in the Global Funds' Class R2 Shares.
J. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and
directors/trustees are indemnified against certain liabilities arising out of
the performance of their duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
K. 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
------------ --------------
Global Equity Portfolio -- Class R2 Shares...................... 3 96%
Global Equity Portfolio -- Institutional Class Shares........... 3 78%
Global Allocation 60/40 Portfolio -- Class R2 Shares............ 2 97%
Global Allocation 60/40 Portfolio -- Institutional Class Shares. 4 82%
Global Allocation 25/75 Portfolio -- Class R2 Shares............ 2 96%
Global Allocation 25/75 Portfolio -- Institutional Class Shares. 4 92%
L. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Global
Funds and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
23
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.
24
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 13, 2013 (the "Meeting"), the Board of
Directors of Dimensional Investment Group Inc. (the "Board") considered the
continuation of the investment advisory agreements for each portfolio
(collectively, the "Funds"). (The investment advisory agreements are referred
to as the "Advisory Agreements.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined
based on the Fund's investment strategies and the expectations of its
shareholder base, among other things, that the performance of each Fund was
reasonable as compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the fees paid to the Advisor in light of the services
provided to the Fund and any additional benefits received by the Advisor in
connection with providing such services, the Board noted that the Advisor did
not charge advisory fees to the Funds under the Advisory Agreements. The Board
reviewed the administrative fees charged by the Advisor to the Funds and
compared the expenses of each Fund to funds in its peer group as provided in
the Morningstar Reports. The Board concluded that the fees and total expenses
of each Fund over various periods were favorable in relation to those of its
peer funds, and that the administrative fees were fair, both on an absolute
basis and in comparison with the fees of other funds identified in the peer
groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative fees paid by the
Funds. The Board considered the profitability to the Advisor of managing the
Funds and 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.
25
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. The Board concluded
that economies of scale and the reflection of such economies of scale in the
level of advisory fees charged were inapplicable to each Fund because the Funds
are not charged advisory fees.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Advisory Agreement for each Fund was in
the best interests of the Fund and its shareholders.
26
[LOGO] DFA043014-025S
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2014 (Unaudited)
Dimensional Investment Group Inc.
U.S. Large Cap Value Portfolio II
DFA International Value Portfolio II
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 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
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes....... 1
Dimensional Investment Group Inc.
Disclosure of Fund Expenses................... 2
Disclosure of Portfolio Holdings.............. 4
Schedules of Investments
U.S. Large Cap Value Portfolio II......... 5
DFA International Value Portfolio II...... 5
Statements of Assets and Liabilities.......... 6
Statements of Operations...................... 7
Statements of Changes in Net Assets........... 8
Financial Highlights.......................... 9
Notes to Financial Statements................. 10
The DFA Investment Trust Company
Disclosure of Fund Expenses................... 15
Disclosure of Portfolio Holdings.............. 16
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series........... 17
The DFA International Value Series........ 20
Statements of Assets and Liabilities.......... 24
Statements of Operations...................... 25
Statements of Changes in Net Assets........... 26
Financial Highlights.......................... 27
Notes to Financial Statements................. 28
Voting Proxies on Fund Portfolio Securities...... 35
Board Approval of Investment Advisory Agreements. 36
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the
category headings have been calculated as a percentage of total investments. "Other Securities"
are those securities that are not among the top 50 holdings of the Fund or do not represent more
than 1.0% of the net assets of the Fund. Some of the individual securities within this category may
include Total or Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
Financial Highlights
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
(C) Non-Annualized
(D) Annualized
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 2014
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Cap Value Portfolio II**
-----------------------------------
Actual Fund Return $1,000.00 $1,093.90 0.16% $0.83
Hypothetical 5% Annual Return $1,000.00 $1,024.00 0.16% $0.80
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*
--------- --------- ---------- --------
DFA International Value Portfolio II**
--------------------------------------
Actual Fund Return $1,000.00 $1,054.30 0.28% $1.43
Hypothetical 5% Annual Return $1,000.00 $1,023.41 0.28% $1.40
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 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 of industry classification for the Affiliated Investment
Companies are represented in their Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Companies' holdings
which reflect the investments by category.
Affiliated Investment Company
-----------------------------
U.S. Large Cap Value Portfolio II.... 100.0%
DFA International Value Portfolio II. 100.0%
4
SCHEDULES OF INVESTMENTS
April 30, 2014
(Unaudited)
U.S. LARGE CAP VALUE PORTFOLIO II
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $168,720,041
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$99,132,777)........................................... $168,720,041
============
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).
DFA INTERNATIONAL VALUE PORTFOLIO II
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of The DFA
Investment Trust Company.................................. $119,462,665
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$96,007,085)........................................... $119,462,665
============
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.
5
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 Cap International
Value Portfolio Value Portfolio
II II
--------------- ---------------
ASSETS:
Investments in Affiliated Investment Company at Value.................................. $ 168,720 $ 119,463
Receivables:
Fund Shares Sold..................................................................... 245 189
Prepaid Expenses and Other Assets...................................................... 9 9
------------ ------------
Total Assets...................................................................... 168,974 119,661
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................. 5 9
Due to Advisor....................................................................... 1 1
Accrued Expenses and Other Liabilities................................................. 10 10
------------ ------------
Total Liabilities................................................................. 16 20
------------ ------------
NET ASSETS............................................................................. $ 168,958 $ 119,641
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 11,027,062 20,306,507
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 15.32 $ 5.89
============ ============
Investments in Affiliated Investment Company at Cost................................... $ 99,133 $ 96,007
------------ ------------
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 114,821 $ 93,561
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 386 1,049
Accumulated Net Realized Gain (Loss)................................................... (15,836) 1,565
Net Unrealized Foreign Exchange Gain (Loss)............................................ -- 10
Net Unrealized Appreciation (Depreciation)............................................. 69,587 23,456
------------ ------------
NET ASSETS............................................................................. $ 168,958 $ 119,641
============ ============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
DFA
U.S. Large International
Cap Value Value
Portfolio II* Portfolio II*
------------- -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0 and $146, respectively). $ 1,550 $3,445
Income from Securities Lending......................................... 16 71
Expenses Allocated from Affiliated Investment Company.................. (90) (125)
------- ------
Total Investment Income............................................. 1,476 3,391
------- ------
Expenses
Administrative Services Fees........................................... 8 6
Accounting & Transfer Agent Fees....................................... 12 12
Filing Fees............................................................ 10 9
Shareholders' Reports.................................................. 4 4
Directors'/Trustees' Fees & Expenses................................... 1 1
Audit Fees............................................................. 1 1
Other.................................................................. 1 1
------- ------
Total Expenses...................................................... 37 34
------- ------
Net Investment Income (Loss)........................................... 1,439 3,357
------- ------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold........................................... 4,125 1,601
Foreign Currency Transactions........................................ -- 4
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... 8,995 1,250
Futures.............................................................. -- 1
Translation of Foreign Currency Denominated Amounts.................. -- 1
------- ------
Net Realized and Unrealized Gain (Loss)................................ 13,120 2,857
------- ------
Net Increase (Decrease) in Net Assets Resulting from Operations.......... $14,559 $6,214
======= ======
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Large Cap Value DFA International Value
Portfolio II Portfolio II
-------------------- ----------------------
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).................................. $ 1,439 $ 2,625 $ 3,357 $ 3,132
Net Realized Gain (Loss) on:
Investment Securities Sold.................................. 4,125 12,174 1,601 5,151
Futures..................................................... -- -- -- (20)
Foreign Currency Transactions............................... -- -- 4 (2)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 8,995 26,029 1,250 17,022
Futures..................................................... -- -- 1 (1)
Translation of Foreign Currency Denominated Amounts......... -- -- 1 8
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ 14,559 40,828 6,214 25,290
-------- -------- -------- --------
Distributions From:
Net Investment Income......................................... (1,448) (2,613) (2,572) (3,374)
Net Short-Term Gains.......................................... -- -- (229) --
Net Long-Term Gains........................................... -- -- (4,912) (6,754)
-------- -------- -------- --------
Total Distributions........................................ (1,448) (2,613) (7,713) (10,128)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued................................................. 8,515 18,975 6,247 11,800
Shares Issued in Lieu of Cash Distributions................... 1,448 2,613 7,713 10,128
Shares Redeemed............................................... (9,825) (19,885) (6,051) (18,128)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions.... 138 1,703 7,909 3,800
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets.................... 13,249 39,918 6,410 18,962
Net Assets
Beginning of Period........................................... 155,709 115,791 113,231 94,269
-------- -------- -------- --------
End of Period................................................. $168,958 $155,709 $119,641 $113,231
======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued................................................. 574 1,524 1,072 2,172
Shares Issued in Lieu of Cash Distributions................... 99 216 1,378 2,005
Shares Redeemed............................................... (667) (1,618) (1,047) (3,382)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed.... 6 122 1,403 795
======== ======== ======== ========
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... $ 386 $ 395 $ 1,049 $ 264
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Cap Value Portfolio II
-------------------------------------------------------------- -------------
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.............. $ 14.13 $ 10.62 $ 9.18 $ 8.84 $ 7.52 $ 13.48 $ 5.99
-------- -------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.13 0.24 0.21 0.17 0.16 0.15 0.17
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 1.19 3.51 1.43 0.34 1.32 0.03 0.13
-------- -------- -------- -------- -------- -------- --------
Total from Investment Operations............... 1.32 3.75 1.64 0.51 1.48 0.18 0.30
---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.13) (0.24) (0.20) (0.17) (0.16) (0.25) (0.13)
Net Realized Gains.............................. -- -- -- -- -- (5.89) (0.27)
-------- -------- -------- -------- -------- -------- --------
Total Distributions............................ (0.13) (0.24) (0.20) (0.17) (0.16) (6.14) (0.40)
---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 15.32 $ 14.13 $ 10.62 $ 9.18 $ 8.84 $ 7.52 $ 5.89
================================================= =========== ======== ======== ======== ======== ======== ===========
Total Return...................................... 9.39%(C) 35.70% 18.14% 5.69% 19.87% 11.79% 5.43%(C)
---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $168,958 $155,709 $115,791 $107,533 $112,601 $100,906 $119,641
Ratio of Expenses to Average Net Assets (B)....... 0.16%(D) 0.17% 0.17% 0.18% 0.18% 0.23% 0.28%(D)
Ratio of Net Investment Income to Average Net
Assets (B)....................................... 1.77%(D) 1.93% 2.10% 1.72% 1.95% 2.32% 5.84%(D)
---------------------------------------------------------------------------------------------------------------------------------
DFA International Value Portfolio II
-------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
----------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.............. $ 5.21 $ 5.55 $ 6.62 $ 6.18 $ 11.58
-------- ------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................ 0.17 0.19 0.22 0.15 0.17
Net Gains (Losses) on Securities (Realized and
Unrealized).................................... 1.17 (0.06) (0.70) 0.50 1.23
-------- ------- -------- -------- --------
Total from Investment Operations............... 1.34 0.13 (0.48) 0.65 1.40
----------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income........................... (0.18) (0.19) (0.22) (0.16) (0.21)
Net Realized Gains.............................. (0.38) (0.28) (0.37) (0.05) (6.59)
-------- ------- -------- -------- --------
Total Distributions............................ (0.56) (0.47) (0.59) (0.21) (6.80)
----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 5.99 $ 5.21 $ 5.55 $ 6.62 $ 6.18
================================================= ======== ======== ======== ======== ========
Total Return...................................... 28.01% 3.27% (8.13)% 11.03% 35.34%
----------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $113,231 $94,269 $108,262 $136,065 $143,898
Ratio of Expenses to Average Net Assets (B)....... 0.29% 0.30% 0.29% 0.29% 0.33%
Ratio of Net Investment Income to Average Net
Assets (B)....................................... 3.08% 3.69% 3.42% 2.49% 3.10%
----------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, two of
which, U.S. Large Cap Value Portfolio II and DFA International Value Portfolio
II (the "Portfolios"), are presented in this report. The remaining portfolios
are presented in separate reports.
U.S. Large Cap Value Portfolio II and DFA International Value Portfolio II
primarily invest their assets in The U.S. Large Cap Value Series and The DFA
International Value Series (the "Series"), respectively, each a corresponding
series of The DFA Investment Trust Company. At April 30, 2014, U.S. Large Cap
Value Portfolio II and DFA International Value Portfolio II owned 1% and 1% of
their respective Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Portfolios.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy
which prioritizes the inputs to valuation techniques used to measure fair value
into three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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
10
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 Portfolios recognize their pro-rata share, on a daily
basis, of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
is treated as a partnership for federal income tax purposes. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or Portfolios are allocated using
methods approved by the Board, generally based on average net assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides administrative services
to the Portfolios, including supervision of services provided by others,
providing information to shareholders and the Board, and other administrative
services. The Advisor provides investment advisory services to each Series. For
the six months ended April 30, 2014, the Portfolios' administrative services
fees were accrued daily and paid monthly to the Advisor based on an effective
annual rate of 0.01% of average daily net assets of the Portfolios.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the six months ended April 30, 2014, the total
related amounts paid by the Fund to the CCO were $15 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. Deferred Compensation:
At April 30, 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):
U.S. Large Cap Value Portfolio II.... $5
DFA International Value Portfolio II. 5
E. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
11
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2013, primarily attributable to net foreign
currency gains/losses, foreign capital gains tax and realized gains on
securities considered to be "passive foreign investment companies", were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
U.S. Large Cap Value Portfolio II.... -- -- --
DFA International Value Portfolio II. -- $ 5 $(5)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2012 and October 31, 2013 were as follows (amounts
in thousands):
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
U.S. Large Cap Value Portfolio II
2012................................. $2,289 $ 2,289
2013................................. 2,613 -- 2,613
DFA International Value Portfolio II
2012................................. 3,645 $5,339 8,984
2013................................. 3,374 6,754 10,128
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Undistributed Capital Unrealized Earnings
Short-Term Long-Term Loss Appreciation (Accumulated
Capital Gains Capital Gains Carryforwards (Depreciation) Losses)
-------------- ------------- ------------- -------------- -------------
U.S. Large Cap Value Portfolio II.... $402 -- $(19,958) $60,589 $41,033
DFA International Value Portfolio II. 559 $4,906 -- 22,118 27,583
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2013, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through the indicated expiration dates (amounts
in thousands):
Expires on October 31,
----------------------
2017 Total
---------------------- -------
U.S. Large Cap Value Portfolio II. $19,958 $19,958
12
During the year ended October 31, 2013, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amount in thousands):
U.S. Large Cap Value Portfolio II. $12,174
At 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 (amounts in
thousands):
Net
Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
-------- ------------ ------------ --------------
U.S. Large Cap Value Portfolio II.... $99,135 $69,585 -- $69,585
DFA International Value Portfolio II. 96,103 23,360 -- 23,360
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 position and has concluded that no additional provision for income tax is
required in any Portfolio's financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each Portfolio's federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
F. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, 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.
G. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
13
H. Other:
At April 30, 2014, both Portfolios each had two shareholders that held 99%
of their outstanding shares. One or more of the shareholders may be omnibus
accounts, which typically hold shares for the benefit of several other
underlying investors.
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buyout transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned In re Tribune Company
Fraudulent Conveyance Litigation, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The U.S. Large Cap Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO. On September 23, 2013, the Court entered an order dismissing the
Individual Creditor Actions in their entirety on the grounds that the
individual creditor plaintiffs lack standing to pursue their claims. The
Court's dismissal order is on appeal to the Second Circuit. The Committee
Action remains pending, and 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.
I. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
14
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 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
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
15
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on March 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%
16
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%
17
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%
=============== ======
18
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.
19
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%
------------ -----
20
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%
Swiss Re AG............................. 1,412,545 123,514,466 1.3%
UBS AG.................................. 4,344,251 90,855,076 1.0%
21
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
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%
=============== ======
22
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.
23
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
The U.S. Large The DFA
Cap Value International
Series Value Series*
-------------- -------------
ASSETS:
Investments at Value (including $432,843 and $922,064 of securities on loan, respectively). $16,668,644 $ 9,480,370
Temporary Cash Investments at Value & Cost................................................. 69,498 --
Collateral from Securities on Loan Invested in Affiliate at Value & Cost................... 441,535 955,113
Foreign Currencies at Value................................................................ -- 34,442
Cash....................................................................................... -- 12,095
Receivables:
Investment Securities Sold............................................................... 22,131 8,683
Dividends, Interest and Tax Reclaims..................................................... 14,957 38,974
Securities Lending Income................................................................ 265 2,482
Unrealized Gain on Foreign Currency Contracts.............................................. -- 8
----------- -----------
Total Assets.......................................................................... 17,217,030 10,532,167
----------- -----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................................................... 441,535 955,113
Investment Securities Purchased.......................................................... 61,418 36,644
Due to Advisor........................................................................... 1,360 1,541
Unrealized Loss on Foreign Currency Contracts.............................................. -- 10
Accrued Expenses and Other Liabilities..................................................... 779 474
----------- -----------
Total Liabilities..................................................................... 505,092 993,782
----------- -----------
NET ASSETS................................................................................. $16,711,938 $ 9,538,385
=========== ===========
Investments at Cost........................................................................ $10,414,840 $ 7,650,003
=========== ===========
Foreign Currencies at Cost................................................................. $ -- $ 34,284
=========== ===========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
24
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
The U.S. The DFA
Large Cap International
Value Series Value Series
------------ -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0 and $11,473, respectively). $ 148,837 $270,261
Interest.................................................................. 3 1
Income from Securities Lending............................................ 1,553 5,549
---------- --------
Total Investment Income................................................ 150,393 275,811
---------- --------
Expenses
Investment Advisory Services Fees......................................... 7,825 8,965
Accounting & Transfer Agent Fees.......................................... 403 236
Custodian Fees............................................................ 75 362
Shareholders' Reports..................................................... 9 5
Directors'/Trustees' Fees & Expenses...................................... 99 59
Professional Fees......................................................... 172 101
Other..................................................................... 36 47
---------- --------
Total Expenses......................................................... 8,619 9,775
---------- --------
Fees Paid Indirectly...................................................... -- (5)
---------- --------
Net Expenses.............................................................. 8,619 9,770
---------- --------
Net Investment Income (Loss).............................................. 141,774 266,041
---------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold*............................................. 366,497 124,552
Foreign Currency Transactions........................................... -- 335
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................. 907,355 101,142
Translation of Foreign Currency Denominated Amounts..................... -- 66
---------- --------
Net Realized and Unrealized Gain (Loss)................................... 1,273,852 226,095
---------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations............. $1,415,626 $492,136
========== ========
----------
* Net of foreign capital gain taxes withheld of $0 and $7, respectively.
See accompanying Notes to Financial Statements.
25
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap Value The DFA International
Series Value Series
------------------------ -----------------------
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)................................ $ 141,774 $ 250,494 $ 266,041 $ 252,489
Net Realized Gain (Loss) on:
Investment Securities Sold*............................... 366,497 1,042,669 124,552 394,216
Futures................................................... -- -- -- (1,587)
Foreign Currency Transactions............................. -- -- 335 (2,158)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 907,355 2,531,751 101,142 1,329,657
Translation of Foreign Currency Denominated Amounts......... -- -- 66 544
----------- ----------- ---------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 1,415,626 3,824,914 492,136 1,973,161
----------- ----------- ---------- -----------
Transactions in Interest:
Contributions............................................... 825,366 1,639,135 469,662 1,055,913
Withdrawals................................................. (368,042) (1,214,213) (215,543) (1,475,193)
----------- ----------- ---------- -----------
Net Increase (Decrease) from Transactions in Interest.... 457,324 424,922 254,119 (419,280)
----------- ----------- ---------- -----------
Total Increase (Decrease) in Net Assets.................. 1,872,950 4,249,836 746,255 1,553,881
Net Assets
Beginning of Period......................................... 14,838,988 10,589,152 8,792,130 7,238,249
----------- ----------- ---------- -----------
End of Period............................................... $16,711,938 $14,838,988 $9,538,385 $ 8,792,130
=========== =========== ========== ===========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $7 and $3, respectively.
See accompanying Notes to Financial Statements.
26
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%(C) 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%(D) 0.11% 0.12% 0.12% 0.12% 0.13%
Ratio of Net Investment Income to Average Net
Assets....................................... 1.81%(D) 1.98% 2.15% 1.79% 2.02% 2.42%
Portfolio Turnover Rate....................... 8%(C) 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%(C) 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%(D) 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............. 0.22%(D) 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Net Investment Income to Average Net
Assets....................................... 5.94%(D) 3.20% 3.75% 3.47% 2.55% 3.22%
Portfolio Turnover Rate....................... 8%(C) 15% 14% 9% 20% 18%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
27
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, two of which, The U.S. Large
Cap Value Series and The DFA International Value Series (the "Series"), are
presented in this report. The remaining portfolios are presented in separate
reports.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices which approximate fair value. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Generally, securities issued by open-end investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors/Trustees. Fair value pricing may also be used if events
that have a significant effect on the value of an investment (as determined in
the discretion of the Investment Committee of Dimensional Fund Advisors LP)
occur before the net asset value is calculated. When fair value pricing is
used, the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(normally, 11:00 p.m. PT, 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 International
28
Series is computed. Due to the time differences between the closings of the
relevant foreign securities exchanges and the time the International Series
prices its shares at the close of the NYSE, the International Series will fair
value its foreign investments when it is determined that the market quotations
for the foreign investments are either unreliable or not readily available. The
fair value prices will attempt to reflect the impact of the U.S. financial
markets' perceptions and trading activities on the International Series'
foreign investments since the last closing prices of the foreign investments
were calculated on their primary foreign securities markets or exchanges. For
these purposes, the Board of Directors/Trustees of the International Series has
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable. Fair valuation
of portfolio securities may occur on a daily basis. The fair value pricing by
the International Series utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values
of foreign investments). The fair value prices of portfolio securities
generally will be used when it is determined that the use of such prices will
have a material impact on the net asset value of the International Series. When
the International Series uses fair value pricing, the values assigned to
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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
Series.
2. Foreign Currency Translation: Securities and other assets and
liabilities of the International Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. Deferred Compensation Plan: Each eligible Director/Trustee of the Trust
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the
29
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, generally based on average net assets.
The International Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to each Series. For the six months ended April 30, 2014, the
investment advisory services fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.10% and 0.20% of average daily
net assets for The U.S. Large Cap Value Series and The DFA International Value
Series, respectively.
Earned Income Credit:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2014, expenses reduced were as follows (amounts in
thousands):
Fees Paid
Indirectly
- ----------
The DFA International Value Series. $5
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.
30
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
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
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
The Series are treated as partnerships for federal income tax purposes and
therefore, no provision for federal income taxes is required. Any net
investment income and realized and unrealized gains and losses have been deemed
to have been "passed down" to their respective partners.
At 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)
----------- ------------ -------------- --------------
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 difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
G. Financial Instruments:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. Foreign Market Risks: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, including the possibility of future political and
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
31
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.
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
* 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 DFA
International Value Series received non-cash collateral consisting of short
and/or long term U.S. Treasury securities with a market value of $24,703 (in
thousands). Each Series invests the cash collateral, as described below, and
records a liability for the return of the collateral, during the period the
securities are on loan. Loans of securities are expected at all times to be
secured by collateral equal to at least (i) 100% of the current market value of
the loaned securities with respect to securities of the U.S. government or its
agencies, (ii) 102% of the current market value of the loaned securities with
respect to U.S. securities, and (iii) 105% of the current market value of the
loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Such Series also may invest the cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by
32
securities of the U.S. government or its agencies, and affiliated and
unaffiliated registered and unregistered money market funds. For purposes of
this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. In addition, each Series will be able to terminate
the loan at any time and will receive reasonable interest on the loan, as well
as amounts equal to any dividends, interest or other distributions on the
loaned securities. However, dividend income received from loaned securities may
not be eligible to be taxed at qualified dividend income rates.
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. 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 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
33
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.
34
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (512) 306-7400. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dimensional.com and reflects the twelve-month period beginning
July 1st and ending June 30th.
35
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 13, 2013 (the "Meeting"), the Board of
Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreements for each series
(collectively, the "Funds") and the sub-advisory agreements for The DFA
International Value Series. For The DFA International Value Series, Dimensional
Fund Advisors Ltd. and DFA Australia Limited serve as sub-advisors. (The
investment management agreements and the sub-advisory agreements are referred
to as the "Advisory Agreements," and the Advisor and sub-advisors are referred
to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined
based on the Fund's investment strategies and the expectations of its
shareholder base, among other things, that the performance of each Fund was
reasonable as compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including
36
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.
37
[LOGO] DFA043014-009S
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2014 (Unaudited)
Dimensional Investment Group Inc.
DFA International Value Portfolio III
U.S. Large Cap Value Portfolio III
Tax-Managed U.S. Marketwide Value Portfolio II
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 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
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes................ 1
Dimensional Investment Group Inc.
Disclosure of Fund Expenses............................ 2
Disclosure of Portfolio Holdings....................... 4
Schedules of Investments
DFA International Value Portfolio III.............. 5
U.S. Large Cap Value Portfolio III................. 5
Tax-Managed U.S. Marketwide Value Portfolio II..... 5
Statements of Assets and Liabilities................... 6
Statements of Operations............................... 7
Statements of Changes in Net Assets.................... 8
Financial Highlights................................... 9
Notes to Financial Statements.......................... 11
The DFA Investment Trust Company
Disclosure of Fund Expenses............................ 17
Disclosure of Portfolio Holdings....................... 19
Summary Schedules of Portfolio Holdings
The DFA International Value Series................. 20
The U.S. Large Cap Value Series.................... 24
The Tax-Managed U.S. Marketwide Value Series....... 27
Statements of Assets and Liabilities................... 30
Statements of Operations............................... 31
Statements of Changes in Net Assets.................... 32
Financial Highlights................................... 33
Notes to Financial Statements.......................... 34
Voting Proxies on Fund Portfolio Securities............... 41
Board Approval of Investment Advisory Agreements.......... 42
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedule of Portfolio Holdings
---------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do not represent more than 1.0% of
the net assets of the Fund. Some of the individual securities within this category may include Total or
Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
Financial Highlights
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
(C) Non-Annualized
(D) Annualized
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 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 III**
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,055.20 0.24% $1.22
Hypothetical 5% Annual Return........... $1,000.00 $1,023.60 0.24% $1.20
U.S. Large Cap Value Portfolio III**
------------------------------------
Actual Fund Return...................... $1,000.00 $1,094.30 0.13% $0.68
Hypothetical 5% Annual Return........... $1,000.00 $1,024.15 0.13% $0.65
2
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
11/01/13 04/30/14 Ratio* Period*
--------- --------- ---------- --------
Tax-Managed U.S. Marketwide Value Portfolio II**
------------------------------------------------
Actual Fund Return............................... $1,000.00 $1,084.00 0.22% $1.14
Hypothetical 5% Annual Return.................... $1,000.00 $1,023.70 0.22% $1.10
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (181), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on March 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 of industry classification for the Affiliated Investment
Companies are represented in their Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Companies' holdings
which reflect the investments by category.
Affiliated Investment Company
-----------------------------
DFA International Value Portfolio III.......... 100.0%
U.S. Large Cap Value Portfolio III............. 100.0%
Tax-Managed U.S. Marketwide Value Portfolio II. 100.0%
4
SCHEDULES OF INVESTMENTS
April 30, 2014
(Unaudited)
DFA INTERNATIONAL VALUE PORTFOLIO III
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $1,853,885,664
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $1,508,626,251)............................. $1,853,885,664
==============
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).
U.S. LARGE CAP VALUE PORTFOLIO III
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company..................... $2,859,872,974
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $1,681,736,986)............................. $2,859,872,974
==============
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).
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series of
The DFA Investment Trust Company............................ $1,397,041,235
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $786,176,244)...................................... $1,397,041,235
==============
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.
5
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Tax-Managed
DFA U.S.
International U.S. Large Cap Marketwide
Value Portfolio Value Portfolio Value Portfolio
III III II
--------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Company at Value............... $ 1,853,886 $ 2,859,873 $ 1,397,041
Receivables:
Fund Shares Sold.................................................. 636 757 211
Prepaid Expenses and Other Assets................................... 23 30 25
------------ ------------ ------------
Total Assets................................................... 1,854,545 2,860,660 1,397,277
------------ ------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed.............................................. 843 1,607 446
Due to Advisor.................................................... 15 23 --
Accrued Expenses and Other Liabilities.............................. 74 111 52
------------ ------------ ------------
Total Liabilities.............................................. 932 1,741 498
------------ ------------ ------------
NET ASSETS.......................................................... $ 1,853,613 $ 2,858,919 $ 1,396,779
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 104,968,925 118,295,817 60,300,380
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE.............................................................. $ 17.66 $ 24.17 $ 23.16
============ ============ ============
Investments in Affiliated Investment Company at Cost................ $ 1,508,626 $ 1,681,737 $ 786,176
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 1,469,243 $ 1,604,398 $ 779,426
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)................................................. 16,269 6,616 2,742
Accumulated Net Realized Gain (Loss)................................ 22,704 69,769 3,746
Net Unrealized Foreign Exchange Gain (Loss)......................... 137 -- --
Net Unrealized Appreciation (Depreciation).......................... 345,260 1,178,136 610,865
------------ ------------ ------------
NET ASSETS.......................................................... $ 1,853,613 $ 2,858,919 $ 1,396,779
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED..................................... 500,000,000 700,000,000 500,000,000
============ ============ ============
See accompanying Notes to Financial Statements.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
Tax-Managed
DFA U.S.
International U.S. Large Marketwide
Value Cap Value
Portfolio III* ValuePortfolio III* Portfolio II*
-------------- ------------------- -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $2,234, $0 and $0,
respectively).................................................. $52,588 $ 25,971 $ 11,929
Income from Securities Lending.................................. 1,081 271 113
Expenses Allocated from Affiliated Investment Company........... (1,902) (1,503) (1,404)
------- -------- --------
Total Investment Income...................................... 51,767 24,739 10,638
------- -------- --------
Expenses
Administrative Services Fees.................................... 87 136 --
Accounting & Transfer Agent Fees................................ 17 20 15
Filing Fees..................................................... 24 23 21
Shareholders' Reports........................................... 22 24 10
Directors'/Trustees' Fees & Expenses............................ 11 18 9
Audit Fees...................................................... 3 3 4
Legal Fees...................................................... 4 6 3
Other........................................................... 7 10 5
------- -------- --------
Total Expenses............................................... 175 240 67
------- -------- --------
Net Investment Income (Loss).................................... 51,592 24,499 10,571
------- -------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................. 22,926 69,821 5,221
Foreign Currency Transactions................................. 53 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................... 20,862 152,914 91,693
Futures....................................................... 21 -- --
Translation of Foreign Currency Denominated Amounts........... 12 -- --
------- -------- --------
Net Realized and Unrealized Gain (Loss)......................... 43,874 222,735 96,914
------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations... $95,466 $247,234 $107,485
======= ======== ========
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $1, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA U.S. Large Cap Value
International ValuePortfolio III Portfolio III
------------------------------- ----------------------
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)................... $ 51,592 $ 46,731 $ 24,499 $ 46,299
Net Realized Gain (Loss) on:
Investment Securities Sold*................... 22,926 72,564 69,821 204,002
Futures....................................... -- (280) -- --
Foreign Currency Transactions................. 53 (418) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency..................................... 20,862 255,240 152,914 464,086
Futures....................................... 21 (22) -- --
Translation of Foreign Currency Denominated
Amounts...................................... 12 113 -- --
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................. 95,466 373,928 247,234 714,387
---------- ---------- ---------- ----------
Distributions From:
Net Investment Income.......................... (37,915) (47,178) (23,597) (46,245)
Net Short-Term Gains........................... (2,906) -- -- --
Net Long-Term Gains............................ (66,638) (28,559) (55,581) --
---------- ---------- ---------- ----------
Total Distributions......................... (107,459) (75,737) (79,178) (46,245)
---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued.................................. 176,366 300,366 220,955 362,948
Shares Issued in Lieu of Cash Distributions.... 85,804 62,527 65,200 39,087
Shares Redeemed................................ (122,414) (232,096) (243,403) (498,513)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions......................... 139,756 130,797 42,752 (96,478)
---------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets..... 127,763 428,988 210,808 571,664
Net Assets
Beginning of Period............................ 1,725,850 1,296,862 2,648,111 2,076,447
---------- ---------- ---------- ----------
End of Period.................................. $1,853,613 $1,725,850 $2,858,919 $2,648,111
========== ========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued.................................. 10,222 19,048 9,437 18,268
Shares Issued in Lieu of Cash Distributions.... 5,113 4,075 2,854 2,013
Shares Redeemed................................ (7,081) (14,670) (10,404) (25,265)
---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed........................ 8,254 8,453 1,887 (4,984)
========== ========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)......................................... $ 16,269 $ 2,592 $ 6,616 $ 5,714
Tax-Managed U.S.
Marketwide Value
Portfolio II
----------------------
Six Months Year
Ended Ended
April 30, Oct. 31,
2014 2013
----------- ----------
(Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................... $ 10,571 $ 20,061
Net Realized Gain (Loss) on:
Investment Securities Sold*................... 5,221 11,465
Futures....................................... -- --
Foreign Currency Transactions................. -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency..................................... 91,693 307,019
Futures....................................... -- --
Translation of Foreign Currency Denominated
Amounts...................................... -- --
---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................. 107,485 338,545
---------- ----------
Distributions From:
Net Investment Income.......................... (10,307) (19,382)
Net Short-Term Gains........................... -- --
Net Long-Term Gains............................ -- --
---------- ----------
Total Distributions......................... (10,307) (19,382)
---------- ----------
Capital Share Transactions (1):
Shares Issued.................................. 75,654 133,567
Shares Issued in Lieu of Cash Distributions.... 10,253 19,334
Shares Redeemed................................ (65,970) (153,201)
---------- ----------
Net Increase (Decrease) from Capital
Share Transactions......................... 19,937 (300)
---------- ----------
Total Increase (Decrease) in Net Assets..... 117,115 318,863
Net Assets
Beginning of Period............................ 1,279,664 960,801
---------- ----------
End of Period.................................. $1,396,779 $1,279,664
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued.................................. 3,350 7,190
Shares Issued in Lieu of Cash Distributions.... 457 1,060
Shares Redeemed................................ (2,938) (8,391)
---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed........................ 869 (141)
========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)......................................... $ 2,742 $ 2,478
----------
* Net of foreign capital gain taxes withheld of $1, $1, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio III
-------------------------------------------------------------------------- --------------
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............................. $ 17.84 $ 14.69 $ 14.81 $ 16.66 $ 15.41 $ 11.74 $ 22.75
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).. 0.51 0.50 0.53 0.58 0.39 0.40 0.21
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 0.41 3.48 (0.12) (1.87) 1.25 3.66 1.89
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... 0.92 3.98 0.41 (1.29) 1.64 4.06 2.10
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.38) (0.51) (0.48) (0.56) (0.39) (0.39) (0.20)
Net Realized Gains................ (0.72) (0.32) (0.05) -- -- -- (0.48)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.............. (1.10) (0.83) (0.53) (0.56) (0.39) (0.39) (0.68)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 17.66 $ 17.84 $ 14.69 $ 14.81 $ 16.66 $ 15.41 $ 24.17
=================================== =========== ========== ========== ========== ========== ========== ===========
Total Return........................ 5.52%(C) 28.15% 3.14% (8.06)% 11.05% 35.37% 9.43%(C)
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $1,853,613 $1,725,850 $1,296,862 $1,138,810 $1,160,487 $1,008,172 $2,858,919
Ratio of Expenses to Average Net
Assets (B)......................... 0.24%(D) 0.25% 0.26% 0.26% 0.26% 0.28% 0.13%(D)
Ratio of Net Investment Income to
Average Net Assets................. 5.91%(D) 3.15% 3.71% 3.45% 2.53% 3.19% 1.80%(D)
--------------------------------------------------------------------------------------------------------------------------------
U.S. Large Cap Value Portfolio III
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period............................. $ 17.11 $ 14.77 $ 14.23 $ 12.10 $ 11.15
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).. 0.39 0.34 0.27 0.27 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized)........ 5.64 2.33 0.54 2.12 0.97
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations...................... 6.03 2.67 0.81 2.39 1.22
------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............. (0.39) (0.33) (0.27) (0.26) (0.27)
Net Realized Gains................ -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.39) (0.33) (0.27) (0.26) (0.27)
------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 22.75 $ 17.11 $ 14.77 $ 14.23 $ 12.10
=================================== ========== ========== ========== ========== ==========
Total Return........................ 35.65% 18.32% 5.64% 19.96% 11.88%
------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $2,648,111 $2,076,447 $1,823,228 $1,714,304 $1,457,701
Ratio of Expenses to Average Net
Assets (B)......................... 0.13% 0.14% 0.14% 0.14% 0.16%
Ratio of Net Investment Income to
Average Net Assets................. 1.97% 2.13% 1.77% 2.00% 2.37%
------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
9
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Tax-Managed U.S. Marketwide Value Portfolio II
-----------------------------------------------------------------
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......................... $ 21.53 $ 16.13 $ 13.88 $ 13.27 $ 11.17 $ 10.20
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.18 0.34 0.29 0.23 0.17 0.21
Net Gains (Losses) on Securities (Realized and Unrealized). 1.62 5.39 2.24 0.60 2.10 1.02
---------- ---------- -------- -------- -------- --------
Total from Investment Operations.......................... 1.80 5.73 2.53 0.83 2.27 1.23
--------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.17) (0.33) (0.28) (0.22) (0.17) (0.26)
---------- ---------- -------- -------- -------- --------
Total Distributions....................................... (0.17) (0.33) (0.28) (0.22) (0.17) (0.26)
--------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............................... $ 23.16 $ 21.53 $ 16.13 $ 13.88 $ 13.27 $ 11.17
============================================================= =========== ========== ======== ======== ======== ========
Total Return................................................. 8.40%(C) 35.90% 18.50% 6.26% 20.47% 12.64%
--------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........................ $1,396,779 $1,279,664 $960,801 $837,887 $773,434 $671,403
Ratio of Expenses to Average Net Assets (B).................. 0.22%(D) 0.23% 0.23% 0.23% 0.23% 0.26%
Ratio of Net Investment Income to Average Net Assets......... 1.59%(D) 1.80% 1.97% 1.60% 1.38% 2.16%
--------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, three
of which, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio
III and Tax-Managed U.S. Marketwide Value Portfolio II (the "Portfolios"), are
presented in this report. The remaining operational portfolios are presented in
separate reports.
DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II primarily invest their
assets in The DFA International Value Series, The U.S. Large Cap Value Series
and The Tax-Managed U.S. Marketwide Value Series (the "Series"), respectively,
each a corresponding series of The DFA Investment Trust Company. At April 30,
2014, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II owned 20%, 17% and 29% of
their respective Series. The financial statements of the Series are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Portfolios.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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
11
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 Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
are each treated as a partnership for federal income tax purposes. Dividend
income and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or Portfolios are allocated using
methods approved by the Board, generally based on average net assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides administrative services
to the Portfolios, including supervision of services provided by others,
providing information to shareholders and the Board, and other administrative
services. The Advisor provides investment advisory services to each Series. For
the six months ended April 30, 2014, the Portfolios' administrative services
fees were accrued daily and paid monthly to the Advisor based on an effective
annual rate of 0.01% average daily net assets, except for the Tax-Managed U.S.
