================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7436
--------------------------------------
THE DFA INVESTMENT TRUST COMPANY
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
6300 Bee Cave Road, Building One, Austin, TX 78746
--------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
The DFA Investment Trust Company,
6300 Bee Cave Road, Building One, Austin, TX 78746
--------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 512-306-7400
Date of fiscal year end: October 31
Date of reporting period: October 31, 2015
================================================================================
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO]
ANNUAL REPORT
year ended: October 31, 2015
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL EMERGING MARKETS VALUE FUND
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
November 2015
Dear Fellow Shareholder,
Dimensional is built around a set of ideas that are bigger than our firm. Our
point of view about market efficiency, our commitment to research, and our
focus on implementation form the basis of our approach. We are fortunate to
have found clients who are drawn to these ideas and the consistency we have
shown to these principles over time.
Combining insights gained from research with effective implementation has been
central to Dimensional's approach since our founding and will continue to be
our focus.
Sincerely,
/s/ David G. Booth
David G. Booth
Chairman and Co-Chief Executive Officer
ANNUAL REPORT
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes........................... 1
DFA Investment Dimensions Group Inc.
Performance Charts................................................ 2
Management's Discussion and Analysis.............................. 19
Disclosure of Fund Expenses....................................... 31
Disclosure of Portfolio Holdings.................................. 36
Schedules of Investments/Summary Schedules of Portfolio Holdings
Enhanced U.S. Large Company Portfolio......................... 39
U.S. Large Cap Equity Portfolio............................... 41
U.S. Large Cap Value Portfolio................................ 44
U.S. Targeted Value Portfolio................................. 45
U.S. Small Cap Value Portfolio................................ 48
U.S. Core Equity 1 Portfolio.................................. 51
U.S. Core Equity 2 Portfolio.................................. 54
U.S. Vector Equity Portfolio.................................. 57
U.S. Small Cap Portfolio...................................... 60
U.S. Micro Cap Portfolio...................................... 63
DFA Real Estate Securities Portfolio.......................... 66
Large Cap International Portfolio............................. 68
International Core Equity Portfolio........................... 72
International Small Company Portfolio......................... 76
Japanese Small Company Portfolio.............................. 77
Asia Pacific Small Company Portfolio.......................... 77
United Kingdom Small Company Portfolio........................ 78
Continental Small Company Portfolio........................... 78
DFA International Real Estate Securities Portfolio............ 79
DFA Global Real Estate Securities Portfolio................... 82
DFA International Small Cap Value Portfolio................... 84
International Vector Equity Portfolio......................... 88
World ex U.S. Value Portfolio................................. 92
World ex U.S. Targeted Value Portfolio........................ 93
World ex U.S. Core Equity Portfolio........................... 98
World Core Equity Portfolio................................... 104
Selectively Hedged Global Equity Portfolio.................... 105
Emerging Markets Portfolio.................................... 106
Emerging Markets Small Cap Portfolio.......................... 106
Emerging Markets Value Portfolio.............................. 106
Emerging Markets Core Equity Portfolio........................ 107
Statements of Assets and Liabilities.............................. 111
Statements of Operations.......................................... 118
Statements of Changes in Net Assets............................... 125
Financial Highlights.............................................. 135
Notes to Financial Statements..................................... 154
Report of Independent Registered Public Accounting Firm........... 184
Results of the Shareholder Meeting................................ 185
i
TABLE OF CONTENTS
CONTINUED
Page
----
DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio
Performance Charts................................................... 208
Management's Discussion and Analysis................................. 209
Consolidated Disclosure of Fund Expenses............................. 210
Consolidated Disclosure of Portfolio Holdings........................ 211
Consolidated Schedule of Investments................................. 212
Consolidated Statement of Assets and Liabilities..................... 217
Consolidated Statement of Operations................................. 218
Consolidated Statements of Changes in Net Assets..................... 219
Consolidated Financial Highlights.................................... 220
Consolidated Notes to Financial Statements........................... 221
Report of Independent Registered Public Accounting Firm.............. 233
Results of the Shareholder Meeting................................... 234
Dimensional Investment Group Inc.
Performance Charts................................................... 235
Management's Discussion and Analysis................................. 237
Disclosure of Fund Expenses.......................................... 240
Disclosure of Portfolio Holdings..................................... 242
Schedule of Investments/Summary Schedule of Portfolio Holdings
DFA International Value Portfolio................................ 243
U.S. Large Company Portfolio..................................... 244
Statements of Assets and Liabilities................................. 247
Statements of Operations............................................. 248
Statements of Changes in Net Assets.................................. 249
Financial Highlights................................................. 250
Notes to Financial Statements........................................ 252
Report of Independent Registered Public Accounting Firm.............. 262
Results of the Shareholder Meeting................................... 263
The DFA Investment Trust Company
Performance Charts................................................... 266
Management's Discussion and Analysis................................. 271
Disclosure of Fund Expenses.......................................... 276
Disclosure of Portfolio Holdings..................................... 278
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series.................................. 280
The DFA International Value Series............................... 283
The Japanese Small Company Series................................ 287
The Asia Pacific Small Company Series............................ 290
The United Kingdom Small Company Series.......................... 292
The Continental Small Company Series............................. 295
The Canadian Small Company Series................................ 299
The Emerging Markets Series...................................... 302
The Emerging Markets Small Cap Series............................ 306
Statements of Assets and Liabilities................................. 310
Statements of Operations............................................. 312
Statements of Changes in Net Assets.................................. 314
Financial Highlights................................................. 317
Notes to Financial Statements........................................ 322
Report of Independent Registered Public Accounting Firm.............. 333
Results of the Shareholder Meeting................................... 334
ii
TABLE OF CONTENTS
CONTINUED
Page
----
Dimensional Emerging Markets Value Fund
Performance Charts...................................... 340
Management's Discussion and Analysis.................... 341
Disclosure of Fund Expenses............................. 342
Disclosure of Portfolio Holdings........................ 343
Summary Schedule of Portfolio Holdings.................. 344
Statement of Assets and Liabilities..................... 348
Statement of Operations................................. 349
Statements of Changes in Net Assets..................... 350
Financial Highlights.................................... 351
Notes to Financial Statements........................... 352
Report of Independent Registered Public Accounting Firm. 358
Results of the Shareholder Meeting...................... 359
Fund Management............................................ 360
Voting Proxies on Fund Portfolio Securities................ 373
Notice to Shareholders..................................... 374
This report is submitted for the information of the Funds' shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
iii
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL EMERGING MARKETS VALUE FUND
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
Schedules of Investments/Summary Schedules of Portfolio Holdings
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
USD United States Dollars
Investment Footnotes
+ See Note B to Financial Statements.
++ Securities that have generally been fair value factored. 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 in unaffiliated issues 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
SEC Securities and Exchange Commission
(a) Commencement of Operations.
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
ENHANCED U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500(R) INDEX
October 31, 2005-October 31, 2015
[CHART]
Enhanced U.S. Large Company
Portfolio S&P 500/R/ Index
--------------------------------- ------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,381 10,378
12/1/2005 10,381 10,382
1/1/2006 10,660 10,657
2/1/2006 10,660 10,686
3/1/2006 10,794 10,819
4/1/2006 10,923 10,964
5/1/2006 10,600 10,648
6/1/2006 10,611 10,663
7/1/2006 10,675 10,729
8/1/2006 10,923 10,984
9/1/2006 11,203 11,267
10/1/2006 11,558 11,634
11/1/2006 11,784 11,855
12/1/2006 11,941 12,022
1/1/2007 12,111 12,204
2/1/2007 11,873 11,965
3/1/2007 12,009 12,099
4/1/2007 12,529 12,635
5/1/2007 12,958 13,076
6/1/2007 12,732 12,858
7/1/2007 12,348 12,460
8/1/2007 12,517 12,646
9/1/2007 12,983 13,119
10/1/2007 13,191 13,328
11/1/2007 12,636 12,771
12/1/2007 12,546 12,682
1/1/2008 11,760 11,921
2/1/2008 11,379 11,534
3/1/2008 11,328 11,484
4/1/2008 11,861 12,043
5/1/2008 12,026 12,200
6/1/2008 11,005 11,172
7/1/2008 10,915 11,078
8/1/2008 11,082 11,238
9/1/2008 10,061 10,236
10/1/2008 8,346 8,517
11/1/2008 7,778 7,906
12/1/2008 7,869 7,990
1/1/2009 7,210 7,317
2/1/2009 6,422 6,538
3/1/2009 7,006 7,110
4/1/2009 7,697 7,791
5/1/2009 8,157 8,227
6/1/2009 8,186 8,243
7/1/2009 8,834 8,866
8/1/2009 9,179 9,186
9/1/2009 9,540 9,529
10/1/2009 9,366 9,352
11/1/2009 9,959 9,913
12/1/2009 10,130 10,105
1/1/2010 9,782 9,741
2/1/2010 10,101 10,043
3/1/2010 10,696 10,649
4/1/2010 10,870 10,817
5/1/2010 10,014 9,953
6/1/2010 9,499 9,432
7/1/2010 10,169 10,093
8/1/2010 9,718 9,638
9/1/2010 10,587 10,498
10/1/2010 10,996 10,897
11/1/2010 10,981 10,898
12/1/2010 11,716 11,627
1/1/2011 12,009 11,902
2/1/2011 12,404 12,310
3/1/2011 12,404 12,315
4/1/2011 12,798 12,680
5/1/2011 12,681 12,536
6/1/2011 12,462 12,327
7/1/2011 12,228 12,077
8/1/2011 11,555 11,421
9/1/2011 10,736 10,618
10/1/2011 11,921 11,778
11/1/2011 11,848 11,752
12/1/2011 11,980 11,872
1/1/2012 12,542 12,404
2/1/2012 13,089 12,941
3/1/2012 13,533 13,367
4/1/2012 13,459 13,283
5/1/2012 12,645 12,484
6/1/2012 13,176 12,999
7/1/2012 13,399 13,179
8/1/2012 13,710 13,476
9/1/2012 14,062 13,825
10/1/2012 13,809 13,569
11/1/2012 13,899 13,648
12/1/2012 14,012 13,772
1/1/2013 14,730 14,486
2/1/2013 14,939 14,682
3/1/2013 15,492 15,233
4/1/2013 15,792 15,526
5/1/2013 16,150 15,890
6/1/2013 15,903 15,676
7/1/2013 16,742 16,474
8/1/2013 16,248 15,997
9/1/2013 16,757 16,498
10/1/2013 17,537 17,257
11/1/2013 18,076 17,783
12/1/2013 18,511 18,233
1/1/2014 17,896 17,603
2/1/2014 18,706 18,408
3/1/2014 18,851 18,563
4/1/2014 19,001 18,700
5/1/2014 19,467 19,139
6/1/2014 19,841 19,534
7/1/2014 19,555 19,265
8/1/2014 20,353 20,035
9/1/2014 20,052 19,754
10/1/2014 20,549 20,237
11/1/2014 21,136 20,781
12/1/2014 21,019 20,729
1/1/2015 20,450 20,107
2/1/2015 21,587 21,262
3/1/2015 21,277 20,926
4/1/2015 21,467 21,127
5/1/2015 21,760 21,398
6/1/2015 21,300 20,984
7/1/2015 21,766 21,424
8/1/2015 20,403 20,131 Past performance is not predictive of
9/1/2015 19,920 19,633 future performance.
10/1/2015 21,628 21,289 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
----------------------------------------------------------- The S&P data are provided by Standard
5.25% 14.49% 8.02% & Poor's Index Services Group.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. LARGE CAP EQUITY PORTFOLIO VS.
RUSSELL 1000(R) INDEX
June 25, 2013-October 31, 2015
[CHART]
U.S. Large Cap
Equity Portfolio Russell 1000/R/ Index
----------------- ---------------------
6/1/2013 $10,000 $10,000
6/1/2013 10,020 10,130
7/1/2013 10,550 10,672
8/1/2013 10,270 10,378
9/1/2013 10,630 10,740
10/1/2013 11,101 11,213
11/1/2013 11,452 11,527
12/1/2013 11,757 11,838
1/1/2014 11,333 11,460
2/1/2014 11,878 12,004
3/1/2014 11,985 12,080
4/1/2014 12,046 12,137
5/1/2014 12,319 12,416
6/1/2014 12,623 12,699
7/1/2014 12,410 12,493
8/1/2014 12,928 13,010
9/1/2014 12,654 12,781
10/1/2014 12,899 13,094
11/1/2014 13,205 13,437
12/1/2014 13,175 13,405
1/1/2015 12,775 13,037
2/1/2015 13,555 13,790
3/1/2015 13,391 13,619
4/1/2015 13,463 13,715
5/1/2015 13,659 13,895
6/1/2015 13,399 13,634
7/1/2015 13,564 13,897 Past performance is not predictive of
8/1/2015 12,768 13,061 future performance.
9/1/2015 12,374 12,703 The returns shown do not reflect the
10/1/2015 13,350 13,731 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Since redemption of fund shares.
Total Return Year Inception Russell data copyright (C) Russell
--------------------------------------------------- Investment Group 1995-2015, all rights
3.49% 13.08% reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO VS.
RUSSELL 1000(R) VALUE INDEX
October 31, 2005-October 31, 2015
[CHART]
U.S. Large Cap Value Portfolio Russell 1000/R/ Value Index
------------------------------- ---------------------------
10/31/2005 $10,000 $10,000
11/30/2005 10,398 10,327
12/31/2005 10,411 10,389
1/31/2006 10,904 10,792
2/28/2006 10,866 10,858
3/31/2006 11,057 11,005
4/30/2006 11,369 11,285
5/31/2006 11,158 11,000
6/30/2006 11,255 11,070
7/31/2006 11,091 11,339
8/31/2006 11,269 11,529
9/30/2006 11,581 11,759
10/31/2006 12,039 12,144
11/30/2006 12,266 12,421
12/31/2006 12,513 12,700
1/31/2007 12,875 12,862
2/28/2007 12,681 12,662
3/31/2007 12,764 12,857
4/30/2007 13,306 13,332
5/31/2007 13,852 13,813
6/30/2007 13,627 13,491
7/31/2007 12,780 12,867
8/31/2007 12,536 13,011
9/30/2007 12,860 13,458
10/31/2007 12,930 13,459
11/30/2007 12,206 12,801
12/31/2007 12,167 12,678
1/31/2008 11,700 12,170
2/29/2008 11,338 11,660
3/31/2008 11,232 11,573
4/30/2008 11,937 12,137
5/31/2008 12,221 12,117
6/30/2008 10,882 10,957
7/31/2008 10,760 10,918
8/31/2008 10,971 11,104
9/30/2008 9,985 10,288
10/31/2008 7,735 8,507
11/30/2008 6,976 7,897
12/31/2008 7,203 8,006
1/31/2009 6,349 7,086
2/28/2009 5,457 6,139
3/31/2009 5,994 6,664
4/30/2009 6,964 7,378
5/31/2009 7,498 7,834
6/30/2009 7,407 7,777
7/31/2009 8,105 8,413
8/31/2009 8,656 8,853
9/30/2009 9,033 9,195
10/31/2009 8,645 8,914
11/30/2009 9,131 9,416
12/31/2009 9,377 9,583
1/31/2010 9,157 9,313
2/28/2010 9,553 9,607
3/31/2010 10,298 10,233
4/30/2010 10,623 10,498
5/31/2010 9,714 9,635
6/30/2010 8,980 9,092
7/31/2010 9,682 9,708
8/31/2010 9,090 9,292
9/30/2010 9,981 10,013
10/31/2010 10,349 10,314
11/30/2010 10,271 10,259
12/31/2010 11,269 11,069
1/31/2011 11,633 11,319
2/28/2011 12,260 11,737
3/31/2011 12,316 11,783
4/30/2011 12,625 12,097
5/31/2011 12,445 11,969
6/30/2011 12,219 11,724
7/31/2011 11,661 11,335
8/31/2011 10,675 10,628
9/30/2011 9,596 9,824
10/31/2011 10,921 10,949
11/30/2011 10,830 10,893
12/31/2011 10,916 11,112
1/31/2012 11,457 11,532
2/29/2012 12,119 11,992
3/31/2012 12,341 12,348
4/30/2012 12,083 12,222
5/31/2012 11,225 11,505
6/30/2012 11,828 12,076
7/31/2012 11,943 12,201
8/31/2012 12,414 12,466
9/30/2012 12,867 12,862
10/31/2012 12,902 12,799
11/30/2012 12,931 12,793
12/31/2012 13,323 13,058
1/31/2013 14,248 13,906
2/28/2013 14,428 14,106
3/31/2013 15,121 14,665
4/30/2013 15,273 14,886
5/31/2013 15,903 15,269
6/30/2013 15,720 15,134
7/31/2013 16,663 15,951
8/31/2013 16,165 15,346
9/30/2013 16,643 15,730
10/31/2013 17,484 16,419
11/30/2013 18,214 16,877
12/31/2013 18,695 17,305
1/31/2014 17,956 16,690
2/28/2014 18,559 17,412
3/31/2014 18,994 17,828
4/30/2014 19,118 17,997
5/31/2014 19,533 18,261
6/30/2014 20,066 18,738
7/31/2014 19,917 18,418
8/31/2014 20,548 19,095
9/30/2014 20,036 18,701
10/31/2014 20,192 19,122
11/30/2014 20,425 19,513
12/31/2014 20,576 19,633
1/31/2015 19,553 18,848
2/28/2015 20,933 19,760
3/31/2015 20,532 19,491
4/30/2015 20,951 19,673
5/31/2015 21,176 19,910
6/30/2015 20,833 19,512 Past performance is not predictive of
7/31/2015 20,779 19,598 future performance.
8/31/2015 19,515 18,430 The returns shown do not reflect the
9/30/2015 18,884 17,874 deduction of taxes that a shareholder
10/31/2015 20,425 19,223 would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
-------------------------------------------------------------- Investment Group 1995-2015, all rights
1.16% 14.57% 7.40% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- CLASS R1 VS.
RUSSELL 2000(R) VALUE INDEX
January 31, 2008-October 31, 2015
[CHART]
U.S. Targeted
Value Portfolio - Class R1 Russell 2000/R/ Value Index
-------------------------- ---------------------------
1/31/2008 $10,000 $10,000
2/29/2008 9,750 9,603
3/31/2008 9,821 9,747
4/30/2008 10,152 10,056
5/31/2008 10,613 10,400
6/30/2008 9,538 9,402
7/31/2008 9,790 9,884
8/31/2008 10,233 10,353
9/30/2008 9,575 9,868
10/31/2008 7,504 7,897
11/30/2008 6,525 6,982
12/31/2008 6,946 7,412
1/31/2009 5,999 6,353
2/28/2009 5,204 5,471
3/31/2009 5,777 5,956
4/30/2009 6,902 6,901
5/31/2009 7,137 7,051
6/30/2009 7,107 7,028
7/31/2009 7,959 7,841
8/31/2009 8,379 8,212
9/30/2009 8,844 8,624
10/31/2009 8,207 8,051
11/30/2009 8,484 8,308
12/31/2009 9,150 8,937
1/31/2010 8,943 8,675
2/28/2010 9,449 9,077
3/31/2010 10,229 9,832
4/30/2010 10,973 10,520
5/31/2010 9,981 9,631
6/30/2010 9,031 8,790
7/31/2010 9,735 9,418
8/31/2010 8,948 8,710
9/30/2010 10,044 9,645
10/31/2010 10,417 10,019
11/30/2010 10,840 10,273
12/31/2010 11,805 11,127
1/31/2011 11,883 11,133
2/28/2011 12,550 11,698
3/31/2011 12,792 11,861
4/30/2011 12,998 12,053
5/31/2011 12,678 11,837
6/30/2011 12,397 11,546
7/31/2011 11,964 11,165
8/31/2011 10,763 10,178
9/30/2011 9,425 9,067
10/31/2011 10,905 10,373
11/30/2011 10,941 10,353
12/31/2011 11,049 10,515
1/31/2012 11,719 11,214
2/29/2012 12,144 11,380
3/31/2012 12,369 11,733
4/30/2012 12,168 11,564
5/31/2012 11,260 10,857
6/30/2012 11,715 11,380
7/31/2012 11,657 11,264
8/31/2012 12,192 11,612
9/30/2012 12,577 12,025
10/31/2012 12,505 11,874
11/30/2012 12,715 11,911
12/31/2012 13,155 12,413
1/31/2013 14,059 13,152
2/28/2013 14,291 13,303
3/31/2013 14,987 13,856
4/30/2013 14,840 13,843
5/31/2013 15,567 14,257
6/30/2013 15,460 14,199
7/31/2013 16,545 15,111
8/31/2013 15,941 14,443
9/30/2013 16,826 15,277
10/31/2013 17,555 15,773
11/30/2013 18,331 16,389
12/31/2013 18,804 16,698
1/31/2014 17,913 16,052
2/28/2014 18,845 16,787
3/31/2014 19,217 16,994
4/30/2014 18,862 16,557
5/31/2014 19,044 16,662
6/30/2014 19,852 17,399
7/31/2014 18,859 16,347
8/31/2014 19,819 17,058
9/30/2014 18,629 15,907
10/31/2014 19,217 17,018
11/30/2014 19,110 16,939
12/31/2014 19,348 17,402
1/31/2015 18,502 16,678
2/28/2015 19,828 17,452
3/31/2015 20,100 17,747
4/30/2015 19,891 17,367
5/31/2015 20,179 17,511
6/30/2015 20,105 17,534 Past performance is not predictive of
7/31/2015 19,580 17,051 future performance.
8/31/2015 18,783 16,213 The returns shown do not reflect the
9/30/2015 17,863 15,652 deduction of taxes that a shareholder
10/31/2015 18,962 16,528 would pay on fund distributions or the
Average Annual One Five Since redemption of fund shares.
Total Return Year Years Inception Russell data copyright (C) Russell
-------------------------------------------------------------- Investment Group 1995-2015, all rights
-1.33% 12.73% 8.61% reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- CLASS R2 VS.
RUSSELL 2000(R) VALUE INDEX
June 30, 2008-October 31, 2015
[CHART]
U.S. Targeted Value
Portfolio - Class R2 Russell 2000/R/ Value Index
------------------------ ---------------------------
6/1/2008 $10,000 $10,000
7/1/2008 10,260 10,513
8/1/2008 10,720 11,012
9/1/2008 10,038 10,496
10/1/2008 7,860 8,399
11/1/2008 6,836 7,427
12/1/2008 7,274 7,883
1/1/2009 6,272 6,757
2/1/2009 5,443 5,819
3/1/2009 6,038 6,335
4/1/2009 7,216 7,341
5/1/2009 7,459 7,499
6/1/2009 7,436 7,476
7/1/2009 8,321 8,340
8/1/2009 8,768 8,735
9/1/2009 9,248 9,173
10/1/2009 8,585 8,564
11/1/2009 8,871 8,836
12/1/2009 9,568 9,506
1/1/2010 9,343 9,227
2/1/2010 9,865 9,655
3/1/2010 10,685 10,458
4/1/2010 11,453 11,190
5/1/2010 10,419 10,244
6/1/2010 9,434 9,350
7/1/2010 10,161 10,017
8/1/2010 9,341 9,264
9/1/2010 10,484 10,259
10/1/2010 10,874 10,656
11/1/2010 11,306 10,927
12/1/2010 12,308 11,835
1/1/2011 12,396 11,841
2/1/2011 13,085 12,443
3/1/2011 13,336 12,615
4/1/2011 13,544 12,820
5/1/2011 13,211 12,591
6/1/2011 12,926 12,281
7/1/2011 12,466 11,875
8/1/2011 11,214 10,826
9/1/2011 9,820 9,644
10/1/2011 11,364 11,034
11/1/2011 11,401 11,011
12/1/2011 11,510 11,184
1/1/2012 12,209 11,927
2/1/2012 12,644 12,105
3/1/2012 12,877 12,480
4/1/2012 12,667 12,299
5/1/2012 11,721 11,548
6/1/2012 12,189 12,105
7/1/2012 12,129 11,981
8/1/2012 12,686 12,351
9/1/2012 13,082 12,791
10/1/2012 13,007 12,630
11/1/2012 13,225 12,669
12/1/2012 13,677 13,203
1/1/2013 14,611 13,989
2/1/2013 14,861 14,149
3/1/2013 15,577 14,738
4/1/2013 15,424 14,724
5/1/2013 16,181 15,164
6/1/2013 16,064 15,102
7/1/2013 17,185 16,073
8/1/2013 16,548 15,362
9/1/2013 17,472 16,249
10/1/2013 18,223 16,777
11/1/2013 19,022 17,432
12/1/2013 19,515 17,760
1/1/2014 18,587 17,073
2/1/2014 19,549 17,855
3/1/2014 19,932 18,076
4/1/2014 19,563 17,611
5/1/2014 19,752 17,723
6/1/2014 20,586 18,507
7/1/2014 19,553 17,387
8/1/2014 20,551 18,143
9/1/2014 19,315 16,919
10/1/2014 19,918 18,101
11/1/2014 19,798 18,017
12/1/2014 20,051 18,509
1/1/2015 19,171 17,739
2/1/2015 20,540 18,563
3/1/2015 20,817 18,876
4/1/2015 20,600 18,473
5/1/2015 20,890 18,626
6/1/2015 20,816 18,650
7/1/2015 20,271 18,136 Past performance is not predictive of
8/1/2015 19,443 17,245 future performance.
9/1/2015 18,490 16,648 The returns shown do not reflect the
10/1/2015 19,621 17,580 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Since redemption of fund shares.
Total Return Year Years Inception Russell data copyright (C) Russell
---------------------------------------------------------------- Investment Group 1995-2015, all rights
-1.49% 12.53% 9.62% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
RUSSELL 2000(R) VALUE INDEX
October 31, 2005-October 31, 2015
[CHART]
U.S. Targeted Value
Portfolio - Institutional Class Russell 2000/R/ Value Index
--------------------------------- ---------------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,465 10,406
12/1/2005 10,509 10,326
1/1/2006 11,353 11,180
2/1/2006 11,233 11,179
3/1/2006 11,698 11,720
4/1/2006 11,851 11,752
5/1/2006 11,439 11,265
6/1/2006 11,504 11,403
7/1/2006 11,150 11,245
8/1/2006 11,404 11,581
9/1/2006 11,520 11,694
10/1/2006 12,089 12,290
11/1/2006 12,503 12,640
12/1/2006 12,579 12,750
1/1/2007 12,842 12,941
2/1/2007 12,776 12,782
3/1/2007 12,874 12,937
4/1/2007 13,137 13,071
5/1/2007 13,706 13,550
6/1/2007 13,525 13,234
7/1/2007 12,545 12,108
8/1/2007 12,508 12,350
9/1/2007 12,546 12,406
10/1/2007 12,575 12,541
11/1/2007 11,679 11,602
12/1/2007 11,549 11,504
1/1/2008 10,997 11,032
2/1/2008 10,717 10,593
3/1/2008 10,808 10,753
4/1/2008 11,165 11,093
5/1/2008 11,680 11,472
6/1/2008 10,499 10,372
7/1/2008 10,772 10,903
8/1/2008 11,258 11,421
9/1/2008 10,546 10,886
10/1/2008 8,260 8,711
11/1/2008 7,185 7,702
12/1/2008 7,648 8,176
1/1/2009 6,597 7,008
2/1/2009 5,730 6,035
3/1/2009 6,355 6,571
4/1/2009 7,594 7,613
5/1/2009 7,855 7,778
6/1/2009 7,828 7,753
7/1/2009 8,761 8,650
8/1/2009 9,232 9,059
9/1/2009 9,745 9,514
10/1/2009 9,042 8,882
11/1/2009 9,343 9,165
12/1/2009 10,085 9,859
1/1/2010 9,853 9,570
2/1/2010 10,403 10,013
3/1/2010 11,269 10,846
4/1/2010 12,083 11,605
5/1/2010 10,998 10,625
6/1/2010 9,953 9,697
7/1/2010 10,729 10,389
8/1/2010 9,859 9,608
9/1/2010 11,072 10,640
10/1/2010 11,484 11,052
11/1/2010 11,943 11,333
12/1/2010 13,011 12,274
1/1/2011 13,097 12,281
2/1/2011 13,841 12,905
3/1/2011 14,107 13,084
4/1/2011 14,326 13,297
5/1/2011 13,974 13,058
6/1/2011 13,673 12,737
7/1/2011 13,195 12,316
8/1/2011 11,871 11,228
9/1/2011 10,397 10,002
10/1/2011 12,031 11,443
11/1/2011 12,070 11,421
12/1/2011 12,193 11,599
1/1/2012 12,932 12,370
2/1/2012 13,401 12,554
3/1/2012 13,653 12,944
4/1/2012 13,430 12,756
5/1/2012 12,428 11,977
6/1/2012 12,934 12,554
7/1/2012 12,870 12,426
8/1/2012 13,461 12,809
9/1/2012 13,889 13,266
10/1/2012 13,809 13,099
11/1/2012 14,041 13,139
12/1/2012 14,532 13,693
1/1/2013 15,523 14,509
2/1/2013 15,788 14,675
3/1/2013 16,557 15,286
4/1/2013 16,395 15,271
5/1/2013 17,206 15,727
6/1/2013 17,083 15,663
7/1/2013 18,282 16,670
8/1/2013 17,606 15,933
9/1/2013 18,590 16,853
10/1/2013 19,388 17,400
11/1/2013 20,254 18,079
12/1/2013 20,785 18,420
1/1/2014 19,799 17,708
2/1/2014 20,821 18,518
3/1/2014 21,236 18,747
4/1/2014 20,852 18,265
5/1/2014 21,053 18,381
6/1/2014 21,943 19,194
7/1/2014 20,854 18,033
8/1/2014 21,916 18,817
9/1/2014 20,604 17,548
10/1/2014 21,246 18,774
11/1/2014 21,136 18,686
12/1/2014 21,396 19,197
1/1/2015 20,469 18,398
2/1/2015 21,937 19,252
3/1/2015 22,233 19,577
4/1/2015 22,011 19,159
5/1/2015 22,330 19,318
6/1/2015 22,244 19,343
7/1/2015 21,672 18,809 Past performance is not predictive of
8/1/2015 20,788 17,886 future performance.
9/1/2015 19,775 17,267 The returns shown do not reflect the
10/1/2015 20,992 18,233 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
---------------------------------------------------------------- Investment Group 1995-2015, all rights
-1.20% 12.82% 7.70% reserved.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
U.S. SMALL CAP VALUE PORTFOLIO VS.
RUSSELL 2000(R) VALUE INDEX
October 31, 2005-October 31, 2015
[CHART]
U.S. Small Cap Value Portfolio Russell 2000/R/ Value Index
-------------------------------- -----------------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,421 10,406
12/1/2005 10,456 10,326
1/1/2006 11,378 11,180
2/1/2006 11,339 11,179
3/1/2006 12,030 11,720
4/1/2006 12,148 11,752
5/1/2006 11,615 11,265
6/1/2006 11,621 11,403
7/1/2006 11,186 11,245
8/1/2006 11,403 11,581
9/1/2006 11,539 11,694
10/1/2006 12,166 12,290
11/1/2006 12,535 12,640
12/1/2006 12,709 12,750
1/1/2007 12,988 12,941
2/1/2007 12,958 12,782
3/1/2007 13,099 12,937
4/1/2007 13,336 13,071
5/1/2007 13,822 13,550
6/1/2007 13,609 13,234
7/1/2007 12,568 12,108
8/1/2007 12,473 12,350
9/1/2007 12,439 12,406
10/1/2007 12,578 12,541
11/1/2007 11,481 11,602
12/1/2007 11,343 11,504
1/1/2008 10,896 11,032
2/1/2008 10,587 10,593
3/1/2008 10,676 10,753
4/1/2008 10,853 11,093
5/1/2008 11,302 11,472
6/1/2008 10,160 10,372
7/1/2008 10,370 10,903
8/1/2008 10,801 11,421
9/1/2008 10,056 10,886
10/1/2008 7,830 8,711
11/1/2008 6,813 7,702
12/1/2008 7,170 8,176
1/1/2009 6,147 7,008
2/1/2009 5,366 6,035
3/1/2009 5,924 6,571
4/1/2009 7,088 7,613
5/1/2009 7,316 7,778
6/1/2009 7,342 7,753
7/1/2009 8,329 8,650
8/1/2009 8,757 9,059
9/1/2009 9,311 9,514
10/1/2009 8,611 8,882
11/1/2009 8,878 9,165
12/1/2009 9,581 9,859
1/1/2010 9,279 9,570
2/1/2010 9,850 10,013
3/1/2010 10,723 10,846
4/1/2010 11,592 11,605
5/1/2010 10,444 10,625
6/1/2010 9,385 9,697
7/1/2010 10,200 10,389
8/1/2010 9,346 9,608
9/1/2010 10,554 10,640
10/1/2010 10,994 11,052
11/1/2010 11,488 11,333
12/1/2010 12,542 12,274
1/1/2011 12,581 12,281
2/1/2011 13,371 12,905
3/1/2011 13,646 13,084
4/1/2011 13,818 13,297
5/1/2011 13,386 13,058
6/1/2011 13,144 12,737
7/1/2011 12,766 12,316
8/1/2011 11,415 11,228
9/1/2011 9,980 10,002
10/1/2011 11,559 11,443
11/1/2011 11,480 11,421
12/1/2011 11,596 11,599
1/1/2012 12,457 12,370
2/1/2012 12,853 12,554
3/1/2012 13,148 12,944
4/1/2012 12,938 12,756
5/1/2012 12,016 11,977
6/1/2012 12,543 12,554
7/1/2012 12,513 12,426
8/1/2012 13,040 12,809
9/1/2012 13,472 13,266
10/1/2012 13,362 13,099
11/1/2012 13,608 13,139
12/1/2012 14,115 13,693
1/1/2013 15,041 14,509
2/1/2013 15,305 14,675
3/1/2013 16,056 15,286
4/1/2013 15,878 15,271
5/1/2013 16,734 15,727
6/1/2013 16,617 15,663
7/1/2013 17,836 16,670
8/1/2013 17,092 15,933
9/1/2013 17,988 16,853
10/1/2013 18,620 17,400
11/1/2013 19,565 18,079
12/1/2013 20,097 18,420
1/1/2014 19,064 17,708
2/1/2014 20,103 18,518
3/1/2014 20,341 18,747
4/1/2014 19,950 18,265
5/1/2014 20,114 18,381
6/1/2014 21,007 19,194
7/1/2014 19,796 18,033
8/1/2014 20,950 18,817
9/1/2014 19,488 17,548
10/1/2014 20,387 18,774
11/1/2014 20,330 18,686
12/1/2014 20,797 19,197
1/1/2015 19,768 18,398
2/1/2015 20,933 19,252
3/1/2015 21,305 19,577
4/1/2015 21,020 19,159
5/1/2015 21,305 19,318
6/1/2015 21,316 19,343
7/1/2015 20,534 18,809 Past performance is not predictive of
8/1/2015 19,705 17,886 future performance.
9/1/2015 18,817 17,267 The returns shown do not reflect the
10/1/2015 19,811 18,233 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
--------------------------------------------------------------- Investment Group 1995-2015, all rights
-2.83% 12.50% 7.08% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. CORE EQUITY 1 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
October 31, 2005-October 31, 2015
[CHART]
U.S. Core Equity 1 Portfolio Russell 3000/R/ Index
------------------------------ -----------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,407 10,389
12/1/2005 10,411 10,398
1/1/2006 10,831 10,746
2/1/2006 10,851 10,765
3/1/2006 11,092 10,951
4/1/2006 11,226 11,070
5/1/2006 10,836 10,715
6/1/2006 10,839 10,734
7/1/2006 10,726 10,724
8/1/2006 10,983 10,987
9/1/2006 11,211 11,233
10/1/2006 11,623 11,637
11/1/2006 11,900 11,890
12/1/2006 12,045 12,032
1/1/2007 12,274 12,261
2/1/2007 12,139 12,060
3/1/2007 12,260 12,186
4/1/2007 12,718 12,673
5/1/2007 13,208 13,134
6/1/2007 12,994 12,888
7/1/2007 12,450 12,449
8/1/2007 12,576 12,628
9/1/2007 12,936 13,088
10/1/2007 13,136 13,328
11/1/2007 12,457 12,728
12/1/2007 12,381 12,651
1/1/2008 11,675 11,884
2/1/2008 11,327 11,515
3/1/2008 11,246 11,447
4/1/2008 11,807 12,019
5/1/2008 12,113 12,266
6/1/2008 11,076 11,253
7/1/2008 11,076 11,164
8/1/2008 11,320 11,337
9/1/2008 10,271 10,271
10/1/2008 8,364 8,449
11/1/2008 7,657 7,782
12/1/2008 7,859 7,931
1/1/2009 7,149 7,266
2/1/2009 6,384 6,505
3/1/2009 6,971 7,074
4/1/2009 7,815 7,819
5/1/2009 8,183 8,236
6/1/2009 8,220 8,264
7/1/2009 8,916 8,907
8/1/2009 9,242 9,226
9/1/2009 9,680 9,612
10/1/2009 9,338 9,365
11/1/2009 9,808 9,897
12/1/2009 10,204 10,179
1/1/2010 9,875 9,812
2/1/2010 10,259 10,145
3/1/2010 10,941 10,784
4/1/2010 11,282 11,017
5/1/2010 10,391 10,147
6/1/2010 9,721 9,563
7/1/2010 10,417 10,227
8/1/2010 9,854 9,746
9/1/2010 10,859 10,666
10/1/2010 11,280 11,083
11/1/2010 11,424 11,147
12/1/2010 12,256 11,902
1/1/2011 12,501 12,162
2/1/2011 13,002 12,605
3/1/2011 13,140 12,662
4/1/2011 13,497 13,039
5/1/2011 13,307 12,890
6/1/2011 13,061 12,659
7/1/2011 12,691 12,369
8/1/2011 11,806 11,627
9/1/2011 10,773 10,724
10/1/2011 12,123 11,959
11/1/2011 12,100 11,926
12/1/2011 12,178 12,024
1/1/2012 12,834 12,631
2/1/2012 13,389 13,166
3/1/2012 13,744 13,572
4/1/2012 13,608 13,483
5/1/2012 12,712 12,649
6/1/2012 13,182 13,145
7/1/2012 13,273 13,275
8/1/2012 13,660 13,606
9/1/2012 14,049 13,963
10/1/2012 13,855 13,723
11/1/2012 14,004 13,829
12/1/2012 14,238 13,998
1/1/2013 15,102 14,766
2/1/2013 15,287 14,962
3/1/2013 15,913 15,548
4/1/2013 16,086 15,803
5/1/2013 16,618 16,176
6/1/2013 16,450 15,966
7/1/2013 17,402 16,841
8/1/2013 16,915 16,371
9/1/2013 17,611 16,979
10/1/2013 18,333 17,701
11/1/2013 18,927 18,214
12/1/2013 19,449 18,695
1/1/2014 18,778 18,104
2/1/2014 19,684 18,963
3/1/2014 19,842 19,064
4/1/2014 19,795 19,087
5/1/2014 20,184 19,503
6/1/2014 20,767 19,993
7/1/2014 20,235 19,598
8/1/2014 21,099 20,420
9/1/2014 20,521 19,995
10/1/2014 21,032 20,545
11/1/2014 21,471 21,043
12/1/2014 21,495 21,043
1/1/2015 20,823 20,457
2/1/2015 22,119 21,641
3/1/2015 21,975 21,421
4/1/2015 22,035 21,518
5/1/2015 22,324 21,816
6/1/2015 21,999 21,451
7/1/2015 22,144 21,810 Past performance is not predictive of
8/1/2015 20,900 20,493 future performance.
9/1/2015 20,213 19,896 The returns shown do not reflect the
10/1/2015 21,718 21,467 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
-------------------------------------------------------- Investment Group 1995-2015, all rights
3.26% 14.00% 8.06% reserved.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
U.S. CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
October 31, 2005-October 31, 2015
[CHART]
U.S. Core Equity 2 Portfolio Russell 3000/R/ Index
------------------------------- -------------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,417 10,389
12/1/2005 10,424 10,398
1/1/2006 10,925 10,746
2/1/2006 10,945 10,765
3/1/2006 11,206 10,951
4/1/2006 11,370 11,070
5/1/2006 10,961 10,715
6/1/2006 10,952 10,734
7/1/2006 10,829 10,724
8/1/2006 11,075 10,987
9/1/2006 11,302 11,233
10/1/2006 11,734 11,637
11/1/2006 12,031 11,890
12/1/2006 12,196 12,032
1/1/2007 12,424 12,261
2/1/2007 12,299 12,060
3/1/2007 12,429 12,186
4/1/2007 12,855 12,673
5/1/2007 13,375 13,134
6/1/2007 13,160 12,888
7/1/2007 12,545 12,449
8/1/2007 12,659 12,628
9/1/2007 12,977 13,088
10/1/2007 13,113 13,328
11/1/2007 12,365 12,728
12/1/2007 12,257 12,651
1/1/2008 11,626 11,884
2/1/2008 11,258 11,515
3/1/2008 11,144 11,447
4/1/2008 11,704 12,019
5/1/2008 12,031 12,266
6/1/2008 10,943 11,253
7/1/2008 10,975 11,164
8/1/2008 11,219 11,337
9/1/2008 10,206 10,271
10/1/2008 8,264 8,449
11/1/2008 7,516 7,782
12/1/2008 7,739 7,931
1/1/2009 6,933 7,266
2/1/2009 6,127 6,505
3/1/2009 6,729 7,074
4/1/2009 7,669 7,819
5/1/2009 8,036 8,236
6/1/2009 8,026 8,264
7/1/2009 8,752 8,907
8/1/2009 9,110 9,226
9/1/2009 9,564 9,612
10/1/2009 9,146 9,365
11/1/2009 9,560 9,897
12/1/2009 9,995 10,179
1/1/2010 9,689 9,812
2/1/2010 10,093 10,145
3/1/2010 10,815 10,784
4/1/2010 11,209 11,017
5/1/2010 10,321 10,147
6/1/2010 9,595 9,563
7/1/2010 10,299 10,227
8/1/2010 9,683 9,746
9/1/2010 10,706 10,666
10/1/2010 11,104 11,083
11/1/2010 11,280 11,147
12/1/2010 12,175 11,902
1/1/2011 12,408 12,162
2/1/2011 12,963 12,605
3/1/2011 13,120 12,662
4/1/2011 13,420 13,039
5/1/2011 13,209 12,890
6/1/2011 12,949 12,659
7/1/2011 12,514 12,369
8/1/2011 11,566 11,627
9/1/2011 10,468 10,724
10/1/2011 11,879 11,959
11/1/2011 11,834 11,926
12/1/2011 11,920 12,024
1/1/2012 12,585 12,631
2/1/2012 13,125 13,166
3/1/2012 13,442 13,572
4/1/2012 13,306 13,483
5/1/2012 12,393 12,649
6/1/2012 12,882 13,145
7/1/2012 12,950 13,275
8/1/2012 13,358 13,606
9/1/2012 13,764 13,963
10/1/2012 13,639 13,723
11/1/2012 13,764 13,829
12/1/2012 14,075 13,998
1/1/2013 14,965 14,766
2/1/2013 15,150 14,962
3/1/2013 15,786 15,548
4/1/2013 15,902 15,803
5/1/2013 16,504 16,176
6/1/2013 16,346 15,966
7/1/2013 17,335 16,841
8/1/2013 16,800 16,371
9/1/2013 17,518 16,979
10/1/2013 18,229 17,701
11/1/2013 18,848 18,214
12/1/2013 19,390 18,695
1/1/2014 18,667 18,104
2/1/2014 19,544 18,963
3/1/2014 19,771 19,064
4/1/2014 19,676 19,087
5/1/2014 20,020 19,503
6/1/2014 20,654 19,993
7/1/2014 20,082 19,598
8/1/2014 20,916 20,420
9/1/2014 20,251 19,995
10/1/2014 20,742 20,545
11/1/2014 21,113 21,043
12/1/2014 21,197 21,043
1/1/2015 20,433 20,457
2/1/2015 21,754 21,641
3/1/2015 21,650 21,421
4/1/2015 21,699 21,518
5/1/2015 21,978 21,816
6/1/2015 21,685 21,451 Past performance is not predictive of
7/1/2015 21,648 21,810 future performance.
8/1/2015 20,441 20,493 The returns shown do not reflect the
9/1/2015 19,707 19,896 deduction of taxes that a shareholder
10/1/2015 21,140 21,467 would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
----------------------------------------------------------- Investment Group 1995-2015, all rights
1.92% 13.74% 7.77% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. VECTOR EQUITY PORTFOLIO VS.
RUSSELL 3000(R) INDEX
December 30, 2005-October 31, 2015
[CHART]
U.S. Vector Equity Portfolio Russell 3000/R/ Index
------------------------------- -------------------------
12/1/2005 $10,000 $10,000
12/1/2005 10,000 10,000
1/1/2006 10,810 10,334
2/1/2006 10,800 10,352
3/1/2006 11,196 10,531
4/1/2006 11,316 10,646
5/1/2006 10,865 10,305
6/1/2006 10,845 10,323
7/1/2006 10,624 10,313
8/1/2006 10,865 10,566
9/1/2006 11,050 10,802
10/1/2006 11,533 11,191
11/1/2006 11,865 11,435
12/1/2006 12,001 11,572
1/1/2007 12,237 11,792
2/1/2007 12,155 11,598
3/1/2007 12,268 11,719
4/1/2007 12,628 12,187
5/1/2007 13,152 12,631
6/1/2007 12,951 12,395
7/1/2007 12,220 11,972
8/1/2007 12,281 12,144
9/1/2007 12,496 12,587
10/1/2007 12,579 12,818
11/1/2007 11,762 12,241
12/1/2007 11,632 12,166
1/1/2008 11,081 11,429
2/1/2008 10,707 11,074
3/1/2008 10,663 11,008
4/1/2008 11,142 11,559
5/1/2008 11,517 11,796
6/1/2008 10,417 10,822
7/1/2008 10,500 10,736
8/1/2008 10,803 10,903
9/1/2008 9,892 9,878
10/1/2008 7,847 8,126
11/1/2008 6,987 7,484
12/1/2008 7,307 7,627
1/1/2009 6,417 6,987
2/1/2009 5,612 6,255
3/1/2009 6,178 6,803
4/1/2009 7,178 7,519
5/1/2009 7,486 7,921
6/1/2009 7,490 7,947
7/1/2009 8,258 8,566
8/1/2009 8,642 8,872
9/1/2009 9,093 9,244
10/1/2009 8,590 9,006
11/1/2009 8,911 9,518
12/1/2009 9,442 9,789
1/1/2010 9,173 9,436
2/1/2010 9,625 9,756
3/1/2010 10,347 10,371
4/1/2010 10,874 10,595
5/1/2010 10,003 9,758
6/1/2010 9,227 9,197
7/1/2010 9,906 9,835
8/1/2010 9,227 9,372
9/1/2010 10,243 10,257
10/1/2010 10,621 10,658
11/1/2010 10,881 10,720
12/1/2010 11,813 11,446
1/1/2011 11,976 11,696
2/1/2011 12,585 12,122
3/1/2011 12,794 12,177
4/1/2011 13,055 12,539
5/1/2011 12,805 12,396
6/1/2011 12,530 12,174
7/1/2011 12,072 11,895
8/1/2011 11,014 11,181
9/1/2011 9,822 10,314
10/1/2011 11,244 11,501
11/1/2011 11,189 11,470
12/1/2011 11,274 11,564
1/1/2012 11,967 12,147
2/1/2012 12,462 12,661
3/1/2012 12,762 13,052
4/1/2012 12,575 12,966
5/1/2012 11,661 12,165
6/1/2012 12,122 12,641
7/1/2012 12,099 12,766
8/1/2012 12,542 13,085
9/1/2012 12,947 13,429
10/1/2012 12,880 13,197
11/1/2012 13,035 13,299
12/1/2012 13,413 13,462
1/1/2013 14,342 14,201
2/1/2013 14,499 14,389
3/1/2013 15,148 14,953
4/1/2013 15,136 15,198
5/1/2013 15,798 15,556
6/1/2013 15,667 15,354
7/1/2013 16,679 16,196
8/1/2013 16,139 15,744
9/1/2013 16,932 16,329
10/1/2013 17,620 17,023
11/1/2013 18,296 17,517
12/1/2013 18,806 17,979
1/1/2014 18,037 17,411
2/1/2014 18,875 18,237
3/1/2014 19,126 18,334
4/1/2014 18,908 18,356
5/1/2014 19,184 18,756
6/1/2014 19,912 19,227
7/1/2014 19,186 18,847
8/1/2014 20,039 19,638
9/1/2014 19,174 19,229
10/1/2014 19,718 19,758
11/1/2014 19,845 20,237
12/1/2014 20,031 20,236
1/1/2015 19,154 19,673
2/1/2015 20,452 20,812
3/1/2015 20,494 20,601
4/1/2015 20,445 20,694
5/1/2015 20,686 20,980
6/1/2015 20,563 20,629
7/1/2015 20,297 20,974 Past performance is not predictive of
8/1/2015 19,269 19,708 future performance.
9/1/2015 18,469 19,134 The returns shown do not reflect the
10/1/2015 19,683 20,645 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Since redemption of fund shares.
Total Return Year Years Inception Russell data copyright (C) Russell
------------------------------------------------------------ Investment Group 1995-2015, all rights
-0.18% 13.13% 7.13% reserved.
--------------------------------------------------------------------------------
6
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
October 31, 2005-October 31, 2015
[CHART]
U.S. Small Cap Portfolio Russell 2000/R/ Index
----------------------------- -----------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,485 10,485
12/1/2005 10,459 10,438
1/1/2006 11,409 11,373
2/1/2006 11,388 11,342
3/1/2006 11,910 11,892
4/1/2006 11,937 11,891
5/1/2006 11,287 11,223
6/1/2006 11,220 11,295
7/1/2006 10,790 10,927
8/1/2006 11,091 11,251
9/1/2006 11,183 11,345
10/1/2006 11,813 11,998
11/1/2006 12,110 12,313
12/1/2006 12,196 12,355
1/1/2007 12,379 12,561
2/1/2007 12,316 12,462
3/1/2007 12,445 12,595
4/1/2007 12,673 12,821
5/1/2007 13,153 13,346
6/1/2007 13,009 13,151
7/1/2007 12,225 12,252
8/1/2007 12,397 12,529
9/1/2007 12,553 12,744
10/1/2007 12,800 13,110
11/1/2007 11,847 12,169
12/1/2007 11,823 12,161
1/1/2008 11,005 11,332
2/1/2008 10,651 10,912
3/1/2008 10,689 10,958
4/1/2008 11,026 11,416
5/1/2008 11,552 11,941
6/1/2008 10,518 11,021
7/1/2008 10,849 11,429
8/1/2008 11,242 11,842
9/1/2008 10,343 10,899
10/1/2008 8,214 8,632
11/1/2008 7,211 7,611
12/1/2008 7,566 8,052
1/1/2009 6,728 7,157
2/1/2009 5,916 6,287
3/1/2009 6,525 6,848
4/1/2009 7,737 7,907
5/1/2009 8,010 8,145
6/1/2009 8,218 8,265
7/1/2009 9,072 9,061
8/1/2009 9,396 9,321
9/1/2009 9,981 9,858
10/1/2009 9,289 9,189
11/1/2009 9,526 9,477
12/1/2009 10,315 10,240
1/1/2010 10,002 9,863
2/1/2010 10,490 10,308
3/1/2010 11,350 11,146
4/1/2010 12,120 11,777
5/1/2010 11,174 10,884
6/1/2010 10,281 10,040
7/1/2010 11,021 10,730
8/1/2010 10,181 9,936
9/1/2010 11,510 11,174
10/1/2010 11,981 11,631
11/1/2010 12,484 12,035
12/1/2010 13,482 12,990
1/1/2011 13,495 12,957
2/1/2011 14,252 13,667
3/1/2011 14,660 14,021
4/1/2011 15,007 14,392
5/1/2011 14,704 14,122
6/1/2011 14,469 13,796
7/1/2011 13,963 13,298
8/1/2011 12,711 12,141
9/1/2011 11,299 10,780
10/1/2011 13,030 12,411
11/1/2011 12,986 12,366
12/1/2011 13,057 12,448
1/1/2012 13,936 13,327
2/1/2012 14,336 13,646
3/1/2012 14,711 13,996
4/1/2012 14,507 13,780
5/1/2012 13,565 12,868
6/1/2012 14,138 13,510
7/1/2012 14,023 13,323
8/1/2012 14,515 13,767
9/1/2012 14,989 14,219
10/1/2012 14,803 13,911
11/1/2012 14,976 13,985
12/1/2012 15,459 14,483
1/1/2013 16,427 15,389
2/1/2013 16,591 15,559
3/1/2013 17,392 16,278
4/1/2013 17,249 16,218
5/1/2013 18,136 16,866
6/1/2013 18,116 16,780
7/1/2013 19,421 17,954
8/1/2013 18,765 17,384
9/1/2013 19,929 18,493
10/1/2013 20,580 18,958
11/1/2013 21,546 19,718
12/1/2013 21,984 20,106
1/1/2014 21,083 19,549
2/1/2014 22,048 20,470
3/1/2014 22,166 20,331
4/1/2014 21,513 19,542
5/1/2014 21,634 19,699
6/1/2014 22,662 20,747
7/1/2014 21,303 19,491
8/1/2014 22,313 20,457
9/1/2014 21,110 19,220
10/1/2014 22,364 20,487
11/1/2014 22,442 20,505
12/1/2014 22,960 21,090
1/1/2015 22,009 20,411
2/1/2015 23,461 21,623
3/1/2015 23,876 22,000
4/1/2015 23,322 21,439
5/1/2015 23,729 21,928
6/1/2015 23,968 22,092
7/1/2015 23,664 21,836 Past performance is not predictive of
8/1/2015 22,480 20,463 future performance.
9/1/2015 21,619 19,459 The returns shown do not reflect the
10/1/2015 22,888 20,556 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
----------------------------------------------------------- Investment Group 1995-2015, all rights
2.34% 13.82% 8.63% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. MICRO CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
October 31, 2005-October 31, 2015
[CHART]
U.S. Micro Cap Portfolio Russell 2000/R/ Index
-------------------------- ---------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,453 10,485
12/1/2005 10,472 10,438
1/1/2006 11,429 11,373
2/1/2006 11,458 11,342
3/1/2006 11,979 11,892
4/1/2006 11,929 11,891
5/1/2006 11,227 11,223
6/1/2006 11,127 11,295
7/1/2006 10,744 10,927
8/1/2006 11,042 11,251
9/1/2006 11,104 11,345
10/1/2006 11,708 11,998
11/1/2006 11,971 12,313
12/1/2006 12,164 12,355
1/1/2007 12,304 12,561
2/1/2007 12,242 12,462
3/1/2007 12,367 12,595
4/1/2007 12,553 12,821
5/1/2007 12,948 13,346
6/1/2007 12,905 13,151
7/1/2007 12,066 12,252
8/1/2007 12,206 12,529
9/1/2007 12,386 12,744
10/1/2007 12,596 13,110
11/1/2007 11,536 12,169
12/1/2007 11,530 12,161
1/1/2008 10,648 11,332
2/1/2008 10,314 10,912
3/1/2008 10,346 10,958
4/1/2008 10,560 11,416
5/1/2008 10,980 11,941
6/1/2008 9,986 11,021
7/1/2008 10,433 11,429
8/1/2008 10,786 11,842
9/1/2008 9,991 10,899
10/1/2008 7,922 8,632
11/1/2008 6,905 7,611
12/1/2008 7,296 8,052
1/1/2009 6,427 7,157
2/1/2009 5,584 6,287
3/1/2009 6,119 6,848
4/1/2009 7,182 7,907
5/1/2009 7,429 8,145
6/1/2009 7,634 8,265
7/1/2009 8,383 9,061
8/1/2009 8,612 9,321
9/1/2009 9,108 9,858
10/1/2009 8,446 9,189
11/1/2009 8,596 9,477
12/1/2009 9,343 10,240
1/1/2010 9,069 9,863
2/1/2010 9,467 10,308
3/1/2010 10,232 11,146
4/1/2010 10,976 11,777
5/1/2010 10,161 10,884
6/1/2010 9,426 10,040
7/1/2010 10,099 10,730
8/1/2010 9,293 9,936
9/1/2010 10,423 11,174
10/1/2010 10,876 11,631
11/1/2010 11,337 12,035
12/1/2010 12,266 12,990
1/1/2011 12,132 12,957
2/1/2011 12,845 13,667
3/1/2011 13,262 14,021
4/1/2011 13,485 14,392
5/1/2011 13,227 14,122
6/1/2011 12,941 13,796
7/1/2011 12,593 13,298
8/1/2011 11,469 12,141
9/1/2011 10,255 10,780
10/1/2011 11,838 12,411
11/1/2011 11,766 12,366
12/1/2011 11,867 12,448
1/1/2012 12,693 13,327
2/1/2012 12,935 13,646
3/1/2012 13,321 13,996
4/1/2012 13,133 13,780
5/1/2012 12,217 12,868
6/1/2012 12,843 13,510
7/1/2012 12,726 13,323
8/1/2012 13,122 13,767
9/1/2012 13,672 14,219
10/1/2012 13,393 13,911
11/1/2012 13,519 13,985
12/1/2012 14,032 14,483
1/1/2013 14,830 15,389
2/1/2013 14,993 15,559
3/1/2013 15,724 16,278
4/1/2013 15,599 16,218
5/1/2013 16,406 16,866
6/1/2013 16,481 16,780
7/1/2013 17,703 17,954
8/1/2013 17,087 17,384
9/1/2013 18,292 18,493
10/1/2013 18,929 18,958
11/1/2013 19,979 19,718
12/1/2013 20,356 20,106
1/1/2014 19,455 19,549
2/1/2014 20,275 20,470
3/1/2014 20,472 20,331
4/1/2014 19,773 19,542
5/1/2014 19,794 19,699
6/1/2014 20,653 20,747
7/1/2014 19,445 19,491
8/1/2014 20,328 20,457
9/1/2014 19,170 19,220
10/1/2014 20,420 20,487
11/1/2014 20,268 20,505
12/1/2014 20,951 21,090
1/1/2015 19,923 20,411
2/1/2015 21,124 21,623
3/1/2015 21,606 22,000
4/1/2015 21,184 21,439
5/1/2015 21,476 21,928
6/1/2015 21,826 22,092
7/1/2015 21,294 21,836 Past performance is not predictive of
8/1/2015 20,350 20,463 future performance.
9/1/2015 19,473 19,459 The returns shown do not reflect the
10/1/2015 20,646 20,556 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
----------------------------------------------------------- Investment Group 1995-2015, all rights
1.11% 13.68% 7.52% reserved.
--------------------------------------------------------------------------------
7
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
DFA REAL ESTATE SECURITIES PORTFOLIO VS.
S&P 500(R) INDEX, DOW JONES U.S. SELECT REIT INDEX
October 31, 2005-October 31, 2015
[CHART]
DFA Real Estate Dow Jones U.S. Select
Securities Portfolio S&P 500/R/ Index REIT Index
---------------------- ------------------ ---------------------
10/1/2005 $10,000 $10,000 $10,000
11/1/2005 10,450 10,378 10,464
12/1/2005 10,452 10,382 10,475
1/1/2006 11,255 10,657 11,296
2/1/2006 11,468 10,686 11,538
3/1/2006 12,062 10,819 12,128
4/1/2006 11,606 10,964 11,669
5/1/2006 11,259 10,648 11,346
6/1/2006 11,881 10,663 11,992
7/1/2006 12,289 10,729 12,418
8/1/2006 12,722 10,984 12,835
9/1/2006 12,976 11,267 13,085
10/1/2006 13,790 11,634 13,910
11/1/2006 14,446 11,855 14,573
12/1/2006 14,138 12,022 14,243
1/1/2007 15,362 12,204 15,512
2/1/2007 15,004 11,965 15,164
3/1/2007 14,632 12,099 14,776
4/1/2007 14,618 12,635 14,770
5/1/2007 14,618 13,076 14,780
6/1/2007 13,247 12,858 13,392
7/1/2007 12,204 12,460 12,341
8/1/2007 12,943 12,646 13,071
9/1/2007 13,449 13,119 13,582
10/1/2007 13,601 13,328 13,738
11/1/2007 12,213 12,771 12,402
12/1/2007 11,498 12,682 11,743
1/1/2008 11,503 11,921 11,687
2/1/2008 11,066 11,534 11,246
3/1/2008 11,762 11,484 11,994
4/1/2008 12,455 12,043 12,733
5/1/2008 12,480 12,200 12,762
6/1/2008 11,110 11,172 11,348
7/1/2008 11,432 11,078 11,675
8/1/2008 11,714 11,238 11,940
9/1/2008 11,690 10,236 11,890
10/1/2008 8,004 8,517 8,040
11/1/2008 6,152 7,906 6,066
12/1/2008 7,202 7,990 7,140
1/1/2009 5,924 7,317 5,849
2/1/2009 4,681 6,538 4,571
3/1/2009 4,847 7,110 4,718
4/1/2009 6,365 7,791 6,266
5/1/2009 6,530 8,227 6,426
6/1/2009 6,328 8,243 6,202
7/1/2009 6,992 8,866 6,848
8/1/2009 7,937 9,186 7,850
9/1/2009 8,469 9,529 8,400
10/1/2009 8,083 9,352 8,019
11/1/2009 8,638 9,913 8,571
12/1/2009 9,231 10,105 9,17
1/1/2010 8,749 9,741 8,647
2/1/2010 9,231 10,043 9,13
3/1/2010 10,169 10,649 10,071
4/1/2010 10,885 10,817 10,783
5/1/2010 10,304 9,953 10,202
6/1/2010 9,770 9,432 9,655
7/1/2010 10,734 10,093 10,610
8/1/2010 10,599 9,638 10,468
9/1/2010 11,058 10,498 10,932
10/1/2010 11,576 10,897 11,437
11/1/2010 11,347 10,898 11,215
12/1/2010 11,877 11,627 11,746
1/1/2011 12,296 11,902 12,163
2/1/2011 12,852 12,310 12,719
3/1/2011 12,660 12,315 12,532
4/1/2011 13,392 12,680 13,275
5/1/2011 13,574 12,536 13,482
6/1/2011 13,128 12,327 13,030
7/1/2011 13,343 12,077 13,267
8/1/2011 12,625 11,421 12,540
9/1/2011 11,238 10,618 11,136
10/1/2011 12,859 11,778 12,772
11/1/2011 12,372 11,752 12,269
12/1/2011 12,940 11,872 12,846
1/1/2012 13,759 12,404 13,672
2/1/2012 13,613 12,941 13,520
3/1/2012 14,314 13,367 14,228
4/1/2012 14,723 13,283 14,656
5/1/2012 14,050 12,484 13,987
6/1/2012 14,842 12,999 14,761
7/1/2012 15,135 13,179 15,042
8/1/2012 15,113 13,476 15,001
9/1/2012 14,831 13,825 14,706
10/1/2012 14,717 13,569 14,571
11/1/2012 14,666 13,648 14,499
12/1/2012 15,203 13,772 15,046
1/1/2013 15,740 14,486 15,556
2/1/2013 15,913 14,682 15,686
3/1/2013 16,351 15,233 16,104
4/1/2013 17,456 15,526 17,212
5/1/2013 16,415 15,890 16,181
6/1/2013 16,108 15,676 15,896
7/1/2013 16,248 16,474 16,019
8/1/2013 15,104 15,997 14,920
9/1/2013 15,575 16,498 15,396
10/1/2013 16,230 17,257 16,023
11/1/2013 15,365 17,783 15,144
12/1/2013 15,414 18,233 15,229
1/1/2014 16,068 17,603 15,847
2/1/2014 16,882 18,408 16,658
3/1/2014 16,992 18,563 16,804
4/1/2014 17,607 18,700 17,423
5/1/2014 18,025 19,139 17,852
6/1/2014 18,213 19,534 18,006
7/1/2014 18,225 19,265 18,043
8/1/2014 18,742 20,035 18,546
9/1/2014 17,616 19,754 17,466
10/1/2014 19,443 20,237 19,339
11/1/2014 19,847 20,781 19,747
12/1/2014 20,210 20,729 20,102
1/1/2015 21,603 20,107 21,446
2/1/2015 20,803 21,262 20,678
3/1/2015 21,171 20,926 21,049
4/1/2015 19,926 21,127 19,829
5/1/2015 19,877 21,398 19,822
6/1/2015 19,006 20,984 18,945 Past performance is not predictive of
7/1/2015 20,097 21,424 20,069 future performance.
8/1/2015 18,875 20,131 18,893 The returns shown do not reflect the
9/1/2015 19,473 19,633 19,530 deduction of taxes that a shareholder
10/1/2015 20,589 21,289 20,668 would pay on fund distributions or the
redemption of fund shares.
Average Annual One Five Ten The S&P data are provided by Standard
Total Return Year Years Years & Poor's Index Services Group.
--------------------------------------------------------------- Dow Jones data provided by S&P Dow
5.89% 12.21% 7.49% Jones Indices LLC
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
Large Cap International MSCI World ex USA
Portfolio Index (net dividends)
------------------------- ---------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,155 10,265
12/1/2005 10,685 10,741
1/1/2006 11,309 11,420
2/1/2006 11,234 11,382
3/1/2006 11,648 11,743
4/1/2006 12,213 12,304
5/1/2006 11,772 11,837
6/1/2006 11,726 11,822
7/1/2006 11,851 11,932
8/1/2006 12,162 12,271
9/1/2006 12,157 12,262
10/1/2006 12,624 12,746
11/1/2006 12,998 13,126
12/1/2006 13,341 13,502
1/1/2007 13,512 13,584
2/1/2007 13,551 13,693
3/1/2007 13,926 14,044
4/1/2007 14,418 14,683
5/1/2007 14,865 15,009
6/1/2007 14,837 15,024
7/1/2007 14,557 14,816
8/1/2007 14,457 14,602
9/1/2007 15,250 15,432
10/1/2007 15,931 16,102
11/1/2007 15,362 15,473
12/1/2007 15,004 15,182
1/1/2008 13,867 13,813
2/1/2008 13,856 14,063
3/1/2008 13,807 13,863
4/1/2008 14,538 14,633
5/1/2008 14,842 14,855
6/1/2008 13,660 13,700
7/1/2008 13,163 13,212
8/1/2008 12,601 12,702
9/1/2008 11,069 10,868
10/1/2008 8,735 8,607
11/1/2008 8,210 8,140
12/1/2008 8,786 8,569
1/1/2009 7,799 7,770
2/1/2009 7,014 6,983
3/1/2009 7,554 7,443
4/1/2009 8,413 8,403
5/1/2009 9,588 9,466
6/1/2009 9,455 9,368
7/1/2009 10,363 10,248
8/1/2009 10,769 10,739
9/1/2009 11,228 11,182
10/1/2009 10,936 11,002
11/1/2009 11,343 11,275
12/1/2009 11,478 11,454
1/1/2010 10,884 10,917
2/1/2010 10,957 10,906
3/1/2010 11,648 11,608
4/1/2010 11,421 11,435
5/1/2010 10,176 10,173
6/1/2010 10,010 10,026
7/1/2010 11,044 10,953
8/1/2010 10,664 10,626
9/1/2010 11,713 11,645
10/1/2010 12,138 12,060
11/1/2010 11,607 11,549
12/1/2010 12,539 12,479
1/1/2011 12,823 12,748
2/1/2011 13,326 13,220
3/1/2011 13,021 12,956
4/1/2011 13,766 13,661
5/1/2011 13,375 13,256
6/1/2011 13,185 13,067
7/1/2011 12,916 12,852
8/1/2011 11,833 11,765
9/1/2011 10,530 10,584
10/1/2011 11,549 11,613
11/1/2011 11,259 11,076
12/1/2011 11,000 10,956
1/1/2012 11,664 11,547
2/1/2012 12,230 12,182
3/1/2012 12,209 12,092
4/1/2012 11,974 11,887
5/1/2012 10,648 10,531
6/1/2012 11,354 11,221
7/1/2012 11,387 11,361
8/1/2012 11,772 11,685
9/1/2012 12,123 12,040
10/1/2012 12,229 12,125
11/1/2012 12,476 12,380
12/1/2012 12,952 12,754
1/1/2013 13,477 13,381
2/1/2013 13,296 13,248
3/1/2013 13,477 13,353
4/1/2013 14,057 13,961
5/1/2013 13,686 13,648
6/1/2013 13,284 13,137
7/1/2013 14,017 13,836
8/1/2013 13,811 13,658
9/1/2013 14,787 14,623
10/1/2013 15,268 15,113
11/1/2013 15,350 15,206
12/1/2013 15,632 15,435
1/1/2014 14,934 14,812
2/1/2014 15,812 15,620
3/1/2014 15,768 15,550
4/1/2014 16,026 15,796
5/1/2014 16,249 16,040
6/1/2014 16,474 16,268
7/1/2014 16,093 15,978
8/1/2014 16,163 15,991
9/1/2014 15,475 15,334
10/1/2014 15,340 15,090
11/1/2014 15,382 15,276
12/1/2014 14,814 14,768
1/1/2015 14,814 14,715
2/1/2015 15,715 15,595
3/1/2015 15,439 15,334
4/1/2015 16,134 15,998
5/1/2015 16,077 15,859
6/1/2015 15,624 15,408
7/1/2015 15,747 15,652
8/1/2015 14,636 14,512 Past performance is not predictive of
9/1/2015 13,952 13,780 future performance.
10/1/2015 14,864 14,816 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
-------------------------------------------------------- MSCI data copyright MSCI 2015, all
-3.10% 4.14% 4.04% rights reserved.
--------------------------------------------------------------------------------
8
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
INTERNATIONAL CORE EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
International Core Equity MSCI World ex USA
Portfolio Index (net dividends)
------------------------- ----------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,213 10,265
12/1/2005 10,787 10,741
1/1/2006 11,490 11,420
2/1/2006 11,500 11,382
3/1/2006 11,949 11,743
4/1/2006 12,519 12,304
5/1/2006 12,010 11,837
6/1/2006 11,869 11,822
7/1/2006 11,930 11,932
8/1/2006 12,280 12,271
9/1/2006 12,346 12,262
10/1/2006 12,831 12,746
11/1/2006 13,283 13,126
12/1/2006 13,694 13,502
1/1/2007 13,944 13,584
2/1/2007 14,017 13,693
3/1/2007 14,461 14,044
4/1/2007 15,002 14,683
5/1/2007 15,419 15,009
6/1/2007 15,326 15,024
7/1/2007 15,063 14,816
8/1/2007 14,778 14,602
9/1/2007 15,409 15,432
10/1/2007 16,139 16,102
11/1/2007 15,254 15,473
12/1/2007 14,857 15,182
1/1/2008 13,737 13,813
2/1/2008 13,759 14,063
3/1/2008 13,822 13,863
4/1/2008 14,394 14,633
5/1/2008 14,631 14,855
6/1/2008 13,272 13,700
7/1/2008 12,745 13,212
8/1/2008 12,263 12,702
9/1/2008 10,698 10,868
10/1/2008 8,274 8,607
11/1/2008 7,775 8,140
12/1/2008 8,318 8,569
1/1/2009 7,416 7,770
2/1/2009 6,637 6,983
3/1/2009 7,196 7,443
4/1/2009 8,280 8,403
5/1/2009 9,532 9,466
6/1/2009 9,451 9,368
7/1/2009 0,391 10,248
8/1/2009 10,968 10,739
9/1/2009 11,501 11,182
10/1/2009 11,153 11,002
11/1/2009 11,450 11,275
12/1/2009 11,587 11,454
1/1/2010 11,095 10,917
2/1/2010 11,107 10,906
3/1/2010 11,936 11,608
4/1/2010 11,878 11,435
5/1/2010 10,482 10,173
6/1/2010 10,308 10,026
7/1/2010 11,398 10,953
8/1/2010 10,934 10,626
9/1/2010 12,103 11,645
10/1/2010 12,545 12,060
11/1/2010 12,044 11,549
12/1/2010 13,198 12,479
1/1/2011 13,538 12,748
2/1/2011 13,995 13,220
3/1/2011 13,750 12,956
4/1/2011 14,490 13,661
5/1/2011 14,044 13,256
6/1/2011 13,795 13,067
7/1/2011 13,486 12,852
8/1/2011 12,294 11,765
9/1/2011 10,861 10,584
10/1/2011 11,856 11,613
11/1/2011 11,496 11,076
12/1/2011 11,203 10,956
1/1/2012 12,026 11,547
2/1/2012 12,643 12,182
3/1/2012 12,642 12,092
4/1/2012 12,363 11,887
5/1/2012 10,885 10,531
6/1/2012 11,551 11,221
7/1/2012 11,539 11,361
8/1/2012 11,946 11,685
9/1/2012 12,370 12,040
10/1/2012 12,507 12,125
11/1/2012 12,717 12,380
12/1/2012 13,303 12,754
1/1/2013 13,877 13,381
2/1/2013 13,727 13,248
3/1/2013 13,893 13,353
4/1/2013 14,430 13,961
5/1/2013 14,106 13,648
6/1/2013 13,675 13,137
7/1/2013 14,524 13,836
8/1/2013 14,372 13,658
9/1/2013 15,472 14,623
10/1/2013 16,007 15,113
11/1/2013 16,083 15,206
12/1/2013 16,420 15,435
1/1/2014 15,869 14,812
2/1/2014 16,804 15,620
3/1/2014 16,769 15,550
4/1/2014 16,962 15,796
5/1/2014 17,143 16,040
6/1/2014 17,411 16,268
7/1/2014 16,941 15,978
8/1/2014 17,006 15,991
9/1/2014 16,154 15,334
10/1/2014 15,919 15,090
11/1/2014 15,879 15,276
12/1/2014 15,437 14,768
1/1/2015 15,385 14,715
2/1/2015 16,374 15,595
3/1/2015 16,075 15,334
4/1/2015 16,867 15,998
5/1/2015 16,893 15,859
6/1/2015 16,492 15,408
7/1/2015 16,506 15,652
8/1/2015 15,488 14,512 Past performance is not predictive of
9/1/2015 14,816 13,780 future performance.
10/1/2015 15,744 14,816 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2015, all
-1.10% 4.65% 4.64% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL SMALL COMPANY PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
International Small Company MSCI World ex USA Small
Portfolio Cap Index (net dividends)
--------------------------- --------------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,195 10,333
12/1/2005 10,873 11,137
1/1/2006 11,625 11,931
2/1/2006 11,552 11,781
3/1/2006 12,084 12,335
4/1/2006 12,656 12,909
5/1/2006 12,017 12,195
6/1/2006 11,786 11,898
7/1/2006 11,659 11,608
8/1/2006 11,968 11,947
9/1/2006 12,056 11,915
10/1/2006 12,535 12,388
11/1/2006 13,101 12,921
12/1/2006 13,578 13,303
1/1/2007 13,958 13,575
2/1/2007 14,155 13,813
3/1/2007 14,685 14,271
4/1/2007 15,170 14,821
5/1/2007 15,480 15,040
6/1/2007 15,455 15,007
7/1/2007 15,462 14,915
8/1/2007 14,865 14,128
9/1/2007 15,192 14,448
10/1/2007 16,013 15,423
11/1/2007 14,842 14,155
12/1/2007 14,347 13,740
1/1/2008 13,256 12,408
2/1/2008 13,591 12,998
3/1/2008 13,609 12,854
4/1/2008 13,900 13,167
5/1/2008 14,267 13,433
6/1/2008 13,210 12,396
7/1/2008 12,575 11,771
8/1/2008 12,079 11,335
9/1/2008 10,248 9,341
10/1/2008 7,848 7,035
11/1/2008 7,442 6,695
12/1/2008 8,053 7,141
1/1/2009 7,417 6,726
2/1/2009 6,741 6,112
3/1/2009 7,187 6,504
4/1/2009 8,139 7,507
5/1/2009 9,352 8,618
6/1/2009 9,450 8,721
7/1/2009 10,158 9,422
8/1/2009 10,803 10,149
9/1/2009 11,378 10,719
10/1/2009 11,170 10,554
11/1/2009 11,322 10,636
12/1/2009 11,432 10,770
1/1/2010 11,255 10,628
2/1/2010 11,239 10,568
3/1/2010 12,042 11,353
4/1/2010 12,227 11,577
5/1/2010 10,780 10,186
6/1/2010 10,755 10,091
7/1/2010 11,737 10,956
8/1/2010 11,388 10,672
9/1/2010 12,641 11,882
10/1/2010 13,137 12,372
11/1/2010 12,771 12,048
12/1/2010 14,165 13,410
1/1/2011 14,339 13,480
2/1/2011 14,776 13,864
3/1/2011 14,753 13,851
4/1/2011 15,454 14,538
5/1/2011 15,025 14,135
6/1/2011 14,720 13,829
7/1/2011 14,578 13,754
8/1/2011 13,435 12,667
9/1/2011 11,847 11,213
10/1/2011 12,753 12,123
11/1/2011 12,351 11,514
12/1/2011 11,991 11,290
1/1/2012 13,014 12,223
2/1/2012 13,672 12,915
3/1/2012 13,725 12,829
4/1/2012 13,560 12,763
5/1/2012 11,982 11,263
6/1/2012 12,451 11,651
7/1/2012 12,416 11,741
8/1/2012 12,846 12,079
9/1/2012 13,382 12,651
10/1/2012 13,471 12,713
11/1/2012 13,585 12,778
12/1/2012 14,252 13,263
1/1/2013 14,879 13,902
2/1/2013 14,870 13,951
3/1/2013 15,140 14,223
4/1/2013 15,543 14,636
5/1/2013 15,203 14,292
6/1/2013 14,800 13,727
7/1/2013 15,779 14,585
8/1/2013 15,725 14,560
9/1/2013 17,020 15,782
10/1/2013 17,600 16,248
11/1/2013 17,682 16,269
12/1/2013 18,164 16,652
1/1/2014 17,842 16,365
2/1/2014 18,958 17,292
3/1/2014 18,930 17,227
4/1/2014 18,939 17,174
5/1/2014 19,062 17,389
6/1/2014 19,415 17,784
7/1/2014 18,797 17,323
8/1/2014 18,920 17,366
9/1/2014 17,770 16,314
10/1/2014 17,408 15,900
11/1/2014 17,236 15,885
12/1/2014 17,019 15,762
1/1/2015 16,879 15,623
2/1/2015 17,962 16,622
3/1/2015 17,681 16,398
4/1/2015 18,673 17,232
5/1/2015 18,894 17,336
6/1/2015 18,607 17,080
7/1/2015 18,486 17,054
8/1/2015 17,711 16,295 Past performance is not predictive of
9/1/2015 17,122 15,709 future performance.
10/1/2015 17,981 16,641 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
-------------------------------------------------------------- MSCI data copyright MSCI 2015, all
3.30% 6.48% 6.04% rights reserved.
--------------------------------------------------------------------------------
9
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
JAPANESE SMALL COMPANY PORTFOLIO VS.
MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
Japanese Small Company MSCI Japan Small Cap
Portfolio Index (net dividends)
------------------------------- ---------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,193 10,427
12/1/2005 11,350 11,838
1/1/2006 11,829 12,215
2/1/2006 11,116 11,419
3/1/2006 11,606 11,932
4/1/2006 11,829 11,991
5/1/2006 10,990 11,029
6/1/2006 10,569 10,684
7/1/2006 10,064 9,977
8/1/2006 10,225 10,243
9/1/2006 10,043 10,019
10/1/2006 9,963 9,954
11/1/2006 9,894 9,870
12/1/2006 9,980 9,928
1/1/2007 10,182 10,121
2/1/2007 10,592 10,520
3/1/2007 10,506 10,423
4/1/2007 10,361 10,245
5/1/2007 10,147 10,001
6/1/2007 10,311 10,066
7/1/2007 10,363 10,064
8/1/2007 9,927 9,451
9/1/2007 9,913 9,393
10/1/2007 9,977 9,733
11/1/2007 9,744 9,324
12/1/2007 9,128 8,766
1/1/2008 8,876 8,335
2/1/2008 8,800 8,427
3/1/2008 8,973 8,430
4/1/2008 9,038 8,534
5/1/2008 9,366 8,797
6/1/2008 8,921 8,257
7/1/2008 8,673 7,987
8/1/2008 8,193 7,634
9/1/2008 7,655 6,889
10/1/2008 7,097 6,161
11/1/2008 7,281 6,413
12/1/2008 8,022 6,912
1/1/2009 7,471 6,550
2/1/2009 6,496 5,689
3/1/2009 6,797 5,890
4/1/2009 7,066 6,191
5/1/2009 7,935 6,949
6/1/2009 8,460 7,391
7/1/2009 8,636 7,576
8/1/2009 9,089 8,000
9/1/2009 8,991 7,969
10/1/2009 8,665 7,677
11/1/2009 8,314 7,403
12/1/2009 8,279 7,265
1/1/2010 8,389 7,421
2/1/2010 8,548 7,562
3/1/2010 8,982 7,906
4/1/2010 9,244 8,120
5/1/2010 8,470 7,557
6/1/2010 8,600 7,590
7/1/2010 8,748 7,682
8/1/2010 8,508 7,520
9/1/2010 8,884 7,827
10/1/2010 8,693 7,763
11/1/2010 8,908 7,914
12/1/2010 9,728 8,713
1/1/2011 9,945 8,816
2/1/2011 10,403 9,171
3/1/2011 9,753 8,605
4/1/2011 9,703 8,613
5/1/2011 9,542 8,485
6/1/2011 10,017 8,801
7/1/2011 10,380 9,167
8/1/2011 10,098 8,792
9/1/2011 10,043 8,800
10/1/2011 9,525 8,475
11/1/2011 9,681 8,246
12/1/2011 9,630 8,374
1/1/2012 10,235 8,718
2/1/2012 10,247 8,813
3/1/2012 10,537 9,048
4/1/2012 10,317 8,917
5/1/2012 9,453 8,176
6/1/2012 9,954 8,525
7/1/2012 9,617 8,392
8/1/2012 9,617 8,344
9/1/2012 9,754 8,575
10/1/2012 9,544 8,389
11/1/2012 9,678 8,447
12/1/2012 10,031 8,710
1/1/2013 10,345 9,036
2/1/2013 10,596 9,342
3/1/2013 11,405 10,097
4/1/2013 12,009 10,761
5/1/2013 11,026 9,908
6/1/2013 11,122 9,881
7/1/2013 11,386 10,042
8/1/2013 11,129 9,906
9/1/2013 12,381 11,035
10/1/2013 12,413 10,989
11/1/2013 12,317 10,917
12/1/2013 12,404 11,004
1/1/2014 12,272 10,973
2/1/2014 12,219 10,729
3/1/2014 12,279 10,756
4/1/2014 12,093 10,557
5/1/2014 12,404 10,903
6/1/2014 13,277 11,675
7/1/2014 13,191 11,737
8/1/2014 13,317 11,653
9/1/2014 12,900 11,264
10/1/2014 12,662 10,963
11/1/2014 12,186 10,839
12/1/2014 12,288 10,952
1/1/2015 12,584 11,320
2/1/2015 13,102 11,728
3/1/2015 13,263 11,954
4/1/2015 13,586 12,178
5/1/2015 13,720 12,322
6/1/2015 14,002 12,502
7/1/2015 13,915 12,453
8/1/2015 13,485 12,027 Past performance is not predictive of
9/1/2015 13,075 11,595 future performance.
10/1/2015 13,754 12,369 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2015, all
8.62% 9.61% 3.24% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
ASIA PACIFIC SMALL COMPANY PORTFOLIO VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
Asia Pacific Small Company MSCI Pacific ex Japan Small Cap
Portfolio Index (net dividends)
------------------------------- --------------------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,248 10,379
12/1/2005 10,401 10,583
1/1/2006 11,101 11,189
2/1/2006 11,259 11,301
3/1/2006 11,828 11,779
4/1/2006 12,501 12,539
5/1/2006 11,794 11,899
6/1/2006 11,712 11,754
7/1/2006 11,933 11,875
8/1/2006 12,224 12,262
9/1/2006 12,347 12,465
10/1/2006 13,356 13,334
11/1/2006 14,093 14,144
12/1/2006 14,490 14,672
1/1/2007 14,866 15,045
2/1/2007 15,256 15,332
3/1/2007 16,051 16,123
4/1/2007 17,171 17,241
5/1/2007 18,632 17,918
6/1/2007 19,392 18,384
7/1/2007 19,693 18,379
8/1/2007 18,213 17,196
9/1/2007 20,345 18,722
10/1/2007 22,120 20,002
11/1/2007 20,654 18,395
12/1/2007 20,294 18,142
1/1/2008 18,249 15,711
2/1/2008 18,802 16,644
3/1/2008 17,889 15,594
4/1/2008 19,132 16,637
5/1/2008 19,967 16,817
6/1/2008 17,993 14,935
7/1/2008 16,929 14,249
8/1/2008 15,740 13,091
9/1/2008 13,035 10,536
10/1/2008 8,695 6,814
11/1/2008 7,861 6,071
12/1/2008 8,718 6,776
1/1/2009 7,640 6,030
2/1/2009 7,219 5,655
3/1/2009 8,338 6,466
4/1/2009 9,580 7,623
5/1/2009 12,055 9,451
6/1/2009 12,142 9,717
7/1/2009 13,891 11,121
8/1/2009 14,526 11,692
9/1/2009 15,653 12,671
10/1/2009 15,994 12,975
11/1/2009 16,740 13,348
12/1/2009 17,178 13,882
1/1/2010 16,243 12,994
2/1/2010 16,525 13,157
3/1/2010 17,884 14,241
4/1/2010 18,120 14,639
5/1/2010 15,609 12,429
6/1/2010 15,413 12,358
7/1/2010 17,119 13,615
8/1/2010 17,096 13,585
9/1/2010 19,689 15,625
10/1/2010 20,530 16,318
11/1/2010 20,249 16,100
12/1/2010 22,230 17,725
1/1/2011 21,749 17,210
2/1/2011 21,882 17,304
3/1/2011 22,341 17,835
4/1/2011 23,279 18,557
5/1/2011 22,590 18,132
6/1/2011 21,822 17,487
7/1/2011 22,175 17,745
8/1/2011 20,622 16,511
9/1/2011 16,773 13,509
10/1/2011 19,382 15,722
11/1/2011 18,860 14,650
12/1/2011 17,756 14,180
1/1/2012 19,587 15,653
2/1/2012 21,067 16,870
3/1/2012 20,752 16,342
4/1/2012 20,664 16,430
5/1/2012 18,083 14,297
6/1/2012 18,458 14,497
7/1/2012 18,725 14,974
8/1/2012 19,347 15,213
9/1/2012 20,299 16,023
10/1/2012 20,755 16,353
11/1/2012 21,041 16,514
12/1/2012 22,021 16,929
1/1/2013 23,121 17,826
2/1/2013 23,213 18,038
3/1/2013 23,315 18,083
4/1/2013 22,917 17,940
5/1/2013 21,209 16,619
6/1/2013 19,712 15,198
7/1/2013 20,673 15,806
8/1/2013 20,830 15,942
9/1/2013 22,289 17,169
10/1/2013 22,927 17,470
11/1/2013 22,114 16,732
12/1/2013 22,384 16,811
1/1/2014 21,324 16,033
2/1/2014 22,548 16,895
3/1/2014 22,876 17,207
4/1/2014 22,924 17,320
5/1/2014 22,943 17,461
6/1/2014 23,107 17,556
7/1/2014 23,589 17,938
8/1/2014 23,955 18,076
9/1/2014 21,739 16,415
10/1/2014 22,047 16,609
11/1/2014 21,170 16,082
12/1/2014 20,548 15,679
1/1/2015 20,061 15,370
2/1/2015 21,036 16,116
3/1/2015 20,731 15,826
4/1/2015 22,397 16,734
5/1/2015 22,641 16,652
6/1/2015 21,036 15,454
7/1/2015 20,010 14,756
8/1/2015 18,293 13,380 Past performance is not predictive of
9/1/2015 18,029 13,104 future performance.
10/1/2015 19,360 14,172 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
---------------------------------------------------------------- MSCI data copyright MSCI 2015, all
-12.19% -1.17% 6.83% rights reserved.
--------------------------------------------------------------------------------
10
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
UNITED KINGDOM SMALL COMPANY PORTFOLIO VS.
MSCI UK SMALL CAP INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
United Kingdom Small Company MSCI UK Small Cap
Portfolio Index (net dividends)
------------------------------- ----------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,427 10,499
12/1/2005 10,883 10,953
1/1/2006 11,731 11,845
2/1/2006 11,889 12,030
3/1/2006 12,083 12,274
4/1/2006 12,687 12,923
5/1/2006 12,425 12,637
6/1/2006 12,411 12,529
7/1/2006 12,497 12,432
8/1/2006 13,018 12,879
9/1/2006 13,394 13,257
10/1/2006 14,146 14,016
11/1/2006 15,030 14,924
12/1/2006 15,846 15,625
1/1/2007 15,947 15,588
2/1/2007 15,943 15,637
3/1/2007 16,682 16,284
4/1/2007 17,253 17,092
5/1/2007 17,480 17,202
6/1/2007 16,835 16,701
7/1/2007 16,738 16,607
8/1/2007 16,635 15,998
9/1/2007 16,056 15,092
10/1/2007 17,334 16,750
11/1/2007 15,322 14,812
12/1/2007 14,510 14,068
1/1/2008 13,530 12,936
2/1/2008 13,721 13,375
3/1/2008 13,664 13,206
4/1/2008 13,891 13,452
5/1/2008 13,927 13,516
6/1/2008 12,815 12,592
7/1/2008 12,360 12,089
8/1/2008 12,151 11,773
9/1/2008 10,272 9,608
10/1/2008 7,513 6,942
11/1/2008 6,976 6,298
12/1/2008 6,816 6,139
1/1/2009 6,652 6,105
2/1/2009 6,375 5,902
3/1/2009 6,648 6,245
4/1/2009 8,039 7,679
5/1/2009 8,859 8,490
6/1/2009 8,898 8,550
7/1/2009 9,668 9,337
8/1/2009 10,417 10,237
9/1/2009 10,719 10,474
10/1/2009 10,730 10,489
11/1/2009 10,692 10,380
12/1/2009 10,912 10,636
1/1/2010 10,802 10,587
2/1/2010 10,431 10,112
3/1/2010 11,301 11,004
4/1/2010 11,711 11,443
5/1/2010 10,382 10,068
6/1/2010 10,578 10,111
7/1/2010 12,002 11,327
8/1/2010 11,555 11,020
9/1/2010 12,785 12,234
10/1/2010 13,451 12,755
11/1/2010 12,785 12,224
12/1/2010 14,085 13,503
1/1/2011 14,286 13,634
2/1/2011 14,712 13,993
3/1/2011 14,432 13,752
4/1/2011 15,706 15,012
5/1/2011 15,605 14,822
6/1/2011 15,106 14,323
7/1/2011 14,999 14,283
8/1/2011 13,498 12,826
9/1/2011 12,132 11,474
10/1/2011 13,413 12,727
11/1/2011 13,001 12,233
12/1/2011 12,592 11,825
1/1/2012 13,700 13,025
2/1/2012 14,818 14,235
3/1/2012 15,131 14,281
4/1/2012 15,388 14,524
5/1/2012 13,649 12,725
6/1/2012 14,313 13,331
7/1/2012 14,550 13,573
8/1/2012 15,341 14,292
9/1/2012 16,125 15,055
10/1/2012 16,475 15,366
11/1/2012 16,576 15,372
12/1/2012 17,481 16,079
1/1/2013 17,787 16,502
2/1/2013 17,943 16,595
3/1/2013 18,473 17,042
4/1/2013 18,935 17,468
5/1/2013 19,103 17,704
6/1/2013 18,682 17,066
7/1/2013 20,255 18,487
8/1/2013 20,394 18,740
9/1/2013 21,765 20,147
10/1/2013 22,540 20,856
11/1/2013 23,046 21,347
12/1/2013 24,310 22,378
1/1/2014 23,729 21,902
2/1/2014 25,848 24,027
3/1/2014 25,048 23,160
4/1/2014 24,629 22,606
5/1/2014 24,598 22,649
6/1/2014 24,569 22,596
7/1/2014 23,797 21,957
8/1/2014 24,149 22,188
9/1/2014 22,769 20,886
10/1/2014 22,705 20,753
11/1/2014 22,529 20,760
12/1/2014 22,885 21,101
1/1/2015 22,360 20,526
2/1/2015 24,454 22,554
3/1/2015 23,175 21,516
4/1/2015 24,634 22,896
5/1/2015 25,864 23,946
6/1/2015 25,787 23,976
7/1/2015 25,835 24,147
8/1/2015 24,737 23,197 Past performance is not predictive of
9/1/2015 23,986 22,342 future performance.
10/1/2015 24,847 23,331 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2015, all
9.43% 13.06% 9.53% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CONTINENTAL SMALL COMPANY PORTFOLIO VS.
MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
Continental Small Company MSCI Europe ex UK
Portfolio Small Cap Index (net dividends)
------------------------- --------------------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,032 10,128
12/1/2005 10,545 10,714
1/1/2006 11,557 11,910
2/1/2006 11,882 12,246
3/1/2006 12,646 13,037
4/1/2006 13,516 13,961
5/1/2006 12,858 13,244
6/1/2006 12,620 12,942
7/1/2006 12,584 12,800
8/1/2006 12,912 13,101
9/1/2006 13,080 13,239
10/1/2006 13,733 13,946
11/1/2006 14,679 14,922
12/1/2006 15,378 15,626
1/1/2007 16,087 16,127
2/1/2007 16,101 16,196
3/1/2007 17,039 17,057
4/1/2007 17,933 18,089
5/1/2007 18,273 18,405
6/1/2007 18,068 18,229
7/1/2007 17,964 18,095
8/1/2007 17,316 17,276
9/1/2007 17,697 17,620
10/1/2007 18,550 18,675
11/1/2007 17,173 17,338
12/1/2007 16,830 16,987
1/1/2008 15,225 14,942
2/1/2008 15,875 15,845
3/1/2008 16,375 16,168
4/1/2008 16,563 16,444
5/1/2008 16,876 16,700
6/1/2008 15,448 15,157
7/1/2008 14,628 14,296
8/1/2008 14,222 13,906
9/1/2008 11,742 11,027
10/1/2008 8,606 7,924
11/1/2008 7,933 7,267
12/1/2008 8,759 7,939
1/1/2009 7,764 7,226
2/1/2009 7,089 6,590
3/1/2009 7,599 7,099
4/1/2009 8,836 8,577
5/1/2009 10,121 9,857
6/1/2009 9,990 9,731
7/1/2009 10,783 10,604
8/1/2009 11,681 11,693
9/1/2009 12,678 12,813
10/1/2009 12,317 12,464
11/1/2009 12,686 12,720
12/1/2009 12,642 12,777
1/1/2010 12,428 12,607
2/1/2010 12,165 12,248
3/1/2010 13,062 13,242
4/1/2010 12,939 13,158
5/1/2010 11,095 11,122
6/1/2010 11,017 10,956
7/1/2010 12,336 12,269
8/1/2010 11,769 11,686
9/1/2010 13,394 13,489
10/1/2010 14,146 14,354
11/1/2010 13,043 13,267
12/1/2010 14,737 15,124
1/1/2011 15,149 15,466
2/1/2011 15,401 15,728
3/1/2011 15,922 16,259
4/1/2011 16,989 17,395
5/1/2011 16,409 16,731
6/1/2011 15,876 16,191
7/1/2011 14,972 15,209
8/1/2011 13,438 13,620
9/1/2011 11,402 11,574
10/1/2011 12,577 12,842
11/1/2011 11,736 11,838
12/1/2011 11,278 11,436
1/1/2012 12,345 12,570
2/1/2012 13,128 13,535
3/1/2012 13,154 13,425
4/1/2012 12,844 13,201
5/1/2012 11,087 11,391
6/1/2012 11,563 11,952
7/1/2012 11,449 11,910
8/1/2012 11,960 12,429
9/1/2012 12,589 13,098
10/1/2012 12,809 13,324
11/1/2012 12,968 13,528
12/1/2012 13,751 14,258
1/1/2013 14,789 15,419
2/1/2013 14,638 15,371
3/1/2013 14,310 14,976
4/1/2013 14,887 15,558
5/1/2013 15,162 15,911
6/1/2013 14,655 15,203
7/1/2013 15,927 16,586
8/1/2013 15,945 16,555
9/1/2013 17,331 17,970
10/1/2013 18,316 19,052
11/1/2013 18,642 19,391
12/1/2013 19,160 19,894
1/1/2014 19,042 19,730
2/1/2014 20,709 21,454
3/1/2014 20,808 21,472
4/1/2014 20,999 21,562
5/1/2014 21,080 21,804
6/1/2014 20,893 21,591
7/1/2014 19,661 20,318
8/1/2014 19,422 20,154
9/1/2014 18,378 19,044
10/1/2014 17,825 18,422
11/1/2014 18,249 18,962
12/1/2014 17,669 18,509
1/1/2015 17,780 18,552
2/1/2015 18,999 19,921
3/1/2015 18,907 19,719
4/1/2015 19,914 20,774
5/1/2015 19,932 20,637
6/1/2015 19,503 20,148
7/1/2015 20,046 20,896
8/1/2015 19,287 20,088 Past performance is not predictive of
9/1/2015 18,601 19,409 future performance.
10/1/2015 19,494 20,519 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
-------------------------------------------------------------- MSCI data copyright MSCI 2015, all
9.37% 6.62% 6.90% rights reserved.
--------------------------------------------------------------------------------
11
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO VS.
S&P GLOBAL EX U.S. REIT INDEX (NET DIVIDENDS)
March 1, 2007-October 31, 2015
[CHART]
DFA International
Real Estate Securities S&P Global ex U.S.
Portfolio REIT Index (net dividends)
------------------------------- --------------------------
3/1/2007 $10,000 10,000
3/1/2007 10,480 10,343
4/1/2007 10,570 10,492
5/1/2007 10,780 10,647
6/1/2007 10,061 9,995
7/1/2007 9,459 9,513
8/1/2007 9,679 9,662
9/1/2007 10,130 10,149
10/1/2007 10,211 10,249
11/1/2007 9,462 9,433
12/1/2007 8,995 9,061
1/1/2008 8,627 8,529
2/1/2008 8,585 8,635
3/1/2008 8,606 8,552
4/1/2008 8,659 8,703
5/1/2008 8,332 8,348
6/1/2008 7,450 7,505
7/1/2008 7,215 7,301
8/1/2008 6,970 7,088
9/1/2008 6,457 6,368
10/1/2008 4,461 4,537
11/1/2008 4,152 4,234
12/1/2008 4,325 4,363
1/1/2009 3,873 3,947
2/1/2009 3,356 3,433
3/1/2009 3,587 3,636
4/1/2009 3,950 4,053
5/1/2009 4,479 4,503
6/1/2009 4,578 4,610
7/1/2009 4,985 5,022
8/1/2009 5,535 5,634
9/1/2009 5,887 6,017
10/1/2009 5,766 5,922
11/1/2009 5,832 5,926
12/1/2009 5,925 6,027
1/1/2010 5,704 5,831
2/1/2010 5,728 5,809
3/1/2010 5,925 6,011
4/1/2010 5,974 6,082
5/1/2010 5,347 5,414
6/1/2010 5,360 5,435
7/1/2010 5,987 6,026
8/1/2010 5,999 6,044
9/1/2010 6,577 6,624
10/1/2010 6,859 6,894
11/1/2010 6,429 6,471
12/1/2010 6,997 7,046
1/1/2011 7,025 7,045
2/1/2011 7,318 7,329
3/1/2011 7,332 7,348
4/1/2011 7,792 7,804
5/1/2011 7,750 7,761
6/1/2011 7,694 7,685
7/1/2011 7,569 7,575
8/1/2011 7,262 7,261
9/1/2011 6,328 6,367
10/1/2011 6,830 6,889
11/1/2011 6,691 6,606
12/1/2011 6,455 6,440
1/1/2012 6,897 6,857
2/1/2012 7,133 7,133
3/1/2012 7,221 7,159
4/1/2012 7,369 7,331
5/1/2012 6,941 6,853
6/1/2012 7,398 7,322
7/1/2012 7,737 7,719
8/1/2012 7,855 7,792
9/1/2012 8,032 8,000
10/1/2012 8,356 8,295
11/1/2012 8,415 8,352
12/1/2012 8,611 8,495
1/1/2013 8,745 8,714
2/1/2013 8,811 8,792
3/1/2013 9,161 9,125
4/1/2013 9,644 9,604
5/1/2013 8,761 8,738
6/1/2013 8,445 8,368
7/1/2013 8,478 8,386
8/1/2013 8,162 8,091
9/1/2013 8,861 8,784
10/1/2013 9,128 9,045
11/1/2013 8,845 8,764
12/1/2013 8,807 8,696
1/1/2014 8,649 8,539
2/1/2014 9,158 9,013
3/1/2014 9,140 8,980
4/1/2014 9,526 9,339
5/1/2014 9,807 9,618
6/1/2014 10,018 9,863
7/1/2014 10,000 9,879
8/1/2014 10,175 10,042
9/1/2014 9,509 9,368
10/1/2014 9,877 9,661
11/1/2014 9,912 9,755
12/1/2014 9,785 9,647
1/1/2015 10,158 9,968
2/1/2015 10,326 10,149
3/1/2015 10,046 9,857
4/1/2015 10,270 10,074
5/1/2015 9,990 9,793
6/1/2015 9,766 9,546
7/1/2015 9,841 9,650
8/1/2015 9,299 9,107 Past performance is not predictive of
9/1/2015 9,374 9,136 future performance.
10/1/2015 9,841 9,665 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Since would pay on fund distributions or the
Total Return Year Years Inception redemption of fund shares.
--------------------------------------------------------------- The S&P data are provided by Standard
-0.37% 7.49% -0.18% & Poor's Index Services Group.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO VS.
S&P GLOBAL REIT INDEX (NET DIVIDENDS)
June 4, 2008-October 31, 2015
[CHART]
DFA Global Real S&P Global
Estate Securities Portfolio REIT Index (net dividends)
--------------------------- --------------------------
6/1/2008 $10,000 $10,000
6/1/2008 9,000 8,970
7/1/2008 9,020 8,995
8/1/2008 9,000 8,979
9/1/2008 8,710 8,552
10/1/2008 6,040 5,939
11/1/2008 5,040 4,955
12/1/2008 5,632 5,465
1/1/2009 4,817 4,698
2/1/2009 3,982 3,887
3/1/2009 4,186 4,070
4/1/2009 5,051 4,921
5/1/2009 5,438 5,235
6/1/2009 5,408 5,208
7/1/2009 5,937 5,716
8/1/2009 6,670 6,460
9/1/2009 7,108 6,889
10/1/2009 6,874 6,673
11/1/2009 7,159 6,897
12/1/2009 7,471 7,199
1/1/2010 7,133 6,884
2/1/2010 7,362 7,066
3/1/2010 7,875 7,557
4/1/2010 8,202 7,887
5/1/2010 7,591 7,270
6/1/2010 7,373 7,054
7/1/2010 8,158 7,772
8/1/2010 8,115 7,722
9/1/2010 8,649 8,231
10/1/2010 9,031 8,595
11/1/2010 8,682 8,264
12/1/2010 9,249 8,789
1/1/2011 9,448 8,947
2/1/2011 9,856 9,334
3/1/2011 9,786 9,258
4/1/2011 10,370 9,804
5/1/2011 10,428 9,853
6/1/2011 10,195 9,617
7/1/2011 10,218 9,647
8/1/2011 9,728 9,153
9/1/2011 8,583 8,093
10/1/2011 9,588 9,052
11/1/2011 9,296 8,693
12/1/2011 9,417 8,843
1/1/2012 10,020 9,412
2/1/2012 10,092 9,489
3/1/2012 10,454 9,791
4/1/2012 10,719 10,055
5/1/2012 10,176 9,518
6/1/2012 10,791 10,090
7/1/2012 11,105 10,413
8/1/2012 11,153 10,448
9/1/2012 11,117 10,424
10/1/2012 11,249 10,520
11/1/2012 11,249 10,526
12/1/2012 11,599 10,822
1/1/2013 11,921 11,170
2/1/2013 12,037 11,290
3/1/2013 12,423 11,651
4/1/2013 13,182 12,361
5/1/2013 12,230 11,472
6/1/2013 11,921 11,139
7/1/2013 11,998 11,213
8/1/2013 11,316 10,573
9/1/2013 11,908 11,121
10/1/2013 12,346 11,548
11/1/2013 11,805 11,041
12/1/2013 11,804 11,010
1/1/2014 12,005 11,195
2/1/2014 12,659 11,773
3/1/2014 12,699 11,783
4/1/2014 13,180 12,205
5/1/2014 13,527 12,519
6/1/2014 13,714 12,718
7/1/2014 13,714 12,724
8/1/2014 14,048 13,028
9/1/2014 13,166 12,200
10/1/2014 14,195 13,084
11/1/2014 14,395 13,289
12/1/2014 14,489 13,381
1/1/2015 15,321 14,107
2/1/2015 15,057 13,878
3/1/2015 15,071 13,866
4/1/2015 14,628 13,456
5/1/2015 14,447 13,286
6/1/2015 13,934 12,771
7/1/2015 14,461 13,264
8/1/2015 13,615 12,462 Past performance is not predictive of
9/1/2015 13,934 12,702 future performance.
10/1/2015 14,683 13,423 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Since would pay on fund distributions or the
Total Return Year Years Inception redemption of fund shares.
--------------------------------------------------------------- The S&P data are provided by Standard
3.44% 10.21% 5.32% & Poor's Index Services Group.
--------------------------------------------------------------------------------
12
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
DFA International Small Cap Value MSCI World ex USA
Portfolio Small Cap Index (net dividends)
--------------------------------- -------------------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,186 10,333
12/1/2005 10,842 11,137
1/1/2006 11,636 11,931
2/1/2006 11,661 11,781
3/1/2006 12,217 12,335
4/1/2006 12,724 12,909
5/1/2006 12,113 12,195
6/1/2006 11,887 11,898
7/1/2006 11,844 11,608
8/1/2006 12,146 11,947
9/1/2006 12,261 11,915
10/1/2006 12,799 12,388
11/1/2006 13,417 12,921
12/1/2006 13,920 13,303
1/1/2007 14,291 13,575
2/1/2007 14,550 13,813
3/1/2007 15,182 14,271
4/1/2007 15,632 14,821
5/1/2007 15,931 15,040
6/1/2007 15,863 15,007
7/1/2007 15,823 14,915
8/1/2007 15,174 14,128
9/1/2007 15,490 14,448
10/1/2007 16,100 15,423
11/1/2007 14,792 14,155
12/1/2007 14,330 13,740
1/1/2008 13,385 12,408
2/1/2008 13,678 12,998
3/1/2008 13,805 12,854
4/1/2008 14,040 13,167
5/1/2008 14,348 13,433
6/1/2008 13,095 12,396
7/1/2008 12,513 11,771
8/1/2008 12,110 11,335
9/1/2008 10,367 9,341
10/1/2008 8,111 7,035
11/1/2008 7,661 6,695
12/1/2008 8,358 7,141
1/1/2009 7,653 6,726
2/1/2009 6,812 6,112
3/1/2009 7,256 6,504
4/1/2009 8,433 7,507
5/1/2009 9,594 8,618
6/1/2009 9,562 8,721
7/1/2009 10,453 9,422
8/1/2009 11,358 10,149
9/1/2009 11,893 10,719
10/1/2009 11,470 10,554
11/1/2009 11,524 10,636
12/1/2009 11,660 10,770
1/1/2010 11,436 10,628
2/1/2010 11,327 10,568
3/1/2010 12,247 11,353
4/1/2010 12,401 11,577
5/1/2010 10,732 10,186
6/1/2010 10,517 10,091
7/1/2010 11,539 10,956
8/1/2010 11,001 10,672
9/1/2010 12,236 11,882
10/1/2010 12,619 12,372
11/1/2010 12,259 12,048
12/1/2010 13,770 13,410
1/1/2011 14,058 13,480
2/1/2011 14,467 13,864
3/1/2011 14,539 13,851
4/1/2011 15,163 14,538
5/1/2011 14,643 14,135
6/1/2011 14,323 13,829
7/1/2011 14,048 13,754
8/1/2011 12,712 12,667
9/1/2011 11,212 11,213
10/1/2011 12,065 12,123
11/1/2011 11,675 11,514
12/1/2011 11,365 11,290
1/1/2012 12,503 12,223
2/1/2012 13,248 12,915
3/1/2012 13,265 12,829
4/1/2012 12,897 12,763
5/1/2012 11,256 11,263
6/1/2012 11,811 11,651
7/1/2012 11,778 11,741
8/1/2012 12,210 12,079
9/1/2012 12,781 12,651
10/1/2012 12,900 12,713
11/1/2012 13,079 12,778
12/1/2012 13,895 13,263
1/1/2013 14,608 13,902
2/1/2013 14,695 13,951
3/1/2013 14,994 14,223
4/1/2013 15,420 14,636
5/1/2013 15,116 14,292
6/1/2013 14,655 13,727
7/1/2013 15,748 14,585
8/1/2013 15,554 14,560
9/1/2013 17,061 15,782
10/1/2013 17,775 16,248
11/1/2013 17,802 16,269
12/1/2013 18,395 16,652
1/1/2014 18,142 16,365
2/1/2014 19,389 17,292
3/1/2014 19,515 17,227
4/1/2014 19,434 17,174
5/1/2014 19,588 17,389
6/1/2014 19,895 17,784
7/1/2014 19,197 17,323
8/1/2014 19,324 17,366
9/1/2014 18,199 16,314
10/1/2014 17,798 15,900
11/1/2014 17,671 15,885
12/1/2014 17,477 15,762
1/1/2015 17,364 15,623
2/1/2015 18,661 16,622
3/1/2015 18,295 16,398
4/1/2015 19,216 17,232
5/1/2015 19,516 17,336
6/1/2015 19,244 17,080
7/1/2015 19,008 17,054
8/1/2015 18,197 16,295 Past performance is not predictive of
9/1/2015 17,470 15,709 future performance.
10/1/2015 18,388 16,641 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
-------------------------------------------------------------- MSCI data copyright MSCI 2015, all
3.31% 7.82% 6.28% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL VECTOR EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
August 14, 2008-October 31, 2015
[CHART]
International Vector MSCI World ex USA
Equity Portfolio Index (net dividends)
-------------------- ---------------------
8/1/2008 $10,000 $10,000
8/1/2008 10,050 10,052
9/1/2008 8,750 8,601
10/1/2008 6,740 6,812
11/1/2008 6,340 6,442
12/1/2008 6,798 6,782
1/1/2009 6,065 6,149
2/1/2009 5,392 5,527
3/1/2009 5,903 5,891
4/1/2009 6,919 6,650
5/1/2009 7,985 7,491
6/1/2009 7,932 7,414
7/1/2009 8,715 8,110
8/1/2009 9,274 8,499
9/1/2009 9,740 8,849
10/1/2009 9,404 8,707
11/1/2009 9,608 8,923
12/1/2009 9,715 9,065
1/1/2010 9,377 8,640
2/1/2010 9,357 8,631
3/1/2010 10,099 9,187
4/1/2010 10,120 9,050
5/1/2010 8,870 8,051
6/1/2010 8,736 7,935
7/1/2010 9,659 8,668
8/1/2010 9,254 8,409
9/1/2010 10,289 9,216
10/1/2010 10,684 9,544
11/1/2010 10,300 9,140
12/1/2010 11,397 9,876
1/1/2011 11,660 10,089
2/1/2011 12,050 10,463
3/1/2011 11,881 10,253
4/1/2011 12,482 10,812
5/1/2011 12,071 10,491
6/1/2011 11,823 10,342
7/1/2011 11,545 10,171
8/1/2011 10,519 9,311
9/1/2011 9,260 8,376
10/1/2011 10,045 9,191
11/1/2011 9,733 8,766
12/1/2011 9,464 8,670
1/1/2012 10,238 9,138
2/1/2012 10,780 9,641
3/1/2012 10,780 9,570
4/1/2012 10,514 9,407
5/1/2012 9,219 8,335
6/1/2012 9,745 8,881
7/1/2012 9,700 8,991
8/1/2012 10,038 9,248
9/1/2012 10,435 9,529
10/1/2012 10,537 9,595
11/1/2012 10,706 9,797
12/1/2012 11,253 10,093
1/1/2013 11,755 10,590
2/1/2013 11,652 10,484
3/1/2013 11,784 10,567
4/1/2013 12,218 11,049
5/1/2013 11,944 10,801
6/1/2013 11,564 10,397
7/1/2013 12,305 10,950
8/1/2013 12,213 10,809
9/1/2013 13,183 11,573
10/1/2013 13,648 11,961
11/1/2013 13,682 12,034
12/1/2013 13,989 12,215
1/1/2014 13,612 11,722
2/1/2014 14,448 12,362
3/1/2014 14,414 12,306
4/1/2014 14,555 12,501
5/1/2014 14,685 12,694
6/1/2014 14,923 12,874
7/1/2014 14,493 12,645
8/1/2014 14,553 12,655
9/1/2014 13,757 12,135
10/1/2014 13,505 11,942
11/1/2014 13,445 12,089
12/1/2014 13,112 11,687
1/1/2015 13,015 11,646
2/1/2015 13,893 12,342
3/1/2015 13,649 12,135
4/1/2015 14,356 12,661
5/1/2015 14,393 12,551
6/1/2015 14,064 12,194
7/1/2015 13,990 12,387
8/1/2015 13,186 11,485
9/1/2015 12,594 10,905
10/1/2015 13,351 11,726
Average Annual One Five Since
Total Return Year Years Inception
-----------------------------------------------------------------------------------------------
-1.14% 4.56% 4.09%
Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual would pay on fund distributions or the
Total Return redemption of fund shares.
------------------------------MSCI data copyright MSCI 2015, all
rights reserved.
--------------------------------------------------------------------------------
13
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
WORLD EX U.S. VALUE PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
August 23, 2010-October 31, 2015
[CHART]
World Ex U.S. MSCI All Country World
Value Portfolio ex USA Index (net dividends)
------------------ -----------------------------
8/1/2010 $10,000 $10,000
8/1/2010 9,890 9,920
9/1/2010 10,980 10,906
10/1/2010 11,350 11,278
11/1/2010 10,850 10,843
12/1/2010 11,859 11,692
1/1/2011 12,122 11,807
2/1/2011 12,385 12,118
3/1/2011 12,311 12,090
4/1/2011 12,899 12,681
5/1/2011 12,433 12,315
6/1/2011 12,238 12,136
7/1/2011 11,920 11,971
8/1/2011 10,670 10,945
9/1/2011 9,314 9,727
10/1/2011 10,261 10,752
11/1/2011 9,880 10,203
12/1/2011 9,590 10,089
1/1/2012 10,422 10,774
2/1/2012 10,984 11,379
3/1/2012 10,811 11,222
4/1/2012 10,436 11,045
5/1/2012 9,177 9,791
6/1/2012 9,755 10,369
7/1/2012 9,703 10,515
8/1/2012 10,041 10,735
9/1/2012 10,475 11,136
10/1/2012 10,538 11,179
11/1/2012 10,687 11,392
12/1/2012 11,281 11,787
1/1/2013 11,720 12,266
2/1/2013 11,442 12,137
3/1/2013 11,460 12,161
4/1/2013 11,899 12,608
5/1/2013 11,696 12,316
6/1/2013 11,154 11,782
7/1/2013 11,796 12,298
8/1/2013 11,666 12,128
9/1/2013 12,556 12,971
10/1/2013 13,026 13,447
11/1/2013 12,993 13,470
12/1/2013 13,201 13,589
1/1/2014 12,652 12,972
2/1/2014 13,289 13,623
3/1/2014 13,361 13,658
4/1/2014 13,527 13,839
5/1/2014 13,760 14,108
6/1/2014 13,969 14,345
7/1/2014 13,778 14,203
8/1/2014 13,857 14,281
9/1/2014 13,101 13,590
10/1/2014 12,921 13,455
11/1/2014 12,864 13,552
12/1/2014 12,384 13,064
1/1/2015 12,293 13,044
2/1/2015 13,080 13,742
3/1/2015 12,783 13,520
4/1/2015 13,604 14,203
5/1/2015 13,490 13,981
6/1/2015 13,108 13,591
7/1/2015 12,774 13,553
8/1/2015 11,805 12,517 Past performance is not predictive of
9/1/2015 11,128 11,937 future performance.
10/1/2015 11,916 12,825 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Since would pay on fund distributions or the
Total Return Year Years Inception redemption of fund shares.
------------------------------------------------- MSCI data copyright MSCI 2015, all
-7.77% 0.98% 3.44% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
WORLD EX U.S. TARGETED VALUE PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
November 1, 2012-October 31, 2015
[CHART]
World Ex U.S. Targeted MSCI All Country World ex USA
Value Portfolio Small Cap Index (net dividends)
----------------------- ----------------------------------
11/1/2012 $10,000 $10,000
11/1/2012 10,120 10,013
12/1/2012 10,735 10,417
1/1/2013 11,157 10,868
2/1/2013 11,147 10,925
3/1/2013 11,278 11,098
4/1/2013 11,549 11,398
5/1/2013 11,298 11,175
6/1/2013 10,766 10,607
7/1/2013 11,376 11,134
8/1/2013 11,193 11,038
9/1/2013 12,191 11,920
10/1/2013 12,690 12,289
11/1/2013 12,629 12,257
12/1/2013 12,872 12,472
1/1/2014 12,497 12,231
2/1/2014 13,185 12,888
3/1/2014 13,404 12,904
4/1/2014 13,404 12,883
5/1/2014 13,633 13,090
6/1/2014 13,888 13,374
7/1/2014 13,616 13,121
8/1/2014 13,773 13,215
9/1/2014 12,908 12,464
10/1/2014 12,698 12,170
11/1/2014 12,571 12,119
12/1/2014 12,294 11,969
1/1/2015 12,219 11,925
2/1/2015 12,977 12,575
3/1/2015 12,710 12,439
4/1/2015 13,511 13,182
5/1/2015 13,489 13,256
6/1/2015 13,224 12,964
7/1/2015 12,816 12,717
8/1/2015 12,088 12,007 Past performance is not predictive of
9/1/2015 11,599 11,665 future performance.
10/1/2015 12,332 12,356 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Since would pay on fund distributions or the
Total Return Year Inception redemption of fund shares.
--------------------------------------------------------- MSCI data copyright MSCI 2015, all
-2.88% 7.24% rights reserved.
--------------------------------------------------------------------------------
14
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
WORLD EX U.S. CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
April 9, 2013-October 31, 2015
[CHART]
World Ex U.S. Core MSCI All Country World
Equity Portfolio ex USA Index (net dividends)
------------------ ----------------------------
4/1/2013 $10,000 $10,000
4/1/2013 10,160 10,415
5/1/2013 9,890 10,174
6/1/2013 9,485 9,733
7/1/2013 9,971 10,159
8/1/2013 9,830 10,019
9/1/2013 10,575 10,715
10/1/2013 10,962 11,108
11/1/2013 10,952 11,127
12/1/2013 11,104 11,225
1/1/2014 10,653 10,715
2/1/2014 11,227 11,254
3/1/2014 11,309 11,282
4/1/2014 11,422 11,431
5/1/2014 11,597 11,654
6/1/2014 11,810 11,850
7/1/2014 11,592 11,732
8/1/2014 11,706 11,797
9/1/2014 11,072 11,226
10/1/2014 10,957 11,115
11/1/2014 10,916 11,195
12/1/2014 10,565 10,791
1/1/2015 10,565 10,775
2/1/2015 11,162 11,351
3/1/2015 10,968 11,168
4/1/2015 11,608 11,732
5/1/2015 11,534 11,549
6/1/2015 11,209 11,227
7/1/2015 10,976 11,196
8/1/2015 10,234 10,340 Past performance is not predictive of
9/1/2015 9,847 9,860 future performance.
10/1/2015 10,465 10,595 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Since would pay on fund distributions or the
Total Return Year Inception redemption of fund shares.
--------------------------------------------------------- MSCI data copyright MSCI 2015, all
-4.50% 1.79% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
WORLD CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS)
March 7, 2012-October 31, 2015
[CHART]
MSCI All Country World
World Core Equity Portfolio Index (net dividends)
------------------------------- -------------------------
3/1/2012 $10,000 $10,000
3/1/2012 10,170 10,307
4/1/2012 10,050 10,189
5/1/2012 9,400 9,276
6/1/2012 9,822 9,734
7/1/2012 9,913 9,867
8/1/2012 10,175 10,082
9/1/2012 10,465 10,399
10/1/2012 10,354 10,330
11/1/2012 10,425 10,462
12/1/2012 10,644 10,699
1/1/2013 11,175 11,192
2/1/2013 11,266 11,190
3/1/2013 11,598 11,395
4/1/2013 11,843 11,720
5/1/2013 11,986 11,688
6/1/2013 11,754 11,346
7/1/2013 12,382 11,890
8/1/2013 12,053 11,642
9/1/2013 12,609 12,243
10/1/2013 13,125 12,735
11/1/2013 13,477 12,916
12/1/2013 13,786 13,138
1/1/2014 13,260 12,613
2/1/2014 13,902 13,222
3/1/2014 14,000 13,281
4/1/2014 14,074 13,407
5/1/2014 14,359 13,693
6/1/2014 14,684 13,950
7/1/2014 14,355 13,781
8/1/2014 14,726 14,086
9/1/2014 14,116 13,629
10/1/2014 14,222 13,725
11/1/2014 14,340 13,954
12/1/2014 14,128 13,685
1/1/2015 13,902 13,471
2/1/2015 14,731 14,221
3/1/2015 14,555 14,001
4/1/2015 14,944 14,407
5/1/2015 14,987 14,388
6/1/2015 14,696 14,049
7/1/2015 14,642 14,171
8/1/2015 13,729 13,200 Past performance is not predictive of
9/1/2015 13,239 12,722 future performance.
10/1/2015 14,135 13,720 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Since would pay on fund distributions or the
Total Return Year Inception redemption of fund shares.
-------------------------------------------------------- MSCI data copyright MSCI 2015, all
-0.61% 9.94% rights reserved.
--------------------------------------------------------------------------------
15
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS)
November 14, 2011-October 31, 2015
[CHART]
Selectively Hedged Global MSCI All Country World
Equity Portfolio Index (net dividends)
------------------------- -----------------------
11/1/2011 $10,000 $10,000
11/1/2011 9,920 9,873
12/1/2011 9,828 9,853
1/1/2012 10,533 10,426
2/1/2012 11,077 10,951
3/1/2012 11,141 11,024
4/1/2012 10,939 10,898
5/1/2012 9,962 9,921
6/1/2012 10,442 10,410
7/1/2012 10,463 10,553
8/1/2012 10,748 10,782
9/1/2012 11,122 11,122
10/1/2012 11,112 11,048
11/1/2012 11,265 11,189
12/1/2012 11,718 11,443
1/1/2013 12,225 11,970
2/1/2013 12,287 11,968
3/1/2013 12,576 12,187
4/1/2013 12,814 12,535
5/1/2013 12,897 12,501
6/1/2013 12,514 12,135
7/1/2013 13,114 12,716
8/1/2013 12,845 12,451
9/1/2013 13,569 13,094
10/1/2013 14,096 13,621
11/1/2013 14,324 13,813
12/1/2013 14,611 14,052
1/1/2014 14,001 13,490
2/1/2014 14,675 14,141
3/1/2014 14,847 14,204
4/1/2014 14,879 14,339
5/1/2014 15,136 14,644
6/1/2014 15,500 14,920
7/1/2014 15,200 14,739
8/1/2014 15,628 15,065
9/1/2014 15,061 14,576
10/1/2014 15,200 14,679
11/1/2014 15,360 14,924
12/1/2014 15,182 14,636
1/1/2015 14,958 14,408
2/1/2015 15,878 15,210
3/1/2015 15,766 14,974
4/1/2015 16,136 15,409
5/1/2015 16,226 15,388
6/1/2015 15,867 15,026
7/1/2015 15,754 15,157
8/1/2015 14,700 14,118 Past performance is not predictive of
9/1/2015 14,172 13,606 future performance.
10/1/2015 15,148 14,674 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Since would pay on fund distributions or the
Total Return Year Inception redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2015, all
-0.34% 11.05% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
MSCI Emerging Markets
Emerging Markets Portfolio Index (net dividends)
-------------------------- ---------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,722 10,827
12/1/2005 11,340 11,467
1/1/2006 12,419 12,748
2/1/2006 12,381 12,733
3/1/2006 12,549 12,845
4/1/2006 13,297 13,760
5/1/2006 11,758 12,318
6/1/2006 11,740 12,288
7/1/2006 11,955 12,461
8/1/2006 12,328 12,779
9/1/2006 12,494 12,885
10/1/2006 13,237 13,497
11/1/2006 14,080 14,500
12/1/2006 14,647 15,153
1/1/2007 14,860 14,993
2/1/2007 14,625 14,904
3/1/2007 15,291 15,496
4/1/2007 16,261 16,231
5/1/2007 17,348 17,019
6/1/2007 17,631 17,816
7/1/2007 18,048 18,756
8/1/2007 17,732 18,358
9/1/2007 19,295 20,385
10/1/2007 21,401 22,659
11/1/2007 20,004 21,052
12/1/2007 19,923 21,126
1/1/2008 18,182 18,490
2/1/2008 18,758 19,855
3/1/2008 18,172 18,804
4/1/2008 19,464 20,330
5/1/2008 19,577 20,707
6/1/2008 17,562 18,641
7/1/2008 17,328 17,938
8/1/2008 16,296 16,506
9/1/2008 14,023 13,617
10/1/2008 10,328 9,890
11/1/2008 9,389 9,146
12/1/2008 10,121 9,859
1/1/2009 9,347 9,222
2/1/2009 8,734 8,702
3/1/2009 9,997 9,953
4/1/2009 11,473 11,609
5/1/2009 13,428 13,593
6/1/2009 13,310 13,409
7/1/2009 14,828 14,917
8/1/2009 14,878 14,864
9/1/2009 16,181 16,213
10/1/2009 15,842 16,233
11/1/2009 16,784 16,930
12/1/2009 17,384 17,599
1/1/2010 16,432 16,618
2/1/2010 16,630 16,676
3/1/2010 18,017 18,022
4/1/2010 18,120 18,241
5/1/2010 16,429 16,636
6/1/2010 16,455 16,514
7/1/2010 17,899 17,889
8/1/2010 17,480 17,542
9/1/2010 19,462 19,491
10/1/2010 20,046 20,057
11/1/2010 19,592 19,528
12/1/2010 21,177 20,921
1/1/2011 20,625 20,354
2/1/2011 20,473 20,164
3/1/2011 21,605 21,349
4/1/2011 22,358 22,012
5/1/2011 21,737 21,434
6/1/2011 21,472 21,104
7/1/2011 21,298 21,011
8/1/2011 19,568 19,133
9/1/2011 16,606 16,344
10/1/2011 18,679 18,508
11/1/2011 18,021 17,275
12/1/2011 17,489 17,067
1/1/2012 19,366 19,003
2/1/2012 20,410 20,141
3/1/2012 19,873 19,468
4/1/2012 19,513 19,236
5/1/2012 17,408 17,079
6/1/2012 18,260 17,738
7/1/2012 18,408 18,084
8/1/2012 18,519 18,024
9/1/2012 19,553 19,111
10/1/2012 19,441 18,995
11/1/2012 19,695 19,236
12/1/2012 20,840 20,177
1/1/2013 20,946 20,455
2/1/2013 20,696 20,198
3/1/2013 20,396 19,850
4/1/2013 20,616 20,000
5/1/2013 19,942 19,487
6/1/2013 18,687 18,246
7/1/2013 18,954 18,437
8/1/2013 18,503 18,120
9/1/2013 19,822 19,298
10/1/2013 20,721 20,236
11/1/2013 20,406 19,940
12/1/2013 20,190 19,652
1/1/2014 18,782 18,376
2/1/2014 19,459 18,984
3/1/2014 20,135 19,567
4/1/2014 20,252 19,633
5/1/2014 20,936 20,318
6/1/2014 21,512 20,858
7/1/2014 21,762 21,261
8/1/2014 22,434 21,740
9/1/2014 20,777 20,129
10/1/2014 20,997 20,366
11/1/2014 20,785 20,151
12/1/2014 19,844 19,222
1/1/2015 19,971 19,337
2/1/2015 20,573 19,936
3/1/2015 20,137 19,652
4/1/2015 21,477 21,164
5/1/2015 20,613 20,316
6/1/2015 20,110 19,789
7/1/2015 18,814 18,417
8/1/2015 17,256 16,751 Past performance is not predictive of
9/1/2015 16,787 16,247 future performance.
10/1/2015 17,798 17,406 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
--------------------------------------------------------- MSCI data copyright MSCI 2015, all
-15.24% -2.35% 5.93% rights reserved.
--------------------------------------------------------------------------------
16
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
Emerging Markets Small Cap MSCI Emerging Markets
Portfolio Index (net dividends)
------------------------------- ---------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,713 10,827
12/1/2005 11,415 11,467
1/1/2006 12,517 12,748
2/1/2006 12,649 12,733
3/1/2006 12,880 12,845
4/1/2006 13,926 13,760
5/1/2006 12,460 12,318
6/1/2006 11,910 12,288
7/1/2006 12,184 12,461
8/1/2006 12,607 12,779
9/1/2006 12,956 12,885
10/1/2006 13,933 13,497
11/1/2006 14,993 14,500
12/1/2006 15,674 15,153
1/1/2007 15,968 14,993
2/1/2007 16,111 14,904
3/1/2007 16,825 15,496
4/1/2007 18,111 16,231
5/1/2007 19,548 17,019
6/1/2007 20,132 17,816
7/1/2007 21,110 18,756
8/1/2007 20,230 18,358
9/1/2007 21,621 20,385
10/1/2007 23,241 22,659
11/1/2007 21,377 21,052
12/1/2007 21,633 21,126
1/1/2008 19,024 18,490
2/1/2008 19,575 19,855
3/1/2008 18,647 18,804
4/1/2008 19,788 20,330
5/1/2008 19,662 20,707
6/1/2008 17,397 18,641
7/1/2008 17,124 17,938
8/1/2008 16,089 16,506
9/1/2008 13,183 13,617
10/1/2008 9,183 9,890
11/1/2008 8,621 9,146
12/1/2008 9,835 9,859
1/1/2009 9,079 9,222
2/1/2009 8,521 8,702
3/1/2009 9,694 9,953
4/1/2009 11,656 11,609
5/1/2009 14,326 13,593
6/1/2009 14,256 13,409
7/1/2009 16,064 14,917
8/1/2009 16,255 14,864
9/1/2009 17,610 16,213
10/1/2009 17,590 16,233
11/1/2009 18,618 16,930
12/1/2009 19,645 17,599
1/1/2010 18,775 16,618
2/1/2010 19,098 16,676
3/1/2010 20,729 18,022
4/1/2010 21,063 18,241
5/1/2010 18,938 16,636
6/1/2010 19,439 16,514
7/1/2010 21,223 17,889
8/1/2010 21,325 17,542
9/1/2010 23,907 19,491
10/1/2010 24,860 20,057
11/1/2010 24,184 19,528
12/1/2010 25,574 20,921
1/1/2011 24,490 20,354
2/1/2011 23,767 20,164
3/1/2011 25,085 21,349
4/1/2011 26,403 22,012
5/1/2011 25,798 21,434
6/1/2011 25,589 21,104
7/1/2011 25,877 21,011
8/1/2011 23,417 19,133
9/1/2011 19,252 16,344
10/1/2011 21,373 18,508
11/1/2011 20,329 17,275
12/1/2011 19,789 17,067
1/1/2012 22,020 19,003
2/1/2012 23,818 20,141
3/1/2012 23,196 19,468
4/1/2012 22,641 19,236
5/1/2012 20,566 17,079
6/1/2012 21,354 17,738
7/1/2012 21,086 18,084
8/1/2012 21,633 18,024
9/1/2012 22,897 19,111
10/1/2012 22,808 18,995
11/1/2012 23,200 19,236
12/1/2012 24,626 20,177
1/1/2013 25,080 20,455
2/1/2013 25,336 20,198
3/1/2013 25,217 19,850
4/1/2013 25,729 20,000
5/1/2013 25,357 19,487
6/1/2013 23,163 18,246
7/1/2013 23,268 18,437
8/1/2013 22,296 18,120
9/1/2013 23,924 19,298
10/1/2013 24,843 20,236
11/1/2013 24,489 19,940
12/1/2013 24,286 19,652
1/1/2014 23,247 18,376
2/1/2014 24,274 18,984
3/1/2014 25,107 19,567
4/1/2014 25,313 19,633
5/1/2014 26,170 20,318
6/1/2014 26,843 20,858
7/1/2014 26,904 21,261
8/1/2014 27,727 21,740
9/1/2014 26,347 20,129
10/1/2014 26,115 20,366
11/1/2014 25,810 20,151
12/1/2014 25,015 19,222
1/1/2015 25,417 19,337
2/1/2015 26,071 19,936
3/1/2015 25,870 19,652
4/1/2015 27,706 21,164
5/1/2015 27,316 20,316
6/1/2015 26,379 19,789
7/1/2015 24,768 18,417
8/1/2015 22,339 16,751 Past performance is not predictive of
9/1/2015 22,303 16,247 future performance.
10/1/2015 23,536 17,406 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2015, all
-9.88% -1.09% 8.94% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO -- CLASS R2 VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
January 29, 2008-October 31, 2015
[CHART]
Emerging Markets Value MSCI Emerging Markets Index
Portfolio Class R2 (net div.)
---------------------- ---------------------------
01/2008 $10,000 $10,000
01/2008 10,050 9,871
02/2008 10,450 10,599
03/2008 10,097 10,038
04/2008 10,872 10,853
05/2008 10,962 11,054
06/2008 9,677 9,952
07/2008 9,489 9,576
08/2008 8,674 8,811
09/2008 7,174 7,269
10/2008 4,949 5,280
11/2008 4,569 4,882
12/2008 5,120 5,263
01/2009 4,675 4,923
02/2009 4,262 4,646
03/2009 5,002 5,313
04/2009 5,996 6,197
05/2009 7,342 7,256
06/2009 7,241 7,159
07/2009 8,197 7,964
08/2009 8,265 7,935
09/2009 9,035 8,655
10/2009 8,823 8,666
11/2009 9,388 9,038
12/2009 9,847 9,395
01/2010 9,297 8,871
02/2010 9,347 8,902
03/2010 10,147 9,621
04/2010 10,246 9,738
05/2010 9,147 8,881
06/2010 9,199 8,816
07/2010 10,085 9,550
08/2010 9,864 9,365
09/2010 11,031 10,405
10/2010 11,444 10,707
11/2010 11,031 10,425
12/2010 11,960 11,169
01/2011 11,583 10,866
02/2011 11,391 10,764
03/2011 12,043 11,397
04/2011 12,466 11,751
05/2011 11,990 11,443
06/2011 11,738 11,267
07/2011 11,639 11,217
08/2011 10,454 10,214
09/2011 8,577 8,725
10/2011 9,701 9,881
11/2011 9,206 9,222
12/2011 8,875 9,111
01/2012 10,102 10,144
02/2012 10,714 10,752
03/2012 10,253 10,393
04/2012 9,918 10,269
05/2012 8,817 9,117
06/2012 9,214 9,469
07/2012 9,155 9,654
08/2012 9,279 9,622
09/2012 9,873 10,202
10/2012 9,849 10,269
12/2012 10,564 10,771
01/2013 10,734 10,920
02/2013 10,550 10,783
03/2013 10,459 10,597
04/2013 10,547 10,677
05/2013 10,243 10,403
06/2013 9,377 9,741
07/2013 9,559 9,842
08/2013 9,356 9,673
09/2013 10,045 10,302
10/2013 10,497 10,803
11/2013 10,242 10,645
12/2013 10,137 10,491
01/2014 9,424 9,810
02/2014 9,634 10,135
03/2014 10,060 10,446
04/2014 10,122 10,481
05/2014 10,533 10,847
06/2014 10,806 11,135
07/2014 11,008 11,350
08/2014 11,250 11,606
09/2014 10,328 10,746
10/2014 10,313 10,872
11/2014 10,139 10,757
12/2014 9,665 10,262
01/2015 9,586 10,323
02/2015 9,924 10,643
03/2015 9,643 10,491
04/2015 10,597 11,298
05/2015 10,123 10,846
06/2015 9,800 10,564
07/2015 9,012 9,832
08/2015 8,193 8,943 Past performance is not predictive of
09/2015 7,917 8,674 future performance.
10/2015 8,406 9,292 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five From would pay on fund distributions or the
Total Return Year Years 01/29/2008 redemption of fund shares.
-------------------------------------------------------------- MSCI data copyright MSCI 2015, all
-18.49% -5.98% -2.21% rights reserved.
--------------------------------------------------------------------------------
17
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
Emerging Markets
Value Portfolio - MSCI Emerging Markets
Institutional Class Index (net dividends)
----------------------- ---------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,738 10,827
12/1/2005 11,411 11,467
1/1/2006 12,502 12,748
2/1/2006 12,550 12,733
3/1/2006 12,974 12,845
4/1/2006 14,105 13,760
5/1/2006 12,576 12,318
6/1/2006 12,461 12,288
7/1/2006 12,756 12,461
8/1/2006 12,987 12,779
9/1/2006 13,251 12,885
10/1/2006 14,170 13,497
11/1/2006 15,206 14,500
12/1/2006 15,739 15,153
1/1/2007 15,982 14,993
2/1/2007 16,070 14,904
3/1/2007 16,907 15,496
4/1/2007 18,254 16,231
5/1/2007 19,641 17,019
6/1/2007 20,198 17,816
7/1/2007 21,155 18,756
8/1/2007 20,473 18,358
9/1/2007 22,318 20,385
10/1/2007 24,766 22,659
11/1/2007 22,959 21,052
12/1/2007 22,923 21,126
1/1/2008 20,640 18,490
2/1/2008 21,464 19,855
3/1/2008 20,742 18,804
4/1/2008 22,342 20,330
5/1/2008 22,533 20,707
6/1/2008 19,911 18,641
7/1/2008 19,521 17,938
8/1/2008 17,848 16,506
9/1/2008 14,769 13,617
10/1/2008 10,183 9,890
11/1/2008 9,410 9,146
12/1/2008 10,558 9,859
1/1/2009 9,605 9,222
2/1/2009 8,789 8,702
3/1/2009 10,309 9,953
4/1/2009 12,336 11,609
5/1/2009 15,112 13,593
6/1/2009 14,926 13,409
7/1/2009 16,927 14,917
8/1/2009 17,052 14,864
9/1/2009 18,626 16,213
10/1/2009 18,185 16,233
11/1/2009 19,343 16,930
12/1/2009 20,301 17,599
1/1/2010 19,145 16,618
2/1/2010 19,294 16,676
3/1/2010 20,992 18,022
4/1/2010 21,128 18,241
5/1/2010 18,913 16,636
6/1/2010 19,031 16,514
7/1/2010 20,792 17,889
8/1/2010 20,415 17,542
9/1/2010 22,866 19,491
10/1/2010 23,648 20,057
11/1/2010 22,879 19,528
12/1/2010 24,779 20,921
1/1/2011 24,005 20,354
2/1/2011 23,600 20,164
3/1/2011 24,957 21,349
4/1/2011 25,848 22,012
5/1/2011 24,861 21,434
6/1/2011 24,352 21,104
7/1/2011 24,146 21,011
8/1/2011 21,695 19,133
9/1/2011 17,800 16,344
10/1/2011 20,138 18,508
11/1/2011 19,118 17,275
12/1/2011 18,431 17,067
1/1/2012 20,987 19,003
2/1/2012 22,265 20,141
3/1/2012 21,307 19,468
4/1/2012 20,611 19,236
5/1/2012 18,332 17,079
6/1/2012 19,161 17,738
7/1/2012 19,039 18,084
8/1/2012 19,303 18,024
9/1/2012 20,545 19,111
10/1/2012 20,279 18,995
11/1/2012 20,502 19,236
12/1/2012 22,000 20,177
1/1/2013 22,354 20,455
2/1/2013 21,978 20,198
3/1/2013 21,790 19,850
4/1/2013 21,982 20,000
5/1/2013 21,355 19,487
6/1/2013 19,557 18,246
7/1/2013 19,936 18,437
8/1/2013 19,512 18,120
9/1/2013 20,953 19,298
10/1/2013 21,903 20,236
11/1/2013 21,372 19,940
12/1/2013 21,163 19,652
1/1/2014 19,684 18,376
2/1/2014 20,121 18,984
3/1/2014 21,018 19,567
4/1/2014 21,156 19,633
5/1/2014 22,014 20,318
6/1/2014 22,588 20,858
7/1/2014 23,011 21,261
8/1/2014 23,525 21,740
9/1/2014 21,596 20,129
10/1/2014 21,572 20,366
11/1/2014 21,216 20,151
12/1/2014 20,229 19,222
1/1/2015 20,064 19,337
2/1/2015 20,779 19,936
3/1/2015 20,190 19,652
4/1/2015 22,201 21,164
5/1/2015 21,211 20,316
6/1/2015 20,536 19,789
7/1/2015 18,886 18,417
8/1/2015 17,173 16,751 Past performance is not predictive of
9/1/2015 16,600 16,247 future performance.