Marketwide Value Portfolio II, which pays no fee.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the 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 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):
DFA International Value Portfolio III.......... $47
U.S. Large Cap Value Portfolio III............. 73
Tax-Managed U.S. Marketwide Value Portfolio II. 33
E. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
12
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2013, primarily attributable to net foreign
currency gains/losses, gains on securities considered to be "passive foreign
investment companies", tax equalization, realized foreign capital gains tax,
the utilization of accumulated earnings and profits distributed to shareholders
on redemptions as part of the dividends paid deduction for income purposes and
non-deductible expenses, were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
DFA International Value Portfolio III.......... $4,323 $(2,008) $(2,315)
U.S. Large Cap Value Portfolio III............. 2,714 (1,216) (1,498)
Tax-Managed U.S. Marketwide Value Portfolio II. 582 (413) (169)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2012 and October 31, 2013 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
DFA International Value Portfolio III
2012........................................... $41,721 $ 5,087 $46,808
2013........................................... 47,178 28,559 75,737
U.S. Large Cap Value Portfolio III
2012........................................... 40,221 -- 40,221
2013........................................... 46,245 -- 46,245
Tax-Managed U.S. Marketwide Value Portfolio II
2012........................................... 17,774 -- 17,774
2013........................................... 19,382 -- 19,382
At October 31, 2013, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- ------
DFA International Value Portfolio III.......... $1,811 $2,511 $4,322
U.S. Large Cap Value Portfolio III............. 1,216 1,498 2,714
Tax-Managed U.S. Marketwide Value Portfolio II. 582 -- 582
13
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Net Total Net
Investment Distributable
Income and Undistributed Capital Unrealized Earnings
Short-Term Long-Term Loss Appreciation (Accumulated
Capital Gains Capital Gains Carryforwards (Depreciation) Losses)
----------------- ------------- ------------- -------------- -------------
DFA International Value Portfolio
III.............................. $6,670 $66,597 -- $ 323,169 $ 396,436
U.S. Large Cap Value Portfolio III. 5,821 55,566 -- 1,025,185 1,086,572
Tax-Managed U.S. Marketwide Value
Portfolio II..................... 2,526 -- $(1,383) 519,080 520,223
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2013, the
Portfolios had the following capital loss carryforwards available to offset
future realized capital gains through the indicated expiration dates (amounts
in thousands):
Expires on October 31,
----------------------
2017 Total
---------------------- ------
Tax-Managed U.S. Marketwide Value Portfolio II. $1,383 $1,383
During the year ended October 31, 2013, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
U.S. Large Cap Value Portfolio III............. $146,937
Tax-Managed U.S. Marketwide Value Portfolio II. 11,296
At 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 III.......... $1,509,959 $ 343,927 -- $ 343,927
U.S. Large Cap Value Portfolio III............. 1,681,775 1,178,098 -- 1,178,098
Tax-Managed U.S. Marketwide Value Portfolio II. 786,268 610,773 -- 610,773
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolios'
tax positions and has concluded that no additional provision for income tax is
required in any Portfolio's financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Portfolios' federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
F. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, 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
14
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.
G. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. 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
- ------------ --------------
DFA International Value Portfolio III.......... 4 93%
U.S. Large Cap Value Portfolio III............. 5 97%
Tax-Managed U.S. Marketwide Value Portfolio II. 3 99%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buyout transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series have been named as defendants in a multi-district litigation pending in
the United States District Court for the Southern District of New York (the
"Court"), captioned In re Tribune Company Fraudulent Conveyance Litigation,
No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
15
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 and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits do not believe that it is
possible, at this early stage in the proceedings, to predict with any
reasonable certainty the probable outcome of the Lawsuits or quantify the
ultimate exposure to The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series arising from the Lawsuits. Until The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset values of the U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will be made relating to the
Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the
full recovery the plaintiffs seek, the amount would be less than 1% of The U.S.
Large Cap Value Series' and The Tax-Managed U.S. Marketwide Value Series' net
asset values, respectively, at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot predict what their size might be at the time the cost of the
Lawsuits might be quantifiable and thus potentially deducted from their net
asset values. Therefore, at this time, those investors buying or redeeming
shares of The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide
Value Series will pay or receive, as the case may be, a price based on the net
asset values of The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series, with no adjustment relating to the Lawsuits. The
attorneys' fees and costs relating to the Lawsuits will be taken as expenses by
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series as incurred and in a manner similar to any other expense incurred by The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series.
I. 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.
16
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 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
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
17
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 Tax-Managed U.S. Marketwide Value Series
--------------------------------------------
Actual Fund Return........................... $1,000.00 $1,084.10 0.21% $1.09
Hypothetical 5% Annual Return................ $1,000.00 $1,023.75 0.21% $1.05
----------
* 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.
18
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 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 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 Tax-Managed U.S. Marketwide Value Series
Consumer Discretionary....................... 17.8%
Consumer Staples............................. 7.3%
Energy....................................... 17.1%
Financials................................... 18.7%
Health Care.................................. 9.9%
Industrials.................................. 14.3%
Information Technology....................... 6.8%
Materials.................................... 3.2%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 4.5%
Utilities.................................... 0.4%
-----
100.0%
19
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%
------------ -----
20
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%
21
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%
=============== ======
22
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.
23
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%
24
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
Thermo Fisher Scientific, Inc...................... 1,947,634 $ 222,030,276 1.3%
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%
=============== ======
25
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.
26
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2014
(Unaudited)
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (95.2%)
Consumer Discretionary -- (16.9%)
Comcast Corp. Class A.................. 3,446,875 $178,410,250 3.7%
Comcast Corp. Special Class A.......... 1,088,341 55,538,041 1.2%
General Motors Co...................... 674,707 23,263,897 0.5%
* Liberty Interactive Corp. Class A...... 882,463 25,644,375 0.5%
Time Warner Cable, Inc................. 693,942 98,165,035 2.1%
Time Warner, Inc....................... 1,534,860 102,006,796 2.1%
Twenty-First Century Fox, Inc. Class A. 1,287,383 41,222,004 0.9%
Other Securities....................... 324,623,832 6.7%
------------ -----
Total Consumer Discretionary............... 848,874,230 17.7%
------------ -----
Consumer Staples -- (7.0%)
Archer-Daniels-Midland Co.............. 813,476 35,573,306 0.8%
* Constellation Brands, Inc. Class A..... 249,042 19,883,513 0.4%
CVS Caremark Corp...................... 1,510,745 109,861,376 2.3%
Mondelez International, Inc. Class A... 2,081,099 74,191,179 1.6%
Other Securities....................... 111,314,721 2.2%
------------ -----
Total Consumer Staples..................... 350,824,095 7.3%
------------ -----
Energy -- (16.2%)
Anadarko Petroleum Corp................ 845,068 83,678,633 1.8%
Apache Corp............................ 289,715 25,147,262 0.5%
Chevron Corp........................... 696,706 87,450,537 1.8%
ConocoPhillips......................... 1,766,829 131,293,063 2.8%
Exxon Mobil Corp....................... 510,224 52,252,040 1.1%
Hess Corp.............................. 378,130 33,714,071 0.7%
Marathon Oil Corp...................... 903,937 32,677,323 0.7%
Marathon Petroleum Corp................ 451,968 42,010,426 0.9%
National Oilwell Varco, Inc............ 250,948 19,706,946 0.4%
Phillips 66............................ 883,414 73,517,713 1.5%
Valero Energy Corp..................... 605,899 34,639,246 0.7%
Other Securities....................... 199,516,990 4.1%
------------ -----
Total Energy............................... 815,604,250 17.0%
------------ -----
Financials -- (17.8%)
American International Group, Inc...... 899,581 47,794,738 1.0%
Bank of America Corp................... 6,542,656 99,055,812 2.1%
Capital One Financial Corp............. 356,632 26,355,105 0.6%
Citigroup, Inc......................... 2,248,344 107,718,161 2.3%
CME Group, Inc......................... 414,385 29,168,560 0.6%
Goldman Sachs Group, Inc. (The)........ 143,685 22,963,737 0.5%
JPMorgan Chase & Co.................... 1,591,818 89,109,972 1.9%
MetLife, Inc........................... 1,125,923 58,942,069 1.2%
Morgan Stanley......................... 1,476,248 45,660,351 1.0%
Prudential Financial, Inc.............. 497,625 40,148,385 0.9%
Other Securities....................... 325,616,838 6.5%
------------ -----
Total Financials........................... 892,533,728 18.6%
------------ -----
Health Care -- (9.5%)
Aetna, Inc............................. 558,462 39,902,110 0.8%
* Express Scripts Holding Co............. 493,239 32,839,853 0.7%
Humana, Inc............................ 236,814 25,990,337 0.6%
Pfizer, Inc............................ 3,950,849 123,582,557 2.6%
27
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
Thermo Fisher Scientific, Inc...................... 499,520 $ 56,945,280 1.2%
WellPoint, Inc..................................... 504,640 50,807,155 1.1%
Zoetis, Inc........................................ 805,208 24,365,594 0.5%
Other Securities................................... 120,754,284 2.4%
-------------- -----
Total Health Care...................................... 475,187,170 9.9%
-------------- -----
Industrials -- (13.6%)
CSX Corp........................................... 1,242,950 35,076,049 0.8%
General Electric Co................................ 5,021,489 135,027,839 2.8%
Norfolk Southern Corp.............................. 545,229 51,540,497 1.1%
Northrop Grumman Corp.............................. 337,038 40,953,487 0.9%
Union Pacific Corp................................. 444,064 84,563,108 1.8%
Other Securities................................... 337,071,373 6.9%
-------------- -----
Total Industrials...................................... 684,232,353 14.3%
-------------- -----
Information Technology -- (6.5%)
Corning, Inc....................................... 1,201,485 25,123,051 0.5%
* Micron Technology, Inc............................. 758,908 19,822,677 0.4%
* Yahoo!, Inc........................................ 1,048,770 37,703,281 0.8%
Other Securities................................... 242,269,358 5.1%
-------------- -----
Total Information Technology........................... 324,918,367 6.8%
-------------- -----
Materials -- (3.1%)
International Paper Co............................. 493,615 23,027,140 0.5%
Other Securities................................... 132,034,497 2.7%
-------------- -----
Total Materials........................................ 155,061,637 3.2%
-------------- -----
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- -----
Real Estate Investment Trusts -- (0.0%)
Other Securities................................... 169,393 0.0%
-------------- -----
Telecommunication Services -- (4.3%)
AT&T, Inc.......................................... 4,065,906 145,152,844 3.0%
Verizon Communications, Inc........................ 644,888 30,135,616 0.6%
Other Securities................................... 39,529,376 0.9%
-------------- -----
Total Telecommunication Services....................... 214,817,836 4.5%
-------------- -----
Utilities -- (0.3%)
Other Securities................................... 16,769,702 0.4%
-------------- -----
TOTAL COMMON STOCKS.................................... 4,778,992,761 99.7%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 21,150 0.0%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional Liquid Reserves, 0.074%. 11,873,516 11,873,516 0.2%
-------------- -----
28
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Shares/
Face Percentage
Amount Value+ of Net Assets**
------- ------ ---------------
(000)
SECURITIES LENDING COLLATERAL -- (4.6%)
(S)@ DFA Short Term Investment Fund.. 19,872,417 $ 229,923,863 4.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,914,575,678).............. $5,020,811,290 104.7%
============== ======
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........ $ 848,874,230 -- -- $ 848,874,230
Consumer Staples.............. 350,824,095 -- -- 350,824,095
Energy........................ 815,604,250 -- -- 815,604,250
Financials.................... 892,527,152 $ 6,576 -- 892,533,728
Health Care................... 475,127,397 59,773 -- 475,187,170
Industrials................... 684,232,141 212 -- 684,232,353
Information Technology........ 324,918,367 -- -- 324,918,367
Materials..................... 155,061,637 -- -- 155,061,637
Other......................... -- -- -- --
Real Estate Investment Trusts. 169,393 -- -- 169,393
Telecommunication Services.... 214,817,836 -- -- 214,817,836
Utilities..................... 16,769,702 -- -- 16,769,702
Rights/Warrants................. -- 21,150 -- 21,150
Temporary Cash Investments...... 11,873,516 -- -- 11,873,516
Securities Lending Collateral... -- 229,923,863 -- 229,923,863
-------------- ------------ -- --------------
TOTAL........................... $4,790,799,716 $230,011,574 -- $5,020,811,290
============== ============ == ==============
See accompanying Notes to Financial Statements.
29
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
The Tax-
The DFA The U.S. Large Managed U.S.
International Cap Value Marketwide
Value Series* Series Value Series
------------- -------------- ------------
ASSETS:
Investments at Value (including $922,064, $432,843 and $225,255 of
securities on loan, respectively of securities on loan)................. $ 9,480,370 $16,668,644 $4,779,013
Temporary Cash Investments at Value & Cost............................... -- 69,498 11,874
Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 955,113 441,535 229,924
Foreign Currencies at Value.............................................. 34,442 -- --
Cash..................................................................... 12,095 -- 1,055
Receivables:
Investment Securities Sold............................................. 8,683 22,131 849
Dividends, Interest and Tax Reclaims................................... 38,974 14,957 4,181
Securities Lending Income.............................................. 2,482 265 71
Unrealized Gain on Foreign Currency Contracts............................ 8 -- --
----------- ----------- ----------
Total Assets........................................................ 10,532,167 17,217,030 5,026,967
----------- ----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................................... 955,113 441,535 229,924
Investment Securities Purchased........................................ 36,644 61,418 --
Due to Advisor......................................................... 1,541 1,360 781
Unrealized Loss on Foreign Currency Contracts............................ 10 -- --
Accrued Expenses and Other Liabilities................................... 474 779 228
----------- ----------- ----------
Total Liabilities................................................... 993,782 505,092 230,933
----------- ----------- ----------
NET ASSETS............................................................... $ 9,538,385 $16,711,938 $4,796,034
=========== =========== ==========
Investments at Cost...................................................... $ 7,650,003 $10,414,840 $2,672,778
=========== =========== ==========
Foreign Currencies at Cost............................................... $ 34,284 $ -- $ --
=========== =========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
30
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
The Tax-
The DFA The U.S. Managed U.S.
International Large Cap Marketwide
Value Series Value Series Value Series
------------- ------------ ------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $11,473, $0 and $0,
respectively)................................................... $270,261 $ 148,837 $ 40,992
Interest......................................................... 1 3 1
Income from Securities Lending................................... 5,549 1,553 388
-------- ---------- --------
Total Investment Income....................................... 275,811 150,393 41,381
-------- ---------- --------
Expenses
Investment Advisory Services Fees................................ 8,965 7,825 4,579
Accounting & Transfer Agent Fees................................. 236 403 118
Custodian Fees................................................... 362 75 25
Shareholders' Reports............................................ 5 9 8
Directors'/Trustees' Fees & Expenses............................. 59 99 29
Professional Fees................................................ 101 172 50
Other............................................................ 47 36 13
-------- ---------- --------
Total Expenses................................................ 9,775 8,619 4,822
-------- ---------- --------
Fees Paid Indirectly............................................... (5) -- --
-------- ---------- --------
Net Expenses....................................................... 9,770 8,619 4,822
-------- ---------- --------
Net Investment Income (Loss)..................................... 266,041 141,774 36,559
-------- ---------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold*.................................... 124,552 366,497 18,006
Foreign Currency Transactions.................................. 335 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... 101,142 907,355 315,510
Translation of Foreign Currency Denominated Amounts............ 66 -- --
-------- ---------- --------
Net Realized and Unrealized Gain (Loss).......................... 226,095 1,273,852 333,516
-------- ---------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations.... $492,136 $1,415,626 $370,075
======== ========== ========
----------
* Net of foreign capital gain taxes withheld of $7, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
31
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The DFA International The U.S. Large Cap Value The Tax-Managed U.S.
Value Series Series Marketwide Value Series
----------------------- ------------------------ ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013 2014 2013
----------- ----------- ----------- ----------- ----------- ----------
(Unaudited) (Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 266,041 $ 252,489 $ 141,774 $ 250,494 $ 36,559 $ 69,562
Net Realized Gain (Loss) on:
Investment Securities Sold*........... 124,552 394,216 366,497 1,042,669 18,006 39,747
Futures............................... -- (1,587) -- -- -- --
Foreign Currency Transactions......... 335 (2,158) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 101,142 1,329,657 907,355 2,531,751 315,510 1,056,586
Translation of Foreign Currency
Denominated Amounts.................. 66 544 -- -- -- --
---------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 492,136 1,973,161 1,415,626 3,824,914 370,075 1,165,895
---------- ----------- ----------- ----------- ---------- ----------
Transactions in Interest:
Contributions......................... 469,662 1,055,913 825,366 1,639,135 100,953 285,068
Withdrawals........................... (215,543) (1,475,193) (368,042) (1,214,213) (64,749) (367,684)
---------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ 254,119 (419,280) 457,324 424,922 36,204 (82,616)
---------- ----------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. 746,255 1,553,881 1,872,950 4,249,836 406,279 1,083,279
Net Assets
Beginning of Period..................... 8,792,130 7,238,249 14,838,988 10,589,152 4,389,755 3,306,476
---------- ----------- ----------- ----------- ---------- ----------
End of Period........................... $9,538,385 $ 8,792,130 $16,711,938 $14,838,988 $4,796,034 $4,389,755
========== =========== =========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $7, $3, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
32
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
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%(C) 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%(D) 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)............. 0.22%(D) 0.22% 0.24% 0.23% 0.24% 0.24%
Ratio of Net Investment Income to Average Net
Assets....................................... 5.94%(D) 3.20% 3.75% 3.47% 2.55% 3.22%
Portfolio Turnover Rate....................... 8%(C) 15% 14% 9% 20% 18%
--------------------------------------------------------------------------------------------------------------------------
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%(C) 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%(D) 0.11% 0.12% 0.12% 0.12% 0.13%
Ratio of Net Investment Income to Average
Net Assets............................... 1.81%(D) 1.98% 2.15% 1.79% 2.02% 2.42%
Portfolio Turnover Rate................... 8%(C) 15% 10% 14% 28% 29%
------------------------------------------------------------------------------------------------------------------------
The Tax-Managed U.S. Marketwide 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.................................. 8.41%(C) 35.92% 18.47% 6.33% 20.38% 12.76%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $4,796,034 $4,389,755 $3,306,476 $2,901,325 $2,670,673 $2,289,927
Ratio of Expenses to Average Net Assets....... 0.21%(D) 0.21% 0.22% 0.22% 0.22% 0.23%
Ratio of Net Investment Income to Average Net
Assets....................................... 1.60%(D) 1.82% 1.99% 1.61% 1.40% 2.23%
Portfolio Turnover Rate....................... 1%(C) 5% 10% 20% 25% 28%
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
33
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, three of which, The DFA International
Value Series, The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series (the "Series"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series including over-the-counter securities, are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices which approximate fair value. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Generally, securities issued by open-end investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors/Trustees. Fair value pricing may also be used if events
that have a significant effect on the value of an investment (as determined in
the discretion of the Investment Committee of Dimensional Fund Advisors LP)
occur before the net asset value is calculated. When fair value pricing is
used, the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(normally, 11:00 p.m. PT, the previous day), which is fourteen hours
34
prior to the close of the NYSE (normally, 1:00 p.m. PT) and the time that the
net asset value of the International Series is computed. Due to the time
differences between the closings of the relevant foreign securities exchanges
and the time the International Series prices its shares at the close of the
NYSE, the International Series will fair value its foreign investments when it
is determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on International Series' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of
Directors/Trustees of the International Series has determined that movements in
relevant indices or other appropriate market indicators, after the close of the
Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable. Fair valuation of portfolio securities may occur
on a daily basis. The fair value pricing by the International Series utilizes
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). When the
International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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
Series.
2. Foreign Currency Translation: Securities and other assets and
liabilities of the International Series whose values are initially expressed in
foreign currencies are translated to U.S. dollars using the mean between the
most recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. Deferred Compensation Plan: Each eligible Director/Trustee of the Trust
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the
35
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 Series may be subject to taxes imposed by countries in
which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to each Series. For the six months ended April 30, 2014, the
investment advisory services fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20%, 0.10%, and 0.20% of average
daily net assets for The DFA International Value Series, The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series, respectively.
Earned Income Credit:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2014, expenses reduced were as follows (amount in
thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series. $5
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.
36
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 DFA International Value Series........... $276
The U.S. Large Cap Value Series.............. 383
The Tax-Managed U.S. Marketwide Value Series. 116
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 DFA International Value Series........... $1,125,082 $ 709,817
The U.S. Large Cap Value Series.............. 1,851,848 1,259,638
The Tax-Managed U.S. Marketwide Value Series. 115,281 25,035
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 Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
----------- ------------ ------------ --------------
The DFA International Value Series........... $ 8,613,314 $2,266,781 $(444,612) $1,822,169
The U.S. Large Cap Value Series.............. 10,926,067 6,313,025 (59,415) 6,253,610
The Tax-Managed U.S. Marketwide Value Series. 2,915,227 2,142,081 (36,497) 2,105,584
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
The Series' federal tax returns for the prior three fiscal years remain subject
to examination by the Internal Revenue Service.
G. Financial Instruments:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. 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
37
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
H. Line of Credit:
The Trust, together with other Dimensional-advised portfolios, 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 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 Loan Days Expense Borrowed During
Interest Rate Balance Outstanding* Incurred The Period
------------- ------------ ------------ -------- ---------------
The DFA International Value Series. 0.83% $10,282 4 $1 $11,874
The U.S. Large Cap Value Series.... 0.85% 12,485 8 2 32,996
* 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. Each Series invests the
cash collateral, as described below, and records a liability for the return of
the collateral, during the period the securities are on loan. In addition, The
DFA International Value Series received non-cash collateral consisting of short
and/or long term U.S. Treasury securities with a market value of $24,703 (in
thousands). Loans of securities are expected at all times to be secured by
collateral equal to at least (i) 100% of the current market value of the loaned
securities with respect to securities of the U.S. government or its agencies,
(ii) 102% of the current market value of the loaned securities with respect to
U.S. securities, and (iii) 105% of the current market value of the loaned
securities with respect to foreign securities. However, daily market
fluctuations could cause the Series' collateral to be lower or higher than the
expected thresholds. If this were to occur, the collateral would be adjusted
the next business day to ensure adequate collateralization. In the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities.
38
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Such Series also may invest the cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by securities of the U.S. government or its agencies,
and affiliated and unaffiliated registered and unregistered money market funds.
For purposes of this paragraph, agencies include both agency debentures and
agency mortgage-backed securities. In addition, each Series will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
L. Other:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when the Tribune Company went private
in 2007 in a leveraged buyout transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series have been named as defendants in a multi-district litigation pending in
the United States District Court for the Southern District of New York (the
"Court"), captioned In re Tribune Company Fraudulent Conveyance Litigation,
No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO. On September 23, 2013, the Court entered an order dismissing the
Individual Creditor Actions in their entirety on the grounds that the
individual creditor plaintiffs lack standing to pursue their claims. The
Court's dismissal order is on appeal to the Second Circuit. The Committee
Action remains pending, and 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 and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits do not believe that it is
possible, at this early stage in the proceedings, to predict with any
reasonable certainty the probable outcome of the Lawsuits or quantify the
ultimate exposure to The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series arising from the Lawsuits. Until The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset values
39
of the U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of The U.S. Large Cap Value Series' and The
Tax-Managed U.S. Marketwide Value Series' net asset values, respectively, at
this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot predict what their size might be at the time the cost of the
Lawsuits might be quantifiable and thus potentially deducted from their net
asset values. Therefore, at this time, those investors buying or redeeming
shares of The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide
Value Series will pay or receive, as the case may be, a price based on the net
asset values of The U.S. Large Cap Value Series and The Tax-Managed U.S.
Marketwide Value Series, with no adjustment relating to the Lawsuits. The
attorneys' fees and costs relating to the Lawsuits will be taken as expenses by
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series as incurred and in a manner similar to any other expense incurred by The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
40
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.
41
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 13, 2013 (the "Meeting"), the Board of
Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreements for each series
(collectively, the "Funds") and the sub-advisory agreements for The DFA
International Value Series. For The DFA International Value Series, Dimensional
Fund Advisors Ltd. and DFA Australia Limited serve as sub-advisors. (The
investment management agreements and the sub-advisory agreements are referred
to as the "Advisory Agreements," and the Advisor and sub-advisors are referred
to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined
based on the Fund's investment strategies and the expectations of its
shareholder base, among other things, that the performance of each Fund was
reasonable as compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including
42
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.
43
[LOGO] DFA043014-008S
[LOGO]
SEMI-ANNUAL REPORT
six months ended: April 30, 2014 (Unaudited)
Dimensional Investment Group Inc.
DFA International Value Portfolio IV
Emerging Markets Portfolio II
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
May 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
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(Unaudited)
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes....... 1
Dimensional Investment Group Inc.
Disclosure of Fund Expenses................... 2
Disclosure of Portfolio Holdings.............. 3
Schedules of Investments
DFA International Value Portfolio IV...... 4
Emerging Markets Portfolio II............. 4
Statements of Assets and Liabilities.......... 5
Statements of Operations...................... 6
Statements of Changes in Net Assets........... 7
Financial Highlights.......................... 8
Notes to Financial Statements................. 9
The DFA Investment Trust Company
Disclosure of Fund Expenses................... 14
Disclosure of Portfolio Holdings.............. 15
Summary Schedules of Portfolio Holdings
The DFA International Value Series........ 16
The Emerging Markets Series............... 20
Statements of Assets and Liabilities.......... 24
Statements of Operations...................... 25
Statements of Changes in Net Assets........... 26
Financial Highlights.......................... 27
Notes to Financial Statements................. 28
Voting Proxies on Fund Portfolio Securities...... 34
Board Approval of Investment Advisory Agreements. 35
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedule of Portfolio Holdings
---------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
GDR Global Depositary Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities have generally been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do not represent more than 1.0% of
the net assets of the Fund. Some of the individual securities within this category may include Total or
Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
Financial Highlights
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
(C) Non-Annualized
(D) Annualized
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended April 30, 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 IV**
--------------------------------------
Actual Fund Return..................... $1,000.00 $1,055.30 0.27% $1.38
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.46 0.27% $1.35
Emerging Markets Portfolio II**
-------------------------------
Actual Fund Return..................... $1,000.00 $ 978.30 0.35% $1.72
Hypothetical 5% Annual Return.......... $1,000.00 $1,023.06 0.35% $1.76
----------
* 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).
2
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).
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is utilized. The
following table, which presents portfolio holdings as a percent of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with such requirement.
The categories of industry classification for the Affiliated Investment
Companies are represented in their Disclosure of Portfolio Holdings, which is
included elsewhere within the report. Refer to the Summary Schedules of
Portfolio Holdings for the underlying Affiliated Investment Companies' holdings
which reflect the investments by category.
Affiliated Investment Company
-----------------------------
DFA International Value Portfolio IV. 100.0%
Emerging Markets Portfolio II........ 100.0%
3
SCHEDULES OF INVESTMENTS
April 30, 2014
(Unaudited)
DFA INTERNATIONAL VALUE PORTFOLIO IV
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $278,164,019
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $218,637,597)............................... $278,164,019
============
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 PORTFOLIO II
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of
The DFA Investment Trust Company..................... $107,812,178
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $33,111,154)................................ $107,812,178
============
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.
4
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands, except share and per share amounts)
DFA
International Emerging
Value Markets
Portfolio IV Portfolio II
------------- ------------
ASSETS:
Investment in Affiliated Investment Company at Value................................... $ 278,164 $ 107,812
Prepaid Expenses and Other Assets...................................................... 7 6
------------ ------------
Total Assets...................................................................... 278,171 107,818
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed................................................................. 390 206
Due to Advisor....................................................................... 7 13
Accrued Expenses and Other Liabilities................................................. 24 13
------------ ------------
Total Liabilities................................................................. 421 232
------------ ------------
NET ASSETS............................................................................. $ 277,750 $ 107,586
============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 17,718,065 4,238,232
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 15.68 $ 25.38
============ ============
Investment in Affiliated Investment Company at Cost.................................... $ 218,638 $ 33,111
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 238,763 $ 91,359
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 6,723 333
Accumulated Net Realized Gain (Loss)................................................... (27,306) (58,807)
Net Unrealized Foreign Exchange Gain (Loss)............................................ 44 --
Net Unrealized Appreciation (Depreciation)............................................. 59,526 74,701
------------ ------------
NET ASSETS............................................................................. $ 277,750 $ 107,586
============ ============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 300,000,000
============ ============
See accompanying Notes to Financial Statements.
5
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
DFA
International Emerging
Value Markets
Portfolio IV* Portfolio II*
------------- -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $337 and $113, respectively). $ 7,893 $ 941
Income from Securities Lending........................................... 164 62
Expenses Allocated from Affiliated Investment Company.................... (288) (77)
------- -------
Total Investment Income............................................... 7,769 926
------- -------
Expenses
Administrative Services Fees............................................. 40 78
Accounting & Transfer Agent Fees......................................... 12 12
Filing Fees.............................................................. 11 9
Shareholders' Reports.................................................... 2 1
Directors'/Trustees' Fees & Expenses..................................... 2 1
Audit Fees............................................................... 1 1
Legal Fees............................................................... 1 --
Other.................................................................... 1 1
------- -------
Total Expenses........................................................ 70 103
------- -------
Net Investment Income (Loss)............................................. 7,699 823
------- -------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................................. 3,942 (407)
Foreign Currency Transactions.......................................... 11 16
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................. 2,630 (2,749)
Futures................................................................ 2 --
Translation of Foreign Currency Denominated Amounts.................... 2 --
------- -------
Net Realized and Unrealized Gain (Loss).................................. 6,587 (3,140)
------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations............ $14,286 $(2,317)
======= =======
----------
* 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.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International Emerging Markets
Value Portfolio IV Portfolio II
-------------------- --------------------
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).................................. $ 7,699 $ 7,854 $ 823 $ 2,487
Net Realized Gain (Loss) on:
Investment Securities Sold.................................. 3,942 13,218 (407) 2,293
Futures..................................................... -- (49) -- --
Foreign Currency Transactions............................... 11 (70) 16 (5)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 2,630 41,292 (2,749) 2,575
Futures..................................................... 2 (2) -- --
Translation of Foreign Currency Denominated Amounts......... 2 18 -- (1)
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ 14,286 62,261 (2,317) 7,349
-------- -------- -------- --------
Distributions From:
Net Investment Income....................................... (7,747) (10,308) (2,821) (2,485)
-------- -------- -------- --------
Total Distributions........................................ (7,747) (10,308) (2,821) (2,485)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued................................................. 16,459 18,742 9,013 15,478
Shares Issued in Lieu of Cash Distributions................... 7,747 10,308 2,821 2,485
Shares Redeemed............................................... (18,338) (68,623) (11,250) (25,333)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions.... 5,868 (39,573) 584 (7,370)
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets.................... 12,407 12,380 (4,554) (2,506)
Net Assets
Beginning of Period........................................... 265,343 252,963 112,140 114,646
-------- -------- -------- --------
End of Period................................................. $277,750 $265,343 $107,586 $112,140
======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued................................................. 1,079 1,401 369 604
Shares Issued in Lieu of Cash Distributions................... 535 833 113 95
Shares Redeemed............................................... (1,211) (5,188) (452) (989)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed.... 403 (2,954) 30 (290)
======== ======== ======== ========
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... $ 6,723 $ 6,771 $ 333 $ 2,331
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio IV
--------------------------------------------------------------- --------------
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.......... $ 15.32 $ 12.48 $ 12.67 $ 14.14 $ 13.09 $ 10.46 $ 26.65
-------- -------- -------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.44 0.42 0.45 0.49 0.33 0.34 0.19
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 0.37 2.96 (0.11) (1.61) 1.09 3.05 (0.78)
-------- -------- -------- -------- -------- -------- --------
Total from Investment Operations........... 0.81 3.38 0.34 (1.12) 1.42 3.39 (0.59)
-------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.45) (0.54) (0.53) (0.35) (0.37) (0.76) (0.68)
-------- -------- -------- -------- -------- -------- --------
Total Distributions........................ (0.45) (0.54) (0.53) (0.35) (0.37) (0.76) (0.68)
-------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 15.68 $ 15.32 $ 12.48 $ 12.67 $ 14.14 $ 13.09 $ 25.38
============================================== =========== ======== ======== ======== ======== ======== ===========
Total Return.................................. 5.53%(C) 28.08% 3.20% (8.13)% 11.12% 35.27% (2.17)%(C)
-------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $277,750 $265,343 $252,963 $308,474 $353,536 $349,042 $107,586
Ratio of Expenses to Average Net Assets (B)... 0.27%(D) 0.28% 0.28% 0.28% 0.28% 0.30% 0.35%(D)
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumptions of
Expenses and/or Recovery of Previously
Waived Fees) (B)............................. 0.27%(D) 0.28% 0.28% 0.28% 0.28% 0.30% 0.35%(D)
Ratio of Net Investment Income to Average Net
Assets....................................... 5.82%(D) 3.13% 3.76% 3.45% 2.52% 3.28% 1.57%(D)
-------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Portfolio II
--------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2013 2012 2011 2010 2009
-------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.......... $ 25.49 $ 25.14 $ 27.53 $ 22.13 $ 15.24
-------- -------- -------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)............ 0.56 0.58 0.63 0.48 0.41
Net Gains (Losses) on Securities (Realized
and Unrealized)............................ 1.16 0.44 (2.42) 5.37 7.29
-------- -------- -------- -------- --------
Total from Investment Operations........... 1.72 1.02 (1.79) 5.85 7.70
-------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....................... (0.56) (0.67) (0.60) (0.45) (0.81)
-------- -------- -------- -------- --------
Total Distributions........................ (0.56) (0.67) (0.60) (0.45) (0.81)
-------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................ $ 26.65 $ 25.49 $ 25.14 $ 27.53 $ 22.13
============================================== ======== ======== ======== ======== ========
Total Return.................................. 6.80% 4.37% (6.68)% 26.80% 53.72%
-------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)......... $112,140 $114,646 $126,007 $156,091 $142,206
Ratio of Expenses to Average Net Assets (B)... 0.35% 0.38% 0.39% 0.37% 0.39%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumptions of
Expenses and/or Recovery of Previously
Waived Fees) (B)............................. 0.35% 0.38% 0.39% 0.37% 0.39%
Ratio of Net Investment Income to Average Net
Assets....................................... 2.17% 2.33% 2.28% 2.00% 2.42%
-------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of fifteen portfolios, two of
which, DFA International Value Portfolio IV and Emerging Markets Portfolio II
(the "Portfolios"), are presented in this report. The remaining portfolios are
presented in separate reports.
DFA International Value Portfolio IV and Emerging Markets Portfolio II
primarily invest their assets in The DFA International Value Series and The
Emerging Markets Series (the "Series"), respectively, each a corresponding
Series of The DFA Investment Trust Company. At April 30, 2014, DFA
International Value Portfolio IV and Emerging Markets Portfolio II owned 3% and
3% of their respective Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolios.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the 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
9
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 Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
are each treated as a partnership for federal income tax purposes. Dividend
income and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or Portfolios are allocated using
methods approved by the Board, generally based on average net assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides administrative services
to the Portfolios, including supervision of services provided by others,
providing information to shareholders and the Board, and other administrative
services. For the six months ended April 30, 2014, the Portfolios'
administrative services fees were accrued daily and paid monthly to the Advisor
based on an effective annual rate of 0.20% of the first $40 million of average
daily net assets and no fee on assets exceeding $40 million for DFA
International Value Portfolio IV and based on an effective annual rate of 0.15%
of average daily net assets for Emerging Markets Portfolio II.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the 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 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):
DFA International Value Portfolio IV. $14
Emerging Markets Portfolio II........ 6
E. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
10
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2013, primarily attributable to net foreign
currency gains/losses, foreign capital gains tax and realized gains on
securities considered to be passive foreign investment companies, were
reclassified to the following accounts. These reclassifications had no effect
on net assets or net asset value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
DFA International Value Portfolio IV. -- $(53) $53
Emerging Markets Portfolio II........ -- (5) 5
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2012 and October 31, 2013 were as follows (amounts
in thousands):
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
DFA International Value Portfolio IV
2012................................. $12,847 -- $12,847
2013................................. 10,308 -- 10,308
Emerging Markets Portfolio II
2012................................. 3,260 -- 3,260
2013................................. 2,485 -- 2,485
At October 31, 2013, the components of distributable earnings (accumulated
losses) were as follows (amounts in thousands):
Undistributed Total Net
Net Investment Distributable
Income and Capital Unrealized Earnings
Short-Term Loss Appreciation (Accumulated
Capital Gains Carryforwards (Depreciation) Losses)
-------------- ------------- -------------- -------------
DFA International Value Portfolio IV. $6,993 $(31,216) $56,690 $32,467
Emerging Markets Portfolio II........ 2,551 (58,389) 77,210 21,372
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011 will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. In addition, such losses must be utilized prior to the losses
incurred in the years preceding enactment. As of October 31, 2013, the
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 Total
---------------------- -------
DFA International Value Portfolio IV. $31,216 $31,216
Emerging Markets Portfolio II........ 58,389 58,389
11
During the year ended October 31, 2013, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
DFA International Value Portfolio IV. $13,150
Emerging Markets Portfolio II........ 2,299
At 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 IV. $218,883 $59,281 -- $59,281
Emerging Markets Portfolio II........ 33,351 74,461 -- 74,461
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Portfolios'
tax positions and has concluded that no additional provision for income tax is
required in any Portfolio's financial statements. The Portfolios are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Portfolios' federal tax returns for the prior three fiscal
years remain subject to examination by the Internal Revenue Service.
F. Line of Credit:
The Fund, together with other Dimensional-advised portfolios, 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.
G. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
12
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
H. 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
------------ --------------
DFA International Value Portfolio IV. 1 100%
Emerging Markets Portfolio II........ 2 100%
I. 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.
13
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 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
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
----------
* 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.
14
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.
INTERNATIONAL EQUITY PORTFOLIOS
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 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%
15
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%
------------ -----
16
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%
17
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%
=============== ======
18
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.
19
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%
------------ -----
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%
20
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MALAYSIA -- (Continued)
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 4.6%
------------ -----
TOTAL SOUTH AFRICA.............................. 331,732,074 8.3%
------------ -----
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%
------------ -----
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%
21
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (Continued)
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%
Petroleo Brasileiro SA Sponsored ADR......... 1,981,166 29,321,257 0.8%
Vale SA...................................... 1,529,491 18,122,728 0.5%
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%
============== ======
22
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.
23
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
The DFA
International The Emerging
Value Series* Markets Series*
------------- ---------------
ASSETS:
Investments at Value (including $922,064 and $349,865 of securities on loan, respectively). $ 9,480,370 $3,920,489
Collateral from Securities on Loan Invested in Affiliate at Value & Cost................... 955,113 286,296
Foreign Currencies at Value................................................................ 34,442 6,932
Cash....................................................................................... 12,095 30,539
Receivables:
Investment Securities Sold............................................................... 8,683 12,474
Dividends, Interest and Tax Reclaims..................................................... 38,974 8,691
Securities Lending Income................................................................ 2,482 436
Unrealized Gain on Foreign Currency Contracts.............................................. 8 --
----------- ----------
Total Assets.......................................................................... 10,532,167 4,265,857
----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................................................... 955,113 286,296
Investment Securities Purchased.......................................................... 36,644 5,504
Due to Advisor........................................................................... 1,541 327
Unrealized Loss on Foreign Currency Contracts.............................................. 10 8
Accrued Expenses and Other Liabilities..................................................... 474 286
----------- ----------
Total Liabilities..................................................................... 993,782 292,421
----------- ----------
NET ASSETS................................................................................. $ 9,538,385 $3,973,436
----------- ----------
Investments at Cost........................................................................ $ 7,650,003 $2,789,228
=========== ==========
Foreign Currencies at Cost................................................................. $ 34,284 $ 6,901
=========== ==========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
24
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2014
(Unaudited)
(Amounts in thousands)
The DFA
International The Emerging
Value Series Markets Series
------------- --------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $11,473 and $4,027, respectively). $270,261 $ 33,520
Interest...................................................................... 1 1
Income from Securities Lending................................................ 5,549 2,174
-------- --------
Total Investment Income.................................................... 275,811 35,695
-------- --------
Expenses
Investment Advisory Services Fees............................................. 8,965 1,842
Accounting & Transfer Agent Fees.............................................. 236 100
Custodian Fees................................................................ 362 674
Shareholders' Reports......................................................... 5 2
Directors'/Trustees' Fees & Expenses.......................................... 59 24
Professional Fees............................................................. 101 62
Other......................................................................... 47 20
-------- --------
Total Expenses............................................................. 9,775 2,724
-------- --------
Fees Paid Indirectly.......................................................... (5) (7)
-------- --------
Net Expenses.................................................................. 9,770 2,717
-------- --------
Net Investment Income (Loss).................................................. 266,041 32,978
-------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold*................................................. 124,552 (19,598)
Foreign Currency Transactions............................................... 335 (37)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................................. 101,142 (80,366)
Translation of Foreign Currency Denominated Amounts......................... 66 29
-------- --------
Net Realized and Unrealized Gain (Loss)....................................... 226,095 (99,972)
-------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations................. $492,136 $(66,994)
======== ========
----------
* Net of foreign capital gain taxes withheld of $7 and $0, respectively.
See accompanying Notes to Financial Statements.
25
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The DFA International The Emerging
Value Series Markets Series
----------------------- ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
April 30, Oct. 31, April 30, Oct. 31,
2014 2013 2014 2013
----------- ----------- ----------- ----------
(Unaudited) (Unaudited)
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................ $ 266,041 $ 252,489 $ 32,978 $ 77,332
Net Realized Gain (Loss) on:
Investment Securities Sold*............................... 124,552 394,216 (19,598) 24,456
Futures................................................... -- (1,587) -- --
Foreign Currency Transactions............................. 335 (2,158) (37) (130)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 101,142 1,329,657 (80,366) 145,893
Translation of Foreign Currency Denominated Amounts....... 66 544 29 (8)
---------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................. 492,136 1,973,161 (66,994) 247,543
---------- ----------- ---------- ----------
Transactions in Interest:
Contributions............................................... 469,662 1,055,913 337,722 937,021
Withdrawals................................................. (215,543) (1,475,193) (63,452) (331,711)
---------- ----------- ---------- ----------
Net Increase (Decrease) from Transactions in Interest.... 254,119 (419,280) 274,270 605,310
---------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets.................. 746,255 1,553,881 207,276 852,853
Net Assets
Beginning of Period......................................... 8,792,130 7,238,249 3,766,160 2,913,307
---------- ----------- ---------- ----------
End of Period............................................... $9,538,385 $ 8,792,130 $3,973,436 $3,766,160
========== =========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $7, $3, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
26
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The DFA International Value Series+
---------------------------------------------------------------
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)
Total Return............................................ 5.51%(C) 28.18% 3.17% (8.04)% 11.13%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................... $9,538,385 $8,792,130 $7,238,249 $6,955,907 $6,919,633
Ratio of Expenses to Average Net Assets................. 0.22%(D) 0.22% 0.24% 0.23% 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly) (B)................................... 0.22%(D) 0.22% 0.24% 0.23% 0.24%
Ratio of Net Investment Income to Average Net Assets.... 5.94%(D) 3.20% 3.75% 3.47% 2.55%
Portfolio Turnover Rate................................. 8%(C) 15% 14% 9% 20%
-------------------------------------------------------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2009
--------------------------------------------------------------------
Total Return............................................ 35.41%
--------------------------------------------------------------------
Net Assets, End of Period (thousands)................... $6,191,964
Ratio of Expenses to Average Net Assets................. 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly) (B)................................... 0.24%
Ratio of Net Investment Income to Average Net Assets.... 3.22%
Portfolio Turnover Rate................................. 18%
--------------------------------------------------------------------
The Emerging Markets Series
----------------------------------------------------------------
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)
Total Return............................................ (2.05)%(C) 6.99% 4.55% (6.44)% 27.04%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)................... $3,973,436 $3,766,160 $2,913,307 $2,439,981 $2,529,493
Ratio of Expenses to Average Net Assets................. 0.15%(D) 0.16% 0.20% 0.20% 0.19%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly) (B)................................... 0.15%(D) 0.16% 0.20% 0.20% 0.19%
Ratio of Net Investment Income to Average Net Assets.... 1.79%(D) 2.38% 2.55% 2.48% 2.18%
Portfolio Turnover Rate................................. 2%(C) 4% 5% 16% 12%
--------------------------------------------------------------------------------------------------------------------------
------------
Year
Ended
Oct. 31,
2009
--------------------------------------------------------------------
Total Return............................................ 53.99%
--------------------------------------------------------------------
Net Assets, End of Period (thousands)................... $2,109,316
Ratio of Expenses to Average Net Assets................. 0.20%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly) (B)................................... 0.20%
Ratio of Net Investment Income to Average Net Assets.... 2.57%
Portfolio Turnover Rate................................. 14%
--------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
27
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, two of which, The DFA
International Value Series and The Emerging Markets Series (the "Series"), are
presented in this report. The remaining portfolios are presented in separate
reports.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series including over-the-counter securities, are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities at the mean of the most
recent quoted bid and asked prices which approximate fair value. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Generally, securities issued by open-end investment
companies are valued using their respective net asset values or public offering
prices, as appropriate, for purchase orders placed at the close of the New York
Stock Exchange (NYSE). These securities are generally categorized as Level 1 in
the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors/Trustees. Fair value pricing may also be used if events
that have a significant effect on the value of an investment (as determined in
the discretion of the Investment Committee of Dimensional Fund Advisors LP)
occur before the net asset value is calculated. When fair value pricing is
used, the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The Series will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day
at various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally, 11:00 p.m. PT, 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 each Series is computed. Due to the time differences
between the closings
28
of the relevant foreign securities exchanges and the time each Series prices
its shares at the close of the NYSE, the Series will fair value their foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on each Series' foreign investments since
the last closing prices of the foreign investments were calculated on their
primary foreign securities markets or exchanges. For these purposes, the Board
of Directors/Trustees of the Series have determined that movements in relevant
indices or other appropriate market indicators, after the close of the Tokyo
Stock Exchange or the London Stock Exchange, demonstrate that market quotations
may be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the Series utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the Series use fair value
pricing, the values assigned to the foreign investments may not be the quoted
or published prices of the investments on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
Listed derivatives, such as futures, that are actively traded are valued
based on quoted prices from the exchange and are categorized as Level 1 in the
hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
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 recognizes transfers between the levels as of the end of the period. As
of April 30, 2014, The Emerging Markets Series had significant transfers of
securities with a total value of $315,950 (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 Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The Series do not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the Series
and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Director/Trustee of the Trust
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of
29
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, generally based on average net assets.
The Series may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Series accrue
such taxes when the related income or capital gains are earned or throughout
the holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Emerging Markets Series is subject to a 15% tax on short-term capital
gains for investments in India. Such taxes are due upon sale of individual
securities. The capital gains taxes are recognized when the capital gains are
earned.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to each Series. For the six months ended April 30, 2014, the
investment advisory services fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20% and 0.10% of average daily
net assets for The DFA International Value Series and The Emerging Markets
Series, respectively.
Earned Income Credit:
In addition, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of each Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. During the six
months ended April 30, 2014, expenses reduced were as follows (amounts in
thousands):
Fees Paid
Indirectly
----------
The DFA International Value Series. $5
The Emerging Markets Series........ 7
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"))
30
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 DFA International Value Series. $276
The Emerging Markets Series........ 100
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 DFA International Value Series. $1,125,082 $709,817
The Emerging Markets Series........ 352,219 68,542
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 Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------- ------------ -------------- --------------
The DFA International Value Series. $8,613,314 $2,266,781 $(444,612) $1,822,169
The Emerging Markets Series........ 3,085,526 1,338,279 (217,020) 1,121,259
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed each Series' tax
positions and has concluded that no additional provision for income tax is
required in any Series' financial statements. No Series is aware of any tax
positions for which it is more likely than not that the total amounts of
unrecognized tax benefits will significantly change in the next twelve months.
Each Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
G. Financial Instruments:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. 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
31
economic developments and the level of foreign government supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of securities held
by the Series may be inhibited.
H. Line of Credit:
The Trust, together with other Dimensional-advised portfolios, 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 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 DFA International Value Series. 0.83% $10,282 4 $1 $11,874
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2014, that the 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 Series received cash collateral. The DFA International Value
Series and The Emerging Markets Series received non-cash collateral consisting
of short and/or long term U.S. Treasury securities with a market value of
$24,703 and $83,669 (in thousands). Each Series invests the cash collateral, as
described below, and records a liability for the return of the collateral,
during the period the securities are on loan. Loans of securities are expected
at all times to be secured by collateral equal to at least (i) 100% of the
current market value of the loaned securities with respect to securities of the
U.S. government or its agencies, (ii) 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) 105% of the
current market value of the loaned securities with respect to foreign
securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
option of the lending agent, to replace the securities.
Subject to their stated investment policies, each Series will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
32
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Such Series also may invest the cash collateral received for the loaned
securities in securities of the U.S. government or its agencies, repurchase
agreements collateralized by securities of the U.S. government or its agencies,
and affiliated and unaffiliated registered and unregistered money market funds.
For purposes of this paragraph, agencies include both agency debentures and
agency mortgage-backed securities. In addition, each Series will be able to
terminate the loan at any time and will receive reasonable interest on the
loan, as well as amounts equal to any dividends, interest or other
distributions on the loaned securities. However, dividend income received from
loaned securities may not be eligible to be taxed at qualified dividend income
rates.
J. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. 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.
33
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.
34
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 13, 2013 (the "Meeting"), the Board of
Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreements and the sub-advisory
agreements for each series (collectively, the "Funds"). Dimensional Fund
Advisors Ltd. and DFA Australia Limited serve as sub-advisors to the Funds.
(The investment management agreements and the sub-advisory agreements are
referred to as the "Advisory Agreements," and the Advisor and sub-advisors are
referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Morningstar
Associates, LLC (the "Morningstar Reports"), and issues related to the
continuation of the Advisory Agreements. Also in advance of the Meeting,
management provided additional materials to address and respond to questions
that the Independent Board Members posed after their review and analysis of
materials provided by the Advisor and the Morningstar Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; and (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process and discussed the unique features of the Advisor's
investment approach. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of
services provided to each Fund were consistent with the operational
requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the
Morningstar Reports, which compared the performance of each Fund with other
funds in its respective peer group and investment category. The Board also
reviewed the performance analysis prepared by the Advisor, which presented the
performance of each Fund and its benchmark index, over multiple performance
periods, along with the Advisor's explanation of the performance. The Board
concluded that the Advisor's explanations provided a sound basis for
understanding the comparative performance of the Funds. The Board determined
based on the Fund's investment strategies and the expectations of its
shareholder base, among other things, that the performance of each Fund was
reasonable as compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Morningstar Reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to those of its peer funds, and that the
advisory fees were fair, both on an absolute basis and in comparison with the
fees of other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including
35
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.
36
[LOGO] DFA043014-011S
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant or the master fund in which the series of the Registrant invests
that provided a summary schedule of portfolio holdings in a report to
stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
Name of Entity for which Schedule of Relationship to Series of the
Investments is Provided Registrant
------------------------------------ -------------------------------------
U.S. Large Company Portfolio Series of Registrant
The U.S. Large Cap Value Series Master fund for U.S. Large Cap Value
Portfolio II, U.S. Large Cap Value
Portfolio III and LWAS/DFA U.S. High
Book to Market Portfolio
The DFA International Value Series Master fund for DFA International
Value Portfolio, DFA International
Value Portfolio II, DFA International
Value Portfolio III and DFA
International Value Portfolio IV
The Emerging Markets Series Master fund for Emerging Markets
Portfolio II
The Tax-Managed U.S. Marketwide Value Master fund for Tax-Managed U.S.
Series Marketwide Value Portfolio II
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
------------------------
Investment Abbreviations
ADR American Depository Receipt
FNMA Federal National Mortgage Association
GDR Global Depository Receipt
NVDR Non-Voting Depository Receipt
P.L.C. Public Limited Company
Investment Footnotes
+ See Security Valuation Note within the Notes to Schedules of Investments.
++ Securities have generally been fair valued. See Security Valuation
Note within the Notes to Schedules of Investments.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from securities on loan.
(o) Security is being fair valued as of April 30, 2013.
-- Amounts designated as -- are either zero or rounded to zero.
(S) Affiliated Fund.
U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2014
(UNAUDITED)
SHARES VALUE+
--------- -----------
COMMON STOCKS -- (96.6%)
Consumer Discretionary -- (11.4%)
*Amazon.com, Inc. 115,310 $35,069,230
*AutoNation, Inc. 19,561 1,036,537
*AutoZone, Inc. 10,449 5,578,617
*Bed Bath & Beyond, Inc. 66,001 4,100,642
#Best Buy Co., Inc. 84,729 2,197,023
BorgWarner, Inc. 70,656 4,390,564
#Cablevision Systems Corp. Class A 66,368 1,108,346
#*CarMax, Inc. 69,193 3,029,270
Carnival Corp. 135,846 5,340,106
CBS Corp. Class B 171,054 9,880,079
*Chipotle Mexican Grill, Inc. 9,616 4,793,576
Coach, Inc. 86,042 3,841,775
Comcast Corp. Class A 807,950 41,819,492
#Darden Restaurants, Inc. 40,688 2,022,600
Delphi Automotive P.L.C. 86,427 5,776,781
*DIRECTV 146,866 11,396,802
*Discovery Communications, Inc. Class A 68,939 5,232,470
*Dollar General Corp. 91,328 5,154,552
*Dollar Tree, Inc. 64,503 3,358,671
#DR Horton, Inc. 88,261 1,966,455
Expedia, Inc. 31,701 2,250,454
Family Dollar Stores, Inc. 29,621 1,740,234
Ford Motor Co. 1,222,463 19,742,777
*Fossil Group, Inc. 14,900 1,589,085
#GameStop Corp. Class A 35,898 1,424,433
Gannett Co., Inc. 70,476 1,914,833
Gap, Inc. (The) 82,109 3,226,884
#Garmin, Ltd. 38,109 2,176,024
General Motors Co. 404,084 13,932,816
Genuine Parts Co. 47,651 4,151,355
Goodyear Tire & Rubber Co. (The) 85,439 2,153,063
Graham Holdings Co. Class B 1,351 906,832
H&R Block, Inc. 84,999 2,415,672
Harley-Davidson, Inc. 68,209 5,043,373
Harman International Industries, Inc. 21,010 2,302,906
#Hasbro, Inc. 36,124 1,996,212
Home Depot, Inc. (The) 436,507 34,706,672
International Game Technology 76,469 959,686
Interpublic Group of Cos., Inc. (The) 131,440 2,289,685
Johnson Controls, Inc. 205,828 9,291,076
Kohl's Corp. 62,394 3,418,567
L Brands, Inc. 75,582 4,096,544
#Leggett & Platt, Inc. 43,053 1,414,722
#Lennar Corp. Class A 54,491 2,102,808
Lowe's Cos., Inc. 324,175 14,882,874
Macy's, Inc. 114,218 6,559,540
#Marriott International, Inc. Class A 68,540 3,970,522
Mattel, Inc. 105,501 4,137,222
McDonald's Corp. 306,833 31,106,730
*Michael Kors Holdings, Ltd. 55,614 5,071,997
*Mohawk Industries, Inc. 18,930 2,506,521
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Discretionary -- (Continued)
*Netflix, Inc. 18,538 $ 5,969,977
Newell Rubbermaid, Inc. 86,450 2,603,009
*News Corp. Class A 154,351 2,627,054
NIKE, Inc. Class B 230,557 16,819,133
#Nordstrom, Inc. 44,352 2,717,891
*O'Reilly Automotive, Inc. 32,970 4,905,606
Omnicom Group, Inc. 80,036 5,416,836
#PetSmart, Inc. 32,153 2,176,115
*Priceline Group, Inc. (The) 16,162 18,711,555
PulteGroup, Inc. 106,372 1,956,181
PVH Corp. 25,300 3,176,921
Ralph Lauren Corp. 18,327 2,774,158
Ross Stores, Inc. 66,617 4,535,285
#Scripps Networks Interactive, Inc. Class A 34,009 2,553,056
#Staples, Inc. 201,703 2,521,287
Starbucks Corp. 234,306 16,546,690
Starwood Hotels & Resorts Worldwide, Inc. 59,491 4,559,985
Target Corp. 195,928 12,098,554
Tiffany & Co. 34,134 2,986,384
Time Warner Cable, Inc. 86,001 12,165,701
Time Warner, Inc. 276,697 18,389,283
TJX Cos., Inc. (The) 220,450 12,825,781
Tractor Supply Co. 43,259 2,908,735
#*TripAdvisor, Inc. 34,389 2,776,568
Twenty-First Century Fox, Inc. Class A 601,591 19,262,944
*Under Armour, Inc. Class A 24,931 1,218,877
*Urban Outfitters, Inc. 33,790 1,204,782
VF Corp. 109,206 6,671,395
Viacom, Inc. Class B 123,523 10,496,985
Walt Disney Co. (The) 505,068 40,072,095
Whirlpool Corp. 24,011 3,682,807
Wyndham Worldwide Corp. 39,720 2,833,625
Wynn Resorts, Ltd. 25,098 5,117,231
Yum! Brands, Inc. 137,295 10,570,342
------------
Total Consumer Discretionary 616,428,535
------------
Consumer Staples -- (9.5%)
Altria Group, Inc. 617,723 24,776,870
Archer-Daniels-Midland Co. 204,075 8,924,200
Avon Products, Inc. 134,513 2,055,359
Beam, Inc. 51,285 4,280,759
Brown-Forman Corp. Class B 50,245 4,507,981
#Campbell Soup Co. 55,434 2,521,693
#Clorox Co. (The) 40,269 3,652,398
Coca-Cola Co. (The) 1,174,494 47,907,610
Coca-Cola Enterprises, Inc. 73,667 3,347,428
Colgate-Palmolive Co. 270,602 18,211,515
ConAgra Foods, Inc. 130,313 3,975,850
*Constellation Brands, Inc. Class A 51,844 4,139,225
Costco Wholesale Corp. 136,300 15,767,184
CVS Caremark Corp. 366,516 26,653,044
Dr Pepper Snapple Group, Inc. 61,149 3,388,878
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Staples -- (Continued)
Estee Lauder Cos., Inc. (The) Class A 79,224 $ 5,749,286
General Mills, Inc. 193,587 10,263,983
Hershey Co. (The) 46,480 4,473,235
Hormel Foods Corp. 41,733 1,990,247
JM Smucker Co. (The) 32,140 3,107,295
Kellogg Co. 79,599 5,319,601
#Keurig Green Mountain, Inc. 40,032 3,750,198
Kimberly-Clark Corp. 117,603 13,200,937
Kraft Foods Group, Inc. 184,838 10,509,889
Kroger Co. (The) 160,107 7,371,326
Lorillard, Inc. 112,272 6,671,202
#McCormick & Co., Inc. 40,657 2,894,778
Mead Johnson Nutrition Co. 62,509 5,517,044
Molson Coors Brewing Co. Class B 49,083 2,943,508
Mondelez International, Inc. Class A 527,250 18,796,463
*Monster Beverage Corp. 41,899 2,805,557
PepsiCo, Inc. 471,917 40,532,951
Philip Morris International, Inc. 491,361 41,976,970
Procter & Gamble Co. (The) 840,453 69,379,395
Reynolds American, Inc. 96,533 5,447,357
Safeway, Inc. 71,386 2,431,407
#Sysco Corp. 181,322 6,605,560
Tyson Foods, Inc. Class A 83,328 3,497,276
Wal-Mart Stores, Inc. 501,495 39,974,166
Walgreen Co. 270,962 18,398,320
Whole Foods Market, Inc. 115,299 5,730,360
------------
Total Consumer Staples 513,448,305
------------
Energy -- (10.2%)
Anadarko Petroleum Corp. 156,152 15,462,171
Apache Corp. 122,353 10,620,240
Baker Hughes, Inc. 135,516 9,472,568
Cabot Oil & Gas Corp. 130,881 5,141,006
*Cameron International Corp. 67,196 4,365,052
Chesapeake Energy Corp. 156,944 4,512,140
Chevron Corp. 591,771 74,279,096
ConocoPhillips 380,055 28,241,887
CONSOL Energy, Inc. 71,033 3,161,679
#Denbury Resources, Inc. 110,344 1,855,986
Devon Energy Corp. 118,705 8,309,350
#Diamond Offshore Drilling, Inc. 21,548 1,176,736
Ensco P.L.C. Class A 72,393 3,652,227
EOG Resources, Inc. 169,318 16,593,164
EQT Corp. 46,772 5,097,680
Exxon Mobil Corp. 1,339,451 137,173,177
*FMC Technologies, Inc. 73,156 4,147,945
Halliburton Co. 263,742 16,634,208
Helmerich & Payne, Inc. 33,333 3,621,630
Hess Corp. 84,703 7,552,119
Kinder Morgan, Inc. 207,661 6,782,208
Marathon Oil Corp. 216,031 7,809,521
Marathon Petroleum Corp. 91,306 8,486,893
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Energy -- (Continued)
Murphy Oil Corp. 53,374 $ 3,385,513
Nabors Industries, Ltd. 80,879 2,064,032
National Oilwell Varco, Inc. 132,830 10,431,140
*Newfield Exploration Co. 42,254 1,430,298
Noble Corp. P.L.C. 78,775 2,427,058
Noble Energy, Inc. 111,560 8,007,777
Occidental Petroleum Corp. 246,347 23,587,725
ONEOK, Inc. 64,416 4,072,380
Peabody Energy Corp. 84,094 1,598,627
Phillips 66 182,145 15,158,107
Pioneer Natural Resources Co. 44,300 8,561,861
QEP Resources, Inc. 55,587 1,705,965
Range Resources Corp. 50,738 4,589,252
*Rowan Cos. P.L.C. Class A 38,509 1,190,698
Schlumberger, Ltd. 405,232 41,151,310
*Southwestern Energy Co. 109,397 5,237,928
Spectra Energy Corp. 207,732 8,249,038
Tesoro Corp. 40,854 2,299,672
#Transocean, Ltd. 105,192 4,530,619
Valero Energy Corp. 165,062 9,436,595
Williams Cos., Inc. (The) 212,148 8,946,281
------------
Total Energy 552,210,559
------------
Financials -- (13.4%)
ACE, Ltd. 104,353 10,677,399
Aflac, Inc. 141,289 8,861,646
Allstate Corp. (The) 138,587 7,892,530
American Express Co. 283,252 24,764,722
American International Group, Inc. 453,816 24,111,244
Ameriprise Financial, Inc. 59,165 6,604,589
Aon P.L.C. 93,332 7,922,020
Assurant, Inc. 22,207 1,496,974
Bank of America Corp. 3,275,795 49,595,536
Bank of New York Mellon Corp. (The) 351,831 11,916,516
BB&T Corp. 220,354 8,225,815
*Berkshire Hathaway, Inc. Class B 558,002 71,898,558
BlackRock, Inc. 38,942 11,721,542
Capital One Financial Corp. 177,554 13,121,241
*CBRE Group, Inc. Class A 86,435 2,302,628
Charles Schwab Corp. (The) 362,264 9,618,109
Chubb Corp. (The) 76,128 7,009,866
#Cincinnati Financial Corp. 45,614 2,223,226
Citigroup, Inc. 941,208 45,093,275
CME Group, Inc. 97,813 6,885,057
#Comerica, Inc. 56,437 2,722,521
Discover Financial Services 145,963 8,159,332
*E*TRADE Financial Corp. 89,355 2,006,020
Fifth Third Bancorp 263,925 5,439,494
Franklin Resources, Inc. 125,146 6,551,393
*Genworth Financial, Inc. Class A 153,545 2,740,778
Goldman Sachs Group, Inc. (The) 130,515 20,858,907
Hartford Financial Services Group, Inc. (The) 138,352 4,962,686
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Financials -- (Continued)
Hudson City Bancorp, Inc. 147,414 $ 1,468,243
Huntington Bancshares, Inc. 257,651 2,360,083
IntercontinentalExchange Group, Inc. 35,634 7,285,015
Invesco, Ltd. 134,263 4,727,400
JPMorgan Chase & Co. 1,173,799 65,709,268
KeyCorp 275,686 3,760,357
#Legg Mason, Inc. 32,488 1,523,362
Leucadia National Corp. 97,068 2,477,175