10/1/2015 17,632 17,406 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2015, all
-18.27% -5.70% 5.84% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS CORE EQUITY PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
Emerging Markets Core Equity MSCI Emerging Markets
Portfolio Index (net dividends)
------------------------------- ---------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,656 10,827
12/1/2005 11,282 11,467
1/1/2006 12,292 12,748
2/1/2006 12,311 12,733
3/1/2006 12,557 12,845
4/1/2006 13,419 13,760
5/1/2006 11,918 12,318
6/1/2006 11,723 12,288
7/1/2006 11,946 12,461
8/1/2006 12,235 12,779
9/1/2006 12,478 12,885
10/1/2006 13,294 13,497
11/1/2006 14,214 14,500
12/1/2006 14,774 15,153
1/1/2007 14,983 14,993
2/1/2007 14,869 14,904
3/1/2007 15,513 15,496
4/1/2007 16,556 16,231
5/1/2007 17,759 17,019
6/1/2007 18,179 17,816
7/1/2007 18,798 18,756
8/1/2007 18,313 18,358
9/1/2007 19,886 20,385
10/1/2007 21,953 22,659
11/1/2007 20,354 21,052
12/1/2007 20,312 21,126
1/1/2008 18,324 18,490
2/1/2008 18,922 19,855
3/1/2008 18,234 18,804
4/1/2008 19,617 20,330
5/1/2008 19,704 20,707
6/1/2008 17,507 18,641
7/1/2008 17,322 17,938
8/1/2008 16,172 16,506
9/1/2008 13,637 13,617
10/1/2008 9,783 9,890
11/1/2008 9,130 9,146
12/1/2008 10,022 9,859
1/1/2009 9,128 9,222
2/1/2009 8,513 8,702
3/1/2009 9,856 9,953
4/1/2009 11,656 11,609
5/1/2009 13,953 13,593
6/1/2009 13,818 13,409
7/1/2009 15,490 14,917
8/1/2009 15,550 14,864
9/1/2009 16,892 16,213
10/1/2009 16,580 16,233
11/1/2009 17,595 16,930
12/1/2009 18,399 17,599
1/1/2010 17,389 16,618
2/1/2010 17,581 16,676
3/1/2010 19,097 18,022
4/1/2010 19,279 18,241
5/1/2010 17,411 16,636
6/1/2010 17,558 16,514
7/1/2010 19,144 17,889
8/1/2010 18,890 17,542
9/1/2010 21,147 19,491
10/1/2010 21,770 20,057
11/1/2010 21,188 19,528
12/1/2010 22,744 20,921
1/1/2011 22,026 20,354
2/1/2011 21,646 20,164
3/1/2011 22,877 21,349
4/1/2011 23,781 22,012
5/1/2011 23,124 21,434
6/1/2011 22,802 21,104
7/1/2011 22,751 21,011
8/1/2011 20,697 19,133
9/1/2011 17,273 16,344
10/1/2011 19,466 18,508
11/1/2011 18,634 17,275
12/1/2011 18,048 17,067
1/1/2012 20,174 19,003
2/1/2012 21,440 20,141
3/1/2012 20,770 19,468
4/1/2012 20,310 19,236
5/1/2012 18,174 17,079
6/1/2012 18,989 17,738
7/1/2012 18,999 18,084
8/1/2012 19,200 18,024
9/1/2012 20,294 19,111
10/1/2012 20,156 18,995
11/1/2012 20,464 19,236
12/1/2012 21,746 20,177
1/1/2013 21,938 20,455
2/1/2013 21,788 20,198
3/1/2013 21,557 19,850
4/1/2013 21,802 20,000
5/1/2013 21,205 19,487
6/1/2013 19,681 18,246
7/1/2013 19,950 18,437
8/1/2013 19,434 18,120
9/1/2013 20,821 19,298
10/1/2013 21,719 20,236
11/1/2013 21,362 19,940
12/1/2013 21,172 19,652
1/1/2014 19,834 18,376
2/1/2014 20,552 18,984
3/1/2014 21,303 19,567
4/1/2014 21,455 19,633
5/1/2014 22,162 20,318
6/1/2014 22,738 20,858
7/1/2014 22,946 21,261
8/1/2014 23,656 21,740
9/1/2014 22,009 20,129
10/1/2014 22,130 20,366
11/1/2014 21,899 20,151
12/1/2014 20,979 19,222
1/1/2015 21,145 19,337
2/1/2015 21,755 19,936
3/1/2015 21,389 19,652
4/1/2015 22,864 21,164
5/1/2015 22,054 20,316
6/1/2015 21,466 19,789
7/1/2015 20,031 18,417
8/1/2015 18,283 16,751 Past performance is not predictive of
9/1/2015 17,898 16,247 future performance.
10/1/2015 18,922 17,406 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2015, all
-14.49% -2.76% 6.59% rights reserved.
--------------------------------------------------------------------------------
18
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(Unaudited)
U.S. Equity Market Review 12 Months Ended October 31, 2015
U.S. equities had positive returns during the period. The broad U.S. equity
market, as measured by the Russell 3000(R) Index, gained approximately 4.5%.
Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
Total Return for 12 Months Ended October 31, 2015
-------------------------------------------------
Russell 3000(R) Index........................ 4.49%
Russell Microcap(R) Index (micro-cap stocks). 0.82%
Russell 2000(R) Index (small-cap stocks)..... 0.34%
Russell 1000(R) Index (large-cap stocks)..... 4.86%
Dow Jones U.S. Select REIT Index/SM/......... 6.87%
Growth stocks outperformed value stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2015
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)... -2.88%
Russell 2000(R) Growth Index (small-cap growth stocks). 3.52%
Russell 1000(R) Value Index (large-cap value stocks)... 0.53%
Russell 1000(R) Growth Index (large-cap growth stocks). 9.18%
----------
Source: Russell data copyright (C) Russell Investment Group 1995-2015, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
period were primarily attributable to differences in value/growth and size
characteristics as well as the exclusion of REIT securities from most
Dimensional portfolios and the exclusion of securities of highly regulated
utilities from most value strategies. For many portfolios, the construction
approach used by Dimensional generally resulted in portfolios with greater
weight in value, small-cap, and/or micro-cap companies relative to widely used
benchmarks.
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
Enhanced U.S. Large Company Portfolio
The Enhanced U.S. Large Company Portfolio seeks to outperform the total
return of the S&P 500(R) Index. This strategy uses S&P 500(R) Index futures
contracts, swaps, and/or ETFs in conjunction with investment grade, short-term
fixed income instruments. As of October 31, 2015, 100% of the equity exposure
consisted of S&P 500(R) Index futures contracts. The behavior of S&P 500(R)
Index futures contracts is determined principally by the performance of the S&P
500(R) Index.
For the 12 months ended October 31, 2015, the total return was 5.25% for the
Portfolio versus 5.20% for the S&P 500(R) Index. Relative to the Index, the
Portfolio's outperformance was primarily due to the performance of the fixed
income component of the Portfolio. The net return of the fixed income component
was greater than the average interest rate priced into the S&P 500(R) futures
contracts that the Portfolio purchased throughout the year.
19
U.S. Large Cap Equity Portfolio
The U.S. Large Cap Equity Portfolio is designed to capture the returns of
U.S. large-cap stocks. Value is measured primarily by book-to-market ratio. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2015, the Portfolio held approximately 930 securities. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were 3.49% for the
Portfolio and 4.86% for the Russell 1000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad trends in the U.S. equity market, rather than the behavior
of a limited number of stocks. The Portfolio had a greater allocation than the
Index to stocks closer to the market cap break and value stocks, which
contributed to the Portfolio's relative underperformance as these stocks
underperformed.
U.S. Large Cap Value Portfolio
The U.S. Large Cap Value Portfolio is designed to capture the returns of
U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund that invests in such stocks. Value is measured primarily
by book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2015, the Master Fund held
approximately 300 securities. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2015, total returns were 1.16% for the
Portfolio and 0.53% for the Russell 1000(R) Value Index. As a result of the
Master Fund's diversified investment approach, performance was determined
principally by broad trends in the U.S. equity market rather than the behavior
of a limited number of stocks. The Master Fund had a smaller allocation than
the Index to the largest market cap stocks and a greater allocation to the
remainder of the eligible large-cap universe, which benefited relative
performance as the largest market cap value stocks underperformed.
U.S. Targeted Value Portfolio
The U.S. Targeted Value Portfolio seeks to capture the returns of U.S.
small- and mid-cap value stocks. Value is measured primarily by book-to-market
ratio. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2015, the Portfolio held approximately 1,500
securities. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were -1.33% for the
Portfolio's Class R1 shares, -1.49% for the Portfolio's Class R2 shares, -1.20%
for the Portfolio's Institutional Class shares, and -2.88% for the Russell
2000(R) Value Index. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in the U.S.
equity market, rather than the behavior of a limited number of stocks. The
Portfolio had a greater allocation than the Index to mid-cap stocks and a lower
allocation to small-cap stocks. Mid-cap stocks outperformed small-caps during
the period, which benefited the Portfolio's relative performance. The
Portfolio's exclusion of real estate investment trusts (REITs) contributed to
relative outperformance as REITs underperformed most other sectors during the
period.
U.S. Small Cap Value Portfolio
The U.S. Small Cap Value Portfolio is designed to capture the returns of
U.S. small-cap value stocks. Value is measured primarily by book-to-market
ratio. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2015, the Portfolio held approximately 1,150
securities. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were -2.83% for the
Portfolio and -2.88% for the Russell 2000(R) Value Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad trends in the U.S. equity market, rather than the behavior
of a limited number of stocks. The Portfolio performed in line with the Index.
The Portfolio had a greater allocation than the Index to stocks closer to the
market cap break, which outperformed during the period and benefited the
Portfolio's relative performance. The Portfolio consistently emphasizes deep
value stocks. During the period, deep value stocks underperformed and the
Portfolio's greater allocation to deep value stocks detracted from the
Portfolio's relative performance.
20
U.S. Core Equity 1 Portfolio
The U.S. Core Equity 1 Portfolio invests in a broadly diversified group of
securities within the U.S. market with increased exposure to smaller company
stocks and value stocks relative to the market. Value is measured primarily by
book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2015, the Portfolio held approximately
2,800 securities. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were 3.26% for the
Portfolio and 4.49% for the Russell 3000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad trends in the U.S. equity market, rather than the behavior
of a limited number of stocks. The Portfolio had a greater allocation than the
Index to small-cap stocks and value stocks, which contributed to the
Portfolio's relative underperformance as small-cap stocks underperformed
large-cap stocks and value stocks underperformed growth stocks during the
period.
U.S. Core Equity 2 Portfolio
The U.S. Core Equity 2 Portfolio invests in a broadly diversified group of
securities within the U.S. market with increased exposure to smaller company
stocks and value stocks relative to the U.S. Core Equity 1 Portfolio and the
market. Value is measured primarily by book-to-market ratio. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2015, the Portfolio held approximately 2,800 securities. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were 1.92% for the
Portfolio and 4.49% for the Russell 3000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad trends in the U.S. equity market, rather than the behavior
of a limited number of stocks. The Portfolio had a greater allocation than the
Index to small-cap stocks and value stocks, which contributed to the
Portfolio's relative underperformance as small-cap stocks underperformed
large-cap stocks and value stocks underperformed growth stocks during the
period.
U.S. Vector Equity Portfolio
The U.S. Vector Equity Portfolio invests in a broadly diversified group of
U.S. stocks with increased exposure to smaller company stocks and value stocks
relative to the market. Value is measured primarily by book-to-market ratio.
The investment strategy is process driven, emphasizing broad diversification.
As of October 31, 2015, the Portfolio held approximately 2,700 securities. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were -0.18% for the
Portfolio and 4.49% for the Russell 3000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad trends in the U.S. equity market, rather than the behavior
of a limited number of stocks. The Portfolio had a greater allocation than the
Index to small-cap stocks and value stocks, which contributed to the
Portfolio's relative underperformance as small-cap stocks underperformed
large-cap stocks and value stocks underperformed growth stocks during the
period.
U.S. Small Cap Portfolio
The U.S. Small Cap Portfolio is designed to capture the returns of U.S.
small-cap stocks. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2015, the Portfolio held approximately 2,000
securities. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were 2.34% for the
Portfolio and 0.34% for the Russell 2000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad trends in the U.S. equity market, rather than the behavior
of a limited number of stocks. The Portfolio had a smaller allocation than the
Index to micro-cap stocks. Micro-cap stocks underperformed, which contributed
to the Portfolio's relative outperformance. The Portfolio's exclusion of real
estate investment trusts (REITs) contributed to relative outperformance as
REITs underperformed most other sectors during the period.
21
U.S. Micro Cap Portfolio
The U.S. Micro Cap Portfolio is designed to capture the returns of the
smallest U.S. company stocks and generally has a smaller market capitalization
profile than the U.S. Small Cap Portfolio. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2015, the
Portfolio held approximately 1,600 securities. In general, cash exposure was
low throughout the year with an average cash balance of less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were 1.11% for the
Portfolio and 0.34% for the Russell 2000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad trends in the U.S. equity market, rather than the behavior
of a limited number of stocks. The Portfolio had a substantially larger
allocation than the Index to micro-cap stocks. While micro-caps generally
underperformed the rest of the small-cap universe, the Portfolio's micro-cap
holdings in total outperformed those in the Index and benefited relative
performance. The Portfolio's exclusion of real estate investment trusts (REITs)
contributed to the Portfolio's relative outperformance as REITs underperformed
most other sectors during the period. The Portfolio excluded certain stocks
with low profitability. These stocks generally underperformed during the
period, which benefited the Portfolio's relative performance.
DFA Real Estate Securities Portfolio
The DFA Real Estate Securities Portfolio is designed to capture the returns
of a broadly diversified portfolio of U.S. real estate securities. As of
October 31, 2015, the Portfolio held approximately 150 securities. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of portfolio assets.
For the 12 months ended October 31, 2015, total returns were 5.89% for the
Portfolio, 6.87% for the Dow Jones U.S. Select REIT Index/SM/, and 5.20% for
the S&P 500(R) Index. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in the U.S.
real estate securities market rather than the behavior of a limited number of
securities. The Portfolio held net lease REITs not eligible in the Dow Jones
U.S. Select REIT Index/SM/. These securities generally underperformed the
overall Index and were a primary driver of the Portfolio's relative
underperformance.
International Equity Market Review 12 Months Ended October 31, 2015
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks and growth stocks had positive returns while large-cap stocks
and value stocks had negative returns. As measured by the MSCI World ex USA
indices, small-cap stocks outperformed large-cap stocks, and growth stocks
outperformed value stocks.
12 Months Ended October 31, 2015
--------------------------------
Return in U.S. Dollars
- ----------------------
MSCI World ex USA Index........... -1.81%
MSCI World ex USA Small Cap Index. 4.66%
MSCI World ex USA Value Index..... -5.92%
MSCI World ex USA Growth Index.... 2.33%
During the period, the U.S. dollar (USD) appreciated against most developed
markets currencies, decreasing USD-denominated returns in developed markets.
22
12 Months Ended October 31, 2015
--------------------------------
Ten Largest Foreign Developed Markets by Market Cap Local Return Return in U.S. Dollars
--------------------------------------------------- ------------ ----------------------
United Kingdom.................... 0.01% -3.45%
Japan............................. 17.41% 9.07%
Canada............................ -5.27% -18.37%
France............................ 18.69% 4.64%
Switzerland....................... 3.70% 1.25%
Germany........................... 16.20% 2.45%
Australia......................... -2.25% -20.66%
Spain............................. 0.50% -11.40%
Hong Kong......................... -1.73% -1.67%
Sweden............................ 9.47% -4.59%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2015, all rights reserved.
Emerging markets had weaker performance over the period than non-U.S.
developed markets. As measured by the MSCI emerging markets indices, small-cap
stocks outperformed large-cap stocks, and growth stocks outperformed value
stocks.
12 Months Ended October 31, 2015
--------------------------------
Return in U.S. Dollars
- ----------------------
MSCI Emerging Markets Index........... -14.53%
MSCI Emerging Markets Small Cap Index. -8.61%
MSCI Emerging Markets Value Index..... -17.62%
MSCI Emerging Markets Growth Index.... -11.50%
During the period, the U.S. dollar (USD) appreciated against most emerging
markets currencies, decreasing USD-denominated returns in emerging markets.
12 Months Ended October 31, 2015
--------------------------------
Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollars
------------------------------------------ ------------ ----------------------
China........................ -0.76% -0.70%
Korea........................ -0.03% -6.28%
Taiwan....................... -2.50% -8.65%
India........................ -2.15% -8.06%
South Africa................. 7.82% -13.73%
Brazil....................... -15.36% -45.97%
Mexico....................... 0.26% -18.22%
Russia....................... 8.87% -20.92%
Malaysia..................... -8.60% -30.02%
Indonesia.................... -12.35% -22.61%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2015, all rights reserved.
Global Real Estate Market Review 12 Months Ended October 31, 2015
Publicly traded global real estate investment trusts (REITs) produced
positive overall returns during the period. REITs generally outperformed
non-U.S. equity markets but underperformed U.S. equities. The U.S. REIT market,
the world's largest, had positive performance and outperformed non-U.S. REITs
overall. Among larger REIT markets, the UK delivered the highest returns while
Canada had the weakest performance during the period. As measured by the S&P
Global REIT Index, specialized REITs had the biggest gains while hotel and
resort REITs had the weakest returns.
23
12 Months Ended October 31, 2015
--------------------------------
Return in U.S. Dollars
- ----------------------
S&P Global ex U.S. REIT Index (net dividends). 0.04%
S&P Global REIT Index (net dividends)......... 2.59%
----------
Source: Standard and Poor's. Copyright S&P, 2015. All rights reserved.
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
Large Cap International Portfolio
The Large Cap International Portfolio seeks to capture the returns of a
broadly diversified portfolio of international large-cap stocks. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2015, the Portfolio held approximately 1,300 securities in 22
eligible developed markets. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were -3.10% for the
Portfolio and -1.81% for the MSCI World ex USA Index (net dividends). As a
result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the international equity markets
rather than by the behavior of a limited number of stocks. For the period, the
Portfolio's relative underperformance was primarily attributable to differences
in the valuation timing and methodology between the Portfolio and the Index.
The Portfolio prices foreign exchange rates at the closing of the U.S. markets
while the Index uses rates at 4 p.m. London time. The Portfolio also may use
fair value pricing to price certain portfolio securities at the closing of the
U.S. markets while the Index uses local market closing prices.
International Core Equity Portfolio
The International Core Equity Portfolio invests in a broadly diversified
group of international stocks, with increased exposure to smaller company
stocks and those with value characteristics as measured by book-to-market
ratio. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2015, the Portfolio held approximately 4,900
securities in 22 eligible developed markets. In general, cash exposure was low
throughout the year with an average cash balance of less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were -1.10% for the
Portfolio and -1.81% for the MSCI World ex USA Index (net dividends). As a
result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the international equity markets
rather than by the behavior of a limited number of stocks. The Portfolio
invests in stocks across all size categories while the Index primarily holds
large-cap and mid-cap stocks. International small-cap stocks generally
outperformed international large-cap and mid-cap stocks during the period, and
the Portfolio's exposure to small-cap stocks benefited performance relative to
the Index. In particular, the Portfolio's emphasis on small-cap stocks resulted
in a lower allocation to large-cap financial stocks, which underperformed for
the period and the relative underweight contributed to the Portfolio's
performance. The Portfolio's greater exposure than the Index to value stocks
detracted from the Portfolio's relative performance as value stocks generally
underperformed during the period.
International Small Company Portfolio
The International Small Company Portfolio is designed to capture the returns
of international small-cap stocks by purchasing shares of five Master Funds
that invest individually in Canada, the United Kingdom, Continental Europe
(including Israel and excluding the U.K.), Japan, and the Asia Pacific region
ex Japan. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2015, the Master Funds collectively held
approximately 4,100 securities in 22 eligible developed markets. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were 3.30% for the
Portfolio and 4.66% for the MSCI World ex USA Small Cap Index (net dividends).
As a result of each Master Fund's diversified investment approach,
24
the Portfolio's performance was determined principally by broad trends in
international equity markets rather than the behavior of a limited number of
stocks. The Master Funds' greater allocation than the Index to micro-cap
securities detracted from relative performance as micro-caps generally
underperformed other small-cap securities. The Portfolio's underperformance was
partially offset by the Master Funds' exclusion of real estate investment
trusts (REITs) and small low profitability securities, both of which
underperformed during the period. Differences in the valuation timing and
methodology between the Master Funds and the Index detracted from the
Portfolio's relative performance. The Master Funds price foreign exchange rates
at the closing of the U.S. markets while the Index uses rates at 4 p.m. London
time. The Master Funds also may use fair value pricing to price certain
portfolio securities at the closing of the U.S. markets while the Index uses
local market closing prices.
Japanese Small Company Portfolio
The Japanese Small Company Portfolio is designed to capture the returns of
Japanese small company stocks by purchasing shares of The Japanese Small
Company Series, a Master Fund that invests in such securities. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2015, the Master Fund held approximately 1,440 securities. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2015, total returns were 8.62% for the
Portfolio and 12.83% for the MSCI Japan Small Cap Index (net dividends). As a
result of the Master Fund's diversified investment approach, performance was
determined principally by broad trends in the Japanese equity market, rather
than the behavior of a limited number of stocks. The Master Fund had a greater
allocation than the Index to micro-cap securities, and micro-cap securities
underperformed relative to other small-caps, which detracted from the
Portfolio's relative performance. The Portfolio's underperformance was
partially offset by the Master Fund's exclusion of real estate investment
trusts (REITs), which underperformed the overall Index. The Portfolio's
relative performance also benefited from the Master Fund's exclusion of small-
and micro-cap securities with both high relative prices and low profitability
as these securities underperformed. Differences in the valuation timing and
methodology between the Master Fund and the Index detracted from the
Portfolio's relative performance. The Master Fund prices foreign exchange rates
at the closing of the U.S. markets while the Index uses rates at 4 p.m. London
time. The Master Fund also may use fair value pricing to price certain
portfolio securities at the closing of the U.S. markets while the Index uses
local market closing prices.
Asia Pacific Small Company Portfolio
The Asia Pacific Small Company Portfolio is designed to capture the returns
of small-cap stocks in Australia, Hong Kong, New Zealand, and Singapore, by
purchasing shares of The Asia Pacific Small Company Series, a Master Fund that
invests in such securities. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2015, the Master Fund held
approximately 830 securities across the eligible countries. Country allocations
generally reflect the approximate weights of individual securities within a
universe of these countries' stocks constructed by the Advisor. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2015, total returns were -12.19% for the
Portfolio and -14.67% for the MSCI Pacific ex Japan Small Cap Index (net
dividends). As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in Asia Pacific equity
markets rather than the behavior of a limited number of stocks. The Master
Fund's exclusion of small low profitability securities benefited the
Portfolio's relative performance as these securities underperformed. The Master
Fund's holdings in Hong Kong, particularly in micro-caps, outperformed those in
the Index and benefited the Portfolio's relative performance.
United Kingdom Small Company Portfolio
The United Kingdom Small Company Portfolio is designed to capture the
returns of U.K. small company stocks by purchasing shares of The United Kingdom
Small Company Series, a Master Fund that invests in such securities. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2015, the Master Fund held approximately 320 securities. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Master Fund's assets.
25
For the 12 months ended October 31, 2015, total returns were 9.43% for the
Portfolio and 12.42% for the MSCI UK Small Cap Index (net dividends). As a
result of the Master Fund's diversified investment approach, performance was
determined principally by broad trends in the U.K. equity market, rather than
the behavior of a limited number of stocks. The Master Fund's exclusion of real
estate investment trusts (REITs) detracted from relative performance as REITs
in the United Kingdom generally outperformed other sectors during the period.
Due to differences in methodology, the Master Fund may hold names that are
larger in size than those included in the Index, resulting in differences in
sector weights. During the period, these differences in sector weights
contributed to the Portfolio's relative underperformance. For instance, the
Master Fund had a lower allocation to financials, which outperformed and
detracted from the Portfolio's relative performance, and a higher allocation to
industrials, which underperformed and detracted from the Portfolio's relative
performance. The Portfolio's underperformance was partially offset by the
Master Fund's exclusion of small- and micro-cap securities with high relative
prices and low profitability, as these securities underperformed during the
period. Differences in the valuation timing and methodology between the Master
Fund and the Index detracted from the Portfolio's relative performance. The
Master Fund prices foreign exchange rates at the closing of the U.S. markets
while the Index uses rates at 4 p.m. London time. The Master Fund also may use
fair value pricing to price certain portfolio securities at the closing of the
U.S. markets while the Index uses local market closing prices.
Continental Small Company Portfolio
The Continental Small Company Portfolio is designed to capture the returns
of small-cap stocks in the developed markets of Europe (excluding the U.K.) and
Israel, by purchasing shares of The Continental Small Company Series, a Master
Fund that invests in such securities. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2015, the Master
Fund held approximately 1,160 securities in 15 eligible developed continental
European countries and Israel. Country allocations generally reflect the
approximate weights of individual securities within a universe of continental
European and Israeli small company stocks constructed by the Advisor. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2015, total returns were 9.37% for the
Portfolio and 11.38% for the MSCI Europe ex UK Small Cap Index (net dividends).
As a result of the Master Fund's diversified investment approach, performance
was determined principally by broad trends in the continental European
(excluding the U.K.) and Israeli equity markets, rather than the behavior of a
limited number of stocks. Due to differences in methodology, the Master Fund
may hold names that are larger in size than those included in the Index,
resulting in differences in individual holdings. Within the financial sector,
these holding differences detracted from the Portfolio's relative performance
as the Master Fund's financial holdings underperformed the Index's financial
holdings. Differences in the valuation timing and methodology between the
Master Fund and the Index detracted from the Portfolio's relative performance.
The Master Fund prices foreign exchange rates at the closing of the U.S.
markets while the Index uses rates at 4 p.m. London time. The Master Fund also
may use fair value pricing to price certain portfolio securities at the closing
of the U.S. markets while the Index uses local market closing prices.
DFA International Real Estate Securities Portfolio
The DFA International Real Estate Securities Portfolio is designed to
capture the returns of a broadly diversified portfolio of real estate
securities in international markets. As of October 31, 2015, the Portfolio held
approximately 240 securities in 21 approved developed and emerging market
countries. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of portfolio assets.
For the 12 months ended October 31, 2015, total returns were -0.37% for the
Portfolio and 0.04% for the S&P Global ex US REIT Index (net dividends). As a
result of the Portfolio's diversified approach, performance was determined
principally by broad trends in international real estate securities markets
rather than the behavior of a limited number of stocks. Differences in the
valuation timing and methodology between the Portfolio and the Index generally
detracted from the Portfolio's relative performance. The Portfolio prices
foreign exchange rates at the closing of the U.S. markets while the Index uses
rates at 4 p.m. London time. The Portfolio also may use fair value pricing to
price certain portfolio securities at the closing of the U.S. markets while the
Index uses local market closing prices. For the period, both the currency and
fair value adjustments negatively impacted the Portfolio's relative
performance, compared to the Index.
26
DFA Global Real Estate Securities Portfolio
The DFA Global Real Estate Securities Portfolio, a fund of funds, is
designed to capture the returns of a broadly diversified portfolio of real
estate securities in U.S. and international markets. As of October 31, 2015,
the Portfolio invested in the DFA International Real Estate Securities
Portfolio, the DFA Real Estate Securities Portfolio, and individual securities.
As of October 31, 2015, the Portfolio held approximately 380 securities in 22
approved developed and emerging markets countries. In general, cash exposure
was low throughout the year with an average cash balance of less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were 3.44% for the
Portfolio and 2.59% for the S&P Global REIT Index (net dividends). As a result
of the Portfolio's diversified approach, performance was principally determined
by broad trends in global real estate securities markets rather than the
behavior of a limited number of stocks. Withholding tax rate differences
between the Portfolio and the Index were a primary driver of the Portfolio's
relative outperformance. The Portfolio excludes certain securities from
eligibility that the Index holds. These securities generally underperformed,
and the Portfolio's exclusion of these securities had a beneficial impact on
the Portfolio's relative performance.
DFA International Small Cap Value Portfolio
The DFA International Small Cap Value Portfolio is designed to capture the
returns of international small-cap value stocks. Value is measured primarily by
book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2015, the Portfolio held approximately
2,200 securities in 22 eligible developed markets. In general, cash exposure
was low throughout the year with an average cash balance of less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were 3.31% for the
Portfolio and 4.66% for the MSCI World ex USA Small Cap Index (net dividends).
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in international equity markets rather
than the behavior of a limited number of stocks. The Portfolio's focus on value
stocks detracted from the Portfolio's relative performance as value
underperformed growth-oriented stocks during the period. Differences in the
valuation timing and methodology between the Portfolio and the Index also
detracted from the Portfolio's relative performance. The Portfolio prices
foreign exchange rates at the closing of the U.S. markets while the Index uses
rates at 4 p.m. London time. The Portfolio also may use fair value pricing to
price certain portfolio securities at the closing of the U.S. markets while the
Index uses local market closing prices.
International Vector Equity Portfolio
The International Vector Equity Portfolio is designed to capture the returns
of a broadly diversified basket of international stocks with increased exposure
to smaller company stocks and those with value characteristics as measured by
book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2015, the Portfolio held approximately
4,500 securities in 22 eligible developed markets. In general, cash exposure
was low throughout the year with an average cash balance of less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were -1.14% for the
Portfolio and -1.81% for the MSCI World ex USA Index (net dividends). As a
result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the international equity markets
rather than by the behavior of a limited number of stocks. The Portfolio
invests in stocks across all size categories, other than growth-oriented
mega-cap securities, while the Index primarily holds large-cap and mid-cap
stocks. International small-cap stocks generally outperformed international
large-cap and mid-cap stocks during the period, and the Portfolio's exposure to
small-cap stocks benefited performance relative to the Index. In particular,
the Portfolio's emphasis on small-cap stocks resulted in a lower allocation to
large-cap financial stocks, which underperformed for the period and the
relative underweight contributed to the Portfolio's relative performance. The
Portfolio's greater exposure than the Index to value stocks detracted from
relative performance as value stocks generally underperformed during the period.
World ex U.S. Value Portfolio
The World ex U.S. Value Portfolio is designed to capture the returns of
value stocks across all market capitalizations in international developed and
emerging markets. The Portfolio may pursue its objective by holding
27
direct securities, by purchasing shares of funds managed by Dimensional (The
DFA International Value Series, The DFA International Small Cap Value
Portfolio, and The Dimensional Emerging Markets Value Fund (the "Underlying
Funds")), or by a combination of securities and Underlying Funds. Value is
measured primarily by using the book-to-market ratio. The investment strategy
is process driven, emphasizing broad diversification. As of October 31, 2015,
the Underlying Funds collectively held approximately 4,900 securities. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were -7.77% for the
Portfolio and -4.68% for the MSCI All Country World ex USA Index (net
dividends). As a result of the Underlying Funds' diversified investment
approach, performance was determined principally by broad trends in the
international and emerging equity markets rather than the behavior of a limited
number of stocks. The Underlying Funds had greater exposure than the Index to
value stocks. Value stocks generally underperformed during the period, which
detracted from the Portfolio's relative performance. The Underlying Funds
invest in stocks across all size categories while the Index primarily holds
large-cap and mid-cap stocks. Small-cap stocks generally outperformed large-
and mid-caps during the period, and the Portfolio's greater exposure to
small-caps benefited the Portfolio's relative performance. Differences in the
valuation timing and methodology between the Portfolio and the Index generally
detracted from the Portfolio's relative performance. The Portfolio prices
foreign exchange rates at the closing of the U.S. markets while the Index uses
rates at 4 p.m. London time. The Portfolio also may use fair value pricing to
price certain portfolio securities at the closing of the U.S. markets while the
Index uses local market closing prices.
World ex U.S. Targeted Value Portfolio
The World ex U.S. Targeted Value Portfolio is designed to capture the
returns of small- and mid-cap value stocks in international developed and
emerging markets. Prior to September 8, 2015, the Portfolio purchased shares of
the DFA International Small Cap Value Portfolio, the International Vector
Equity Portfolio, the Dimensional Emerging Markets Value Fund, and the Emerging
Markets Small Cap Series (the "Underlying Funds"). After that date, the
Portfolio began purchasing securities directly, and on September 23, 2015, the
Portfolio redeemed its last holdings of the Underlying Funds, investing solely
in securities. Value is measured primarily by using the book-to-market ratio.
The investment strategy is process driven, emphasizing broad diversification.
As of October 31, 2015, the Portfolio held approximately 2,800 securities. In
general, cash exposure was low throughout the period with an average cash
balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were -2.88% for the
Portfolio and 1.53% for the MSCI All Country World ex USA Small Cap Index (net
dividends). As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad trends in the international
equity markets rather than by the behavior of a limited number of stocks. The
Portfolio focuses on value stocks and has minimal exposure to growth stocks,
while the Index is neutral with regard to value or growth. Growth stocks
outperformed during the period, which detracted from the Portfolio's relative
performance. In addition, two of the Underlying Funds -- the International
Vector Equity Portfolio and the Emerging Markets Value Fund -- can invest in
mid-cap and large-cap securities while the Index primarily holds small-caps.
This difference in allocations detracted from the Portfolio's relative
performance as larger securities generally underperformed.
World ex U.S. Core Equity Portfolio
The World ex U.S. Core Equity Portfolio is designed to capture the returns
of a broadly diversified basket of international stocks in developed and
emerging markets with increased exposure to smaller company stocks and those
with value characteristics as measured by book-to-market ratio. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2015, the Portfolio held approximately 5,800 securities in
43 eligible developed and emerging markets. In general, cash exposure was low
throughout the period with an average cash balance of less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were -4.50% for the
Portfolio and -4.68% for the MSCI All Country World ex USA Index (net
dividends). As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad trends in the international
equity markets rather than by the behavior of a limited number of stocks. The
Portfolio invests in stocks across all size categories while the Index
primarily holds large-cap and mid-cap stocks. Non-U.S. small-cap stocks
generally outperformed non-U.S.
28
large-cap and mid-cap stocks during the period, and the Portfolio's exposure to
small-cap stocks benefited the Portfolio's performance relative to the Index.
In particular, the Portfolio's emphasis on small-cap stocks resulted in a lower
allocation to large-cap financial stocks, which underperformed for the period
and contributed to the Portfolio's relative performance. The Portfolio's
greater exposure than the Index to value stocks detracted from the Portfolio's
relative performance as value stocks generally underperformed during the period.
World Core Equity Portfolio
The World Core Equity Portfolio seeks long-term capital appreciation
generally by investing in a combination of mutual funds managed by Dimensional
Fund Advisors LP ("Dimensional" or the "Advisor"). As of October 31, 2015, the
Portfolio's investments included the U.S. Core Equity 1 Portfolio,
International Core Equity Portfolio, and Emerging Markets Core Equity Portfolio
(collectively, the "Underlying Funds"). The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2015, the
Underlying Funds collectively held approximately 11,800 equity securities in 44
countries.
For the 12 months ended October 31, 2015, total returns were -0.61% for the
Portfolio and -0.03% for the MSCI All Country World Index (net dividends). As a
result of the Underlying Funds' diversified investment approach, performance
was determined principally by broad trends in global equity markets rather than
the behavior of a limited group of stocks. The Underlying Funds' greater
exposure than the Index to value stocks detracted from the Portfolio's relative
performance as value stocks generally underperformed during the period. The
Underlying Funds' greater exposure to small-cap stocks in the U.S. also
detracted from the Portfolio's relative performance as U.S. small-caps
underperformed U.S. large-cap stocks for the period.
Selectively Hedged Global Equity Portfolio
The Selectively Hedged Global Equity Portfolio seeks long-term capital
appreciation by investing in a combination of mutual funds managed by
Dimensional. As of October 31, 2015, the mutual funds in which the Portfolio
invested include the U.S. Core Equity 2 Portfolio, International Core Equity
Portfolio, and Emerging Markets Core Equity Portfolio (the "Underlying Funds").
The Portfolio hedges foreign currency exposure on a selective basis to capture
positive forward currency premiums. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2015, the Underlying Funds
collectively held approximately 11,800 equity securities in 44 countries.
For the 12 months ended October 31, 2015, total returns were -0.34% for the
Portfolio and -0.03% for the MSCI All Country World Index (net dividends). As a
result of the Underlying Funds' diversified investment approach, performance
was determined principally by broad trends in global equity markets rather than
the behavior of a limited group of stocks in a particular industry or country.
The Underlying Funds invest in stocks across all eligible countries but had a
lower allocation than the Index to the U.S. and a higher allocation to emerging
markets. For the period, U.S. securities significantly outperformed emerging
market securities, and the Underlying Funds' country allocation detracted from
the Portfolio's relative performance. The Underlying Funds' greater exposure
than the Index to value stocks detracted from the Portfolio's relative
performance as value stocks generally underperformed during the period. To a
lesser extent, the Portfolio's strategy of selectively hedging foreign currency
exposure contributed to relative returns, particularly hedging euro and
Japanese yen exposure, as both of these currencies depreciated against the U.S.
dollar.
Emerging Markets Portfolio
The Emerging Markets Portfolio is designed to capture the returns of
large-cap stocks in selected emerging markets countries by purchasing shares of
The Emerging Markets Series, a Master Fund managed by Dimensional that invests
in such securities. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2015, the Master Fund held
approximately 1,100 securities across 21 eligible emerging markets. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2015, total returns were -15.24% for the
Portfolio and -14.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Master Fund's diversified approach, performance was generally
determined by broad trends in emerging markets rather than the behavior of a
limited number of stocks. The Portfolio's relative underperformance was driven
primarily by country allocation differences between
29
the Master Fund and the Index. The Master Fund's lower allocation to China,
which outperformed most other emerging markets during the period, detracted
from the Portfolio's relative performance. This was partially offset by the
Master Fund's greater allocation to Taiwan, which also generally outperformed.
Emerging Markets Small Cap Portfolio
The Emerging Markets Small Cap Portfolio is designed to capture the returns
of small-cap stocks in selected emerging markets by purchasing shares of the
Emerging Markets Small Cap Series, a Master Fund managed by Dimensional that
invests in such securities. The Master Fund's investment strategy is process
driven emphasizing broad diversification. As of October 31, 2015, the Master
Fund held approximately 3,300 securities across 17 eligible emerging markets.
In general, cash exposure was low throughout the year with an average cash
balance of less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2015, total returns were -9.88% for the
Portfolio and -14.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Master Fund's diversified approach, performance was principally
determined by broad trends in emerging markets rather than the behavior of a
limited number of stocks. The Master Fund focuses on small-cap stocks while the
Index primarily holds large-cap and mid-cap stocks. Emerging markets small-cap
stocks outperformed emerging markets large-caps and mid-caps over the period,
and the Master Fund's greater exposure to small-caps benefited the Portfolio's
relative performance.
Emerging Markets Value Portfolio
The Emerging Markets Value Portfolio is designed to capture the returns of
value stocks of large- and small-cap companies in selected emerging markets by
purchasing shares of the Dimensional Emerging Markets Value Fund, a Master Fund
managed by Dimensional that invests in such securities. Value is measured
primarily by book-to-market ratio. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2015, the Master Fund held
approximately 2,300 securities across 19 eligible emerging markets. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2015, total returns were -18.49% for the
Portfolio's Class R2 shares, -18.27% for the Portfolio's Institutional Class
shares, and -14.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Master Fund's diversified investment approach, performance was
generally determined by broad trends in emerging markets rather than the
behavior of a limited number of stocks. The Master Fund invests primarily in
value stocks while the Index is neutral with regard to value or growth stocks.
Emerging markets value stocks generally underperformed during the period, which
was the primary driver of the Portfolio's relative underperformance.
Emerging Markets Core Equity Portfolio
The Emerging Markets Core Equity Portfolio is designed to capture the
returns of a broad universe of stocks in selected emerging markets with
increased exposure to smaller company stocks and those stocks with value
characteristics, as measured by book-to-market ratio. The investment strategy
is process driven, emphasizing broad diversification. As of October 31, 2015,
the Portfolio held approximately 4,100 securities across 21 eligible emerging
markets. In general, cash exposure was low throughout the year with an average
cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were -14.49% for the
Portfolio and -14.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Portfolio's diversified approach, performance was generally
determined by broad trends in emerging markets rather than the behavior of a
limited number of stocks. The Portfolio invests in stocks across all size
categories while the Index primarily holds large- and mid-cap stocks. Emerging
markets small-cap stocks generally outperformed emerging markets large- and
mid-cap stocks during the period, and the Portfolio's exposure to small-cap
stocks benefited the Portfolio's performance relative to the Index. The
Portfolio's greater exposure than the Index to value stocks detracted from the
Portfolio's relative performance as value stocks generally underperformed
during the period. The Portfolio's smaller allocation than the Index to China,
among the best performing emerging markets during the period, also detracted
from the Portfolio's relative performance.
30
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2015
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
Enhanced U.S. Large Company Portfolio
-------------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $1,007.50 0.24% $1.21
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,024.00 0.24% $1.22
U.S. Large Cap Equity Portfolio
-------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $ 991.60 0.19% $0.95
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,024.25 0.19% $0.97
31
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Cap Value Portfolio**
--------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $ 974.90 0.28% $1.39
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.79 0.28% $1.43
U.S. Targeted Value Portfolio
-----------------------------
Actual Fund Return
Class R1 Shares................. $1,000.00 $ 953.30 0.48% $2.36
Class R2 Shares................. $1,000.00 $ 952.50 0.63% $3.10
Institutional Class Shares...... $1,000.00 $ 953.70 0.38% $1.87
Hypothetical 5% Annual Return
Class R1 Shares................. $1,000.00 $1,022.79 0.48% $2.45
Class R2 Shares................. $1,000.00 $1,022.03 0.63% $3.21
Institutional Class Shares...... $1,000.00 $1,023.29 0.38% $1.94
U.S. Small Cap Value Portfolio
------------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $ 942.50 0.53% $2.59
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,022.53 0.53% $2.70
U.S. Core Equity 1 Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $ 985.60 0.20% $1.00
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,024.20 0.20% $1.02
U.S. Core Equity 2 Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $ 974.30 0.23% $1.14
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,024.05 0.23% $1.17
U.S. Vector Equity Portfolio
----------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $ 962.70 0.33% $1.63
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.54 0.33% $1.68
U.S. Small Cap Portfolio
------------------------
Actual Fund Return
Institutional Class Shares...... $1,000.00 $ 981.40 0.38% $1.90
Hypothetical 5% Annual Return
Institutional Class Shares...... $1,000.00 $1,023.29 0.38% $1.94
32
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
U.S. Micro Cap Portfolio
------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $ 974.60 0.53% $2.64
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.53 0.53% $2.70
DFA Real Estate Securities Portfolio
------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,033.30 0.18% $0.92
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,024.30 0.18% $0.92
Large Cap International Portfolio
---------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $ 921.30 0.29% $1.40
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.74 0.29% $1.48
International Core Equity Portfolio
-----------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $ 933.40 0.39% $1.90
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,023.24 0.39% $1.99
International Small Company Portfolio***
----------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $ 963.00 0.54% $2.67
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.48 0.54% $2.75
Japanese Small Company Portfolio**
----------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,012.40 0.54% $2.74
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.48 0.54% $2.75
Asia Pacific Small Company Portfolio**
--------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $ 864.40 0.55% $2.58
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.43 0.55% $2.80
United Kingdom Small Company Portfolio**
----------------------------------------
Actual Fund Return
Institutional Class Shares.............. $1,000.00 $1,008.70 0.58% $2.94
Hypothetical 5% Annual Return
Institutional Class Shares.............. $1,000.00 $1,022.28 0.58% $2.96
33
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
Continental Small Company Portfolio**
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $ 978.90 0.55% $2.74
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.43 0.55% $2.80
DFA International Real Estate Securities Portfolio
--------------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $ 958.20 0.29% $1.43
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,023.74 0.29% $1.48
DFA Global Real Estate Securities Portfolio***
----------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $1,003.80 0.24% $1.21
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,024.00 0.24% $1.22
DFA International Small Cap Value Portfolio
-------------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $ 956.90 0.69% $3.40
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.73 0.69% $3.52
International Vector Equity Portfolio
-------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $ 930.00 0.51% $2.48
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.63 0.51% $2.60
World ex U.S. Value Portfolio***
--------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $ 875.90 0.52% $2.46
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.58 0.52% $2.65
World ex U.S. Targeted Value Portfolio
--------------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $ 912.80 0.66% $3.18
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,021.88 0.66% $3.36
World ex U.S. Core Equity Portfolio
-----------------------------------
Actual Fund Return
Institutional Class Shares........................ $1,000.00 $ 901.50 0.47% $2.25
Hypothetical 5% Annual Return
Institutional Class Shares........................ $1,000.00 $1,022.84 0.47% $2.40
34
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
World Core Equity Portfolio***
------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 945.90 0.35% $1.72
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.44 0.35% $1.79
Selectively Hedged Global Equity Portfolio***
---------------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 938.80 0.40% $1.95
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,023.19 0.40% $2.04
Emerging Markets Portfolio**
----------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 828.70 0.58% $2.67
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.28 0.58% $2.96
Emerging Markets Small Cap Portfolio**
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 849.50 0.73% $3.40
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,021.53 0.73% $3.72
Emerging Markets Value Portfolio**
----------------------------------
Actual Fund Return
Class R2 Shares.............................. $1,000.00 $ 793.30 0.81% $3.66
Institutional Class Shares................... $1,000.00 $ 794.20 0.56% $2.53
Hypothetical 5% Annual Return
Class R2 Shares.............................. $1,000.00 $1,021.12 0.81% $4.13
Institutional Class Shares................... $1,000.00 $1,022.38 0.56% $2.85
Emerging Markets Core Equity Portfolio
--------------------------------------
Actual Fund Return
Institutional Class Shares................... $1,000.00 $ 827.60 0.63% $2.90
Hypothetical 5% Annual Return
Institutional Class Shares................... $1,000.00 $1,022.03 0.63% $3.21
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
***The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the indirect payment of the Fund of Funds'
portion of the expenses of its Underlying Funds (Affiliated Investment
Companies).
35
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 29, 2015. They are 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%
36
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
FUND OF FUNDS
International Small Company Portfolio...... 100.0%
World ex U.S. Value Portfolio.............. 100.0%
World Core Equity Portfolio................ 100.0%
Selectively Hedged Global Equity Portfolio. 100.0%
ENHANCED DOMESTIC EQUITY PORTFOLIO
Enhanced U.S. Large Company Portfolio
Corporate.................................... 23.3%
Foreign Corporate............................ 13.6%
Foreign Government........................... 7.9%
Government................................... 50.2%
Supranational................................ 5.0%
-----
100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
U.S. Large Cap Equity Portfolio
Consumer Discretionary....................... 15.4%
Consumer Staples............................. 8.5%
Energy....................................... 7.2%
Financials................................... 13.8%
Health Care.................................. 13.4%
Industrials.................................. 12.6%
Information Technology....................... 19.9%
Materials.................................... 4.0%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 2.7%
Utilities.................................... 2.5%
-----
100.0%
U.S. Targeted Value Portfolio
Consumer Discretionary....................... 13.5%
Consumer Staples............................. 3.2%
Energy....................................... 8.1%
Financials................................... 28.3%
Health Care.................................. 5.7%
Industrials.................................. 19.6%
Information Technology....................... 12.9%
Materials.................................... 6.4%
Other........................................ --
Telecommunication Services................... 1.2%
Utilities.................................... 1.1%
-----
100.0%
U.S. Small Cap Value Portfolio
Consumer Discretionary....................... 15.7%
Consumer Staples............................. 3.9%
Energy....................................... 8.2%
Financials................................... 27.0%
Health Care.................................. 6.2%
Industrials.................................. 18.2%
Information Technology....................... 14.4%
Materials.................................... 5.5%
Other........................................ --
Telecommunication Services................... 0.8%
Utilities.................................... 0.1%
-----
100.0%
U.S. Core Equity 1 Portfolio
Consumer Discretionary....................... 16.0%
Consumer Staples............................. 8.0%
Energy....................................... 6.9%
Financials................................... 15.0%
Health Care.................................. 11.8%
Industrials.................................. 13.4%
Information Technology....................... 19.1%
Materials.................................... 4.4%
Other........................................ --
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 2.2%
Utilities.................................... 3.1%
-----
100.0%
U.S. Core Equity 2 Portfolio
Consumer Discretionary....................... 15.3%
Consumer Staples............................. 6.6%
Energy....................................... 8.8%
Financials................................... 17.2%
Health Care.................................. 10.8%
Industrials.................................. 14.4%
Information Technology....................... 17.4%
Materials.................................... 4.7%
Other........................................ --
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 2.5%
Utilities.................................... 2.2%
-----
100.0%
U.S. Vector Equity Portfolio
Consumer Discretionary....................... 14.7%
Consumer Staples............................. 4.4%
Energy....................................... 9.0%
Financials................................... 25.0%
Health Care.................................. 8.3%
Industrials.................................. 15.4%
Information Technology....................... 14.2%
Materials.................................... 5.3%
Other........................................ --
Real Estate Investment Trusts................ 0.1%
Telecommunication Services................... 2.3%
Utilities.................................... 1.3%
-----
100.0%
37
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
U.S. Small Cap Portfolio
Consumer Discretionary....................... 17.9%
Consumer Staples............................. 4.4%
Energy....................................... 3.1%
Financials................................... 20.2%
Health Care.................................. 9.7%
Industrials.................................. 17.0%
Information Technology....................... 17.6%
Materials.................................... 4.7%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 1.0%
Utilities.................................... 4.4%
-----
100.0%
U.S. Micro Cap Portfolio
Consumer Discretionary....................... 17.7%
Consumer Staples............................. 4.3%
Energy....................................... 2.0%
Financials................................... 19.6%
Health Care.................................. 11.4%
Industrials.................................. 20.1%
Information Technology....................... 16.0%
Materials.................................... 5.1%
Other........................................ --
Telecommunication Services................... 1.8%
Utilities.................................... 2.0%
-----
100.0%
DFA Real Estate Securities Portfolio
Real Estate Investment Trusts................ 100.0%
-----
100.0%
Large Cap International Portfolio
Consumer Discretionary....................... 14.2%
Consumer Staples............................. 11.1%
Energy....................................... 6.4%
Financials................................... 23.0%
Health Care.................................. 10.5%
Industrials.................................. 13.2%
Information Technology....................... 4.5%
Materials.................................... 8.5%
Other........................................ --
Telecommunication Services................... 4.9%
Utilities.................................... 3.7%
-----
100.0%
International Core Equity Portfolio
Consumer Discretionary....................... 16.8%
Consumer Staples............................. 8.1%
Energy....................................... 7.0%
Financials................................... 20.7%
Health Care.................................. 6.5%
Industrials.................................. 17.2%
Information Technology....................... 6.1%
Materials.................................... 11.1%
Other........................................ --
Telecommunication Services................... 3.3%
Utilities.................................... 3.2%
-----
100.0%
DFA International Real Estate Securities Portfolio
Consumer Staples............................. --
Financials................................... --
Real Estate Investment Trusts................ 100.0%
-----
100.0%
DFA Global Real Estate Securities Portfolio
Affiliated Investment Companies.............. 74.9%
Common Stocks................................ 25.1%
-----
100.0%
DFA International Small Cap Value Portfolio
Consumer Discretionary....................... 19.1%
Consumer Staples............................. 4.5%
Energy....................................... 4.8%
Financials................................... 21.7%
Health Care.................................. 1.6%
Industrials.................................. 25.4%
Information Technology....................... 5.0%
Materials.................................... 17.0%
Other........................................ --
Telecommunication Services................... 0.2%
Utilities.................................... 0.7%
-----
100.0%
International Vector Equity Portfolio
Consumer Discretionary....................... 16.9%
Consumer Staples............................. 7.2%
Energy....................................... 6.7%
Financials................................... 21.9%
Health Care.................................. 4.9%
Industrials.................................. 19.1%
Information Technology....................... 6.7%
Materials.................................... 12.3%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 2.2%
Utilities.................................... 2.1%
-----
100.0%
World ex U.S. Targeted Value Portfolio
Consumer Discretionary....................... 15.9%
Consumer Staples............................. 5.1%
Energy....................................... 5.5%
Financials................................... 24.0%
Health Care.................................. 1.8%
Industrials.................................. 21.1%
Information Technology....................... 6.6%
Materials.................................... 18.0%
Other........................................ --
Telecommunication Services................... 0.9%
Utilities.................................... 1.1%
-----
100.0%
World ex U.S. Core Equity Portfolio
Consumer Discretionary....................... 16.0%
Consumer Staples............................. 8.0%
Energy....................................... 6.3%
Financials................................... 22.1%
Health Care.................................. 5.5%
Industrials.................................. 16.4%
Information Technology....................... 8.3%
Materials.................................... 10.9%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 3.4%
Utilities.................................... 3.1%
-----
100.0%
Emerging Markets Core Equity Portfolio
Consumer Discretionary....................... 11.8%
Consumer Staples............................. 9.0%
Energy....................................... 5.6%
Financials................................... 23.6%
Health Care.................................. 4.0%
Industrials.................................. 10.7%
Information Technology....................... 17.1%
Materials.................................... 9.2%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 5.2%
Utilities.................................... 3.8%
-----
100.0%
38
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Face
Amount^ Value+
------- ------
(000)
BONDS -- (39.7%)
CANADA -- (5.4%)
Ontario, Province of Canada
1.000%, 07/22/16............................. $4,000 $ 4,011,076
Quebec, Province of Canada
5.125%, 11/14/16............................. 1,000 1,044,622
Royal Bank of Canada
1.450%, 09/09/16............................. 1,000 1,007,051
1.250%, 06/16/17............................. 2,000 2,001,738
Thomson Reuters Corp.
1.300%, 02/23/17............................. 1,023 1,021,452
Toronto-Dominion Bank (The)
2.375%, 10/19/16............................. 3,900 3,960,333
Other Securities................................. 586,759
-----------
TOTAL CANADA..................................... 13,633,031
-----------
FRANCE -- (1.3%)
BNP Paribas SA
1.375%, 03/17/17............................. 1,800 1,803,676
Other Securities................................. 1,491,423
-----------
TOTAL FRANCE..................................... 3,295,099
-----------
GERMANY -- (2.0%)
FMS Wertmanagement AoeR
1.125%, 09/05/17............................. 5,000 5,018,370
-----------
IRELAND -- (0.4%)
GE Capital International Funding Co.
0.964%, 04/15/16............................. 1,052 1,051,793
-----------
JAPAN -- (0.6%)
Sumitomo Mitsui Banking Corp.
2.650%, 01/12/17............................. 1,000 1,013,196
Other Securities................................. 543,212
-----------
TOTAL JAPAN...................................... 1,556,408
-----------
NETHERLANDS -- (2.3%)
Bank Nederlandse Gemeenten NV
1.125%, 09/12/16............................. 5,000 5,020,500
Other Securities................................. 852,202
-----------
TOTAL NETHERLANDS................................ 5,872,702
-----------
NORWAY -- (2.0%)
Kommunalbanken A.S.
0.875%, 10/03/16............................. 5,000 5,009,215
-----------
SPAIN -- (0.2%)
Other Securities................................. 602,954
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (3.9%)
European Bank for Reconstruction & Development
1.375%, 10/20/16............................. 4,000 4,039,616
Face
Amount^ Value+
------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
European Investment Bank
1.250%, 10/14/16............................. $5,000 $ 5,029,075
Other Securities................................. 1,003,084
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 10,071,775
-----------
SWITZERLAND -- (0.8%)
Credit Suisse New York
1.375%, 05/26/17............................. 1,400 1,399,221
Other Securities................................. 697,726
-----------
TOTAL SWITZERLAND................................ 2,096,947
-----------
UNITED KINGDOM -- (2.2%)
Barclays Bank P.L.C.
5.000%, 09/22/16............................. 1,000 1,034,871
Diageo Capital P.L.C.
1.500%, 05/11/17............................. 1,500 1,504,178
GlaxoSmithKline Capital P.L.C.
1.500%, 05/08/17............................. 1,500 1,511,428
Other Securities................................. 1,515,110
-----------
TOTAL UNITED KINGDOM............................. 5,565,587
-----------
UNITED STATES -- (18.6%)
Actavis, Inc.
1.875%, 10/01/17............................. 1,200 1,197,996
Amgen, Inc.
2.500%, 11/15/16............................. 1,535 1,558,637
Anadarko Petroleum Corp.
5.950%, 09/15/16............................. 1,000 1,036,869
Anthem, Inc.
2.375%, 02/15/17............................. 1,500 1,518,451
Bank of America Corp.
3.625%, 03/17/16............................. 1,000 1,010,948
Baxter International, Inc.
1.850%, 01/15/17............................. 1,000 1,007,972
Becton Dickinson and Co.
1.450%, 05/15/17............................. 1,310 1,309,783
Capital One Financial Corp.
5.250%, 02/21/17............................. 1,492 1,561,184
DIRECTV Holdings, LLC / DIRECTV Financing Co.,
Inc.
2.400%, 03/15/17............................. 1,500 1,519,785
eBay, Inc.
1.350%, 07/15/17............................. 1,068 1,061,548
EOG Resources, Inc.
2.500%, 02/01/16............................. 1,000 1,003,411
Ford Motor Credit Co. LLC
3.984%, 06/15/16............................. 1,000 1,015,486
Goldman Sachs Group, Inc. (The)
6.250%, 09/01/17............................. 1,000 1,086,558
39
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
JPMorgan Chase & Co.
2.000%, 08/15/17............................. $1,000 $1,008,887
Mattel, Inc.
2.500%, 11/01/16............................. 1,000 1,010,855
MetLife, Inc.
6.750%, 06/01/16............................. 1,000 1,034,992
Molson Coors Brewing Co.
2.000%, 05/01/17............................. 1,715 1,720,713
Morgan Stanley
5.450%, 01/09/17............................. 1,000 1,047,606
National Rural Utilities Cooperative Finance
Corp.
0.950%, 04/24/17............................. 1,800 1,799,244
ONEOK Partners L.P.
6.150%, 10/01/16............................. 1,000 1,030,588
Reinsurance Group of America, Inc.
5.625%, 03/15/17............................. 1,100 1,155,331
Ryder System, Inc.
5.850%, 11/01/16............................. 1,141 1,192,068
Scripps Networks Interactive, Inc.
2.700%, 12/15/16............................. 1,000 1,010,960
Stryker Corp.
2.000%, 09/30/16............................. 1,453 1,469,631
Toyota Motor Credit Corp.
1.750%, 05/22/17............................. 5,000 5,053,960
UnitedHealth Group, Inc.
6.000%, 06/15/17............................. 1,500 1,613,701
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Wells Fargo & Co.
3.676%, 06/15/16............................. $ 1,500 $ 1,527,963
Other Securities................................... 9,694,069
------------
TOTAL UNITED STATES................................ 47,259,196
------------
TOTAL BONDS........................................ 101,033,077
------------
U.S. TREASURY OBLIGATIONS -- (40.1%)
U.S. Treasury Notes
2.375%, 07/31/17............................. 1,000 1,029,206
# 0.875%, 08/15/17............................. 50,000 50,153,000
^^ 1.875%, 08/31/17............................. 13,500 13,784,594
0.625%, 09/30/17............................. 25,000 24,949,700
0.875%, 10/15/17............................. 12,000 12,029,532
------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 101,946,032
------------
TOTAL INVESTMENT SECURITIES........................ 202,979,109
------------
Shares
------ -
SECURITIES LENDING COLLATERAL -- (20.2%)
(S)@ DFA Short Term Investment Fund............... 4,439,530 51,365,360
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $254,450,056).............................. $254,344,469
============
Summary of the Portfolio's investments as of October 31, 2015, 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
Canada................................. -- $ 13,633,031 -- $ 13,633,031
France................................. -- 3,295,099 -- 3,295,099
Germany................................ -- 5,018,370 -- 5,018,370
Ireland................................ -- 1,051,793 -- 1,051,793
Japan.................................. -- 1,556,408 -- 1,556,408
Netherlands............................ -- 5,872,702 -- 5,872,702
Norway................................. -- 5,009,215 -- 5,009,215
Spain.................................. -- 602,954 -- 602,954
Supranational Organization Obligations. -- 10,071,775 -- 10,071,775
Switzerland............................ -- 2,096,947 -- 2,096,947
United Kingdom......................... -- 5,565,587 -- 5,565,587
United States.......................... -- 47,259,196 -- 47,259,196
U.S. Treasury Obligations................ -- 101,946,032 -- 101,946,032
Securities Lending Collateral............ -- 51,365,360 -- 51,365,360
Futures Contracts**...................... $795,204 -- -- 795,204
-------- ------------ -- ------------
TOTAL.................................... $795,204 $254,344,469 -- $255,139,673
======== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
40
U.S. LARGE CAP EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (95.0%)
Consumer Discretionary -- (14.6%)
* Amazon.com, Inc................... 12,707 $ 7,953,311 1.1%
Comcast Corp. Class A............. 91,505 5,730,043 0.8%
Home Depot, Inc. (The)............ 44,256 5,471,812 0.8%
McDonald's Corp................... 32,279 3,623,318 0.5%
Starbucks Corp.................... 50,273 3,145,582 0.5%
Walt Disney Co. (The)............. 50,925 5,792,209 0.8%
Other Securities.................. 75,360,107 10.8%
------------ -----
Total Consumer Discretionary.......... 107,076,382 15.3%
------------ -----
Consumer Staples -- (8.1%)
Altria Group, Inc................. 63,751 3,855,023 0.6%
Coca-Cola Co. (The)............... 106,910 4,527,639 0.6%
CVS Health Corp................... 40,694 4,019,753 0.6%
PepsiCo, Inc...................... 47,912 4,896,127 0.7%
Philip Morris International, Inc.. 39,911 3,528,132 0.5%
Procter & Gamble Co. (The)........ 74,745 5,709,023 0.8%
Wal-Mart Stores, Inc.............. 68,237 3,905,886 0.6%
Other Securities.................. 28,969,561 4.1%
------------ -----
Total Consumer Staples................ 59,411,144 8.5%
------------ -----
Energy -- (6.8%)
Chevron Corp...................... 47,995 4,361,786 0.6%
Exxon Mobil Corp.................. 128,717 10,650,045 1.5%
Schlumberger, Ltd................. 48,966 3,827,183 0.6%
Other Securities.................. 30,920,762 4.4%
------------ -----
Total Energy.......................... 49,759,776 7.1%
------------ -----
Financials -- (13.1%)
Bank of America Corp.............. 270,195 4,533,872 0.7%
* Berkshire Hathaway, Inc. Class B.. 49,224 6,695,448 1.0%
Citigroup, Inc.................... 70,186 3,731,790 0.5%
JPMorgan Chase & Co............... 95,052 6,107,091 0.9%
Wells Fargo & Co.................. 160,766 8,703,871 1.2%
Other Securities.................. 66,592,259 9.5%
------------ -----
Total Financials...................... 96,364,331 13.8%
------------ -----
Health Care -- (12.7%)
AbbVie, Inc....................... 56,560 3,368,148 0.5%
* Allergan P.L.C.................... 9,312 2,872,473 0.4%
Amgen, Inc........................ 23,819 3,767,689 0.5%
* Celgene Corp...................... 22,627 2,776,559 0.4%
Gilead Sciences, Inc.............. 50,553 5,466,296 0.8%
Johnson & Johnson................. 90,207 9,113,613 1.3%
Merck & Co., Inc.................. 88,773 4,852,332 0.7%
Pfizer, Inc....................... 200,860 6,793,085 1.0%
UnitedHealth Group, Inc........... 35,225 4,148,801 0.6%
Other Securities.................. 49,778,963 7.1%
------------ -----
Total Health Care..................... 92,937,959 13.3%
------------ -----
Industrials -- (12.0%)
3M Co............................. 21,546 3,387,247 0.5%
Boeing Co. (The).................. 21,608 3,199,497 0.5%
General Electric Co............... 256,969 7,431,543 1.1%
41
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
Honeywell International, Inc....................... 26,682 $ 2,755,717 0.4%
Union Pacific Corp................................. 31,610 2,824,353 0.4%
United Technologies Corp........................... 31,471 3,097,061 0.4%
Other Securities................................... 65,365,399 9.3%
------------ ------
Total Industrials........................................ 88,060,817 12.6%
------------ ------
Information Technology -- (18.9%)
* Alphabet, Inc. Class A............................. 7,158 5,278,238 0.8%
* Alphabet, Inc. Class C............................. 7,574 5,383,675 0.8%
Apple, Inc......................................... 197,174 23,562,293 3.4%
Cisco Systems, Inc................................. 152,962 4,412,954 0.6%
* Facebook, Inc. Class A............................. 36,657 3,737,914 0.5%
Intel Corp......................................... 193,793 6,561,831 0.9%
International Business Machines Corp............... 31,142 4,362,371 0.6%
MasterCard, Inc. Class A........................... 34,142 3,379,717 0.5%
Microsoft Corp..................................... 235,212 12,381,560 1.8%
Oracle Corp........................................ 109,648 4,258,728 0.6%
QUALCOMM, Inc...................................... 48,551 2,884,900 0.4%
# Visa, Inc. Class A................................. 50,398 3,909,877 0.6%
Other Securities................................... 58,390,602 8.3%
------------ ------
Total Information Technology............................. 138,504,660 19.8%
------------ ------
Materials -- (3.8%)
Other Securities................................... 27,799,583 4.0%
------------ ------
Real Estate Investment Trusts -- (0.0%)
Other Securities................................... 291,933 0.0%
------------ ------
Telecommunication Services -- (2.6%)
AT&T, Inc.......................................... 237,879 7,971,325 1.1%
Verizon Communications, Inc........................ 174,039 8,158,948 1.2%
Other Securities................................... 2,757,499 0.4%
------------ ------
Total Telecommunication Services......................... 18,887,772 2.7%
------------ ------
Utilities -- (2.4%)
Other Securities................................... 17,396,237 2.5%
------------ ------
TOTAL COMMON STOCKS...................................... 696,490,594 99.6%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 7,344 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES.............................. 696,497,938
------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional Liquid Reserves, 0.140%. 802,829 802,829 0.1%
------------ ------
SECURITIES LENDING COLLATERAL -- (4.9%)
(S)@ DFA Short Term Investment Fund..................... 3,120,214 36,100,879 5.2%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $702,110,643).................................. $733,401,646 104.9%
============ ======
42
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2015, 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........ $107,076,382 -- -- $107,076,382
Consumer Staples.............. 59,411,144 -- -- 59,411,144
Energy........................ 49,759,776 -- -- 49,759,776
Financials.................... 96,364,331 -- -- 96,364,331
Health Care................... 92,937,959 -- -- 92,937,959
Industrials................... 88,060,817 -- -- 88,060,817
Information Technology........ 138,504,660 -- -- 138,504,660
Materials..................... 27,799,583 -- -- 27,799,583
Real Estate Investment Trusts. 291,933 -- -- 291,933
Telecommunication Services.... 18,887,772 -- -- 18,887,772
Utilities..................... 17,396,237 -- -- 17,396,237
Rights/Warrants................. -- $ 7,344 -- 7,344
Temporary Cash Investments...... 802,829 -- -- 802,829
Securities Lending Collateral... -- 36,100,879 -- 36,100,879
------------ ----------- -- ------------
TOTAL........................... $697,293,423 $36,108,223 -- $733,401,646
============ =========== == ============
See accompanying Notes to Financial Statements.
43
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2015
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company..................... $15,873,345,924
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $11,374,011,829)............................ $15,873,345,924
===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2015,
based on their valuation inputs, is located within this report (See Master
Fund's Security Valuation Note).
See accompanying Notes to Financial Statements.
44
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (84.4%)
Consumer Discretionary -- (11.4%)
# GameStop Corp. Class A............. 639,789 $ 29,475,079 0.4%
Goodyear Tire & Rubber Co. (The)... 927,252 30,450,956 0.4%
Lear Corp.......................... 222,589 27,836,980 0.4%
Penske Automotive Group, Inc....... 543,525 26,545,761 0.4%
PulteGroup, Inc.................... 1,438,737 26,372,049 0.4%
Other Securities................... 821,439,162 11.4%
-------------- -----
Total Consumer Discretionary........... 962,119,987 13.4%
-------------- -----
Consumer Staples -- (2.7%)
Ingredion, Inc..................... 366,464 34,836,068 0.5%
Pinnacle Foods, Inc................ 701,837 30,936,975 0.4%
Other Securities................... 163,112,144 2.3%
-------------- -----
Total Consumer Staples................. 228,885,187 3.2%
-------------- -----
Energy -- (6.8%)
# Helmerich & Payne, Inc............. 630,865 35,498,774 0.5%
* Newfield Exploration Co............ 951,554 38,242,955 0.5%
Other Securities................... 499,517,266 7.0%
-------------- -----
Total Energy........................... 573,258,995 8.0%
-------------- -----
Financials -- (23.9%)
* Alleghany Corp..................... 61,024 30,284,380 0.4%
American Financial Group, Inc...... 537,365 38,792,379 0.6%
* Arch Capital Group, Ltd............ 346,297 25,934,182 0.4%
Assurant, Inc...................... 516,790 42,133,889 0.6%
Assured Guaranty, Ltd.............. 947,120 25,988,973 0.4%
Axis Capital Holdings, Ltd......... 606,646 32,758,884 0.5%
Endurance Specialty Holdings, Ltd.. 403,852 25,495,177 0.4%
# Investors Bancorp, Inc............. 2,118,700 26,504,937 0.4%
Legg Mason, Inc.................... 787,895 35,258,301 0.5%
# New York Community Bancorp, Inc.... 1,823,148 30,118,405 0.4%
Old Republic International Corp.... 1,584,645 28,586,996 0.4%
# PacWest Bancorp.................... 625,912 28,191,076 0.4%
PartnerRe, Ltd..................... 321,083 44,630,537 0.6%
# People's United Financial, Inc..... 1,913,584 30,521,665 0.4%
Reinsurance Group of America, Inc.. 405,482 36,590,696 0.5%
RenaissanceRe Holdings, Ltd........ 285,827 31,335,214 0.4%
# WR Berkley Corp.................... 609,332 34,019,006 0.5%
# Zions Bancorporation............... 1,252,188 36,025,449 0.5%
Other Securities................... 1,432,025,626 19.8%
-------------- -----
Total Financials....................... 2,015,195,772 28.1%
-------------- -----
Health Care -- (4.8%)
Other Securities................... 403,093,740 5.6%
-------------- -----
Industrials -- (16.5%)
# ADT Corp. (The).................... 1,020,657 33,722,507 0.5%
#* AECOM.............................. 889,709 26,219,724 0.4%
# AGCO Corp.......................... 530,772 25,684,057 0.4%
Alaska Air Group, Inc.............. 329,109 25,094,561 0.4%
AMERCO............................. 80,841 32,846,507 0.5%
#* Avis Budget Group, Inc............. 665,365 33,228,328 0.5%
# Chicago Bridge & Iron Co. NV....... 629,690 28,254,190 0.4%
45
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
* Jacobs Engineering Group, Inc...................... 759,998 $ 30,506,320 0.4%
* JetBlue Airways Corp............................... 1,634,709 40,606,172 0.6%
Owens Corning...................................... 721,732 32,860,458 0.5%
# Trinity Industries, Inc............................ 1,101,344 29,813,382 0.4%
Waste Connections, Inc............................. 622,785 33,929,327 0.5%
Other Securities................................... 1,022,602,929 14.0%
-------------- ------
Total Industrials........................................ 1,395,368,462 19.5%
-------------- ------
Information Technology -- (10.9%)
#* ARRIS Group, Inc................................... 886,133 25,042,119 0.4%
* Arrow Electronics, Inc............................. 563,822 31,004,572 0.4%
Avnet, Inc......................................... 768,644 34,919,497 0.5%
#* First Solar, Inc................................... 693,745 39,592,027 0.6%
Ingram Micro, Inc. Class A......................... 936,279 27,882,389 0.4%
Other Securities................................... 761,898,741 10.6%
-------------- ------
Total Information Technology............................. 920,339,345 12.9%
-------------- ------
Materials -- (5.4%)
Airgas, Inc........................................ 355,996 34,232,575 0.5%
Bemis Co., Inc..................................... 564,312 25,834,203 0.4%
Reliance Steel & Aluminum Co....................... 451,082 27,046,877 0.4%
Steel Dynamics, Inc................................ 1,485,950 27,445,496 0.4%
Other Securities................................... 339,817,122 4.7%
-------------- ------
Total Materials.......................................... 454,376,273 6.4%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Telecommunication Services -- (1.0%)
# Frontier Communications Corp....................... 5,021,391 25,809,950 0.4%
Other Securities................................... 62,715,207 0.8%
-------------- ------
Total Telecommunication Services......................... 88,525,157 1.2%
-------------- ------
Utilities -- (1.0%)
UGI Corp........................................... 1,021,803 37,469,516 0.5%
Other Securities................................... 42,758,323 0.6%
-------------- ------
Total Utilities.......................................... 80,227,839 1.1%
-------------- ------
TOTAL COMMON STOCKS...................................... 7,121,390,757 99.4%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 612,821 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.............................. 7,122,003,578
--------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional Liquid Reserves, 0.140%. 40,737,703 40,737,703 0.6%
-------------- ------
SECURITIES LENDING COLLATERAL -- (15.1%)
(S)@ DFA Short Term Investment Fund..................... 110,192,574 1,274,928,076 17.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,514,657,975)................................ $8,437,669,357 117.8%
============== ======
46
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2015, 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...... $ 962,119,987 -- -- $ 962,119,987
Consumer Staples............ 228,885,187 -- -- 228,885,187
Energy...................... 573,258,995 -- -- 573,258,995
Financials.................. 2,015,159,148 $ 36,624 -- 2,015,195,772
Health Care................. 403,055,885 37,855 -- 403,093,740
Industrials................. 1,395,368,181 281 -- 1,395,368,462
Information Technology...... 920,339,345 -- -- 920,339,345
Materials................... 454,376,273 -- -- 454,376,273
Other....................... -- -- -- --
Telecommunication Services.. 88,525,157 -- -- 88,525,157
Utilities................... 80,227,839 -- -- 80,227,839
Rights/Warrants............... -- 612,821 -- 612,821
Temporary Cash Investments.... 40,737,703 -- -- 40,737,703
Securities Lending Collateral. -- 1,274,928,076 -- 1,274,928,076
-------------- -------------- -- --------------
TOTAL......................... $7,162,053,700 $1,275,615,657 -- $8,437,669,357
============== ============== == ==============
See accompanying Notes to Financial Statements.
47
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (86.4%)
Consumer Discretionary -- (13.6%)
#* Ascena Retail Group, Inc.................... 4,280,777 $ 57,019,950 0.5%
#* CalAtlantic Group, Inc...................... 1,421,260 54,135,793 0.5%
# Group 1 Automotive, Inc..................... 849,486 73,862,808 0.6%
#* Helen of Troy, Ltd.......................... 837,062 83,044,921 0.7%
# Scholastic Corp............................. 1,404,546 57,403,795 0.5%
* Skechers U.S.A., Inc. Class A............... 1,976,565 61,668,828 0.5%
# Wendy's Co. (The)........................... 7,117,556 65,196,813 0.6%
Other Securities............................ 1,348,328,227 11.5%
-------------- ------
Total Consumer Discretionary.................... 1,800,661,135 15.4%
-------------- ------
Consumer Staples -- (3.4%)
# Fresh Del Monte Produce, Inc................ 1,819,097 83,005,396 0.7%
#* Post Holdings, Inc.......................... 1,122,617 72,150,594 0.6%
* Seaboard Corp............................... 18,550 62,476,400 0.5%
Other Securities............................ 234,179,162 2.1%
-------------- ------
Total Consumer Staples.......................... 451,811,552 3.9%
-------------- ------
Energy -- (7.1%)
Delek US Holdings, Inc...................... 2,325,893 63,264,289 0.5%
Exterran Holdings, Inc...................... 2,471,443 53,729,171 0.5%
# PBF Energy, Inc. Class A.................... 1,699,824 57,794,016 0.5%
#* PDC Energy, Inc............................. 1,473,735 88,925,170 0.8%
Rowan Cos. P.L.C. Class A................... 3,090,873 60,828,381 0.5%
Other Securities............................ 620,258,968 5.3%
-------------- ------
Total Energy.................................... 944,799,995 8.1%
-------------- ------
Financials -- (23.3%)
# American Equity Investment Life Holding Co.. 2,474,561 63,546,727 0.6%
Argo Group International Holdings, Ltd...... 1,118,731 69,943,062 0.6%
Aspen Insurance Holdings, Ltd............... 1,626,064 79,042,971 0.7%
# CNO Financial Group, Inc.................... 7,395,813 142,073,568 1.2%
Endurance Specialty Holdings, Ltd........... 2,323,417 146,677,315 1.3%
# First American Financial Corp............... 1,900,916 72,481,927 0.6%
Fulton Financial Corp....................... 4,402,963 59,087,763 0.5%
# Hanover Insurance Group, Inc. (The)......... 1,233,815 103,948,914 0.9%
# Kemper Corp................................. 1,728,535 61,743,270 0.5%
# MB Financial, Inc........................... 1,742,751 56,186,292 0.5%
# Selective Insurance Group, Inc.............. 1,864,419 68,032,649 0.6%
StanCorp Financial Group, Inc............... 882,554 101,246,595 0.9%
Symetra Financial Corp...................... 1,946,825 61,772,757 0.5%
# Umpqua Holdings Corp........................ 3,311,477 55,301,666 0.5%
# Washington Federal, Inc..................... 2,892,699 72,143,913 0.6%
Webster Financial Corp...................... 2,630,438 97,589,250 0.8%
# Wintrust Financial Corp..................... 1,522,319 76,861,886 0.7%
Other Securities............................ 1,711,701,886 14.5%
-------------- ------
Total Financials................................ 3,099,382,411 26.5%
-------------- ------
Health Care -- (5.4%)
#* Amsurg Corp................................. 949,461 66,547,722 0.6%
* LifePoint Hospitals, Inc.................... 1,734,382 119,464,232 1.0%
* Prestige Brands Holdings, Inc............... 1,189,677 58,306,070 0.5%
Other Securities............................ 466,521,087 4.0%
-------------- ------
Total Health Care............................... 710,839,111 6.1%
-------------- ------
48
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (15.7%)
AMERCO............................................. 338,858 $ 137,681,394 1.2%
* Esterline Technologies Corp........................ 1,070,646 82,493,274 0.7%
# GATX Corp.......................................... 1,760,198 82,201,247 0.7%
#* JetBlue Airways Corp............................... 3,256,949 80,902,613 0.7%
Other Securities................................... 1,699,786,531 14.5%
--------------- ------
Total Industrials........................................ 2,083,065,059 17.8%
--------------- ------
Information Technology -- (12.4%)
* CACI International, Inc. Class A................... 858,360 83,295,254 0.7%
# Convergys Corp..................................... 3,901,476 100,150,889 0.9%
#* Fairchild Semiconductor International, Inc......... 4,389,401 73,215,209 0.6%
# MKS Instruments, Inc............................... 1,702,868 60,009,068 0.5%
#* Sanmina Corp....................................... 2,983,940 61,678,040 0.5%
# SYNNEX Corp........................................ 1,422,467 125,802,981 1.1%
* Tech Data Corp..................................... 1,282,420 93,347,352 0.8%
# Vishay Intertechnology, Inc........................ 5,014,564 53,154,378 0.5%
Other Securities................................... 996,922,603 8.5%
--------------- ------
Total Information Technology............................. 1,647,575,774 14.1%
--------------- ------
Materials -- (4.7%)
# Commercial Metals Co............................... 4,284,225 61,564,313 0.5%
Domtar Corp........................................ 1,320,496 54,457,255 0.5%
#* Louisiana-Pacific Corp............................. 3,892,193 68,736,128 0.6%
Other Securities................................... 442,029,237 3.8%
--------------- ------
Total Materials.......................................... 626,786,933 5.4%
--------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
--------------- ------
Telecommunication Services -- (0.7%)
Other Securities................................... 88,983,200 0.8%
--------------- ------
Utilities -- (0.1%)
Other Securities................................... 9,819,295 0.1%
--------------- ------
TOTAL COMMON STOCKS...................................... 11,463,724,465 98.2%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities................................... -- 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 1,849,429 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES.............................. 11,465,573,894
---------------
TEMPORARY CASH INVESTMENTS -- (1.1%)
State Street Institutional Liquid Reserves, 0.140%. 148,686,557 148,686,557 1.3%
--------------- ------
SECURITIES LENDING COLLATERAL -- (12.5%)
(S)@ DFA Short Term Investment Fund..................... 143,725,502 1,662,904,060 14.2%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $11,025,029,544)............................... $13,277,164,511 113.7%
=============== ======
49
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2015, 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...... $ 1,800,661,135 -- -- $ 1,800,661,135
Consumer Staples............ 451,811,552 -- -- 451,811,552
Energy...................... 944,799,995 -- -- 944,799,995
Financials.................. 3,099,328,547 $ 53,864 -- 3,099,382,411
Health Care................. 710,839,111 -- -- 710,839,111
Industrials................. 2,083,065,059 -- -- 2,083,065,059
Information Technology...... 1,647,575,774 -- -- 1,647,575,774
Materials................... 626,786,933 -- -- 626,786,933
Other....................... -- -- -- --
Telecommunication Services.. 88,983,200 -- -- 88,983,200
Utilities................... 9,819,295 -- -- 9,819,295
Preferred Stocks
Other....................... -- -- -- --
Rights/Warrants............... -- 1,849,429 -- 1,849,429
Temporary Cash Investments.... 148,686,557 -- -- 148,686,557
Securities Lending Collateral. -- 1,662,904,060 -- 1,662,904,060
--------------- -------------- -- ---------------
TOTAL......................... $11,612,357,158 $1,664,807,353 -- $13,277,164,511
=============== ============== == ===============
See accompanying Notes to Financial Statements.
50
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (89.8%)
Consumer Discretionary -- (14.4%)
* Amazon.com, Inc................... 185,319 $ 115,991,162 0.9%
Comcast Corp. Class A............. 1,402,855 87,846,780 0.7%
Home Depot, Inc. (The)............ 717,518 88,713,926 0.7%
McDonald's Corp................... 526,276 59,074,481 0.5%
NIKE, Inc. Class B................ 311,743 40,847,685 0.3%
Starbucks Corp.................... 829,291 51,888,738 0.4%
Walt Disney Co. (The)............. 591,378 67,263,334 0.5%
Other Securities.................. 1,604,211,415 11.9%
-------------- ------
Total Consumer Discretionary.......... 2,115,837,521 15.9%
-------------- ------
Consumer Staples -- (7.2%)
Altria Group, Inc................. 1,049,321 63,452,441 0.5%
Coca-Cola Co. (The)............... 1,870,428 79,212,626 0.6%
CVS Health Corp................... 545,264 53,861,178 0.4%
PepsiCo, Inc...................... 797,948 81,542,306 0.6%
Philip Morris International, Inc.. 582,594 51,501,310 0.4%
Procter & Gamble Co. (The)........ 1,064,717 81,323,084 0.6%
Wal-Mart Stores, Inc.............. 806,258 46,150,208 0.4%
Other Securities.................. 596,028,283 4.4%
-------------- ------
Total Consumer Staples................ 1,053,071,436 7.9%
-------------- ------
Energy -- (6.2%)
Chevron Corp...................... 884,205 80,356,550 0.6%
Exxon Mobil Corp.................. 2,226,473 184,218,376 1.4%
Schlumberger, Ltd................. 665,751 52,035,098 0.4%
Other Securities.................. 600,168,919 4.5%
-------------- ------
Total Energy.......................... 916,778,943 6.9%
-------------- ------
Financials -- (13.4%)
Bank of America Corp.............. 4,566,691 76,629,075 0.6%
* Berkshire Hathaway, Inc. Class B.. 727,714 98,983,658 0.8%
Citigroup, Inc.................... 1,319,290 70,146,649 0.5%
JPMorgan Chase & Co............... 1,744,344 112,074,102 0.9%
Wells Fargo & Co.................. 2,269,132 122,850,807 0.9%
Other Securities.................. 1,496,349,281 11.2%
-------------- ------
Total Financials...................... 1,977,033,572 14.9%
-------------- ------
Health Care -- (10.6%)
AbbVie, Inc....................... 914,606 54,464,787 0.4%
* Allergan P.L.C.................... 169,634 52,327,000 0.4%
Amgen, Inc........................ 282,180 44,635,232 0.3%
* Celgene Corp...................... 357,154 43,826,367 0.3%
Gilead Sciences, Inc.............. 785,450 84,930,708 0.7%
Johnson & Johnson................. 1,140,308 115,205,317 0.9%
Merck & Co., Inc.................. 1,168,919 63,893,113 0.5%
Pfizer, Inc....................... 2,477,159 83,777,517 0.6%
UnitedHealth Group, Inc........... 443,486 52,233,781 0.4%
Other Securities.................. 962,924,785 7.2%
-------------- ------
Total Health Care..................... 1,558,218,607 11.7%
-------------- ------
51
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (12.1%)
3M Co................................. 353,746 $ 55,612,409 0.4%
Boeing Co. (The)...................... 357,858 52,988,034 0.4%
General Electric Co................... 3,491,085 100,962,178 0.8%
Union Pacific Corp.................... 439,218 39,244,128 0.3%
# United Parcel Service, Inc. Class B... 384,869 39,649,204 0.3%
United Technologies Corp.............. 383,146 37,705,398 0.3%
Other Securities...................... 1,449,457,139 10.9%
--------------- ------
Total Industrials......................... 1,775,618,490 13.4%
--------------- ------
Information Technology -- (17.2%)
* Alphabet, Inc. Class A................ 80,837 59,608,395 0.5%
* Alphabet, Inc. Class C................ 87,094 61,907,286 0.5%
Apple, Inc............................ 3,282,933 392,310,493 3.0%
Cisco Systems, Inc.................... 2,001,733 57,749,997 0.4%
* Facebook, Inc. Class A................ 652,044 66,488,927 0.5%
Intel Corp............................ 3,068,329 103,893,620 0.8%
International Business Machines Corp.. 512,237 71,754,159 0.6%
MasterCard, Inc. Class A.............. 549,236 54,368,872 0.4%
Microsoft Corp........................ 3,634,247 191,306,762 1.5%
Oracle Corp........................... 1,433,762 55,687,316 0.4%
# Visa, Inc. Class A.................... 737,983 57,252,721 0.4%
Other Securities...................... 1,358,453,023 10.1%
--------------- ------
Total Information Technology.............. 2,530,781,571 19.1%
--------------- ------
Materials -- (4.0%)
Other Securities...................... 586,061,926 4.4%
--------------- ------
Other -- (0.0%)
Other Securities...................... -- 0.0%
--------------- ------
Real Estate Investment Trusts -- (0.0%)
Other Securities...................... 7,260,308 0.1%
--------------- ------
Telecommunication Services -- (2.0%)
AT&T, Inc............................. 3,409,800 114,262,398 0.9%
Verizon Communications, Inc........... 2,337,506 109,582,281 0.8%
Other Securities...................... 69,010,521 0.5%
--------------- ------
Total Telecommunication Services.......... 292,855,200 2.2%
--------------- ------
Utilities -- (2.7%)
Other Securities...................... 403,531,549 3.0%
--------------- ------
TOTAL COMMON STOCKS....................... 13,217,049,123 99.5%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities...................... -- 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities...................... 387,936 0.0%
--------------- ------
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities...................... 539 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES............... 13,217,437,598
---------------
52
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves, 0.140%. 45,709,717 $ 45,709,717 0.3%
--------------- ------
SECURITIES LENDING COLLATERAL -- (9.9%)
(S)@ DFA Short Term Investment Fund..................... 125,445,707 1,451,406,834 11.0%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $11,437,799,229)............................... $14,714,554,149 110.8%
=============== ======
Summary of the Portfolio's investments as of October 31, 2015, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
------------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- -------------- ------- ---------------
Common Stocks
Consumer Discretionary........ $ 2,115,837,521 -- -- $ 2,115,837,521
Consumer Staples.............. 1,053,071,436 -- -- 1,053,071,436
Energy........................ 916,778,943 -- -- 916,778,943
Financials.................... 1,976,993,501 $ 40,071 -- 1,977,033,572
Health Care................... 1,558,216,752 1,855 -- 1,558,218,607
Industrials................... 1,775,616,574 1,916 -- 1,775,618,490
Information Technology........ 2,530,781,571 -- -- 2,530,781,571
Materials..................... 586,061,926 -- -- 586,061,926
Other......................... -- -- -- --
Real Estate Investment Trusts. 7,260,308 -- -- 7,260,308
Telecommunication Services.... 292,855,200 -- -- 292,855,200
Utilities..................... 403,531,549 -- -- 403,531,549
Preferred Stocks
Other......................... -- -- -- --
Rights/Warrants................. -- 387,936 -- 387,936
Bonds
Financials.................... -- 539 -- 539
Temporary Cash Investments...... 45,709,717 -- -- 45,709,717
Securities Lending Collateral... -- 1,451,406,834 -- 1,451,406,834
--------------- -------------- -- ---------------
TOTAL........................... $13,262,714,998 $1,451,839,151 -- $14,714,554,149
=============== ============== == ===============
See accompanying Notes to Financial Statements.
53
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (89.5%)
Consumer Discretionary -- (13.7%)
* Amazon.com, Inc.................... 71,698 $ 44,875,778 0.3%
Comcast Corp. Class A.............. 2,107,315 131,960,065 0.9%
Ford Motor Co...................... 3,584,736 53,089,940 0.4%
Time Warner Cable, Inc............. 205,377 38,898,404 0.3%
Time Warner, Inc................... 853,224 64,281,896 0.4%
Walt Disney Co. (The).............. 788,924 89,732,216 0.6%
Other Securities................... 1,890,382,412 12.3%
-------------- ------
Total Consumer Discretionary........... 2,313,220,711 15.2%
-------------- ------
Consumer Staples -- (6.0%)
Coca-Cola Co. (The)................ 1,031,040 43,664,544 0.3%
CVS Health Corp.................... 785,024 77,544,671 0.5%
PepsiCo, Inc....................... 441,915 45,159,294 0.3%
Procter & Gamble Co. (The)......... 1,622,423 123,920,669 0.8%
Wal-Mart Stores, Inc............... 979,771 56,082,092 0.4%
Walgreens Boots Alliance, Inc...... 469,206 39,732,364 0.3%
Other Securities................... 623,157,057 4.0%
-------------- ------
Total Consumer Staples................. 1,009,260,691 6.6%
-------------- ------
Energy -- (7.9%)
Chevron Corp....................... 1,126,532 102,379,228 0.7%
ConocoPhillips..................... 950,468 50,707,468 0.3%
EOG Resources, Inc................. 548,973 47,129,332 0.3%
Exxon Mobil Corp................... 3,402,966 281,561,407 1.9%
Schlumberger, Ltd.................. 1,027,329 80,296,035 0.5%
Other Securities................... 770,247,405 5.1%
-------------- ------
Total Energy........................... 1,332,320,875 8.8%
-------------- ------
Financials -- (15.4%)
American International Group, Inc.. 609,355 38,425,926 0.3%
Bank of America Corp............... 4,315,189 72,408,871 0.5%
* Berkshire Hathaway, Inc. Class B... 374,001 50,871,616 0.3%
Citigroup, Inc..................... 1,299,154 69,076,018 0.5%
Goldman Sachs Group, Inc. (The).... 231,219 43,353,562 0.3%
JPMorgan Chase & Co................ 2,373,509 152,497,953 1.0%
U.S. Bancorp....................... 1,034,111 43,618,802 0.3%
Wells Fargo & Co................... 3,038,209 164,488,635 1.1%
Other Securities................... 1,966,782,635 12.8%
-------------- ------
Total Financials....................... 2,601,524,018 17.1%
-------------- ------
Health Care -- (9.7%)
* Allergan P.L.C..................... 178,521 55,068,373 0.4%
Amgen, Inc......................... 233,507 36,936,137 0.3%
Johnson & Johnson.................. 1,171,060 118,312,192 0.8%
Medtronic P.L.C.................... 543,561 40,180,029 0.3%
Merck & Co., Inc................... 1,166,009 63,734,052 0.4%
Pfizer, Inc........................ 3,836,794 129,760,373 0.9%
UnitedHealth Group, Inc............ 576,403 67,888,745 0.5%
Other Securities................... 1,123,043,021 7.2%
-------------- ------
Total Health Care...................... 1,634,922,922 10.8%
-------------- ------
54
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (12.8%)
# Caterpillar, Inc................ 543,284 $ 39,654,299 0.3%
FedEx Corp...................... 251,048 39,176,040 0.3%
General Electric Co............. 5,455,103 157,761,579 1.1%
Union Pacific Corp.............. 689,803 61,633,898 0.4%
United Technologies Corp........ 390,096 38,389,347 0.3%
Other Securities................ 1,839,299,647 11.9%
--------------- ------
Total Industrials....................... 2,175,914,810 14.3%
--------------- ------
Information Technology -- (15.6%)
* Alphabet, Inc. Class A.......... 81,193 59,870,906 0.4%
* Alphabet, Inc. Class C.......... 86,171 61,251,209 0.4%
Apple, Inc...................... 2,232,888 266,830,116 1.8%
Cisco Systems, Inc.............. 3,101,253 89,471,149 0.6%
HP, Inc......................... 1,807,285 48,724,404 0.3%
Intel Corp...................... 4,523,596 153,168,961 1.0%
Microsoft Corp.................. 3,539,615 186,325,334 1.2%
Oracle Corp..................... 1,315,382 51,089,437 0.3%
QUALCOMM, Inc................... 821,925 48,838,783 0.3%
# Visa, Inc. Class A.............. 547,188 42,450,845 0.3%
Other Securities................ 1,632,006,204 10.8%
--------------- ------
Total Information Technology............ 2,640,027,348 17.4%
--------------- ------
Materials -- (4.2%)
Dow Chemical Co. (The).......... 878,752 45,405,116 0.3%
Other Securities................ 674,820,964 4.4%
--------------- ------
Total Materials......................... 720,226,080 4.7%
--------------- ------
Other -- (0.0%)
Other Securities................ -- 0.0%
--------------- ------
Real Estate Investment Trusts -- (0.1%)
Other Securities................ 10,341,182 0.1%
--------------- ------
Telecommunication Services -- (2.2%)
AT&T, Inc....................... 5,088,201 170,505,615 1.1%
Verizon Communications, Inc..... 2,326,885 109,084,369 0.7%
Other Securities................ 101,301,014 0.7%
--------------- ------
Total Telecommunication Services........ 380,890,998 2.5%
--------------- ------
Utilities -- (1.9%)
Other Securities................ 331,906,323 2.2%
--------------- ------
TOTAL COMMON STOCKS..................... 15,150,555,958 99.7%
--------------- ------
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities................ -- 0.0%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................ 568,149 0.0%
--------------- ------
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities................ 1,258 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES............. 15,151,125,365
---------------
55
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional Liquid Reserves, 0.140%. 45,061,143 $ 45,061,143 0.3%
--------------- ------
SECURITIES LENDING COLLATERAL -- (10.2%)
(S)@ DFA Short Term Investment Fund..................... 149,053,678 1,724,551,050 11.3%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,870,772,552)............................... $16,920,737,558 111.3%
=============== ======
Summary of the Portfolio's investments as of October 31, 2015, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
------------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- -------------- ------- ---------------
Common Stocks
Consumer Discretionary........ $ 2,313,220,711 -- -- $ 2,313,220,711
Consumer Staples.............. 1,009,260,691 -- -- 1,009,260,691
Energy........................ 1,332,320,875 -- -- 1,332,320,875
Financials.................... 2,601,396,806 $ 127,212 -- 2,601,524,018
Health Care................... 1,634,905,790 17,132 -- 1,634,922,922
Industrials................... 2,175,914,348 462 -- 2,175,914,810
Information Technology........ 2,640,027,348 -- -- 2,640,027,348
Materials..................... 720,226,080 -- -- 720,226,080
Other......................... -- -- -- --
Real Estate Investment Trusts. 10,341,182 -- -- 10,341,182
Telecommunication Services.... 380,890,998 -- -- 380,890,998
Utilities..................... 331,906,323 -- -- 331,906,323
Preferred Stocks
Other......................... -- -- -- --
Rights/Warrants................. -- 568,149 -- 568,149
Bonds
Financials.................... -- 1,258 -- 1,258
Temporary Cash Investments...... 45,061,143 -- -- 45,061,143
Securities Lending Collateral... -- 1,724,551,050 -- 1,724,551,050
--------------- -------------- -- ---------------
TOTAL........................... $15,195,472,295 $1,725,265,263 -- $16,920,737,558
=============== ============== == ===============
See accompanying Notes to Financial Statements.
56
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (85.6%)
Consumer Discretionary -- (12.6%)
Comcast Corp. Class A.............. 404,565 $ 25,333,860 0.7%
General Motors Co.................. 301,169 10,513,810 0.3%
Time Warner, Inc................... 94,912 7,150,670 0.2%
Walt Disney Co. (The).............. 118,253 13,450,096 0.4%
Other Securities................... 478,413,402 13.0%
------------ ------
Total Consumer Discretionary........... 534,861,838 14.6%
------------ ------
Consumer Staples -- (3.8%)
CVS Health Corp.................... 82,604 8,159,623 0.2%
Procter & Gamble Co. (The)......... 117,650 8,986,107 0.3%
Other Securities................... 144,049,353 3.9%
------------ ------
Total Consumer Staples................. 161,195,083 4.4%
------------ ------
Energy -- (7.7%)
Chevron Corp....................... 304,598 27,681,866 0.8%
ConocoPhillips..................... 216,945 11,574,016 0.3%
Exxon Mobil Corp................... 620,257 51,320,064 1.4%
Schlumberger, Ltd.................. 96,425 7,536,578 0.2%
Valero Energy Corp................. 121,946 8,038,680 0.2%
Other Securities................... 219,015,611 6.0%
------------ ------
Total Energy........................... 325,166,815 8.9%
------------ ------
Financials -- (21.4%)
American Financial Group, Inc...... 113,571 8,198,690 0.2%
American International Group, Inc.. 128,798 8,122,002 0.2%
Assurant, Inc...................... 86,200 7,027,886 0.2%
Bank of America Corp............... 1,204,998 20,219,866 0.6%
Citigroup, Inc..................... 374,753 19,925,617 0.6%
Fifth Third Bancorp................ 447,989 8,534,190 0.2%
Goldman Sachs Group, Inc. (The).... 52,050 9,759,375 0.3%
JPMorgan Chase & Co................ 464,013 29,812,835 0.8%
# M&T Bank Corp...................... 57,265 6,863,210 0.2%
* Markel Corp........................ 7,917 6,871,956 0.2%
PartnerRe, Ltd..................... 50,223 6,980,997 0.2%
Principal Financial Group, Inc..... 157,281 7,889,215 0.2%
RenaissanceRe Holdings, Ltd........ 64,238 7,042,412 0.2%
StanCorp Financial Group, Inc...... 68,384 7,845,012 0.2%
Travelers Cos., Inc. (The)......... 66,684 7,527,957 0.2%
Wells Fargo & Co................... 625,091 33,842,427 0.9%
Other Securities................... 711,139,101 19.5%
------------ ------
Total Financials....................... 907,602,748 24.9%
------------ ------
Health Care -- (7.1%)
* Allergan P.L.C..................... 38,459 11,863,448 0.3%
Anthem, Inc........................ 51,031 7,100,964 0.2%
Johnson & Johnson.................. 90,854 9,178,980 0.3%
Merck & Co., Inc................... 149,737 8,184,624 0.2%
Pfizer, Inc........................ 459,005 15,523,549 0.4%
UnitedHealth Group, Inc............ 73,435 8,649,174 0.3%
Other Securities................... 242,053,193 6.6%
------------ ------
Total Health Care...................... 302,553,932 8.3%
------------ ------
57
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (13.2%)
# ADT Corp. (The).................................... 221,287 $ 7,311,322 0.2%
AMERCO............................................. 19,095 7,758,489 0.2%
# Chicago Bridge & Iron Co. NV....................... 178,027 7,988,071 0.2%
General Electric Co................................ 721,688 20,871,217 0.6%
* JetBlue Airways Corp............................... 413,533 10,272,160 0.3%
Southwest Airlines Co.............................. 156,279 7,234,155 0.2%
Union Pacific Corp................................. 83,333 7,445,804 0.2%
Other Securities................................... 489,572,096 13.4%
-------------- ------
Total Industrials........................................ 558,453,314 15.3%
-------------- ------
Information Technology -- (12.2%)
# Activision Blizzard, Inc........................... 213,323 7,415,107 0.2%
Apple, Inc......................................... 308,343 36,846,988 1.0%
Cisco Systems, Inc................................. 334,255 9,643,257 0.3%
HP, Inc............................................ 268,806 7,247,010 0.2%
Intel Corp......................................... 534,019 18,081,883 0.5%
Microsoft Corp..................................... 278,222 14,645,606 0.4%
# Visa, Inc. Class A................................. 116,012 9,000,211 0.3%
Other Securities................................... 413,911,357 11.3%
-------------- ------
Total Information Technology............................. 516,791,419 14.2%
-------------- ------
Materials -- (4.5%)
Other Securities................................... 192,524,787 5.3%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Real Estate Investment Trusts -- (0.0%)
Other Securities................................... 1,534,174 0.0%
-------------- ------
Telecommunication Services -- (2.0%)
AT&T, Inc.......................................... 1,013,858 33,974,382 0.9%
Verizon Communications, Inc........................ 259,639 12,171,876 0.3%
Other Securities................................... 36,213,795 1.1%
-------------- ------
Total Telecommunication Services......................... 82,360,053 2.3%
-------------- ------
Utilities -- (1.1%)
UGI Corp........................................... 221,969 8,139,603 0.2%
Other Securities................................... 37,586,237 1.0%
-------------- ------
Total Utilities.......................................... 45,725,840 1.2%
-------------- ------
TOTAL COMMON STOCKS...................................... 3,628,770,003 99.4%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 210,655 0.0%
-------------- ------
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities................................... 277 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.............................. 3,628,980,935
--------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
State Street Institutional Liquid Reserves, 0.140%. 29,018,998 29,018,998 0.8%
-------------- ------
SECURITIES LENDING COLLATERAL -- (13.7%)
(S)@ DFA Short Term Investment Fund..................... 50,303,831 582,015,322 15.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,308,133,308)................................ $4,240,015,255 116.1%
============== ======
58
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2015, 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........ $ 534,861,838 -- -- $ 534,861,838
Consumer Staples.............. 161,195,083 -- -- 161,195,083
Energy........................ 325,166,815 -- -- 325,166,815
Financials.................... 907,500,833 $ 101,915 -- 907,602,748
Health Care................... 302,528,793 25,139 -- 302,553,932
Industrials................... 558,452,686 628 -- 558,453,314
Information Technology........ 516,791,419 -- -- 516,791,419
Materials..................... 192,524,787 -- -- 192,524,787
Other......................... -- -- -- --
Real Estate Investment Trusts. 1,534,174 -- -- 1,534,174
Telecommunication Services.... 82,360,053 -- -- 82,360,053
Utilities..................... 45,725,840 -- -- 45,725,840
Rights/Warrants................. -- 210,655 -- 210,655
Bonds
Financials.................... -- 277 -- 277
Temporary Cash Investments...... 29,018,998 -- -- 29,018,998
Securities Lending Collateral... -- 582,015,322 -- 582,015,322
-------------- ------------ -- --------------
TOTAL........................... $3,657,661,319 $582,353,936 -- $4,240,015,255
============== ============ == ==============
See accompanying Notes to Financial Statements.
59
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shaes Value+ of Net Assets**
----- ------ ---------------
COMMON STOCKS -- (82.4%)
Consumer Discretionary -- (14.8%)
# American Eagle Outfitters, Inc...... 1,631,159 $ 24,924,110 0.2%
#* Buffalo Wild Wings, Inc............. 161,348 24,891,156 0.2%
* Helen of Troy, Ltd.................. 248,906 24,693,964 0.2%
Jack in the Box, Inc................ 335,227 24,984,468 0.2%
# Lithia Motors, Inc. Class A......... 209,723 24,619,383 0.2%
* Office Depot, Inc................... 3,790,696 28,885,104 0.3%
# Papa John's International, Inc...... 358,678 25,168,435 0.2%
Pool Corp........................... 361,310 29,461,217 0.3%
Thor Industries, Inc................ 469,312 25,380,393 0.2%
Vail Resorts, Inc................... 229,928 26,250,880 0.3%
Other Securities.................... 1,630,268,440 15.5%
-------------- -----
Total Consumer Discretionary............ 1,889,527,550 17.8%
-------------- -----
Consumer Staples -- (3.6%)
Lancaster Colony Corp............... 234,026 26,613,437 0.3%
#* Post Holdings, Inc.................. 424,561 27,286,535 0.3%
Other Securities.................... 406,135,987 3.7%
-------------- -----
Total Consumer Staples.................. 460,035,959 4.3%
-------------- -----
Energy -- (2.6%)
# PBF Energy, Inc. Class A............ 755,325 25,681,050 0.3%
Other Securities.................... 306,272,899 2.8%
-------------- -----
Total Energy............................ 331,953,949 3.1%
-------------- -----
Financials -- (16.7%)
Aspen Insurance Holdings, Ltd....... 528,040 25,668,024 0.3%
# Bank of Hawaii Corp................. 377,255 24,702,657 0.2%
# Bank of the Ozarks, Inc............. 615,807 30,802,666 0.3%
# Endurance Specialty Holdings, Ltd... 469,806 29,658,853 0.3%
Hanover Insurance Group, Inc. (The). 334,899 28,215,241 0.3%
MarketAxess Holdings, Inc........... 284,264 28,798,786 0.3%
# PrivateBancorp, Inc................. 651,243 27,241,495 0.3%
StanCorp Financial Group, Inc....... 309,704 35,529,243 0.3%
Symetra Financial Corp.............. 825,630 26,197,240 0.3%
* Western Alliance Bancorp............ 736,332 26,323,869 0.3%
Other Securities.................... 1,850,853,544 17.2%
-------------- -----
Total Financials........................ 2,133,991,618 20.1%
-------------- -----
Health Care -- (7.9%)
#* Amsurg Corp......................... 360,280 25,252,025 0.2%
* Health Net, Inc..................... 483,608 31,076,650 0.3%
Hill-Rom Holdings, Inc.............. 487,678 25,695,754 0.3%
Other Securities.................... 935,807,066 8.8%
-------------- -----
Total Health Care....................... 1,017,831,495 9.6%
-------------- -----
Industrials -- (14.0%)
# Allegiant Travel Co................. 139,363 27,517,224 0.3%
AMERCO.............................. 72,702 29,539,550 0.3%
# Deluxe Corp......................... 429,771 25,592,863 0.2%
EMCOR Group, Inc.................... 526,833 25,435,497 0.2%
#* JetBlue Airways Corp................ 1,866,678 46,368,282 0.4%
Other Securities.................... 1,635,079,708 15.5%
-------------- -----
Total Industrials....................... 1,789,533,124 16.9%
-------------- -----
60
U.S. SMALL CAP PORTFOLIO
CONTINUED
Percentage
Shaes Value+ of Net Assets**
----- ------ ---------------
Information Technology -- (14.5%)
Blackbaud, Inc..................... 401,118 $ 25,146,087 0.2%
#* Ciena Corp......................... 1,043,608 25,192,697 0.2%
* CoreLogic, Inc..................... 662,683 25,831,383 0.3%
* EPAM Systems, Inc.................. 389,403 30,120,322 0.3%
* Euronet Worldwide, Inc............. 422,803 33,925,713 0.3%
* Integrated Device Technology, Inc.. 1,219,213 31,089,931 0.3%
# j2 Global, Inc..................... 362,759 28,131,960 0.3%
#* Manhattan Associates, Inc.......... 537,725 39,173,266 0.4%
Mentor Graphics Corp............... 985,050 26,793,360 0.3%
* Microsemi Corp..................... 765,049 27,549,414 0.3%
#* Synaptics, Inc..................... 308,564 26,255,711 0.3%
# SYNNEX Corp........................ 312,895 27,672,434 0.3%
#* ViaSat, Inc........................ 392,956 25,919,378 0.3%
Other Securities................... 1,487,656,195 13.7%
--------------- -----
Total Information Technology........... 1,860,457,851 17.5%
--------------- -----
Materials -- (3.9%)
Sensient Technologies Corp......... 393,827 25,705,088 0.3%
Other Securities................... 470,569,979 4.4%
--------------- -----
Total Materials........................ 496,275,067 4.7%
--------------- -----
Other -- (0.0%)
Other Securities................... -- 0.0%
--------------- -----
Real Estate Investment Trusts -- (0.0%)
Other Securities................... 9,746 0.0%
--------------- -----
Telecommunication Services -- (0.8%)
Other Securities................... 103,855,249 1.0%
--------------- -----
Utilities -- (3.6%)
# IDACORP, Inc....................... 394,859 26,396,324 0.3%
# Piedmont Natural Gas Co., Inc...... 632,969 36,275,453 0.3%
Portland General Electric Co....... 690,542 25,605,297 0.2%
Southwest Gas Corp................. 410,205 25,211,199 0.2%
# WGL Holdings, Inc.................. 427,325 26,592,435 0.3%
Other Securities................... 327,628,598 3.1%
--------------- -----
Total Utilities........................ 467,709,306 4.4%
--------------- -----
TOTAL COMMON STOCKS.................... 10,551,180,914 99.4%
--------------- -----
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities................... -- 0.0%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................... 687,901 0.0%
--------------- -----
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities................... 2,337 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES............ 10,551,871,152
---------------
61
U.S. SMALL CAP PORTFOLIO
CONTINUED
Percentage
Shaes Value+ of Net Assets**
----- ------ ---------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional Liquid Reserves, 0.140%. 20,271,070 $ 20,271,070 0.2%
--------------- ------
SECURITIES LENDING COLLATERAL -- (17.4%)
(S)@ DFA Short Term Investment Fund..................... 193,218,545 2,235,538,562 21.0%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $10,730,571,068)............................... $12,807,680,784 120.6%
=============== ======
Summary of the Portfolio's investments as of October 31, 2015, 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........ $ 1,889,527,550 -- -- $ 1,889,527,550
Consumer Staples.............. 460,035,959 -- -- 460,035,959
Energy........................ 331,944,092 $ 9,857 -- 331,953,949
Financials.................... 2,133,900,638 90,980 -- 2,133,991,618
Health Care................... 1,017,778,568 52,927 -- 1,017,831,495
Industrials................... 1,789,527,547 5,577 -- 1,789,533,124
Information Technology........ 1,860,457,851 -- -- 1,860,457,851
Materials..................... 496,275,067 -- -- 496,275,067
Other......................... -- -- -- --
Real Estate Investment Trusts. 9,746 -- -- 9,746
Telecommunication Services.... 103,855,249 -- -- 103,855,249
Utilities..................... 467,709,306 -- -- 467,709,306
Preferred Stocks
Other......................... -- -- -- --
Rights/Warrants................. -- 687,901 -- 687,901
Bonds
Financials.................... -- 2,337 -- 2,337
Temporary Cash Investments...... 20,271,070 -- -- 20,271,070
Securities Lending Collateral... -- 2,235,538,562 -- 2,235,538,562
--------------- -------------- -- ---------------
TOTAL........................... $10,571,292,643 $2,236,388,141 -- $12,807,680,784
=============== ============== == ===============
See accompanying Notes to Financial Statements.
62
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (84.8%)
Consumer Discretionary -- (15.0%)
#* American Axle & Manufacturing Holdings, Inc.. 735,911 $ 16,307,788 0.3%
# Caleres, Inc................................. 500,753 15,303,012 0.3%
# Core-Mark Holding Co., Inc................... 213,399 17,347,205 0.4%
Drew Industries, Inc......................... 259,337 15,516,133 0.3%
# EW Scripps Co. (The) Class A................. 630,173 13,901,616 0.3%
* G-III Apparel Group, Ltd..................... 386,892 21,313,880 0.4%
* Gentherm, Inc................................ 376,060 18,487,110 0.4%
#* Helen of Troy, Ltd........................... 188,726 18,723,506 0.4%
# La-Z-Boy, Inc................................ 595,224 16,993,645 0.3%
Nexstar Broadcasting Group, Inc. Class A..... 300,962 16,020,207 0.3%
Oxford Industries, Inc....................... 189,367 13,789,705 0.3%
# Papa John's International, Inc............... 370,057 25,966,900 0.5%
#* Popeyes Louisiana Kitchen, Inc............... 276,415 15,600,863 0.3%
# Sonic Corp................................... 646,038 18,437,925 0.4%
Other Securities............................. 639,822,307 12.7%
------------ -----
Total Consumer Discretionary..................... 883,531,802 17.6%
------------ -----
Consumer Staples -- (3.6%)
# Coca-Cola Bottling Co. Consolidated.......... 73,233 15,467,542 0.3%
#* National Beverage Corp....................... 396,141 14,910,747 0.3%
#* USANA Health Sciences, Inc................... 135,744 17,456,678 0.4%
# WD-40 Co..................................... 165,539 15,822,218 0.3%
Other Securities............................. 148,521,130 2.9%
------------ -----
Total Consumer Staples........................... 212,178,315 4.2%
------------ -----
Energy -- (1.7%)
Other Securities............................. 101,159,867 2.0%
------------ -----
Financials -- (16.6%)
# BBCN Bancorp, Inc............................ 831,107 13,954,287 0.3%
#* BofI Holding, Inc............................ 172,404 13,794,044 0.3%
FBL Financial Group, Inc. Class A............ 268,740 16,903,746 0.3%
Horace Mann Educators Corp................... 422,698 14,473,180 0.3%
# Interactive Brokers Group, Inc. Class A...... 538,284 22,145,004 0.5%
# Pinnacle Financial Partners, Inc............. 325,102 17,106,867 0.3%
* Western Alliance Bancorp..................... 426,632 15,252,094 0.3%
Other Securities............................. 862,836,683 17.2%
------------ -----
Total Financials................................. 976,465,905 19.5%
------------ -----
Health Care -- (9.7%)
* AMN Healthcare Services, Inc................. 545,897 15,487,098 0.3%
#* Cambrex Corp................................. 360,586 16,576,138 0.3%
Cantel Medical Corp.......................... 278,932 16,535,089 0.3%
#* Greatbatch, Inc.............................. 287,188 15,350,199 0.3%
* ICU Medical, Inc............................. 178,732 19,655,158 0.4%
#* MedAssets, Inc............................... 686,345 16,252,650 0.3%
* Natus Medical, Inc........................... 377,983 17,209,566 0.3%
Other Securities............................. 451,325,520 9.2%
------------ -----
Total Health Care................................ 568,391,418 11.4%
------------ -----
63
U.S. MICRO CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (17.0%)
* American Woodmark Corp............... 186,252 $ 13,540,520 0.3%
# Apogee Enterprises, Inc.............. 334,904 16,587,795 0.3%
# AZZ, Inc............................. 282,948 15,655,513 0.3%
#* Dycom Industries, Inc................ 314,892 23,960,132 0.5%
# Exponent, Inc........................ 287,976 14,804,846 0.3%
# Forward Air Corp..................... 305,205 13,844,099 0.3%
G&K Services, Inc. Class A........... 214,304 14,105,489 0.3%
#* Hawaiian Holdings, Inc............... 590,692 20,497,012 0.4%
Korn/Ferry International............. 447,861 16,288,705 0.3%
Mueller Water Products, Inc. Class A. 1,743,221 15,340,345 0.3%
Other Securities..................... 836,534,713 16.7%
-------------- -----
Total Industrials........................ 1,001,159,169 20.0%
-------------- -----
Information Technology -- (13.6%)
* ExlService Holdings, Inc............. 316,589 14,012,229 0.3%
#* Infinera Corp........................ 751,918 14,857,900 0.3%
#* Manhattan Associates, Inc............ 224,890 16,383,237 0.3%
Methode Electronics, Inc............. 456,176 15,204,346 0.3%
* OSI Systems, Inc..................... 200,121 17,246,428 0.4%
* Virtusa Corp......................... 311,174 17,870,723 0.4%
Other Securities..................... 701,501,504 13.9%
-------------- -----
Total Information Technology............. 797,076,367 15.9%
-------------- -----
Materials -- (4.3%)
* Headwaters, Inc...................... 815,396 16,756,388 0.3%
Other Securities..................... 238,360,733 4.8%
-------------- -----
Total Materials.......................... 255,117,121 5.1%
-------------- -----
Other -- (0.0%)
Other Securities..................... -- 0.0%
-------------- -----
Telecommunication Services -- (1.6%)
Other Securities..................... 90,875,926 1.8%
-------------- -----
Utilities -- (1.7%)
American States Water Co............. 401,996 16,381,337 0.3%
Other Securities..................... 81,892,895 1.7%
-------------- -----
Total Utilities.......................... 98,274,232 2.0%
-------------- -----
TOTAL COMMON STOCKS...................... 4,984,230,122 99.5%
-------------- -----
PREFERRED STOCKS -- (0.0%)
Other -- (0.0%)
Other Securities..................... -- 0.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities..................... 354,717 0.0%
-------------- -----
BONDS -- (0.0%)
Financials -- (0.0%)
Other Securities..................... 9,926 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES.............. 4,984,594,765
--------------
64
U.S. MICRO CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional Liquid Reserves, 0.140%. 30,728,188 $ 30,728,188 0.6%
-------------- ------
SECURITIES LENDING COLLATERAL -- (14.7%)
(S)@ DFA Short Term Investment Fund..................... 74,300,070 859,651,815 17.2%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,495,466,417)................................ $5,874,974,768 117.3%
============== ======
Summary of the Portfolio's investments as of October 31, 2015, 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...... $ 883,531,802 -- -- $ 883,531,802
Consumer Staples............ 212,178,315 -- -- 212,178,315
Energy...................... 101,123,493 $ 36,374 -- 101,159,867
Financials.................. 976,123,793 342,112 -- 976,465,905
Health Care................. 568,314,944 76,474 -- 568,391,418
Industrials................. 1,001,157,281 1,888 -- 1,001,159,169
Information Technology...... 797,076,367 -- -- 797,076,367
Materials................... 255,117,121 -- -- 255,117,121
Other....................... -- -- -- --
Telecommunication Services.. 90,875,926 -- -- 90,875,926
Utilities................... 98,274,232 -- -- 98,274,232
Preferred Stocks
Other....................... -- -- -- --
Rights/Warrants............... -- 354,717 -- 354,717
Bonds
Financials.................. -- 9,926 -- 9,926
Temporary Cash Investments.... 30,728,188 -- -- 30,728,188
Securities Lending Collateral. -- 859,651,815 -- 859,651,815
-------------- ------------ -- --------------
TOTAL......................... $5,014,501,462 $860,473,306 -- $5,874,974,768
============== ============ == ==============
See accompanying Notes to Financial Statements.
65
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (96.1%)
Real Estate Investment Trusts -- (96.1%)
Alexandria Real Estate Equities, Inc.......... 702,724 $ 63,062,452 1.0%
American Campus Communities, Inc.............. 1,079,435 43,792,678 0.7%
Apartment Investment & Management Co. Class A. 1,485,089 58,200,638 0.9%
AvalonBay Communities, Inc.................... 1,277,589 223,360,885 3.4%
BioMed Realty Trust, Inc...................... 1,963,750 45,971,388 0.7%
Boston Properties, Inc........................ 1,490,533 187,583,578 2.9%
Camden Property Trust......................... 824,477 60,838,158 0.9%
CubeSmart..................................... 1,608,251 44,741,543 0.7%
# DDR Corp...................................... 2,945,706 49,487,861 0.8%
# Digital Realty Trust, Inc..................... 1,379,259 102,009,996 1.6%
Douglas Emmett, Inc........................... 1,353,312 41,343,682 0.6%
Duke Realty Corp.............................. 3,318,928 68,701,810 1.0%
* Equity Commonwealth........................... 1,169,690 33,581,800 0.5%
Equity Lifestyle Properties, Inc.............. 770,003 46,569,781 0.7%
Equity Residential............................ 3,454,662 267,114,466 4.1%
Essex Property Trust, Inc..................... 623,825 137,515,983 2.1%
Extra Space Storage, Inc...................... 1,108,352 87,825,812 1.3%
# Federal Realty Investment Trust............... 655,906 94,115,952 1.4%
General Growth Properties, Inc................ 5,462,416 158,136,943 2.4%
HCP, Inc...................................... 4,453,629 165,674,999 2.5%
# Highwoods Properties, Inc..................... 899,605 39,087,837 0.6%
# Hospitality Properties Trust.................. 1,443,795 38,751,458 0.6%
# Host Hotels & Resorts, Inc.................... 7,483,191 129,683,700 2.0%
# Iron Mountain, Inc............................ 1,518,022 46,512,194 0.7%
Kilroy Realty Corp............................ 874,924 57,604,996 0.9%
Kimco Realty Corp............................. 3,927,935 105,150,820 1.6%
Liberty Property Trust........................ 1,445,173 49,164,785 0.7%
Macerich Co. (The)............................ 1,535,271 130,098,865 2.0%
Mid-America Apartment Communities, Inc........ 715,201 60,927,973 0.9%
National Retail Properties, Inc............... 1,278,673 48,589,574 0.7%
Omega Healthcare Investors, Inc............... 1,579,449 54,522,579 0.8%
Prologis, Inc................................. 4,972,521 212,475,822 3.2%
Public Storage................................ 1,418,576 325,506,449 5.0%
# Realty Income Corp............................ 2,230,339 110,312,567 1.7%
Regency Centers Corp.......................... 897,051 60,963,586 0.9%
Retail Properties of America, Inc. Class A.... 2,250,927 33,696,377 0.5%
Senior Housing Properties Trust............... 2,252,597 34,216,948 0.5%
Simon Property Group, Inc..................... 2,960,258 596,373,577 9.1%
# SL Green Realty Corp.......................... 946,080 112,224,010 1.7%
Sovran Self Storage, Inc...................... 345,062 34,461,342 0.5%
# Spirit Realty Capital, Inc.................... 4,189,447 42,648,570 0.7%
* Strategic Hotels & Resorts, Inc............... 2,482,764 35,006,972 0.5%
Taubman Centers, Inc.......................... 609,676 46,932,858 0.7%
UDR, Inc...................................... 2,486,085 85,670,489 1.3%
Ventas, Inc................................... 3,155,009 169,487,084 2.6%
VEREIT, Inc................................... 8,432,583 69,653,136 1.1%
Vornado Realty Trust.......................... 1,650,859 165,993,872 2.5%
Weingarten Realty Investors................... 1,153,006 41,231,495 0.6%
Welltower, Inc................................ 3,338,919 216,595,676 3.3%
# WP Carey, Inc................................. 865,190 54,827,090 0.8%
Other Securities.............................. 1,351,663,935 20.9%
-------------- -----
TOTAL COMMON STOCKS............................... 6,539,667,041 99.8%
-------------- -----
TOTAL INVESTMENT SECURITIES....................... 6,539,667,041
--------------
66
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional Liquid Reserves, 0.140%. 10,867,957 $ 10,867,957 0.2%
-------------- ------
SECURITIES LENDING COLLATERAL -- (3.7%)
(S)@ DFA Short Term Investment Fund..................... 21,782,988 252,029,166 3.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,831,166,636)................................ $6,802,564,164 103.8%
============== ======
Summary of the Portfolio's investments as of October 31, 2015, 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. $6,539,667,041 -- -- $6,539,667,041
Temporary Cash Investments...... 10,867,957 -- -- 10,867,957
Securities Lending Collateral... -- $252,029,166 -- 252,029,166
-------------- ------------ -- --------------
TOTAL........................... $6,550,534,998 $252,029,166 -- $6,802,564,164
============== ============ == ==============
See accompanying Notes to Financial Statements.
67
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (94.2%)
AUSTRALIA -- (5.2%)
# Australia & New Zealand Banking Group, Ltd.. 611,101 $ 11,818,871 0.4%
BHP Billiton, Ltd........................... 722,701 11,852,828 0.4%
Commonwealth Bank of Australia.............. 366,747 19,913,615 0.6%
National Australia Bank, Ltd................ 538,394 11,497,212 0.4%
Westpac Banking Corp........................ 473,127 10,538,433 0.3%
Other Securities............................ 108,223,951 3.4%
------------ ----
TOTAL AUSTRALIA................................. 173,844,910 5.5%
------------ ----
AUSTRIA -- (0.2%)
Other Securities............................ 5,735,452 0.2%
------------ ----
BELGIUM -- (1.2%)
Anheuser-Busch InBev NV..................... 147,197 17,564,223 0.6%
Other Securities............................ 23,564,979 0.7%
------------ ----
TOTAL BELGIUM................................... 41,129,202 1.3%
------------ ----
CANADA -- (7.6%)
# Royal Bank of Canada........................ 246,120 14,073,411 0.5%
# Toronto-Dominion Bank (The)................. 270,619 11,109,535 0.4%
Other Securities............................ 226,289,790 7.1%
------------ ----
TOTAL CANADA.................................... 251,472,736 8.0%
------------ ----
DENMARK -- (1.6%)
# Novo Nordisk A.S. Class B................... 361,605 19,202,481 0.6%
Other Securities............................ 33,115,311 1.0%
------------ ----
TOTAL DENMARK................................... 52,317,792 1.6%
------------ ----
FINLAND -- (0.9%)
Other Securities............................ 28,709,294 0.9%
------------ ----
FRANCE -- (8.5%)
Air Liquide SA.............................. 79,185 10,243,917 0.3%
AXA SA...................................... 365,422 9,752,424 0.3%
BNP Paribas SA.............................. 204,500 12,392,127 0.4%
LVMH Moet Hennessy Louis Vuitton SE......... 64,642 12,034,367 0.4%
Sanofi...................................... 204,621 20,641,311 0.7%
Total SA.................................... 403,770 19,525,840 0.6%
Other Securities............................ 197,124,102 6.2%
------------ ----
TOTAL FRANCE.................................... 281,714,088 8.9%
------------ ----
GERMANY -- (7.3%)
Allianz SE.................................. 63,808 11,170,721 0.4%
BASF SE..................................... 198,273 16,243,283 0.5%
Bayer AG.................................... 162,181 21,624,470 0.7%
Daimler AG.................................. 234,363 20,322,489 0.6%
Deutsche Telekom AG......................... 656,623 12,299,590 0.4%
SAP SE...................................... 160,777 12,674,864 0.4%
Siemens AG.................................. 145,357 14,600,258 0.5%
Other Securities............................ 133,630,975 4.2%
------------ ----
TOTAL GERMANY................................... 242,566,650 7.7%
------------ ----
68
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.6%)
AIA Group, Ltd..................................... 2,334,000 $ 13,670,005 0.4%
Other Securities................................... 71,785,448 2.3%
------------ -----
TOTAL HONG KONG........................................ 85,455,453 2.7%
------------ -----
IRELAND -- (0.5%)
Other Securities................................... 15,313,449 0.5%
------------ -----
ISRAEL -- (0.6%)
Teva Pharmaceutical Industries, Ltd. Sponsored ADR. 173,152 10,248,867 0.3%
Other Securities................................... 8,560,595 0.3%
------------ -----
TOTAL ISRAEL........................................... 18,809,462 0.6%
------------ -----
ITALY -- (1.9%)
Other Securities................................... 64,306,107 2.0%
------------ -----
JAPAN -- (20.7%)
Honda Motor Co., Ltd............................... 305,692 10,112,425 0.3%
KDDI Corp.......................................... 411,400 9,955,186 0.3%
# Mizuho Financial Group, Inc........................ 5,216,805 10,745,806 0.4%
SoftBank Group Corp................................ 226,760 12,704,888 0.4%
Sumitomo Mitsui Financial Group, Inc............... 261,540 10,433,784 0.3%
Toyota Motor Corp.................................. 435,700 26,692,912 0.9%
Toyota Motor Corp. Sponsored ADR................... 96,721 11,859,929 0.4%
Other Securities................................... 594,078,588 18.8%
------------ -----
TOTAL JAPAN............................................ 686,583,518 21.8%
------------ -----
NETHERLANDS -- (2.5%)
# Unilever NV........................................ 256,547 11,655,083 0.4%
Other Securities................................... 72,457,240 2.3%
------------ -----
TOTAL NETHERLANDS...................................... 84,112,323 2.7%
------------ -----
NEW ZEALAND -- (0.1%)
Other Securities................................... 3,415,156 0.1%
------------ -----
NORWAY -- (0.6%)
Other Securities................................... 21,296,797 0.7%
------------ -----
PORTUGAL -- (0.1%)
Other Securities................................... 4,117,921 0.1%
------------ -----
SINGAPORE -- (1.2%)
Other Securities................................... 38,963,881 1.2%
------------ -----
SPAIN -- (2.8%)
Banco Santander SA................................. 2,088,055 11,664,288 0.4%
Other Securities................................... 81,778,952 2.6%
------------ -----
TOTAL SPAIN............................................ 93,443,240 3.0%
------------ -----
SWEDEN -- (2.7%)
Other Securities................................... 87,840,465 2.8%
------------ -----
SWITZERLAND -- (8.2%)
Nestle SA.......................................... 692,983 52,925,838 1.7%
Novartis AG........................................ 388,810 35,221,774 1.1%
Roche Holding AG................................... 166,430 45,185,556 1.4%
Other Securities................................... 139,641,131 4.5%
------------ -----
TOTAL SWITZERLAND...................................... 272,974,299 8.7%
------------ -----
69
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (17.2%)
AstraZeneca P.L.C.............................. 153,478 $ 9,781,536 0.3%
BG Group P.L.C................................. 671,968 10,616,097 0.3%
BP P.L.C. Sponsored ADR........................ 608,368 21,718,738 0.7%
British American Tobacco P.L.C................. 322,533 19,161,541 0.6%
BT Group P.L.C................................. 1,590,578 11,359,130 0.4%
Diageo P.L.C. Sponsored ADR.................... 96,177 11,068,049 0.4%
GlaxoSmithKline P.L.C.......................... 566,003 12,206,254 0.4%
GlaxoSmithKline P.L.C. Sponsored ADR........... 246,846 10,629,189 0.3%
HSBC Holdings P.L.C............................ 1,758,504 13,739,131 0.4%
HSBC Holdings P.L.C. Sponsored ADR............. 419,137 16,375,682 0.5%
Reckitt Benckiser Group P.L.C.................. 136,968 13,366,769 0.4%
Royal Dutch Shell P.L.C. Sponsored ADR Class A. 258,423 13,556,871 0.4%
Royal Dutch Shell P.L.C. Sponsored ADR Class B. 232,555 12,253,323 0.4%
SABMiller P.L.C................................ 167,523 10,289,828 0.3%
Other Securities............................... 384,039,776 12.3%
-------------- ------
TOTAL UNITED KINGDOM................................. 570,161,914 18.1%
-------------- ------
TOTAL COMMON STOCKS.................................. 3,124,284,109 99.1%
-------------- ------
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities............................... 9,211,820 0.3%
-------------- ------
TOTAL PREFERRED STOCKS............................... 9,211,820 0.3%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities............................... -- 0.0%
-------------- ------
IRELAND -- (0.0%)
Other Securities............................... 10,844 0.0%
-------------- ------
ITALY -- (0.0%)
Other Securities............................... -- 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities............................... 114,807 0.0%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities............................... 70,761 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................ 196,412 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.......................... 3,133,692,341
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (5.5%)
(S)@ DFA Short Term Investment Fund................. 15,716,941 181,845,002 5.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,919,070,825)............................ $3,315,537,343 105.2%
============== ======
70
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2015, 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................... $ 5,840,555 $ 168,004,355 -- $ 173,844,910
Austria..................... -- 5,735,452 -- 5,735,452
Belgium..................... 4,184,898 36,944,304 -- 41,129,202
Canada...................... 251,472,736 -- -- 251,472,736
Denmark..................... 4,931,966 47,385,826 -- 52,317,792
Finland..................... 1,492,600 27,216,694 -- 28,709,294
France...................... 10,953,608 270,760,480 -- 281,714,088
Germany..................... 19,069,495 223,497,155 -- 242,566,650
Hong Kong................... 639,367 84,816,086 -- 85,455,453
Ireland..................... 3,515,186 11,798,263 -- 15,313,449
Israel...................... 10,999,658 7,809,804 -- 18,809,462
Italy....................... 4,503,311 59,802,796 -- 64,306,107
Japan....................... 39,897,882 646,685,636 -- 686,583,518
Netherlands................. 14,133,017 69,979,306 -- 84,112,323
New Zealand................. -- 3,415,156 -- 3,415,156
Norway...................... 1,160,340 20,136,457 -- 21,296,797
Portugal.................... -- 4,117,921 -- 4,117,921
Singapore................... -- 38,963,881 -- 38,963,881
Spain....................... 15,004,762 78,438,478 -- 93,443,240
Sweden...................... 150,438 87,690,027 -- 87,840,465
Switzerland................. 18,421,967 254,552,332 -- 272,974,299
United Kingdom.............. 165,997,039 404,164,875 -- 570,161,914
Preferred Stocks
Germany..................... -- 9,211,820 -- 9,211,820
Rights/Warrants
Australia................... -- -- -- --
Ireland..................... -- 10,844 -- 10,844
Italy....................... -- -- -- --
Spain....................... -- 114,807 -- 114,807
United Kingdom.............. -- 70,761 -- 70,761
Securities Lending Collateral. -- 181,845,002 -- 181,845,002
------------ -------------- -- --------------
TOTAL......................... $572,368,825 $2,743,168,518 -- $3,315,537,343
============ ============== == ==============
See accompanying Notes to Financial Statements.
71
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (93.2%)
AUSTRALIA -- (5.4%)
Australia & New Zealand Banking Group, Ltd.. 1,685,445 $ 32,596,996 0.2%
BHP Billiton, Ltd........................... 2,349,520 38,533,858 0.3%
Commonwealth Bank of Australia.............. 536,081 29,108,105 0.2%
Macquarie Group, Ltd........................ 577,968 34,995,291 0.3%
National Australia Bank, Ltd................ 1,649,904 35,233,113 0.3%
Other Securities............................ 660,141,369 4.5%
-------------- ----
TOTAL AUSTRALIA................................. 830,608,732 5.8%
-------------- ----
AUSTRIA -- (0.4%)
Other Securities............................ 68,025,652 0.5%
-------------- ----
BELGIUM -- (1.5%)
Anheuser-Busch InBev NV..................... 357,262 42,630,145 0.3%
Other Securities............................ 188,456,674 1.3%
-------------- ----
TOTAL BELGIUM................................... 231,086,819 1.6%
-------------- ----
CANADA -- (7.3%)
Suncor Energy, Inc.......................... 943,581 28,052,663 0.2%
Other Securities............................ 1,090,435,774 7.6%
-------------- ----
TOTAL CANADA.................................... 1,118,488,437 7.8%
-------------- ----
CHINA -- (0.0%)
Other Securities............................ 635,645 0.0%
-------------- ----
DENMARK -- (1.6%)
Other Securities............................ 243,277,894 1.7%
-------------- ----
FINLAND -- (1.5%)
Other Securities............................ 235,440,698 1.6%
-------------- ----
FRANCE -- (7.0%)
BNP Paribas SA.............................. 474,135 28,731,249 0.2%
# Cie de Saint-Gobain......................... 768,958 32,189,386 0.2%
Cie Generale des Etablissements Michelin.... 313,351 31,170,837 0.2%
Engie SA.................................... 2,052,295 35,916,794 0.3%
Orange SA................................... 2,005,464 35,359,726 0.3%
# Total SA.................................... 1,824,836 88,246,912 0.6%
Other Securities............................ 820,846,121 5.6%
-------------- ----
TOTAL FRANCE.................................... 1,072,461,025 7.4%
-------------- ----
GERMANY -- (6.6%)
BASF SE..................................... 622,420 50,991,028 0.4%
Bayerische Motoren Werke AG................. 402,269 41,203,752 0.3%
Daimler AG.................................. 1,005,680 87,206,262 0.6%
Deutsche Telekom AG......................... 2,503,149 46,887,949 0.3%
Fresenius SE & Co. KGaA..................... 594,150 43,659,568 0.3%
Other Securities............................ 739,509,796 5.1%
-------------- ----
TOTAL GERMANY................................... 1,009,458,355 7.0%
-------------- ----
GREECE -- (0.0%)
Other Securities............................ -- 0.0%
-------------- ----
72
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.8%)
AIA Group, Ltd..................................... 6,136,600 $ 35,941,455 0.3%
Other Securities................................... 388,648,325 2.6%
-------------- -----
TOTAL HONG KONG........................................ 424,589,780 2.9%
-------------- -----
IRELAND -- (0.5%)
Other Securities................................... 74,960,816 0.5%
-------------- -----
ISRAEL -- (0.6%)
Teva Pharmaceutical Industries, Ltd. Sponsored ADR. 570,084 33,743,272 0.3%
Other Securities................................... 63,085,871 0.4%
-------------- -----
TOTAL ISRAEL........................................... 96,829,143 0.7%
-------------- -----
ITALY -- (2.7%)
Eni SpA............................................ 2,230,601 36,426,265 0.3%
Other Securities................................... 380,198,807 2.6%
-------------- -----
TOTAL ITALY............................................ 416,625,072 2.9%
-------------- -----
JAPAN -- (21.6%)
Hitachi, Ltd....................................... 5,115,000 29,507,358 0.2%
Honda Motor Co., Ltd............................... 1,287,400 42,587,753 0.3%
Mitsubishi UFJ Financial Group, Inc................ 6,649,300 43,004,547 0.3%
Mizuho Financial Group, Inc........................ 17,400,060 35,841,415 0.3%
Sumitomo Mitsui Financial Group, Inc............... 817,470 32,611,856 0.2%
Toyota Motor Corp.................................. 1,311,386 80,341,315 0.6%
# Toyota Motor Corp. Sponsored ADR................... 384,641 47,164,679 0.3%
Other Securities................................... 2,996,308,755 20.7%
-------------- -----
TOTAL JAPAN............................................ 3,307,367,678 22.9%
-------------- -----
NETHERLANDS -- (2.3%)
Other Securities................................... 359,836,312 2.5%
-------------- -----
NEW ZEALAND -- (0.3%)
Other Securities................................... 52,450,386 0.4%
-------------- -----
NORWAY -- (0.8%)
Other Securities................................... 118,381,757 0.8%
-------------- -----
PORTUGAL -- (0.3%)
Other Securities................................... 42,454,639 0.3%
-------------- -----
SINGAPORE -- (1.2%)
Other Securities................................... 175,763,373 1.2%
-------------- -----
SPAIN -- (2.4%)
Banco Santander SA................................. 5,626,083 31,428,412 0.2%
Iberdrola SA....................................... 5,929,169 42,281,727 0.3%
Other Securities................................... 293,318,322 2.0%
-------------- -----
TOTAL SPAIN............................................ 367,028,461 2.5%
-------------- -----
SWEDEN -- (2.8%)
Other Securities................................... 430,348,993 3.0%
-------------- -----
SWITZERLAND -- (6.6%)
Cie Financiere Richemont SA........................ 372,650 31,953,828 0.2%
Nestle SA.......................................... 2,173,391 165,990,423 1.2%
73
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Novartis AG.................................... 325,241 $ 29,463,144 0.2%
Novartis AG Sponsored ADR...................... 794,013 71,802,596 0.5%
Roche Holding AG............................... 153,905 41,785,032 0.3%
Swiss Re AG.................................... 354,451 32,903,956 0.2%
Syngenta AG.................................... 92,858 31,197,526 0.2%
Other Securities............................... 613,885,635 4.3%
--------------- -----
TOTAL SWITZERLAND.................................. 1,018,982,140 7.1%
--------------- -----
UNITED KINGDOM -- (17.0%)
AstraZeneca P.L.C. Sponsored ADR............... 981,542 31,301,374 0.2%
Aviva P.L.C.................................... 5,592,653 41,797,078 0.3%
Barclays P.L.C. Sponsored ADR.................. 2,016,535 28,695,293 0.2%
BG Group P.L.C................................. 2,591,251 40,937,921 0.3%
BP P.L.C....................................... 4,977,533 29,581,406 0.2%
BP P.L.C. Sponsored ADR........................ 2,093,501 74,737,984 0.5%
HSBC Holdings P.L.C. Sponsored ADR............. 1,784,953 69,738,114 0.5%
Lloyds Banking Group P.L.C..................... 53,420,611 60,632,937 0.4%
# Rio Tinto P.L.C. Sponsored ADR................. 929,561 33,938,272 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR Class A. 618,956 32,470,432 0.2%
# Royal Dutch Shell P.L.C. Sponsored ADR Class B. 1,354,884 71,388,838 0.5%
SSE P.L.C...................................... 1,401,245 32,599,385 0.2%
Vodafone Group P.L.C. Sponsored ADR............ 1,196,973 39,464,191 0.3%
Other Securities............................... 2,021,830,527 14.1%
--------------- -----
TOTAL UNITED KINGDOM............................... 2,609,113,752 18.1%
--------------- -----
UNITED STATES -- (0.0%)
Other Securities............................... 96,783 0.0%
--------------- -----
TOTAL COMMON STOCKS................................ 14,304,312,342 99.2%
--------------- -----
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities............................... 40,348,991 0.3%
--------------- -----
TOTAL PREFERRED STOCKS............................. 40,348,991 0.3%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities............................... 307 0.0%
--------------- -----
AUSTRIA -- (0.0%)
Other Securities............................... -- 0.0%
--------------- -----
FRANCE -- (0.0%)
Other Securities............................... 123,810 0.0%
--------------- -----
HONG KONG -- (0.0%)
Other Securities............................... 10,409 0.0%
--------------- -----
ITALY -- (0.0%)
Other Securities............................... -- 0.0%
--------------- -----
SPAIN -- (0.0%)
Other Securities............................... 342,559 0.0%
--------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities............................... 224,611 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS.............................. 701,696 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES........................ 14,345,363,029
---------------
74
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (6.5%)
(S)@ DFA Short Term Investment Fund.. 86,417,697 $ 999,852,749 6.9%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $14,862,667,262)............. $15,345,215,778 106.4%
=============== ======
Summary of the Portfolio's investments as of October 31, 2015, 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................... $ 41,871,962 $ 788,736,770 -- $ 830,608,732
Austria..................... 50,610 67,975,042 -- 68,025,652
Belgium..................... 19,699,392 211,387,427 -- 231,086,819
Canada...................... 1,118,470,974 17,463 -- 1,118,488,437
China....................... -- 635,645 -- 635,645
Denmark..................... 10,602,550 232,675,344 -- 243,277,894
Finland..................... 3,027,453 232,413,245 -- 235,440,698
France...................... 82,787,209 989,673,816 -- 1,072,461,025
Germany..................... 71,091,163 938,367,192 -- 1,009,458,355
Greece...................... -- -- -- --
Hong Kong................... 1,180,919 423,408,861 -- 424,589,780
Ireland..................... 15,282,910 59,677,906 -- 74,960,816
Israel...................... 38,382,839 58,446,304 -- 96,829,143
Italy....................... 13,888,616 402,736,456 -- 416,625,072
Japan....................... 119,609,938 3,187,757,740 -- 3,307,367,678
Netherlands................. 48,099,898 311,736,414 -- 359,836,312
New Zealand................. 99,993 52,350,393 -- 52,450,386
Norway...................... 12,877,085 105,504,672 -- 118,381,757
Portugal.................... 266,690 42,187,949 -- 42,454,639
Singapore................... -- 175,763,373 -- 175,763,373
Spain....................... 27,676,373 339,352,088 -- 367,028,461
Sweden...................... 5,851,125 424,497,868 -- 430,348,993
Switzerland................. 111,708,629 907,273,511 -- 1,018,982,140
United Kingdom.............. 595,818,201 2,013,295,551 -- 2,609,113,752
United States............... 10,710 86,073 -- 96,783
Preferred Stocks
Germany..................... -- 40,348,991 -- 40,348,991
Rights/Warrants
Australia................... -- 307 -- 307
Austria..................... -- -- -- --
France...................... -- 123,810 -- 123,810
Hong Kong................... -- 10,409 -- 10,409
Italy....................... -- -- -- --
Spain....................... -- 342,559 -- 342,559
United Kingdom.............. -- 224,611 -- 224,611
Securities Lending Collateral. -- 999,852,749 -- 999,852,749
-------------- --------------- -- ---------------
TOTAL......................... $2,338,355,239 $13,006,860,539 -- $15,345,215,778
============== =============== == ===============
See accompanying Notes to Financial Statements.