Lincoln National Corp. 81,739 3,965,159
Loews Corp. 94,866 4,171,258
#M&T Bank Corp. 40,616 4,955,558
Marsh & McLennan Cos., Inc. 169,979 8,381,665
McGraw Hill Financial, Inc. 84,002 6,210,268
MetLife, Inc. 348,262 18,231,516
Moody's Corp. 58,292 4,575,922
Morgan Stanley 434,802 13,448,426
NASDAQ OMX Group, Inc. (The) 36,237 1,337,145
Northern Trust Corp. 69,145 4,165,986
#People's United Financial, Inc. 96,167 1,373,265
PNC Financial Services Group, Inc. (The) 165,544 13,912,318
Principal Financial Group, Inc. 85,191 3,990,346
Progressive Corp. (The) 169,758 4,116,632
Prudential Financial, Inc. 143,516 11,578,871
Regions Financial Corp. 440,015 4,461,752
SLM Corp. 132,883 3,421,737
State Street Corp. 133,794 8,637,741
SunTrust Banks, Inc. 165,732 6,340,906
T Rowe Price Group, Inc. 81,235 6,671,831
#Torchmark Corp. 27,450 2,187,765
Travelers Cos., Inc. (The) 109,210 9,892,242
U.S. Bancorp 564,934 23,038,009
Unum Group 80,421 2,671,586
Wells Fargo & Co. 1,484,218 73,676,582
XL Group P.L.C. 85,569 2,682,588
#Zions Bancorp 57,304 1,657,232
------------
Total Financials 724,448,833
------------
Health Care -- (12.8%)
Abbott Laboratories 478,304 18,529,497
AbbVie, Inc. 492,392 25,643,775
*Actavis P.L.C. 53,997 11,033,207
Aetna, Inc. 112,426 8,032,838
Agilent Technologies, Inc. 103,350 5,585,034
*Alexion Pharmaceuticals, Inc. 61,321 9,700,982
Allergan, Inc. 92,516 15,342,853
AmerisourceBergen Corp. 71,045 4,630,713
Amgen, Inc. 234,029 26,152,741
Baxter International, Inc. 168,371 12,255,725
Becton Dickinson and Co. 59,831 6,762,698
*Biogen Idec, Inc. 73,275 21,038,718
*Boston Scientific Corp. 410,459 5,175,888
Bristol-Myers Squibb Co. 509,604 25,526,064
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Health Care -- (Continued)
Cardinal Health, Inc. 106,285 $ 7,387,870
*CareFusion Corp. 64,593 2,523,003
*Celgene Corp. 125,854 18,501,797
*Cerner Corp. 91,687 4,703,543
Cigna Corp. 84,797 6,787,152
Covidien P.L.C. 139,717 9,954,836
CR Bard, Inc. 24,047 3,302,375
*DaVita HealthCare Partners, Inc. 54,851 3,801,174
DENTSPLY International, Inc. 43,958 1,961,846
#*Edwards Lifesciences Corp. 33,241 2,708,144
Eli Lilly & Co. 305,427 18,050,736
*Express Scripts Holding Co. 240,546 16,015,553
*Forest Laboratories, Inc. 73,922 6,794,171
*Gilead Sciences, Inc. 476,811 37,424,895
*Hospira, Inc. 51,598 2,363,188
Humana, Inc. 47,746 5,240,124
*Intuitive Surgical, Inc. 11,832 4,279,634
Johnson & Johnson 876,872 88,818,365
*Laboratory Corp. of America Holdings 26,440 2,609,628
McKesson Corp. 71,332 12,068,661
Medtronic, Inc. 310,222 18,247,258
Merck & Co., Inc. 911,502 53,377,557
*Mylan, Inc. 115,282 5,854,020
#Patterson Cos., Inc. 25,448 1,035,734
PerkinElmer, Inc. 34,980 1,468,111
Perrigo Co. P.L.C. 41,457 6,005,461
Pfizer, Inc. 1,978,510 61,887,793
#Quest Diagnostics, Inc. 44,731 2,501,805
*Regeneron Pharmaceuticals, Inc. 24,411 7,247,382
St Jude Medical, Inc. 87,971 5,583,519
Stryker Corp. 91,360 7,103,240
#*Tenet Healthcare Corp. 30,064 1,355,285
Thermo Fisher Scientific, Inc. 121,443 13,844,502
UnitedHealth Group, Inc. 306,619 23,008,690
*Varian Medical Systems, Inc. 32,098 2,553,396
*Vertex Pharmaceuticals, Inc. 73,082 4,947,651
*Waters Corp. 26,402 2,601,653
WellPoint, Inc. 87,554 8,814,937
Zimmer Holdings, Inc. 52,483 5,080,354
Zoetis, Inc. 154,984 4,689,816
------------
Total Health Care 687,915,592
------------
Industrials -- (10.4%)
3M Co. 195,143 27,142,440
#ADT Corp. (The) 56,820 1,718,237
Allegion P.L.C. 27,815 1,372,670
AMETEK, Inc. 75,963 4,004,769
Boeing Co. (The) 211,998 27,351,982
Caterpillar, Inc. 197,705 20,838,107
#CH Robinson Worldwide, Inc. 46,017 2,710,401
Cintas Corp. 31,206 1,838,970
CSX Corp. 312,322 8,813,727
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- -----------
Industrials -- (Continued)
Cummins, Inc. 53,815 $ 8,117,993
Danaher Corp. 186,197 13,663,136
Deere & Co. 114,596 10,696,391
Delta Air Lines, Inc. 263,281 9,696,639
Dover Corp. 52,700 4,553,280
Dun & Bradstreet Corp. (The) 11,654 1,290,797
Eaton Corp. P.L.C. 147,328 10,701,906
Emerson Electric Co. 217,904 14,856,695
Equifax, Inc. 37,829 2,678,671
Expeditors International of Washington, Inc. 62,815 2,590,491
#Fastenal Co. 84,632 4,238,371
FedEx Corp. 86,105 11,731,806
Flowserve Corp. 42,648 3,115,436
Fluor Corp. 49,703 3,762,517
General Dynamics Corp. 100,783 11,030,699
General Electric Co. 3,109,960 83,626,824
Honeywell International, Inc. 243,057 22,579,995
Illinois Tool Works, Inc. 121,160 10,326,467
Ingersoll-Rand P.L.C. 80,150 4,792,970
#Iron Mountain, Inc. 52,831 1,502,514
#*Jacobs Engineering Group, Inc. 40,886 2,359,122
#Joy Global, Inc. 31,039 1,874,135
Kansas City Southern 34,173 3,447,372
L-3 Communications Holdings, Inc. 26,610 3,069,996
Lockheed Martin Corp. 83,692 13,737,205
Masco Corp. 110,474 2,219,423
Nielsen Holdings NV 88,078 4,135,262
Norfolk Southern Corp. 96,002 9,075,069
Northrop Grumman Corp. 67,182 8,163,285
PACCAR, Inc. 109,822 7,026,412
Pall Corp. 34,027 2,863,372
Parker Hannifin Corp. 46,225 5,865,028
Pentair, Ltd. 61,174 4,544,616
#Pitney Bowes, Inc. 62,780 1,682,504
Precision Castparts Corp. 45,016 11,393,099
*Quanta Services, Inc. 67,497 2,381,294
Raytheon Co. 97,488 9,308,154
Republic Services, Inc. 83,834 2,941,735
Robert Half International, Inc. 42,610 1,908,928
Rockwell Automation, Inc. 43,018 5,126,885
Rockwell Collins, Inc. 41,904 3,253,846
Roper Industries, Inc. 30,857 4,287,580
Ryder System, Inc. 16,552 1,360,243
Snap-on, Inc. 18,016 2,089,856
Southwest Airlines Co. 217,596 5,259,295
Stanley Black & Decker, Inc. 48,233 4,142,732
*Stericycle, Inc. 26,397 3,073,667
Textron, Inc. 87,567 3,581,490
Tyco International, Ltd. 142,681 5,835,653
Union Pacific Corp. 141,054 26,860,913
United Parcel Service, Inc. Class B 220,276 21,697,186
United Technologies Corp. 260,999 30,884,012
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Industrials -- (Continued)
Waste Management, Inc. 133,995 $ 5,956,078
WW Grainger, Inc. 18,979 4,828,258
Xylem, Inc. 57,245 2,151,840
------------
Total Industrials 559,730,446
------------
Information Technology -- (17.9%)
Accenture P.L.C. Class A 197,447 15,839,198
*Adobe Systems, Inc. 143,982 8,882,250
*Akamai Technologies, Inc. 55,341 2,936,947
#*Alliance Data Systems Corp. 16,482 3,986,996
Altera Corp. 98,435 3,201,106
Amphenol Corp. Class A 49,037 4,675,678
Analog Devices, Inc. 96,874 4,968,667
Apple, Inc. 276,489 163,153,394
Applied Materials, Inc. 375,394 7,155,010
*Autodesk, Inc. 70,420 3,381,568
Automatic Data Processing, Inc. 149,351 11,643,404
Broadcom Corp. Class A 171,087 5,271,190
CA, Inc. 99,932 3,011,950
Cisco Systems, Inc. 1,596,738 36,900,615
#*Citrix Systems, Inc. 56,958 3,378,179
*Cognizant Technology Solutions Corp. Class A 188,283 9,019,697
Computer Sciences Corp. 45,160 2,672,569
Corning, Inc. 431,516 9,023,000
*eBay, Inc. 361,173 18,719,597
*Electronic Arts, Inc. 95,963 2,715,753
EMC Corp. 627,884 16,199,407
*F5 Networks, Inc. 20,986 2,207,098
*Facebook, Inc. Class A 529,529 31,655,244
Fidelity National Information Services, Inc. 90,098 4,813,936
#*First Solar, Inc. 21,901 1,478,098
*Fiserv, Inc. 78,883 4,794,509
FLIR Systems, Inc. 43,668 1,486,459
*Google, Inc. Class A 87,499 46,801,465
*Google, Inc. Class C 87,499 46,082,223
Harris Corp. 33,104 2,433,806
Hewlett-Packard Co. 587,429 19,420,403
Intel Corp. 1,541,166 41,133,721
International Business Machines Corp. 303,417 59,612,338
Intuit, Inc. 87,819 6,652,289
Jabil Circuit, Inc. 58,170 1,004,014
*Juniper Networks, Inc. 146,721 3,622,541
KLA-Tencor Corp. 51,634 3,304,060
*Lam Research Corp. 50,312 2,898,474
Linear Technology Corp. 73,128 3,254,196
LSI Corp. 173,065 1,927,944
MasterCard, Inc. Class A 316,300 23,263,865
#Microchip Technology, Inc. 61,725 2,934,407
*Micron Technology, Inc. 328,840 8,589,301
Microsoft Corp. 2,341,401 94,592,600
Motorola Solutions, Inc. 70,034 4,452,762
NetApp, Inc. 102,685 3,656,613
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Information Technology -- (Continued)
#NVIDIA Corp. 171,798 $ 3,173,109
Oracle Corp. 1,073,425 43,881,614
Paychex, Inc. 100,476 4,200,902
QUALCOMM, Inc. 524,183 41,258,444
*Red Hat, Inc. 58,751 2,858,236
*Salesforce.com, Inc. 173,983 8,986,222
SanDisk Corp. 69,900 5,939,403
Seagate Technology P.L.C. 101,904 5,358,112
Symantec Corp. 214,360 4,347,221
TE Connectivity, Ltd. 127,159 7,499,838
#*Teradata Corp. 49,347 2,243,315
Texas Instruments, Inc. 336,073 15,274,518
Total System Services, Inc. 51,243 1,627,990
#*VeriSign, Inc. 38,946 1,837,472
Visa, Inc. Class A 157,121 31,834,286
Western Digital Corp. 65,178 5,744,137
#Western Union Co. (The) 169,844 2,695,424
Xerox Corp. 345,259 4,174,181
Xilinx, Inc. 82,717 3,903,415
*Yahoo!, Inc. 290,979 10,460,695
------------
Total Information Technology 966,107,075
------------
Materials -- (3.4%)
Air Products & Chemicals, Inc. 65,612 7,710,722
Airgas, Inc. 20,633 2,192,463
Alcoa, Inc. 363,005 4,889,677
#Allegheny Technologies, Inc. 33,460 1,378,552
Avery Dennison Corp. 29,757 1,447,976
Ball Corp. 43,563 2,447,805
Bemis Co., Inc. 31,524 1,268,526
CF Industries Holdings, Inc. 17,193 4,215,208
Dow Chemical Co. (The) 376,869 18,805,763
Eastman Chemical Co. 47,260 4,119,654
Ecolab, Inc. 83,906 8,779,924
EI du Pont de Nemours & Co. 287,354 19,344,671
FMC Corp. 41,191 3,171,707
Freeport-McMoRan Copper & Gold, Inc. 321,877 11,062,912
International Flavors & Fragrances, Inc. 25,191 2,481,817
International Paper Co. 136,015 6,345,100
LyondellBasell Industries NV Class A 133,837 12,379,922
MeadWestvaco Corp. 54,112 2,114,156
Monsanto Co. 162,696 18,010,447
Mosaic Co. (The) 105,087 5,258,553
Newmont Mining Corp. 154,339 3,832,237
Nucor Corp. 98,684 5,106,897
*Owens-Illinois, Inc. 51,070 1,623,005
PPG Industries, Inc. 42,934 8,312,881
Praxair, Inc. 91,123 11,896,108
Sealed Air Corp. 60,048 2,060,247
Sherwin-Williams Co. (The) 26,426 5,280,972
Sigma-Aldrich Corp. 37,027 3,562,368
#United States Steel Corp. 44,849 1,166,971
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
Materials -- (Continued)
Vulcan Materials Co. 40,471 $ 2,611,594
------------
Total Materials 182,878,835
------------
Real Estate Investment Trusts -- (2.1%)
American Tower Corp. 122,443 10,226,439
Apartment Investment & Management Co. Class A 45,286 1,396,167
AvalonBay Communities, Inc. 37,708 5,149,027
Boston Properties, Inc. 47,427 5,555,599
Crown Castle International Corp. 103,551 7,531,264
Equity Residential 104,089 6,187,050
Essex Property Trust, Inc. 19,086 3,306,840
General Growth Properties, Inc. 161,609 3,712,159
HCP, Inc. 141,709 5,931,939
Health Care REIT, Inc. 89,882 5,670,655
Host Hotels & Resorts, Inc. 234,566 5,031,441
Kimco Realty Corp. 127,017 2,911,230
Macerich Co. (The) 43,567 2,827,934
#Plum Creek Timber Co., Inc. 54,894 2,393,378
Prologis, Inc. 154,865 6,292,165
Public Storage 44,816 7,865,656
Simon Property Group, Inc. 97,411 16,871,585
Ventas, Inc. 91,218 6,027,686
Vornado Realty Trust 53,989 5,539,272
Weyerhaeuser Co. 181,195 5,408,671
------------
Total Real Estate Investment Trusts 115,836,157
------------
Telecommunication Services -- (2.4%)
AT&T, Inc. 1,613,962 57,618,443
#CenturyLink, Inc. 179,148 6,254,057
#Frontier Communications Corp. 309,829 1,843,483
Verizon Communications, Inc. 1,283,626 59,983,843
#Windstream Holdings, Inc. 184,743 1,675,619
------------
Total Telecommunication Services 127,375,445
------------
Utilities -- (3.1%)
AES Corp. 204,200 2,950,690
AGL Resources, Inc. 36,856 1,990,224
Ameren Corp. 75,208 3,106,842
American Electric Power Co., Inc. 151,196 8,135,857
CenterPoint Energy, Inc. 132,928 3,291,297
CMS Energy Corp. 82,676 2,505,910
#Consolidated Edison, Inc. 90,791 5,268,602
Dominion Resources, Inc. 180,242 13,074,755
DTE Energy Co. 54,891 4,289,183
Duke Energy Corp. 218,979 16,311,746
Edison International 100,991 5,712,051
Entergy Corp. 55,349 4,012,803
Exelon Corp. 265,774 9,310,063
FirstEnergy Corp. 129,795 4,380,581
#Integrys Energy Group, Inc. 24,786 1,518,886
NextEra Energy, Inc. 134,955 13,475,257
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
---------- --------------
Utilities -- (Continued)
NiSource, Inc. 97,328 $ 3,534,953
Northeast Utilities 97,775 4,620,847
NRG Energy, Inc. 100,807 3,298,405
#Pepco Holdings, Inc. 77,653 2,077,994
PG&E Corp. 141,861 6,466,024
Pinnacle West Capital Corp. 34,157 1,911,084
PPL Corp. 195,503 6,518,070
Public Service Enterprise Group, Inc. 156,896 6,428,029
#SCANA Corp. 43,751 2,348,554
Sempra Energy 70,454 6,947,469
Southern Co. (The) 275,234 12,613,974
#TECO Energy, Inc. 63,539 1,141,160
#Wisconsin Energy Corp. 70,036 3,395,345
#Xcel Energy, Inc. 154,454 4,922,449
--------------
Total Utilities 165,559,104
--------------
TOTAL COMMON STOCKS 5,211,938,886
--------------
TEMPORARY CASH INVESTMENTS -- (1.1%)
State Street Institutional Liquid Reserves, 0.074% 61,231,350 61,231,350
--------------
SHARES/
FACE
AMOUNT
(000)
----------
SECURITIES LENDING COLLATERAL -- (2.3%)
(S)@ DFA Short Term Investment Fund 10,498,920 121,472,506
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $2,765,040,167) $5,394,642,742
==============
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 Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2014
(UNAUDITED)
SHARES VALUE+
--------- --------------
COMMON STOCKS -- (97.0%)
Consumer Discretionary -- (11.6%)
# Autoliv, Inc. 11,372 $ 1,159,717
# Best Buy Co., Inc. 18,980 492,151
Carnival Corp. 2,381,323 93,609,807
CBS Corp. Class A 7,236 420,773
Comcast Corp. Class A 9,873,756 511,065,611
# Comcast Corp. Special Class A 3,813,064 194,580,656
Dillard's, Inc. Class A 112,692 11,035,928
# DR Horton, Inc. 379,593 8,457,332
# GameStop Corp. Class A 598,147 23,734,473
General Motors Co. 3,716,863 128,157,436
Graham Holdings Co. Class B 32,261 21,654,551
* Hyatt Hotels Corp. Class A 26,622 1,498,286
# Kohl's Corp. 679,894 37,251,392
#* Lands' End, Inc. 140,755 3,891,876
Lear Corp. 57,952 4,813,493
# Lennar Corp. Class A 203,031 7,834,966
Lennar Corp. Class B 4,312 140,226
* Liberty Global P.L.C. Class C 5,034 193,457
* Liberty Interactive Corp. Class A 2,560,957 74,421,410
* Liberty Media Corp. Class A 156,789 20,337,101
* Liberty Ventures Series A 244,134 14,169,537
* MGM Resorts International 2,389,018 60,274,924
* Mohawk Industries, Inc. 286,453 37,929,242
* News Corp. Class A 290,667 4,947,152
#* News Corp. Class B 31,823 526,352
PVH Corp. 66,339 8,330,188
Royal Caribbean Cruises, Ltd. 1,051,952 55,890,210
#* Sears Holdings Corp. 530,007 23,219,607
Service Corp. International 219,283 4,115,942
# Staples, Inc. 1,585,772 19,822,150
Target Corp. 41,634 2,570,900
Time Warner Cable, Inc. 1,876,119 265,395,794
Time Warner, Inc. 5,052,904 335,816,000
#* Toll Brothers, Inc. 329,804 11,292,489
* TRW Automotive Holdings Corp. 459 36,881
Whirlpool Corp. 12,924 1,982,283
--------------
Total Consumer Discretionary 1,991,070,293
--------------
Consumer Staples -- (6.9%)
Archer-Daniels-Midland Co. 3,151,861 137,830,881
Beam, Inc. 61,513 5,134,490
Bunge, Ltd. 553,069 44,051,946
* Constellation Brands, Inc. Class A 462,850 36,953,944
CVS Caremark Corp. 6,986,047 508,025,338
Ingredion, Inc. 20,328 1,432,108
JM Smucker Co. (The) 538,740 52,085,383
Molson Coors Brewing Co. Class B 763,563 45,790,873
Mondelez International, Inc. Class A 7,976,433 284,359,836
Safeway, Inc. 196,076 6,678,349
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
--------- --------------
Consumer Staples -- (Continued)
Tyson Foods, Inc. Class A 1,426,374 $ 59,864,917
--------------
Total Consumer Staples 1,182,208,065
--------------
Energy -- (21.6%)
Anadarko Petroleum Corp. 2,644,697 261,877,897
Apache Corp. 1,895,772 164,553,010
Baker Hughes, Inc. 1,938,026 135,468,017
Chesapeake Energy Corp. 3,250,749 93,459,034
Chevron Corp. 4,835,771 606,985,976
Cimarex Energy Co. 44,110 5,254,383
ConocoPhillips 6,993,622 519,696,051
# Denbury Resources, Inc. 1,413,859 23,781,108
Devon Energy Corp. 1,721,246 120,487,220
Exxon Mobil Corp. 1,502,573 153,878,501
# Helmerich & Payne, Inc. 516,470 56,114,465
Hess Corp. 1,628,606 145,206,511
# HollyFrontier Corp. 459,148 24,146,593
Marathon Oil Corp. 3,640,872 131,617,523
Marathon Petroleum Corp. 1,752,484 162,893,388
Murphy Oil Corp. 728,510 46,209,389
Nabors Industries, Ltd. 1,355,841 34,601,062
National Oilwell Varco, Inc. 2,032,845 159,639,318
Noble Corp. P.L.C. 721,779 22,238,011
Occidental Petroleum Corp. 2,152,468 206,098,811
Patterson-UTI Energy, Inc. 732,485 23,827,737
Peabody Energy Corp. 307,711 5,849,586
Phillips 66 2,926,797 243,568,046
QEP Resources, Inc. 458,418 14,068,848
* Rowan Cos. P.L.C. Class A 580,491 17,948,782
Superior Energy Services, Inc. 56,288 1,853,001
Tesoro Corp. 615,285 34,634,393
# Tidewater, Inc. 61,917 3,153,433
# Transocean, Ltd. 1,340,027 57,714,963
Valero Energy Corp. 2,806,975 160,474,761
* Weatherford International, Ltd. 2,173,272 45,638,712
* Whiting Petroleum Corp. 281,425 20,746,651
* WPX Energy, Inc. 50,407 1,072,661
--------------
Total Energy 3,704,757,842
--------------
Financials -- (22.0%)
ACE, Ltd. 93,185 9,534,689
Aflac, Inc. 14,310 897,523
* Alleghany Corp. 1,128 460,201
Allied World Assurance Co. Holdings AG 185,434 19,969,387
Allstate Corp. (The) 293,542 16,717,217
* American Capital, Ltd. 802,500 12,029,475
American Financial Group, Inc. 487,279 28,471,712
American International Group, Inc. 6,143,899 326,425,354
American National Insurance Co. 70,112 7,881,290
# Assurant, Inc. 386,198 26,033,607
Assured Guaranty, Ltd. 76,092 1,819,360
Axis Capital Holdings, Ltd. 578,662 26,473,787
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Financials -- (Continued)
Bank of America Corp. 26,957,644 $ 408,138,730
Bank of New York Mellon Corp. (The) 3,735,585 126,524,264
BB&T Corp. 325,219 12,140,425
Capital One Financial Corp. 2,096,624 154,940,514
Chubb Corp. (The) 41,343 3,806,863
Cincinnati Financial Corp. 16,670 812,496
CIT Group, Inc. 19,151 824,451
Citigroup, Inc. 7,932,413 380,041,907
CME Group, Inc. 1,612,799 113,524,922
CNA Financial Corp. 498,971 20,432,862
* E*TRADE Financial Corp. 85,792 1,926,030
Everest Re Group, Ltd. 157,323 24,861,754
Fifth Third Bancorp 243,554 5,019,648
* Genworth Financial, Inc. Class A 2,374,310 42,381,433
Goldman Sachs Group, Inc. (The) 569,608 91,034,751
Hartford Financial Services Group, Inc. (The) 2,344,221 84,087,207
HCC Insurance Holdings, Inc. 2,282 104,835
Hudson City Bancorp, Inc. 71,664 713,773
Huntington Bancshares, Inc. 235,814 2,160,056
JPMorgan Chase & Co. 9,265,436 518,679,107
KeyCorp 96,319 1,313,791
# Legg Mason, Inc. 641,854 30,096,534
Leucadia National Corp. 137,025 3,496,878
Lincoln National Corp. 1,407,216 68,264,048
Loews Corp. 2,035,540 89,502,694
# M&T Bank Corp. 7,681 937,159
MetLife, Inc. 4,300,949 225,154,680
Morgan Stanley 6,887,527 213,031,210
# NASDAQ OMX Group, Inc. (The) 801,702 29,582,804
# New York Community Bancorp, Inc. 80,866 1,246,145
Old Republic International Corp. 632,434 10,473,107
PartnerRe, Ltd. 193,939 20,441,171
# People's United Financial, Inc. 138,880 1,983,206
PNC Financial Services Group, Inc. (The) 355,317 29,860,841
Principal Financial Group, Inc. 130,706 6,122,269
Protective Life Corp. 7,158 366,132
Prudential Financial, Inc. 1,944,264 156,863,220
Regions Financial Corp. 5,807,266 58,885,677
Reinsurance Group of America, Inc. 357,106 27,393,601
State Street Corp. 43,801 2,827,793
SunTrust Banks, Inc. 2,600,602 99,499,033
Travelers Cos., Inc. (The) 239,848 21,725,432
Unum Group 1,374,339 45,655,542
Validus Holdings, Ltd. 167,263 6,200,439
Wells Fargo & Co. 1,770,826 87,903,803
XL Group P.L.C. 1,434,888 44,983,739
# Zions Bancorp. 754,482 21,819,619
--------------
Total Financials 3,774,500,197
--------------
Health Care -- (9.3%)
Aetna, Inc. 2,009,110 143,550,909
* Bio-Rad Laboratories, Inc. Class A 1,222 150,563
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Health Care -- (Continued)
* Boston Scientific Corp. 6,629,529 $ 83,598,361
* CareFusion Corp. 907,569 35,449,645
Cigna Corp. 67,632 5,413,265
* Community Health Systems, Inc. 12,853 487,000
* Express Scripts Holding Co. 3,072,578 204,572,243
* Forest Laboratories, Inc. 383,681 35,264,121
#* Hologic, Inc. 1,211,606 25,425,552
Humana, Inc. 707,042 77,597,860
# Omnicare, Inc. 556,064 32,957,913
Perrigo Co. P.L.C. 13,380 1,938,227
Pfizer, Inc. 16,350,996 511,459,155
# Teleflex, Inc. 91,713 9,362,980
Thermo Fisher Scientific, Inc. 1,947,634 222,030,276
UnitedHealth Group, Inc. 667,282 50,072,841
WellPoint, Inc. 1,674,297 168,568,222
--------------
Total Health Care 1,607,899,133
--------------
Industrials -- (11.1%)
# ADT Corp. (The) 686,732 20,766,776
AGCO Corp. 279,803 15,585,027
#* Avis Budget Group, Inc. 78,385 4,122,267
CSX Corp. 5,604,703 158,164,719
Eaton Corp. P.L.C. 2,273,922 165,177,694
#* Engility Holdings, Inc. 31,860 1,390,370
FedEx Corp. 828,737 112,915,416
General Electric Co. 12,431,885 334,293,388
* Genesee & Wyoming, Inc. Class A 9,960 986,140
* Hertz Global Holdings, Inc. 1,345,507 38,306,584
* Jacobs Engineering Group, Inc. 175,921 10,150,642
# Joy Global, Inc. 61,252 3,698,396
KBR, Inc. 76,803 1,948,492
# Kennametal, Inc. 9,984 466,552
L-3 Communications Holdings, Inc. 413,892 47,750,720
Manpowergroup, Inc. 17,135 1,393,761
Norfolk Southern Corp. 1,681,939 158,993,694
Northrop Grumman Corp. 1,364,645 165,818,014
Oshkosh Corp. 36,950 2,051,094
Owens Corning 579,048 23,654,111
Pentair, Ltd. 496,227 36,864,704
* Quanta Services, Inc. 554,686 19,569,322
Regal-Beloit Corp. 6,550 489,482
Republic Services, Inc. 1,137,501 39,914,910
Ryder System, Inc. 10,373 852,453
Southwest Airlines Co. 3,905,821 94,403,694
SPX Corp. 22,870 2,329,081
Stanley Black & Decker, Inc. 596,088 51,197,998
Trinity Industries, Inc. 60,075 4,509,229
# Triumph Group, Inc. 29,704 1,925,116
Union Pacific Corp. 1,891,022 360,107,319
#* United Rentals, Inc. 73,167 6,865,260
# URS Corp. 321,791 15,162,792
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Industrials -- (Continued)
#* WESCO International, Inc. 20,953 $ 1,839,254
--------------
Total Industrials 1,903,664,471
--------------
Information Technology -- (7.0%)
Activision Blizzard, Inc. 2,620,144 52,429,081
Amdocs, Ltd. 17,878 831,863
* Arrow Electronics, Inc. 568,882 32,284,054
Avnet, Inc. 711,362 30,681,043
#* Blackhawk Network Holdings, Inc. Class B 32,213 741,865
Broadcom Corp. Class A 19,195 591,398
* Brocade Communications Systems, Inc. 35,425 329,807
Cisco Systems, Inc. 750,863 17,352,444
Computer Sciences Corp. 13,000 769,340
Corning, Inc. 5,762,032 120,484,089
Fidelity National Information Services, Inc. 1,308,765 69,927,314
* First Solar, Inc. 154,302 10,413,842
Hewlett-Packard Co. 9,619,949 318,035,514
* Ingram Micro, Inc. Class A 725,997 19,572,879
Intel Corp. 5,871,145 156,700,860
Jabil Circuit, Inc. 21,310 367,811
* Juniper Networks, Inc. 922,663 22,780,549
* Lam Research Corp. 325,184 18,733,850
# Leidos Holdings, Inc. 35,342 1,316,136
Marvell Technology Group, Ltd. 398,733 6,323,905
* Micron Technology, Inc. 3,654,213 95,448,044
# NVIDIA Corp. 629,521 11,627,253
Western Digital Corp. 564,843 49,779,614
Xerox Corp. 5,691,007 68,804,275
* Yahoo!, Inc. 2,644,444 95,067,762
--------------
Total Information Technology 1,201,394,592
--------------
Materials -- (3.2%)
Alcoa, Inc. 5,353,379 72,110,015
Ashland, Inc. 388,650 37,543,590
Freeport-McMoRan Copper & Gold, Inc. 4,647,012 159,717,802
International Paper Co. 2,043,676 95,337,485
# MeadWestvaco Corp. 841,379 32,872,678
Mosaic Co. (The) 407,332 20,382,893
Newmont Mining Corp. 381,443 9,471,230
Nucor Corp. 710,746 36,781,106
Reliance Steel & Aluminum Co. 359,269 25,443,431
Rock-Tenn Co. Class A 104,397 9,981,397
Steel Dynamics, Inc. 893,527 16,324,738
# United States Steel Corp. 89,096 2,318,278
Vulcan Materials Co. 576,239 37,184,703
--------------
Total Materials 555,469,346
--------------
Telecommunication Services -- (4.0%)
AT&T, Inc. 15,116,213 539,648,804
# CenturyLink, Inc. 2,353,137 82,148,013
# Frontier Communications Corp. 2,036,486 12,117,092
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- ---------------
Telecommunication Services -- (Continued)
#* Sprint Corp. 2,491,629 $ 21,178,846
T-Mobile US, Inc. 726,568 21,281,177
Telephone & Data Systems, Inc. 104,633 2,844,971
# United States Cellular Corp. 261,250 10,852,325
# Windstream Holdings, Inc. 331,755 3,009,018
---------------
Total Telecommunication Services 693,080,246
---------------
Utilities -- (0.3%)
NRG Energy, Inc. 1,581,268 51,739,089
UGI Corp. 61,277 2,861,023
---------------
Total Utilities 54,600,112
---------------
TOTAL COMMON STOCKS 16,668,644,297
---------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional Liquid Reserves, 0.074% 69,498,079 69,498,079
---------------
SHARES/
FACE
AMOUNT
(000)
----------
SECURITIES LENDING COLLATERAL -- (2.6%)
(S)@ DFA Short Term Investment Fund 38,162,068 441,535,131
---------------
TOTAL INVESTMENTS -- (100.0%) (Cost $10,925,873,386) $17,179,677,507
===============
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
=============== ============ == ===============
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2014
(UNAUDITED)
SHARES VALUE++
--------- ------------
COMMON STOCKS -- (90.6%)
AUSTRALIA -- (4.6%)
#* Alumina, Ltd. 4,595,906 $ 5,773,124
* Alumina, Ltd. Sponsored ADR 172,484 855,521
AMP, Ltd. 290,545 1,367,351
Asciano, Ltd. 3,701,696 18,680,169
# Bank of Queensland, Ltd. 762,068 8,712,363
Bendigo and Adelaide Bank, Ltd. 989,346 10,603,436
* BlueScope Steel, Ltd. 855,334 5,171,168
# Boral, Ltd. 1,960,080 10,402,480
Caltex Australia, Ltd. 18,966 393,703
Downer EDI, Ltd. 337,397 1,575,075
Echo Entertainment Group, Ltd. 1,832,302 4,819,299
GrainCorp, Ltd. Class A 367,914 3,034,353
# Harvey Norman Holdings, Ltd. 1,068,950 3,271,466
Incitec Pivot, Ltd. 4,514,071 12,116,981
# Leighton Holdings, Ltd. 96,754 1,720,498
Lend Lease Group 869,454 10,508,212
Macquarie Group, Ltd. 729,865 39,322,116
# Metcash, Ltd. 579,881 1,498,020
National Australia Bank, Ltd. 178,885 5,890,213
# New Hope Corp., Ltd. 69,375 201,629
#* Newcrest Mining, Ltd. 1,061,347 10,351,508
Origin Energy, Ltd. 2,782,880 38,659,472
Primary Health Care, Ltd. 701,130 3,064,448
#* Qantas Airways, Ltd. 3,295,675 3,748,942
QBE Insurance Group, Ltd. 935,240 10,093,703
# Rio Tinto, Ltd. 120,548 6,951,906
Santos, Ltd. 4,099,271 52,558,232
Seven Group Holdings, Ltd. 361,999 2,772,925
Seven West Media, Ltd. 46,084 80,073
#* Sims Metal Management, Ltd. 209,772 1,918,509
* Sims Metal Management, Ltd. Sponsored ADR 124,013 1,118,597
Suncorp Group, Ltd. 3,736,013 45,370,824
Tabcorp Holdings, Ltd. 2,076,000 7,194,711
Tatts Group, Ltd. 3,911,620 11,001,721
Toll Holdings, Ltd. 2,149,986 10,605,009
# Treasury Wine Estates, Ltd. 1,372,955 4,889,549
Washington H Soul Pattinson & Co., Ltd. 87,756 1,208,637
Wesfarmers, Ltd. 2,586,337 102,933,877
Woodside Petroleum, Ltd. 423,192 16,086,002
# WorleyParsons, Ltd. 38,859 609,369
------------
TOTAL AUSTRALIA 477,135,191
------------
AUSTRIA -- (0.1%)
Erste Group Bank AG 372,952 12,540,267
OMV AG 28,060 1,311,929
Raiffeisen Bank International AG 57,158 1,806,796
------------
TOTAL AUSTRIA 15,658,992
------------
BELGIUM -- (1.2%)
Ageas 517,258 22,260,572
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
BELGIUM -- (Continued)
# Belgacom SA 93,033 $ 2,847,510
# Delhaize Group SA 235,124 17,508,100
Delhaize Group SA Sponsored ADR 211,600 3,952,688
KBC Groep NV 447,959 27,335,740
Solvay SA 187,574 30,397,313
# UCB SA 292,847 24,021,241
------------
TOTAL BELGIUM 128,323,164
------------
CANADA -- (8.0%)
Bank of Montreal 101,569 7,002,167
Barrick Gold Corp. 2,020,445 35,297,174
# Bell Aliant, Inc. 62,911 1,549,744
#* BlackBerry, Ltd.(09228F103) 477,288 3,656,026
#* BlackBerry, Ltd.(BCBHZ31) 435,600 3,326,465
# Bonavista Energy Corp. 22,016 345,893
Cameco Corp.(13321L108) 112,600 2,397,254
Cameco Corp.(2166160) 506,586 10,782,949
Canadian Natural Resources, Ltd.(136385101) 736,891 30,043,046
# Canadian Natural Resources, Ltd.(2171573) 1,849,320 75,352,978
# Canadian Tire Corp., Ltd. Class A 239,571 23,529,783
# Crescent Point Energy Corp. 362,740 14,757,152
# Eldorado Gold Corp.(284902103) 109,318 666,840
Eldorado Gold Corp.(2307873) 175,726 1,070,982
Empire Co., Ltd. 65,500 4,143,164
# Enerplus Corp. 407,098 9,029,289
Ensign Energy Services, Inc. 452,198 7,116,843
Fairfax Financial Holdings, Ltd. 54,622 23,816,298
# First Quantum Minerals, Ltd. 966,542 19,250,588
# Genworth MI Canada, Inc. 85,424 2,996,718
George Weston, Ltd. 34,410 2,592,562
Goldcorp, Inc.(2676302) 1,686,234 41,646,234
Goldcorp, Inc.(380956409) 23,874 590,165
# Husky Energy, Inc. 846,066 27,650,275
IAMGOLD Corp.(450913108) 573,940 2,003,051
IAMGOLD Corp.(2446646) 231,424 806,569
Industrial Alliance Insurance & Financial Services,
Inc. 168,485 6,955,838
Kinross Gold Corp. 3,868,295 15,705,408
# Loblaw Cos., Ltd. 221,495 9,629,339
#* Lundin Mining Corp. 737,610 3,768,638
Magna International, Inc. 295,060 28,907,023
Manulife Financial Corp. 3,287,435 61,726,575
* MEG Energy Corp. 52,780 1,900,186
* New Gold, Inc. 25,030 126,514
* Osisko Mining Corp. 6,000 42,972
# Pacific Rubiales Energy Corp. 425,026 6,937,380
Pan American Silver Corp.(697900108) 118,576 1,536,745
Pan American Silver Corp.(2669272) 131,923 1,709,143
# Pengrowth Energy Corp. 699,668 4,545,081
# Penn West Petroleum, Ltd. 1,034,275 9,351,458
Precision Drilling Corp. 763,106 9,921,318
# Sun Life Financial, Inc. 1,292,577 43,752,207
Suncor Energy, Inc.(B3NB1P2) 3,750,370 144,670,082
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
CANADA -- (Continued)
Suncor Energy, Inc.(867224107) 51,781 $ 1,998,747
Talisman Energy, Inc. 3,003,838 31,051,033
Teck Resources, Ltd. Class A 4,115 98,327
# Teck Resources, Ltd. Class B 1,483,730 33,815,588
# Thomson Reuters Corp. 1,234,938 44,696,857
# TransAlta Corp. 616,481 7,531,299
Trican Well Service, Ltd. 6,065 86,876
#* Turquoise Hill Resources, Ltd.(900435108) 127,382 496,790
#* Turquoise Hill Resources, Ltd.(B7WJ1F5) 273,114 1,061,508
West Fraser Timber Co., Ltd. 50,666 2,265,074
Westjet Airlines, Ltd. 1,000 22,773
Yamana Gold, Inc. 1,425,140 10,675,060
------------
TOTAL CANADA 836,406,048
------------
DENMARK -- (1.6%)
AP Moeller - Maersk A.S. Class A 4,500 10,223,400
AP Moeller - Maersk A.S. Class B 19,275 46,014,397
Carlsberg A.S. Class B 334,440 33,454,818
Danske Bank A.S. 1,629,867 46,114,182
# FLSmidth & Co. A.S. 23,118 1,237,682
H Lundbeck A.S. 135,698 3,954,912
Rockwool International A.S. Class B 1,188 229,157
TDC A.S. 1,531,086 14,378,243
* Vestas Wind Systems A.S. 169,081 7,509,069
------------
TOTAL DENMARK 163,115,860
------------
FINLAND -- (0.9%)
# Fortum Oyj 927,640 20,957,319
Kesko Oyj Class A 662 26,444
Kesko Oyj Class B 138,917 5,686,240
# Neste Oil Oyj 110,779 2,278,251
* Nokia Oyj 3,232,344 24,202,402
Stora Enso Oyj Class R 1,455,180 14,859,732
# Stora Enso Oyj Sponsored ADR 91,500 924,150
UPM-Kymmene Oyj 1,403,467 24,580,035
UPM-Kymmene Oyj Sponsored ADR 69,300 1,204,434
------------
TOTAL FINLAND 94,719,007
------------
FRANCE -- (9.5%)
AXA SA 4,004,754 104,508,095
AXA SA Sponsored ADR 140,900 3,536,590
BNP Paribas SA 1,975,744 148,466,225
Bollore SA(4572709) 20,798 13,255,812
* Bollore SA(BDGTH22) 99 61,121
# Bouygues SA 397,462 17,902,047
Cap Gemini SA 213,324 15,072,127
Casino Guichard Perrachon SA 143,857 18,330,720
* CGG SA 89,108 1,541,728
#* CGG SA Sponsored ADR 136,689 2,351,051
Cie de St-Gobain 1,078,023 66,045,558
Cie Generale des Etablissements Michelin 166,102 20,369,214
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
FRANCE -- (Continued)
CNP Assurances 345,489 $ 7,970,273
* Credit Agricole SA 2,838,495 44,787,040
Eiffage SA 25,808 1,950,878
Electricite de France SA 498,285 19,134,596
# GDF Suez 3,247,971 81,859,990
Groupe Eurotunnel SA 627,332 8,421,813
Lafarge SA 505,082 46,214,412
Lagardere SCA 221,491 9,282,805
Natixis 2,034,211 14,440,161
Orange SA 3,875,091 62,781,400
#* Peugeot SA 159,012 2,813,391
Renault SA 740,603 72,408,643
Rexel SA 288,486 7,283,371
SCOR SE 72,412 2,649,755
Societe Generale SA 1,296,228 80,725,428
STMicroelectronics NV 1,542,301 14,707,677
Vallourec SA 119,253 7,047,314
Vivendi SA 3,686,124 99,034,179
------------
TOTAL FRANCE 994,953,414
------------
GERMANY -- (7.4%)
# Allianz SE 518,031 90,152,856
Allianz SE ADR 2,811,910 49,067,830
Bayerische Motoren Werke AG 683,720 85,946,981
Celesio AG 108,168 3,759,308
* Commerzbank AG 1,293,711 23,068,364
Daimler AG 2,088,586 194,445,529
Deutsche Bank AG(5750355) 1,058,443 46,619,620
# Deutsche Bank AG(D18190898) 464,576 20,455,281
# Deutsche Lufthansa AG 475,764 11,947,777
# Deutsche Telekom AG Sponsored ADR 442,166 7,406,281
# E.ON SE 3,638,090 69,687,054
Fraport AG Frankfurt Airport Services Worldwide 37,336 2,761,261
# HeidelbergCement AG 243,824 21,185,401
# K+S AG 82,279 2,883,065
* Metro AG 47,914 1,919,614
# Muenchener Rueckversicherungs AG 297,828 68,845,597
RWE AG 1,358,567 51,844,377
Volkswagen AG 62,518 16,764,107
------------
TOTAL GERMANY 768,760,303
------------
HONG KONG -- (1.9%)
Cathay Pacific Airways, Ltd. 2,931,001 5,546,838
Cheung Kong Holdings, Ltd. 750,000 12,788,618
* FIH Mobile, Ltd. 1,931,000 1,043,005
Great Eagle Holdings, Ltd. 794,324 2,836,916
Hang Lung Group, Ltd. 150,000 814,614
Henderson Land Development Co., Ltd. 3,725,616 22,366,123
# Hongkong & Shanghai Hotels (The) 1,903,131 2,783,222
Hopewell Holdings, Ltd. 1,244,169 4,282,738
Hutchison Whampoa, Ltd. 5,076,000 69,640,150
* Kerry Logistics Network, Ltd. 325,000 478,223
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
HONG KONG -- (Continued)
Kerry Properties, Ltd. 866,500 $ 2,864,603
MTR Corp., Ltd. 456,500 1,730,953
New World Development Co., Ltd. 14,811,625 15,343,288
NWS Holdings, Ltd. 109,395 186,478
Orient Overseas International, Ltd. 488,000 2,334,437
Shangri-La Asia, Ltd. 454,000 744,952
Sino Land Co., Ltd. 1,597,872 2,395,991
Sun Hung Kai Properties, Ltd. 869,920 11,004,788
Swire Pacific, Ltd. Class A 362,000 4,178,583
Swire Pacific, Ltd. Class B 42,500 94,363
Wharf Holdings, Ltd. 3,665,990 25,806,822
Wheelock & Co., Ltd. 3,493,000 14,462,997
------------
TOTAL HONG KONG 203,728,702
------------
IRELAND -- (0.2%)
* Bank of Ireland 9,889,009 3,861,178
CRH P.L.C. 295,666 8,607,890
CRH P.L.C. Sponsored ADR 215,216 6,301,524
------------
TOTAL IRELAND 18,770,592
------------
ISRAEL -- (0.3%)
# Bank Hapoalim BM 3,220,797 18,194,258
* Bank Leumi Le-Israel BM 3,143,915 12,301,422
* Israel Discount Bank, Ltd. Class A 427,704 764,712
Migdal Insurance & Financial Holding, Ltd. 10,788 17,671
Mizrahi Tefahot Bank, Ltd. 99,634 1,331,893
------------
TOTAL ISRAEL 32,609,956
------------
ITALY -- (1.6%)
#* Banca Monte dei Paschi di Siena SpA 12,934,984 4,323,140
* Banco Popolare SC 570,354 11,787,163
* Finmeccanica SpA 769,930 7,125,266
Intesa Sanpaolo SpA 10,630,153 36,376,691
#* Telecom Italia SpA 9,373,960 12,045,802
Telecom Italia SpA Sponsored ADR 1,874,500 24,068,580
UniCredit SpA 6,290,570 56,361,264
Unione di Banche Italiane SCPA 1,854,721 17,704,224
------------
TOTAL ITALY 169,792,130
------------
JAPAN -- (18.3%)
77 Bank, Ltd. (The) 737,372 3,328,885
# Aeon Co., Ltd. 2,444,200 28,229,586
Aisin Seiki Co., Ltd. 421,200 14,884,943
Alfresa Holdings Corp. 89,400 5,565,761
Amada Co., Ltd. 821,000 5,937,633
Aoyama Trading Co., Ltd. 20,400 506,225
Asahi Glass Co., Ltd. 3,971,000 22,513,110
Asahi Kasei Corp. 4,731,000 32,165,111
Asatsu-DK, Inc. 17,500 395,876
Autobacs Seven Co., Ltd. 214,800 3,323,199
Awa Bank, Ltd. (The) 65,600 351,278
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- -----------
JAPAN -- (Continued)
Azbil Corp. 23,600 $ 535,547
Bank of Kyoto, Ltd. (The) 709,400 5,780,221
Bank of Yokohama, Ltd. (The) 1,939,000 9,745,599
# Brother Industries, Ltd. 194,500 2,720,564
# Canon Marketing Japan, Inc. 124,900 2,011,588
Chiba Bank, Ltd. (The) 1,189,000 7,557,772
Chugoku Bank, Ltd. (The) 391,800 5,193,839
Citizen Holdings Co., Ltd. 601,600 4,418,097
Coca-Cola West Co., Ltd. 153,707 2,675,133
COMSYS Holdings Corp. 207,400 3,400,125
Cosmo Oil Co., Ltd. 1,287,364 2,408,298
Dai Nippon Printing Co., Ltd. 1,815,000 16,348,348
Dai-ichi Life Insurance Co., Ltd. (The) 335,200 4,644,780
Daicel Corp. 575,000 4,815,499
# Daido Steel Co., Ltd. 594,000 2,904,292
Denki Kagaku Kogyo K.K. 992,000 3,290,004
Fuji Media Holdings, Inc. 112,800 1,900,400
FUJIFILM Holdings Corp. 1,327,000 34,279,167
Fukuoka Financial Group, Inc. 1,800,000 7,351,211
# Fukuyama Transporting Co., Ltd. 85,000 497,435
# Furukawa Electric Co., Ltd. 633,000 1,425,174
Glory, Ltd. 126,700 3,277,906
Gunma Bank, Ltd. (The) 921,397 4,897,479
H2O Retailing Corp. 269,000 2,030,019
Hachijuni Bank, Ltd. (The) 993,231 5,429,926
Hakuhodo DY Holdings, Inc. 452,000 3,506,236
Hankyu Hanshin Holdings, Inc. 1,858,000 10,182,904
Higo Bank, Ltd. (The) 282,000 1,449,432
Hiroshima Bank, Ltd. (The) 624,000 2,567,284
Hitachi Capital Corp. 47,000 1,158,429
Hitachi Chemical Co., Ltd. 191,100 2,811,395
# Hitachi Construction Machinery Co., Ltd. 155,900 2,892,966
Hitachi High-Technologies Corp. 139,900 3,200,363
Hitachi Transport System, Ltd. 105,000 1,611,210
Hokuhoku Financial Group, Inc. 2,620,000 5,055,915
# House Foods Group, Inc. 148,300 2,467,741
Ibiden Co., Ltd. 344,300 6,214,656
Idemitsu Kosan Co., Ltd. 243,896 5,393,398
Inpex Corp. 1,335,200 19,471,761
# Isetan Mitsukoshi Holdings, Ltd. 884,200 11,003,040
ITOCHU Corp. 3,579,600 40,126,565
Iyo Bank, Ltd. (The) 551,000 4,954,056
J Front Retailing Co., Ltd. 1,455,000 9,248,768
JFE Holdings, Inc. 1,259,700 23,280,837
Joyo Bank, Ltd. (The) 1,376,000 6,697,123
JTEKT Corp. 365,200 5,328,446
JX Holdings, Inc. 6,192,133 32,173,078
# K's Holdings Corp. 41,100 1,192,737
Kagoshima Bank, Ltd. (The) 358,143 2,236,996
# Kajima Corp. 1,900,000 7,234,259
# Kamigumi Co., Ltd. 540,000 5,147,447
Kaneka Corp. 790,542 4,636,779
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
JAPAN -- (Continued)
Kawasaki Kisen Kaisha, Ltd. 2,648,000 $ 5,317,039
Keiyo Bank, Ltd. (The) 418,000 1,839,862
Kewpie Corp. 47,400 681,826
Kinden Corp. 207,000 1,905,706
Kobe Steel, Ltd. 9,305,000 12,214,301
Konica Minolta, Inc. 1,634,700 15,232,338
Kuraray Co., Ltd. 1,060,900 11,928,509
# Kurita Water Industries, Ltd. 13,500 284,311
Kyocera Corp. 818,800 38,508,074
Kyocera Corp. Sponsored ADR 27,200 1,282,208
Kyowa Hakko Kirin Co., Ltd. 571,000 6,502,388
Lintec Corp. 5,100 94,830
LIXIL Group Corp. 201,900 5,350,334
Mabuchi Motor Co., Ltd. 20,400 1,396,923
Maeda Road Construction Co., Ltd. 36,000 558,201
# Marubeni Corp. 3,990,000 26,662,826
Marui Group Co., Ltd. 542,642 4,820,083
Maruichi Steel Tube, Ltd. 74,700 1,894,857
Matsumotokiyoshi Holdings Co., Ltd. 5,000 147,547
Medipal Holdings Corp. 339,800 4,779,441
MEIJI Holdings Co., Ltd. 102,195 6,271,383
Mitsubishi Chemical Holdings Corp. 5,501,500 22,017,152
Mitsubishi Corp. 3,482,500 62,362,177
# Mitsubishi Gas Chemical Co., Inc. 948,000 5,473,266
# Mitsubishi Logistics Corp. 220,000 3,156,333
Mitsubishi Materials Corp. 3,761,000 10,908,907
Mitsubishi Tanabe Pharma Corp. 465,600 6,384,436
Mitsubishi UFJ Financial Group, Inc. 24,653,206 131,142,580
# Mitsubishi UFJ Financial Group, Inc. ADR 4,781,372 25,580,340
Mitsui & Co., Ltd. 4,220,700 59,859,529
Mitsui & Co., Ltd. Sponsored ADR 11,723 3,312,920
# Mitsui Chemicals, Inc. 1,861,800 4,536,789
Mitsui Engineering & Shipbuilding Co., Ltd. 651,000 1,263,089
Mitsui Mining & Smelting Co., Ltd. 69,030 171,170
Mitsui OSK Lines, Ltd. 3,290,000 10,975,658
Mizuho Financial Group, Inc. 42,833,200 83,893,411
Mizuho Financial Group, Inc. ADR 205,757 804,510
MS&AD Insurance Group Holdings 915,353 20,533,331
Nagase & Co., Ltd. 235,889 2,890,370
Nanto Bank, Ltd. (The) 319,000 1,197,329
NEC Corp. 10,253,101 28,841,930
NHK Spring Co., Ltd. 66,800 604,666
Nippo Corp. 117,000 1,787,701
Nippon Electric Glass Co., Ltd. 864,000 4,226,617
Nippon Express Co., Ltd. 2,172,238 10,268,853
Nippon Meat Packers, Inc. 429,536 7,444,449
# Nippon Paper Industries Co., Ltd. 287,500 5,254,265
Nippon Shokubai Co., Ltd. 266,000 3,069,181
Nippon Steel & Sumitomo Metal Corp. 19,029,940 49,927,655
Nippon Television Holdings, Inc. 72,400 1,079,304
# Nippon Yusen K.K. 5,752,000 15,590,924
Nishi-Nippon City Bank, Ltd. (The) 1,412,569 3,213,024
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- -----------
JAPAN -- (Continued)
Nissan Motor Co., Ltd. 5,592,800 $48,258,010
Nissan Shatai Co., Ltd. 11,500 175,198
# Nisshin Seifun Group, Inc. 464,199 5,400,761
Nisshin Steel Co., Ltd. 143,100 1,469,694
Nisshinbo Holdings, Inc. 305,000 2,613,018
NKSJ Holdings, Inc. 296,400 7,394,835
NOK Corp. 212,020 3,466,270
* NTN Corp. 1,546,000 5,291,062
# NTT DOCOMO, Inc. 3,091,700 49,314,290
# NTT DOCOMO, Inc. Sponsored ADR 6,118 97,766
# Obayashi Corp. 1,650,682 10,658,275
Oji Holdings Corp. 2,787,000 11,709,551
# Onward Holdings Co., Ltd. 278,000 1,869,849
Otsuka Holdings Co., Ltd. 148,700 4,283,716
# Pola Orbis Holdings, Inc. 49,300 1,929,387
Rengo Co., Ltd. 421,000 1,881,330
Resona Holdings, Inc. 3,227,600 16,502,722
Ricoh Co., Ltd. 2,859,100 32,945,604
Rohm Co., Ltd. 233,700 11,175,972
Sankyo Co., Ltd. 82,500 3,299,258
# SBI Holdings, Inc. 399,300 4,566,370
Seino Holdings Co., Ltd. 315,000 3,113,376
Sekisui Chemical Co., Ltd. 125,000 1,266,775
Sekisui House, Ltd. 1,499,800 18,002,995
Shiga Bank, Ltd. (The) 451,185 2,467,199
Shimizu Corp. 1,371,000 7,771,703
Shizuoka Bank, Ltd. (The) 1,051,000 10,042,310
# Showa Denko K.K. 4,216,000 5,617,627
Showa Shell Sekiyu K.K. 366,900 3,721,985
SKY Perfect JSAT Holdings, Inc. 358,300 1,926,625
Sohgo Security Services Co., Ltd. 101,200 2,145,543
Sojitz Corp. 2,718,800 4,287,055
# Sony Corp. 975,200 17,120,209
# Sony Corp. Sponsored ADR 1,801,665 31,781,371
Sumitomo Bakelite Co., Ltd. 347,000 1,321,536
Sumitomo Chemical Co., Ltd. 6,068,000 22,764,970
Sumitomo Corp. 3,241,900 42,081,429
Sumitomo Electric Industries, Ltd. 2,606,700 36,079,787
# Sumitomo Forestry Co., Ltd. 343,000 3,488,574
# Sumitomo Heavy Industries, Ltd. 1,272,000 5,412,230
Sumitomo Metal Mining Co., Ltd. 1,441,000 21,765,603
Sumitomo Mitsui Financial Group, Inc. 1,688,300 66,739,011
Sumitomo Mitsui Trust Holdings, Inc. 1,987,629 8,190,419
Sumitomo Osaka Cement Co., Ltd. 196,000 779,516
Sumitomo Rubber Industries, Ltd. 162,700 2,261,182
Suzuken Co., Ltd. 149,300 5,381,534
Suzuki Motor Corp. 774,300 19,976,987
T&D Holdings, Inc. 1,060,400 12,657,244
Taisho Pharmaceutical Holdings Co., Ltd. 49,199 3,626,340
Taiyo Nippon Sanso Corp. 28,000 223,181
Takashimaya Co., Ltd. 639,634 6,060,017
Takata Corp. 1,900 44,768
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- --------------
JAPAN -- (Continued)
TDK Corp. 487,600 $ 20,791,981
Teijin, Ltd. 3,063,450 7,530,119
# Toho Holdings Co., Ltd. 12,800 258,026
Tokai Rika Co., Ltd. 97,100 1,687,521
Tokio Marine Holdings, Inc. 15,400 453,775
Tokyo Broadcasting System Holdings, Inc. 85,300 926,617
# Toppan Printing Co., Ltd. 1,344,000 9,230,390
Toshiba TEC Corp. 36,000 234,527
Tosoh Corp. 1,275,000 4,865,278
Toyo Seikan Group Holdings, Ltd. 365,849 5,440,861
Toyobo Co., Ltd. 664,000 1,072,262
Toyoda Gosei Co., Ltd. 95,300 1,755,981
# Toyota Boshoku Corp. 30,300 313,222
# Toyota Tsusho Corp. 675,100 17,781,598
Ube Industries, Ltd. 2,998,000 5,079,258
# UNY Group Holdings Co., Ltd. 393,050 2,536,571
Ushio, Inc. 44,200 577,324
Wacoal Holdings Corp. 179,000 1,765,700
# Yamada Denki Co., Ltd. 1,608,100 5,941,079
# Yamaguchi Financial Group, Inc. 492,148 4,538,493
Yamaha Corp. 355,900 4,768,585
Yamato Kogyo Co., Ltd. 86,600 2,497,389
Yamazaki Baking Co., Ltd. 263,000 3,213,417
--------------
TOTAL JAPAN 1,909,110,717
--------------
NETHERLANDS -- (3.2%)
Aegon NV 3,908,207 35,824,227
Akzo Nobel NV 442,754 34,119,542
# ArcelorMittal(B03XPL1) 3,159,312 51,374,315
# ArcelorMittal(B295F26) 553,547 8,995,139
* ING Groep NV 6,479,202 92,619,251
#* ING Groep NV Sponsored ADR 1,297,167 18,549,488
Koninklijke Ahold NV 1,258,998 24,338,805
Koninklijke Boskalis Westminster NV 22,312 1,264,570
Koninklijke DSM NV 466,014 33,463,425
* Koninklijke KPN NV 601,748 2,137,931
Koninklijke Philips NV 1,120,476 35,869,966
TNT Express NV 72,118 649,894
--------------
TOTAL NETHERLANDS 339,206,553
--------------
NEW ZEALAND -- (0.1%)
Auckland International Airport, Ltd. 297,563 1,019,131
Contact Energy, Ltd. 1,292,916 6,350,743
Fletcher Building, Ltd. 83,384 709,041
--------------
TOTAL NEW ZEALAND 8,078,915
--------------
NORWAY -- (0.7%)
# Aker ASA Class A 68,150 2,308,416
# DNB ASA 1,551,198 27,495,788
# Norsk Hydro ASA 3,357,025 18,004,372
# Norsk Hydro ASA Sponsored ADR 59,900 322,262
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ------------
NORWAY -- (Continued)
# Orkla ASA 361,613 $ 2,990,752
Stolt-Nielsen, Ltd. 8,425 227,790
* Storebrand ASA 1,082,306 6,075,377
Subsea 7 SA 590,207 11,818,457
# Wilh Wilhelmsen Holding ASA Class A 212 6,726
# Yara International ASA 19,098 902,790
------------
TOTAL NORWAY 70,152,730
------------
PORTUGAL -- (0.1%)
#* Banco Espirito Santo SA 2,631,973 4,665,259
* EDP Renovaveis SA 517,656 3,549,897
------------
TOTAL PORTUGAL 8,215,156
------------
SINGAPORE -- (1.1%)
CapitaLand, Ltd. 9,878,000 25,280,518
# CapitaMalls Asia, Ltd. 1,267,000 2,232,549
City Developments, Ltd. 179,000 1,550,857
DBS Group Holdings, Ltd. 1,172,308 15,881,446
Golden Agri-Resources, Ltd. 13,990,000 6,824,803
Hutchison Port Holdings Trust 4,848,000 3,299,340
Keppel Land, Ltd. 1,214,000 3,358,465
#* Neptune Orient Lines, Ltd. 1,246,004 1,010,600
Noble Group, Ltd. 10,011,000 10,308,120
# Olam International, Ltd. 2,567,000 4,580,599
# OUE Hospitality Trust 67,498 46,852
# OUE, Ltd. 405,000 734,302
Singapore Airlines, Ltd. 1,933,600 16,030,374
United Industrial Corp., Ltd. 2,152,000 5,755,030
UOL Group, Ltd. 1,376,600 7,067,800
Venture Corp., Ltd. 307,000 1,880,422
Wheelock Properties Singapore, Ltd. 861,000 1,291,083
Wilmar International, Ltd. 4,154,000 11,289,798
------------
TOTAL SINGAPORE 118,422,958
------------
SPAIN -- (2.6%)
# Acciona SA 101,533 8,259,282
# Banco de Sabadell SA 5,355,403 18,220,588
Banco Popular Espanol SA 3,458,143 25,482,786
Banco Santander SA 8,200,002 81,554,496
# Banco Santander SA Sponsored ADR 1,541,029 15,348,649
# CaixaBank SA 3,079,847 18,770,826
Iberdrola SA 9,376,631 65,500,776
Repsol SA 1,248,100 33,604,404
------------
TOTAL SPAIN 266,741,807
------------
SWEDEN -- (2.9%)
# Boliden AB 612,180 9,349,391
Holmen AB Class A 5,283 186,143
Meda AB Class A 280,396 5,040,101
Nordea Bank AB 5,366,449 77,763,053
Skandinaviska Enskilda Banken AB Class A 3,481,813 48,093,995
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
--------- ------------
SWEDEN -- (Continued)
# Skandinaviska Enskilda Banken AB Class C 16,918 $ 230,116
#* SSAB AB Class A 51,620 450,684
Svenska Cellulosa AB Class A 66,476 1,859,037
Svenska Cellulosa AB Class B 1,348,669 37,915,170
Svenska Handelsbanken AB Class A 32,796 1,649,637
Svenska Handelsbanken AB Class B 252 12,303
Swedbank AB Class A 674,237 18,043,872
Tele2 AB Class B 127,737 1,632,365
Telefonaktiebolaget LM Ericsson Class A 28,098 323,887
Telefonaktiebolaget LM Ericsson Class B 4,713,081 56,832,490
# Telefonaktiebolaget LM Ericsson Sponsored ADR 952,162 11,416,422
TeliaSonera AB 3,717,354 27,058,823
------------
TOTAL SWEDEN 297,857,489
------------
SWITZERLAND -- (8.8%)
ABB, Ltd. 820,669 19,758,495
Adecco SA 358,259 30,076,577
# Alpiq Holding AG 1,593 195,484
Aryzta AG 189,423 17,509,404
Baloise Holding AG 200,163 24,374,561
Banque Cantonale Vaudoise 468 277,799
Clariant AG 601,589 11,863,278
Credit Suisse Group AG 1,928,358 61,134,025
# Credit Suisse Group AG Sponsored ADR 1,022,581 32,385,140
Givaudan SA 5,469 8,631,037
Holcim, Ltd. 887,877 81,432,888
Lonza Group AG 7,458 780,558
Novartis AG 2,434,443 211,632,207
Novartis AG ADR 681,571 59,255,783
PSP Swiss Property AG 1,959 188,290
Sulzer AG 50,596 7,807,080
Swiss Life Holding AG 123,557 30,441,434
Swiss Re AG 1,412,545 123,514,466
UBS AG(B18YFJ4) 4,344,251 90,855,076
# UBS AG(H89231338) 505,823 10,576,759
Zurich Insurance Group AG 321,452 92,179,146
------------
TOTAL SWITZERLAND 914,869,487
------------
UNITED KINGDOM -- (15.5%)
Anglo American P.L.C. 2,938,851 78,564,591
Barclays P.L.C. 6,164,510 26,322,720
Barclays P.L.C. Sponsored ADR 5,037,005 86,183,156
Barratt Developments P.L.C. 410,298 2,566,070
BP P.L.C. 1,867,967 15,771,454
BP P.L.C. Sponsored ADR 6,938,726 351,238,309
Carnival P.L.C. 658,867 26,340,713
# Carnival P.L.C. ADR 229,328 9,152,480
Coca-Cola HBC AG ADR 4,761 119,930
Glencore Xstrata P.L.C. 9,442,477 50,949,377
HSBC Holdings P.L.C. 4,447,299 45,440,771
# HSBC Holdings P.L.C. Sponsored ADR 1,892,534 97,124,844
Investec P.L.C. 1,195,168 10,545,881
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE++
---------- ---------------
UNITED KINGDOM -- (Continued)
# J Sainsbury P.L.C. 5,377,115 $ 30,503,307
Kingfisher P.L.C. 8,040,406 56,896,948
* Lloyds Banking Group P.L.C. 34,635,010 44,166,996
#* Lloyds Banking Group P.L.C. ADR 1,528,251 7,901,058
Mondi P.L.C. 92,520 1,538,044
Old Mutual P.L.C. 12,629,616 42,689,163
# Pearson P.L.C. Sponsored ADR 1,179,255 22,134,616
Resolution, Ltd. 3,422,696 17,266,967
* Royal Bank of Scotland Group P.L.C. 3,847,507 19,493,190
* Royal Bank of Scotland Group P.L.C. Sponsored ADR 400,166 4,065,687
# Royal Dutch Shell P.L.C. ADR(780259107) 3,323,210 281,309,727
Royal Dutch Shell P.L.C. ADR(780259206) 755,142 59,459,881
Royal Dutch Shell P.L.C. Class A 568,985 22,494,366
Royal Dutch Shell P.L.C. Class B 255,146 10,833,751
RSA Insurance Group P.L.C. 6,814,831 11,315,453
# Vedanta Resources P.L.C. 189,404 3,032,969
Vodafone Group P.L.C. 19,078,000 72,431,667
Vodafone Group P.L.C. Sponsored ADR 2,056,797 78,076,025
WM Morrison Supermarkets P.L.C. 8,127,143 27,588,942
---------------
TOTAL UNITED KINGDOM 1,613,519,053
---------------
TOTAL COMMON STOCKS 9,450,148,224
---------------
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Porsche Automobil Holding SE 254,382 28,133,374
---------------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
* Bank of Queensland, Ltd. Rights 05/09/14 78,835 --
---------------
FRANCE -- (0.0%)
* Peugeot SA Warrants 04/29/17 159,012 304,214
---------------
HONG KONG -- (0.0%)
* Sun Hung Kai Properties 04/22/16 71,750 49,049
---------------
SPAIN -- (0.0%)
* Banco Santander SA 8,200,002 1,734,756
---------------
TOTAL RIGHTS/WARRANTS 2,088,019
---------------
SHARES/
FACE
AMOUNT
(000) VALUE+
---------- ---------------
SECURITIES LENDING COLLATERAL -- (9.1%)
(S)@ DFA Short Term Investment Fund 82,550,804 955,112,801
---------------
TOTAL INVESTMENTS -- (100.0%) (Cost $8,605,115,658) $10,435,482,418
===============
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
============== ============== == ===============
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2014
(UNAUDITED)
SHARES VALUE++
--------- -----------
COMMON STOCKS -- (88.9%)
BRAZIL -- (6.7%)
AES Tiete SA 76,085 $ 498,185
ALL - America Latina Logistica SA 508,831 2,015,014
AMBEV SA 855,320 6,252,592
AMBEV SA ADR 4,150,723 30,092,742
Banco Bradesco SA 671,682 10,317,349
Banco do Brasil SA 658,292 6,911,365
Banco Santander Brasil SA 431,700 2,884,776
Banco Santander Brasil SA ADR 726,366 4,830,334
BM&FBovespa SA 2,441,108 12,480,606
BR Malls Participacoes SA 552,323 4,753,483
Braskem SA Sponsored ADR 153,394 2,086,158
BRF SA 97,000 2,196,883
BRF SA ADR 539,479 12,192,225
CCR SA 1,069,768 8,371,993
Centrais Eletricas Brasileiras SA 246,900 861,479
# Centrais Eletricas Brasileiras SA ADR 86,923 483,292
# Centrais Eletricas Brasileiras SA Sponsored ADR 100,200 347,694
CETIP SA - Mercados Organizados 325,900 4,152,402
Cia Brasileira de Distribuicao Grupo Pao de Acucar
ADR 85,830 4,082,075
Cia de Saneamento Basico do Estado de Sao Paulo 287,000 2,718,439
# Cia de Saneamento Basico do Estado de Sao Paulo ADR 178,668 1,693,773
Cia Energetica de Minas Gerais 68,587 526,918
Cia Hering 108,600 1,147,490
Cia Paranaense de Energia 23,000 226,931
# Cia Paranaense de Energia Sponsored ADR 57,783 829,186
Cia Siderurgica Nacional SA 633,652 2,432,587
# Cia Siderurgica Nacional SA Sponsored ADR 524,621 2,030,283
Cielo SA 743,950 13,179,074
Cosan SA Industria e Comercio 181,069 3,105,316
CPFL Energia SA 83,360 706,957
CPFL Energia SA ADR 63,516 1,064,528
Cyrela Brazil Realty SA Empreendimentos e
Participacoes 417,297 2,530,264
Duratex SA 619,565 2,681,378
EcoRodovias Infraestrutura e Logistica SA 221,877 1,326,436
EDP - Energias do Brasil SA 236,900 1,029,515
Embraer SA 140,070 1,211,145
Embraer SA ADR 133,319 4,586,174
Estacio Participacoes SA 279,018 2,988,205
#* Fibria Celulose SA Sponsored ADR 514,098 5,104,993
Gerdau SA 146,632 710,883
Gerdau SA Sponsored ADR 326,326 1,961,219
Grendene SA 91,864 580,909
Guararapes Confeccoes SA 8,056 375,748
Hypermarcas SA 832,924 6,137,433
Itau Unibanco Holding SA 250,536 3,859,586
JBS SA 1,052,281 3,633,844
Klabin SA 744,877 3,908,537
Kroton Educacional SA 206,884 4,431,340
Localiza Rent a Car SA 158,860 2,372,480
Lojas Americanas SA 148,110 946,549
Lojas Renner SA 147,987 4,353,828
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
----------- ------------
BRAZIL -- (Continued)
M Dias Branco SA 40,000 $ 1,728,983
Multiplan Empreendimentos Imobiliarios SA 89,300 1,973,631
Natura Cosmeticos SA 198,900 3,406,656
Odontoprev SA 7,800 31,308
Oi SA 217,658 219,635
Oi SA ADR(670851104) 7,319 7,245
# Oi SA ADR(670851203) 107,889 100,196
Petroleo Brasileiro SA 598,900 4,198,142
Petroleo Brasileiro SA ADR 1,308,418 18,160,842
Porto Seguro SA 140,099 2,042,030
* Qualicorp SA 162,500 1,579,269
Raia Drogasil SA 229,600 1,956,453
Souza Cruz SA 439,970 4,015,423
Sul America SA 38,200 280,108
Tim Participacoes SA 439,800 2,386,626
Tim Participacoes SA ADR 63,679 1,713,602
Totvs SA 128,775 2,102,791
Tractebel Energia SA 142,100 2,113,258
Transmissora Alianca de Energia Eletrica SA 428,534 3,834,176
Ultrapar Participacoes SA 136,914 3,437,357
# Ultrapar Participacoes SA Sponsored ADR 254,308 6,329,726
* Usinas Siderurgicas de Minas Gerais SA 39,100 140,460
Vale SA 137,800 1,816,939
# Vale SA Sponsored ADR 1,238,400 16,371,648
WEG SA 323,525 3,904,499
------------
TOTAL BRAZIL 284,053,598
------------
CHILE -- (1.5%)
AES Gener SA 2,215,773 1,191,814
Aguas Andinas SA Class A 2,021,324 1,246,995
# Banco de Chile ADR 36,105 2,793,444
Banco de Credito e Inversiones 35,349 1,954,600
Banco Santander Chile ADR 184,741 4,483,664
CAP SA 122,726 1,840,058
Cencosud SA 1,142,664 3,807,159
Cencosud SA ADR 8,408 84,585
CFR Pharmaceuticals SA 1,737,925 354,204
Cia Cervecerias Unidas SA 23,702 279,759
Cia Cervecerias Unidas SA ADR 54,549 1,285,720
Cia General de Electricidad SA 26,559 124,733
Colbun SA 6,902,135 1,707,751
Corpbanca SA 123,319,143 1,420,589
# Corpbanca SA ADR 26,066 460,065
Embotelladora Andina SA Class A ADR 22,244 429,754
# Embotelladora Andina SA Class B ADR 19,587 474,397
Empresa Nacional de Electricidad SA Sponsored ADR 111,030 4,893,092
Empresas CMPC SA 1,191,114 2,651,353
Empresas COPEC SA 470,401 6,069,099
Enersis SA Sponsored ADR 508,369 8,184,741
ENTEL Chile SA 193,991 2,381,504
Gasco SA 4,891 42,907
Inversiones Aguas Metropolitanas SA 377,408 624,709
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- -----------
CHILE -- (Continued)
# Latam Airlines Group SA Sponsored ADR 320,098 $ 4,907,102
Molibdenos y Metales SA 21,739 295,694
Ripley Corp. SA 469,387 305,296
SACI Falabella 686,100 5,836,510
Sigdo Koppers SA 338,893 552,554
Sociedad Quimica y Minera de Chile SA Sponsored ADR 91,271 2,911,545
Sonda SA 482,159 1,115,130
-----------
TOTAL CHILE 64,710,527
-----------
CHINA -- (13.1%)
Agile Property Holdings, Ltd. 1,754,000 1,422,437
Agricultural Bank of China, Ltd. Class H 18,434,000 7,732,803
Air China, Ltd. Class H 1,866,000 1,063,756
#* Aluminum Corp. of China, Ltd. ADR 112,680 1,014,120
#* Aluminum Corp. of China, Ltd. Class H 1,192,000 427,365
* Angang Steel Co., Ltd. Class H 1,422,000 863,547
# Anhui Conch Cement Co., Ltd. Class H 1,017,500 3,785,898
Bank of China, Ltd. Class H 64,409,100 28,461,762
Bank of Communications Co., Ltd. Class H 7,835,515 4,880,640
BBMG Corp. Class H 987,000 692,220
Beijing Capital International Airport Co., Ltd.
Class H 198,000 138,334
Beijing Enterprises Holdings, Ltd. 668,972 5,799,838
# Beijing Enterprises Water Group, Ltd. 716,000 453,204
Beijing Jingneng Clean Energy Co., Ltd. Class H 46,000 19,888
Belle International Holdings, Ltd. 3,431,000 3,576,518
Biostime International Holdings, Ltd. 138,000 917,976
Brilliance China Automotive Holdings, Ltd. 1,934,000 2,963,939
#* Byd Co., Ltd. Class H 381,886 2,066,462
China BlueChemical, Ltd. 238,000 127,763
China CITIC Bank Corp., Ltd. Class H 6,922,928 4,135,478
# China Coal Energy Co., Ltd. Class H 4,318,777 2,328,861
China Communications Construction Co., Ltd. Class H 4,945,000 3,225,091
China Communications Services Corp., Ltd. Class H 2,892,000 1,463,899
China Construction Bank Corp. Class H 58,649,590 40,607,391
#* China COSCO Holdings Co., Ltd. Class H 2,263,000 897,542
* China Eastern Airlines Corp., Ltd. ADR 2,800 43,120
#* China Eastern Airlines Corp., Ltd. Class H 1,510,000 466,652
China Everbright International, Ltd. 1,499,000 1,874,783
China Gas Holdings, Ltd. 2,200,000 3,569,787
China Hongqiao Group, Ltd. 309,000 211,940
China International Marine Containers Group Co.,
Ltd. Class H 338,700 674,533
# China Life Insurance Co., Ltd. ADR 321,472 12,563,126
China Life Insurance Co., Ltd. Class H 784,000 2,037,576
China Longyuan Power Group Corp. Class H 1,745,000 1,795,094
China Mengniu Dairy Co., Ltd. 920,000 4,728,501
China Merchants Bank Co., Ltd. Class H 3,724,554 6,654,294
China Merchants Holdings International Co., Ltd. 1,023,426 3,198,211
# China Minsheng Banking Corp., Ltd. Class H 4,422,500 4,461,912
China Mobile, Ltd. 179,500 1,708,566
# China Mobile, Ltd. Sponsored ADR 926,803 43,958,266
# China Molybdenum Co., Ltd. Class H 896,322 399,802
China National Building Material Co., Ltd. Class H 2,981,916 2,817,163
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
CHINA -- (Continued)
China Oilfield Services, Ltd. Class H 1,350,000 $ 3,229,524
China Overseas Land & Investment, Ltd. 3,260,000 8,016,644
China Pacific Insurance Group Co., Ltd. Class H 1,922,000 6,018,124
# China Petroleum & Chemical Corp. ADR 138,191 12,281,008
China Petroleum & Chemical Corp. Class H 8,186,800 7,246,661
China Railway Construction Corp., Ltd. Class H 2,592,500 2,134,597
China Railway Group, Ltd. Class H 3,077,000 1,378,143
China Resources Cement Holdings, Ltd. 1,717,335 1,191,110
# China Resources Enterprise, Ltd. 1,081,000 3,071,192
China Resources Gas Group, Ltd. 640,000 1,898,458
China Resources Land, Ltd. 1,734,000 3,574,273
China Resources Power Holdings Co., Ltd. 1,250,000 3,141,698
China Shenhua Energy Co., Ltd. Class H 2,682,500 7,267,577
#* China Shipping Container Lines Co., Ltd. Class H 4,653,000 1,096,329
China Southern Airlines Co., Ltd. Class H 1,006,000 300,413
# China Southern Airlines Co., Ltd. Sponsored ADR 10,900 164,154
China State Construction International Holdings, Ltd. 1,318,000 2,197,855
* China Taiping Insurance Holdings Co., Ltd. 536,800 853,067
# China Telecom Corp., Ltd. ADR 55,058 2,820,071
China Telecom Corp., Ltd. Class H 3,676,000 1,875,876
China Unicom Hong Kong, Ltd. ADR 483,030 7,404,850
Chongqing Rural Commercial Bank Class H 408,000 177,843
# CITIC Pacific, Ltd. 1,669,000 2,922,665
CITIC Securities Co., Ltd. Class H 896,000 1,793,813
CNOOC, Ltd. 3,105,000 5,108,074
# CNOOC, Ltd. ADR 120,801 19,955,117
COSCO Pacific, Ltd. 2,265,058 3,040,177
Country Garden Holdings Co., Ltd. 5,852,769 2,346,709
CSPC Pharmaceutical Group, Ltd. 276,000 228,176
CSR Corp., Ltd. 1,471,000 1,082,311
Datang International Power Generation Co., Ltd.
Class H 2,250,000 836,206
# Dongfang Electric Corp., Ltd. Class H 290,200 452,372
Dongfeng Motor Group Co., Ltd. Class H 2,302,000 3,071,542
ENN Energy Holdings, Ltd. 682,000 4,756,920
# Evergrande Real Estate Group, Ltd. 8,636,000 3,857,684
# Fosun International, Ltd. 1,717,441 2,080,041
#* GCL-Poly Energy Holdings, Ltd. 6,420,814 1,928,624
# Geely Automobile Holdings, Ltd. 3,655,000 1,270,608
# Golden Eagle Retail Group, Ltd. 150,000 194,015
# Great Wall Motor Co., Ltd. Class H 805,500 3,659,225
Greentown China Holdings, Ltd. 419,500 422,494
# Guangdong Investment, Ltd. 2,242,000 2,440,410
Guangshen Railway Co., Ltd. Sponsored ADR 28,517 540,112
Guangzhou Automobile Group Co., Ltd. Class H 1,996,259 2,015,274
# Guangzhou Baiyunshan Pharmaceutical Holdings Co.,
Ltd. Class H 174,000 523,007
Guangzhou R&F Properties Co., Ltd. 1,799,600 2,348,323
Haier Electronics Group Co., Ltd. 675,000 1,656,920
Haitian International Holdings, Ltd. 79,000 158,951
#* Hanergy Solar Group, Ltd. 7,134,000 1,033,311
Hengan International Group Co., Ltd. 604,000 6,359,599
Huadian Power International Corp., Ltd. Class H 856,000 465,212
Huaneng Power International, Inc. Class H 602,000 589,290
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
CHINA -- (Continued)
# Huaneng Power International, Inc. Sponsored ADR 34,452 $ 1,353,275
Industrial & Commercial Bank of China, Ltd. Class H 59,907,185 35,718,118
Jiangsu Expressway Co., Ltd. Class H 1,098,000 1,232,763
Jiangxi Copper Co., Ltd. Class H 1,478,000 2,441,232
# Kingsoft Corp., Ltd. 225,000 697,313
Kunlun Energy Co., Ltd. 2,880,000 4,492,657
# Lenovo Group, Ltd. 5,013,278 5,699,947
Longfor Properties Co., Ltd. 1,367,000 1,768,951
#* Metallurgical Corp. of China, Ltd. Class H 2,646,000 502,361
* New China Life Insurance Co., Ltd. Class H 490,700 1,444,478
New World China Land, Ltd. 2,554,000 2,116,949
# Nine Dragons Paper Holdings, Ltd. 1,905,000 1,253,484
PetroChina Co., Ltd. ADR 143,410 16,538,041
PetroChina Co., Ltd. Class H 2,814,000 3,239,491
PICC Property & Casualty Co., Ltd. Class H 2,357,920 3,116,789
Ping An Insurance Group Co. of China, Ltd. Class H 1,408,000 10,432,134
Shandong Weigao Group Medical Polymer Co., Ltd.