75
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2015
Value+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company....................... $3,357,365,041
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company....................... 2,167,401,455
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company....................... 2,026,549,001
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company....................... 1,027,935,040
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company....................... 604,238,668
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $8,450,924,665)............................... 9,183,489,205
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $8,450,932,574)............................... $9,183,489,205
==============
Summary of the Portfolio's investments as of October 31, 2015, 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. $9,183,489,205 -- -- $9,183,489,205
-------------- -- -- --------------
TOTAL........................... $9,183,489,205 -- -- $9,183,489,205
============== == == ==============
See accompanying Notes to Financial Statements.
76
SCHEDULE OF INVESTMENTS
October 31, 2015
JAPANESE SMALL COMPANY PORTFOLIO
Value+
------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company..................... $464,286,736
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $427,037,349)............................... $464,286,736
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2015,
based on their valuation inputs, is located within this report (See Master
Fund's 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..................... $200,339,424
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $239,208,666)............................... $200,339,424
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2015,
based on their valuation inputs, is located within this report (See Master
Fund's Security Valuation Note).
See accompanying Notes to Financial Statements.
77
SCHEDULE OF INVESTMENTS
October 31, 2015
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....................... $35,644,875
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $24,850,927).................................. $35,644,875
===========
Summary of the Portfolio's Master Fund's investments as of October 31, 2015,
based on their valuation inputs, is located within this report (See Master
Fund's 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..................... $278,063,634
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $246,159,253)............................... $278,063,634
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2015,
based on their valuation inputs, is located within this report (See Master
Fund's Security Valuation Note).
See accompanying Notes to Financial Statements.
78
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (96.1%)
AUSTRALIA -- (18.7%)
Dexus Property Group. 9,591,650 $ 52,652,093 1.5%
Federation Centres... 32,434,882 67,002,726 1.9%
Goodman Group........ 16,772,872 71,961,816 2.0%
GPT Group (The)...... 17,263,139 58,467,249 1.6%
Investa Office Fund.. 5,781,474 16,547,038 0.5%
Scentre Group........ 47,816,546 140,252,133 4.0%
Stockland............ 23,263,706 66,768,008 1.9%
Westfield Corp....... 19,194,781 139,260,427 3.9%
Other Securities..... 71,518,574 2.0%
------------ -----
TOTAL AUSTRALIA.......... 684,430,064 19.3%
------------ -----
BELGIUM -- (1.6%)
Cofinimmo SA......... 191,047 21,289,962 0.6%
Other Securities..... 35,573,154 1.0%
------------ -----
TOTAL BELGIUM............ 56,863,116 1.6%
------------ -----
CANADA -- (4.8%)
# H&R REIT............. 1,346,632 21,606,259 0.6%
RioCan REIT.......... 1,548,553 30,198,915 0.9%
Other Securities..... 124,592,156 3.5%
------------ -----
TOTAL CANADA............. 176,397,330 5.0%
------------ -----
CHINA -- (0.2%)
Other Securities..... 7,969,831 0.2%
------------ -----
FRANCE -- (5.2%)
Fonciere Des Regions. 296,127 27,873,092 0.8%
Gecina SA............ 281,887 35,953,141 1.0%
ICADE................ 357,041 26,384,459 0.8%
Klepierre............ 1,728,238 81,848,906 2.3%
Other Securities..... 16,644,338 0.4%
------------ -----
TOTAL FRANCE............. 188,703,936 5.3%
------------ -----
GERMANY -- (0.5%)
Other Securities..... 19,465,764 0.6%
------------ -----
GREECE -- (0.0%)
Other Securities..... 880,939 0.0%
------------ -----
HONG KONG -- (4.6%)
Link REIT............ 22,086,805 131,961,584 3.7%
Other Securities..... 35,928,588 1.1%
------------ -----
TOTAL HONG KONG.......... 167,890,172 4.8%
------------ -----
ISRAEL -- (0.3%)
Other Securities..... 10,825,228 0.3%
------------ -----
ITALY -- (0.4%)
Other Securities..... 13,972,268 0.4%
------------ -----
79
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
JAPAN -- (17.4%)
# Advance Residence Investment Corp..... 12,407 $ 26,473,472 0.7%
Frontier Real Estate Investment Corp.. 4,757 19,246,080 0.5%
# Japan Hotel REIT Investment Corp...... 34,306 23,827,453 0.7%
Japan Prime Realty Investment Corp.... 7,813 25,432,715 0.7%
Japan Real Estate Investment Corp..... 12,514 57,845,721 1.6%
# Japan Retail Fund Investment Corp..... 23,229 44,989,226 1.3%
# Kenedix Office Investment Corp........ 4,403 20,183,737 0.6%
# Mori Hills REIT Investment Corp....... 14,868 18,395,740 0.5%
Mori Trust Sogo Reit, Inc............. 11,422 20,207,445 0.6%
Nippon Building Fund, Inc............. 13,498 64,105,715 1.8%
#* Nomura Real Estate Master Fund, Inc... 28,230 35,770,009 1.0%
# Orix JREIT, Inc....................... 20,963 28,219,769 0.8%
United Urban Investment Corp.......... 24,442 33,910,856 1.0%
Other Securities...................... 219,413,078 6.2%
------------ -----
TOTAL JAPAN............................... 638,021,016 18.0%
------------ -----
MALAYSIA -- (0.6%)
Other Securities...................... 20,361,739 0.6%
------------ -----
MEXICO -- (1.7%)
# Fibra Uno Administracion SA de C.V.... 18,142,484 39,782,584 1.1%
Other Securities...................... 21,719,885 0.6%
------------ -----
TOTAL MEXICO.............................. 61,502,469 1.7%
------------ -----
NETHERLANDS -- (8.4%)
Eurocommercial Properties NV.......... 371,033 17,695,389 0.5%
Unibail-Rodamco SE.................... 900,650 250,678,672 7.1%
Wereldhave NV......................... 376,668 23,481,221 0.7%
Other Securities...................... 14,007,761 0.4%
------------ -----
TOTAL NETHERLANDS......................... 305,863,043 8.7%
------------ -----
NEW ZEALAND -- (0.7%)
Other Securities...................... 26,080,825 0.7%
------------ -----
SINGAPORE -- (6.8%)
Ascendas REIT......................... 20,465,000 34,842,228 1.0%
CapitaLand Commercial Trust, Ltd...... 22,773,500 22,853,709 0.6%
CapitaLand Mall Trust................. 24,117,400 34,003,434 1.0%
Suntec REIT........................... 23,403,500 27,489,515 0.8%
Other Securities...................... 129,116,179 3.6%
------------ -----
TOTAL SINGAPORE........................... 248,305,065 7.0%
------------ -----
SOUTH AFRICA -- (4.3%)
* Capital Property Fund................. 15,448,502 17,979,709 0.5%
Growthpoint Properties, Ltd........... 24,304,567 44,525,663 1.3%
Redefine Properties, Ltd.............. 40,693,736 33,953,422 1.0%
Resilient Property Income Fund, Ltd... 2,495,718 21,989,579 0.6%
Other Securities...................... 38,054,207 1.0%
------------ -----
TOTAL SOUTH AFRICA........................ 156,502,580 4.4%
------------ -----
SPAIN -- (0.4%)
Other Securities...................... 14,185,545 0.4%
------------ -----
TAIWAN -- (0.3%)
Other Securities...................... 11,753,689 0.3%
------------ -----
80
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TURKEY -- (0.7%)
# Emlak Konut Gayrimenkul Yatirim Ortakligi A.S.. 18,805,536 $ 18,217,426 0.5%
Other Securities............................... 8,620,901 0.3%
-------------- ------
TOTAL TURKEY......................................... 26,838,327 0.8%
-------------- ------
UNITED KINGDOM -- (18.5%)
British Land Co. P.L.C. (The).................. 9,558,464 128,032,643 3.6%
Derwent London P.L.C........................... 960,736 57,377,992 1.6%
Great Portland Estates P.L.C................... 3,250,972 44,523,041 1.3%
Hammerson P.L.C................................ 7,832,305 76,738,627 2.2%
Intu Properties P.L.C.......................... 9,121,214 48,555,292 1.4%
Land Securities Group P.L.C.................... 7,653,993 157,685,268 4.5%
Segro P.L.C.................................... 7,091,371 49,122,850 1.4%
Shaftesbury P.L.C.............................. 2,612,908 37,821,366 1.1%
Other Securities............................... 78,572,701 2.1%
-------------- ------
TOTAL UNITED KINGDOM................................. 678,429,780 19.2%
-------------- ------
TOTAL COMMON STOCKS.................................. 3,515,242,726 99.3%
-------------- ------
TOTAL INVESTMENT SECURITIES.......................... 3,515,242,726
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (3.9%)
(S)@ DFA Short Term Investment Fund................. 12,228,630 141,485,249 4.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,406,217,033)............................ $3,656,727,975 103.3%
============== ======
Summary of the Portfolio's investments as of October 31, 2015, 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................... -- $ 684,430,064 -- $ 684,430,064
Belgium..................... -- 56,863,116 -- 56,863,116
Canada...................... $176,397,330 -- -- 176,397,330
China....................... -- 7,969,831 -- 7,969,831
France...................... -- 188,703,936 -- 188,703,936
Germany..................... -- 19,465,764 -- 19,465,764
Greece...................... -- 880,939 -- 880,939
Hong Kong................... -- 167,890,172 -- 167,890,172
Israel...................... -- 10,825,228 -- 10,825,228
Italy....................... -- 13,972,268 -- 13,972,268
Japan....................... 35,770,009 602,251,007 -- 638,021,016
Malaysia.................... -- 20,361,739 -- 20,361,739
Mexico...................... 61,502,469 -- -- 61,502,469
Netherlands................. -- 305,863,043 -- 305,863,043
New Zealand................. -- 26,080,825 -- 26,080,825
Singapore................... -- 248,305,065 -- 248,305,065
South Africa................ -- 156,502,580 -- 156,502,580
Spain....................... -- 14,185,545 -- 14,185,545
Taiwan...................... -- 11,753,689 -- 11,753,689
Turkey...................... -- 26,838,327 -- 26,838,327
United Kingdom.............. -- 678,429,780 -- 678,429,780
Securities Lending Collateral. -- 141,485,249 -- 141,485,249
------------ -------------- -- --------------
TOTAL......................... $273,669,808 $3,383,058,167 -- $3,656,727,975
============ ============== == ==============
See accompanying Notes to Financial Statements.
81
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (22.9%)
UNITED STATES -- (22.9%)
# Alexandria Real Estate Equities, Inc.......... 99,455 $ 8,925,092 0.2%
# American Campus Communities, Inc.............. 170,027 6,897,995 0.2%
Apartment Investment & Management Co. Class A. 240,800 9,436,952 0.2%
# AvalonBay Communities, Inc.................... 189,392 33,111,403 0.8%
BioMed Realty Trust, Inc...................... 306,517 7,175,563 0.2%
Boston Properties, Inc........................ 220,241 27,717,330 0.7%
Brixmor Property Group, Inc................... 278,180 7,126,972 0.2%
# Camden Property Trust......................... 132,665 9,789,350 0.2%
# CubeSmart..................................... 241,263 6,711,937 0.2%
DDR Corp...................................... 450,731 7,572,281 0.2%
# Digital Realty Trust, Inc..................... 185,167 13,694,951 0.3%
# Douglas Emmett, Inc........................... 195,128 5,961,160 0.2%
Duke Realty Corp.............................. 503,070 10,413,549 0.3%
* Equity Commonwealth........................... 208,072 5,973,747 0.2%
Equity Lifestyle Properties, Inc.............. 115,151 6,964,332 0.2%
# Equity Residential............................ 417,247 32,261,538 0.8%
Essex Property Trust, Inc..................... 99,244 21,877,347 0.5%
# Extra Space Storage, Inc...................... 169,591 13,438,391 0.3%
# Federal Realty Investment Trust............... 101,070 14,502,534 0.4%
# General Growth Properties, Inc................ 686,012 19,860,047 0.5%
# HCP, Inc...................................... 617,823 22,983,016 0.6%
# Healthcare Trust of America, Inc. Class A..... 299,242 7,873,057 0.2%
# Highwoods Properties, Inc..................... 139,811 6,074,788 0.2%
# Hospitality Properties Trust.................. 215,474 5,783,322 0.1%
# Host Hotels & Resorts, Inc.................... 1,061,025 18,387,563 0.5%
# Iron Mountain, Inc............................ 386,073 11,829,277 0.3%
# Kilroy Realty Corp............................ 131,837 8,680,148 0.2%
# Kimco Realty Corp............................. 623,764 16,698,162 0.4%
Liberty Property Trust........................ 218,466 7,432,213 0.2%
Macerich Co. (The)............................ 162,586 13,777,538 0.3%
# Mid-America Apartment Communities, Inc........ 107,464 9,154,858 0.2%
# National Retail Properties, Inc............... 204,740 7,780,120 0.2%
# Omega Healthcare Investors, Inc............... 269,690 9,309,699 0.2%
# Prologis, Inc................................. 789,189 33,722,046 0.8%
# Public Storage................................ 200,631 46,036,789 1.1%
# Realty Income Corp............................ 345,474 17,087,144 0.4%
# Regency Centers Corp.......................... 147,208 10,004,256 0.2%
Senior Housing Properties Trust............... 381,437 5,794,028 0.1%
# Simon Property Group, Inc..................... 441,239 88,892,009 2.2%
# SL Green Realty Corp.......................... 147,142 17,453,984 0.4%
# Spirit Realty Capital, Inc.................... 898,408 9,145,793 0.2%
Taubman Centers, Inc.......................... 90,238 6,946,521 0.2%
# UDR, Inc...................................... 394,176 13,583,305 0.3%
Ventas, Inc................................... 538,600 28,933,592 0.7%
# VEREIT, Inc................................... 1,353,075 11,176,400 0.3%
# Vornado Realty Trust.......................... 238,810 24,012,346 0.6%
# Welltower, Inc................................ 571,650 37,082,936 0.9%
# WP Carey, Inc................................. 173,796 11,013,453 0.3%
Other Securities.............................. 235,953,482 5.8%
-------------- -----
TOTAL COMMON STOCKS............................... 1,012,014,316 24.9%
-------------- -----
82
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
AFFILIATED INVESTMENT COMPANIES -- (68.5%)
UNITED STATES -- (68.5%)
DFA International Real Estate Securities Portfolio of DFA
Investment Dimensions Group Inc.......................... 274,826,890 $1,448,337,710 35.7%
DFA Real Estate Securities Portfolio of DFA Investment
Dimensions Group Inc..................................... 47,657,957 1,574,618,885 38.8%
-------------- ------
TOTAL UNITED STATES............................................. 3,022,956,595 74.5%
-------------- ------
TOTAL INVESTMENTS IN AFFILIATED
INVESTMENT COMPANIES........................................... 3,022,956,595 74.5%
-------------- ------
Value+
- ------
SECURITIES LENDING COLLATERAL -- (8.6%)
(S)@ DFA Short Term Investment Fund............................ 32,837,673 379,931,875 9.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,779,531,672)....................................... $4,414,902,786 108.7%
============== ======
Summary of the Portfolio's investments as of October 31, 2015, 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
United States................. $1,012,014,316 -- -- $1,012,014,316
Affiliated Investment Companies
United States................. 3,022,956,595 -- -- 3,022,956,595
Securities Lending Collateral... -- $379,931,875 -- 379,931,875
-------------- ------------ -- --------------
TOTAL........................... $4,034,970,911 $379,931,875 -- $4,414,902,786
============== ============ == ==============
See accompanying Notes to Financial Statements.
83
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.8%)
AUSTRALIA -- (5.0%)
BlueScope Steel, Ltd.. 13,025,782 $ 41,051,693 0.3%
Other Securities...... 627,344,050 5.0%
------------ ----
TOTAL AUSTRALIA........... 668,395,743 5.3%
------------ ----
AUSTRIA -- (0.8%)
Wienerberger AG....... 2,807,052 51,753,981 0.3%
Other Securities...... 55,433,215 0.5%
------------ ----
TOTAL AUSTRIA............. 107,187,196 0.8%
------------ ----
BELGIUM -- (1.1%)
Other Securities...... 148,454,988 1.2%
------------ ----
CANADA -- (5.7%)
Other Securities...... 767,719,743 6.1%
------------ ----
CHINA -- (0.0%)
Other Securities...... 634,106 0.0%
------------ ----
DENMARK -- (1.4%)
Sydbank A.S........... 1,239,732 40,779,507 0.3%
Other Securities...... 147,966,990 1.2%
------------ ----
TOTAL DENMARK............. 188,746,497 1.5%
------------ ----
FINLAND -- (2.3%)
Huhtamaki Oyj......... 1,538,532 54,278,369 0.4%
Other Securities...... 250,205,550 2.0%
------------ ----
TOTAL FINLAND............. 304,483,919 2.4%
------------ ----
FRANCE -- (4.0%)
Arkema SA............. 628,877 45,957,483 0.4%
Teleperformance....... 491,475 38,571,417 0.3%
Other Securities...... 448,775,766 3.5%
------------ ----
TOTAL FRANCE.............. 533,304,666 4.2%
------------ ----
GERMANY -- (6.1%)
Aareal Bank AG........ 1,483,246 56,508,883 0.5%
Aurubis AG............ 1,319,350 88,132,452 0.7%
# DMG Mori AG........... 1,341,611 53,268,794 0.4%
Lanxess AG............ 755,957 40,566,731 0.3%
Rheinmetall AG........ 1,225,920 77,106,494 0.6%
Other Securities...... 500,068,108 4.0%
------------ ----
TOTAL GERMANY............. 815,651,462 6.5%
------------ ----
GREECE -- (0.0%)
Other Securities...... 1,889 0.0%
------------ ----
HONG KONG -- (2.7%)
Other Securities...... 360,409,589 2.9%
------------ ----
84
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
IRELAND -- (0.4%)
Smurfit Kappa Group P.L.C............. 1,674,406 $ 47,651,944 0.4%
Other Securities...................... 11,759,595 0.1%
-------------- -----
TOTAL IRELAND............................. 59,411,539 0.5%
-------------- -----
ISRAEL -- (0.6%)
Other Securities...................... 83,495,203 0.7%
-------------- -----
ITALY -- (4.3%)
Banca Popolare dell'Emilia Romagna SC. 13,198,406 106,512,216 0.9%
Banca Popolare di Milano Scarl........ 127,915,973 120,025,491 1.0%
* Banco Popolare SC..................... 3,508,577 52,429,338 0.4%
# Italcementi SpA....................... 3,958,034 43,956,701 0.4%
Unipol Gruppo Finanziario SpA......... 9,228,828 42,987,738 0.4%
Other Securities...................... 215,879,663 1.5%
-------------- -----
TOTAL ITALY............................... 581,791,147 4.6%
-------------- -----
JAPAN -- (25.4%)
Aoyama Trading Co., Ltd............... 1,132,799 41,271,657 0.3%
Fujikura, Ltd......................... 9,030,000 46,413,448 0.4%
* Kyushu Financial Group, Inc........... 6,208,495 47,745,781 0.4%
San-In Godo Bank, Ltd. (The).......... 4,415,900 40,808,997 0.3%
Other Securities...................... 3,228,362,692 25.7%
-------------- -----
TOTAL JAPAN............................... 3,404,602,575 27.1%
-------------- -----
NETHERLANDS -- (2.4%)
#* APERAM SA............................. 1,981,745 61,018,610 0.5%
* Koninklijke BAM Groep NV.............. 7,345,877 40,457,697 0.3%
#* SBM Offshore NV....................... 3,259,246 44,528,724 0.4%
Other Securities...................... 171,465,260 1.3%
-------------- -----
TOTAL NETHERLANDS......................... 317,470,291 2.5%
-------------- -----
NEW ZEALAND -- (0.5%)
Other Securities...................... 61,016,560 0.5%
-------------- -----
NORWAY -- (0.6%)
Other Securities...................... 75,482,739 0.6%
-------------- -----
PORTUGAL -- (0.3%)
Other Securities...................... 36,394,764 0.3%
-------------- -----
SINGAPORE -- (1.3%)
Other Securities...................... 178,379,139 1.4%
-------------- -----
SPAIN -- (2.6%)
Acciona SA............................ 539,610 45,267,657 0.4%
Bankinter SA.......................... 6,868,337 49,672,900 0.4%
Gamesa Corp. Tecnologica SA........... 5,251,272 82,882,676 0.7%
Other Securities...................... 165,199,868 1.2%
-------------- -----
TOTAL SPAIN............................... 343,023,101 2.7%
-------------- -----
SWEDEN -- (3.1%)
BillerudKorsnas AB.................... 3,045,617 55,117,537 0.4%
Holmen AB Class B..................... 1,321,774 39,844,648 0.3%
Trelleborg AB Class B................. 3,502,052 59,003,141 0.5%
Other Securities...................... 259,384,939 2.1%
-------------- -----
TOTAL SWEDEN.............................. 413,350,265 3.3%
-------------- -----
85
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (3.8%)
Baloise Holding AG.......... 332,556 $ 39,872,396 0.3%
Helvetia Holding AG......... 165,730 86,680,411 0.7%
Other Securities............ 376,655,932 3.0%
--------------- -----
TOTAL SWITZERLAND............... 503,208,739 4.0%
--------------- -----
UNITED KINGDOM -- (18.4%)
# Alent P.L.C................. 5,124,302 39,195,769 0.3%
Amlin P.L.C................. 11,787,486 119,607,720 1.0%
Barratt Developments P.L.C.. 10,580,896 99,676,961 0.8%
Beazley P.L.C............... 13,060,807 73,005,996 0.6%
Bellway P.L.C............... 3,413,413 136,341,269 1.1%
Bodycote P.L.C.............. 5,005,641 39,543,967 0.3%
Bovis Homes Group P.L.C..... 3,903,677 61,574,477 0.5%
Dixons Carphone P.L.C....... 8,314,597 59,025,993 0.5%
DS Smith P.L.C.............. 11,987,755 71,426,767 0.6%
Greene King P.L.C........... 6,823,885 84,418,489 0.7%
Hiscox, Ltd................. 7,389,714 109,890,800 0.9%
Inchcape P.L.C.............. 8,303,813 102,124,033 0.8%
Man Group P.L.C............. 18,990,024 48,741,131 0.4%
Persimmon P.L.C............. 3,592,202 110,163,844 0.9%
Redrow P.L.C................ 5,753,467 41,061,654 0.3%
Taylor Wimpey P.L.C......... 35,797,793 109,052,818 0.9%
Travis Perkins P.L.C........ 2,912,406 85,840,797 0.7%
TUI AG...................... 3,333,122 61,908,909 0.5%
Other Securities............ 1,009,140,076 7.8%
--------------- -----
TOTAL UNITED KINGDOM............ 2,461,741,470 19.6%
--------------- -----
UNITED STATES -- (0.0%)
Other Securities............ 653,582 0.0%
--------------- -----
TOTAL COMMON STOCKS............. 12,415,010,912 98.7%
--------------- -----
PREFERRED STOCKS -- (0.0%)
GERMANY -- (0.0%)
Other Securities............ 4,442,606 0.1%
--------------- -----
TOTAL PREFERRED STOCKS.......... 4,442,606 0.1%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities............ -- 0.0%
--------------- -----
AUSTRIA -- (0.0%)
Other Securities............ -- 0.0%
--------------- -----
FRANCE -- (0.0%)
Other Securities............ -- 0.0%
--------------- -----
HONG KONG -- (0.0%)
Other Securities............ 8,633 0.0%
--------------- -----
SPAIN -- (0.0%)
Other Securities............ 224,458 0.0%
--------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities............ 58,603 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS........... 291,694 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES..... 12,419,745,212
---------------
86
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
SECURITIES LENDING COLLATERAL -- (7.2%)
(S)@ DFA Short Term Investment Fund.. 82,988,069 $ 960,171,959 7.6%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,064,182,430)............. $13,379,917,171 106.4%
=============== ======
Summary of the Portfolio's investments as of October 31, 2015, 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................... $ 4,311,392 $ 664,084,351 -- $ 668,395,743
Austria..................... -- 107,187,196 -- 107,187,196
Belgium..................... -- 148,454,988 -- 148,454,988
Canada...................... 767,371,559 348,184 -- 767,719,743
China....................... -- 634,106 -- 634,106
Denmark..................... -- 188,746,497 -- 188,746,497
Finland..................... -- 304,483,919 -- 304,483,919
France...................... 141,355 533,163,311 -- 533,304,666
Germany..................... -- 815,651,462 -- 815,651,462
Greece...................... -- 1,889 -- 1,889
Hong Kong................... 295,495 360,114,094 -- 360,409,589
Ireland..................... -- 59,411,539 -- 59,411,539
Israel...................... -- 83,495,203 -- 83,495,203
Italy....................... -- 581,791,147 -- 581,791,147
Japan....................... 47,747,966 3,356,854,609 -- 3,404,602,575
Netherlands................. -- 317,470,291 -- 317,470,291
New Zealand................. -- 61,016,560 -- 61,016,560
Norway...................... -- 75,482,739 -- 75,482,739
Portugal.................... -- 36,394,764 -- 36,394,764
Singapore................... -- 178,379,139 -- 178,379,139
Spain....................... -- 343,023,101 -- 343,023,101
Sweden...................... -- 413,350,265 -- 413,350,265
Switzerland................. -- 503,208,739 -- 503,208,739
United Kingdom.............. -- 2,461,741,470 -- 2,461,741,470
United States............... -- 653,582 -- 653,582
Preferred Stocks
Germany..................... -- 4,442,606 -- 4,442,606
Rights/Warrants
Australia................... -- -- -- --
Austria..................... -- -- -- --
France...................... -- -- -- --
Hong Kong................... -- 8,633 -- 8,633
Spain....................... -- 224,458 -- 224,458
United Kingdom.............. -- 58,603 -- 58,603
Securities Lending Collateral. -- 960,171,959 -- 960,171,959
------------ --------------- -- ---------------
TOTAL......................... $819,867,767 $12,560,049,404 -- $13,379,917,171
============ =============== == ===============
See accompanying Notes to Financial Statements.
87
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (92.9%)
AUSTRALIA -- (5.7%)
Australia & New Zealand Banking Group, Ltd.. 172,803 $ 3,342,060 0.2%
BHP Billiton, Ltd........................... 314,531 5,158,540 0.3%
Macquarie Group, Ltd........................ 83,903 5,080,233 0.3%
Woodside Petroleum, Ltd..................... 193,661 4,061,643 0.3%
Other Securities............................ 78,283,032 4.9%
------------ ----
TOTAL AUSTRALIA................................. 95,925,508 6.0%
------------ ----
AUSTRIA -- (0.6%)
Other Securities............................ 9,475,851 0.6%
------------ ----
BELGIUM -- (1.8%)
Ageas....................................... 73,839 3,256,132 0.2%
Delhaize Group.............................. 43,074 3,996,785 0.3%
Other Securities............................ 23,014,909 1.4%
------------ ----
TOTAL BELGIUM................................... 30,267,826 1.9%
------------ ----
CANADA -- (7.1%)
Suncor Energy, Inc.......................... 86,334 2,566,710 0.2%
Other Securities............................ 118,766,855 7.4%
------------ ----
TOTAL CANADA.................................... 121,333,565 7.6%
------------ ----
CHINA -- (0.0%)
Other Securities............................ 220,263 0.0%
------------ ----
DENMARK -- (1.5%)
Other Securities............................ 25,804,571 1.6%
------------ ----
FINLAND -- (1.9%)
UPM-Kymmene Oyj............................. 218,028 4,081,696 0.3%
Other Securities............................ 28,602,435 1.8%
------------ ----
TOTAL FINLAND................................... 32,684,131 2.1%
------------ ----
FRANCE -- (6.0%)
BNP Paribas SA.............................. 65,497 3,968,934 0.3%
# Cie de Saint-Gobain......................... 101,892 4,265,306 0.3%
Renault SA.................................. 28,549 2,690,004 0.2%
Sanofi...................................... 28,010 2,825,532 0.2%
SCOR SE..................................... 71,411 2,655,251 0.2%
# Total SA.................................... 168,814 8,163,646 0.5%
Other Securities............................ 78,142,415 4.7%
------------ ----
TOTAL FRANCE.................................... 102,711,088 6.4%
------------ ----
GERMANY -- (6.0%)
Allianz SE.................................. 25,753 4,508,519 0.3%
BASF SE..................................... 31,647 2,592,643 0.2%
Bayerische Motoren Werke AG................. 31,088 3,184,293 0.2%
Daimler AG.................................. 89,896 7,795,217 0.5%
Other Securities............................ 83,286,067 5.2%
------------ ----
TOTAL GERMANY................................... 101,366,739 6.4%
------------ ----
88
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
HONG KONG -- (2.9%)
Other Securities...................... $ 48,886,498 3.1%
------------ -----
IRELAND -- (0.5%)
Other Securities...................... 8,652,296 0.5%
------------ -----
ISRAEL -- (0.7%)
Other Securities...................... 12,335,097 0.8%
------------ -----
ITALY -- (2.9%)
Eni SpA............................... 211,731 3,457,620 0.2%
Other Securities...................... 46,303,097 2.9%
------------ -----
TOTAL ITALY............................... 49,760,717 3.1%
------------ -----
JAPAN -- (22.4%)
Aeon Co., Ltd......................... 238,219 3,529,512 0.2%
Honda Motor Co., Ltd.................. 108,123 3,576,756 0.2%
Mitsubishi Chemical Holdings Corp..... 462,400 2,881,471 0.2%
Mitsubishi UFJ Financial Group, Inc... 817,300 5,285,912 0.4%
Mizuho Financial Group, Inc........... 1,617,060 3,330,892 0.2%
Sumitomo Mitsui Financial Group, Inc.. 88,341 3,524,244 0.2%
Toyota Motor Corp..................... 42,780 2,620,892 0.2%
Other Securities...................... 356,800,240 22.3%
------------ -----
TOTAL JAPAN............................... 381,549,919 23.9%
------------ -----
NETHERLANDS -- (2.3%)
ING Groep NV.......................... 176,818 2,582,787 0.2%
Other Securities...................... 37,165,846 2.3%
------------ -----
TOTAL NETHERLANDS......................... 39,748,633 2.5%
------------ -----
NEW ZEALAND -- (0.5%)
Other Securities...................... 7,664,165 0.5%
------------ -----
NORWAY -- (0.8%)
Other Securities...................... 13,677,480 0.9%
------------ -----
PORTUGAL -- (0.3%)
Other Securities...................... 4,995,980 0.3%
------------ -----
SINGAPORE -- (1.3%)
Other Securities...................... 21,475,741 1.3%
------------ -----
SPAIN -- (2.3%)
Banco Santander SA.................... 748,089 4,178,973 0.3%
Iberdrola SA.......................... 577,821 4,120,522 0.3%
Other Securities...................... 31,431,391 1.9%
------------ -----
TOTAL SPAIN............................... 39,730,886 2.5%
------------ -----
SWEDEN -- (2.9%)
Boliden AB............................ 138,544 2,652,614 0.2%
Svenska Cellulosa AB SCA Class B...... 129,598 3,817,175 0.3%
Other Securities...................... 43,170,542 2.6%
------------ -----
TOTAL SWEDEN.............................. 49,640,331 3.1%
------------ -----
SWITZERLAND -- (6.2%)
Clariant AG........................... 161,329 2,966,573 0.2%
Lonza Group AG........................ 20,074 2,946,456 0.2%
89
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Nestle SA...................................... 99,124 $ 7,570,490 0.5%
Novartis AG.................................... 52,784 4,781,631 0.3%
Swiss Life Holding AG.......................... 12,759 3,040,340 0.2%
Swiss Re AG.................................... 45,227 4,198,457 0.3%
Zurich Insurance Group AG...................... 11,738 3,097,657 0.2%
Other Securities............................... 77,253,653 4.7%
-------------- -----
TOTAL SWITZERLAND.................................. 105,855,257 6.6%
-------------- -----
UNITED KINGDOM -- (16.3%)
Aviva P.L.C.................................... 375,059 2,803,027 0.2%
Barclays P.L.C. Sponsored ADR.................. 202,899 2,887,253 0.2%
Barratt Developments P.L.C..................... 426,314 4,016,076 0.3%
Berkeley Group Holdings P.L.C.................. 51,343 2,620,472 0.2%
BP P.L.C. Sponsored ADR........................ 198,770 7,096,089 0.4%
HSBC Holdings P.L.C. Sponsored ADR............. 201,400 7,868,698 0.5%
Lloyds Banking Group P.L.C..................... 3,538,676 4,016,433 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR Class A. 98,472 5,165,841 0.3%
Royal Dutch Shell P.L.C. Sponsored ADR Class B. 83,860 4,418,583 0.3%
Vodafone Group P.L.C........................... 789,204 2,597,217 0.2%
Vodafone Group P.L.C. Sponsored ADR............ 90,424 2,981,285 0.2%
WM Morrison Supermarkets P.L.C................. 1,339,028 3,472,088 0.2%
Other Securities............................... 226,813,878 14.1%
-------------- -----
TOTAL UNITED KINGDOM............................... 276,756,940 17.4%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities............................... 38,765 0.0%
-------------- -----
TOTAL COMMON STOCKS................................ 1,580,558,247 99.1%
-------------- -----
PREFERRED STOCKS -- (0.3%)
GERMANY -- (0.3%)
Other Securities............................... 5,279,835 0.3%
-------------- -----
TOTAL PREFERRED STOCKS............................. 5,279,835 0.3%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities............................... 35 0.0%
-------------- -----
AUSTRIA -- (0.0%)
Other Securities............................... -- 0.0%
-------------- -----
FRANCE -- (0.0%)
Other Securities............................... 23,853 0.0%
-------------- -----
HONG KONG -- (0.0%)
Other Securities............................... 3,721 0.0%
-------------- -----
ITALY -- (0.0%)
Other Securities............................... -- 0.0%
-------------- -----
SPAIN -- (0.0%)
Other Securities............................... 46,714 0.0%
-------------- -----
90
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (0.0%)
Other Securities................ $ 29,595 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................. 103,918 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 1,585,942,000
--------------
Value+
- ------
SECURITIES LENDING COLLATERAL -- (6.8%)
(S)@ DFA Short Term Investment Fund.. 10,010,882 115,825,910 7.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,625,407,720).............. $1,701,767,910 106.7%
============== ======
Summary of the Portfolio's investments as of October 31, 2015, 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................... $ 1,941,523 $ 93,983,985 -- $ 95,925,508
Austria..................... -- 9,475,851 -- 9,475,851
Belgium..................... 1,124,555 29,143,271 -- 30,267,826
Canada...................... 121,328,898 4,667 -- 121,333,565
China....................... -- 220,263 -- 220,263
Denmark..................... -- 25,804,571 -- 25,804,571
Finland..................... -- 32,684,131 -- 32,684,131
France...................... 1,358,284 101,352,804 -- 102,711,088
Germany..................... 3,684,971 97,681,768 -- 101,366,739
Hong Kong................... 257,072 48,629,426 -- 48,886,498
Ireland..................... 2,177,158 6,475,138 -- 8,652,296
Israel...................... 3,017,008 9,318,089 -- 12,335,097
Italy....................... 779,481 48,981,236 -- 49,760,717
Japan....................... 5,992,002 375,557,917 -- 381,549,919
Netherlands................. 3,774,238 35,974,395 -- 39,748,633
New Zealand................. 4,405 7,659,760 -- 7,664,165
Norway...................... 936,203 12,741,277 -- 13,677,480
Portugal.................... -- 4,995,980 -- 4,995,980
Singapore................... 139 21,475,602 -- 21,475,741
Spain....................... 840,935 38,889,951 -- 39,730,886
Sweden...................... -- 49,640,331 -- 49,640,331
Switzerland................. 5,442,473 100,412,784 -- 105,855,257
United Kingdom.............. 38,805,781 237,951,159 -- 276,756,940
United States............... 14,168 24,597 -- 38,765
Preferred Stocks
Germany..................... -- 5,279,835 -- 5,279,835
Rights/Warrants
Australia................... -- 35 -- 35
Austria..................... -- -- -- --
France...................... -- 23,853 -- 23,853
Hong Kong................... -- 3,721 -- 3,721
Italy....................... -- -- -- --
Spain....................... -- 46,714 -- 46,714
United Kingdom.............. -- 29,595 -- 29,595
Securities Lending Collateral. -- 115,825,910 -- 115,825,910
------------ -------------- -- --------------
TOTAL......................... $191,479,294 $1,510,288,616 -- $1,701,767,910
============ ============== == ==============
See accompanying Notes to Financial Statements.
91
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2015
Shares Value+
------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company........................... $105,020,038
Investment in Dimensional Emerging Markets Value Fund........ 33,806,441
Investment in DFA International Small Cap Value Portfolio of
DFA Investment Dimensions Group Inc........................ 855,826 16,637,261
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $162,773,485)..................................... 155,463,740
============
Summary of the Portfolio's investments as of October 31, 2015, 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. $155,463,740 -- -- $155,463,740
------------ -- -- ------------
TOTAL........................... $155,463,740 -- -- $155,463,740
============ == == ============
See accompanying Notes to Financial Statements.
92
WORLD EX U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (94.0%)
AUSTRALIA -- (4.1%)
Origin Energy, Ltd................. 144,639 $ 562,039 0.3%
Other Securities................... 9,258,507 4.0%
----------- ----
TOTAL AUSTRALIA........................ 9,820,546 4.3%
----------- ----
AUSTRIA -- (0.7%)
Other Securities................... 1,647,912 0.7%
----------- ----
BELGIUM -- (1.2%)
Ageas.............................. 26,755 1,179,838 0.5%
Solvay SA.......................... 5,327 601,797 0.2%
Other Securities................... 1,218,416 0.6%
----------- ----
TOTAL BELGIUM.......................... 3,000,051 1.3%
----------- ----
BRAZIL -- (1.1%)
BM&FBovespa SA..................... 257,800 762,260 0.3%
Other Securities................... 1,884,851 0.9%
----------- ----
TOTAL BRAZIL........................... 2,647,111 1.2%
----------- ----
CANADA -- (5.4%)
SNC-Lavalin Group, Inc............. 18,657 597,977 0.3%
Other Securities................... 12,297,639 5.4%
----------- ----
TOTAL CANADA........................... 12,895,616 5.7%
----------- ----
CHILE -- (0.2%)
Other Securities................... 407,021 0.2%
----------- ----
CHINA -- (5.9%)
Evergrande Real Estate Group, Ltd.. 748,000 567,222 0.3%
Other Securities................... 13,700,061 6.0%
----------- ----
TOTAL CHINA............................ 14,267,283 6.3%
----------- ----
COLOMBIA -- (0.0%)
Other Securities................... 22,933 0.0%
----------- ----
DENMARK -- (1.4%)
ISS A.S............................ 16,131 567,428 0.3%
Other Securities................... 2,826,636 1.2%
----------- ----
TOTAL DENMARK.......................... 3,394,064 1.5%
----------- ----
FINLAND -- (1.8%)
Stora Enso Oyj Class R............. 61,456 570,078 0.3%
UPM-Kymmene Oyj.................... 59,550 1,114,834 0.5%
Other Securities................... 2,654,943 1.1%
----------- ----
TOTAL FINLAND.......................... 4,339,855 1.9%
----------- ----
FRANCE -- (3.8%)
Arkema SA.......................... 8,266 604,068 0.3%
SCOR SE............................ 23,193 862,377 0.4%
Technip SA......................... 10,457 544,912 0.3%
Other Securities................... 7,016,211 3.0%
----------- ----
TOTAL FRANCE........................... 9,027,568 4.0%
----------- ----
93
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
GERMANY -- (4.6%)
Aurubis AG............................ 9,473 $ 632,795 0.3%
Lanxess AG............................ 11,884 637,728 0.3%
Metro AG.............................. 18,544 570,519 0.3%
Osram Licht AG........................ 10,289 604,625 0.3%
ThyssenKrupp AG....................... 34,152 688,160 0.3%
Other Securities...................... 7,843,877 3.3%
----------- -----
TOTAL GERMANY............................. 10,977,704 4.8%
----------- -----
HONG KONG -- (2.3%)
Other Securities...................... 5,577,645 2.4%
----------- -----
INDIA -- (2.1%)
Other Securities...................... 4,970,637 2.2%
----------- -----
INDONESIA -- (0.4%)
Other Securities...................... 895,220 0.4%
----------- -----
IRELAND -- (0.5%)
Smurfit Kappa Group P.L.C............. 34,342 977,339 0.4%
Other Securities...................... 197,995 0.1%
----------- -----
TOTAL IRELAND............................. 1,175,334 0.5%
----------- -----
ISRAEL -- (0.4%)
Other Securities...................... 997,459 0.4%
----------- -----
ITALY -- (2.9%)
Banca Popolare dell'Emilia Romagna SC. 99,170 800,310 0.4%
Banca Popolare di Milano Scarl........ 961,134 901,847 0.4%
* Banco Popolare SC..................... 46,802 699,371 0.3%
Enel Green Power SpA.................. 264,337 558,852 0.3%
Unione di Banche Italiane SpA......... 148,196 1,108,764 0.5%
Other Securities...................... 2,927,809 1.2%
----------- -----
TOTAL ITALY............................... 6,996,953 3.1%
----------- -----
JAPAN -- (17.0%)
Other Securities...................... 40,767,795 17.9%
----------- -----
MALAYSIA -- (0.7%)
Other Securities...................... 1,676,715 0.7%
----------- -----
MEXICO -- (0.8%)
Other Securities...................... 1,826,099 0.8%
----------- -----
NETHERLANDS -- (1.7%)
Koninklijke DSM NV.................... 15,013 800,306 0.4%
Other Securities...................... 3,293,305 1.4%
----------- -----
TOTAL NETHERLANDS......................... 4,093,611 1.8%
----------- -----
NEW ZEALAND -- (0.6%)
Other Securities...................... 1,336,990 0.6%
----------- -----
NORWAY -- (0.7%)
Other Securities...................... 1,705,734 0.7%
----------- -----
PHILIPPINES -- (0.2%)
Other Securities...................... 372,771 0.2%
----------- -----
94
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
POLAND -- (0.2%)
Other Securities................... $ 467,954 0.2%
----------- ----
PORTUGAL -- (0.2%)
Other Securities................... 605,004 0.3%
----------- ----
SINGAPORE -- (1.0%)
Other Securities................... 2,288,074 1.0%
----------- ----
SOUTH AFRICA -- (1.5%)
Other Securities................... 3,650,126 1.6%
----------- ----
SOUTH KOREA -- (4.5%)
Other Securities................... 10,912,546 4.8%
----------- ----
SPAIN -- (2.0%)
Banco de Sabadell SA............... 372,625 718,906 0.3%
# Banco Popular Espanol SA........... 161,626 614,517 0.3%
Gamesa Corp. Tecnologica SA........ 45,657 720,621 0.3%
Other Securities................... 2,842,780 1.2%
----------- ----
TOTAL SPAIN............................ 4,896,824 2.1%
----------- ----
SWEDEN -- (2.2%)
Other Securities................... 5,364,418 2.4%
----------- ----
SWITZERLAND -- (3.6%)
Baloise Holding AG................. 5,002 599,724 0.3%
Clariant AG........................ 34,996 643,518 0.3%
* Dufry AG........................... 4,813 562,280 0.3%
Helvetia Holding AG................ 1,207 631,287 0.3%
Swiss Life Holding AG.............. 4,475 1,066,347 0.5%
Other Securities................... 5,177,345 2.1%
----------- ----
TOTAL SWITZERLAND...................... 8,680,501 3.8%
----------- ----
TAIWAN -- (3.8%)
Other Securities................... 9,005,436 3.9%
----------- ----
THAILAND -- (0.5%)
Other Securities................... 1,293,886 0.6%
----------- ----
TURKEY -- (0.3%)
Other Securities................... 614,279 0.3%
----------- ----
UNITED KINGDOM -- (13.7%)
Amlin P.L.C........................ 88,569 898,710 0.4%
Barratt Developments P.L.C......... 93,654 882,264 0.4%
Bellway P.L.C...................... 25,648 1,024,453 0.5%
Berkeley Group Holdings P.L.C...... 15,152 773,336 0.3%
Direct Line Insurance Group P.L.C.. 169,911 1,030,656 0.5%
DS Smith P.L.C..................... 98,324 585,845 0.3%
Greene King P.L.C.................. 51,273 634,300 0.3%
Hiscox, Ltd........................ 55,044 818,547 0.4%
Inchcape P.L.C..................... 64,830 797,309 0.4%
Investec P.L.C..................... 68,667 572,010 0.3%
J Sainsbury P.L.C.................. 157,214 644,174 0.3%
Johnson Matthey P.L.C.............. 16,115 640,961 0.3%
Persimmon P.L.C.................... 32,762 1,004,729 0.4%
95
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (Continued)
Royal Mail P.L.C................ 92,970 $ 636,944 0.3%
Smiths Group P.L.C.............. 38,362 567,527 0.3%
Taylor Wimpey P.L.C............. 341,937 1,041,662 0.5%
Travis Perkins P.L.C............ 30,859 909,544 0.4%
TUI AG.......................... 29,840 554,896 0.3%
Other Securities................ 18,842,677 7.8%
------------ ------
TOTAL UNITED KINGDOM................... 32,860,544 14.4%
------------ ------
TOTAL COMMON STOCKS.................... 225,480,219 99.0%
------------ ------
PREFERRED STOCKS -- (0.4%)
BRAZIL -- (0.2%)
Other Securities................ 544,248 0.2%
------------ ------
COLOMBIA -- (0.0%)
Other Securities................ 44,589 0.0%
------------ ------
GERMANY -- (0.2%)
Other Securities................ 332,936 0.2%
------------ ------
TOTAL PREFERRED STOCKS................. 921,773 0.4%
------------ ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities................ -- 0.0%
------------ ------
SOUTH KOREA -- (0.0%)
Other Securities................ 7,658 0.0%
------------ ------
SPAIN -- (0.0%)
Other Securities................ 1,661 0.0%
------------ ------
TAIWAN -- (0.0%)
Other Securities................ -- 0.0%
------------ ------
UNITED KINGDOM -- (0.0%)
Other Securities................ 1,932 0.0%
------------ ------
TOTAL RIGHTS/WARRANTS.................. 11,251 0.0%
------------ ------
TOTAL INVESTMENT SECURITIES............ 226,413,243
------------
Value+
------
SECURITIES LENDING COLLATERAL -- (5.6%)
(S)@ DFA Short Term Investment Fund.. 1,158,326 13,401,830 5.9%
------------ ------
TOTAL INVESTMENTS -- (100.0%)..........
(Cost $231,165,559)................ $239,815,073 105.3%
============ ======
96
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2015, 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................... $ 32,395 $ 9,788,151 -- $ 9,820,546
Austria..................... -- 1,647,912 -- 1,647,912
Belgium..................... -- 3,000,051 -- 3,000,051
Brazil...................... -- 2,647,111 -- 2,647,111
Canada...................... 12,895,616 -- -- 12,895,616
Chile....................... 39,606 367,415 -- 407,021
China....................... -- 14,267,283 -- 14,267,283
Colombia.................... 22,933 -- -- 22,933
Denmark..................... -- 3,394,064 -- 3,394,064
Finland..................... -- 4,339,855 -- 4,339,855
France...................... -- 9,027,568 -- 9,027,568
Germany..................... -- 10,977,704 -- 10,977,704
Hong Kong................... -- 5,577,645 -- 5,577,645
India....................... -- 4,970,637 -- 4,970,637
Indonesia................... -- 895,220 -- 895,220
Ireland..................... -- 1,175,334 -- 1,175,334
Israel...................... -- 997,459 -- 997,459
Italy....................... -- 6,996,953 -- 6,996,953
Japan....................... 170,727 40,597,068 -- 40,767,795
Malaysia.................... -- 1,676,715 -- 1,676,715
Mexico...................... 1,826,099 -- -- 1,826,099
Netherlands................. -- 4,093,611 -- 4,093,611
New Zealand................. -- 1,336,990 -- 1,336,990
Norway...................... 53,979 1,651,755 -- 1,705,734
Philippines................. -- 372,771 -- 372,771
Poland...................... -- 467,954 -- 467,954
Portugal.................... -- 605,004 -- 605,004
Singapore................... -- 2,288,074 -- 2,288,074
South Africa................ 364,089 3,286,037 -- 3,650,126
South Korea................. 10,549 10,901,997 -- 10,912,546
Spain....................... -- 4,896,824 -- 4,896,824
Sweden...................... -- 5,364,418 -- 5,364,418
Switzerland................. -- 8,680,501 -- 8,680,501
Taiwan...................... -- 9,005,436 -- 9,005,436
Thailand.................... 1,293,886 -- -- 1,293,886
Turkey...................... -- 614,279 -- 614,279
United Kingdom.............. -- 32,860,544 -- 32,860,544
Preferred Stocks
Brazil...................... -- 544,248 -- 544,248
Colombia.................... 44,589 -- -- 44,589
Germany..................... -- 332,936 -- 332,936
Rights/Warrants
Australia................... -- -- -- --
South Korea................. -- 7,658 -- 7,658
Spain....................... -- 1,661 -- 1,661
Taiwan...................... -- -- -- --
United Kingdom.............. -- 1,932 -- 1,932
Securities Lending Collateral. -- 13,401,830 -- 13,401,830
----------- ------------ -- ------------
TOTAL......................... $16,754,468 $223,060,605 -- $239,815,073
=========== ============ == ============
See accompanying Notes to Financial Statements.
97
WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (93.8%)
AUSTRALIA -- (4.1%)
Australia & New Zealand Banking Group, Ltd.......... 125,491 $ 2,427,032 0.2%
BHP Billiton, Ltd................................... 207,411 3,401,693 0.3%
Commonwealth Bank of Australia...................... 34,977 1,899,180 0.2%
National Australia Bank, Ltd........................ 101,115 2,159,275 0.2%
Westpac Banking Corp................................ 85,643 1,907,613 0.2%
Other Securities.................................... 38,105,986 3.2%
----------- ----
TOTAL AUSTRALIA......................................... 49,900,779 4.3%
----------- ----
AUSTRIA -- (0.4%)
Other Securities.................................... 4,995,738 0.4%
----------- ----
BELGIUM -- (1.1%)
Anheuser-Busch InBev NV............................. 27,409 3,270,568 0.3%
Other Securities.................................... 10,388,467 0.9%
----------- ----
TOTAL BELGIUM........................................... 13,659,035 1.2%
----------- ----
BRAZIL -- (1.0%)
Other Securities.................................... 11,923,283 1.0%
----------- ----
CANADA -- (5.7%)
Royal Bank of Canada................................ 64,900 3,688,267 0.3%
Other Securities.................................... 65,917,595 5.6%
----------- ----
TOTAL CANADA............................................ 69,605,862 5.9%
----------- ----
CHILE -- (0.2%)
Other Securities.................................... 2,786,833 0.2%
----------- ----
CHINA -- (5.2%)
China Construction Bank Corp. Class H............... 3,704,000 2,684,496 0.3%
China Mobile, Ltd. Sponsored ADR.................... 39,357 2,373,621 0.2%
Industrial & Commercial Bank of China, Ltd. Class H. 4,742,000 3,007,875 0.3%
Other Securities.................................... 55,878,294 4.7%
----------- ----
TOTAL CHINA............................................. 63,944,286 5.5%
----------- ----
COLOMBIA -- (0.1%)
Other Securities.................................... 934,673 0.1%
----------- ----
CZECH REPUBLIC -- (0.0%)
Other Securities.................................... 283,137 0.0%
----------- ----
DENMARK -- (1.2%)
Other Securities.................................... 15,210,927 1.3%
----------- ----
EGYPT -- (0.0%)
Other Securities.................................... 113,666 0.0%
----------- ----
FINLAND -- (1.1%)
Other Securities.................................... 13,996,507 1.2%
----------- ----
FRANCE -- (5.5%)
BNP Paribas SA...................................... 31,017 1,879,543 0.2%
Carrefour SA........................................ 64,891 2,114,536 0.2%
98
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
FRANCE -- (Continued)
Cie de Saint-Gobain................................ 48,615 $ 2,035,075 0.2%
Cie Generale des Etablissements Michelin........... 22,408 2,229,053 0.2%
Orange SA.......................................... 123,640 2,179,983 0.2%
Sanofi............................................. 30,105 3,036,867 0.3%
Total SA........................................... 134,040 6,482,016 0.6%
Other Securities................................... 47,966,935 3.9%
----------- ----
TOTAL FRANCE........................................... 67,924,008 5.8%
----------- ----
GERMANY -- (5.1%)
Allianz SE......................................... 11,905 2,084,181 0.2%
BASF SE............................................ 46,706 3,826,334 0.3%
Bayerische Motoren Werke AG........................ 23,610 2,418,333 0.2%
Daimler AG......................................... 63,158 5,476,666 0.5%
Deutsche Telekom AG................................ 180,747 3,385,678 0.3%
Siemens AG......................................... 19,969 2,005,769 0.2%
Other Securities................................... 42,995,503 3.6%
----------- ----
TOTAL GERMANY.......................................... 62,192,464 5.3%
----------- ----
GREECE -- (0.0%)
Other Securities................................... 460,028 0.0%
----------- ----
HONG KONG -- (2.2%)
AIA Group, Ltd..................................... 557,400 3,264,636 0.3%
Other Securities................................... 23,300,731 2.0%
----------- ----
TOTAL HONG KONG........................................ 26,565,367 2.3%
----------- ----
HUNGARY -- (0.0%)
Other Securities................................... 583,542 0.1%
----------- ----
INDIA -- (1.9%)
Other Securities................................... 23,970,887 2.0%
----------- ----
INDONESIA -- (0.5%)
Other Securities................................... 5,779,036 0.5%
----------- ----
IRELAND -- (0.4%)
Other Securities................................... 5,042,903 0.4%
----------- ----
ISRAEL -- (0.5%)
Teva Pharmaceutical Industries, Ltd. Sponsored ADR. 38,696 2,290,416 0.2%
Other Securities................................... 4,000,105 0.3%
----------- ----
TOTAL ISRAEL........................................... 6,290,521 0.5%
----------- ----
ITALY -- (2.2%)
Assicurazioni Generali SpA......................... 107,535 2,037,418 0.2%
Eni SpA............................................ 166,877 2,725,143 0.3%
Other Securities................................... 22,007,369 1.8%
----------- ----
TOTAL ITALY............................................ 26,769,930 2.3%
----------- ----
JAPAN -- (17.1%)
Hitachi, Ltd....................................... 389,000 2,244,059 0.2%
Honda Motor Co., Ltd............................... 104,700 3,463,522 0.3%
Mitsubishi UFJ Financial Group, Inc................ 330,300 2,136,225 0.2%
Mizuho Financial Group, Inc........................ 1,147,800 2,364,289 0.2%
Nissan Motor Co., Ltd.............................. 198,000 2,052,511 0.2%
99
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
JAPAN -- (Continued)
Toyota Motor Corp............. 119,100 $ 7,296,594 0.6%
Other Securities.............. 191,581,719 16.3%
------------ -----
TOTAL JAPAN....................... 211,138,919 18.0%
------------ -----
MALAYSIA -- (0.6%)
Other Securities.............. 7,139,565 0.6%
------------ -----
MEXICO -- (0.9%)
Other Securities.............. 10,599,647 0.9%
------------ -----
NETHERLANDS -- (1.9%)
Other Securities.............. 23,066,643 2.0%
------------ -----
NEW ZEALAND -- (0.3%)
Other Securities.............. 4,138,843 0.4%
------------ -----
NORWAY -- (0.6%)
Other Securities.............. 6,918,599 0.6%
------------ -----
PERU -- (0.0%)
Other Securities.............. 151,732 0.0%
------------ -----
PHILIPPINES -- (0.3%)
Other Securities.............. 3,773,328 0.3%
------------ -----
POLAND -- (0.3%)
Other Securities.............. 3,566,533 0.3%
------------ -----
PORTUGAL -- (0.3%)
Other Securities.............. 3,080,756 0.3%
------------ -----
RUSSIA -- (0.2%)
Other Securities.............. 2,528,624 0.2%
------------ -----
SINGAPORE -- (0.9%)
Other Securities.............. 11,499,215 1.0%
------------ -----
SOUTH AFRICA -- (1.6%)
Other Securities.............. 19,794,178 1.7%
------------ -----
SOUTH KOREA -- (3.9%)
Samsung Electronics Co., Ltd.. 6,080 7,292,508 0.6%
Other Securities.............. 41,265,882 3.6%
------------ -----
TOTAL SOUTH KOREA................. 48,558,390 4.2%
------------ -----
SPAIN -- (2.1%)
Banco Santander SA............ 584,900 3,267,370 0.3%
Iberdrola SA.................. 329,606 2,350,466 0.2%
Other Securities.............. 20,023,143 1.7%
------------ -----
TOTAL SPAIN....................... 25,640,979 2.2%
------------ -----
SWEDEN -- (2.2%)
Other Securities.............. 26,560,090 2.3%
------------ -----
SWITZERLAND -- (5.3%)
ABB, Ltd...................... 100,719 1,900,134 0.2%
Nestle SA..................... 147,224 11,244,076 1.0%
100
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Novartis AG............................................ 46,381 $ 4,201,592 0.4%
Roche Holding AG....................................... 10,869 2,950,921 0.3%
Syngenta AG............................................ 8,330 2,798,632 0.3%
Zurich Insurance Group AG.............................. 7,742 2,043,113 0.2%
Other Securities....................................... 40,551,910 3.2%
-------------- -----
TOTAL SWITZERLAND.......................................... 65,690,378 5.6%
-------------- -----
TAIWAN -- (3.2%)
Hon Hai Precision Industry Co., Ltd.................... 709,800 1,886,690 0.2%
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR................................................... 103,887 2,281,358 0.2%
Other Securities....................................... 35,328,890 3.0%
-------------- -----
TOTAL TAIWAN............................................... 39,496,938 3.4%
-------------- -----
THAILAND -- (0.5%)
Other Securities....................................... 5,957,938 0.5%
-------------- -----
TURKEY -- (0.3%)
Other Securities....................................... 3,808,313 0.3%
-------------- -----
UNITED KINGDOM -- (12.9%)
Barclays P.L.C. Sponsored ADR.......................... 133,292 1,896,745 0.2%
BP P.L.C. Sponsored ADR................................ 187,448 6,691,894 0.6%
HSBC Holdings P.L.C. Sponsored ADR..................... 107,775 4,210,769 0.4%
Royal Dutch Shell P.L.C. Sponsored ADR (B03MM73)....... 37,236 1,961,965 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR (780259206)..... 60,350 3,165,961 0.3%
SSE P.L.C.............................................. 92,601 2,154,324 0.2%
Other Securities....................................... 139,334,086 11.7%
-------------- -----
TOTAL UNITED KINGDOM....................................... 159,415,744 13.6%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities....................................... 2 0.0%
-------------- -----
TOTAL COMMON STOCKS........................................ 1,155,458,766 98.7%
-------------- -----
PREFERRED STOCKS -- (0.6%)
BRAZIL -- (0.3%)
Other Securities....................................... 4,451,388 0.4%
-------------- -----
CHILE -- (0.0%)
Other Securities....................................... 122,188 0.0%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities....................................... 137,722 0.0%
-------------- -----
GERMANY -- (0.3%)
Other Securities....................................... 3,289,110 0.3%
-------------- -----
TOTAL PREFERRED STOCKS..................................... 8,000,408 0.7%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities....................................... -- 0.0%
-------------- -----
CHINA -- (0.0%)
Other Securities....................................... 768 0.0%
-------------- -----
101
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
FRANCE -- (0.0%)
Other Securities................ $ 8,406 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities................ 293 0.0%
-------------- ------
ITALY -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 515 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................ 8,997 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities................ 33,686 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities................ 217 0.0%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities................ 30,781 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................. 83,663 0.0%
-------------- ------
BONDS -- (0.0%)
INDIA -- (0.0%)
Other Securities................ 496 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 1,163,543,333
--------------
Value+
- ------
SECURITIES LENDING COLLATERAL -- (5.6%)
(S)@ DFA Short Term Investment Fund.. 5,918,311 68,474,860 5.8%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,288,470,807).............. $1,232,018,193 105.2%
============== ======
Summary of the Portfolio's investments as of October 31, 2015, 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...... $ 1,176,985 $48,723,794 -- $49,900,779
Austria........ -- 4,995,738 -- 4,995,738
Belgium........ 516,695 13,142,340 -- 13,659,035
Brazil......... 1,359,292 10,563,991 -- 11,923,283
Canada......... 69,605,862 -- -- 69,605,862
Chile.......... 662,332 2,124,501 -- 2,786,833
China.......... 4,669,005 59,275,281 -- 63,944,286
Colombia....... 934,673 -- -- 934,673
Czech Republic. -- 283,137 -- 283,137
Denmark........ 284,194 14,926,733 -- 15,210,927
102
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
------------ -------------- ------- --------------
Egypt....................... $ -- $ 113,666 -- $ 113,666
Finland..................... 72,155 13,924,352 -- 13,996,507
France...................... 1,996,872 65,927,136 -- 67,924,008
Germany..................... 2,808,596 59,383,868 -- 62,192,464
Greece...................... -- 460,028 -- 460,028
Hong Kong................... 57,707 26,507,660 -- 26,565,367
Hungary..................... -- 583,542 -- 583,542
India....................... 970,816 23,000,071 -- 23,970,887
Indonesia................... 119,280 5,659,756 -- 5,779,036
Ireland..................... 1,245,023 3,797,880 -- 5,042,903
Israel...................... 2,561,524 3,728,997 -- 6,290,521
Italy....................... 363,923 26,406,007 -- 26,769,930
Japan....................... 3,406,441 207,732,478 -- 211,138,919
Malaysia.................... -- 7,139,565 -- 7,139,565
Mexico...................... 10,599,647 -- -- 10,599,647
Netherlands................. 2,651,326 20,415,317 -- 23,066,643
New Zealand................. -- 4,138,843 -- 4,138,843
Norway...................... 344,925 6,573,674 -- 6,918,599
Peru........................ 151,732 -- -- 151,732
Philippines................. 42,678 3,730,650 -- 3,773,328
Poland...................... -- 3,566,533 -- 3,566,533
Portugal.................... -- 3,080,756 -- 3,080,756
Russia...................... 95,634 2,432,990 -- 2,528,624
Singapore................... -- 11,499,215 -- 11,499,215
South Africa................ 2,284,807 17,509,371 -- 19,794,178
South Korea................. 881,888 47,676,502 -- 48,558,390
Spain....................... 836,615 24,804,364 -- 25,640,979
Sweden...................... 97,660 26,462,430 -- 26,560,090
Switzerland................. 3,314,332 62,376,046 -- 65,690,378
Taiwan...................... 2,467,954 37,028,984 -- 39,496,938
Thailand.................... 5,957,938 -- -- 5,957,938
Turkey...................... 23,784 3,784,529 -- 3,808,313
United Kingdom.............. 35,215,634 124,200,110 -- 159,415,744
United States............... 2 -- -- 2
Preferred Stocks
Brazil...................... 907,313 3,544,075 -- 4,451,388
Chile....................... -- 122,188 -- 122,188
Colombia.................... 137,722 -- -- 137,722
Germany..................... -- 3,289,110 -- 3,289,110
Rights/Warrants
Australia................... -- -- -- --
China....................... -- 768 -- 768
France...................... -- 8,406 -- 8,406
Hong Kong................... -- 293 -- 293
Italy....................... -- -- -- --
Malaysia.................... -- 515 -- 515
South Korea................. -- 8,997 -- 8,997
Spain....................... -- 33,686 -- 33,686
Taiwan...................... -- -- -- --
Thailand.................... -- 217 -- 217
United Kingdom.............. -- 30,781 -- 30,781
Bonds
India....................... -- 496 -- 496
Securities Lending Collateral. -- 68,474,860 -- 68,474,860
------------ -------------- -- --------------
TOTAL......................... $158,822,966 $1,073,195,227 -- $1,232,018,193
============ ============== == ==============
See accompanying Notes to Financial Statements.
103
WORLD CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2015
Shares Value+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (97.3%)
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc.................... 5,890,621 $105,442,112
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 6,554,372 76,620,611
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 1,208,807 20,320,041
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $208,990,189)................................. 202,382,764
------------
TEMPORARY CASH INVESTMENTS -- (2.7%)
State Street Institutional Liquid Reserves, 0.140%
(Cost $5,697,578)...................................... 5,697,578 5,697,578
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $214,687,767)................................. $208,080,342
============
Summary of the Fund's investments as of October 31, 2015, 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. $202,382,764 -- -- $202,382,764
Temporary Cash Investments...... 5,697,578 -- -- 5,697,578
------------ -- -- ------------
TOTAL........................... $208,080,342 -- -- $208,080,342
============ == == ============
See accompanying Notes to Financial Statements.
104
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2015
Shares Value+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc.................... 6,427,297 $110,935,143
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 7,442,857 87,006,993
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc.................... 2,184,234 36,716,980
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $227,605,421)................................. 234,659,116
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $227,605,421)................................. $234,659,116
============
Summary of the Portfolio's investments as of October 31, 2015, 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. $234,659,116 -- -- $234,659,116
Futures Contracts**............. 752,227 -- -- 752,227
Forward Currency Contracts**.... -- $108,097 -- 108,097
------------ -------- -- ------------
TOTAL........................... $235,411,343 $108,097 -- $235,519,440
============ ======== == ============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
105
SCHEDULE OF INVESTMENTS
October 31, 2015
EMERGING MARKETS PORTFOLIO
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Emerging Markets Series of The DFA
Investment Trust Company.................................. $4,321,201,335
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost
$3,846,697,740)........................................ $4,321,201,335
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2015,
based on their valuation inputs, is located within this report (See Master
Fund's 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..................... $4,851,811,937
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $5,059,736,163)............................. $4,851,811,937
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2015,
based on their valuation inputs, is located within this report (See Master
Fund's Security Valuation Note).
EMERGING MARKETS VALUE PORTFOLIO
Value+
---------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in Dimensional Emerging Markets Value Fund.. $14,953,939,027
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $18,008,368,827)............................ $14,953,939,027
===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2015,
based on their valuation inputs, is located within this report (See Master
Fund's Security Valuation Note).
See accompanying Notes to Financial Statements.
106
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (90.8%)
BRAZIL -- (5.1%)
AMBEV SA ADR........................................ 11,551,499 $ 56,255,800 0.4%
BM&FBovespa SA...................................... 12,822,223 37,912,586 0.3%
Ultrapar Participacoes SA........................... 2,067,950 35,904,018 0.3%
Other Securities.................................... 677,447,688 4.4%
-------------- -----
TOTAL BRAZIL............................................ 807,520,092 5.4%
-------------- -----
CHILE -- (1.4%)
Other Securities.................................... 228,449,810 1.5%
-------------- -----
CHINA -- (13.6%)
Bank of China, Ltd. Class H......................... 140,558,702 66,282,044 0.5%
China Construction Bank Corp. Class H............... 176,997,302 128,279,837 0.9%
China Mobile, Ltd................................... 3,162,000 37,891,591 0.3%
China Mobile, Ltd. Sponsored ADR.................... 1,846,091 111,337,748 0.8%
CNOOC, Ltd.......................................... 31,188,000 35,146,131 0.3%
Industrial & Commercial Bank of China, Ltd. Class H. 198,793,725 126,095,871 0.9%
Ping An Insurance Group Co. of China, Ltd. Class H.. 9,055,000 50,886,185 0.4%
Tencent Holdings, Ltd............................... 9,155,700 172,108,303 1.2%
Other Securities.................................... 1,446,186,089 9.3%
-------------- -----
TOTAL CHINA............................................. 2,174,213,799 14.6%
-------------- -----
COLOMBIA -- (0.4%)
Other Securities.................................... 57,594,705 0.4%
-------------- -----
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 32,210,536 0.2%
-------------- -----
EGYPT -- (0.1%)
Other Securities.................................... 12,754,087 0.1%
-------------- -----
GREECE -- (0.3%)
Other Securities.................................... 55,442,748 0.4%
-------------- -----
HUNGARY -- (0.3%)
Other Securities.................................... 39,959,995 0.3%
-------------- -----
INDIA -- (11.8%)
Axis Bank, Ltd...................................... 4,640,161 33,635,620 0.2%
HDFC Bank, Ltd...................................... 2,994,559 50,098,318 0.4%
Infosys, Ltd........................................ 2,076,360 35,933,363 0.3%
# Infosys, Ltd. Sponsored ADR......................... 3,708,004 67,337,353 0.5%
ITC, Ltd............................................ 8,357,996 42,673,743 0.3%
Reliance Industries, Ltd............................ 3,562,145 51,525,147 0.4%
Sun Pharmaceutical Industries, Ltd.................. 2,764,476 37,521,895 0.3%
Tata Consultancy Services, Ltd...................... 1,530,394 58,458,783 0.4%
Other Securities.................................... 1,504,703,616 9.9%
-------------- -----
TOTAL INDIA............................................. 1,881,887,838 12.7%
-------------- -----
INDONESIA -- (2.7%)
Bank Rakyat Indonesia Persero Tbk PT................ 49,075,100 37,559,907 0.3%
Other Securities.................................... 392,382,097 2.6%
-------------- -----
TOTAL INDONESIA......................................... 429,942,004 2.9%
-------------- -----
107
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MALAYSIA -- (3.9%)
# Public Bank Bhd..................................... 8,524,711 $ 35,839,605 0.3%
Other Securities.................................... 584,110,972 3.9%
-------------- -----
TOTAL MALAYSIA.......................................... 619,950,577 4.2%
-------------- -----
MEXICO -- (5.0%)
Alfa S.A.B. de C.V. Class A......................... 18,261,494 37,854,530 0.3%
America Movil S.A.B. de C.V. Series L ADR........... 3,134,148 55,819,175 0.4%
* Cemex S.A.B. de C.V. Sponsored ADR.................. 6,630,428 41,838,001 0.3%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR................................................ 627,285 62,157,671 0.4%
Grupo Financiero Banorte S.A.B. de C.V.............. 8,941,097 47,867,222 0.3%
Grupo Mexico S.A.B. de C.V. Series B................ 17,375,898 42,351,503 0.3%
Grupo Televisa S.A.B. Sponsored ADR................. 1,756,608 51,187,557 0.4%
Wal-Mart de Mexico S.A.B. de C.V.................... 16,371,536 43,362,597 0.3%
Other Securities.................................... 413,322,354 2.6%
-------------- -----
TOTAL MEXICO............................................ 795,760,610 5.3%
-------------- -----
PERU -- (0.1%)
Other Securities.................................... 17,650,963 0.1%
-------------- -----
PHILIPPINES -- (1.6%)
Other Securities.................................... 261,764,087 1.8%
-------------- -----
POLAND -- (1.7%)
Other Securities.................................... 270,657,622 1.8%
-------------- -----
RUSSIA -- (1.3%)
Gazprom PAO Sponsored ADR........................... 9,142,364 38,528,957 0.3%
Other Securities.................................... 166,424,098 1.1%
-------------- -----
TOTAL RUSSIA............................................ 204,953,055 1.4%
-------------- -----
SOUTH AFRICA -- (7.9%)
* AngloGold Ashanti, Ltd. Sponsored ADR............... 4,151,296 35,036,938 0.2%
Bidvest Group, Ltd. (The)........................... 1,810,062 46,237,232 0.3%
FirstRand, Ltd...................................... 13,403,743 49,115,838 0.3%
MTN Group, Ltd...................................... 9,901,001 112,719,038 0.8%
Naspers, Ltd. Class N............................... 495,769 72,379,490 0.5%
Sanlam, Ltd......................................... 8,202,959 37,058,722 0.3%
Sasol, Ltd.......................................... 1,199,596 38,437,056 0.3%
# Sasol, Ltd. Sponsored ADR........................... 1,125,382 36,192,285 0.3%
Standard Bank Group, Ltd............................ 5,266,378 54,718,329 0.4%
# Steinhoff International Holdings, Ltd............... 8,674,816 53,032,943 0.4%
Other Securities.................................... 719,184,696 4.6%
-------------- -----
TOTAL SOUTH AFRICA...................................... 1,254,112,567 8.4%
-------------- -----
SOUTH KOREA -- (14.4%)
# Hyundai Motor Co.................................... 364,834 49,834,350 0.4%
Samsung Electronics Co., Ltd........................ 369,532 443,226,108 3.0%
# Samsung Fire & Marine Insurance Co., Ltd............ 119,485 33,509,951 0.2%
SK Hynix, Inc....................................... 1,464,740 39,199,701 0.3%
Other Securities.................................... 1,733,191,527 11.6%
-------------- -----
TOTAL SOUTH KOREA....................................... 2,298,961,637 15.5%
-------------- -----
108
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (13.9%)
Hon Hai Precision Industry Co., Ltd.................... 50,079,095 $ 133,113,168 0.9%
Taiwan Semiconductor Manufacturing Co., Ltd............ 41,147,652 173,382,448 1.2%
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR................................................... 4,310,596 94,660,688 0.7%
Other Securities....................................... 1,808,124,459 12.1%
--------------- -----
TOTAL TAIWAN............................................... 2,209,280,763 14.9%
--------------- -----
THAILAND -- (3.0%)
PTT PCL................................................ 4,968,880 38,418,275 0.3%
Other Securities....................................... 440,973,706 2.9%
--------------- -----
TOTAL THAILAND............................................. 479,391,981 3.2%
--------------- -----
TURKEY -- (2.1%)
Other Securities....................................... 338,179,107 2.3%
--------------- -----
TOTAL COMMON STOCKS........................................ 14,470,638,583 97.4%
--------------- -----
PREFERRED STOCKS -- (2.0%)
BRAZIL -- (1.9%)
Itau Unibanco Holding SA............................... 9,694,322 66,580,726 0.5%
Itau Unibanco Holding SA ADR........................... 7,267,963 49,785,546 0.3%
Other Securities....................................... 195,486,933 1.3%
--------------- -----
TOTAL BRAZIL............................................... 311,853,205 2.1%
--------------- -----
CHILE -- (0.0%)
Other Securities....................................... 2,999,365 0.0%
--------------- -----
COLOMBIA -- (0.1%)
Other Securities....................................... 12,115,153 0.1%
--------------- -----
TOTAL PREFERRED STOCKS..................................... 326,967,723 2.2%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
Other Securities....................................... 12,422 0.0%
--------------- -----
MALAYSIA -- (0.0%)
Other Securities....................................... 175,959 0.0%
--------------- -----
POLAND -- (0.0%)
Other Securities....................................... -- 0.0%
--------------- -----
SOUTH KOREA -- (0.0%)
Other Securities....................................... 450,531 0.0%
--------------- -----
TAIWAN -- (0.0%)
Other Securities....................................... -- 0.0%
--------------- -----
THAILAND -- (0.0%)
Other Securities....................................... 68,373 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS...................................... 707,285 0.0%
--------------- -----
109
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
BONDS -- (0.0%)
INDIA -- (0.0%)
Other Securities................ $ 109,543 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES............ 14,798,423,134
---------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (7.2%)
(S)@ DFA Short Term Investment Fund.. 98,907,352 1,144,358,063 7.7%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)..........
(Cost $17,113,195,507)............. $15,942,781,197 107.3%
=============== ======
Summary of the Portfolio's investments as of October 31, 2015, 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...................... $ 185,698,474 $ 621,821,618 -- $ 807,520,092
Chile....................... 71,624,366 156,825,444 -- 228,449,810
China....................... 224,398,662 1,949,815,137 -- 2,174,213,799
Colombia.................... 57,594,705 -- -- 57,594,705
Czech Republic.............. -- 32,210,536 -- 32,210,536
Egypt....................... -- 12,754,087 -- 12,754,087
Greece...................... 616,094 54,826,654 -- 55,442,748
Hungary..................... 249,821 39,710,174 -- 39,959,995
India....................... 128,076,768 1,753,811,070 -- 1,881,887,838
Indonesia................... 18,524,862 411,417,142 -- 429,942,004
Malaysia.................... -- 619,950,577 -- 619,950,577
Mexico...................... 795,760,393 217 -- 795,760,610
Peru........................ 17,650,963 -- -- 17,650,963
Philippines................. 7,501,228 254,262,859 -- 261,764,087
Poland...................... -- 270,657,622 -- 270,657,622
Russia...................... 5,860,618 199,092,437 -- 204,953,055
South Africa................ 121,053,657 1,133,058,910 -- 1,254,112,567
South Korea................. 72,220,097 2,226,741,540 -- 2,298,961,637
Taiwan...................... 117,206,656 2,092,074,107 -- 2,209,280,763
Thailand.................... 478,931,452 460,529 -- 479,391,981
Turkey...................... 2,889,033 335,290,074 -- 338,179,107
Preferred Stocks
Brazil...................... 102,755,590 209,097,615 -- 311,853,205
Chile....................... -- 2,999,365 -- 2,999,365
Colombia.................... 12,115,153 -- -- 12,115,153
Rights/Warrants
Hong Kong................... -- 12,422 -- 12,422
Malaysia.................... -- 175,959 -- 175,959
Poland...................... -- -- -- --
South Korea................. -- 450,531 -- 450,531
Taiwan...................... -- -- -- --
Thailand.................... -- 68,373 -- 68,373
Bonds
India....................... -- 109,543 -- 109,543
Securities Lending Collateral. -- 1,144,358,063 -- 1,144,358,063
-------------- --------------- -- ---------------
TOTAL......................... $2,420,728,592 $13,522,052,605 -- $15,942,781,197
============== =============== == ===============
See accompanying Notes to Financial Statements.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(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........... -- -- $ 15,873,346 --
Investments at Value (including $50,351, $39,844, $0 and
$1,517,302 of securities on loan, respectively)................ $ 202,979 $ 696,498 -- $ 7,122,004
Temporary Cash Investments at Value & Cost...................... -- 803 -- 40,738
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost................................................... 51,365 36,101 -- 1,274,928
Cash............................................................ 5,790 -- -- 77
Receivables:
Investment Securities/Affiliated Investment Company Sold...... -- 1,129 -- 19,632
Dividends and Tax Reclaims.................................... 717 741 -- 2,752
Securities Lending Income..................................... 11 15 -- 589
Fund Shares Sold.............................................. 137 1,524 17,123 5,977
Prepaid Expenses and Other Assets............................... 13 16 105 62
------------ ------------ -------------- ------------
Total Assets................................................ 261,012 736,827 15,890,574 8,466,759
------------ ------------ -------------- ------------
LIABILITIES:
Payables:
Due to Custodian.............................................. -- 20 -- --
Upon Return of Securities Loaned.............................. 51,365 36,101 -- 1,274,928
Investment Securities/Affiliated Investment Company
Purchased.................................................... 5,030 649 -- 20,094
Fund Shares Redeemed.......................................... 11 785 80,104 5,692
Due to Advisor................................................ 34 70 1,976 2,099
Futures Margin Variation...................................... 911 -- -- --
Accrued Expenses and Other Liabilities.......................... 20 58 559 479
------------ ------------ -------------- ------------
Total Liabilities........................................... 57,371 37,683 82,639 1,303,292
------------ ------------ -------------- ------------
NET ASSETS...................................................... $ 203,641 $ 699,144 $ 15,807,935 $ 7,163,467
============ ============ ============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:.....................................................
Class R1 Shares -- based on net assets of $0; $0; $0 and
$40,159 and shares outstanding of 0; 0; 0 and 1,861,151,
respectively................................................... N/A N/A N/A $ 21.58
============ ============ ============== ============
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
$135,412 and shares outstanding of 0; 0; 0 and 6,295,289,
respectively................................................... N/A N/A N/A $ 21.51
============ ============ ============== ============
NUMBER OF SHARES AUTHORIZED..................................... N/A N/A N/A 100,000,000
============ ============ ============== ============
Institutional Class Shares -- based on net assets of $203,641;
$699,144; $15,807,935 and $6,987,896 and shares
outstanding of 16,234,364; 54,382,736; 475,150,278 and
324,185,677, respectively...................................... $ 12.54 $ 12.86 $ 33.27 $ 21.56
============ ============ ============== ============
NUMBER OF SHARES AUTHORIZED..................................... 300,000,000 100,000,000 2,000,000,000 700,000,000
============ ============ ============== ============
Investments in Affiliated Investment Company at Cost............ $ -- $ -- $ 11,374,012 $ --
------------ ------------ -------------- ------------
Investments at Cost............................................. $ 203,085 $ 665,207 $ -- $ 6,198,992
============ ============ ============== ============
NET ASSETS CONSIST OF:
Paid-In Capital................................................. $ 190,374 $ 668,084 $ 10,635,005 $ 5,936,565
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)......................................... 48 1,341 29,922 8,044
Accumulated Net Realized Gain (Loss)............................ 12,534 (1,572) 643,674 295,846
Net Unrealized Appreciation (Depreciation)...................... 685 31,291 4,499,334 923,012
------------ ------------ -------------- ------------
NET ASSETS...................................................... $ 203,641 $ 699,144 $ 15,807,935 $ 7,163,467
============ ============ ============== ============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(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 $1,941,525,
$1,792,626, $2,233,153 and $685,194 of securities
on loan, respectively).............................. $ 11,465,574 $ 13,217,437 $ 15,151,126 $ 3,628,981
Temporary Cash Investments at Value & Cost........... 148,687 45,710 45,061 29,019
Collateral from Securities on Loan Invested in
Affiliate at Value & Cost........................... 1,662,904 1,451,407 1,724,551 582,015
Cash................................................. 48 -- -- --
Receivables:
Investment Securities Sold......................... 96,000 5,567 9,899 6,767
Dividends.......................................... 2,849 12,254 14,275 2,817
Securities Lending Income.......................... 811 584 808 278
Fund Shares Sold................................... 16,622 18,738 13,781 2,096
Prepaid Expenses and Other Assets.................... 94 141 179 48
-------------- -------------- -------------- --------------
Total Assets.................................... 13,393,589 14,751,838 16,959,680 4,252,021
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Due to Custodian................................... -- 222 195 1
Upon Return of Securities Loaned................... 1,662,904 1,451,407 1,724,551 582,015
Investment Securities Purchased.................... 38,532 12,325 25,188 14,487
Fund Shares Redeemed............................... 6,265 9,620 5,902 2,877
Due to Advisor..................................... 4,928 1,857 2,512 913
Accrued Expenses and Other Liabilities............... 698 633 768 199
-------------- -------------- -------------- --------------
Total Liabilities............................... 1,713,327 1,476,064 1,759,116 600,492
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 11,680,262 $ 13,275,774 $ 15,200,564 $ 3,651,529
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$11,680,262; $13,275,774; $15,200,564 and
$3,651,529 and shares outstanding of
353,042,332; 741,605,495; 880,670,994 and
225,076,291, respectively........................... $ 33.08 $ 17.90 $ 17.26 $ 16.22
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.......................... 1,700,000,000 1,500,000,000 2,300,000,000 1,000,000,000
============== ============== ============== ==============
Investments at Cost.................................. $ 9,213,439 $ 9,940,683 $ 11,101,161 $ 2,697,099
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 8,939,098 $ 9,817,893 $ 10,832,003 $ 2,596,160
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 6,188 21,625 25,434 4,454
Accumulated Net Realized Gain (Loss)................. 482,841 159,502 293,162 119,033
Net Unrealized Appreciation (Depreciation)........... 2,252,135 3,276,754 4,049,965 931,882
-------------- -------------- -------------- --------------
NET ASSETS........................................... $ 11,680,262 $ 13,275,774 $ 15,200,564 $ 3,651,529
============== ============== ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(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 $2,328,280, $898,051,
$354,060 and $179,932 of securities on loan,
respectively).............................................. $ 10,551,871 $ 4,984,595 $ 6,539,667 $ 3,133,692
Temporary Cash Investments at Value & Cost.................. 20,271 30,728 10,968 --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... 2,235,539 859,652 252,029 181,845
Foreign Currencies at Value................................. -- -- -- 1,300
Cash........................................................ 66 100 -- 8,959
Receivables:
Investment Securities Sold................................ 30,441 10,470 25 --
Dividends and Tax Reclaims................................ 2,922 1,883 6,050 7,967
Securities Lending Income................................. 973 479 26 167
Fund Shares Sold.......................................... 18,016 1,423 3,480 1,375
Prepaid Expenses and Other Assets........................... 44 38 63 26
-------------- -------------- ------------ ------------
Total Assets........................................... 12,860,143 5,889,368 6,812,208 3,335,331
-------------- -------------- ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 2,235,539 859,652 252,029 181,845
Investment Securities Purchased........................... 859 19,317 3,094 71
Fund Shares Redeemed...................................... 3,551 906 2,843 2,182
Due to Advisor............................................ 3,097 2,096 740 660
Accrued Expenses and Other Liabilities...................... 555 306 310 239
-------------- -------------- ------------ ------------
Total Liabilities...................................... 2,243,601 882,277 259,016 184,997
-------------- -------------- ------------ ------------
NET ASSETS.................................................. $ 10,616,542 $ 5,007,091 $ 6,553,192 $ 3,150,334
============== ============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$10,616,542; $5,007,091; $6,553,192 and $3,150,334
and shares outstanding of 344,285,171; 263,465,630;
198,346,245 and 154,744,046, respectively.................. $ 30.84 $ 19.00 $ 33.04 $ 20.36
============== ============== ============ ============
NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,500,000,000 700,000,000 500,000,000
============== ============== ============ ============
Investments at Cost......................................... $ 8,474,761 $ 3,605,086 $ 4,568,269 $ 2,737,226
============== ============== ============ ============
Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ 1,298
============== ============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 8,043,015 $ 3,361,968 $ 4,685,103 $ 3,035,771
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 7,767 2,845 (120) 8,542
Accumulated Net Realized Gain (Loss)........................ 488,650 262,769 (103,189) (290,399)
Net Unrealized Foreign Exchange Gain (Loss)................. -- -- -- (48)
Net Unrealized Appreciation (Depreciation).................. 2,077,110 1,379,509 1,971,398 396,468
-------------- -------------- ------------ ------------
NET ASSETS.................................................. $ 10,616,542 $ 5,007,091 $ 6,553,192 $ 3,150,334
============== ============== ============ ============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(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...................................................... -- $ 9,183,489 $ 464,287 $ 200,339
Investments at Value (including $961,874, $0, $0 and $0
of securities on loan, respectively)....................... $ 14,345,363 -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... 999,853 -- -- --
Foreign Currencies at Value................................. 4,912 -- -- --
Cash........................................................ 73,586 133 -- --
Receivables:
Investment Securities Sold.................................. 1,271 -- -- --
Dividends and Tax Reclaims................................ 34,913 -- -- --
Securities Lending Income................................. 1,400 -- -- --
Fund Shares Sold.......................................... 15,192 146,021 5 --
Unrealized Gain on Foreign Currency Contracts............... 257 -- -- --
Prepaid Expenses and Other Assets........................... 208 43 7 8
-------------- -------------- ------------ ------------
Total Assets........................................... 15,476,955 9,329,686 464,299 200,347
-------------- -------------- ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 999,853 -- -- --
Investment Securities Purchased........................... 43,023 -- -- --
Fund Shares Redeemed...................................... 8,242 2,713 134 --
Due to Advisor............................................ 4,223 3,100 157 67
Accrued Expenses and Other Liabilities...................... 1,046 381 11 10
-------------- -------------- ------------ ------------
Total Liabilities...................................... 1,056,387 6,194 302 77
-------------- -------------- ------------ ------------
NET ASSETS.................................................. $ 14,420,568 $ 9,323,492 $ 463,997 $ 200,270
============== ============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$14,420,568; $9,323,492; $463,997 and $200,270 and
shares outstanding of 1,233,415,586; 524,490,688;
22,680,456 and 10,509,822, respectively.................... $ 11.69 $ 17.78 $ 20.46 $ 19.06
============== ============== ============ ============
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....................................................... $ -- $ 8,450,933 $ 427,037 $ 239,209
============== ============== ============ ============
Investments at Cost......................................... $ 13,862,815 $ -- $ -- $ --
============== ============== ============ ============
Foreign Currencies at Cost.................................. $ 4,908 $ -- $ -- $ --
============== ============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 14,222,598 $ 8,357,634 $ 479,514 $ 273,164
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 17,301 34,648 1,497 83
Accumulated Net Realized Gain (Loss)........................ (301,605) 198,899 (54,208) (34,103)
Net Unrealized Foreign Exchange Gain (Loss)................. (278) (245) (56) (4)
Net Unrealized Appreciation (Depreciation).................. 482,552 732,556 37,250 (38,870)
-------------- -------------- ------------ ------------
NET ASSETS.................................................. $ 14,420,568 $ 9,323,492 $ 463,997 $ 200,270
============== ============== ============ ============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands, except share and per share amounts)
DFA
United Continental International DFA Global DFA
Kingdom Small Small Real Estate Real Estate International
Company Company Securities Securities Small Cap
Portfolio Portfolio Portfolio* Portfolio Value Portfolio*
------------- ------------ -------------- -------------- ----------------
ASSETS:
Investments in Affiliated Investment Companies
at Value...................................... $ 35,645 $ 278,064 -- $ 3,022,957 --
Investments at Value (including $0, $0,
$110,637, $369,586 and $888,702 of
securities on loan, respectively)............. -- -- $ 3,515,243 1,012,014 $ 12,419,745
Collateral from Securities on Loan Invested in
Affiliate at Value & Cost..................... -- -- 141,485 379,932 960,172
Foreign Currencies at Value.................... -- -- 6,698 -- 44,849
Cash........................................... -- -- 7,462 23,428 27,629
Receivables:
Investment Securities/Affiliated Investment
Company Sold................................ -- -- 51 -- 56,989
Dividends and Tax Reclaims................... -- -- 12,297 1,005 35,981
Securities Lending Income.................... -- -- 95 33 1,930
Fund Shares Sold............................. -- 64 1,367 2,204 5,850
Unrealized Gain on Foreign Currency
Contracts..................................... -- -- 3 -- --
Prepaid Expenses and Other Assets.............. 6 7 17 52 97
------------ ------------ -------------- -------------- --------------
Total Assets.............................. 35,651 278,135 3,684,718 4,441,625 13,553,242
------------ ------------ -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............. -- -- 141,485 379,932 960,172
Investment Securities/Affiliated Investment
Company Purchased........................... -- -- 936 -- 4,345
Fund Shares Redeemed......................... -- 2 1,215 1,611 3,202
Due to Advisor............................... 11 94 738 17 6,897
Unrealized Loss on Foreign Currency
Contracts..................................... -- -- -- -- 1
Accrued Expenses and Other Liabilities......... 3 15 252 149 1,050
------------ ------------ -------------- -------------- --------------
Total Liabilities......................... 14 111 144,626 381,709 975,667
------------ ------------ -------------- -------------- --------------
NET ASSETS..................................... $ 35,637 $ 278,024 $ 3,540,092 $ 4,059,916 $ 12,577,575
============ ============ ============== ============== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net
assets of $35,637; $278,024; $3,540,092;
$4,059,916 and $12,577,575 and shares
outstanding of 1,003,742; 13,403,697;
671,223,306; 383,278,639 and 647,142,906,
respectively.................................. $ 35.50 $ 20.74 $ 5.27 $ 10.59 $ 19.44
============ ============ ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.................... 100,000,000 100,000,000 1,200,000,000 1,500,000,000 2,300,000,000
============ ============ ============== ============== ==============
Investments in Affiliated Investment Companies
at Cost....................................... $ 24,851 $ 246,159 $ -- $ 2,430,621 $ --
============ ============ ============== ============== ==============
Investments at Cost............................ $ -- $ 1 $ 3,264,732 $ 968,979 $ 11,104,010
============ ============ ============== ============== ==============
Foreign Currencies at Cost..................... $ -- $ -- $ 6,834 $ -- $ 44,879
============ ============ ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................ $ 23,177 $ 262,917 $ 3,767,966 $ 3,412,033 $ 11,051,621
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)....................................... 207 248 (221,598) 50,527 44,763
Accumulated Net Realized Gain (Loss)........... 1,455 (17,161) (256,654) (38,015) 165,223
Net Unrealized Foreign Exchange Gain
(Loss)........................................ 4 116 3 -- 263
Net Unrealized Appreciation (Depreciation)..... 10,794 31,904 250,375 635,371 1,315,705
------------ ------------ -------------- -------------- --------------
NET ASSETS..................................... $ 35,637 $ 278,024 $ 3,540,092 $ 4,059,916 $ 12,577,575
============ ============ ============== ============== ==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands, except share and per share amounts)
International World ex U.S. World ex U.S. World Core
Vector Equity World ex U.S. Targeted Value Core Equity Equity
Portfolio* Value Portfolio Portfolio* Portfolio* Portfolio
------------- --------------- -------------- ------------- ------------
ASSETS:
Investments in Affiliated Investment Companies at
Value............................................... -- $ 155,464 -- -- $ 202,383
Investments at Value (including $110,906, $0,
$12,962, $68,252 and $0 of securities on loan,
respectively)....................................... $ 1,585,942 -- $ 226,413 $ 1,163,543 --
Temporary Cash Investments at Value & Cost........... -- -- -- -- 5,698
Collateral from Securities on Loan Invested in
Affiliate at Value & Cost........................... 115,826 -- 13,402 68,475 --
Foreign Currencies at Value.......................... 820 -- 280 883 --
Cash................................................. 4,540 -- 385 3,659 --
Receivables:
Investment Securities Sold......................... 120 -- -- -- --
Dividends and Tax Reclaims......................... 4,034 -- 402 2,266 --
Securities Lending Income.......................... 171 -- 21 108 --
Fund Shares Sold................................... 959 356 563 1,530 195
Prepaid Expenses and Other Assets.................... 37 14 35 26 13
------------ ------------ ------------ ------------ ------------
Total Assets..................................... 1,712,449 155,834 241,501 1,240,490 208,289
------------ ------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................... 115,826 -- 13,402 68,475 --
Investment Securities Purchased.................... 33 -- 245 24 5,600
Fund Shares Redeemed............................... 928 465 -- 668 20
Due to Advisor..................................... 603 48 113 306 2
Line of Credit..................................... -- 12 -- -- --
Accrued Expenses and Other Liabilities............... 145 8 10 189 12
------------ ------------ ------------ ------------ ------------
Total Liabilities................................ 117,535 533 13,770 69,662 5,634
------------ ------------ ------------ ------------ ------------
NET ASSETS........................................... $ 1,594,914 $ 155,301 $ 227,731 $ 1,170,828 $ 202,655
============ ============ ============ ============ ============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$1,594,914; $155,301; $227,731; $1,170,828 and
$202,655 and shares outstanding of
148,261,851; 15,114,137; 19,907,786;
119,073,991 and 15,658,706, respectively............ $ 10.76 $ 10.28 $ 11.44 $ 9.83 $ 12.94
============ ============ ============ ============ ============
NUMBER OF SHARES AUTHORIZED.......................... 500,000,000 100,000,000 100,000,000 500,000,000 100,000,000
============ ============ ============ ============ ============
Investments in Affiliated Investment Companies at
Cost................................................ $ -- $ 162,773 $ -- $ -- $ 208,990
============ ============ ============ ============ ============
Investments at Cost.................................. $ 1,509,582 $ -- $ 217,764 $ 1,219,996 $ --
============ ============ ============ ============ ============
Foreign Currencies at Cost........................... $ 820 $ -- $ 280 $ 884 $ --
============ ============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital...................................... $ 1,509,728 $ 162,750 $ 231,768 $ 1,233,283 $ 209,879
Undistributed Net Investment Income (Distributions
in Excess of Net Investment Income)................. 3,889 517 10 3,451 121
Accumulated Net Realized Gain (Loss)................. 4,956 (645) (12,694) (9,440) (738)
Net Unrealized Foreign Exchange Gain (Loss).......... (19) (37) (2) (13) --
Net Unrealized Appreciation (Depreciation)........... 76,360 (7,284) 8,649 (56,453) (6,607)
------------ ------------ ------------ ------------ ------------
NET ASSETS........................................... $ 1,594,914 $ 155,301 $ 227,731 $ 1,170,828 $ 202,655
============ ============ ============ ============ ============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
116
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands, except share and per share amounts)
Selectively
Hedged Global Emerging Emerging Emerging
Equity Markets Markets Small Markets Value
Portfolio Portfolio Cap Portfolio Portfolio
------------- ------------ ------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value..... $ 234,659 $ 4,321,201 $ 4,851,812 $ 14,953,939
Investments at Value (including $0, $0, $0, $0 and
$1,710,554 of securities on loan, respectively)............ -- -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... -- -- -- --
Segregated Cash for Futures Contracts....................... 432 -- -- --
Foreign Currencies at Value................................. -- -- -- --
Cash........................................................ 9,883 -- -- --
Receivables:
Investment Securities/Affiliated Investment Companies
Sold..................................................... -- -- -- --
Dividends and Tax Reclaims................................ -- -- -- --
Securities Lending Income................................. -- -- -- --
Fund Shares Sold.......................................... 62 5,058 2,096 11,141
Unrealized Gain on Forward Currency Contracts............... 146 -- -- --
Unrealized Gain on Foreign Currency Contracts............... -- -- -- --
Prepaid Expenses and Other Assets........................... 19 50 38 98
------------ ------------ ------------ --------------
Total Assets............................................ 245,201 4,326,309 4,853,946 14,965,178
------------ ------------ ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... -- -- -- --
Investment Securities/Affiliated Investment Companies
Purchased................................................ -- -- -- --
Fund Shares Redeemed...................................... -- 3,041 6,724 50,484
Due to Advisor............................................ -- 1,486 1,859 5,126
Futures Margin Variation.................................. 44 -- -- --
Unrealized Loss on Forward Currency Contracts............... 38 -- -- --
Unrealized Loss on Foreign Currency Contracts............... -- -- -- --
Accrued Expenses and Other Liabilities...................... 13 252 189 604
------------ ------------ ------------ --------------
Total Liabilities....................................... 95 4,779 8,772 56,214
------------ ------------ ------------ --------------
NET ASSETS.................................................. $ 245,106 $ 4,321,530 $ 4,845,174 $ 14,908,964
============ ============ ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $0; $0;
$74,076 and $0 and shares outstanding of 0; 0; 0;
3,340,021 and 0, respectively.............................. $ N/A $ N/A $ N/A $ 22.18
============ ============ ============ ==============
NUMBER OF SHARES AUTHORIZED................................. N/A N/A N/A 100,000,000
============ ============ ============ ==============
Institutional Class Shares -- based on net assets of
$245,106; $4,321,530; $4,845,174; $14,834,888 and
$14,856,878 and shares outstanding of 18,155,183;
194,931,499; 261,697,554; 667,776,525 and 883,777,245,
respectively............................................... $ 13.50 $ 22.17 $ 18.51 $ 22.22
============ ============ ============ ==============
NUMBER OF SHARES AUTHORIZED................................. 100,000,000 500,000,000 500,000,000 1,500,000,000
============ ============ ============ ==============
Investments in Affiliated Investment Companies at Cost...... $ 227,605 $ 3,846,698 $ 5,059,736 $ 18,008,369
============ ============ ============ ==============
Investments at Cost......................................... $ -- $ -- $ -- $ --
============ ============ ============ ==============
Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ --
============ ============ ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 232,888 $ 3,963,869 $ 5,011,759 $ 18,892,127
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 5,058 5,762 14,144 24,502
Accumulated Net Realized Gain (Loss)........................ (754) (122,460) 25,202 (964,819)
Net Unrealized Foreign Exchange Gain (Loss)................. 108 (144) (465) 166
Net Unrealized Appreciation (Depreciation).................. 7,806 474,503 (205,466) (3,043,012)
------------ ------------ ------------ --------------
NET ASSETS.................................................. $ 245,106 $ 4,321,530 $ 4,845,174 $ 14,908,964
============ ============ ============ ==============
Emerging
Markets Core
Equity
Portfolio*
--------------
ASSETS:
Investments in Affiliated Investment Companies at Value..... --
Investments at Value (including $0, $0, $0, $0 and
$1,710,554 of securities on loan, respectively)............ $ 14,798,423
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... 1,144,358
Segregated Cash for Futures Contracts....................... --
Foreign Currencies at Value................................. 42,940
Cash........................................................ 14,601
Receivables:
Investment Securities/Affiliated Investment Companies
Sold..................................................... 2,320
Dividends and Tax Reclaims................................ 8,138
Securities Lending Income................................. 4,005
Fund Shares Sold.......................................... 30,295
Unrealized Gain on Forward Currency Contracts............... --
Unrealized Gain on Foreign Currency Contracts............... 5
Prepaid Expenses and Other Assets........................... 187
--------------
Total Assets............................................ 16,045,272
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 1,144,358
Investment Securities/Affiliated Investment Companies
Purchased................................................ 21,673
Fund Shares Redeemed...................................... 13,390
Due to Advisor............................................ 6,930
Futures Margin Variation.................................. --
Unrealized Loss on Forward Currency Contracts............... --
Unrealized Loss on Foreign Currency Contracts............... 2
Accrued Expenses and Other Liabilities...................... 2,041
--------------
Total Liabilities....................................... 1,188,394
--------------
NET ASSETS.................................................. $ 14,856,878
==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Class R2 Shares -- based on net assets of $0; $0; $0;
$74,076 and $0 and shares outstanding of 0; 0; 0;
3,340,021 and 0, respectively.............................. $ N/A
==============
NUMBER OF SHARES AUTHORIZED................................. N/A
==============
Institutional Class Shares -- based on net assets of
$245,106; $4,321,530; $4,845,174; $14,834,888 and
$14,856,878 and shares outstanding of 18,155,183;
194,931,499; 261,697,554; 667,776,525 and 883,777,245,
respectively............................................... $ 16.81
==============
NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000
==============
Investments in Affiliated Investment Companies at Cost...... $ --
==============
Investments at Cost......................................... $ 15,968,837
==============
Foreign Currencies at Cost.................................. $ 42,790
==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 16,502,749
Undistributed Net Investment Income (Distributions in
Excess of Net Investment Income)........................... 17,752
Accumulated Net Realized Gain (Loss)........................ (492,799)
Net Unrealized Foreign Exchange Gain (Loss)................. (560)
Net Unrealized Appreciation (Depreciation).................. (1,170,264)
--------------
NET ASSETS.................................................. $ 14,856,878
==============
----------
* See Note K in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
117
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(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 (Net of Foreign Taxes Withheld of $0, $0, $18 and $0,
respectively)....................................................... -- -- $ 356,189 --
Income from Securities Lending....................................... -- -- 3,849 --
Expenses Allocated from Affiliated Investment Company................ -- -- (17,157) --
------- ------- --------- ---------
Total Net Investment Income Received from Affiliated Investment
Company........................................................... -- -- 342,881 --
------- ------- --------- ---------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $2, $0 and $24,
respectively)....................................................... $ 91 $10,124 -- $ 98,852
Interest............................................................. 1,522 -- -- --
Income from Securities Lending....................................... 19 125 -- 6,829
------- ------- --------- ---------
Total Investment Income............................................ 1,632 10,249 -- 105,681
------- ------- --------- ---------
Fund Expenses
Investment Advisory Services Fees.................................... 424 784 10,815 22,368
Administrative Services Fees......................................... -- -- 16,886 --
Accounting & Transfer Agent Fees..................................... 17 35 93 368
S&P 500(R) Fees...................................................... 8 -- -- --
Custodian Fees....................................................... 7 28 -- 111
Shareholder Servicing Fees --
Class R1 Shares..................................................... -- -- -- 33
Class R2 Shares..................................................... -- -- -- 274
Filing Fees.......................................................... 20 67 289 293
Shareholders' Reports................................................ 8 15 463 250
Directors'/Trustees' Fees & Expenses................................. 1 2 76 28
Professional Fees.................................................... 6 10 46 120
Other................................................................ 14 28 835 373
------- ------- --------- ---------
Total Expenses..................................................... 505 969 29,503 24,218
------- ------- --------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)....................................... -- 25 (4,326) --
Fees Paid Indirectly (Note C)........................................ (3) -- -- --
------- ------- --------- ---------
Net Expenses......................................................... 502 994 25,177 24,218
------- ------- --------- ---------
Net Investment Income (Loss)......................................... 1,130 9,255 317,704 81,463
------- ------- --------- ---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold.......................................... 4,580 (1,560) 681,400 315,026
Futures............................................................. 15,372 (12) (35) (296)
Foreign Currency Transactions....................................... 629 -- -- --
In-Kind Redemptions................................................. -- 10,024 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... (4,383) (4,105) (815,432) (527,329)
Futures............................................................. (6,267) -- 4 --
Translation of Foreign Currency Denominated Amounts................. (191) -- -- --
------- ------- --------- ---------
Net Realized and Unrealized Gain (Loss).............................. 9,740 4,347 (134,063) (212,599)
------- ------- --------- ---------
Net Increase (Decrease) in Net Assets Resulting from Operations........ $10,870 $13,602 $ 183,641 $(131,136)
======= ======= ========= =========
----------
* 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.
118
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(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 $68, $56, $58 and $13,
respectively)...................................................... $ 192,300 $226,889 $ 261,847 $ 63,066
Income from Securities Lending...................................... 10,045 6,137 8,512 3,215
----------- -------- --------- ---------
Total Investment Income.......................................... 202,345 233,026 270,359 66,281
----------- -------- --------- ---------
Expenses
Investment Advisory Services Fees................................... 59,499 20,824 28,377 10,933
Accounting & Transfer Agent Fees.................................... 674 693 802 211
Custodian Fees...................................................... 182 170 189 65
Filing Fees......................................................... 255 408 456 107
Shareholders' Reports............................................... 348 248 306 130
Directors'/Trustees' Fees & Expenses................................ 57 56 66 17
Professional Fees................................................... 234 232 270 72
Other............................................................... 737 740 856 237
----------- -------- --------- ---------
Total Expenses................................................... 61,986 23,371 31,322 11,772
----------- -------- --------- ---------
Net Investment Income (Loss)........................................ 140,359 209,655 239,037 54,509
----------- -------- --------- ---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold........................................ 522,294 164,919 305,920 127,309
Futures........................................................... (2,510) -- 1,793 (811)
In-Kind Redemptions............................................... 12,630 48,790 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................. (1,025,518) (56,468) (307,072) (193,154)
----------- -------- --------- ---------
Net Realized and Unrealized Gain (Loss)............................. (493,104) 157,241 641 (66,656)
----------- -------- --------- ---------
Net Increase (Decrease) in Net Assets Resulting from Operations....... $ (352,745) $366,896 $ 239,678 $ (12,147)
=========== ======== ========= =========
See accompanying Notes to Financial Statements.
119
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(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 $28, $20, $0 and
$7,836, respectively)........................................ $ 138,012 $ 62,002 $ 199,351 $ 92,447
Income from Securities Lending................................ 12,245 6,440 546 3,064
--------- --------- --------- ---------
Total Investment Income.................................... 150,257 68,442 199,897 95,511
--------- --------- --------- ---------
Expenses
Investment Advisory Services Fees............................. 35,759 25,481 11,597 7,966
Accounting & Transfer Agent Fees.............................. 579 292 389 192
Custodian Fees................................................ 174 97 75 322
Filing Fees................................................... 246 96 103 86
Shareholders' Reports......................................... 315 159 259 155
Directors'/Trustees' Fees & Expenses.......................... 47 25 34 16
Professional Fees............................................. 194 99 137 117
Other......................................................... 617 325 443 249
--------- --------- --------- ---------
Total Expenses............................................. 37,931 26,574 13,037 9,103
--------- --------- --------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C).................... -- -- (755) --
Fees Paid Indirectly (Note C)................................. -- -- -- (10)
--------- --------- --------- ---------
Net Expenses............................................... 37,931 26,574 12,282 9,093
--------- --------- --------- ---------
Net Investment Income (Loss).................................. 112,326 41,868 187,615 86,418
--------- --------- --------- ---------
Realized and Unrealized Gain (Loss).............................
Net Realized Gain (Loss) on:
Investment Securities Sold.................................. 532,485 283,555 119,527 (50,887)
Futures..................................................... -- (2,258) -- 769
Foreign Currency Transactions............................... -- -- -- (528)
In-Kind Redemptions......................................... 28,254 12,861 258,319 33,199
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (457,527) (281,159) (219,248) (155,643)
Translation of Foreign Currency Denominated Amounts......... -- -- -- 142
--------- --------- --------- ---------
Net Realized and Unrealized Gain (Loss)....................... 103,212 12,999 158,598 (172,948)
--------- --------- --------- ---------
Net Increase (Decrease) in Net Assets Resulting from
Operations..................................................... $ 215,538 $ 54,867 $ 346,213 $ (86,530)
========= ========= ========= =========
See accompanying Notes to Financial Statements.
120
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(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, $17,982, $855 and
$206, respectively)................................................. -- $ 236,159 $ 7,736 $ 10,001
Income from Securities Lending....................................... -- 20,345 856 760
Expenses Allocated from Affiliated Investment Companies.............. -- (11,146) (600) (335)
--------- --------- ------- --------
Total Net Investment Income Received from Affiliated
Investment Companies............................................. -- 245,358 7,992 10,426
--------- --------- ------- --------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $31,890, $0, $0 and $0,
respectively)....................................................... $ 387,187 17 -- --
Income from Securities Lending....................................... 18,773 -- -- --
--------- --------- ------- --------
Total Investment Income........................................... 405,960 17 -- --
--------- --------- ------- --------
Fund Expenses
Investment Advisory Services Fees.................................... 47,090 10,284 647 282
Administrative Services Fees......................................... -- 25,866 1,386 794
Accounting & Transfer Agent Fees..................................... 770 54 4 3
Custodian Fees....................................................... 1,570 2 -- --
Filing Fees.......................................................... 531 158 19 19
Shareholders' Reports................................................ 408 311 8 8
Directors'/Trustees' Fees & Expenses................................. 61 43 2 2
Professional Fees.................................................... 340 42 1 1
Other................................................................ 932 491 30 18
--------- --------- ------- --------
Total Expenses.................................................... 51,702 37,251 2,097 1,127
--------- --------- ------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C).................................. -- -- (129) (56)
Fees Paid Indirectly (Note C)........................................ (72) -- -- --
--------- --------- ------- --------
Net Expenses......................................................... 51,630 37,251 1,968 1,071
--------- --------- ------- --------
Net Investment Income (Loss)......................................... 354,330 208,124 6,024 9,355
--------- --------- ------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold......................................... 4,776 376,613 12,888 (2,042)
Futures............................................................ -- (4,583) -- --
Foreign Currency Transactions...................................... (2,904) (2,876) (355) (202)
In-Kind Redemptions................................................ 163,544 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................... (679,030) (293,604) 20,984 (43,082)
Futures............................................................ -- (22) -- --
Translation of Foreign Currency Denominated Amounts................ 330 344 68 (3)
--------- --------- ------- --------
Net Realized and Unrealized Gain (Loss).............................. (513,284) 75,872 33,585 (45,329)
--------- --------- ------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................................ $(158,954) $ 283,996 $39,609 $(35,974)
========= ========= ======= ========
----------
* 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.
121
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
United DFA DFA
Kingdom Continental International DFA Global International
Small Small Real Estate Real Estate Small Cap
Company Company Securities Securities Value
Portfolio* Portfolio* Portfolio Portfolio Portfolio
---------- ----------- ------------- ----------- -------------
Investment Income
Net Investment Income Allocated from Affiliated Investment
Company:
Dividends (Net of Foreign Taxes Withheld of $0, $791, $0, $0
and $0, respectively)........................................ $1,243 $ 5,436 -- -- --
Income from Securities Lending................................ 21 728 -- -- --
Expenses Allocated from Affiliated Investment Company......... (40) (298) -- -- --
------ ------- --------- -------- ---------
Total Net Investment Income Received from Affiliated
Investment Company......................................... 1,224 5,866 -- -- --
------ ------- --------- -------- ---------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $0, $15,269,
$0 and $21,633, respectively)................................ -- -- $ 127,870 $ 10,901 $ 305,219
Income Distributions Received from Affiliated Investment
Companies.................................................... -- -- -- 145,117 --
Income from Securities Lending................................ -- -- 2,505 64 18,981
------ ------- --------- -------- ---------
Total Fund Investment Income................................ -- -- 130,375 156,082 324,200
------ ------- --------- -------- ---------
Fund Expenses
Investment Advisory Services Fees............................. 51 390 9,270 8,217 80,364
Administrative Services Fees.................................. 100 620 -- -- --
Accounting & Transfer Agent Fees.............................. 3 2 200 24 708
Custodian Fees................................................ -- -- 376 8 1,867
Filing Fees................................................... 15 30 131 176 245
Shareholders' Reports......................................... 3 8 126 200 413
Directors'/Trustees' Fees & Expenses.......................... -- 1 15 17 58
Professional Fees............................................. 2 1 85 23 303
Other......................................................... 3 12 208 187 886
------ ------- --------- -------- ---------
Total Expenses.............................................. 177 1,064 10,411 8,852 84,844
------ ------- --------- -------- ---------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C)..................................................... (11) (78) -- (7,007) --
Fees Paid Indirectly (Note C)................................. -- -- (16) -- (32)
------ ------- --------- -------- ---------
Net Expenses.................................................. 166 986 10,395 1,845 84,812
------ ------- --------- -------- ---------
Net Investment Income (Loss).................................. 1,058 4,880 119,980 154,237 239,388
------ ------- --------- -------- ---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold................................... 2,661 7,314 (17,379) 188 203,049
Affiliated Investment Companies Shares Sold.................. -- -- -- (1,351) --
Futures...................................................... -- (267) -- -- (5,555)
Foreign Currency Transactions................................ 3 (64) (1,791) -- (4,926)
In-Kind Redemptions.......................................... -- -- -- -- 193,547
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... (569) 7,186 (116,739) 43,036 (244,703)
Affiliated Investment Companies Shares....................... -- -- -- (78,977) --
Futures...................................................... -- 3 -- -- --
Translation of Foreign Currency Denominated Amounts.......... 1 (4) 284 -- 1,015
------ ------- --------- -------- ---------
Net Realized and Unrealized Gain (Loss)....................... 2,096 14,168 (135,625) (37,104) 142,427
------ ------- --------- -------- ---------
Net Increase (Decrease) in Net Assets Resulting from
Operations..................................................... $3,154 $19,048 $ (15,645) $117,133 $ 381,815
====== ======= ========= ======== =========
----------
* 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.
122
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
World ex U.S.
International World ex U.S. Targeted World ex U.S. World Core
Vector Equity Value Value Core Equity Equity
Portfolio Portfolio* Portfolio* Portfolio Portfolio*
------------- ------------- ------------- ------------- ----------
Investment Income
Net Investment Income Allocated from Affiliated
Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $0, $354,
$205, $0 and $0, respectively)........................ -- $ 3,750 $ 1,435 $ 603 --
Income Distributions Received from Affiliated
Investment Companies.................................. -- 205 2,306 -- $ 2,837
Income from Securities Lending......................... -- 138 139 -- --
Expenses Allocated from Affiliated Investment
Companies............................................. -- (239) (89) -- --
-------- -------- -------- -------- -------
Total Net Investment Income Received from
Affiliated Investment Companies..................... -- 3,854 3,791 603 2,837
-------- -------- -------- -------- -------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $3,513,
$0, $41, $2,034 and $0, respectively)................. $ 43,258 -- 559 21,944 1
Income from Securities Lending......................... 2,288 -- 26 902 --
-------- -------- -------- -------- -------
Total Investment Income.............................. 45,546 -- 585 23,449 1
-------- -------- -------- -------- -------
Fund Expenses
Investment Advisory Services Fees...................... 6,833 609 1,181 3,142 430
Accounting & Transfer Agent Fees....................... 101 2 5 46 4
Custodian Fees......................................... 291 -- 3 473 1
Filing Fees............................................ 90 24 42 123 32
Shareholders' Reports.................................. 85 4 7 46 3
Directors'/Trustees' Fees & Expenses................... 7 1 1 2 --
Professional Fees...................................... 34 4 5 18 1
Other.................................................. 126 7 13 35 8
-------- -------- -------- -------- -------
Total Expenses....................................... 7,567 651 1,257 3,885 479
-------- -------- -------- -------- -------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C).............................................. -- (281) (839) (418) (429)
Fees Paid Indirectly (Note C).......................... (8) -- (2) (11) --
-------- -------- -------- -------- -------
Net Expenses........................................... 7,559 370 416 3,456 50
-------- -------- -------- -------- -------
Net Investment Income (Loss)........................... 37,987 3,484 3,960 19,993 2,788
-------- -------- -------- -------- -------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated
Investment Companies.................................. -- 169 1,932 -- 171
Net Realized Gain (Loss) on:
Investment Securities Sold............................ 5,992 -- (356) 534 --
Affiliated Investment Companies Shares Sold........... -- 1,061 (13,958) (9,894) (905)
Futures............................................... -- -- (347) 171 --
Foreign Currency Transactions......................... (490) (65) (169) (238) --
In-Kind Redemptions................................... 10,623 -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............ (79,483) -- 8,649 (56,453) --
Affiliated Investment Companies Shares................ -- (16,458) (6,911) 2,100 (4,000)
Translation of Foreign Currency Denominated
Amounts.............................................. 54 7 (2) (13) --
-------- -------- -------- -------- -------
Net Realized and Unrealized Gain (Loss)................ (63,304) (15,286) (11,162) (63,793) (4,734)
-------- -------- -------- -------- -------
Net Increase (Decrease) in Net Assets Resulting
from Operations......................................... $(25,317) $(11,802) $ (7,202) $(43,800) $(1,946)
======== ======== ======== ======== =======
----------
* 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.
123
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(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, $14,265,
$14,169, $64,712 and $0, respectively)......................... -- $ 100,258 $ 113,812 $ 427,851 --
Income from Securities Lending.................................. -- 5,746 32,202 31,014 --
Expenses Allocated from Affiliated Investment Companies......... -- (6,573) (13,417) (26,115) --
------- --------- --------- ----------- -----------
Total Net Investment Income Received from Affiliated
Investment Companies......................................... -- 99,431 132,597 432,750 --
------- --------- --------- ----------- -----------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0
and $52,606, respectively)..................................... $ 8 -- -- -- $ 376,751
Income Distributions Received from Affiliated Investment
Companies...................................................... 3,868 -- -- -- --
Income from Securities Lending.................................. -- -- -- -- 44,994
------- --------- --------- ----------- -----------
Total Fund Investment Income.................................. 3,876 -- -- -- 421,745
------- --------- --------- ----------- -----------
Fund Expenses
Investment Advisory Services Fees............................... 583 6,014 8,840 21,198 86,533
Administrative Services Fees.................................... -- 11,841 16,666 51,318 --
Accounting & Transfer Agent Fees................................ 4 27 33 105 899
Custodian Fees.................................................. 1 -- -- -- 6,783
Shareholder Servicing Fees -- Class R2 Shares................... -- -- -- 237 --
Filing Fees..................................................... 31 169 156 145 410
Shareholders' Reports........................................... 7 193 135 365 552
Directors'/Trustees' Fees & Expenses............................ 1 20 24 89 77
Professional Fees............................................... 3 14 17 57 549
Other........................................................... 9 220 302 959 1,176
------- --------- --------- ----------- -----------
Total Expenses................................................ 639 18,498 26,173 74,473 96,979
------- --------- --------- ----------- -----------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)...................... (508) (1,203) (2,720) (4,240) --
Fees Paid Indirectly (Note C)................................... -- -- -- -- (94)
------- --------- --------- ----------- -----------
Net Expenses.................................................... 131 17,295 23,453 70,233 96,885
------- --------- --------- ----------- -----------
Net Investment Income (Loss).................................... 3,745 82,136 109,144 362,517 324,860
------- --------- --------- ----------- -----------
Realized and Unrealized Gain (Loss)
Capital Gain Distributions Received from Affiliated Investment
Companies...................................................... 469 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold**................................... -- (98,317) 46,152 (409,296) (327,586)
Affiliated Investment Companies Shares Sold.................... (251) -- -- -- --
Futures........................................................ (402) 2,417 -- -- --
Foreign Currency Transactions.................................. 3,159 (2,155) (4,493) (7,810) (8,472)
In-Kind Redemptions............................................ -- -- -- -- 29,647
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... -- (669,787) (681,504) (3,279,764) (2,517,402)
Affiliated Investment Companies Shares......................... (9,320) -- -- -- --
Futures........................................................ 701 4 -- -- --
Translation of Foreign Currency Denominated Amounts............ (530) (93) (237) 107 (300)
------- --------- --------- ----------- -----------
Net Realized and Unrealized Gain (Loss)......................... (6,174) (767,931) (640,082) (3,696,763) (2,824,113)
------- --------- --------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting from
Operations....................................................... $(2,429) $(685,795) $(530,938) $(3,334,246) $(2,499,253)
======= ========= ========= =========== ===========
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
124
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Enhanced U.S. Large U.S. Large Cap Equity U.S. Large Cap Value
Company Portfolio Portfolio Portfolio
------------------ ------------------- ------------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
-------- -------- --------- -------- ----------- -----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................. $ 1,130 $ 1,136 $ 9,255 $ 3,451 $ 317,704 $ 238,575
Net Realized Gain (Loss) on:
Investment Securities Sold................. 4,580 643 (1,560) 563 681,400 600,495
Futures.................................... 15,372 31,175 (12) -- (35) --
Foreign Currency Transactions.............. 629 (151) -- -- -- --
In-Kind Redemptions........................ -- -- 10,024 -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. (4,379) 332 (4,105) 24,836 (815,432) 1,088,709
Futures.................................... (6,271) (852) -- -- 4 --
Translation of Foreign Currency
Denominated Amounts....................... (191) 408 -- -- -- --
-------- -------- --------- -------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 10,870 32,691 13,602 28,850 183,641 1,927,779
-------- -------- --------- -------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares................. (799) (903) (8,112) (3,170) (302,945) (230,364)
Net Short-Term Gains:
Institutional Class Shares................. (10,591) -- (285) (40) -- --
Net Long-Term Gains:
Institutional Class Shares................. (16,610) -- (266) -- (86,223) --
-------- -------- --------- -------- ----------- -----------
Total Distributions....................... (28,000) (903) (8,663) (3,210) (389,168) (230,364)
-------- -------- --------- -------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................ 39,673 36,703 595,263 134,371 3,716,590 3,477,302
Shares Issued in Lieu of Cash Distributions.. 24,405 757 8,492 3,180 359,045 209,934
Shares Redeemed.............................. (60,026) (65,369) (184,505) (23,643) (3,209,154) (2,200,742)
-------- -------- --------- -------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions....................... 4,052 (27,909) 419,250 113,908 866,481 1,486,494
-------- -------- --------- -------- ----------- -----------
Total Increase (Decrease) in Net
Assets................................... (13,078) 3,879 424,189 139,548 660,954 3,183,909
Net Assets
Beginning of Period.......................... 216,719 212,840 274,955 135,407 15,146,981 11,963,072
-------- -------- --------- -------- ----------- -----------
End of Period................................ $203,641 $216,719 $ 699,144 $274,955 $15,807,935 $15,146,981
======== ======== ========= ======== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued................................ 3,122 2,890 46,215 11,205 110,785 108,157
Shares Issued in Lieu of Cash Distributions.. 2,085 60 675 265 10,996 6,479
Shares Redeemed.............................. (4,848) (5,263) (14,242) (1,962) (95,477) (68,360)
-------- -------- --------- -------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 359 (2,313) 32,648 9,508 26,304 46,276
======== ======== ========= ======== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)....................................... $ 48 $ 149 $ 1,341 $ 502 $ 29,922 $ 32,662
----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
125
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Targeted Value U.S. Small Cap Value
Portfolio Portfolio U.S. Core Equity 1 Portfolio
----------------------- ------------------------ ---------------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
----------- ---------- ----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 81,463 $ 44,264 $ 140,359 $ 70,490 $ 209,655 $ 146,885
Net Realized Gain (Loss) on:
Investment Securities Sold............. 315,026 262,739 522,294 462,894 164,919 51,551
Futures................................ (296) -- (2,510) (12,757) -- --
In-Kind Redemptions.................... -- -- 12,630 -- 48,790 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities.................. (527,329) 116,751 (1,025,518) 404,462 (56,468) 1,034,068
----------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... (131,136) 423,754 (352,745) 925,089 366,896 1,232,504
----------- ---------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R1 Shares........................ (374) (80) -- -- -- --
Class R2 Shares........................ (1,058) (330) -- -- -- --
Institutional Class Shares............. (74,793) (37,254) (130,190) (63,952) (200,298) (135,714)
Net Short-Term Gains:
Class R1 Shares........................ (49) (32) -- -- -- --
Class R2 Shares........................ (144) (84) -- -- -- --
Institutional Class Shares............. (9,156) (13,954) -- (2,510) -- --
Net Long-Term Gains:
Class R1 Shares........................ (1,235) (544) -- -- -- --
Class R2 Shares........................ (3,653) (1,417) -- -- -- --
Institutional Class Shares............. (233,022) (235,328) (427,115) (443,795) (49,469) (34,892)
----------- ---------- ----------- ----------- ----------- -----------
Total Distributions.................. (323,484) (289,023) (557,305) (510,257) (249,767) (170,606)
----------- ---------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued........................... 2,861,668 1,893,177 2,562,626 2,936,905 4,137,187 3,297,271
Shares Issued in Lieu of Cash
Distributions.......................... 306,474 271,172 501,839 463,121 236,854 161,062
Shares Redeemed......................... (1,140,962) (921,922) (1,986,459) (1,829,533) (1,996,226) (1,305,580)
----------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions.......... 2,027,180 1,242,427 1,078,006 1,570,493 2,377,815 2,152,753
----------- ---------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in Net
Assets.............................. 1,572,560 1,377,158 167,956 1,985,325 2,494,944 3,214,651
Net Assets
Beginning of Year....................... 5,590,907 4,213,749 11,512,306 9,526,981 10,780,830 7,566,179
----------- ---------- ----------- ----------- ----------- -----------
End of Year............................. $ 7,163,467 $5,590,907 $11,680,262 $11,512,306 $13,275,774 $10,780,830
=========== ========== =========== =========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued........................... 127,780 83,026 73,971 83,520 230,659 195,985
Shares Issued in Lieu of Cash
Distributions.......................... 14,559 12,467 15,227 13,724 13,516 9,673
Shares Redeemed......................... (51,364) (40,542) (57,511) (52,171) (111,260) (77,540)
----------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................ 90,975 54,951 31,688 45,073 132,915 128,118
=========== ========== =========== =========== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)....................... $ 8,044 $ 6,119 $ 6,188 $ 3,960 $ 21,625 $ 19,703
See accompanying Notes to Financial Statements.
126
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
U.S. Core Equity 2 Portfolio U.S. Vector Equity Portfolio U.S. Small Cap Portfolio
--------------------------- --------------------------- ------------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
----------- ----------- ---------- ---------- ----------- -----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)........ $ 239,037 $ 177,308 $ 54,509 $ 40,510 $ 112,326 $ 72,117
Net Realized Gain (Loss) on:
Investment Securities Sold........ 305,920 91,185 127,309 115,011 532,485 281,378
Futures........................... 1,793 -- (811) -- -- --
In-Kind Redemptions............... -- -- -- -- 28,254 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities............. (307,072) 1,187,562 (193,154) 197,283 (457,527) 332,001
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations...................... 239,678 1,456,055 (12,147) 352,804 215,538 685,496
----------- ----------- ---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares........ (228,075) (165,687) (51,799) (37,709) (105,110) (65,689)
Net Short-Term Gains:
Institutional Class Shares........ -- (4,518) -- (1,492) -- (19,821)
Net Long-Term Gains:
Institutional Class Shares........ (89,857) (98,745) (109,045) (38,966) (268,312) (218,795)
----------- ----------- ---------- ---------- ----------- -----------
Total Distributions.............. (317,932) (268,950) (160,844) (78,167) (373,422) (304,305)
----------- ----------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued....................... 4,082,819 2,965,961 848,464 798,485 2,815,856 2,450,541
Shares Issued in Lieu of Cash
Distributions...................... 313,194 265,683 159,804 77,784 351,264 285,840
Shares Redeemed..................... (2,036,371) (1,489,137) (685,067) (543,429) (1,640,410) (1,316,683)
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Capital Share
Transactions.................... 2,359,642 1,742,507 323,201 332,840 1,526,710 1,419,698
----------- ----------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in
Net Assets...................... 2,281,388 2,929,612 150,210 607,477 1,368,826 1,800,889
Net Assets
Beginning of Year................... 12,919,176 9,989,564 3,501,319 2,893,842 9,247,716 7,446,827
----------- ----------- ---------- ---------- ----------- -----------
End of Year......................... $15,200,564 $12,919,176 $3,651,529 $3,501,319 $10,616,542 $ 9,247,716
=========== =========== ========== ========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued....................... 234,298 178,876 51,015 48,426 90,041 80,252
Shares Issued in Lieu of Cash
Distributions...................... 18,413 16,353 10,033 4,849 11,800 9,623
Shares Redeemed..................... (116,908) (89,926) (41,495) (33,059) (52,277) (43,155)
----------- ----------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................ 135,803 105,303 19,553 20,216 49,563 46,720
=========== =========== ========== ========== =========== ===========
Undistributed Net Investment
Income (Distributions in Excess
of Net Investment Income)............ $ 25,434 $ 22,013 $ 4,454 $ 4,499 $ 7,767 $ 5,881
See accompanying Notes to Financial Statements.
127
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
---------------------- ------------------------- ----------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
---------- ---------- ----------- ---------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 41,868 $ 33,465 $ 187,615 $ 135,078 $ 86,418 $ 100,146
Net Realized Gain (Loss) on:
Investment Securities Sold............ 283,555 293,787 119,527 51,264 (50,887) (5,883)
Futures............................... (2,258) (692) -- (553) 769 --
Foreign Currency Transactions......... -- -- -- -- (528) (1,034)
In-Kind Redemptions................... 12,861 -- 258,319 -- 33,199 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. (281,159) 40,078 (219,248) 857,969 (155,643) (85,773)
Translation of Foreign Currency
Denominated Amounts.................. -- -- -- -- 142 (232)
---------- ---------- ----------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... 54,867 366,638 346,213 1,043,758 (86,530) 7,224
---------- ---------- ----------- ---------- ---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares............ (39,933) (30,943) (220,092) (156,934) (85,101) (98,177)
Net Short-Term Gains:
Institutional Class Shares............ -- (12,783) -- -- -- --
Net Long-Term Gains:
Institutional Class Shares............ (278,652) (200,738) -- -- -- --
---------- ---------- ----------- ---------- ---------- ----------
Total Distributions.................. (318,585) (244,464) (220,092) (156,934) (85,101) (98,177)
---------- ---------- ----------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued........................... 657,708 732,739 1,268,079 1,531,390 1,019,845 711,014
Shares Issued in Lieu of Cash
Distributions.......................... 296,069 228,631 216,090 154,320 76,483 89,712
Shares Redeemed......................... (711,995) (750,348) (1,664,857) (642,193) (902,210) (337,040)
---------- ---------- ----------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions.......... 241,782 211,022 (180,688) 1,043,517 194,118 463,686
---------- ---------- ----------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. (21,936) 333,196 (54,567) 1,930,341 22,487 372,733
Net Assets
Beginning of Year....................... 5,029,027 4,695,831 6,607,759 4,677,418 3,127,847 2,755,114
---------- ---------- ----------- ---------- ---------- ----------
End of Year............................. $5,007,091 $5,029,027 $ 6,553,192 $6,607,759 $3,150,334 $3,127,847
========== ========== =========== ========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued........................... 33,975 37,333 38,538 53,449 48,288 31,887
Shares Issued in Lieu of Cash
Distributions.......................... 16,153 11,975 6,758 5,604 3,639 3,956
Shares Redeemed......................... (36,869) (38,226) (51,930) (22,496) (42,081) (15,048)
---------- ---------- ----------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................ 13,259 11,082 (6,634) 36,557 9,846 20,795
========== ========== =========== ========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net
Investment Income)....................... $ 2,845 $ 2,541 $ (120) $ 23,541 $ 8,542 $ 7,583
See accompanying Notes to Financial Statements.
128
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
International Core Equity International Small Japanese Small Company
Portfolio Company Portfolio Portfolio
------------------------ ------------------------ ---------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
----------- ----------- ----------- ----------- --------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......... $ 354,330 $ 335,306 $ 208,124 $ 194,864 $ 6,024 $ 5,501
Net Realized Gain (Loss) on:
Investment Securities Sold.......... 4,776 (183,788) 376,613 303,846 12,888 9,738
Futures............................. -- -- (4,583) (945) -- --
Foreign Currency Transactions....... (2,904) (1,661) (2,876) (909) (355) (118)
In-Kind Redemptions................. 163,544 -- -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency................... (679,030) (293,395) (293,604) (612,635) 20,984 (8,349)
Futures............................. -- -- (22) -- -- --
Translation of Foreign Currency
Denominated Amounts................ 330 (699) 344 (606) 68 (112)
----------- ----------- ----------- ----------- --------- --------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................ (158,954) (144,237) 283,996 (116,385) 39,609 6,660
----------- ----------- ----------- ----------- --------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares.......... (367,607) (320,068) (208,535) (190,299) (7,758) (11,539)
Net Short-Term Gains:
Institutional Class Shares.......... -- -- (27,069) (27,834) -- --
Net Long-Term Gains:
Institutional Class Shares.......... -- -- (250,320) (211,626) -- --
----------- ----------- ----------- ----------- --------- --------
Total Distributions................ (367,607) (320,068) (485,924) (429,759) (7,758) (11,539)
----------- ----------- ----------- ----------- --------- --------
Capital Share Transactions (1):
Shares Issued......................... 5,383,645 4,323,558 1,961,417 1,513,008 20,159 176,108
Shares Issued in Lieu of Cash
Distributions........................ 349,000 309,979 472,853 418,230 7,251 10,648
Shares Redeemed....................... (3,080,058) (1,383,156) (1,753,367) (1,061,294) (103,454) (87,819)
----------- ----------- ----------- ----------- --------- --------
Net Increase (Decrease) from
Capital Share
Transactions...................... 2,652,587 3,250,381 680,903 869,944 (76,044) 98,937
----------- ----------- ----------- ----------- --------- --------
Total Increase (Decrease) in
Net Assets........................ 2,126,026 2,786,076 478,975 323,800 (44,193) 94,058
Net Assets
Beginning of Year..................... 12,294,542 9,508,466 8,844,517 8,520,717 508,190 414,132
----------- ----------- ----------- ----------- --------- --------
End of Year........................... $14,420,568 $12,294,542 $ 9,323,492 $ 8,844,517 $ 463,997 $508,190
=========== =========== =========== =========== ========= ========
(1) Shares Issued and Redeemed:
Shares Issued......................... 449,331 340,141 110,551 78,077 1,017 9,215
Shares Issued in Lieu of Cash
Distributions........................ 29,177 23,911 28,178 22,420 406 579
Shares Redeemed....................... (256,979) (108,799) (99,058) (54,917) (5,278) (4,681)
----------- ----------- ----------- ----------- --------- --------
Net Increase (Decrease) from
Shares Issued and
Redeemed.......................... 221,528 255,253 39,671 45,580 (3,855) 5,113
=========== =========== =========== =========== ========= ========
Undistributed Net Investment
Income (Distributions in Excess
of Net Investment Income).............. $ 17,301 $ 40,713 $ 34,648 $ 36,226 $ 1,497 $ 2,523
See accompanying Notes to Financial Statements.
129
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Asia Pacific Small Company United Kingdom Small Continental Small Company
Portfolio Company Portfolio Portfolio
------------------------- ------------------- ------------------------
Year
Year Year Year Ended Year Year
Ended Ended Ended Oct. Ended Ended
Oct. 31, Oct. 31, Oct. 31, 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
--------- -------- -------- ------- -------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................... $ 9,355 $ 13,132 $ 1,058 $ 952 $ 4,880 $ 3,584
Net Realized Gain (Loss) on:
Investment Securities Sold*.................... (2,042) 227 2,661 2,353 7,314 5,664
Futures........................................ -- -- -- -- (267) (53)
Foreign Currency Transactions.................. (202) -- 3 (4) (64) (20)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency...................................... (43,082) (25,748) (569) (2,920) 7,186 (13,937)
Futures........................................ -- -- -- -- 3 --
Translation of Foreign Currency Denominated
Amounts....................................... (3) (4) 1 (1) (4) (9)
--------- -------- ------- ------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... (35,974) (12,393) 3,154 380 19,048 (4,771)
--------- -------- ------- ------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares..................... (16,487) (12,860) (1,011) (919) (4,771) (3,660)
Net Short-Term Gains:
Institutional Class Shares..................... -- -- (57) -- -- --
Net Long-Term Gains:
Institutional Class Shares..................... -- -- (2,151) (406) -- --
--------- -------- ------- ------- -------- --------
Total Distributions........................... (16,487) (12,860) (3,219) (1,325) (4,771) (3,660)
--------- -------- ------- ------- -------- --------
Capital Share Transactions (1):
Shares Issued................................... 13,081 80,887 4,028 5,784 112,313 23,560
Shares Issued in Lieu of Cash Distributions..... 15,524 12,189 2,521 1,013 4,167 3,003
Shares Redeemed................................. (139,991) (34,872) (5,897) (7,898) (21,694) (19,977)
--------- -------- ------- ------- -------- --------
Net Increase (Decrease) from Capital Share
Transactions................................. (111,386) 58,204 652 (1,101) 94,786 6,586
--------- -------- ------- ------- -------- --------
Total Increase (Decrease) in Net Assets....... (163,847) 32,951 587 (2,046) 109,063 (1,845)
Net Assets
Beginning of Year............................... 364,117 331,166 35,050 37,096 168,961 170,806
--------- -------- ------- ------- -------- --------
End of Year..................................... $ 200,270 $364,117 $35,637 $35,050 $278,024 $168,961
========= ======== ======= ======= ======== ========
(1) Shares Issued and Redeemed:
Shares Issued................................... 643 3,484 117 151 5,532 1,098
Shares Issued in Lieu of Cash Distributions..... 792 549 78 27 199 133
Shares Redeemed................................. (6,841) (1,459) (167) (206) (1,061) (926)
--------- -------- ------- ------- -------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed.......................... (5,406) 2,574 28 (28) 4,670 305
========= ======== ======= ======= ======== ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income).......................................... $ 83 $ 7,045 $ 207 $ 106 $ 248 $ 119
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $1,
respectively.
See accompanying Notes to Financial Statements.
130
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International Real DFA Global Real Estate DFA International Small
Estate Securities Portfolio Securities Portfolio Cap Value Portfolio
-------------------------- ---------------------- ------------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
---------- ---------- ---------- ---------- ----------- -----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 119,980 $ 105,809 $ 154,237 $ 82,794 $ 239,388 $ 213,214
Net Realized Gain (Loss) on:
Investment Securities Sold............ (17,379) 3,629 (188) (2,790) 203,049 220,979
Affiliated Investment Companies
Shares Sold.......................... (1,351)
Futures............................... -- -- -- -- (5,555) --
Foreign Currency Transactions......... (1,791) (581) -- -- (4,926) (2,193)
In-Kind Redemptions................... -- -- -- -- 193,547 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. (116,739) 99,706 (43,036) 305,008 (244,703) (457,867)
Affiliated Investment Companies
Shares............................... (78,977)
Translation of Foreign Currency
Denominated Amounts.................. 284 (267) -- -- 1,015 (878)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... (15,645) 208,296 117,133 385,012 381,815 (26,745)
---------- ---------- ---------- ---------- ----------- -----------
Distributions From:
Net Investment Income:
Institutional Class Shares............ (182,724) (106,263) (124,281) (72,036) (224,376) (201,006)
Net Short-Term Gains:
Institutional Class Shares............ -- -- -- -- -- (38,805)
Net Long-Term Gains:
Institutional Class Shares............ -- -- -- -- (207,080) (127,501)
---------- ---------- ---------- ---------- ----------- -----------
Total Distributions.................. (182,724) (106,263) (124,281) (72,036) (431,456) (367,312)
---------- ---------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued........................... 886,775 1,020,832 1,347,820 1,203,232 2,629,814 2,122,914
Shares Issued in Lieu of Cash
Distributions.......................... 181,249 105,300 121,908 70,668 392,052 335,987
Shares Redeemed......................... (417,939) (298,766) (708,136) (364,111) (2,079,421) (1,528,972)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions.......... 650,085 827,366 761,592 909,789 942,445 929,929
---------- ---------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in Net
Assets.............................. 451,716 929,399 754,444 1,222,765 892,804 535,872
Net Assets
Beginning of Year....................... 3,088,376 2,158,977 3,305,472 2,082,707 11,684,771 11,148,899
---------- ---------- ---------- ---------- ----------- -----------
End of Year............................. $3,540,092 $3,088,376 $4,059,916 $3,305,472 $12,577,575 $11,684,771
========== ========== ========== ========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued........................... 166,717 190,067 127,842 123,414 135,446 102,419
Shares Issued in Lieu of Cash
Distributions.......................... 34,991 21,490 11,884 8,208 21,362 16,875
Shares Redeemed......................... (79,211) (56,784) (67,340) (37,911) 107,415 (74,184)
---------- ---------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................ 122,497 154,773 72,386 93,711 49,393 45,110
========== ========== ========== ========== =========== ===========
Undistributed Net Investment
Income (Distributions in Excess of
Net Investment Income)................... $ (221,598) $ (153,170) $ 50,527 $ 21,784 $ 44,763 $ 20,577
See accompanying Notes to Financial Statements.