Class H 1,204,000 1,219,879
Shanghai Electric Group Co., Ltd. Class H 2,502,000 971,610
# Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H 180,500 613,725
Shanghai Industrial Holdings, Ltd. 701,274 2,162,773
Shanghai Pharmaceuticals Holding Co., Ltd. Class H 569,500 1,044,671
Shenzhou International Group Holdings, Ltd. 534,000 1,835,479
Shimao Property Holdings, Ltd. 1,892,371 3,742,593
Sihuan Pharmaceutical Holdings Group, Ltd. 796,000 873,646
Sino Biopharmaceutical, Ltd. 1,716,000 1,344,460
# Sino-Ocean Land Holdings, Ltd. 2,338,192 1,230,112
Sinopec Shanghai Petrochemical Co., Ltd. Class H 1,693,000 411,557
Sinopec Shanghai Petrochemical Co., Ltd. Sponsored
ADR 9,818 239,252
#* Sinopec Yizheng Chemical Fibre Co., Ltd. Class H 671,999 149,572
Sinopharm Group Co., Ltd. Class H 834,400 2,192,564
SOHO China, Ltd. 2,899,263 2,298,869
# Sun Art Retail Group, Ltd. 1,857,500 2,411,587
Tencent Holdings, Ltd. 812,600 51,182,422
Tingyi Cayman Islands Holding Corp. 1,498,000 4,170,221
Tsingtao Brewery Co., Ltd. Class H 186,000 1,354,522
# Uni-President China Holdings, Ltd. 759,000 628,683
# Want Want China Holdings, Ltd. 4,746,000 7,435,815
Weichai Power Co., Ltd. Class H 428,200 1,493,266
# Xinjiang Goldwind Science & Technology Co., Ltd.
Class H 129,600 140,999
# Yanzhou Coal Mining Co., Ltd. Class H 928,000 695,206
# Yanzhou Coal Mining Co., Ltd. Sponsored ADR 108,916 813,603
Zhejiang Expressway Co., Ltd. Class H 1,104,000 955,258
Zhuzhou CSR Times Electric Co., Ltd. Class H 276,000 808,059
# Zijin Mining Group Co., Ltd. Class H 5,071,000 1,232,368
# Zoomlion Heavy Industry Science and Technology Co.,
Ltd. 1,205,600 809,572
#* ZTE Corp. Class H 499,038 1,021,233
------------
TOTAL CHINA 552,238,266
------------
COLOMBIA -- (0.7%)
Almacenes Exito SA 222,056 3,382,596
Banco de Bogota SA 26,315 949,831
Bancolombia SA 118,695 1,630,346
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
COLOMBIA -- (Continued)
Bancolombia SA Sponsored ADR 89,105 $ 5,072,748
Cementos Argos SA 383,731 2,140,012
* Cemex Latam Holdings SA 76,527 706,558
Ecopetrol SA 1,016,730 1,892,677
# Ecopetrol SA Sponsored ADR 220,479 8,265,758
Empresa de Energia de Bogota SA ESP 954,210 783,442
Grupo Aval Acciones y Valores 685,577 465,530
Grupo de Inversiones Suramericana SA 1,578 30,785
Grupo Nutresa SA 41,332 580,098
Interconexion Electrica SA ESP 403,142 1,890,208
Isagen SA ESP 886,164 1,448,283
-----------
TOTAL COLOMBIA 29,238,872
-----------
CZECH REPUBLIC -- (0.3%)
CEZ A.S. 198,179 5,964,131
Komercni Banka A.S. 15,596 3,596,060
Philip Morris CR A.S. 397 209,558
Telefonica Czech Republic A.S. 175,288 2,657,414
* Unipetrol A.S. 12,131 84,523
-----------
TOTAL CZECH REPUBLIC 12,511,686
-----------
EGYPT -- (0.1%)
Commercial International Bank Egypt S.A.E. GDR 516,179 2,602,290
* Egyptian Financial Group-Hermes Holding GDR 676 2,321
* Global Telecom Holding GDR 428,641 1,597,038
-----------
TOTAL EGYPT 4,201,649
-----------
GREECE -- (0.5%)
* Alpha Bank AE 1,461,037 1,415,232
* Folli Follie Group 38,413 1,333,348
Hellenic Petroleum SA 102,964 884,001
* Hellenic Telecommunications Organization SA 340,319 5,436,844
* JUMBO SA 145,611 2,355,291
* National Bank of Greece SA 421,006 1,645,902
OPAP SA 238,216 3,804,319
* Piraeus Bank SA 738,292 1,742,352
Public Power Corp. SA 144,358 2,184,368
* Titan Cement Co. SA 51,033 1,608,876
-----------
TOTAL GREECE 22,410,533
-----------
HUNGARY -- (0.3%)
* FHB Mortgage Bank P.L.C. 4,179 16,874
Magyar Telekom Telecommunications P.L.C. 574,667 819,865
MOL Hungarian Oil and Gas P.L.C. 44,169 2,541,156
# OTP Bank P.L.C. 302,824 5,782,734
Richter Gedeon Nyrt 145,205 2,486,989
* Tisza Chemical Group P.L.C. 23,981 430,363
-----------
TOTAL HUNGARY 12,077,981
-----------
INDIA -- (7.3%)
ABB India, Ltd. 46,035 648,100
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
INDIA -- (Continued)
ACC, Ltd. 48,539 $ 1,052,997
Adani Enterprises, Ltd. 217,318 1,522,056
Adani Ports and Special Economic Zone, Ltd. 495,151 1,561,186
* Adani Power, Ltd. 722,177 576,679
Aditya Birla Nuvo, Ltd. 56,358 1,038,139
Ambuja Cements, Ltd. 725,767 2,396,898
Apollo Hospitals Enterprise, Ltd. 92,224 1,369,225
Asian Paints, Ltd. 313,359 2,627,494
Aurobindo Pharma, Ltd. 164,305 1,569,117
Axis Bank, Ltd. 270,273 6,832,279
Bajaj Auto, Ltd. 103,111 3,271,218
Bajaj Finserv, Ltd. 39,655 546,560
Bajaj Holdings and Investment, Ltd. 30,727 544,192
Bank of Baroda 95,903 1,302,580
Bank of India 232,954 907,503
Berger Paints India, Ltd. 41,763 168,636
Bharat Electronics, Ltd. 17,301 347,206
Bharat Heavy Electricals, Ltd. 948,553 2,853,603
Bharat Petroleum Corp., Ltd. 153,491 1,158,807
Bharti Airtel, Ltd. 702,394 3,824,380
Bhushan Steel, Ltd. 68,315 503,083
Bosch, Ltd. 11,757 2,048,119
Britannia Industries, Ltd. 31,023 445,675
Cadila Healthcare, Ltd. 59,113 957,650
Cairn India, Ltd. 781,206 4,343,033
Canara Bank 123,779 588,578
Cipla, Ltd. 443,033 2,917,071
Colgate-Palmolive India, Ltd. 46,572 1,113,017
Container Corp. Of India 54,732 873,029
Crompton Greaves, Ltd. 168,242 461,433
Cummins India, Ltd. 74,807 680,120
Dabur India, Ltd. 472,358 1,407,184
Divi's Laboratories, Ltd. 41,087 940,111
DLF, Ltd. 612,132 1,421,086
Dr Reddy's Laboratories, Ltd. 39,086 1,752,087
# Dr Reddy's Laboratories, Ltd. ADR 81,229 3,660,991
Eicher Motors, Ltd. 6,326 652,604
Emami, Ltd. 63,025 498,226
* Essar Oil, Ltd. 395,013 380,649
Exide Industries, Ltd. 287,773 574,505
Federal Bank, Ltd. 455,880 683,939
GAIL India, Ltd. 217,415 1,334,957
GAIL India, Ltd. GDR 28,791 1,071,134
GlaxoSmithKline Consumer Healthcare, Ltd. 8,388 580,157
Glenmark Pharmaceuticals, Ltd. 101,902 1,036,192
GMR Infrastructure, Ltd. 454,854 187,224
Godrej Consumer Products, Ltd. 117,644 1,559,706
Godrej Industries, Ltd. 89,305 445,563
Grasim Industries, Ltd. 6,300 275,421
Havells India, Ltd. 47,385 732,615
HCL Technologies, Ltd. 234,993 5,480,463
HDFC Bank, Ltd. 1,530,953 18,415,560
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- -----------
INDIA -- (Continued)
Hero MotoCorp, Ltd. 94,817 $ 3,491,006
Hindalco Industries, Ltd. 1,568,921 3,543,364
Hindustan Petroleum Corp., Ltd. 84,602 453,192
ICICI Bank, Ltd. 219,984 4,559,699
ICICI Bank, Ltd. Sponsored ADR 208,679 8,904,333
IDBI Bank, Ltd. 346,191 393,083
Idea Cellular, Ltd. 805,036 1,817,754
IDFC, Ltd. 601,656 1,119,393
Indian Oil Corp., Ltd. 324,835 1,426,694
IndusInd Bank, Ltd. 233,807 1,861,852
Infosys, Ltd. 246,907 13,124,831
# Infosys, Ltd. Sponsored ADR 211,972 11,385,016
ING Vysya Bank, Ltd. 25,010 236,010
Ipca Laboratories, Ltd. 18,943 262,878
ITC, Ltd. 2,345,449 13,243,148
Jaiprakash Associates, Ltd. 1,336,264 1,203,088
Jindal Steel & Power, Ltd. 437,143 1,855,834
JSW Energy, Ltd. 592,161 521,959
JSW Steel, Ltd. 147,966 2,674,106
* Jubilant Foodworks, Ltd. 18,139 285,179
Kotak Mahindra Bank, Ltd. 354,265 4,735,135
Larsen & Toubro, Ltd. 345,693 7,454,343
Larsen & Toubro, Ltd. GDR 5,358 116,052
LIC Housing Finance, Ltd. 53,635 233,762
Lupin, Ltd. 134,973 2,222,251
Mahindra & Mahindra, Ltd. 357,872 6,407,298
* Mangalore Refinery & Petrochemicals, Ltd. 355,103 355,724
* Marico Kaya Enterprises, Ltd. 2,327 4,702
Marico, Ltd. 131,105 447,605
Maruti Suzuki India, Ltd. 82,439 2,638,956
Motherson Sumi Systems, Ltd. 237,292 1,004,379
Mphasis, Ltd. 73,800 508,514
National Aluminium Co., Ltd. 125,699 79,643
Nestle India, Ltd. 16,603 1,310,857
NHPC, Ltd. 3,201,628 1,006,596
NTPC, Ltd. 924,696 1,782,152
Oberoi Realty, Ltd. 13,876 47,829
Oil & Natural Gas Corp., Ltd. 699,873 3,794,212
Oil India, Ltd. 100,495 801,422
* Oracle Financial Services Software, Ltd. 19,531 972,049
Petronet LNG, Ltd. 201,679 482,647
Pidilite Industries, Ltd. 144,452 767,878
Piramal Enterprises, Ltd. 60,551 546,096
Power Grid Corp. of India, Ltd. 1,095,210 1,925,848
Procter & Gamble Hygiene & Health Care, Ltd. 7,944 447,409
* Ranbaxy Laboratories, Ltd. 137,683 1,082,478
Reliance Capital, Ltd. 97,310 574,441
Reliance Communications, Ltd. 700,196 1,429,315
Reliance Industries, Ltd. 1,443,896 22,451,283
Reliance Infrastructure, Ltd. 137,634 1,172,636
* Reliance Power, Ltd. 807,301 916,789
Rural Electrification Corp., Ltd. 47,495 187,059
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
INDIA -- (Continued)
Sesa Sterlite, Ltd. 1,599,539 $ 4,934,524
Shree Cement, Ltd. 10,489 992,985
Shriram Transport Finance Co., Ltd. 76,457 923,448
Siemens, Ltd. 100,767 1,159,646
SJVN, Ltd. 381,249 143,803
State Bank of India 150,711 5,207,757
Steel Authority of India, Ltd. 346,711 391,450
Sun Pharmaceutical Industries, Ltd. 647,332 6,834,757
Sun TV Network, Ltd. 120,543 748,523
Tata Chemicals, Ltd. 6,064 28,646
Tata Consultancy Services, Ltd. 504,640 18,333,675
Tata Global Beverages, Ltd. 370,091 921,975
Tata Motors, Ltd. 679,237 4,722,814
Tata Motors, Ltd. Sponsored ADR 80,428 3,009,616
Tata Power Co., Ltd. 1,216,011 1,577,127
Tata Steel, Ltd. 511,418 3,410,010
Tech Mahindra, Ltd. 132,898 4,025,200
Titan Co., Ltd. 207,778 875,956
Ultratech Cement, Ltd. 52,355 1,766,944
Union Bank of India 151,552 381,557
United Breweries, Ltd. 66,842 873,336
United Spirits, Ltd. 81,795 3,761,013
Wipro, Ltd. 654,733 5,714,055
Wockhardt, Ltd. 2,562 32,691
Yes Bank, Ltd. 254,612 1,876,397
Zee Entertainment Enterprises, Ltd. 374,353 1,633,310
------------
TOTAL INDIA 308,691,031
------------
INDONESIA -- (2.9%)
Adaro Energy Tbk PT 20,000,400 2,057,734
AKR Corporindo Tbk PT 2,003,700 826,828
Alam Sutera Realty Tbk PT 8,757,000 403,567
Astra Agro Lestari Tbk PT 576,600 1,468,130
Astra International Tbk PT 20,701,010 13,337,497
Bank Central Asia Tbk PT 12,941,000 12,324,975
Bank Danamon Indonesia Tbk PT 3,779,279 1,339,764
Bank Mandiri Persero Tbk PT 10,999,217 9,397,907
Bank Negara Indonesia Persero Tbk PT 8,726,922 3,647,368
* Bank Pan Indonesia Tbk PT 7,175,000 540,422
Bank Rakyat Indonesia Persero Tbk PT 12,911,600 11,087,897
* Bank Tabungan Pensiunan Nasional Tbk PT 768,500 271,254
* Bayan Resources Tbk PT 79,500 55,053
Bumi Serpong Damai PT 8,847,600 1,198,595
Charoen Pokphand Indonesia Tbk PT 8,662,100 2,832,319
Ciputra Development Tbk PT 3,680,200 323,989
Global Mediacom Tbk PT 11,972,900 2,272,734
Gudang Garam Tbk PT 544,700 2,668,626
Holcim Indonesia Tbk PT 2,051,600 505,224
Indo Tambangraya Megah Tbk PT 518,300 1,145,589
Indocement Tunggal Prakarsa Tbk PT 1,664,500 3,159,040
Indofood CBP Sukses Makmur Tbk PT 1,104,200 956,142
Indofood Sukses Makmur Tbk PT 5,283,200 3,231,902
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
INDONESIA -- (Continued)
Indomobil Sukses Internasional Tbk PT 22,000 $ 9,421
Indosat Tbk PT 1,444,600 489,353
Indosat Tbk PT ADR 1,674 28,257
* Inovisi Infracom Tbk PT 753,345 92,677
Japfa Comfeed Indonesia Tbk PT 1,657,100 181,790
Jasa Marga Persero Tbk PT 2,434,600 1,243,868
Kalbe Farma Tbk PT 22,694,500 3,039,501
Lippo Karawaci Tbk PT 31,811,500 2,950,432
Mayora Indah Tbk PT 870,333 2,114,964
Media Nusantara Citra Tbk PT 4,959,900 1,169,364
MNC Investama Tbk PT 13,972,500 371,552
Pakuwon Jati Tbk PT 14,556,300 443,935
* Panasia Indo Resources Tbk PT 75,100 2,241
Perusahaan Gas Negara Persero Tbk PT 10,171,400 4,697,701
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 1,860,000 395,214
Semen Indonesia Persero Tbk PT 3,291,600 4,243,503
Sinar Mas Agro Resources and Technology Tbk PT 1,116,500 645,127
Sumber Alfaria Trijaya Tbk PT 40,000 1,735
Summarecon Agung Tbk PT 3,805,100 366,761
Surya Citra Media Tbk PT 3,677,800 1,003,163
Tambang Batubara Bukit Asam Persero Tbk PT 1,180,600 1,010,727
Telekomunikasi Indonesia Persero Tbk PT 39,175,700 7,700,001
Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR 10,358 411,213
Tempo Scan Pacific Tbk PT 72,500 18,224
* Tower Bersama Infrastructure Tbk PT 1,684,800 949,041
* Trada Maritime Tbk PT 4,280,400 681,762
Unilever Indonesia Tbk PT 1,693,400 4,302,204
United Tractors Tbk PT 2,113,196 3,973,080
Vale Indonesia Tbk PT 3,653,900 1,125,501
XL Axiata Tbk PT 3,103,400 1,392,006
------------
TOTAL INDONESIA 120,106,874
------------
MALAYSIA -- (4.2%)
Aeon Co. M Bhd 80,000 360,865
Affin Holdings Bhd 566,000 654,512
# AirAsia Bhd 2,979,300 2,027,132
Alliance Financial Group Bhd 1,628,000 2,236,078
AMMB Holdings Bhd 3,129,359 6,887,507
Astro Malaysia Holdings Bhd 1,000,000 1,020,575
# Axiata Group Bhd 2,732,175 5,635,196
Batu Kawan Bhd 92,000 551,841
Berjaya Land Bhd 95,000 24,158
Berjaya Sports Toto Bhd 759,076 904,367
# BIMB Holdings Bhd 578,300 753,874
Boustead Holdings Bhd 476,786 810,648
British American Tobacco Malaysia Bhd 148,900 2,792,406
* Bumi Armada Bhd 1,350,800 1,656,667
# CIMB Group Holdings Bhd 5,534,976 12,750,320
Dialog Group Bhd 1,832,400 2,017,850
DiGi.Com Bhd 3,732,620 6,342,688
# DRB-Hicom Bhd 1,263,300 967,940
Fraser & Neave Holdings Bhd 90,500 499,214
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
MALAYSIA -- (Continued)
# Gamuda Bhd 1,929,900 $ 2,727,947
Genting Bhd 1,962,900 5,899,929
Genting Malaysia Bhd 3,208,600 4,150,183
Genting Plantations Bhd 282,600 961,525
Guinness Anchor Bhd 135,200 596,756
# HAP Seng Consolidated Bhd 753,500 731,650
# Hartalega Holdings Bhd 255,300 495,928
Hong Leong Bank Bhd 627,560 2,692,446
Hong Leong Financial Group Bhd 264,429 1,240,520
# IJM Corp. Bhd 2,456,981 4,807,540
# IOI Corp. Bhd 3,256,605 4,983,134
* IOI Properties Group Bhd 1,536,552 1,263,291
KPJ Healthcare Bhd 9,850 9,775
# Kuala Lumpur Kepong Bhd 491,700 3,646,785
* Kulim Malaysia Bhd 470,200 508,772
Lafarge Malaysia Bhd 410,780 1,144,729
Magnum Bhd 39,300 36,347
# Malayan Banking Bhd 4,820,521 14,632,704
Malaysia Airports Holdings Bhd 823,924 2,032,540
# Malaysia Marine and Heavy Engineering Holdings Bhd 414,500 502,450
#* Malaysian Airline System Bhd 4,055,900 286,845
# Maxis Bhd 2,398,100 5,106,786
#* MISC Bhd 1,386,198 2,769,503
MMC Corp. Bhd 1,351,100 1,158,338
Nestle Malaysia Bhd 189,300 3,974,128
# Parkson Holdings Bhd 620,863 558,818
Petronas Chemicals Group Bhd 2,951,600 6,088,649
Petronas Dagangan Bhd 263,600 2,449,545
Petronas Gas Bhd 530,400 3,820,992
PPB Group Bhd 661,400 3,337,954
Public Bank Bhd 1,174,740 7,251,798
RHB Capital Bhd 895,455 2,275,237
* Sapurakencana Petroleum Bhd 3,829,500 5,062,411
* Shell Refining Co. Federation of Malaya Bhd 108,100 198,176
Sime Darby Bhd 3,096,429 8,957,304
SP Setia Bhd 623,400 576,188
Sunway Bhd 69,700 66,322
Telekom Malaysia Bhd 932,800 1,772,577
Tenaga Nasional Bhd 2,536,450 9,246,017
UEM Sunrise Bhd 2,131,737 1,505,181
UMW Holdings Bhd 992,566 3,274,523
United Plantations Bhd 56,300 435,957
YTL Corp. Bhd 6,655,886 3,283,564
* YTL Power International Bhd 2,606,247 1,254,146
------------
TOTAL MALAYSIA 176,669,748
------------
MEXICO -- (5.1%)
Alfa S.A.B. de C.V. Class A 4,080,319 10,778,760
Alpek S.A. de C.V. 66,216 113,880
# America Movil S.A.B. de C.V. Series L 37,750,669 38,060,142
# America Movil S.A.B. de C.V. Series L ADR 22,528 452,362
# Arca Continental S.A.B. de C.V. 460,692 2,929,780
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
MEXICO -- (Continued)
#* Cemex S.A.B. de C.V. 1,938,963 $ 2,463,210
#* Cemex S.A.B. de C.V. Sponsored ADR 1,337,402 16,904,765
# Coca-Cola Femsa S.A.B. de C.V. Series L 298,900 3,348,896
# Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 13,716 1,535,643
# Controladora Comercial Mexicana S.A.B. de C.V. 628,374 2,353,025
* Corp. Interamericana de Entretenimiento S.A.B. de
C.V. Class B 8,726 6,203
El Puerto de Liverpool S.A.B. de C.V. 181,160 1,869,239
Fomento Economico Mexicano S.A.B. de C.V. 1,793,669 16,295,924
Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR 25,918 2,352,577
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 34,897 4,266,158
# Grupo Bimbo S.A.B. de C.V. Series A 1,682,198 4,639,216
Grupo Carso S.A.B. de C.V. Series A1 816,105 4,158,266
# Grupo Comercial Chedraui S.A. de C.V. 320,456 984,436
Grupo Elektra S.A.B. de C.V. 7,227 206,904
# Grupo Financiero Banorte S.A.B. de C.V. 2,819,018 18,722,705
# Grupo Financiero Inbursa S.A.B. de C.V. 2,448,606 6,271,830
# Grupo Financiero Santander Mexico S.A.B. de C.V.
Class B 665,864 1,590,510
Grupo Financiero Santander Mexico S.A.B. de C.V.
Class B ADR 152,244 1,811,704
Grupo Industrial Maseca S.A.B. de C.V. Class B 60,806 94,769
Grupo Mexico S.A.B. de C.V. Series B 4,225,397 12,725,202
* Grupo Qumma S.A. de C.V. Series B 1,591 --
Grupo Televisa S.A.B. Series CPO 2,556,698 16,751,841
Grupo Televisa S.A.B. Sponsored ADR 104,814 3,438,947
#* Impulsora del Desarrollo y El Empleo en America
Latina S.A.B. de C.V. 2,373,426 5,462,449
# Industrias Penoles S.A.B. de C.V. 148,997 3,468,919
# Kimberly-Clark de Mexico S.A.B. de C.V. Class A 1,823,400 4,758,241
Mexichem S.A.B. de C.V. 1,224,530 4,562,943
#* Minera Frisco S.A.B. de C.V. 783,633 1,432,765
* OHL Mexico S.A.B. de C.V. 761,383 2,025,272
#* Organizacion Soriana S.A.B. de C.V. Class B 1,112,475 3,223,629
#* Promotora y Operadora de Infraestructura S.A.B. de
C.V. 205,899 2,875,370
* Savia SA Class A 120,000 --
# Wal-Mart de Mexico S.A.B. de C.V. Series V 5,248,185 13,278,166
------------
TOTAL MEXICO 216,214,648
------------
PERU -- (0.3%)
Cementos Pacasmayo SAA ADR 6,659 60,264
Cia de Minas Buenaventura SAA ADR 139,674 1,815,762
Credicorp, Ltd. 65,705 9,806,471
Grana y Montero SA Sponsored ADR 29,627 516,103
* Rio Alto Mining, Ltd. 17,580 34,984
------------
TOTAL PERU 12,233,584
------------
PHILIPPINES -- (1.3%)
Aboitiz Equity Ventures, Inc. 1,701,400 2,164,385
Aboitiz Power Corp. 1,495,200 1,224,117
Alliance Global Group, Inc. 6,710,300 4,699,635
Ayala Corp. 176,755 2,479,525
Ayala Land, Inc. 5,722,818 3,878,189
Bank of the Philippine Islands 931,913 1,899,664
BDO Unibank, Inc. 1,765,371 3,503,596
China Banking Corp. 1,380 1,707
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- -----------
PHILIPPINES -- (Continued)
DMCI Holdings, Inc. 1,329,440 $ 2,145,400
Energy Development Corp. 8,586,100 1,077,764
* Fwbc Holdings, Inc. 2,006,957 --
Globe Telecom, Inc. 38,630 1,436,282
International Container Terminal Services, Inc. 1,078,460 2,620,467
JG Summit Holdings, Inc. 1,047,260 1,188,857
Jollibee Foods Corp. 494,300 1,909,150
LT Group, Inc. 1,869,700 770,394
Manila Electric Co. 197,030 1,241,378
Megaworld Corp. 18,982,000 1,987,423
Metro Pacific Investments Corp. 10,407,100 1,187,377
Metropolitan Bank & Trust Co. 1,146,499 2,183,509
Philippine Long Distance Telephone Co. 37,980 2,455,095
# Philippine Long Distance Telephone Co. Sponsored ADR 7,240 466,980
* Philippine National Bank 401,948 787,099
Robinsons Land Corp. 2,175,300 1,091,617
San Miguel Corp. 498,280 934,028
Semirara Mining Corp. 118,900 1,097,373
SM Investments Corp. 282,762 4,609,387
SM Prime Holdings, Inc. 8,563,010 3,143,506
* Top Frontier Investment Holdings, Inc. 42,789 89,814
Universal Robina Corp. 879,930 2,889,481
-----------
TOTAL PHILIPPINES 55,163,199
-----------
POLAND -- (1.9%)
* Alior Bank SA 7,899 208,510
Bank Handlowy w Warszawie SA 49,096 1,826,931
#* Bank Millennium SA 701,813 2,061,770
Bank Pekao SA 144,199 9,254,750
# Bank Zachodni WBK SA 25,887 3,182,897
* Cyfrowy Polsat SA 118,752 807,023
Enea SA 126,247 639,199
Eurocash SA 72,770 962,292
* Getin Noble Bank SA 1,106,556 1,346,823
Grupa Azoty SA 30,768 610,209
* Grupa Lotos SA 16,781 216,402
Grupa Zywiec SA 10,403 1,474,027
* ING Bank Slaski SA 37,110 1,666,019
# Jastrzebska Spolka Weglowa SA 38,639 531,962
* KGHM Polska Miedz SA 150,496 5,449,147
LPP SA 625 1,619,343
Lubelski Wegiel Bogdanka SA 26 1,064
# mBank 17,078 2,794,599
Orange Polska SA 768,752 2,626,679
PGE SA 977,835 6,794,780
Polski Koncern Naftowy Orlen SA 422,331 6,323,938
Polskie Gornictwo Naftowe i Gazownictwo SA 1,617,383 2,513,899
Powszechna Kasa Oszczednosci Bank Polski SA 967,168 13,272,814
Powszechny Zaklad Ubezpieczen SA 62,366 8,846,678
# Synthos SA 516,152 813,518
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
POLAND -- (Continued)
Tauron Polska Energia SA 1,747,863 $ 3,096,386
------------
TOTAL POLAND 78,941,659
------------
RUSSIA -- (3.4%)
Eurasia Drilling Co., Ltd. GDR 132,758 3,271,104
Gazprom OAO Sponsored ADR 6,186,601 44,710,169
Globaltrans Investment P.L.C. GDR 67,227 640,717
Lukoil OAO Sponsored ADR 430,626 22,797,092
* Magnitogorsk Iron & Steel Works GDR 155,928 329,097
* Mail.ru Group, Ltd. GDR 36,799 1,002,280
#* Mechel Sponsored ADR 170,001 343,402
MegaFon OAO GDR 50,719 1,322,669
MMC Norilsk Nickel OJSC ADR 424,637 7,677,083
Novolipetsk Steel OJSC GDR 97,820 1,140,470
Novorossiysk Commercial Sea Port PJSC GDR 16,447 82,070
O'Key Group SA GDR 33,136 292,530
Phosagro OAO GDR 82,215 958,172
* PIK Group GDR 2,241 5,163
Rosneft OAO GDR 1,266,316 7,961,449
Rostelecom OJSC Sponsored ADR 59,257 771,853
RusHydro JSC ADR 1,434,285 2,231,742
Sberbank of Russia Sponsored ADR 1,463,661 12,329,981
Severstal OAO GDR 247,044 1,746,313
Tatneft OAO Sponsored ADR 309,269 10,637,777
TMK OAO GDR 52,030 414,207
Uralkali OJSC GDR 314,752 6,981,329
VimpelCom, Ltd. Sponsored ADR 581,995 4,888,758
VTB Bank OJSC GDR 3,232,465 6,876,313
* X5 Retail Group NV GDR 123,553 2,177,798
------------
TOTAL RUSSIA 141,589,538
------------
SOUTH AFRICA -- (7.9%)
# African Bank Investments, Ltd. 709,671 841,536
African Rainbow Minerals, Ltd. 180,656 3,401,594
* Anglo American Platinum, Ltd. 80,583 3,836,963
#* AngloGold Ashanti, Ltd. Sponsored ADR 620,365 11,228,606
* ArcelorMittal South Africa, Ltd. 203,913 717,664
Aspen Pharmacare Holdings, Ltd. 368,286 9,816,052
Assore, Ltd. 42,544 1,646,678
AVI, Ltd. 294,307 1,623,897
Barclays Africa Group, Ltd. 395,609 5,795,302
Barloworld, Ltd. 374,907 4,089,931
# Bidvest Group, Ltd. 385,147 10,575,302
# Capitec Bank Holdings, Ltd. 53,150 1,150,296
Coronation Fund Managers, Ltd. 258,136 2,492,695
Discovery, Ltd. 380,293 3,301,552
Distell Group, Ltd. 30,883 367,091
# Exxaro Resources, Ltd. 166,494 2,272,484
FirstRand, Ltd. 3,475,911 12,789,231
# Foschini Group, Ltd. (The) 261,243 2,699,944
Gold Fields, Ltd. Sponsored ADR 979,444 4,143,048
Impala Platinum Holdings, Ltd. 756,929 8,533,074
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
SOUTH AFRICA -- (Continued)
Imperial Holdings, Ltd. 238,848 $ 4,454,661
Investec, Ltd. 361,913 3,185,350
# Kumba Iron Ore, Ltd. 89,688 3,194,217
Liberty Holdings, Ltd. 172,373 2,067,632
Life Healthcare Group Holdings, Ltd. 1,081,237 4,299,588
Massmart Holdings, Ltd. 103,729 1,374,871
Mediclinic International, Ltd. 434,871 3,041,851
MMI Holdings, Ltd. 1,850,766 4,653,139
Mondi, Ltd. 212,776 3,543,062
Mr Price Group, Ltd. 278,233 4,192,431
MTN Group, Ltd. 1,869,995 37,515,477
Nampak, Ltd. 917,727 3,423,728
Naspers, Ltd. Class N 444,856 42,038,561
# Nedbank Group, Ltd. 341,928 7,329,876
Netcare, Ltd. 1,842,541 4,469,703
# Pick n Pay Stores, Ltd. 279,886 1,599,246
PPC, Ltd. 60,146 174,996
PSG Group, Ltd. 61,341 607,556
Sanlam, Ltd. 2,264,361 12,130,501
Santam, Ltd. 36,574 738,444
Sasol, Ltd. 35,602 1,995,289
Sasol, Ltd. Sponsored ADR 609,116 33,751,118
Shoprite Holdings, Ltd. 503,929 8,430,119
Spar Group, Ltd. (The) 171,619 2,016,406
Standard Bank Group, Ltd. 1,498,309 19,686,203
Steinhoff International Holdings, Ltd. 2,068,052 10,746,303
Tiger Brands, Ltd. 170,081 4,550,012
Truworths International, Ltd. 508,009 4,081,489
Tsogo Sun Holdings, Ltd. 288,868 755,157
# Vodacom Group, Ltd. 418,672 4,996,495
Woolworths Holdings, Ltd. 788,404 5,365,653
------------
TOTAL SOUTH AFRICA 331,732,074
------------
SOUTH KOREA -- (13.9%)
Amorepacific Corp. 2,883 3,728,076
AMOREPACIFIC Group 3,010 1,557,250
BS Financial Group, Inc. 238,870 3,657,339
#* Celltrion, Inc. 56,704 2,644,166
Cheil Industries, Inc. 51,812 3,308,638
* Cheil Worldwide, Inc. 87,060 2,119,085
# CJ CheilJedang Corp. 8,825 2,649,635
# CJ Corp. 25,178 3,049,376
#* CJ Korea Express Co., Ltd. 5,587 590,466
Coway Co., Ltd. 50,818 4,016,732
Daelim Industrial Co., Ltd. 36,223 2,955,721
#* Daewoo Engineering & Construction Co., Ltd. 133,508 1,107,539
# Daewoo International Corp. 43,083 1,511,127
#* Daewoo Securities Co., Ltd. 220,281 1,809,854
# Daewoo Shipbuilding & Marine Engineering Co., Ltd. 109,830 3,187,570
Dongbu Insurance Co., Ltd. 46,663 2,579,006
Doosan Corp. 13,034 1,680,048
Doosan Heavy Industries & Construction Co., Ltd. 67,109 2,268,365
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
------- -----------
SOUTH KOREA -- (Continued)
* Doosan Infracore Co., Ltd. 150,610 $ 1,821,193
E-Mart Co., Ltd. 25,293 5,783,654
Grand Korea Leisure Co., Ltd. 7,100 296,902
#* GS Engineering & Construction Corp. 38,637 1,363,200
GS Holdings 66,625 3,108,991
Halla Visteon Climate Control Corp. 4,410 184,526
Hana Financial Group, Inc. 316,379 11,163,769
Hankook Tire Co., Ltd. 66,995 3,886,906
# Hanwha Chemical Corp. 98,760 1,750,190
Hanwha Corp. 47,620 1,388,075
# Hanwha Life Insurance Co., Ltd. 219,350 1,429,666
# Hite Jinro Co., Ltd. 22,640 548,950
# Hotel Shilla Co., Ltd. 29,607 2,493,245
Hyosung Corp. 15,325 1,094,866
Hyundai Department Store Co., Ltd. 17,135 2,209,600
Hyundai Engineering & Construction Co., Ltd. 77,500 4,195,836
Hyundai Glovis Co., Ltd. 11,990 2,828,124
Hyundai Heavy Industries Co., Ltd. 44,760 8,415,511
Hyundai Marine & Fire Insurance Co., Ltd. 68,600 2,012,688
Hyundai Mobis 67,404 19,256,211
# Hyundai Motor Co. 151,763 33,838,057
# Hyundai Steel Co. 79,803 5,229,037
Hyundai Wia Corp. 14,396 2,373,621
Industrial Bank of Korea 252,200 3,106,418
Kangwon Land, Inc. 114,660 3,316,538
KB Financial Group, Inc. 344,645 11,789,889
KB Financial Group, Inc. ADR 97,918 3,361,525
KCC Corp. 6,039 3,011,501
# KEPCO Engineering & Construction Co., Inc. 8,507 507,236
KEPCO Plant Service & Engineering Co., Ltd. 12,199 792,598
Kia Motors Corp. 270,079 14,984,572
Korea Aerospace Industries, Ltd. 34,130 1,089,329
Korea Electric Power Corp. 197,690 7,558,630
* Korea Electric Power Corp. Sponsored ADR 2,700 51,678
* Korea Gas Corp. 25,872 1,549,386
Korea Investment Holdings Co., Ltd. 32,780 1,204,014
Korea Zinc Co., Ltd. 8,923 2,940,341
* Korean Air Lines Co., Ltd. 9,321 299,711
KT Corp. 23,160 738,205
KT Corp. Sponsored ADR 2,026 32,234
# KT&G Corp. 100,502 8,054,435
# Kumho Petro chemical Co., Ltd. 15,006 1,272,424
LG Chem, Ltd. 46,860 11,961,419
LG Corp. 114,378 6,377,905
* LG Display Co., Ltd. 143,050 3,809,951
#* LG Display Co., Ltd. ADR 498,050 6,629,046
# LG Electronics, Inc. 118,452 7,889,609
# LG Household & Health Care, Ltd. 8,626 3,949,816
LG Uplus Corp. 300,300 2,957,607
# Lotte Chemical Corp. 21,503 3,403,974
Lotte Confectionery Co., Ltd. 321 550,373
Lotte Shopping Co., Ltd. 12,940 4,013,021
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
SOUTH KOREA -- (Continued)
LS Corp. 19,070 $ 1,495,795
Macquarie Korea Infrastructure Fund 200,980 1,244,624
Mando Corp. 10,816 1,301,141
Naver Corp. 27,242 19,617,420
# NCSoft Corp. 14,464 2,878,034
#* OCI Co., Ltd. 16,339 2,871,114
# Orion Corp. 3,321 2,537,363
Paradise Co., Ltd. 5,829 217,151
POSCO 47,828 14,129,742
POSCO ADR 67,985 5,003,696
S-1 Corp. 15,382 1,169,998
# S-Oil Corp. 47,441 2,776,390
Samsung C&T Corp. 143,779 9,041,935
Samsung Card Co., Ltd. 23,720 861,562
# Samsung Electro-Mechanics Co., Ltd. 81,053 5,209,385
Samsung Electronics Co., Ltd. 81,120 105,777,262
Samsung Electronics Co., Ltd. GDR 49,372 31,872,757
#* Samsung Engineering Co., Ltd. 27,417 2,058,100
Samsung Fire & Marine Insurance Co., Ltd. 37,748 8,966,310
# Samsung Heavy Industries Co., Ltd. 168,600 4,618,368
Samsung Life Insurance Co., Ltd. 59,292 5,518,326
Samsung SDI Co., Ltd. 39,230 5,760,786
# Samsung Securities Co., Ltd. 70,938 2,710,896
# Samsung Techwin Co., Ltd. 34,401 1,931,439
Shinhan Financial Group Co., Ltd. 374,876 16,362,733
# Shinhan Financial Group Co., Ltd. ADR 86,082 3,753,175
Shinsegae Co., Ltd. 6,575 1,427,494
SK C&C Co., Ltd. 19,871 2,727,634
SK Holdings Co., Ltd. 37,523 6,655,836
* SK Hynix, Inc. 512,610 19,988,432
SK Innovation Co., Ltd. 69,006 7,905,282
* SK Networks Co., Ltd. 5,020 46,283
SK Telecom Co., Ltd. 8,002 1,656,853
* Woori Finance Holdings Co., Ltd. 419,590 4,602,902
#* Woori Finance Holdings Co., Ltd. ADR 1,223 40,365
Woori Investment & Securities Co., Ltd. 147,510 1,249,318
Young Poong Corp. 176 202,709
------------
TOTAL SOUTH KOREA 584,484,806
------------
TAIWAN -- (13.3%)
#* Acer, Inc. 3,709,040 2,293,657
Advanced Semiconductor Engineering, Inc. 6,951,929 8,095,259
# Advanced Semiconductor Engineering, Inc. ADR 77,739 459,438
Advantech Co., Ltd. 292,200 1,892,541
# Airtac International Group 105,000 1,129,331
Asia Cement Corp. 3,097,802 4,075,454
# Asustek Computer, Inc. 861,180 8,903,767
* AU Optronics Corp. 15,243,873 5,795,209
* AU Optronics Corp. Sponsored ADR 326,626 1,228,114
# Catcher Technology Co., Ltd. 866,429 7,315,755
Cathay Financial Holding Co., Ltd. 8,568,048 12,115,089
Cathay Real Estate Development Co., Ltd. 839,000 486,854
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- -----------
TAIWAN -- (Continued)
Chang Hwa Commercial Bank 6,496,043 $ 3,776,676
Cheng Shin Rubber Industry Co., Ltd. 2,012,965 5,781,612
Cheng Uei Precision Industry Co., Ltd. 384,109 773,149
Chicony Electronics Co., Ltd. 639,574 1,665,553
* China Airlines, Ltd. 5,286,536 1,769,329
China Development Financial Holding Corp. 19,411,121 5,567,282
China Life Insurance Co., Ltd. 2,925,797 2,563,222
China Motor Corp. 649,000 587,845
# China Petrochemical Development Corp. 2,243,613 884,634
# China Steel Chemical Corp. 148,000 853,935
# China Steel Corp. 13,451,895 11,303,772
# Chipbond Technology Corp. 575,000 984,830
Chunghwa Telecom Co., Ltd. 1,193,000 3,730,572
# Chunghwa Telecom Co., Ltd. ADR 236,502 7,423,798
Clevo Co. 550,075 1,013,983
Compal Electronics, Inc. 7,470,541 5,329,719
# CTBC Financial Holding Co., Ltd. 15,898,997 9,459,419
CTCI Corp. 638,000 1,018,892
Delta Electronics, Inc. 1,992,366 12,232,479
* E.Sun Financial Holding Co., Ltd.() 623,678 67,122
E.Sun Financial Holding Co., Ltd.(6433912) 6,846,651 4,141,266
Eclat Textile Co., Ltd. 188,120 2,062,587
# Epistar Corp. 1,230,000 2,691,676
* Eva Airways Corp. 2,723,600 1,381,575
* Evergreen Marine Corp. Taiwan, Ltd. 2,443,249 1,389,055
Far Eastern Department Stores, Ltd. 1,529,993 1,425,273
Far Eastern New Century Corp. 4,044,335 4,144,046
Far EasTone Telecommunications Co., Ltd. 2,054,000 4,441,128
Farglory Land Development Co., Ltd. 648,393 1,063,453
Feng Hsin Iron & Steel Co. 214,000 358,805
Feng TAY Enterprise Co., Ltd. 253,000 700,566
First Financial Holding Co., Ltd. 9,531,371 5,591,207
Formosa Chemicals & Fibre Corp. 3,755,518 9,094,260
Formosa International Hotels Corp. 31,460 370,011
Formosa Petrochemical Corp. 1,244,000 3,128,895
Formosa Plastics Corp. 4,827,153 12,455,899
Formosa Taffeta Co., Ltd. 848,000 886,851
Foxconn Technology Co., Ltd. 1,290,237 3,210,396
Fubon Financial Holding Co., Ltd. 7,900,233 10,225,124
Giant Manufacturing Co., Ltd. 295,506 2,313,770
Ginko International Co., Ltd. 28,000 471,178
# Gourmet Master Co., Ltd. 33,000 267,509
#* HannStar Display Corp. 3,348,000 1,161,322
Highwealth Construction Corp. 530,200 1,183,786
# Hiwin Technologies Corp. 187,173 1,782,738
Hon Hai Precision Industry Co., Ltd. 12,802,056 36,767,003
Hotai Motor Co., Ltd. 278,000 3,261,971
# HTC Corp. 1,028,235 5,287,848
Hua Nan Financial Holdings Co., Ltd. 7,280,828 4,101,780
#* Innolux Corp. 16,126,341 5,570,849
#* Inotera Memories, Inc. 3,117,000 3,201,736
Inventec Corp. 3,189,551 2,941,039
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- -----------
TAIWAN -- (Continued)
Kenda Rubber Industrial Co., Ltd. 632,481 $ 1,471,042
Kinsus Interconnect Technology Corp. 552,000 2,087,145
Largan Precision Co., Ltd. 105,860 6,627,768
LCY Chemical Corp. 434,123 446,833
Lite-On Technology Corp. 3,274,358 5,009,018
# Lung Yen Life Service Corp. 117,000 318,686
* Macronix International 532,218 125,522
MediaTek, Inc. 1,280,995 20,073,171
* Medigen Biotechnology Corp. 26,000 313,264
Mega Financial Holding Co., Ltd. 10,995,904 8,418,262
Merida Industry Co., Ltd. 210,750 1,412,953
* Nan Kang Rubber Tire Co., Ltd. 534,780 607,970
Nan Ya Plastics Corp. 5,550,599 12,171,635
# Novatek Microelectronics Corp. 631,000 2,924,959
Oriental Union Chemical Corp. 248,000 246,603
Pegatron Corp. 3,464,345 5,257,146
# Phison Electronics Corp. 146,000 994,247
Pou Chen Corp. 2,930,487 3,731,348
# Powertech Technology, Inc. 929,819 1,504,847
President Chain Store Corp. 696,831 5,185,199
Quanta Computer, Inc. 2,622,000 7,194,188
# Radiant Opto-Electronics Corp. 730,170 2,943,874
Realtek Semiconductor Corp. 551,950 1,575,852
# Ruentex Development Co., Ltd. 945,351 1,675,334
Ruentex Industries, Ltd. 828,182 1,969,602
# Sanyang Industry Co., Ltd. 776,000 710,602
# ScinoPharm Taiwan, Ltd. 245,440 668,154
# Shin Kong Financial Holding Co., Ltd. 12,020,708 3,640,912
Siliconware Precision Industries Co. 3,473,324 5,146,662
Siliconware Precision Industries Co. Sponsored ADR 67,173 498,424
Simplo Technology Co., Ltd. 419,000 2,182,809
SinoPac Financial Holdings Co., Ltd. 9,553,105 4,264,313
# St Shine Optical Co., Ltd. 52,000 1,104,025
# Standard Foods Corp. 306,784 844,026
Synnex Technology International Corp. 1,493,756 2,324,667
Taishin Financial Holding Co., Ltd. 10,852,483 4,929,188
* Taiwan Business Bank 4,885,871 1,425,597
Taiwan Cement Corp. 4,294,720 6,824,040
Taiwan Cooperative Financial Holding Co., Ltd. 8,088,371 4,302,749
Taiwan FamilyMart Co., Ltd. 33,000 229,804
# Taiwan Fertilizer Co., Ltd. 1,141,000 2,270,561
Taiwan Glass Industry Corp. 1,184,253 1,084,174
Taiwan Mobile Co., Ltd. 1,801,300 5,814,349
Taiwan Secom Co., Ltd. 49,000 124,224
Taiwan Semiconductor Manufacturing Co., Ltd. 25,188,808 98,975,776
# Taiwan Semiconductor Manufacturing Co., Ltd.
Sponsored ADR 223,463 4,491,606
Teco Electric and Machinery Co., Ltd. 2,803,000 3,048,149
# Ton Yi Industrial Corp. 820,000 873,689
Transcend Information, Inc. 231,181 763,641
Tripod Technology Corp. 482,870 951,760
TSRC Corp. 633,300 929,963
U-Ming Marine Transport Corp. 551,860 929,299
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- ------------
TAIWAN -- (Continued)
Uni-President Enterprises Corp. 5,303,515 $ 8,978,838
# Unimicron Technology Corp. 1,848,896 1,573,725
# United Microelectronics Corp. 18,189,000 7,930,679
Vanguard International Semiconductor Corp. 999,000 1,369,019
* Walsin Lihwa Corp. 3,769,000 1,238,117
Wan Hai Lines, Ltd. 1,104,800 551,297
#* Wintek Corp. 1,832,760 614,259
# Wistron Corp. 4,093,444 3,420,498
WPG Holdings, Ltd. 2,051,869 2,524,266
* Yang Ming Marine Transport Corp. 1,948,300 797,937
Yuanta Financial Holding Co., Ltd. 12,335,577 6,157,725
# Yulon Motor Co., Ltd. 1,152,000 1,792,649
# Zhen Ding Technology Holding, Ltd. 359,700 1,044,574
------------
TOTAL TAIWAN 559,286,107
------------
THAILAND -- (2.5%)
Advanced Info Service PCL 1,088,500 8,140,204
Airports of Thailand PCL 423,700 2,553,198
Bangkok Bank PCL(6077019) 329,000 1,921,539
Bangkok Bank PCL(6368360) 575,500 3,352,341
Bangkok Dusit Medical Services PCL 5,300,000 2,423,980
Bangkok Life Assurance PCL 482,000 1,053,816
Banpu PCL 1,479,200 1,371,323
BEC World PCL 810,000 1,370,442
Berli Jucker PCL 555,800 820,131
Big C Supercenter PCL(6763932) 24,600 144,438
Big C Supercenter PCL(6368434) 333,200 1,956,366
Bumrungrad Hospital PCL 248,700 753,171
Central Pattana PCL 1,308,100 1,829,157
Central Plaza Hotel PCL 709,700 679,873
Charoen Pokphand Foods PCL 2,881,300 2,404,051
CP ALL PCL 3,242,700 4,208,696
Delta Electronics Thailand PCL 480,400 846,193
Electricity Generating PCL 175,000 711,140
Glow Energy PCL 445,700 1,070,864
Home Product Center PCL 3,844,917 1,063,412
Indorama Ventures PCL 1,887,300 1,388,064
Intouch Holdings PCL 488,100 1,176,508
IRPC PCL 11,139,400 1,266,780
Jasmine International PCL 3,720,300 954,218
Kasikornbank PCL(6364766) 52,000 307,726
Kasikornbank PCL(6888794) 1,146,600 6,962,512
Krung Thai Bank PCL 6,579,087 3,679,897
Land and Houses PCL(6581930) 790,000 246,570
Land and Houses PCL(6581941) 2,961,500 906,021
Minor International PCL 1,542,100 1,172,301
Pruksa Real Estate PCL 1,316,900 911,575
PTT Exploration & Production PCL(B1359J0) 1,463,555 7,213,752
PTT Exploration & Production PCL(B1359L2) 65,409 322,396
PTT Global Chemical PCL 1,778,472 3,833,388
PTT PCL 1,203,800 11,643,677
Ratchaburi Electricity Generating Holding
PCL(6362771) 74,600 122,758
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- --------------
THAILAND -- (Continued)
Ratchaburi Electricity Generating Holding
PCL(6294249) 521,300 $ 857,825
Robinson Department Store PCL 428,200 668,235
Siam Cement PCL (The)(6609906) 166,400 2,241,978
Siam Cement PCL (The)(6609928) 126,100 1,691,205
Siam City Cement PCL 127,413 1,519,821
Siam Commercial Bank PCL (The) 1,203,066 6,152,887
Siam Global House PCL 1,033,316 431,081
* Thai Airways International PCL 131,300 52,747
Thai Oil PCL 1,007,500 1,626,758
Thai Union Frozen Products PCL 452,560 978,962
Thaicom PCL 386,700 483,972
TMB Bank PCL 19,412,000 1,379,716
Total Access Communication PCL(B1YWK08) 753,700 2,899,742
Total Access Communication PCL(B231MK7) 214,100 827,024
* True Corp. PCL 5,807,400 1,211,371
--------------
TOTAL THAILAND 103,805,802
--------------
TURKEY -- (1.7%)
Akbank TAS 2,127,222 7,468,075
# Anadolu Efes Biracilik Ve Malt Sanayii A.S. 223,199 2,676,901
# Arcelik A.S. 303,162 1,873,906
Aselsan Elektronik Sanayi Ve Ticaret A.S. 97,871 435,788
BIM Birlesik Magazalar A.S. 236,317 5,470,397
Coca-Cola Icecek A.S. 67,443 1,583,973
* Dogan Yayin Holding A.S. 1 --
Enka Insaat ve Sanayi A.S. 458,239 1,392,934
# Eregli Demir ve Celik Fabrikalari TAS 2,104,839 2,928,833
Ford Otomotiv Sanayi A.S. 77,123 872,677
# KOC Holding A.S. 739,097 3,312,022
# Koza Altin Isletmeleri A.S. 48,987 491,229
#* Migros Ticaret A.S. 33,309 301,090
* Petkim Petrokimya Holding A.S. 80,883 115,339
# TAV Havalimanlari Holding A.S. 172,250 1,383,023
Tofas Turk Otomobil Fabrikasi A.S. 144,924 889,513
Tupras Turkiye Petrol Rafinerileri A.S. 123,271 2,788,741
Turk Hava Yollari 1,036,101 3,326,710
# Turk Telekomunikasyon A.S. 563,410 1,695,828
Turk Traktor ve Ziraat Makineleri A.S. 12,442 358,702
#* Turkcell Iletisim Hizmetleri A.S. 681,855 3,982,355
#* Turkcell Iletisim Hizmetleri A.S. ADR 73,838 1,069,174
Turkiye Garanti Bankasi A.S. 2,543,390 9,369,080
Turkiye Halk Bankasi A.S. 731,737 4,919,917
Turkiye Is Bankasi 1,910,546 4,518,419
Turkiye Sise ve Cam Fabrikalari A.S. 711,487 893,097
# Turkiye Vakiflar Bankasi Tao 1,209,629 2,540,362
# Ulker Biskuvi Sanayi A.S. 121,920 934,313
# Yapi ve Kredi Bankasi A.S. 1,011,449 2,114,654
--------------
TOTAL TURKEY 69,707,052
--------------
TOTAL COMMON STOCKS 3,740,069,234
--------------
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
--------- ------------
PREFERRED STOCKS -- (4.3%)
BRAZIL -- (4.2%)
AES Tiete SA 135,998 $ 1,067,978
Alpargatas SA 15,085 74,419
Banco Bradesco SA 2,233,995 33,253,187
Banco do Estado do Rio Grande do Sul SA Class B 200,100 1,122,660
Braskem SA Class A 73,800 503,750
Centrais Eletricas Brasileiras SA Class B 201,800 1,141,248
Cia Brasileira de Distribuicao Grupo Pao de Acucar 95,700 4,528,019
Cia de Gas de Sao Paulo Class A 22,527 495,548
Cia de Transmissao de Energia Eletrica Paulista 37,389 413,337
Cia Energetica de Minas Gerais 735,624 5,605,228
Cia Energetica de Sao Paulo Class B 229,010 2,714,535
Cia Paranaense de Energia 73,900 1,058,910
* Empresa Nacional de Comercio Redito e Participacoes
SA 380 4,942
Gerdau SA 836,068 5,013,221
Itau Unibanco Holding SA 2,568,240 42,386,470
Itau Unibanco Holding SA ADR 116,961 1,913,475
Lojas Americanas SA 471,267 3,569,772
Marcopolo SA 290,900 533,594
Oi SA 810,058 777,453
Petroleo Brasileiro SA 935,300 6,950,520
Petroleo Brasileiro SA Sponsored ADR 1,981,166 29,321,257
Suzano Papel e Celulose SA Class A 419,600 1,368,087
Telefonica Brasil SA 260,184 5,465,643
* Usinas Siderurgicas de Minas Gerais SA Class A 609,817 2,384,843
Vale SA 1,529,491 18,122,728
Vale SA Sponsored ADR 483,572 5,740,000
------------
TOTAL BRAZIL 175,530,824
------------
CHILE -- (0.0%)
Embotelladora Andina SA Class B 9,255 37,233
------------
COLOMBIA -- (0.1%)
Avianca Holdings SA 81,066 168,070
Banco Davivienda SA 114,619 1,632,362
Bancolombia SA 10,827 153,188
Grupo Aval Acciones y Valores 1,656,267 1,120,385
Grupo de Inversiones Suramericana SA 71,854 1,417,360
------------
TOTAL COLOMBIA 4,491,365
------------
INDIA -- (0.0%)
Zee Entertainment Enterprises, Ltd., 6.000% 8,184,078 104,480
------------
TOTAL PREFERRED STOCKS 180,163,902
------------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
* AMBEV SA Rights 05/27/14 1,197 134
* Cia De Gas De Sao Paulo Comgas Rights 05/28/14 385 --
* Klabin SA Rights 05/23/14 22,582 1,013
------------
TOTAL BRAZIL 1,147
------------
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE++
---------- --------------
HONG KONG -- (0.0%)
#* Fosun International, Ltd. Rights 05/12/14 133,959 $ 674
--------------
PHILIPPINES -- (0.0%)
* China Banking Corp. Rights 05/07/14 156 19
--------------
SOUTH KOREA -- (0.0%)
* GS Engineering & Construction Corp. Rights 06/03/14 12,473 105,022
--------------
THAILAND -- (0.0%)
* LH W3 R Warrants 04/29/17 592,300 117,142
* LH W3 Warrants 04/29/17 158,000 32,225
--------------
TOTAL THAILAND 149,367
--------------
TOTAL RIGHTS/WARRANTS 256,229
--------------
SHARES/
FACE
AMOUNT
(000) VALUE+
---------- --------------
SECURITIES LENDING COLLATERAL -- (6.8%)
(S)@ DFA Short Term Investment Fund 24,744,687 286,296,034
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $3,075,524,424) $4,206,785,399
==============
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
============== ============== == ==============
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2014
(UNAUDITED)
SHARES VALUE+
--------- ------------
COMMON STOCKS -- (95.2%)
Consumer Discretionary -- (16.9%)
* 1-800-Flowers.com, Inc. Class A 44,330 $ 241,599
Aaron's, Inc. 4,830 142,340
# AH Belo Corp. Class A 14,556 167,540
#* ALCO Stores, Inc. 700 7,063
# Arctic Cat, Inc. 3,436 140,498
#* Ascent Capital Group, Inc. Class A 8,564 588,946
# Autoliv, Inc. 9,404 959,020
* Ballantyne Strong, Inc. 9,030 40,816
#* Barnes & Noble, Inc. 12,200 200,080
Bassett Furniture Industries, Inc. 2,900 39,991
# Beasley Broadcasting Group, Inc. Class A 9,471 72,927
* Beazer Homes USA, Inc. 12,516 237,303
# bebe stores, Inc. 19,551 98,733
Best Buy Co., Inc. 197,800 5,128,954
Big 5 Sporting Goods Corp. 8,501 103,797
* Biglari Holdings, Inc. 1,953 837,876
# Bob Evans Farms, Inc. 52,387 2,455,379
# Bon-Ton Stores, Inc. (The) 2,986 32,846
* Books-A-Million, Inc. 14,887 35,133
Brown Shoe Co., Inc. 74,697 1,762,102
* Build-A-Bear Workshop, Inc. 25,874 290,306
#* Cabela's, Inc. 53,051 3,480,676
#* Cache, Inc. 26,610 70,783
# Callaway Golf Co. 122,359 1,065,747
#* Cambium Learning Group, Inc. 37,733 84,522
* Canterbury Park Holding Corp. 2,755 30,994
Carnival Corp. 489,649 19,248,102
# Carriage Services, Inc. 20,916 336,538
* Cavco Industries, Inc. 7,600 592,420
CBS Corp. Class A 28,263 1,643,493
CBS Corp. Class B 201,625 11,645,860
* Christopher & Banks Corp. 56,231 350,881
Churchill Downs, Inc. 7,682 674,710
* Citi Trends, Inc. 3,415 58,021
* Coast Distribution System, Inc. (The) 547 1,750
Columbia Sportswear Co. 4,317 371,176
Comcast Corp. Class A 3,446,875 178,410,250
Comcast Corp. Special Class A 1,088,341 55,538,041
#* Conn's, Inc. 25,450 1,125,653
Core-Mark Holding Co., Inc. 24,059 1,937,712
#* Corinthian Colleges, Inc. 36,345 41,797
CSS Industries, Inc. 13,050 312,809
# CST Brands, Inc. 50,181 1,637,406
Culp, Inc. 10,036 181,150
#* dELiA*s, Inc. 22,143 18,711
#* Delta Apparel, Inc. 7,532 114,712
Destination Maternity Corp. 200 4,932
#* Destination XL Group, Inc. 15,601 84,245
DeVry Education Group, Inc. 8,757 394,328
Dillard's, Inc. Class A 120,300 11,780,979
* Discovery Communications, Inc. Class B 3,762 282,601
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Consumer Discretionary -- (Continued)
* Dixie Group, Inc. (The) 11,800 $ 177,826
#* Dorman Products, Inc. 20,712 1,191,976
* Dover Downs Gaming & Entertainment, Inc. 5,935 8,606
Dover Motorsports, Inc. 15,098 35,329
# DR Horton, Inc. 208,125 4,637,025
#* DreamWorks Animation SKG, Inc. Class A 46,429 1,115,689
#* Education Management Corp. 13,202 52,412
# Educational Development Corp. 1,679 6,515
Escalade, Inc. 277 4,077
#* EW Scripps Co. Class A 41,061 703,375
* Federal-Mogul Holdings Corp. 38,585 664,434
#* Flanigan's Enterprises, Inc. 865 12,067
Flexsteel Industries, Inc. 2,068 70,974
Foot Locker, Inc. 15,700 730,521
Fred's, Inc. Class A 47,275 861,350
Frisch's Restaurants, Inc. 600 14,208
#* FTD Cos., Inc. 24,893 755,254
#* Fuel Systems Solutions, Inc. 3,398 35,611
* Full House Resorts, Inc. 2,574 5,135
#* G-III Apparel Group, Ltd. 11,394 817,747
* Gaiam, Inc. Class A 5,988 44,191
# GameStop Corp. Class A 104,752 4,156,559
#* Gaming Partners International Corp. 500 4,225
Gannett Co., Inc. 119,639 3,250,592
General Motors Co. 674,707 23,263,897
#* Genesco, Inc. 7,056 538,867
Graham Holdings Co. Class B 5,780 3,879,709
#* Gray Television, Inc. 46,874 527,333
# Group 1 Automotive, Inc. 57,936 4,178,924
* Hallwood Group, Inc. (The) 296 3,629
Harte-Hanks, Inc. 12,432 99,953
* Hastings Entertainment, Inc. 300 885
Haverty Furniture Cos., Inc. 33,479 855,054
* Helen of Troy, Ltd. 64,389 4,037,190
#* hhgregg, Inc. 36,388 313,665
* Hollywood Media Corp. 19,037 23,796
# Hooker Furniture Corp. 14,814 205,174
* Hyatt Hotels Corp. Class A 14,601 821,744
#* Iconix Brand Group, Inc. 95,618 4,063,765
International Speedway Corp. Class A 24,844 781,095
* Isle of Capri Casinos, Inc. 15,434 104,951
# JAKKS Pacific, Inc. 13,103 114,782
* Jarden Corp. 162,075 9,262,586
#* JC Penney Co., Inc. 85,215 726,032
# Johnson Outdoors, Inc. Class A 15,588 326,257
* Journal Communications, Inc. Class A 77,674 622,945
# KB Home 30,800 508,508
Kohl's Corp. 14,353 786,401
La-Z-Boy, Inc. 56,332 1,364,924
* Lakeland Industries, Inc. 11,757 83,475
#* Lands' End, Inc. 21,055 582,171
#* Lee Enterprises, Inc. 38,128 153,275
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Consumer Discretionary -- (Continued)
# Lennar Corp. Class A 224,100 $ 8,648,019
Lennar Corp. Class B 7,868 255,867
* Liberty Interactive Corp. Class A 882,463 25,644,375
#* Liberty Interactive Corp. Class B 35,706 1,075,643
* Liberty Media Corp. Class A 96,383 12,501,839
* Liberty Media Corp. Class B 7,622 956,142
* Liberty Ventures Series A 76,802 4,457,588
* Liberty Ventures Series B 3,570 212,754
#* Life Time Fitness, Inc. 13,317 639,216
Lifetime Brands, Inc. 16,431 313,832
Lithia Motors, Inc. Class A 34,933 2,594,823
* Live Nation Entertainment, Inc. 145,347 3,034,845
* Loral Space & Communications, Inc. 26,050 1,875,339
Lowe's Cos., Inc. 139,546 6,406,557
#* Luby's, Inc. 44,415 240,729
* M/I Homes, Inc. 37,930 844,701
* Madison Square Garden Co. (The) Class A 29,558 1,613,867
Marcus Corp. (The) 18,899 316,180
* MarineMax, Inc. 29,164 468,374
* Marriott Vacations Worldwide Corp. 662 36,066
* Martha Stewart Living Omnimedia, Inc. Class A 980 3,832
# Matthews International Corp. Class A 3,202 129,201
#* McClatchy Co. (The) Class A 60,603 332,104
# MDC Holdings, Inc. 18,400 507,840
#* Media General, Inc. Class A 25,196 386,003
Men's Wearhouse, Inc. (The) 52,860 2,504,507
# Meredith Corp. 32,676 1,440,031
* Meritage Homes Corp. 28,156 1,086,258
* MGM Resorts International 251,100 6,335,253
* Modine Manufacturing Co. 14,650 241,432
* Mohawk Industries, Inc. 98,740 13,074,163
* Monarch Casino & Resort, Inc. 1,103 17,692
* Motorcar Parts of America, Inc. 13,074 358,751
Movado Group, Inc. 36,900 1,449,432
* MTR Gaming Group, Inc. 24,536 124,152
* Multimedia Games Holding Co., Inc. 23,224 678,141
* Murphy USA, Inc. 47,356 2,012,630
NACCO Industries, Inc. Class A 6,832 366,127
* New York & Co., Inc. 6,926 29,020
* News Corp. Class A 402,247 6,846,244
#* News Corp. Class B 99,903 1,652,396
#* Office Depot, Inc. 181,609 742,781
* Orient-Express Hotels, Ltd. Class A 75,198 985,094
#* Pacific Sunwear of California, Inc. 43,900 126,432
* Penn National Gaming, Inc. 63,446 708,057
Penske Automotive Group, Inc. 43,845 2,010,732
* Pep Boys-Manny, Moe & Jack (The) 75,098 767,502
* Perfumania Holdings, Inc. 537 3,560
* Perry Ellis International, Inc. 21,492 324,529
#* Pinnacle Entertainment, Inc. 71,930 1,673,811
PulteGroup, Inc. 143,221 2,633,834
PVH Corp. 31,964 4,013,719
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Discretionary -- (Continued)
#* Quiksilver, Inc. 74,010 $ 475,144
#* Radio One, Inc. Class D 13,955 63,077
#* RadioShack Corp. 46,847 66,991
* Red Lion Hotels Corp. 8,907 51,215
#* Red Robin Gourmet Burgers, Inc. 31,175 2,119,276
# Regis Corp. 54,292 713,397
# Rent-A-Center, Inc. 76,435 2,232,666
#* Rick's Cabaret International, Inc. 12,026 121,463
Rocky Brands, Inc. 8,729 127,793
Royal Caribbean Cruises, Ltd. 322,500 17,134,425
#* Ruby Tuesday, Inc. 70,361 542,483
# Saga Communications, Inc. Class A 8,693 385,100
# Salem Communications Corp. Class A 10,922 96,223
# Scholastic Corp. 30,900 1,016,919
* Scientific Games Corp. Class A 41,635 498,787
#* Sears Holdings Corp. 70,001 3,066,744
Service Corp. International 274,069 5,144,275
#* Shiloh Industries, Inc. 24,793 489,414
Shoe Carnival, Inc. 33,450 763,998
* Sizmek, Inc. 8,748 83,806
* Skechers U.S.A., Inc. Class A 49,610 2,033,514
Spartan Motors, Inc. 16,820 89,314
# Speedway Motorsports, Inc. 52,187 949,282
* Sport Chalet, Inc. Class A 875 989
* Sport Chalet, Inc. Class B 299 380
# Stage Stores, Inc. 53,575 1,027,568
Standard Motor Products, Inc. 37,342 1,418,623
* Stanley Furniture Co., Inc. 15,798 46,130
# Staples, Inc. 497,525 6,219,062
* Starz 84,255 2,718,909
* Starz Class B 7,622 246,267
Stein Mart, Inc. 22,915 286,438
* Steiner Leisure, Ltd. 2,225 96,053
* Stoneridge, Inc. 19,361 206,969
Strattec Security Corp. 5,224 349,015
# Superior Industries International, Inc. 37,089 784,061
# Superior Uniform Group, Inc. 8,978 145,982
#* Systemax, Inc. 11,750 203,158
#* Tandy Leather Factory, Inc. 500 4,895
Time Warner Cable, Inc. 693,942 98,165,035
Time Warner, Inc. 1,534,860 102,006,796
* Toll Brothers, Inc. 203,299 6,960,958
# Trans World Entertainment Corp. 5,781 18,904
#* Tuesday Morning Corp. 60,500 845,790
Twenty-First Century Fox, Inc. Class A 1,287,383 41,222,004
Twenty-First Century Fox, Inc. Class B 550,972 17,256,443
* Unifi, Inc. 43,422 961,363
* Universal Electronics, Inc. 3,206 119,744
Vail Resorts, Inc. 11,600 803,068
#* Valuevision Media, Inc. Class A 3,998 18,711
#* VOXX International Corp. 24,496 287,828
Walt Disney Co. (The) 26,220 2,080,295
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Discretionary -- (Continued)
# Wendy's Co. (The) 242,704 $ 2,016,870
* West Marine, Inc. 26,468 283,208
#* Wet Seal, Inc. (The) Class A 13,619 15,389
Whirlpool Corp. 30,049 4,608,916
Wyndham Worldwide Corp. 144,114 10,281,093
#* Zale Corp. 23,799 509,061
------------
Total Consumer Discretionary 848,874,230
------------
Consumer Staples -- (7.0%)
# Alico, Inc. 960 33,523
* Alliance One International, Inc. 35,084 90,166
# Andersons, Inc. (The) 23,660 1,473,781
Archer-Daniels-Midland Co. 813,476 35,573,306
Beam, Inc. 131,553 10,980,729
#* Boulder Brands, Inc. 76,099 1,123,221
Bunge, Ltd. 121,368 9,666,961
CCA Industries, Inc. 8,323 25,219
#* Central Garden and Pet Co. 25,184 204,746
* Central Garden and Pet Co. Class A 54,453 450,326
* Chiquita Brands International, Inc. 69,284 795,380
* Constellation Brands, Inc. Class A 249,042 19,883,513
* Constellation Brands, Inc. Class B 12,715 1,003,341
#* Craft Brew Alliance, Inc. 9,754 146,017
CVS Caremark Corp. 1,510,745 109,861,376
#* Farmer Bros. Co. 6,695 131,959
# Fresh Del Monte Produce, Inc. 39,437 1,139,335
# Griffin Land & Nurseries, Inc. 1,500 43,800
#* Hain Celestial Group, Inc. (The) 43,646 3,754,429
Ingles Markets, Inc. Class A 11,437 262,937
Ingredion, Inc. 62,117 4,376,143
JM Smucker Co. (The) 108,204 10,461,163
# John B. Sanfilippo & Son, Inc. 10,428 240,365
Kraft Foods Group, Inc. 209,706 11,923,883
#* Mannatech, Inc. 717 11,666
# MGP Ingredients, Inc. 4,788 27,962
# Molson Coors Brewing Co. Class A 1,908 114,289
Molson Coors Brewing Co. Class B 186,550 11,187,404
Mondelez International, Inc. Class A 2,081,099 74,191,179
* Nutraceutical International Corp. 14,615 364,206
# Oil-Dri Corp. of America 5,047 169,125
* Omega Protein Corp. 25,852 293,679
* Pantry, Inc. (The) 22,475 338,024
* Post Holdings, Inc. 50,201 2,623,504
Safeway, Inc. 157,807 5,374,906
# Sanderson Farms, Inc. 16,100 1,324,547
* Seaboard Corp. 1,812 4,417,656
* Seneca Foods Corp. Class A 6,301 178,948
* Seneca Foods Corp. Class B 300 9,162
# Snyder's-Lance, Inc. 28,337 752,631
Spartan Stores, Inc. 34,281 738,413
Spectrum Brands Holdings, Inc. 46,130 3,544,168
#* Susser Holdings Corp. 12,360 956,417
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Consumer Staples -- (Continued)
* TreeHouse Foods, Inc. 24,190 $ 1,810,380
Tyson Foods, Inc. Class A 405,030 16,999,109
# Universal Corp. 22,290 1,216,365
# Weis Markets, Inc. 11,602 534,736
------------
Total Consumer Staples 350,824,095
------------
Energy -- (16.2%)
Adams Resources & Energy, Inc. 6,004 432,648
Alon USA Energy, Inc. 33,484 545,454
#* Alpha Natural Resources, Inc. 170,794 734,414
Anadarko Petroleum Corp. 845,068 83,678,633
Apache Corp. 289,715 25,147,262
#* Approach Resources, Inc. 6,883 142,822
# Arch Coal, Inc. 60,743 278,203
* Atwood Oceanics, Inc. 4,600 227,976
Baker Hughes, Inc. 84,672 5,918,573
* Barnwell Industries, Inc. 8,038 24,717
#* Bill Barrett Corp. 51,500 1,219,520
Bolt Technology Corp. 9,574 161,609
# Bristow Group, Inc. 43,589 3,347,635
#* C&J Energy Services, Inc. 37,416 1,124,725
Cabot Oil & Gas Corp. 568 22,311
* Callon Petroleum Co. 13,214 121,305
Chesapeake Energy Corp. 624,655 17,958,831
Chevron Corp. 696,706 87,450,537
* Cloud Peak Energy, Inc. 33,115 652,034
# Comstock Resources, Inc. 32,421 901,304
ConocoPhillips 1,766,829 131,293,063
* Contango Oil & Gas Co. 1,064 51,115
# Dawson Geophysical Co. 17,055 481,974
Delek US Holdings, Inc. 52,256 1,671,669
# Denbury Resources, Inc. 289,460 4,868,717
Devon Energy Corp. 42,463 2,972,410
#* Emerald Oil, Inc. 32,065 226,700
#* Endeavour International Corp. 4,300 14,792
EOG Resources, Inc. 12,090 1,184,820
* EPL Oil & Gas, Inc. 27,489 1,075,919
* Era Group, Inc. 36,653 1,046,443
#* Escalera Resources Co. 7,844 21,414
# Exterran Holdings, Inc. 69,200 2,976,984
Exxon Mobil Corp. 510,224 52,252,040
# Green Plains Renewable Energy, Inc. 26,534 793,367
Gulf Island Fabrication, Inc. 15,018 301,261
Gulfmark Offshore, Inc. Class A 35,505 1,598,080
#* Harvest Natural Resources, Inc. 48,645 219,389
* Helix Energy Solutions Group, Inc. 103,010 2,476,360
Helmerich & Payne, Inc. 108,670 11,806,995
#* Hercules Offshore, Inc. 107,413 480,136
Hess Corp. 378,130 33,714,071
* HKN, Inc. 564 35,253
HollyFrontier Corp. 26,505 1,393,898
#* Hornbeck Offshore Services, Inc. 29,719 1,231,258
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Energy -- (Continued)
* Key Energy Services, Inc. 49,745 $ 499,440
Knightsbridge Tankers, Ltd. 14,861 177,589
#* Magnum Hunter Resources Corp. 82,198 698,683
Marathon Oil Corp. 903,937 32,677,323
Marathon Petroleum Corp. 451,968 42,010,426
#* Matador Resources Co. 6,400 183,808
* Matrix Service Co. 15,423 477,650
#* McDermott International, Inc. 63,698 460,537
Murphy Oil Corp. 189,426 12,015,291
Nabors Industries, Ltd. 272,782 6,961,397
National Oilwell Varco, Inc. 250,948 19,706,946
* Natural Gas Services Group, Inc. 15,026 461,148
* Newfield Exploration Co. 48,506 1,641,928
#* Newpark Resources, Inc. 97,395 1,172,636
Noble Corp. P.L.C. 74,243 2,287,427
Noble Energy, Inc. 133,794 9,603,733
#* Northern Oil and Gas, Inc. 16,372 252,620
Occidental Petroleum Corp. 114,368 10,950,736
#* Overseas Shipholding Group, Inc. 2,355 13,424
* Parker Drilling Co. 142,573 945,259
Patterson-UTI Energy, Inc. 152,325 4,955,132
* PDC Energy, Inc. 24,103 1,534,638
#* Penn Virginia Corp. 35,279 587,043
* PHI, Inc. Non-Voting 21,843 978,566
#* PHI, Inc. Voting 1,099 46,488
Phillips 66 883,414 73,517,713
* Pioneer Energy Services Corp. 98,221 1,470,368
Pioneer Natural Resources Co. 88,400 17,085,068
QEP Resources, Inc. 33,043 1,014,090
* Renewable Energy Group, Inc. 2,882 33,921
* REX American Resources Corp. 4,050 264,708
* Rex Energy Corp. 35,100 739,206
* Rowan Cos. P.L.C. Class A 121,858 3,767,849
#* SEACOR Holdings, Inc. 36,653 3,056,494
# SemGroup Corp. Class A 4,727 301,961
# Ship Finance International, Ltd. 40,467 713,433
* Stone Energy Corp. 1,115 54,691
Superior Energy Services, Inc. 75,686 2,491,583
#* Swift Energy Co. 34,900 430,317
Teekay Corp. 37,720 2,116,469
#* Tesco Corp. 3,745 74,900
Tesoro Corp. 168,807 9,502,146
* TETRA Technologies, Inc. 25,510 318,875
* TGC Industries, Inc. 1,787 9,042
Tidewater, Inc. 49,127 2,502,038
# Transocean, Ltd. 274,265 11,812,594
#* Triangle Petroleum Corp. 7,779 74,834
* Unit Corp. 57,000 3,759,150
Valero Energy Corp. 605,899 34,639,246
* Weatherford International, Ltd. 281,383 5,909,043
# Western Refining, Inc. 68,485 2,979,098
* Whiting Petroleum Corp. 16,007 1,180,036
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Energy -- (Continued)
* Willbros Group, Inc. 18,620 $ 206,868
------------
Total Energy 815,604,250
------------
Financials -- (17.8%)
1st Source Corp. 41,187 1,214,605
# 1st United Bancorp, Inc. 863 6,317
ACE, Ltd. 46,348 4,742,327
Alexander & Baldwin, Inc. 66,838 2,493,726
* Alleghany Corp. 2,626 1,071,355
Allied World Assurance Co. Holdings AG 25,477 2,743,618
Allstate Corp. (The) 157,339 8,960,456
* American Capital, Ltd. 422,803 6,337,817
# American Equity Investment Life Holding Co. 88,700 2,068,484
American Financial Group, Inc. 173,596 10,143,214
* American Independence Corp. 173 1,891
American International Group, Inc. 899,581 47,794,738
American National Insurance Co. 37,287 4,191,432
* Ameris Bancorp 12,022 255,708
AmeriServ Financial, Inc. 33,075 115,101
Argo Group International Holdings, Ltd. 42,675 1,895,623
Aspen Insurance Holdings, Ltd. 102,623 4,698,081
# Associated Banc-Corp 31,434 551,667
# Assurant, Inc. 65,820 4,436,926
Assured Guaranty, Ltd. 122,989 2,940,667
* Asta Funding, Inc. 7,527 61,496
Astoria Financial Corp. 19,344 256,501
#* Atlanticus Holdings Corp. 19,218 46,700
#* AV Homes, Inc. 15,767 270,089
Axis Capital Holdings, Ltd. 800 36,600
# Baldwin & Lyons, Inc. Class A 300 7,089
Baldwin & Lyons, Inc. Class B 6,556 170,522
Banc of California, Inc. 810 10,182
* Bancorp, Inc. 459 7,261
Bank Mutual Corp. 51,232 308,417
Bank of America Corp. 6,542,656 99,055,812
Bank of New York Mellon Corp. (The) 491,755 16,655,742
# BankFinancial Corp. 39,867 392,291
Banner Corp. 7,943 314,066
BCB Bancorp, Inc. 1,059 14,085
Berkshire Hills Bancorp, Inc. 25,980 608,711
* BofI Holding, Inc. 8,208 661,647
* Capital Bank Financial Corp. Class A 233 5,557
# Capital City Bank Group, Inc. 16,844 234,132
Capital One Financial Corp. 356,632 26,355,105
Capital Southwest Corp. 27,628 969,743
Cathay General Bancorp 17,730 418,428
Centerstate Banks, Inc. 747 8,195
# Century Bancorp, Inc. Class A 495 16,582
Chicopee Bancorp, Inc. 1,000 17,330
CIT Group, Inc. 39,411 1,696,644
Citigroup, Inc. 2,248,344 107,718,161
Citizens Community Bancorp, Inc. 10,355 83,151
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Financials -- (Continued)
CME Group, Inc. 414,385 $29,168,560
CNA Financial Corp. 277,671 11,370,627
CNO Financial Group, Inc. 301,264 5,196,804
Codorus Valley Bancorp, Inc. 126 2,690
* Community West Bancshares 400 2,772
* Cowen Group, Inc. Class A 15,961 65,600
Donegal Group, Inc. Class A 27,472 405,487
# Donegal Group, Inc. Class B 300 6,474
* E*TRADE Financial Corp. 89,699 2,013,743
East West Bancorp, Inc. 671 23,156
* Eastern Virginia Bankshares, Inc. 307 2,072
EMC Insurance Group, Inc. 18,341 605,070
#* Encore Capital Group, Inc. 627 27,099
Endurance Specialty Holdings, Ltd. 76,288 3,876,956
Enterprise Financial Services Corp. 3,235 57,809
# ESB Financial Corp. 432 5,452
ESSA Bancorp, Inc. 8,217 85,375
Evans Bancorp, Inc. 1,681 37,949
Everest Re Group, Ltd. 34,913 5,517,301
#* Farmers Capital Bank Corp. 302 6,309
FBL Financial Group, Inc. Class A 24,660 1,102,549
# Federal Agricultural Mortgage Corp. Class A 177 4,872
Federal Agricultural Mortgage Corp. Class C 9,200 327,336
Federated National Holding Co. 13,665 265,511
Fidelity National Financial, Inc. Class A 46,321 1,490,610
# Fidelity Southern Corp. 7,213 95,284
* First Acceptance Corp. 39,006 93,224
# First American Financial Corp. 61,982 1,648,721
First Bancorp 16,138 277,735
#* First BanCorp. 7,500 38,550
* First Bancshares, Inc. 400 3,300
First Business Financial Services, Inc. 482 21,791
First Citizens BancShares, Inc. Class A 8,627 1,940,126
# First Commonwealth Financial Corp. 30,547 262,399
First Community Bancshares, Inc. 183 2,710
First Defiance Financial Corp. 10,880 293,978
# First Federal of Northern Michigan Bancorp, Inc. 900 4,473
First Financial Holdings, Inc. 8,549 491,311
# First Financial Northwest, Inc. 25,371 258,784
First Merchants Corp. 46,827 993,669
First Midwest Bancorp, Inc. 7,168 117,340
First Niagara Financial Group, Inc. 77,106 687,785
# First South Bancorp, Inc. 2,278 18,292
Fox Chase Bancorp, Inc. 351 5,855
* Genworth Financial, Inc. Class A 34,964 624,107
# German American Bancorp, Inc. 7,459 194,232
# GFI Group, Inc. 2,875 10,695
#* Gleacher & Co., Inc. 450 5,175
* Global Indemnity P.L.C. 8,282 221,958
Goldman Sachs Group, Inc. (The) 143,685 22,963,737
Great Southern Bancorp, Inc. 1,616 46,331
# Guaranty Bancorp 15,867 199,765
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
* Guaranty Federal Bancshares, Inc. 1,684 $ 21,286
* Hallmark Financial Services, Inc. 25,666 215,594
# Hampden Bancorp, Inc. 5,886 95,647
Hanover Insurance Group, Inc. (The) 88,829 5,192,055
Hartford Financial Services Group, Inc. (The) 308,762 11,075,293
HCC Insurance Holdings, Inc. 17,700 813,138
Heartland Financial USA, Inc. 465 11,299
Heritage Commerce Corp. 14,483 117,602
HF Financial Corp. 400 5,480
* Hilltop Holdings, Inc. 26,171 584,660
# Hingham Institution for Savings 500 34,755
* HMN Financial, Inc. 3,456 38,500
#* Home Bancorp, Inc. 719 14,560
Home Federal Bancorp, Inc. 9,420 141,771
HopFed Bancorp, Inc. 6,781 77,168
Horace Mann Educators Corp. 58,206 1,750,254
Hudson City Bancorp, Inc. 28,191 280,782
* ICG Group, Inc. 1,184 24,130
#* Imperial Holdings, Inc. 2,882 19,281
# Independence Holding Co. 24,172 315,686
Infinity Property & Casualty Corp. 15,800 1,013,886
IntercontinentalExchange Group, Inc. 1,479 302,367
International Bancshares Corp. 800 18,368
#* Intervest Bancshares Corp. Class A 2,078 15,730
* Investment Technology Group, Inc. 23,677 488,693
# Investors Title Co. 1,169 82,718
# Janus Capital Group, Inc. 24,840 301,309
JPMorgan Chase & Co. 1,591,818 89,109,972
Kemper Corp. 67,002 2,640,549
# Kentucky First Federal Bancorp 2,800 24,052
KeyCorp 526,210 7,177,504
Lakeland Bancorp, Inc. 8,324 86,903
# Landmark Bancorp, Inc. 1,968 38,022
# Legg Mason, Inc. 93,283 4,374,040
Lincoln National Corp. 378,093 18,341,291
LNB Bancorp, Inc. 13,395 152,435
Loews Corp. 243,798 10,719,798
# Louisiana Bancorp, Inc. 5,606 109,317
# Macatawa Bank Corp. 18,892 92,004
* Magyar Bancorp, Inc. 500 4,135
# Maiden Holdings, Ltd. 5,792 68,346
MainSource Financial Group, Inc. 45,000 743,850
Marlin Business Services Corp. 14,241 244,518
MB Financial, Inc. 19,678 528,157
#* MBIA, Inc. 82,267 997,076
#* MBT Financial Corp. 24,724 121,889
# MCG Capital Corp. 11,930 40,085
# Meadowbrook Insurance Group, Inc. 26,353 147,577
# Medallion Financial Corp. 9,550 129,880
# Mercantile Bank Corp. 4,422 86,273
# Meta Financial Group, Inc. 1,083 45,389
MetLife, Inc. 1,125,923 58,942,069
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Financials -- (Continued)
* Metro Bancorp, Inc. 26,598 $ 543,131
#* MGIC Investment Corp. 72,733 625,504
MicroFinancial, Inc. 5,900 46,433
MidWestOne Financial Group, Inc. 346 8,522
# Montpelier Re Holdings, Ltd. 38,746 1,184,853
Morgan Stanley 1,476,248 45,660,351