131
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
International Vector Equity World ex U.S. Value World ex U.S. Targeted
Portfolio Portfolio Value Portfolio
-------------------------- ------------------ ---------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
---------- ---------- -------- -------- --------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)...................... $ 37,987 $ 32,958 $ 3,484 $ 4,175 $ 3,960 $ 2,577
Capital Gain Distributions Received from
Affiliated Investment Companies.................. -- -- 169 157 1,932 983
Net Realized Gain (Loss) on:
Investment Securities Sold*..................... 5,992 14,492 -- 1,007 (356) (2,175)
Affiliated Investment Companies Shares
Sold........................................... 1,061 (13,958)
Futures......................................... -- -- -- 1 (347) 1
Foreign Currency Transactions................... (490) (376) (65) (40) (169) (9)
In-Kind Redemptions............................. 10,623 -- -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency...... (79,483) (66,559) -- (6,120) 8,649 (4,735)
Affiliated Investment Companies Shares.......... (16,458) (6,911)
Futures......................................... -- -- -- 1 -- --
Translation of Foreign Currency Denominated
Amounts........................................ 54 (93) 7 (12) (2) --
---------- ---------- -------- -------- --------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations..................... (25,317) (19,578) (11,802) (831) (7,202) (3,358)
---------- ---------- -------- -------- --------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares...................... (36,861) (31,342) (3,283) (4,113) (3,896) (2,482)
Net Short-Term Gains:
Institutional Class Shares...................... (1,236) (571) -- -- -- (48)
Net Long-Term Gains:
Institutional Class Shares...................... (10,949) (7,322) -- -- (408) (1,147)
---------- ---------- -------- -------- --------- --------
Total Distributions............................ (49,046) (39,235) (3,283) (4,113) (4,304) (3,677)
---------- ---------- -------- -------- --------- --------
Capital Share Transactions (1):
Shares Issued..................................... 757,055 399,996 65,656 10,506 204,717 99,296
Shares Issued in Lieu of Cash Distributions....... 48,618 38,822 3,281 4,102 4,301 3,678
Shares Redeemed................................... (441,949) (165,226) (12,502) (13,300) (120,877) (40,853)
---------- ---------- -------- -------- --------- --------
Net Increase (Decrease) from Capital Share
Transactions.................................. 363,724 273,592 56,435 1,308 88,141 62,121
---------- ---------- -------- -------- --------- --------
Total Increase (Decrease) in Net Assets........ 289,361 214,779 41,350 (3,636) 76,635 55,086
Net Assets
Beginning of Period............................... 1,305,553 1,090,774 113,951 117,587 151,096 96,010
---------- ---------- -------- -------- --------- --------
End of Period..................................... $1,594,914 $1,305,553 $155,301 $113,951 $ 227,731 $151,096
========== ========== ======== ======== ========= ========
(1) Shares Issued and Redeemed:
Shares Issued..................................... 68,272 33,823 6,010 889 17,665 7,921
Shares Issued in Lieu of Cash Distributions....... 4,463 3,246 303 340 377 299
Shares Redeemed................................... (40,404) (13,983) (1,167) (1,114) (10,646) (3,412)
---------- ---------- -------- -------- --------- --------
Net Increase (Decrease) from Shares Issued
and Redeemed.................................. 32,331 23,086 5,146 115 7,396 4,808
========== ========== ======== ======== ========= ========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................ $ 3,889 $ 4,680 $ 517 $ 343 $ 10 $ 218
----------
See page 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $3,
respectively.
See accompanying Notes to Financial Statements.
132
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
World ex U.S. Core Equity Selectively Hedged Global
Portfolio World Core Equity Portfolio Equity Portfolio
------------------------ -------------------------- ------------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
---------- -------- -------- -------- -------- --------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)...... $ 19,993 $ 6,084 $ 2,788 $ 341 $ 3,745 $ 2,127
Capital Gain Distributions
Received from Affiliated
Investment Companies............. -- -- 171 3 469 342
Net Realized Gain (Loss) on:
Investment Securities Sold*...... 534 (107) -- 247 -- 1,409
Affiliated Investment
Companies Shares Sold........... (9,894) (905) (251)
Futures.......................... 171 -- -- -- (402) 572
Foreign Currency
Transactions.................... (238) -- -- -- 3,159 1,469
Change in Unrealized
Appreciation (Depreciation) of:
Investment Securities and
Foreign Currency................ (56,453) (13,820) -- (2,851) -- 1,003
Affiliated Investment
Companies Shares................ 2,100 (4,000) (9,320)
Futures.......................... -- -- -- -- 701 (82)
Translation of Foreign
Currency Denominated
Amounts......................... (13) -- -- -- (530) 610
---------- -------- -------- ------- -------- --------
Net Increase (Decrease) in
Net Assets Resulting from
Operations..................... (43,800) (7,843) (1,946) (2,260) (2,429) 7,450
---------- -------- -------- ------- -------- --------
Distributions From:
Net Investment Income:
Institutional Class Shares....... (15,824) (6,099) (2,667) (348) (4,603) (1,858)
Net Short-Term Gains:
Institutional Class Shares....... -- (64) (12) (10) (365) (281)
Net Long-Term Gains:
Institutional Class Shares....... -- -- (232) (14) (1,915) (539)
---------- -------- -------- ------- -------- --------
Total Distributions............. (15,824) (6,163) (2,911) (372) (6,883) (2,678)
---------- -------- -------- ------- -------- --------
Capital Share Transactions (1):
Shares Issued..................... 946,814 312,847 143,661 79,069 130,229 71,131
Shares Issued in Lieu of Cash
Distributions.................... 15,654 6,153 2,860 372 6,883 2,678
Shares Redeemed................... (138,664) (28,066) (14,716) (2,830) (29,970) (22,653)
---------- -------- -------- ------- -------- --------
Net Increase (Decrease)
from Capital Share
Transactions................... 823,804 290,934 131,805 76,611 107,142 51,156
---------- -------- -------- ------- -------- --------
Total Increase (Decrease) in
Net Assets..................... 764,180 276,928 126,948 73,979 97,830 55,928
Net Assets
Beginning of Period............... 406,648 129,720 75,707 1,728 147,276 91,348
---------- -------- -------- ------- -------- --------
End of Period..................... $1,170,828 $406,648 $202,655 $75,707 $245,106 $147,276
========== ======== ======== ======= ======== ========
(1) Shares Issued and Redeemed:
Shares Issued..................... 92,639 28,743 10,926 5,733 9,466 5,123
Shares Issued in Lieu of Cash
Distributions.................... 1,533 556 220 27 532 205
Shares Redeemed................... (13,850) (2,595) (1,167) (216) (2,213) (1,662)
---------- -------- -------- ------- -------- --------
Net Increase (Decrease)
from Shares Issued and
Redeemed....................... 80,322 26,704 9,979 5,544 7,785 3,666
========== ======== ======== ======= ======== ========
Undistributed Net Investment
Income (Distributions in Excess
of Net Investment Income).......... $ 3,451 $ (2) $ 121 $ -- $ 5,058 $ 3,031
Emerging Markets Portfolio
-------------------------
Year Year
Ended Ended
Oct. 31, Oct. 31,
2015 2014
----------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)...... $ 82,136 $ 81,253
Capital Gain Distributions
Received from Affiliated
Investment Companies............. -- --
Net Realized Gain (Loss) on:
Investment Securities Sold*...... (98,317) (24,604)
Affiliated Investment
Companies Shares Sold...........
Futures.......................... 2,417 --
Foreign Currency
Transactions.................... (2,155) (658)
Change in Unrealized
Appreciation (Depreciation) of:
Investment Securities and
Foreign Currency................ (669,787) 12,634
Affiliated Investment
Companies Shares................
Futures.......................... 4 --
Translation of Foreign
Currency Denominated
Amounts......................... (93) (12)
----------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations..................... (685,795) 68,613
----------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares....... (73,891) (77,881)
Net Short-Term Gains:
Institutional Class Shares....... -- --
Net Long-Term Gains:
Institutional Class Shares....... -- (21,358)
----------- ----------
Total Distributions............. (73,891) (99,239)
----------- ----------
Capital Share Transactions (1):
Shares Issued..................... 2,348,904 1,057,534
Shares Issued in Lieu of Cash
Distributions.................... 68,708 92,820
Shares Redeemed................... (1,410,094) (701,770)
----------- ----------
Net Increase (Decrease)
from Capital Share
Transactions................... 1,007,518 448,584
----------- ----------
Total Increase (Decrease) in
Net Assets..................... 247,832 417,958
Net Assets
Beginning of Period............... 4,073,698 3,655,740
----------- ----------
End of Period..................... $ 4,321,530 $4,073,698
=========== ==========
(1) Shares Issued and Redeemed:
Shares Issued..................... 98,569 40,611
Shares Issued in Lieu of Cash
Distributions.................... 3,055 3,453
Shares Redeemed................... (59,625) (26,688)
----------- ----------
Net Increase (Decrease)
from Shares Issued and
Redeemed....................... 41,999 17,376
=========== ==========
Undistributed Net Investment
Income (Distributions in Excess
of Net Investment Income).......... $ 5,762 $ 6,653
----------
See page 1 for the Definitions of Abbreviations and Footnotes.
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and
$0, respectively.
See accompanying Notes to Financial Statements.
133
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Emerging Markets Small Emerging Markets Value Emerging Markets Core
Cap Portfolio Portfolio Equity Portfolio
---------------------- ------------------------ ------------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
---------- ---------- ----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)...................... $ 109,144 $ 89,085 $ 362,517 $ 447,291 $ 324,860 $ 302,880
Net Realized Gain (Loss) on:
Investment Securities Sold*...................... 46,152 98,856 (409,296) (519,942) (327,586) (111,516)
Futures.......................................... -- -- -- 499 -- --
Foreign Currency Transactions.................... (4,493) (968) (7,810) (4,493) (8,472) (2,722)
In-Kind Redemptions.............................. -- -- -- -- 29,647 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency........................................ (681,504) 21,383 (3,279,764) (179,006) (2,517,402) 123,834
Futures.......................................... -- (4) -- -- -- --
Translation of Foreign Currency Denominated
Amounts......................................... (237) (137) 107 (29) (300) (212)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations..................... (530,938) 208,215 (3,334,246) (255,680) (2,499,253) 312,264
---------- ---------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income:
Class R2 Shares.................................. -- -- (1,822) (1,989) -- --
Institutional Class Shares....................... (99,603) (83,100) (349,391) (405,752) (304,141) (287,956)
Net Short-Term Gains:
Class R2 Shares.................................. -- -- -- (62) -- --
Institutional Class Shares....................... (3,364) -- -- (11,122) -- --
Net Long-Term Gains:
Class R2 Shares.................................. -- -- -- (1,472) -- --
Institutional Class Shares....................... (88,636) (63,095) -- (262,348) -- --
---------- ---------- ----------- ----------- ----------- -----------
Total Distributions............................ (191,603) (146,195) (351,213) (682,745) (304,141) (287,956)
---------- ---------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued..................................... 1,309,981 1,042,130 3,635,785 3,257,115 6,175,578 4,643,693
Shares Issued in Lieu of Cash Distributions....... 180,085 135,989 332,144 647,473 282,610 266,070
Shares Redeemed................................... (782,954) (421,399) (4,119,848) (3,488,728) (4,525,463) (2,227,486)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions.................................. 707,112 756,720 (151,919) 415,860 1,932,725 2,682,277
---------- ---------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets........ (15,429) 818,740 (3,837,378) (522,565) (870,669) 2,706,585
Net Assets
Beginning of Year................................. 4,860,603 4,041,863 18,746,342 19,268,907 15,727,547 13,020,962
---------- ---------- ----------- ----------- ----------- -----------
End of Year....................................... $4,845,174 $4,860,603 $14,908,964 $18,746,342 $14,856,878 $15,727,547
========== ========== =========== =========== =========== ===========
(1) Shares Issued and Redeemed:
Shares Issued..................................... 65,569 49,106 147,429 116,998 339,318 235,819
Shares Issued in Lieu of Cash Distributions....... 9,583 6,569 14,339 23,036 16,465 12,932
Shares Redeemed................................... (40,423) (20,277) (164,669) (124,198) (255,411) (113,406)
---------- ---------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed........................... 34,729 35,398 (2,901) 15,836 100,372 135,345
========== ========== =========== =========== =========== ===========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)............................................ $ 14,068 $ 7,565 $ 24,502 $ 37,443 $ 17,752 $ 28,530
----------
* Net of foreign capital gain taxes withheld of $0, $1,357, $0, $0, $0 and
$960, respectively.
See accompanying Notes to Financial Statements.
134
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio U.S. Large Cap Equity Portfolio
------------------------------------------------ -----------------------------
Period
Year Year Year Year Year Year Year June 25,
Ended Ended Ended Ended Ended Ended Ended 2013(a) to
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011 2015 2014 2013
-----------------------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 13.65 $ 11.70 $ 9.29 $ 8.15 $ 7.53 $ 12.65 $ 11.07 $ 10.00
-------- -------- -------- -------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.07 0.07 0.07 0.07 0.07 0.23 0.21 0.06
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.53 1.94 2.42 1.20 0.56 0.21 1.57 1.04
-------- -------- -------- -------- -------- -------- -------- --------
Total from Investment
Operations............ 0.60 2.01 2.49 1.27 0.63 0.44 1.78 1.10
-----------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.05) (0.06) (0.08) (0.13) (0.01) (0.21) (0.20) (0.03)
Net Realized Gains....... (1.66) -- -- -- -- (0.02) -- --
-------- -------- -------- -------- -------- -------- -------- --------
Total Distributions.... (1.71) (0.06) (0.08) (0.13) (0.01) (0.23) (0.20) (0.03)
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 12.54 $ 13.65 $ 11.70 $ 9.29 $ 8.15 $ 12.86 $ 12.65 $ 11.07
======================== ======== ======== ======== ======== ======== ======== ======== ==========
Total Return.............. 5.25% 17.18% 26.99% 15.84% 8.41% 3.49% 16.19% 11.01%(D)
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $203,641 $216,719 $212,840 $190,011 $171,128 $699,144 $274,955 $135,407
Ratio of Expenses to
Average Net Assets....... 0.24% 0.23% 0.24% 0.25% 0.26% 0.19% 0.19% 0.19%(C)(E)
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor
and Fees Paid
Indirectly).............. 0.24% 0.23% 0.24% 0.25% 0.26% 0.19% 0.20% 0.25%(C)(E)
Ratio of Net Investment
Income to Average Net
Assets................... 0.53% 0.55% 0.63% 0.80% 0.86% 1.77% 1.75% 1.58%(C)(E)
Portfolio Turnover Rate... 223% 202% 139% 76% 140% 12% 1% 0%(D)
-----------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
135
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Cap Value Portfolio
-------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 33.75 $ 29.72 $ 22.34 $ 19.29 $ 18.58
----------- ----------- ----------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.69 0.56 0.47 0.41 0.33
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.32) 4.02 7.38 3.04 0.70
----------- ----------- ----------- ---------- ----------
Total from Investment
Operations............ 0.37 4.58 7.85 3.45 1.03
-----------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.66) (0.55) (0.47) (0.40) (0.32)
Net Realized Gains....... (0.19) -- -- -- --
----------- ----------- ----------- ---------- ----------
Total Distributions.... (0.85) (0.55) (0.47) (0.40) (0.32)
-----------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 33.27 $ 33.75 $ 29.72 $ 22.34 $ 19.29
========================= =========== =========== =========== ========== ==========
Total Return.............. 1.16% 15.49% 35.52% 18.14% 5.53%
-----------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $15,807,935 $15,146,981 $11,963,072 $8,334,585 $7,340,344
Ratio of Expenses to
Average Net Assets(B).... 0.27% 0.27% 0.27% 0.27% 0.28%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor)(B). 0.30% 0.27% 0.27% 0.27% 0.28%
Ratio of Net Investment
Income to Average Net
Assets................... 2.04% 1.75% 1.82% 1.99% 1.63%
-----------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
136
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R1 Shares U.S. Targeted Value Portfolio-Class R2 Shares
-------------------------------------------- ---------------------------------------------
Year Year Year Year Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011 2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 23.19 $ 22.63 $17.28 $ 15.32 $ 14.75 $ 23.12 $ 22.57 $ 17.26 $ 15.31 $ 14.76
------- ------- ------ ------- ------- -------- ------- ------- ------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.26 0.18 0.27 0.15 0.10 0.23 0.15 0.19 0.13 0.07
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.61) 1.86 6.28 2.06 0.60 (0.61) 1.84 6.31 2.05 0.60
------- ------- ------ ------- ------- -------- ------- ------- ------- -------
Total from Investment
Operations............ (0.35) 2.04 6.55 2.21 0.70 (0.38) 1.99 6.50 2.18 0.67
-----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.25) (0.16) (0.22) (0.13) (0.10) (0.22) (0.12) (0.21) (0.11) (0.09)
Net Realized Gains....... (1.01) (1.32) (0.98) (0.12) (0.03) (1.01) (1.32) (0.98) (0.12) (0.03)
------- ------- ------ ------- ------- -------- ------- ------- ------- -------
Total Distributions.... (1.26) (1.48) (1.20) (0.25) (0.13) (1.23) (1.44) (1.19) (0.23) (0.12)
-----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 21.58 $ 23.19 $22.63 $ 17.28 $ 15.32 $ 21.51 $ 23.12 $ 22.57 $ 17.26 $ 15.31
======================== ======== ======== ======== ======== ======== ======== ======== ======== ======== ========
Total Return.............. (1.33)% 9.47% 40.39% 14.67% 4.69% (1.49)% 9.30% 40.10% 14.46% 4.50%
-----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $40,159 $16,971 $9,470 $49,423 $45,132 $135,412 $82,977 $23,305 $12,754 $10,918
Ratio of Expenses to
Average Net Assets....... 0.47% 0.47% 0.47% 0.48% 0.48% 0.63% 0.62% 0.62% 0.63% 0.63%
Ratio of Net Investment
Income to Average Net
Assets................... 1.15% 0.79% 1.42% 0.93% 0.61% 1.02% 0.64% 0.95% 0.78% 0.42%
Portfolio Turnover Rate... 15% 10% 16% 20% 23% 15% 10% 16% 20% 23%
-----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
137
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Institutional Class Shares
----------------------------------------------------------- -------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011 2015
------------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 23.16 $ 22.60 $ 17.28 $ 15.32 $ 14.76 $ 35.82
---------- ---------- ---------- ---------- ---------- -----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.29 0.21 0.24 0.17 0.12 0.41
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.61) 1.85 6.31 2.06 0.59 (1.44)
---------- ---------- ---------- ---------- ---------- -----------
Total from Investment
Operations............ (0.32) 2.06 6.55 2.23 0.71 (1.03)
------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.27) (0.18) (0.25) (0.15) (0.12) (0.38)
Net Realized Gains....... (1.01) (1.32) (0.98) (0.12) (0.03) (1.33)
---------- ---------- ---------- ---------- ---------- -----------
Total Distributions.... (1.28) (1.50) (1.23) (0.27) (0.15) (1.71)
------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 21.56 $ 23.16 $ 22.60 $ 17.28 $ 15.32 $ 33.08
======================== ========== ========== ========== ========== ========== ===========
Total Return.............. (1.20)% 9.58% 40.40% 14.78% 4.76% (2.83)%
------------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $6,987,896 $5,490,959 $4,180,974 $2,989,632 $2,487,929 $11,680,262
Ratio of Expenses to
Average Net Assets....... 0.37% 0.37% 0.37% 0.38% 0.38% 0.52%
Ratio of Net Investment
Income to Average Net
Assets................... 1.28% 0.90% 1.25% 1.03% 0.71% 1.18%
Portfolio Turnover Rate... 15% 10% 16% 20% 23% 17%
------------------------------------------------------------------------------------------------------
U.S. Small Cap Value Portfolio
------------------------------------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011
---------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 34.48 $ 26.57 $ 23.50 $ 22.49
----------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.23 0.39 0.20 0.16
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 2.93 9.41 3.38 1.00
----------- ---------- ---------- ----------
Total from Investment
Operations............ 3.16 9.80 3.58 1.16
---------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.22) (0.37) (0.18) (0.15)
Net Realized Gains....... (1.60) (1.52) (0.33) --
----------- ---------- ---------- ----------
Total Distributions.... (1.82) (1.89) (0.51) (0.15)
---------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 35.82 $ 34.48 $ 26.57 $ 23.50
======================== =========== ========== ========== ==========
Total Return.............. 9.49% 39.35% 15.60% 5.13%
---------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $11,512,306 $9,526,981 $7,088,470 $6,540,863
Ratio of Expenses to
Average Net Assets....... 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment
Income to Average Net
Assets................... 0.66% 1.28% 0.78% 0.62%
Portfolio Turnover Rate... 9% 14% 15% 14%
---------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
138
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Core Equity 1 Portfolio
------------------------------------------------------------ ------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011 2015
------------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 17.71 $ 15.74 $ 12.11 $ 10.78 $ 10.18 $ 17.34
----------- ----------- ---------- ---------- ---------- -----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.31 0.27 0.25 0.21 0.17 0.30
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.26 2.02 3.62 1.32 0.59 0.02
----------- ----------- ---------- ---------- ---------- -----------
Total from Investment
Operations............ 0.57 2.29 3.87 1.53 0.76 0.32
------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.30) (0.25) (0.24) (0.20) (0.16) (0.28)
Net Realized Gains....... (0.08) (0.07) -- -- -- (0.12)
----------- ----------- ---------- ---------- ---------- -----------
Total Distributions.... (0.38) (0.32) (0.24) (0.20) (0.16) (0.40)
------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 17.90 $ 17.71 $ 15.74 $ 12.11 $ 10.78 $ 17.26
======================== =========== =========== ========== ========== ========== ===========
Total Return.............. 3.26% 14.72% 32.32% 14.29% 7.47% 1.92%
------------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $13,275,774 $10,780,830 $7,566,179 $4,876,973 $3,731,411 $15,200,564
Ratio of Expenses to
Average Net Assets....... 0.19% 0.19% 0.19% 0.19% 0.20% 0.22%
Ratio of Net Investment
Income to Average Net
Assets................... 1.71% 1.61% 1.79% 1.79% 1.49% 1.68%
Portfolio Turnover Rate... 4% 5% 1% 3% 5% 5%
------------------------------------------------------------------------------------------------------
U.S. Core Equity 2 Portfolio
------------------------------------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011
---------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 15.62 $ 11.99 $ 10.61 $ 10.06
----------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.26 0.24 0.20 0.16
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 1.86 3.73 1.36 0.54
----------- ---------- ---------- ----------
Total from Investment
Operations............ 2.12 3.97 1.56 0.70
---------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.24) (0.24) (0.18) (0.15)
Net Realized Gains....... (0.16) (0.10) -- --
----------- ---------- ---------- ----------
Total Distributions.... (0.40) (0.34) (0.18) (0.15)
---------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 17.34 $ 15.62 $ 11.99 $ 10.61
======================== =========== ========== ========== ==========
Total Return.............. 13.78% 33.66% 14.81% 6.98%
---------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $12,919,176 $9,989,564 $6,923,984 $5,819,906
Ratio of Expenses to
Average Net Assets....... 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment
Income to Average Net
Assets................... 1.55% 1.74% 1.74% 1.42%
Portfolio Turnover Rate... 6% 3% 5% 9%
---------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
139
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Vector Equity Portfolio
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
---------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 17.04 $ 15.62 $ 11.61 $ 10.28 $ 9.82
---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.25 0.21 0.20 0.16 0.12
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.30) 1.62 4.03 1.32 0.46
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............ (0.05) 1.83 4.23 1.48 0.58
---------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.24) (0.19) (0.20) (0.15) (0.12)
Net Realized Gains....... (0.53) (0.22) (0.02) -- --
---------- ---------- ---------- ---------- ----------
Total Distributions.... (0.77) (0.41) (0.22) (0.15) (0.12)
---------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 16.22 $ 17.04 $ 15.62 $ 11.61 $ 10.28
======================== ========== ========== ========== ========== ==========
Total Return.............. (0.18)% 11.91% 36.80% 14.55% 5.86%
---------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $3,651,529 $3,501,319 $2,893,842 $2,009,177 $1,851,895
Ratio of Expenses to
Average Net Assets....... 0.32% 0.32% 0.32% 0.32% 0.33%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor).... 0.32% 0.32% 0.32% 0.32% 0.33%
Ratio of Net Investment
Income to Average Net
Assets................... 1.50% 1.26% 1.50% 1.45% 1.11%
Portfolio Turnover Rate... 10% 10% 3% 9% 10%
---------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
140
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Small Cap Portfolio
----------------------------------------------------------- -----------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011 2015
----------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 31.38 $ 30.03 $ 23.11 $ 20.55 $ 19.06 $ 20.10
----------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.35 0.26 0.35 0.25 0.18 0.16
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.33 2.27 8.13 2.53 1.49 0.02
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............ 0.68 2.53 8.48 2.78 1.67 0.18
----------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.33) (0.24) (0.36) (0.22) (0.18) (0.16)
Net Realized Gains....... (0.89) (0.94) (1.20) -- -- (1.12)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions.... (1.22) (1.18) (1.56) (0.22) (0.18) (1.28)
----------------------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 30.84 $ 31.38 $ 30.03 $ 23.11 $ 20.55 $ 19.00
======================== =========== ========== ========== ========== ========== ==========
Total Return.............. 2.34% 8.67% 39.03% 13.61% 8.76% 1.11%
----------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $10,616,542 $9,247,716 $7,446,827 $4,563,345 $3,770,323 $5,007,091
Ratio of Expenses to
Average Net Assets....... 0.37% 0.37% 0.37% 0.37% 0.37% 0.52%
Ratio of Net Investment
Income to Average Net
Assets................... 1.10% 0.86% 1.33% 1.14% 0.84% 0.82%
Portfolio Turnover Rate... 11% 9% 10% 16% 23% 14%
----------------------------------------------------------------------------------------------------
U.S. Micro Cap Portfolio
-----------------------------------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011
--------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 19.64 $ 14.84 $ 13.24 $ 12.25
---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.14 0.19 0.14 0.09
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 1.35 5.57 1.59 0.99
---------- ---------- ---------- ----------
Total from Investment
Operations............ 1.49 5.76 1.73 1.08
--------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.13) (0.20) (0.13) (0.09)
Net Realized Gains....... (0.90) (0.76) -- --
---------- ---------- ---------- ----------
Total Distributions.... (1.03) (0.96) (0.13) (0.09)
--------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 20.10 $ 19.64 $ 14.84 $ 13.24
======================== ========== ========== ========== ==========
Total Return.............. 7.88% 41.34% 13.13% 8.85%
--------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $5,029,027 $4,695,831 $3,437,958 $3,257,719
Ratio of Expenses to
Average Net Assets....... 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment
Income to Average Net
Assets................... 0.69% 1.16% 0.99% 0.69%
Portfolio Turnover Rate... 12% 11% 15% 14%
--------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
141
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Real Estate Securities Portfolio
---------------------------------------------------------- ------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011 2015
----------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 32.24 $ 27.77 $ 25.83 $ 23.25 $ 21.24 $ 21.59
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.90 0.72 0.67 0.57 0.40 0.58
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.95 4.62 1.95 2.74 1.93 (1.24)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............ 1.85 5.34 2.62 3.31 2.33 (0.66)
----------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (1.05) (0.87) (0.68) (0.73) (0.32) (0.57)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.... (1.05) (0.87) (0.68) (0.73) (0.32) (0.57)
----------------------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 33.04 $ 32.24 $ 27.77 $ 25.83 $ 23.25 $ 20.36
======================== ========== ========== ========== ========== ========== ==========
Total Return.............. 5.89% 19.80% 10.28% 14.45% 11.09% (3.10)%
----------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $6,553,192 $6,607,759 $4,677,418 $3,716,389 $3,098,647 $3,150,334
Ratio of Expenses to
Average Net Assets....... 0.18% 0.18% 0.18% 0.22% 0.32% 0.29%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor
and Fees Paid
Indirectly).............. 0.19% 0.19% 0.19% 0.23% 0.32% 0.29%
Ratio of Net Investment
Income to Average Net
Assets................... 2.75% 2.48% 2.42% 2.29% 1.76% 2.71%
Portfolio Turnover Rate... 4% 0% 1% 0% 3% 10%
----------------------------------------------------------------------------------------------------
Large Cap International Portfolio
-----------------------------------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011
---------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 22.20 $ 18.33 $ 17.91 $ 19.42
---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.75 0.58 0.60 0.63
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.62) 3.90 0.40 (1.53)
---------- ---------- ---------- ----------
Total from Investment
Operations............ 0.13 4.48 1.00 (0.90)
---------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.74) (0.61) (0.58) (0.61)
---------- ---------- ---------- ----------
Total Distributions.... (0.74) (0.61) (0.58) (0.61)
---------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 21.59 $ 22.20 $ 18.33 $ 17.91
======================== ========== ========== ========== ==========
Total Return.............. 0.47% 24.85% 5.89% (4.86)%
---------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $3,127,847 $2,755,114 $2,055,759 $1,704,149
Ratio of Expenses to
Average Net Assets....... 0.28% 0.29% 0.30% 0.30%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor
and Fees Paid
Indirectly).............. 0.28% 0.29% 0.30% 0.30%
Ratio of Net Investment
Income to Average Net
Assets................... 3.35% 2.90% 3.38% 3.19%
Portfolio Turnover Rate... 4% 5% 4% 3%
---------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
142
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Core Equity Portfolio
--------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
-------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 12.15 $ 12.57 $ 10.10 $ 9.89 $ 10.78
----------- ----------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.32 0.38 0.31 0.31 0.33
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.45) (0.43) 2.47 0.20 (0.89)
----------- ----------- ---------- ---------- ----------
Total from Investment
Operations............ (0.13) (0.05) 2.78 0.51 (0.56)
-------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.33) (0.37) (0.31) (0.30) (0.33)
----------- ----------- ---------- ---------- ----------
Total Distributions.... (0.33) (0.37) (0.31) (0.30) (0.33)
-------------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 11.69 $ 12.15 $ 12.57 $ 10.10 $ 9.89
======================== =========== =========== ========== ========== ==========
Total Return.............. (1.10)% (0.55)% 27.98% 5.49% (5.49)%
-------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $14,420,568 $12,294,542 $9,508,466 $6,482,738 $5,395,884
Ratio of Expenses to
Average Net Assets....... 0.38% 0.38% 0.39% 0.40% 0.40%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor
and Fees Paid
Indirectly).............. 0.38% 0.38% 0.39% 0.40% 0.40%
Ratio of Net Investment
Income to Average Net
Assets................... 2.63% 3.01% 2.80% 3.18% 2.96%
Portfolio Turnover Rate... 4% 7% 3% 5% 3%
-------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
143
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Small Company Portfolio
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 18.24 $ 19.40 $ 15.28 $ 15.21 $ 16.14
---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.41 0.42 0.42 0.38 0.40
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.12 (0.62) 4.16 0.39 (0.83)
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............ 0.53 (0.20) 4.58 0.77 (0.43)
-----------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.42) (0.42) (0.37) (0.42) (0.50)
Net Realized Gains....... (0.57) (0.54) (0.09) (0.28) --
---------- ---------- ---------- ---------- ----------
Total Distributions.... (0.99) (0.96) (0.46) (0.70) (0.50)
-----------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 17.78 $ 18.24 $ 19.40 $ 15.28 $ 15.21
======================== ========== ========== ========== ========== ==========
Total Return.............. 3.30% (1.09)% 30.66% 5.63% (2.92)%
-----------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $9,323,492 $8,844,517 $8,520,717 $6,423,160 $5,834,015
Ratio of Expenses to
Average Net Assets (B)... 0.54% 0.53% 0.54% 0.56% 0.55%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by
Advisor) (B)............. 0.54% 0.53% 0.54% 0.56% 0.55%
Ratio of Net Investment
Income to Average Net
Assets................... 2.30% 2.15% 2.47% 2.58% 2.37%
-----------------------------------------------------------------------------------------
Japanese Small Company Portfolio
------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
----------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 19.15 $ 19.33 $ 14.99 $ 15.24 $ 14.13
-------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.25 0.24 0.26 0.29 0.27
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 1.36 0.13 4.21 (0.26) 1.08
-------- -------- -------- -------- --------
Total from Investment
Operations............ 1.61 0.37 4.47 0.03 1.35
----------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.30) (0.55) (0.13) (0.28) (0.24)
Net Realized Gains....... -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions.... (0.30) (0.55) (0.13) (0.28) (0.24)
----------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 20.46 $ 19.15 $ 19.33 $ 14.99 $ 15.24
======================== ======== ======== ======== ======== ========
Total Return.............. 8.62% 2.00% 30.06% 0.20% 9.57%
----------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $463,997 $508,190 $414,132 $293,968 $163,120
Ratio of Expenses to
Average Net Assets (B)... 0.54% 0.55% 0.56% 0.57% 0.56%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by
Advisor) (B)............. 0.57% 0.55% 0.56% 0.57% 0.56%
Ratio of Net Investment
Income to Average Net
Assets................... 1.27% 1.25% 1.51% 1.88% 1.74%
----------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
144
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Asia Pacific Small Company Portfolio United Kingdom Small Company Portfolio
-------------------------------------------------- -------------------------------------------
Year Year Year Year Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011 2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 22.88 $ 24.82 $ 23.22 $ 23.04 $ 25.64 $ 35.92 $ 36.96 $ 27.81 $ 23.44 $ 24.24
-------- -------- -------- -------- -------- ------- ------- ------- ------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.75 0.83 1.01 0.87 0.85 1.06 0.95 0.88 0.69 0.82
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (3.51) (1.81) 1.37 0.58 (2.16) 1.95 (0.65) 9.17 4.47 (0.85)
-------- -------- -------- -------- -------- ------- ------- ------- ------- -------
Total from Investment
Operations............ (2.76) (0.98) 2.38 1.45 (1.31) 3.01 0.30 10.05 5.16 (0.03)
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (1.06) (0.96) (0.78) (1.27) (1.29) (1.05) (0.93) (0.90) (0.79) (0.77)
Net Realized Gains....... -- -- -- -- -- (2.38) (0.41) -- -- --
-------- -------- -------- -------- -------- ------- ------- ------- ------- -------
Total Distributions.... (1.06) (0.96) (0.78) (1.27) (1.29) (3.43) (1.34) (0.90) (0.79) (0.77)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 19.06 $ 22.88 $ 24.82 $ 23.22 $ 23.04 $ 35.50 $ 35.92 $ 36.96 $ 27.81 $ 23.44
======================== ======== ======== ======== ======== ======== ======== ======== ======== ======== ========
Total Return.............. (12.19)% (3.84)% 10.46% 7.09% (5.59)% 9.43% 0.73% 36.81% 22.82% (0.28)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $200,270 $364,117 $331,166 $238,191 $139,262 $35,637 $35,050 $37,096 $31,316 $33,869
Ratio of Expenses to
Average Net Assets (B)... 0.55% 0.55% 0.57% 0.59% 0.60% 0.58% 0.58% 0.59% 0.60% 0.60%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by
Advisor) (B)............. 0.57% 0.55% 0.57% 0.59% 0.60% 0.62% 0.62% 0.63% 0.63% 0.62%
Ratio of Net Investment
Income to Average Net
Assets................... 3.67% 3.53% 4.26% 3.91% 3.34% 2.99% 2.50% 2.79% 2.83% 3.26%
-----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
145
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Continental Small Company Portfolio
------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
--------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 19.34 $ 20.26 $ 14.51 $ 14.66 $ 16.93
-------- -------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.43 0.42 0.37 0.39 0.39
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 1.38 (0.90) 5.78 (0.17) (2.20)
-------- -------- -------- -------- --------
Total from Investment
Operations............ 1.81 (0.48) 6.15 0.22 (1.81)
--------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.41) (0.44) (0.40) (0.37) (0.46)
-------- -------- -------- -------- --------
Total Distributions.... (0.41) (0.44) (0.40) (0.37) (0.46)
--------------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 20.74 $ 19.34 $ 20.26 $ 14.51 $ 14.66
======================== ======== ======== ======== ======== ========
Total Return.............. 9.37% (2.68)% 42.99% 1.85% (11.09)%
--------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $278,024 $168,961 $170,806 $106,316 $117,452
Ratio of Expenses to
Average Net Assets....... 0.55%(B) 0.56%(B) 0.58%(B) 0.59%(B) 0.58%(B)
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor
and Fees Paid
Indirectly).............. 0.58%(B) 0.56%(B) 0.58%(B) 0.59%(B) 0.58%(B)
Ratio of Net Investment
Income to Average Net
Assets................... 2.09% 1.97% 2.16% 2.78% 2.25%
Portfolio Turnover Rate... N/A N/A N/A N/A N/A
--------------------------------------------------------------------------------------------
DFA International Real Estate Securities Portfolio
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
----------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 5.63 $ 5.48 $ 5.67 $ 4.90 $ 5.58
---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.19 0.22 0.22 0.27 0.30
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.22) 0.19 0.25 0.75 (0.33)
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............ (0.03) 0.41 0.47 1.02 (0.03)
----------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.33) (0.26) (0.66) (0.25) (0.65)
---------- ---------- ---------- ---------- ----------
Total Distributions.... (0.33) (0.26) (0.66) (0.25) (0.65)
----------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 5.27 $ 5.63 $ 5.48 $ 5.67 $ 4.90
======================== ========== ========== ========== ========== ==========
Total Return.............. (0.37)% 8.21% 9.24% 22.34% (0.43)%
----------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $3,540,092 $3,088,376 $2,158,977 $1,531,708 $1,060,156
Ratio of Expenses to
Average Net Assets....... 0.32% 0.38% 0.39% 0.41% 0.42%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor
and Fees Paid
Indirectly).............. 0.32% 0.38% 0.39% 0.41% 0.42%
Ratio of Net Investment
Income to Average Net
Assets................... 3.64% 4.14% 4.07% 5.45% 5.73%
Portfolio Turnover Rate... 2% 1% 5% 3% 7%
----------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
146
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA Global Real Estate Securities Portfolio
--------------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
----------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 10.63 $ 9.59 $ 9.33 $ 8.21 $ 8.28
---------- ---------- ---------- ---------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.44 0.31 0.49 0.29 0.41
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.09) 1.05 0.37 1.07 0.06
---------- ---------- ---------- ---------- --------
Total from Investment
Operations............ 0.35 1.36 0.86 1.36 0.47
----------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.39) (0.32) (0.60) (0.24) (0.54)
Net Realized Gains....... -- -- -- -- --
---------- ---------- ---------- ---------- --------
Total Distributions.... (0.39) (0.32) (0.60) (0.24) (0.54)
----------------------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 10.59 $ 10.63 $ 9.59 $ 9.33 $ 8.21
======================== ========== ========== ========== ========== ========
Total Return.............. 3.44% 14.98% 9.74% 17.33% 6.17%
----------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $4,059,916 $3,305,472 $2,082,707 $1,315,547 $869,348
Ratio of Expenses to
Average Net Assets....... 0.27%(B) 0.32%(B) 0.32%(B) 0.34%(B) 0.41%(B)
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor
and Fees Paid
Indirectly).............. 0.45%(B) 0.55%(B) 0.55%(B) 0.60%(B) 0.73%(B)
Ratio of Net Investment
Income to Average Net
Assets................... 4.16% 3.21% 5.18% 3.38% 5.01%
Portfolio Turnover Rate... 1% N/A N/A N/A N/A
----------------------------------------------------------------------------------------------------
DFA International Small Cap Value Portfolio
-------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 19.55 $ 20.17 $ 15.16 $ 14.85 $ 16.16
----------- ----------- ----------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.38 0.37 0.37 0.34 0.34
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.22 (0.34) 5.21 0.61 (0.98)
----------- ----------- ----------- ---------- ----------
Total from Investment
Operations............ 0.60 0.03 5.58 0.95 (0.64)
------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.37) (0.35) (0.36) (0.36) (0.38)
Net Realized Gains....... (0.34) (0.30) (0.21) (0.28) (0.29)
----------- ----------- ----------- ---------- ----------
Total Distributions.... (0.71) (0.65) (0.57) (0.64) (0.67)
------------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 19.44 $ 19.55 $ 20.17 $ 15.16 $ 14.85
======================== =========== =========== =========== ========== ==========
Total Return.............. 3.31% 0.13% 37.79% 6.92% (4.39)%
------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $12,577,575 $11,684,771 $11,148,899 $8,266,610 $7,459,144
Ratio of Expenses to
Average Net Assets....... 0.69% 0.68% 0.69% 0.71% 0.70%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor
and Fees Paid
Indirectly).............. 0.69% 0.68% 0.69% 0.71% 0.70%
Ratio of Net Investment
Income to Average Net
Assets................... 1.94% 1.78% 2.16% 2.30% 2.05%
Portfolio Turnover Rate... 18% 8% 9% 18% 16%
------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
147
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
International Vector Equity Portfolio
-------------------------------------------------------- ------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011 2015
---------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 11.26 $ 11.75 $ 9.33 $ 9.34 $ 10.28 $ 11.43
---------- ---------- ---------- -------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.28 0.32 0.26 0.27 0.29 0.30
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.41) (0.43) 2.44 0.14 (0.87) (1.18)
---------- ---------- ---------- -------- -------- --------
Total from Investment
Operations............ (0.13) (0.11) 2.70 0.41 (0.58) (0.88)
---------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.27) (0.30) (0.25) (0.27) (0.29) (0.27)
Net Realized Gains....... (0.10) (0.08) (0.03) (0.15) (0.07) --
---------- ---------- ---------- -------- -------- --------
Total Distributions.... (0.37) (0.38) (0.28) (0.42) (0.36) (0.27)
---------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 10.76 $ 11.26 $ 11.75 $ 9.33 $ 9.34 $ 10.28
======================== ========== ========== ========== ======== ======== ========
Total Return.............. (1.14)% (1.05)% 29.52% 4.90% (5.99)% (7.77)%
---------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $1,594,914 $1,305,553 $1,090,774 $561,399 $410,580 $155,301
Ratio of Expenses to
Average Net Assets....... 0.50% 0.49% 0.51% 0.54% 0.54% 0.53%(B)
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor
and Fees Paid
Indirectly).............. 0.50% 0.49% 0.51% 0.54% 0.54% 0.75%(B)
Ratio of Net Investment
Income to Average Net
Assets................... 2.50% 2.64% 2.51% 2.94% 2.73% 2.69%
Portfolio Turnover Rate... 8% 8% 2% 5% 10% N/A
---------------------------------------------------------------------------------------------------
World ex U.S. Value Portfolio
----------------------------------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011
----------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 11.93 $ 9.94 $ 9.96 $ 11.35
-------- -------- ------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.42 0.29 0.29 0.30
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.50) 2.02 (0.05) (1.35)
-------- -------- ------- -------
Total from Investment
Operations............ (0.08) 2.31 0.24 (1.05)
----------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.42) (0.32) (0.26) (0.26)
Net Realized Gains....... -- -- -- (0.08)
-------- -------- ------- -------
Total Distributions.... (0.42) (0.32) (0.26) (0.34)
----------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 11.43 $ 11.93 $ 9.94 $ 9.96
======================== ======== ======== ======== ========
Total Return.............. (0.81)% 23.61% 2.70% (9.59)%
----------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $113,951 $117,587 $57,197 $47,165
Ratio of Expenses to
Average Net Assets....... 0.57%(B) 0.60%(B) 0.60%(B) 0.60%(B)
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor
and Fees Paid
Indirectly).............. 0.76%(B) 0.76%(B) 0.84%(B) 0.91%(B)
Ratio of Net Investment
Income to Average Net
Assets................... 3.54% 2.61% 2.97% 2.64%
Portfolio Turnover Rate... N/A N/A N/A N/A
----------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
148
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
World ex U.S. Targeted Value Portfolio World ex U.S. Core Equity Portfolio
----------------------------- ---------------------------------
Period Period
Year Year Nov. 1, Year Year April 9,
Ended Ended 2012(a) to Ended Ended 2013(a) to
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2015 2014 2013
----------------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 12.08 $ 12.46 $ 10.00 $ 10.49 $ 10.77 $ 10.00
-------- -------- ------- ---------- -------- --------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.23 0.23 0.20 0.26 0.28 0.18
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.58) (0.22) 2.46 (0.72) (0.27) 0.77
-------- -------- ------- ---------- -------- --------
Total from Investment
Operations............ (0.35) 0.01 2.66 (0.46) 0.01 0.95
----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.26) (0.24) (0.20) (0.20) (0.28) (0.18)
Net Realized Gains....... (0.03) (0.15) -- -- (0.01) --
-------- -------- ------- ---------- -------- --------
Total Distributions.... (0.29) (0.39) (0.20) (0.20) (0.29) (0.18)
----------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 11.44 $ 12.08 $ 12.46 $ 9.83 $ 10.49 $ 10.77
======================== ======== ======== ========== ========== ======== ==========
Total Return.............. (2.88)% 0.06% 26.90%(D) (4.50)% (0.04)% 9.62%(D)
----------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $227,731 $151,096 $96,010 $1,170,828 $406,648 $129,720
Ratio of Expenses to
Average Net Assets (B)... 0.65% 0.69% 0.79%(C)(E) 0.47% 0.47% 0.47%(C)(E)
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by
Advisor) (B)............. 1.06% 1.17% 1.27%(C)(E) 0.52% 0.88% 0.97%(C)(E)
Ratio of Net Investment
Income to Average Net
Assets................... 1.95% 1.84% 1.78%(C)(E) 2.54% 2.59% 3.12%(C)(E)
Portfolio Turnover Rate... 1% N/A N/A 1% N/A N/A
----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
149
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
World Core Equity Portfolio Selectively Hedged Global Equity Portfolio
--------------------------------------- ----------------------------------------
Period Period
Year Year Year March 7, Year Year Year Nov. 14,
Ended Ended Ended 2012(a) to Ended Ended Ended 2011(a) to
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2015 2014 2013 2012
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Period...... $ 13.33 $ 12.71 $ 10.24 $10.00 $ 14.20 $ 13.63 $ 10.87 $ 10.00
--------- -------- ------- ------ -------- --------- -------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.26 0.17 0.23 0.16 0.27 0.27 0.24 0.22
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (0.35) 0.87 2.47 0.19 (0.34) 0.76 2.65 0.87
--------- -------- ------- ------ -------- --------- -------- -------
Total from Investment
Operations............ (0.09) 1.04 2.70 0.35 (0.07) 1.03 2.89 1.09
-------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.26) (0.24) (0.23) (0.11) (0.42) (0.32) (0.10) (0.22)
Net Realized Gains....... (0.04) (0.18) -- (0.00) (0.21) (0.14) (0.03) --
--------- -------- ------- ------ -------- --------- -------- -------
Total Distributions.... (0.30) (0.42) (0.23) (0.11) (0.63) (0.46) (0.13) (0.22)
-------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $ 12.94 $ 13.33 $ 12.71 $10.24 $ 13.50 $ 14.20 $ 13.63 $ 10.87
======================== ========= ======== ======== ========== ======== ========= ======== ==========
Total Return.............. (0.61)% 8.36% 26.77% 3.54%(D) (0.34)% 7.83% 26.86% 11.11%(D)
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands)....... $ 202,655 $ 75,707 $ 1,728 $ 191 $245,106 $ 147,276 $ 91,348 $34,950
Ratio of Expenses to
Average Net Assets (B)... 0.35% 0.35% 0.40% 0.40%(C)(E) 0.40% 0.40% 0.40% 0.40%(C)(E)
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by
Advisor) (B)............. 0.65% 0.97% 5.71% 52.27%(C)(E) 0.66% 0.69% 0.72% 1.00%(C)(E)
Ratio of Net Investment
Income to Average Net
Assets................... 1.95% 1.27% 2.01% 2.40%(C)(E) 1.93% 1.94% 1.93% 2.13%(C)(E)
-------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
150
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Portfolio
----------------------------------------------------------- ------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011 2015
------------------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 26.64 $ 26.97 $ 26.06 $ 26.68 $ 30.90 $ 21.42
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.49 0.56 0.52 0.55 0.61 0.43
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (4.54) (0.20) 1.17 0.37 (2.53) (2.53)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............ (4.05) 0.36 1.69 0.92 (1.92) (2.10)
------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.42) (0.53) (0.50) (0.50) (0.53) (0.41)
Net Realized Gains....... -- (0.16) (0.28) (1.04) (1.77) (0.40)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.... (0.42) (0.69) (0.78) (1.54) (2.30) (0.81)
------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 22.17 $ 26.64 $ 26.97 $ 26.06 $ 26.68 $ 18.51
======================== ========== ========== ========== ========== ========== ==========
Total Return.............. (15.24)% 1.33% 6.58% 4.08% (6.82)% (9.88)%
------------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $4,321,530 $4,073,698 $3,655,740 $2,797,177 $2,313,035 $4,845,174
Ratio of Expenses to
Average Net Assets (B)... 0.57% 0.56% 0.57% 0.61% 0.61% 0.73%
Ratio of Expenses to
Average Net
Assets (Excluding Fees
(Waived),
(Expenses Reimbursed),
and/or Previously
Waived Fees Recovered
by Advisor)(B)........... 0.60% 0.56% 0.57% 0.61% 0.61% 0.78%
Ratio of Net Investment
Income to Average Net
Assets................... 1.97% 2.11% 1.97% 2.14% 2.07% 2.16%
------------------------------------------------------------------------------------------------------
Emerging Markets Small Cap Portfolio
-----------------------------------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011
---------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 21.10 $ 20.33 $ 19.85 $ 24.26
---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.43 0.40 0.40 0.42
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ 0.62 1.37 0.83 (3.67)
---------- ---------- ---------- ----------
Total from Investment
Operations............ 1.05 1.77 1.23 (3.25)
---------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.40) (0.39) (0.35) (0.40)
Net Realized Gains....... (0.33) (0.61) (0.40) (0.76)
---------- ---------- ---------- ----------
Total Distributions.... (0.73) (1.00) (0.75) (1.16)
---------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 21.42 $ 21.10 $ 20.33 $ 19.85
======================== ========== ========== ========== ==========
Total Return.............. 5.12% 8.92% 6.71% (14.03)%
---------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $4,860,603 $4,041,863 $2,907,673 $1,832,745
Ratio of Expenses to
Average Net Assets (B)... 0.72% 0.75% 0.82% 0.79%
Ratio of Expenses to
Average Net
Assets (Excluding Fees
(Waived),
(Expenses Reimbursed),
and/or Previously
Waived Fees Recovered
by Advisor)(B)........... 0.72% 0.75% 0.82% 0.79%
Ratio of Net Investment
Income to Average Net
Assets................... 2.02% 1.91% 2.01% 1.86%
---------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
151
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Class R2 Shares
----------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
----------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 27.79 $ 29.27 $ 28.21 $ 29.02 $ 36.35
------- ------- -------- ------- -------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.49 0.59 0.47 0.50 0.20
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (5.61) (1.10) 1.68 (0.45) (5.45)
------- ------- -------- ------- -------
Total from Investment
Operations............ (5.12) (0.51) 2.15 0.05 (5.25)
----------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.49) (0.55) (0.50) (0.47) (0.45)
Net Realized Gains....... -- (0.42) (0.59) (0.39) (1.63)
------- ------- -------- ------- -------
Total Distributions.... (0.49) (0.97) (1.09) (0.86) (2.08)
----------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 22.18 $ 27.79 $ 29.27 $ 28.21 $ 29.02
======================== ======== ======== ======== ======== ========
Total Return.............. (18.49)% (1.75)% 7.75% 0.43% (15.24)%
----------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $74,076 $99,066 $106,070 $99,111 $78,157
Ratio of Expenses to
Average Net Assets (B)... 0.81% 0.80% 0.82% 0.86% 0.86%
Ratio of Expenses to
Average Net
Assets (Fees (Waived),
(Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor
and Fees Paid
Indirectly)(B)........... 0.84% 0.80% 0.82% 0.86% 0.86%
Ratio of Net Investment
Income to Average Net
Assets................... 1.93% 2.09% 1.65% 1.78% 1.56%
----------------------------------------------------------------------------
Emerging Markets Value Portfolio-Institutional Class Shares
-----------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
----------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year........ $ 27.81 $ 29.28 $ 28.22 $ 29.02 $ 36.27
----------- ----------- ----------- ----------- -----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............. 0.54 0.66 0.55 0.57 0.64
Net Gains (Losses) on
Securities (Realized
and Unrealized)........ (5.60) (1.10) 1.67 (0.44) (5.72)
----------- ----------- ----------- ----------- -----------
Total from Investment
Operations............ (5.06) (0.44) 2.22 0.13 (5.08)
----------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income.... (0.53) (0.61) (0.57) (0.54) (0.54)
Net Realized Gains....... -- (0.42) (0.59) (0.39) (1.63)
----------- ----------- ----------- ----------- -----------
Total Distributions.... (0.53) (1.03) (1.16) (0.93) (2.17)
----------------------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $ 22.22 $ 27.81 $ 29.28 $ 28.22 $ 29.02
======================== =========== =========== =========== =========== ===========
Total Return.............. (18.27)% (1.51)% 8.01% 0.70% (14.84)%
----------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands).............. $14,834,888 $18,647,276 $19,162,837 $16,589,619 $13,730,213
Ratio of Expenses to
Average Net Assets (B)... 0.56% 0.55% 0.57% 0.61% 0.61%
Ratio of Expenses to
Average Net
Assets (Fees (Waived),
(Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor
and Fees Paid
Indirectly)(B)........... 0.59% 0.55% 0.57% 0.61% 0.61%
Ratio of Net Investment
Income to Average Net
Assets................... 2.12% 2.35% 1.91% 2.03% 1.88%
----------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
152
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Emerging Markets Core Equity Portfolio
--------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
------------------------------------------------------------------------------------------
Net Asset Value,
Beginning of Year....... $ 20.08 $ 20.09 $ 19.00 $ 18.73 $ 21.31
----------- ----------- ----------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)............ 0.39 0.42 0.39 0.41 0.43
Net Gains (Losses) on
Securities (Realized
and Unrealized)....... (3.29) (0.03) 1.07 0.23 (2.65)
----------- ----------- ----------- ---------- ----------
Total from Investment
Operations............ (2.90) 0.39 1.46 0.64 (2.22)
------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income... (0.37) (0.40) (0.37) (0.37) (0.36)
----------- ----------- ----------- ---------- ----------
Total Distributions..... (0.37) (0.40) (0.37) (0.37) (0.36)
------------------------------------------------------------------------------------------
Net Asset Value, End of
Year.................... $ 16.81 $ 20.08 $ 20.09 $ 19.00 $ 18.73
======================== =========== =========== =========== ========== ==========
Total Return............. (14.49)% 1.89% 7.75% 3.55% (10.59)%
------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)............. $14,856,878 $15,727,547 $13,020,962 $8,594,707 $5,367,473
Ratio of Expenses to
Average Net Assets...... 0.62% 0.61% 0.63% 0.68% 0.67%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor
and Fees Paid
Indirectly)............. 0.62% 0.61% 0.63% 0.68% 0.68%
Ratio of Net Investment
Income to Average Net
Assets.................. 2.06% 2.10% 1.97% 2.18% 2.04%
Portfolio Turnover Rate.. 5% 2% 1% 1% 1%
------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
153
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of eighty-one
operational portfolios, of which thirty-one (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 Core Equity Portfolio invests in three portfolios within the Fund.
Selectively Hedged Global Equity Portfolio invests in three portfolios within
the Fund.
Percentage
Ownership
Feeder Funds Master Funds at 10/31/15
------------ ------------ -----------
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 83%
Japanese Small Company Portfolio The Japanese Small Company Series 18%
Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 16%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2%
Continental Small Company Portfolio The Continental Small Company Series 8%
Emerging Markets Portfolio The Emerging Markets Series 98%
Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 99%
Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 99%
Fund of Funds
------------- -
International Small Company Portfolio The Continental Small Company Series 92%
The Japanese Small Company Series 82%
The United Kingdom Small Company Series 98%
The Asia Pacific Small Company Series 84%
The Canadian Small Company Series 97%
DFA Global Real Estate Securities Portfolio** DFA Real Estate Securities Portfolio 24%
DFA International Real Estate Securities 41%
Portfolio
World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund --*
DFA International Small Cap Value Portfolio --*
The DFA International Value Series 1%
World Core Equity Portfolio U.S. Core Equity 1 Portfolio 1%
International Core Equity Portfolio 1%
Emerging Markets Core Equity Portfolio --*
Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio 1%
International Core Equity Portfolio 1%
Emerging Markets Core Equity Portfolio --*
* Amounts designated as -- are less than 1%.
**DFA Global Real Estate Securities Portfolio invests in two Underlying Funds
as indicated and securities listed on the Summary Schedule of Investments.
154
Each feeder fund (collectively, "Feeder Funds") and fund of funds invests
primarily in a corresponding master fund(s) ("Master Fund") as indicated. The
DFA Global Real Estate Securities Portfolio may pursue its investment objective
by investing its assets in its Master Funds and/or directly in securities of
companies in the real estate industry. International Small Company Portfolio,
World ex U.S. Value Portfolio, World Core Equity Portfolio, and Selectively
Hedged Global Equity Portfolio also invest in short-term temporary cash
investments. In addition, DFA Global Real Estate Securities Portfolio, World ex
U.S. Targeted Value Portfolio and Selectively Hedged Global Equity Portfolio
engage in futures and forward currency contracts.
The financial statements of the Feeder Funds' Master Funds are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Feeder Funds.
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 Global Real Estate
Securities Portfolio, DFA International Small Cap Value Portfolio,
International Vector Equity Portfolio, World ex U.S. Targeted Value Portfolio,
World ex U.S. Core 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.
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 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
155
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, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) 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 shares of The DFA International Value Series and
DEM), World ex U.S. Targeted Value Portfolio (except shares of The Emerging
Markets Small Cap Series and DEM), World Core Equity Portfolio (except shares
of The Emerging Markets Series), 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, World ex U.S. Targeted Value Portfolio and World Core Equity
Portfolio's investments in Series of DFAITC or DEM reflect their proportionate
interest in the net assets of such corresponding Master Fund. These valuations
are classified as Level 1 in the hierarchy.
Transfers between investment levels may occur as the markets fluctuate
and/or the availability of data used in an investment's valuation changes. The
Portfolios recognize transfers between the levels as of the end of the period.
As of October 31, 2015, DFA International Real Estate Securities Portfolio had
significant transfers of securities with a total value of $38,474 (in
thousands) that transferred from Level 1 to Level 2 because 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.
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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 selecting a
different distribution date). As of October 31, 2015, 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
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attributable to a Portfolio are directly charged. Common expenses of the Fund
or Portfolios are allocated using methods approved by the Board, generally
based on average net assets.
Class R1 Shares, Class R2 Shares and Institutional Class Shares have equal
rights to assets and earnings of a Portfolio. Income, gains and losses, and
common expenses of a Portfolio are allocated to each class of shares based on
its relative net assets. Each class will bear its own class-specific expenses,
if any.
U.S. Large Cap Value Portfolio, International Small Company Portfolio,
Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United
Kingdom Small Company Portfolio, Continental Small Company Portfolio, Emerging
Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value
Portfolio and World ex U.S. Value Portfolio each recognize their pro-rata share
of net investment income and realized and unrealized gains/losses on a daily
basis from their respective Master 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. Prior to July 21, 2015, the Advisor received no
compensation for the investment advisory services it provided to the Feeder
Funds and the International Small Company Portfolio. On May 8, 2015 and
June 10, 2015 at a Special Joint Meeting of Shareholders, shareholders of the
Portfolios approved new investment management agreements, which became
effective July 21, 2015, that provide a uniform agreement that increases
transparency and better describes all of the services that the Advisor provides
to each Portfolio. For each non-Feeder Fund, the rate charged under the new
investment management agreement for investment management services is equal to
the rate charged under each non-Feeder Fund's previous investment advisory
agreement, investment management agreement or investment advisory and
administration agreements (i.e., with respect to the International Small
Company Portfolio), with the Advisor. For the Feeder Funds, the new investment
management agreement replaced each Feeder Fund's investment advisory agreement
(that provided for no investment advisory fee at the Feeder Fund level) and
administration agreement and charges a rate equal to the combination of the
rate charged under the Feeder Fund's previous administration agreement with the
Advisor and the rate of the advisory fee charged by the Advisor to the Master
Fund in which the Feeder Fund invests. In order to prevent a Feeder Fund from
being subject to a higher level of investment management fees, the Advisor will
permanently waive a Feeder Fund's investment management fee in the
circumstances described in the notes below.
For the year ended October 31, 2015, the Portfolios' investment advisory
services/management 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. 0.20%
U.S. Large Cap Equity Portfolio....... 0.15%
U.S. Targeted Value Portfolio......... 0.35%
U.S. Small Cap Value Portfolio........ 0.50%
U.S. Core Equity 1 Portfolio.......... 0.17%
U.S. Core Equity 2 Portfolio.......... 0.20%
158
U.S. Vector Equity Portfolio........................ 0.30%
U.S. Small Cap Portfolio............................ 0.35%
U.S. Micro Cap Portfolio............................ 0.50%
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*. 0.28%
DFA Global Real Estate Securities Portfolio*........ 0.22%
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%
World Core Equity Portfolio......................... 0.30%
Selectively Hedged Global Equity Portfolio.......... 0.30%
Emerging Markets Core Equity Portfolio.............. 0.55%
* The investment advisory services/management fees have been adjusted to
reflect the actual fee paid by the Portfolios for the year ended October 31,
2015. The investment advisory services fee payable by the DFA International
Real Estate Securities Portfolio was decreased from 0.35% to 0.25% effective
February 28, 2015. The investment advisory services fee payable by the DFA
Global Real Estate Securities Portfolio was decreased from 0.27% to 0.20%
effective February 28, 2015.
Prior to July 21, 2015, the Feeder Funds and International Small Company
Portfolio paid fees to the Advisor pursuant to an administration agreement for
administrative services, including supervision of services provided by others,
providing information to shareholders and the Board, and other administrative
services, that were accrued daily and paid monthly based on the following
effective annual rates of average daily net assets:
U.S. Large Cap Value Portfolio......... 0.15%
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 July 21, 2015, the Feeder Funds' and International Small Company
Portfolio's investment advisory services/management fees pursuant to the new
investment management agreements were accrued daily and paid monthly to the
Advisor based on the following effective annual rates of average daily net
assets:
U.S. Large Cap Value Portfolio......... 0.25%
International Small Company Portfolio.. 0.40%
Japanese Small Company Portfolio....... 0.50%
Asia Pacific Small Company Portfolio... 0.50%
United Kingdom Small Company Portfolio. 0.50%
Continental Small Company Portfolio.... 0.50%
Emerging Markets Portfolio............. 0.50%
Emerging Markets Small Cap Portfolio... 0.65%
Emerging Markets Value Portfolio....... 0.50%
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
159
Waiver Agreement for the non-Feeder Funds below, and a portion of the Fee
Waiver Agreement for certain Feeder Funds below, will remain in effect through
February 28, 2016, and may only be terminated by the Fund's Board of Directors
prior to that date. The Fee Waiver Agreement for such Portfolios shall continue
in effect from year to year thereafter unless terminated by the Fund or the
Advisor. The Fee Waiver Agreement with respect to the total management fees
paid by the Feeder Funds, as described in the notes below, will remain in
effect permanently, unless terminated by a Feeder Fund. For the year ended
October 31, 2015, the Portfolios had expense limits based on a percentage of
average net assets on an annualized basis, and the Advisor recovered previously
waived fees and/or expenses assumed as listed below (amounts in thousands).
Previously waived fees subject to future recovery by the Advisor are also
reflected below (amounts in thousands). The Fund, on behalf of the Portfolios,
is not obligated to reimburse the Advisor for fees previously waived or
expenses previously assumed by the Advisor more than 36 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% $49 $ 28
U.S. Large Cap Value Portfolio (2).............. 0.25% -- --
U.S. Targeted Value Portfolio (3)............... 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% 7 1,679
International Core Equity Portfolio (1)......... 0.49% -- --
International Small Company Portfolio (4)....... 0.45% -- --
Japanese Small Company Portfolio (5)............ 0.47% -- --
Asia Pacific Small Company Portfolio (5)........ 0.47% -- --
United Kingdom Small Company Portfolio (5)...... 0.47% 4 28
Continental Small Company Portfolio (5)......... 0.47% -- --
DFA International Real Estate Securities
Portfolio (6)................................. 0.29% -- --
DFA Global Real Estate Securities Portfolio (7). 0.24% 61 16,668
International Vector Equity Portfolio (1)....... 0.60% -- --
World ex U.S. Value Portfolio (8)............... 0.60% -- 720
World ex U.S. Targeted Value Portfolio (9)...... 0.80% -- 1,777
World ex U.S. Core Equity Portfolio (10)........ 0.47% 38 1,541
World Core Equity Portfolio (11)................ 0.35% 1 555
Selectively Hedged Global Equity Portfolio (12). 0.40% 77 1,102
Emerging Markets Portfolio (2).................. 0.50% -- --
Emerging Markets Small Cap Portfolio (2)........ 0.65% -- --
Emerging Markets Value Portfolio (2)............ 0.50% -- --
Emerging Markets Core Equity Portfolio (1)...... 0.85% -- --
Class R1 Shares
---------------
U.S. Targeted Value Portfolio (13).............. 0.62% -- --
Class R2 Shares
---------------
U.S. Targeted Value Portfolio (13).............. 0.77% -- --
Emerging Markets Value Portfolio (14)........... 0.96% -- --
(1) The Advisor has contractually agreed to waive all or a portion of its
management fee and assume each Portfolio's ordinary operating expenses
(excluding the expenses a Portfolio incurs indirectly through investment in
other investment companies) ("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
160
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 is within 36 months and will not cause the
Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation
Amount, as listed above.
(2) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of each Portfolio to
the extent necessary to limit the total management fees paid to the Advisor by
a Portfolio, including the proportionate share of the management fees a
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, to the rate listed above as a percentage of the average net assets of
a class of a Portfolio on an annualized basis
(3) 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) ("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 is within 36 months and will not cause the Portfolio's annualized
Portfolio Expenses for such class of shares to exceed the Expense Limitation
Amount, as listed above.
(4) Effective July 21, 2015, the Advisor has contractually agreed to waive
all or a portion of its management fee and to assume the other direct expenses
of a class of the Portfolio (excluding expenses incurred through its investment
in other investment companies) ("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 Expense Limitation
Amount for such class of shares of the Portfolio, the Advisor retains the right
to recover any fees previously waived and/or expenses previously assumed to the
extent that such recovery will not cause the annualized Portfolio Expenses for
such class of shares of the Portfolio to exceed the applicable Expense
Limitation Amount, as listed above. The Portfolio is not obligated to reimburse
the Advisor for fees previously waived or expenses previously assumed by the
Advisor more than 36 months before the date of such reimbursement. Prior to
July 21, 2015, the Advisor had contractually agreed to waive its administration
fee and to assume other Portfolio Expenses to the extent necessary to limit the
Portfolio Expenses of the Portfolio, on an annualized basis, to the expense
Limitation Amount listed above. At any time that the Portfolio Expenses of the
Portfolio were 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 is within 36 months and did not cause the annualized Portfolio
Expenses of the Portfolio to exceed the applicable Expense Limitation Amount
then in effect.
(5) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of each Portfolio to
the extent necessary to limit the total management fees paid to the Advisor by
each Portfolio, including the proportionate share of the management fees a
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, to 0.50% of the average net assets of a class of a Portfolio on an
annualized basis (the "Permanent Fee Waiver"). In addition to the Permanent Fee
Waiver, the Advisor has contractually agreed to further waive all or a portion
of its management fee and to assume the other direct expenses of a class of
each Portfolio (excluding expenses incurred through its investment in other
investment companies managed by the Advisor) ("Portfolio Expenses") to the
extent necessary to limit the Portfolio Expenses of each class of a Portfolio
to the rates listed above as a percentage of the average net assets of a class
of a Portfolio on an annualized basis (the "Expense Limitation Amount"). At any
time that the Portfolio Expenses of a class of a Portfolio are less than the
applicable Expense Limitation Amount for such class of shares of the Portfolio,
the Advisor retains the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery will not cause the
annualized Portfolio Expenses for such class of shares of the Portfolio to
exceed the applicable Expense Limitation Amount, as listed above. Except, a
Portfolio is not obligated to reimburse the Advisor for fees waived in
connection with the Permanent Fee Waiver. Also, a Portfolio is not obligated to
reimburse the Advisor for fees previously waived or expenses previously assumed
by the Advisor more than 36 months before the date of such reimbursement. Prior
to July 21, 2015, the Advisor had contractually
161
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 Expense Limitation Amount listed above. The Fee Waiver
Agreement did not include the indirect expenses each Portfolio bore as a
shareholder of its Master Fund. At any time that the direct expenses of a
Portfolio were less than the Expense Limitation Amount listed above, the
Advisor retained the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery was within 36
months and did not cause the Portfolio's direct expenses to exceed the Expense
Limitation Amount then in effect.
(6) Effective February 28, 2015, the Advisor has contractually agreed to
waive all or a portion of its management fee and to assume the Portfolio's
ordinary operating expenses (excluding the expenses the Portfolio incurs
indirectly through investment in other investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of the
Portfolio to the rate listed above as a percentage 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 listed above, the Advisor retains the right to recover any
fees previously waived and/or expenses previously assumed to the extent that
such recovery is within 36 months and will not cause the Portfolio's annualized
Portfolio Expenses to exceed the Expense Limitation Amount, as listed above.
Prior to February 28, 2015, the Advisor had contractually agreed to waive
all or a portion of its advisory fee and to assume the Portfolio Expenses of
the Portfolio to the extent necessary to limit the Portfolio Expenses to 0.65%
of the Portfolio's average net assets on an annualized basis.
(7) Effective February 28, 2015, the Advisor has contractually agreed to
waive all or a portion of its management fee and to assume the expenses 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)
("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses
of the Portfolio to the rate listed above as a percentage 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 listed above, the Advisor retains the right to recover any
fees previously waived and/or expenses previously assumed to the extent that
such recovery is within 36 months and will not cause the Portfolio's annualized
Portfolio Expenses to exceed the Expense Limitation Amount, as listed above.
From February 28, 2012 to February 27, 2015, the Advisor had contractually
agreed to waive all or a portion of its advisory fee and to assume the
Portfolio Expenses of the Portfolio to the extent necessary to limit the
Portfolio Expenses to 0.32% of the Portfolio's average net assets on an
annualized basis.
(8) The Advisor has contractually agreed to waive up to the full amount of
the Portfolio's management fee of 0.47% 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 also has agreed to waive all or a portion of the management fee
that remains payable by the Portfolio (i.e., the management fee remaining after
the proportionate share of the Master Funds' management 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) ("Portfolio Expenses") to 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 is within 36 months
and will not cause the Portfolio's annualized Portfolio Expenses to exceed the
Portfolio's 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 0.58% 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 ordinary operating expenses of a class of the Portfolio
(including expenses incurred through its investment in other investment
companies) ("Portfolio Expenses") to the extent necessary to limit the
Portfolio Expenses of a class of the Portfolio to the rate listed above
162
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 is within 36 months
and will not cause the annualized Portfolio Expenses for such class of shares
of the Portfolio to exceed the Expense Limitation Amount, as listed above.
(10) The Advisor has contractually agreed to waive all or a portion of its
management 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) ("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
is within 36 months and will not cause the annualized Portfolio Expenses for
such class of shares of the Portfolio to exceed the Expense Limitation Amount,
as listed above.
(11) Effective June 27, 2014, 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 (including the Portfolio's
proportionate share of any management fees that a Master Fund paid through its
investment in an affiliated cash management fund). In addition, under the Fee
Waiver Agreement, the Advisor has also agreed to 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) ("Portfolio Expenses") of a class of the Portfolio so
that such Portfolio Expenses do not exceed 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 shares of the Portfolio, the Advisor
retains the right to recover any fees previously waived and/or expenses
previously assumed to the extent that such recovery is within 36 months and
will not cause the annualized Portfolio Expenses for such class of shares of
the Portfolio to exceed the applicable Expense Limitation Amount.
Prior to June 27, 2014, the Advisor 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 (including the Portfolio's
proportionate share of any management fees that a Master Fund paid through its
investment in an affiliated cash management fund). In addition, under the Fee
Waiver Agreement, the Advisor also agreed 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) ("Portfolio Expenses") of such class of the Portfolio so that the
Portfolio Expenses did not exceed 0.40% of the average net assets of such class
of the Portfolio on an annualized basis.
(12) 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) ("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 is within 36 months and will not cause the annualized Portfolio
Expenses for such class of shares of the Portfolio to exceed the Expense
Limitation Amount, as listed above.
163
(13) 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)
("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 (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 is within 36 months and will not cause
the Portfolio's annualized Portfolio Expenses for such class of shares to
exceed the Expense Limitation Amount, as listed above.
(14) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Portfolio to
the extent necessary to limit the total management fees paid to the Advisor by
the Portfolio, including the proportionate share of the management fees the
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, to 0.50% of the average net assets of a class of the Portfolio on an
annualized basis (the "Permanent Fee Waiver"). In addition to the Permanent Fee
Waiver, the Advisor has contractually agreed to (including for the period prior
to July 21, 2015) assume the direct expenses of the Class R2 shares of the
Portfolio (excluding management fees and custodian 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 the average net assets of the Class R2 shares of the Portfolio
(the "Annualized Expense Ratio"). At any time that the annualized expenses of
the Class R2 shares of the Portfolio are less than the Annualized Expense Ratio
listed above, 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 does not cause the annualized expense ratio of the Class R2 shares of
the Portfolio to exceed the Annualized Expense Ratio, as listed above. Except,
the Portfolio is not obligated to reimburse the Advisor for fees waived in
connection with the Permanent Fee Waiver. Also, the Portfolio is not obligated
to reimburse the Advisor for fees previously waived or expenses previously
assumed by the Advisor more than 36 months before the date of such
reimbursement.
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.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. The impact of such credits is generally less than one
basis point of each Portfolio's net assets. During the year ended October 31,
2015, expenses reduced were as follows (amounts in thousands):
Fees Paid
Indirectly
----------
Enhanced U.S. Large Company Portfolio.............. $ 3
Large Cap International Portfolio.................. 10
International Core Equity Portfolio................ 72
DFA International Real Estate Securities Portfolio. 16
DFA International Small Cap Value Portfolio........ 32
International Vector Equity Portfolio.............. 8
World ex U.S. Value Portfolio...................... --
World ex U.S. Targeted Value Portfolio............. 2
World ex U.S. Core Equity Portfolio................ 11
Emerging Markets Core Equity Portfolio............. 94
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"))
164
receive no compensation from the Fund. For the year ended October 31, 2015, the
total related amounts paid by the Fund to the CCO were $275 (in thousands). The
total related amounts paid by each of the Portfolios are included in Other
Expenses on the Statement of Operations.
D. Deferred Compensation:
At October 31, 2015, 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.................... 2
U.S. Large Cap Value Portfolio..................... 330
U.S. Targeted Value Portfolio...................... 98
U.S. Small Cap Value Portfolio..................... 300
U.S. Core Equity 1 Portfolio....................... 153
U.S. Core Equity 2 Portfolio....................... 234
U.S. Vector Equity Portfolio....................... 71
U.S. Small Cap Portfolio........................... 164
U.S. Micro Cap Portfolio........................... 148
DFA Real Estate Securities Portfolio............... 121
Large Cap International Portfolio.................. 76
International Core Equity Portfolio................ 219
International Small Company Portfolio.............. 227
Japanese Small Company Portfolio................... 9
Asia Pacific Small Company Portfolio............... 7
United Kingdom Small Company Portfolio............. 1
Continental Small Company Portfolio................ 5
DFA International Real Estate Securities Portfolio. 46
DFA Global Real Estate Securities Portfolio........ 35
DFA International Small Cap Value Portfolio........ 333
International Vector Equity Portfolio.............. 19
World ex U.S. Value Portfolio...................... 1
World ex U.S. Targeted Value Portfolio............. 1
World ex U.S. Core Equity Portfolio................ 2
World Core Equity Portfolio........................ --
Selectively Hedged Global Equity Portfolio......... 1
Emerging Markets Portfolio......................... 102
Emerging Markets Small Cap Portfolio............... 80
Emerging Markets Value Portfolio................... 444
Emerging Markets Core Equity Portfolio............. 223
E. Purchases and Sales of Securities:
For the year ended October 31, 2015, 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. $398,312 $382,868 $ 66,293 $ 88,992
U.S. Large Cap Equity Portfolio....... -- -- 533,457 59,766
U.S. Targeted Value Portfolio......... -- -- 2,907,716 933,338
U.S. Small Cap Value Portfolio........ -- -- 2,865,506 1,961,319
U.S. Core Equity 1 Portfolio.......... -- -- 3,071,299 483,948
165
U.S. Government Other Investment
Securities Securities
--------------- ---------------------
Purchases Sales Purchases Sales
--------- ----- ---------- ----------
U.S. Core Equity 2 Portfolio....................... -- -- $3,291,603 $ 753,660
U.S. Vector Equity Portfolio....................... -- -- 661,294 368,476
U.S. Small Cap Portfolio........................... -- -- 2,694,919 1,099,360
U.S. Micro Cap Portfolio........................... -- -- 765,172 725,356
DFA Real Estate Securities Portfolio............... -- -- 624,614 285,608
Large Cap International Portfolio.................. -- -- 501,159 304,319
International Core Equity Portfolio................ -- -- 3,165,876 506,182
DFA International Real Estate Securities Portfolio. -- -- 648,879 63,653
DFA Global Real Estate Securities Portfolio........ -- -- 972,852 4,106
DFA International Small Cap Value Portfolio........ -- -- 3,357,177 2,230,599
International Vector Equity Portfolio.............. -- -- 480,413 123,391
World ex U.S. Targeted Value Portfolio............. -- -- 130,463 478
World ex U.S. Core Equity Portfolio................ -- -- 1,226,595 7,252
Emerging Markets Core Equity Portfolio............. -- -- 2,795,211 731,558
For the year ended October 31, 2015, 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 10/31/2014 10/31/2015 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- -------- -------- ----------------
DFA Real Estate Securities
Portfolio..................... $2,044,932 $1,574,619 $189,582 $657,800 $ 69,748 --
DFA International Real Estate
Securities Portfolio.......... 1,255,234 1,448,338 278,337 7,000 75,369 --
---------- ---------- -------- -------- -------- ------
Total........................... $3,300,166 $3,022,957 $467,918 $664,800 $145,117 --
========== ========== ======== ======== ======== ======
World ex U.S. Value Portfolio
------------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2014 10/31/2015 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- -------- -------- ----------------
DFA International Small Cap
Value Portfolio............... $ 9,588 $ 16,637 $ 8,964 $ 1,809 $ 205 $ 169
World ex U.S. Targeted Value Portfolio
------------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2014 10/31/2015 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- -------- -------- ----------------
DFA International Small Cap
Value Portfolio............... $ 93,592 -- $ 60,225 $149,563 $ 1,871 $1,797
International Vector Equity
Portfolio..................... 13,571 -- 9,476 21,182 435 135
---------- ---------- -------- -------- -------- ------
Total........................... $ 107,163 -- $ 69,701 $170,745 $ 2,306 $1,932
========== ========== ======== ======== ======== ======
World ex U.S. Core Equity Portfolio
------------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2014 10/31/2015 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- -------- -------- ----------------
International Core Equity
Portfolio..................... $ 312,519 -- $ 4,047 $313,486 $ 7 --
Emerging Markets Core Equity
Portfolio..................... 93,258 -- 44,501 133,044 596 --
---------- ---------- -------- -------- -------- ------
Total........................... $ 405,777 -- $ 48,548 $446,530 $ 603 --
========== ========== ======== ======== ======== ======
166
World Core Equity Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2014 10/31/2015 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------- -------- ----------------
U.S. Core Equity 1 Portfolio... $ 38,342 $105,442 $ 71,217 $ 4,192 $1,107 $171
International Core Equity
Portfolio.................... 29,208 76,621 54,462 4,963 1,422 --
Emerging Markets Core Equity
Portfolio.................... 8,097 20,320 16,277 1,159 308 --
-------- -------- -------- ------- ------ ----
Total.......................... $ 75,647 $202,383 $141,956 $10,314 $2,837 $171
======== ======== ======== ======= ====== ====
Selectively Hedged Global Equity Portfolio
-----------------------------------------------------------------
Balance at Balance at Dividend Distributions of
Affiliated Investment Companies 10/31/2014 10/31/2015 Purchases Sales Income Realized Gains
------------------------------- ---------- ---------- --------- ------- -------- ----------------
U.S. Core Equity 2 Portfolio... $ 64,220 $110,935 $ 48,134 $ 667 $1,350 $469
International Core Equity
Portfolio.................... 53,147 87,007 37,779 978 1,883 --
Emerging Markets Core Equity
Portfolio.................... 23,899 36,717 19,717 1,022 635 --
-------- -------- -------- ------- ------ ----
Total.......................... $141,266 $234,659 $105,630 $ 2,667 $3,868 $469
======== ======== ======== ======= ====== ====
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, 2015, 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,
distributions received from real estate investment trusts and distribution
redesignations, were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
Enhanced U.S. Large Company Portfolio. $ 1,416 $ (432) $ (984)
U.S. Large Cap Equity Portfolio....... 10,328 (304) (10,024)
U.S. Large Cap Value Portfolio........ 55,033 (17,499) (37,534)
U.S. Targeted Value Portfolio......... 21,409 (3,313) (18,096)
U.S. Small Cap Value Portfolio........ 48,875 (7,941) (40,934)
U.S. Core Equity 1 Portfolio.......... 61,142 (7,435) (53,707)
U.S. Core Equity 2 Portfolio.......... 19,179 (7,540) (11,639)
U.S. Vector Equity Portfolio.......... 9,735 (2,755) (6,980)
U.S. Small Cap Portfolio.............. 58,820 (5,332) (53,488)
U.S. Micro Cap Portfolio.............. 26,542 (1,631) (24,911)
DFA Real Estate Securities Portfolio.. 243,857 8,816 (252,673)
167
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
Large Cap International Portfolio.................. $ 32,450 $ (358) $ (32,092)
International Core Equity Portfolio................ 170,340 (10,135) (160,205)
International Small Company Portfolio.............. 162,737 (1,167) (161,570)
Japanese Small Company Portfolio................... 4,111 708 (4,819)
Asia Pacific Small Company Portfolio............... 4,515 171 (4,686)
United Kingdom Small Company Portfolio............. 979 53 (1,032)
Continental Small Company Portfolio................ 2,955 19 (2,974)
DFA International Real Estate Securities Portfolio. 4,578 (5,684) 1,106
DFA Global Real Estate Securities Portfolio........ 1,213 (1,213) --
DFA International Small Cap Value Portfolio........ 207,054 9,174 (216,228)
International Vector Equity Portfolio.............. 12,256 (1,917) (10,339)
World ex U.S. Value Portfolio...................... -- (27) 27
World ex U.S. Targeted Value Portfolio............. (1,873) (271) 2,145
World ex U.S. Core Equity Portfolio................ 479 (716) 237
World Core Equity Portfolio........................ -- -- --
Selectively Hedged Global Equity Portfolio......... 306 2,885 (3,191)
Emerging Markets Portfolio......................... 7,227 (9,135) 1,908
Emerging Markets Small Cap Portfolio............... 8,089 (2,961) (5,128)
Emerging Markets Value Portfolio................... 26,840 (24,245) (2,595)
Emerging Markets Core Equity Portfolio............. 53,522 (31,497) (22,025)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2014 and October 31, 2015 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
2014.................................. $ 903 -- $ 903
2015.................................. 11,391 $ 16,610 28,001
U.S. Large Cap Equity Portfolio
2014.................................. 3,209 -- 3,209
2015.................................. 8,398 266 8,664
U.S. Large Cap Value Portfolio
2014.................................. 230,364 -- 230,364
2015.................................. 302,945 86,223 389,168
U.S. Targeted Value Portfolio
2014.................................. 51,735 237,290 289,025
2015.................................. 85,573 237,911 323,484
U.S. Small Cap Value Portfolio
2014.................................. 66,463 443,795 510,258
2015.................................. 130,190 427,115 557,305
U.S. Core Equity 1 Portfolio
2014.................................. 135,714 34,892 170,606
2015.................................. 200,298 49,469 249,767
U.S. Core Equity 2 Portfolio
2014.................................. 170,204 98,745 268,949
2015.................................. 228,075 89,857 317,932
168
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
U.S. Vector Equity Portfolio
2014............................................... $ 39,201 $ 38,966 $ 78,167
2015............................................... 51,799 109,045 160,844
U.S. Small Cap Portfolio
2014............................................... 85,510 218,795 304,305
2015............................................... 105,110 268,312 373,422
U.S. Micro Cap Portfolio
2014............................................... 43,726 200,738 244,464
2015............................................... 39,933 278,651 318,584
DFA Real Estate Securities Portfolio
2014............................................... 156,934 -- 156,934
2015............................................... 220,092 -- 220,092
Large Cap International Portfolio
2014............................................... 98,177 -- 98,177
2015............................................... 85,101 -- 85,101
International Core Equity Portfolio
2014............................................... 320,068 -- 320,068
2015............................................... 367,607 -- 367,607
International Small Company Portfolio
2014............................................... 218,133 211,626 429,759
2015............................................... 235,604 250,320 485,924
Japanese Small Company Portfolio
2014............................................... 11,539 -- 11,539
2015............................................... 7,758 -- 7,758
Asia Pacific Small Company Portfolio
2014............................................... 12,860 -- 12,860
2015............................................... 16,487 -- 16,487
United Kingdom Small Company Portfolio
2014............................................... 919 406 1,325
2015............................................... 1,068 2,151 3,219
Continental Small Company Portfolio
2014............................................... 3,660 -- 3,660
2015............................................... 4,771 -- 4,771
DFA International Real Estate Securities Portfolio
2014............................................... 106,263 -- 106,263
2015............................................... 182,724 -- 182,724
DFA Global Real Estate Securities Portfolio
2014............................................... 72,036 -- 72,036
2015............................................... 124,281 -- 124,281
DFA International Small Cap Value Portfolio
2014............................................... 239,810 127,501 367,311
2015............................................... 224,376 207,080 431,456
International Vector Equity Portfolio
2014............................................... 31,913 7,322 39,235
2015............................................... 38,097 10,950 49,047
World ex U.S. Value Portfolio
2014............................................... 4,113 -- 4,113
2015............................................... 3,283 -- 3,283
169
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
World ex U.S. Targeted Value Portfolio
2014....................................... $ 2,537 $ 1,141 $ 3,678
2015....................................... 3,902 402 4,304
World ex U.S. Core Equity Portfolio
2014....................................... 6,163 -- 6,163
2015....................................... 15,824 -- 15,824
World Core Equity Portfolio
2014....................................... 358 14 372
2015....................................... 2,679 232 2,911
Selectively Hedged Global Equity Portfolio
2014....................................... 2,139 539 2,678
2015....................................... 4,968 1,915 6,883
Emerging Markets Portfolio
2014....................................... 78,253 20,987 99,240
2015....................................... 73,891 -- 73,891
Emerging Markets Small Cap Portfolio
2014....................................... 83,100 63,095 146,195
2015....................................... 102,968 88,636 191,604
Emerging Markets Value Portfolio
2014....................................... 418,693 264,053 682,746
2015....................................... 351,213 -- 351,213
Emerging Markets Core Equity Portfolio
2014....................................... 287,956 -- 287,956
2015....................................... 304,141 -- 304,141
At October 31, 2015, 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 Long-Term
Short-Term Capital
Capital Gains Gains Total
-------------- --------- -------
Enhanced U.S. Large Company Portfolio.............. $ 412 $ 1,004 $ 1,416
U.S. Large Cap Equity Portfolio.................... 304 -- 304
U.S. Large Cap Value Portfolio..................... 17,499 37,534 55,033
U.S. Targeted Value Portfolio...................... 4,987 16,422 21,409
U.S. Small Cap Value Portfolio..................... 7,990 28,335 36,325
U.S. Core Equity 1 Portfolio....................... 6,903 5,449 12,352
U.S. Core Equity 2 Portfolio....................... 8,413 10,793 19,206
U.S. Vector Equity Portfolio....................... 2,934 6,801 9,735
U.S. Small Cap Portfolio........................... 5,559 25,529 31,088
U.S. Micro Cap Portfolio........................... 1,827 11,982 13,809
DFA Real Estate Securities Portfolio............... -- -- --
International Core Equity Portfolio................ 8,245 -- 8,245
International Small Company Portfolio.............. 11,013 11,430 22,443
United Kingdom Small Company Portfolio............. 39 62 101
DFA International Real Estate Securities Portfolio. 440 -- 440
DFA Global Real Estate Securities Portfolio........ 1,213 -- 1,213
DFA International Small Cap Value Portfolio........ 12,637 9,492 22,129
170
Net Investment
Income and
Short-Term
Long-Term Capital
Capital Gains Gains Total
-------------- ------- -------
DFA International Real Estate Securities Portfolio. $ 440 -- $ 440
International Vector Equity Portfolio.............. 1,612 $ 255 1,867
World ex U.S. Targeted Value Portfolio............. 147 -- 147
World ex U.S. Core Equity Portfolio................ 479 -- 479
Selectively Hedged Global Equity Portfolio......... 278 28 306
Emerging Markets Portfolio......................... 7,227 -- 7,227
Emerging Markets Small Cap Portfolio............... 6,063 2,037 8,100
Emerging Markets Value Portfolio................... 26,840 -- 26,840
Emerging Markets Core Equity Portfolio............. 23,989 -- 23,989
At October 31, 2015, 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.............................. $ 3,584 $ 9,802 -- $ (111) $ 13,275
U.S. Large Cap Equity Portfolio.......... 1,343 -- $ (1,351) 31,070 31,062
U.S. Large Cap Value Portfolio........... 30,479 643,969 -- 4,499,039 5,173,487
U.S. Targeted Value Portfolio............ 18,067 286,524 -- 922,409 1,227,000
U.S. Small Cap Value Portfolio........... 26,815 487,346 -- 2,227,303 2,741,464
U.S. Core Equity 1 Portfolio............. 22,875 160,144 -- 3,275,015 3,458,034
U.S. Core Equity 2 Portfolio............. 25,668 296,053 -- 4,046,832 4,368,553
U.S. Vector Equity Portfolio............. 4,523 119,585 -- 931,331 1,055,439
U.S. Small Cap Portfolio................. 12,969 503,175 -- 2,057,529 2,573,673
U.S. Micro Cap Portfolio................. 6,379 267,817 -- 1,371,067 1,645,263
DFA Real Estate Securities Portfolio..... -- -- (19,021) 1,926,171 1,907,150
Large Cap International Portfolio........ 11,830 -- (268,884) 371,692 114,638
International Core Equity Portfolio...... 28,345 -- (296,651) 466,496 198,190
International Small Company
Portfolio.............................. 94,660 205,951 -- 665,626 966,237
Japanese Small Company Portfolio......... 6,330 -- (51,612) 29,782 (15,500)
Asia Pacific Small Company Portfolio..... 7,078 -- (33,794) (46,165) (72,881)
United Kingdom Small Company
Portfolio.............................. 441 1,632 -- 10,389 12,462
Continental Small Company Portfolio...... 446 -- (17,012) 31,682 15,116
DFA International Real Estate Securities
Portfolio.............................. 36,675 -- (215,456) (49,047) (227,828)
DFA Global Real Estate Securities
Portfolio.............................. 50,562 -- (1,213) 598,569 647,918
DFA International Small Cap Value
Portfolio.............................. 145,020 182,535 -- 1,198,732 1,526,287
International Vector Equity Portfolio.... 5,489 5,715 -- 74,001 85,205
World ex U.S. Value Portfolio............ 758 -- (345) (7,850) (7,437)
World ex U.S. Targeted Value
Portfolio.............................. 154 -- (12,694) 8,504 (4,036)
World ex U.S. Core Equity Portfolio...... 3,618 -- (9,432) (56,640) (62,454)
World Core Equity Portfolio.............. 122 132 -- (7,477) (7,223)
171
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)
-------------- ------------- ------------- -------------- -------------
Selectively Hedged Global Equity
Portfolio...................... $ 5,273 $ 620 -- $ 6,326 $ 12,219
Emerging Markets Portfolio....... 22,683 -- $(120,360) 455,503 357,826
Emerging Markets Small Cap
Portfolio...................... 49,581 36,695 -- (252,718) (166,442)
Emerging Markets Value Portfolio. 177,986 -- (948,015) (3,212,233) (3,982,262)
Emerging Markets Core Equity
Portfolio...................... 69,033 -- (489,868) (1,224,806) (1,645,641)
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, 2015, 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 2019 2020 Unlimited Total
------- -------- ------- ------- ---- --------- --------
Enhanced U.S. Large Company Portfolio.............. -- -- -- -- -- -- --
U.S. Large Cap Equity Portfolio.................... -- -- -- -- -- $ 1,351 $ 1,351
U.S. Large Cap Value Portfolio..................... -- -- -- -- -- -- --
U.S. Targeted Value Portfolio...................... -- -- -- -- -- -- --
U.S. Small Cap Value Portfolio..................... -- -- -- -- -- -- --
U.S. Core Equity 1 Portfolio....................... -- -- -- -- -- -- --
U.S. Core Equity 2 Portfolio....................... -- -- -- -- -- -- --
U.S. Vector Equity Portfolio....................... -- -- -- -- -- -- --
U.S. Small Cap Portfolio........................... -- -- -- -- -- -- --
U.S. Micro Cap Portfolio........................... -- -- -- -- -- -- --
DFA Real Estate Securities Portfolio............... -- -- -- $19,021 -- -- 19,021
Large Cap International Portfolio.................. $19,004 $135,393 $14,311 12,549 -- 87,627 268,884
International Core Equity Portfolio................ -- 53,176 -- -- -- 243,475 296,651
International Small Company Portfolio.............. -- -- -- -- -- -- --
Japanese Small Company Portfolio................... 19,909 13,952 12,208 5,543 -- -- 51,612
Asia Pacific Small Company Portfolio............... 16,317 8,261 -- -- -- 9,216 33,794
United Kingdom Small Company Portfolio............. -- -- -- -- -- -- --
Continental Small Company Portfolio................ 4,536 7,224 5,252 -- -- -- 17,012
DFA International Real Estate Securities Portfolio. 13,446 34,576 38,689 69,466 -- 59,280 215,457
DFA Global Real Estate Securities Portfolio........ -- -- 774 -- -- 439 1,213
DFA International Small Cap Value Portfolio........ -- -- -- -- -- -- --
International Vector Equity Portfolio.............. -- -- -- -- -- -- --
World ex U.S. Value Portfolio...................... -- -- -- 345 -- -- 345
World ex U.S. Targeted Value Portfolio............. -- -- -- -- -- 12,694 12,694
World ex U.S. Core Equity Portfolio................ -- -- -- -- -- 9,432 9,432
World Core Equity Portfolio........................ -- -- -- -- -- -- --
Selectively Hedged Global Equity Portfolio......... -- -- -- -- -- -- --
Emerging Markets Portfolio......................... -- -- -- -- -- 120,360 120,360
Emerging Markets Small Cap Portfolio............... -- -- -- -- -- -- --
Emerging Markets Value Portfolio................... -- -- -- -- -- 948,015 948,015
Emerging Markets Core Equity Portfolio............. 7,080 26,444 -- -- -- 456,344 489,868
172
During the year ended October 31, 2015, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
DFA Real Estate Securities Portfolio............... $119,162
Japanese Small Company Portfolio................... 7,558
Continental Small Company Portfolio................ 4,010
DFA International Real Estate Securities Portfolio. 46
World ex U.S. Value Portfolio...................... 1,284
At October 31, 2015, 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.............. $ 254,451 $ 99 $ (205) $ (106)
U.S. Large Cap Equity Portfolio.................... 702,331 62,658 (31,588) 31,070
U.S. Large Cap Value Portfolio..................... 11,374,302 4,499,044 -- 4,499,044
U.S. Targeted Value Portfolio...................... 7,515,260 1,615,681 (693,272) 922,409
U.S. Small Cap Value Portfolio..................... 11,049,862 3,443,849 (1,216,546) 2,227,303
U.S. Core Equity 1 Portfolio....................... 11,439,540 3,779,487 (504,472) 3,275,015
U.S. Core Equity 2 Portfolio....................... 12,873,905 4,739,713 (692,881) 4,046,832
U.S. Vector Equity Portfolio....................... 3,308,684 1,196,493 (265,162) 931,331
U.S. Small Cap Portfolio........................... 10,750,151 2,874,601 (817,072) 2,057,529
U.S. Micro Cap Portfolio........................... 4,503,908 1,849,153 (478,086) 1,371,067
DFA Real Estate Securities Portfolio............... 4,915,331 2,012,053 (124,820) 1,887,233
Large Cap International Portfolio.................. 2,943,799 681,190 (309,452) 371,738
International Core Equity Portfolio................ 14,878,358 2,409,610 (1,942,753) 466,857
International Small Company Portfolio.............. 8,517,618 665,871 -- 665,871
Japanese Small Company Portfolio................... 434,450 29,837 -- 29,837
Asia Pacific Small Company Portfolio............... 246,500 -- (46,161) (46,161)
United Kingdom Small Company Portfolio............. 25,260 10,385 -- 10,385
Continental Small Company Portfolio................ 246,497 31,566 -- 31,566
DFA International Real Estate Securities Portfolio. 3,705,640 124,793 (173,705) (48,912)
DFA Global Real Estate Securities Portfolio........ 3,816,334 615,309 (16,740) 598,569
DFA International Small Cap Value Portfolio........ 12,181,419 3,009,624 (1,811,126) 1,198,498
International Vector Equity Portfolio.............. 1,627,747 283,325 (209,304) 74,021
World ex U.S. Value Portfolio...................... 163,302 -- (7,838) (7,838)
World ex U.S. Targeted Value Portfolio............. 231,309 12,875 (4,369) 8,506
World ex U.S. Core Equity Portfolio................ 1,288,644 61,184 (117,810) (56,626)
World Core Equity Portfolio........................ 215,558 633 (8,110) (7,477)
Selectively Hedged Global Equity Portfolio......... 228,343 11,344 (5,028) 6,316
Emerging Markets Portfolio......................... 3,865,581 455,620 -- 455,620
Emerging Markets Small Cap Portfolio............... 5,106,524 -- (254,711) (254,711)
Emerging Markets Value Portfolio................... 18,177,759 -- (3,223,820) (3,223,820)
Emerging Markets Core Equity Portfolio............. 17,167,174 2,426,299 (3,650,692) (1,224,393)
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.
173
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Year Ended Year Ended
Oct. 31, 2015 Oct. 31,2014
--------------------- ---------------------
Amount Shares Amount Shares
----------- -------- ----------- --------
U.S. Targeted Value Portfolio
Class R1 Shares
Shares Issued........................................ $ 32,126 1,408 $ 9,171 406
Shares Issued in Lieu of Cash Distributions.......... 1,658 78 657 30
Shares Redeemed...................................... (7,954) (357) (2,817) (123)
----------- -------- ----------- --------
Net Increase (Decrease) -- Class R1 Shares............ $ 25,830 1,129 $ 7,011 313
=========== ======== =========== ========
Class R2 Shares
Shares Issued........................................ $ 91,125 4,038 $ 77,620 3,429
Shares Issued in Lieu of Cash Distributions.......... 4,855 231 1,832 84
Shares Redeemed...................................... (35,030) (1,563) (21,767) (957)
----------- -------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ 60,950 2,706 $ 57,685 2,556
=========== ======== =========== ========
Institutional Class Shares
Shares Issued........................................ $ 2,738,417 122,334 $ 1,806,386 79,191
Shares Issued in Lieu of Cash Distributions.......... 299,961 14,250 268,683 12,353
Shares Redeemed...................................... (1,098,528) (49,444) (897,338) (39,462)
----------- -------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares. $ 1,939,850 87,140 $ 1,177,731 52,082
=========== ======== =========== ========
Emerging Markets Value Portfolio
Class R2 Shares
Shares Issued........................................ $ 30,224 1,180 $ 38,565 1,378
Shares Issued in Lieu of Cash Distributions.......... 1,822 79 3,524 126
Shares Redeemed...................................... (36,071) (1,484) (43,702) (1,563)
----------- -------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares............ $ (4,025) (225) $ (1,613) (59)
=========== ======== =========== ========
Institutional Class Shares
Shares Issued........................................ $ 3,605,561 146,249 $ 3,218,550 115,620
Shares Issued in Lieu of Cash Distributions.......... 330,322 14,260 643,949 22,910
Shares Redeemed...................................... (4,083,777) (163,185) (3,445,026) (122,635)
----------- -------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares. $ (147,894) (2,676) $ 417,473 15,895
=========== ======== =========== ========
The Board of Directors of the Fund authorized the conversion of the Class R2
Shares of Emerging Markets Value Portfolio to the Class R2A Shares. The Class
R2 Shares of Emerging Markets Value Portfolio ceased to be offered and
available for purchase upon the close of business on December 3, 2010.
Following the conversion, shareholders and investors purchased and redeemed
Class R2A Shares of the Portfolio. The value of a shareholder's investment in
the Portfolio was not impacted by the conversion, however, a shareholder
received fewer Class R2A Shares than the number of Class R2 Shares held at the
time of the conversion because the Class R2A Shares had a higher net asset
value per share. Effective February 28, 2011, Class R2A Shares were renamed to
Class R2 Shares.
The per share data in the financial highlights prior to the year ended
October 31, 2011 have been retroactively restated to reflect the conversion.
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
174
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,
International Equity Portfolios 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 Enhanced U.S. Large Company Portfolio may also enter into
forward currency contracts to transfer balances from one currency to another
currency. The Selectively Hedged Global Equity Portfolio may hedge some or all
of the currency exposure of its foreign securities by entering into forward
currency contracts. The decision to hedge a Portfolio's currency exposure with
respect to a foreign market will be based primarily on the Portfolio's existing
exposure to a given foreign currency. Each contract is valued daily and the
change in value is recorded by the Portfolio as an unrealized gain or loss,
which is presented in the Statements of Operations as the change in unrealized
appreciation or depreciation from translation of foreign currency denominated
amounts. When the contract is closed or offset with the same counterparty, the
Portfolio records a realized gain or loss equal to the change in the value of
the contract when it was opened and the value at the time it was closed or
offset. This is presented in the Statements of Operations as a net realized
gain or loss on foreign currency transactions. At October 31, 2015, 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):
Selectively Hedged Global Equity Portfolio*
Unrealized
Foreign
Settlement Currency Contract Value at Exchange
Date Amount** Currency Counterparty Amount October 31, 2015 Gain (Loss)
---------- ---------- ------------- --------------------------- -------- ---------------- -----------
11/27/15 (9,018) Denmark Krone JP Morgan $ (1,341) $ (1,331) $ 10
12/02/15 (19,485) Euro State Street Bank and Trust (21,479) (21,435) 44
12/02/15 (2,186,275) Japanese Yen State Street Bank and Trust (18,084) (18,122) (38)
11/23/15 (19,022) Swedish Krona Citibank, N.A. (2,294) (2,227) 67
11/25/15 (5,386) Swiss Franc JP Morgan (5,477) (5,452) 25
-------- -------- ----
$(48,675) $(48,567) $108
======== ======== ====
* During the year ended October 31, 2015, Selectively Hedged Global Equity
Portfolio's average contract amount of forward currency contracts was $47,372
(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. Futures Contracts: Certain Portfolios may enter into futures contracts
and options on futures contracts to adjust market exposure based on actual or
expected cash inflows to or outflows from the Portfolios. Additionally,
Enhanced U.S. Large Company Portfolio may also use stock index futures to hedge
against changes in equity securities' prices and to gain exposure to the S&P
500 Index(R) in the normal course of pursuing its investment objective. The
Selectively Hedged Global Equity Portfolio may also use futures contracts to
hedge some or all of the currency exposure of its foreign securities. Upon
entering into a futures contract, the Portfolios deposit cash or
175
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 October 31, 2015, the following Portfolios had outstanding futures
contracts (dollar amounts in thousands):
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
------------------- ---------- ---------- -------- ----------- ----------
Enhanced U.S. Large
Company Portfolio....... S&P 500 Index(R) 12/17/15 392 $203,223 $ 795 --
Selectively Hedged Global
Equity Portfolio........ S&P 500 Emini Index(R) 12/18/15 94 9,746 752 $432
-------- ------ ----
$212,969 $1,547 $432
======== ====== ====
Securities have been segregated as collateral for open futures contracts.
* During the year ended October 31, 2015, Enhanced U.S. Large Company
Portfolio's and Selectively Hedged Global Equity Portfolio's average notional
contract amount of outstanding futures contracts were $206,190 and $7,322 (in
thousands), respectively.
The following is a summary of the location of derivatives on the Portfolios'
Statements of Assets and Liabilities as of October 31, 2015:
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 October 31, 2015 (amounts in
thousands):
Asset Derivatives Value
-----------------------------------
Total Value Foreign
at Exchange Equity
October 31, 2015 Contracts Contracts
- ---------------- --------- ---------
Enhanced U.S. Large Company Portfolio...... $795 -- $795*
Selectively Hedged Global Equity Portfolio. 898 $146 752*
Liability Derivatives Value
-----------------------------------
Total Value Foreign
at Exchange Equity
October 31, 2015 Contracts Contracts
- ---------------- --------- ---------
Selectively Hedged Global Equity Portfolio. $(38) $(38) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
176
The following is a summary of the location on the Portfolios' Statements of
Operations of realized and change in unrealized gains and losses from the
Portfolios' derivative instrument holdings through the year ended October 31,
2015 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income
--------------- -----------------------------------------------------------
Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions
Change in Unrealized Appreciation (Depreciation) of:
Translation of Foreign Currency Denominated Amounts
Equity contracts Net Realized Gain (Loss) on: Futures
Change in Unrealized Appreciation (Depreciation) of:
Futures
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2015 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives Recognized in Income
-------------------------------
Foreign
Exchange Equity
Total Contracts Contracts
------- --------- ---------
Enhanced U.S. Large Company Portfolio........ $15,988 $ 616 $15,372
U.S. Large Cap Equity Portfolio*............. (12) -- (12)
U.S. Targeted Value Portfolio*............... (296) -- (296)
U.S. Small Cap Value Portfolio*.............. (2,510) -- (2,510)
U.S. Core Equity 2 Portfolio*................ 1,793 -- 1,793
U.S. Vector Equity Portfolio*................ (811) -- (811)
U.S. Micro Cap Portfolio**................... (2,258) -- (2,258)
Large Cap International Portfolio*........... 769 -- 769
DFA International Small Cap Value Portfolio*. (5,555) -- (5,555)
World ex U.S. Targeted Value Portfolio*...... (347) -- (347)
World ex U.S. Core Equity Portfolio*......... 172 1 171
Selectively Hedged Global Equity Portfolio... 2,757 3,159 (402)
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
-------------------------------
Foreign
Exchange Equity
Total Contracts Contracts
------- --------- ---------
Enhanced U.S. Large Company Portfolio........ $(6,472) $ (205) $(6,267)
Selectively Hedged Global Equity Portfolio... 171 (530) 701
* As of October 31, 2015, there were no futures contracts outstanding. During
the year ended October 31, 2015, the Portfolios had limited activity in
futures contracts.
**During the year ended October 31, 2015, U.S. Micro Cap Portfolio's average
notional contract amount of outstanding futures contracts was $6,352 (in
thousands).
177
Offsetting of Derivative Assets and Derivative Liabilities
The following tables present the Portfolios' 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 Portfolios as of October 31, 2015
(Amounts in thousands):
Gross Amounts Not Gross Amounts Not
Offset in the Statements Offset in the Statements
of Assets and Liabilities of Assets and Liabilities
-------------------------- --------------------------
Gross Amounts Cash Gross Amounts Cash
of Recognized Financial Collateral Net of Recognized Financial Collateral Net
Description Assets (a) Instruments (b) Received Amount (c) Liabilities (a) Instruments (d) Pledged Amount (e)
----------- ------------- --------------- ---------- ---------- --------------- --------------- ---------- ----------
Assets Liabilities
--------------------------------------------------- -----------------------------------------------------
Selectively Hedged Global Equity Portfolio
Forward Currency
Contracts....... $146 $(38) -- $108 $38 $(38) -- --
(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.
NoteJ contains information regarding securities lending amounts that are
subject to netting arrangements.
I. Line of Credit and Interfund Lending Program:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective April 1, 2015 with its domestic custodian bank. A line of credit with
similar terms was in effect through March 31, 2015. 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
expires on March 30, 2016.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit with its
international custodian bank effective January 9, 2015. A line of credit with
similar terms was in effect through January 8, 2015. 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 8, 2016.
For the year ended October 31, 2015, 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. 0.87% $ 1,775 25 $ 1 $11,995
U.S. Targeted Value Portfolio... 0.88% 6,572 6 1 9,772
U.S. Small Cap Value Portfolio.. 0.84% 16,106 4 1 19,998
U.S. Core Equity 1 Portfolio.... 0.88% 54,145 5 7 85,542
U.S. Core Equity 2 Portfolio.... 0.88% 474 1 -- 474
U.S. Vector Equity Portfolio.... 0.88% 4,276 32 3 9,743
178
Weighted Weighted Number of Interest Maximum Amount
Average Average Loan Days Expense Borrowed During
Interest Rate Balance Outstanding* Incurred The Period
------------- ------------ ------------ -------- ---------------
U.S. Small Cap Portfolio................. 0.87% $11,063 7 $ 2 $ 29,254
U.S. Micro Cap Portfolio................. 0.88% 3,340 27 2 16,624
DFA Real Estate Securities Portfolio..... 0.88% 21,674 50 27 126,767
Large Cap International Portfolio........ 0.88% 8,544 13 3 30,988
International Small Company Portfolio.... 0.88% 7,600 14 3 23,012
DFA International Real Estate Securities
Portfolio.............................. 0.87% 9,037 7 2 37,185
DFA Global Real Estate Securities
Portfolio.............................. 0.87% 6,020 1 -- 6,020
DFA International Small Cap Value
Portfolio.............................. 0.88% 5,943 14 2 29,110
International Vector Equity Portfolio.... 0.88% 9,096 26 6 33,723
World ex U.S. Value Portfolio............ 0.87% 137 55 -- 575
World ex U.S. Targeted Value Portfolio... 0.88% 1,328 47 2 8,741
World ex U.S. Core Equity Portfolio...... 0.87% 1,527 3 -- 1,614
World Core Equity Portfolio.............. 0.88% 158 22 -- 883
Selectively Hedged Global Equity
Portfolio.............................. 0.89% 2,230 4 -- 3,193
Emerging Markets Core Equity Portfolio... 0.76% 38,623 27 26 231,513
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2015, that each Portfolio's available line
of credit was utilized.
At October 31, 2015, World ex U.S. Value Portfolio had loans outstanding in
the amount of $12 (in thousands).
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolios may participate in an interfund lending program among certain
portfolios managed by the Advisor (portfolios that operate as feeder funds do
not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
For the year ended October 31, 2015, activity by the Portfolios under the
interfund lending program was as follows (amounts in thousands, except
percentages and days):
Weighted Weighted Number of Interest Maximum Amount
Borrower or Average Average Loan Days Expense/ Borrowed/Loaned
Lender Interest Rate Balance Outstanding* Income During The Period
----------- ------------- ------------ ------------ -------- -----------------
Emerging Markets Core Equity
Portfolio.................. Borrower 0.49% $304,214 4 $17 $311,958
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2015, that the Portfolio utilized an
interfund loan.
The Portfolios had no outstanding interfund loans as of October 31, 2015.
J. Affiliated Trades:
Cross trades for the year ended October 31, 2015, if any, were executed by
the Portfolios pursuant to procedures adopted by the Board of Directors of the
Fund to ensure compliance with Rule 17a-7 under the Investment Company Act of
1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common directors/trustees and/or common officers. At its
regularly scheduled meetings, the Board reviews such transactions for
compliance with the requirements and restrictions set forth by Rule 17a-7 under
the 1940 Act.
179
For the year ended October 31, 2015, cross trades by the Portfolios under
Rule 17a-7 were as follows (amounts in thousands):
Portfolio Purchases Sales
--------- --------- --------
DFA Real Estate Securities Portfolio........ $ 766 $ 93,185
International Core Equity Portfolio......... 104,379 12
Emerging Markets Core Equity Portfolio...... 2,044 213
DFA Global Real Estate Securities Portfolio. 95,016 --
World ex U.S. Targeted Value Portfolio...... 4,220 --
U.S. Core Equity 1 Portfolio................ 173,893 50,678
U.S. Core Equity 2 Portfolio................ 149,485 37,250
International Vector Equity Portfolio....... 9,300 11,532
Large Cap International Portfolio........... 11,026 13,287
DFA International Small Cap Value Portfolio. 69,151 169,181
U.S. Targeted Value Portfolio............... 125,939 134,815
U.S. Vector Equity Portfolio................ 37,056 43,979
U.S. Small Cap Portfolio.................... 102,692 60,286
U.S. Small Cap Value Portfolio.............. 31,225 290,146
U.S. Micro Cap Portfolio.................... 30,321 72,112
World ex U.S. Core Equity Portfolio......... 11,256 44
U.S. Large Cap Equity Portfolio............. 16,226 10,925
K. Securities Lending:
As of October 31, 2015, 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. government securities (amounts in thousands):
Market
Value
--------
U.S. Large Cap Equity Portfolio.................... $ 4,556
U.S. Targeted Value Portfolio...................... 263,396
U.S. Small Cap Value Portfolio..................... 315,108
U.S. Core Equity 1 Portfolio....................... 368,724
U.S. Core Equity 2 Portfolio....................... 531,265
U.S. Vector Equity Portfolio....................... 117,461
U.S. Small Cap Portfolio........................... 156,455
U.S. Micro Cap Portfolio........................... 64,402
DFA Real Estate Securities Portfolio............... 99,650
Large Cap International Portfolio.................. 8,107
International Core Equity Portfolio................ 21,777
DFA International Real Estate Securities Portfolio. 2,384
DFA International Small Cap Value Portfolio........ 8,028
International Vector Equity Portfolio.............. 3,036
World ex U.S. Targeted Value Portfolio............. 868
World ex U.S. Core Equity Portfolio................ 6,157
Emerging Markets Core Equity Portfolio............. 708,338
Each Portfolio invests the cash collateral, as described below, and records
a liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral equal to at least (i) 100% of the current market value of the loaned
securities with respect to securities of the U.S. government or its agencies,
(ii) 102% of the current market value of the loaned securities with respect to
U.S. securities, and (iii) 105% of the current market value of the loaned
securities with respect to foreign securities. However, daily market
fluctuations could cause the Portfolio's collateral to be lower or higher than
the expected thresholds. If this were to occur, the collateral would be
adjusted the next business day to ensure adequate
180
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. In the event of the bankruptcy of the borrower, a
Portfolio could experience delay in recovering the loaned securities or only
recover cash or a security of equivalent value.
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.
L. Shareholder Servicing Fees:
The Class R1 Shares pay a shareholder servicing fee in an amount up to 0.10%
and Class R2 Shares pay a shareholder servicing fee in an amount up to 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.
M. 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.
N. In-Kind Redemptions:
In accordance with guidelines described in the Portfolios' prospectus, the
Portfolios may distribute portfolio securities rather than cash as payment for
a redemption of fund shares (in-kind redemption). For financial reporting
purposes, a Portfolio recognizes a gain on in-kind redemptions to the extent
the value of the distributed securities on the date of redemption exceed the
cost of those securities and a loss on in-kind redemptions to the extent the
cost of the distributed securities on the date of redemption exceeds the value
of those securities. Gains and losses realized on in-kind redemptions generally
are not recognized for tax purposes and are reclassified from undistributed
realized gain (loss) to paid-in capital.
During the year ended October 31, 2015, the Portfolios' realized net gains
on in-kind redemptions as follows:
U.S. Large Cap Equity Portfolio...... $ 10,024
U.S. Small Cap Value Portfolio....... 12,630
U.S. Core Equity 1 Portfolio......... 48,790
U.S. Small Cap Portfolio............. 28,254
U.S. Micro Cap Portfolio............. 12,861
DFA Real Estate Securities Portfolio. 258,319
Large Cap International Portfolio.... 33,199
181
International Core Equity Portfolio......... $163,544
DFA International Small Cap Value Portfolio. 193,547
International Vector Equity Portfolio....... 10,623
Emerging Markets Core Equity Portfolio...... 29,647
O. Other:
At October 31, 2015, 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
------------ --------------
Enhanced U.S. Large Company Portfolio -- Institutional Class
Shares............................................................ 4 75%
U.S. Large Cap Equity Portfolio -- Institutional Class Shares....... 3 95%
U.S. Large Cap Value Portfolio -- Institutional Class Shares........ 3 72%
U.S. Targeted Value Portfolio -- Class R1 Shares.................... 4 85%
U.S. Targeted Value Portfolio -- Class R2 Shares.................... 6 81%
U.S. Targeted Value Portfolio -- Institutional Class Shares......... 3 59%
U.S. Small Cap Value Portfolio -- Institutional Class Shares........ 3 58%
U.S. Core Equity 1 Portfolio -- Institutional Class Shares.......... 5 77%
U.S. Core Equity 2 Portfolio -- Institutional Class Shares.......... 6 84%
U.S. Vector Equity Portfolio -- Institutional Class Shares.......... 5 93%
U.S. Small Cap Portfolio -- Institutional Class Shares.............. 3 50%
U.S. Micro Cap Portfolio -- Institutional Class Shares.............. 5 77%
DFA Real Estate Securities Portfolio -- Institutional Class Shares.. 4 82%
Large Cap International Portfolio -- Institutional Class Shares..... 3 67%
International Core Equity Portfolio................................. 4 72%
Japanese Small Company Portfolio -- Institutional Class Shares...... 4 86%
Asia Pacific Small Company Portfolio -- Institutional Class
Shares............................................................ 3 86%
United Kingdom Small Company Portfolio -- Institutional Class
Shares............................................................ 4 91%
Continental Small Company Portfolio -- Institutional Class
Shares............................................................ 5 96%
DFA International Real Estate Securities Portfolio -- Institutional
Class Shares...................................................... 4 92%
DFA Global Real Estate Securities Portfolio -- Institutional Class
Shares............................................................ 3 77%
DFA International Small Cap Value Portfolio -- Institutional Class
Shares............................................................ 3 61%
International Vector Equity Portfolio -- Institutional Class
Shares............................................................ 4 91%
World ex U.S. Value Portfolio -- Institutional Class Shares......... 7 93%
World ex U.S. Targeted Value Portfolio -- Institutional Class
Shares............................................................ 3 98%
World ex U.S. Core Equity Portfolio -- Institutional Class Shares... 4 86%
Selectively Hedged Global Equity Portfolio -- Institutional Class
Shares............................................................ 3 88%
Emerging Markets Portfolio -- Institutional Class Shares............ 4 69%
182
Approximate
Percentage
Number of of Outstanding
Shareholders Shares
------------ --------------
Emerging Markets Small Cap Portfolio -- Institutional Class
Shares....................................................... 4 56%
Emerging Markets Value Portfolio -- Class R2 Shares............ 2 82%
Emerging Markets Value Portfolio -- Institutional Class Shares. 2 32%
Emerging Markets Core Equity Portfolio -- Institutional Class
Shares....................................................... 3 61%
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, described below, 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. Oral argument on the appeal was held on
November 5, 2014, and the parties await the Second Circuit's ruling. 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. The
motion to dismiss is fully-briefed, and the parties await the scheduling of
oral argument on the motion. 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 has
advised management that it 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 quantify the cost of the
Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The U.S.
Large Cap Value Series will pay or receive, as the case may be, a price based
on the net asset value of The U.S. Large Cap Value Series, with no adjustment
relating to the Lawsuits. The attorneys' fees and costs relating to the
Lawsuits will be taken as expenses by The U.S. Large Cap Value Series as
incurred and in a manner similar to any other expense incurred by The U.S.
Large Cap Value Series.
P. Subsequent Event Evaluations:
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.
183
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments/summary schedules of portfolio holdings,
and the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of Enhanced U.S. Large Company Portfolio, U.S. Large Cap Equity
Portfolio, U.S. Large Cap Value Portfolio, U.S. Targeted Value Portfolio, U.S.
Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2
Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro
Cap Portfolio, DFA Real Estate Securities Portfolio, Large Cap International
Portfolio, International Core Equity Portfolio, International Small Company
Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company
Portfolio, United Kingdom Small Company Portfolio, Continental Small Company
Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real
Estate Securities Portfolio, DFA International Small Cap Value Portfolio,
International Vector Equity Portfolio, World ex U.S. Value Portfolio, World ex
U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, World Core
Equity Portfolio, Selectively Hedged Global Equity Portfolio, Emerging Markets
Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value
Portfolio and Emerging Markets Core Equity Portfolio (constituting portfolios
within DFA Investment Dimensions Group Inc., hereafter referred to as the
"Portfolios") at October 31, 2015, the results of each of their operations for
the year then ended, the changes in each of their net assets for each of the
two years in the period then ended and the financial highlights for each of the
periods indicated, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolios' management. Our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 2015 by correspondence with the
custodians, brokers and the transfer agents of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
184
RESULTS OF THE SHAREHOLDER MEETING
(Unaudited)
On May 8, 2015 and June 10, 2015, DFA Investment Dimensions Group Inc.
("DFAIDG") held a Special Joint Meeting of Shareholders for the purpose of
voting on several proposals affecting DFAIDG and the Portfolios, including,
among other items, the election of Directors, the approval of an updated
investment management agreement, and the amendment of certain fundamental
investment limitations. The shareholders of the Portfolios approved each of the
applicable proposals for DFAIDG and the Portfolios presented at the Meeting.
Listed below are the voting results from the Meeting. Please note that not all
Proposals presented at the Meeting were voted on by each Portfolio.
Additionally, the Proposal numbers reflected below correlate to the Proposal
numbers presented for vote at the Meeting.
DFAIDG
Proposal 1: Election of Directors/Trustees*
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
------------- ------- ------ ----------- -------- ----------
(a) David G. Booth........... 9,813,303,615 98.22% 63.03% 178,323,699 1.78% 1.15%
(b) George M. Constantinides. 9,825,715,266 98.34% 63.11% 165,912,043 1.66% 1.07%
(c) John P. Gould............ 9,821,346,669 98.30% 63.09% 170,280,645 1.70% 1.09%
(d) Roger G. Ibbotson........ 9,825,084,982 98.33% 63.11% 166,542,033 1.67% 1.07%
(e) Edward P. Lazear......... 9,824,635,836 98.33% 63.11% 166,991,519 1.67% 1.07%
(f) Eduardo A. Repetto....... 9,836,468,256 98.45% 63.18% 155,159,090 1.55% 1.00%
(g) Myron S. Scholes......... 9,816,729,833 98.25% 63.06% 174,897,480 1.75% 1.12%
(h) Abbie J. Smith........... 9,806,645,531 98.15% 62.99% 184,978,779 1.85% 1.19%
* Results are for all Portfolios within DFAIDG
Asia Pacific Small Company Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 11,639,893 99.82% 92.04% 21,538 0.18% 0.17%
(b) George M. Constantinides. 11,644,232 99.85% 92.08% 17,198 0.15% 0.14%
(c) John P. Gould............ 11,641,603 99.83% 92.06% 19,828 0.17% 0.16%
(d) Roger G. Ibbotson........ 11,640,265 99.82% 92.05% 21,166 0.18% 0.17%
(e) Edward P. Lazear......... 11,634,513 99.77% 92.00% 26,917 0.23% 0.21%
(f) Eduardo A. Repetto....... 11,629,958 99.73% 91.96% 31,471 0.27% 0.25%
(g) Myron S. Scholes......... 11,644,232 99.85% 92.08% 17,198 0.15% 0.14%
(h) Abbie J. Smith........... 11,619,829 99.64% 91.88% 41,601 0.36% 0.33%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
10,344,349 88.71% 81.80% 18,073 0.15% 0.14% 28,024 0.24% 0.22% 1,270,985 10.90%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
10,358,228 88.82% 81.91% 3,954 0.03% 0.03% 28,264 0.24% 0.22% 1,270,984 10.90%
185
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
10,344,214 88.70% 81.80% 10,804 0.09% 0.09% 35,427 0.30% 0.28% 1,270,985 10.90%
Proposal 7: Election of Trustees of Master Fund
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 11,605,130 99.52% 91.77% 56,301 0.48% 0.45%
(b) George M. Constantinides. 11,609,469 99.55% 91.80% 51,961 0.45% 0.41%
(c) John P. Gould............ 11,609,469 99.55% 91.80% 51,961 0.45% 0.41%
(d) Roger G. Ibbotson........ 11,609,469 99.55% 91.80% 51,961 0.45% 0.41%
(e) Edward P. Lazear......... 11,575,016 99.26% 91.53% 86,414 0.74% 0.68%
(f) Eduardo A. Repetto....... 11,575,016 99.26% 91.53% 86,414 0.74% 0.68%
(g) Myron S. Scholes......... 11,580,590 99.31% 91.57% 80,839 0.69% 0.64%
(h) Abbie J. Smith........... 11,581,929 99.32% 91.58% 79,501 0.68% 0.63%
Proposal 8: Approval of a "Manager of Managers" Structure for Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
10,338,848 88.66% 81.75% 23,574 0.20% 0.19% 28,024 0.24% 0.22% 1,270,984 10.90%
Proposal 9: Approval of an Updated Investment Management Agreement Between
Dimensional Fund Advisors LP and Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
10,346,245 88.72% 81.81% 15,759 0.14% 0.12% 28,441 0.24% 0.22% 1,270,985 10.90%
Proposal 10: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities of Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
10,336,271 88.64% 81.73% 18,747 0.16% 0.15% 35,427 0.30% 0.28% 1,270,985 10.90%
Continental Small Company Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
--------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 8,441,688 99.64% 78.17% 30,293 0.36% 0.28%
(b) George M. Constantinides. 8,422,910 99.42% 78.00% 49,071 0.58% 0.45%
(c) John P. Gould............ 8,437,206 99.59% 78.13% 34,775 0.41% 0.32%
(d) Roger G. Ibbotson........ 8,437,206 99.59% 78.13% 34,775 0.41% 0.32%
(e) Edward P. Lazear......... 8,429,351 99.50% 78.06% 42,630 0.50% 0.39%
(f) Eduardo A. Repetto....... 8,413,116 99.31% 77.91% 58,865 0.69% 0.55%
(g) Myron S. Scholes......... 8,437,206 99.59% 78.13% 34,775 0.41% 0.32%
(h) Abbie J. Smith........... 8,444,227 99.67% 78.20% 27,754 0.33% 0.26%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
6,371,613 75.21% 59.00% 20,656 0.24% 0.19% 16,634 0.20% 0.15% 2,063,078 24.35%
186
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
6,387,842 75.40% 59.15% 4,425 0.05% 0.04% 16,634 0.20% 0.15% 2,063,080 24.35%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
6,366,860 75.15% 58.96% 11,307 0.13% 0.10% 30,732 0.36% 0.28% 2,063,082 24.35%
Proposal 7: Election of Trustees of Master Fund
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
--------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 8,437,994 99.60% 78.14% 33,987 0.40% 0.31%
(b) George M. Constantinides. 8,419,216 99.38% 77.96% 52,765 0.62% 0.49%
(c) John P. Gould............ 8,437,994 99.60% 78.14% 33,987 0.40% 0.31%
(d) Roger G. Ibbotson........ 8,437,994 99.60% 78.14% 33,987 0.40% 0.31%
(e) Edward P. Lazear......... 8,425,658 99.45% 78.02% 46,323 0.55% 0.43%
(f) Eduardo A. Repetto....... 8,409,422 99.26% 77.87% 62,559 0.74% 0.58%
(g) Myron S. Scholes......... 8,437,994 99.60% 78.14% 33,987 0.40% 0.31%
(h) Abbie J. Smith........... 8,440,533 99.63% 78.16% 31,449 0.37% 0.29%
Proposal 8: Approval of a "Manager of Managers" Structure for Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
6,369,238 75.18% 58.98% 22,696 0.27% 0.21% 16,970 0.20% 0.16% 2,063,077 24.35%
Proposal 9: Approval of an Updated Investment Management Agreement Between
Dimensional Fund Advisors LP and Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
6,382,228 75.33% 59.10% 9,706 0.11% 0.09% 16,970 0.20% 0.16% 2,063,078 24.35%
Proposal 10: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities of Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
6,365,260 75.13% 58.94% 12,794 0.15% 0.12% 30,846 0.36% 0.29% 2,063,081 24.35%
DFA Global Real Estate Securities Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 196,334,605 98.51% 56.80% 2,972,544 1.49% 0.86%
(b) George M. Constantinides. 196,344,233 98.51% 56.81% 2,962,916 1.49% 0.86%
(c) John P. Gould............ 196,145,844 98.41% 56.75% 3,161,305 1.59% 0.91%
(d) Roger G. Ibbotson........ 196,217,006 98.45% 56.77% 3,089,843 1.55% 0.89%
(e) Edward P. Lazear......... 196,317,237 98.50% 56.80% 2,989,922 1.50% 0.87%
(f) Eduardo A. Repetto....... 196,341,045 98.51% 56.80% 2,966,104 1.49% 0.86%
(g) Myron S. Scholes......... 196,199,379 98.44% 56.76% 3,107,770 1.56% 0.90%
(h) Abbie J. Smith........... 196,341,527 98.51% 56.81% 2,962,622 1.49% 0.86%
187
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
157,279,926 78.91% 45.50% 1,641,318 0.82% 0.47% 2,488,787 1.25% 0.72% 37,897,118 19.01%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
157,824,666 79.19% 45.66% 1,109,781 0.56% 0.32% 2,475,590 1.24% 0.72% 37,897,118 19.01%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
157,349,082 78.95% 45.52% 1,514,657 0.76% 0.44% 2,546,296 1.28% 0.74% 37,897,118 19.01%
DFA International Real Estate Securities Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ ---------- -------- ----------
(a) David G. Booth........... 561,678,588 95.77% 93.60% 24,793,023 4.23% 4.13%
(b) George M. Constantinides. 561,981,532 95.82% 93.65% 24,490,079 4.18% 4.08%
(c) John P. Gould............ 560,888,867 95.64% 93.47% 25,582,744 4.36% 4.26%
(d) Roger G. Ibbotson........ 561,794,150 95.79% 93.62% 24,677,461 4.21% 4.11%
(e) Edward P. Lazear......... 561,973,443 95.82% 93.65% 24,498,168 4.18% 4.08%
(f) Eduardo A. Repetto....... 561,922,004 95.81% 93.64% 24,549,607 4.19% 4.09%
(g) Myron S. Scholes......... 560,031,549 95.49% 93.33% 26,440,062 4.51% 4.41%
(h) Abbie J. Smith........... 560,547,754 95.58% 93.41% 25,923,857 4.42% 4.32%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ---------- ------- --------- --------- ------- --------- ----------- --------
395,312,237 67.41% 65.88% 13,375,891 2.28% 2.23% 1,329,601 0.23% 0.22% 176,453,881 30.09%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- ------- ------- --------- ----------- --------
407,779,823 69.53% 67.96% 1,958,803 0.33% 0.33% 916,453 0.16% 0.15% 176,453,881 30.09%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ----------- --------
401,838,344 68.52% 66.97% 7,626,240 1.30% 1.27% 1,024,231 0.17% 0.17% 176,453,881 30.09%
188
DFA International Small Cap Value Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ ---------- -------- ----------
(a) David G. Booth........... 427,156,861 98.85% 67.25% 4,980,197 1.15% 0.78%
(b) George M. Constantinides. 422,926,419 97.87% 66.58% 9,210,639 2.13% 1.45%
(c) John P. Gould............ 422,857,346 97.85% 66.57% 9,279,712 2.15% 1.46%
(d) Roger G. Ibbotson........ 422,925,804 97.87% 66.58% 9,211,254 2.13% 1.45%
(e) Edward P. Lazear......... 426,983,290 98.81% 67.22% 5,153,768 1.19% 0.81%
(f) Eduardo A. Repetto....... 427,862,025 99.01% 67.36% 4,275,032 0.99% 0.67%
(g) Myron S. Scholes......... 422,222,885 97.71% 66.47% 9,914,173 2.29% 1.56%
(h) Abbie J. Smith........... 422,043,801 97.66% 66.44% 10,093,257 2.34% 1.59%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
356,776,802 82.56% 56.17% 1,961,095 0.45% 0.31% 2,775,227 0.64% 0.44% 70,623,934 16.34%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
351,259,092 81.28% 55.30% 7,515,999 1.74% 1.18% 2,738,029 0.63% 0.43% 70,623,934 16.34%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- ---------- ------- --------- ---------- --------
341,377,618 79.00% 53.74% 7,915,885 1.83% 1.25% 12,219,623 2.83% 1.92% 70,623,934 16.34%
DFA Real Estate Securities Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 191,920,682 98.83% 91.83% 2,264,670 1.17% 1.08%
(b) George M. Constantinides. 191,902,366 98.82% 91.83% 2,282,986 1.18% 1.09%
(c) John P. Gould............ 191,763,038 98.75% 91.76% 2,422,314 1.25% 1.16%
(d) Roger G. Ibbotson........ 191,825,358 98.78% 91.79% 2,359,995 1.22% 1.13%
(e) Edward P. Lazear......... 191,902,512 98.82% 91.83% 2,282,840 1.18% 1.09%
(f) Eduardo A. Repetto....... 191,928,738 98.84% 91.84% 2,256,615 1.16% 1.08%
(g) Myron S. Scholes......... 191,780,253 98.76% 91.77% 2,405,100 1.24% 1.15%
(h) Abbie J. Smith........... 191,898,940 98.82% 91.82% 2,286,412 1.18% 1.09%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
119,145,720 61.36% 57.01% 630,060 0.32% 0.30% 1,088,788 0.56% 0.52% 73,320,785 37.76%
189
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
118,519,077 61.03% 56.71% 1,149,844 0.59% 0.55% 1,195,649 0.62% 0.57% 73,320,785 37.76%
Emerging Markets Core Equity Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 512,759,977 98.37% 62.55% 8,516,861 1.63% 1.04%
(b) George M. Constantinides. 515,089,575 98.81% 62.83% 6,187,264 1.19% 0.75%
(c) John P. Gould............ 514,911,112 98.78% 62.81% 6,365,726 1.22% 0.78%
(d) Roger G. Ibbotson........ 515,017,546 98.80% 62.82% 6,259,293 1.20% 0.76%
(e) Edward P. Lazear......... 513,759,991 98.56% 62.67% 7,516,848 1.44% 0.92%
(f) Eduardo A. Repetto....... 517,616,872 99.30% 63.14% 3,659,966 0.70% 0.45%
(g) Myron S. Scholes......... 514,411,933 98.68% 62.75% 6,864,906 1.32% 0.84%
(h) Abbie J. Smith........... 513,816,585 98.57% 62.67% 7,460,253 1.43% 0.91%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ----------- --------
404,285,402 77.56% 49.31% 1,302,733 0.25% 0.16% 2,940,754 0.56% 0.36% 112,747,949 21.63%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ----------- --------
405,404,387 77.77% 49.45% 994,390 0.19% 0.12% 2,130,114 0.41% 0.26% 112,747,949 21.63%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ---------- ------- --------- --------- ------- --------- ----------- --------
393,922,183 75.57% 48.05% 12,329,911 2.37% 1.50% 2,276,799 0.44% 0.28% 112,747,949 21.63%
Emerging Markets Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 88,388,981 98.90% 54.16% 983,573 1.10% 0.60%
(b) George M. Constantinides. 88,435,609 98.95% 54.19% 936,946 1.05% 0.57%
(c) John P. Gould............ 88,423,087 98.94% 54.18% 949,468 1.06% 0.58%
(d) Roger G. Ibbotson........ 88,436,075 98.95% 54.19% 936,481 1.05% 0.57%
(e) Edward P. Lazear......... 88,449,188 98.97% 54.20% 923,366 1.03% 0.57%
(f) Eduardo A. Repetto....... 88,432,309 98.95% 54.19% 940,246 1.05% 0.58%
(g) Myron S. Scholes......... 88,352,635 98.86% 54.14% 1,019,918 1.14% 0.62%
(h) Abbie J. Smith........... 85,852,822 96.06% 52.61% 3,519,734 3.94% 2.16%
190
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
72,549,600 81.18% 44.46% 405,536 0.45% 0.25% 1,437,349 1.61% 0.88% 14,980,069 16.76%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
72,674,175 81.32% 44.53% 315,478 0.35% 0.19% 1,402,835 1.57% 0.86% 14,980,069 16.76%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
72,427,115 81.04% 44.38% 534,224 0.60% 0.33% 1,431,148 1.60% 0.88% 14,980,069 16.76%
Proposal 7: Election of Trustees of Master Fund
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 88,238,439 98.73% 54.07% 1,134,113 1.27% 0.69%
(b) George M. Constantinides. 88,284,738 98.78% 54.10% 1,087,815 1.22% 0.67%
(c) John P. Gould............ 88,270,500 98.77% 54.09% 1,102,055 1.23% 0.68%
(d) Roger G. Ibbotson........ 88,293,265 98.79% 54.10% 1,079,289 1.21% 0.66%
(e) Edward P. Lazear......... 88,291,531 98.79% 54.10% 1,081,023 1.21% 0.66%
(f) Eduardo A. Repetto....... 88,298,866 98.80% 54.11% 1,073,687 1.20% 0.66%
(g) Myron S. Scholes......... 88,202,636 98.69% 54.05% 1,169,918 1.31% 0.72%
(h) Abbie J. Smith........... 85,692,772 95.88% 52.51% 3,679,783 4.12% 2.25%
Proposal 8: Approval of a "Manager of Managers" Structure for Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
72,564,182 81.19% 44.47% 373,437 0.42% 0.23% 1,454,869 1.63% 0.89% 14,980,069 16.76%
Proposal 9: Approval of an Updated Investment Management Agreement Between
Dimensional Fund Advisors LP and Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
72,628,505 81.26% 44.50% 318,602 0.36% 0.20% 1,445,382 1.62% 0.89% 14,980,069 16.76%
Proposal 10: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities of Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
72,419,117 81.03% 44.38% 519,772 0.58% 0.32% 1,453,597 1.63% 0.89% 14,980,069 16.76%
191
Emerging Markets Small Cap Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 185,147,712 99.40% 74.17% 1,118,464 0.60% 0.45%
(b) George M. Constantinides. 185,307,384 99.49% 74.23% 958,793 0.51% 0.38%
(c) John P. Gould............ 185,288,443 99.48% 74.22% 977,732 0.52% 0.39%
(d) Roger G. Ibbotson........ 185,326,659 99.50% 74.24% 939,515 0.50% 0.38%
(e) Edward P. Lazear......... 185,323,042 99.49% 74.24% 943,134 0.51% 0.38%
(f) Eduardo A. Repetto....... 185,279,382 99.47% 74.22% 986,795 0.53% 0.40%
(g) Myron S. Scholes......... 184,885,129 99.26% 74.06% 1,381,046 0.74% 0.55%
(h) Abbie J. Smith........... 185,053,038 99.35% 74.13% 1,213,137 0.65% 0.49%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ---------- ------- --------- ------- ------- --------- ---------- --------
153,980,346 82.67% 61.68% 10,395,426 5.58% 4.16% 574,863 0.31% 0.23% 21,315,541 11.44%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ---------- ------- --------- ------- ------- --------- ---------- --------
154,314,155 82.85% 61.82% 10,093,030 5.42% 4.04% 543,451 0.29% 0.22% 21,315,541 11.44%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ---------- ------- --------- ------- ------- --------- ---------- --------
150,442,770 80.77% 60.26% 13,919,093 7.47% 5.58% 588,769 0.32% 0.24% 21,315,541 11.44%
Proposal 7: Election of Trustees of Master Fund
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 185,009,624 99.33% 74.11% 1,256,550 0.67% 0.50%
(b) George M. Constantinides. 185,207,198 99.43% 74.19% 1,058,976 0.57% 0.42%
(c) John P. Gould............ 185,200,140 99.43% 74.19% 1,066,035 0.57% 0.43%
(d) Roger G. Ibbotson........ 185,214,554 99.44% 74.19% 1,051,620 0.56% 0.42%
(e) Edward P. Lazear......... 185,223,508 99.44% 74.20% 1,042,666 0.56% 0.42%
(f) Eduardo A. Repetto....... 185,206,809 99.43% 74.19% 1,059,366 0.57% 0.42%
(g) Myron S. Scholes......... 184,799,998 99.21% 74.03% 1,466,174 0.79% 0.59%
(h) Abbie J. Smith........... 184,974,100 99.31% 74.10% 1,292,075 0.69% 0.52%
Proposal 8: Approval of a "Manager of Managers" Structure for Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ---------- ------- --------- ------- ------- --------- ---------- --------
153,968,431 82.66% 61.68% 10,349,752 5.56% 4.15% 632,449 0.34% 0.25% 21,315,541 11.44%
Proposal 9: Approval of an Updated Investment Management Agreement Between
Dimensional Fund Advisors LP and Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ---------- ------- --------- ------- ------- --------- ---------- --------
154,225,646 82.80% 61.78% 10,094,160 5.42% 4.04% 630,831 0.34% 0.25% 21,315,541 11.44%
192
Proposal 10: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities of Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ---------- ------- --------- ------- ------- --------- ---------- --------
151,263,245 81.21% 60.59% 13,043,292 7.00% 5.22% 644,095 0.35% 0.26% 21,315,541 11.44%
Emerging Markets Value Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 357,516,538 99.11% 52.58% 3,211,557 0.89% 0.47%
(b) George M. Constantinides. 357,795,563 99.19% 52.62% 2,932,528 0.81% 0.43%
(c) John P. Gould............ 358,234,609 99.31% 52.69% 2,493,486 0.69% 0.37%
(d) Roger G. Ibbotson........ 358,786,097 99.46% 52.77% 1,941,997 0.54% 0.29%
(e) Edward P. Lazear......... 358,269,076 99.32% 52.69% 2,459,017 0.68% 0.36%
(f) Eduardo A. Repetto....... 358,852,650 99.48% 52.78% 1,875,441 0.52% 0.28%
(g) Myron S. Scholes......... 358,316,099 99.33% 52.70% 2,411,996 0.67% 0.35%
(h) Abbie J. Smith........... 356,199,378 98.74% 52.39% 4,528,715 1.26% 0.67%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
276,840,818 76.75% 40.72% 757,656 0.21% 0.11% 2,870,762 0.80% 0.42% 80,258,859 22.25%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
268,755,985 74.50% 39.53% 9,796,983 2.72% 1.44% 1,916,267 0.53% 0.28% 80,258,859 22.25%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ---------- ------- --------- --------- ------- --------- ---------- --------
252,757,486 70.07% 37.17% 25,473,479 7.06% 3.75% 2,238,267 0.62% 0.33% 80,258,859 22.25%
Proposal 7: Election of Trustees of Master Fund
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ ---------- -------- ----------
(a) David G. Booth........... 347,379,757 96.30% 51.09% 13,348,337 3.70% 1.96%
(b) George M. Constantinides. 347,650,162 96.37% 51.13% 13,077,932 3.63% 1.92%
(c) John P. Gould............ 348,112,510 96.50% 51.20% 12,615,585 3.50% 1.86%
(d) Roger G. Ibbotson........ 348,642,595 96.65% 51.28% 12,085,500 3.35% 1.78%
(e) Edward P. Lazear......... 348,120,240 96.50% 51.20% 12,607,855 3.50% 1.85%
(f) Eduardo A. Repetto....... 348,652,651 96.65% 51.28% 12,075,444 3.35% 1.78%
(g) Myron S. Scholes......... 348,193,112 96.53% 51.21% 12,534,980 3.47% 1.84%
(h) Abbie J. Smith........... 346,479,809 96.05% 50.96% 14,248,284 3.95% 2.10%
Proposal 8: Approval of a "Manager of Managers" Structure for Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ---------- ------- --------- ---------- --------
267,220,253 74.08% 39.30% 534,811 0.15% 0.08% 12,714,171 3.52% 1.87% 80,258,859 22.25%
193
Proposal 9: Approval of an Updated Investment Management Agreement Between
Dimensional Fund Advisors LP and Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- ---------- ------- --------- ---------- --------
259,098,849 71.83% 38.11% 9,809,935 2.72% 1.44% 11,560,452 3.20% 1.70% 80,258,859 22.25%
Proposal 10: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities of Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ---------- ------- --------- ---------- ------- --------- ---------- --------
243,144,637 67.40% 35.76% 25,471,297 7.06% 3.75% 11,853,301 3.29% 1.74% 80,258,859 22.25%
Enhanced U.S. Large Company Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 11,180,581 99.03% 62.45% 109,506 0.97% 0.61%
(b) George M. Constantinides. 11,176,901 99.00% 62.42% 113,186 1.00% 0.63%
(c) John P. Gould............ 11,162,115 98.87% 62.34% 127,972 1.13% 0.71%
(d) Roger G. Ibbotson........ 11,180,581 99.03% 62.45% 109,506 0.97% 0.61%
(e) Edward P. Lazear......... 11,180,581 99.03% 62.45% 109,506 0.97% 0.61%
(f) Eduardo A. Repetto....... 11,181,193 99.04% 62.45% 108,894 0.96% 0.61%
(g) Myron S. Scholes......... 11,176,901 99.00% 62.42% 113,186 1.00% 0.63%
(h) Abbie J. Smith........... 11,169,715 98.93% 62.38% 120,372 1.07% 0.67%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
9,623,226 85.24% 53.75% 33,611 0.30% 0.19% 86,371 0.77% 0.48% 1,546,879 13.70%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
9,585,717 84.90% 53.54% 52,238 0.46% 0.29% 105,254 0.93% 0.59% 1,546,879 13.70%
International Core Equity Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ ---------- -------- ----------
(a) David G. Booth........... 672,856,326 98.09% 62.06% 13,123,890 1.91% 1.21%
(b) George M. Constantinides. 675,768,218 98.51% 62.33% 10,211,998 1.49% 0.94%
(c) John P. Gould............ 675,497,502 98.47% 62.30% 10,482,714 1.53% 0.97%
(d) Roger G. Ibbotson........ 675,527,701 98.48% 62.30% 10,452,515 1.52% 0.96%
(e) Edward P. Lazear......... 675,789,759 98.51% 62.33% 10,190,457 1.49% 0.94%
(f) Eduardo A. Repetto....... 675,843,876 98.52% 62.33% 10,136,340 1.48% 0.93%
(g) Myron S. Scholes......... 675,515,698 98.47% 62.30% 10,464,518 1.53% 0.97%
(h) Abbie J. Smith........... 675,648,212 98.49% 62.31% 10,332,004 1.51% 0.95%
194
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ----------- --------
544,698,329 79.40% 50.24% 5,115,788 0.75% 0.47% 8,657,170 1.26% 0.80% 127,508,929 18.59%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ----------- --------
546,088,004 79.61% 50.37% 3,747,948 0.55% 0.35% 8,635,335 1.26% 0.80% 127,508,929 18.59%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ----------- --------
542,811,703 79.13% 50.06% 6,562,991 0.96% 0.61% 9,096,594 1.33% 0.84% 127,508,929 18.59%
International Small Company Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 304,745,989 99.09% 61.29% 2,783,648 0.91% 0.56%
(b) George M. Constantinides. 305,217,121 99.25% 61.39% 2,312,515 0.75% 0.47%
(c) John P. Gould............ 305,033,768 99.19% 61.35% 2,495,868 0.81% 0.50%
(d) Roger G. Ibbotson........ 305,219,666 99.25% 61.39% 2,309,970 0.75% 0.46%
(e) Edward P. Lazear......... 304,381,872 98.98% 61.22% 3,147,765 1.02% 0.63%
(f) Eduardo A. Repetto....... 305,225,040 99.25% 61.39% 2,304,596 0.75% 0.46%
(g) Myron S. Scholes......... 305,045,984 99.19% 61.35% 2,483,652 0.81% 0.50%
(h) Abbie J. Smith........... 304,176,100 98.91% 61.18% 3,353,536 1.09% 0.67%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
264,084,888 85.87% 53.12% 1,214,060 0.39% 0.24% 2,018,223 0.66% 0.41% 40,212,465 13.08%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
264,517,293 86.01% 53.20% 855,488 0.28% 0.17% 1,944,388 0.63% 0.39% 40,212,465 13.08%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- ---------- ------- --------- ---------- --------
252,039,805 81.96% 50.69% 2,199,911 0.72% 0.44% 13,077,456 4.25% 2.63% 40,212,465 13.08%
195
International Vector Equity Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 76,129,403 97.27% 59.52% 2,136,729 2.73% 1.67%
(b) George M. Constantinides. 77,246,959 98.70% 60.39% 1,019,172 1.30% 0.80%
(c) John P. Gould............ 77,230,969 98.68% 60.38% 1,035,163 1.32% 0.81%
(d) Roger G. Ibbotson........ 77,258,097 98.71% 60.40% 1,008,035 1.29% 0.79%
(e) Edward P. Lazear......... 77,242,828 98.69% 60.39% 1,023,304 1.31% 0.80%
(f) Eduardo A. Repetto....... 77,251,917 98.70% 60.39% 1,014,215 1.30% 0.79%
(g) Myron S. Scholes......... 77,241,592 98.69% 60.39% 1,024,540 1.31% 0.80%
(h) Abbie J. Smith........... 77,241,431 98.69% 60.39% 1,024,700 1.31% 0.80%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
60,942,721 77.87% 47.64% 497,071 0.64% 0.39% 1,058,692 1.35% 0.83% 15,767,648 20.15%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
61,199,712 78.19% 47.84% 292,739 0.37% 0.23% 1,006,027 1.29% 0.79% 15,767,648 20.15%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
60,533,080 77.34% 47.32% 399,172 0.51% 0.31% 1,566,230 2.00% 1.22% 15,767,648 20.15%
Japanese Small Company Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 17,118,176 97.35% 69.73% 465,304 2.65% 1.90%
(b) George M. Constantinides. 17,578,048 99.97% 71.61% 5,433 0.03% 0.02%
(c) John P. Gould............ 17,578,048 99.97% 71.61% 5,433 0.03% 0.02%
(d) Roger G. Ibbotson........ 17,578,048 99.97% 71.61% 5,433 0.03% 0.02%
(e) Edward P. Lazear......... 17,569,097 99.92% 71.57% 14,381 0.08% 0.06%
(f) Eduardo A. Repetto....... 17,569,097 99.92% 71.57% 14,381 0.08% 0.06%
(g) Myron S. Scholes......... 17,578,048 99.97% 71.61% 5,433 0.03% 0.02%
(h) Abbie J. Smith........... 17,578,048 99.97% 71.61% 5,433 0.03% 0.02%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
16,950,745 96.40% 69.05% 13,789 0.08% 0.06% 4,488 0.03% 0.02% 614,458 3.49%
196
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
16,961,266 96.46% 69.09% 4,026 0.02% 0.02% 3,733 0.02% 0.02% 614,458 3.49%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
16,950,676 96.40% 69.05% 7,307 0.04% 0.03% 11,037 0.06% 0.04% 614,458 3.49%
Proposal 7: Election of Trustees of Master Fund
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 17,118,176 97.35% 69.73% 465,304 2.65% 1.90%
(b) George M. Constantinides. 17,578,048 99.97% 71.61% 5,433 0.03% 0.02%
(c) John P. Gould............ 17,578,048 99.97% 71.61% 5,433 0.03% 0.02%
(d) Roger G. Ibbotson........ 17,578,048 99.97% 71.61% 5,433 0.03% 0.02%
(e) Edward P. Lazear......... 17,569,097 99.92% 71.57% 14,381 0.08% 0.06%
(f) Eduardo A. Repetto....... 17,569,097 99.92% 71.57% 14,381 0.08% 0.06%
(g) Myron S. Scholes......... 17,578,048 99.97% 71.61% 5,433 0.03% 0.02%
(h) Abbie J. Smith........... 17,578,048 99.97% 71.61% 5,433 0.03% 0.02%
Proposal 8: Approval of a "Manager of Managers" Structure for Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
16,950,745 96.40% 69.05% 13,789 0.08% 0.06% 4,488 0.03% 0.02% 614,458 3.49%
Proposal 9: Approval of an Updated Investment Management Agreement Between
Dimensional Fund Advisors LP and Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
16,961,266 96.46% 69.09% 4,026 0.02% 0.02% 3,733 0.02% 0.02% 614,458 3.49%
Proposal 10: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities of Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
16,950,676 96.40% 69.05% 7,307 0.04% 0.03% 11,037 0.06% 0.04% 614,458 3.49%
Large Cap International Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
- ---------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 80,552,555 99.02% 52.96% 795,293 0.98% 0.52%
(b) George M. Constantinides. 80,544,448 99.01% 52.96% 803,400 0.99% 0.53%
(c) John P. Gould............ 80,530,857 99.00% 52.95% 816,990 1.00% 0.54%
(d) Roger G. Ibbotson........ 80,567,292 99.04% 52.97% 780,555 0.96% 0.51%
(e) Edward P. Lazear......... 80,559,995 99.03% 52.97% 787,852 0.97% 0.52%
(f) Eduardo A. Repetto....... 80,573,093 99.05% 52.98% 774,754 0.95% 0.51%
(g) Myron S. Scholes......... 80,508,645 98.97% 52.93% 839,202 1.03% 0.55%
(h) Abbie J. Smith........... 80,018,260 98.37% 52.61% 1,329,587 1.63% 0.87%
197
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ---------- ------- --------- --------- --------
65,339,524 80.32% 42.96% 699,791 0.86% 0.46% 11,158,077 13.72% 7.34% 4,150,456 5.10%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
76,004,612 93.43% 49.97% 450,751 0.55% 0.30% 742,028 0.91% 0.49% 4,150,456 5.10%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
75,546,871 92.87% 49.67% 833,703 1.02% 0.55% 816,816 1.00% 0.54% 4,150,456 5.10%
Selectively Hedged Global Equity Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
- ---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 12,529,536 99.46% 98.62% 67,965 0.54% 0.53%
(b) George M. Constantinides. 12,518,883 99.38% 98.54% 78,618 0.62% 0.62%
(c) John P. Gould............ 12,477,966 99.05% 98.21% 119,535 0.95% 0.94%
(d) Roger G. Ibbotson........ 12,502,373 99.24% 98.41% 95,128 0.76% 0.75%
(e) Edward P. Lazear......... 12,508,227 99.29% 98.45% 89,274 0.71% 0.70%
(f) Eduardo A. Repetto....... 12,534,885 99.50% 98.66% 62,616 0.50% 0.49%
(g) Myron S. Scholes......... 12,534,214 99.50% 98.66% 63,287 0.50% 0.50%
(h) Abbie J. Smith........... 12,534,885 99.50% 98.66% 62,616 0.50% 0.49%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
7,148,402 56.74% 56.27% 77,840 0.62% 0.61% 6,087 0.05% 0.05% 5,365,172 42.59%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
7,161,329 56.85% 56.37% 64,492 0.51% 0.51% 6,507 0.05% 0.05% 5,365,172 42.59%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
7,081,180 56.21% 55.74% 138,063 1.10% 1.09% 13,086 0.10% 0.10% 5,365,172 42.59%
198
U.S. Core Equity 1 Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
- ----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 434,285,920 98.68% 65.45% 5,830,894 1.32% 0.88%
(b) George M. Constantinides. 434,423,658 98.71% 65.47% 5,693,157 1.29% 0.86%
(c) John P. Gould............ 434,186,528 98.65% 65.44% 5,930,286 1.35% 0.89%
(d) Roger G. Ibbotson........ 434,310,696 98.68% 65.45% 5,806,119 1.32% 0.88%
(e) Edward P. Lazear......... 434,411,627 98.70% 65.47% 5,705,188 1.30% 0.86%
(f) Eduardo A. Repetto....... 434,421,142 98.71% 65.47% 5,695,672 1.29% 0.86%
(g) Myron S. Scholes......... 434,320,913 98.68% 65.46% 5,795,902 1.32% 0.87%
(h) Abbie J. Smith........... 434,333,997 98.69% 65.46% 5,782,817 1.31% 0.87%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
343,654,597 78.08% 51.79% 2,088,172 0.47% 0.31% 4,389,310 1.00% 0.66% 89,984,736 20.45%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
342,639,859 77.85% 51.64% 2,903,674 0.66% 0.44% 4,588,541 1.04% 0.69% 89,984,736 20.45%
U.S. Core Equity 2 Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
- ----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 498,383,326 98.39% 63.74% 8,157,825 1.61% 1.04%
(b) George M. Constantinides. 498,667,272 98.45% 63.78% 7,873,879 1.55% 1.01%
(c) John P. Gould............ 498,427,452 98.40% 63.74% 8,113,699 1.60% 1.04%
(d) Roger G. Ibbotson........ 498,324,654 98.38% 63.73% 8,216,497 1.62% 1.05%
(e) Edward P. Lazear......... 498,722,118 98.46% 63.78% 7,819,033 1.54% 1.00%
(f) Eduardo A. Repetto....... 498,683,770 98.45% 63.78% 7,857,381 1.55% 1.00%
(g) Myron S. Scholes......... 498,461,661 98.40% 63.75% 8,079,491 1.60% 1.03%
(h) Abbie J. Smith........... 498,439,348 98.40% 63.75% 8,101,803 1.60% 1.04%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
410,681,752 81.08% 52.52% 3,273,472 0.65% 0.42% 7,896,659 1.56% 1.01% 84,689,269 16.72%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
408,263,526 80.60% 52.21% 5,055,730 1.00% 0.65% 8,532,625 1.68% 1.09% 84,689,269 16.72%
199
U.S. Large Cap Equity Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
- ---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 27,875,576 97.86% 68.31% 609,371 2.14% 1.49%
(b) George M. Constantinides. 27,873,892 97.85% 68.31% 611,055 2.15% 1.50%
(c) John P. Gould............ 27,864,502 97.82% 68.28% 620,445 2.18% 1.52%
(d) Roger G. Ibbotson........ 27,856,762 97.79% 68.26% 628,185 2.21% 1.54%
(e) Edward P. Lazear......... 27,858,695 97.80% 68.27% 626,252 2.20% 1.53%
(f) Eduardo A. Repetto....... 27,857,357 97.80% 68.27% 627,590 2.20% 1.54%
(g) Myron S. Scholes......... 27,857,965 97.80% 68.27% 626,982 2.20% 1.54%
(h) Abbie J. Smith........... 27,832,973 97.71% 68.21% 651,974 2.29% 1.60%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
20,216,448 70.97% 49.54% 267,282 0.94% 0.65% 233,475 0.82% 0.57% 7,767,742 27.27%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
20,154,331 70.75% 49.39% 288,542 1.01% 0.71% 274,332 0.96% 0.67% 7,767,742 27.27%
U.S. Large Cap Value Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
- ----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 231,588,649 96.26% 49.72% 9,002,650 3.74% 1.93%
(b) George M. Constantinides. 231,663,700 96.29% 49.74% 8,927,600 3.71% 1.92%
(c) John P. Gould............ 231,658,481 96.29% 49.74% 8,932,820 3.71% 1.92%
(d) Roger G. Ibbotson........ 231,646,129 96.28% 49.73% 8,945,172 3.72% 1.92%
(e) Edward P. Lazear......... 231,302,147 96.14% 49.66% 9,289,152 3.86% 1.99%
(f) Eduardo A. Repetto....... 231,728,793 96.32% 49.75% 8,862,508 3.68% 1.90%
(g) Myron S. Scholes......... 231,671,603 96.29% 49.74% 8,919,698 3.71% 1.92%
(h) Abbie J. Smith........... 230,852,486 95.95% 49.56% 9,738,814 4.05% 2.09%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- ---------- ------- --------- ---------- --------
188,848,520 78.49% 40.54% 1,256,726 0.52% 0.27% 11,248,894 4.68% 2.42% 39,237,159 16.31%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
190,051,397 78.99% 40.80% 2,578,696 1.07% 0.55% 8,724,045 3.63% 1.87% 39,237,159 16.31%
200
Proposal 7: Election of Trustees of Master Fund
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
- ----------- ------- ------ ---------- -------- ----------
(a) David G. Booth........... 230,999,779 96.01% 49.59% 9,591,521 3.99% 2.06%
(b) George M. Constantinides. 231,121,330 96.06% 49.62% 9,469,970 3.94% 2.03%
(c) John P. Gould............ 231,123,442 96.06% 49.62% 9,467,856 3.94% 2.03%
(d) Roger G. Ibbotson........ 231,111,281 96.06% 49.62% 9,480,020 3.94% 2.04%
(e) Edward P. Lazear......... 231,164,676 96.08% 49.63% 9,426,623 3.92% 2.02%
(f) Eduardo A. Repetto....... 231,172,012 96.08% 49.63% 9,419,286 3.92% 2.02%
(g) Myron S. Scholes......... 231,037,213 96.03% 49.60% 9,554,083 3.97% 2.05%
(h) Abbie J. Smith........... 230,304,151 95.72% 49.45% 10,289,440 4.28% 2.21%
Proposal 9: Approval of an Updated Investment Management Agreement Between
Dimensional Fund Advisors LP and Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
191,481,360 79.59% 41.11% 1,260,262 0.52% 0.27% 8,612,516 3.58% 1.85% 39,237,159 16.31%
Proposal 10: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities of Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- ---------- ------- --------- ---------- --------
187,130,671 77.78% 40.18% 2,459,641 1.02% 0.53% 11,763,829 4.89% 2.53% 39,237,159 16.31%
U.S. Micro Cap Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
- ----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 164,271,139 98.46% 62.21% 2,575,435 1.54% 0.98%
(b) George M. Constantinides. 164,975,158 98.88% 62.47% 1,871,416 1.12% 0.71%
(c) John P. Gould............ 165,003,555 98.90% 62.48% 1,843,019 1.10% 0.70%
(d) Roger G. Ibbotson........ 164,878,237 98.82% 62.44% 1,968,337 1.18% 0.75%
(e) Edward P. Lazear......... 164,512,831 98.60% 62.30% 2,333,743 1.40% 0.88%
(f) Eduardo A. Repetto....... 165,061,558 98.93% 62.51% 1,785,016 1.07% 0.68%
(g) Myron S. Scholes......... 164,334,734 98.49% 62.23% 2,511,839 1.51% 0.95%
(h) Abbie J. Smith........... 162,817,945 97.59% 61.66% 4,028,629 2.41% 1.53%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- --------- --------
154,745,467 92.75% 58.60% 652,520 0.39% 0.25% 1,518,424 0.91% 0.58% 9,930,163 5.95%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ---------- ------- --------- --------- ------- --------- --------- --------
138,828,378 83.21% 52.57% 16,378,930 9.82% 6.20% 1,709,098 1.02% 0.65% 9,930,163 5.95%
201
U.S. Small Cap Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
- ----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 174,580,799 98.68% 54.07% 2,339,271 1.32% 0.72%
(b) George M. Constantinides. 174,859,505 98.84% 54.16% 2,060,564 1.16% 0.64%
(c) John P. Gould............ 174,768,633 98.78% 54.13% 2,151,437 1.22% 0.67%
(d) Roger G. Ibbotson........ 174,864,847 98.84% 54.16% 2,055,222 1.16% 0.64%
(e) Edward P. Lazear......... 174,728,379 98.76% 54.12% 2,191,730 1.24% 0.68%
(f) Eduardo A. Repetto....... 174,864,349 98.84% 54.16% 2,055,761 1.16% 0.64%
(g) Myron S. Scholes......... 174,805,168 98.80% 54.14% 2,114,902 1.20% 0.66%
(h) Abbie J. Smith........... 173,268,805 97.94% 53.67% 3,651,264 2.06% 1.13%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
133,640,799 75.54% 41.39% 596,340 0.34% 0.18% 1,247,401 0.71% 0.39% 41,435,530 23.42%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
125,213,629 70.77% 38.78% 8,824,180 4.99% 2.73% 1,446,725 0.82% 0.45% 41,435,530 23.42%
U.S. Small Cap Value Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 181,429,457 98.32% 53.41% 3,103,192 1.68% 0.91%
(b) George M. Constantinides. 181,508,828 98.36% 53.43% 3,023,821 1.64% 0.89%
(c) John P. Gould............ 181,518,665 98.37% 53.44% 3,013,983 1.63% 0.89%
(d) Roger G. Ibbotson........ 181,553,109 98.39% 53.45% 2,979,540 1.61% 0.88%
(e) Edward P. Lazear......... 181,131,546 98.16% 53.32% 3,401,103 1.84% 1.00%
(f) Eduardo A. Repetto....... 181,531,573 98.37% 53.44% 3,001,075 1.63% 0.88%
(g) Myron S. Scholes......... 181,130,106 98.16% 53.32% 3,402,543 1.84% 1.00%
(h) Abbie J. Smith........... 180,574,521 97.86% 53.16% 3,958,128 2.14% 1.17%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
131,525,544 71.27% 38.72% 756,489 0.41% 0.22% 2,175,042 1.18% 0.64% 50,075,574 27.14%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
130,415,931 70.67% 38.39% 1,507,334 0.82% 0.44% 2,533,810 1.37% 0.75% 50,075,574 27.14%
202
U.S. Targeted Value Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 140,843,340 98.95% 52.08% 1,499,845 1.05% 0.55%
(b) George M. Constantinides. 140,908,340 98.99% 52.10% 1,434,845 1.01% 0.53%
(c) John P. Gould............ 140,871,483 98.97% 52.09% 1,471,702 1.03% 0.54%
(d) Roger G. Ibbotson........ 140,939,213 99.01% 52.12% 1,403,972 0.99% 0.52%
(e) Edward P. Lazear......... 140,927,444 99.01% 52.11% 1,415,741 0.99% 0.52%
(f) Eduardo A. Repetto....... 141,044,929 99.09% 52.15% 1,298,256 0.91% 0.48%
(g) Myron S. Scholes......... 138,910,654 97.59% 51.37% 3,432,531 2.41% 1.27%
(h) Abbie J. Smith........... 141,062,863 99.10% 52.16% 1,280,323 0.90% 0.47%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
113,050,056 79.42% 41.80% 411,624 0.29% 0.15% 1,031,579 0.72% 0.38% 27,849,926 19.57%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
112,711,306 79.18% 41.68% 656,703 0.46% 0.24% 1,125,248 0.79% 0.42% 27,849,926 19.57%
U.S. Vector Equity Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 134,896,173 98.40% 62.59% 2,199,013 1.60% 1.02%
(b) George M. Constantinides. 135,040,705 98.50% 62.66% 2,054,481 1.50% 0.95%
(c) John P. Gould............ 134,970,749 98.45% 62.62% 2,124,437 1.55% 0.99%
(d) Roger G. Ibbotson........ 135,008,396 98.48% 62.64% 2,086,790 1.52% 0.97%
(e) Edward P. Lazear......... 135,049,352 98.51% 62.66% 2,045,834 1.49% 0.95%
(f) Eduardo A. Repetto....... 135,033,195 98.50% 62.65% 2,061,991 1.50% 0.96%
(g) Myron S. Scholes......... 135,008,614 98.48% 62.64% 2,086,572 1.52% 0.97%
(h) Abbie J. Smith........... 135,030,860 98.49% 62.65% 2,064,326 1.51% 0.96%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
100,815,253 73.54% 46.78% 984,954 0.72% 0.46% 1,528,546 1.11% 0.71% 33,766,434 24.63%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
100,164,642 73.06% 46.48% 1,253,230 0.91% 0.58% 1,910,877 1.39% 0.89% 33,766,434 24.63%
203
United Kingdom Small Company Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
--------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 1,000,418 99.53% 98.75% 4,689 0.47% 0.46%
(b) George M. Constantinides. 1,000,418 99.53% 98.75% 4,689 0.47% 0.46%
(c) John P. Gould............ 1,000,418 99.53% 98.75% 4,689 0.47% 0.46%
(d) Roger G. Ibbotson........ 1,000,418 99.53% 98.75% 4,689 0.47% 0.46%
(e) Edward P. Lazear......... 996,866 99.18% 98.40% 8,240 0.82% 0.81%
(f) Eduardo A. Repetto....... 998,833 99.38% 98.59% 6,273 0.62% 0.62%
(g) Myron S. Scholes......... 1,000,418 99.53% 98.75% 4,689 0.47% 0.46%
(h) Abbie J. Smith........... 1,000,418 99.53% 98.75% 4,689 0.47% 0.46%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
664,471 66.11% 65.59% 7,608 0.76% 0.75% 607 0.06% 0.06% 332,421 33.07%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
671,082 66.77% 66.24% 1,054 0.10% 0.10% 551 0.05% 0.05% 332,421 33.07%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
666,817 66.34% 65.82% 1,247 0.12% 0.12% 4,622 0.46% 0.46% 332,421 33.07%
Proposal 7: Election of Trustees of Master Fund
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
--------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 1,002,322 99.72% 98.94% 2,785 0.28% 0.27%
(b) George M. Constantinides. 1,002,322 99.72% 98.94% 2,785 0.28% 0.27%
(c) John P. Gould............ 1,002,322 99.72% 98.94% 2,785 0.28% 0.27%
(d) Roger G. Ibbotson........ 1,002,322 99.72% 98.94% 2,785 0.28% 0.27%
(e) Edward P. Lazear......... 998,769 99.37% 98.59% 6,337 0.63% 0.63%
(f) Eduardo A. Repetto....... 1,000,054 99.50% 98.72% 5,052 0.50% 0.50%
(g) Myron S. Scholes......... 1,002,322 99.72% 98.94% 2,785 0.28% 0.27%
(h) Abbie J. Smith........... 1,002,322 99.72% 98.94% 2,785 0.28% 0.27%
Proposal 8: Approval of a "Manager of Managers" Structure for Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
667,365 66.40% 65.88% 4,714 0.47% 0.47% 607 0.06% 0.06% 332,421 33.07%
Proposal 9: Approval of an Updated Investment Management Agreement Between
Dimensional Fund Advisors LP and Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
671,239 66.78% 66.26% 841 0.08% 0.08% 607 0.06% 0.06% 332,421 33.07%
204
Proposal 10: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities of Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
666,761 66.34% 65.82% 1,247 0.12% 0.12% 4,678 0.47% 0.46% 332,421 33.07%
World Core Equity Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
--------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 9,667,566 100.00% 98.68% 0 0.00% 0.00%
(b) George M. Constantinides. 9,667,566 100.00% 98.68% 0 0.00% 0.00%
(c) John P. Gould............ 9,667,566 100.00% 98.68% 0 0.00% 0.00%
(d) Roger G. Ibbotson........ 9,667,566 100.00% 98.68% 0 0.00% 0.00%
(e) Edward P. Lazear......... 9,667,566 100.00% 98.68% 0 0.00% 0.00%
(f) Eduardo A. Repetto....... 9,667,566 100.00% 98.68% 0 0.00% 0.00%
(g) Myron S. Scholes......... 9,667,566 100.00% 98.68% 0 0.00% 0.00%
(h) Abbie J. Smith........... 9,667,566 100.00% 98.68% 0 0.00% 0.00%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
9,212,626 95.29% 94.04% 0 0.00% 0.00% 0 0.00% 0.00% 454,940 4.71%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
9,212,626 95.29% 94.04% 0 0.00% 0.00% 0 0.00% 0.00% 454,940 4.71%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
9,212,626 95.29% 94.04% 0 0.00% 0.00% 0 0.00% 0.00% 454,940 4.71%
World ex U.S. Core Equity Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 56,997,599 99.46% 96.06% 307,436 0.54% 0.52%
(b) George M. Constantinides. 56,995,122 99.46% 96.06% 309,913 0.54% 0.52%
(c) John P. Gould............ 56,995,553 99.46% 96.06% 309,482 0.54% 0.52%
(d) Roger G. Ibbotson........ 57,004,740 99.48% 96.08% 300,295 0.52% 0.51%
(e) Edward P. Lazear......... 56,999,080 99.47% 96.07% 305,955 0.53% 0.52%
(f) Eduardo A. Repetto....... 56,999,309 99.47% 96.07% 305,726 0.53% 0.52%
(g) Myron S. Scholes......... 56,989,462 99.45% 96.05% 315,573 0.55% 0.53%
(h) Abbie J. Smith........... 56,979,314 99.43% 96.03% 325,721 0.57% 0.55%
205
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- ---------- --------
36,832,446 64.27% 62.08% 196,814 0.34% 0.33% 409,951 0.72% 0.69% 19,865,824 34.67%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- ---------- --------
36,932,575 64.45% 62.25% 98,485 0.17% 0.17% 408,152 0.71% 0.69% 19,865,824 34.67%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- ---------- --------
36,814,236 64.24% 62.05% 128,613 0.22% 0.22% 496,365 0.87% 0.84% 19,865,824 34.67%
World ex U.S. Targeted Value Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
--------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 9,421,727 97.30% 57.53% 261,379 2.70% 1.60%
(b) George M. Constantinides. 9,420,262 97.29% 57.52% 262,844 2.71% 1.60%
(c) John P. Gould............ 9,420,262 97.29% 57.52% 262,844 2.71% 1.60%
(d) Roger G. Ibbotson........ 9,421,727 97.30% 57.53% 261,379 2.70% 1.60%
(e) Edward P. Lazear......... 9,420,262 97.29% 57.52% 262,844 2.71% 1.60%
(f) Eduardo A. Repetto....... 9,420,262 97.29% 57.52% 262,844 2.71% 1.60%
(g) Myron S. Scholes......... 9,421,727 97.30% 57.53% 261,379 2.70% 1.60%
(h) Abbie J. Smith........... 9,421,727 97.30% 57.53% 261,379 2.70% 1.60%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
6,767,677 69.89% 41.33% 134,642 1.39% 0.82% 119,151 1.23% 0.73% 2,661,636 27.49%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
6,838,990 70.63% 41.76% 103,910 1.07% 0.63% 78,572 0.81% 0.48% 2,661,636 27.49%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
6,741,608 69.62% 41.17% 146,443 1.51% 0.89% 133,419 1.38% 0.81% 2,661,636 27.49%
206
World ex U.S. Value Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
--------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 9,324,786 99.49% 89.76% 47,352 0.51% 0.46%
(b) George M. Constantinides. 9,325,671 99.50% 89.77% 46,467 0.50% 0.45%
(c) John P. Gould............ 9,325,671 99.50% 89.77% 46,467 0.50% 0.45%
(d) Roger G. Ibbotson........ 9,324,786 99.49% 89.76% 47,352 0.51% 0.46%
(e) Edward P. Lazear......... 9,324,533 99.49% 89.76% 47,605 0.51% 0.46%
(f) Eduardo A. Repetto....... 9,324,533 99.49% 89.76% 47,605 0.51% 0.46%
(g) Myron S. Scholes......... 9,323,189 99.48% 89.75% 48,949 0.52% 0.47%
(h) Abbie J. Smith........... 9,325,671 99.50% 89.77% 46,467 0.50% 0.45%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
6,927,565 73.92% 66.69% 10,437 0.11% 0.10% 15,987 0.17% 0.15% 2,418,149 25.80%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
6,930,042 73.94% 66.71% 7,961 0.08% 0.08% 15,987 0.17% 0.15% 2,418,149 25.80%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
6,904,489 73.67% 66.46% 32,375 0.35% 0.31% 17,125 0.18% 0.16% 2,418,149 25.80%
207
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
DFA COMMODITY STRATEGY PORTFOLIO VS.
BLOOMBERG COMMODITY INDEX TOTAL RETURN
November 9, 2010-October 31, 2015
[CHART]
DFA Commodity Strategy Bloomberg Commodity Index
Portfolio Total Return
---------------------- -----------------------------
11/1/2010 $10,000 $10,000
11/1/2010 9,480 9,414
12/1/2010 10,464 10,420
1/1/2011 10,584 10,525
2/1/2011 10,804 10,664
3/1/2011 11,010 10,884
4/1/2011 11,440 11,261
5/1/2011 10,889 10,691
6/1/2011 10,337 10,152
7/1/2011 10,678 10,452
8/1/2011 10,788 10,557
9/1/2011 9,187 9,001
10/1/2011 9,798 9,597
11/1/2011 9,538 9,384
12/1/2011 9,199 9,032
1/1/2012 9,480 9,256
2/1/2012 9,752 9,506
3/1/2012 9,360 9,112
4/1/2012 9,299 9,074
5/1/2012 8,494 8,245
6/1/2012 8,889 8,698
7/1/2012 9,494 9,261
8/1/2012 9,676 9,381
9/1/2012 9,840 9,541
10/1/2012 9,497 9,171
11/1/2012 9,547 9,176
12/1/2012 9,321 8,937
1/1/2013 9,544 9,151
2/1/2013 9,169 8,777
3/1/2013 9,229 8,836
4/1/2013 8,996 8,590
5/1/2013 8,763 8,397
6/1/2013 8,304 8,001
7/1/2013 8,436 8,110
8/1/2013 8,730 8,386
9/1/2013 8,529 8,172
10/1/2013 8,438 8,051
11/1/2013 8,397 7,987
12/1/2013 8,473 8,086
1/1/2014 8,565 8,110
2/1/2014 9,156 8,616
3/1/2014 9,200 8,651
4/1/2014 9,435 8,862
5/1/2014 9,200 8,607
6/1/2014 9,271 8,658
7/1/2014 8,822 8,227
8/1/2014 8,750 8,141
9/1/2014 8,208 7,634
10/1/2014 8,178 7,573
11/1/2014 7,789 7,265
12/1/2014 7,234 6,711
1/1/2015 7,028 6,486
2/1/2015 7,203 6,654
3/1/2015 6,853 6,312
4/1/2015 7,234 6,674
5/1/2015 7,028 6,494
6/1/2015 7,141 6,606
7/1/2015 6,378 5,904
8/1/2015 6,306 5,850 Past performance is not predictive of
9/1/2015 6,120 5,650 future performance.
10/1/2015 6,120 5,625 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Since would pay on fund distributions or the
Total Return Year Inception redemption of fund shares.
------------------------------------------------------- Bloomberg data provided by Bloomberg
-25.16% -9.40% Finance L.P.
--------------------------------------------------------------------------------
208
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(Unaudited)
Commodity Market Review 12 Months Ended October 31, 2015
During the fiscal year ended October 31, 2015, the Bloomberg Commodity Index
Total Return fell 25.72%. The energy sector experienced a decline of 46.7%.
Industrial metals fell 28.4% and agriculture was down 15.1%. Livestock declined
18.7%. Precious metals was the best performing sector of the group with a drop
of 3.5%. Of the 22 components in the Index, no single component posted a
positive return during the period.
DFA Commodity Strategy Portfolio
The DFA Commodity Strategy Portfolio seeks total return consisting of
capital appreciation and current income. The Portfolio generally invests in
commodity-linked derivative instruments and fixed income investments. The
Portfolio, through its wholly owned subsidiary Dimensional Cayman Commodity
Fund I LTD, gains exposure to commodities markets by investing in derivative
instruments, swap agreements, and other commodity-linked instruments. The
Portfolio pursues commodity exposure based on sector weights of the Bloomberg
Commodity Index Total Return. In pursuing the fixed income portion of the
Portfolio's investment strategy, Dimensional Fund Advisors LP ("Dimensional" or
the "Advisor") identifies a broadly-diversified universe of eligible U.S. and
foreign fixed income securities with defined maturity ranges and credit quality
characteristics and then seeks to purchase a broad and diverse portfolio of
securities meeting these credit quality standards. In making these purchase
decisions, if the anticipated term premium is greater for longer-term
securities in the eligible maturity range, Dimensional will generally focus
investment in that longer-term area; otherwise, the Portfolio will generally
focus investment in the short-term range of the eligible maturity range.
For the 12 months ended October 31, 2015, the total return was -25.16% for
the Portfolio versus -25.72% for the Bloomberg Commodity Index Total Return.
The Portfolio's relative outperformance was attributable to the combination of
differences in the management of futures contracts and the Portfolio's
investment in fixed income securities.
The Portfolio gained exposure to commodities primarily through the use of
commodity swap contracts. To a lesser extent, the Portfolio gained exposure to
commodities through the use of commodity futures. The Portfolio's commodity
swaps provided exposure to the 22 commodities found in the Bloomberg Commodity
Index, whose returns for the period ranged from -1.3% (cotton) to -51.1%
(natural gas). In addition, the Portfolio also invests in fixed income
securities. The Portfolio's fixed income duration decreased slightly from 1.85
to 1.84 years during the period. The Portfolio benefited from exposure to
longer-term bonds relative to its shorter-term obligations on its commodity
swap and futures contracts.
209
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2015
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
DFA Commodity Strategy Portfolio
--------------------------------
Actual Fund Return............... $1,000.00 $ 845.90 0.34% $1.58
Hypothetical 5% Annual Return.... $1,000.00 $1,023.49 0.34% $1.73
----------
* DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity
Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional
Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses
are equal to the fund's annualized expense ratio for the six-month period,
multiplied by the average account value over the period, multiplied by the
number of days in the most recent six-month period (184), then divided by the
number of days in the year (365) to reflect the six-month period.
210
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 29, 2015. They are 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.................................... 36.0%
Foreign Corporate............................ 13.5%
Foreign Government........................... 22.7%
Government................................... 19.8%
Supranational................................ 8.0%
-----
100.0%
211
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
October 31, 2015
Face
Amount^ Value+
------- ------
(000)
BONDS -- (71.7%)
AUSTRALIA -- (3.9%)
Australia & New Zealand Banking Group, Ltd.
1.250%, 01/10/17.............................. $ 4,500 $ 4,514,711
1.250%, 06/13/17.............................. 10,000 10,001,150
BHP Billiton Finance USA, Ltd.
1.625%, 02/24/17.............................. 5,000 5,019,565
Commonwealth Bank of Australia
1.125%, 03/13/17.............................. 3,737 3,741,200
1.900%, 09/18/17.............................. 7,000 7,069,405
National Australia Bank, Ltd.
1.300%, 07/25/16.............................. 5,000 5,024,940
Westpac Banking Corp.
1.200%, 05/19/17.............................. 7,500 7,503,645
2.000%, 08/14/17.............................. 3,000 3,031,521
-----------
TOTAL AUSTRALIA.................................... 45,906,137
-----------
CANADA -- (4.4%)
Canadian National Railway Co.
1.450%, 12/15/16.............................. 1,775 1,787,814
Canadian Natural Resources, Ltd.
5.700%, 05/15/17.............................. 3,000 3,157,101
Ontario, Province of Canada
1.100%, 10/25/17.............................. 10,000 9,987,910
1.200%, 02/14/18.............................. 15,000 14,981,790
Royal Bank of Canada
1.500%, 01/16/18.............................. 6,180 6,177,571
Thomson Reuters Corp.
1.650%, 09/29/17.............................. 5,092 5,090,997
Toronto-Dominion Bank (The)
1.400%, 04/30/18.............................. 10,000 9,978,600
-----------
TOTAL CANADA....................................... 51,161,783
-----------
FINLAND -- (1.3%)
Municipality Finance P.L.C.
2.375%, 05/16/16.............................. 15,000 15,149,670
-----------
FRANCE -- (1.6%)
BNP Paribas SA
2.375%, 09/14/17.............................. 6,140 6,237,755
Orange SA
2.750%, 09/14/16.............................. 4,000 4,061,004
Societe Generale SA
2.750%, 10/12/17.............................. 7,000 7,139,902
Total Capital International SA
1.550%, 06/28/17.............................. 1,040 1,048,300
-----------
TOTAL FRANCE....................................... 18,486,961
-----------
GERMANY -- (1.3%)
Deutsche Bank AG
6.000%, 09/01/17.............................. 4,300 4,620,655
Face
Amount^ Value+
------- ------
(000)
GERMANY -- (Continued)
Landeskreditbank Baden- Wuerttemberg Foerderbank
2.250%, 07/15/16.............................. $10,000 $10,118,700
-----------
TOTAL GERMANY...................................... 14,739,355
-----------
ITALY -- (0.1%)
Intesa Sanpaolo SpA
3.875%, 01/16/18.............................. 1,500 1,548,308
-----------
JAPAN -- (3.1%)
Japan Bank for International Cooperation
1.125%, 07/19/17.............................. 15,000 15,012,510
Japan Finance Organization for Municipalities
1.500%, 09/12/17.............................. 13,000 13,035,204
Mizuho Bank, Ltd.
1.550%, 10/17/17.............................. 7,700 7,670,524
Nomura Holdings, Inc.
2.000%, 09/13/16.............................. 1,000 1,005,949
-----------
TOTAL JAPAN........................................ 36,724,187
-----------
NETHERLANDS -- (3.1%)
Aegon NV
4.625%, 12/01/15.............................. 2,149 2,156,923
Bank Nederlandse Gemeenten NV
1.375%, 09/27/17.............................. 10,000 10,071,260
Cooperatieve Centrale Raiffeisen- Boerenleenbank
BA
1.700%, 03/19/18.............................. 2,800 2,814,473
Deutsche Telekom International Finance BV
5.750%, 03/23/16.............................. 760 773,977
Enel Finance International NV
6.250%, 09/15/17.............................. 4,300 4,646,408
Heineken NV
1.400%, 10/01/17.............................. 2,500 2,501,120
Koninklijke Philips NV
5.750%, 03/11/18.............................. 6,725 7,288,508
Shell International Finance BV
1.125%, 08/21/17.............................. 6,000 6,010,644
-----------
TOTAL NETHERLANDS.................................. 36,263,313
-----------
SPAIN -- (0.6%)
Telefonica Emisiones SAU
6.221%, 07/03/17.............................. 2,000 2,149,464
3.192%, 04/27/18.............................. 4,800 4,923,192
-----------
TOTAL SPAIN........................................ 7,072,656
-----------
212
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (0.4%)
European Bank for Reconstruction & Development
0.750%, 09/01/17............................. $5,000 $ 4,990,285
-----------
SWEDEN -- (1.3%)
Kommuninvest I Sverige AB
1.625%, 02/13/17............................. 4,500 4,548,258
Svensk Exportkredit AB
2.125%, 07/13/16............................. 5,000 5,054,695
Svenska Handelsbanken AB
3.125%, 07/12/16............................. 1,141 1,160,687
1.625%, 03/21/18............................. 5,000 5,003,250
-----------
TOTAL SWEDEN..................................... 15,766,890
-----------
SWITZERLAND -- (1.3%)
Credit Suisse New York
1.375%, 05/26/17............................. 4,000 3,997,776
1.700%, 04/27/18............................. 2,000 1,993,618
UBS AG
5.875%, 12/20/17............................. 6,104 6,617,572
1.800%, 03/26/18............................. 2,000 2,003,412
-----------
TOTAL SWITZERLAND................................ 14,612,378
-----------
UNITED KINGDOM -- (2.7%)
Barclays Bank P.L.C.
5.000%, 09/22/16............................. 700 724,410
BP Capital Markets P.L.C.
2.248%, 11/01/16............................. 5,000 5,063,630
British Telecommunications P.L.C.
1.250%, 02/14/17............................. 1,200 1,199,609
Diageo Capital P.L.C.
5.500%, 09/30/16............................. 2,000 2,082,460
1.500%, 05/11/17............................. 6,500 6,518,102
GlaxoSmithKline Capital P.L.C.
1.500%, 05/08/17............................. 5,000 5,038,095
Lloyds Bank P.L.C.
1.750%, 03/16/18............................. 3,015 3,022,206
Rio Tinto Finance USA P.L.C.
1.625%, 08/21/17............................. 1,525 1,519,417
Vodafone Group P.L.C.
1.625%, 03/20/17............................. 4,951 4,951,010
1.625%, 03/20/17............................. 1,000 999,876
1.250%, 09/26/17............................. 750 745,525
-----------
TOTAL UNITED KINGDOM............................. 31,864,340
-----------
UNITED STATES -- (46.6%)
AbbVie, Inc.
1.200%, 11/06/15............................. 3,000 3,000,120
ACE INA Holdings, Inc.
2.600%, 11/23/15............................. 2,345 2,347,490
Actavis, Inc.
1.875%, 10/01/17............................. 7,500 7,487,475
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Air Products & Chemicals, Inc.
2.000%, 08/02/16............................. $ 3,000 $ 3,025,848
American Express Co.
7.000%, 03/19/18............................. 6,799 7,632,714
American Honda Finance Corp.
1.550%, 12/11/17............................. 7,605 7,633,055
Ameriprise Financial, Inc.
5.650%, 11/15/15............................. 813 814,106
Amgen, Inc.
2.125%, 05/15/17............................. 2,500 2,532,820
Anadarko Petroleum Corp.
5.950%, 09/15/16............................. 5,000 5,184,345
Anheuser-Busch Cos., LLC
5.600%, 03/01/17............................. 5,000 5,268,755
Anheuser-Busch InBev Worldwide, Inc.
1.375%, 07/15/17............................. 1,000 996,552
Anthem, Inc.
5.875%, 06/15/17............................. 3,100 3,308,373
Apple, Inc.
1.050%, 05/05/17............................. 10,000 10,034,220
1.000%, 05/03/18............................. 5,000 4,985,830
Assurant, Inc.
2.500%, 03/15/18............................. 203 204,826
AT&T, Inc.
1.400%, 12/01/17............................. 3,400 3,400,010
AutoZone, Inc.
6.950%, 06/15/16............................. 2,500 2,589,490
Bank of America Corp.
3.750%, 07/12/16............................. 1,200 1,223,188
3.875%, 03/22/17............................. 3,600 3,720,132
2.000%, 01/11/18............................. 1,000 1,004,372
Baxter International, Inc.
1.850%, 06/15/18............................. 2,800 2,801,988
BB&T Corp.
1.450%, 01/12/18............................. 1,250 1,246,955
Becton Dickinson and Co.
1.750%, 11/08/16............................. 1,500 1,510,736
1.450%, 05/15/17............................. 2,000 1,999,668
1.800%, 12/15/17............................. 6,340 6,374,990
Berkshire Hathaway, Inc.
1.550%, 02/09/18............................. 2,500 2,520,775
Branch Banking & Trust Co.
1.000%, 04/03/17............................. 2,600 2,594,868
Cardinal Health, Inc.
1.900%, 06/15/17............................. 5,000 5,034,835
1.700%, 03/15/18............................. 5,239 5,245,591
CenterPoint Energy Resources Corp.
6.150%, 05/01/16............................. 1,883 1,930,887
Chevron Corp.
1.104%, 12/05/17............................. 3,500 3,502,415
1.718%, 06/24/18............................. 1,425 1,440,166
Citigroup, Inc.
1.350%, 03/10/17............................. 2,000 1,998,776
6.000%, 08/15/17............................. 6,860 7,381,641
213
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Comcast Corp.
4.950%, 06/15/16............................. $ 1,700 $ 1,744,936
ConAgra Foods, Inc.
5.819%, 06/15/17............................. 7,147 7,608,174
1.900%, 01/25/18............................. 2,594 2,580,166
ConocoPhillips Co.
1.050%, 12/15/17............................. 3,000 2,984,493
1.500%, 05/15/18............................. 6,500 6,494,956
Coventry Health Care, Inc.
5.950%, 03/15/17............................. 1,159 1,229,403
5.950%, 03/15/17............................. 3,150 3,341,759
CSX Corp.
6.250%, 03/15/18............................. 5,731 6,335,901
CVS Health Corp.
5.750%, 06/01/17............................. 3,000 3,207,606
Daimler Finance North America LLC
1.650%, 03/02/18............................. 10,860 10,797,012
Danaher Corp.
1.650%, 09/15/18............................. 2,000 2,007,594
DIRECTV Holdings, LLC / DIRECTV Financing Co.,
Inc.
2.400%, 03/15/17............................. 5,044 5,110,530
Duke Energy Corp.
1.625%, 08/15/17............................. 1,019 1,022,631
Eastman Chemical Co.
2.400%, 06/01/17............................. 3,000 3,033,738
eBay, Inc.
1.350%, 07/15/17............................. 8,000 7,951,672
EMC Corp.
1.875%, 06/01/18............................. 9,465 9,048,483
EOG Resources, Inc.
2.500%, 02/01/16............................. 6,000 6,020,466
Express Scripts Holding Co.
3.125%, 05/15/16............................. 1,975 1,998,202
Exxon Mobil Corp.
1.305%, 03/06/18............................. 25,430 25,552,420
Fifth Third Bank
0.900%, 02/26/16............................. 2,000 1,999,232
1.450%, 02/28/18............................. 8,000 7,936,552
Ford Motor Credit Co. LLC
1.500%, 01/17/17............................. 4,500 4,488,039
5.000%, 05/15/18............................. 1,500 1,593,069
General Mills, Inc.
5.700%, 02/15/17............................. 8,250 8,719,961
Gilead Sciences, Inc.
1.850%, 09/04/18............................. 8,531 8,617,223
GlaxoSmithKline Capital, Inc.
5.650%, 05/15/18............................. 1,028 1,136,290
Goldman Sachs Group, Inc. (The)
6.250%, 09/01/17............................. 3,000 3,259,674
5.950%, 01/18/18............................. 3,000 3,271,011
Harris Corp.
1.999%, 04/27/18............................. 8,500 8,430,750
Hershey Co. (The)
1.600%, 08/21/18............................. 2,300 2,306,155
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Hess Corp.
1.300%, 06/15/17............................. $5,625 $5,575,933
HSBC USA, Inc.
1.625%, 01/16/18............................. 7,675 7,647,646
Intel Corp.
1.350%, 12/15/17............................. 6,000 6,027,234
John Deere Capital Corp.
1.200%, 10/10/17............................. 398 397,563
Johnson Controls, Inc.
5.500%, 01/15/16............................. 1,282 1,292,916
2.600%, 12/01/16............................. 3,475 3,525,540
JPMorgan Chase & Co.
2.000%, 08/15/17............................. 9,750 9,836,648
Kellogg Co.
1.875%, 11/17/16............................. 1,000 1,007,961
1.750%, 05/17/17............................. 3,000 3,017,490
KeyBank NA
1.100%, 11/25/16............................. 6,000 6,008,094
Kinder Morgan Energy Partners L.P.
6.000%, 02/01/17............................. 830 864,004
Kraft Foods Group, Inc.
2.250%, 06/05/17............................. 4,177 4,230,758
Laboratory Corp. of America Holdings
2.200%, 08/23/17............................. 6,000 6,060,858
Marathon Oil Corp.
0.900%, 11/01/15............................. 1,140 1,140,000
Marsh & McLennan Cos., Inc.
2.300%, 04/01/17............................. 680 689,054
Mattel, Inc.
1.700%, 03/15/18............................. 7,000 6,925,968
McDonald's Corp.
5.800%, 10/15/17............................. 900 974,416
5.350%, 03/01/18............................. 2,000 2,170,406
McKesson Corp.
1.400%, 03/15/18............................. 6,000 5,946,054
Morgan Stanley
3.800%, 04/29/16............................. 2,400 2,436,420
4.750%, 03/22/17............................. 2,430 2,539,297
Mylan, Inc.
1.350%, 11/29/16............................. 7,038 6,980,211
Nucor Corp.
5.750%, 12/01/17............................. 3,019 3,240,320
NYSE Euronext
2.000%, 10/05/17............................. 6,730 6,807,557
Occidental Petroleum Corp.
1.750%, 02/15/17............................. 1,722 1,735,702
Omnicom Group, Inc.
5.900%, 04/15/16............................. 750 766,081
ONEOK Partners L.P.
2.000%, 10/01/17............................. 3,220 3,170,995
Oracle Corp.
1.200%, 10/15/17............................. 5,000 5,019,515
5.750%, 04/15/18............................. 1,500 1,655,130
214
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
PACCAR Financial Corp.
1.750%, 08/14/18............................. $ 1,900 $ 1,907,788
Panhandle Eastern Pipe Line Co. L.P.
# 6.200%, 11/01/17............................. 3,550 3,820,805
Pfizer, Inc.
1.500%, 06/15/18............................. 1,000 1,001,178
Philip Morris International, Inc.
2.500%, 05/16/16............................. 1,222 1,234,703
5.650%, 05/16/18............................. 6,500 7,168,226
Phillips 66
2.950%, 05/01/17............................. 5,000 5,113,630
Pioneer Natural Resources Co.
6.650%, 03/15/17............................. 3,450 3,638,991
PNC Bank NA
1.500%, 02/23/18............................. 8,560 8,553,657
PPG Industries, Inc.
1.900%, 01/15/16............................. 2,050 2,055,217
Provident Cos., Inc.
7.000%, 07/15/18............................. 3,298 3,693,991
Prudential Financial, Inc.
6.000%, 12/01/17............................. 2,700 2,941,801
QUALCOMM, Inc.
1.400%, 05/18/18............................. 9,000 8,959,491
Reynolds American, Inc.
3.500%, 08/04/16............................. 4,000 4,062,964
6.750%, 06/15/17............................. 4,500 4,849,695
Santander Bank NA
2.000%, 01/12/18............................. 4,500 4,481,672
Scripps Networks Interactive, Inc.
2.700%, 12/15/16............................. 5,000 5,054,800
Southern Co. (The)
1.300%, 08/15/17............................. 3,000 2,985,519
SunTrust Banks, Inc.
3.600%, 04/15/16............................. 4,000 4,041,324
Symantec Corp.
2.750%, 06/15/17............................. 7,278 7,301,734
Thermo Fisher Scientific, Inc.
2.250%, 08/15/16............................. 1,969 1,984,496
Time Warner Cable, Inc.
5.850%, 05/01/17............................. 2,047 2,158,881
Total System Services, Inc.
2.375%, 06/01/18............................. 6,500 6,496,016
UnitedHealth Group, Inc.
1.400%, 12/15/17............................. 10,500 10,521,084
US Bancorp
1.650%, 05/15/17............................. 3,250 3,278,434
US Bank NA
1.100%, 01/30/17............................. 6,000 6,014,466
Verizon Communications, Inc.
0.700%, 11/02/15............................. 2,370 2,370,000
3.650%, 09/14/18............................. 5,000 5,273,610
Viacom, Inc.
3.500%, 04/01/17............................. 1,000 1,023,726
Face
Amount^ Value+
------- ------
(000)
UNITED STATES -- (Continued)
Walt Disney Co. (The)
1.125%, 02/15/17............................. $ 2,000 $ 2,010,200
1.500%, 09/17/18............................. 5,000 5,020,865
Wells Fargo & Co.
2.625%, 12/15/16............................. 6,000 6,112,938
1.500%, 01/16/18............................. 2,700 2,709,777
Western Union Co. (The)
5.930%, 10/01/16............................. 2,348 2,443,395
Whirlpool Corp.
1.350%, 03/01/17............................. 2,000 1,999,712
Whirpool Corp.
1.650%, 11/01/17............................. 8,000 8,010,984
Zoetis, Inc.
1.875%, 02/01/18............................. 6,564 6,534,580
--------------
TOTAL UNITED STATES................................ 546,326,231
--------------
TOTAL BONDS........................................ 840,612,494
--------------
AGENCY OBLIGATIONS -- (1.7%)
Federal Home Loan Bank
2.250%, 09/08/17 10,000 10,265,200
Federal Home Loan Mortgage Corporation
1.000%, 07/28/17............................. 10,000 10,031,070
--------------
TOTAL AGENCY OBLIGATIONS........................... 20,296,270
--------------
U.S. TREASURY OBLIGATIONS -- (26.4%)
U.S. Treasury Notes
^^++ 0.500%, 07/31/17............................. 159,000 158,536,197
1.375%, 06/30/18............................. 149,000 150,590,873
--------------
TOTAL U.S. TREASURY OBLIGATIONS.................... 309,127,070
--------------
TOTAL INVESTMENT SECURITIES........................ 1,170,035,834
--------------
Shares
------
SECURITIES LENDING COLLATERAL -- (0.2%)
(S)@ DFA Short Term Investment Fund............... 202,658 2,344,750
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,172,601,409)............................ $1,172,380,584
==============
215
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2015, 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.............................. -- $ 45,906,137 -- $ 45,906,137
Canada................................. -- 51,161,783 -- 51,161,783
Finland................................ -- 15,149,670 -- 15,149,670
France................................. -- 18,486,961 -- 18,486,961
Germany................................ -- 14,739,355 -- 14,739,355
Italy.................................. -- 1,548,308 -- 1,548,308
Japan.................................. -- 36,724,187 -- 36,724,187
Netherlands............................ -- 36,263,313 -- 36,263,313
Spain.................................. -- 7,072,656 -- 7,072,656
Supranational Organization Obligations. -- 4,990,285 -- 4,990,285
Sweden................................. -- 15,766,890 -- 15,766,890
Switzerland............................ -- 14,612,378 -- 14,612,378
United Kingdom......................... -- 31,864,340 -- 31,864,340
United States.......................... -- 546,326,231 -- 546,326,231
Agency Obligations....................... -- 20,296,270 -- 20,296,270
U.S. Treasury Obligations................ -- 309,127,070 -- 309,127,070
Securities Lending Collateral............ -- 2,344,750 -- 2,344,750
Swap Agreements**........................ -- (1,364,377) -- (1,364,377)
Futures Contracts**...................... $(1,133,454) -- -- (1,133,454)
----------- -------------- -- --------------
TOTAL.................................... $(1,133,454) $1,171,016,207 -- $1,169,882,753
=========== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
216
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands, except share and per share amounts)
ASSETS:
Investments at Value (including $2,297 of securities on loan).......................... $ 1,170,036
Collateral from Securities on Loan Invested in Affiliate at Value & Cost............... 2,345
Segregated Cash for Swaps Contracts.................................................... 3,162
Cash................................................................................... 26,570
Receivables:
Investment Securities Sold........................................................... 3,583
Interest............................................................................. 6,242
Fund Shares Sold..................................................................... 1,835
Futures Margin Variation............................................................. 339
Unrealized Gain on Swap Contracts...................................................... 4,423
Prepaid Expenses and Other Assets...................................................... 50
------------
Total Assets...................................................................... 1,218,585
------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned..................................................... 2,345
Fund Shares Redeemed................................................................. 2,994
Due to Advisor....................................................................... 311
Unrealized Loss on Swap Contracts...................................................... 5,787
Accrued Expenses and Other Liabilities................................................. 77
------------
Total Liabilities................................................................. 11,514
------------
NET ASSETS............................................................................. $ 1,207,071
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 203,423,046
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 5.93
============
Investments at Cost.................................................................... $ 1,170,257
============
NET ASSETS CONSIST OF:
Paid-In Capital........................................................................ $ 1,209,741
Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). (102)
Accumulated Net Realized Gain (Loss)................................................... 155
Net Unrealized Appreciation (Depreciation)............................................. (2,723)
------------
NET ASSETS............................................................................. $ 1,207,071
============
(1) NUMBER OF SHARES AUTHORIZED........................................................ 800,000,000
============
See accompanying Notes to Financial Statements.
217
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
Investment Income
Interest.......................................................................................... $ 13,266
Income from Securities Lending.................................................................... 16
---------
Total Investment Income........................................................................ 13,282
---------
Expenses
Investment Advisory Services Fees................................................................. 4,385
Accounting & Transfer Agent Fees.................................................................. 73
Custodian Fees.................................................................................... 50
Filing Fees....................................................................................... 131
Shareholders' Reports............................................................................. 82
Directors'/Trustees' Fees & Expenses.............................................................. 6
Professional Fees................................................................................. 26
Other............................................................................................. 72
---------
Total Expenses................................................................................. 4,825
---------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note D). (793)
Fees Paid Indirectly (Note C)..................................................................... (17)
---------
Net Expenses...................................................................................... 4,015
---------
Net Investment Income (Loss)...................................................................... 9,267
---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold...................................................................... (8,732)
Futures......................................................................................... (17,337)
Swap Contracts.................................................................................. (339,100)
Foreign Currency Transactions................................................................... 5,799
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................................................... 4,896
Futures......................................................................................... 84
Swap Contracts.................................................................................. 11,136
Translation of Foreign Currency Denominated Amounts............................................. (1,816)
---------
Net Realized and Unrealized Gain (Loss)........................................................... (345,070)
---------
Net Increase (Decrease) in Net Assets Resulting from Operations..................................... $(335,803)
=========
See accompanying Notes to Financial Statements.
218
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Year Year
Ended Ended
Oct. 31, Oct. 31,
2015 2014
---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................................................. $ 9,267 $ 6,522
Net Realized Gain (Loss) on:
Investment Securities Sold................................................. (8,732) 2,967
Futures.................................................................... (17,337) (2,034)
Swap Contracts............................................................. (339,100) (49,078)
Foreign Currency Transactions.............................................. 5,799 2,905
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................. 4,896 (7,904)
Futures.................................................................... 84 (649)
Swap Contracts............................................................. 11,136 (6,914)
Translation of Foreign Currency Denominated Amounts........................ (1,816) 2,590
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations........... (335,803) (51,595)
---------- ----------
Distributions From:
Net Investment Income:
Institutional Class Shares................................................. (9,071) (4,154)
Net Short-Term Gains:
Institutional Class Shares................................................. (14) (379)
Net Long-Term Gains:
Institutional Class Shares................................................. (889) (474)
---------- ----------
Total Distributions....................................................... (9,974) (5,007)
---------- ----------
Capital Share Transactions (1):
Shares Issued................................................................ 1,078,341 761,756
Shares Issued in Lieu of Cash Distributions.................................. 9,738 4,915
Shares Redeemed.............................................................. (729,422) (302,192)
---------- ----------
Net Increase (Decrease) from Capital Share Transactions................... 358,657 464,479
---------- ----------
Total Increase (Decrease) in Net Assets................................... 12,880 407,877
Net Assets
Beginning of Year............................................................ 1,194,191 786,314
---------- ----------
End of Year.................................................................. $1,207,071 $1,194,191
========== ==========
(1) Shares Issued and Redeemed:
Shares Issued................................................................ 159,948 90,096
Shares Issued in Lieu of Cash Distributions.................................. 1,339 566
Shares Redeemed.............................................................. (107,182) (36,041)
---------- ----------
Net Increase (Decrease) from Shares Issued and Redeemed................... 54,105 54,621
========== ==========
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)....................................................................... $ (102) $ 5,939
See accompanying Notes to Financial Statements.
219
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period........................................ $ 8.00 $ 8.30 $ 9.40 $ 9.77
---------- ---------- -------- --------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A).......................................... 0.05 0.06 0.06 0.07
Net Gains (Losses) on Securities (Realized and Unrealized)................ (2.05) (0.31) (1.10) (0.37)
---------- ---------- -------- --------
Total from Investment Operations......................................... (2.00) (0.25) (1.04) (0.30)
-----------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income..................................................... (0.06) (0.04) (0.04) (0.06)
Net Realized Gains........................................................ (0.01) (0.01) (0.02) (0.01)
---------- ---------- -------- --------
Total Distributions...................................................... (0.07) (0.05) (0.06) (0.07)
-----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................................. $ 5.93 $ 8.00 $ 8.30 $ 9.40
============================================================================ ========== ========== ======== ========
Total Return................................................................ (25.16)% (3.08)% (11.15)% (3.08)%
-----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................................... $1,207,071 $1,194,191 $786,314 $458,079
Ratio of Expenses to Average Net Assets..................................... 0.34% 0.33% 0.34% 0.35%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees
Paid Indirectly)........................................................... 0.40% 0.39% 0.40% 0.41%
Ratio of Net Investment Income to Average Net Assets........................ 0.77% 0.65% 0.66% 0.79%
Portfolio Turnover Rate..................................................... 124% 104% 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 Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor 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.
220
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, as
amended (the "1940 Act"), whose shares are generally offered, without a sales
charge, to institutional investors, retirement plans and clients of registered
investment advisors. The Fund consists of eighty-one 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. 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 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 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
agreements will be valued at the price provided by an independent third-party
pricing service or source. If a price is
221
not available from an independent third-party pricing service or source, the
swap agreement will be valued in good faith at fair value in accordance with
procedures adopted by the Board. These securities are generally 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.
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
consolidated Schedule of Investments. The inputs or methodology used for
valuing securities are not necessarily an indication of the risk associated
with investing in those securities.
For the year ended October 31, 2015, 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 October 31, 2015, 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
222
and other investments. The Subsidiary (unlike the Portfolio) may invest without
limitation in these instruments. However, the Subsidiary is otherwise subject
to the same fundamental, non-fundamental and certain other investment
restrictions as the Portfolio. The portion of the Portfolio's or Subsidiary's
assets exposed to any particular commodity, derivative or other investment will
vary based on market conditions, but from time to time some exposure could be
substantial.
To the extent of the Portfolio's investment through the Subsidiary, it will
be subject to the risks associated with the commodities, derivatives and other
instruments in which the Subsidiary invests. By investing in the Subsidiary,
the 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 N of the Internal Revenue Code. Therefore, the Portfolio is required
to increase its taxable income by its share of the Subsidiary's income. Net
investment losses of the Subsidiary cannot be deducted by the Portfolio in the
current period nor carried forward to offset taxable income in future periods.
As of October 31, 2015, the Portfolio held a $271,362,060 investment in the
Subsidiary, representing 22.27% 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.
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. On May 8, 2015 and June 10, 2015 at a Special Joint
Meeting of Shareholders, shareholders of the Portfolio approved a new
investment management agreement, which became effective July 21, 2015, that
provides a uniform agreement that increases transparency and better describes
all of the services that the Advisor provides to the Portfolio. The rate
charged under the new investment management agreement for investment management
services is equal to the rate charged under the Portfolio's previous investment
advisory agreement with the Advisor. For the year ended October 31, 2015, the
investment advisory services/management 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) ("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 is within 36 months and 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 36
months before the date of such reimbursement. The Fee Waiver Agreement for the
Portfolio will remain in effect through February 28, 2016, 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 October 31, 2015, there were no
previously waived fees subject 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.
223
For the year ended October 31, 2015, approximately $793 (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.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. During the year ended October 31, 2015, expenses
reduced were as follows (amounts in thousands):
Fees Paid
Indirectly
----------
DFA Commodity Strategy Portfolio. $17
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the year ended October 31, 2015, the total
related amounts paid by the Fund to the CCO were $275 (in thousands). The total
related amounts paid by the Portfolio are included in Other Expenses on the
Statement of Operations.
E. Deferred Compensation:
At October 31, 2015, 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. $10
F. Purchases and Sales of Securities:
For the year ended October 31, 2015, the Portfolio 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
---------- ---------- --------- --------
DFA Commodity Strategy Portfolio. $1,165,246 $1,076,910 $564,792 $355,143
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, 2015, 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
book income/loss from controlled foreign corporation and net foreign
224
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. $(353,288) $(6,237) $359,525
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2014 and October 31, 2015 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term Tax Exempt
Capital Gains Capital Gains Income Total
-------------- ------------- ---------- ------
DFA Commodity Strategy Portfolio
2014............................. $4,533 $ 474 -- $5,007
2015............................. 8,966 1,009 -- 9,975
At October 31, 2015, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -----
DFA Commodity Strategy Portfolio. $-- $16 $16
At October 31, 2015, 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)
-------------- ------------- ------------- -------------- -------------
DFA Commodity Strategy Portfolio. $-- $154 -- $(2,723) $(2,569)
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, 2015, the
Portfolio did not have any capital loss carryforwards.
At October 31, 2015, 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)
----------- ------------ ------------ --------------
DFA Commodity Strategy Portfolio. $1,172,601 $1,225 $(1,446) $(221)
225
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.
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.
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.
226
A swap agreement may be negotiated bilaterally and traded over-the-counter
between the two parties (for an uncleared swap), while other swaps must be
transacted through a futures commission merchant ("FCM") and cleared through a
clearinghouse that serves as a central counterparty (for a cleared swap), and
may be traded on swap execution facilities (exchanges). 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 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.
Uncleared swaps are typically executed bilaterally with a swap dealer rather
than traded on exchanges. Parties to uncleared swaps face greater counterparty
credit risk than those engaging in cleared swaps since performance of uncleared
swap obligations is the responsibility only of the swap counterparty rather
than a clearinghouse, as is the case with cleared swaps. As a result, the
Portfolio bears the risk of loss of the amount expected to be received under a
swap agreement in the event of the default, insolvency or bankruptcy of a swap
agreement counterparty beyond any collateral received. In such an event, the
Portfolio will have contractual remedies pursuant to the swap agreements, but
bankruptcy and insolvency laws could affect the Portfolio's rights as a
creditor. The Portfolio will enter into swap agreements only with
counterparties that meet certain standards of creditworthiness as determined by
the Advisor's Investment Committee. To the extent that the Portfolio cannot
dispose of a swap in the ordinary course of business within seven days at
approximately the value at which the Portfolio has valued the swap, the
Portfolio will treat the swap as illiquid and subject to its overall limit on
illiquid investments of 15% of the Portfolio's net assets.
The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 and
implementing rules adopted by the Commodity Futures Trading Commission ("CFTC")
currently require the clearing and exchange-trading of the most common types of
credit default index swaps and interest rate swaps, and it is expected that
additional categories of swaps will in the future be designated as subject to
mandatory clearing and trade execution requirements. Central clearing is
intended to reduce counterparty credit risk and increase liquidity, but central
clearing does not eliminate these risks completely. There is also 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, or the
central counterparty in a swap contract. The assets of the Portfolio may not be
fully protected in the event of the bankruptcy of the FCM or central
counterparty because the Portfolio might be limited to recovering only a pro
rata share of all available funds and margin segregated on behalf of an FCM's
customers.
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 CFTC or, consistent with
CFTC regulations, on foreign exchanges.
227
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
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 is
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
228
a portfolio position with a gain in the hedged position; at the same time,
however, a properly correlated hedge will result in a gain in the portfolio
position being offset by a loss in the hedged position.
At October 31, 2015, 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.... 12/16/15 91 $ 4,578 $ (67)
CBT Wheat Futures.......... 12/14/15 76 1,984 79
Coffee 'C' Futures......... 12/18/15 22 998 (43)
Copper Futures............. 12/29/15 72 4,172 (25)
Corn Futures............... 12/14/15 242 4,625 26
Cotton No.2 Futures........ 12/08/15 33 1,045 8
Gasoline RBOB Futures...... 12/31/15 42 2,419 60
Gold 100 oz Futures........ 12/29/15 65 7,419 1
KCB Wheat Futures.......... 12/14/15 25 617 --
LME Nickel Futures......... 11/16/15 43 2,591 (145)
LME Nickel Futures......... 01/18/16 15 905 (2)
LME Nickel Futures......... 11/16/15 (43) (2,591) 43
LME Prime Aluminum Futures. 11/16/15 185 6,719 (666)
LME Prime Aluminum Futures. 01/18/16 68 2,516 (161)
LME Prime Aluminum Futures. 11/16/15 (185) (6,719) 523
LME Zinc Futures........... 11/16/15 81 3,431 (326)
LME Zinc Futures........... 01/18/16 30 1,281 12
LME Zinc Futures........... 11/16/15 (81) (3,431) 77
Lean Hogs Futures.......... 12/14/15 40 947 (95)
Live Cattle Futures........ 12/31/15 33 1,871 24
NY Harbor ULSD Futures..... 12/31/15 35 2,269 (42)
Natural Gas Futures........ 12/29/15 202 5,030 (774)
Silver Futures............. 12/29/15 34 2,646 79
Soybean Futures............ 01/14/16 71 3,144 (17)
Soybean Meal Futures....... 01/14/16 51 1,546 (12)
Soybean Oil Futures........ 01/14/16 93 1,591 9
Sugar #11 Futures.......... 02/29/16 160 2,602 311
WTI Crude Futures.......... 12/21/15 12 570 (10)
------- -------
$54,775 $(1,133)
======= =======
The Subsidiary's securities have been segregated as collateral for open
futures contracts.
* During the year ended October 31, 2015 the Subsidiary's average notional
contract amount of outstanding futures contracts was $83,356 (in thousands).
229
At October 31, 2015, 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 Currency Amount* (Depreciation)
------------ --------- ---------- -------- ----------- --------------
Bank of America Corp............ Index** 12/31/15 USD $ (225,674) $ (507)
Citibank, N.A................... Index** 12/31/15 USD (250,207) (644)
Credit Suisse................... Index** 11/25/15 USD (218,487) (537)
Deutsche Bank AG, London Branch. Index** 11/25/15 USD (253,450) (624)
Deutsche Bank AG, London Branch. Oil 12/28/15 USD 64,693 4,122
Deutsche Bank AG, London Branch. Oil 12/28/15 USD 6,188 301
Deutsche Bank AG, London Branch. Index** 05/26/16 USD (6,462) (216)
Deutsche Bank AG, London Branch. Oil 05/27/16 USD (67,041) (2,769)
UBS AG.......................... Index** 01/29/16 USD (200,146) (490)
----------- -------
$(1,150,586) $(1,364)
=========== =======
* During the year ended October 31, 2015 the Subsidiary's average notional
value of outstanding swap contracts was ($1,177,391) (in thousands).
**Swap is exposed to the 22 commodities in the Bloomberg Commodity Index Total
Return.
The following is a summary of the location of derivatives on the Portfolio's
Statement of Assets and Liabilities as of October 31, 2015:
Location on the Statement of Assets and Liabilities
---------------------------------------------------
Derivative Type Liability Derivatives
--------------- ------------------------ ------------------------
Commodity Futures Payables: Futures Margin
Contracts Variation
Commodity Swap Contracts Unrealized Loss on Swap
Contracts
The following is a summary of the Portfolio's derivative instrument holdings
categorized by primary risk exposure as of October 31, 2015 (amounts in
thousands):
Asset Derivatives Value
------------------------------------
Total Value Commodity Commodity
at Futures Swap
October 31, 2015 Contracts Contracts
- ---------------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $ 5,675 $ 1,252* $ 4,423
Liability Derivatives Value
------------------------------------
Total Value Commodity Commodity
at Futures Swap
October 31, 2015 Contracts Contracts
- ---------------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $(8,172) $(2,385)* $(5,787)
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
230
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 year ended October 31, 2015:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income
--------------- -----------------------------------------------------------
Commodity Futures 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
Commodity Swap Contracts Net Realized Gain (Loss) on: Swap Contracts
Change in Unrealized Appreciation (Depreciation) of:
Swap Contracts
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolio's derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2015 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives Recognized in Income
----------------------------------------
Foreign Commodity Commodity
Exchange Futures Swap
Total Contracts Contracts Contracts
--------- --------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $(350,666) $ 5,771 $(17,337) $(339,100)
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
----------------------------------------
Foreign Commodity Commodity
Exchange Futures Swap
Total Contracts Contracts Contracts
--------- --------- --------- ---------
Dimensional Cayman Commodity Fund I, LTD. $ 9,308 $(1,912) $ 84 $ 11,136
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 October 31, 2015
(Amounts in thousands):
Gross Amounts Not Gross Amounts Not
Offset in the Consolidated Offset in the Consolidated
Statements of Assets Statements of Assets
and Liabilities and Liabilities
-------------------------- ------------------------
Gross Amounts Cash Gross Amounts Cash
of Recognized Financial Collateral Net of Recognized Financial Collateral Net
Description Assets (a) Instruments (b) Received Amount (c) Liabilities (a) Instruments (d) Pledged Amount (e)
----------- ------------- --------------- ---------- ---------- --------------- --------------- ---------- ----------
Assets Liabilities
------------------------------------------------------------------- ---------------------------------------
DFA Commodity Strategy Portfolio
Swap Contracts. $4,423 $(3,609) $-- $814 $5,787 $(3,609) $(2,178)(f) $--
(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 Consolidated 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 Consolidated Statements of Assets and
Liabilities.
(e)Represents the net amount due to counterparties in the event of default.
(f)The actual collateral pledged is greater than the amount shown here due to
overcollateralization.
231
I. Line of Credit and Interfund Lending Program:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective April 1, 2015 with its domestic custodian bank. A line of credit with
similar terms was in effect through March 31, 2015. 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
expires on March 30, 2016.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit with its
international custodian bank effective January 9, 2015. A line of credit with
similar terms was in effect through January 8, 2015. 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 8, 2016.
There were no borrowings by the Portfolio under the lines of credit during
the year ended October 31, 2015.
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolio may participate in an interfund lending program among certain
portfolios managed by the Advisor (portfolios that operate as feeder funds do
not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice. The Portfolio did not utilize the
interfund lending program during the year ended October 31, 2015.
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 October 31, 2015, three shareholders held 83% 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.
232
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of DFA Commodity Strategy Portfolio:
In our opinion, the accompanying consolidated statement of assets and
liabilities, including the consolidated schedule of investments, and the
related consolidated statements of operations and of changes in net assets and
the financial highlights present fairly, in all material respects, the
financial position of DFA Commodity Strategy Portfolio and its subsidiary (one
of the portfolios constituting DFA Investment Dimensions Group Inc., hereafter
referred to as the "Portfolio") at October 31, 2015, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended and the financial highlights for each of
the periods indicated, in conformity with accounting principles generally
accepted in the United States of America. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolio's management. Our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 2015 by correspondence with the
custodian, brokers and the transfer agent of the investee fund, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
233
RESULTS OF THE SHAREHOLDER MEETING
(Unaudited)
On May 8, 2015 and June 10, 2015, DFA Investment Dimensions Group Inc.
("DFAIDG") held a Special Joint Meeting of Shareholders for the purpose of
voting on several proposals affecting DFAIDG and the Portfolio, including,
among other items, the election of Directors, the approval of an updated
investment management agreement, and the amendment of certain fundamental
investment limitations. The shareholders of the Portfolio approved each of the
applicable proposals for DFAIDG and the Portfolio presented at the Meeting.
Listed below are the voting results from the Meeting. Please note that not all
Proposals presented at the Meeting were voted on by the Portfolio.
Additionally, the Proposal numbers reflected below correlate to the Proposal
numbers presented for vote at the Meeting.
DFAIDG
Proposal 1: Election of Directors/Trustees*
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
------------- ------- ------ ----------- -------- ----------
(a) David G. Booth........... 9,813,303,615 98.22% 63.03% 178,323,699 1.78% 1.15%
(b) George M. Constantinides. 9,825,715,266 98.34% 63.11% 165,912,043 1.66% 1.07%
(c) John P. Gould............ 9,821,346,669 98.30% 63.09% 170,280,645 1.70% 1.09%
(d) Roger G. Ibbotson........ 9,825,084,982 98.33% 63.11% 166,542,033 1.67% 1.07%
(e) Edward P. Lazear......... 9,824,635,836 98.33% 63.11% 166,991,519 1.67% 1.07%
(f) Eduardo A. Repetto....... 9,836,468,256 98.45% 63.18% 155,159,090 1.55% 1.00%
(g) Myron S. Scholes......... 9,816,729,833 98.25% 63.06% 174,897,480 1.75% 1.12%
(h) Abbie J. Smith........... 9,806,645,531 98.15% 62.99% 184,978,779 1.85% 1.19%
* Results are for all Portfolios within DFAIDG
DFA Commodity Strategy Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 100,488,767 99.04% 57.87% 969,881 0.96% 0.56%
(b) George M. Constantinides. 100,459,998 99.02% 57.86% 998,650 0.98% 0.58%
(c) John P. Gould............ 100,462,116 99.02% 57.86% 996,532 0.98% 0.57%
(d) Roger G. Ibbotson........ 100,454,316 99.01% 57.85% 1,004,332 0.99% 0.58%
(e) Edward P. Lazear......... 100,487,404 99.04% 57.87% 971,244 0.96% 0.56%
(f) Eduardo A. Repetto....... 100,479,753 99.04% 57.87% 978,895 0.96% 0.56%
(g) Myron S. Scholes......... 100,491,501 99.05% 57.88% 967,147 0.95% 0.56%
(h) Abbie J. Smith........... 100,473,688 99.03% 57.87% 984,960 0.97% 0.57%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- ---------- --------
76,444,079 75.35% 44.03% 748,789 0.74% 0.43% 875,040 0.86% 0.50% 23,390,740 23.05%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- ---------- --------
76,650,721 75.55% 44.14% 585,567 0.58% 0.34% 831,622 0.82% 0.48% 23,390,740 23.05%
234
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO -- CLASS R2 VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
April 30, 2008-October 31, 2015
[CHART]
DFA International Value MSCI World ex USA Index
Portfolio - Class R2 (net dividends)
----------------------- ------------------------
4/1/2008 $10,000 $10,000
5/1/2008 10,000 10,152
6/1/2008 9,006 9,362
7/1/2008 8,752 9,029
8/1/2008 8,381 8,680
9/1/2008 7,404 7,427
10/1/2008 5,537 5,882
11/1/2008 5,194 5,563
12/1/2008 5,594 5,856
1/1/2009 4,819 5,310
2/1/2009 4,220 4,772
3/1/2009 4,686 5,087
4/1/2009 5,539 5,743
5/1/2009 6,361 6,469
6/1/2009 6,268 6,402
7/1/2009 7,007 7,003
8/1/2009 7,404 7,339
9/1/2009 7,789 7,641
10/1/2009 7,467 7,519
11/1/2009 7,685 7,705
12/1/2009 7,769 7,828
1/1/2010 7,316 7,461
2/1/2010 7,340 7,453
3/1/2010 7,920 7,933
4/1/2010 7,781 7,815
5/1/2010 6,874 6,952
6/1/2010 6,751 6,852
7/1/2010 7,584 7,485
8/1/2010 7,209 7,261
9/1/2010 7,990 7,958
10/1/2010 8,259 8,241
11/1/2010 7,836 7,892
12/1/2010 8,567 8,528
1/1/2011 8,931 8,712
2/1/2011 9,224 9,035
3/1/2011 8,966 8,854
4/1/2011 9,443 9,336
5/1/2011 9,097 9,059
6/1/2011 8,968 8,930
7/1/2011 8,679 8,783
8/1/2011 7,744 8,040
9/1/2011 6,896 7,233
10/1/2011 7,555 7,936
11/1/2011 7,306 7,569
12/1/2011 7,106 7,487
1/1/2012 7,579 7,891
2/1/2012 7,974 8,325
3/1/2012 7,907 8,263
4/1/2012 7,622 8,123
5/1/2012 6,676 7,197
6/1/2012 7,146 7,669
7/1/2012 7,112 7,764
8/1/2012 7,407 7,986
9/1/2012 7,665 8,228
10/1/2012 7,759 8,286
11/1/2012 7,877 8,460
12/1/2012 8,263 8,716
1/1/2013 8,646 9,144
2/1/2013 8,382 9,053
3/1/2013 8,408 9,125
4/1/2013 8,817 9,541
5/1/2013 8,707 9,327
6/1/2013 8,400 8,978
7/1/2013 8,968 9,455
8/1/2013 8,902 9,333
9/1/2013 9,570 9,993
10/1/2013 9,901 10,328
11/1/2013 9,931 10,391
12/1/2013 10,149 10,548
1/1/2014 9,775 10,122
2/1/2014 10,328 10,675
3/1/2014 10,249 10,627
4/1/2014 10,420 10,794
5/1/2014 10,529 10,961
6/1/2014 10,661 11,117
7/1/2014 10,419 10,919
8/1/2014 10,419 10,928
9/1/2014 9,956 10,479
10/1/2014 9,782 10,312
11/1/2014 9,787 10,439
12/1/2014 9,412 10,092
1/1/2015 9,348 10,056
2/1/2015 10,014 10,657
3/1/2015 9,801 10,479
4/1/2015 10,334 10,933
5/1/2015 10,334 10,838
6/1/2015 10,032 10,530
7/1/2015 9,934 10,697
8/1/2015 9,191 9,917 Past performance is not predictive of
9/1/2015 8,557 9,417 future performance.
10/1/2015 9,216 10,125 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Since would pay on fund distributions or the
Total Return Year Years Inception redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2015, all
-5.78% 2.22% -1.08% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
DFA International Value MSCI World ex USA Index
Portfolio-Institutional Class (net div.)
----------------------------- -----------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,179 10,265
12/1/2005 10,673 10,741
1/1/2006 11,401 11,420
2/1/2006 11,507 11,382
3/1/2006 11,992 11,743
4/1/2006 12,595 12,304
5/1/2006 12,086 11,837
6/1/2006 12,004 11,822
7/1/2006 12,190 11,932
8/1/2006 12,603 12,271
9/1/2006 12,780 12,262
10/1/2006 13,344 12,746
11/1/2006 13,781 13,126
12/1/2006 14,318 13,502
1/1/2007 14,584 13,584
2/1/2007 14,572 13,693
3/1/2007 15,039 14,044
4/1/2007 15,794 14,683
5/1/2007 16,333 15,009
6/1/2007 16,214 15,024
7/1/2007 15,761 14,816
8/1/2007 15,578 14,602
9/1/2007 16,389 15,432
10/1/2007 17,180 16,102
11/1/2007 16,136 15,473
12/1/2007 15,784 15,182
1/1/2008 14,506 13,813
2/1/2008 14,318 14,063
3/1/2008 14,490 13,863
4/1/2008 15,133 14,633
5/1/2008 15,140 14,855
6/1/2008 13,637 13,700
7/1/2008 13,251 13,212
8/1/2008 12,692 12,702
9/1/2008 11,210 10,868
10/1/2008 8,398 8,607
11/1/2008 7,882 8,140
12/1/2008 8,471 8,569
1/1/2009 7,304 7,770
2/1/2009 6,407 6,983
3/1/2009 7,103 7,443
4/1/2009 8,408 8,403
5/1/2009 9,658 9,466
6/1/2009 9,513 9,368
7/1/2009 10,639 10,248
8/1/2009 11,243 10,739
9/1/2009 11,821 11,182
10/1/2009 11,346 11,002
11/1/2009 11,677 11,275
12/1/2009 11,813 11,454
1/1/2010 11,127 10,917
2/1/2010 11,162 10,906
3/1/2010 12,052 11,608
4/1/2010 11,844 11,435
5/1/2010 10,450 10,173
6/1/2010 10,268 10,026
7/1/2010 11,549 10,953
8/1/2010 10,979 10,626
9/1/2010 12,155 11,645
10/1/2010 12,586 12,060
11/1/2010 11,943 11,549
12/1/2010 13,062 12,479
1/1/2011 13,616 12,748
2/1/2011 14,064 13,220
3/1/2011 13,676 12,956
4/1/2011 14,403 13,661
5/1/2011 13,883 13,256
6/1/2011 13,689 13,067
7/1/2011 13,247 12,852
8/1/2011 11,827 11,765
9/1/2011 10,533 10,584
10/1/2011 11,532 11,613
11/1/2011 11,160 11,076
12/1/2011 10,861 10,956
1/1/2012 11,591 11,547
2/1/2012 12,188 12,182
3/1/2012 12,093 12,092
4/1/2012 11,657 11,887
5/1/2012 10,218 10,531
6/1/2012 10,937 11,221
7/1/2012 10,892 11,361
8/1/2012 11,336 11,685
9/1/2012 11,739 12,040
10/1/2012 11,890 12,125
11/1/2012 12,072 12,380
12/1/2012 12,666 12,754
1/1/2013 13,253 13,381
2/1/2013 12,856 13,248
3/1/2013 12,894 13,353
4/1/2013 13,529 13,961
5/1/2013 13,360 13,648
6/1/2013 12,889 13,137
7/1/2013 13,769 13,836
8/1/2013 13,668 13,658
9/1/2013 14,699 14,623
10/1/2013 15,207 15,113
11/1/2013 15,262 15,206
12/1/2013 15,593 15,435
1/1/2014 15,019 14,812
2/1/2014 15,876 15,620
3/1/2014 15,762 15,550
4/1/2014 16,025 15,796
5/1/2014 16,201 16,040
6/1/2014 16,396 16,268
7/1/2014 16,031 15,978
8/1/2014 16,031 15,991
9/1/2014 15,329 15,334
10/1/2014 15,060 15,090
11/1/2014 15,068 15,276
12/1/2014 14,503 14,768
1/1/2015 14,405 14,715
2/1/2015 15,432 15,595
3/1/2015 15,103 15,334
4/1/2015 15,933 15,998
5/1/2015 15,941 15,859
6/1/2015 15,477 15,408
7/1/2015 15,327 15,652
8/1/2015 14,181 14,512 Past performance is not predictive of
9/1/2015 13,211 13,780 future performance.
10/1/2015 14,220 14,816 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
------------------------------------------------------------- MSCI data copyright MSCI 2015, all
-5.58% 2.47% 3.58% rights reserved.
--------------------------------------------------------------------------------
235
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500 INDEX
October 31, 2005-October 31, 2015
[CHART]
U.S. Large Company
Portfolio S&P 500 Index
------------------ -------------
10/1/2005 $10,000 $10,000
11/1/2005 10,381 10,378
12/1/2005 10,383 10,382
1/1/2006 10,660 10,657
2/1/2006 10,681 10,686
3/1/2006 10,815 10,819
4/1/2006 10,965 10,964
5/1/2006 10,645 10,648
6/1/2006 10,666 10,663
7/1/2006 10,730 10,729
8/1/2006 10,987 10,984
9/1/2006 11,264 11,267
10/1/2006 11,630 11,634
11/1/2006 11,846 11,855
12/1/2006 12,016 12,022
1/1/2007 12,200 12,204
2/1/2007 11,962 11,965
3/1/2007 12,088 12,099
4/1/2007 12,631 12,635
5/1/2007 13,066 13,076
6/1/2007 12,855 12,858
7/1/2007 12,451 12,460
8/1/2007 12,637 12,646
9/1/2007 13,110 13,119
10/1/2007 13,319 13,328
11/1/2007 12,759 12,771
12/1/2007 12,679 12,682
1/1/2008 11,917 11,921
2/1/2008 11,530 11,534
3/1/2008 11,487 11,484
4/1/2008 12,041 12,043
5/1/2008 12,196 12,200
6/1/2008 11,173 11,172
7/1/2008 11,084 11,078
8/1/2008 11,240 11,238
9/1/2008 10,250 10,236
10/1/2008 8,536 8,517
11/1/2008 7,931 7,906
12/1/2008 8,018 7,990
1/1/2009 7,350 7,317
2/1/2009 6,569 6,538
3/1/2009 7,145 7,110
4/1/2009 7,829 7,791
5/1/2009 8,273 8,227
6/1/2009 8,283 8,243
7/1/2009 8,913 8,866
8/1/2009 9,234 9,186
9/1/2009 9,580 9,529
10/1/2009 9,396 9,352
11/1/2009 9,960 9,913
12/1/2009 10,153 10,105
1/1/2010 9,793 9,741
2/1/2010 10,095 10,043
3/1/2010 10,706 10,649
4/1/2010 10,869 10,817
5/1/2010 9,997 9,953
6/1/2010 9,474 9,432
7/1/2010 10,139 10,093
8/1/2010 9,684 9,638
9/1/2010 10,545 10,498
10/1/2010 10,944 10,897
11/1/2010 10,944 10,898
12/1/2010 11,675 11,627
1/1/2011 11,958 11,902
2/1/2011 12,359 12,310
3/1/2011 12,373 12,315
4/1/2011 12,728 12,680
5/1/2011 12,586 12,536
6/1/2011 12,373 12,327
7/1/2011 12,123 12,077
8/1/2011 11,470 11,421
9/1/2011 10,658 10,618
10/1/2011 11,829 11,778
11/1/2011 11,793 11,752
12/1/2011 11,921 11,872
1/1/2012 12,450 12,404
2/1/2012 12,980 12,941
3/1/2012 13,415 13,367
4/1/2012 13,330 13,283
5/1/2012 12,521 12,484
6/1/2012 13,039 12,999
7/1/2012 13,221 13,179
8/1/2012 13,512 13,476
9/1/2012 13,861 13,825
10/1/2012 13,605 13,569
11/1/2012 13,691 13,648
12/1/2012 13,806 13,772
1/1/2013 14,520 14,486
2/1/2013 14,717 14,682
3/1/2013 15,270 15,233
4/1/2013 15,566 15,526
5/1/2013 15,924 15,890
6/1/2013 15,717 15,676
7/1/2013 16,510 16,474
8/1/2013 16,027 15,997
9/1/2013 16,531 16,498
10/1/2013 17,292 17,257
11/1/2013 17,816 17,783
12/1/2013 18,270 18,233
1/1/2014 17,630 17,603
2/1/2014 18,446 18,408
3/1/2014 18,596 18,563
4/1/2014 18,734 18,700
5/1/2014 19,162 19,139
6/1/2014 19,557 19,534
7/1/2014 19,291 19,265
8/1/2014 20,063 20,035
9/1/2014 19,778 19,754
10/1/2014 20,261 20,237
11/1/2014 20,807 20,781
12/1/2014 20,742 20,729
1/1/2015 20,116 20,107
2/1/2015 21,279 21,262
3/1/2015 20,941 20,926
4/1/2015 21,133 21,127
5/1/2015 21,403 21,398
6/1/2015 20,995 20,984
7/1/2015 21,433 21,424
8/1/2015 20,144 20,131 Past performance is not predictive of
9/1/2015 19,645 19,633 future performance.
10/1/2015 21,292 21,289 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
------------------------------------------- The S&P data are provided by Standard
5.09% 14.24% 7.85% & Poor's Index Services Group.
--------------------------------------------------------------------------------
236
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(Unaudited)
International Equity Market Review 12 Months Ended October 31, 2015
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks and growth stocks had positive returns while large-cap stocks
and value stocks had negative returns. As measured by the MSCI World ex USA
indices, small-cap stocks outperformed large-cap stocks, and growth stocks
outperformed value stocks.
12 Months Ended October 31, 2015
--------------------------------
Return in U.S. Dollars
- ----------------------
MSCI World ex USA Index........... -1.81%
MSCI World ex USA Small Cap Index. 4.66%
MSCI World ex USA Value Index..... -5.92%
MSCI World ex USA Growth Index.... 2.33%
During the period, the U.S. dollar (USD) appreciated against most developed
markets currencies, decreasing USD-denominated returns in developed markets.
12 Months Ended October 31, 2015
--------------------------------
Ten Largest Foreign Developed Markets by Market Cap Local Return Return in U.S. Dollars
--------------------------------------------------- ------------ ----------------------
United Kingdom.................... 0.01% -3.45%
Japan............................. 17.41% 9.07%
Canada............................ -5.27% -18.37%
France............................ 18.69% 4.64%
Switzerland....................... 3.70% 1.25%
Germany........................... 16.20% 2.45%
Australia......................... -2.25% -20.66%
Spain............................. 0.50% -11.40%
Hong Kong......................... -1.73% -1.67%
Sweden............................ 9.47% -4.59%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2015, all rights reserved.
Emerging markets had weaker performance over the period than non-U.S.
developed markets. As measured by the MSCI emerging markets indices, small-cap
stocks outperformed large-cap stocks, and growth stocks outperformed value
stocks.
12 Months Ended October 31, 2015
--------------------------------
Return in U.S. Dollars
- ----------------------
MSCI Emerging Markets Index........... -14.53%
MSCI Emerging Markets Small Cap Index. -8.61%
MSCI Emerging Markets Value Index..... -17.62%
MSCI Emerging Markets Growth Index.... -11.50%
During the period, the U.S. dollar (USD) appreciated against most emerging
markets currencies, decreasing USD-denominated returns in emerging markets.
237
12 Months Ended October 31, 2015
--------------------------------
Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollars
------------------------------------------ ------------ ----------------------
China........................ -0.76% -0.70%
Korea........................ -0.03% -6.28%
Taiwan....................... -2.50% -8.65%
India........................ -2.15% -8.06%
South Africa................. 7.82% -13.73%
Brazil....................... -15.36% -45.97%
Mexico....................... 0.26% -18.22%
Russia....................... 8.87% -20.92%
Malaysia..................... -8.60% -30.02%
Indonesia.................... -12.35% -22.61%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2015, all rights reserved.
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
International Equity Portfolio Performance Overview
DFA International Value Portfolio
The DFA International Value Portfolio is designed to capture the returns of
international large-cap value stocks by purchasing shares of The DFA
International Value Series, a Master Fund that invests in such stocks. Value is
measured primarily by book-to-market ratio. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2015, the Master
Fund held approximately 520 securities in 22 eligible developed countries. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Master Fund's assets.
For the 12 months ending October 31, 2015, total returns were -5.78% for the
Portfolio's Class R2 shares, -5.58% for the Portfolio's Institutional Class
shares, and -1.81% for the MSCI World ex USA Index (net dividends). As a result
of the Master Fund's diversified investment approach, performance was
determined principally by broad trends in international equity markets rather
than the behavior of a limited number of stocks. The Master Fund had
significantly greater exposure than the Index to value stocks. Value stocks
generally underperformed during the period, which detracted from the
Portfolio's relative performance. Differences in the valuation timing and
methodology between the Master Fund and the Index generally detracted from the
Portfolio's relative performance. The Master Fund prices foreign exchange rates
at the closing of the U.S. markets while the Index uses rates at 4 p.m. London
time. The Master Fund also may use fair value pricing to price certain
portfolio securities at the closing of the U.S. markets while the Index uses
local market closing prices.
U.S. Equity Market Review 12 Months Ended October 31, 2015
U.S. equities had positive returns during the period. The broad U.S. equity
market, as measured by the Russell 3000(R) Index, gained approximately 4.5%.
Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
Total Return for 12 Months Ended October 31, 2015
-------------------------------------------------
Russell 3000(R) Index........................ 4.49%
Russell Microcap(R) Index (micro-cap stocks). 0.82%
Russell 2000(R) Index (small-cap stocks)..... 0.34%
Russell 1000(R) Index (large-cap stocks)..... 4.86%
Dow Jones U.S. Select REIT Index/SM/......... 6.87%
238
Growth stocks outperformed value stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2015
-------------------------------------------------
Russell 2000(R) Value Index (small cap value stocks)... -2.88%
Russell 2000(R) Growth Index (small cap growth stocks). 3.52%
Russell 1000(R) Value Index (large cap value stocks)... 0.53%
Russell 1000(R) Growth Index (large cap growth stocks). 9.18%
----------
Source: Russell data copyright (C) Russell Investment Group 1995-2015, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
period were primarily attributable to differences in value/growth and size
characteristics as well as the exclusion of REIT securities from most
Dimensional portfolios and the exclusion of securities of highly regulated
utilities from most value strategies. For many portfolios, the construction
approach used by Dimensional generally resulted in portfolios with greater
weight in value, small-cap, and/or micro-cap companies relative to widely used
benchmarks.
U.S. Large Company Portfolio
The U.S. Large Company Portfolio seeks to approximate the returns of the S&P
500(R) Index by investing in S&P 500(R) Index securities in approximately the
same proportions as they are represented in the Index. In addition to
individual stocks, the Portfolio uses futures to gain market exposure for
uninvested cash. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, the total return was 5.09% for the
Portfolio and 5.20% for the S&P 500(R) Index. The Portfolio's return is net of
fees and expenses. The impact of fees and expenses was primarily responsible
for the performance difference.
239
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2015
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
DFA International Value Portfolio**
-----------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $ 891.80 0.69% $3.29
Institutional Class Shares......... $1,000.00 $ 892.50 0.44% $2.10
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,021.73 0.69% $3.52
Institutional Class Shares......... $1,000.00 $1,022.99 0.44% $2.24
240
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
U.S. Large Company Portfolio
----------------------------
Actual Fund Return............ $1,000.00 $1,007.50 0.08% $0.40
Hypothetical 5% Annual Return. $1,000.00 $1,024.80 0.08% $0.41
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
241
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional
Investment Group Inc., this would be for the fiscal quarters ending January 31
and July 31. The Form N-Q filing must be made within 60 days of the end of the
quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with
the SEC on September 29, 2015. They are 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....................... 13.2%
Consumer Staples............................. 9.7%
Energy....................................... 7.1%
Financials................................... 13.6%
Health Care.................................. 14.6%
Industrials.................................. 10.2%
Information Technology....................... 20.8%
Materials.................................... 2.9%
Real Estate Investment Trusts................ 2.6%
Telecommunication Services................... 2.4%
Utilities.................................... 2.9%
-----
100.0%
242
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2015
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The DFA International Value Series of
The DFA Investment Trust Company..................... $6,804,066,681
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $6,822,176,914)............................. $6,804,066,681
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2015,
based on their valuation inputs, is located within this report (See Master
Fund's Security Valuation Note).
See accompanying Notes to Financial Statements.
243
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (94.3%)
Consumer Discretionary -- (12.4%)
* Amazon.com, Inc................... 121,224 $ 75,874,102 1.3%
Comcast Corp. Class A............. 668,443 41,857,901 0.7%
Home Depot, Inc. (The)............ 405,880 50,183,003 0.9%
McDonald's Corp................... 297,688 33,415,478 0.6%
NIKE, Inc. Class B................ 214,269 28,075,667 0.5%
Starbucks Corp.................... 469,127 29,353,276 0.5%
Walt Disney Co. (The)............. 490,819 55,825,753 1.0%
Other Securities.................. 447,404,205 7.6%
------------ -----
Total Consumer Discretionary.......... 761,989,385 13.1%
------------ -----
Consumer Staples -- (9.1%)
Altria Group, Inc................. 619,738 37,475,557 0.6%
Coca-Cola Co. (The)............... 1,237,457 52,406,304 0.9%
CVS Health Corp................... 352,268 34,797,033 0.6%
PepsiCo, Inc...................... 464,320 47,448,861 0.8%
Philip Morris International, Inc.. 489,668 43,286,651 0.7%
Procter & Gamble Co. (The)........ 857,388 65,487,295 1.1%
Wal-Mart Stores, Inc.............. 498,797 28,551,140 0.5%
Other Securities.................. 252,221,401 4.5%
------------ -----
Total Consumer Staples................ 561,674,242 9.7%
------------ -----
Energy -- (6.7%)
Chevron Corp...................... 594,780 54,053,606 0.9%
Exxon Mobil Corp.................. 1,317,882 109,041,557 1.9%
Schlumberger, Ltd................. 399,984 31,262,749 0.5%
Other Securities.................. 217,633,823 3.8%
------------ -----
Total Energy.......................... 411,991,735 7.1%
------------ -----
Financials -- (12.8%)
Bank of America Corp.............. 3,308,905 55,523,426 1.0%
* Berkshire Hathaway, Inc. Class B.. 592,145 80,543,563 1.4%
Citigroup, Inc.................... 951,354 50,583,492 0.9%
JPMorgan Chase & Co............... 1,168,888 75,101,054 1.3%
Wells Fargo & Co.................. 1,476,526 79,939,118 1.4%
Other Securities.................. 444,909,043 7.5%
------------ -----
Total Financials...................... 786,599,696 13.5%
------------ -----
Health Care -- (13.7%)
AbbVie, Inc....................... 523,201 31,156,620 0.5%
* Allergan P.L.C.................... 124,421 38,380,146 0.7%
Amgen, Inc........................ 239,668 37,910,684 0.7%
Bristol-Myers Squibb Co........... 527,066 34,760,003 0.6%
* Celgene Corp...................... 249,874 30,662,038 0.5%
Gilead Sciences, Inc.............. 463,882 50,159,561 0.9%
Johnson & Johnson................. 875,261 88,427,619 1.5%
Medtronic P.L.C................... 446,998 33,042,092 0.6%
Merck & Co., Inc.................. 890,284 48,662,923 0.8%
Pfizer, Inc....................... 1,949,380 65,928,032 1.1%
UnitedHealth Group, Inc........... 301,403 35,499,245 0.6%
Other Securities.................. 350,259,076 6.0%
------------ -----
Total Health Care..................... 844,848,039 14.5%
------------ -----
244
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (9.6%)
3M Co.............................................. 197,470 $ 31,044,259 0.5%
# Boeing Co. (The)................................... 201,889 29,893,704 0.5%
General Electric Co................................ 3,191,286 92,291,991 1.6%
Other Securities................................... 436,997,169 7.6%
-------------- ------
Total Industrials........................................ 590,227,123 10.2%
-------------- ------
Information Technology -- (19.7%)
* Alphabet, Inc. Class A............................. 91,627 67,564,834 1.1%
* Alphabet, Inc. Class C............................. 93,490 66,453,627 1.1%
Apple, Inc......................................... 1,802,520 215,401,140 3.7%
Cisco Systems, Inc................................. 1,607,551 46,377,846 0.8%
* Facebook, Inc. Class A............................. 714,259 72,832,990 1.2%
Intel Corp......................................... 1,502,648 50,879,661 0.9%
International Business Machines Corp............... 284,842 39,900,667 0.7%
MasterCard, Inc. Class A........................... 315,447 31,226,099 0.5%
Microsoft Corp..................................... 2,528,007 133,074,289 2.3%
Oracle Corp........................................ 1,027,913 39,924,141 0.7%
QUALCOMM, Inc...................................... 496,627 29,509,576 0.5%
# Visa, Inc. Class A................................. 616,796 47,851,034 0.8%
Other Securities................................... 366,789,748 6.5%
-------------- ------
Total Information Technology............................. 1,207,785,652 20.8%
-------------- ------
Materials -- (2.8%)
Other Securities................................... 170,817,708 3.0%
-------------- ------
Real Estate Investment Trusts -- (2.5%)
Other Securities................................... 151,353,159 2.6%
-------------- ------
Telecommunication Services -- (2.2%)
AT&T, Inc.......................................... 1,944,212 65,150,544 1.1%
Verizon Communications, Inc........................ 1,285,086 60,244,832 1.1%
Other Securities................................... 11,559,523 0.2%
-------------- ------
Total Telecommunication Services......................... 136,954,899 2.4%
-------------- ------
Utilities -- (2.8%)
Other Securities................................... 170,028,291 2.9%
-------------- ------
TOTAL COMMON STOCKS...................................... 5,794,269,929 99.8%
-------------- ------
TOTAL INVESTMENT SECURITIES.............................. 5,794,269,929
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional Liquid Reserves, 0.140%. 6,681,027 6,681,027 0.1%
-------------- ------
SECURITIES LENDING COLLATERAL -- (5.6%)
(S)@ DFA Short Term Investment Fund..................... 29,734,142 344,024,017 5.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,253,320,307)................................ $6,144,974,973 105.8%
============== ======
245
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2015, 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........ $ 761,989,385 -- -- $ 761,989,385
Consumer Staples.............. 561,674,242 -- -- 561,674,242
Energy........................ 411,991,735 -- -- 411,991,735
Financials.................... 786,599,696 -- -- 786,599,696
Health Care................... 844,848,039 -- -- 844,848,039
Industrials................... 590,227,123 -- -- 590,227,123
Information Technology........ 1,207,785,652 -- -- 1,207,785,652
Materials..................... 170,817,708 -- -- 170,817,708
Real Estate Investment Trusts. 151,353,159 -- -- 151,353,159
Telecommunication Services.... 136,954,899 -- -- 136,954,899
Utilities..................... 170,028,291 -- -- 170,028,291
Temporary Cash Investments...... 6,681,027 -- -- 6,681,027
Securities Lending Collateral... -- $344,024,017 -- 344,024,017
Futures Contracts**............. 258,734 -- -- 258,734
-------------- ------------ -- --------------
TOTAL........................... $5,801,209,690 $344,024,017 -- $6,145,233,707
============== ============ == ==============
**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.
246
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands, except share and per share amounts)
DFA U.S. Large
International Company
Value Portfolio Portfolio*
--------------- ------------
ASSETS:
Investments in Affiliated Investment Company at Value................................ $ 6,804,067 --
Investments at Value (including $0 and $528,878 of securities on loan, respectively). -- $ 5,794,270
Temporary Cash Investments at Value & Cost........................................... -- 6,681
Collateral from Securities on Loan Invested in Affiliate at Value & Cost............. -- 344,024
Segregated Cash for Futures Contracts................................................ -- 745
Cash................................................................................. -- 3,433
Receivables:
Dividends, Interest and Tax Reclaims............................................... -- 6,763
Securities Lending Income.......................................................... -- 66
Fund Shares Sold................................................................... 7,118 2,201
Prepaid Expenses and Other Assets.................................................. 76 69
-------------- ------------
Total Assets.................................................................... 6,811,261 6,158,252
-------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................................................... -- 344,024
Fund Shares Redeemed............................................................... 3,885 2,810
Due to Advisor..................................................................... 1,149 21
Futures Margin Variation........................................................... -- 76
Accrued Expenses and Other Liabilities............................................... 342 578
-------------- ------------
Total Liabilities............................................................... 5,376 347,509
-------------- ------------
NET ASSETS........................................................................... $ 6,805,885 $ 5,810,743
============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $10,404 and $0 and shares outstanding of
614,669 and 0, respectively......................................................... $ 16.93 N/A
============== ============
NUMBER OF SHARES AUTHORIZED.......................................................... 100,000,000 N/A
============== ============
Institutional Class Shares -- based on net assets of $6,795,481 and $5,810,743 and
shares outstanding of 401,523,749 and 353,808,210, respectively..................... $ 16.92 $ 16.42
============== ============
NUMBER OF SHARES AUTHORIZED.......................................................... 1,500,000,000 900,000,000
============== ============
Investments in Affiliated Investment Companies at Cost............................... $ 6,822,177 $ --
-------------- ------------
Investments at Cost.................................................................. $ -- $ 2,902,615
============== ============
NET ASSETS CONSIST OF:
Paid-In Capital...................................................................... $ 7,101,251 $ 3,032,515
Undistributed Net Investment Income (Distributions in Excess of Net Investment
Income)............................................................................. 27,926 10,643
Accumulated Net Realized Gain (Loss)................................................. (304,989) (124,327)
Net Unrealized Foreign Exchange Gain (Loss).......................................... (193) --
Net Unrealized Appreciation (Depreciation)........................................... (18,110) 2,891,912
-------------- ------------
NET ASSETS........................................................................... $ 6,805,885 $ 5,810,743
============== ============
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
247
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(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 $19,467 and $0, respectively)................. $ 241,687 --
Income from Securities Lending............................................................ 6,887 --
Expenses Allocated from Affiliated Investment Company..................................... (15,416) --
--------- --------
Total Net Investment Income Received from Affiliated Investment Companies.............. 233,158 --
--------- --------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0 and $9, respectively)...................... -- $120,383
Income from Securities Lending............................................................ -- 600
--------- --------
Total Investment Income................................................................ -- 120,983
--------- --------
Expenses
Investment Advisory Services Fees......................................................... 7,652 3,413
Administrative Services Fees.............................................................. 10,266 --
Accounting & Transfer Agent Fees.......................................................... 44 324
S&P 500(R) Fees........................................................................... -- 103
Custodian Fees............................................................................ -- 91
Shareholder Servicing Fees -- Class R2 Shares............................................. 27 --
Filing Fees............................................................................... 167 75
Shareholders' Reports..................................................................... 284 141
Directors'/Trustees' Fees & Expenses...................................................... 34 28
Professional Fees......................................................................... 22 477
Other..................................................................................... 394 377
--------- --------
Total Expenses......................................................................... 18,890 5,029
--------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................. (3,826) (478)
--------- --------
Net Expenses.............................................................................. 15,064 4,551
--------- --------
Net Investment Income (Loss).............................................................. 218,094 116,432
--------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................................ 185,379 174,452
Futures................................................................................. -- 2,961
Foreign Currency Transactions........................................................... (4,394) --
In-Kind Redemptions..................................................................... -- 70,875
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............................................. (768,572) (67,093)
Futures................................................................................. -- (2,353)
Translation of Foreign Currency Denominated Amounts..................................... 490 --
--------- --------
Net Realized and Unrealized Gain (Loss)................................................... (587,097) 178,842
--------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations............................. $(369,003) $295,274
========= ========
----------
* Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund (Affiliated Investment Company).
**Net of foreign capital gain taxes withheld of $0 and $0, respectively.
See accompanying Notes to Financial Statements.
248
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
DFA International Value U.S. Large Company
Portfolio Portfolio
------------------------ ----------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014
----------- ----------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).................................. $ 218,094 $ 299,034 $ 116,432 $ 103,372
Net Realized Gain (Loss) on:
Investment Securities Sold*................................. 185,379 130,787 174,452 90,274
Futures..................................................... -- -- 2,961 12,101
Foreign Currency Transactions............................... (4,394) (1,306) -- --
In-Kind Redemptions......................................... -- -- 70,875 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (768,572) (506,381) (67,093) 634,795
Futures..................................................... -- (25) (2,353) 345
Translation of Foreign Currency Denominated Amounts......... 490 (1,031) -- --
----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations................................................ (369,003) (78,922) 295,274 840,887
----------- ----------- ---------- ----------
Distributions From:
Net Investment Income:
Class R2 Shares............................................. (293) (347) -- --
Institutional Class Shares.................................. (210,745) (295,058) (110,940) (102,736)
----------- ----------- ---------- ----------
Total Distributions........................................ (211,038) (295,405) (110,940) (102,736)
----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................................. 1,877,719 1,652,421 1,080,396 787,937
Shares Issued in Lieu of Cash Distributions................... 204,539 286,790 95,812 89,598
Shares Redeemed............................................... (1,698,746) (1,090,342) 1,218,173 (864,648)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Capital Share Transactions.... 383,512 848,869 (41,965) 12,887
----------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets.................... (196,529) 474,542 142,368 751,038
Net Assets
Beginning of Year............................................. 7,002,414 6,527,872 5,668,374 4,917,336
----------- ----------- ---------- ----------
End of Year................................................... $ 6,805,885 $ 7,002,414 $5,810,743 $5,668,374
=========== =========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued................................................. 105,639 84,840 66,846 52,855
Shares Issued in Lieu of Cash Distributions................... 11,317 14,488 6,038 6,016
Shares Redeemed............................................... (93,840) (55,963) (74,737) (57,748)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Shares Issued and
Redeemed.................................................. 23,116 43,365 (1,853) 1,123
=========== =========== ========== ==========
Undistributed Net Investment Income (Distributions in Excess
of Net Investment Income)...................................... $ 27,926 $ 22,455 $ 10,643 $ 10,292
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
249
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
DFA International Value Portfolio-Class R2 Shares
--------------------------------------------
Year
Year Year Ended Year Year
Ended Ended Oct. Ended Ended
Oct. 31, Oct. 31, 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................................. $ 18.48 $ 19.46 $15.72 $15.83 $ 17.82
------- ------- ------ ------ -------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................. 0.51 0.74 0.49 0.51 0.53
Net Gains (Losses) on Securities (Realized and Unrealized)....... (1.55) (0.93) 3.77 (0.13) (2.00)
------- ------- ------ ------ -------
Total from Investment Operations................................ (1.04) (0.19) 4.26 0.38 (1.47)
----------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................................ (0.51) (0.79) (0.52) (0.49) (0.52)
------- ------- ------ ------ -------
Total Distributions............................................. (0.51) (0.79) (0.52) (0.49) (0.52)
----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year....................................... $ 16.93 $ 18.48 $19.46 $15.72 $ 15.83
=================================================================== ======== ======== ====== ======== ========
Total Return....................................................... (5.78)% (1.21)% 27.61% 2.70% (8.53)%
----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................ $10,404 $11,200 $5,517 $6,407 $ 6,102
Ratio of Expenses to Average Net Assets (B)........................ 0.68% 0.68% 0.69% 0.71% 0.71%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor).......................................................... 0.73% 0.68% 0.69% 0.71% 0.71%
Ratio of Net Investment Income to Average Net Assets............... 2.81% 3.79% 2.84% 3.33% 2.97%
----------------------------------------------------------------------------------------------------------------------
DFA International Value Portfolio-Institutional Class Shares
------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year................................. $ 18.47 $ 19.45 $ 15.72 $ 15.83 $ 17.81
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)................................. 0.56 0.84 0.52 0.54 0.58
Net Gains (Losses) on Securities (Realized and Unrealized)....... (1.56) (0.98) 3.78 (0.12) (1.99)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations................................ (1.00) (0.14) 4.30 0.42 (1.41)
----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income............................................ (0.55) (0.84) (0.57) (0.53) (0.57)
---------- ---------- ---------- ---------- ----------
Total Distributions............................................. (0.55) (0.84) (0.57) (0.53) (0.57)
----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year....................................... $ 16.92 $ 18.47 $ 19.45 $ 15.72 $ 15.83
=================================================================== ========== ========== ========== ========== ==========
Total Return....................................................... (5.58)% (0.97)% 27.90% 2.98% (8.26)%
----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)................................ $6,795,481 $6,991,214 $6,522,355 $5,480,888 $5,287,323
Ratio of Expenses to Average Net Assets (B)........................ 0.43% 0.43% 0.43% 0.45% 0.45%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor).......................................................... 0.49% 0.43% 0.43% 0.45% 0.45%
Ratio of Net Investment Income to Average Net Assets............... 3.10% 4.29% 3.00% 3.54% 3.26%
----------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
250
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
U.S. Large Company Portfolio
----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Year.......................... $ 15.94 $ 13.87 $ 11.15 $ 9.90 $ 9.34
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
---------------------------------
Net Investment Income (Loss) (A)........................... 0.33 0.29 0.27 0.22 0.19
Net Gains (Losses) on Securities (Realized and Unrealized). 0.47 2.07 2.71 1.25 0.56
---------- ---------- ---------- ---------- ----------
Total from Investment Operations......................... 0.80 2.36 2.98 1.47 0.75
------------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income...................................... (0.32) (0.29) (0.26) (0.22) (0.19)
---------- ---------- ---------- ---------- ----------
Total Distributions...................................... (0.32) (0.29) (0.26) (0.22) (0.19)
------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year................................ $ 16.42 $ 15.94 $ 13.87 $ 11.15 $ 9.90
=========================================================== ========== ========== ========== ========== ==========
Total Return................................................ 5.09% 17.17% 27.10% 15.02% 8.09%
------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)......................... $5,810,743 $5,668,374 $4,917,336 $4,037,336 $3,762,013
Ratio of Expenses to Average Net Assets..................... 0.08% 0.08% 0.09% 0.10% 0.10%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor)............... 0.09% 0.08% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets........ 2.05% 1.95% 2.13% 2.10% 1.95%
Portfolio Turnover Rate..................................... 2% 3% 3% 4% 4%
------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
251
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Investment Group, Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fifteen
portfolios, two of which, DFA International Value Portfolio and U.S. Large
Company Portfolio (the "Portfolios"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
DFA International Value Portfolio (the "Feeder Fund") primarily invests its
assets in The DFA International Value Series (the "Series"), a corresponding
series of The DFA Investment Trust Company. At October 31, 2015, the Feeder
Fund owned 74% 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.
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. 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 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
252
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 U.S.
Large Company Portfolio Summary Schedule of Portfolio Holdings. The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities.
For the year ended October 31, 2015, 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 October 31, 2015, 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 investment advisory
services to the Portfolio. Prior to July 21, 2015, the Advisor received no
additional compensation for the investment advisory services it provided to the
Feeder Funds and the International Small Company Portfolio. On May 8, 2015 and
June 10, 2015 at a Special
253
Joint Meeting of Shareholders, shareholders of the Portfolios approved new
investment management agreements, which became effective July 21, 2015, that
provide a uniform agreement that increases transparency and better describes
all of the services that the Advisor provides to each Portfolio. For the U.S.
Large Company Portfolio, the rate charged under the new investment management
agreement for investment management services is equal to the rate charged under
the Portfolio's previous investment management agreement with the Advisor. For
the Feeder Fund, the new investment management agreement replaced the Feeder
Fund's investment advisory agreement (that provided for no investment advisory
fee at the Feeder Fund level) and administration agreement and charges a rate
equal to the combination of the rate charged under the Feeder Fund's previous
administration agreement with the Advisor and the rate of the advisory fee
charged by the Advisor to the Master Fund in which the Feeder Fund invests. In
order to prevent the Feeder Fund from being subject to a higher level of
investment management fees, the Advisor will permanently waive the Feeder
Fund's investment management fee in the circumstances described in the notes
below. For the year ended October 31, 2015, the U.S. Large Company Portfolio's
investment advisory services/management fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.06% of the
Portfolio's average daily net assets.
Prior to July 21, 2015, the Feeder Fund paid fees to the Advisor pursuant to
an administration agreement for administrative services, including supervision
of services provided by others, providing information to shareholders and the
Board, and other administrative services, that were accrued daily and paid
monthly based on an effective annual rate of 0.20% of the Feeder Fund's average
daily net assets. Effective July 21, 2015, the Feeder Fund's investment
advisory services/management fees pursuant to the new investment management
agreement were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.40% of the Feeder Fund'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 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 U.S. Large Company Portfolio, and a
portion of the Fee Waiver Agreement for the Feeder Fund, will remain in effect
through February 28, 2016, and may only be terminated by the Fund's Board of
Directors prior to that date and shall continue in effect from year to year
thereafter unless terminated by the Fund or the Advisor. The Fee Waiver
Agreement with respect to the total management fees paid by the Feeder Fund, as
described in the notes below, will remain in effect permanently, unless
terminated by the Feeder Fund. For the year ended October 31, 2015, 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 36 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
-------------------------- ----------------- ------------- -----------------
U.S. Large Company Portfolio (1)...... 0.08% $57 $875
DFA International Value Portfolio (2). 0.40% -- --
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) ("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 is within
36 months and will not cause the annualized Portfolio Expenses of the Portfolio
to exceed the Expense Limitation Amount, as listed above.
254
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
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 is within 36
months and did not cause the Portfolio's annualized Portfolio Expenses to
exceed the Previous Expense Limitation Amount.
(2) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Portfolio to
the extent necessary to limit the total management fees paid to the Advisor by
the Portfolio, including the proportionate share of the management fees the
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, to 0.40% of the average net assets of a class of the Portfolio on an
annualized basis (the "Permanent Fee Waiver"). In addition to the Permanent Fee
Waiver, the Advisor has contractually agreed (including for the time period
prior to July 21, 2015) to assume the direct expenses of the Class R2 shares of
the Portfolio (excluding management fees and custodian 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 the average net assets of the Class R2 shares of the Portfolio
(the "Annualized Expense Ratio"). At any time that the annualized expenses of
the Class R2 shares of the Portfolio are less than the Annualized Expense Ratio
listed above, 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 does not cause the annualized expense ratio of the Class R2 shares of
the Portfolio to exceed the Annualized Expense Ratio, as listed above. Except,
the Portfolio is not obligated to reimburse the Advisor for fees waived in
connection with the Permanent Fee Waiver. Also, the Portfolio is not obligated
to reimburse the Advisor for fees previously waived or expenses previously
assumed by the Advisor more than 36 months before the date of such
reimbursement.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the year ended October 31, 2015, the total
related amounts paid by the Fund to the CCO were $30 (in thousands). The total
related amounts paid by each Portfolio are included in Other Expenses on the
Statement of Operations.
D. Deferred Compensation:
At October 31, 2015, 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. $214
U.S. Large Company Portfolio...... 266
E. Purchases and Sales of Securities:
For the year ended October 31, 2015, 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. $440,238 $87,873
There were no purchases or sales of long-term U.S. government securities.
255
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, 2015,
primarily attributable to net foreign currency gains/losses, foreign capital
gains tax reclass and realized gains on securities considered to be "passive
foreign investment companies", were reclassified to the following accounts.
These reclassifications had no effect on net assets or net asset value per
share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
DFA International Value Portfolio. $ 4 $(1,585) $ 1,581
U.S. Large Company Portfolio...... 80,800 (5,141) (75,659)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2014 and October 31, 2015 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- --------
DFA International Value Portfolio
2014.............................. $295,405 -- $295,405
2015.............................. 211,038 -- 211,038
U.S. Large Company Portfolio
2014.............................. 102,736 -- 102,736
2015.............................. 110,940 -- 110,940
At October 31, 2015, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
Net Investment
Income
and Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- -------
U.S. Large Company Portfolio. $5,141 $7,248 $12,389
At October 31, 2015, 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)
-------------- ------------- ------------- -------------- -------------
DFA International Value Portfolio. $34,362 -- $(303,109) $ (26,271) $ (295,018)
U.S. Large Company Portfolio...... 10,909 $47,851 -- 2,719,734 2,778,494
256
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, 2015, 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. $303,109 $303,109
U.S. Large Company Portfolio...... -- --
During the year ended October 31, 2015, 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. $182,318
U.S. Large Company Portfolio...... 109,001
At October 31, 2015, 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)
----------- ------------ ------------ --------------
DFA International Value Portfolio. $6,830,145 -- $(26,079) $ (26,079)
U.S. Large Company Portfolio...... 3,425,240 $2,812,502 (92,767) 2,719,735
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.
257
G. Capital Share Transactions:
The capital share transactions by class were as follows (amounts in
thousands):
Year Year
Ended Ended
Oct. 31, Oct. 31,
2015 2014
-------------------- --------------------
Amount Shares Amount Shares
----------- ------- ----------- -------
DFA International Value Portfolio
Class R2 Shares
Shares Issued........................................ $ 3,876 214 $ 11,741 598
Shares Issued in Lieu of Cash Distributions.......... 293 16 347 17
Shares Redeemed...................................... (4,082) (221) (5,810) (293)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ 87 9 $ 6,278 322
=========== ======= =========== =======
Institutional Class Shares
Shares Issued........................................ $ 1,873,843 105,425 $ 1,640,680 84,242
Shares Issued in Lieu of Cash Distributions.......... 204,246 11,301 286,443 14,471
Shares Redeemed...................................... (1,694,664) (93,619) (1,084,532) (55,670)
----------- ------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 383,425 23,107 $ 842,591 43,043
=========== ======= =========== =======
H. Financial Instruments:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
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 and
options on futures contracts to adjust market exposure based on actual or
expected cash inflows to or outflows from the Portfolios. 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.
258
At October 31, 2015, the U.S. Large Company Portfolio had outstanding
futures contracts (dollar amounts in thousands):
Expiration Number of Contract Unrealized Cash
Description Date Contracts* Value Gain (Loss) Collateral
----------------------- ---------- ---------- -------- ----------- ----------
U.S. Large Company
Portfolio........ S&P 500 Emini Index(R) 12/18/15 151 $15,656 $259 $745
* During the year ended October 31, 2015, U.S. Large Company Portfolio's
average notional contract amount of outstanding futures contracts was $13,890
(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 October 31, 2015:
Location on the Statements of Assets and
Liabilities
---------------------------------------------------
Derivative Type Asset Derivatives Liability Derivatives
--------------- ------------------------ ------------------------
Equity contracts Payables: 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 October 31, 2015
(amounts in thousands):
Liability Derivatives Value
--------------------------
Total Value
at Equity
October 31, 2015 Contracts
---------------- ---------
U.S. Large Company Portfolio. $259 $259
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
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 year
ended October 31, 2015:
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
year ended October 31, 2015 (amounts in thousands):
Realized Gain (Loss) on
Derivatives Recognized in Income
-------------------------------
Equity
Total Contracts
------- ---------
U.S. Large Company Portfolio. $ 2,961 $ 2,961
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
-------------------------------
Equity
Total Contracts
------- ---------
U.S. Large Company Portfolio. $(2,352) $(2,352)
I. Line of Credit and Interfund Lending Program:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective April 1, 2015 with its domestic custodian bank. A line of credit with
259
similar terms was in effect through March 31, 2015. 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
expires on March 30, 2016.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit with its
international custodian bank effective January 9, 2015. A line of credit with
similar terms was in effect through January 8, 2015. 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 8, 2016.
Weighted Weighted Number of Interest Maximum Amount
Average Average Loan Days Expense Borrowed During
Interest Rate Balance Outstanding* Incurred The Period
------------- ------------ ------------ -------- ---------------
U.S. Large Company Portfolio. 0.88% $15,575 27 $10 $73,868
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2015, that the Portfolio's available line
of credit was utilized.
There were no outstanding borrowings by the Portfolios under the lines of
credit as of October 31, 2015.
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolios may participate in an interfund lending program among certain
portfolios managed by the Advisor (portfolios that operate as feeder funds do
not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice. The Portfolios did not utilize the
interfund lending program during the year ended October 31, 2015.
J. Securities Lending:
As of October 31, 2015, U.S. Large Company Portfolio had securities on loan
to brokers/dealers, for which the Portfolio received cash collateral. In
addition, U.S. Large Company Portfolio received non-cash collateral consisting
of short and/or long term U.S. government securities and U.S. Agency Backed
Securities with a market value of $184,929 (amount in thousands). The Portfolio
invests the cash collateral, as described below, and records a liability for
the return of the collateral, during the period the securities are on loan.
Loans of securities are expected at all times to be secured by collateral equal
to at least (i) 100% of the current market value of the loaned securities with
respect to securities of the U.S. government or its agencies, (ii) 102% of the
current market value of the loaned securities with respect to U.S. securities,
and (iii) 105% of the current market value of the loaned securities with
respect to foreign securities. However, daily market fluctuations could cause
the Portfolio's collateral to be lower or higher than the expected thresholds.
If this were to occur, the collateral would be adjusted the next business day
to ensure adequate collateralization. In the event of default or bankruptcy by
the other party to the agreement, realization and/or retention of the
collateral may be subject to legal proceedings. If the borrower fails to return
loaned securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, a Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
260
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 an amount up to 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in the DFA International Value Portfolio's Class R2 Shares.
L. Indemnitees; Contractual Obligations:
Under the Fund's organizational documents, its officers and directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
M. In-Kind Redemptions:
In accordance with guidelines described in the Portfolios' prospectus, the
Portfolios may distribute portfolio securities rather than cash as payment for
a redemption of fund shares (in-kind redemption). For financial reporting
purposes, a Portfolio recognizes a gain on in-kind redemptions to the extent
the value of the distributed securities on the date of redemption exceed the
cost of those securities and a loss on in-kind redemptions to the extent the
cost of the distributed securities on the date of redemption exceeds the value
of those securities. Gains and losses realized on in-kind redemptions are not
recognized for tax purposes and are reclassified from undistributed realized
gain (loss) to paid-in capital.
During the year ended October 31, 2015, U.S. Large Company Portfolio
realized net gains on in-kind redemptions in the amount of $70,875 (amount in
thousands).
N. Other:
At October 31, 2015, the following number of shareholders held the following
approximate percentages of the 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 of
Number of Outstanding
Shareholders Shares
- ------------ -------------
DFA International Value Portfolio -- Class R2 Shares............ 3 93%
DFA International Value Portfolio -- Institutional Class Shares. 3 73%
U.S. Large Company Portfolio.................................... 4 80%
O. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Portfolios
and has determined that there are no other subsequent events requiring
recognition or disclosure in the financial statements.
261
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the schedule of investments/summary schedule of portfolio holdings,
and the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of DFA International Value Portfolio and U.S. Large Company Portfolio
(constituting portfolios within Dimensional Investment Group Inc., hereafter
referred to as the "Portfolios") at October 31, 2015, the results of each of
their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolios' management.
Our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with the standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2015 by
correspondence with the custodian, broker and the transfer agents of the
investee funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
262
RESULTS OF THE SHAREHOLDER MEETING
(Unaudited)
On May 8, 2015 and June 10, 2015, Dimensional Investment Group Inc. ("DIG")
held a Special Joint Meeting of Shareholders for the purpose of voting on
several proposals affecting DIG and the Portfolios, including, among other
items, the election of Directors, the approval of an updated investment
management agreement, and the amendment of certain fundamental investment
limitations. The shareholders of the Portfolios approved each of the applicable
proposals for DIG and the Portfolios presented at the Meeting. Listed below are
the voting results from the Meeting. Please note that not all Proposals
presented at the Meeting were voted on by each Portfolio. Additionally, the
Proposal numbers reflected below correlate to the Proposal numbers presented
for vote at the Meeting.
DIG
Proposal 1: Election of Directors/Trustees*
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ ---------- -------- ----------
(a) David G. Booth........... 939,783,101 98.41% 59.42% 15,145,259 1.59% 0.96%
(b) George M. Constantinides. 939,783,293 98.41% 59.42% 15,145,070 1.59% 0.96%
(c) John P. Gould............ 939,232,722 98.36% 59.38% 15,695,640 1.64% 0.99%
(d) Roger G. Ibbotson........ 939,903,967 98.43% 59.43% 15,024,396 1.57% 0.95%
(e) Edward P. Lazear......... 939,691,278 98.40% 59.41% 15,237,082 1.60% 0.96%
(f) Eduardo A. Repetto....... 939,908,854 98.43% 59.43% 15,019,506 1.57% 0.95%
(g) Myron S. Scholes......... 939,391,166 98.37% 59.39% 15,537,193 1.63% 0.98%
(h) Abbie J. Smith........... 938,479,338 98.28% 59.34% 16,449,025 1.72% 1.04%
* Results are for all Portfolios within DIG
DFA International Value Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 206,343,416 98.06% 52.40% 4,081,532 1.94% 1.04%
(b) George M. Constantinides. 206,448,720 98.11% 52.42% 3,976,229 1.89% 1.01%
(c) John P. Gould............ 206,392,175 98.08% 52.41% 4,032,772 1.92% 1.02%
(d) Roger G. Ibbotson........ 206,417,557 98.10% 52.41% 4,007,393 1.90% 1.02%
(e) Edward P. Lazear......... 206,363,295 98.07% 52.40% 4,061,653 1.93% 1.03%
(f) Eduardo A. Repetto....... 206,462,732 98.12% 52.43% 3,962,216 1.88% 1.01%
(g) Myron S. Scholes......... 205,949,550 97.87% 52.30% 4,475,396 2.13% 1.14%
(h) Abbie J. Smith........... 204,928,341 97.39% 52.04% 5,496,608 2.61% 1.40%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
169,148,727 80.38% 42.95% 4,127,770 1.96% 1.05% 3,156,848 1.50% 0.80% 33,991,603 16.15%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
171,790,492 81.64% 43.62% 1,161,453 0.55% 0.29% 3,481,404 1.65% 0.88% 33,991,603 16.15%
263
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
171,594,952 81.55% 43.57% 1,367,552 0.65% 0.35% 3,470,841 1.65% 0.88% 33,991,603 16.15%
Proposal 7: Election of Trustees of Master Fund
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 206,098,750 97.94% 52.33% 4,326,198 2.06% 1.10%
(b) George M. Constantinides. 206,246,418 98.01% 52.37% 4,178,527 1.99% 1.06%
(c) John P. Gould............ 206,198,706 97.99% 52.36% 4,226,243 2.01% 1.07%
(d) Roger G. Ibbotson........ 206,218,762 98.00% 52.36% 4,206,187 2.00% 1.07%
(e) Edward P. Lazear......... 206,096,489 97.94% 52.33% 4,328,459 2.06% 1.10%
(f) Eduardo A. Repetto....... 206,268,623 98.02% 52.38% 4,156,325 1.98% 1.06%
(g) Myron S. Scholes......... 205,687,646 97.75% 52.23% 4,737,302 2.25% 1.20%
(h) Abbie J. Smith........... 204,724,182 97.29% 51.98% 5,700,767 2.71% 1.45%
Proposal 8: Approval of a "Manager of Managers" Structure for Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
169,242,255 80.43% 42.97% 1,492,817 0.71% 0.38% 5,698,274 2.71% 1.45% 33,991,603 16.15%
Proposal 9: Approval of an Updated Investment Management Agreement Between
Dimensional Fund Advisors LP and Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
171,599,143 81.55% 43.57% 1,288,705 0.61% 0.33% 3,545,498 1.68% 0.90% 33,991,603 16.15%
Proposal 10: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities of Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
171,527,786 81.51% 43.55% 1,446,514 0.69% 0.37% 3,459,044 1.64% 0.88% 33,991,603 16.15%
U.S. Large Company Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 212,041,354 98.41% 60.38% 3,433,906 1.59% 0.98%
(b) George M. Constantinides. 212,055,228 98.41% 60.38% 3,420,032 1.59% 0.97%
(c) John P. Gould............ 211,890,480 98.34% 60.33% 3,584,780 1.66% 1.02%
(d) Roger G. Ibbotson........ 212,100,718 98.43% 60.39% 3,374,543 1.57% 0.96%
(e) Edward P. Lazear......... 212,072,126 98.42% 60.38% 3,403,134 1.58% 0.97%
(f) Eduardo A. Repetto....... 212,084,138 98.43% 60.39% 3,391,122 1.57% 0.97%
(g) Myron S. Scholes......... 212,026,364 98.40% 60.37% 3,448,896 1.60% 0.98%
(h) Abbie J. Smith........... 211,957,852 98.37% 60.35% 3,517,408 1.63% 1.00%
264
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
158,935,073 73.76% 45.25% 1,394,185 0.65% 0.40% 2,647,363 1.23% 0.75% 52,498,639 24.36%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
157,250,246 72.98% 44.77% 2,868,976 1.33% 0.82% 2,857,398 1.33% 0.81% 52,498,639 24.36%
265
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
October 31, 2005-October 31, 2015
[CHART]
The U.S. Large Cap Russell 1000 Value
Value Series Index
-------------------- ------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,399 10,327
12/1/2005 10,413 10,389
1/1/2006 10,910 10,792
2/1/2006 10,873 10,858
3/1/2006 11,067 11,005
4/1/2006 11,377 11,285
5/1/2006 11,170 11,000
6/1/2006 11,266 11,070
7/1/2006 11,104 11,339
8/1/2006 11,286 11,529
9/1/2006 11,599 11,759
10/1/2006 12,059 12,144
11/1/2006 12,288 12,421
12/1/2006 12,534 12,700
1/1/2007 12,900 12,862
2/1/2007 12,706 12,662
3/1/2007 12,795 12,857
4/1/2007 13,339 13,332
5/1/2007 13,889 13,813
6/1/2007 13,665 13,491
7/1/2007 12,819 12,867
8/1/2007 12,573 13,011
9/1/2007 12,901 13,458
10/1/2007 12,974 13,459
11/1/2007 12,249 12,801
12/1/2007 12,208 12,678
1/1/2008 11,742 12,170
2/1/2008 11,382 11,660
3/1/2008 11,276 11,573
4/1/2008 11,986 12,137
5/1/2008 12,274 12,117
6/1/2008 10,929 10,957
7/1/2008 10,810 10,918
8/1/2008 11,019 11,104
9/1/2008 10,029 10,288
10/1/2008 7,775 8,507
11/1/2008 7,012 7,897
12/1/2008 7,240 8,006
1/1/2009 6,381 7,086
2/1/2009 5,486 6,139
3/1/2009 6,029 6,664
4/1/2009 7,004 7,378
5/1/2009 7,540 7,834
6/1/2009 7,448 7,777
7/1/2009 8,157 8,413
8/1/2009 8,711 8,853
9/1/2009 9,092 9,195
10/1/2009 8,700 8,914
11/1/2009 9,190 9,416
12/1/2009 9,444 9,583
1/1/2010 9,225 9,313
2/1/2010 9,623 9,607
3/1/2010 10,373 10,233
4/1/2010 10,702 10,498
5/1/2010 9,784 9,635
6/1/2010 9,046 9,092
7/1/2010 9,755 9,708
8/1/2010 9,167 9,292
9/1/2010 10,061 10,013
10/1/2010 10,436 10,314
11/1/2010 10,355 10,259
12/1/2010 11,365 11,069
1/1/2011 11,728 11,319
2/1/2011 12,363 11,737
3/1/2011 12,421 11,783
4/1/2011 12,738 12,097
5/1/2011 12,553 11,969
6/1/2011 12,334 11,724
7/1/2011 11,769 11,335
8/1/2011 10,777 10,628
9/1/2011 9,686 9,824
10/1/2011 11,030 10,949
11/1/2011 10,938 10,893
12/1/2011 11,025 11,112
1/1/2012 11,573 11,532
2/1/2012 12,242 11,992
3/1/2012 12,467 12,348
4/1/2012 12,213 12,222
5/1/2012 11,348 11,505
6/1/2012 11,959 12,076
7/1/2012 12,075 12,201
8/1/2012 12,553 12,466
9/1/2012 13,015 12,862
10/1/2012 13,050 12,799
11/1/2012 13,078 12,793
12/1/2012 13,476 13,058
1/1/2013 14,417 13,906
2/1/2013 14,601 14,106
3/1/2013 15,299 14,665
4/1/2013 15,461 14,886
5/1/2013 16,096 15,269
6/1/2013 15,917 15,134
7/1/2013 16,869 15,951
8/1/2013 16,372 15,346
9/1/2013 16,851 15,730
10/1/2013 17,705 16,419
11/1/2013 18,449 16,877
12/1/2013 18,940 17,305
1/1/2014 18,190 16,690
2/1/2014 18,807 17,412
3/1/2014 19,251 17,828
4/1/2014 19,378 17,997
5/1/2014 19,805 18,261
6/1/2014 20,342 18,738
7/1/2014 20,197 18,418
8/1/2014 20,838 19,095
9/1/2014 20,324 18,701
10/1/2014 20,480 19,122
11/1/2014 20,722 19,513
12/1/2014 20,878 19,633
1/1/2015 19,845 18,848
2/1/2015 21,247 19,760
3/1/2015 20,843 19,491
4/1/2015 21,265 19,673
5/1/2015 21,501 19,910
6/1/2015 21,155 19,512
7/1/2015 21,103 19,598 Past performance is not predictive of
8/1/2015 19,822 18,430 future performance.