MutualFirst Financial, Inc. 2,300 43,240
NASDAQ OMX Group, Inc. (The) 42,129 1,554,560
National Western Life Insurance Co. Class A 900 209,925
* Navigators Group, Inc. (The) 3,685 209,934
* New Century Bancorp, Inc. 600 4,446
# New Hampshire Thrift Bancshares, Inc. 3,667 54,088
* NewBridge Bancorp 11,413 87,766
#* NewStar Financial, Inc. 41,166 470,116
* North Valley Bancorp 907 20,498
Northeast Community Bancorp, Inc. 18,190 132,423
Northrim BanCorp, Inc. 5,734 137,559
OFG Bancorp 30,191 515,058
Old Republic International Corp. 280,714 4,648,624
* Old Second Bancorp, Inc. 4,874 23,200
Oppenheimer Holdings, Inc. Class A 3,097 78,850
* Pacific Mercantile Bancorp 16,236 106,346
PacWest Bancorp 1,076 42,362
Park Sterling Corp. 3,253 21,242
PartnerRe, Ltd. 52,224 5,504,410
# People's United Financial, Inc. 68,700 981,036
Peoples Bancorp of North Carolina, Inc. 250 4,300
Peoples Bancorp, Inc. 17,608 459,041
#* PHH Corp. 91,804 2,182,181
#* Phoenix Cos., Inc. (The) 2,631 115,817
Pinnacle Financial Partners, Inc. 23,924 827,053
* Piper Jaffray Cos. 312 13,684
Platinum Underwriters Holdings, Ltd. 21,715 1,361,748
* Popular, Inc. 56,536 1,746,962
* Porter Bancorp, Inc. 1,737 1,876
#* Portfolio Recovery Associates, Inc. 28,203 1,611,801
Premier Financial Bancorp, Inc. 4,434 63,406
Principal Financial Group, Inc. 217,722 10,198,098
Protective Life Corp. 98,037 5,014,593
Provident Financial Holdings, Inc. 544 7,654
Provident Financial Services, Inc. 21,059 366,005
Prudential Financial, Inc. 497,625 40,148,385
Pulaski Financial Corp. 4,550 47,001
Radian Group, Inc. 161,945 2,263,991
Regions Financial Corp. 1,302,555 13,207,908
Reinsurance Group of America, Inc. 169,166 12,976,724
# Renasant Corp. 42,102 1,146,016
#* Republic First Bancorp, Inc. 2,174 9,609
# Resource America, Inc. Class A 21,051 179,144
* Riverview Bancorp, Inc. 15,319 53,310
Safety Insurance Group, Inc. 11,042 593,066
Sandy Spring Bancorp, Inc. 9,125 219,456
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
Financials -- (Continued)
Selective Insurance Group, Inc. 45,200 $ 1,036,888
SI Financial Group, Inc. 5,661 66,800
(o)* Southern Community Financial Corp. 29,890 6,576
* Southern First Bancshares, Inc. 1,216 16,611
Southwest Bancorp, Inc. 16,974 283,466
StanCorp Financial Group, Inc. 15,636 955,360
State Auto Financial Corp. 56,823 1,162,599
Sterling Bancorp 70,552 843,802
# Stewart Information Services Corp. 12,271 374,265
* Stratus Properties, Inc. 3,069 50,945
#* Suffolk Bancorp 205 4,496
#* Sun Bancorp, Inc. 4,075 15,485
SunTrust Banks, Inc. 491,691 18,812,098
Susquehanna Bancshares, Inc. 97,547 1,010,587
Symetra Financial Corp. 20,319 419,791
Synovus Financial Corp. 159,578 512,245
Teche Holding Co. 600 43,740
TF Financial Corp. 630 19,757
Timberland Bancorp, Inc. 2,500 26,625
Travelers Cos., Inc. (The) 28,000 2,536,240
#* Tree.com, Inc. 5,635 163,866
# Trustmark Corp. 4,194 95,917
Umpqua Holdings Corp. 34,932 580,919
#* Unico American Corp. 1,900 25,099
Union Bankshares Corp. 37,042 947,905
United Bankshares, Inc. 12,121 354,539
United Financial Bancorp, Inc. 6,824 120,375
United Fire Group, Inc. 38,612 1,074,186
* United Security Bancshares 396 2,233
Unity Bancorp, Inc. 3,306 28,266
Unum Group 517,445 17,189,523
Validus Holdings, Ltd. 4,399 163,071
Washington Federal, Inc. 1,243 26,824
Waterstone Financial, Inc. 1,426 14,845
WesBanco, Inc. 31,462 951,411
# West Bancorporation, Inc. 13,957 202,516
# Westfield Financial, Inc. 10,811 74,055
Wintrust Financial Corp. 24,224 1,085,720
XL Group P.L.C. 240,766 7,548,014
* Yadkin Financial Corp. 5,570 106,665
Zions Bancorp. 53,325 1,542,159
* ZipRealty, Inc. 10,028 33,293
------------
Total Financials 892,533,728
------------
Health Care -- (9.5%)
* Addus HomeCare Corp. 2,044 44,191
Aetna, Inc. 558,462 39,902,110
#* Affymetrix, Inc. 42,297 314,267
#* Albany Molecular Research, Inc. 34,587 555,467
#* Alere, Inc. 74,130 2,475,942
* Allied Healthcare Products, Inc. 1,000 2,160
#* Allscripts Healthcare Solutions, Inc. 187,470 2,853,293
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Health Care -- (Continued)
#* Alphatec Holdings, Inc. 5,644 $ 7,619
#* Amedisys, Inc. 19,727 268,879
* AMN Healthcare Services, Inc. 8,600 107,328
* Amsurg Corp. 30,743 1,331,479
Analogic Corp. 2,988 224,339
* AngioDynamics, Inc. 44,530 598,483
* Anika Therapeutics, Inc. 14,671 627,039
* Arrhythmia Research Technology, Inc. 1,200 5,820
#* Baxano Surgical, Inc. 5,997 5,098
#* BioScrip, Inc. 36,570 253,064
* BioTelemetry, Inc. 5,328 42,304
* Boston Scientific Corp. 1,204,199 15,184,949
* Cambrex Corp. 43,567 892,688
#* Capital Senior Living Corp. 54,559 1,349,244
* CareFusion Corp. 207,163 8,091,787
#* Celldex Therapeutics, Inc. 4,759 71,385
Cigna Corp. 42,954 3,438,038
* Community Health Systems, Inc. 105,314 3,990,348
CONMED Corp. 43,239 2,003,263
Cooper Cos., Inc. (The) 13,956 1,840,936
* Cross Country Healthcare, Inc. 28,968 205,383
CryoLife, Inc. 17,502 158,918
#* Cumberland Pharmaceuticals, Inc. 23,319 103,770
* Cutera, Inc. 23,864 246,038
* Cynosure, Inc. Class A 34,622 849,624
# Daxor Corp. 545 4,529
Digirad Corp. 29,111 92,573
* Emergent Biosolutions, Inc. 8,678 228,752
#* Endo International P.L.C. 54,588 3,436,042
* Enzo Biochem, Inc. 47,997 201,587
* Exactech, Inc. 3,390 75,326
* Express Scripts Holding Co. 493,239 32,839,853
* Five Star Quality Care, Inc. 28,953 139,843
* Forest Laboratories, Inc. 78,471 7,212,270
* Gentiva Health Services, Inc. 31,640 238,249
* Greatbatch, Inc. 41,672 1,918,162
* Hanger, Inc. 16,897 585,819
#* Harvard Apparatus Regenerative Technology, Inc. 8,026 69,425
#* Harvard Bioscience, Inc. 32,107 135,492
* Health Net, Inc. 44,958 1,543,408
#* Healthways, Inc. 46,297 833,346
#* Hologic, Inc. 305,036 6,401,181
Humana, Inc. 236,814 25,990,337
* Impax Laboratories, Inc. 4,700 122,905
Invacare Corp. 30,851 487,446
Kewaunee Scientific Corp. 1,631 27,319
Kindred Healthcare, Inc. 59,114 1,483,761
* Lannett Co., Inc. 3,649 126,000
* LCA-Vision, Inc. 700 3,752
LeMaitre Vascular, Inc. 5,100 41,871
#* LHC Group, Inc. 1,418 29,466
* LifePoint Hospitals, Inc. 82,208 4,597,071
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Health Care -- (Continued)
* Magellan Health Services, Inc. 17,899 $ 1,033,130
(o)* Maxygen, Inc. 43,105 1,293
* MedAssets, Inc. 44,682 1,020,090
(o)* MedCath Corp. 29,240 58,480
* Medical Action Industries, Inc. 24,509 157,103
#* Merit Medical Systems, Inc. 13,395 172,394
* Misonix, Inc. 4,083 24,498
#* Molina Healthcare, Inc. 24,941 932,793
# National Healthcare Corp. 6,484 354,869
* Natus Medical, Inc. 15,698 389,781
* NuVasive, Inc. 2,045 68,937
Omnicare, Inc. 197,388 11,699,187
* Omnicell, Inc. 35,405 937,524
* PDI, Inc. 14,978 70,696
PerkinElmer, Inc. 76,500 3,210,705
Pfizer, Inc. 3,950,849 123,582,557
* PharMerica Corp. 33,305 905,563
* Prestige Brands Holdings, Inc. 111,489 3,737,111
#* Repligen Corp. 21,271 337,145
* RTI Surgical, Inc. 73,086 314,270
#* Sciclone Pharmaceuticals, Inc. 13,028 62,274
Select Medical Holdings Corp. 42,204 589,168
#* Skilled Healthcare Group, Inc. Class A 9,380 48,401
#* SunLink Health Systems, Inc. 1,750 2,643
* SurModics, Inc. 5,593 121,704
* Symmetry Medical, Inc. 77,051 636,441
# Teleflex, Inc. 37,223 3,800,096
Thermo Fisher Scientific, Inc. 499,520 56,945,280
* Triple-S Management Corp. Class B 20,684 309,846
UnitedHealth Group, Inc. 89,716 6,732,289
# Universal American Corp. 84,328 604,632
* VCA Antech, Inc. 69,140 2,117,758
* WellCare Health Plans, Inc. 18,375 1,239,761
WellPoint, Inc. 504,640 50,807,155
* Wright Medical Group, Inc. 32,357 884,964
Zoetis, Inc. 805,208 24,365,594
------------
Total Health Care 475,187,170
------------
Industrials -- (13.6%)
# AAR Corp. 32,906 852,265
ABM Industries, Inc. 64,500 1,747,305
Aceto Corp. 31,686 693,290
# Acme United Corp. 1,030 17,335
Actuant Corp. Class A 44,986 1,523,226
* Adept Technology, Inc. 20,476 244,893
# ADT Corp. (The) 197,193 5,963,116
* AECOM Technology Corp. 23,177 751,398
#* Aegion Corp. 83,805 2,136,189
#* Aerovironment, Inc. 35,065 1,184,145
AGCO Corp. 58,973 3,284,796
* Air Transport Services Group, Inc. 6,308 49,392
Alamo Group, Inc. 22,751 1,208,533
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
Industrials -- (Continued)
Alaska Air Group, Inc. 52,626 $ 4,951,054
Albany International Corp. Class A 20,551 739,425
Allegion P.L.C. 71,036 3,505,627
Alliant Techsystems, Inc. 38,805 5,596,457
(o)* Allied Defense Group, Inc. 2,645 212
AMERCO 29,431 7,360,987
#* Ameresco, Inc. Class A 981 6,288
# American Railcar Industries, Inc. 20,003 1,389,008
* AMREP Corp. 1,159 6,317
# Apogee Enterprises, Inc. 36,374 1,155,602
* ArcBest Corp. 12,135 478,362
Argan, Inc. 21 562
#* Ascent Solar Technologies, Inc. 1,951 985
Astec Industries, Inc. 22,925 915,854
#* Atlas Air Worldwide Holdings, Inc. 36,746 1,285,743
* Avis Budget Group, Inc. 94,608 4,975,435
Baltic Trading, Ltd. 40 240
Barnes Group, Inc. 36,400 1,402,128
Barrett Business Services, Inc. 12,955 653,062
#* BlueLinx Holdings, Inc. 17,052 22,338
Brady Corp. Class A 38,500 992,915
# Briggs & Stratton Corp. 41,033 876,875
#* Builders FirstSource, Inc. 12,182 95,629
#* CAI International, Inc. 17,082 371,534
* Casella Waste Systems, Inc. Class A 14,362 73,246
#* CBIZ, Inc. 38,149 326,937
CDI Corp. 39,837 610,303
# Ceco Environmental Corp. 3,773 59,953
Celadon Group, Inc. 24,642 567,012
# Chicago Rivet & Machine Co. 700 27,125
CIRCOR International, Inc. 6,849 556,207
* Columbus McKinnon Corp. 17,542 464,688
Comfort Systems USA, Inc. 44,560 668,400
# Compx International, Inc. 500 4,600
Courier Corp. 8,245 119,800
Covanta Holding Corp. 94,292 1,739,687
* Covenant Transportation Group, Inc. Class A 7,080 72,570
#* CPI Aerostructures, Inc. 4,626 62,312
* CRA International, Inc. 7,613 165,735
CSX Corp. 1,242,950 35,076,049
Curtiss-Wright Corp. 46,353 2,963,811
* DigitalGlobe, Inc. 21,971 654,296
Douglas Dynamics, Inc. 30,234 510,048
* Ducommun, Inc. 16,645 403,974
* Dycom Industries, Inc. 39,867 1,251,824
Dynamic Materials Corp. 1,436 29,007
Eastern Co. (The) 10,193 172,160
Eaton Corp. P.L.C. 78,508 5,702,821
Ecology and Environment, Inc. Class A 900 8,631
EMCOR Group, Inc. 50,540 2,324,335
Encore Wire Corp. 19,966 972,943
#* Energy Recovery, Inc. 1,783 9,111
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Industrials -- (Continued)
#* EnerNOC, Inc. 13,197 $ 311,449
# EnerSys, Inc. 43,239 2,922,092
#* Engility Holdings, Inc. 7,988 348,596
# Ennis, Inc. 48,483 725,306
#* EnPro Industries, Inc. 17,635 1,255,788
ESCO Technologies, Inc. 17,601 588,225
# Espey Manufacturing & Electronics Corp. 1,671 44,449
* Esterline Technologies Corp. 44,968 4,902,411
Exelis, Inc. 73,253 1,358,111
* Federal Signal Corp. 65,358 992,134
FedEx Corp. 142,324 19,391,645
Fortune Brands Home & Security, Inc. 149,626 5,962,596
* Franklin Covey Co. 3,046 61,742
FreightCar America, Inc. 9,404 246,949
* FTI Consulting, Inc. 25,736 882,745
* Furmanite Corp. 31,044 325,341
G&K Services, Inc. Class A 29,714 1,573,059
GATX Corp. 65,445 4,295,155
#* Genco Shipping & Trading, Ltd. 7,630 12,590
* Gencor Industries, Inc. 8,766 91,955
General Cable Corp. 8,357 214,106
General Dynamics Corp. 28,674 3,138,369
General Electric Co. 5,021,489 135,027,839
* Genesee & Wyoming, Inc. Class A 1,200 118,812
* Gibraltar Industries, Inc. 42,111 719,256
* GP Strategies Corp. 18,583 488,361
# Granite Construction, Inc. 27,179 1,015,951
* Great Lakes Dredge & Dock Corp. 69,820 602,547
#* Greenbrier Cos., Inc. (The) 22,451 1,177,330
# Griffon Corp. 67,323 716,317
* H&E Equipment Services, Inc. 59,629 2,298,698
Hardinge, Inc. 19,132 255,604
Harsco Corp. 54,094 1,294,469
* Hawaiian Holdings, Inc. 18,070 261,112
Heidrick & Struggles International, Inc. 18,234 343,711
* Hertz Global Holdings, Inc. 278,411 7,926,361
* Hill International, Inc. 27,154 182,475
* Hudson Global, Inc. 15,880 56,374
Huntington Ingalls Industries, Inc. 47,666 4,909,598
Hurco Cos., Inc. 7,910 210,881
* Huron Consulting Group, Inc. 4,001 284,871
Hyster-Yale Materials Handling, Inc. 12,246 1,180,392
* ICF International, Inc. 31,660 1,233,790
Ingersoll-Rand P.L.C. 213,109 12,743,918
Insteel Industries, Inc. 17,578 361,755
# International Shipholding Corp. 11,354 305,877
# Intersections, Inc. 26,279 147,688
#* JetBlue Airways Corp. 324,893 2,568,279
Kadant, Inc. 5,786 201,064
KAR Auction Services, Inc. 18,100 539,018
KBR, Inc. 3,600 91,332
Kelly Services, Inc. Class A 41,722 878,665
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Industrials -- (Continued)
# Kennametal, Inc. 1,000 $ 46,730
* Key Technology, Inc. 3,199 39,444
Kimball International, Inc. Class B 31,258 523,884
* Korn/Ferry International 33,148 962,949
#* Kratos Defense & Security Solutions, Inc. 2,711 19,573
L-3 Communications Holdings, Inc. 100,470 11,591,224
#* Lawson Products, Inc. 8,847 148,187
#* Layne Christensen Co. 31,561 549,793
LB Foster Co. Class A 6,682 316,393
#* LMI Aerospace, Inc. 13,807 188,328
LS Starrett Co. (The) Class A 4,097 63,995
LSI Industries, Inc. 27,715 210,911
* Lydall, Inc. 14,605 341,903
Manpowergroup, Inc. 22,886 1,861,547
Marten Transport, Ltd. 47,782 1,120,966
# Matson, Inc. 62,316 1,476,266
# McGrath RentCorp 17,552 554,292
* Metalico, Inc. 27,024 41,617
* Mfri, Inc. 8,900 96,921
Miller Industries, Inc. 20,099 389,318
Mobile Mini, Inc. 54,461 2,406,087
* Moog, Inc. Class A 35,339 2,312,938
Mueller Industries, Inc. 30,912 894,593
Mueller Water Products, Inc. Class A 185,957 1,695,928
# Multi-Color Corp. 308 10,734
* MYR Group, Inc. 19,582 459,394
# National Presto Industries, Inc. 571 41,260
* Navigant Consulting, Inc. 12,297 206,590
# NL Industries, Inc. 51,251 514,048
NN, Inc. 18,396 360,010
Norfolk Southern Corp. 545,229 51,540,497
Northrop Grumman Corp. 337,038 40,953,487
* Northwest Pipe Co. 8,801 314,812
#* Ocean Power Technologies, Inc. 8,400 22,680
* On Assignment, Inc. 53,951 1,888,285
* Orbital Sciences Corp. 39,656 1,165,886
* Orion Energy Systems, Inc. 1,043 5,528
Oshkosh Corp. 14,466 803,008
Owens Corning 149,300 6,098,905
* PAM Transportation Services, Inc. 19,428 483,563
Pentair, Ltd. 117,934 8,761,317
* Pike Corp. 22,013 211,325
Powell Industries, Inc. 7,529 476,736
#* PowerSecure International, Inc. 19,459 432,574
# Providence and Worcester Railroad Co. 850 14,824
Quad/Graphics, Inc. 2,390 51,744
# Quanex Building Products Corp. 21,431 403,760
* Quanta Services, Inc. 168,307 5,937,871
Raytheon Co. 96,954 9,257,168
* RCM Technologies, Inc. 20,293 137,587
Regal-Beloit Corp. 16,070 1,200,911
* Republic Airways Holdings, Inc. 48,736 404,996
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Industrials -- (Continued)
Republic Services, Inc. 429,755 $15,080,103
Resources Connection, Inc. 25,955 353,248
#* Roadrunner Transportation Systems, Inc. 879 21,650
RR Donnelley & Sons Co. 19,825 348,920
#* Rush Enterprises, Inc. Class A 32,603 1,046,556
#* Rush Enterprises, Inc. Class B 18,522 523,802
Ryder System, Inc. 89,844 7,383,380
* Saia, Inc. 8,925 367,442
Schawk, Inc. 44,631 892,620
SIFCO Industries, Inc. 6,623 217,566
SkyWest, Inc. 38,506 446,670
* SL Industries, Inc. 300 8,247
Southwest Airlines Co. 645,761 15,608,043
* Sparton Corp. 9,132 248,025
SPX Corp. 12,803 1,303,858
#* Standard Register Co. (The) 6,086 44,184
Standex International Corp. 22,341 1,326,385
Stanley Black & Decker, Inc. 154,919 13,305,993
Steelcase, Inc. Class A 55,469 914,129
#* Sterling Construction Co., Inc. 18,633 143,101
* Supreme Industries, Inc. Class A 1,433 8,125
Sypris Solutions, Inc. 8,460 25,634
# TAL International Group, Inc. 24,053 1,014,556
#* Tecumseh Products Co. Class A 12,600 75,726
* Tecumseh Products Co. Class B 1,400 8,176
Terex Corp. 27,578 1,193,852
#* Tetra Tech, Inc. 45,222 1,296,515
#* Titan Machinery, Inc. 2,883 50,856
#* TRC Cos., Inc. 28,708 170,238
Trinity Industries, Inc. 91,907 6,898,539
Triumph Group, Inc. 57,456 3,723,723
* Tutor Perini Corp. 33,844 1,001,782
# Twin Disc, Inc. 900 26,037
Tyco International, Ltd. 240,619 9,841,317
* Ultralife Corp. 10,710 38,556
UniFirst Corp. 18,705 1,800,169
Union Pacific Corp. 444,064 84,563,108
United Stationers, Inc. 24,021 901,508
# Universal Forest Products, Inc. 31,800 1,605,582
# URS Corp. 84,698 3,990,970
#* USA Truck, Inc. 15,105 251,649
# UTi Worldwide, Inc. 16,157 158,177
* Versar, Inc. 5,526 21,330
Viad Corp. 27,114 624,978
* Virco Manufacturing Corp. 12,601 27,659
# VSE Corp. 305 19,053
Waste Connections, Inc. 2,800 125,048
Watts Water Technologies, Inc. Class A 53,615 2,852,318
# Werner Enterprises, Inc. 34,105 873,088
#* Wesco Aircraft Holdings, Inc. 6,228 126,179
#* WESCO International, Inc. 11,687 1,025,885
* Willdan Group, Inc. 1,000 4,670
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Industrials -- (Continued)
* Willis Lease Finance Corp. 6,713 $ 135,334
#* XPO Logistics, Inc. 12,216 331,542
------------
Total Industrials 684,232,353
------------
Information Technology -- (6.5%)
Activision Blizzard, Inc. 982,162 19,653,062
* Acxiom Corp. 7,769 219,397
* Advanced Energy Industries, Inc. 47,985 1,049,912
* Agilysys, Inc. 16,899 211,913
* Alpha & Omega Semiconductor, Ltd. 419 3,017
* Amtech Systems, Inc. 8,571 73,282
#* ANADIGICS, Inc. 33,721 42,151
* AOL, Inc. 105,592 4,520,394
* ARRIS Group, Inc. 140,787 3,673,133
* Arrow Electronics, Inc. 182,170 10,338,147
Astro-Med, Inc. 6,285 79,002
#* Aviat Networks, Inc. 44,931 67,846
Avnet, Inc. 139,400 6,012,322
AVX Corp. 172,540 2,303,409
#* Aware, Inc. 14,326 79,366
* Axcelis Technologies, Inc. 17,951 32,132
* AXT, Inc. 20,506 44,293
* Bankrate, Inc. 4,453 78,017
Bel Fuse, Inc. Class A 4,174 84,983
Bel Fuse, Inc. Class B 18,286 397,903
* Benchmark Electronics, Inc. 93,903 2,176,672
Black Box Corp. 26,448 562,284
#* Blackhawk Network Holdings, Inc. Class B 25,926 597,076
#* Blucora, Inc. 81,156 1,562,253
* Brocade Communications Systems, Inc. 461,513 4,296,686
Brooks Automation, Inc. 50,847 520,165
* Bsquare Corp. 4,065 13,008
* BTU International, Inc. 1,600 4,688
#* CACI International, Inc. Class A 24,830 1,729,409
#* Calix, Inc. 16,027 141,198
* Cascade Microtech, Inc. 24,071 257,078
* Ceva, Inc. 3,580 58,103
* Checkpoint Systems, Inc. 27,235 347,791
* CIBER, Inc. 85,855 370,894
Cisco Systems, Inc. 117,637 2,718,591
Cohu, Inc. 40,815 420,394
Communications Systems, Inc. 12,612 152,479
Computer Sciences Corp. 205,559 12,164,982
# Comtech Telecommunications Corp. 15,569 494,316
Concurrent Computer Corp. 13,740 115,279
Convergys Corp. 197,364 4,251,221
* CoreLogic, Inc. 96,545 2,706,156
Corning, Inc. 1,201,485 25,123,051
#* Cray, Inc. 12,866 369,383
# CSP, Inc. 2,414 18,298
CTS Corp. 66,936 1,190,791
#* CyberOptics Corp. 9,134 68,688
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Information Technology -- (Continued)
* Datalink Corp. 1,412 $ 18,130
#* Dataram Corp. 1,257 3,369
* Digi International, Inc. 31,089 275,449
* Digital River, Inc. 22,145 338,597
* Diodes, Inc. 4,709 124,176
* DSP Group, Inc. 46,713 371,835
EarthLink Holdings Corp. 83,735 285,536
* EchoStar Corp. Class A 23,551 1,058,853
* Edgewater Technology, Inc. 13,603 96,309
Electro Rent Corp. 40,561 655,060
Electro Scientific Industries, Inc. 36,298 307,807
* Electronics for Imaging, Inc. 58,110 2,195,977
* Emcore Corp. 744 3,594
* Emulex Corp. 52,269 373,723
* Entegris, Inc. 300 3,327
* Entropic Communications, Inc. 3,600 13,284
EPIQ Systems, Inc. 23,453 299,964
* ePlus, Inc. 8,745 437,600
* Euronet Worldwide, Inc. 23,278 1,070,555
#* Exar Corp. 51,341 555,510
* Fabrinet 4,055 87,588
* Fairchild Semiconductor International, Inc. 118,008 1,502,242
Fidelity National Information Services, Inc. 151,857 8,113,720
#* Finisar Corp. 61,526 1,608,905
* First Solar, Inc. 28,266 1,907,672
* FormFactor, Inc. 30,568 175,766
* Frequency Electronics, Inc. 16,953 180,634
* GSE Systems, Inc. 17,638 30,866
#* GSI Technology, Inc. 9,236 58,649
Hackett Group, Inc. (The) 53,321 319,926
* Harmonic, Inc. 35,712 251,055
Hewlett-Packard Co. 443,760 14,670,706
#* Hutchinson Technology, Inc. 22,425 62,341
IAC/InterActiveCorp 125,298 8,304,751
#* ID Systems, Inc. 17,291 97,348
* Identive Group, Inc. 10,175 8,649
#* Imation Corp. 28,996 125,263
* Ingram Micro, Inc. Class A 277,679 7,486,226
* Insight Enterprises, Inc. 42,100 1,099,652
* Integrated Device Technology, Inc. 177,893 2,076,011
* Integrated Silicon Solution, Inc. 42,178 609,894
Intel Corp. 176,618 4,713,934
#* Internap Network Services Corp. 32,386 217,634
* International Rectifier Corp. 79,000 2,057,160
#* Interphase Corp. 2,999 16,345
Intersil Corp. Class A 119,798 1,478,307
* Intevac, Inc. 7,954 64,030
* IntraLinks Holdings, Inc. 3,070 28,090
* IntriCon Corp. 2,835 18,739
#* Itron, Inc. 33,397 1,269,086
IXYS Corp. 3,055 32,963
* Juniper Networks, Inc. 212,100 5,236,749
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Information Technology -- (Continued)
#* Kemet Corp. 2,700 $ 13,527
* Key Tronic Corp. 17,623 184,689
* Kulicke & Soffa Industries, Inc. 71,688 1,054,530
* KVH Industries, Inc. 35,149 474,863
* Lattice Semiconductor Corp. 108,469 913,309
# Leidos Holdings, Inc. 10,850 404,054
# Lexmark International, Inc. Class A 35,849 1,541,507
* Limelight Networks, Inc. 18,463 38,218
* LTX-Credence Corp. 20,165 194,189
# ManTech International Corp. Class A 12,385 369,445
Marchex, Inc. Class B 32,883 304,168
Marvell Technology Group, Ltd. 166,418 2,639,389
#* Maxwell Technologies, Inc. 2,521 37,966
#* Measurement Specialties, Inc. 251 16,152
Mentor Graphics Corp. 35,620 737,334
* Mercury Systems, Inc. 2,055 28,688
Methode Electronics, Inc. 79,272 2,199,005
* Micron Technology, Inc. 758,908 19,822,677
MKS Instruments, Inc. 61,200 1,722,780
#* ModusLink Global Solutions, Inc. 68,955 278,578
#* Nanometrics, Inc. 13,265 215,689
* NCI, Inc. Class A 686 6,839
* NETGEAR, Inc. 428 13,824
* Newport Corp. 64,756 1,209,642
#* Novatel Wireless, Inc. 22,113 40,025
* OmniVision Technologies, Inc. 37,132 725,188
* Oplink Communications, Inc. 38,456 659,136
Optical Cable Corp. 10,793 40,905
* PAR Technology Corp. 22,705 109,665
# Park Electrochemical Corp. 1,642 43,776
PC Connection, Inc. 39,267 785,733
PC-Tel, Inc. 33,870 279,427
* PCM, Inc. 10,471 109,108
Perceptron, Inc. 8,428 99,450
* Pericom Semiconductor Corp. 37,284 300,882
* Photronics, Inc. 79,712 691,900
#* Planar Systems, Inc. 3,449 7,588
* Plexus Corp. 10,626 445,442
* PMC-Sierra, Inc. 102,988 704,438
* Polycom, Inc. 36,977 454,817
* Qualstar Corp. 12,400 18,724
* Qumu Corp. 800 10,760
#* Radisys Corp. 9,762 31,238
#* Rambus, Inc. 1,069 12,924
* RealNetworks, Inc. 30,402 229,231
#* Reis, Inc. 13,511 222,391
# RF Industries, Ltd. 2,823 17,249
# Richardson Electronics, Ltd. 24,525 245,740
* Rofin-Sinar Technologies, Inc. 4,978 110,512
* Rogers Corp. 7,543 452,731
* Rosetta Stone, Inc. 1,466 17,460
* Rovi Corp. 19,000 423,510
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Information Technology -- (Continued)
* Rudolph Technologies, Inc. 45,996 $ 419,024
SanDisk Corp. 13,097 1,112,852
* Sanmina Corp. 39,846 806,881
* ScanSource, Inc. 14,745 566,355
Science Applications International Corp. 6,199 241,761
* Seachange International, Inc. 39,044 365,842
* ShoreTel, Inc. 3,200 24,160
* Sigma Designs, Inc. 11,784 44,426
* Smith Micro Software, Inc. 500 830
#* SMTC Corp. 1,200 1,836
* Sonus Networks, Inc. 33,110 108,270
* Spansion, Inc. Class A 21,173 377,515
* Speed Commerce, Inc. 336 1,109
* SS&C Technologies Holdings, Inc. 25,793 1,003,864
* StarTek, Inc. 27,060 188,067
#* SunEdison, Inc. 154,224 2,965,728
#* SunPower Corp. 18,322 612,321
* Super Micro Computer, Inc. 5,886 119,839
#* support.com, Inc. 25,400 62,738
* Sykes Enterprises, Inc. 20,292 401,579
* SYNNEX Corp. 55,900 3,766,542
* Tech Data Corp. 82,952 5,183,670
* TeleCommunication Systems, Inc. Class A 54,047 137,820
* Telenav, Inc. 9,865 60,472
#* Teradyne, Inc. 26,789 473,362
# Tessco Technologies, Inc. 8,689 285,781
# Tessera Technologies, Inc. 48,635 1,066,566
TheStreet, Inc. 35,273 90,652
* TriQuint Semiconductor, Inc. 59,493 843,611
* TSR, Inc. 550 1,667
#* TTM Technologies, Inc. 62,635 494,190
United Online, Inc. 17,780 210,693
#* Veeco Instruments, Inc. 15,978 590,707
#* Viasystems Group, Inc. 11,376 136,740
* Vicon Industries, Inc. 5,787 16,898
* Video Display Corp. 600 2,082
* Virtusa Corp. 30,064 991,210
# Vishay Intertechnology, Inc. 228,349 3,247,123
* Vishay Precision Group, Inc. 24,277 394,016
* Westell Technologies, Inc. Class A 16,329 53,233
Western Digital Corp. 212,781 18,752,390
Xerox Corp. 1,188,277 14,366,269
* XO Group, Inc. 6,284 66,736
* Yahoo!, Inc. 1,048,770 37,703,281
* Zygo Corp. 18,732 360,404
#* Zynga, Inc. Class A 170,882 692,072
------------
Total Information Technology 324,918,367
------------
Materials -- (3.1%)
A Schulman, Inc. 32,960 1,183,923
Alcoa, Inc. 888,828 11,972,513
# Allegheny Technologies, Inc. 22,777 938,412
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
Materials -- (Continued)
#* AM Castle & Co. 36,370 $ 446,624
Ampco-Pittsburgh Corp. 4,007 80,260
Ashland, Inc. 112,560 10,873,296
# Axiall Corp. 26,423 1,231,312
Bemis Co., Inc. 24,092 969,462
Cabot Corp. 46,280 2,674,984
* Century Aluminum Co. 15,822 217,553
* Chemtura Corp. 49,368 1,100,906
* Clearwater Paper Corp. 16,822 1,032,703
# Cliffs Natural Resources, Inc. 35,738 633,277
* Coeur Mining, Inc. 128,160 1,109,866
Commercial Metals Co. 85,208 1,635,994
* Continental Materials Corp. 100 1,851
* Core Molding Technologies, Inc. 11,847 142,283
Cytec Industries, Inc. 64,700 6,167,204
Domtar Corp. 30,917 2,886,411
Dow Chemical Co. (The) 14,000 698,600
* Ferro Corp. 42,247 548,366
Freeport-McMoRan Copper & Gold, Inc. 147,916 5,083,873
Friedman Industries, Inc. 16,110 138,224
# FutureFuel Corp. 6,104 122,507
* Graphic Packaging Holding Co. 154,000 1,580,040
Greif, Inc. Class A 4,885 264,718
* Headwaters, Inc. 23,663 295,314
# Hecla Mining Co. 203,366 624,334
#* Horsehead Holding Corp. 49,015 764,144
Huntsman Corp. 50,242 1,258,562
International Paper Co. 493,615 23,027,140
# Kaiser Aluminum Corp. 27,181 1,913,542
* KapStone Paper and Packaging Corp. 80,984 2,136,358
* Kraton Performance Polymers, Inc. 5,435 141,582
# Kronos Worldwide, Inc. 4,331 67,780
* Landec Corp. 37,056 439,484
#* Louisiana-Pacific Corp. 173,457 2,842,960
LyondellBasell Industries NV Class A 71,793 6,640,853
Materion Corp. 18,497 622,424
MeadWestvaco Corp. 188,451 7,362,781
* Mercer International, Inc. 21,725 179,883
Minerals Technologies, Inc. 34,280 2,039,317
Myers Industries, Inc. 64,720 1,210,264
Neenah Paper, Inc. 7,684 387,043
* Northern Technologies International Corp. 3,035 64,190
Nucor Corp. 83,945 4,344,154
# Olin Corp. 62,261 1,749,534
Olympic Steel, Inc. 9,986 263,231
# OM Group, Inc. 42,299 1,238,938
#* Penford Corp. 26,122 329,137
PH Glatfelter Co. 50,600 1,291,312
PolyOne Corp. 8,983 336,593
Reliance Steel & Aluminum Co. 93,801 6,642,987
* Resolute Forest Products, Inc. 1,817 32,415
Rock-Tenn Co. Class A 26,305 2,515,021
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
Materials -- (Continued)
* RTI International Metals, Inc. 50,032 $ 1,408,901
# Schnitzer Steel Industries, Inc. Class A 14,397 404,124
Sealed Air Corp. 46,499 1,595,381
Sensient Technologies Corp. 38,101 2,059,359
Steel Dynamics, Inc. 94,919 1,734,170
* Stillwater Mining Co. 59,549 939,683
* SunCoke Energy, Inc. 62,210 1,298,323
# Synalloy Corp. 5,144 79,732
#* Texas Industries, Inc. 33,762 2,927,165
Tredegar Corp. 40,177 836,083
Tronox, Ltd. Class A 1,600 39,200
#* Universal Stainless & Alloy Products, Inc. 9,093 326,348
Vulcan Materials Co. 58,246 3,758,614
# Wausau Paper Corp. 13,070 156,317
Westlake Chemical Corp. 158,152 11,260,422
Worthington Industries, Inc. 47,320 1,741,376
------------
Total Materials 155,061,637
------------
Other -- (0.0%)
(o)* Gerber Scientific, Inc. Escrow Shares 47,409 --
(o)* Petrocorp, Inc. Escrow Shares 900 --
------------
Total Other --
------------
Real Estate Investment Trusts -- (0.0%)
Geo Group, Inc. (The) 5,052 169,393
------------
Telecommunication Services -- (4.3%)
AT&T, Inc. 4,065,906 145,152,844
Atlantic Tele-Network, Inc. 84 4,970
* Cbeyond, Inc. 11,274 111,500
# CenturyLink, Inc. 510,163 17,809,790
# Frontier Communications Corp. 696,949 4,146,847
* General Communication, Inc. Class A 45,867 478,851
#* Iridium Communications, Inc. 14,800 98,716
Lumos Networks Corp. 500 6,605
* ORBCOMM, Inc. 44,499 279,009
* Premiere Global Services, Inc. 2,000 25,440
# Shenandoah Telecommunications Co. 3,026 84,819
#* Sprint Corp. 824,326 7,006,771
T-Mobile US, Inc. 113,786 3,332,792
Telephone & Data Systems, Inc. 154,629 4,204,362
# United States Cellular Corp. 33,568 1,394,415
USA Mobility, Inc. 12,522 214,502
Verizon Communications, Inc. 644,888 30,135,616
* Vonage Holdings Corp. 85,934 329,987
------------
Total Telecommunication Services 214,817,836
------------
Utilities -- (0.3%)
* Calpine Corp. 62,921 1,442,778
# Consolidated Water Co., Ltd. 6,656 77,343
* Genie Energy, Ltd. Class B 5,000 40,500
NRG Energy, Inc. 367,799 12,034,383
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
Utilities -- (Continued)
Ormat Technologies, Inc. 20,134 $ 537,175
# SJW Corp. 6,569 178,874
UGI Corp. 52,659 2,458,649
--------------
Total Utilities 16,769,702
--------------
TOTAL COMMON STOCKS 4,778,992,761
--------------
RIGHTS/WARRANTS -- (0.0%)
(o)* Leap Wireless International, Inc. Contingent Value
Rights 8,393 21,150
(o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 8,220 --
--------------
TOTAL RIGHTS/WARRANTS 21,150
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional Liquid Reserves, 0.074% 11,873,516 11,873,516
--------------
SHARES/
FACE
AMOUNT
(000)
----------
SECURITIES LENDING COLLATERAL -- (4.6%)
(S)@ DFA Short Term Investment Fund 19,872,417 229,923,863
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $2,914,575,678) $5,020,811,290
==============
THE TAX-MANAGED U.S. MARKETWIDE 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 $ 848,874,230 -- -- $ 848,874,230
Consumer Staples 350,824,095 -- -- 350,824,095
Energy 815,604,250 -- -- 815,604,250
Financials 892,527,152 $ 6,576 -- 892,533,728
Health Care 475,127,397 59,773 -- 475,187,170
Industrials 684,232,141 212 -- 684,232,353
Information Technology 324,918,367 -- -- 324,918,367
Materials 155,061,637 -- -- 155,061,637
Other -- -- -- --
Real Estate Investment Trusts 169,393 -- -- 169,393
Telecommunication Services 214,817,836 -- -- 214,817,836
Utilities 16,769,702 -- -- 16,769,702
Rights/Warrants -- 21,150 -- 21,150
Temporary Cash Investments 11,873,516 -- -- 11,873,516
Securities Lending Collateral -- 229,923,863 -- 229,923,863
-------------- ------------ -- --------------
TOTAL $4,790,799,716 $230,011,574 -- $5,020,811,290
============== ============ == ==============
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10.SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11.CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this
Form N-CSR (the "Report"), the Registrant's Principal Executive
Officer and Principal Financial Officer believe that the disclosure
controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended) are effectively designed
to ensure that information required to be disclosed by the Registrant
in the Report is recorded, processed, summarized and reported by the
filing date, including ensuring that information required to be
disclosed in the Report is accumulated and communicated to the
Registrant's officers that are making certifications in the Report,
as appropriate, to allow timely decisions regarding required
disclosure. The Registrant's management, including the Principal
Executive Officer and the Principal Financial Officer, recognizes
that any set of controls and procedures, no matter how well designed
and operated, can provide only reasonable assurance of achieving the
desired control objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the second
fiscal quarter of the period covered by this Report that have
materially affected, or are reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEM 12.EXHIBITS.
(a)(1) This item is not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Investment Group Inc.
By: /s/ David G. Booth
---------------------------------
David G. Booth
Chairman, Director, President and
Co-Chief Executive Officer
Date: July 1, 2014
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ David G. Booth
---------------------------------
David G. Booth
Principal Executive Officer
Dimensional Investment Group Inc.
Date: July 1, 2014
By: /s/ David R. Martin
---------------------------------
David R. Martin
Principal Financial Officer
Dimensional Investment Group Inc.
Date: July 1, 2014