9/1/2015 19,188 17,874 The returns shown do not reflect the
10/1/2015 20,751 19,223 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
--------------------------------------------------- Investment Group 1995-2015, all rights
1.32% 14.74% 7.57% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
The DFA International MSCI World ex
Value Series USA Index (net dividends)
--------------------- -------------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,178 10,265
12/1/2005 10,677 10,741
1/1/2006 11,406 11,420
2/1/2006 11,515 11,382
3/1/2006 12,001 11,743
4/1/2006 12,609 12,304
5/1/2006 12,098 11,837
6/1/2006 12,022 11,822
7/1/2006 12,207 11,932
8/1/2006 12,627 12,271
9/1/2006 12,802 12,262
10/1/2006 13,370 12,746
11/1/2006 13,815 13,126
12/1/2006 14,354 13,502
1/1/2007 14,624 13,584
2/1/2007 14,611 13,693
3/1/2007 15,084 14,044
4/1/2007 15,845 14,683
5/1/2007 16,387 15,009
6/1/2007 16,267 15,024
7/1/2007 15,815 14,816
8/1/2007 15,638 14,602
9/1/2007 16,454 15,432
10/1/2007 17,252 16,102
11/1/2007 16,207 15,473
12/1/2007 15,858 15,182
1/1/2008 14,573 13,813
2/1/2008 14,388 14,063
3/1/2008 14,560 13,863
4/1/2008 15,211 14,633
5/1/2008 15,218 14,855
6/1/2008 13,713 13,700
7/1/2008 13,325 13,212
8/1/2008 12,768 12,702
9/1/2008 11,277 10,868
10/1/2008 8,449 8,607
11/1/2008 7,931 8,140
12/1/2008 8,530 8,569
1/1/2009 7,353 7,770
2/1/2009 6,450 6,983
3/1/2009 7,153 7,443
4/1/2009 8,471 8,403
5/1/2009 9,730 9,466
6/1/2009 9,582 9,368
7/1/2009 10,722 10,248
8/1/2009 11,337 10,739
9/1/2009 11,914 11,182
10/1/2009 11,440 11,002
11/1/2009 11,781 11,275
12/1/2009 11,914 11,454
1/1/2010 11,226 10,917
2/1/2010 11,270 10,906
3/1/2010 12,159 11,608
4/1/2010 11,951 11,435
5/1/2010 10,552 10,173
6/1/2010 10,367 10,026
7/1/2010 11,663 10,953
8/1/2010 11,092 10,626
9/1/2010 12,285 11,645
10/1/2010 12,714 12,060
11/1/2010 12,077 11,549
12/1/2010 13,203 12,479
1/1/2011 13,765 12,748
2/1/2011 14,225 13,220
3/1/2011 13,832 12,956
4/1/2011 14,573 13,661
5/1/2011 14,047 13,256
6/1/2011 13,854 13,067
7/1/2011 13,410 12,852
8/1/2011 11,974 11,765
9/1/2011 10,663 10,584
10/1/2011 11,692 11,613
11/1/2011 11,307 11,076
12/1/2011 11,004 10,956
1/1/2012 11,744 11,547
2/1/2012 12,359 12,182
3/1/2012 12,255 12,092
4/1/2012 11,818 11,887
5/1/2012 10,359 10,531
6/1/2012 11,092 11,221
7/1/2012 11,048 11,361
8/1/2012 11,507 11,685
9/1/2012 11,914 12,040
10/1/2012 12,062 12,125
11/1/2012 12,255 12,380
12/1/2012 12,855 12,754
1/1/2013 13,462 13,381
2/1/2013 13,055 13,248
3/1/2013 13,099 13,353
4/1/2013 13,743 13,961
5/1/2013 13,580 13,648
6/1/2013 13,099 13,137
7/1/2013 13,995 13,836
8/1/2013 13,899 13,658
9/1/2013 14,943 14,623
10/1/2013 15,461 15,113
11/1/2013 15,520 15,206
12/1/2013 15,861 15,435
1/1/2014 15,283 14,812
2/1/2014 16,157 15,620
3/1/2014 16,039 15,550
4/1/2014 16,313 15,796
5/1/2014 16,498 16,040
6/1/2014 16,698 16,268
7/1/2014 16,328 15,978
8/1/2014 16,335 15,991
9/1/2014 15,617 15,334
10/1/2014 15,350 15,090
11/1/2014 15,358 15,276
12/1/2014 14,787 14,768
1/1/2015 14,691 14,715
2/1/2015 15,743 15,595
3/1/2015 15,409 15,334
4/1/2015 16,253 15,998
5/1/2015 16,261 15,859
6/1/2015 15,794 15,408
7/1/2015 15,639 15,652
8/1/2015 14,476 14,512 Past performance is not predictive of
9/1/2015 13,492 13,780 future performance.
10/1/2015 14,528 14,816 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2015, all
-5.35% 2.70% 3.81% rights reserved.
--------------------------------------------------------------------------------
266
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
THE JAPANESE SMALL COMPANY SERIES VS.
MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
The Japanese Small Company MSCI Japan Small Cap Index
Series (net dividends)
---------------------- --------------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,200 10,427
12/1/2005 11,350 11,838
1/1/2006 11,835 12,215
2/1/2006 11,129 11,419
3/1/2006 11,624 11,932
4/1/2006 11,857 11,991
5/1/2006 11,023 11,029
6/1/2006 10,601 10,684
7/1/2006 10,095 9,977
8/1/2006 10,264 10,243
9/1/2006 10,105 10,019
10/1/2006 10,032 9,954
11/1/2006 9,968 9,870
12/1/2006 10,053 9,928
1/1/2007 10,264 10,121
2/1/2007 10,675 10,520
3/1/2007 10,601 10,423
4/1/2007 10,454 10,245
5/1/2007 10,243 10,001
6/1/2007 10,411 10,066
7/1/2007 10,475 10,064
8/1/2007 10,032 9,451
9/1/2007 10,021 9,393
10/1/2007 10,084 9,733
11/1/2007 9,852 9,324
12/1/2007 9,241 8,766
1/1/2008 8,977 8,335
2/1/2008 8,914 8,427
3/1/2008 9,093 8,430
4/1/2008 9,156 8,534
5/1/2008 9,494 8,797
6/1/2008 9,051 8,257
7/1/2008 8,797 7,987
8/1/2008 8,312 7,634
9/1/2008 7,774 6,889
10/1/2008 7,205 6,161
11/1/2008 7,395 6,413
12/1/2008 8,154 6,912
1/1/2009 7,595 6,550
2/1/2009 6,614 5,689
3/1/2009 6,909 5,890
4/1/2009 7,194 6,191
5/1/2009 8,080 6,949
6/1/2009 8,618 7,391
7/1/2009 8,797 7,576
8/1/2009 9,262 8,000
9/1/2009 9,167 7,969
10/1/2009 8,840 7,677
11/1/2009 8,481 7,403
12/1/2009 8,449 7,265
1/1/2010 8,565 7,421
2/1/2010 8,734 7,562
3/1/2010 9,177 7,906
4/1/2010 9,451 8,120
5/1/2010 8,660 7,557
6/1/2010 8,797 7,590
7/1/2010 8,956 7,682
8/1/2010 8,713 7,520
9/1/2010 9,093 7,827
10/1/2010 8,903 7,763
11/1/2010 9,124 7,914
12/1/2010 9,968 8,713
1/1/2011 10,200 8,816
2/1/2011 10,675 9,171
3/1/2011 10,011 8,605
4/1/2011 9,958 8,613
5/1/2011 9,789 8,485
6/1/2011 10,285 8,801
7/1/2011 10,665 9,167
8/1/2011 10,380 8,792
9/1/2011 10,327 8,800
10/1/2011 9,800 8,475
11/1/2011 9,958 8,246
12/1/2011 9,905 8,374
1/1/2012 10,538 8,718
2/1/2012 10,549 8,813
3/1/2012 10,854 9,048
4/1/2012 10,633 8,917
5/1/2012 9,747 8,176
6/1/2012 10,264 8,525
7/1/2012 9,916 8,392
8/1/2012 9,926 8,344
9/1/2012 10,063 8,575
10/1/2012 9,852 8,389
11/1/2012 10,000 8,447
12/1/2012 10,369 8,710
1/1/2013 10,696 9,036
2/1/2013 10,960 9,342
3/1/2013 11,804 10,097
4/1/2013 12,426 10,761
5/1/2013 11,414 9,908
6/1/2013 11,519 9,881
7/1/2013 11,793 10,042
8/1/2013 11,530 9,906
9/1/2013 12,838 11,035
10/1/2013 12,869 10,989
11/1/2013 12,774 10,917
12/1/2013 12,869 11,004
1/1/2014 12,743 10,973
2/1/2014 12,690 10,729
3/1/2014 12,753 10,756
4/1/2014 12,563 10,557
5/1/2014 12,890 10,903
6/1/2014 13,808 11,675
7/1/2014 13,724 11,737
8/1/2014 13,850 11,653
9/1/2014 13,428 11,264
10/1/2014 13,186 10,963
11/1/2014 12,690 10,839
12/1/2014 12,806 10,952
1/1/2015 13,122 11,320
2/1/2015 13,660 11,728
3/1/2015 13,840 11,954
4/1/2015 14,177 12,178
5/1/2015 14,325 12,322
6/1/2015 14,620 12,502
7/1/2015 14,536 12,453
8/1/2015 14,093 12,027 Past performance is not predictive of
9/1/2015 13,660 11,595 future performance.
10/1/2015 14,378 12,369 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2015, all
9.04% 10.06% 3.70% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE ASIA PACIFIC SMALL COMPANY SERIES VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
The Asia Pacific MSCI Pacific ex Japan
Small Company Series Small Cap Index (net dividends)
-------------------- -------------------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,247 10,379
12/1/2005 10,408 10,583
1/1/2006 11,113 11,189
2/1/2006 11,274 11,301
3/1/2006 11,849 11,779
4/1/2006 12,529 12,539
5/1/2006 11,818 11,899
6/1/2006 11,744 11,754
7/1/2006 11,973 11,875
8/1/2006 12,270 12,262
9/1/2006 12,400 12,465
10/1/2006 13,420 13,334
11/1/2006 14,168 14,144
12/1/2006 14,576 14,672
1/1/2007 14,954 15,045
2/1/2007 15,356 15,332
3/1/2007 16,160 16,123
4/1/2007 17,291 17,241
5/1/2007 18,776 17,918
6/1/2007 19,549 18,384
7/1/2007 19,858 18,379
8/1/2007 18,380 17,196
9/1/2007 20,532 18,722
10/1/2007 22,331 20,002
11/1/2007 20,860 18,395
12/1/2007 20,507 18,142
1/1/2008 18,448 15,711
2/1/2008 19,017 16,644
3/1/2008 18,095 15,594
4/1/2008 19,363 16,637
5/1/2008 20,210 16,817
6/1/2008 18,225 14,935
7/1/2008 17,155 14,249
8/1/2008 15,955 13,091
9/1/2008 13,216 10,536
10/1/2008 8,825 6,814
11/1/2008 7,978 6,071
12/1/2008 8,850 6,776
1/1/2009 7,761 6,030
2/1/2009 7,335 5,655
3/1/2009 8,472 6,466
4/1/2009 9,740 7,623
5/1/2009 12,257 9,451
6/1/2009 12,356 9,717
7/1/2009 14,143 11,121
8/1/2009 14,787 11,692
9/1/2009 15,943 12,671
10/1/2009 16,302 12,975
11/1/2009 17,062 13,348
12/1/2009 17,514 13,882
1/1/2010 16,568 12,994
2/1/2010 16,865 13,157
3/1/2010 18,256 14,241
4/1/2010 18,510 14,639
5/1/2010 15,949 12,429
6/1/2010 15,758 12,358
7/1/2010 17,508 13,615
8/1/2010 17,489 13,585
9/1/2010 20,142 15,625
10/1/2010 21,014 16,318
11/1/2010 20,736 16,100
12/1/2010 22,771 17,725
1/1/2011 22,288 17,210
2/1/2011 22,430 17,304
3/1/2011 22,907 17,835
4/1/2011 23,884 18,557
5/1/2011 23,179 18,132
6/1/2011 22,400 17,487
7/1/2011 22,771 17,745
8/1/2011 21,187 16,511
9/1/2011 17,236 13,509
10/1/2011 19,932 15,722
11/1/2011 19,400 14,650
12/1/2011 18,268 14,180
1/1/2012 20,161 15,653
2/1/2012 21,682 16,870
3/1/2012 21,373 16,342
4/1/2012 21,286 16,430
5/1/2012 18,633 14,297
6/1/2012 19,029 14,497
7/1/2012 19,314 14,974
8/1/2012 19,963 15,213
9/1/2012 20,952 16,023
10/1/2012 21,422 16,353
11/1/2012 21,732 16,514
12/1/2012 22,752 16,929
1/1/2013 23,896 17,826
2/1/2013 24,001 18,038
3/1/2013 24,106 18,083
4/1/2013 23,711 17,940
5/1/2013 21,954 16,619
6/1/2013 20,402 15,198
7/1/2013 21,410 15,806
8/1/2013 21,583 15,942
9/1/2013 23,098 17,169
10/1/2013 23,760 17,470
11/1/2013 22,938 16,732
12/1/2013 23,222 16,811
1/1/2014 22,127 16,033
2/1/2014 23,408 16,895
3/1/2014 23,754 17,207
4/1/2014 23,816 17,320
5/1/2014 23,840 17,461
6/1/2014 24,026 17,556
7/1/2014 24,533 17,938
8/1/2014 24,917 18,076
9/1/2014 22,622 16,415
10/1/2014 22,950 16,609
11/1/2014 22,047 16,082
12/1/2014 21,410 15,679
1/1/2015 20,903 15,370
2/1/2015 21,923 16,116
3/1/2015 21,620 15,826
4/1/2015 23,370 16,734
5/1/2015 23,630 16,652
6/1/2015 21,967 15,454
7/1/2015 20,897 14,756
8/1/2015 19,116 13,380 Past performance is not predictive of
9/1/2015 18,844 13,104 future performance.
10/1/2015 20,235 14,172 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2015, all
-11.83% -0.75% 7.30% rights reserved.
--------------------------------------------------------------------------------
267
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
THE UNITED KINGDOM SMALL COMPANY SERIES VS.
MSCI UK SMALL CAP INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
The United Kingdom MSCI UK Small Cap
Small Company Series Index (net dividends)
-------------------- ---------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,434 10,499
12/1/2005 10,893 10,953
1/1/2006 11,746 11,845
2/1/2006 11,907 12,030
3/1/2006 12,104 12,274
4/1/2006 12,715 12,923
5/1/2006 12,458 12,637
6/1/2006 12,454 12,529
7/1/2006 12,542 12,432
8/1/2006 13,069 12,879
9/1/2006 13,451 13,257
10/1/2006 14,216 14,016
11/1/2006 15,109 14,924
12/1/2006 15,933 15,625
1/1/2007 16,046 15,588
2/1/2007 16,042 15,637
3/1/2007 16,798 16,284
4/1/2007 17,377 17,092
5/1/2007 17,611 17,202
6/1/2007 16,967 16,701
7/1/2007 16,879 16,607
8/1/2007 16,782 15,998
9/1/2007 16,203 15,092
10/1/2007 17,498 16,750
11/1/2007 15,475 14,812
12/1/2007 14,658 14,068
1/1/2008 13,673 12,936
2/1/2008 13,874 13,375
3/1/2008 13,821 13,206
4/1/2008 14,055 13,452
5/1/2008 14,095 13,516
6/1/2008 12,973 12,592
7/1/2008 12,518 12,089
8/1/2008 12,317 11,773
9/1/2008 10,414 9,608
10/1/2008 7,619 6,942
11/1/2008 7,080 6,298
12/1/2008 6,923 6,139
1/1/2009 6,754 6,105
2/1/2009 6,476 5,902
3/1/2009 6,758 6,245
4/1/2009 8,174 7,679
5/1/2009 9,010 8,490
6/1/2009 9,055 8,550
7/1/2009 9,839 9,337
8/1/2009 10,607 10,237
9/1/2009 10,917 10,474
10/1/2009 10,933 10,489
11/1/2009 10,901 10,380
12/1/2009 11,130 10,636
1/1/2010 11,022 10,587
2/1/2010 10,644 10,112
3/1/2010 11,537 11,004
4/1/2010 11,963 11,443
5/1/2010 10,611 10,068
6/1/2010 10,813 10,111
7/1/2010 12,273 11,327
8/1/2010 11,822 11,020
9/1/2010 13,085 12,234
10/1/2010 13,769 12,755
11/1/2010 13,093 12,224
12/1/2010 14,433 13,503
1/1/2011 14,642 13,634
2/1/2011 15,084 13,993
3/1/2011 14,807 13,752
4/1/2011 16,118 15,012
5/1/2011 16,022 14,822
6/1/2011 15,511 14,323
7/1/2011 15,410 14,283
8/1/2011 13,874 12,826
9/1/2011 12,474 11,474
10/1/2011 13,797 12,727
11/1/2011 13,379 12,233
12/1/2011 12,965 11,825
1/1/2012 14,111 13,025
2/1/2012 15,261 14,235
3/1/2012 15,595 14,281
4/1/2012 15,865 14,524
5/1/2012 14,079 12,725
6/1/2012 14,771 13,331
7/1/2012 15,020 13,573
8/1/2012 15,845 14,292
9/1/2012 16,661 15,055
10/1/2012 17,027 15,366
11/1/2012 17,136 15,372
12/1/2012 18,081 16,079
1/1/2013 18,403 16,502
2/1/2013 18,572 16,595
3/1/2013 19,127 17,042
4/1/2013 19,614 17,468
5/1/2013 19,799 17,704
6/1/2013 19,364 17,066
7/1/2013 21,006 18,487
8/1/2013 21,158 18,740
9/1/2013 22,591 20,147
10/1/2013 23,399 20,856
11/1/2013 23,934 21,347
12/1/2013 25,257 22,378
1/1/2014 24,662 21,902
2/1/2014 26,879 24,027
3/1/2014 26,054 23,160
4/1/2014 25,628 22,606
5/1/2014 25,607 22,649
6/1/2014 25,587 22,596
7/1/2014 24,795 21,957
8/1/2014 25,173 22,188
9/1/2014 23,737 20,886
10/1/2014 23,685 20,753
11/1/2014 23,504 20,760
12/1/2014 23,886 21,101
1/1/2015 23,351 20,526
2/1/2015 25,547 22,554
3/1/2015 24,224 21,516
4/1/2015 25,752 22,896
5/1/2015 27,051 23,946
6/1/2015 26,983 23,976
7/1/2015 27,039 24,147
8/1/2015 25,905 23,197 Past performance is not predictive of
9/1/2015 25,125 22,342 future performance.
10/1/2015 26,042 23,331 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
----------------------------------------------------- MSCI data copyright MSCI 2015, all
9.95% 13.59% 10.04% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE CONTINENTAL SMALL COMPANY SERIES VS.
MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
The Continental Small MSCI Europe ex UK Small
Company Series Cap Index (net dividends)
--------------------- -------------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,037 10,128
12/1/2005 10,557 10,714
1/1/2006 11,570 11,910
2/1/2006 11,905 12,246
3/1/2006 12,675 13,037
4/1/2006 13,549 13,961
5/1/2006 12,899 13,244
6/1/2006 12,659 12,942
7/1/2006 12,632 12,800
8/1/2006 12,967 13,101
9/1/2006 13,143 13,239
10/1/2006 13,804 13,946
11/1/2006 14,765 14,922
12/1/2006 15,469 15,626
1/1/2007 16,187 16,127
2/1/2007 16,214 16,196
3/1/2007 17,162 17,057
4/1/2007 18,067 18,089
5/1/2007 18,418 18,405
6/1/2007 18,218 18,229
7/1/2007 18,119 18,095
8/1/2007 17,476 17,276
9/1/2007 17,867 17,620
10/1/2007 18,729 18,675
11/1/2007 17,347 17,338
12/1/2007 17,014 16,987
1/1/2008 15,396 14,942
2/1/2008 16,057 15,845
3/1/2008 16,568 16,168
4/1/2008 16,768 16,444
5/1/2008 17,091 16,700
6/1/2008 15,651 15,157
7/1/2008 14,823 14,296
8/1/2008 14,420 13,906
9/1/2008 11,911 11,027
0/1/2008 8,732 7,924
1/1/2008 8,052 7,267
2/1/2008 8,892 7,939
1/1/2009 7,882 7,226
2/1/2009 7,202 6,590
3/1/2009 7,725 7,099
4/1/2009 8,990 8,577
5/1/2009 10,292 9,857
6/1/2009 10,166 9,731
7/1/2009 10,976 10,604
8/1/2009 11,896 11,693
9/1/2009 12,915 12,813
0/1/2009 12,555 12,464
11/1/2009 12,936 12,720
12/1/2009 12,896 12,777
1/1/2010 12,684 12,607
2/1/2010 12,416 12,248
3/1/2010 13,339 13,242
4/1/2010 13,213 13,158
5/1/2010 11,336 11,122
6/1/2010 11,265 10,956
7/1/2010 12,613 12,269
8/1/2010 12,038 11,686
9/1/2010 13,693 13,489
0/1/2010 14,484 14,354
11/1/2010 13,361 13,267
12/1/2010 15,094 15,124
1/1/2011 15,525 15,466
2/1/2011 15,793 15,728
3/1/2011 16,325 16,259
4/1/2011 17,430 17,395
5/1/2011 16,842 16,731
6/1/2011 16,300 16,191
7/1/2011 15,380 15,209
8/1/2011 13,801 13,620
9/1/2011 11,724 11,574
10/1/2011 12,927 12,842
11/1/2011 12,074 11,838
12/1/2011 11,600 11,436
1/1/2012 12,705 12,570
2/1/2012 13,521 13,535
3/1/2012 13,546 13,425
4/1/2012 13,232 13,201
5/1/2012 11,425 11,391
6/1/2012 11,927 11,952
7/1/2012 11,807 11,910
8/1/2012 12,345 12,429
9/1/2012 12,998 13,098
10/1/2012 13,223 13,324
11/1/2012 13,401 13,528
12/1/2012 14,211 14,258
1/1/2013 15,288 15,419
2/1/2013 15,137 15,371
3/1/2013 14,798 14,976
4/1/2013 15,408 15,558
5/1/2013 15,694 15,911
6/1/2013 15,177 15,203
7/1/2013 16,500 16,586
8/1/2013 16,522 16,555
9/1/2013 17,969 17,970
10/1/2013 18,997 19,052
11/1/2013 19,341 19,391
12/1/2013 19,886 19,894
1/1/2014 19,763 19,730
2/1/2014 21,502 21,454
3/1/2014 21,613 21,472
4/1/2014 21,825 21,562
5/1/2014 21,914 21,804
6/1/2014 21,724 21,591
7/1/2014 20,456 20,318
8/1/2014 20,212 20,154
9/1/2014 19,135 19,044
10/1/2014 18,569 18,422
11/1/2014 19,015 18,962
12/1/2014 18,412 18,509
1/1/2015 18,538 18,552
2/1/2015 19,818 19,921
3/1/2015 19,723 19,719
4/1/2015 20,779 20,774
5/1/2015 20,803 20,637
6/1/2015 20,369 20,148
7/1/2015 20,942 20,896
8/1/2015 20,160 20,088
9/1/2015 19,449 19,409 Past performance is not predictive of
10/1/2015 20,391 20,519 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
---------------------------------------------------------- MSCI data copyright MSCI 2015, all
9.81% 7.08% 7.38% rights reserved.
--------------------------------------------------------------------------------
268
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
THE CANADIAN SMALL COMPANY SERIES VS.
MSCI CANADA SMALL CAP INDEX (NET DIVIDENDS)
April 2, 2007-October 31, 2015
[CHART]
The MSCI Canada Small Cap
Canadian Small Company Series Index (net dividends)
-------------------------------- ------------------------
4/1/2007 $10,000 $10,000
4/1/2007 10,710 10,487
5/1/2007 11,420 11,331
6/1/2007 11,370 11,306
7/1/2007 11,300 11,024
8/1/2007 10,560 10,340
9/1/2007 11,730 11,600
10/1/2007 13,000 12,852
11/1/2007 11,020 10,809
12/1/2007 11,430 11,109
1/1/2008 10,350 10,107
2/1/2008 11,160 11,071
3/1/2008 10,290 10,199
4/1/2008 10,540 10,555
5/1/2008 11,140 11,104
6/1/2008 10,620 10,725
7/1/2008 9,710 9,775
8/1/2008 9,310 9,530
9/1/2008 7,190 7,506
10/1/2008 4,800 5,011
11/1/2008 4,180 4,560
12/1/2008 4,500 4,785
1/1/2009 4,530 4,833
2/1/2009 4,120 4,454
3/1/2009 4,380 4,708
4/1/2009 5,300 5,466
5/1/2009 6,340 6,622
6/1/2009 5,950 6,220
7/1/2009 6,700 6,996
8/1/2009 6,920 7,260
9/1/2009 7,910 8,157
10/1/2009 7,760 8,211
11/1/2009 8,420 8,900
12/1/2009 8,960 9,423
1/1/2010 8,540 9,031
2/1/2010 9,050 9,632
3/1/2010 9,770 10,454
4/1/2010 10,120 10,890
5/1/2010 9,150 9,929
6/1/2010 8,730 9,464
7/1/2010 9,440 10,234
8/1/2010 9,330 10,202
9/1/2010 10,430 11,319
10/1/2010 11,110 12,004
11/1/2010 11,650 12,509
12/1/2010 12,840 13,660
1/1/2011 12,780 13,500
2/1/2011 13,660 14,392
3/1/2011 13,680 14,396
4/1/2011 13,940 14,833
5/1/2011 13,360 14,236
6/1/2011 12,620 13,510
7/1/2011 12,810 13,868
8/1/2011 11,840 13,043
9/1/2011 9,600 10,655
10/1/2011 11,140 12,174
11/1/2011 10,750 11,857
12/1/2011 10,580 11,613
1/1/2012 11,490 12,564
2/1/2012 11,930 13,014
3/1/2012 11,400 12,326
4/1/2012 11,140 12,227
5/1/2012 9,840 10,801
6/1/2012 9,860 10,768
7/1/2012 10,130 11,140
8/1/2012 10,560 11,603
9/1/2012 11,010 12,189
10/1/2012 10,860 11,971
11/1/2012 10,680 11,703
12/1/2012 10,930 11,894
1/1/2013 11,250 12,137
2/1/2013 10,700 11,549
3/1/2013 11,010 11,822
4/1/2013 10,650 11,555
5/1/2013 10,480 11,271
6/1/2013 10,050 10,576
7/1/2013 10,790 11,389
8/1/2013 10,690 11,262
9/1/2013 11,170 11,696
10/1/2013 11,480 11,959
11/1/2013 11,330 11,668
12/1/2013 11,610 11,958
1/1/2014 11,250 11,555
2/1/2014 11,970 12,358
3/1/2014 12,140 12,468
4/1/2014 12,670 12,944
5/1/2014 12,690 12,956
6/1/2014 13,650 14,057
7/1/2014 13,010 13,443
8/1/2014 13,460 13,905
9/1/2014 11,920 12,434
10/1/2014 11,040 11,601
11/1/2014 10,730 11,276
12/1/2014 10,480 10,983
1/1/2015 9,420 9,940
2/1/2015 10,000 10,500
3/1/2015 9,550 10,048
4/1/2015 10,600 11,033
5/1/2015 10,230 10,663
6/1/2015 9,810 10,298
7/1/2015 8,610 9,288
8/1/2015 8,370 8,813 Past performance is not predictive of
9/1/2015 7,770 8,286 future performance.
10/1/2015 8,280 8,732 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Since would pay on fund distributions or the
Total Return Year Years Inception redemption of fund shares.
------------------------------------------------------------- MSCI data copyright MSCI 2015, all
-25.00% -5.71% -2.18% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
The MSCI Emerging Markets Index
Emerging Markets Series (net dividends)
----------------------- ---------------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,723 10,827
12/1/2005 11,345 11,467
1/1/2006 12,432 12,748
2/1/2006 12,397 12,733
3/1/2006 12,565 12,845
4/1/2006 13,320 13,760
5/1/2006 11,784 12,318
6/1/2006 11,771 12,288
7/1/2006 11,988 12,461
8/1/2006 12,366 12,779
9/1/2006 12,539 12,885
10/1/2006 13,289 13,497
11/1/2006 14,141 14,500
12/1/2006 14,714 15,153
1/1/2007 14,931 14,993
2/1/2007 14,705 14,904
3/1/2007 15,375 15,496
4/1/2007 16,360 16,231
5/1/2007 17,457 17,019
6/1/2007 17,745 17,816
7/1/2007 18,176 18,756
8/1/2007 17,865 18,358
9/1/2007 19,441 20,385
10/1/2007 21,576 22,659
11/1/2007 20,169 21,052
12/1/2007 20,098 21,126
1/1/2008 18,349 18,490
2/1/2008 18,935 19,855
3/1/2008 18,349 18,804
4/1/2008 19,663 20,330
5/1/2008 19,778 20,707
6/1/2008 17,750 18,641
7/1/2008 17,519 17,938
8/1/2008 16,480 16,506
9/1/2008 14,190 13,617
10/1/2008 10,453 9,890
11/1/2008 9,507 9,146
12/1/2008 10,253 9,859
1/1/2009 9,467 9,222
2/1/2009 8,855 8,702
3/1/2009 10,133 9,953
4/1/2009 11,638 11,609
5/1/2009 13,622 13,593
6/1/2009 13,506 13,409
7/1/2009 15,055 14,917
8/1/2009 15,109 14,864
9/1/2009 16,445 16,213
10/1/2009 16,103 16,233
11/1/2009 17,066 16,930
12/1/2009 17,683 17,599
1/1/2010 16,720 16,618
2/1/2010 16,924 16,676
3/1/2010 18,344 18,022
4/1/2010 18,455 18,241
5/1/2010 16,742 16,636
6/1/2010 16,769 16,514
7/1/2010 18,247 17,889
8/1/2010 17,825 17,542
9/1/2010 19,854 19,491
10/1/2010 20,457 20,057
11/1/2010 20,000 19,528
12/1/2010 21,629 20,921
1/1/2011 21,070 20,354
2/1/2011 20,923 20,164
3/1/2011 22,091 21,349
4/1/2011 22,863 22,012
5/1/2011 22,233 21,434
6/1/2011 21,971 21,104
7/1/2011 21,802 21,011
8/1/2011 20,040 19,133
9/1/2011 17,008 16,344
10/1/2011 19,139 18,508
11/1/2011 18,478 17,275
12/1/2011 17,941 17,067
1/1/2012 19,862 19,003
2/1/2012 20,941 20,141
3/1/2012 20,399 19,468
4/1/2012 20,036 19,236
5/1/2012 17,878 17,079
6/1/2012 18,766 17,738
7/1/2012 18,917 18,084
8/1/2012 19,046 18,024
9/1/2012 20,111 19,111
10/1/2012 20,009 18,995
11/1/2012 20,271 19,236
12/1/2012 21,460 20,177
1/1/2013 21,571 20,455
2/1/2013 21,323 20,198
3/1/2013 21,021 19,850
4/1/2013 21,261 20,000
5/1/2013 20,573 19,487
6/1/2013 19,281 18,246
7/1/2013 19,565 18,437
8/1/2013 19,108 18,120
9/1/2013 20,470 19,298
10/1/2013 21,407 20,236
11/1/2013 21,087 19,940
12/1/2013 20,874 19,652
1/1/2014 19,427 18,376
2/1/2014 20,133 18,984
3/1/2014 20,843 19,567
4/1/2014 20,968 19,633
5/1/2014 21,682 20,318
6/1/2014 22,286 20,858
7/1/2014 22,552 21,261
8/1/2014 23,258 21,740
9/1/2014 21,549 20,129
10/1/2014 21,780 20,366
11/1/2014 21,571 20,151
12/1/2014 20,599 19,222
1/1/2015 20,737 19,337
2/1/2015 21,372 19,936
3/1/2015 20,928 19,652
4/1/2015 22,330 21,164
5/1/2015 21,434 20,316
6/1/2015 20,919 19,789
7/1/2015 19,578 18,417
8/1/2015 17,963 16,751 Past performance is not predictive of
9/1/2015 17,483 16,247 future performance.
10/1/2015 18,544 17,406 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
------------------------------------------------------------ MSCI data copyright MSCI 2015, all
-14.86% -1.94% 6.37% rights reserved.
--------------------------------------------------------------------------------
269
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
THE EMERGING MARKETS SMALL CAP SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
CHART
The Emerging Markets MSCI Emerging Markets
Small Cap Series Index (net dividends)
-------------------- ---------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,714 10,827
12/1/2005 11,419 11,467
1/1/2006 12,529 12,748
2/1/2006 12,669 12,733
3/1/2006 12,898 12,845
4/1/2006 13,957 13,760
5/1/2006 12,492 12,318
6/1/2006 11,946 12,288
7/1/2006 12,221 12,461
8/1/2006 12,650 12,779
9/1/2006 13,010 12,885
10/1/2006 13,994 13,497
11/1/2006 15,058 14,500
12/1/2006 15,754 15,153
1/1/2007 16,066 14,993
2/1/2007 16,202 14,904
3/1/2007 16,934 15,496
4/1/2007 18,231 16,231
5/1/2007 19,687 17,019
6/1/2007 20,280 17,816
7/1/2007 21,274 18,756
8/1/2007 20,397 18,358
9/1/2007 21,801 20,385
10/1/2007 23,453 22,659
11/1/2007 21,582 21,052
12/1/2007 21,834 21,126
1/1/2008 19,216 18,490
2/1/2008 19,771 19,855
3/1/2008 18,852 18,804
4/1/2008 20,000 20,330
5/1/2008 19,888 20,707
6/1/2008 17,597 18,641
7/1/2008 17,331 17,938
8/1/2008 16,286 16,506
9/1/2008 13,355 13,617
10/1/2008 9,309 9,890
11/1/2008 8,745 9,146
12/1/2008 9,986 9,859
1/1/2009 9,225 9,222
2/1/2009 8,661 8,702
3/1/2009 9,855 9,953
4/1/2009 11,853 11,609
5/1/2009 14,545 13,593
6/1/2009 14,475 13,409
7/1/2009 16,328 14,917
8/1/2009 16,524 14,864
9/1/2009 17,905 16,213
10/1/2009 17,891 16,233
11/1/2009 18,955 16,930
12/1/2009 20,000 17,599
1/1/2010 19,123 16,618
2/1/2010 19,454 16,676
3/1/2010 21,120 18,022
4/1/2010 21,470 18,241
5/1/2010 19,319 16,636
6/1/2010 19,837 16,514
7/1/2010 21,666 17,889
8/1/2010 21,773 17,542
9/1/2010 24,424 19,491
10/1/2010 25,399 20,057
11/1/2010 24,722 19,528
12/1/2010 26,146 20,921
1/1/2011 25,049 20,354
2/1/2011 24,321 20,164
3/1/2011 25,679 21,349
4/1/2011 27,037 22,012
5/1/2011 26,435 21,434
6/1/2011 26,430 21,104
7/1/2011 26,734 21,011
8/1/2011 24,204 19,133
9/1/2011 19,907 16,344
10/1/2011 22,114 18,508
11/1/2011 21,045 17,275
12/1/2011 20,485 17,067
1/1/2012 22,804 19,003
2/1/2012 24,676 20,141
3/1/2012 24,050 19,468
4/1/2012 23,476 19,236
5/1/2012 21,339 17,079
6/1/2012 22,156 17,738
7/1/2012 21,895 18,084
8/1/2012 22,469 18,024
9/1/2012 23,784 19,111
10/1/2012 23,705 18,995
11/1/2012 24,125 19,236
12/1/2012 25,618 20,177
1/1/2013 26,099 20,455
2/1/2013 26,374 20,198
3/1/2013 26,262 19,850
4/1/2013 26,799 20,000
5/1/2013 26,430 19,487
6/1/2013 24,144 18,246
7/1/2013 24,265 18,437
8/1/2013 23,262 18,120
9/1/2013 24,970 19,298
10/1/2013 25,936 20,236
11/1/2013 25,576 19,940
12/1/2013 25,376 19,652
1/1/2014 24,298 18,376
2/1/2014 25,390 18,984
3/1/2014 26,267 19,567
4/1/2014 26,486 19,633
5/1/2014 27,396 20,318
6/1/2014 28,115 20,858
7/1/2014 28,185 21,261
8/1/2014 29,062 21,740
9/1/2014 27,629 20,129
10/1/2014 27,387 20,366
11/1/2014 27,088 20,151
12/1/2014 26,262 19,222
1/1/2015 26,692 19,337
2/1/2015 27,382 19,936
3/1/2015 27,182 19,652
4/1/2015 29,123 21,164
5/1/2015 28,731 20,316
6/1/2015 27,755 19,789
7/1/2015 26,062 18,417
8/1/2015 23,518 16,751 Past performance is not predictive of
9/1/2015 23,486 16,247 future performance.
10/1/2015 24,806 17,406 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
---------------------------------------------------- MSCI data copyright MSCI 2015, all
-9.42% -0.47% 9.51% rights reserved.
--------------------------------------------------------------------------------
270
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
(Unaudited)
U.S. Equity Market Review 12 Months Ended October 31, 2015
U.S. equities had positive returns during the period. The broad U.S. equity
market, as measured by the Russell 3000(R) Index, gained approximately 4.5%.
Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
Total Return for 12 Months Ended October 31, 2015
-------------------------------------------------
Russell 3000(R) Index ....................... 4.49%
Russell Microcap(R) Index (micro-cap stocks). 0.82%
Russell 2000(R) Index (small-cap stocks) .... 0.34%
Russell 1000(R) Index (large-cap stocks) .... 4.86%
Dow Jones U.S. Select REIT Index/SM/......... 6.87%
Growth stocks outperformed value stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2015
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)... -2.88%
Russell 2000(R) Growth Index (small-cap growth stocks). 3.52%
Russell 1000(R) Value Index (large-cap value stocks)... 0.53%
Russell 1000(R) Growth Index (large-cap growth stocks). 9.18%
----------
Source: Russell data copyright (C) Russell Investment Group 1995-2015, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
period were primarily attributable to differences in value/growth and size
characteristics as well as the exclusion of REIT securities from most
Dimensional portfolios and the exclusion of securities of highly regulated
utilities from most value strategies. For many portfolios, the construction
approach used by Dimensional generally resulted in portfolios with greater
weight in value, small-cap, and/or micro-cap companies relative to widely used
benchmarks.
Domestic Equity Series' Performance Overview
The U.S. Large Cap Value Series
The U.S. Large Cap Value Series is designed to capture the returns of U.S.
large-cap value stocks. Value is measured primarily by book-to-market ratio.
The investment strategy is process driven, emphasizing broad diversification.
As of October 31, 2015, the Series held approximately 300 securities. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Series' assets.
For the 12 months ended October 31, 2015, total returns were 1.32% for the
Series and 0.53% for the Russell 1000(R) Value Index. As a result of the
Series' diversified investment approach, performance was determined principally
by broad trends in the U.S. equity market rather than the behavior of a limited
number of stocks. The Series had a smaller allocation than the Index to the
largest market cap stocks and a greater allocation to the remainder of the
eligible large-cap universe, which benefited the Portfolio's relative
performance as the largest market cap value stocks underperformed.
271
International Equity Market Review 12 Months Ended October 31, 2015
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks and growth stocks had positive returns while large-cap stocks
and value stocks had negative returns. As measured by the MSCI World ex USA
indices, small-cap stocks outperformed large-cap stocks, and growth stocks
outperformed value stocks.
12 Months Ended October 31, 2015
--------------------------------
Return in U.S. Dollars
----------------------
MSCI World ex USA Index........... -1.81%
MSCI World ex USA Small Cap Index. 4.66%
MSCI World ex USA Value Index..... -5.92%
MSCI World ex USA Growth Index.... 2.33%
During the period, the U.S. dollar (USD) appreciated against most developed
markets currencies, decreasing USD-denominated returns in developed markets.
12 Months Ended October 31, 2015
--------------------------------
Ten Largest Foreign Developed Markets by Market Cap Local Return Return in U.S. Dollars
--------------------------------------------------- ------------ ----------------------
United Kingdom.................... 0.01% -3.45%
Japan............................. 17.41% 9.07%
Canada............................ -5.27% -18.37%
France............................ 18.69% 4.64%
Switzerland....................... 3.70% 1.25%
Germany........................... 16.20% 2.45%
Australia......................... -2.25% -20.66%
Spain............................. 0.50% -11.40%
Hong Kong......................... -1.73% -1.67%
Sweden............................ 9.47% -4.59%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2015, all rights reserved.
Emerging markets had weaker performance over the period than non-U.S.
developed markets. As measured by the MSCI emerging markets indices, small-cap
stocks outperformed large-cap stocks, and growth stocks outperformed value
stocks.
12 Months Ended October 31, 2015
--------------------------------
Return in U.S. Dollars
----------------------
MSCI Emerging Markets Index........... -14.53%
MSCI Emerging Markets Small Cap Index. -8.61%
MSCI Emerging Markets Value Index..... -17.62%
MSCI Emerging Markets Growth Index.... -11.50%
272
During the period, the U.S. dollar (USD) appreciated against most emerging
markets currencies, decreasing USD-denominated returns in emerging markets.
12 Months Ended October 31, 2015
--------------------------------
Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollars
------------------------------------------ ------------ ----------------------
China........................ -0.76% -0.70%
Korea........................ -0.03% -6.28%
Taiwan....................... -2.50% -8.65%
India........................ -2.15% -8.06%
South Africa................. 7.82% -13.73%
Brazil....................... -15.36% -45.97%
Mexico....................... 0.26% -18.22%
Russia....................... 8.87% -20.92%
Malaysia..................... -8.60% -30.02%
Indonesia.................... -12.35% -22.61%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2015, all rights reserved.
International Equity Series' Performance Overview
The DFA International Value Series
The DFA International Value Series is designed to capture the returns of
international large company value stocks. Value is measured primarily by
book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2015, the Series held approximately
520 securities in 22 eligible developed countries. In general, cash exposure
was low throughout the year with an average cash balance of less than 1% of the
Series' assets.
For the 12 months ended October 31, 2015, total returns were -5.35% for the
Series and -1.81% for the MSCI World ex USA Index (net dividends). As a result
of the Series' diversified investment approach, performance was determined
principally by broad trends in international equity markets rather than the
behavior of a limited number of stocks. The Series had significantly greater
exposure than the Index to value stocks. Value stocks generally underperformed
during the period, which detracted from the Series' relative performance.
Differences in the valuation timing and methodology between the Series and the
Index generally detracted from the Series' relative performance. The Series
prices foreign exchange rates at the closing of the U.S. markets while the
Index uses rates at 4 p.m. London time. The Series also may use fair value
pricing to price certain portfolio securities at the closing of the U.S.
markets while the Index uses local market closing prices.
The Japanese Small Company Series
The Japanese Small Company Series is designed to capture the returns of
Japanese small company stocks. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2015, the Series held
approximately 1,440 securities. In general, cash exposure was low throughout
the year with an average cash balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2015, total returns were 9.04% for the
Series and 12.83% for the MSCI Japan Small Cap Index (net dividends). As a
result of the Series' diversified investment approach, performance was
determined principally by broad trends in the Japanese equity market, rather
than the behavior of a limited number of stocks. The Series had a greater
allocation than the Index to micro-cap securities, and micro-cap securities
underperformed relative to other small-caps, which detracted from the Series'
relative performance. The Series' underperformance was partially offset by the
exclusion of real estate investment trusts (REITs), which underperformed the
overall Index. The Series' relative performance also benefited from the
exclusion of small- and micro-cap securities with both high relative prices and
low profitability as these securities underperformed. Differences in the
valuation timing and methodology between the Series and the Index detracted
from the Series'
273
relative performance. The Series prices foreign exchange rates at the closing
of the U.S. markets while the Index uses rates at 4 p.m. London time. The
Series also may use fair value pricing to price certain portfolio securities at
the closing of the U.S. markets while the Index uses local market closing
prices.
The Asia Pacific Small Company Series
The Asia Pacific Small Company Series is designed to capture the returns of
small-cap stocks in Australia, Hong Kong, New Zealand, and Singapore. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2015, the Series held approximately 830 securities across the
eligible countries. Country allocations generally reflect the approximate
weights of individual securities within a universe of these countries' stocks
constructed by the Advisor. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2015, total returns were -11.83% for the
Series and -14.67% for the MSCI Pacific ex Japan Small Cap Index (net
dividends). As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in Asia Pacific equity
markets rather than the behavior of a limited number of stocks. The Series'
exclusion of small low profitability securities benefited relative performance
as these securities underperformed. The Series' holdings in Hong Kong,
particularly in micro-caps, outperformed those in the Index and benefited the
Series' relative performance.
The United Kingdom Small Company Series
The United Kingdom Small Company Series is designed to capture the returns
of U.K. small-cap stocks. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2015, the Series held
approximately 320 securities. In general, cash exposure was low throughout the
year, with an average cash balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2015, total returns were 9.95% for the
Series and 12.42% for the MSCI UK Small Cap Index (net dividends). As a result
of the Series diversified investment approach, performance was determined
principally by broad trends in the U.K. equity market, rather than the behavior
of a limited number of stocks. The Series' exclusion of real estate investment
trusts (REITs) detracted from the Series' relative performance as REITs in the
United Kingdom generally outperformed other sectors during the period. Due to
differences in methodology, the Series may hold names that are larger in size
than those included in the Index, resulting in differences in sector weights.
During the period, these differences in sector weights contributed to the
Series' relative underperformance. For instance, the Series had a lower
allocation to financials, which outperformed and detracted from the Series'
relative performance, and a higher allocation to industrials, which
underperformed and detracted from the Series' relative performance. The Series'
underperformance was partially offset by the exclusion of small- and micro-cap
securities with high relative prices and low profitability, as these securities
underperformed during the period. Differences in the valuation timing and
methodology between the Series and the Index detracted from the Series'
relative performance. The Series prices foreign exchange rates at the closing
of the U.S. markets while the Index uses rates at 4 p.m. London time. The
Series also may use fair value pricing to price certain portfolio securities at
the closing of the U.S. markets while the Index uses local market closing
prices.
The Continental Small Company Series
The Continental Small Company Series is designed to capture the returns of
small-cap stocks in the developed markets of Europe (excluding the U.K.) and
Israel, by purchasing shares in such securities. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2015, the
Series held approximately 1,160 securities in 15 eligible developed continental
European countries and Israel. Country allocations generally reflect the
approximate weights of individual securities within a universe of continental
European and Israeli small-cap stocks constructed by the Advisor. In general,
cash exposure was low throughout the year with an average cash balance of less
than 1% of the Series' assets.
For the 12 months ended October 31, 2015, total returns were 9.81% for the
Series and 11.38% for the MSCI Europe ex UK Small Cap Index (net dividends). As
a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the continental European (excluding
the U.K.) and Israeli equity markets, rather than the behavior of a limited
number of stocks. Due to differences in methodology,
274
the Series may hold names that are larger in size than those included in the
Index, resulting in differences in individual holdings. Within the financial
sector, these holding differences detracted from the Series' relative
performance as the Series' financial holdings underperformed the Index's
financial holdings. Differences in the valuation timing and methodology between
the Series and the Index detracted from the Series' relative performance. The
Series prices foreign exchange rates at the closing of the U.S. markets while
the Index uses rates at 4 p.m. London time. The Series also may use fair value
pricing to price certain portfolio securities at the closing of the U.S.
markets while the Index uses local market closing prices.
The Canadian Small Company Series
The Canadian Small Company Series is designed to capture the returns of
Canadian small-cap stocks. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2015, the Series held
approximately 320 securities. In general, cash exposure was low throughout the
year with an average cash balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2015, total returns were -25.00% for the
Series and -24.73% for the MSCI Canada Small Cap Index (net dividends). As a
result of the Series' diversified investment approach, performance was
determined principally by broad trends in the Canadian equity market. The
Series had a greater allocation to micro-cap securities than the Index, which
detracted from the Series relative performance as micro-caps underperformed
other small-cap securities. The Series held a higher weighting in energy
companies, which underperformed, detracting from the Series' relative
performance. The Series' exclusion of real estate investment trusts (REITs)
also detracted from the Series' relative performance as REITs outperformed the
Index total return. The Series' underperformance was partially offset by the
exclusion of small low profitability growth securities, which underperformed
during the period.
The Emerging Markets Series
The Emerging Markets Series is designed to capture the returns of large-cap
stocks in selected emerging markets countries. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2015, the
Series held approximately 1,100 securities across 21 eligible emerging markets.
In general, cash exposure was low throughout the year with an average cash
balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2015, total returns were -14.86% for the
Series and -14.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Series' diversified approach, performance was generally
determined by broad trends in emerging markets rather than the behavior of a
limited number of stocks. The Series' relative underperformance was driven
primarily by country allocation differences between the Series and the Index.
The Series' lower allocation to China, which outperformed most other emerging
markets during the period, detracted from the Series' relative performance.
This was partially offset by the Series' greater allocation to Taiwan, which
also generally outperformed.
The Emerging Markets Small Cap Series
The Emerging Markets Small Cap Series is designed to capture the returns of
small-cap stocks in selected emerging markets. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2015, the
Series held approximately 3,300 securities across 17 eligible emerging markets.
In general, cash exposure was low throughout the year with an average cash
balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2015, total returns were -9.42% for the
Series and -14.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Series' diversified approach, performance was principally
determined by broad trends in emerging markets rather than the behavior of a
limited number of stocks. The Series focuses on small-cap stocks while the
Index primarily holds large-cap and mid-cap stocks. Emerging markets small-cap
stocks outperformed emerging markets large-caps and mid-caps over the period,
and the Series' greater exposure to small-caps benefited the Series' relative
performance.
275
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2015
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
The U.S. Large Cap Value Series
-------------------------------
Actual Fund Return................. $1,000.00 $ 975.90 0.11% $0.55
Hypothetical 5% Annual Return...... $1,000.00 $1,024.65 0.11% $0.56
The DFA International Value Series
----------------------------------
Actual Fund Return................. $1,000.00 $ 893.80 0.22% $1.05
Hypothetical 5% Annual Return...... $1,000.00 $1,024.10 0.22% $1.12
276
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
The Japanese Small Company Series
---------------------------------
Actual Fund Return...................... $1,000.00 $1,014.10 0.12% $0.61
Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61
The Asia Pacific Small Company Series
-------------------------------------
Actual Fund Return...................... $1,000.00 $ 865.80 0.13% $0.61
Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
The United Kingdom Small Company Series
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,011.20 0.11% $0.56
Hypothetical 5% Annual Return........... $1,000.00 $1,024.65 0.11% $0.56
The Continental Small Company Series
------------------------------------
Actual Fund Return...................... $1,000.00 $ 981.30 0.13% $0.65
Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
The Canadian Small Company Series
---------------------------------
Actual Fund Return...................... $1,000.00 $ 781.10 0.12% $0.54
Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61
The Emerging Markets Series
---------------------------
Actual Fund Return...................... $1,000.00 $ 830.50 0.16% $0.74
Hypothetical 5% Annual Return........... $1,000.00 $1,024.40 0.16% $0.82
The Emerging Markets Small Cap Series
-------------------------------------
Actual Fund Return...................... $1,000.00 $ 851.80 0.26% $1.21
Hypothetical 5% Annual Return........... $1,000.00 $1,023.89 0.26% $1.33
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
277
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 29, 2015. They are 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....................... 14.0%
Consumer Staples............................. 5.2%
Energy....................................... 16.1%
Financials................................... 21.5%
Health Care.................................. 11.8%
Industrials.................................. 12.3%
Information Technology....................... 10.8%
Materials.................................... 3.3%
Other........................................ --
Telecommunication Services................... 4.7%
Utilities.................................... 0.3%
-----
100.0%
The DFA International Value Series
Consumer Discretionary....................... 12.4%
Consumer Staples............................. 3.7%
Energy....................................... 14.4%
Financials................................... 34.7%
Health Care.................................. 0.9%
Industrials.................................. 10.4%
Information Technology....................... 3.3%
Materials.................................... 11.8%
Other........................................ --
Telecommunication Services................... 5.9%
Utilities.................................... 2.5%
-----
100.0%
The Japanese Small Company Series
Consumer Discretionary....................... 20.3%
Consumer Staples............................. 9.2%
Energy....................................... 1.0%
Financials................................... 12.1%
Health Care.................................. 4.9%
Industrials.................................. 28.7%
Information Technology....................... 11.4%
Materials.................................... 11.7%
Telecommunication Services................... 0.1%
Utilities.................................... 0.6%
-----
100.0%
278
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
The Asia Pacific Small Company Series
Consumer Discretionary....................... 28.7%
Consumer Staples............................. 5.5%
Energy....................................... 2.8%
Financials................................... 16.1%
Health Care.................................. 7.6%
Industrials.................................. 16.6%
Information Technology....................... 5.3%
Materials.................................... 11.1%
Other........................................ --
Telecommunication Services................... 3.3%
Utilities.................................... 3.0%
-----
100.0%
The United Kingdom Small Company Series
Consumer Discretionary....................... 28.0%
Consumer Staples............................. 5.4%
Energy....................................... 4.1%
Financials................................... 15.6%
Health Care.................................. 2.9%
Industrials.................................. 24.0%
Information Technology....................... 8.5%
Materials.................................... 7.6%
Other........................................ --
Telecommunication Services................... 2.1%
Utilities.................................... 1.8%
-----
100.0%
The Continental Small Company Series
Consumer Discretionary....................... 14.0%
Consumer Staples............................. 6.1%
Energy....................................... 3.0%
Financials................................... 17.6%
Health Care.................................. 9.8%
Industrials.................................. 27.0%
Information Technology....................... 8.8%
Materials.................................... 9.4%
Other........................................ --
Telecommunication Services................... 2.0%
Utilities.................................... 2.3%
-----
100.0%
The Canadian Small Company Series
Consumer Discretionary....................... 12.2%
Consumer Staples............................. 4.6%
Energy....................................... 20.6%
Financials................................... 9.2%
Health Care.................................. 1.6%
Industrials.................................. 14.9%
Information Technology....................... 5.5%
Materials.................................... 23.3%
Telecommunication Services................... 0.6%
Utilities.................................... 7.5%
-----
100.0%
The Emerging Markets Series
Consumer Discretionary....................... 10.0%
Consumer Staples............................. 9.5%
Energy....................................... 6.6%
Financials................................... 26.3%
Health Care.................................. 3.2%
Industrials.................................. 8.1%
Information Technology....................... 18.6%
Materials.................................... 7.6%
Other........................................ --
Telecommunication Services................... 6.7%
Utilities.................................... 3.4%
-----
100.0%
The Emerging Markets Small Cap Series
Consumer Discretionary....................... 16.3%
Consumer Staples............................. 9.7%
Energy....................................... 1.9%
Financials................................... 15.8%
Health Care.................................. 6.4%
Industrials.................................. 16.5%
Information Technology....................... 14.8%
Materials.................................... 12.9%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 1.1%
Utilities.................................... 4.6%
-----
100.0%
279
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (95.4%)
Consumer Discretionary -- (13.3%)
Comcast Corp. Class A......................... 9,482,510 $ 593,794,776 3.1%
# Comcast Corp. Special Class A................. 2,635,567 165,276,407 0.9%
Ford Motor Co................................. 14,411,800 213,438,758 1.1%
General Motors Co............................. 5,492,031 191,726,802 1.0%
Time Warner Cable, Inc........................ 1,876,119 355,336,939 1.9%
Time Warner, Inc.............................. 4,297,753 323,792,711 1.7%
Other Securities.............................. 819,458,486 4.2%
-------------- -----
Total Consumer Discretionary...................... 2,662,824,879 13.9%
-------------- -----
Consumer Staples -- (5.0%)
Archer-Daniels-Midland Co..................... 2,748,548 125,498,702 0.7%
CVS Health Corp............................... 3,364,257 332,321,306 1.7%
Mondelez International, Inc. Class A.......... 3,818,531 176,263,391 0.9%
Other Securities.............................. 364,331,183 1.9%
-------------- -----
Total Consumer Staples............................ 998,414,582 5.2%
-------------- -----
Energy -- (15.3%)
Anadarko Petroleum Corp....................... 2,015,789 134,815,968 0.7%
Chevron Corp.................................. 6,389,725 580,698,208 3.0%
ConocoPhillips................................ 6,174,431 329,405,894 1.7%
Exxon Mobil Corp.............................. 7,571,926 626,501,157 3.3%
Marathon Petroleum Corp....................... 2,604,266 134,900,979 0.7%
Occidental Petroleum Corp..................... 2,051,160 152,893,466 0.8%
Phillips 66................................... 2,055,820 183,070,771 1.0%
Valero Energy Corp............................ 2,806,975 185,035,792 1.0%
Other Securities.............................. 737,288,899 3.9%
-------------- -----
Total Energy...................................... 3,064,611,134 16.1%
-------------- -----
Financials -- (20.5%)
American International Group, Inc............. 3,536,873 223,035,211 1.2%
Bank of America Corp.......................... 15,546,531 260,870,790 1.4%
Bank of New York Mellon Corp. (The)........... 2,959,920 123,280,668 0.7%
Capital One Financial Corp.................... 2,074,942 163,712,924 0.9%
Citigroup, Inc................................ 4,980,715 264,824,617 1.4%
Goldman Sachs Group, Inc. (The)............... 1,523,888 285,729,000 1.5%
Hartford Financial Services Group, Inc. (The). 2,644,794 122,348,170 0.6%
JPMorgan Chase & Co........................... 10,421,544 669,584,202 3.5%
MetLife, Inc.................................. 2,189,692 110,316,683 0.6%
Morgan Stanley................................ 3,524,427 116,200,358 0.6%
PNC Financial Services Group, Inc. (The)...... 1,273,146 114,914,158 0.6%
Travelers Cos., Inc. (The).................... 1,130,153 127,582,972 0.7%
Wells Fargo & Co.............................. 2,083,146 112,781,524 0.6%
Other Securities.............................. 1,406,483,007 7.2%
-------------- -----
Total Financials.................................. 4,101,664,284 21.5%
-------------- -----
Health Care -- (11.3%)
Aetna, Inc.................................... 2,009,110 230,605,646 1.2%
* Allergan P.L.C................................ 496,938 153,290,465 0.8%
# Anthem, Inc................................... 1,532,858 213,297,191 1.1%
#* Express Scripts Holding Co.................... 2,842,416 245,527,894 1.3%
Humana, Inc................................... 707,042 126,298,912 0.7%
Pfizer, Inc................................... 21,021,501 710,947,164 3.7%
280
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
Thermo Fisher Scientific, Inc...................... 1,268,522 $ 165,897,307 0.9%
Other Securities................................... 411,377,957 2.1%
--------------- ------
Total Health Care........................................ 2,257,242,536 11.8%
--------------- ------
Industrials -- (11.8%)
CSX Corp........................................... 5,382,618 145,276,860 0.8%
FedEx Corp......................................... 843,839 131,681,076 0.7%
General Electric Co................................ 19,532,516 564,880,363 3.0%
Norfolk Southern Corp.............................. 1,598,000 127,887,940 0.7%
Southwest Airlines Co.............................. 3,733,160 172,807,976 0.9%
Stanley Black & Decker, Inc........................ 1,095,910 116,144,542 0.6%
Union Pacific Corp................................. 1,819,501 162,572,414 0.9%
Other Securities................................... 931,311,189 4.7%
--------------- ------
Total Industrials........................................ 2,352,562,360 12.3%
--------------- ------
Information Technology -- (10.3%)
Cisco Systems, Inc................................. 13,742,784 396,479,319 2.1%
EMC Corp........................................... 6,310,731 165,467,367 0.9%
Fidelity National Information Services, Inc........ 1,504,505 109,708,505 0.6%
Hewlett-Packard Co................................. 9,619,949 259,353,825 1.4%
Intel Corp......................................... 11,297,597 382,536,635 2.0%
Other Securities................................... 753,326,604 3.8%
--------------- ------
Total Information Technology............................. 2,066,872,255 10.8%
--------------- ------
Materials -- (3.2%)
Other Securities................................... 631,231,680 3.3%
--------------- ------
Telecommunication Services -- (4.4%)
AT&T, Inc.......................................... 21,699,651 727,155,305 3.8%
Other Securities................................... 163,622,086 0.9%
--------------- ------
Total Telecommunication Services......................... 890,777,391 4.7%
--------------- ------
Utilities -- (0.3%)
Other Securities................................... 56,891,951 0.3%
--------------- ------
TOTAL COMMON STOCKS...................................... 19,083,093,052 99.9%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 208,567 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES.............................. 19,083,301,619
---------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional Liquid Reserves, 0.140%. 9,754,555 9,754,555 0.1%
--------------- ------
SECURITIES LENDING COLLATERAL -- (4.6%)
(S)@ DFA Short Term Investment Fund..................... 79,199,929 916,343,183 4.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $14,362,076,197)............................... $20,009,399,357 104.8%
=============== ======
281
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------------
Level 1 Level 2 Level 3 Total
--------------- ------------ ------- ---------------
Common Stocks
Consumer Discretionary...... $ 2,662,824,879 -- -- $ 2,662,824,879
Consumer Staples............ 998,414,582 -- -- 998,414,582
Energy...................... 3,064,611,134 -- -- 3,064,611,134
Financials.................. 4,101,664,284 -- -- 4,101,664,284
Health Care................. 2,257,242,536 -- -- 2,257,242,536
Industrials................. 2,352,562,360 -- -- 2,352,562,360
Information Technology...... 2,066,872,255 -- -- 2,066,872,255
Materials................... 631,231,680 -- -- 631,231,680
Telecommunication Services.. 890,777,391 -- -- 890,777,391
Utilities................... 56,891,951 -- -- 56,891,951
Rights/Warrants............... -- $ 208,567 -- 208,567
Temporary Cash Investments.... 9,754,555 -- -- 9,754,555
Securities Lending Collateral. -- 916,343,183 -- 916,343,183
--------------- ------------ -- ---------------
TOTAL......................... $19,092,847,607 $916,551,750 -- $20,009,399,357
=============== ============ == ===============
See accompanying Notes to Financial Statements.
282
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (94.9%)
AUSTRALIA -- (5.6%)
BHP Billiton, Ltd................ 5,172,675 $ 84,835,680 0.9%
BHP Billiton, Ltd. Sponsored ADR. 1,465,288 48,193,322 0.5%
Macquarie Group, Ltd............. 982,233 59,473,059 0.6%
Other Securities................. 344,551,404 3.8%
------------ ----
TOTAL AUSTRALIA...................... 537,053,465 5.8%
------------ ----
AUSTRIA -- (0.1%)
Other Securities................. 10,400,098 0.1%
------------ ----
BELGIUM -- (1.3%)
Other Securities................. 124,483,972 1.3%
------------ ----
CANADA -- (7.4%)
Bank of Montreal................. 1,105,966 64,245,565 0.7%
Manulife Financial Corp.......... 3,287,435 54,505,652 0.6%
Suncor Energy, Inc............... 3,750,370 111,599,034 1.2%
Other Securities................. 479,872,309 5.2%
------------ ----
TOTAL CANADA......................... 710,222,560 7.7%
------------ ----
DENMARK -- (1.6%)
Other Securities................. 153,265,271 1.7%
------------ ----
FINLAND -- (0.6%)
Other Securities................. 60,810,526 0.7%
------------ ----
FRANCE -- (9.3%)
AXA SA........................... 4,004,754 106,879,326 1.2%
BNP Paribas SA................... 1,005,680 60,941,389 0.7%
# Cie de Saint-Gobain.............. 1,789,605 74,914,737 0.8%
Engie SA......................... 3,247,971 56,842,074 0.6%
Orange SA........................ 4,969,645 87,623,255 0.9%
Renault SA....................... 759,515 71,564,612 0.8%
Societe Generale SA.............. 1,935,625 89,896,621 1.0%
# Total SA......................... 3,202,849 154,885,992 1.7%
Other Securities................. 191,929,736 2.0%
------------ ----
TOTAL FRANCE......................... 895,477,742 9.7%
------------ ----
GERMANY -- (7.3%)
Allianz SE....................... 730,758 127,932,134 1.4%
Allianz SE Sponsored ADR......... 2,811,910 49,349,021 0.5%
Bayerische Motoren Werke AG...... 836,920 85,724,339 0.9%
Daimler AG....................... 2,214,556 192,032,407 2.1%
Other Securities................. 250,012,427 2.7%
------------ ----
TOTAL GERMANY........................ 705,050,328 7.6%
------------ ----
HONG KONG -- (2.2%)
Other Securities................. 213,300,423 2.3%
------------ ----
IRELAND -- (0.3%)
Other Securities................. 25,921,424 0.3%
------------ ----
ISRAEL -- (0.4%)
Other Securities................. 35,459,088 0.4%
------------ ----
283
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
ITALY -- (1.8%)
UniCredit SpA........................... 10,827,146 $ 69,911,588 0.7%
Other Securities........................ 104,201,022 1.2%
-------------- -----
TOTAL ITALY................................. 174,112,610 1.9%
-------------- -----
JAPAN -- (21.4%)
Hitachi, Ltd............................ 7,531,000 43,444,754 0.5%
Honda Motor Co., Ltd.................... 3,334,800 110,316,638 1.2%
ITOCHU Corp............................. 3,608,800 45,156,836 0.5%
Mitsubishi UFJ Financial Group, Inc..... 21,459,506 138,789,997 1.5%
Mizuho Financial Group, Inc............. 51,633,200 106,356,355 1.2%
Nissan Motor Co., Ltd................... 5,844,900 60,589,514 0.7%
# Sumitomo Mitsui Financial Group, Inc.... 2,728,500 108,849,809 1.2%
Other Securities........................ 1,441,016,272 15.5%
-------------- -----
TOTAL JAPAN................................. 2,054,520,175 22.3%
-------------- -----
NETHERLANDS -- (2.8%)
ING Groep NV............................ 6,261,830 91,466,780 1.0%
Koninklijke Philips NV.................. 1,816,357 48,966,694 0.5%
Other Securities........................ 128,818,636 1.4%
-------------- -----
TOTAL NETHERLANDS........................... 269,252,110 2.9%
-------------- -----
NEW ZEALAND -- (0.1%)
Other Securities........................ 6,670,339 0.1%
-------------- -----
NORWAY -- (0.6%)
Other Securities........................ 61,668,622 0.7%
-------------- -----
PORTUGAL -- (0.0%)
Other Securities........................ 4,300,068 0.0%
-------------- -----
SINGAPORE -- (1.0%)
Other Securities........................ 91,074,356 1.0%
-------------- -----
SPAIN -- (2.9%)
Banco Santander SA...................... 19,371,024 108,210,378 1.2%
Iberdrola SA............................ 14,302,198 101,990,959 1.1%
Other Securities........................ 70,374,756 0.7%
-------------- -----
TOTAL SPAIN................................. 280,576,093 3.0%
-------------- -----
SWEDEN -- (3.0%)
Svenska Cellulosa AB SCA Class B........ 2,234,256 65,807,693 0.7%
Telefonaktiebolaget LM Ericsson Class B. 4,879,427 47,489,038 0.5%
Other Securities........................ 174,423,981 1.9%
-------------- -----
TOTAL SWEDEN................................ 287,720,712 3.1%
-------------- -----
SWITZERLAND -- (8.5%)
ABB, Ltd................................ 4,761,575 89,830,421 1.0%
Adecco SA............................... 640,328 47,598,969 0.5%
Cie Financiere Richemont SA............. 928,099 79,582,225 0.9%
LafargeHolcim, Ltd...................... 932,270 52,500,549 0.6%
Swiss Re AG............................. 1,037,390 96,301,702 1.0%
UBS Group AG............................ 2,463,478 49,201,633 0.5%
Zurich Insurance Group AG............... 343,651 90,689,469 1.0%
Other Securities........................ 316,311,917 3.4%
-------------- -----
TOTAL SWITZERLAND........................... 822,016,885 8.9%
-------------- -----
284
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (16.7%)
Barclays P.L.C. Sponsored ADR.................. 5,103,338 $ 72,620,500 0.8%
BP P.L.C. Sponsored ADR........................ 8,753,160 312,487,811 3.4%
HSBC Holdings P.L.C............................ 20,428,278 159,605,431 1.7%
# HSBC Holdings P.L.C. Sponsored ADR............. 2,554,625 99,809,198 1.1%
Royal Dutch Shell P.L.C. Class A............... 1,867,596 48,757,978 0.5%
Royal Dutch Shell P.L.C. Sponsored ADR Class A. 1,338,497 70,217,553 0.8%
# Royal Dutch Shell P.L.C. Sponsored ADR Class B. 3,323,210 175,099,935 1.9%
Standard Chartered P.L.C....................... 4,035,713 44,798,973 0.5%
Vodafone Group P.L.C........................... 58,351,986 192,032,427 2.1%
Vodafone Group P.L.C. Sponsored ADR............ 4,011,201 132,249,306 1.4%
Other Securities............................... 295,091,397 3.2%
-------------- ------
TOTAL UNITED KINGDOM................................. 1,602,770,509 17.4%
-------------- ------
TOTAL COMMON STOCKS.................................. 9,126,127,376 98.9%
-------------- ------
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
Volkswagen AG.................................. 396,506 47,594,617 0.5%
Other Securities............................... 13,660,500 0.2%
-------------- ------
TOTAL GERMANY........................................ 61,255,117 0.7%
-------------- ------
TOTAL PREFERRED STOCKS............................... 61,255,117 0.7%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities............................... -- 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities............................... 1,065,068 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................ 1,065,068 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.......................... 9,188,447,561
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (4.5%)
(S)@ DFA Short Term Investment Fund................. 37,531,967 434,244,856 4.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $9,600,064,667)............................ $9,622,692,417 104.3%
============== ======
285
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, 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................... $ 57,726,184 $ 479,327,281 -- $ 537,053,465
Austria..................... -- 10,400,098 -- 10,400,098
Belgium..................... 4,913,352 119,570,620 -- 124,483,972
Canada...................... 710,222,560 -- -- 710,222,560
Denmark..................... -- 153,265,271 -- 153,265,271
Finland..................... 2,150,379 58,660,147 -- 60,810,526
France...................... 4,266,340 891,211,402 -- 895,477,742
Germany..................... 72,150,156 632,900,172 -- 705,050,328
Hong Kong................... -- 213,300,423 -- 213,300,423
Ireland..................... 5,888,310 20,033,114 -- 25,921,424
Israel...................... 788,648 34,670,440 -- 35,459,088
Italy....................... 25,889,612 148,222,998 -- 174,112,610
Japan....................... 63,194,952 1,991,325,223 -- 2,054,520,175
Netherlands................. 28,977,472 240,274,638 -- 269,252,110
New Zealand................. -- 6,670,339 -- 6,670,339
Norway...................... 15,266,905 46,401,717 -- 61,668,622
Portugal.................... -- 4,300,068 -- 4,300,068
Singapore................... -- 91,074,356 -- 91,074,356
Spain....................... 4,304,148 276,271,945 -- 280,576,093
Sweden...................... 8,128,809 279,591,903 -- 287,720,712
Switzerland................. 41,604,334 780,412,551 -- 822,016,885
United Kingdom.............. 891,654,132 711,116,377 -- 1,602,770,509
Preferred Stocks
Germany..................... -- 61,255,117 -- 61,255,117
Rights/Warrants
Australia................... -- -- -- --
Spain....................... -- 1,065,068 -- 1,065,068
Securities Lending Collateral. -- 434,244,856 -- 434,244,856
-------------- -------------- -- --------------
TOTAL......................... $1,937,126,293 $7,685,566,124 -- $9,622,692,417
============== ============== == ==============
See accompanying Notes to Financial Statements.
286
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (90.4%)
Consumer Discretionary -- (18.4%)
Aoyama Trading Co., Ltd..................... 307,000 $ 11,185,037 0.4%
Calsonic Kansei Corp........................ 1,015,000 8,089,220 0.3%
Nifco, Inc.................................. 287,200 11,071,328 0.4%
Wacoal Holdings Corp........................ 675,000 8,470,224 0.3%
Other Securities............................ 492,737,107 18.8%
------------ -----
Total Consumer Discretionary.................... 531,552,916 20.2%
------------ -----
Consumer Staples -- (8.4%)
Nichirei Corp............................... 1,501,000 9,763,287 0.4%
Sapporo Holdings, Ltd....................... 1,981,000 8,164,430 0.3%
Takara Holdings, Inc........................ 980,300 7,041,270 0.3%
# UNY Group Holdings Co., Ltd................. 1,468,300 8,117,716 0.3%
Other Securities............................ 209,088,023 7.9%
------------ -----
Total Consumer Staples.......................... 242,174,726 9.2%
------------ -----
Energy -- (0.9%)
Other Securities............................ 25,382,203 0.9%
------------ -----
Financials -- (11.0%)
Daishi Bank, Ltd. (The)..................... 2,003,000 9,051,406 0.3%
Hyakugo Bank, Ltd. (The).................... 1,491,609 7,630,038 0.3%
Juroku Bank, Ltd. (The)..................... 2,002,000 8,930,735 0.3%
Keiyo Bank, Ltd. (The)...................... 1,418,000 7,124,460 0.3%
#* Kyushu Financial Group, Inc................. 2,191,820 16,855,962 0.6%
* Leopalace21 Corp............................ 1,960,700 10,446,456 0.4%
Musashino Bank, Ltd. (The).................. 198,700 7,559,611 0.3%
North Pacific Bank, Ltd..................... 2,025,300 7,763,381 0.3%
Ogaki Kyoritsu Bank, Ltd. (The)............. 1,955,000 7,617,921 0.3%
San-In Godo Bank, Ltd. (The)................ 957,000 8,843,998 0.3%
# Shiga Bank, Ltd. (The)...................... 1,328,000 7,097,991 0.3%
Other Securities............................ 218,221,945 8.3%
------------ -----
Total Financials................................ 317,143,904 12.0%
------------ -----
Health Care -- (4.4%)
Asahi Intecc Co., Ltd....................... 246,000 9,502,389 0.4%
Nichi-iko Pharmaceutical Co., Ltd........... 264,250 7,334,079 0.3%
Nipro Corp.................................. 702,100 7,870,821 0.3%
Rohto Pharmaceutical Co., Ltd............... 499,200 8,236,034 0.3%
# Toho Holdings Co., Ltd...................... 321,000 7,116,998 0.3%
# Tsumura & Co................................ 348,700 8,402,296 0.3%
Other Securities............................ 79,819,292 3.0%
------------ -----
Total Health Care............................... 128,281,909 4.9%
------------ -----
Industrials -- (25.9%)
Daifuku Co., Ltd............................ 579,400 8,575,019 0.3%
Fujikura, Ltd............................... 1,984,000 10,197,595 0.4%
Furukawa Electric Co., Ltd.................. 4,806,000 8,795,085 0.3%
Japan Steel Works, Ltd. (The)............... 1,992,000 7,413,614 0.3%
Maeda Road Construction Co., Ltd............ 387,000 7,034,679 0.3%
Mitsui Engineering & Shipbuilding Co., Ltd.. 5,109,000 7,865,398 0.3%
Nihon M&A Center, Inc....................... 198,100 8,171,293 0.3%
Nishi-Nippon Railroad Co., Ltd.............. 1,852,000 9,576,171 0.4%
Nishimatsu Construction Co., Ltd............ 1,803,000 7,157,647 0.3%
287
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Industrials -- (Continued)
Nisshinbo Holdings, Inc............ 903,000 $ 12,263,296 0.5%
# OSG Corp........................... 444,300 8,357,354 0.3%
Penta-Ocean Construction Co., Ltd.. 1,684,400 7,649,195 0.3%
Pilot Corp......................... 188,800 7,993,821 0.3%
Sankyu, Inc........................ 1,540,000 8,675,182 0.3%
Sanwa Holdings Corp................ 1,232,600 9,970,181 0.4%
Other Securities................... 620,295,391 23.5%
-------------- ------
Total Industrials........................ 749,990,921 28.5%
-------------- ------
Information Technology -- (10.3%)
# Horiba, Ltd........................ 212,650 8,367,458 0.3%
IT Holdings Corp................... 505,101 12,486,557 0.5%
Oki Electric Industry Co., Ltd..... 4,751,000 8,018,926 0.3%
# Taiyo Yuden Co., Ltd............... 642,700 9,049,909 0.4%
Other Securities................... 261,448,961 9.9%
-------------- ------
Total Information Technology............. 299,371,811 11.4%
-------------- ------
Materials -- (10.6%)
ADEKA Corp......................... 523,000 7,685,910 0.3%
Denka Co., Ltd..................... 1,753,000 8,134,823 0.3%
Lintec Corp........................ 303,800 7,116,523 0.3%
Sumitomo Osaka Cement Co., Ltd..... 2,652,000 10,219,547 0.4%
Toyobo Co., Ltd.................... 5,776,000 8,466,741 0.3%
Ube Industries, Ltd................ 5,257,000 11,038,445 0.4%
Other Securities................... 252,728,193 9.6%
-------------- ------
Total Materials.......................... 305,390,182 11.6%
-------------- ------
Telecommunication Services -- (0.0%)
Other Securities................... 1,411,756 0.1%
-------------- ------
Utilities -- (0.5%)
Other Securities................... 15,060,469 0.6%
-------------- ------
TOTAL COMMON STOCKS...................... 2,615,760,797 99.4%
-------------- ------
Value+
------
SECURITIES LENDING COLLATERAL -- (9.6%)
(S)@ DFA Short Term Investment Fund..... 23,923,381 276,793,521 10.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,682,924,757)................ $2,892,554,318 109.9%
============== ======
288
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, 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...... -- $ 531,552,916 -- $ 531,552,916
Consumer Staples............ -- 242,174,726 -- 242,174,726
Energy...................... -- 25,382,203 -- 25,382,203
Financials.................. $16,855,962 300,287,942 -- 317,143,904
Health Care................. -- 128,281,909 -- 128,281,909
Industrials................. 160,255 749,830,666 -- 749,990,921
Information Technology...... -- 299,371,811 -- 299,371,811
Materials................... -- 305,390,182 -- 305,390,182
Telecommunication Services.. -- 1,411,756 -- 1,411,756
Utilities................... -- 15,060,469 -- 15,060,469
Securities Lending Collateral. -- 276,793,521 -- 276,793,521
----------- -------------- -- --------------
TOTAL......................... $17,016,217 $2,875,538,101 -- $2,892,554,318
=========== ============== == ==============
See accompanying Notes to Financial Statements.
289
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (81.3%)
AUSTRALIA -- (40.8%)
Adelaide Brighton, Ltd................ 3,668,074 $ 10,895,362 0.9%
Ansell, Ltd........................... 528,919 7,526,506 0.6%
Aristocrat Leisure, Ltd............... 2,730,539 18,024,062 1.5%
# Blackmores, Ltd....................... 81,784 9,736,025 0.8%
BlueScope Steel, Ltd.................. 2,315,186 7,296,478 0.6%
# carsales.com, Ltd..................... 1,702,940 11,841,536 1.0%
CSR, Ltd.............................. 3,350,138 6,558,528 0.5%
Domino's Pizza Enterprises, Ltd....... 286,872 9,487,341 0.8%
Downer EDI, Ltd....................... 2,910,872 7,314,747 0.6%
DuluxGroup, Ltd....................... 3,101,823 12,968,193 1.1%
Echo Entertainment Group, Ltd......... 4,207,608 15,207,176 1.2%
Fairfax Media, Ltd.................... 14,257,034 9,535,328 0.8%
GrainCorp, Ltd. Class A............... 1,251,687 8,024,096 0.7%
# InvoCare, Ltd......................... 901,024 7,092,641 0.6%
# IOOF Holdings, Ltd.................... 1,900,338 12,575,892 1.0%
# IRESS, Ltd............................ 1,073,207 7,147,613 0.6%
# JB Hi-Fi, Ltd......................... 836,109 10,638,353 0.9%
# M2 Group, Ltd......................... 1,294,182 9,057,218 0.7%
Magellan Financial Group, Ltd......... 466,192 7,424,460 0.6%
# nib holdings, Ltd..................... 2,713,689 6,957,146 0.6%
# Northern Star Resources, Ltd.......... 4,806,957 9,379,703 0.8%
Nufarm, Ltd........................... 1,141,199 6,760,389 0.6%
OZ Minerals, Ltd...................... 2,198,276 6,746,035 0.6%
# Perpetual, Ltd........................ 356,426 11,333,090 0.9%
# Primary Health Care, Ltd.............. 3,292,878 8,651,241 0.7%
Qantas Airways, Ltd................... 3,453,909 9,728,779 0.8%
# Sims Metal Management, Ltd............ 1,382,214 9,617,546 0.8%
Sirtex Medical, Ltd................... 412,322 11,111,408 0.9%
# Spark Infrastructure Group............ 10,385,907 15,315,541 1.3%
# Super Retail Group, Ltd............... 1,280,749 8,747,020 0.7%
Tabcorp Holdings, Ltd................. 3,586,818 11,987,416 1.0%
# Vocus Communications, Ltd............. 1,634,058 7,551,430 0.6%
Other Securities...................... 303,631,752 24.4%
------------ -----
TOTAL AUSTRALIA........................... 615,870,051 50.2%
------------ -----
CHINA -- (0.1%)
Other Securities...................... 1,340,267 0.1%
------------ -----
HONG KONG -- (23.1%)
# Cafe de Coral Holdings, Ltd........... 1,938,000 6,555,133 0.5%
# Dah Sing Banking Group, Ltd........... 3,457,116 6,551,159 0.5%
Dah Sing Financial Holdings, Ltd...... 1,184,544 6,646,674 0.6%
# Esprit Holdings, Ltd.................. 13,802,950 15,382,852 1.3%
Hopewell Holdings, Ltd................ 2,920,000 10,536,375 0.9%
#* Kingston Financial Group, Ltd......... 19,023,000 7,513,039 0.6%
# Luk Fook Holdings International, Ltd.. 2,862,000 7,364,606 0.6%
Man Wah Holdings, Ltd................. 5,694,800 6,505,575 0.5%
Pacific Textiles Holdings, Ltd........ 4,820,000 6,868,128 0.6%
Vitasoy International Holdings, Ltd... 4,703,000 7,807,201 0.6%
Xinyi Glass Holdings, Ltd............. 16,280,000 8,455,001 0.7%
Other Securities...................... 257,861,931 20.9%
------------ -----
TOTAL HONG KONG........................... 348,047,674 28.3%
------------ -----
290
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
NEW ZEALAND -- (8.5%)
Air New Zealand, Ltd................... 3,693,701 $ 7,265,664 0.6%
# Fisher & Paykel Healthcare Corp., Ltd.. 4,200,605 22,103,908 1.8%
Infratil, Ltd.......................... 3,201,309 6,723,662 0.6%
# Ryman Healthcare, Ltd.................. 2,338,582 12,477,577 1.0%
# SKY Network Television, Ltd............ 2,080,268 6,386,562 0.5%
SKYCITY Entertainment Group, Ltd....... 4,473,046 12,134,063 1.0%
Other Securities....................... 60,983,395 4.9%
-------------- ------
TOTAL NEW ZEALAND............................ 128,074,831 10.4%
-------------- ------
SINGAPORE -- (8.8%)
Venture Corp., Ltd..................... 1,654,300 9,749,130 0.8%
Other Securities....................... 123,013,455 10.0%
-------------- ------
TOTAL SINGAPORE.............................. 132,762,585 10.8%
-------------- ------
TOTAL COMMON STOCKS.......................... 1,226,095,408 99.8%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities....................... 2,373 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities....................... 23,333 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS........................ 25,706 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.................. 1,226,121,114
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (18.7%)
(S)@ DFA Short Term Investment Fund......... 24,403,671 282,350,469 23.0%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,727,795,864).................... $1,508,471,583 122.8%
============== ======
Summary of the Series' investments as of October 31, 2015, 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................... $ 9,728,779 $ 606,141,272 -- $ 615,870,051
China....................... -- 1,340,267 -- 1,340,267
Hong Kong................... 315,879 347,731,795 -- 348,047,674
New Zealand................. -- 128,074,831 -- 128,074,831
Singapore................... 581,005 132,181,580 -- 132,762,585
Rights/Warrants
Australia................... -- 2,373 -- 2,373
Hong Kong................... -- 23,333 -- 23,333
Securities Lending Collateral. -- 282,350,469 -- 282,350,469
----------- -------------- -- --------------
TOTAL......................... $10,625,663 $1,497,845,920 -- $1,508,471,583
=========== ============== == ==============
See accompanying Notes to Financial Statements.
291
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (97.1%)
Consumer Discretionary -- (27.2%)
Bellway P.L.C..................... 634,613 $ 25,348,219 1.2%
Berkeley Group Holdings P.L.C..... 664,403 33,910,166 1.6%
Betfair Group P.L.C............... 337,205 16,751,925 0.8%
Daily Mail & General Trust P.L.C.. 1,406,012 16,198,309 0.8%
Domino's Pizza Group P.L.C........ 845,611 14,211,052 0.7%
Greene King P.L.C................. 1,786,209 22,097,245 1.1%
Howden Joinery Group P.L.C........ 3,331,582 23,761,899 1.1%
Inchcape P.L.C.................... 2,234,351 27,479,055 1.3%
Informa P.L.C..................... 3,309,192 28,940,061 1.4%
Rightmove P.L.C................... 477,301 28,190,029 1.4%
Taylor Wimpey P.L.C............... 8,920,064 27,173,690 1.3%
* Thomas Cook Group P.L.C........... 7,258,705 13,727,552 0.7%
UBM P.L.C......................... 2,265,761 17,849,269 0.9%
WH Smith P.L.C.................... 680,498 17,851,799 0.9%
William Hill P.L.C................ 4,450,569 21,715,526 1.0%
Other Securities.................. 244,476,363 11.6%
------------ -----
Total Consumer Discretionary.......... 579,682,159 27.8%
------------ -----
Consumer Staples -- (5.2%)
Booker Group P.L.C................ 7,899,680 22,625,829 1.1%
Britvic P.L.C..................... 1,223,553 13,153,355 0.6%
Tate & Lyle P.L.C................. 2,291,490 21,033,777 1.0%
Other Securities.................. 54,614,683 2.7%
------------ -----
Total Consumer Staples................ 111,427,644 5.4%
------------ -----
Energy -- (3.9%)
Amec Foster Wheeler P.L.C......... 1,933,881 21,160,938 1.0%
John Wood Group P.L.C............. 1,939,124 17,801,885 0.9%
Petrofac, Ltd..................... 1,323,447 17,172,041 0.8%
Other Securities.................. 28,333,340 1.4%
------------ -----
Total Energy.......................... 84,468,204 4.1%
------------ -----
Financials -- (15.2%)
Amlin P.L.C....................... 2,732,771 27,729,450 1.3%
Beazley P.L.C..................... 2,583,691 14,442,058 0.7%
Close Brothers Group P.L.C........ 775,985 17,484,739 0.8%
Henderson Group P.L.C............. 5,673,481 25,007,836 1.2%
Hiscox, Ltd....................... 1,480,745 22,019,824 1.1%
ICAP P.L.C........................ 2,825,338 19,125,468 0.9%
IG Group Holdings P.L.C........... 1,862,861 21,652,988 1.0%
Jupiter Fund Management P.L.C..... 1,950,736 13,530,577 0.7%
Man Group P.L.C................... 9,267,447 23,786,481 1.1%
Phoenix Group Holdings............ 1,072,614 14,104,792 0.7%
Other Securities.................. 125,090,160 6.0%
------------ -----
Total Financials...................... 323,974,373 15.5%
------------ -----
Health Care -- (2.8%)
Other Securities.................. 59,295,843 2.9%
------------ -----
Industrials -- (23.3%)
* Balfour Beatty P.L.C.............. 3,705,993 14,204,180 0.7%
BBA Aviation P.L.C................ 5,822,256 17,104,109 0.8%
292
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Industrials -- (Continued)
Berendsen P.L.C........................ 870,366 $ 13,722,600 0.7%
Cobham P.L.C........................... 5,746,923 24,536,962 1.2%
DCC P.L.C.............................. 392,281 31,446,253 1.5%
Hays P.L.C............................. 7,141,914 15,472,894 0.7%
Melrose Industries P.L.C............... 5,163,700 21,125,329 1.0%
Regus P.L.C............................ 3,349,423 17,246,433 0.8%
Rentokil Initial P.L.C................. 9,277,900 22,069,212 1.1%
Spirax-Sarco Engineering P.L.C......... 372,620 17,467,332 0.8%
Other Securities....................... 302,515,450 14.5%
-------------- ------
Total Industrials............................ 496,910,754 23.8%
-------------- ------
Information Technology -- (8.3%)
Halma P.L.C............................ 1,951,180 22,935,335 1.1%
Playtech P.L.C......................... 1,066,825 14,055,843 0.7%
Spectris P.L.C......................... 607,600 15,583,280 0.8%
Telecity Group P.L.C................... 1,011,062 18,287,574 0.9%
Other Securities....................... 106,426,042 5.0%
-------------- ------
Total Information Technology................. 177,288,074 8.5%
-------------- ------
Materials -- (7.4%)
Croda International P.L.C.............. 447,752 19,972,880 1.0%
DS Smith P.L.C......................... 4,938,232 29,423,520 1.4%
Essentra P.L.C......................... 1,311,927 16,996,260 0.8%
Other Securities....................... 91,750,794 4.4%
-------------- ------
Total Materials.............................. 158,143,454 7.6%
-------------- ------
Telecommunication Services -- (2.1%)
Cable & Wireless Communications P.L.C.. 17,713,479 20,055,908 0.9%
Other Securities....................... 24,630,015 1.2%
-------------- ------
Total Telecommunication Services............. 44,685,923 2.1%
-------------- ------
Utilities -- (1.7%)
Pennon Group P.L.C..................... 1,974,654 24,639,490 1.2%
Other Securities....................... 12,190,545 0.6%
-------------- ------
Total Utilities.............................. 36,830,035 1.8%
-------------- ------
TOTAL COMMON STOCKS.......................... 2,072,706,463 99.5%
-------------- ------
PREFERRED STOCKS -- (0.0%)
Other Securities....................... 25,210 0.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities....................... 125,696 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.................. 2,072,857,369
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (2.9%)
(S)@ DFA Short Term Investment Fund......... 5,271,316 60,989,129 2.9%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,629,459,086).................... $2,133,846,498 102.4%
============== ======
293
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, 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...... -- $ 579,682,159 -- $ 579,682,159
Consumer Staples............ -- 111,427,644 -- 111,427,644
Energy...................... -- 84,468,204 -- 84,468,204
Financials.................. -- 323,974,373 -- 323,974,373
Health Care................. -- 59,295,843 -- 59,295,843
Industrials................. -- 496,910,754 -- 496,910,754
Information Technology...... -- 177,288,074 -- 177,288,074
Materials................... -- 158,143,454 -- 158,143,454
Telecommunication Services.. -- 44,685,923 -- 44,685,923
Utilities................... -- 36,830,035 -- 36,830,035
Preferred Stocks.............. -- 25,210 -- 25,210
Rights/Warrants............... -- 125,696 -- 125,696
Securities Lending Collateral. -- 60,989,129 -- 60,989,129
-- -------------- -- --------------
TOTAL......................... -- $2,133,846,498 -- $2,133,846,498
== ============== == ==============
See accompanying Notes to Financial Statements.
294
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (91.6%)
AUSTRIA -- (2.5%)
Other Securities.......... $100,876,537 2.8%
------------ -----
BELGIUM -- (4.1%)
Ackermans & van Haaren NV. 134,383 20,449,775 0.6%
Umicore SA................ 434,045 18,428,703 0.5%
Other Securities.......... 121,939,006 3.3%
------------ -----
TOTAL BELGIUM................. 160,817,484 4.4%
------------ -----
DENMARK -- (4.6%)
* Genmab A.S................ 217,338 21,447,065 0.6%
GN Store Nord A.S......... 826,732 15,079,315 0.4%
Other Securities.......... 143,585,420 3.9%
------------ -----
TOTAL DENMARK................. 180,111,800 4.9%
------------ -----
FINLAND -- (6.5%)
Amer Sports Oyj........... 641,324 17,999,126 0.5%
Elisa Oyj................. 734,075 27,657,200 0.8%
Huhtamaki Oyj............. 467,536 16,494,354 0.5%
Nokian Renkaat Oyj........ 623,433 23,519,989 0.6%
Orion Oyj Class B......... 420,544 15,020,765 0.4%
Other Securities.......... 156,297,508 4.2%
------------ -----
TOTAL FINLAND................. 256,988,942 7.0%
------------ -----
FRANCE -- (11.6%)
Arkema SA................. 203,698 14,885,975 0.4%
Eiffage SA................ 229,296 14,285,485 0.4%
Eurofins Scientific SE.... 47,119 17,044,767 0.5%
Lagardere SCA............. 619,304 18,018,902 0.5%
Rexel SA.................. 1,044,821 14,259,517 0.4%
Rubis SCA................. 195,671 15,682,855 0.4%
Teleperformance........... 348,982 27,388,433 0.8%
* UBISOFT Entertainment..... 521,852 15,635,374 0.4%
Other Securities.......... 319,929,212 8.7%
------------ -----
TOTAL FRANCE.................. 457,130,520 12.5%
------------ -----
GERMANY -- (15.2%)
Aareal Bank AG............ 409,233 15,591,008 0.4%
Freenet AG................ 652,809 22,021,682 0.6%
Gerresheimer AG........... 201,267 15,693,760 0.4%
Lanxess AG................ 467,967 25,112,396 0.7%
LEG Immobilien AG......... 289,571 23,086,112 0.6%
MTU Aero Engines AG....... 247,538 22,899,395 0.6%
Osram Licht AG............ 342,154 20,106,408 0.6%
Rheinmetall AG............ 223,411 14,051,846 0.4%
Other Securities.......... 443,685,211 12.2%
------------ -----
TOTAL GERMANY................. 602,247,818 16.5%
------------ -----
GREECE -- (0.0%)
Other Securities.......... 742 0.0%
------------ -----
295
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
IRELAND -- (1.9%)
Glanbia P.L.C.................................. 700,613 $ 13,558,923 0.4%
Kingspan Group P.L.C........................... 580,389 14,039,062 0.4%
Paddy Power P.L.C.............................. 157,699 18,373,777 0.5%
Smurfit Kappa Group P.L.C...................... 546,377 15,549,351 0.4%
Other Securities............................... 14,138,142 0.4%
------------ -----
TOTAL IRELAND...................................... 75,659,255 2.1%
------------ -----
ISRAEL -- (2.0%)
Other Securities............................... 78,082,129 2.1%
------------ -----
ITALY -- (9.5%)
Azimut Holding SpA............................. 573,550 13,795,599 0.4%
Banca Popolare dell'Emilia Romagna SC.......... 2,548,728 20,568,444 0.6%
Banca Popolare di Milano Scarl................. 22,383,595 21,002,866 0.6%
Mediaset SpA................................... 3,022,390 15,340,452 0.4%
Prysmian SpA................................... 991,595 21,413,784 0.6%
Other Securities............................... 285,690,284 7.7%
------------ -----
TOTAL ITALY........................................ 377,811,429 10.3%
------------ -----
NETHERLANDS -- (4.8%)
Aalberts Industries NV......................... 558,677 18,112,490 0.5%
TNT Express NV................................. 2,218,089 18,638,648 0.5%
Other Securities............................... 151,518,075 4.2%
------------ -----
TOTAL NETHERLANDS.................................. 188,269,213 5.2%
------------ -----
NORWAY -- (2.0%)
Other Securities............................... 77,623,382 2.1%
------------ -----
PORTUGAL -- (1.5%)
#* Banco Comercial Portugues SA Class R........... 315,057,219 18,059,890 0.5%
Other Securities............................... 42,154,226 1.2%
------------ -----
TOTAL PORTUGAL..................................... 60,214,116 1.7%
------------ -----
SPAIN -- (5.5%)
# Bolsas y Mercados Espanoles SHMSF SA........... 410,153 14,715,419 0.4%
Distribuidora Internacional de Alimentacion SA. 2,594,077 16,481,708 0.5%
Gamesa Corp. Tecnologica SA.................... 1,266,922 19,996,276 0.6%
Other Securities............................... 166,329,841 4.5%
------------ -----
TOTAL SPAIN........................................ 217,523,244 6.0%
------------ -----
SWEDEN -- (7.9%)
Intrum Justitia AB............................. 385,511 13,831,068 0.4%
Other Securities............................... 299,508,152 8.2%
------------ -----
TOTAL SWEDEN....................................... 313,339,220 8.6%
------------ -----
SWITZERLAND -- (12.0%)
Clariant AG.................................... 762,046 14,012,763 0.4%
Flughafen Zuerich AG........................... 22,078 16,710,360 0.5%
# Galenica AG.................................... 10,976 16,078,707 0.4%
GAM Holding AG................................. 925,197 16,924,123 0.5%
Georg Fischer AG............................... 22,511 13,830,804 0.4%
Helvetia Holding AG............................ 35,945 18,800,020 0.5%
PSP Swiss Property AG.......................... 172,407 14,997,704 0.4%
Straumann Holding AG........................... 55,594 15,730,952 0.4%
296
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Temenos Group AG................ 318,043 $ 14,857,171 0.4%
Other Securities................ 333,945,678 9.1%
-------------- ------
TOTAL SWITZERLAND...................... 475,888,282 13.0%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities................ 543,382 0.0%
-------------- ------
UNITED STATES -- (0.0%)
Other Securities................ 683,752 0.0%
-------------- ------
TOTAL COMMON STOCKS.................... 3,623,811,247 99.2%
-------------- ------
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
Other Securities................ 22,467,308 0.6%
-------------- ------
TOTAL PREFERRED STOCKS................. 22,467,308 0.6%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRIA -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
FRANCE -- (0.0%)
Other Securities................ 365,262 0.0%
-------------- ------
ITALY -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities................ 54,381 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................. 419,643 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 3,646,698,198
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (7.8%)
(S)@ DFA Short Term Investment Fund.. 26,763,766 309,656,768 8.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,379,161,142).............. $3,956,354,966 108.3%
============== ======
297
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, 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..................... -- $ 100,876,537 -- $ 100,876,537
Belgium..................... -- 160,817,484 -- 160,817,484
Denmark..................... -- 180,111,800 -- 180,111,800
Finland..................... -- 256,988,942 -- 256,988,942
France...................... $ 13,584 457,116,936 -- 457,130,520
Germany..................... -- 602,247,818 -- 602,247,818
Greece...................... -- 742 -- 742
Ireland..................... -- 75,659,255 -- 75,659,255
Israel...................... -- 78,082,129 -- 78,082,129
Italy....................... -- 377,811,429 -- 377,811,429
Netherlands................. -- 188,269,213 -- 188,269,213
Norway...................... -- 77,623,382 -- 77,623,382
Portugal.................... -- 60,214,116 -- 60,214,116
Spain....................... -- 217,523,244 -- 217,523,244
Sweden...................... -- 313,339,220 -- 313,339,220
Switzerland................. -- 475,888,282 -- 475,888,282
United Kingdom.............. 543,382 -- -- 543,382
United States............... 683,736 16 -- 683,752
Preferred Stocks
Germany..................... -- 22,467,308 -- 22,467,308
Rights/Warrants
Austria..................... -- -- -- --
France...................... -- 365,262 -- 365,262
Italy....................... -- -- -- --
Spain....................... -- 54,381 -- 54,381
Securities Lending Collateral. -- 309,656,768 -- 309,656,768
Futures Contracts**........... (18,791) -- -- (18,791)
---------- -------------- -- --------------
TOTAL......................... $1,221,911 $3,955,114,264 -- $3,956,336,175
========== ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
See accompanying Notes to Financial Statements.
298
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (76.9%)
Consumer Discretionary -- (9.4%)
Cineplex, Inc........................ 294,735 $ 11,357,981 1.8%
# Corus Entertainment, Inc. Class B.... 468,941 4,472,082 0.7%
Dorel Industries, Inc. Class B....... 169,797 4,317,643 0.7%
# EnerCare, Inc........................ 438,600 5,121,919 0.8%
* IMAX Corp............................ 259,917 9,978,214 1.6%
RONA, Inc............................ 676,245 7,059,303 1.1%
Uni-Select, Inc...................... 105,935 5,249,761 0.8%
Other Securities..................... 28,364,533 4.7%
------------ -----
Total Consumer Discretionary............. 75,921,436 12.2%
------------ -----
Consumer Staples -- (3.6%)
Cott Corp............................ 509,721 5,320,963 0.9%
Maple Leaf Foods, Inc................ 317,864 5,053,833 0.8%
North West Co., Inc. (The)........... 242,310 5,373,960 0.9%
Other Securities..................... 12,998,040 2.0%
------------ -----
Total Consumer Staples................... 28,746,796 4.6%
------------ -----
Energy -- (15.8%)
* Advantage Oil & Gas, Ltd............. 1,100,531 6,118,737 1.0%
# Enbridge Income Fund Holdings, Inc... 251,755 6,187,982 1.0%
# Enerflex, Ltd........................ 436,563 4,213,387 0.7%
Ensign Energy Services, Inc.......... 758,725 4,769,593 0.8%
# Mullen Group, Ltd.................... 536,825 7,168,067 1.2%
* Parex Resources, Inc................. 586,904 4,407,615 0.7%
# Parkland Fuel Corp................... 414,677 7,214,669 1.2%
Pason Systems, Inc................... 356,252 5,241,885 0.8%
Precision Drilling Corp.............. 1,736,481 6,905,553 1.1%
# Secure Energy Services, Inc.......... 631,339 4,195,729 0.7%
ShawCor, Ltd......................... 233,800 4,961,724 0.8%
Other Securities..................... 66,659,087 10.6%
------------ -----
Total Energy............................. 128,044,028 20.6%
------------ -----
Financials -- (7.1%)
# Canadian Western Bank................ 436,532 8,389,453 1.3%
Colliers International Group, Inc.... 161,848 8,024,324 1.3%
FirstService Corp.................... 150,648 5,299,639 0.9%
Laurentian Bank of Canada............ 191,320 7,750,245 1.2%
Other Securities..................... 27,591,111 4.5%
------------ -----
Total Financials......................... 57,054,772 9.2%
------------ -----
Health Care -- (1.2%)
Other Securities..................... 10,141,928 1.6%
------------ -----
Industrials -- (11.4%)
Aecon Group, Inc..................... 408,101 4,715,820 0.8%
* ATS Automation Tooling Systems, Inc.. 522,530 5,502,629 0.9%
# Russel Metals, Inc................... 350,655 5,470,604 0.9%
Stantec, Inc......................... 453,829 11,390,844 1.8%
Toromont Industries, Ltd............. 376,225 9,791,172 1.6%
Transcontinental, Inc. Class A....... 359,276 5,536,411 0.9%
TransForce, Inc...................... 432,009 8,451,201 1.4%
# Westshore Terminals Investment Corp.. 318,149 5,306,538 0.8%
299
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
Industrials -- (Continued)
Other Securities.................... $ 36,289,095 5.7%
------------ ------
Total Industrials......................... 92,454,314 14.8%
------------ ------
Information Technology -- (4.2%)
* Descartes Systems Group, Inc. (The). 255,838 4,476,578 0.7%
Enghouse Systems, Ltd............... 97,257 4,435,175 0.7%
Other Securities.................... 24,978,842 4.0%
------------ ------
Total Information Technology.............. 33,890,595 5.4%
------------ ------
Materials -- (17.9%)
Alamos Gold, Inc. Class A........... 1,545,462 5,944,994 1.0%
#* B2Gold Corp......................... 5,268,073 5,680,623 0.9%
Centerra Gold, Inc.................. 999,634 5,626,573 0.9%
Dominion Diamond Corp............... 487,201 5,152,944 0.8%
HudBay Minerals, Inc................ 1,398,004 7,259,443 1.2%
#* IAMGOLD Corp........................ 2,443,241 4,409,643 0.7%
* New Gold, Inc....................... 2,304,655 5,710,525 0.9%
# Pan American Silver Corp............ 990,673 7,515,659 1.2%
Stella-Jones, Inc................... 187,800 6,911,086 1.1%
Other Securities.................... 90,283,382 14.5%
------------ ------
Total Materials........................... 144,494,872 23.2%
------------ ------
Telecommunication Services -- (0.5%)
Other Securities.................... 3,980,520 0.6%
------------ ------
Utilities -- (5.8%)
Algonquin Power & Utilities Corp.... 1,054,815 8,139,403 1.3%
Capital Power Corp.................. 523,509 7,522,740 1.2%
# Innergex Renewable Energy, Inc...... 512,927 4,150,174 0.7%
# Just Energy Group, Inc.............. 727,176 5,344,265 0.9%
# Northland Power, Inc................ 536,896 6,939,081 1.1%
# Superior Plus Corp.................. 689,743 5,633,569 0.9%
Other Securities.................... 8,948,810 1.4%
------------ ------
Total Utilities........................... 46,678,042 7.5%
------------ ------
TOTAL COMMON STOCKS....................... 621,407,303 99.7%
------------ ------
Value+
------
SECURITIES LENDING COLLATERAL -- (23.1%)
(S)@ DFA Short Term Investment Fund...... 16,142,002 186,762,963 30.0%
------------ ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,175,564,629)................. $808,170,266 129.7%
============ ======
300
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
----------------------------------------------
Level 1 Level 2 Level 3 Total
------------ ------------ ------- ------------
Common Stocks
Consumer Discretionary...... $ 75,921,436 -- -- $ 75,921,436
Consumer Staples............ 28,746,796 -- -- 28,746,796
Energy...................... 128,044,019 $ 9 -- 128,044,028
Financials.................. 57,054,772 -- -- 57,054,772
Health Care................. 10,135,001 6,927 -- 10,141,928
Industrials................. 92,454,314 -- -- 92,454,314
Information Technology...... 33,890,595 -- -- 33,890,595
Materials................... 144,490,019 4,853 -- 144,494,872
Telecommunication Services.. 3,980,520 -- -- 3,980,520
Utilities................... 46,678,042 -- -- 46,678,042
Securities Lending Collateral. -- 186,762,963 -- 186,762,963
------------ ------------ -- ------------
TOTAL......................... $621,395,514 $186,774,752 -- $808,170,266
============ ============ == ============
See accompanying Notes to Financial Statements.
301
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (93.0%)
BRAZIL -- (4.4%)
AMBEV SA ADR........................................ 5,984,451 $ 29,144,276 0.7%
Other Securities.................................... 171,710,417 3.9%
------------ ------
TOTAL BRAZIL............................................ 200,854,693 4.6%
------------ ------
CHILE -- (1.4%)
Other Securities.................................... 66,291,852 1.5%
------------ ------
CHINA -- (14.4%)
Bank of China, Ltd. Class H......................... 61,469,181 28,986,487 0.7%
China Construction Bank Corp. Class H............... 67,009,590 48,565,595 1.1%
# China Life Insurance Co., Ltd. ADR.................. 859,836 15,528,638 0.4%
# China Mobile, Ltd. Sponsored ADR.................... 914,028 55,125,029 1.3%
# CNOOC, Ltd. Sponsored ADR........................... 127,716 14,518,755 0.3%
Industrial & Commercial Bank of China, Ltd. Class H. 71,229,185 45,181,034 1.0%
Ping An Insurance Group Co. of China, Ltd. Class H.. 4,622,500 25,976,962 0.6%
Tencent Holdings, Ltd............................... 4,351,400 81,797,358 1.9%
Other Securities.................................... 351,334,782 7.8%
------------ ------
TOTAL CHINA............................................. 667,014,640 15.1%
------------ ------
COLOMBIA -- (0.5%)
Other Securities.................................... 22,932,415 0.5%
------------ ------
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 8,061,923 0.2%
------------ ------
EGYPT -- (0.1%)
Other Securities.................................... 5,936,662 0.1%
------------ ------
GREECE -- (0.3%)
Other Securities.................................... 15,529,848 0.4%
------------ ------
HUNGARY -- (0.3%)
Other Securities.................................... 12,756,313 0.3%
------------ ------
INDIA -- (11.6%)
Axis Bank, Ltd...................................... 1,931,821 14,003,393 0.3%
HDFC Bank, Ltd...................................... 1,530,953 25,612,509 0.6%
Hindustan Unilever, Ltd............................. 1,148,145 14,073,935 0.3%
Infosys, Ltd........................................ 1,851,162 32,036,099 0.7%
Infosys, Ltd. Sponsored ADR......................... 847,888 15,397,646 0.4%
ITC, Ltd............................................ 3,140,460 16,034,368 0.4%
Reliance Industries, Ltd............................ 1,666,009 24,098,221 0.6%
Sun Pharmaceutical Industries, Ltd.................. 1,065,601 14,463,279 0.3%
Tata Consultancy Services, Ltd...................... 716,717 27,377,531 0.6%
Other Securities.................................... 353,705,076 8.0%
------------ ------
TOTAL INDIA............................................. 536,802,057 12.2%
------------ ------
INDONESIA -- (2.8%)
Bank Central Asia Tbk PT............................ 15,447,700 14,511,990 0.3%
Other Securities.................................... 115,662,446 2.7%
------------ ------
TOTAL INDONESIA......................................... 130,174,436 3.0%
------------ ------
302
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MALAYSIA -- (3.9%)
# Public Bank Bhd........................... 3,537,614 $ 14,872,843 0.3%
Other Securities.......................... 167,210,332 3.8%
------------ ------
TOTAL MALAYSIA................................ 182,083,175 4.1%
------------ ------
MEXICO -- (5.7%)
Alfa S.A.B. de C.V. Class A............... 7,756,508 16,078,584 0.4%
America Movil S.A.B. de C.V. Series L..... 46,329,297 41,230,713 0.9%
Fomento Economico Mexicano S.A.B. de C.V.. 1,793,669 17,701,267 0.4%
Grupo Financiero Banorte S.A.B. de C.V.... 5,018,245 26,865,769 0.6%
Grupo Mexico S.A.B. de C.V. Series B...... 6,016,393 14,664,179 0.3%
Grupo Televisa S.A.B. Series CPO.......... 3,235,650 18,832,737 0.4%
Wal-Mart de Mexico S.A.B. de C.V.......... 7,054,235 18,684,255 0.4%
Other Securities.......................... 108,728,773 2.6%
------------ ------
TOTAL MEXICO.................................. 262,786,277 6.0%
------------ ------
PERU -- (0.2%)
Other Securities.......................... 9,743,908 0.2%
------------ ------
PHILIPPINES -- (1.9%)
Other Securities.......................... 85,662,053 1.9%
------------ ------
POLAND -- (1.7%)
Other Securities.......................... 79,130,660 1.8%
------------ ------
RUSSIA -- (1.7%)
Gazprom PAO Sponsored ADR................. 5,214,789 21,976,852 0.5%
Other Securities.......................... 58,429,365 1.3%
------------ ------
TOTAL RUSSIA.................................. 80,406,217 1.8%
------------ ------
SOUTH AFRICA -- (7.9%)
Bidvest Group, Ltd. (The)................. 648,157 16,556,883 0.4%
# FirstRand, Ltd............................ 4,702,056 17,229,920 0.4%
# MTN Group, Ltd............................ 2,516,919 28,654,142 0.7%
Naspers, Ltd. Class N..................... 355,437 51,891,806 1.2%
Sasol, Ltd. Sponsored ADR................. 736,675 23,691,468 0.5%
Standard Bank Group, Ltd.................. 1,835,594 19,072,052 0.4%
# Steinhoff International Holdings, Ltd..... 3,065,957 18,743,536 0.4%
Other Securities.......................... 191,056,135 4.3%
------------ ------
TOTAL SOUTH AFRICA............................ 366,895,942 8.3%
------------ ------
SOUTH KOREA -- (15.2%)
Hyundai Motor Co.......................... 175,874 24,023,437 0.6%
Kia Motors Corp........................... 293,465 14,324,640 0.3%
# NAVER Corp................................ 33,801 17,748,056 0.4%
Samsung Electronics Co., Ltd.............. 97,289 116,690,919 2.7%
Samsung Electronics Co., Ltd. GDR......... 52,509 31,372,488 0.7%
SK Holdings Co., Ltd...................... 64,669 15,116,455 0.4%
SK Hynix, Inc............................. 705,494 18,880,589 0.4%
Other Securities.......................... 464,372,185 10.5%
------------ ------
TOTAL SOUTH KOREA............................. 702,528,769 16.0%
------------ ------
TAIWAN -- (14.3%)
# Advanced Semiconductor Engineering, Inc... 13,107,929 15,132,511 0.4%
Fubon Financial Holding Co., Ltd.......... 8,611,233 13,918,518 0.3%
Hon Hai Precision Industry Co., Ltd....... 15,085,867 40,099,117 0.9%
303
THE EMERGING MARKETS SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (Continued)
Taiwan Semiconductor Manufacturing Co., Ltd............ 25,188,808 $ 106,137,215 2.4%
# Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored
ADR................................................... 1,672,158 36,720,590 0.8%
# United Microelectronics Corp........................... 39,806,000 14,517,893 0.3%
Other Securities....................................... 436,017,779 9.9%
-------------- ------
TOTAL TAIWAN................................................. 662,543,623 15.0%
-------------- ------
THAILAND -- (2.7%)
Other Securities....................................... 122,614,666 2.8%
-------------- ------
TURKEY -- (1.8%)
Other Securities....................................... 83,447,887 1.9%
-------------- ------
TOTAL COMMON STOCKS.......................................... 4,304,198,016 97.7%
-------------- ------
PREFERRED STOCKS -- (2.0%)
BRAZIL -- (1.9%)
Banco Bradesco SA...................................... 3,343,289 18,213,688 0.4%
Itau Unibanco Holding SA............................... 4,198,270 28,833,771 0.7%
Other Securities....................................... 38,228,983 0.9%
-------------- ------
TOTAL BRAZIL................................................. 85,276,442 2.0%
-------------- ------
CHILE -- (0.0%)
Other Securities....................................... 416,755 0.0%
-------------- ------
COLOMBIA -- (0.1%)
Other Securities....................................... 4,405,111 0.1%
-------------- ------
TOTAL PREFERRED STOCKS....................................... 90,098,308 2.1%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
SOUTH KOREA -- (0.0%)
Other Securities....................................... 86,734 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities....................................... 94,316 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS........................................ 181,050 0.0%
-------------- ------
BONDS -- (0.0%)
INDIA -- (0.0%)
Other Securities....................................... 38,152 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.................................. 4,394,515,526
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (5.0%)
(S)@ DFA Short Term Investment Fund......................... 20,193,192 233,635,232 5.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,090,568,631).................................... $4,628,150,758 105.1%
============== ======
304
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, 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...................... $ 72,351,895 $ 128,502,798 -- $ 200,854,693
Chile....................... 29,417,791 36,874,061 -- 66,291,852
China....................... 119,678,667 547,335,973 -- 667,014,640
Colombia.................... 22,932,415 -- -- 22,932,415
Czech Republic.............. -- 8,061,923 -- 8,061,923
Egypt....................... -- 5,936,662 -- 5,936,662
Greece...................... -- 15,529,848 -- 15,529,848
Hungary..................... -- 12,756,313 -- 12,756,313
India....................... 36,809,493 499,992,564 -- 536,802,057
Indonesia................... 3,914,328 126,260,108 -- 130,174,436
Malaysia.................... -- 182,083,175 -- 182,083,175
Mexico...................... 262,786,277 -- -- 262,786,277
Peru........................ 9,743,908 -- -- 9,743,908
Philippines................. 2,373,039 83,289,014 -- 85,662,053
Poland...................... -- 79,130,660 -- 79,130,660
Russia...................... 2,164,213 78,242,004 -- 80,406,217
South Africa................ 47,016,645 319,879,297 -- 366,895,942
South Korea................. 21,125,090 681,403,679 -- 702,528,769
Taiwan...................... 45,371,102 617,172,521 -- 662,543,623
Thailand.................... 122,614,666 -- -- 122,614,666
Turkey...................... 731,735 82,716,152 -- 83,447,887
Preferred Stocks
Brazil...................... 8,075,458 77,200,984 -- 85,276,442
Chile....................... -- 416,755 -- 416,755
Colombia.................... 4,405,111 -- -- 4,405,111
Rights/Warrants
South Korea................. -- 86,734 -- 86,734
Thailand.................... -- 94,316 -- 94,316
Bonds
India....................... -- 38,152 -- 38,152
Securities Lending Collateral. -- 233,635,232 -- 233,635,232
------------ -------------- -- --------------
TOTAL......................... $811,511,833 $3,816,638,925 -- $4,628,150,758
============ ============== == ==============
See accompanying Notes to Financial Statements.
305
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (85.5%)
BRAZIL -- (5.3%)
BR Malls Participacoes SA............................... 4,365,623 $ 12,667,039 0.3%
CETIP SA - Mercados Organizados......................... 945,300 8,362,006 0.2%
Equatorial Energia SA................................... 2,116,094 18,862,875 0.4%
Estacio Participacoes SA................................ 3,262,816 13,083,483 0.3%
Multiplan Empreendimentos Imobiliarios SA............... 1,004,900 10,956,466 0.2%
Sul America SA.......................................... 2,719,051 13,340,635 0.3%
Totvs SA................................................ 1,252,487 11,096,760 0.2%
Valid Solucoes e Servicos de Seguranca em Meios de
Pagamento e Identificacao S.A.......................... 812,887 9,228,230 0.2%
Other Securities........................................ 202,114,858 4.0%
------------ -----
TOTAL BRAZIL................................................ 299,712,352 6.1%
------------ -----
CHILE -- (1.2%)
Parque Arauco SA........................................ 7,176,122 12,017,573 0.3%
Vina Concha y Toro SA................................... 5,059,858 8,607,306 0.2%
Other Securities........................................ 48,148,087 0.9%
------------ -----
TOTAL CHILE................................................. 68,772,966 1.4%
------------ -----
CHINA -- (12.8%)
Beijing Capital International Airport Co., Ltd. Class H. 9,730,000 10,401,993 0.2%
# GCL-Poly Energy Holdings, Ltd........................... 57,432,000 11,936,202 0.3%
# Geely Automobile Holdings, Ltd.......................... 28,845,000 15,308,334 0.3%
GOME Electrical Appliances Holding, Ltd................. 57,831,000 10,567,435 0.2%
Semiconductor Manufacturing International Corp.......... 118,116,000 10,942,227 0.2%
Shenzhen International Holdings, Ltd.................... 6,618,751 10,085,178 0.2%
Other Securities........................................ 650,002,466 13.3%
------------ -----
TOTAL CHINA................................................. 719,243,835 14.7%
------------ -----
COLOMBIA -- (0.1%)
Other Securities........................................ 8,013,135 0.2%
------------ -----
GREECE -- (0.4%)
Other Securities........................................ 24,025,225 0.5%
------------ -----
HONG KONG -- (0.0%)
Other Securities........................................ 153,052 0.0%
------------ -----
HUNGARY -- (0.0%)
Other Securities........................................ 66,875 0.0%
------------ -----
INDIA -- (12.7%)
Arvind, Ltd............................................. 1,986,900 8,423,181 0.2%
Ashok Leyland, Ltd...................................... 8,562,959 12,246,273 0.3%
Crompton Greaves, Ltd................................... 3,403,119 9,041,818 0.2%
MindTree, Ltd........................................... 369,188 8,860,991 0.2%
Torrent Pharmaceuticals, Ltd............................ 365,996 8,561,908 0.2%
TVS Motor Co., Ltd...................................... 2,128,314 8,649,681 0.2%
Other Securities........................................ 660,475,554 13.3%
------------ -----
TOTAL INDIA................................................. 716,259,406 14.6%
------------ -----
306
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
INDONESIA -- (2.4%)
Other Securities........................................ $136,140,527 2.8%
------------ -----
ISRAEL -- (0.0%)
Other Securities........................................ 3 0.0%
------------ -----
MALAYSIA -- (4.1%)
Top Glove Corp. Bhd..................................... 4,640,460 10,249,436 0.2%
Other Securities........................................ 220,670,754 4.5%
------------ -----
TOTAL MALAYSIA.............................................. 230,920,190 4.7%
------------ -----
MEXICO -- (4.0%)
# Alsea S.A.B. de C.V..................................... 6,247,966 20,475,027 0.4%
# Banregio Grupo Financiero S.A.B. de C.V................. 2,160,290 11,564,061 0.2%
Bolsa Mexicana de Valores S.A.B. de C.V................. 5,064,811 8,462,918 0.2%
Gentera S.A.B. de C.V................................... 5,740,334 10,543,882 0.2%
Gruma S.A.B. de C.V. Class B............................ 630,764 9,680,386 0.2%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V...... 2,295,436 11,789,996 0.3%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B. 2,116,469 19,089,198 0.4%
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR...... 77,098 11,930,144 0.3%
# Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B.. 560,664 8,688,734 0.2%
Promotora y Operadora de Infraestructura S.A.B. de C.V.. 860,979 10,824,656 0.2%
Other Securities........................................ 104,284,983 2.0%
------------ -----
TOTAL MEXICO................................................ 227,333,985 4.6%
------------ -----
PHILIPPINES -- (1.6%)
Other Securities........................................ 87,592,060 1.8%
------------ -----
POLAND -- (1.9%)
Asseco Poland SA........................................ 656,782 9,694,556 0.2%
Other Securities........................................ 97,515,775 2.0%
------------ -----
TOTAL POLAND................................................ 107,210,331 2.2%
------------ -----
SOUTH AFRICA -- (7.4%)
AVI, Ltd................................................ 3,423,460 21,778,850 0.4%
Barloworld, Ltd......................................... 2,216,736 12,507,021 0.3%
Clicks Group, Ltd....................................... 2,757,159 20,110,337 0.4%
Coronation Fund Managers, Ltd........................... 1,712,568 9,025,549 0.2%
DataTec, Ltd............................................ 2,057,155 8,796,353 0.2%
EOH Holdings, Ltd....................................... 1,117,136 12,335,864 0.3%
Foschini Group, Ltd. (The).............................. 1,326,741 13,535,578 0.3%
JSE, Ltd................................................ 892,197 8,594,827 0.2%
Pick n Pay Stores, Ltd.................................. 2,349,050 11,357,965 0.2%
# Pioneer Foods Group, Ltd................................ 585,511 8,388,455 0.2%
PSG Group, Ltd.......................................... 779,309 15,027,211 0.3%
Sappi, Ltd.............................................. 5,914,259 23,337,101 0.5%
Sibanye Gold, Ltd....................................... 5,404,425 9,026,607 0.2%
Spar Group, Ltd. (The).................................. 1,734,010 24,890,644 0.5%
Telkom SA SOC, Ltd...................................... 2,115,604 11,109,437 0.2%
Other Securities........................................ 205,833,838 4.1%
------------ -----
TOTAL SOUTH AFRICA.......................................... 415,655,637 8.5%
------------ -----
SOUTH KOREA -- (13.0%)
# Hanmi Pharm Co., Ltd.................................... 21,759 9,813,411 0.2%
Other Securities........................................ 725,260,622 14.8%
------------ -----
TOTAL SOUTH KOREA........................................... 735,074,033 15.0%
------------ -----
307
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (13.3%)
Other Securities................ $ 751,411,922 15.3%
-------------- ------
THAILAND -- (3.3%)
Other Securities................ 186,002,621 3.8%
-------------- ------
TURKEY -- (2.0%)
Other Securities................ 110,141,265 2.3%
-------------- ------
TOTAL COMMON STOCKS..................... 4,823,729,420 98.5%
-------------- ------
PREFERRED STOCKS -- (1.0%)
BRAZIL -- (1.0%)
Other Securities................ 57,198,535 1.2%
-------------- ------
CHILE -- (0.0%)
Other Securities................ 1,718,458 0.0%
-------------- ------
COLOMBIA -- (0.0%)
Other Securities................ 1,364,188 0.0%
-------------- ------
TOTAL PREFERRED STOCKS.................. 60,281,181 1.2%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
CHINA -- (0.0%)
Other Securities................ 11,029 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities................ 14,800 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 270,015 0.0%
-------------- ------
POLAND -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
SOUTH AFRICA -- (0.0%)
Other Securities................ 6,990 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................ 196,769 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities................ 80,818 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................... 580,421 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............. 4,884,591,022
--------------
Value+
- ------ -
SECURITIES LENDING COLLATERAL -- (13.5%)
(S)@ DFA Short Term Investment Fund.. 65,613,226 759,145,027 15.5%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,854,413,829)............... $5,643,736,049 115.2%
============== ======
308
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, 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...................... $ 6,309,056 $ 293,403,296 -- $ 299,712,352
Chile....................... 1,181,529 67,591,437 -- 68,772,966
China....................... 4,149,964 715,093,871 -- 719,243,835
Colombia.................... 8,013,135 -- -- 8,013,135
Greece...................... -- 24,025,225 -- 24,025,225
Hong Kong................... 85,103 67,949 -- 153,052
Hungary..................... -- 66,875 -- 66,875
India....................... 3,268,799 712,990,607 -- 716,259,406
Indonesia................... 1,885,745 134,254,782 -- 136,140,527
Israel...................... -- 3 -- 3
Malaysia.................... -- 230,920,190 -- 230,920,190
Mexico...................... 227,333,727 258 -- 227,333,985
Philippines................. -- 87,592,060 -- 87,592,060
Poland...................... -- 107,210,331 -- 107,210,331
South Africa................ 9,407,926 406,247,711 -- 415,655,637
South Korea................. 1,253,893 733,820,140 -- 735,074,033
Taiwan...................... 5,748 751,406,174 -- 751,411,922
Thailand.................... 185,128,553 874,068 -- 186,002,621
Turkey...................... -- 110,141,265 -- 110,141,265
Preferred Stocks
Brazil...................... 80,153 57,118,382 -- 57,198,535
Chile....................... -- 1,718,458 -- 1,718,458
Colombia.................... 1,364,188 -- -- 1,364,188
Rights/Warrants
China....................... -- 11,029 -- 11,029
Hong Kong................... -- 14,800 -- 14,800
Malaysia.................... -- 270,015 -- 270,015
Poland...................... -- -- -- --
South Africa................ -- 6,990 -- 6,990
South Korea................. -- 196,769 -- 196,769
Taiwan...................... -- -- -- --
Thailand.................... -- 80,818 -- 80,818
Securities Lending Collateral. -- 759,145,027 -- 759,145,027
------------ -------------- -- --------------
TOTAL......................... $449,467,519 $5,194,268,530 -- $5,643,736,049
============ ============== == ==============
See accompanying Notes to Financial Statements.
309
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(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 $1,499,202, $418,689,
$257,168 and $277,326 of securities on loan,
respectively).............................................. $19,083,301 $9,188,447 $2,615,760 $1,226,122
Temporary Cash Investments at Value & Cost.................. 9,755 -- -- --
Collateral from Securities on Loan Invested in Affiliate at
Value & Cost............................................... 916,343 434,245 276,794 282,350
Foreign Currencies at Value................................. -- 12,800 74 1,272
Cash........................................................ 9,912 2,677 1,047 2,067
Receivables:
Investment Securities Sold................................ -- 10,770 2,158 211
Dividends, Interest and Tax Reclaims...................... 27,939 27,006 14,430 1,517
Securities Lending Income................................. 539 392 396 316
Unrealized Gain on Foreign Currency Contracts............... -- 7 -- 3
----------- ---------- ---------- ----------
Total Assets........................................... 20,038,034 9,676,344 2,910,659 1,513,858
----------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 916,343 434,245 276,794 282,350
Investment Securities Purchased........................... 25,249 12,024 1,759 3,026
Due to Advisor............................................ 1,585 1,559 221 103
Unrealized Loss on Foreign Currency Contracts............... -- 1 2 --
Accrued Expenses and Other Liabilities...................... 800 610 195 105
----------- ---------- ---------- ----------
Total Liabilities...................................... 943,977 448,439 278,971 285,584
----------- ---------- ---------- ----------
NET ASSETS.................................................. $19,094,057 $9,227,905 $2,631,688 $1,228,274
=========== ========== ========== ==========
Investments at Cost......................................... $13,435,978 $9,165,820 $2,406,131 $1,445,445
=========== ========== ========== ==========
Foreign Currencies at Cost.................................. $ -- $ 12,765 $ 74 $ 1,275
=========== ========== ========== ==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
310
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(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 $47,716,
$291,731, $179,848, $377,198 and
$1,018,169 of securities on loan,
respectively).............................. $2,072,857 $3,646,698 $621,407 $4,394,516 $4,884,591
Collateral from Securities on Loan Invested
in Affiliate at Value & Cost............... 60,989 309,657 186,763 233,635 759,145
Foreign Currencies at Value................. 4,555 7,024 276 2,861 3,827
Cash........................................ 184 4,436 1,019 -- 900
Receivables:
Investment Securities Sold................ 2,554 10,288 -- 32,225 4,730
Dividends, Interest and Tax Reclaims...... 5,617 2,413 635 2,332 3,353
Securities Lending Income................. 146 896 211 779 2,929
Unrealized Gain on Foreign Currency
Contracts.................................. -- 22 2 2 --
---------- ---------- -------- ---------- ----------
Total Assets........................... 2,146,902 3,981,434 810,313 4,666,350 5,659,475
---------- ---------- -------- ---------- ----------
LIABILITIES:
Payables:
Due to Custodian.......................... -- -- -- 58 --
Upon Return of Securities Loaned.......... 60,989 309,657 186,763 233,635 759,145
Investment Securities Purchased........... 1,520 17,467 322 1,215 550
Due to Advisor............................ 177 308 54 379 834
Line of Credit............................ -- -- -- 26,899 --
Futures Margin Variation.................. -- 19 -- -- --
Unrealized Loss on Foreign Currency
Contracts.................................. -- 1 -- 30 1
Accrued Expenses and Other Liabilities...... 103 239 42 579 638
---------- ---------- -------- ---------- ----------
Total Liabilities...................... 62,789 327,691 187,181 262,795 761,168
---------- ---------- -------- ---------- ----------
NET ASSETS.................................. $2,084,113 $3,653,743 $623,132 $4,403,555 $4,898,307
========== ========== ======== ========== ==========
Investments at Cost......................... $1,568,470 $3,069,504 $988,802 $3,856,933 $5,095,269
========== ========== ======== ========== ==========
Foreign Currencies at Cost.................. $ 4,536 $ 7,038 $ 276 $ 2,854 $ 3,846
========== ========== ======== ========== ==========
----------
* See Note J in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
311
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(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 $23, $26,207,
$4,631 and $1,080, respectively).......................... $ 429,780 $ 325,317 $ 41,882 $ 52,670
Income from Securities Lending............................. 4,643 9,274 4,601 3,945
----------- ----------- -------- ---------
Total Investment Income................................. 434,423 334,591 46,483 56,615
----------- ----------- -------- ---------
Expenses
Investment Advisory Services Fees.......................... 18,802 18,962 2,561 1,317
Accounting & Transfer Agent Fees........................... 947 488 133 77
Custodian Fees............................................. 199 857 422 267
Shareholders' Reports...................................... 47 24 6 4
Directors'/Trustees' Fees & Expenses....................... 92 46 12 7
Professional Fees.......................................... 350 252 48 26
Other...................................................... 262 155 41 28
----------- ----------- -------- ---------
Total Expenses.......................................... 20,699 20,784 3,223 1,726
----------- ----------- -------- ---------
Fees Paid Indirectly (Note C).............................. -- (19) (4) (2)
----------- ----------- -------- ---------
Net Expenses............................................... 20,699 20,765 3,219 1,724
----------- ----------- -------- ---------
Net Investment Income (Loss)............................... 413,724 313,826 43,264 54,891
----------- ----------- -------- ---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold............................... 858,150 244,684 69,828 (15,143)
Futures.................................................. (43) -- -- --
Foreign Currency Transactions............................ -- (5,879) (1,869) (913)
In-Kind Redemptions...................................... -- -- 27,130 18,027
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... (1,018,426) (1,034,230) 85,013 (224,570)
Translation of Foreign Currency Denominated Amounts...... -- 654 382 (13)
----------- ----------- -------- ---------
Net Realized and Unrealized Gain (Loss).................... (160,319) (794,771) 180,484 (222,612)
----------- ----------- -------- ---------
Net Increase (Decrease) in Net Assets Resulting from
Operations.................................................. $ 253,405 $ (480,945) $223,748 $(167,721)
=========== =========== ======== =========
See accompanying Notes to Financial Statements.
312
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(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 $0,
$11,182, $3,094, $14,586 and $14,338,
respectively)................................... $ 72,683 $ 76,800 $ 18,127 $ 102,539 $ 115,180
Income from Securities Lending................... 1,244 10,424 2,627 5,876 32,586
-------- -------- --------- --------- ---------
Total Investment Income....................... 73,927 87,224 20,754 108,415 147,766
-------- -------- --------- --------- ---------
Expenses
Investment Advisory Services Fees................ 2,081 3,391 730 4,259 10,250
Accounting & Transfer Agent Fees................. 110 181 38 226 269
Custodian Fees................................... 91 549 55 1,963 2,748
Shareholders' Reports............................ 6 10 2 10 11
Directors'/Trustees' Fees & Expenses............. 10 15 4 20 25
Professional Fees................................ 38 136 14 172 207
Other............................................ 36 65 11 105 82
-------- -------- --------- --------- ---------
Total Expenses................................ 2,372 4,347 854 6,755 13,592
-------- -------- --------- --------- ---------
Fees Paid Indirectly (Note C).................... -- (10) (2) (31) (15)
-------- -------- --------- --------- ---------
Net Expenses..................................... 2,372 4,337 852 6,724 13,577
-------- -------- --------- --------- ---------
Net Investment Income (Loss)..................... 71,555 82,887 19,902 101,691 134,189
-------- -------- --------- --------- ---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold..................... 82,685 115,635 (9,138) (99,010) 49,962
Futures........................................ -- (4,875) -- 2,478 --
Foreign Currency Transactions.................. 144 (1,002) 149 (2,204) (4,548)
In-Kind Redemptions............................ 42,293 58,734 8,042 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency...................................... (104) 55,052 (228,267) (686,412) (693,734)
Futures........................................ -- (19) -- -- --
Translation of Foreign Currency Denominated
Amounts....................................... 86 (57) 11 (95) (241)
-------- -------- --------- --------- ---------
Net Realized and Unrealized Gain (Loss).......... 125,104 223,468 (229,203) (785,243) (648,561)
-------- -------- --------- --------- ---------
Net Increase (Decrease) in Net Assets Resulting
from Operations................................... $196,659 $306,355 $(209,301) $(683,552) $(514,372)
======== ======== ========= ========= =========
See accompanying Notes to Financial Statements.
313
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The U.S. Large Cap Value The DFA International The Japanese Small
Series Value Series Company Series
------------------------ ----------------------- ----------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
----------- ----------- ----------- ---------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)........... $ 413,724 $ 318,905 $ 313,826 $ 419,781 $ 43,264 $ 40,128
Net Realized Gain (Loss) on:
Investment Securities Sold*.......... 858,150 755,725 244,684 173,096 69,828 97,004
Futures.............................. (43) -- -- -- -- --
Foreign Currency Transactions........ -- -- (5,879) (1,763) (1,869) (567)
In-Kind Redemptions.................. -- -- -- -- 27,130 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ (1,018,426) 1,319,300 (1,034,230) (672,491) 85,013 (82,784)
Translation of Foreign Currency
Denominated Amounts................. -- -- 654 (1,379) 382 (535)
----------- ----------- ----------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations......................... 253,405 2,393,930 (480,945) (82,756) 223,748 53,246
----------- ----------- ----------- ---------- ---------- ----------
Transactions in Interest:
Contributions.......................... 1,769,181 1,721,914 1,070,207 1,022,273 102,092 296,221
Withdrawals............................ (1,305,211) (578,150) (705,023) (387,981) (199,561) (125,682)
----------- ----------- ----------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest........... 463,970 1,143,764 365,184 634,292 (97,469) 170,539
----------- ----------- ----------- ---------- ---------- ----------
Total Increase (Decrease) in
Net Assets......................... 717,375 3,537,694 (115,761) 551,536 126,279 223,785
Net Assets
Beginning of Year...................... 18,376,682 14,838,988 9,343,666 8,792,130 2,505,409 2,281,624
----------- ----------- ----------- ---------- ---------- ----------
End of Year............................ $19,094,057 $18,376,682 $ 9,227,905 $9,343,666 $2,631,688 $2,505,409
=========== =========== =========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
314
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Asia Pacific Small The United Kingdom Small The Continental Small
Company Series Company Series Company Series
---------------------- ---------------------- ----------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
---------- ---------- ---------- ---------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 54,891 $ 55,094 $ 71,555 $ 62,544 $ 82,887 $ 81,827
Net Realized Gain (Loss) on:
Investment Securities Sold*........... (15,143) 882 82,685 111,297 115,635 116,406
Futures............................... -- -- -- -- (4,875) (1,000)
Foreign Currency Transactions......... (913) (18) 144 (238) (1,002) (321)
In-Kind Redemptions................... 18,027 -- 42,293 -- 58,734 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. (224,570) (101,865) (104) (148,584) 55,052 (269,561)
Futures............................... -- -- -- -- (19) --
Translation of Foreign Currency
Denominated Amounts.................. (13) (11) 86 (41) (57) (151)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... (167,721) (45,918) 196,659 24,978 306,355 (72,800)
---------- ---------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 119,899 315,024 12,907 17,172 454,912 106,051
Withdrawals............................. (177,690) (80,818) (121,351) (34,539) (259,801) (98,740)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ (57,791) 234,206 (108,444) (17,367) 195,111 7,311
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. (225,512) 188,288 88,215 7,611 501,466 (65,489)
Net Assets
Beginning of Year....................... 1,453,786 1,265,498 1,995,898 1,988,287 3,152,277 3,217,766
---------- ---------- ---------- ---------- ---------- ----------
End of Year............................. $1,228,274 $1,453,786 $2,084,113 $1,995,898 $3,653,743 $3,152,277
========== ========== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
315
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
The Canadian Small The Emerging Markets The Emerging Markets
Company Series Series Small Cap Series
------------------- ---------------------- ----------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
--------- -------- ---------- ---------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)............ $ 19,902 $ 20,745 $ 101,691 $ 99,780 $ 134,189 $ 110,728
Net Realized Gain (Loss) on:
Investment Securities Sold*........... (9,138) (2,865) (99,010) (24,811) 49,962 101,054
Futures............................... -- -- 2,478 -- -- --
Foreign Currency Transactions......... 149 86 (2,204) (653) (4,548) (980)
In-Kind Redemptions................... 8,042 -- -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. (228,267) (64,673) (686,412) 12,344 (693,734) 20,955
Translation of Foreign Currency
Denominated Amounts.................. 11 5 (95) (12) (241) (139)
--------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.......................... (209,301) (46,702) (683,552) 86,648 (514,372) 231,618
--------- -------- ---------- ---------- ---------- ----------
Transactions in Interest:
Contributions........................... 20,480 159,436 1,463,845 527,157 792,529 773,201
Withdrawals............................. (37,476) (4,509) (562,189) (194,514) (301,288) (174,904)
--------- -------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest............ (16,996) 154,927 901,656 332,643 491,241 598,297
--------- -------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets.............................. (226,297) 108,225 218,104 419,291 (23,131) 829,915
Net Assets
Beginning of Year....................... 849,429 741,204 4,185,451 3,766,160 4,921,438 4,091,523
--------- -------- ---------- ---------- ---------- ----------
End of Year............................. $ 623,132 $849,429 $4,403,555 $4,185,451 $4,898,307 $4,921,438
========= ======== ========== ========== ========== ==========
----------
* Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $1,375,
respectively.
See accompanying Notes to Financial Statements.
316
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series
--------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
---------------------------------------------------------------------------------------------------------------------
Total Return......................................... 1.32% 15.67% 35.68% 18.31% 5.69%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................. $19,094,057 $18,376,682 $14,838,988 $10,589,152 $9,335,107
Ratio of Expenses to Average Net Assets.............. 0.11% 0.11% 0.11% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets. 2.20% 1.90% 1.98% 2.15% 1.79%
Portfolio Turnover Rate.............................. 16% 15% 15% 10% 14%
---------------------------------------------------------------------------------------------------------------------
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,
2015 2014 2013 2012 2011
----------------------------------------------------------------------------------------------------------------------------
Total Return................................................. (5.35)% (0.72)% 28.18% 3.17% (8.04)%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $9,227,905 $9,343,666 $8,792,130 $7,238,249 $6,955,907
Ratio of Expenses to Average Net Assets...................... 0.22% 0.22% 0.22% 0.24% 0.23%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.22% 0.22% 0.22% 0.24% 0.23%
Ratio of Net Investment Income to Average Net Assets......... 3.31% 4.50% 3.20% 3.75% 3.47%
Portfolio Turnover Rate...................................... 21% 17% 15% 14% 9%
----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
317
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Japanese Small Company Series
----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
-------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 9.04% 2.46% 30.62% 0.54% 10.07%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $2,631,688 $2,505,409 $2,281,624 $1,686,731 $1,502,815
Ratio of Expenses to Average Net Assets...................... 0.13% 0.13% 0.14% 0.15% 0.14%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.13% 0.13% 0.14% 0.15% 0.14%
Ratio of Net Investment Income to Average Net Assets......... 1.69% 1.71% 1.87% 2.17% 2.07%
Portfolio Turnover Rate...................................... 6% 9% 16% 7% 5%
-------------------------------------------------------------------------------------------------------------------------
The Asia Pacific Small Company Series
----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
--------------------------------------------------------------------------------------------------------------------------
Total Return................................................. (11.83)% (3.46)% 10.97% 7.48% (5.15)%
--------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $1,228,274 $1,453,786 $1,265,498 $1,003,860 $906,734
Ratio of Expenses to Average Net Assets...................... 0.13% 0.13% 0.15% 0.16% 0.16%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.13% 0.13% 0.15% 0.16% 0.16%
Ratio of Net Investment Income to Average Net Assets......... 4.17% 3.96% 4.64% 4.26% 3.78%
Portfolio Turnover Rate...................................... 7% 7% 9% 18% 17%
--------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
318
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The United Kingdom Small Company Series
----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
-------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 9.95% 1.22% 37.42% 23.41% 0.20%
-------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $2,084,113 $1,995,898 $1,988,287 $1,464,838 $1,133,845
Ratio of Expenses to Average Net Assets...................... 0.11% 0.11% 0.12% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.11% 0.11% 0.12% 0.13% 0.13%
Ratio of Net Investment Income to Average Net Assets......... 3.44% 2.98% 3.29% 3.37% 3.76%
Portfolio Turnover Rate...................................... 10% 8% 17% 6% 7%
-------------------------------------------------------------------------------------------------------------------------
The Continental Small Company Series
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
---------------------------------------------------------------------------------------------------------------------------
Total Return................................................. 9.81% (2.25)% 43.67% 2.29% (10.75)%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $3,653,743 $3,152,277 $3,217,766 $2,245,179 $2,001,763
Ratio of Expenses to Average Net Assets...................... 0.13% 0.13% 0.14% 0.16% 0.15%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.13% 0.13% 0.14% 0.16% 0.15%
Ratio of Net Investment Income to Average Net Assets......... 2.44% 2.40% 2.67% 3.15% 2.72%
Portfolio Turnover Rate...................................... 14% 13% 13% 9% 10%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
319
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Canadian Small Company Series
---------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
------------------------------------------------------------------------------------------------------------------
Total Return................................................. (25.00)% (3.83)% 5.71% (2.51)% 0.27%
------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $623,132 $849,429 $741,204 $689,086 $736,262
Ratio of Expenses to Average Net Assets...................... 0.12% 0.12% 0.13% 0.15% 0.14%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.12% 0.12% 0.13% 0.15% 0.14%
Ratio of Net Investment Income to Average Net Assets......... 2.73% 2.42% 2.99% 2.29% 1.72%
Portfolio Turnover Rate...................................... 18% 5% 14% 22% 24%
------------------------------------------------------------------------------------------------------------------
The Emerging Markets Series
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
---------------------------------------------------------------------------------------------------------------------------
Total Return................................................. (14.86)% 1.74% 6.99% 4.55% (6.44)%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $4,403,555 $4,185,451 $3,766,160 $2,913,307 $2,439,981
Ratio of Expenses to Average Net Assets...................... 0.16% 0.15% 0.16% 0.20% 0.20%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.16% 0.15% 0.16% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets......... 2.39% 2.51% 2.38% 2.55% 2.48%
Portfolio Turnover Rate...................................... 9% 5% 4% 5% 16%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
320
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
The Emerging Markets Small Cap Series
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
---------------------------------------------------------------------------------------------------------------------------
Total Return................................................. (9.42)% 5.60% 9.41% 7.19% (12.94)%
---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).......................... $4,898,307 $4,921,438 $4,091,523 $2,953,350 $1,874,926
Ratio of Expenses to Average Net Assets...................... 0.26% 0.26% 0.29% 0.36% 0.33%
Ratio of Expenses to Average Net Assets (Excluding Fees Paid
Indirectly)................................................. 0.27% 0.26% 0.29% 0.36% 0.33%
Ratio of Net Investment Income to Average Net Assets......... 2.62% 2.48% 2.37% 2.48% 2.32%
Portfolio Turnover Rate...................................... 18% 9% 11% 13% 18%
---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
321
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, nine of which are included in this section
of the report (collectively, the "Series"). The remaining operational
portfolios are presented in separate reports.
Domestic Equity Portfolio International Equity Portfolios
------------------------- -------------------------------
The U.S. Large Cap Value Series The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Canadian Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Series utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Domestic Equity Portfolio and the International
Equity Portfolios, including over-the-counter securities, are valued at the
last quoted sale price at the close of the exchanges on which they are
principally traded (official closing price). International equity securities
are subject to a fair value factor, as described later in this note. Securities
held by the Domestic Equity Portfolio and the International Equity Portfolios
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Domestic Equity Portfolio and the International Equity Portfolios value the
securities at the mean of the most recent quoted bid and asked prices. 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.
322
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 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, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the time the International Equity Portfolios
price their shares at the close of the NYSE, the International Equity
Portfolios will fair value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last closing
prices of the foreign investments were calculated on their primary foreign
securities markets or exchanges. For these purposes, the Board of
Directors/Trustees of the International Equity Portfolios have determined that
movements in relevant indices or other appropriate market indicators, after the
close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate
that market quotations may be unreliable. Fair valuation of portfolio
securities may occur on a daily basis. The fair value pricing by the
International Equity Portfolios utilizes data furnished by an independent
pricing service (and that data draws upon, among other information, the market
values of foreign investments). When an International Equity Portfolio uses
fair value pricing, the values assigned to the International Equity Portfolio's
foreign investments may not be the quoted or published prices of the
investments on their primary markets or exchanges. These securities are
generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
Transfers between investment levels may occur as the markets fluctuate
and/or the availability of data used in an investment's valuation changes. The
Series recognize transfers between the levels as of the end of the period. As
of October 31, 2015, The Asia Pacific Small Company Series had significant
transfers of securities with a total value of $17,780 (in thousands), that
transferred from Level 1 to Level 2 because 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
pursuant to U.S. Federal income tax regulations; such amounts are categorized
as foreign exchange gain or loss for income tax reporting purposes.
323
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Equity Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. Deferred Compensation Plan: Each eligible Director/Trustee of the Trust
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 2015, 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.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Series. On May 8, 2015 and June 10, 2015 at a Special Joint
Meeting of Shareholders, shareholders of the Series approved new investment
management agreements, which became effective July 21, 2015, that provide a
uniform agreement that
324
increases transparency and better describes all of the services that the
Advisor provides to each Series. The rate charged to each Series under the new
investment management agreement for investment management services is equal to
the rate charged under each Series' previous investment advisory agreement with
the Advisor. For the year ended October 31, 2015, the Series' investment
advisory services/management 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. The impact of
such credits is generally less than one basis point of each Series' net assets.
During the year ended October 31, 2015, expenses reduced were as follows
(amounts in thousands):
Fees Paid
Indirectly
- ----------
The DFA International Value Series...... $19
The Japanese Small Company Series....... 4
The Asia Pacific Small Company Series... 2
The United Kingdom Small Company Series. --
The Continental Small Company Series.... 10
The Canadian Small Company Series....... 2
The Emerging Markets Series............. 31
The Emerging Markets Small Cap Series... 15
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the year ended October 31, 2015, the total
related amounts paid by the Trust to the CCO were $84 (in thousands). The total
related amounts paid by each of the Series are included in Other Expenses on
the Statement of Operations.
D. Deferred Compensation:
At October 31, 2015, 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......... $417
The DFA International Value Series...... 293
The Japanese Small Company Series....... 66
The Asia Pacific Small Company Series... 35
The United Kingdom Small Company Series. 45
The Continental Small Company Series.... 82
The Canadian Small Company Series....... 21
The Emerging Markets Series............. 108
The Emerging Markets Small Cap Series... 82
325
E. Purchases and Sales of Securities:
For the year ended October 31, 2015, 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......... $4,001,677 $2,985,119
The DFA International Value Series...... 2,665,270 1,984,575
The Japanese Small Company Series....... 198,581 159,333
The Asia Pacific Small Company Series... 102,735 88,864
The United Kingdom Small Company Series. 276,034 206,995
The Continental Small Company Series.... 867,842 463,002
The Canadian Small Company Series....... 164,506 133,407
The Emerging Markets Series............. 1,395,127 380,617
The Emerging Markets Small Cap Series... 1,539,086 903,678
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
At October 31, 2015, 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......... $14,362,443 $6,266,359 $(163,399) $6,102,960
The DFA International Value Series...... 9,610,599 1,293,660 (600,495) 693,165
The Japanese Small Company Series....... 2,709,273 491,340 (286,920) 204,420
The Asia Pacific Small Company Series... 1,756,672 212,258 (316,853) (104,595)
The United Kingdom Small Company Series. 1,644,221 677,996 (141,289) 536,707
The Continental Small Company Series.... 3,384,646 1,044,611 (434,069) 610,542
The Canadian Small Company Series....... 1,178,046 63,334 (279,097) (215,763)
The Emerging Markets Series............. 4,110,214 1,080,042 (266,689) 813,353
The Emerging Markets Small Cap Series... 5,902,664 891,995 (680,957) 211,038
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 remain
subject to examination by the Internal Revenue Service.
326
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 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 and
options on futures contracts to adjust market exposure based on actual or
expected cash inflows to or outflows from the Series. 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.
At October 31, 2015, the following Series had outstanding futures contracts
(dollar amounts in thousands):
Expiration Number of Contract Unrealized
Description Date Contracts* Value Gain (Loss)
----------------------- ---------- ---------- -------- -----------
The Continental Small Company
Series...................... S&P 500 Emini Index(R) 12/18/15 1,165 $120,793 $(19)
* During the year ended October 31, 2015, The Continental Small Company Series'
average notional contract amount of outstanding futures contracts was $10,068
(amount in thousands).
The following is a summary of the location of derivatives on the Series'
Statements of Assets and Liabilities as of October 31, 2015:
Location on the Statements of
Assets and Liabilities
----------------------------------
Derivative Type Liability Derivatives
--------------- ----------------------------------
Equity contracts Payables: Futures Margin Variation
327
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2015 (amounts in
thousands):
Liability Derivatives Value
- ------------------------
Total Value
at Equity
October 31, 2015 Contracts
- ---------------- ---------
The Continental Small Company Series. $(19) $(19)*
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statement of Assets and
Liabilities.
The following is a summary of the location and value of derivative
instrument holdings on the Series' Statements of Operations categorized by
primary risk exposure for the year ended October 31, 2015 (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
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 Series' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2015 (amounts in
thousands):
Realized Gain (Loss) on
Derivatives Recognized in Income
-------------------------------
Foreign
Exchange Equity
Total Contracts Contracts
------- --------- ---------
The U.S. Large Cap Value Series*...... $ (43) -- $ (43)
The DFA International Value Series.... 14 $14 --
The Continental Small Company Series.. (4,875) -- (4,875)
The Emerging Markets Series**......... 2,474 (4) 2,478
The Emerging Markets Small Cap Series. 1 1 --
Change in Unrealized
Appreciation (Depreciation) on
Derivatives Recognized in Income
-------------------------------
Foreign
Exchange Equity
Total Contracts Contracts
------- --------- ---------
The Continental Small Company Series.. $ (19) -- $ (19)
* During the year ended October 31, 2015, the U.S. Large Cap Value Series'
average notional contract amount of outstanding futures contracts was $7,052
(in thousands).
**As of October 31, 2015, there were no futures contracts outstanding. During
the year ended October 31, 2015, the Series had limited activity in futures
contracts.
H. Line of Credit and Interfund Lending Program:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective April 1, 2015 with its domestic custodian bank. A line of credit with
similar terms was in effect through March 31, 2015. 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
328
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
expires on March 30, 2016.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit with its
international custodian bank effective January 9, 2015. A line of credit with
similar terms was in effect through January 8, 2015. 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 8, 2016.
For the year ended October 31, 2015, 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......... 0.96% $31,642 68 $60 $162,215
The DFA International Value Series...... 0.87% 7,575 44 8 54,121
The Japanese Small Company Series....... 0.87% 5,552 10 1 17,597
The Asia Pacific Small Company Series... 0.86% 2,621 26 2 10,948
The United Kingdom Small Company Series. 0.85% 4,186 11 1 23,419
The Continental Small Company Series.... 0.86% 247 7 -- 630
The Emerging Markets Series............. 0.92% 16,820 30 12 73,594
The Emerging Markets Small Cap Series... 0.87% 7,134 28 5 21,081
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2015, that each Series' available line of
credit was utilized.
As of October 31, 2015, The Emerging Markets Series had a loan outstanding
in the amount of $26,898 (in thousands).
Pursuant to an exemptive order issued by the SEC (the "Order"), the Series
may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Series did not utilize the interfund lending program during the year
ended October 31, 2015.
I. Affiliated Trades:
Cross trades for the year ended October 31, 2015, if any, were executed by
the Portfolios pursuant to procedures adopted by the Board of Directors of the
Fund to ensure compliance with Rule 17a-7 under the Investment Company Act of
1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common directors/trustees and/or common officers. At its
regularly scheduled meetings, the Board reviews such transactions for
compliance with the requirements and restrictions set forth by Rule 17a-7 under
the 1940 Act.
329
For the year ended October 31, 2015, cross trades by the Portfolios under
Rule 17a-7 were as follows (amounts in thousands):
Portfolio Purchases Sales
--------- --------- --------
The U.S. Large Cap Value Series....... $202,520 $158,986
The Canadian Small Company Series..... 11,242 211
The Continental Small Company Series.. 39,639 27,329
The Emerging Markets Series........... 92 2,682
The Asia Pacific Small Company Series. 10,200 48
The Japanese Small Company Series..... 4,576 365
The Emerging Markets Small Cap Series. 112 2,660
The DFA International Value Series.... 13,246 27,621
J. Securities Lending:
As of October 31, 2015, 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. government securities (amounts in thousands):
Market
Value
--------
The U.S. Large Cap Value Series....... $583,516
The DFA International Value Series.... 3,425
The Japanese Small Company Series..... 8,228
The Asia Pacific Small Company Series. 17,196
The Canadian Small Company Series..... 3,527
The Emerging Markets Series........... 168,133
The Emerging Markets Small Cap Series. 341,796
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. In the event of the bankruptcy of the borrower, a Series could
experience delay in recovering the loaned securities or only recover cash or a
security of equivalent value.
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.
330
K. 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.
L. In-Kind Redemptions:
In accordance with guidelines described in the Series' registration
statement, the Series may distribute portfolio securities rather than cash as
payment for a redemption of fund shares (in-kind redemption). For financial
reporting purposes, a Series recognizes a gain on in-kind redemptions to the
extent the value of the distributed securities on the date of redemption exceed
the cost of those securities and a loss on in-kind redemptions to the extent
the cost of the distributed securities on the date of redemption exceeds the
value of those securities. Gains and losses realized on in-kind redemptions
generally are not recognized for tax purposes.
During the year ended October 31, 2015, the Series realized net gains
(losses) on in-kind redemptions as follows:
The Japanese Small Company Series....... $27,130
The Asia Pacific Small Company Series... 18,027
The United Kingdom Small Company Series. 42,293
The Continental Small Company Series.... 58,734
The Canadian Small Company Series....... 8,042
M. Other:
The Series are subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, described below, 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. Oral argument on the appeal was held on
November 5, 2014, and the parties await the Second Circuit's ruling. 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. The
motion to dismiss is fully-briefed, and the parties await the scheduling of
oral argument on the motion. The Committee Action is stayed pending the
disposition of the motion to dismiss.
331
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it 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 quantify the cost of the
Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those buying or redeeming shares of The U.S. Large Cap
Value Series will pay or receive, as the case may be, a price based on net
asset value of The U.S. Large Cap Value Series, with no adjustment relating to
the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be
taken as expenses by The U.S. Large Cap Value Series as incurred and in a
manner similar to any other expense incurred by The U.S. Large Cap Value Series.
N. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the Series
and has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
332
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and
Shareholders of the Series, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The U.S. Large Cap Value Series, The DFA International Value Series, The
Japanese Small Company Series, The Asia Pacific Small Company Series, The
United Kingdom Small Company Series, The Continental Small Company Series, The
Canadian Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series (constituting portfolios within The DFA Investment
Trust Company, hereafter referred to as the "Series") at October 31, 2015, the
results of each of their operations for the year then ended, the changes in
each of their net assets for each of the two years in the period then ended and
the financial highlights for each of the five years in the period then ended,
in conformity with accounting principles generally accepted in the United
States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Series' management. Our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at October 31, 2015 by correspondence with the custodians,
brokers and the transfer agent of the investee fund, provide a reasonable basis
for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
333
RESULTS OF THE SHAREHOLDER MEETING
(Unaudited)
On May 8, 2015 and June 10, 2015, The DFA Investment Trust Company ("DFAITC")
held a Special Joint Meeting of Shareholders for the purpose of voting on
several proposals affecting DFAITC and the Series, including, among other
items, the election of Trustees, the approval of an updated investment
management agreement, and the amendment of certain fundamental investment
limitations. The shareholders of the Series approved each of the applicable
proposals for DFAITC and the Series presented at the Meeting. Listed below are
the voting results from the Meeting. Please note that not all Proposals
presented at the Meeting were voted on by each Series. Additionally, the
Proposal numbers reflected below correlate to the Proposal numbers presented
for vote at the Meeting.
DFAITC
Proposal 1: Election of Directors/Trustees*
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
------------- ------- ------ ---------- -------- ----------
(a) David G. Booth........... 3,799,690,199 99.00% 99.00% 38,401,017 1.00% 1.00%
(b) George M. Constantinides. 3,805,482,510 99.15% 99.15% 32,608,707 0.85% 0.85%
(c) John P. Gould............ 3,805,511,230 99.15% 99.15% 32,579,986 0.85% 0.85%
(d) Roger G. Ibbotson........ 3,805,697,022 99.16% 99.16% 32,394,194 0.84% 0.84%
(e) Edward P. Lazear......... 3,803,361,554 99.10% 99.10% 34,729,663 0.90% 0.90%
(f) Eduardo A. Repetto....... 3,805,386,852 99.15% 99.15% 32,704,365 0.85% 0.85%
(g) Myron S. Scholes......... 3,804,518,074 99.13% 99.13% 33,573,142 0.87% 0.87%
(h) Abbie J. Smith........... 3,799,720,532 99.00% 99.00% 38,370,685 1.00% 1.00%
* Results are for all Series within DFAITC
The Asia Pacific Small Company Series
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 37,825,591 99.09% 99.09% 345,511 0.91% 0.91%
(b) George M. Constantinides. 37,884,069 99.25% 99.25% 287,033 0.75% 0.75%
(c) John P. Gould............ 37,861,311 99.19% 99.19% 309,791 0.81% 0.81%
(d) Roger G. Ibbotson........ 37,884,385 99.25% 99.25% 286,717 0.75% 0.75%
(e) Edward P. Lazear......... 37,780,396 98.98% 98.98% 390,706 1.02% 1.02%
(f) Eduardo A. Repetto....... 37,885,052 99.25% 99.25% 286,050 0.75% 0.75%
(g) Myron S. Scholes......... 37,862,827 99.19% 99.19% 308,275 0.81% 0.81%
(h) Abbie J. Smith........... 37,754,855 98.91% 98.91% 416,247 1.09% 1.09%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
37,709,554 98.79% 98.79% 173,360 0.45% 0.45% 288,189 0.75% 0.75% 0 0.00%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
37,771,298 98.95% 98.95% 122,158 0.32% 0.32% 277,646 0.73% 0.73% 0 0.00%
334
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- -------- --------
35,989,596 94.28% 94.28% 314,133 0.82% 0.82% 1,867,373 4.89% 4.89% 0 0.00%
The Canadian Small Company Series
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 74,114,863 99.09% 99.09% 676,990 0.91% 0.91%
(b) George M. Constantinides. 74,229,444 99.25% 99.25% 562,409 0.75% 0.75%
(c) John P. Gould............ 74,184,852 99.19% 99.19% 607,001 0.81% 0.81%
(d) Roger G. Ibbotson........ 74,230,063 99.25% 99.25% 561,790 0.75% 0.75%
(e) Edward P. Lazear......... 74,026,309 98.98% 98.98% 765,544 1.02% 1.02%
(f) Eduardo A. Repetto....... 74,231,370 99.25% 99.25% 560,483 0.75% 0.75%
(g) Myron S. Scholes......... 74,187,823 99.19% 99.19% 604,030 0.81% 0.81%
(h) Abbie J. Smith........... 73,976,265 98.91% 98.91% 815,588 1.09% 1.09%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
74,008,482 98.95% 98.95% 239,355 0.32% 0.32% 544,016 0.73% 0.73% 0 0.00%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- -------- --------
70,517,448 94.28% 94.28% 615,506 0.82% 0.82% 3,658,897 4.89% 4.89% 0 0.00%
The Continental Small Company Series
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 49,825,575 99.60% 99.60% 200,693 0.40% 0.40%
(b) George M. Constantinides. 49,714,697 99.38% 99.38% 311,571 0.62% 0.62%
(c) John P. Gould............ 49,825,575 99.60% 99.60% 200,693 0.40% 0.40%
(d) Roger G. Ibbotson........ 49,825,575 99.60% 99.60% 200,693 0.40% 0.40%
(e) Edward P. Lazear......... 49,752,736 99.45% 99.45% 273,532 0.55% 0.55%
(f) Eduardo A. Repetto....... 49,656,864 99.26% 99.26% 369,404 0.74% 0.74%
(g) Myron S. Scholes......... 49,825,575 99.60% 99.60% 200,693 0.40% 0.40%
(h) Abbie J. Smith........... 49,840,567 99.63% 99.63% 185,701 0.37% 0.37%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
49,716,647 99.38% 99.38% 177,160 0.35% 0.35% 132,461 0.26% 0.26% 0 0.00%
335
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
49,818,048 99.58% 99.58% 75,760 0.15% 0.15% 132,461 0.26% 0.26% 0 0.00%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
49,685,627 99.32% 99.32% 99,864 0.20% 0.20% 240,777 0.48% 0.48% 0 0.00%
The DFA International Value Series
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ ---------- -------- ----------
(a) David G. Booth........... 453,108,126 98.04% 98.04% 9,076,149 1.96% 1.96%
(b) George M. Constantinides. 453,092,853 98.03% 98.03% 9,091,422 1.97% 1.97%
(c) John P. Gould............ 453,054,483 98.02% 98.02% 9,129,792 1.98% 1.98%
(d) Roger G. Ibbotson........ 453,258,273 98.07% 98.07% 8,926,002 1.93% 1.93%
(e) Edward P. Lazear......... 452,856,321 97.98% 97.98% 9,327,954 2.02% 2.02%
(f) Eduardo A. Repetto....... 453,239,258 98.06% 98.06% 8,945,017 1.94% 1.94%
(g) Myron S. Scholes......... 452,508,790 97.91% 97.91% 9,675,485 2.09% 2.09%
(h) Abbie J. Smith........... 451,301,977 97.65% 97.65% 10,882,298 2.35% 2.35%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- ---------- ------- --------- -------- --------
446,738,866 96.66% 96.66% 3,751,643 0.81% 0.81% 11,693,766 2.53% 2.53% 0 0.00%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- -------- --------
451,111,642 97.60% 97.60% 3,045,299 0.66% 0.66% 8,027,334 1.74% 1.74% 0 0.00%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- -------- --------
450,666,784 97.51% 97.51% 3,477,535 0.75% 0.75% 8,039,955 1.74% 1.74% 0 0.00%
336
The Emerging Markets Series
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 87,739,395 98.78% 98.78% 1,079,518 1.22% 1.22%
(b) George M. Constantinides. 87,783,464 98.83% 98.83% 1,035,449 1.17% 1.17%
(c) John P. Gould............ 87,769,909 98.82% 98.82% 1,049,004 1.18% 1.18%
(d) Roger G. Ibbotson........ 87,791,579 98.84% 98.84% 1,027,334 1.16% 1.16%
(e) Edward P. Lazear......... 87,789,929 98.84% 98.84% 1,028,984 1.16% 1.16%
(f) Eduardo A. Repetto....... 87,796,912 98.85% 98.85% 1,022,001 1.15% 1.15%
(g) Myron S. Scholes......... 87,705,313 98.75% 98.75% 1,113,600 1.25% 1.25%
(h) Abbie J. Smith........... 85,316,269 96.06% 96.06% 3,502,644 3.94% 3.94%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- -------- --------
86,745,802 97.67% 97.67% 423,439 0.48% 0.48% 1,649,672 1.86% 1.86% 0 0.00%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- -------- --------
86,818,736 97.75% 97.75% 361,262 0.41% 0.41% 1,638,915 1.85% 1.85% 0 0.00%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- -------- --------
86,581,315 97.48% 97.48% 589,368 0.66% 0.66% 1,648,230 1.86% 1.86% 0 0.00%
The Emerging Markets Small Cap Series
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 86,064,678 99.33% 99.33% 584,535 0.67% 0.67%
(b) George M. Constantinides. 86,156,588 99.43% 99.43% 492,625 0.57% 0.57%
(c) John P. Gould............ 86,153,304 99.43% 99.43% 495,909 0.57% 0.57%
(d) Roger G. Ibbotson........ 86,160,010 99.44% 99.44% 489,203 0.56% 0.56%
(e) Edward P. Lazear......... 86,164,175 99.44% 99.44% 485,038 0.56% 0.56%
(f) Eduardo A. Repetto....... 86,156,406 99.43% 99.43% 492,807 0.57% 0.57%
(g) Myron S. Scholes......... 85,967,163 99.21% 99.21% 682,050 0.79% 0.79%
(h) Abbie J. Smith........... 86,048,153 99.31% 99.31% 601,060 0.69% 0.69%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- ------- ------- --------- -------- --------
80,880,220 93.34% 93.34% 5,436,765 6.27% 6.27% 332,228 0.38% 0.38% 0 0.00%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- ------- ------- --------- -------- --------
81,015,334 93.50% 93.50% 5,302,501 6.12% 6.12% 331,378 0.38% 0.38% 0 0.00%
337
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- ------- ------- --------- -------- --------
79,459,175 91.70% 91.70% 6,851,692 7.91% 7.91% 338,346 0.39% 0.39% 0 0.00%
The Japanese Small Company Series
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 193,237,882 97.35% 97.35% 5,252,567 2.65% 2.65%
(b) George M. Constantinides. 198,429,120 99.97% 99.97% 61,329 0.03% 0.03%
(c) John P. Gould............ 198,429,120 99.97% 99.97% 61,329 0.03% 0.03%
(d) Roger G. Ibbotson........ 198,429,120 99.97% 99.97% 61,329 0.03% 0.03%
(e) Edward P. Lazear......... 198,328,109 99.92% 99.92% 162,340 0.08% 0.08%
(f) Eduardo A. Repetto....... 198,328,109 99.92% 99.92% 162,340 0.08% 0.08%
(g) Myron S. Scholes......... 198,429,120 99.97% 99.97% 61,329 0.03% 0.03%
(h) Abbie J. Smith........... 198,429,120 99.97% 99.97% 61,329 0.03% 0.03%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
198,276,661 99.89% 99.89% 161,294 0.08% 0.08% 52,494 0.03% 0.03% 0 0.00%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
198,399,694 99.95% 99.95% 47,095 0.02% 0.02% 43,660 0.02% 0.02% 0 0.00%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
198,275,868 99.89% 99.89% 85,473 0.04% 0.04% 129,108 0.07% 0.07% 0 0.00%
The U.S. Large Cap Value Series
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ ---------- -------- ----------
(a) David G. Booth........... 503,434,059 96.62% 96.62% 17,618,695 3.38% 3.38%
(b) George M. Constantinides. 503,597,746 96.65% 96.65% 17,455,008 3.35% 3.35%
(c) John P. Gould............ 503,629,830 96.66% 96.66% 17,422,924 3.34% 3.34%
(d) Roger G. Ibbotson........ 503,593,033 96.65% 96.65% 17,459,721 3.35% 3.35%
(e) Edward P. Lazear......... 503,745,656 96.68% 96.68% 17,307,098 3.32% 3.32%
(f) Eduardo A. Repetto....... 503,700,147 96.67% 96.67% 17,352,607 3.33% 3.33%
(g) Myron S. Scholes......... 503,511,500 96.63% 96.63% 17,541,254 3.37% 3.37%
(h) Abbie J. Smith........... 502,444,591 96.43% 96.43% 18,608,163 3.57% 3.57%
338
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- ---------- ------- --------- -------- --------
499,168,394 95.80% 95.80% 3,282,049 0.63% 0.63% 18,602,311 3.57% 3.57% 0 0.00%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- ---------- ------- --------- -------- --------
490,697,537 94.17% 94.17% 5,690,048 1.09% 1.09% 24,665,169 4.73% 4.73% 0 0.00%
The United Kingdom Small Company Series
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 32,561,746 99.72% 99.72% 90,487 0.28% 0.28%
(b) George M. Constantinides. 32,561,746 99.72% 99.72% 90,487 0.28% 0.28%
(c) John P. Gould............ 32,561,746 99.72% 99.72% 90,487 0.28% 0.28%
(d) Roger G. Ibbotson........ 32,561,746 99.72% 99.72% 90,487 0.28% 0.28%
(e) Edward P. Lazear......... 32,446,368 99.37% 99.37% 205,865 0.63% 0.63%
(f) Eduardo A. Repetto....... 32,488,097 99.50% 99.50% 164,136 0.50% 0.50%
(g) Myron S. Scholes......... 32,561,746 99.72% 99.72% 90,487 0.28% 0.28%
(h) Abbie J. Smith........... 32,561,746 99.72% 99.72% 90,487 0.28% 0.28%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
32,393,955 99.21% 99.21% 228,811 0.70% 0.70% 29,468 0.09% 0.09% 0 0.00%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
32,581,959 99.78% 99.78% 40,807 0.12% 0.12% 29,467 0.09% 0.09% 0 0.00%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- -------- --------
32,364,627 99.12% 99.12% 60,545 0.19% 0.19% 227,061 0.70% 0.70% 0 0.00%
339
DIMENSIONAL EMERGING MARKETS VALUE FUND
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
DIMENSIONAL EMERGING MARKETS VALUE FUND VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
Dimensional Emerging MSCI Emerging Markets
Markets Value Fund Index (net dividends)
-------------------- --------------------
10/1/2005 $10,000 $10,000
11/1/2005 10,742 10,827
12/1/2005 11,420 11,467
1/1/2006 12,517 12,748
2/1/2006 12,568 12,733
3/1/2006 12,998 12,845
4/1/2006 14,133 13,760
5/1/2006 12,609 12,318
6/1/2006 12,497 12,288
7/1/2006 12,798 12,461
8/1/2006 13,031 12,779
9/1/2006 13,301 12,885
10/1/2006 14,229 13,497
11/1/2006 15,273 14,500
12/1/2006 15,814 15,153
1/1/2007 16,063 14,993
2/1/2007 16,159 14,904
3/1/2007 17,006 15,496
4/1/2007 18,367 16,231
5/1/2007 19,769 17,019
6/1/2007 20,337 17,816
7/1/2007 21,307 18,756
8/1/2007 20,627 18,358
9/1/2007 22,489 20,385
10/1/2007 24,965 22,659
11/1/2007 23,153 21,052
12/1/2007 23,124 21,126
1/1/2008 20,831 18,490
2/1/2008 21,669 19,855
3/1/2008 20,945 18,804
4/1/2008 22,567 20,330
5/1/2008 22,769 20,707
6/1/2008 20,128 18,641
7/1/2008 19,739 17,938
8/1/2008 18,057 16,506
9/1/2008 14,944 13,617
10/1/2008 10,308 9,890
11/1/2008 9,530 9,146
12/1/2008 10,706 9,859
1/1/2009 9,744 9,222
2/1/2009 8,916 8,702
3/1/2009 10,463 9,953
4/1/2009 12,522 11,609
5/1/2009 15,347 13,593
6/1/2009 15,161 13,409
7/1/2009 17,201 14,917
8/1/2009 17,337 14,864
9/1/2009 18,942 16,213
10/1/2009 18,497 16,233
11/1/2009 19,684 16,930
12/1/2009 20,667 17,599
1/1/2010 19,497 16,618
2/1/2010 19,655 16,676
3/1/2010 21,388 18,022
4/1/2010 21,534 18,241
5/1/2010 19,287 16,636
6/1/2010 19,408 16,514
7/1/2010 21,214 17,889
8/1/2010 20,833 17,542
9/1/2010 23,343 19,491
10/1/2010 24,149 20,057
11/1/2010 23,376 19,528
12/1/2010 25,327 20,921
1/1/2011 24,538 20,354
2/1/2011 24,141 20,164
3/1/2011 25,534 21,349
4/1/2011 26,453 22,012
5/1/2011 25,453 21,434
6/1/2011 24,934 21,104
7/1/2011 24,736 21,011
8/1/2011 22,234 19,133
9/1/2011 18,250 16,344
10/1/2011 20,655 18,508
11/1/2011 19,615 17,275
12/1/2011 18,918 17,067
1/1/2012 21,550 19,003
2/1/2012 22,866 20,141
3/1/2012 21,890 19,468
4/1/2012 21,186 19,236
5/1/2012 18,846 17,079
6/1/2012 19,704 17,738
7/1/2012 19,586 18,084
8/1/2012 19,866 18,024
9/1/2012 21,149 19,111
10/1/2012 20,882 18,995
11/1/2012 21,121 19,236
12/1/2012 22,667 20,177
1/1/2013 23,040 20,455
2/1/2013 22,663 20,198
3/1/2013 22,477 19,850
4/1/2013 22,679 20,000
5/1/2013 22,040 19,487
6/1/2013 20,190 18,246
7/1/2013 20,590 18,437
8/1/2013 20,161 18,120
9/1/2013 21,655 19,298
10/1/2013 22,643 20,236
11/1/2013 22,109 19,940
12/1/2013 21,894 19,652
1/1/2014 20,372 18,376
2/1/2014 20,829 18,984
3/1/2014 21,765 19,567
4/1/2014 21,914 19,633
5/1/2014 22,813 20,318
6/1/2014 23,416 20,858
7/1/2014 23,866 21,261
8/1/2014 24,404 21,740
9/1/2014 22,416 20,129
10/1/2014 22,396 20,366
11/1/2014 22,032 20,151
12/1/2014 21,016 19,222
1/1/2015 20,850 19,337
2/1/2015 21,599 19,936
3/1/2015 20,999 19,652
4/1/2015 23,088 21,164
5/1/2015 22,068 20,316
6/1/2015 21,376 19,789
7/1/2015 19,671 18,417
8/1/2015 17,890 16,751 Past performance is not predictive of
9/1/2015 17,299 16,247 future performance.
10/1/2015 18,376 17,406 The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
------------------------------------------------------ MSCI data copyright MSCI 2015, all
-17.95% -5.32% 6.27% rights reserved.
--------------------------------------------------------------------------------
340
DIMENSIONAL EMERGING MARKETS VALUE FUND
MANAGEMENT DISCUSSION AND ANALYSIS
(Unaudited)
International Equity Market Review 12 Months Ended October 31, 2015
Emerging markets had weaker performance over the period than non-U.S.
developed markets. As measured by the MSCI emerging markets indices, small-cap
stocks outperformed large-cap stocks, and growth stocks outperformed value
stocks.
12 Months Ended October 31, 2015
--------------------------------
Return in U.S. Dollars
- ----------------------
MSCI Emerging Markets Index........... -14.53%
MSCI Emerging Markets Small Cap Index. -8.61%
MSCI Emerging Markets Value Index..... -17.62%
MSCI Emerging Markets Growth Index.... -11.50%
During the period, the U.S. dollar (USD) appreciated against most emerging
markets currencies, decreasing USD-denominated returns in emerging markets.
12 Months Ended October 31, 2015
--------------------------------
Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollars
------------------------------------------ ------------ ----------------------
China........................ -0.76% -0.70%
Korea........................ -0.03% -6.28%
Taiwan....................... -2.50% -8.65%
India........................ -2.15% -8.06%
South Africa................. 7.82% -13.73%
Brazil....................... -15.36% -45.97%
Mexico....................... 0.26% -18.22%
Russia....................... 8.87% -20.92%
Malaysia..................... -8.60% -30.02%
Indonesia.................... -12.35% -22.61%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2015, all rights reserved.
Dimensional Emerging Markets Value Fund
The Dimensional Emerging Markets Value Fund is designed to capture the
returns of value stocks of large and small companies in selected emerging
markets. Value is measured primarily by book-to-market ratio. The investment
strategy is process driven, emphasizing broad diversification. As of October
31, 2015, the Fund held approximately 2,300 securities across 19 eligible
emerging markets. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Fund's assets.
For the 12 months ended October 31, 2015, total returns were -17.95% for the
Fund and -14.53% for the MSCI Emerging Markets Index (net dividends). As a
result of the Fund's diversified investment approach, performance was generally
determined by broad trends in emerging markets rather than the behavior of a
limited number of stocks. The Fund invests primarily in value stocks while the
Index is neutral with regard to value or growth stocks. Emerging markets value
stocks generally underperformed during the period, which was the primary driver
of the Fund's relative underperformance.
341
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2015
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
Dimensional Emerging Markets Value Fund
---------------------------------------
Actual Fund Return...................... $1,000.00 $ 795.90 0.15% $0.68
Hypothetical 5% Annual Return........... $1,000.00 $1,024.45 0.15% $0.77
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
342
DIMENSIONAL EMERGING MARKETS VALUE FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For the
Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters
ending January 31 and July 31. The Form N-Q filing must be made within 60 days
of the end of the quarter. Dimensional Emerging Markets Value Fund filed its
most recent Form N-Q with the SEC on September 29, 2015. They are 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....................... 8.8%
Consumer Staples............................. 5.4%
Energy....................................... 11.9%
Financials................................... 33.9%
Health Care.................................. 0.5%
Industrials.................................. 11.9%
Information Technology....................... 8.1%
Materials.................................... 15.6%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 1.7%
Utilities.................................... 2.2%
-----
100.0%
343
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (90.4%)
BRAZIL -- (4.3%)
BM&FBovespa SA...................................... 27,909,603 $ 82,522,759 0.6%
#* Petroleo Brasileiro SA Sponsored ADR................ 21,223,195 103,569,192 0.7%
Vale SA Sponsored ADR............................... 19,427,065 84,702,003 0.6%
Other Securities.................................... 426,443,780 2.7%
-------------- -----
TOTAL BRAZIL............................................ 697,237,734 4.6%
-------------- -----
CHILE -- (1.5%)
Enersis SA Sponsored ADR............................ 5,571,144 73,817,658 0.5%
Other Securities.................................... 164,305,871 1.1%
-------------- -----
TOTAL CHILE............................................. 238,123,529 1.6%
-------------- -----
CHINA -- (14.0%)
Agricultural Bank of China, Ltd. Class H............ 199,469,000 81,821,460 0.6%
Bank of China, Ltd. Class H......................... 579,431,817 273,237,620 1.8%
China Construction Bank Corp. Class H............... 567,119,101 411,022,909 2.7%
China Petroleum & Chemical Corp. ADR................ 1,111,578 80,122,528 0.5%
# China Unicom Hong Kong, Ltd. ADR.................... 7,257,121 89,117,446 0.6%
Industrial & Commercial Bank of China, Ltd. Class H. 315,696,996 200,248,210 1.3%
Other Securities.................................... 1,129,151,994 7.5%
-------------- -----
TOTAL CHINA............................................. 2,264,722,167 15.0%
-------------- -----
COLOMBIA -- (0.2%)
Other Securities.................................... 27,307,607 0.2%
-------------- -----
CZECH REPUBLIC -- (0.2%)
Other Securities.................................... 39,873,421 0.3%
-------------- -----
GREECE -- (0.1%)
Other Securities.................................... 11,242,260 0.1%
-------------- -----
HUNGARY -- (0.5%)
OTP Bank P.L.C...................................... 3,475,169 67,250,529 0.4%
Other Securities.................................... 10,499,068 0.1%
-------------- -----
TOTAL HUNGARY........................................... 77,749,597 0.5%
-------------- -----
INDIA -- (10.5%)
ICICI Bank, Ltd. Sponsored ADR...................... 16,722,630 144,149,070 1.0%
Reliance Industries, Ltd............................ 20,856,155 301,676,785 2.0%
State Bank of India................................. 19,322,648 69,888,011 0.5%
* Tata Motors, Ltd.................................... 10,219,832 60,331,831 0.4%
Other Securities.................................... 1,121,959,003 7.4%
-------------- -----
TOTAL INDIA............................................. 1,698,004,700 11.3%
-------------- -----
INDONESIA -- (2.4%)
Other Securities.................................... 390,190,631 2.6%
-------------- -----
ISRAEL -- (0.0%)
Other Securities.................................... 3 0.0%
-------------- -----
MALAYSIA -- (3.5%)
Other Securities.................................... 566,388,312 3.7%
-------------- -----
344
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MEXICO -- (6.2%)
Alfa S.A.B. de C.V. Class A......................... 36,207,006 $ 75,054,056 0.5%
#* Cemex S.A.B. de C.V. Sponsored ADR.................. 13,933,905 87,922,941 0.6%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored
ADR................................................ 2,168,951 214,921,354 1.4%
Grupo Financiero Banorte S.A.B. de C.V.............. 21,258,812 113,811,570 0.8%
Grupo Mexico S.A.B. de C.V. Series B................ 27,784,953 67,722,227 0.5%
Other Securities.................................... 439,975,580 2.8%
-------------- -----
TOTAL MEXICO............................................ 999,407,728 6.6%
-------------- -----
PHILIPPINES -- (1.2%)
Other Securities.................................... 199,749,737 1.3%
-------------- -----
POLAND -- (1.9%)
KGHM Polska Miedz SA................................ 2,445,575 56,776,719 0.4%
PGE Polska Grupa Energetyczna SA.................... 14,763,329 54,952,558 0.4%
# Polski Koncern Naftowy Orlen SA..................... 4,821,675 78,224,224 0.5%
Other Securities.................................... 122,739,035 0.8%
-------------- -----
TOTAL POLAND............................................ 312,692,536 2.1%
-------------- -----
RUSSIA -- (2.1%)
Gazprom PAO Sponsored ADR........................... 65,148,616 274,557,897 1.8%
Other Securities.................................... 59,528,568 0.4%
-------------- -----
TOTAL RUSSIA............................................ 334,086,465 2.2%
-------------- -----
SOUTH AFRICA -- (7.8%)
Barclays Africa Group, Ltd.......................... 5,869,836 75,226,902 0.5%
Nedbank Group, Ltd.................................. 3,612,203 60,045,689 0.4%
Sanlam, Ltd......................................... 16,663,544 75,281,328 0.5%
Sasol, Ltd.......................................... 2,355,745 75,481,998 0.5%
Standard Bank Group, Ltd............................ 17,509,455 181,925,436 1.2%
# Steinhoff International Holdings, Ltd............... 27,223,846 166,431,274 1.1%
Other Securities.................................... 633,912,893 4.2%
-------------- -----
TOTAL SOUTH AFRICA...................................... 1,268,305,520 8.4%
-------------- -----
SOUTH KOREA -- (14.6%)
# Hana Financial Group, Inc........................... 3,334,337 81,087,678 0.6%
# Hyundai Motor Co.................................... 1,078,089 147,261,123 1.0%
KB Financial Group, Inc............................. 1,730,536 54,825,731 0.4%
KB Financial Group, Inc. ADR........................ 3,077,876 97,045,430 0.7%
# LG Corp............................................. 1,044,400 60,430,868 0.4%
# LG Electronics, Inc................................. 1,776,548 76,270,868 0.5%
# POSCO............................................... 632,815 101,763,525 0.7%
# POSCO ADR........................................... 1,579,642 63,233,069 0.4%
Shinhan Financial Group Co., Ltd.................... 3,885,795 148,302,300 1.0%
# Shinhan Financial Group Co., Ltd. ADR............... 1,556,685 59,698,869 0.4%
SK Holdings Co., Ltd................................ 292,740 68,428,148 0.5%
* SK Innovation Co., Ltd.............................. 640,023 66,363,000 0.5%
Other Securities.................................... 1,340,729,543 8.6%
-------------- -----
TOTAL SOUTH KOREA....................................... 2,365,440,152 15.7%
-------------- -----
TAIWAN -- (14.6%)
# First Financial Holding Co., Ltd.................... 146,481,416 70,941,315 0.5%
# Fubon Financial Holding Co., Ltd.................... 91,243,471 147,478,747 1.0%
# Mega Financial Holding Co., Ltd..................... 121,989,915 88,888,270 0.6%
# Pegatron Corp....................................... 27,193,998 66,452,937 0.5%
345
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
TAIWAN -- (Continued)
# United Microelectronics Corp......... 217,495,681 $ 79,324,196 0.5%
Other Securities..................... 1,904,549,200 12.5%
--------------- ------
TOTAL TAIWAN............................... 2,357,634,665 15.6%
--------------- ------
THAILAND -- (3.0%)
PTT PCL.............................. 19,096,000 147,646,025 1.0%
Other Securities..................... 340,353,667 2.2%
--------------- ------
TOTAL THAILAND............................. 487,999,692 3.2%
--------------- ------
TURKEY -- (1.8%)
Other Securities..................... 282,663,633 1.9%
--------------- ------
TOTAL COMMON STOCKS........................ 14,618,820,089 96.9%
--------------- ------
PREFERRED STOCKS -- (2.3%)
BRAZIL -- (2.2%)
#* Petroleo Brasileiro SA Sponsored ADR. 22,171,529 88,464,401 0.6%
Vale SA.............................. 26,922,000 97,935,556 0.7%
Other Securities..................... 178,526,745 1.1%
--------------- ------
TOTAL BRAZIL............................... 364,926,702 2.4%
--------------- ------
CHILE -- (0.0%)
Other Securities..................... 58,113 0.0%
--------------- ------
COLOMBIA -- (0.1%)
Other Securities..................... 12,507,410 0.1%
--------------- ------
TOTAL PREFERRED STOCKS..................... 377,492,225 2.5%
--------------- ------
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
Other Securities..................... 32,066 0.0%
--------------- ------
MALAYSIA -- (0.0%)
Other Securities..................... 247,122 0.0%
--------------- ------
POLAND -- (0.0%)
Other Securities..................... -- 0.0%
--------------- ------
SOUTH KOREA -- (0.0%)
Other Securities..................... 880,170 0.0%
--------------- ------
TAIWAN -- (0.0%)
Other Securities..................... -- 0.0%
TOTAL RIGHTS/WARRANTS...................... 1,159,358 0.0%
--------------- ------
TOTAL INVESTMENT SECURITIES................ 14,997,471,672
---------------
SECURITIES LENDING COLLATERAL -- (7.3%)
(S)@ DFA Short Term Investment Fund....... 101,513,583 1,174,512,160 7.8%
--------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $19,193,170,809)................. $16,171,983,832 107.2%
=============== ======
346
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
Summary of the Fund's investments as of October 31, 2015, 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...................... $ 269,349,848 $ 427,887,886 -- $ 697,237,734
Chile....................... 80,710,975 157,412,554 -- 238,123,529
China....................... 198,523,609 2,066,198,558 -- 2,264,722,167
Colombia.................... 27,307,607 -- -- 27,307,607
Czech Republic.............. -- 39,873,421 -- 39,873,421
Greece...................... -- 11,242,260 -- 11,242,260
Hungary..................... -- 77,749,597 -- 77,749,597
India....................... 159,698,710 1,538,305,990 -- 1,698,004,700
Indonesia................... 5,925,352 384,265,279 -- 390,190,631
Israel...................... -- 3 -- 3
Malaysia.................... -- 566,388,312 -- 566,388,312
Mexico...................... 999,406,808 920 -- 999,407,728
Philippines................. -- 199,749,737 -- 199,749,737
Poland...................... -- 312,692,536 -- 312,692,536
Russia...................... 431,452 333,655,013 -- 334,086,465
South Africa................ 148,029,244 1,120,276,276 -- 1,268,305,520
South Korea................. 258,167,871 2,107,272,281 -- 2,365,440,152
Taiwan...................... 26,998,912 2,330,635,753 -- 2,357,634,665
Thailand.................... 484,976,089 3,023,603 -- 487,999,692
Turkey...................... -- 282,663,633 -- 282,663,633
Preferred Stocks
Brazil...................... 141,080,149 223,846,553 -- 364,926,702
Chile....................... -- 58,113 -- 58,113
Colombia.................... 12,507,410 -- -- 12,507,410
Rights/Warrants
Hong Kong................... -- 32,066 -- 32,066
Malaysia.................... -- 247,122 -- 247,122
Poland...................... -- -- -- --
South Korea................. -- 880,170 -- 880,170
Taiwan...................... -- -- -- --
Securities Lending Collateral. -- 1,174,512,160 -- 1,174,512,160
-------------- --------------- -- ---------------
TOTAL......................... $2,813,114,036 $13,358,869,796 -- $16,171,983,832
============== =============== == ===============
See accompanying Notes to Financial Statements.
347
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands)
ASSETS:
Investments at Value (including $1,522,191 of securities on loan)*....... $14,997,472
Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 1,174,512
Foreign Currencies at Value.............................................. 31,573
Cash..................................................................... 33,844
Receivables:
Investment Securities Sold............................................. 45,382
Dividends, Interest and Tax Reclaims................................... 2,696
Securities Lending Income.............................................. 2,964
Unrealized Gain on Foreign Currency Contracts............................ 2
-----------
Total Assets........................................................ 16,288,445
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................................... 1,174,512
Investment Securities Purchased........................................ 22,801
Due to Advisor......................................................... 1,293
Unrealized Loss on Foreign Currency Contracts............................ 14
Accrued Expenses and Other Liabilities................................... 1,767
-----------
Total Liabilities................................................... 1,200,387
-----------
NET ASSETS............................................................... $15,088,058
===========
Investments at Cost...................................................... $18,018,659
===========
Foreign Currencies at Cost............................................... $ 31,578
===========
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
348
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
Investment Income
Dividends (Net of Foreign Taxes Withheld of $65,430).......... $ 432,618
Income from Securities Lending................................ 31,345
-----------
Total Investment Income.................................... 463,963
-----------
Expenses
Investment Advisory Services Fees............................. 17,254
Accounting & Transfer Agent Fees.............................. 909
Custodian Fees................................................ 7,106
Shareholders' Reports......................................... 45
Directors'/Trustees' Fees & Expenses.......................... 90
Professional Fees............................................. 533
Other......................................................... 500
-----------
Total Expenses............................................. 26,437
-----------
Fees Paid Indirectly (Note C)................................. (45)
-----------
Net Expenses.................................................. 26,392
-----------
Net Investment Income (Loss).................................. 437,571
-----------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:..................................
Investment Securities Sold.................................. (413,376)
Foreign Currency Transactions............................... (7,896)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (3,319,869)
Translation of Foreign Currency Denominated Amounts......... 108
-----------
Net Realized and Unrealized Gain (Loss)....................... (3,741,033)
-----------
Net Increase (Decrease) in Net Assets Resulting from Operations. $(3,303,462)
===========
See accompanying Notes to Financial Statements.
349
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Year Year
Ended Ended
Oct. 31, Oct. 31,
2015 2014
----------- -----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................................... $ 437,571 $ 529,667
Net Realized Gain (Loss) on:
Investment Securities Sold.......................................... (413,376) (524,001)
Futures............................................................. -- 504
Foreign Currency Transactions....................................... (7,896) (4,551)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......................... (3,319,869) (181,244)
Translation of Foreign Currency Denominated Amounts................. 108 (31)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... (3,303,462) (179,656)
----------- -----------
Transactions in Interest:
Contributions......................................................... 1,713,486 1,596,852
Withdrawals........................................................... (2,249,483) (1,916,965)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.............. (535,997) (320,113)
----------- -----------
Total Increase (Decrease) in Net Assets............................ (3,839,459) (499,769)
Net Assets
Beginning of Year..................................................... 18,927,517 19,427,286
----------- -----------
End of Year........................................................... $15,088,058 $18,927,517
=========== ===========
See accompanying Notes to Financial Statements.
350
DIMENSIONAL EMERGING MARKETS VALUE FUND+
FINANCIAL HIGHLIGHTS
Dimensional Emerging Markets Value Fund
-----------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
----------------------------------------------------------------------------------------------------------------------------
Total Return............................................ (17.95)% (1.09)% 8.43% 1.10% (14.47)%
----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands)..................... $15,088,058 $18,927,517 $19,427,286 $16,884,322 $14,003,579
Ratio of Expenses to Average Net Assets................. 0.15% 0.15% 0.16% 0.20% 0.20%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly)....................................... 0.15% 0.15% 0.16% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets.... 2.54% 2.76% 2.32% 2.43% 2.29%
Portfolio Turnover Rate................................. 14% 12% 6% 8% 5%
----------------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements.
See accompanying Notes to Financial Statements.
351
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
A. Organization:
Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a
closed-end management investment company registered under the Investment
Company Act of 1940, as amended. Effective November 21, 1997, DEM I was
reorganized as an open-end management investment company. On October 27, 2009,
the Board of Directors and shareholders of DEM I approved an Agreement and Plan
of Reorganization that provided for the reorganization of DEM I from a Maryland
corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I
transferred all of its assets and liabilities to Dimensional Emerging Markets
Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free
exchange under Internal Revenue Code (the "IRC") (S)368(a)(1)(F).
Effective November 1, 2009, the Fund, a master fund in a master-feeder
structure, elected with the consent of its holder(s) to change its U.S. federal
income tax classification from that of an association taxable as a corporation
to a partnership pursuant to Treasury Regulation (S)301.7701-3. The Fund
maintains 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. 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 Dimensional Fund Advisors LP) occur
352
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, 2:00 a.m. ET), which is fourteen hours before the
close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset
value of the Fund is computed. Due to the time differences between the closings
of the relevant foreign securities exchanges and the time the Fund prices its
shares at the close of the NYSE, the Fund will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the Fund's foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Directors/Trustees of the Fund have determined that movements in relevant
indices or other appropriate market indicators, after the close of the Tokyo
Stock Exchange or the London Stock Exchange, demonstrate that market quotations
may be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the Fund utilizes data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the Fund uses fair value
pricing, the values assigned to the foreign investments may not be the quoted
or published prices of the investments on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Fund's investments by each major
security type, industry and/or country is disclosed previously in this note. A
valuation hierarchy table has been included at the end of the Summary Schedule
of Portfolio Holdings. The inputs or methodology used for valuing securities
are not necessarily an indication of the risk associated with investing in
those securities.
Transfers between investment levels may occur as the markets fluctuate
and/or the availability of data used in an investment's valuation changes. The
Fund recognizes transfers between the levels as of the end of the period. As of
October 31, 2015, the Fund had significant transfers of securities with a total
value of $9,729 (in thousands) that transferred from Level 2 to Level 1 because
fair value procedures were no longer applied. At October 31, 2015, the fair
market value of certain securities were adjusted due to developments which
occurred between the time of the close of the foreign markets on which they
trade and the close of business on the NYSE which resulted in their Level 2
classification.
2. Foreign Currency Translation: Securities and other assets and
liabilities of the Fund whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recent bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The Fund does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the Fund
and the U.S. dollar equivalent amounts actually received or paid.
3. Deferred Compensation Plan: Each eligible Director/Trustee of the Fund
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity
353
Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio;
International Core Equity Portfolio; Emerging Markets Portfolio; Emerging
Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses. At October 31, 2015, 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 $461 (in thousands).
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 2015, 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. On May 8, 2015 and June 10, 2015 at a Special Joint
Meeting of Shareholders, shareholders of the Fund approved a new investment
management agreement, which became effective July 21, 2015, that provides a
uniform agreement that increases transparency and better describes all of the
services that the Advisor provides to the Fund. The rate charged under the new
investment management agreement for investment management services is equal to
the rate charged under the Fund's previous investment advisory agreement with
the Advisor. For the year ended October 31, 2015, the Fund's investment
advisory services/management fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.10% of average daily net assets.
354
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. The impact of
such credits is generally less than one basis point of the Fund's net assets.
During the year ended October 31, 2015, expenses reduced were $45 (amount in
thousands).
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the year ended October 31, 2015, the total
related amounts paid by the Fund to the CCO were $20 (in thousands). The total
related amounts paid by the Fund are included in Other Expenses on the
Statement of Operations.
D. Purchases and Sales of Securities:
For the year ended October 31, 2015, the Fund made the following purchases
and sales of investment securities, other than short-term securities and U.S.
government securities (amounts in thousands):
Purchases Sales
---------- ----------
Dimensional Emerging Markets Value Fund. $2,411,626 $2,482,924
There were no purchases or sales of long-term U.S. government securities.
E. Federal Income Taxes:
No provision for federal income taxes is required since the Fund is treated
as a partnership for federal income tax purposes. Any net investment income and
realized and unrealized gains and losses have been deemed to have been "passed
down" to their respective partners.
At October 31, 2015, 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. $19,364,038 $2,194,596 $(3,225,544) $(1,030,948)
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.
355
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.
G. Line of Credit and Interfund Lending Program:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective April 1, 2015 with its domestic custodian bank. A line of credit with
similar terms was in effect through March 31, 2015. 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
expires on March 30, 2016.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit with its
international custodian bank effective January 9, 2015. A line of credit with
similar terms was in effect through January 8, 2015. 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 8, 2016.
For the year ended October 31, 2015, 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 Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred the Period
------------- ------------ ------------ -------- ---------------
Dimensional Emerging Markets Value Fund. 0.88% $20,486 88 $44 $75,363
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2015, that the Fund's available line of
credit was utilized.
There were no outstanding borrowings by the Fund under the lines of credit
as of October 31, 2015.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Fund may
participate in an interfund lending program among certain portfolios managed by
the Advisor (portfolios that operate as feeder funds do not participate in the
program). The program allows the participating portfolios to borrow money from
and loan money to each other for temporary or emergency purposes, subject to
the conditions in the Order. A loan can only be made through the program if the
interfund loan rate on that day is more favorable to both the borrowing and
lending portfolios as compared to rates available through short-term bank loans
or investments in overnight repurchase agreements and money market funds,
respectively, as detailed in the Order. Further, a portfolio may participate in
the program only if and to the extent that such participation is consistent
with its investment objectives and limitations. Interfund loans have a maximum
duration of seven days and may be called on one business day's notice. The Fund
did not utilize the interfund lending program during the year ended October 31,
2015.
356
H. Affiliated Trades:
Cross trades for the year ended October 31, 2015, if any, were executed by
the Portfolios pursuant to procedures adopted by the Board of Directors of the
Fund to ensure compliance with Rule 17a-7 under the Investment Company Act of
1940 (the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common directors/trustees and/or common officers. At its
regularly scheduled meetings, the Board reviews such transactions for
compliance with the requirements and restrictions set forth by Rule 17a-7 under
the 1940 Act.
For the year ended October 31, 2015, cross trades by the Portfolios under
Rule 17a-7 were as follows (amounts in thousands):
Portfolio Purchases Sales
--------- --------- -----
Dimensional Emerging Markets Value Fund. $2,761 $175
I. Securities Lending:
As of October 31, 2015, 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. Government
securities with a market value of $487,943 (amounts 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. In the event of the
bankruptcy of the borrower, the Fund could experience delay in recovering the
loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policy, the Fund will generally invest the
cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average daily net assets of the Money Market Series. The
Fund also may invest the cash collateral received for the loaned securities in
securities of the U.S. government or its agencies, repurchase agreements
collateralized by securities of the U.S. government or its agencies, and
affiliated and unaffiliated registered and unregistered money market funds. For
purposes of this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. In addition, the Fund will be able to terminate the
loan at any time and will receive reasonable interest on the loan, as well as
amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
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. 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.
357
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors and Shareholders of Dimensional Emerging Markets
Value Fund:
In our opinion, the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Dimensional
Emerging Markets Value Fund (the "Fund") at October 31, 2015, the results of
its operations for the year then ended, the changes in its net assets for each
of the two years in the period then ended and the financial highlights for each
of the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2015 by
correspondence with the custodian, brokers and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
358
RESULTS OF THE SHAREHOLDER MEETING
(Unaudited)
On May 8, 2015 and June 10, 2015, Dimensional Emerging Markets Value Fund
("DEM") held a Special Joint Meeting of Shareholders for the purpose of voting
on several proposals affecting DEM, including, among other items, the election
of Trustees, the approval of an updated investment management agreement, and
the amendment of certain fundamental investment limitations. The shareholders
of DEM approved each of the applicable proposals for DEM presented at the
Meeting. Listed below are the voting results from the Meeting. Please note that
not all Proposals presented at the Meeting were voted on by DEM. Additionally,
the Proposal numbers reflected below correlate to the Proposal numbers
presented for vote at the Meeting.
DEM
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ ---------- -------- ----------
(a) David G. Booth........... 323,015,541 96.30% 96.30% 12,412,123 3.70% 3.70%
(b) George M. Constantinides. 323,266,980 96.37% 96.37% 12,160,684 3.63% 3.63%
(c) John P. Gould............ 323,696,899 96.50% 96.50% 11,730,765 3.50% 3.50%
(d) Roger G. Ibbotson........ 324,189,806 96.65% 96.65% 11,237,858 3.35% 3.35%
(e) Edward P. Lazear......... 323,704,087 96.50% 96.50% 11,723,577 3.50% 3.50%
(f) Eduardo A. Repetto....... 324,199,157 96.65% 96.65% 11,228,507 3.35% 3.35%
(g) Myron S. Scholes......... 323,771,851 96.53% 96.53% 11,655,813 3.47% 3.47%
(h) Abbie J. Smith........... 322,178,714 96.05% 96.05% 13,248,950 3.95% 3.95%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ---------- ------- --------- -------- --------
319,582,522 95.28% 95.28% 639,608 0.19% 0.19% 15,205,534 4.53% 4.53% 0 0.00%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ---------- ------- --------- ---------- ------- --------- -------- --------
309,869,713 92.38% 92.38% 11,732,208 3.50% 3.50% 13,825,743 4.12% 4.12% 0 0.00%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ---------- ------- --------- ---------- ------- --------- -------- --------
290,789,247. 86.69% 86.69% 30,462,441 9.08% 9.08% 14,175,976 4.23% 4.23% 0 0.00%
359
FUND MANAGEMENT
(Unaudited)
Trustees/Directors
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2015.
Each Board's Nominating Committee is composed of George M. Constantinides, John
P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie J.
Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee did not meet during
the fiscal year ended October 31, 2015.
Each Board's Strategy Committee consists of both interested and disinterested
Trustees/Directors. The Strategy Committee is composed of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Strategy Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Strategy Committee may (i) review the design of possible new
series of the Fund, (ii) review performance of existing portfolios of the Fund
and discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Strategy
Committee was formed on December 17, 2010, and there were three Strategy
Committee meetings held during the fiscal year ended October 31, 2015.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at www.dimensional.com.
360
Name, Position Portfolios within the
with the Fund, Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
Address and Year of Birth Length of Service Overseen Other Directorships of Public Companies Held
------------------------------------------------------------------------------------------------------------------------------
Disinterested Trustees/Directors
------------------------------------------------------------------------------------------------------------------------------
George M. Constantinides DFAIDG-Since 1983 122 portfolios in 4 Leo Melamed Professor of Finance, University of
Director of DFAIDG and DIG-Since 1993 investment companies Chicago Booth School of Business.
DIG. Trustee of DFAITC DFAITC-Since 1992
and DEM. The University DEM-Since 1993
of Chicago
Booth School of Business
5807 S. Woodlawn
Avenue Chicago, IL
60637
1947
------------------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and Distinguished
Director of DFAIDG and DIG-Since 1993 investment companies Service Professor of Economics, University of
DIG. Trustee of DFAITC DFAITC-Since 1992 Chicago Booth School of Business (since 1965).
and DEM DEM-Since 1993 Member and Chair, Competitive Markets Advisory
The University of Chicago Council, Chicago Mercantile Exchange (futures
Booth School of Business trading exchange) (since 2004). Trustee, Harbor
5807 S. Woodlawn Fund (registered investment company) (29
Avenue Portfolios) (since 1994). Formerly, Member of the
Chicago, IL 60637 Board of Milwaukee Insurance Company
1939 (1997-2010).
------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG-Since 1993 investment companies Management (since 1984). Chairman, CIO and
DIG. Trustee of DFAITC DFAITC-Since 1992 Partner, Zebra Capital Management, LLC (hedge
and DEM. DEM-Since 1993 fund and asset manager) (since 2001). Consultant to
Yale School of Morningstar Inc. (since 2006). Formerly, Director,
Management BIRR Portfolio Analysis, Inc. (software products)
P.O. Box 208200 (1990-2010).
New Haven, CT 06520-
8200
1943
------------------------------------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Institution
Director of DFAIDG and DIG-Since 2010 investment companies (since 2002). Jack Steele Parker Professor of
DIG. Trustee of DFAITC DFAITC-Since 2010 Human Resources Management and Economics,
and DEM. DEM-Since 2010 Graduate School of Business, Stanford University
Stanford University (since 1995). Cornerstone Research (expert
Graduate School of testimony and economic and financial analysis)
Business (since 2009). Formerly, Chairman of the President
518 Memorial Way George W. Bush's Council of Economic Advisers
Stanford, CA 94305-5015 (2006-2009). Formerly, Council of Economic
1948 Advisors, State of California (2005-2006). Formerly,
Commissioner, White House Panel on Tax Reform
(2005)
------------------------------------------------------------------------------------------------------------------------------
Myron S. Scholes DFAIDG-Since 1981 122 portfolios in 4 Chief Investment Strategist, Janus Capital Group
Director of DFAIDG and DIG-Since 1993 investment companies Inc. (since 2014). Frank E. Buck Professor of
DIG. Trustee of DFAITC DFAITC-Since 1992 Finance Emeritus, Graduate School of Business,
and DEM. DEM-Since 1993 Stanford University (since 1981). Chairman, Ruapay
c/o Dimensional Fund Inc. (since 2013). Formerly, Chairman, Platinum
Advisors, LP Grove Asset Management, L.P. (hedge fund)
6300 Bee Cave Road (formerly, Oak Hill Platinum Partners) (1999-2009).
Building 1 Formerly, Director, American Century Fund Complex
Austin, TX 78746 (registered investment companies) (43 Portfolios)
1941 (1980-2014).
------------------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG-Since 2000 investment companies Professor of Accounting, University of Chicago Booth
DIG. DFAITC-Since 2000 School of Business (since 1980). Director, HNI
Trustee of DFAITC and DEM-Since 2000 Corporation (formerly known as HON Industries Inc.)
DEM. (office furniture) (since 2000). Director, Ryder
The University of Chicago System Inc. (transportation, logistics and supply-
Booth School of Business chain management) (since 2003). Trustee, UBS
5807 S. Woodlawn Funds (4 investment companies within the fund
Avenue complex) (33 portfolios) (since 2009). Formerly,
Chicago, IL 60637 Co-Director Investment Research, Fundamental
1953 Investment Advisors (hedge fund) (2008-2011).
361
Name, Position Portfolios within the
with the Fund, Term of Office1 and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and
Address and Year of Birth Length of Service Overseen Other Directorships of Public Companies Held
------------------------------------------------------------------------------------------------------------------------------
Interested Trustees/Directors*
------------------------------------------------------------------------------------------------------------------------------
David G. Booth DFAIDG-Since 1981 122 portfolios in 4 Chairman, Director/Trustee, President, Co-Chief
Chairman, Director/ DIG-Since 1992 investment companies Executive Officer and formerly, Chief Executive
Trustee, President and DFAITC-Since 1992 Officer (until 1/1/2010) of the following companies:
Co-Chief Executive DEM-Since 1993 Dimensional Holdings Inc., Dimensional Fund
Officer Advisors LP, DFA Securities LLC, DEM, DFAIDG,
6300 Bee Cave Road, DIG and DFAITC (collectively, the "DFA Entities").
Building One Austin, Director of Dimensional Fund Advisors Ltd. and
TX 78746 formerly, Chief Investment Officer. Director of DFA
1946 Australia Limited and formerly, President and Chief
Investment Officer. Director of Dimensional Advisors
Ltd., Dimensional Funds plc and Dimensional Funds
II plc. Formerly, President, Dimensional SmartNest
(US) LLC (2009-2014). Formerly, Limited Partner,
Oak Hill Partners (2001- 2010). Limited Partner, VSC
Investors, LLC (since 2007). Trustee, University of
Chicago. Trustee, University of Kansas Endowment
Association. Formerly, Director, SA Funds
(registered investment company). Chairman, Director
and Co- Chief Executive Officer of Dimensional Fund
Advisors Canada ULC. Director and President
(since 2012) of Dimensional Japan Ltd. Chairman,
Director, President and Co-Chief Executive Officer of
Dimensional Cayman Commodity Fund I Ltd.
(since 2010).
------------------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto DFAIDG-Since 2009 122 portfolios in 4 Co-Chief Executive Officer (beginning January
Director/Trustee, Co-Chief DIG-Since 2009 investment companies 2010), Co-Chief Investment Officer (since June
Executive Officer and Co- DFAITC-Since 2009 2014), Director/Trustee, and formerly, Chief
Chief Investment Officer DEM-Since 2009 Investment Officer (March 2007-June 2014) of the
6300 Bee Cave Road, DFA Entities. Director, Co-Chief Executive Officer
Building One and Chief Investment Officer (since 2010) of
Austin, TX 78746 Dimensional Cayman Commodity Fund I Ltd.
1967 Director, Co-Chief Executive Officer, President and
Co-Chief Investment Officer of Dimensional Fund
Advisors Canada ULC and formerly, Chief
Investment Officer (until April 2014). Co-Chief
Investment Officer, Vice President, and Director of
DFA Australia Limited and formerly, Chief
Investment Officer (until April 2014). Director of
Dimensional Fund Advisors Ltd., Dimensional Funds
plc, Dimensional Funds II plc and Dimensional
Advisors Ltd. Formerly, Vice President of the DFA
Entities and Dimensional Fund Advisors Canada
ULC. Director and Chief Investment Officer (since
December 2012) of Dimensional Japan Ltd.
/1 /Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
DFAIDG, DIG; DFAITC and DEM. Each disinterested Trustee/Director also
serves on the Independent Review Committee of the Dimensional Funds, mutual
funds registered in the provinces of Canada and managed by an affiliate of
Dimensional Fund Advisors LP (the "Advisor"), Dimensional Fund Advisors
Canada ULC.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with the Advisor.
362
Officers
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
-----------------------------------------------------------------------------------------------------------------
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
-----------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1974 Vice President, Business Development at Capson
Physicians Insurance Company (2010-2012); Vice
President at Charles Schwab (2007-2010).
-----------------------------------------------------------------------------------------------------------------
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
-----------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director
1955 and Managing Director of Dimensional Fund
Advisors Ltd (since September 2013).
-----------------------------------------------------------------------------------------------------------------
Peter Bergan Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Senior Infrastructure Manager for Dimensional
Fund Advisors LP (January 2011-January 2014);
Partner at Stonehouse Consulting (2010).
-----------------------------------------------------------------------------------------------------------------
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Client Service Manager for Dimensional Fund
Advisors LP (February 2008-January 2014).
-----------------------------------------------------------------------------------------------------------------
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1970 Senior Research Associate (January 2012-
January 2014) and Research Associate (2006-
2011) for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director for Dimensional Fund Advisors
LP (April 2008-January 2014).
-----------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
-----------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the
1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional
Fund Advisors Ltd., Dimensional Cayman
Commodity Fund I Ltd., Dimensional Fund
Advisors Pte. and Dimensional Hong Kong
Limited. Director, Vice President and Assistant
Secretary of Dimensional Fund Advisors Canada
ULC.
-----------------------------------------------------------------------------------------------------------------
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of
1964 Global Financial Services for Dimensional Fund
Advisors LP (since 2008).
-----------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1970 Regional Director for Dimensional Fund Advisors
LP (December 2010-January 2012); Regional
Director at Russell Investments (April 2006-
December 2010).
-----------------------------------------------------------------------------------------------------------------
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director (January 2010-January 2014)
and Senior Associate (July 2008-December 2009)
for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Regional Director (January 2012-January 2015)
for Dimensional Fund Advisors LP; Principal for
Chamberlain Financial Group (October 2010-
December 2011); Wealth Management
Consultant for Saybrus Partners (May 2008-
October 2010).
-----------------------------------------------------------------------------------------------------------------
363
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
------------------------------------------------------------------------------------------------------------------
Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive
for Vanguard (2004-June 2011).
------------------------------------------------------------------------------------------------------------------
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1956 Regional Director for Dimensional Fund Advisors
LP (2008-2010).
------------------------------------------------------------------------------------------------------------------
Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of
1966 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) for
Dimensional Fund Advisors LP. Formerly,
Portfolio Manager for Dimensional Fund Advisors
LP (October 2005 to January 2012).
------------------------------------------------------------------------------------------------------------------
Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Counsel for Dimensional Fund Advisors LP
(April 2012-January 2014); Vice President and
Counsel for AllianceBernstein L.P. (2006-2012).
------------------------------------------------------------------------------------------------------------------
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities, DFA
1972 Australia Limited and Dimensional Fund Advisors
Canada ULC. Head of Global Institutional
Services for Dimensional Fund Advisors LP (since
January 2014). Formerly, Head of Institutional,
North America (March 2012 to December 2013)
and Head of Portfolio Management (January 2006
to March 2012) for Dimensional Fund Advisors
LP.
------------------------------------------------------------------------------------------------------------------
Matt B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors
LP (September 2011-March 2013); Vice President
at MullinTBG (2005-2011).
------------------------------------------------------------------------------------------------------------------
Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors
LP (August 2010-March 2014); Vice President,
Sales and Business Development at AdvisorsIG
(PPMG) (2009-2010); Vice President at Credit
Suisse (2007-2009).
------------------------------------------------------------------------------------------------------------------
Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors
LP (2003-March 2014).
------------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors
LP (August 2002-January 2012).
------------------------------------------------------------------------------------------------------------------
Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities.
1949
------------------------------------------------------------------------------------------------------------------
George H. Crane Vice President Since 2010 Vice President of all the DFA Entities. Formerly,
1955 Senior Vice President and Managing Director at
State Street Bank & Trust Company (2007-2008).
------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance
1965 Global Chief Officer of all the DFA Entities, DFA Australia
Compliance Officer Limited and Dimensional Fund Advisors Ltd. Vice
President, Chief Compliance Officer and Chief
Privacy Officer of Dimensional Fund Advisors
Canada ULC. Formerly, Vice President and
Global Chief Compliance Officer for Dimensional
SmartNest (US) LLC (October 2010-2014).
------------------------------------------------------------------------------------------------------------------
John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Relationship
Manager for Blackrock, Inc. (July 2011-July
2013);Vice President for Towers Watson
(formerly, WellsCanning) (June 2009-July 2011).
------------------------------------------------------------------------------------------------------------------
364
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
------------------------------------------------------------------------------------------------------------------
James L. Davis Vice President Since 1999 Vice President of all the DFA Entities.
1956
------------------------------------------------------------------------------------------------------------------
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA
1957 Australia Limited and Dimensional Fund Advisors
Canada ULC.
------------------------------------------------------------------------------------------------------------------
Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (January 2012-January 2014)
and Senior Associate (August 2010-December
2011) for Dimensional Fund Advisors LP; MBA
and MPA at the University of Texas at Austin
(August 2007-May 2010).
------------------------------------------------------------------------------------------------------------------
Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1976 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP; Vice President,
Portfolio Specialist (January 2007-May 2011) for
Morgan Stanley Investment Management.
------------------------------------------------------------------------------------------------------------------
Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1971 Senior Associate, Research (November 2012-
January 2015) for Dimensional Fund Advisors LP;
Senior Consultant, NERA Economic Consulting,
New York (May 2010-November 2012).
------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Formerly,
1972 Research Associate (August 2008-March 2010)
and Research Assistant (April 2006-August 2008)
for Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities.
1970
------------------------------------------------------------------------------------------------------------------
Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of
1979 Marketing for Dimensional Fund Advisors LP
(since February 2013). Formerly, Senior Manager
of Research and Marketing for Dimensional Fund
Advisors LP (June 2012-January 2013); Director
of Mutual Fund Analysis at Morningstar (January
2008-May 2012).
------------------------------------------------------------------------------------------------------------------
L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1959 Regional Director (May 2008-January 2015) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the
1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief
Operating Officer for Dimensional Fund Advisors
Pte. Ltd. (since April 2013). Formerly, Chief
Operating Officer for Dimensional Fund Advisors
Ltd. (July 2008-March 2013).
------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities.
1971
------------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of
1974 Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) of
Dimensional Fund Advisors LP. Formerly,
Portfolio Manager of Dimensional Fund Advisors
LP (September 2004-January 2012).
------------------------------------------------------------------------------------------------------------------
Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors
LP (August 2011-January 2014); Senior Vice
President of First Trust Advisors L.P. (2007-
July 2011).
------------------------------------------------------------------------------------------------------------------
Deborah J.G. Foster Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1959 Senior Associate (May 2011-January 2015) and
Marketing Officer (April 2002-April 2011) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
365
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
---------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
---------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1970 Vice President for Dimensional SmartNest (US)
LLC (January 2012-November 2014); Senior Vice
President for Morningstar (July 2004-July 2011).
---------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
---------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Managing Director at BlackRock (2004-January
2012).
---------------------------------------------------------------------------------------------------------------
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
---------------------------------------------------------------------------------------------------------------
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
---------------------------------------------------------------------------------------------------------------
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior
1975 Trader for Dimensional Fund Advisors LP (since
2012). Formerly, Senior Trader (2009-2012).
---------------------------------------------------------------------------------------------------------------
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Counsel for Dimensional Fund Advisors LP
(January 2011-January 2014); Vice President and
Senior Counsel for State Street Global Advisors
(November 2008-January 2011).
---------------------------------------------------------------------------------------------------------------
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
---------------------------------------------------------------------------------------------------------------
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
---------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President and Since 2015 Vice President and Controller of all the DFA
1958 Controller Entities. Formerly, Vice President of T. Rowe
Price Group, Inc. and Director of Investment
Treasury and Treasurer of the T. Rowe Price
Funds (March 2008-July 2015).
---------------------------------------------------------------------------------------------------------------
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
---------------------------------------------------------------------------------------------------------------
Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1960 Managing Director, Co-Head Global Consultant
Relations at BlackRock (2004-2011).
---------------------------------------------------------------------------------------------------------------
Mark A. Hunter Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Compliance Officer (November 2010-
January 2015) for Dimensional Fund Advisors LP;
Senior Compliance Manager for Janus Capital
Group, Inc. (March 2004-November 2010).
---------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and
1973 Dimensional Cayman Commodity Fund I Ltd.
---------------------------------------------------------------------------------------------------------------
Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Manager of Sales and Marketing Systems
(January 2011-January 2014) and Project
Manager (2007-2010) for Dimensional Fund
Advisors LP.
---------------------------------------------------------------------------------------------------------------
Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Facilities Manager for Dimensional Fund Advisors
LP (October 2008-January 2012).
---------------------------------------------------------------------------------------------------------------
Scott P. Kaup Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1975 Senior Manager, Investment Operations (January
2014-January 2015) and Investment Operations
Manager (May 2008-January 2014) for
Dimensional Fund Advisors LP.
---------------------------------------------------------------------------------------------------------------
366
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
-----------------------------------------------------------------------------------------------------------
David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of
1978 Operations for Financial Advisor Services for
Dimensional Fund Advisors LP (since July 2014).
Formerly, Counsel of Dimensional Fund Advisors
LP (August 2011-January 2014); Associate at
Andrews Kurth LLP (2006-2011).
-----------------------------------------------------------------------------------------------------------
Patrick M. Keating Vice President Since 2003 Vice President of DFAIDG, DIG, DFAITC, DEM,
1954 Dimensional Holdings Inc., Dimensional Fund
Advisors LP. Formerly, Vice President of DFA
Securities LLC, Dimensional Cayman Commodity
Fund I Ltd. and Dimensional Advisors Ltd (until
February 2015); Chief Operating Officer of
Dimensional Holdings Inc., DFA Securities LLC,
Dimensional Fund Advisors LP, Dimensional
Cayman Commodity Fund I Ltd., Dimensional
Advisors Ltd. and Dimensional Fund Advisors Pte.
Ltd. (until February 2015); Director, Vice
President, and Chief Privacy Officer of
Dimensional Fund Advisors Canada ULC (until
February 2015); Director of DFA Australia Limited,
Dimensional Fund Advisors Ltd. and Dimensional
Advisors Ltd. (until February 2015); Director and
Vice President of Dimensional Hong Kong Limited
and Dimensional Fund Advisors Pte. Ltd. (until
February 2015); and Director, Vice President and
Chief Operating Officer of Dimensional Japan Ltd.
(until May 2015).
-----------------------------------------------------------------------------------------------------------
Andrew K. Keiper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors
LP (October 2004-January 2013).
-----------------------------------------------------------------------------------------------------------
Glenn E. Kemp Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1948 Regional Director for Dimensional Fund Advisors
LP (April 2006-January 2012).
-----------------------------------------------------------------------------------------------------------
David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio
1971 Manager for Dimensional Fund Advisors LP
(since June 2004).
-----------------------------------------------------------------------------------------------------------
Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Creative Director for Dimensional Fund Advisors
LP (September 2012-January 2014); Vice
President and Global Creative Director at Morgan
Stanley (2007-2012); Visiting Assistant Professor,
Graduate Communications Design at Pratt
Institute (2004-2012).
-----------------------------------------------------------------------------------------------------------
Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of
1971 Defined Contribution Sales for Dimensional Fund
Advisors LP (since August 2010).
-----------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior
1971 Portfolio Manager of Dimensional Fund Advisors
LP (since January 2012). Formerly, Portfolio
Manager for Dimensional (April 2001-January
2012).
-----------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1981 Senior Associate, Investment Analytics and Data
(January 2012-December 2012) and Systems
Developer (June 2007-December 2011) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1966 Regional Director (May 2010-January 2014) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1968 Regional Director for Dimensional Fund Advisors
LP (2007-2010).
-----------------------------------------------------------------------------------------------------------
367
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
----------------------------------------------------------------------------------------------------------------
Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly,
1967 Chief Executive Officer for Dimensional
SmartNest (US) LLC (July 2012-November 2014).
----------------------------------------------------------------------------------------------------------------
Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1969 Vice President-Global Operations at Janus
Capital Group (2005-2011).
----------------------------------------------------------------------------------------------------------------
David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1978 Senior Trader (January 2010-December 2012)
and Trader (2000-2009) for Dimensional Fund
Advisors LP.
----------------------------------------------------------------------------------------------------------------
Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities.
1971
----------------------------------------------------------------------------------------------------------------
Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1980 Research Associate for Dimensional Fund
Advisors LP (July 2008-2010).
----------------------------------------------------------------------------------------------------------------
Paul A. Lehman Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Chief Investment
Officer (April 2005-April 2013) for First Citizens
Bancorporation.
----------------------------------------------------------------------------------------------------------------
John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1960 Regional Director for Dimensional Fund Advisors
LP (January 2008-January 2013).
----------------------------------------------------------------------------------------------------------------
Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Tax Manager (February 2013-January
2015) for Dimensional Fund Advisors LP; Vice
President and Tax Manager, North America
(August 2006-April 2012) for Pacific Investment
Management Company.
----------------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities.
1969
----------------------------------------------------------------------------------------------------------------
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Senior Manager, Marketing Operations (January
2014-January 2015), Manager, Client Systems
(October 2011-January 2014) and RFP Manager
(April 2010-October 2011) for Dimensional Fund
Advisors LP.
----------------------------------------------------------------------------------------------------------------
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1969 Regional Director for Dimensional Fund Advisors
LP (January 2011-January 2014); Vice President
at Columbia Management (2004-2010).
----------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
Formerly, Counsel for Dimensional Fund Advisors
LP (September 2006-January 2010).
----------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of
1970 Global Human Resources for Dimensional Fund
Advisors LP.
----------------------------------------------------------------------------------------------------------------
David R. Martin Vice President, Chief Since 2007 Vice President, Chief Financial Officer and
1956 Financial Officer and Treasurer of all the DFA Entities and Dimensional
Treasurer Cayman Commodity Fund I Ltd. Director, Vice
President, Chief Financial Officer and Treasurer
of Dimensional Fund Advisors Ltd., DFA Australia
Limited, Dimensional Advisors Pte. Ltd.,
Dimensional Hong Kong Limited, and
Dimensional Fund Advisors Canada ULC.
Director of Dimensional Funds plc and
Dimensional Funds II plc. Statutory Auditor of
Dimensional Japan Ltd. Formerly, Chief Financial
Officer, Treasurer and Vice President of
Dimensional SmartNest (US) LLC (October 2010-
November 2014).
----------------------------------------------------------------------------------------------------------------
368
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
--------------------------------------------------------------------------------------------------------------------
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1965 Senior Compliance Officer (May 2012-January
2015) for Dimensional Fund Advisors LP; Chief
Compliance Officer (April 2010-April 2012) for Al
Frank Asset Management.
--------------------------------------------------------------------------------------------------------------------
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1975 Regional Director of Dimensional Fund Advisors
LP (January 2009-January 2014).
--------------------------------------------------------------------------------------------------------------------
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1984 Regional Director (January 2009-January 2014)
and Senior Associate (2011) for Dimensional
Fund Advisors LP; Investment Consultant (March
2010-December 2010) and Investment Analyst
(December 2007-March 2010) at Towers Watson.
--------------------------------------------------------------------------------------------------------------------
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1981 Manager (since September 2011) for Dimensional
Fund Advisors LP. Formerly, Portfolio Manager
for Wells Capital Management (October 2004-
September 2011).
--------------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Manager, Investment Systems (2011-January
2013) and Project Manager (2007-2010) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President since Vice President and Secretary of all the DFA
1964 Secretary 1997 and Secretary Entities. Director, Vice President and Secretary of
since 2000 DFA Australia Limited and Dimensional Fund
Advisors Ltd. (since February 2002, April 1997,
and May 2002, respectively). Vice President and
Secretary of Dimensional Fund Advisors Canada
ULC (since June 2003), Dimensional Cayman
Commodity Fund I Ltd., Dimensional Japan Ltd
(since February 2012), Dimensional Advisors Ltd
(since March 2012), Dimensional Fund Advisors
Pte. Ltd. (since June 2012). Director of
Dimensional Funds plc and Dimensional Funds II
plc (since 2002 and 2006, respectively). Director
of Dimensional Japan Ltd., Dimensional Advisors
Ltd., Dimensional Fund Advisors Pte. Ltd. and
Dimensional Hong Kong Limited (since August
2012 and July 2012). Formerly, Vice President
and Secretary of Dimensional SmartNest (US)
LLC (October 2010-November 2014).
--------------------------------------------------------------------------------------------------------------------
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1977 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive
for Vanguard (July 2008-May 2011).
--------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1964 Portfolio Manager for Dimensional Fund Advisors
LP (2008--2010).
--------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President of all the DFA Entities. Deputy
1961 Deputy Chief Chief Compliance Officer of Dimensional Fund
Compliance Officer Advisors LP (since December 2012). Formerly,
Chief Compliance Officer of Wellington
Management Company, LLP (2004-2011).
--------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities and
1974 Dimensional Cayman Commodity Fund I Ltd.
Deputy General Counsel, Funds (since 2011).
Formerly, Counsel for Dimensional Fund Advisors
LP (2007-2010).
--------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Vice President since Vice President and Co-Chief Investment Officer of
1976 Co-Chief Investment 2007 and Co-Chief all the DFA Entities and Dimensional Fund
Officer Investment Officer Advisors Canada ULC. Director of Dimensional
since 2014 Funds plc and Dimensional Fund II plc.
--------------------------------------------------------------------------------------------------------------------
369
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
-----------------------------------------------------------------------------------------------------------
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1973 Manager for Dimensional Fund Advisors LP
(since July 2005).
-----------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities. Formerly,
1978 Senior Compliance Officer (January 2008-January
2010) and Compliance Officer (February 2006-
December 2007) for Dimensional Fund Advisors
LP.
-----------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors
LP (2012-January 2013); Senior Consultant (June
2011-December 2011) and Senior Investment
Analyst and Consultant (July 2008-June 2011) at
Hewitt EnnisKnupp.
-----------------------------------------------------------------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior
1984 Manager, Advisor Benchmarking (since January
2015) for Dimensional Fund Advisors LP.
Formerly, Manager, Advisor Benchmarking (April
2012-December 2014) for Dimensional Fund
Advisors LP; Senior Manager, Research and
Consulting (October 2010-April 2012) for Crain
Communications Inc.; Senior Manager, Revenue
Planning and Strategy (April 2007-October 2010)
for T-Mobile.
-----------------------------------------------------------------------------------------------------------
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP; Investment
Counselor/Regional Director for Halbert Hargrove
(2008-May 2011).
-----------------------------------------------------------------------------------------------------------
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel for
1976 Dimensional Fund Advisors LP (since February
2015). Formerly, Chief Financial Officer and
General Counsel for Relentless (March 2014-
January 2015); Vice President of all the DFA
Entities (January 2013-March 2014); Counsel for
Dimensional Fund Advisors LP (January 2009-
March 2014).
-----------------------------------------------------------------------------------------------------------
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA
1961 Australia Limited, Dimensional Fund Advisors Ltd.
and Dimensional Fund Advisors Canada ULC.
-----------------------------------------------------------------------------------------------------------
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior
1970 Portfolio Manager for Dimensional Fund Advisors
LP (since January 2015). Formerly, Portfolio
Manager for Dimensional Fund Advisors LP
(2006-January 2015).
-----------------------------------------------------------------------------------------------------------
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1967 Regional Director for Dimensional Fund Advisors
LP (January 2011-January 2014); Vice President
at BlackRock (2009-2010).
-----------------------------------------------------------------------------------------------------------
Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1969 Planning and Analysis Manager for Dimensional
Fund Advisors LP (July 2007-January 2014).
-----------------------------------------------------------------------------------------------------------
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (March 2011-January 2015) for
Dimensional Fund Advisors LP; Regional Vice
President (2003-March 2011) for Invesco
PowerShares.
-----------------------------------------------------------------------------------------------------------
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1981 Research Associate (June 2011-January 2012)
for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
370
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
----------------------------------------------------------------------------------------------------------
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1968 Senior Fund Accounting Manager (July 2013-
January 2015) for Dimensional Fund Advisors LP;
Senior Financial Consultant and Chief Accounting
Officer (July 2002-July 2013) for MFS Investment
Management.
----------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
----------------------------------------------------------------------------------------------------------
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Vice President for Dimensional SmartNest (US)
LLC (September 2010-November 2014).
----------------------------------------------------------------------------------------------------------
Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1960 Senior Manager, Human Resources for
Dimensional Fund Advisors LP (January 2012-
January 2014); Director of Human Resources at
Spansion, Inc. (March 2009-December 2011).
----------------------------------------------------------------------------------------------------------
Joseph S. Ruzicka Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1987 Manager Investment Analytics and Data (January
2014-January 2015), Senior Associate,
Investment Analytics and Data (January 2013-
January 2014), Associate, Investment Analytics
and Data (January 2012-January 2013), and
Investment Data Analyst (April 2010-January
2012) for Dimensional Fund Advisors LP.
----------------------------------------------------------------------------------------------------------
Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities. Formerly,
1959 Client Systems Manager for Dimensional Fund
Advisors LP (July 2008-January 2010); Senior
Manager at Vanguard (November 1997-July
2008).
----------------------------------------------------------------------------------------------------------
Joel P. Schneider Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1980 Manager (since 2013) for Dimensional Fund
Advisors LP. Formerly, Investment Associate
(April 2011-January 2013) for Dimensional Fund
Advisors LP; Associate Consultant for ZS
Associates (April 2008-November 2010).
----------------------------------------------------------------------------------------------------------
Ashish Shrestha Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Regional Director (September 2009-January
2015) and Senior Associate (September 2008-
September 2009) for Dimensional Fund Advisors
LP.
----------------------------------------------------------------------------------------------------------
Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities. Formerly,
1965 Investment Operations Manager for Dimensional
Fund Advisors LP (May 2007-January 2009).
----------------------------------------------------------------------------------------------------------
Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities.
1968
----------------------------------------------------------------------------------------------------------
Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager for Dimensional Fund Advisors
LP (since January 2015). Formerly, Portfolio
Manager (January 2012-January 2015) and
Investment Associate for Dimensional Fund
Advisors LP (August 2010-December 2011).
----------------------------------------------------------------------------------------------------------
Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities.
1975
----------------------------------------------------------------------------------------------------------
Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio
1977 Manager of Dimensional Fund Advisors LP (since
January 2010).
----------------------------------------------------------------------------------------------------------
Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1968 Project Manager for Dimensional Fund Advisors
LP (2007-2010).
----------------------------------------------------------------------------------------------------------
Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and
1956 Dimensional Fund Advisors Canada ULC.
----------------------------------------------------------------------------------------------------------
371
Term of Office/1/
Name and Year of and Length of
Birth Position Service Principal Occupation During Past 5 Years
-----------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities.
1947
-----------------------------------------------------------------------------------------------------------
Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors
LP (April 2010-January 2013).
-----------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1973 Manager, Investment Analytics and Data (2012-
January 2013) and Research Assistant (2002-
2011) for Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (2010-January 2013) and
Senior Associate (2007-2009) for Dimensional
Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund Advisors
LP (January 2008--January 2012).
-----------------------------------------------------------------------------------------------------------
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
-----------------------------------------------------------------------------------------------------------
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1982 Research Associate (June 2011-January 2015)
for Dimensional Fund Advisors LP; Research
Assistant at Dartmouth College (2009-2011).
-----------------------------------------------------------------------------------------------------------
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA
1966 Australia Limited, Dimensional Fund Advisors
Ltd., and Dimensional Fund Advisors Canada
ULC.
-----------------------------------------------------------------------------------------------------------
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors
LP (September 2008-January 2014).
-----------------------------------------------------------------------------------------------------------
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1970 Manager for Dimensional Fund Advisors LP
(since 2004).
-----------------------------------------------------------------------------------------------------------
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (January 2012-January 2015)
for Dimensional Fund Advisors LP; Director of
Marketing and Investor Relations for Treaty Oak
Capital Management (July 2011-October 2011);
Vice President for Rockspring Capital (October
2010-July 2011); Program Director for RevEurope
Payments (November 2008-October 2010).
-----------------------------------------------------------------------------------------------------------
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
-----------------------------------------------------------------------------------------------------------
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
-----------------------------------------------------------------------------------------------------------
Stacey E. Winning Vice President Since 2015 Vice President of all the DFA Entities. Head of
1981 Global Recruiting and Development (since June
2014) for Dimensional Fund Advisors LP.
Formerly, Senior Manager, Recruiting (December
2012-June 2014) for Dimensional Fund Advisors
LP; Co-Head of Global Recruiting (May 2009-
November 2012) for Two Sigma Investments.
-----------------------------------------------------------------------------------------------------------
Paul E. Wise Vice President Since 2005 Vice President of all the DFA Entities.
1955
-----------------------------------------------------------------------------------------------------------
Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund Advisors
LP (2005-2010).
-----------------------------------------------------------------------------------------------------------
/1/ Each officer holds office for an indefinite term at the pleasure of the
Board of Directors and until his or her successor is elected and qualified.
372
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 (1) without
charge, upon request, by calling collect: (512) 306-7400; (2) from the
Advisor's website at http://us.dimensional.com; and (3) on the SEC's website at
http://www.sec.gov. 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://us.dimensional.com and reflects the
twelve-month period beginning July 1st and ending June 30th.
373
NOTICE TO SHAREHOLDERS
(Unaudited)
For shareholders that do not have an October 31, 2015 tax year end, this notice
is for informational purposes only. For shareholders with and October 31, 2015
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2014 to October 31, 2015, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
Qualifying
For
Net Corporate
Investment Short-Term Long-Term Return Dividends
Income Capital Gain Capital Gain of Tax-Exempt Total Received
DFA Investment Dimensions Group Inc. Distributions Distributions Distributions Capital Interest Distributions Deduction(1)
------------------------------------ ------------- ------------- ------------- ------- ---------- ------------- ------------
Enhanced U.S. Large Company
Portfolio............................ 3% 37% 60% -- -- 100% --
US Large Cap Equity Portfolio......... 94% 3% -- -- -- 100% 100%
U.S. Large Cap Value Portfolio........ 72% -- 28% -- -- 100% 100%
U.S. Targeted Value Portfolio......... 23% 3% 74% -- -- 100% 100%
U.S. Small Cap Value Portfolio........ 23% -- 77% -- -- 100% 100%
U.S. Core Equity 1 Portfolio.......... 79% -- 21% -- -- 100% 100%
U.S. Core Equity 2 Portfolio.......... 70% -- 30% -- -- 100% 100%
U.S. Vector Equity Portfolio.......... 32% -- 68% -- -- 100% 100%
U.S. Small Cap Portfolio.............. 27% -- 73% -- -- 100% 100%
U.S. Micro Cap Portfolio.............. 13% -- 87% -- -- 100% 100%
DFA Real Estate Securities
Portfolio............................ 100% -- -- -- -- 100% 100%
Large Cap International Portfolio..... 100% -- -- -- -- 100% 100%
International Core Equity Portfolio... 100% -- -- -- -- 100% 100%
International Small Company
Portfolio............................ 43% 5% 51% -- -- 100% 100%
Japanese Small Company Portfolio...... 100% -- -- -- -- 100% 100%
Asia Pacific Small Company
Portfolio............................ 100% -- -- -- -- 100% 100%
United Kingdom Small Company
Portfolio............................ 32% 1% 67% -- -- 100% 100%
Continental Small Company
Portfolio............................ 100% -- -- -- -- 100% 100%
DFA International Real Estate
Securities Portfolio................. 100% -- -- -- -- 100% 100%
DFA Global Real Estate Securities
Portfolio............................ 100% -- -- -- -- 100% 100%
DFA International Small Cap Value
Portfolio............................ 52% -- 48% -- -- 100% 100%
International Vector Equity Portfolio. 76% 2% 22% -- -- 100% 100%
World ex U.S. Value Portfolio......... 100% -- -- -- -- 100% 100%
World ex U.S. Targeted Value
Portfolio**.......................... 91% -- 9% -- -- 100% 100%
World ex U.S. Core Equity
Portfolio**.......................... 100% -- -- -- -- 100% 100%
Qualifying
Short-
Qualifying U.S. Foreign Foreign Qualifying Term
Dividend Government Tax Source Interest Capital
DFA Investment Dimensions Group Inc. Income(2) Interest(3) Credit(4) Income(5) Income(6) Gain(7)
------------------------------------ ---------- ----------- --------- --------- ---------- ----------
Enhanced U.S. Large Company
Portfolio............................ -- 5% -- -- 100% 100%
US Large Cap Equity Portfolio......... 100% -- -- -- 100% 100%
U.S. Large Cap Value Portfolio........ 100% -- -- -- 100% 100%
U.S. Targeted Value Portfolio......... 100% -- -- -- 100% 100%
U.S. Small Cap Value Portfolio........ 100% -- -- -- 100% 100%
U.S. Core Equity 1 Portfolio.......... 100% -- -- -- 100% 100%
U.S. Core Equity 2 Portfolio.......... 100% -- -- -- 100% 100%
U.S. Vector Equity Portfolio.......... 100% -- -- -- 100% 100%
U.S. Small Cap Portfolio.............. 100% -- -- -- 100% 100%
U.S. Micro Cap Portfolio.............. 100% -- -- -- 100% 100%
DFA Real Estate Securities
Portfolio............................ 100% -- -- -- 100% 100%
Large Cap International Portfolio..... 100% -- 4% 100% 100% 100%
International Core Equity Portfolio... 100% -- 4% 100% 100% 100%
International Small Company
Portfolio............................ 100% -- 5% 100% 100% 100%
Japanese Small Company Portfolio...... 100% -- 12% 100% 100% 100%
Asia Pacific Small Company
Portfolio............................ 100% -- 2% 100% 100% 100%
United Kingdom Small Company
Portfolio............................ 100% -- -- 100% 100% 100%
Continental Small Company
Portfolio............................ 100% -- 8% 100% 100% 100%
DFA International Real Estate
Securities Portfolio................. 100% -- 10% 100% 100% 100%
DFA Global Real Estate Securities
Portfolio............................ 100% -- 2% 3% 100% 100%
DFA International Small Cap Value
Portfolio............................ 100% -- 5% 100% 100% 100%
International Vector Equity Portfolio. 100% -- 5% 100% 100% 100%
World ex U.S. Value Portfolio......... 100% -- 5% 100% 100% 100%
World ex U.S. Targeted Value
Portfolio**.......................... 100% -- 3% 59% 100% 100%
World ex U.S. Core Equity
Portfolio**.......................... 100% -- -- 0% 100% 100%
374
Qualifying
For
Net Corporate
Investment Short-Term Long-Term Return Dividends
Income Capital Gain Capital Gain of Tax-Exempt Total Received
DFA Investment Dimensions Group Inc. Distributions Distributions Distributions Capital Interest Distributions Deduction(1)
------------------------------------ ------------- ------------- ------------- ------- ---------- ------------- ------------
World Core Equity Portfolio (formerly
Dimensional Retirement Equity
Fund II)............................. 92% -- 8% -- -- 100% 100%
Selectively Hedged Global Equity
Portfolio............................ 68% 5% 27% -- -- 100% 100%
Emerging Markets Portfolio............ 100% -- -- -- -- 100% 100%
Emerging Markets Small Cap
Portfolio............................ 53% 2% 45% -- -- 100% 100%
Emerging Markets Value Portfolio...... 100% -- -- -- -- 100% 100%
Emerging Markets Core Equity
Portfolio............................ 100% -- -- -- -- 100% 100%
DFA Commodity Strategy Portfolio...... 91% -- 9% -- -- 100% 100%
Dimensional Investment Group
Inc. --
DFA International Value Portfolio..... 100% -- -- -- -- 100% 100%
U.S. Large Company Portfolio.......... 94% -- 6% -- -- 100% 100%
Qualifying
Short-
Qualifying U.S. Foreign Foreign Qualifying Term
Dividend Government Tax Source Interest Capital
DFA Investment Dimensions Group Inc. Income(2) Interest(3) Credit(4) Income(5) Income(6) Gain(7)
------------------------------------ ---------- ----------- --------- --------- ---------- ----------
World Core Equity Portfolio (formerly
Dimensional Retirement Equity
Fund II)............................. 100% -- 3% 62% 100% 100%
Selectively Hedged Global Equity
Portfolio............................ 100% -- 2% 39% 100% 100%
Emerging Markets Portfolio............ 100% -- 7% 100% 100% 100%
Emerging Markets Small Cap
Portfolio............................ 100% -- 4% 100% 100% 100%
Emerging Markets Value Portfolio...... 100% -- 7% 100% 100% 100%
Emerging Markets Core Equity
Portfolio............................ 100% -- 6% 100% 100% 100%
DFA Commodity Strategy Portfolio...... 100% 15% -- -- 100% 100%
Dimensional Investment Group
Inc.
DFA International Value Portfolio..... 100% -- 4% 100% 100% 100%
U.S. Large Company Portfolio.......... 100% -- -- -- 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
375
DFA103115-001A
[LOGO] 00157599
[LOGO]
ANNUAL REPORT
year ended: October 31, 2015
DFA Investment Dimensions Group Inc.
Tax-Managed U.S. Marketwide Value Portfolio
Tax-Managed U.S. Equity Portfolio
Tax-Managed U.S. Targeted Value Portfolio
Tax-Managed U.S. Small Cap Portfolio
T.A. U.S. Core Equity 2 Portfolio
Tax-Managed DFA International Value Portfolio
T.A. World ex U.S. Core Equity Portfolio
The DFA Investment Trust Company
Tax-Managed U.S. Marketwide Value Series
[LOGO]
Dimensional Fund Advisors
6300 Bee Cave Road, Building One
Austin, TX 78746
November 2015
Dear Fellow Shareholder,
Dimensional is built around a set of ideas that are bigger than our firm. Our
point of view about market efficiency, our commitment to research, and our
focus on implementation form the basis of our approach. We are fortunate to
have found clients who are drawn to these ideas and the consistency we have
shown to these principles over time.
Combining insights gained from research with effective implementation has been
central to Dimensional's approach since our founding and will continue to be
our focus.
Sincerely,
/s/ David G. Booth
David G. Booth
Chairman and Co-Chief Executive Officer
ANNUAL REPORT
Table of Contents
Page
----
Letter to Shareholders
Definitions of Abbreviations and Footnotes...................................... 1
DFA Investment Dimensions Group Inc.
Performance Charts........................................................... 2
Management's Discussion and Analysis......................................... 6
Disclosure of Fund Expenses.................................................. 11
Disclosure of Portfolio Holdings............................................. 13
Schedule of Investments/Summary Schedules of Portfolio Holdings.............. 15
Tax-Managed U.S. Marketwide Value Portfolio.............................. 15
Tax-Managed U.S. Equity Portfolio........................................ 16
Tax-Managed U.S. Targeted Value Portfolio................................ 19
Tax-Managed U.S. Small Cap Portfolio..................................... 22
T.A. U.S. Core Equity 2 Portfolio........................................ 25
Tax-Managed DFA International Value Portfolio............................ 28
T.A. World ex U.S. Core Equity Portfolio................................. 32
Statements of Assets and Liabilities......................................... 38
Statements of Operations..................................................... 40
Statements of Changes in Net Assets.......................................... 42
Financial Highlights......................................................... 44
Notes to Financial Statements................................................ 48
Report of Independent Registered Public Accounting Firm...................... 61
Results of the Shareholder Meeting........................................... 62
The DFA Investment Trust Company - The Tax-Managed U.S. Marketwide Value Series
Performance Chart............................................................ 67
Management's Discussion and Analysis......................................... 68
Disclosure of Fund Expenses.................................................. 69
Disclosure of Portfolio Holdings............................................. 70
Summary Schedule of Portfolio Holdings....................................... 71
Statement of Assets and Liabilities.......................................... 74
Statement of Operations...................................................... 75
Statements of Changes in Net Assets.......................................... 76
Financial Highlights......................................................... 77
Notes to Financial Statements................................................ 78
Report of Independent Registered Public Accounting Firm...................... 84
Results of the Shareholder Meeting........................................... 85
Fund Management................................................................. 86
Voting Proxies on Fund Portfolio Securities..................................... 100
Notice to Shareholders.......................................................... 101
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
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 that have generally been fair value factored. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category
headings have been calculated as a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do not represent more than 1.0% of
the net assets of the Fund. Some of the individual securities within this category may include Total or
Partial Securities on Loan and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
Financial Highlights
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Funds.
All Statements, Schedules and Notes to Financial Statements
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
REIT Real Estate Investment Trust
SEC Securities and Exchange Commission
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO VS.
RUSSELL 3000(R) VALUE INDEX
October 31, 2005-October 31, 2015
[CHART]
Tax-Managed U.S. Marketwide Russell 3000/R/
Value Portfolio Value Index
--------------------------- ----------------
10/31/05 $10,000 $10,000
11/30/05 10,402 10,334
12/31/05 10,446 10,383
1/31/06 11,029 10,826
2/28/06 10,995 10,886
3/31/06 11,258 11,068
4/30/06 11,533 11,326
5/31/06 11,210 11,023
6/30/06 11,282 11,099
7/31/06 11,213 11,330
8/31/06 11,268 11,533
9/30/06 11,485 11,752
10/31/06 11,928 12,156
11/30/06 12,218 12,440
12/31/06 12,454 12,703
1/31/07 12,774 12,868
2/28/07 12,614 12,672
3/31/07 12,754 12,864
4/30/07 13,207 13,308
5/31/07 13,827 13,789
6/30/07 13,532 13,467
7/31/07 12,791 12,799
8/31/07 12,721 12,952
9/30/07 13,042 13,365
10/31/07 13,049 13,378
11/30/07 12,284 12,697
12/31/07 12,229 12,575
1/31/08 11,742 12,070
2/29/08 11,313 11,567
3/31/08 11,112 11,500
4/30/08 11,737 12,045
5/31/08 11,995 12,059
6/30/08 10,671 10,905
7/31/08 10,584 10,912
8/31/08 10,800 11,124
9/30/08 9,883 10,332
10/31/08 7,673 8,519
11/30/08 6,913 7,878
12/31/08 7,144 8,016
1/31/09 6,212 7,076
2/28/09 5,376 6,128
3/31/09 5,941 6,654
4/30/09 6,966 7,394
5/31/09 7,489 7,827
6/30/09 7,391 7,772
7/31/09 8,140 8,428
8/31/09 8,681 8,866
9/30/09 9,074 9,216
10/31/09 8,636 8,908
11/30/09 9,037 9,393
12/31/09 9,363 9,601
1/31/10 9,102 9,330
2/28/10 9,520 9,635
3/31/10 10,270 10,277
4/30/10 10,667 10,581
5/31/10 9,754 9,709
6/30/10 9,007 9,137
7/31/10 9,728 9,758
8/31/10 9,090 9,316
9/30/10 9,993 10,060
10/31/10 10,377 10,369
11/30/10 10,399 10,339
12/31/10 11,383 11,158
1/31/11 11,663 11,391
2/28/11 12,322 11,824
3/31/11 12,398 11,880
4/30/11 12,687 12,186
5/31/11 12,489 12,050
6/30/11 12,270 11,799
7/31/11 11,745 11,408
8/31/11 10,764 10,671
9/30/11 9,670 9,836
10/31/11 11,015 10,985
11/30/11 10,931 10,931
12/31/11 11,034 11,147
1/31/12 11,610 11,594
2/29/12 12,226 12,033
3/31/12 12,482 12,391
4/30/12 12,251 12,260
5/31/12 11,388 11,539
6/30/12 11,986 12,110
7/31/12 12,086 12,217
8/31/12 12,543 12,490
9/30/12 12,996 12,891
10/31/12 13,035 12,820
11/30/12 13,112 12,818
12/31/12 13,487 13,103
1/31/13 14,380 13,949
2/28/13 14,600 14,147
3/31/13 15,325 14,709
4/30/13 15,427 14,913
5/31/13 15,930 15,301
6/30/13 15,832 15,171
7/31/13 16,794 16,003
8/31/13 16,297 15,388
9/30/13 16,890 15,813
10/31/13 17,690 16,491
11/30/13 18,418 16,966
12/31/13 18,923 17,386
1/31/14 18,175 16,764
2/28/14 18,843 17,493
3/31/14 19,114 17,894
4/30/14 19,162 18,014
5/31/14 19,608 18,266
6/30/14 20,114 18,769
7/31/14 19,794 18,383
8/31/14 20,522 19,068
9/30/14 19,994 18,605
10/31/14 20,339 19,090
11/30/14 20,604 19,443
12/31/14 20,801 19,594
1/31/15 19,760 18,808
2/28/15 21,188 19,715
3/31/15 20,981 19,493
4/30/15 21,192 19,628
5/31/15 21,516 19,858
6/30/15 21,292 19,494
7/31/15 21,349 19,528 Past performance is not predictive of
8/31/15 20,000 18,381 future performance.
9/30/15 19,369 17,820 The returns shown do not reflect the
10/31/15 20,895 19,136 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
--------------------------------------------------- Investment Group 1995-2015, all rights
2.73% 15.03% 7.65% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
TAX-MANAGED U.S. EQUITY PORTFOLIO VS.
RUSSELL 3000(R) INDEX
October 31, 2005-October 31, 2015
[CHART]
Tax-Managed U.S. Equity Russell 3000/R/
Portfolio Index
--------------------------- ----------------
10/31/05 $10,000 $10,000
11/30/05 10,392 10,389
12/31/05 10,388 10,398
1/31/06 10,711 10,746
2/28/06 10,734 10,765
3/31/06 10,906 10,951
4/30/06 11,025 11,070
5/31/06 10,669 10,715
6/30/06 10,669 10,734
7/31/06 10,653 10,724
8/31/06 10,899 10,987
9/30/06 11,146 11,233
10/31/06 11,503 11,637
11/30/06 11,726 11,890
12/31/06 11,882 12,032
1/31/07 12,090 12,261
2/28/07 11,898 12,060
3/31/07 12,036 12,186
4/30/07 12,517 12,673
5/31/07 12,974 13,134
6/30/07 12,759 12,888
7/31/07 12,325 12,449
8/31/07 12,494 12,628
9/30/07 12,937 13,088
10/31/07 13,155 13,328
11/30/07 12,573 12,728
12/31/07 12,506 12,651
1/31/08 11,751 11,884
2/29/08 11,410 11,515
3/31/08 11,349 11,447
4/30/08 11,911 12,019
5/31/08 12,156 12,266
6/30/08 11,196 11,253
7/31/08 11,130 11,164
8/31/08 11,302 11,337
9/30/08 10,271 10,271
10/31/08 8,513 8,449
11/30/08 7,921 7,782
12/31/08 8,063 7,931
1/31/09 7,390 7,266
2/28/09 6,643 6,505
3/31/09 7,188 7,074
4/30/09 7,781 7,819
5/31/09 8,157 8,236
6/30/09 8,199 8,264
7/31/09 8,812 8,907
8/31/09 9,072 9,226
9/30/09 9,438 9,612
10/31/09 9,219 9,365
11/30/09 9,733 9,897
12/31/09 10,010 10,179
1/31/10 9,646 9,812
2/28/10 9,968 10,145
3/31/10 10,590 10,784
4/30/10 10,802 11,017
5/31/10 9,953 10,147
6/30/10 9,388 9,563
7/31/10 10,045 10,227
8/31/10 9,559 9,746
9/30/10 10,468 10,666
10/31/10 10,888 11,083
11/30/10 10,957 11,147
12/31/10 11,692 11,902
1/31/11 11,942 12,162
2/28/11 12,373 12,605
3/31/11 12,429 12,662
4/30/11 12,801 13,039
5/31/11 12,645 12,890
6/30/11 12,435 12,659
7/31/11 12,149 12,369
8/31/11 11,420 11,627
9/30/11 10,573 10,724
10/31/11 11,750 11,959
11/30/11 11,741 11,926
12/31/11 11,830 12,024
1/31/12 12,400 12,631
2/29/12 12,944 13,166
3/31/12 13,330 13,572
4/30/12 13,234 13,483
5/31/12 12,406 12,649
6/30/12 12,881 13,145
7/31/12 13,023 13,275
8/31/12 13,350 13,606
9/30/12 13,710 13,963
10/31/12 13,462 13,723
11/30/12 13,568 13,829
12/31/12 13,721 13,998
1/31/13 14,473 14,766
2/28/13 14,661 14,962
3/31/13 15,235 15,548
4/30/13 15,469 15,803
5/31/13 15,882 16,176
6/30/13 15,687 15,966
7/31/13 16,553 16,841
8/31/13 16,084 16,371
9/30/13 16,670 16,979
10/31/13 17,385 17,701
11/30/13 17,938 18,214
12/31/13 18,409 18,695
1/31/14 17,781 18,104
2/28/14 18,609 18,963
3/31/14 18,727 19,064
4/30/14 18,736 19,087
5/31/14 19,147 19,503
6/30/14 19,617 19,993
7/31/14 19,232 19,598
8/31/14 20,029 20,420
9/30/14 19,651 19,995
10/31/14 20,148 20,545
11/30/14 20,636 21,043
12/31/14 20,617 21,043
1/31/15 19,978 20,457
2/28/15 21,200 21,641
3/31/15 20,945 21,421
4/30/15 21,094 21,518
5/31/15 21,391 21,816
6/30/15 21,037 21,451
7/31/15 21,373 21,810
8/31/15 20,086 20,493
9/30/15 19,493 19,896 Past performance is not predictive of
10/31/15 21,049 21,467 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
----------------------------------------------------- Investment Group 1995-2015, all rights
4.47% 14.09% 7.73% reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO VS.
RUSSELL 2000(R) VALUE INDEX
October 31, 2005-October 31, 2015
[CHART]
Tax-Managed U.S. Targeted Russell 2000/R/
Value Portfolio Value Index
--------------------------- -----------------
10/31/05 $10,000 $10,000
11/30/05 10,458 10,406
12/31/05 10,478 10,326
1/31/06 11,385 11,180
2/28/06 11,309 11,179
3/31/06 11,923 11,720
4/30/06 12,057 11,752
5/31/06 11,507 11,265
6/30/06 11,511 11,403
7/31/06 11,085 11,245
8/31/06 11,300 11,581
9/30/06 11,414 11,694
10/31/06 11,999 12,290
11/30/06 12,309 12,640
12/31/06 12,453 12,750
1/31/07 12,710 12,941
2/28/07 12,646 12,782
3/31/07 12,799 12,937
4/30/07 13,047 13,071
5/31/07 13,547 13,550
6/30/07 13,342 13,234
7/31/07 12,370 12,108
8/31/07 12,355 12,350
9/30/07 12,360 12,406
10/31/07 12,469 12,541
11/30/07 11,498 11,602
12/31/07 11,389 11,504
1/31/08 10,846 11,032
2/29/08 10,553 10,593
3/31/08 10,649 10,753
4/30/08 10,969 11,093
5/31/08 11,422 11,472
6/30/08 10,346 10,372
7/31/08 10,415 10,903
8/31/08 10,773 11,421
9/30/08 9,853 10,886
10/31/08 7,721 8,711
11/30/08 6,719 7,702
12/31/08 7,088 8,176
1/31/09 6,126 7,008
2/28/09 5,277 6,035
3/31/09 5,757 6,571
4/30/09 6,835 7,613
5/31/09 7,112 7,778
6/30/09 7,081 7,753
7/31/09 7,912 8,650
8/31/09 8,292 9,059
9/30/09 8,731 9,514
10/31/09 8,138 8,882
11/30/09 8,410 9,165
12/31/09 9,048 9,859
1/31/10 8,824 9,570
2/28/10 9,332 10,013
3/31/10 10,088 10,846
4/30/10 10,836 11,605
5/31/10 9,913 10,625
6/30/10 9,016 9,697
7/31/10 9,721 10,389
8/31/10 8,956 9,608
9/30/10 10,013 10,640
10/31/10 10,451 11,052
11/30/10 10,857 11,333
12/31/10 11,801 12,274
1/31/11 11,851 12,281
2/28/11 12,521 12,905
3/31/11 12,752 13,084
4/30/11 12,977 13,297
5/31/11 12,669 13,058
6/30/11 12,418 12,737
7/31/11 12,027 12,316
8/31/11 10,817 11,228
9/30/11 9,530 10,002
10/31/11 11,035 11,443
11/30/11 11,013 11,421
12/31/11 11,120 11,599
1/31/12 11,834 12,370
2/29/12 12,277 12,554
3/31/12 12,528 12,944
4/30/12 12,323 12,756
5/31/12 11,421 11,977
6/30/12 11,872 12,554
7/31/12 11,828 12,426
8/31/12 12,361 12,809
9/30/12 12,761 13,266
10/31/12 12,733 13,099
11/30/12 12,978 13,139
12/31/12 13,444 13,693
1/31/13 14,357 14,509
2/28/13 14,615 14,675
3/31/13 15,321 15,286
4/30/13 15,201 15,271
5/31/13 15,936 15,727
6/30/13 15,824 15,663
7/31/13 16,946 16,670
8/31/13 16,319 15,933
9/30/13 17,234 16,853
10/31/13 17,903 17,400
11/30/13 18,802 18,079
12/31/13 19,340 18,420
1/31/14 18,396 17,708
2/28/14 19,310 18,518
3/31/14 19,573 18,747
4/30/14 19,223 18,265
5/31/14 19,490 18,381
6/30/14 20,287 19,194
7/31/14 19,292 18,033
8/31/14 20,305 18,817
9/30/14 19,144 17,548
10/31/14 19,889 18,774
11/30/14 19,865 18,686
12/31/14 20,153 19,197
1/31/15 19,289 18,398
2/28/15 20,651 19,252
3/31/15 21,022 19,577
4/30/15 20,723 19,159
5/31/15 21,072 19,318
6/30/15 21,096 19,343
7/31/15 20,809 18,809
8/31/15 19,929 17,886
9/30/15 19,168 17,267 Past performance is not predictive of
10/31/15 20,265 18,233 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
------------------------------------------------------ Investment Group 1995-2015, all rights
1.89% 14.16% 7.32% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
TAX-MANAGED U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
October 31, 2005-October 31, 2015
[CHART]
Tax-Managed U.S. Small Russell 2000/R/
Cap Portfolio Index
--------------------------- ----------------
10/31/05 $10,000 $10,000
11/30/05 10,479 10,485
12/31/05 10,485 10,438
1/31/06 11,427 11,373
2/28/06 11,363 11,342
3/31/06 11,886 11,892
4/30/06 11,946 11,891
5/31/06 11,269 11,223
6/30/06 11,220 11,295
7/31/06 10,771 10,927
8/31/06 11,014 11,251
9/30/06 11,090 11,345
10/31/06 11,690 11,998
11/30/06 12,038 12,313
12/31/06 12,109 12,355
1/31/07 12,329 12,561
2/28/07 12,302 12,462
3/31/07 12,470 12,595
4/30/07 12,755 12,821
5/31/07 13,288 13,346
6/30/07 13,151 13,151
7/31/07 12,365 12,252
8/31/07 12,452 12,529
9/30/07 12,658 12,744
10/31/07 12,930 13,110
11/30/07 11,925 12,169
12/31/07 11,912 12,161
1/31/08 11,043 11,332
2/29/08 10,755 10,912
3/31/08 10,756 10,958
4/30/08 11,095 11,416
5/31/08 11,606 11,941
6/30/08 10,690 11,021
7/31/08 10,954 11,429
8/31/08 11,223 11,842
9/30/08 10,190 10,899
10/31/08 8,046 8,632
11/30/08 7,029 7,611
12/31/08 7,334 8,052
1/31/09 6,473 7,157
2/28/09 5,680 6,287
3/31/09 6,231 6,848
4/30/09 7,252 7,907
5/31/09 7,473 8,145
6/30/09 7,656 8,265
7/31/09 8,381 9,061
8/31/09 8,535 9,321
9/30/09 8,994 9,858
10/31/09 8,366 9,189
11/30/09 8,561 9,477
12/31/09 9,260 10,240
1/31/10 8,955 9,863
2/28/10 9,353 10,308
3/31/10 10,101 11,146
4/30/10 10,762 11,777
5/31/10 9,926 10,884
6/30/10 9,163 10,040
7/31/10 9,814 10,730
8/31/10 9,039 9,936
9/30/10 10,162 11,174
10/31/10 10,592 11,631
11/30/10 11,047 12,035
12/31/10 11,908 12,990
1/31/11 11,897 12,957
2/28/11 12,577 13,667
3/31/11 12,968 14,021
4/30/11 13,238 14,392
5/31/11 12,963 14,122
6/30/11 12,754 13,796
7/31/11 12,354 13,298
8/31/11 11,226 12,141
9/30/11 9,977 10,780
10/31/11 11,492 12,411
11/30/11 11,451 12,366
12/31/11 11,546 12,448
1/31/12 12,325 13,327
2/29/12 12,629 13,646
3/31/12 12,989 13,996
4/30/12 12,812 13,780
5/31/12 11,985 12,868
6/30/12 12,509 13,510
7/31/12 12,420 13,323
8/31/12 12,845 13,767
9/30/12 13,289 14,219
10/31/12 13,095 13,911
11/30/12 13,237 13,985
12/31/12 13,687 14,483
1/31/13 14,516 15,389
2/28/13 14,691 15,559
3/31/13 15,376 16,278
4/30/13 15,254 16,218
5/31/13 16,024 16,866
6/30/13 16,030 16,780
7/31/13 17,226 17,954
8/31/13 16,679 17,384
9/30/13 17,737 18,493
10/31/13 18,274 18,958
11/30/13 19,223 19,718
12/31/13 19,624 20,106
1/31/14 18,780 19,549
2/28/14 19,608 20,470
3/31/14 19,742 20,331
4/30/14 19,122 19,542
5/31/14 19,218 19,699
6/30/14 20,039 20,747
7/31/14 18,856 19,491
8/31/14 19,766 20,457
9/30/14 18,711 19,220
10/31/14 19,843 20,487
11/30/14 19,865 20,505
12/31/14 20,386 21,090
1/31/15 19,513 20,411
2/28/15 20,770 21,623
3/31/15 21,160 22,000
4/30/15 20,693 21,439
5/31/15 21,039 21,928
6/30/15 21,261 22,092
7/31/15 20,925 21,836
8/31/15 19,906 20,463
9/30/15 19,169 19,459 Past performance is not predictive of
10/31/15 20,301 20,556 future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
----------------------------------------------------- Investment Group 1995-2015, all rights
2.31% 13.90% 7.34% reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
T.A. U.S. CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
October 4, 2007-October 31, 2015
[CHART]
T.A. U.S. Core Equity Russell 3000/R/
2 Portfolio Index
------------------------- -----------------
10/04/07 $10,000 $10,000
10/31/07 9,950 10,057
11/30/07 9,400 9,604
12/31/07 9,305 9,546
1/31/08 8,874 8,968
2/29/08 8,613 8,689
3/31/08 8,525 8,637
4/30/08 8,937 9,069
5/31/08 9,189 9,255
6/30/08 8,339 8,491
7/31/08 8,420 8,424
8/31/08 8,642 8,555
9/30/08 7,905 7,750
10/31/08 6,377 6,376
11/30/08 5,810 5,872
12/31/08 5,991 5,985
1/31/09 5,370 5,482
2/28/09 4,748 4,908
3/31/09 5,221 5,338
4/30/09 5,927 5,900
5/31/09 6,183 6,215
6/30/09 6,188 6,236
7/31/09 6,743 6,721
8/31/09 7,021 6,961
9/30/09 7,363 7,253
10/31/09 7,043 7,066
11/30/09 7,363 7,468
12/31/09 7,710 7,681
1/31/10 7,461 7,404
2/28/10 7,772 7,655
3/31/10 8,327 8,137
4/30/10 8,638 8,313
5/31/10 7,942 7,656
6/30/10 7,384 7,216
7/31/10 7,936 7,717
8/31/10 7,457 7,354
9/30/10 8,243 8,048
10/31/10 8,557 8,363
11/30/10 8,703 8,411
12/31/10 9,380 8,981
1/31/11 9,570 9,177
2/28/11 10,001 9,511
3/31/11 10,123 9,554
4/30/11 10,365 9,839
5/31/11 10,197 9,726
6/30/11 9,996 9,552
7/31/11 9,658 9,333
8/31/11 8,929 8,773
9/30/11 8,082 8,092
10/31/11 9,154 9,024
11/30/11 9,122 8,999
12/31/11 9,197 9,073
1/31/12 9,698 9,531
2/29/12 10,125 9,934
3/31/12 10,367 10,241
4/30/12 10,261 10,174
5/31/12 9,555 9,545
6/30/12 9,933 9,919
7/31/12 9,976 10,017
8/31/12 10,298 10,267
9/30/12 10,607 10,536
10/31/12 10,510 10,355
11/30/12 10,618 10,435
12/31/12 10,846 10,563
1/31/13 11,542 11,142
2/28/13 11,673 11,290
3/31/13 12,166 11,732
4/30/13 12,264 11,924
5/31/13 12,711 12,206
6/30/13 12,596 12,047
7/31/13 13,351 12,708
8/31/13 12,935 12,353
9/30/13 13,490 12,812
10/31/13 14,039 13,356
11/30/13 14,512 13,744
12/31/13 14,919 14,107
1/31/14 14,373 13,661
2/28/14 15,052 14,309
3/31/14 15,214 14,385
4/30/14 15,136 14,402
5/31/14 15,415 14,717
6/30/14 15,896 15,086
7/31/14 15,448 14,788
8/31/14 16,098 15,409
9/30/14 15,583 15,087
10/31/14 15,988 15,503
11/30/14 16,269 15,878
12/31/14 16,345 15,878
1/31/15 15,749 15,436
2/28/15 16,769 16,330
3/31/15 16,705 16,164
4/30/15 16,740 16,237
5/31/15 16,958 16,462
6/30/15 16,745 16,186
7/31/15 16,745 16,457 Past performance is not predictive of
8/31/15 15,799 15,463 future performance.
9/30/15 15,252 15,013 The returns shown do not reflect the
10/31/15 16,330 16,199 deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Since redemption of fund shares.
Total Return Year Years Inception Russell data copyright (C) Russell
----------------------------------------------------- Investment Group 1995-2015, all rights
2.14% 13.80% 6.26% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
October 31, 2005-October 31, 2015
[CHART]
Tax-Managed DFA International MSCI World ex USA
Value Portfolio Index (net dividends)
----------------------------- ---------------------
10/31/05 $10,000 $10,000
11/30/05 10,164 10,265
12/31/05 10,683 10,741
1/31/06 11,419 11,420
2/28/06 11,533 11,382
3/31/06 11,975 11,743
4/30/06 12,590 12,304
5/31/06 12,075 11,837
6/30/06 11,973 11,822
7/31/06 12,164 11,932
8/31/06 12,565 12,271
9/30/06 12,712 12,262
10/31/06 13,275 12,746
11/30/06 13,722 13,126
12/31/06 14,250 13,502
1/31/07 14,525 13,584
2/28/07 14,503 13,693
3/31/07 14,987 14,044
4/30/07 15,723 14,683
5/31/07 16,250 15,009
6/30/07 16,119 15,024
7/31/07 15,687 14,816
8/31/07 15,504 14,602
9/30/07 16,331 15,432
10/31/07 17,126 16,102
11/30/07 16,125 15,473
12/31/07 15,789 15,182
1/31/08 14,472 13,813
2/29/08 14,262 14,063
3/31/08 14,466 13,863
4/30/08 15,096 14,633
5/31/08 15,104 14,855
6/30/08 13,640 13,700
7/31/08 13,285 13,212
8/31/08 12,722 12,702
9/30/08 11,354 10,868
10/31/08 8,775 8,607
11/30/08 8,201 8,140
12/31/08 8,781 8,569
1/31/09 7,610 7,770
2/28/09 6,649 6,983
3/31/09 7,311 7,443
4/30/09 8,628 8,403
5/31/09 9,912 9,466
6/30/09 9,779 9,368
7/31/09 10,918 10,248
8/31/09 11,510 10,739
9/30/09 12,071 11,182
10/31/09 11,607 11,002
11/30/09 11,951 11,275
12/31/09 12,100 11,454
1/31/10 11,382 10,917
2/28/10 11,417 10,906
3/31/10 12,280 11,608
4/30/10 12,072 11,435
5/31/10 10,661 10,173
6/30/10 10,480 10,026
7/31/10 11,728 10,953
8/31/10 11,166 10,626
9/30/10 12,357 11,645
10/31/10 12,807 12,060
11/30/10 12,199 11,549
12/31/10 13,335 12,479
1/31/11 13,902 12,748
2/28/11 14,362 13,220
3/31/11 13,982 12,956
4/30/11 14,710 13,661
5/31/11 14,151 13,256
6/30/11 13,917 13,067
7/31/11 13,475 12,852
8/31/11 12,048 11,765
9/30/11 10,743 10,584
10/31/11 11,806 11,613
11/30/11 11,433 11,076
12/31/11 11,106 10,956
1/31/12 11,849 11,547
2/29/12 12,500 12,182
3/31/12 12,394 12,092
4/30/12 11,935 11,887
5/31/12 10,446 10,531
6/30/12 11,189 11,221
7/31/12 11,133 11,361
8/31/12 11,591 11,685
9/30/12 11,993 12,040
10/31/12 12,134 12,125
11/30/12 12,312 12,380
12/31/12 12,922 12,754
1/31/13 13,556 13,381
2/28/13 13,130 13,248
3/31/13 13,152 13,353
4/30/13 13,787 13,961
5/31/13 13,598 13,648
6/30/13 13,111 13,137
7/31/13 13,987 13,836
8/31/13 13,891 13,658
9/30/13 14,954 14,623
10/31/13 15,457 15,113
11/30/13 15,515 15,206
12/31/13 15,848 15,435
1/31/14 15,266 14,812
2/28/14 16,120 15,620
3/31/14 16,010 15,550
4/30/14 16,247 15,796
5/31/14 16,425 16,040
6/30/14 16,629 16,268
7/31/14 16,248 15,978
8/31/14 16,238 15,991
9/30/14 15,509 15,334
10/31/14 15,258 15,090
11/30/14 15,248 15,276
12/31/14 14,654 14,768
1/31/15 14,553 14,715
2/28/15 15,595 15,595
3/31/15 15,255 15,334
4/30/15 16,076 15,998
5/31/15 16,076 15,859
6/30/15 15,619 15,408
7/31/15 15,465 15,652
8/31/15 14,321 14,512
9/30/15 13,318 13,780
10/31/15 14,353 14,816 Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Ten would pay on fund distributions or the
Total Return Year Years Years redemption of fund shares.
----------------------------------------------------------- MSCI data copyright MSCI 2015, all
-5.93% 2.31% 3.68% rights reserved.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
March 6, 2008-October 31, 2015
[CHART]
T.A. World Ex U.S. Core MSCI ALL Country World ex
Equity Portfolio USA Index (net dividends)
--------------------------- -------------------------
3/06/08 $10,000 $10,000
3/31/08 10,160 9,940
4/30/08 10,630 10,541
5/31/08 10,750 10,708
6/30/08 9,681 9,828
7/31/08 9,357 9,474
8/31/08 8,942 9,031
9/30/08 7,757 7,674
10/31/08 5,929 5,985
11/30/08 5,584 5,638
12/31/08 6,015 5,960
1/31/09 5,382 5,433
2/28/09 4,841 4,926
3/31/09 5,344 5,321
4/30/09 6,193 6,046
5/31/09 7,186 6,865
6/30/09 7,119 6,789
7/31/09 7,884 7,453
8/31/09 8,205 7,729
9/30/09 8,681 8,126
10/31/09 8,442 8,025
11/30/09 8,743 8,255
12/31/09 8,924 8,430
1/31/10 8,486 8,018
2/28/10 8,528 8,018
3/31/10 9,183 8,563
4/30/10 9,152 8,488
5/31/10 8,129 7,595
6/30/10 8,051 7,497
7/31/10 8,874 8,174
8/31/10 8,579 7,950
9/30/10 9,531 8,741
10/31/10 9,859 9,038
11/30/10 9,488 8,689
12/31/10 10,314 9,370
1/31/11 10,431 9,462
2/28/11 10,644 9,711
3/31/11 10,649 9,689
4/30/11 11,182 10,162
5/31/11 10,851 9,869
6/30/11 10,663 9,726
7/31/11 10,490 9,593
8/31/11 9,530 8,771
9/30/11 8,278 7,795
10/31/11 9,115 8,617
11/30/11 8,799 8,177
12/31/11 8,560 8,086
1/31/12 9,294 8,634
2/29/12 9,809 9,119
3/31/12 9,721 8,994
4/30/12 9,502 8,852
5/31/12 8,405 7,847
6/30/12 8,878 8,309
7/31/12 8,867 8,427
8/31/12 9,123 8,603
9/30/12 9,494 8,925
10/31/12 9,561 8,959
11/30/12 9,729 9,130
12/31/12 10,221 9,446
1/31/13 10,581 9,830
2/28/13 10,480 9,726
3/31/13 10,548 9,746
4/30/13 10,886 10,104
5/31/13 10,638 9,870
6/30/13 10,191 9,442
7/31/13 10,704 9,856
8/31/13 10,556 9,720
9/30/13 11,347 10,395
10/31/13 11,749 10,777
11/30/13 11,760 10,795
12/31/13 11,919 10,890
1/31/14 11,433 10,396
2/28/14 12,058 10,918
3/31/14 12,110 10,946
4/30/14 12,238 11,090
5/31/14 12,412 11,306
6/30/14 12,634 11,496
7/31/14 12,399 11,382
8/31/14 12,517 11,445
9/30/14 11,837 10,891
10/31/14 11,719 10,783
11/30/14 11,684 10,861
12/31/14 11,327 10,469
1/31/15 11,315 10,454
2/28/15 11,944 11,013
3/31/15 11,742 10,835
4/30/15 12,431 11,382
5/31/15 12,336 11,204
6/30/15 12,008 10,892
7/31/15 11,791 10,862
8/31/15 10,999 10,031
9/30/15 10,581 9,566
10/31/15 11,234 10,278 Past performance is not predictive of
future performance.
The returns shown do not reflect the
deduction of taxes that a shareholder
Average Annual One Five Since would pay on fund distributions or the
Total Return Year Years Inception redemption of fund shares.
------------------------------------------------------------- MSCI data copyright MSCI 2015, all
-4.15% 2.65% 1.53% rights reserved.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
(Unaudited)
U.S. Equity Market Review 12 Months Ended October 31, 2015
U.S. equities had positive returns during the period. The broad U.S. equity
market, as measured by the Russell 3000(R) Index, gained approximately 4.5%.
Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
Total Return for 12 Months Ended October 31, 2015
-------------------------------------------------
Russell 3000(R) Index........................... 4.49%
Russell Microcap(R) Index (micro-cap stocks).... 0.82%
Russell 2000(R) Index (small-cap stocks)........ 0.34%
Russell 1000(R) Index (large-cap stocks)........ 4.86%
Dow Jones U.S. Select REIT Index/SM/............ 6.87%
Growth stocks outperformed value stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2015
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks) .... -2.88%
Russell 2000(R) Growth Index (small-cap growth stocks) .. 3.52%
Russell 1000(R) Value Index (large-cap value stocks) .... 0.53%
Russell 1000(R) Growth Index (large-cap growth stocks) .. 9.18%
----------
Source: Russell data copyright (C) Russell Investment Group 1995-2015, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
period were primarily attributable to differences in value/growth and size
characteristics as well as the exclusion of REIT securities from most
Dimensional portfolios and the exclusion of securities of highly regulated
utilities from most value strategies. For many portfolios, the construction
approach used by Dimensional generally resulted in portfolios with greater
weight in value, small-cap, and/or micro-cap companies relative to widely used
benchmarks.
Master-Feeder Structure
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks and/or other securities.
Domestic Equity Portfolios' Performance Overview
Tax-Managed U.S. Marketwide Value Portfolio
The Tax-Managed U.S. Marketwide Value Portfolio invests in a broadly
diversified group of U.S. value stocks by purchasing shares of The Tax-Managed
U.S. Marketwide Value Series, a Master Fund that invests in such stocks while
considering federal tax implications of investment decisions. Value is measured
primarily by book-to-market ratio. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2015, the Master Fund held
approximately 1,100 securities. In general, cash exposure was low throughout
the year with an average cash balance of less than 1% of the Master Fund's
assets.
6
For the 12 months ended October 31, 2015, total returns were 2.73% for the
Portfolio and 0.24% for the Russell 3000(R) Value Index. As a result of the
Master Fund's diversified investment approach, performance was determined
principally by broad trends in the U.S. equity market rather than the behavior
of a limited number of stocks. The Master Fund had a smaller allocation than
the Index to the largest market cap stocks and a greater allocation to the
remainder of the eligible universe, which benefited the Portfolio's relative
performance as the largest-market-cap value stocks underperformed.
Tax-Managed U.S. Equity Portfolio
The Tax-Managed U.S. Equity Portfolio seeks to capture the returns
associated with the broad universe of U.S. stocks while considering federal tax
implications of investment decisions. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2015, the
Portfolio held approximately 2,400 securities. In general, cash exposure was
low throughout the year with an average cash balance of less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were 4.47% for the
Portfolio and 4.49% for the Russell 3000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad trends in the U.S. equity market, rather than the behavior
of a limited number of stocks. The Portfolio performed in line with the Index.
Tax-Managed U.S. Targeted Value Portfolio
The Tax-Managed U.S. Targeted Value Portfolio invests in a broadly
diversified group of U.S. small and mid-capitalization value stocks. Value is
measured primarily by book-to-market ratio. The tax management strategies
employed by the Portfolio are designed to maximize the after-tax value of a
shareholder's investment. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2015, the Portfolio held
approximately 1,500 securities. In general, cash exposure was low throughout
the year with an average cash balance of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were 1.89% for the
Portfolio and -2.88% for the Russell 2000(R) Value Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad trends in the U.S. equity market, rather than the behavior
of a limited number of stocks. The Portfolio had a greater allocation than the
Index to mid-cap stocks and a lower allocation to small-cap stocks. Mid-cap
stocks outperformed small caps during the period, which benefited the
Portfolio's relative performance. The Portfolio's exclusion of real estate
investment trusts (REITs) contributed to the Portfolio's relative
outperformance as REITs underperformed most other sectors during the period.
Tax-Managed U.S. Small Cap Portfolio
The Tax-Managed U.S. Small Cap Portfolio invests in U.S. small-cap stocks.
The tax management strategies employed by the Portfolio are designed to
maximize the after-tax value of a shareholder's investment. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2015, the Portfolio held approximately 1,800 securities. In
general, cash exposure was low throughout the year with an average cash balance
of less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were 2.31% for the
Portfolio and 0.34% for the Russell 2000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad trends in the U.S. equity market, rather than the behavior
of a limited number of stocks. The Portfolio had a smaller allocation than the
Index to micro-cap stocks. Micro-cap stocks underperformed, which contributed
to the Portfolio's relative outperformance. The Portfolio's exclusion of real
estate investment trusts (REITs) contributed to the Portfolio's relative
outperformance as REITs underperformed most other sectors during the period.
T.A. U.S. Core Equity 2 Portfolio
The T.A. U.S. Core Equity 2 Portfolio invests in a broadly diversified group
of U.S. equity securities, with increased exposure to smaller cap stocks and
value stocks relative to the market while considering federal tax implications
of investment decisions. Value is measured primarily by book-to-market ratio.
The investment strategy
7
is process driven, emphasizing broad diversification. As of October 31, 2015,
the Portfolio held approximately 2,650 securities. In general, cash exposure
was low throughout the year with an average cash balance of less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were 2.14% for the
Portfolio and 4.49% for the Russell 3000(R) Index. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad trends in the U.S. equity market, rather than the behavior
of a limited number of stocks. The Portfolio had a greater allocation than the
Index to small-cap stocks and value stocks, which contributed to the
Portfolio's relative underperformance as small-cap stocks underperformed
large-cap stocks and value stocks underperformed growth stocks during the
period.
International Equity Market Review 12 Months Ended October 31, 2015
Performance of non-U.S. developed markets was varied for the period.
Small-cap stocks and growth stocks had positive returns while large-cap stocks
and value stocks had negative returns. As measured by the MSCI World ex USA
indices, small-cap stocks outperformed large-cap stocks, and growth stocks
outperformed value stocks.
12 Months Ended October 31, 2015
--------------------------------
Return in U.S. Dollars
- ----------------------
MSCI World ex USA Index........... -1.81%
MSCI World ex USA Small Cap Index. 4.66%
MSCI World ex USA Value Index..... -5.92%
MSCI World ex USA Growth Index.... 2.33%
During the period, the U.S. dollar (USD) appreciated against most developed
markets currencies, decreasing USD-denominated returns in developed markets.
12 Months Ended October 31, 2015
--------------------------------
Ten Largest Foreign Developed Markets by Market Cap Local Return Return in U.S. Dollars
--------------------------------------------------- ------------ ----------------------
United Kingdom.................... 0.01% -3.45%
Japan............................. 17.41% 9.07%
Canada............................ -5.27% -18.37%
France............................ 18.69% 4.64%
Switzerland....................... 3.70% 1.25%
Germany........................... 16.20% 2.45%
Australia......................... -2.25% -20.66%
Spain............................. 0.50% -11.40%
Hong Kong......................... -1.73% -1.67%
Sweden............................ 9.47% -4.59%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2015, all rights reserved.
Emerging markets had weaker performance over the period than non-U.S.
developed markets. As measured by the MSCI emerging markets indices, small-cap
stocks outperformed large-cap stocks, and growth stocks outperformed value
stocks.
12 Months Ended October 31, 2015
--------------------------------
Return in U.S. Dollars
----------------------
MSCI Emerging Markets Index........... -14.53%
MSCI Emerging Markets Small Cap Index. -8.61%
MSCI Emerging Markets Value Index..... -17.62%
MSCI Emerging Markets Growth Index.... -11.50%
8
During the period, the U.S. dollar (USD) appreciated against most emerging
markets currencies, decreasing USD-denominated returns in emerging markets.
12 Months Ended October 31, 2015
--------------------------------
Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollars
------------------------------------------ ------------ ----------------------
China........................ -0.76% -0.70%
Korea........................ -0.03% -6.28%
Taiwan....................... -2.50% -8.65%
India........................ -2.15% -8.06%
South Africa................. 7.82% -13.73%
Brazil....................... -15.36% -45.97%
Mexico....................... 0.26% -18.22%
Russia....................... 8.87% -20.92%
Malaysia..................... -8.60% -30.02%
Indonesia.................... -12.35% -22.61%
----------
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2015, all rights reserved.
International Equity Portfolios' Performance Overview
Tax-Managed DFA International Value Portfolio
The Tax-Managed DFA International Value Portfolio invests in a broadly
diversified group of international large-cap value stocks. Value is measured
primarily by book-to-market ratio. The tax managed strategies employed by the
Portfolio are designed to maximize the after-tax value of a shareholder's
investment. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2015, the Portfolio held approximately 480
securities in 22 eligible developed countries. In general, cash exposure was
low throughout the year with an average cash balance of less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were -5.93% for the
Portfolio and -1.81% for the MSCI World ex USA Index (net dividends). As a
result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in international equity markets rather
than the behavior of a limited number of stocks. The Portfolio had
significantly greater exposure than the Index to value stocks. Value stocks
generally underperformed during the period, which detracted from the
Portfolio's relative performance. Differences in the valuation timing and
methodology between the Portfolio and the Index generally detracted from the
Portfolio's relative performance. The Portfolio prices foreign exchange rates
at the closing of the U.S. markets while the Index uses rates at 4 p.m. London
time. The Portfolio also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. markets while the Index uses local market
closing prices.
T.A. World ex U.S. Core Equity Portfolio
The T.A. World ex U.S. Core Equity Portfolio invests in a broadly
diversified group of international stocks in developed and emerging markets,
with increased exposure to smaller cap stocks and those with value
characteristics as measured by book-to-market ratio, while considering
potential federal tax implications of investment decisions. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2015, the Portfolio held approximately 7,300 securities in 43
eligible developed and emerging markets. In general, cash exposure was low
throughout the year with an average cash balance of less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2015, total returns were -4.15% for the
Portfolio and -4.68% for the MSCI All Country World ex USA Index (net
dividends). As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad trends in the international and
emerging equity markets rather than by the behavior of a limited number of
stocks. The Portfolio invests in stocks across all size categories while the
Index primarily holds large-cap and mid-cap stocks. Non-U.S. small- cap stocks
generally outperformed non-U.S. large-cap and mid-cap stocks during the period,
and the Portfolio's exposure to small-cap
9
stocks benefited the Portfolio's performance relative to the Index. In
particular, the Portfolio's emphasis on small-cap stocks resulted in a lower
allocation to large-cap financial stocks, which underperformed for the period
and contributed to the Portfolio's relative performance. The Portfolio's
greater exposure than the Index to value stocks detracted from the Portfolio's
relative performance as value stocks generally underperformed during the period.
10
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2015
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
Tax-Managed U.S. Marketwide Value Portfolio**
---------------------------------------------
Actual Fund Return............................ $1,000.00 $ 986.00 0.38% $1.90
Hypothetical 5% Annual Return................. $1,000.00 $1,023.29 0.38% $1.94
Tax-Managed U.S. Equity Portfolio
---------------------------------
Actual Fund Return............................ $1,000.00 $ 997.90 0.22% $1.11
Hypothetical 5% Annual Return................. $1,000.00 $1,024.10 0.22% $1.12
Tax-Managed U.S. Targeted Value Portfolio
-----------------------------------------
Actual Fund Return............................ $1,000.00 $ 977.90 0.45% $2.24
Hypothetical 5% Annual Return................. $1,000.00 $1,022.94 0.45% $2.29
11
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
Tax-Managed U.S. Small Cap Portfolio
------------------------------------
Actual Fund Return............................ $1,000.00 $ 981.10 0.53% $2.65
Hypothetical 5% Annual Return................. $1,000.00 $1,022.53 0.53% $2.70
T.A. U.S. Core Equity 2 Portfolio
---------------------------------
Actual Fund Return............................ $1,000.00 $ 975.50 0.25% $1.24
Hypothetical 5% Annual Return................. $1,000.00 $1,023.95 0.25% $1.28
Tax-Managed DFA International Value Portfolio
---------------------------------------------
Actual Fund Return............................ $1,000.00 $ 892.80 0.54% $2.58
Hypothetical 5% Annual Return................. $1,000.00 $1,022.48 0.54% $2.75
T.A. World ex U.S. Core Equity Portfolio
----------------------------------------
Actual Fund Return............................ $1,000.00 $ 903.70 0.46% $2.21
Hypothetical 5% Annual Return................. $1,000.00 $1,022.89 0.46% $2.35
----------
* 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 (184), then divided
by the number of days in the year (365) to reflect the six-month period.
**The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the indirect payment of the Feeder Fund's
portion of the expenses of its Master Fund (Affiliated Investment Company).
12
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For DFA
Investment Dimensions Group Inc., this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent
Form N-Q with the SEC on September 29, 2015. They are 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
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
-----------------------------
Tax-Managed U.S. Marketwide Value Portfolio. 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
Tax-Managed U.S. Equity Portfolio
Consumer Discretionary....................... 14.1%
Consumer Staples............................. 9.2%
Energy....................................... 6.8%
Financials................................... 14.5%
Health Care.................................. 14.6%
Industrials.................................. 11.1%
Information Technology....................... 20.9%
Materials.................................... 3.3%
Other........................................ --
Telecommunication Services................... 2.3%
Utilities.................................... 3.2%
-----
100.0%
Tax-Managed U.S. Targeted Value Portfolio
Consumer Discretionary....................... 14.4%
Consumer Staples............................. 3.6%
Energy....................................... 5.5%
Financials................................... 29.6%
Health Care.................................. 6.4%
Industrials.................................. 18.3%
Information Technology....................... 12.9%
Materials.................................... 7.5%
Other........................................ --
Telecommunication Services................... 1.0%
Utilities.................................... 0.8%
-----
100.0%
Tax-Managed U.S. Small Cap Portfolio
Consumer Discretionary....................... 16.4%
Consumer Staples............................. 4.1%
Energy....................................... 4.1%
Financials................................... 22.6%
Health Care.................................. 9.7%
Industrials.................................. 17.3%
Information Technology....................... 16.2%
Materials.................................... 4.9%
Other........................................ --
Telecommunication Services................... 1.1%
Utilities.................................... 3.6%
-----
100.0%
13
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
T.A. U.S. Core Equity 2 Portfolio
Consumer Discretionary....................... 15.8%
Consumer Staples............................. 6.8%
Energy....................................... 7.4%
Financials................................... 18.1%
Health Care.................................. 11.2%
Industrials.................................. 14.5%
Information Technology....................... 17.1%
Materials.................................... 4.5%
Other........................................ --
Telecommunication Services................... 2.5%
Utilities.................................... 2.1%
-----
100.0%
Tax-Managed DFA International Value Portfolio
Consumer Discretionary....................... 12.5%
Consumer Staples............................. 3.5%
Energy....................................... 14.5%
Financials................................... 34.9%
Health Care.................................. 1.1%
Industrials.................................. 10.7%
Information Technology....................... 3.2%
Materials.................................... 11.3%
Other........................................ --
Telecommunication Services................... 5.7%
Utilities.................................... 2.6%
-----
100.0%
T.A. World ex U.S. Core Equity Portfolio
Consumer Discretionary....................... 15.6%
Consumer Staples............................. 7.8%
Energy....................................... 6.5%
Financials................................... 22.0%
Health Care.................................. 5.8%
Industrials.................................. 16.5%
Information Technology....................... 8.1%
Materials.................................... 11.1%
Other........................................ --
Real Estate Investment Trusts................ --
Telecommunication Services................... 3.4%
Utilities.................................... 3.2%
-----
100.0%
14
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2015
Value+
--------------
AFFILIATED INVESTMENT COMPANY -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series of
The DFA Investment Trust Company............................ $3,861,152,161
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY
(Cost $2,205,424,841).................................... $3,861,152,161
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2015,
based on their valuation inputs, is located within this report (See Master
Fund's Security Valuation Note).
See accompanying Notes to Financial Statements.
15
TAX-MANAGED U.S. EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (92.1%)
Consumer Discretionary -- (13.0%)
* Amazon.com, Inc................... 47,000 $ 29,417,300 1.2%
Comcast Corp. Class A............. 246,803 15,454,804 0.6%
Home Depot, Inc. (The)............ 152,382 18,840,510 0.8%
McDonald's Corp................... 111,275 12,490,619 0.5%
NIKE, Inc. Class B................ 80,163 10,503,758 0.4%
Starbucks Corp.................... 173,715 10,869,348 0.5%
Walt Disney Co. (The)............. 188,861 21,481,050 0.9%
Other Securities.................. 232,960,501 9.2%
------------ -----
Total Consumer Discretionary.......... 352,017,890 14.1%
------------ -----
Consumer Staples -- (8.4%)
Altria Group, Inc................. 231,126 13,976,189 0.6%
Coca-Cola Co. (The)............... 488,954 20,707,202 0.8%
CVS Health Corp................... 132,004 13,039,355 0.5%
PepsiCo, Inc...................... 173,987 17,779,732 0.7%
Philip Morris International, Inc.. 183,738 16,242,439 0.7%
Procter & Gamble Co. (The)........ 322,075 24,600,089 1.0%
Wal-Mart Stores, Inc.............. 186,437 10,671,654 0.4%
Other Securities.................. 110,591,390 4.4%
------------ -----
Total Consumer Staples................ 227,608,050 9.1%
------------ -----
Energy -- (6.3%)
Chevron Corp...................... 221,279 20,109,836 0.8%
Exxon Mobil Corp.................. 494,318 40,899,871 1.7%
Schlumberger, Ltd................. 149,255 11,665,771 0.5%
Other Securities.................. 97,343,300 3.8%
------------ -----
Total Energy.......................... 170,018,778 6.8%
------------ -----
Financials -- (13.4%)
Bank of America Corp.............. 1,238,484 20,781,762 0.9%
* Berkshire Hathaway, Inc. Class B.. 222,171 30,219,699 1.2%
Citigroup, Inc.................... 358,535 19,063,306 0.8%
JPMorgan Chase & Co............... 441,259 28,350,891 1.2%
Wells Fargo & Co.................. 580,283 31,416,522 1.3%
Other Securities.................. 231,477,893 9.1%
------------ -----
Total Financials...................... 361,310,073 14.5%
------------ -----
Health Care -- (13.4%)
AbbVie, Inc....................... 200,097 11,915,776 0.5%
* Allergan P.L.C.................... 46,361 14,300,978 0.6%
Amgen, Inc........................ 88,933 14,067,422 0.6%
Bristol-Myers Squibb Co........... 195,811 12,913,735 0.5%
* Celgene Corp...................... 93,093 11,423,442 0.5%
Gilead Sciences, Inc.............. 173,962 18,810,511 0.8%
Johnson & Johnson................. 328,026 33,140,467 1.3%
Medtronic P.L.C................... 165,349 12,222,598 0.5%
Merck & Co., Inc.................. 330,670 18,074,422 0.7%
Pfizer, Inc....................... 731,353 24,734,358 1.0%
UnitedHealth Group, Inc........... 112,727 13,276,986 0.6%
Other Securities.................. 178,390,791 7.0%
------------ -----
Total Health Care..................... 363,271,486 14.6%
------------ -----
16
TAX-MANAGED U.S. EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (10.2%)
3M Co.............................................. 73,367 $ 11,534,026 0.5%
# Boeing Co. (The)................................... 75,285 11,147,450 0.5%
General Electric Co................................ 1,198,483 34,660,128 1.4%
Other Securities................................... 219,172,562 8.7%
-------------- ------
Total Industrials........................................ 276,514,166 11.1%
-------------- ------
Information Technology -- (19.3%)
* Alphabet, Inc. Class A............................. 34,199 25,218,001 1.0%
* Alphabet, Inc. Class C............................. 36,478 25,928,927 1.1%
Apple, Inc......................................... 678,923 81,131,298 3.3%
Cisco Systems, Inc................................. 595,177 17,170,856 0.7%
* Facebook, Inc. Class A............................. 255,811 26,085,048 1.1%
Intel Corp......................................... 551,173 18,662,718 0.8%
International Business Machines Corp............... 110,693 15,505,875 0.6%
MasterCard, Inc. Class A........................... 117,007 11,582,523 0.5%
Microsoft Corp..................................... 904,375 47,606,300 1.9%
Oracle Corp........................................ 406,178 15,775,954 0.6%
QUALCOMM, Inc...................................... 185,425 11,017,954 0.5%
# Visa, Inc. Class A................................. 231,987 17,997,551 0.7%
Other Securities................................... 207,232,748 8.1%
-------------- ------
Total Information Technology............................. 520,915,753 20.9%
-------------- ------
Materials -- (3.1%)
Other Securities................................... 83,150,634 3.3%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Telecommunication Services -- (2.1%)
AT&T, Inc.......................................... 728,362 24,407,411 1.0%
Verizon Communications, Inc........................ 480,912 22,545,154 0.9%
Other Securities................................... 8,937,348 0.3%
-------------- ------
Total Telecommunication Services......................... 55,889,913 2.2%
-------------- ------
Utilities -- (2.9%)
Other Securities................................... 78,958,698 3.2%
-------------- ------
TOTAL COMMON STOCKS...................................... 2,489,655,441 99.8%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 50,152 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.............................. 2,489,705,593
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional Liquid Reserves, 0.140%. 5,799,328 5,799,328 0.2%
-------------- ------
SECURITIES LENDING COLLATERAL -- (7.7%)
(S)@ DFA Short Term Investment Fund..................... 17,933,941 207,495,694 8.4%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,473,062,946)................................ $2,703,000,615 108.4%
============== ======
17
TAX-MANAGED U.S. EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2015, 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...... $ 352,017,890 -- -- $ 352,017,890
Consumer Staples............ 227,608,050 -- -- 227,608,050
Energy...................... 170,018,778 -- -- 170,018,778
Financials.................. 361,310,073 -- -- 361,310,073
Health Care................. 363,269,337 $ 2,149 -- 363,271,486
Industrials................. 276,514,166 -- -- 276,514,166
Information Technology...... 520,915,753 -- -- 520,915,753
Materials................... 83,150,634 -- -- 83,150,634
Other....................... -- -- -- --
Telecommunication Services.. 55,889,913 -- -- 55,889,913
Utilities................... 78,958,698 -- -- 78,958,698
-------------- ------------ -- --------------
Rights/Warrants............... -- 50,152 -- 50,152
Temporary Cash Investments.... 5,799,328 -- -- 5,799,328
Securities Lending Collateral. -- 207,495,694 -- 207,495,694
-------------- ------------ -- --------------
TOTAL......................... $2,495,452,620 $207,547,995 -- $2,703,000,615
============== ============ == ==============
See accompanying Notes to Financial Statements.
18
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (86.6%)
Consumer Discretionary -- (12.5%)
# Dillard's, Inc. Class A................ 169,983 $ 15,210,079 0.4%
# GameStop Corp. Class A................. 431,501 19,879,251 0.5%
* Helen of Troy, Ltd..................... 137,895 13,680,563 0.4%
Lear Corp.............................. 124,888 15,618,493 0.4%
Service Corp. International............ 469,211 13,259,903 0.4%
* Skechers U.S.A., Inc. Class A.......... 455,595 14,214,564 0.4%
Other Securities....................... 432,645,119 11.8%
-------------- -----
Total Consumer Discretionary............... 524,507,972 14.3%
-------------- -----
Consumer Staples -- (3.1%)
Ingredion, Inc......................... 176,275 16,756,701 0.5%
Other Securities....................... 113,265,051 3.0%
-------------- -----
Total Consumer Staples..................... 130,021,752 3.5%
-------------- -----
Energy -- (4.8%)
# Helmerich & Payne, Inc................. 290,709 16,358,195 0.5%
* Newfield Exploration Co................ 339,479 13,643,661 0.4%
Tesoro Corp............................ 123,815 13,239,538 0.4%
Western Refining, Inc.................. 378,467 15,751,797 0.4%
Other Securities....................... 141,565,879 3.7%
-------------- -----
Total Energy............................... 200,559,070 5.4%
-------------- -----
Financials -- (25.6%)
Allied World Assurance Co. Holdings AG. 454,224 16,515,585 0.5%
American Financial Group, Inc.......... 370,385 26,738,093 0.7%
Assurant, Inc.......................... 319,133 26,018,913 0.7%
Axis Capital Holdings, Ltd............. 302,382 16,328,628 0.5%
# CNO Financial Group, Inc............... 1,216,884 23,376,342 0.6%
* E*TRADE Financial Corp................. 675,869 19,269,025 0.5%
Endurance Specialty Holdings, Ltd...... 348,737 22,015,767 0.6%
Everest Re Group, Ltd.................. 104,016 18,511,728 0.5%
Legg Mason, Inc........................ 349,011 15,618,242 0.4%
Nasdaq, Inc............................ 398,380 23,062,218 0.6%
# New York Community Bancorp, Inc........ 934,803 15,442,946 0.4%
# Old Republic International Corp........ 703,034 12,682,733 0.4%
PartnerRe, Ltd......................... 163,753 22,761,667 0.6%
# People's United Financial, Inc......... 830,491 13,246,331 0.4%
Reinsurance Group of America, Inc...... 235,808 21,279,314 0.6%
# RenaissanceRe Holdings, Ltd............ 129,437 14,190,178 0.4%
# Zions Bancorporation................... 531,110 15,280,035 0.4%
Other Securities....................... 755,814,963 20.6%
-------------- -----
Total Financials........................... 1,078,152,708 29.4%
-------------- -----
Health Care -- (5.5%)
* Hologic, Inc........................... 388,373 15,092,175 0.4%
* LifePoint Hospitals, Inc............... 217,249 14,964,111 0.4%
#* Prestige Brands Holdings, Inc.......... 268,318 13,150,265 0.4%
Other Securities....................... 188,869,189 5.1%
-------------- -----
Total Health Care.......................... 232,075,740 6.3%
-------------- -----
Industrials -- (15.8%)
# ADT Corp. (The)........................ 438,656 14,493,194 0.4%
AMERCO................................. 88,302 35,877,986 1.0%
19
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (Continued)
* Avis Budget Group, Inc............................. 417,565 $ 20,853,196 0.6%
Curtiss-Wright Corp................................ 182,346 12,683,988 0.4%
* JetBlue Airways Corp............................... 1,383,605 34,368,748 0.9%
Owens Corning...................................... 367,806 16,746,207 0.5%
# Ryder System, Inc.................................. 233,530 16,762,783 0.5%
# Trinity Industries, Inc............................ 554,828 15,019,194 0.4%
Other Securities................................... 500,459,559 13.5%
-------------- ------
Total Industrials........................................ 667,264,855 18.2%
-------------- ------
Information Technology -- (11.2%)
#* ARRIS Group, Inc................................... 449,224 12,695,070 0.4%
* Arrow Electronics, Inc............................. 351,633 19,336,299 0.5%
Avnet, Inc......................................... 383,473 17,421,178 0.5%
# Convergys Corp..................................... 551,669 14,161,343 0.4%
* First Solar, Inc................................... 266,945 15,234,551 0.4%
Ingram Micro, Inc. Class A......................... 553,452 16,481,801 0.5%
# SYNNEX Corp........................................ 181,005 16,008,082 0.4%
#* Virtusa Corp....................................... 274,683 15,775,045 0.4%
Other Securities................................... 343,758,911 9.3%
-------------- ------
Total Information Technology............................. 470,872,280 12.8%
-------------- ------
Materials -- (6.5%)
Airgas, Inc........................................ 139,912 13,453,938 0.4%
WestRock Co........................................ 417,134 22,425,124 0.6%
Other Securities................................... 238,813,393 6.5%
-------------- ------
Total Materials.......................................... 274,692,455 7.5%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Telecommunication Services -- (0.9%)
Other Securities................................... 36,979,085 1.0%
-------------- ------
Utilities -- (0.7%)
UGI Corp........................................... 395,697 14,510,209 0.4%
Other Securities................................... 13,837,348 0.4%
-------------- ------
Total Utilities.......................................... 28,347,557 0.8%
-------------- ------
TOTAL COMMON STOCKS...................................... 3,643,473,474 99.2%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 280,697 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.............................. 3,643,754,171
--------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional Liquid Reserves, 0.140%. 39,162,133 39,162,133 1.1%
-------------- ------
SECURITIES LENDING COLLATERAL -- (12.5%)
(S)@ DFA Short Term Investment Fund..................... 45,352,241 524,725,426 14.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,815,215,720)................................ $4,207,641,730 114.6%
============== ======
20
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2015, based on their
valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
-------------- ------------ ------- --------------
Common Stocks
Consumer Discretionary...... $ 524,507,972 -- -- $ 524,507,972
Consumer Staples............ 130,021,752 -- -- 130,021,752
Energy...................... 200,559,070 -- -- 200,559,070
Financials.................. 1,078,096,487 $ 56,221 -- 1,078,152,708
Health Care................. 232,056,081 19,659 -- 232,075,740
Industrials................. 667,264,855 -- -- 667,264,855
Information Technology...... 470,872,280 -- -- 470,872,280
Materials................... 274,692,455 -- -- 274,692,455
Other....................... -- -- -- --
Telecommunication Services.. 36,979,085 -- -- 36,979,085
Utilities................... 28,347,557 -- -- 28,347,557
Rights/Warrants............... -- 280,697 -- 280,697
Temporary Cash Investments.... 39,162,133 -- -- 39,162,133
Securities Lending Collateral. -- 524,725,426 -- 524,725,426
-------------- ------------ -- --------------
TOTAL......................... $3,682,559,727 $525,082,003 -- $4,207,641,730
============== ============ == ==============
See accompanying Notes to Financial Statements.
21
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (81.3%)
Consumer Discretionary -- (13.3%)
# American Eagle Outfitters, Inc................. 355,227 $ 5,427,869 0.3%
# Core-Mark Holding Co., Inc..................... 57,794 4,698,074 0.2%
# Lithia Motors, Inc. Class A.................... 51,735 6,073,172 0.3%
* Office Depot, Inc.............................. 836,472 6,373,917 0.3%
Vail Resorts, Inc.............................. 41,800 4,772,306 0.2%
Other Securities............................... 329,739,657 15.0%
------------ -----
Total Consumer Discretionary....................... 357,084,995 16.3%
------------ -----
Consumer Staples -- (3.4%)
#* Post Holdings, Inc............................. 89,128 5,728,257 0.3%
Other Securities............................... 84,543,803 3.8%
------------ -----
Total Consumer Staples............................. 90,272,060 4.1%
------------ -----
Energy -- (3.3%)
# PBF Energy, Inc. Class A....................... 149,766 5,092,044 0.2%
#* PDC Energy, Inc................................ 108,505 6,547,192 0.3%
Western Refining, Inc.......................... 149,332 6,215,198 0.3%
Other Securities............................... 71,134,837 3.3%
------------ -----
Total Energy....................................... 88,989,271 4.1%
------------ -----
Financials -- (18.4%)
# Amtrust Financial Services, Inc................ 73,116 4,987,974 0.2%
Aspen Insurance Holdings, Ltd.................. 107,257 5,213,763 0.2%
# Associated Banc-Corp........................... 294,434 5,694,354 0.3%
# Bank of Hawaii Corp............................ 77,207 5,055,514 0.2%
# Bank of the Ozarks, Inc........................ 96,918 4,847,838 0.2%
Cathay General Bancorp......................... 161,692 5,060,960 0.2%
# CNO Financial Group, Inc....................... 336,171 6,457,845 0.3%
Endurance Specialty Holdings, Ltd.............. 121,838 7,691,633 0.4%
Hanover Insurance Group, Inc. (The)............ 63,118 5,317,692 0.3%
# Home BancShares, Inc........................... 115,078 4,939,148 0.2%
MarketAxess Holdings, Inc...................... 48,452 4,908,672 0.2%
#* PRA Group, Inc................................. 91,618 5,020,666 0.2%
PrivateBancorp, Inc............................ 130,534 5,460,237 0.3%
# Radian Group, Inc.............................. 324,032 4,688,743 0.2%
StanCorp Financial Group, Inc.................. 65,152 7,474,237 0.3%
Symetra Financial Corp......................... 175,375 5,564,649 0.3%
# United Bankshares, Inc......................... 121,967 4,823,795 0.2%
# Webster Financial Corp......................... 144,207 5,350,080 0.3%
* Western Alliance Bancorp....................... 163,870 5,858,353 0.3%
Wintrust Financial Corp........................ 93,419 4,716,725 0.2%
Other Securities............................... 382,317,994 17.4%
------------ -----
Total Financials................................... 491,450,872 22.4%
------------ -----
Health Care -- (7.9%)
* Allscripts Healthcare Solutions, Inc........... 330,747 4,650,303 0.2%
* Amsurg Corp.................................... 71,995 5,046,130 0.2%
# Cantel Medical Corp............................ 83,217 4,933,104 0.2%
* Charles River Laboratories International, Inc.. 70,800 4,618,992 0.2%
* Health Net, Inc................................ 96,107 6,175,836 0.3%
* Prestige Brands Holdings, Inc.................. 110,081 5,395,070 0.3%
Other Securities............................... 180,808,992 8.3%
------------ -----
Total Health Care.................................. 211,628,427 9.7%
------------ -----
22
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (14.1%)
AMERCO............................................. 23,960 $ 9,735,188 0.4%
* Dycom Industries, Inc.............................. 72,056 5,482,741 0.3%
EMCOR Group, Inc................................... 108,525 5,239,587 0.2%
#* Hawaiian Holdings, Inc............................. 137,064 4,756,121 0.2%
#* JetBlue Airways Corp............................... 324,746 8,066,691 0.4%
Other Securities................................... 343,527,199 15.7%
-------------- ------
Total Industrials........................................ 376,807,527 17.2%
-------------- ------
Information Technology -- (13.1%)
#* Euronet Worldwide, Inc............................. 57,470 4,611,393 0.2%
* Integrated Device Technology, Inc.................. 216,250 5,514,375 0.3%
* Manhattan Associates, Inc.......................... 103,202 7,518,266 0.3%
# Mentor Graphics Corp............................... 206,641 5,620,635 0.3%
SYNNEX Corp........................................ 63,951 5,655,826 0.3%
#* Take-Two Interactive Software, Inc................. 153,713 5,103,272 0.2%
Other Securities................................... 318,079,048 14.5%
-------------- ------
Total Information Technology............................. 352,102,815 16.1%
-------------- ------
Materials -- (4.0%)
* Chemtura Corp...................................... 175,823 5,615,787 0.3%
#* Louisiana-Pacific Corp............................. 261,688 4,621,410 0.2%
Sensient Technologies Corp......................... 70,854 4,624,641 0.2%
Other Securities................................... 91,062,096 4.1%
-------------- ------
Total Materials.......................................... 105,923,934 4.8%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Telecommunication Services -- (0.9%)
Other Securities................................... 24,156,493 1.1%
-------------- ------
Utilities -- (2.9%)
# WGL Holdings, Inc.................................. 82,214 5,116,177 0.2%
Other Securities................................... 73,354,820 3.4%
-------------- ------
Total Utilities.......................................... 78,470,997 3.6%
-------------- ------
TOTAL COMMON STOCKS...................................... 2,176,887,391 99.4%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 86,977 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES 2,176,974,368
--------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional Liquid Reserves, 0.140%. 11,578,254 11,578,254 0.5%
-------------- ------
SECURITIES LENDING COLLATERAL -- (18.3%)
(S)@ DFA Short Term Investment Fund..................... 42,159,593 487,786,489 22.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,798,847,801)................................ $2,676,339,111 122.2%
============== ======
23
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2015, 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...... $ 357,084,995 -- -- $ 357,084,995
Consumer Staples............ 90,272,060 -- -- 90,272,060
Energy...................... 88,989,271 -- -- 88,989,271
Financials.................. 491,423,242 $ 27,630 -- 491,450,872
Health Care................. 211,623,610 4,817 -- 211,628,427
Industrials................. 376,806,808 719 -- 376,807,527
Information Technology...... 352,102,815 -- -- 352,102,815
Materials................... 105,923,934 -- -- 105,923,934
Other....................... -- -- -- --
Telecommunication Services.. 24,156,493 -- -- 24,156,493
Utilities................... 78,470,997 -- -- 78,470,997
Rights/Warrants............... -- 86,977 -- 86,977
Temporary Cash Investments.... 11,578,254 -- -- 11,578,254
Securities Lending Collateral. -- 487,786,489 -- 487,786,489
-------------- ------------ -- --------------
TOTAL......................... $2,188,432,479 $487,906,632 -- $2,676,339,111
============== ============ == ==============
See accompanying Notes to Financial Statements.
24
T.A. U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (88.7%)
Consumer Discretionary -- (14.0%)
* Amazon.com, Inc.................... 25,106 $ 15,713,845 0.3%
Comcast Corp. Class A.............. 714,195 44,722,891 0.8%
Ford Motor Co...................... 1,208,971 17,904,861 0.3%
Home Depot, Inc. (The)............. 110,670 13,683,239 0.3%
Lowe's Cos., Inc................... 216,161 15,959,167 0.3%
Time Warner Cable, Inc............. 88,298 16,723,641 0.3%
Time Warner, Inc................... 218,287 16,445,743 0.3%
Walt Disney Co. (The).............. 365,590 41,582,207 0.8%
Other Securities................... 688,379,766 12.3%
------------ -----
Total Consumer Discretionary........... 871,115,360 15.7%
------------ -----
Consumer Staples -- (6.0%)
Coca-Cola Co. (The)................ 340,507 14,420,471 0.3%
CVS Health Corp.................... 278,252 27,485,733 0.5%
PepsiCo, Inc....................... 155,127 15,852,428 0.3%
Procter & Gamble Co. (The)......... 558,831 42,683,512 0.8%
Wal-Mart Stores, Inc............... 422,794 24,200,729 0.4%
Other Securities................... 250,455,110 4.5%
------------ -----
Total Consumer Staples................. 375,097,983 6.8%
------------ -----
Energy -- (6.5%)
Chevron Corp....................... 374,591 34,042,830 0.6%
ConocoPhillips..................... 258,834 13,808,794 0.3%
Exxon Mobil Corp................... 1,207,049 99,871,234 1.8%
Schlumberger, Ltd.................. 363,135 28,382,632 0.5%
Other Securities................... 231,581,262 4.1%
------------ -----
Total Energy........................... 407,686,752 7.3%
------------ -----
Financials -- (16.0%)
American International Group, Inc.. 269,115 16,970,392 0.3%
Bank of America Corp............... 1,703,565 28,585,821 0.5%
* Berkshire Hathaway, Inc. Class B... 123,379 16,782,012 0.3%
Citigroup, Inc..................... 539,405 28,680,164 0.5%
Goldman Sachs Group, Inc. (The).... 78,303 14,681,812 0.3%
JPMorgan Chase & Co................ 881,154 56,614,144 1.0%
U.S. Bancorp....................... 381,670 16,098,841 0.3%
Wells Fargo & Co................... 1,199,886 64,961,828 1.2%
Other Securities................... 753,575,568 13.6%
------------ -----
Total Financials....................... 996,950,582 18.0%
------------ -----
Health Care -- (10.0%)
* Allergan P.L.C..................... 62,046 19,139,330 0.4%
Amgen, Inc......................... 94,613 14,965,884 0.3%
* Express Scripts Holding Co......... 163,258 14,102,226 0.3%
Johnson & Johnson.................. 406,645 41,083,344 0.8%
Medtronic P.L.C.................... 180,244 13,323,636 0.3%
Merck & Co., Inc................... 600,469 32,821,636 0.6%
Pfizer, Inc........................ 1,336,317 45,194,241 0.8%
UnitedHealth Group, Inc............ 220,408 25,959,654 0.5%
Other Securities................... 414,867,456 7.2%
------------ -----
Total Health Care...................... 621,457,407 11.2%
------------ -----
25
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Industrials -- (12.9%)
# Caterpillar, Inc................................... 197,251 $ 14,397,350 0.3%
General Electric Co................................ 2,012,725 58,208,007 1.1%
Southwest Airlines Co.............................. 327,864 15,176,825 0.3%
Union Pacific Corp................................. 227,850 20,358,397 0.4%
Other Securities................................... 693,649,652 12.3%
-------------- ------
Total Industrials........................................ 801,790,231 14.4%
-------------- ------
Information Technology -- (15.2%)
* Alphabet, Inc. Class A............................. 27,256 20,098,302 0.4%
* Alphabet, Inc. Class C............................. 29,089 20,676,752 0.4%
Apple, Inc......................................... 845,964 101,092,698 1.8%
Cisco Systems, Inc................................. 1,036,246 29,895,697 0.6%
EMC Corp........................................... 508,394 13,330,091 0.3%
HP, Inc............................................ 616,923 16,632,244 0.3%
Intel Corp......................................... 1,568,532 53,110,493 1.0%
Microsoft Corp..................................... 1,187,445 62,507,105 1.1%
Oracle Corp........................................ 475,083 18,452,224 0.3%
# Visa, Inc. Class A................................. 285,324 22,135,436 0.4%
Other Securities................................... 589,006,449 10.5%
-------------- ------
Total Information Technology............................. 946,937,491 17.1%
-------------- ------
Materials -- (4.0%)
Dow Chemical Co. (The)............................. 290,047 14,986,728 0.3%
Other Securities................................... 232,086,624 4.1%
-------------- ------
Total Materials.......................................... 247,073,352 4.4%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Telecommunication Services -- (2.2%)
AT&T, Inc.......................................... 1,899,271 63,644,571 1.2%
Verizon Communications, Inc........................ 806,877 37,826,394 0.7%
Other Securities................................... 35,237,391 0.6%
-------------- ------
Total Telecommunication Services......................... 136,708,356 2.5%
-------------- ------
Utilities -- (1.9%)
Other Securities................................... 116,541,399 2.1%
-------------- ------
TOTAL COMMON STOCKS...................................... 5,521,358,913 99.5%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 238,392 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES......................................... 5,521,597,305
--------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional Liquid Reserves, 0.140%. 26,773,893 26,773,893 0.5%
-------------- ------
SECURITIES LENDING COLLATERAL -- (10.9%)
(S)@ DFA Short Term Investment Fund..................... 58,219,036 673,594,244 12.1%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,156,802,107)................................ $6,221,965,442 112.1%
============== ======
26
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2015, 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...... $ 871,115,360 -- -- $ 871,115,360
Consumer Staples............ 375,097,983 -- -- 375,097,983
Energy...................... 407,686,752 -- -- 407,686,752
Financials.................. 996,935,030 $ 15,552 -- 996,950,582
Health Care................. 621,445,735 11,672 -- 621,457,407
Industrials................. 801,789,444 787 -- 801,790,231
Information Technology...... 946,937,491 -- -- 946,937,491
Materials................... 247,073,352 -- -- 247,073,352
Other....................... -- -- -- --
Telecommunication Services.. 136,708,356 -- -- 136,708,356
Utilities................... 116,541,399 -- -- 116,541,399
Rights/Warrants............... -- 238,392 -- 238,392
Temporary Cash Investments.... 26,773,893 -- -- 26,773,893
Securities Lending Collateral. -- 673,594,244 -- 673,594,244
-------------- ------------ -- --------------
TOTAL......................... $5,548,104,795 $673,860,647 -- $6,221,965,442
============== ============ == ==============
See accompanying Notes to Financial Statements.
27
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (98.0%)
AUSTRALIA -- (5.7%)
BHP Billiton, Ltd................ 1,497,884 $ 24,566,401 0.8%
BHP Billiton, Ltd. Sponsored ADR. 563,499 18,533,482 0.6%
Macquarie Group, Ltd............. 357,292 21,633,620 0.7%
Woodside Petroleum, Ltd.......... 714,538 14,985,973 0.5%
Other Securities................. 91,994,908 3.1%
------------ ----
TOTAL AUSTRALIA...................... 171,714,384 5.7%
------------ ----
AUSTRIA -- (0.1%)
Other Securities................. 3,423,783 0.1%
------------ ----
BELGIUM -- (1.7%)
Other Securities................. 51,000,241 1.7%
------------ ----
CANADA -- (8.0%)
Bank of Montreal................. 382,730 22,232,786 0.7%
Canadian Natural Resources, Ltd.. 717,719 16,665,435 0.5%
Manulife Financial Corp.......... 982,780 16,294,486 0.5%
Suncor Energy, Inc............... 1,078,999 32,107,564 1.1%
Other Securities................. 153,031,848 5.2%
------------ ----
TOTAL CANADA......................... 240,332,119 8.0%
------------ ----
DENMARK -- (1.6%)
Other Securities................. 49,260,262 1.7%
------------ ----
FINLAND -- (0.6%)
Other Securities................. 18,850,962 0.6%
------------ ----
FRANCE -- (9.6%)
AXA SA........................... 632,808 16,888,451 0.6%
BNP Paribas SA................... 398,334 24,137,924 0.8%
Cie de Saint-Gobain.............. 606,622 25,393,831 0.9%
Engie SA......................... 1,112,207 19,464,507 0.7%
Orange SA........................ 1,800,527 31,746,339 1.1%
Renault SA....................... 255,508 24,075,010 0.8%
Societe Generale SA.............. 670,289 31,130,367 1.0%
# Total SA......................... 1,043,436 50,459,332 1.7%
Other Securities................. 65,463,983 2.1%
------------ ----
TOTAL FRANCE......................... 288,759,744 9.7%
------------ ----
GERMANY -- (7.6%)
Allianz SE....................... 217,369 38,054,294 1.3%
Bayerische Motoren Werke AG...... 291,133 29,820,274 1.0%
Daimler AG....................... 735,745 63,799,192 2.1%
Other Securities................. 96,270,314 3.2%
------------ ----
TOTAL GERMANY........................ 227,944,074 7.6%
------------ ----
HONG KONG -- (2.4%)
Other Securities................. 71,374,309 2.4%
------------ ----
IRELAND -- (0.2%)
Other Securities................. 6,324,252 0.2%
------------ ----
ISRAEL -- (0.4%)
Other Securities................. 12,626,321 0.4%
------------ ----
28
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
ITALY -- (1.5%)
UniCredit SpA........................... 3,923,002 $ 25,331,080 0.8%
Other Securities........................ 21,620,746 0.8%
------------ -----
TOTAL ITALY................................. 46,951,826 1.6%
------------ -----
JAPAN -- (21.5%)
Hitachi, Ltd............................ 2,626,000 15,148,841 0.5%
Honda Motor Co., Ltd.................... 1,111,000 36,752,365 1.2%
ITOCHU Corp............................. 1,199,100 15,004,312 0.5%
Mitsubishi UFJ Financial Group, Inc..... 4,974,134 32,170,361 1.1%
Mizuho Financial Group, Inc............. 17,014,000 35,046,192 1.2%
Nissan Motor Co., Ltd................... 1,904,600 19,743,501 0.7%
Sumitomo Mitsui Financial Group, Inc.... 935,627 37,325,571 1.3%
Other Securities........................ 456,654,178 15.1%
------------ -----
TOTAL JAPAN................................. 647,845,321 21.6%
------------ -----
NETHERLANDS -- (2.7%)
ING Groep NV............................ 1,482,595 21,656,319 0.7%
Koninklijke Philips NV.................. 657,718 17,731,248 0.6%
Other Securities........................ 42,058,282 1.4%
------------ -----
TOTAL NETHERLANDS........................... 81,445,849 2.7%
------------ -----
NEW ZEALAND -- (0.1%)
Other Securities........................ 2,102,556 0.1%
------------ -----
NORWAY -- (0.7%)
Other Securities........................ 20,157,191 0.7%
------------ -----
PORTUGAL -- (0.0%)
Other Securities........................ 1,278,387 0.1%
------------ -----
SINGAPORE -- (1.0%)
Other Securities........................ 29,904,401 1.0%
------------ -----
SPAIN -- (3.1%)
Banco Santander SA...................... 6,307,741 35,236,291 1.2%
Iberdrola SA............................ 4,994,430 35,615,972 1.2%
Other Securities........................ 23,015,415 0.7%
------------ -----
TOTAL SPAIN................................. 93,867,678 3.1%
------------ -----
SWEDEN -- (3.1%)
Svenska Cellulosa AB SCA Class B........ 638,814 18,815,604 0.6%
Telefonaktiebolaget LM Ericsson Class B. 1,804,113 17,558,535 0.6%
Other Securities........................ 57,055,768 1.9%
------------ -----
TOTAL SWEDEN................................ 93,429,907 3.1%
------------ -----
SWITZERLAND -- (9.3%)
ABB, Ltd................................ 1,777,778 33,539,017 1.1%
Adecco SA............................... 226,315 16,823,192 0.6%
Cie Financiere Richemont SA............. 432,894 37,119,604 1.2%
Credit Suisse Group AG.................. 654,896 16,333,905 0.5%
Swiss Re AG............................. 347,731 32,280,133 1.1%
UBS Group AG............................ 1,117,274 22,314,673 0.7%
Zurich Insurance Group AG............... 111,445 29,410,326 1.0%
Other Securities........................ 91,945,214 3.1%
------------ -----
TOTAL SWITZERLAND........................... 279,766,064 9.3%
------------ -----
29
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
UNITED KINGDOM -- (17.1%)
Barclays P.L.C. Sponsored ADR..................... 1,306,720 $ 18,594,626 0.6%
BP P.L.C. Sponsored ADR........................... 3,011,984 107,527,828 3.6%
HSBC Holdings P.L.C............................... 2,880,038 22,501,637 0.7%
HSBC Holdings P.L.C. Sponsored ADR................ 1,498,305 58,538,776 2.0%
Royal Dutch Shell P.L.C. Sponsored ADR(B03MM73)... 943,951 49,736,778 1.7%
Royal Dutch Shell P.L.C. Sponsored ADR(780259206). 624,316 32,751,617 1.1%
Standard Chartered P.L.C.......................... 1,823,247 20,239,198 0.7%
Vodafone Group P.L.C.............................. 24,834,340 81,728,127 2.7%
Vodafone Group P.L.C. Sponsored ADR............... 741,273 24,439,759 0.8%
Other Securities.................................. 99,377,921 3.3%
-------------- ------
TOTAL UNITED KINGDOM.................................... 515,436,267 17.2%
-------------- ------
TOTAL COMMON STOCKS..................................... 2,953,795,898 98.6%
-------------- ------
PREFERRED STOCKS -- (0.7%)
GERMANY -- (0.7%)
Volkswagen AG..................................... 152,281 18,279,057 0.6%
Other Securities.................................. 4,779,937 0.2%
-------------- ------
TOTAL GERMANY........................................... 23,058,994 0.8%
-------------- ------
TOTAL PREFERRED STOCKS.................................. 23,058,994 0.8%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities.................................. -- 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities.................................. 346,815 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS................................... 346,815 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............................. 2,977,201,707
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (1.3%)
(S)@ DFA Short Term Investment Fund.................... 3,273,011 37,868,737 1.3%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,048,231,996)............................... $3,015,070,444 100.7%
============== ======
30
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 2015, 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................... $ 21,096,402 $ 150,617,982 -- $ 171,714,384
Austria..................... -- 3,423,783 -- 3,423,783
Belgium..................... 984,528 50,015,713 -- 51,000,241
Canada...................... 240,332,119 -- -- 240,332,119
Denmark..................... -- 49,260,262 -- 49,260,262
Finland..................... -- 18,850,962 -- 18,850,962
France...................... 10,632,352 278,127,392 -- 288,759,744
Germany..................... 21,708,782 206,235,292 -- 227,944,074
Hong Kong................... -- 71,374,309 -- 71,374,309
Ireland..................... 1,230,250 5,094,002 -- 6,324,252
Israel...................... 1,751,255 10,875,066 -- 12,626,321
Italy....................... 1,781,924 45,169,902 -- 46,951,826
Japan....................... 16,211,453 631,633,868 -- 647,845,321
Netherlands................. 7,516,170 73,929,679 -- 81,445,849
New Zealand................. -- 2,102,556 -- 2,102,556
Norway...................... 5,021,947 15,135,244 -- 20,157,191
Portugal.................... -- 1,278,387 -- 1,278,387
Singapore................... -- 29,904,401 -- 29,904,401
Spain....................... 11,357 93,856,321 -- 93,867,678
Sweden...................... -- 93,429,907 -- 93,429,907
Switzerland................. 6,756,546 273,009,518 -- 279,766,064
United Kingdom.............. 301,428,910 214,007,357 -- 515,436,267
Preferred Stocks
Germany..................... -- 23,058,994 -- 23,058,994
Rights/Warrants
Australia................... -- -- -- --
Spain....................... -- 346,815 -- 346,815
Securities Lending Collateral. -- 37,868,737 -- 37,868,737
------------ -------------- -- --------------
TOTAL......................... $636,463,995 $2,378,606,449 -- $3,015,070,444
============ ============== == ==============
See accompanying Notes to Financial Statements.
31
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
COMMON STOCKS -- (96.8%)
AUSTRALIA -- (4.3%)
Australia & New Zealand Banking Group, Ltd.......... 191,078 $ 3,695,504 0.2%
BHP Billiton, Ltd................................... 328,023 5,379,819 0.3%
Macquarie Group, Ltd................................ 70,545 4,271,431 0.2%
National Australia Bank, Ltd........................ 182,192 3,890,645 0.2%
Woodside Petroleum, Ltd............................. 173,023 3,628,803 0.2%
Other Securities.................................... 72,134,415 3.3%
------------ ----
TOTAL AUSTRALIA......................................... 93,000,617 4.4%
------------ ----
AUSTRIA -- (0.4%)
Other Securities.................................... 8,783,316 0.4%
------------ ----
BELGIUM -- (1.2%)
Anheuser-Busch InBev NV............................. 32,055 3,824,950 0.2%
Other Securities.................................... 23,112,853 1.1%
------------ ----
TOTAL BELGIUM........................................... 26,937,803 1.3%
------------ ----
BRAZIL -- (1.0%)
Other Securities.................................... 21,454,622 1.0%
------------ ----
CANADA -- (5.8%)
Toronto-Dominion Bank (The)......................... 92,478 3,796,435 0.2%
Other Securities.................................... 122,325,155 5.7%
------------ ----
TOTAL CANADA............................................ 126,121,590 5.9%
------------ ----
CHILE -- (0.3%)
Other Securities.................................... 5,578,366 0.3%
------------ ----
CHINA -- (5.4%)
China Construction Bank Corp. Class H............... 9,844,200 7,134,642 0.4%
China Mobile, Ltd. Sponsored ADR.................... 71,602 4,318,317 0.2%
Industrial & Commercial Bank of China, Ltd. Class H. 10,068,460 6,386,475 0.3%
Other Securities.................................... 98,461,483 4.6%
------------ ----
TOTAL CHINA............................................. 116,300,917 5.5%
------------ ----
COLOMBIA -- (0.1%)
Other Securities.................................... 1,344,466 0.1%
------------ ----
CZECH REPUBLIC -- (0.0%)
Other Securities.................................... 562,283 0.0%
------------ ----
DENMARK -- (1.3%)
Other Securities.................................... 27,492,656 1.3%
------------ ----
EGYPT -- (0.0%)
Other Securities.................................... 139,548 0.0%
------------ ----
FINLAND -- (1.2%)
UPM-Kymmene Oyj..................................... 189,105 3,540,229 0.2%
Other Securities.................................... 23,153,443 1.1%
------------ ----
TOTAL FINLAND........................................... 26,693,672 1.3%
------------ ----
32
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
FRANCE -- (5.6%)
BNP Paribas SA..................................... 66,145 $ 4,008,202 0.2%
Cie Generale des Etablissements Michelin........... 36,347 3,615,646 0.2%
Engie SA........................................... 232,710 4,072,610 0.2%
Orange SA.......................................... 252,114 4,445,197 0.2%
Sanofi............................................. 34,882 3,518,750 0.2%
Total SA........................................... 182,093 8,805,802 0.4%
Total SA Sponsored ADR............................. 86,536 4,173,631 0.2%
Other Securities................................... 89,031,773 4.1%
------------ -----
TOTAL FRANCE........................................... 121,671,611 5.7%
------------ -----
GERMANY -- (5.1%)
Allianz SE......................................... 20,893 3,657,690 0.2%
BASF SE............................................ 45,568 3,733,105 0.2%
Bayerische Motoren Werke AG........................ 44,033 4,510,228 0.2%
Daimler AG......................................... 98,349 8,528,208 0.4%
Deutsche Telekom AG................................ 235,891 4,418,612 0.2%
Fresenius SE & Co. KGaA............................ 58,466 4,296,222 0.2%
Siemens AG......................................... 35,964 3,612,373 0.2%
Other Securities................................... 76,991,133 3.6%
------------ -----
TOTAL GERMANY.......................................... 109,747,571 5.2%
------------ -----
GREECE -- (0.1%)
Other Securities................................... 1,991,096 0.1%
------------ -----
HONG KONG -- (2.3%)
Other Securities................................... 48,953,952 2.3%
------------ -----
HUNGARY -- (0.1%)
Other Securities................................... 1,227,085 0.1%
------------ -----
INDIA -- (2.2%)
Other Securities................................... 47,034,541 2.2%
------------ -----
INDONESIA -- (0.5%)
Other Securities................................... 10,659,017 0.5%
------------ -----
IRELAND -- (0.4%)
Other Securities................................... 9,440,240 0.4%
------------ -----
ISRAEL -- (0.6%)
Teva Pharmaceutical Industries, Ltd. Sponsored ADR. 67,449 3,992,306 0.2%
Other Securities................................... 8,030,239 0.4%
------------ -----
TOTAL ISRAEL........................................... 12,022,545 0.6%
------------ -----
ITALY -- (2.1%)
Other Securities................................... 45,876,365 2.2%
------------ -----
JAPAN -- (17.3%)
Honda Motor Co., Ltd............................... 146,500 4,846,284 0.3%
Mitsubishi UFJ Financial Group, Inc................ 615,500 3,980,765 0.2%
Mizuho Financial Group, Inc........................ 1,805,055 3,718,132 0.2%
Nissan Motor Co., Ltd.............................. 336,000 3,483,050 0.2%
Sumitomo Mitsui Financial Group, Inc............... 110,183 4,395,601 0.2%
Toyota Motor Corp.................................. 117,055 7,171,308 0.4%
Toyota Motor Corp. Sponsored ADR................... 41,028 5,030,853 0.3%
Other Securities................................... 343,393,820 15.9%
------------ -----
TOTAL JAPAN............................................ 376,019,813 17.7%
------------ -----
33
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
MALAYSIA -- (0.7%)
Other Securities.................. $14,708,392 0.7%
----------- ----
MEXICO -- (1.0%)
Other Securities.................. 21,971,435 1.0%
----------- ----
NETHERLANDS -- (1.9%)
Akzo Nobel NV..................... 49,228 3,481,914 0.2%
ING Groep NV Sponsored ADR........ 240,205 3,475,766 0.2%
Other Securities.................. 35,090,835 1.6%
----------- ----
TOTAL NETHERLANDS..................... 42,048,515 2.0%
----------- ----
NEW ZEALAND -- (0.3%)
Other Securities.................. 7,130,826 0.3%
----------- ----
NORWAY -- (0.5%)
Other Securities.................. 11,877,537 0.6%
----------- ----
PERU -- (0.0%)
Other Securities.................. 425,671 0.0%
----------- ----
PHILIPPINES -- (0.3%)
Other Securities.................. 7,033,958 0.3%
----------- ----
POLAND -- (0.3%)
Other Securities.................. 7,154,098 0.3%
----------- ----
PORTUGAL -- (0.2%)
Other Securities.................. 5,198,037 0.2%
----------- ----
RUSSIA -- (0.2%)
Other Securities.................. 5,223,308 0.2%
----------- ----
SINGAPORE -- (0.9%)
Other Securities.................. 20,197,644 1.0%
----------- ----
SOUTH AFRICA -- (1.7%)
Other Securities.................. 36,491,709 1.7%
----------- ----
SOUTH KOREA -- (3.8%)
Samsung Electronics Co., Ltd...... 3,795 4,551,811 0.2%
Samsung Electronics Co., Ltd. GDR. 6,979 4,169,735 0.2%
Other Securities.................. 74,846,732 3.5%
----------- ----
TOTAL SOUTH KOREA..................... 83,568,278 3.9%
----------- ----
SPAIN -- (1.9%)
Iberdrola SA...................... 672,516 4,795,805 0.2%
Other Securities.................. 36,102,351 1.7%
----------- ----
TOTAL SPAIN........................... 40,898,156 1.9%
----------- ----
SWEDEN -- (2.3%)
Other Securities.................. 50,570,422 2.4%
----------- ----
SWITZERLAND -- (5.4%)
ABB, Ltd.......................... 219,337 4,137,945 0.2%
Nestle SA......................... 200,781 15,334,435 0.7%
Novartis AG Sponsored ADR......... 117,451 10,621,094 0.5%
Roche Holding AG.................. 19,398 5,266,535 0.3%
34
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
SWITZERLAND -- (Continued)
Syngenta AG....................................... 10,331 $ 3,470,909 0.2%
Other Securities.................................. 77,772,527 3.6%
-------------- -----
TOTAL SWITZERLAND..................................... 116,603,445 5.5%
-------------- -----
TAIWAN -- (3.4%)
Other Securities.................................. 74,579,052 3.5%
-------------- -----
THAILAND -- (0.6%)
Other Securities.................................. 11,997,039 0.6%
-------------- -----
TURKEY -- (0.4%)
Other Securities.................................. 7,757,038 0.4%
-------------- -----
UNITED KINGDOM -- (13.7%)
BG Group P.L.C.................................... 331,326 5,234,459 0.3%
BP P.L.C. Sponsored ADR........................... 302,198 10,788,469 0.5%
HSBC Holdings P.L.C. Sponsored ADR................ 156,520 6,115,236 0.3%
# Rio Tinto P.L.C. Sponsored ADR.................... 112,860 4,120,519 0.2%
Royal Dutch Shell P.L.C. Sponsored ADR(B03MM73)... 149,242 7,863,561 0.4%
Royal Dutch Shell P.L.C. Sponsored ADR(780259206). 65,742 3,448,825 0.2%
Vodafone Group P.L.C. Sponsored ADR............... 137,812 4,543,677 0.2%
Other Securities.................................. 255,768,560 11.9%
-------------- -----
TOTAL UNITED KINGDOM.................................. 297,883,306 14.0%
-------------- -----
UNITED STATES -- (0.0%)
Other Securities.................................. 35,339 0.0%
-------------- -----
TOTAL COMMON STOCKS................................... 2,102,406,897 99.0%
-------------- -----
PREFERRED STOCKS -- (0.6%)
BRAZIL -- (0.3%)
Other Securities.................................. 6,890,173 0.3%
-------------- -----
CHILE -- (0.0%)
Other Securities.................................. 65,480 0.0%
-------------- -----
COLOMBIA -- (0.0%)
Other Securities.................................. 180,838 0.0%
-------------- -----
GERMANY -- (0.3%)
Other Securities.................................. 4,781,362 0.2%
-------------- -----
ITALY -- (0.0%)
Other Securities.................................. -- 0.0%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities.................................. 30,441 0.0%
-------------- -----
TOTAL PREFERRED STOCKS................................ 11,948,294 0.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
Other Securities.................................. -- 0.0%
-------------- -----
AUSTRIA -- (0.0%)
Other Securities.................................. -- 0.0%
-------------- -----
CHINA -- (0.0%)
Other Securities.................................. 1,237 0.0%
-------------- -----
35
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Percentage
Shares Value++ of Net Assets**
------ ------- ---------------
FRANCE -- (0.0%)
Other Securities................ $ 11,702 0.0%
-------------- ------
HONG KONG -- (0.0%)
Other Securities................ 1,463 0.0%
-------------- ------
ITALY -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
MALAYSIA -- (0.0%)
Other Securities................ 3,411 0.0%
-------------- ------
SOUTH AFRICA -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
SOUTH KOREA -- (0.0%)
Other Securities................ 16,638 0.0%
-------------- ------
SPAIN -- (0.0%)
Other Securities................ 30,913 0.0%
-------------- ------
TAIWAN -- (0.0%)
Other Securities................ -- 0.0%
-------------- ------
THAILAND -- (0.0%)
Other Securities................ 1,303 0.0%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Securities................ 1,602 0.0%
-------------- ------
TOTAL RIGHTS/WARRANTS.................. 68,269 0.0%
-------------- ------
BONDS -- (0.0%)
INDIA -- (0.0%)
Other Securities................ 1,976 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES............ 2,114,425,436
--------------
Value+
------
SECURITIES LENDING COLLATERAL -- (2.6%)
(S)@ DFA Short Term Investment Fund.. 4,918,043 56,901,754 2.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,984,046,857).............. $2,171,327,190 102.2%
============== ======
Summary of the Portfolio's investments as of October 31, 2015, 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...... $ 2,898,635 $ 90,101,982 -- $ 93,000,617
Austria........ -- 8,783,316 -- 8,783,316
Belgium........ 2,682,995 24,254,808 -- 26,937,803
Brazil......... 3,862,431 17,592,191 -- 21,454,622
Canada......... 126,115,809 5,781 -- 126,121,590
Chile.......... 1,748,144 3,830,222 -- 5,578,366
China.......... 11,135,690 105,165,227 -- 116,300,917
Colombia....... 1,344,466 -- -- 1,344,466
Czech Republic. -- 562,283 -- 562,283
36
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
Investments in Securities (Market Value)
--------------------------------------------------
Level 1 Level 2 Level 3 Total
Common Stocks (Continued) ------------ -------------- ------- --------------
Denmark..................... $ 1,107,208 $ 26,385,448 -- $ 27,492,656
Egypt....................... -- 139,548 -- 139,548
Finland..................... 45,999 26,647,673 -- 26,693,672
France...................... 8,999,406 112,672,205 -- 121,671,611
Germany..................... 6,134,914 103,612,657 -- 109,747,571
Greece...................... -- 1,991,096 -- 1,991,096
Hong Kong................... 249,310 48,704,642 -- 48,953,952
Hungary..................... 28,828 1,198,257 -- 1,227,085
India....................... 2,045,420 44,989,121 -- 47,034,541
Indonesia................... 279,047 10,379,970 -- 10,659,017
Ireland..................... 1,688,585 7,751,655 -- 9,440,240
Israel...................... 4,764,033 7,258,512 -- 12,022,545
Italy....................... 2,185,510 43,690,855 -- 45,876,365
Japan....................... 16,153,153 359,866,660 -- 376,019,813
Malaysia.................... -- 14,708,392 -- 14,708,392
Mexico...................... 21,971,426 9 -- 21,971,435
Netherlands................. 8,808,769 33,239,746 -- 42,048,515
New Zealand................. 20,853 7,109,973 -- 7,130,826
Norway...................... 1,346,029 10,531,508 -- 11,877,537
Peru........................ 425,671 -- -- 425,671
Philippines................. 47,420 6,986,538 -- 7,033,958
Poland...................... -- 7,154,098 -- 7,154,098
Portugal.................... -- 5,198,037 -- 5,198,037
Russia...................... 200,356 5,022,952 -- 5,223,308
Singapore................... -- 20,197,644 -- 20,197,644
South Africa................ 4,184,713 32,306,996 -- 36,491,709
South Korea................. 3,690,406 79,877,872 -- 83,568,278
Spain....................... 3,837,012 37,061,144 -- 40,898,156
Sweden...................... 893,920 49,676,502 -- 50,570,422
Switzerland................. 17,617,957 98,985,488 -- 116,603,445
Taiwan...................... 2,923,739 71,655,313 -- 74,579,052
Thailand.................... 11,983,685 13,354 -- 11,997,039
Turkey...................... 90,746 7,666,292 -- 7,757,038
United Kingdom.............. 64,218,309 233,664,997 -- 297,883,306
United States............... 6,349 28,990 -- 35,339
Preferred Stocks
Brazil...................... 1,333,601 5,556,572 -- 6,890,173
Chile....................... -- 65,480 -- 65,480
Colombia.................... 180,838 -- -- 180,838
Germany..................... -- 4,781,362 -- 4,781,362
Italy....................... -- -- -- --
United Kingdom.............. -- 30,441 -- 30,441
Rights/Warrants
Australia................... -- -- -- --
Austria..................... -- -- -- --
China....................... -- 1,237 -- 1,237
France...................... -- 11,702 -- 11,702
Hong Kong................... -- 1,463 -- 1,463
Italy....................... -- -- -- --
Malaysia.................... -- 3,411 -- 3,411
South Africa................ -- -- -- --
South Korea................. -- 16,638 -- 16,638
Spain....................... -- 30,913 -- 30,913
Taiwan...................... -- -- -- --
Thailand.................... -- 1,303 -- 1,303
United Kingdom.............. -- 1,602 -- 1,602
Bonds
India....................... -- 1,976 -- 1,976
Securities Lending Collateral. -- 56,901,754 -- 56,901,754
------------ -------------- -- --------------
TOTAL......................... $337,251,382 $1,834,075,808 -- $2,171,327,190
============ ============== == ==============
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands, except share and per share amounts)
Tax-Managed
U.S. Tax-Managed Tax-Managed
Marketwide U.S. Equity U.S. Targeted
Value Portfolio Portfolio* Value Portfolio*
--------------- ------------ ----------------
ASSETS:
Investments in Affiliated Investment Company at Value............... $ 3,861,152 -- --
Investments at Value (including $0, $278,895, $598,371 and
$527,605 of securities on loan, respectively)...................... -- $ 2,489,706 $ 3,643,755
Temporary Cash Investments at Value & Cost.......................... -- 5,799 39,162
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost............................................................... -- 207,496 524,725
Cash................................................................ -- -- 78
Receivables:
Investment Securities/Affiliated Investment Company Sold.......... -- 690 14,043
Dividends, Interest and Tax Reclaims.............................. -- 2,518 1,286
Securities Lending Income......................................... -- 65 237
Fund Shares Sold.................................................. 1,079 936 835
Prepaid Expenses and Other Assets................................... 34 24 42
------------ ------------ ------------
Total Assets................................................... 3,862,265 2,707,234 4,224,163
------------ ------------ ------------
LIABILITIES:
Payables:
Due to Custodian.................................................. -- 49 --
Upon Return of Securities Loaned.................................. -- 207,496 524,725
Investment Securities/Affiliated Investment Company
Purchased........................................................ -- 4,708 26,670
Fund Shares Redeemed.............................................. 773 312 796
Due to Advisor.................................................... 481 345 1,293
Accrued Expenses and Other Liabilities.............................. 140 171 207
------------ ------------ ------------
Total Liabilities.............................................. 1,394 213,081 553,691
------------ ------------ ------------
NET ASSETS.......................................................... $ 3,860,871 $ 2,494,153 $ 3,670,472
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 150,801,659 111,032,852 113,488,394
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE.......................................................... $ 25.60 $ 22.46 $ 32.34
============ ============ ============
Investments in Affiliated Investment Company at Cost................ $ 2,205,425 $ -- $ --
------------ ------------ ------------
Investments at Cost................................................. $ -- $ 1,259,768 $ 2,251,329
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 2,234,908 $ 1,582,207 $ 2,146,037
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)............................................. 7,827 5,563 3,851
Accumulated Net Realized Gain (Loss)................................ (37,591) (323,555) 128,158
Net Unrealized Appreciation (Depreciation).......................... 1,655,727 1,229,938 1,392,426
------------ ------------ ------------
NET ASSETS.......................................................... $ 3,860,871 $ 2,494,153 $ 3,670,472
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED..................................... 700,000,000 500,000,000 700,000,000
============ ============ ============
Tax-Managed
U.S. Small Cap
Portfolio*
--------------
ASSETS:
Investments in Affiliated Investment Company at Value............... --
Investments at Value (including $0, $278,895, $598,371 and
$527,605 of securities on loan, respectively)...................... $ 2,176,975
Temporary Cash Investments at Value & Cost.......................... 11,578
Collateral from Securities on Loan Invested in Affiliate at Value &
Cost............................................................... 487,786
Cash................................................................ 21
Receivables:
Investment Securities/Affiliated Investment Company Sold.......... 5,888
Dividends, Interest and Tax Reclaims.............................. 744
Securities Lending Income......................................... 169
Fund Shares Sold.................................................. 636
Prepaid Expenses and Other Assets................................... 26
------------
Total Assets................................................... 2,683,823
------------
LIABILITIES:
Payables:
Due to Custodian.................................................. --
Upon Return of Securities Loaned.................................. 487,786
Investment Securities/Affiliated Investment Company
Purchased........................................................ 4,398
Fund Shares Redeemed.............................................. 291
Due to Advisor.................................................... 917
Accrued Expenses and Other Liabilities.............................. 123
------------
Total Liabilities.............................................. 493,515
------------
NET ASSETS.......................................................... $ 2,190,308
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 59,575,503
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE.......................................................... $ 36.77
============
Investments in Affiliated Investment Company at Cost................ $ --
------------
Investments at Cost................................................. $ 1,299,484
============
NET ASSETS CONSIST OF:
Paid-In Capital..................................................... $ 1,217,453
Undistributed Net Investment Income (Distributions in Excess of
Net Investment Income)............................................. 1,473
Accumulated Net Realized Gain (Loss)................................ 93,891
Net Unrealized Appreciation (Depreciation).......................... 877,491
------------
NET ASSETS.......................................................... $ 2,190,308
============
(1) NUMBER OF SHARES AUTHORIZED..................................... 500,000,000
============
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
38
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands, except share and per share amounts)
Tax-Managed T.A. World ex
T.A. U.S. Core DFA U.S. Core
Equity 2 International Equity
Portfolio* Value Portfolio* Portfolio*
-------------- ---------------- -------------
ASSETS:
Investments at Value (including $772,032, $38,495 and $68,102 of securities
on loan, respectively)..................................................... $ 5,521,597 $ 2,977,201 $ 2,114,425
Temporary Cash Investments at Value & Cost.................................. 26,774 -- --
Collateral from Securities on Loan Invested in Affiliate at Value & Cost.... 673,594 37,869 56,902
Foreign Currencies at Value................................................. -- 2,740 2,618
Cash........................................................................ -- 4,418 9,056
Receivables:
Investment Securities Sold................................................ 2,985 1,955 77
Dividends, Interest and Tax Reclaims...................................... 4,941 9,345 4,547
Securities Lending Income................................................. 215 106 157
Fund Shares Sold.......................................................... 4,319 4,829 2,498
Unrealized Gain on Foreign Currency Contracts............................... -- 2 1
Prepaid Expenses and Other Assets........................................... 61 54 39
-------------- ------------ ------------
Total Assets........................................................... 6,234,486 3,038,519 2,190,320
-------------- ------------ ------------
LIABILITIES:
Payables:
Due to Custodian.......................................................... 50 -- --
Upon Return of Securities Loaned.......................................... 673,594 37,869 56,902
Investment Securities Purchased........................................... 9,363 1,336 6,745
Fund Shares Redeemed...................................................... 1,051 2,883 1,405
Due to Advisor............................................................ 1,008 1,259 714
Unrealized Loss on Foreign Currency Contracts............................... -- -- 5
Accrued Expenses and Other Liabilities...................................... 267 241 236
-------------- ------------ ------------
Total Liabilities...................................................... 685,333 43,588 66,007
-------------- ------------ ------------
NET ASSETS.................................................................. $ 5,549,153 $ 2,994,931 $ 2,124,313
============== ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................................... 393,732,364 215,863,972 228,416,071
============== ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE...................................................................... $ 14.09 $ 13.87 $ 9.30
============== ============ ============
Investments at Cost......................................................... $ 3,456,434 $ 3,010,363 $ 1,927,145
============== ============ ============
Foreign Currencies at Cost.................................................. $ -- $ 2,736 $ 2,613
============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................. $ 3,476,006 $ 3,045,027 $ 1,959,252
Undistributed Net Investment Income (Distributions in Excess of Net
Investment Income)......................................................... 10,700 10,536 6,297
Accumulated Net Realized Gain (Loss)........................................ (2,716) (27,393) (28,467)
Net Unrealized Foreign Exchange Gain (Loss)................................. -- (81) (54)
Net Unrealized Appreciation (Depreciation).................................. 2,065,163 (33,158) 187,285
-------------- ------------ ------------
NET ASSETS.................................................................. $ 5,549,153 $ 2,994,931 $ 2,124,313
============== ============ ============
(1) NUMBER OF SHARES AUTHORIZED............................................. 1,000,000,000 700,000,000 500,000,000
============== ============ ============
----------
* See Note I in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
39
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
Tax-Managed
U.S. Tax-Managed
Marketwide Tax-Managed U.S. Targeted Tax-Managed
Value U.S. Equity Value U.S. Small
Portfolio* Portfolio Portfolio Cap Portfolio
----------- ----------- ------------- -------------
Investment Income
Net Investment Income Allocated from Affiliated Investment
Company:
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0 and $0,
respectively)......................................................... $ 76,152 -- -- --
Interest............................................................... 7 -- -- --
Income from Securities Lending......................................... 967 -- -- --
Expenses Allocated from Affiliated Investment Company.................. (8,006) -- -- --
-------- -------- --------- --------
Total Net Investment Income Received from Affiliated Investment
Company............................................................ 69,120 -- -- --
-------- -------- --------- --------
Fund Investment Income
Dividends (Net of Foreign Taxes Withheld of $0, $6, $10 and $5,
respectively)......................................................... -- $ 47,837 $ 56,477 $ 29,802
Interest............................................................... -- 9 46 --
Income from Securities Lending......................................... -- 650 2,937 2,418
-------- -------- --------- --------
Total Investment Income............................................. -- 48,496 59,460 32,220
-------- -------- --------- --------
Fund Expenses
Investment Advisory Services Fees...................................... 3,707 4,813 15,351 10,883
Administrative Services Fees........................................... 4,124 -- -- --
Accounting & Transfer Agent Fees....................................... 24 139 211 128
Custodian Fees......................................................... -- 35 51 39
Filing Fees............................................................ 83 53 91 57
Shareholders' Reports.................................................. 97 52 92 62
Directors'/Trustees' Fees & Expenses................................... 18 12 18 10
Professional Fees...................................................... 8 46 73 43
Other.................................................................. 203 161 231 141
-------- -------- --------- --------
Total Expenses...................................................... 8,264 5,311 16,118 11,363
-------- -------- --------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C).................................... (2,118) (16) -- --
-------- -------- --------- --------
Net Expenses........................................................... 6,146 5,295 16,118 11,363
-------- -------- --------- --------
Net Investment Income (Loss)........................................... 62,974 43,201 43,342 20,857
-------- -------- --------- --------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold........................................... 62,518 42,709 135,620 98,224
Futures.............................................................. -- -- (2,054) (328)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities................................................ (23,233) 20,870 (114,884) (72,674)
-------- -------- --------- --------
Net Realized and Unrealized Gain (Loss)................................ 39,285 63,579 18,682 25,222
-------- -------- --------- --------
Net Increase (Decrease) in Net Assets Resulting from
Operations.............................................................. $102,259 $106,780 $ 62,024 $ 46,079
======== ======== ========= ========
----------
* 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.
40
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
Tax-Managed
DFA T.A. World ex
T.A. U.S. Core International U.S. Core
Equity 2 Value Equity
Portfolio Portfolio Portfolio
-------------- ------------- -------------
Investment Income
Dividends (Net of Foreign Taxes Withheld of $20, $8,657 and $5,511,
respectively)....................................................... $ 98,968 $ 108,023 $ 59,455
Interest............................................................. 75 -- 1
Income from Securities Lending....................................... 2,683 1,184 1,522
-------- --------- ---------
Total Investment Income........................................... 101,726 109,207 60,978
-------- --------- ---------
Fund Expenses
Investment Advisory Services Fees.................................... 11,843 15,494 8,486
Accounting & Transfer Agent Fees..................................... 309 190 135
Custodian Fees....................................................... 82 293 533
Filing Fees.......................................................... 169 104 92
Shareholders' Reports................................................ 100 104 61
Directors'/Trustees' Fees & Expenses................................. 26 15 10
Professional Fees.................................................... 106 93 123
Other................................................................ 341 249 179
-------- --------- ---------
Total Expenses.................................................... 12,976 16,542 9,619
-------- --------- ---------
Fees Paid Indirectly (Note C)........................................ -- (6) (6)
-------- --------- ---------
Net Expenses......................................................... 12,976 16,536 9,613
-------- --------- ---------
Net Investment Income (Loss)......................................... 88,750 92,671 51,365
-------- --------- ---------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold......................................... (24) (21,424) (19,292)
Foreign Currency Transactions...................................... -- (2,134) (877)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................... 16,434 (256,082) (129,015)
Translation of Foreign Currency Denominated Amounts................ -- 202 68
-------- --------- ---------
Net Realized and Unrealized Gain (Loss).............................. 16,410 (279,438) (149,116)
-------- --------- ---------
Net Increase (Decrease) in Net Assets Resulting from Operations........ $105,160 $(186,767) $ (97,751)
======== ========= =========
See accompanying Notes to Financial Statements.
41
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Tax-Managed U.S. Tax-Managed U.S. Equity Tax-Managed U.S. Targeted
Marketwide Value Portfolio Portfolio Value Portfolio
------------------------- ---------------------- ------------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
---------- ---------- ---------- ---------- ---------- ----------
Increase (Decrease) in Net
Assets
Operations:
Net Investment Income (Loss)........ $ 62,974 $ 49,619 $ 43,201 $ 35,813 $ 43,342 $ 27,195
Net Realized Gain (Loss) on:
Investment Securities Sold/
Affiliated Investment
Company Sold...................... 62,518 13,291 42,709 27,514 135,620 131,281
Futures............................ -- -- -- -- (2,054) (690)
Change in Unrealized
Appreciation (Depreciation) of:
Investment Securities/Affiliated
Investment Company................ (23,233) 407,407 20,870 253,351 (114,884) 194,442
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations....................... 102,259 470,317 106,780 316,678 62,024 352,228
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income............... (60,761) (49,288) (42,330) (35,329) (40,745) (28,250)
Net Short-Term Gains................ -- -- -- -- (76) --
Net Long-Term Gains................. -- -- -- -- (125,781) (83,909)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............... (60,761) (49,288) (42,330) (35,329) (166,602) (112,159)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued....................... 548,871 485,118 326,467 243,147 498,985 421,700
Shares Issued in Lieu of Cash
Distributions...................... 59,551 48,347 39,973 33,504 164,498 110,967
Shares Redeemed..................... (453,223) (400,756) (248,188) (238,010) (460,740) (401,482)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
from Capital Share
Transactions..................... 155,199 132,709 118,252 38,641 202,743 131,185
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in
Net Assets....................... 196,697 553,738 182,702 319,990 98,165 371,254
Net Assets
Beginning of Year................... 3,664,174 3,110,436 2,311,451 1,991,461 3,572,307 3,201,053
---------- ---------- ---------- ---------- ---------- ----------
End of Year......................... $3,860,871 $3,664,174 $2,494,153 $2,311,451 $3,670,472 $3,572,307
========== ========== ========== ========== ========== ==========
(1) Shares Issued and
Redeemed:
Shares Issued....................... 21,617 20,163 14,775 11,836 15,381 13,051
Shares Issued in Lieu of Cash
Distributions...................... 2,373 1,996 1,830 1,626 5,326 3,550
Shares Redeemed..................... (17,856) (16,683) (11,187) (11,547) (14,363) (12,503)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
from Shares Issued and
Redeemed......................... 6,134 5,476 5,418 1,915 6,344 4,098
========== ========== ========== ========== ========== ==========
Undistributed Net Investment
Income (Distributions in
Excess of Net Investment
Income).............................. $ 7,827 $ 7,038 $ 5,563 $ 4,691 $ 3,851 $ 2,763
Tax-Managed U.S. Small
Cap Portfolio
----------------------
Year Year
Ended Ended
Oct. 31, Oct. 31,
2015 2014
---------- ----------
Increase (Decrease) in Net
Assets
Operations:
Net Investment Income (Loss)........ $ 20,857 $ 14,001
Net Realized Gain (Loss) on:
Investment Securities Sold/
Affiliated Investment
Company Sold...................... 98,224 42,026
Futures............................ (328) --
Change in Unrealized
Appreciation (Depreciation) of:
Investment Securities/Affiliated
Investment Company................ (72,674) 105,851
---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations....................... 46,079 161,878
---------- ----------
Distributions From:
Net Investment Income............... (19,869) (14,279)
Net Short-Term Gains................ -- --
Net Long-Term Gains................. (38,979) --
---------- ----------
Total Distributions............... (58,848) (14,279)
---------- ----------
Capital Share Transactions (1):
Shares Issued....................... 310,541 293,195
Shares Issued in Lieu of Cash
Distributions...................... 57,581 14,005
Shares Redeemed..................... (257,603) (235,176)
---------- ----------
Net Increase (Decrease)
from Capital Share
Transactions..................... 110,519 72,024
---------- ----------
Total Increase (Decrease) in
Net Assets....................... 97,750 219,623
Net Assets
Beginning of Year................... 2,092,558 1,872,935
---------- ----------
End of Year......................... $2,190,308 $2,092,558
========== ==========
(1) Shares Issued and
Redeemed:
Shares Issued....................... 8,383 8,159
Shares Issued in Lieu of Cash
Distributions...................... 1,619 389
Shares Redeemed..................... (6,992) (6,577)
---------- ----------
Net Increase (Decrease)
from Shares Issued and
Redeemed......................... 3,010 1,971
========== ==========
Undistributed Net Investment
Income (Distributions in
Excess of Net Investment
Income).............................. $ 1,473 $ 1,238
See accompanying Notes to Financial Statements.
42
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
T.A. U.S. Core Equity 2 Tax-Managed DFA T.A. World ex U.S. Core
Portfolio International Value Portfolio Equity Portfolio
---------------------- ---------------------------- ----------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2015 2014 2015 2014
---------- ---------- ---------- ---------- ---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss)................. $ 88,750 $ 69,567 $ 92,671 $ 123,404 $ 51,365 $ 52,096
Net Realized Gain (Loss) on:
Investment Securities Sold................. (24) 67,738 (21,424) 11,012 (19,292) (3,177)
Foreign Currency Transactions.............. -- -- (2,134) (985) (877) (438)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 16,434 447,786 (256,082) (180,297) (129,015) (61,190)
Translation of Foreign Currency
Denominated Amounts....................... -- -- 202 (361) 68 (161)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................ 105,160 585,091 (186,767) (47,227) (97,751) (12,870)
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income...................... (85,159) (66,232) (85,979) (120,029) (50,580) (50,359)
Net Long-Term Gains........................ (65,625) (39,638) (2,413) -- -- (4,097)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions....................... (150,784) (105,870) (88,392) (120,029) (50,580) (54,456)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................ 1,219,843 947,444 951,472 644,899 839,761 573,754
Shares Issued in Lieu of Cash
Distributions............................... 150,133 105,601 87,115 118,507 50,399 54,321
Shares Redeemed.............................. (831,410) (579,808) (745,754) (377,277) (613,016) (291,144)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions....................... 538,566 473,237 292,833 386,129 277,144 336,931
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................... 492,942 952,458 17,674 218,873 128,813 269,605
Net Assets
Beginning of Year............................ 5,056,211 4,103,753 2,977,257 2,758,384 1,995,500 1,725,895
---------- ---------- ---------- ---------- ---------- ----------
End of Year.................................. $5,549,153 $5,056,211 $2,994,931 $2,977,257 $2,124,313 $1,995,500
========== ========== ========== ========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued................................ 86,397 69,846 66,366 40,390 87,442 55,671
Shares Issued in Lieu of Cash
Distributions............................... 10,899 7,944 5,863 7,273 5,244 5,218
Shares Redeemed.............................. (59,495) (43,069) (52,624) (23,934) (65,047) (28,483)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed...................... 37,801 34,721 19,605 23,729 27,639 32,406
========== ========== ========== ========== ========== ==========
Undistributed Net Investment Income
(Distributions in Excess of Net Investment
Income)....................................... $ 10,700 $ 7,977 $ 10,536 $ 5,745 $ 6,297 $ 7,102
See accompanying Notes to Financial Statements.
43
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Tax-Managed U.S. Marketwide Value Portfolio
---------------------------------------------------------------------- -----------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011 2015
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning
of Year..................... $ 25.33 $ 22.35 $ 16.76 $ 14.42 $ 13.78 $ 21.89
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................ 0.43 0.35 0.32 0.28 0.22 0.40
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.25 2.98 5.60 2.33 0.63 0.56
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............... 0.68 3.33 5.92 2.61 0.85 0.96
---------------------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....... (0.41) (0.35) (0.33) (0.27) (0.21) (0.39)
Total Distributions....... (0.41) (0.35) (0.33) (0.27) (0.21) (0.39)
---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year. $ 25.60 $ 25.33 $ 22.35 $ 16.76 $ 14.42 $ 22.46
============================ ========== ========== ========== ========== ========== ==========
Total Return................. 2.73% 14.98% 35.71% 18.34% 6.15% 4.47%
---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................. $3,860,871 $3,664,174 $3,110,436 $2,345,296 $2,063,119 $2,494,153
Ratio of Expenses to
Average Net Assets.......... 0.37%(B) 0.37%(B) 0.37%(B) 0.38%(B) 0.38%(B) 0.22%
Ratio of Expenses to
Average Net Assets
(Excluding Fees (Waived),
(Expenses Reimbursed),
and/or Previously Waived
Fees Recovered by Advisor).. 0.43%(B) 0.37%(B) 0.37%(B) 0.38%(B) 0.38%(B) 0.22%
Ratio of Net Investment
Income to Average Net
Assets...................... 1.65% 1.45% 1.66% 1.83% 1.45% 1.79%
Portfolio Turnover Rate...... N/A N/A N/A N/A N/A 1%
---------------------------------------------------------------------------------------------------------------------
Tax-Managed U.S. Equity Portfolio
--------------------------------------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011
----------------------------------------------------------------------------------
Net Asset Value, Beginning
of Year..................... $ 19.20 $ 15.16 $ 13.48 $ 12.70
----------- ----------- ----------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................ 0.34 0.32 0.27 0.23
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 2.69 4.05 1.67 0.77
----------- ----------- ----------- ----------
Total from Investment
Operations............... 3.03 4.37 1.94 1.00
----------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....... (0.34) (0.33) (0.26) (0.22)
Total Distributions....... (0.34) (0.33) (0.26) (0.22)
----------------------------------------------------------------------------------
Net Asset Value, End of Year. $ 21.89 $ 19.20 $ 15.16 $ 13.48
============================ =========== =========== =========== ==========
Total Return................. 15.89% 29.15% 14.57% 7.92%
----------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................. $ 2,311,451 $ 1,991,461 $ 1,522,411 $1,364,068
Ratio of Expenses to
Average Net Assets.......... 0.22% 0.22% 0.22% 0.22%**
Ratio of Expenses to
Average Net Assets
(Excluding Fees (Waived),
(Expenses Reimbursed),
and/or Previously Waived
Fees Recovered by Advisor).. 0.22% 0.22% 0.22% 0.23%**
Ratio of Net Investment
Income to Average Net
Assets...................... 1.66% 1.89% 1.87% 1.65%
Portfolio Turnover Rate...... 2% 3% 7% 11%*
----------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
* For the period February 28, 2011 through October 31, 2011. Effective
February 28, 2011, the Portfolio invests directly in securities rather than
through The Tax-Managed U.S. Equity Series.
**Represents the combined ratios for the Portfolio and, for the period
November 1, 2010 through February 27, 2011, its respective pro-rata share of
The Tax-Managed U.S. Equity Series.
See accompanying Notes to Financial Statements.
44
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Tax-Managed U.S. Targeted Value Portfolio
--------------------------------------------------------------- -----------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011 2015
-----------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning
of Year..................... $ 33.34 $ 31.06 $ 22.89 $ 20.02 $ 19.09 $ 36.99
----------- ----------- ----------- ----------- ----------- ----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................ 0.39 0.26 0.33 0.21 0.14 0.36
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.16 3.11 8.69 2.85 0.93 0.45
----------- ----------- ----------- ----------- ----------- ----------
Total from Investment
Operations............... 0.55 3.37 9.02 3.06 1.07 0.81
-----------------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....... (0.37) (0.27) (0.34) (0.19) (0.14) (0.34)
Net Realized Gains.......... (1.18) (0.82) (0.51) -- -- (0.69)
----------- ----------- ----------- ----------- ----------- ----------
Total Distributions....... (1.55) (1.09) (0.85) (0.19) (0.14) (1.03)
-----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year. $ 32.34 $ 33.34 $ 31.06 $ 22.89 $ 20.02 $ 36.77
============================ =========== =========== =========== =========== =========== ==========
Total Return................. 1.89% 11.10% 40.60% 15.39% 5.58% 2.31%
-----------------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................. $ 3,670,472 $ 3,572,307 $ 3,201,053 $ 2,378,567 $ 2,191,055 $2,190,308
Ratio of Expenses to
Average Net Assets.......... 0.44% 0.43% 0.44% 0.44% 0.44% 0.52%
Ratio of Net Investment
Income to Average Net
Assets...................... 1.19% 0.80% 1.24% 0.98% 0.66% 0.96%
Portfolio Turnover Rate...... 14% 7% 6% 12% 21% 8%
-----------------------------------------------------------------------------------------------------------
Tax-Managed U.S. Small Cap Portfolio
---------------------------------------------------
Year Year Year Year
Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2014 2013 2012 2011
---------------------------------------------------------------------------------
Net Asset Value, Beginning
of Year..................... $ 34.31 $ 24.93 $ 22.07 $ 20.47
----------- ----------- ----------- -----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................ 0.25 0.35 0.21 0.15
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 2.69 9.40 2.85 1.59
----------- ----------- ----------- -----------
Total from Investment
Operations............... 2.94 9.75 3.06 1.74
---------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....... (0.26) (0.37) (0.20) (0.14)
Net Realized Gains.......... -- -- -- --
----------- ----------- ----------- -----------
Total Distributions....... (0.26) (0.37) (0.20) (0.14)
---------------------------------------------------------------------------------
Net Asset Value, End of Year. $ 36.99 $ 34.31 $ 24.93 $ 22.07
============================ =========== =========== =========== ===========
Total Return................. 8.58% 39.55% 13.95% 8.50%
---------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................. $ 2,092,558 $ 1,872,935 $ 1,331,266 $ 1,212,285
Ratio of Expenses to
Average Net Assets.......... 0.52% 0.52% 0.53% 0.53%
Ratio of Net Investment
Income to Average Net
Assets...................... 0.70% 1.20% 0.90% 0.64%
Portfolio Turnover Rate...... 7% 7% 17% 22%
---------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
45
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
T.A. 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,
2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------------------
Net Asset Value, Beginning
of Year..................... $ 14.21 $ 12.78 $ 9.75 $ 8.63 $ 8.18
----------- ----------- ----------- ----------- -----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................ 0.24 0.20 0.19 0.16 0.12
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.05 1.55 3.04 1.11 0.45
----------- ----------- ----------- ----------- -----------
Total from Investment
Operations............... 0.29 1.75 3.23 1.27 0.57
-----------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....... (0.23) (0.20) (0.19) (0.15) (0.12)
Net Realized Gains.......... (0.18) (0.12) (0.01) -- --
----------- ----------- ----------- ----------- -----------
Total Distributions....... (0.41) (0.32) (0.20) (0.15) (0.12)
-----------------------------------------------------------------------------------------------
Net Asset Value, End of Year. $ 14.09 $ 14.21 $ 12.78 $ 9.75 $ 8.63
============================ =========== =========== =========== =========== ===========
Total Return................. 2.14% 13.88% 33.58% 14.82% 6.97%
-----------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................. $ 5,549,153 $ 5,056,211 $ 4,103,753 $ 2,853,234 $ 2,432,872
Ratio of Expenses to
Average Net Assets.......... 0.24% 0.24% 0.24% 0.24% 0.24%
Ratio of Expenses to
Average Net Assets
(Excluding Fees (Waived),
(Expenses Reimbursed),
and/or Previously Waived
Fees Recovered by Advisor
and Fees Paid Indirectly)... 0.24% 0.24% 0.24% 0.24% 0.24%
Ratio of Net Investment
Income to Average Net
Assets...................... 1.65% 1.51% 1.72% 1.71% 1.39%
Portfolio Turnover Rate...... 7% 7% 2% 6% 6%
-----------------------------------------------------------------------------------------------
Tax-Managed DFA International Value Portfolio
----------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
------------------------------------------------------------------------------------------------
Net Asset Value, Beginning
of Year..................... $ 15.17 $ 15.99 $ 12.91 $ 12.99 $ 14.53
---------- ----------- ----------- ----------- -----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................ 0.44 0.66 0.39 0.42 0.46
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (1.32) (0.83) 3.09 (0.10) (1.55)
---------- ----------- ----------- ----------- -----------
Total from Investment
Operations............... (0.88) (0.17) 3.48 0.32 (1.09)
------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....... (0.41) (0.65) (0.40) (0.40) (0.45)
Net Realized Gains.......... (0.01) -- -- -- --
---------- ----------- ----------- ----------- -----------
Total Distributions....... (0.42) (0.65) (0.40) (0.40) (0.45)
------------------------------------------------------------------------------------------------
Net Asset Value, End of Year. $ 13.87 $ 15.17 $ 15.99 $ 12.91 $ 12.99
============================ ========== =========== =========== =========== ===========
Total Return................. (5.93)% (1.29)% 27.39% 2.77% (7.81)%
------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................. $2,994,931 $ 2,977,257 $ 2,758,384 $ 1,971,388 $ 1,843,496
Ratio of Expenses to
Average Net Assets.......... 0.53% 0.53% 0.53% 0.55% 0.55%
Ratio of Expenses to
Average Net Assets
(Excluding Fees (Waived),
(Expenses Reimbursed),
and/or Previously Waived
Fees Recovered by Advisor
and Fees Paid Indirectly)... 0.53% 0.53% 0.53% 0.55% 0.55%
Ratio of Net Investment
Income to Average Net
Assets...................... 2.99% 4.13% 2.70% 3.32% 3.16%
Portfolio Turnover Rate...... 25% 13% 12% 18% 16%
------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
46
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
T.A. World ex U.S. Core Equity Portfolio
----------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
------------------------------------------------------------------------------------------------
Net Asset Value, Beginning
of Year..................... $ 9.94 $ 10.25 $ 8.56 $ 8.39 $ 9.31
----------- ---------- ----------- ----------- -----------
Income from Investment
Operations
----------------------
Net Investment Income
(Loss) (A)................ 0.24 0.28 0.23 0.23 0.25
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.65) (0.30) 1.70 0.16 (0.93)
----------- ---------- ----------- ----------- -----------
Total from Investment
Operations............... (0.41) (0.02) 1.93 0.39 (0.68)
------------------------------------------------------------------------------------------------
Less Distributions
------------------
Net Investment Income....... (0.23) (0.27) (0.24) (0.22) (0.24)
Net Realized Gains.......... -- (0.02) -- -- --
----------- ---------- ----------- ----------- -----------
Total Distributions....... (0.23) (0.29) (0.24) (0.22) (0.24)
------------------------------------------------------------------------------------------------
Net Asset Value, End of Year. $ 9.30 $ 9.94 $ 10.25 $ 8.56 $ 8.39
============================ =========== ========== =========== =========== ===========
Total Return................. (4.15)% (0.25)% 22.88% 4.90% (7.55)%
------------------------------------------------------------------------------------------------
Net Assets, End of Year
(thousands)................. $ 2,124,313 $1,995,500 $ 1,725,895 $ 1,240,607 $ 1,042,981
Ratio of Expenses to
Average Net Assets.......... 0.45% 0.45% 0.46% 0.49% 0.48%
Ratio of Expenses to
Average Net Assets
(Excluding Fees (Waived),
(Expenses Reimbursed),
and/or Previously Waived
Fees Recovered by Advisor
and Fees Paid Indirectly)... 0.45% 0.45% 0.46% 0.49% 0.48%
Ratio of Net Investment
Income to Average Net
Assets...................... 2.42% 2.71% 2.45% 2.77% 2.63%
Portfolio Turnover Rate...... 5% 8% 2% 3% 5%
------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
47
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. Organization:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of eighty-one
operational portfolios, seven of which (the "Portfolios"), are included in this
section of the report. The remaining seventy-four portfolios are presented in
separate reports.
Tax-Managed U.S. Marketwide Value Portfolio (the "Feeder Fund") primarily
invests its assets in The Tax-Managed U.S. Marketwide Value Series (the
"Series"), a corresponding series of The DFA Investment Trust Company. At
October 31, 2015, the Feeder Fund owned 72% of its Series.
The financial statements of the Series are included elsewhere in this report
and should be read in conjunction with the financial statements of the Feeder
Fund.
Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Targeted Value
Portfolio, Tax-Managed U.S. Small Cap Portfolio, T.A. U.S. Core Equity 2
Portfolio, Tax-Managed DFA International Value Portfolio and T.A. World ex U.S.
Core Equity Portfolio are organized as stand-alone registered investment
companies.
Prior to February 28, 2011, Tax-Managed U.S. Equity Portfolio invested
substantially all of its assets in The Tax-Managed U.S. Equity Series (the
"Equity Series"). At the close of business February 25, 2011, Tax-Managed U.S.
Equity Portfolio received its prorata share of cash and securities from the
Equity Series in a complete liquidation of its interest in the Equity Series.
Effective February 28, 2011, Tax-Managed U.S. Equity Portfolio invests directly
in securities rather than through the Equity Series and maintains the same
investment objective.
B. Significant Accounting Policies:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. Security Valuation: The Portfolios utilize a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Securities held by Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S.
Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio, and T.A. U.S.
Core Equity 2 Portfolio (the "Domestic Equity Portfolios") and Tax-Managed DFA
International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio (the
"International Equity Portfolios"), including over-the-counter securities, are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Domestic Equity Portfolios and the
48
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. Price information on listed securities is taken from the
exchange where the secured is primarily traded. Generally, securities issued by
open-end investment companies are valued using their respective net asset
values or public offering prices, as appropriate, for purchase orders placed at
the close of the New York Stock Exchange (NYSE). These securities are generally
categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board. Fair value pricing may also be used if events that have a
significant effect on the value of an investment (as determined in the
discretion of 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, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) 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 the Fund has
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable. Fair valuation
of portfolio securities may occur on a daily basis. The fair value pricing by
the 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 the International Equity Portfolios 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.
Futures contracts held by the Portfolios are valued using the settlement
price established each day on the exchange on which they are traded. These
valuations are generally categorized as Level 1 in the hierarchy.
Tax-Managed U.S. Marketwide Value Portfolio's investment reflects its
proportionate interest in the net assets of the Series. These valuations are
classified as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Summary
Schedule of Portfolio Holdings. The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
For the year ended October 31, 2015, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Portfolios.
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.
49
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between 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 Fund
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses.
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 2015, 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 Portfolios 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 Portfolio are directly charged. Common expenses of the Fund or Portfolios
are allocated using methods approved by the Board, generally based on average
net assets.
The Feeder Fund recognizes its pro-rata share of net investment income and
realized and unrealized gains/losses of investment securities, on a daily
basis, from its Series, which is treated as a partnership for federal income
tax purposes.
The International Equity Portfolios may be subject to taxes imposed by
countries in which 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 International Equity Portfolios accrue such taxes when the
related income or capital gains are earned or throughout the holding period.
Some countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales 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.
T.A. World ex U.S. Core Equity Portfolio 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.
50
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Portfolios. Prior to July 21, 2015, the Advisor received no
compensation for the investment advisory services it provided to the Feeder
Fund. On May 8, 2015 and June 10, 2015 at a Special Joint Meeting of
Shareholders, shareholders of the Portfolios approved new investment management
agreements, which became effective July 21, 2015, that provide a uniform
agreement that increases transparency and better describes all of the services
that the Advisor provides to each Portfolio. For each non-Feeder Portfolio, the
rate charged under the new investment management agreement for investment
management services is equal to the rate charged under each Portfolio's
previous investment advisory or management agreement with the Advisor. For the
Feeder Fund, the new investment management agreement replaced the Feeder Fund's
investment advisory agreement (that provided for no investment advisory fee at
the Feeder Fund level) and administration agreement and charges a rate equal to
the combination of the rate charged under the Feeder Fund's previous
administration agreement with the Advisor and the rate of the advisory fee
charged by the Advisor to the Master Fund in which the Feeder Fund invests. In
order to prevent the Feeder Fund from being subject to a higher level of
investment management fees, the Advisor will permanently waive the Feeder
Fund's investment management fee in the circumstances described in the notes
below. For the year ended October 31, 2015, the Portfolios' investment advisory
services/management fees were accrued daily and paid monthly to the Advisor
based on the following effective annual rates of average daily net assets:
Advisory
Services Fees
- -------------
Tax-Managed U.S. Equity Portfolio............. 0.20%
Tax-Managed U.S. Targeted Value Portfolio..... 0.42%
Tax-Managed U.S. Small Cap Portfolio.......... 0.50%
T.A. U.S. Core Equity 2 Portfolio............. 0.22%
Tax-Managed DFA International Value Portfolio. 0.50%
T.A. World ex U.S. Core Equity Portfolio...... 0.40%
Prior to July 21, 2015, the Feeder Fund paid fees to the Advisor pursuant to
an administration agreement for administrative services, including supervision
of services provided by others, providing information to shareholders and the
Board, and other administrative services, that were accrued daily and paid
monthly based on an effective annual rate of 0.15% of the Feeder Fund's average
daily net assets. Effective July 21, 2015, the Feeder Fund's investment
advisory services/management fees pursuant to the new investment management
agreement were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.35% of the Feeder Fund'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 certain fees and in certain instances, assume certain expenses of the
Tax-Managed U.S. Equity Portfolio, T.A. U.S. Core Equity 2 Portfolio, and T.A.
World ex U.S. Core Equity Portfolio, as described in the notes below. The Fee
Waiver Agreement for the Portfolios below will remain in effect through
February 28, 2016, 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. Pursuant to a
Fee Waiver Agreement with the Feeder Fund, the Advisor has contractually agreed
to waive management fees paid by the Feeder Fund, as described in the notes
below. The Fee Waiver Agreement with the Feeder Fund will remain in effect
permanently, unless terminated by the Feeder Fund. For the year ended
October 31, 2015, the Portfolios listed had expense limits based on a
percentage of average net assets on an annualized basis, and the Advisor
recovered previously waived fees and/or expenses assumed as listed below
(amounts in thousands). Previously waived fees subject to future recovery by
the Advisor are also reflected below (amounts in thousands). The Fund, on
behalf of the Portfolios listed, is not obligated to reimburse the Advisor for
51
fees previously waived or expenses previously assumed by the Advisor more than
36 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
-------------------------- ---------- ---------------- -----------------
Tax-Managed U.S. Marketwide Value Portfolio (1). 0.35% -- --
Tax-Managed U.S. Equity Portfolio (2)........... 0.22% $80 $125
T.A. U.S. Core Equity 2 Portfolio (3)........... 0.30% -- --
T.A. World ex U.S. Core Equity Portfolio (4).... 0.60% -- --
(1) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Feeder Fund to
the extent necessary to limit the total management fees paid to the Advisor by
the Feeder Fund, including the proportionate share of the management fees the
Feeder Fund pays indirectly through its investment in other funds managed by
the Advisor, to the rate listed above as a percentage of the average net assets
of a class of the Feeder Fund on an annualized basis.
(2) The Advisor has contractually agreed to waive its management fee and
assume the ordinary operating expenses of the Portfolio (excluding the expenses
that the Portfolio incurs indirectly through investment in other investment
companies) ("Portfolio Expenses") to the extent necessary to reduce the
Portfolio's expenses when its total operating expenses exceed the rate listed
above as a percentage 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 listed
above for the Portfolio, the Advisor retains the right to recover any fees
previously waived and/or expenses previously assumed to the extent that such
recovery is within 36 months and will not cause the Portfolio Expenses to
exceed the Expense Limitation Amount.
(3) The Advisor has contractually agreed to waive all or a portion of its
management fee and to assume the Portfolio's ordinary operating expenses
(excluding the expenses the Portfolio incurs indirectly through investment in
other investment companies) ("Portfolio Expenses") to the extent necessary to
limit the Portfolio Expenses to the rate listed above as a percentage of
average net assets on an annualized basis (the "Expense Limitation Amount"). At
any time that the annualized Portfolio Expenses of the Portfolio are less than
the Expense Limitation Amount listed above, the Advisor retains the right to
recover any fees previously waived and/or any expenses previously assumed to
the extent that such recovery is within 36 months and will not cause the
Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation
Amount.
(4) The Advisor has contractually agreed to waive all or a portion of its
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) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of the
Portfolio to the rate listed above as a percentage of the Portfolio's average
net assets on an annualized basis (the "Expense Limitation Amount"). At any
time that the annualized Portfolio Expenses of the Portfolio are less than the
Expense Limitation Amount listed above, the Advisor retains the right to
recover any fees previously waived and/or any expenses previously assumed to
the extent that such recovery is within 36 months and will not cause the
Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation
Amount.
Earned Income Credit:
In addition, the Portfolio's custody expenses entered into arrangements with
their custodian whereby net interest earned on uninvested cash balances was
used to reduce a portion of each Portfolio's custody expenses. Custody expense
in the accompanying financial statements is presented before reduction for
credits. The impact of such credits is generally less than one basis point of
each Portfolio's net assets. During the year ended October 31, 2015, expenses
reduced were as follows (amounts in thousands):
Fees Paid
Indirectly
----------
Tax-Managed DFA International Value Portfolio. $6
T.A. World ex U.S. Core Equity Portfolio...... 6
52
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Fund; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Fund. For the year ended October 31, 2015, the total
related amounts paid to the CCO by the Fund were $275 (in thousands). The total
related amounts paid by each of the Portfolios are included in Other Expenses
on the Statement of Operations.
D. Deferred Compensation:
At October 31, 2015, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amounts in thousands):
Tax-Managed U.S. Marketwide Value Portfolio... $ 89
Tax-Managed U.S. Equity Portfolio............. 100
Tax-Managed U.S. Targeted Value Portfolio..... 93
Tax-Managed U.S. Small Cap Portfolio.......... 54
T.A. U.S. Core Equity 2 Portfolio............. 93
Tax-Managed DFA International Value Portfolio. 82
T.A. World ex U.S. Core Equity Portfolio...... 40
E. Purchases and Sales of Securities:
For the year ended October 31, 2015, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
and U.S. government securities (amounts in thousands):
Purchases Sales
---------- --------
Tax-Managed U.S. Equity Portfolio............. $ 179,870 $ 25,310
Tax-Managed U.S. Targeted Value Portfolio..... 588,900 490,494
Tax-Managed U.S. Small Cap Portfolio.......... 293,430 179,179
T.A. U.S. Core Equity 2 Portfolio............. 911,247 359,380
Tax-Managed DFA International Value Portfolio. 1,059,971 768,512
T.A. World ex U.S. Core Equity Portfolio...... 396,301 111,959
There were no purchases or sales of long-term U.S. government securities.
F. Federal Income Taxes:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gains or losses, as appropriate,
in the period that the differences arise. Accordingly, the following permanent
differences as of October 31, 2015, primarily attributable to net foreign
currency gains/losses, realized gains on securities considered to be "passive
foreign investment companies", non-deductible expenses, foreign capital gains
tax, tax equalization, were reclassified to
53
the following accounts. These reclassifications had no effect on net assets or
net asset value per share (amounts in thousands):
Increase Increase
(Decrease) (Decrease)
Increase Undistributed Accumulated
(Decrease) Net Investment Net Realized
Paid-In Capital Income Gains (Losses)
--------------- -------------- --------------
Tax-Managed U.S. Marketwide Value Portfolio... $1,424 $(1,424) --
Tax-Managed U.S. Equity Portfolio............. -- 1 $ (1)
Tax-Managed U.S. Targeted Value Portfolio..... 6,446 (1,509) (4,937)
Tax-Managed U.S. Small Cap Portfolio.......... 4,457 (753) (3,704)
T.A. U.S. Core Equity 2 Portfolio............. 882 (868) (14)
Tax-Managed DFA International Value Portfolio. 1,465 (1,901) 436
T.A. World ex U.S. Core Equity Portfolio...... 1,749 (1,590) (159)
The tax character of dividends and distributions declared and paid during
the years ended October 31, 2014 and October 31, 2015 were as follows (amounts
in thousands):
Net Investment
Income and
Short-Term Long-Term Tax Exempt
Capital Gains Capital Gains Income Total
-------------- ------------- ---------- --------
Tax-Managed U.S. Marketwide Value Portfolio
2014.......................................... $ 49,288 -- -- $ 49,288
2015.......................................... 60,761 -- -- 60,761
Tax-Managed U.S. Equity Portfolio
2014.......................................... 35,329 -- -- 35,329
2015.......................................... 42,330 -- -- 42,330
Tax-Managed U.S. Targeted Value Portfolio
2014.......................................... 28,250 $ 83,909 -- 112,159
2015.......................................... 40,821 125,781 -- 166,602
Tax-Managed U.S. Small Cap Portfolio
2014.......................................... 14,279 -- -- 14,279
2015.......................................... 19,870 38,979 -- 58,849
T.A. U.S. Core Equity 2 Portfolio
2014.......................................... 66,232 39,638 -- 105,870
2015.......................................... 85,159 65,625 -- 150,784
Tax-Managed DFA International Value Portfolio
2014.......................................... 120,029 -- -- 120,029
2015.......................................... 85,981 2,411 -- 88,392
T.A. World ex U.S. Core Equity Portfolio
2014.......................................... 50,468 3,988 -- 54,456
2015.......................................... 50,580 -- -- 50,580
At October 31, 2015, the following net investment income and short-term
capital gains and long-term capital gains distributions designated for federal
income tax purposes are due to the utilization of accumulated earnings and
profits distributed to shareholders upon redemption of shares (amounts in
thousands):
Net Investment
Income and
Short-Term Long-Term
Capital Gains Capital Gains Total
-------------- ------------- ------
Tax-Managed U.S. Marketwide Value Portfolio... $1,424 -- $1,424
Tax-Managed U.S. Targeted Value Portfolio..... 1,580 $4,866 6,446
Tax-Managed U.S. Small Cap Portfolio.......... 783 3,674 4,457
T.A. U.S. Core Equity 2 Portfolio............. 876 2 878
Tax-Managed DFA International Value Portfolio. 1,465 -- 1,465
T.A. World ex U.S. Core Equity Portfolio...... 1,749 -- 1,749
54
At October 31, 2015, 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)
-------------- ------------- ------------- -------------- -------------
Tax-Managed U.S. Marketwide Value
Portfolio......................... $ 7,971 -- $ (37,141) $1,655,277 $1,626,107
Tax-Managed U.S. Equity Portfolio... 5,661 -- (322,969) 1,229,681 912,373
Tax-Managed U.S. Targeted Value
Portfolio......................... 3,943 $128,577 -- 1,392,007 1,524,527
Tax-Managed U.S. Small Cap
Portfolio......................... 1,526 94,181 -- 877,201 972,908
T.A. U.S. Core Equity 2 Portfolio... 10,796 163 -- 2,062,284 2,073,243
Tax-Managed DFA International Value
Portfolio......................... 10,616 -- (23,126) (37,505) (50,015)
T.A. World ex U.S. Core Equity
Portfolio......................... 7,982 -- (25,489) 182,607 165,100
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, 2015, 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 2019 2020 2021 2022 Unlimited Total
------- -------- ---- ---- ---- ---- ---- --------- --------
Tax-Managed U.S. Marketwide
Value Portfolio................. -- $ 37,141 -- -- -- -- -- -- $ 37,141
Tax-Managed U.S. Equity
Portfolio....................... $36,404 286,566 -- -- -- -- -- -- 322,970
Tax-Managed U.S. Targeted Value
Portfolio....................... -- -- -- -- -- -- -- -- --
Tax-Managed U.S. Small Cap
Portfolio....................... -- -- -- -- -- -- -- -- --
T.A. U.S. Core Equity 2 Portfolio. -- -- -- -- -- -- -- -- --
Tax-Managed DFA International
Value Portfolio................. -- -- -- -- -- -- -- $23,126 23,126
T.A. World ex U.S. Core Equity
Portfolio....................... -- -- -- -- -- -- -- 25,489 25,489
During the year ended October 31, 2015, the Portfolios utilized the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
Tax-Managed U.S. Marketwide Value Portfolio. $62,521
Tax-Managed U.S. Equity Portfolio........... 42,514
55
At October 31, 2015, 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)
---------- ------------ ------------ --------------
Tax-Managed U.S. Marketwide Value Portfolio... $2,205,875 $1,655,352 $ (75) $1,655,277
Tax-Managed U.S. Equity Portfolio............. 1,473,320 1,271,544 (41,863) 1,229,681
Tax-Managed U.S. Targeted Value Portfolio..... 2,815,635 1,552,340 (160,333) 1,392,007
Tax-Managed U.S. Small Cap Portfolio.......... 1,799,138 951,170 (73,969) 877,201
T.A. U.S. Core Equity 2 Portfolio............. 4,159,682 2,153,546 (91,263) 2,062,283
Tax-Managed DFA International Value Portfolio. 3,052,499 357,791 (395,220) (37,429)
T.A. World ex U.S. Core Equity Portfolio...... 1,988,671 471,198 (288,542) 182,656
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. 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.
G. Financial Instruments:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. 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. Futures Contracts: The Portfolios may enter into futures contracts to
adjust market exposure on actual or expected cash inflows to or outflows from
the Portfolios. Upon entering into a futures contract, the Portfolio 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
Portfolio as unrealized gains or losses until the contracts are closed. When
the contracts are closed, the Portfolio records a realized gain or loss, which
is presented in the 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 Portfolio could lose more
than the initial margin requirements.
56
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.
The following is a summary of the location on the Portfolios' Statements of
Operations of realized gains and losses from the Portfolios' derivative
instrument holdings through the year ended October 31, 2015:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income
--------------- -----------------------------------------------------------
Equity contracts Net Realized Gain (Loss) on: Futures
The following is a summary of the realized gains and losses from the
Portfolios' derivative instrument holdings categorized by primary risk exposure
through the year ended October 31, 2015 (amounts in thousands):
Realized Gain (Loss) on
Derivatives Recognized in Income
-------------------------------
Equity
Total Contracts
------- ---------
Tax-Managed U.S. Targeted Value Portfolio*. $(2,054) $(2,054)
Tax-Managed U.S. Small Cap Portfolio**..... (328) (328)
* As of October 31, 2015, there were no futures contracts outstanding. During
the year ended October 31, 2015, the Portfolios had limited activity in
futures contracts.
**During the year ended October 31, 2015, Tax-Managed U.S. Small Cap Portolio's
average notional contract amount of outstanding futures contracts was $835
(in thousands).
H. Line of Credit and Interfund Lending Program:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective April 1, 2015 with its domestic custodian bank. A line of credit with
similar terms was in effect through March 31, 2015. 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
expires on March 30, 2016.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit with its
international custodian bank effective January 9, 2015. A line of credit with
similar terms was in effect through January 8, 2015. 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 8, 2016.
For the year ended October 31, 2015, borrowings by the Portfolios under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
Weighted Weighted Number of Interest Maximum Amount
Average Average Days Expense Borrowed During
Interest Rate Loan Balance Outstanding* Incurred The Period
------------- ------------ ------------ -------- ---------------
Tax-Managed U.S. Equity Portfolio........ 0.87% $ 1,538 16 $ 1 $ 3,717
Tax-Managed U.S. Targeted Value
Portfolio.............................. 0.89% 1,706 5 -- 3,247
Tax-Managed U.S. Small Cap Portfolio..... 0.88% 282 3 -- 507
T.A. U.S. Core Equity 2 Portfolio........ 0.88% 12,456 18 5 19,332
Tax-Managed DFA International Value
Portfolio.............................. 0.79% 9,774 29 7 52,292
T.A. World ex U.S. Core Equity Portfolio. 0.88% 8,583 41 9 31,984
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2015, that each Portfolio's available line
of credit was utilized.
57
There were no outstanding borrowings by the Portfolios under the lines of
credit as of October 31, 2015.
Pursuant to a recently obtained exemptive order issued by the SEC (the
"Order"), the Portfolios may participate in an interfund lending program among
certain portfolios managed by the Advisor (portfolios that operate as feeder
funds do not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
For the year ended October 31, 2015, activity by the Portfolios under the
interfund lending program was as follows (amounts in thousands, except
percentages and days):
Borrower Weighted Weighted Number of Interest Maximum Amount
or Average Average Days Expense/ Borrowed/Loaned
Lender Interest Rate Loan Balance Outstanding* Income During The Period
-------- ------------- ------------ ------------ -------- -----------------
Tax-Managed DFA International
Value Portfolio............. Borrower 0.50% $53,403 3 $2 $53,403
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2015, that the Portfolio utilized an
interfund loan.
The Portfolios had no outstanding interfund loans as of October 31, 2015.
I. Affiliated Trades
Cross trades for the year ended October 31, 2015 if any, were executed by
the Portfolio pursuant to Rule 17a-7 under the 1940 Act. Cross trading is the
buying or selling of portfolio securities between funds to which Dimensional
Fund Advisors LP (or an affiliate) serves as investment adviser. At its
regularly scheduled meetings, the Board reviews such transactions for
compliance with the requirements and restrictions set forth by Rule 17a-7."
For the year ended October 31, 2015, cross trades by the Portfolios under
Rule 17a-7 were as follows:
Portfolio Purchases Sales
--------- --------- -------
Tax-Managed U.S. Equity Portfolio............. $17,894 $ 284
Tax-Managed U.S. Targeted Value Portfolio..... 11,289 28,864
Tax-Managed U.S. Small Cap Portfolio.......... 11,874 7,033
T.A. U.S. Core Equity 2 Portfolio............. 28,074 37,468
Tax-Managed DFA International Value Portfolio. 2,161 20,471
T.A. World ex U.S. Core Equity Portfolio...... 2,662 688
J. Securities Lending:
As of October 31, 2015, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolios received cash collateral. In
addition, the following Portfolios received non-cash collateral consisting of
short and/or long term U.S. government securities (amounts in thousands):
Market
Value
--------
Tax-Managed U.S. Equity Portfolio............. $ 73,987
Tax-Managed U.S. Targeted Value Portfolio..... 85,963
Tax-Managed U.S. Small Cap Portfolio.......... 53,829
T.A. U.S. Core Equity 2 Portfolio............. 112,350
Tax-Managed DFA International Value Portfolio. 2,202
T.A. World ex U.S. Core Equity Portfolio...... 18,196
58
Each Portfolio with securities on loan invests the cash collateral, as
described below, and records a liability for the return of the collateral,
during the period the securities are on loan. Loans of securities are expected
at all times to be secured by collateral equal to at least (i) 100% of the
current market value of the loaned securities with respect to securities of the
U.S. government or its agencies, (ii) 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) 105% of the
current market value of the loaned securities with respect to foreign
securities. However, daily market fluctuations could cause the Portfolios'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, a Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
Subject to their stated investment policies, the Portfolios with securities
on loan will generally invest the cash collateral received for the loaned
securities in The DFA Short Term Investment Fund (the "Money Market Series"),
an affiliated registered money market fund advised by the Advisor for which the
Advisor receives a management fee of 0.05% of the average daily net assets of
the Money Market Series. Such Portfolios also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated and unaffiliated registered and
unregistered money market funds. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities. In
addition, each Portfolio with securities on loan will be able to terminate the
loan at any time and will receive reasonable interest on the loan, as well as
amounts equal to any dividends, interest or other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible to be taxed at qualified dividend income rates.
K. 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.
L. Other:
At October 31, 2015, 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
------------ --------------
Tax-Managed U.S. Marketwide Value Portfolio... 3 90%
Tax-Managed U.S. Equity Portfolio............. 3 87%
Tax-Managed U.S. Targeted Value Portfolio..... 3 95%
Tax-Managed U.S. Small Cap Portfolio.......... 3 92%
T.A. U.S. Core Equity 2 Portfolio............. 3 91%
Tax-Managed DFA International Value Portfolio. 3 93%
T.A. World ex U.S. Core Equity Portfolio...... 3 91%
59
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. 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 Tax-Managed U.S. Marketwide 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 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. Oral argument
on the appeal was held on November 5, 2014, and the parties await the Second
Circuit's ruling. 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. The motion to dismiss is fully-briefed, and the parties await the
scheduling of oral argument on the motion. The Committee Action is stayed
pending the disposition of the motion to dismiss.
Litigation counsel to The Tax-Managed U.S. Marketwide Value Series in the
Lawsuits has advised management that it does not believe that it is possible,
at this early stage in the proceedings, to predict with any reasonable
certainty the probable outcome of the Lawsuits or quantify the ultimate
exposure to The Tax-Managed U.S. Marketwide Value Series arising from the
Lawsuits. Until The Tax-Managed U.S. Marketwide Value Series can do so, no
reduction of the net asset value of The Tax-Managed U.S. Marketwide Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of The Tax-Managed U.S. Marketwide Value Series'
net asset value at this time.
The Tax-Managed U.S. Marketwide Value Series also cannot quantify the cost
of the Lawsuits might be that could potentially be deducted from its net asset
value. Therefore, at this time, those investors buying or redeeming shares of
The Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case
may be, a price based on the net asset value of The Tax-Managed U.S. Marketwide
Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees
and costs relating to the Lawsuits will be taken as expenses by The Tax-Managed
U.S. Marketwide Value Series as incurred and in a manner similar to any other
expense incurred by The Tax-Managed U.S. Marketwide Value Series.
M. Subsequent Event Evaluations:
Management has evaluated the impact of all subsequent events on the
Portfolios and has determined that there are no subsequent events requiring
recognition or disclosure in the financial statements.
60
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of the Portfolios, as defined:
In our opinion, the accompanying statements of assets and liabilities,
including the schedule of investments/summary schedules of portfolio holdings,
and the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of Tax-Managed U.S. Marketwide Value Portfolio, Tax-Managed U.S.
Equity Portfolio, Tax-Managed U.S. Targeted Value Portfolio, Tax-Managed U.S.
Small Cap Portfolio, T.A. U.S. Core Equity 2 Portfolio, Tax-Managed DFA
International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio
(constituting portfolios within DFA Investment Dimensions Group Inc., hereafter
referred to as the "Portfolios") at October 31, 2015, the results of each of
their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolios' management.
Our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with the standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2015 by
correspondence with the custodians, brokers and transfer agents of the investee
funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
61
RESULTS OF THE SHAREHOLDER MEETING
(Unaudited)
On May 8, 2015 and June 10, 2015, DFA Investment Dimensions Group Inc.
("DFAIDG") held a Special Joint Meeting of Shareholders for the purpose of
voting on several proposals affecting DFAIDG and the Portfolios, including,
among other items, the election of Directors, the approval of an updated
investment management agreement, and the amendment of certain fundamental
investment limitations. The shareholders of the Portfolios approved each of the
applicable proposals for DFAIDG and the Portfolios presented at the Meeting.
Listed below are the voting results from the Meeting. Please note that not all
Proposals presented at the Meeting were voted on by each Portfolio.
Additionally, the Proposal numbers reflected below correlate to the Proposal
numbers presented for vote at the Meeting.
DFAIDG
Proposal 1: Election of Directors/Trustees*
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
------------- ------- ------ ----------- -------- ----------
(a) David G. Booth........... 9,813,303,615 98.22% 63.03% 178,323,699 1.78% 1.15%
(b) George M. Constantinides. 9,825,715,266 98.34% 63.11% 165,912,043 1.66% 1.07%
(c) John P. Gould............ 9,821,346,669 98.30% 63.09% 170,280,645 1.70% 1.09%
(d) Roger G. Ibbotson........ 9,825,084,982 98.33% 63.11% 166,542,033 1.67% 1.07%
(e) Edward P. Lazear......... 9,824,635,836 98.33% 63.11% 166,991,519 1.67% 1.07%
(f) Eduardo A. Repetto....... 9,836,468,256 98.45% 63.18% 155,159,090 1.55% 1.00%
(g) Myron S. Scholes......... 9,816,729,833 98.25% 63.06% 174,897,480 1.75% 1.12%
(h) Abbie J. Smith........... 9,806,645,531 98.15% 62.99% 184,978,779 1.85% 1.19%
* Results are for all Portfolios within DFAIDG
T.A. U.S. Core Equity 2 Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 200,590,604 97.64% 53.80% 4,852,757 2.36% 1.30%
(b) George M. Constantinides. 200,686,642 97.68% 53.83% 4,756,719 2.32% 1.28%
(c) John P. Gould............ 200,667,587 97.68% 53.82% 4,775,774 2.32% 1.28%
(d) Roger G. Ibbotson........ 200,682,098 97.68% 53.82% 4,761,263 2.32% 1.28%
(e) Edward P. Lazear......... 200,735,681 97.71% 53.84% 4,707,680 2.29% 1.26%
(f) Eduardo A. Repetto....... 200,781,476 97.73% 53.85% 4,661,885 2.27% 1.25%
(g) Myron S. Scholes......... 200,739,415 97.71% 53.84% 4,703,946 2.29% 1.26%
(h) Abbie J. Smith........... 200,607,397 97.65% 53.80% 4,835,964 2.35% 1.30%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
154,361,611 75.14% 41.40% 1,099,556 0.54% 0.29% 4,473,573 2.18% 1.20% 45,508,621 22.15%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
153,202,297 74.57% 41.09% 1,783,615 0.87% 0.48% 4,948,828 2.41% 1.33% 45,508,621 22.15%
62
T.A. World ex U.S. Core Equity Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 122,966,694 97.06% 57.83% 3,726,773 2.94% 1.75%
(b) George M. Constantinides. 123,402,099 97.40% 58.04% 3,291,368 2.60% 1.55%
(c) John P. Gould............ 123,252,286 97.28% 57.97% 3,441,181 2.72% 1.62%
(d) Roger G. Ibbotson........ 123,374,550 97.38% 58.02% 3,318,917 2.62% 1.56%
(e) Edward P. Lazear......... 123,413,635 97.41% 58.04% 3,279,832 2.59% 1.54%
(f) Eduardo A. Repetto....... 123,418,105 97.41% 58.04% 3,275,362 2.59% 1.54%
(g) Myron S. Scholes......... 123,400,542 97.40% 58.04% 3,292,925 2.60% 1.55%
(h) Abbie J. Smith........... 123,430,888 97.42% 58.05% 3,262,579 2.58% 1.53%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
92,512,845 73.02% 43.51% 964,725 0.76% 0.45% 3,077,710 2.43% 1.45% 30,138,187 23.79%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
92,912,894 73.34% 43.70% 604,097 0.48% 0.28% 3,038,291 2.40% 1.43% 30,138,187 23.79%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
92,359,838 72.90% 43.44% 1,010,281 0.80% 0.48% 3,185,161 2.51% 1.50% 30,138,187 23.79%
Tax-Managed DFA International Value Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 113,746,710 97.45% 55.05% 2,971,821 2.55% 1.44%
(b) George M. Constantinides. 114,446,179 98.05% 55.39% 2,272,352 1.95% 1.10%
(c) John P. Gould............ 114,435,228 98.04% 55.38% 2,283,303 1.96% 1.11%
(d) Roger G. Ibbotson........ 114,445,124 98.05% 55.39% 2,273,407 1.95% 1.10%
(e) Edward P. Lazear......... 114,417,171 98.03% 55.37% 2,301,360 1.97% 1.11%
(f) Eduardo A. Repetto....... 114,422,890 98.03% 55.38% 2,295,641 1.97% 1.11%
(g) Myron S. Scholes......... 114,429,173 98.04% 55.38% 2,289,358 1.96% 1.11%
(h) Abbie J. Smith........... 114,422,224 98.03% 55.37% 2,296,307 1.97% 1.11%
Proposal 2: Approval of a "Manager of Managers" Structure
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
97,391,518 83.44% 47.13% 1,782,515 1.53% 0.86% 1,845,360 1.58% 0.89% 15,699,138 13.45%
63
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
97,606,876 83.63% 47.24% 1,579,212 1.35% 0.76% 1,833,306 1.57% 0.89% 15,699,138 13.45%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
97,301,550 83.36% 47.09% 1,804,767 1.55% 0.87% 1,913,076 1.64% 0.93% 15,699,138 13.45%
Tax-Managed U.S. Equity Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 54,909,557 98.58% 51.43% 788,958 1.42% 0.74%
(b) George M. Constantinides. 54,955,600 98.67% 51.47% 742,915 1.33% 0.70%
(c) John P. Gould............ 54,876,342 98.52% 51.40% 822,173 1.48% 0.77%
(d) Roger G. Ibbotson........ 54,959,042 98.67% 51.47% 739,473 1.33% 0.69%
(e) Edward P. Lazear......... 54,926,631 98.61% 51.44% 771,884 1.39% 0.72%
(f) Eduardo A. Repetto....... 54,915,429 98.59% 51.43% 783,086 1.41% 0.73%
(g) Myron S. Scholes......... 54,925,725 98.61% 51.44% 772,790 1.39% 0.72%
(h) Abbie J. Smith........... 54,929,208 98.62% 51.45% 769,307 1.38% 0.72%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
46,303,005 83.13% 43.37% 546,758 0.98% 0.51% 902,903 1.62% 0.85% 7,945,849 14.27%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
45,989,148 82.57% 43.07% 785,131 1.41% 0.74% 978,387 1.76% 0.92% 7,945,849 14.27%
Tax-Managed U.S. Marketwide Value Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 85,219,273 98.29% 57.66% 1,485,659 1.71% 1.01%
(b) George M. Constantinides. 85,373,910 98.46% 57.76% 1,331,020 1.54% 0.90%
(c) John P. Gould............ 85,374,928 98.47% 57.76% 1,330,003 1.53% 0.90%
(d) Roger G. Ibbotson........ 85,393,077 98.49% 57.77% 1,311,854 1.51% 0.89%
(e) Edward P. Lazear......... 84,318,454 97.25% 57.05% 2,386,476 2.75% 1.61%
(f) Eduardo A. Repetto....... 85,379,748 98.47% 57.77% 1,325,183 1.53% 0.90%
(g) Myron S. Scholes......... 85,374,652 98.47% 57.76% 1,330,279 1.53% 0.90%
(h) Abbie J. Smith........... 85,387,912 98.48% 57.77% 1,317,018 1.52% 0.89%
64
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
71,905,130 82.93% 48.65% 936,845 1.08% 0.63% 1,229,143 1.42% 0.83% 12,633,814 14.57%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
71,728,631 82.73% 48.53% 1,031,877 1.19% 0.70% 1,310,609 1.51% 0.89% 12,633,814 14.57%
Proposal 7: Election of Trustees of Master Fund
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 84,892,788 97.91% 57.44% 1,812,142 2.09% 1.23%
(b) George M. Constantinides. 85,037,722 98.08% 57.53% 1,667,209 1.92% 1.13%
(c) John P. Gould............ 85,034,440 98.07% 57.53% 1,670,490 1.93% 1.13%
(d) Roger G. Ibbotson........ 85,052,680 98.09% 57.54% 1,652,251 1.91% 1.12%
(e) Edward P. Lazear......... 83,985,432 96.86% 56.82% 2,719,499 3.14% 1.84%
(f) Eduardo A. Repetto....... 85,035,714 98.07% 57.53% 1,669,217 1.93% 1.13%
(g) Myron S. Scholes......... 85,032,649 98.07% 57.53% 1,672,280 1.93% 1.13%
(h) Abbie J. Smith........... 85,054,135 98.10% 57.55% 1,650,796 1.90% 1.12%
Proposal 9: Approval of an Updated Investment Management Agreement Between
Dimensional Fund Advisors LP and Master Fund
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- ---------- --------
71,772,115 82.78% 48.56% 958,102 1.11% 0.65% 1,340,901 1.55% 0.91% 12,633,814 14.57%
Proposal 10: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities of Master Fund.
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- ---------- --------
71,669,401 82.66% 48.49% 1,024,499 1.18% 0.69% 1,377,215 1.59% 0.93% 12,633,814 14.57%
Tax-Managed U.S. Small Cap Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ -------- -------- ----------
(a) David G. Booth........... 30,899,581 98.81% 53.24% 373,142 1.19% 0.64%
(b) George M. Constantinides. 30,946,729 98.96% 53.32% 325,994 1.04% 0.56%
(c) John P. Gould............ 30,941,608 98.94% 53.31% 331,115 1.06% 0.57%
(d) Roger G. Ibbotson........ 30,949,172 98.97% 53.32% 323,551 1.03% 0.56%
(e) Edward P. Lazear......... 30,617,195 97.90% 52.75% 655,528 2.10% 1.13%
(f) Eduardo A. Repetto....... 30,926,245 98.89% 53.28% 346,478 1.11% 0.60%
(g) Myron S. Scholes......... 30,939,486 98.93% 53.31% 333,237 1.07% 0.57%
(h) Abbie J. Smith........... 30,929,445 98.90% 53.29% 343,278 1.10% 0.59%
65
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
26,919,243 86.08% 46.38% 146,506 0.47% 0.25% 450,097 1.44% 0.78% 3,756,877 12.01%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- ------- ------- --------- --------- --------
26,681,418 85.32% 45.97% 345,304 1.10% 0.59% 489,122 1.56% 0.84% 3,756,877 12.01%
Tax-Managed U.S. Targeted Value Portfolio
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
---------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 56,416,226 97.58% 50.94% 1,399,159 2.42% 1.26%
(b) George M. Constantinides. 56,480,285 97.69% 51.00% 1,335,100 2.31% 1.21%
(c) John P. Gould............ 56,482,299 97.69% 51.00% 1,333,086 2.31% 1.20%
(d) Roger G. Ibbotson........ 56,500,223 97.73% 51.02% 1,315,162 2.27% 1.19%
(e) Edward P. Lazear......... 55,674,872 96.30% 50.28% 2,140,513 3.70% 1.93%
(f) Eduardo A. Repetto....... 56,475,480 97.68% 51.00% 1,339,905 2.32% 1.21%
(g) Myron S. Scholes......... 56,484,642 97.70% 51.01% 1,330,743 2.30% 1.20%
(h) Abbie J. Smith........... 56,493,523 97.71% 51.01% 1,321,862 2.29% 1.19%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- --------- --------
48,299,907 83.54% 43.62% 804,130 1.39% 0.73% 1,174,260 2.03% 1.06% 7,537,088 13.04%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ ------- ------- --------- --------- ------- --------- --------- --------
48,119,786 83.23% 43.45% 937,342 1.62% 0.85% 1,221,167 2.11% 1.10% 7,537,088 13.04%
66
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(Unaudited)
--------------------------------------------------------------------------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS.
RUSSELL 3000(R) VALUE INDEX
October 31, 2005-October 31, 2015
[CHART]
The Tax-Managed U.S. Marketwide Russell 3000/R/
Value Series Value Index
------------------------------- -------------------
10/31/05 $10,000 $10,000
11/30/05 10,397 10,334
12/31/05 10,447 10,383
1/31/06 11,027 10,826
2/28/06 11,002 10,886
3/31/06 11,260 11,068
4/30/06 11,544 11,326
5/31/06 11,216 11,023
6/30/06 11,292 11,099
7/31/06 11,222 11,330
8/31/06 11,279 11,533
9/30/06 11,500 11,752
10/31/06 11,941 12,156
11/30/06 12,237 12,440
12/31/06 12,470 12,703
1/31/07 12,798 12,868
2/28/07 12,634 12,672
3/31/07 12,779 12,864
4/30/07 13,233 13,308
5/31/07 13,856 13,789
6/30/07 13,560 13,467
7/31/07 12,823 12,799
8/31/07 12,754 12,952
9/30/07 13,075 13,365
10/31/07 13,088 13,378
11/30/07 12,319 12,697
12/31/07 12,268 12,575
1/31/08 11,783 12,070
2/29/08 11,355 11,567
3/31/08 11,147 11,500
4/30/08 11,777 12,045
5/31/08 12,042 12,059
6/30/08 10,712 10,905
7/31/08 10,630 10,912
8/31/08 10,844 11,124
9/30/08 9,924 10,332
10/31/08 7,706 8,519
11/30/08 6,944 7,878
12/31/08 7,177 8,016
1/31/09 6,244 7,076
2/28/09 5,406 6,128
3/31/09 5,974 6,654
4/30/09 7,007 7,394
5/31/09 7,536 7,827
6/30/09 7,429 7,772
7/31/09 8,192 8,428
8/31/09 8,733 8,866
9/30/09 9,124 9,216
10/31/09 8,689 8,908
11/30/09 9,093 9,393
12/31/09 9,427 9,601
1/31/10 9,162 9,330
2/28/10 9,584 9,635
3/31/10 10,340 10,277
4/30/10 10,744 10,581
5/31/10 9,824 9,709
6/30/10 9,074 9,137
7/31/10 9,798 9,758
8/31/10 9,156 9,316
9/30/10 10,069 10,060
10/31/10 10,460 10,369
11/30/10 10,485 10,339
12/31/10 11,474 11,158
1/31/11 11,758 11,391
2/28/11 12,420 11,824
3/31/11 12,502 11,880
4/30/11 12,798 12,186
5/31/11 12,596 12,050
6/30/11 12,376 11,799
7/31/11 11,853 11,408
8/31/11 10,863 10,671
9/30/11 9,761 9,836
10/31/11 11,122 10,985
11/30/11 11,033 10,931
12/31/11 11,147 11,147
1/31/12 11,727 11,594
2/29/12 12,344 12,033
3/31/12 12,609 12,391
4/30/12 12,376 12,260
5/31/12 11,506 11,539
6/30/12 12,111 12,110
7/31/12 12,218 12,217
8/31/12 12,678 12,490
9/30/12 13,132 12,891
10/31/12 13,176 12,820
11/30/12 13,258 12,818
12/31/12 13,642 13,103
1/31/13 14,543 13,949
2/28/13 14,770 14,147
3/31/13 15,501 14,709
4/30/13 15,608 14,913
5/31/13 16,118 15,301
6/30/13 16,024 15,171
7/31/13 17,001 16,003
8/31/13 16,497 15,388
9/30/13 17,101 15,813
10/31/13 17,908 16,491
11/30/13 18,652 16,966
12/31/13 19,168 17,386
1/31/14 18,412 16,764
2/28/14 19,086 17,493
3/31/14 19,370 17,894
4/30/14 19,414 18,014
5/31/14 19,874 18,266
6/30/14 20,384 18,769
7/31/14 20,069 18,383
8/31/14 20,807 19,068
9/30/14 20,277 18,605
10/31/14 20,624 19,090
11/30/14 20,895 19,443
12/31/14 21,103 19,594
1/31/15 20,044 18,808
2/28/15 21,500 19,715
3/31/15 21,292 19,493
4/30/15 21,512 19,628
5/31/15 21,840 19,858
6/30/15 21,613 19,494
7/31/15 21,676 19,528
8/31/15 20,309 18,381 Past performance is not predictive of
9/30/15 19,672 17,820 future performance.
10/31/15 21,229 19,136 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
Average Annual One Five Ten redemption of fund shares.
Total Return Year Years Years Russell data copyright (C) Russell
-------------------------------------------------------- Investment Group 1995-2015, all rights
2.93% 15.21% 7.82% reserved.
--------------------------------------------------------------------------------
67
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
(Unaudited)
U.S. Equity Market Review 12 Months Ended October 31, 2015
U.S. equities had positive returns during the period. The broad U.S. equity
market, as measured by the Russell 3000(R) Index, gained approximately 4.5%.
Large-cap stocks outperformed small-cap stocks as measured by the Russell
indices.
Total Return for 12 Months Ended October 31, 2015
-------------------------------------------------
Russell 3000(R) Index........................ 4.49%
Russell Microcap(R) Index (micro-cap stocks). 0.82%
Russell 2000(R) Index (small-cap stocks)..... 0.34%
Russell 1000(R) Index (large-cap stocks)..... 4.86%
Dow Jones U.S. Select REIT Index/SM/......... 6.87%
Growth stocks outperformed value stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2015
-------------------------------------------------
Russell 2000(R) Value Index (small-cap value stocks)... -2.88%
Russell 2000(R) Growth Index (small-cap growth stocks). 3.52%
Russell 1000(R) Value Index (large-cap value stocks)... 0.53%
Russell 1000(R) Growth Index (large-cap growth stocks). 9.18%
----------
Source: Russell data copyright (C) Russell Investment Group 1995-2015, all
rights reserved.
Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that
among the most important factors explaining differences in the behavior of
diversified equity portfolios are the market capitalization and value/growth
characteristics of the portfolios' holdings. Value characteristics are a
function of stock price relative to one or more fundamental characteristics
such as book value, earnings, or dividends.
For many Dimensional U.S. equity portfolios, differences in returns over the
period were primarily attributable to differences in value/growth and size
characteristics as well as the exclusion of REIT securities from most
Dimensional portfolios and the exclusion of securities of highly regulated
utilities from most value strategies. For many portfolios, the construction
approach used by Dimensional generally resulted in portfolios with greater
weight in value, small-cap, and/or micro-cap companies relative to widely used
benchmarks.
Domestic Equity Series' Performance Overview
Tax-Managed U.S. Marketwide Value Series
The Tax-Managed U.S. Marketwide Value Series invests in a broadly
diversified group of U.S. value stocks while considering federal tax
implications of investment decisions. Value is measured primarily by
book-to-market ratio. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2015, the Series held approximately
1,100 securities. In general, cash exposure was low throughout the year with an
average cash balance of less than 1% of the Series' assets.
For the 12 months ended October 31, 2015, total returns were 2.93% for the
Series and 0.24% for the Russell 3000(R) Value Index. As a result of the
Series' diversified investment approach, performance was determined principally
by broad trends in the U.S. equity market rather than the behavior of a limited
number of stocks. The Series had a smaller allocation than the Index to the
largest market cap stocks and a greater allocation to the remainder of the
eligible universe, which benefited relative performance as the largest market
cap value stocks underperformed.
68
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(Unaudited)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return and "Expenses Paid During Period" reflect
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
Six Months Ended October 31, 2015
EXPENSE TABLES
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
05/01/15 10/31/15 Ratio* Period*
--------- --------- ---------- --------
The Tax-Managed U.S. Marketwide Value Series
--------------------------------------------
Actual Fund Return........................... $1,000.00 $ 986.80 0.21% $1.05
Hypothetical 5% Annual Return................ $1,000.00 $1,024.15 0.21% $1.07
----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then divided
by the number of days in the year (365) to reflect the six-month period.
69
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending
January 31 and July 31. The Form N-Q filing must be made within 60 days of the
end of the quarter. The DFA Investment Trust Company filed its most recent Form
N-Q with the SEC on September 29, 2015. They are 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 Tax-Managed U.S. Marketwide Value Series
Consumer Discretionary....................... 18.9%
Consumer Staples............................. 7.9%
Energy....................................... 14.0%
Financials................................... 19.3%
Health Care.................................. 11.4%
Industrials.................................. 13.2%
Information Technology....................... 8.5%
Materials.................................... 2.4%
Other........................................ --
Telecommunication Services................... 4.2%
Utilities.................................... 0.2%
-----
100.0%
70
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2015
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
COMMON STOCKS -- (93.6%)
Consumer Discretionary -- (17.7%)
Carnival Corp................................ 489,649 $ 26,480,218 0.5%
Comcast Corp. Class A........................ 3,446,875 215,843,312 4.0%
Comcast Corp. Special Class A................ 1,088,341 68,249,864 1.3%
General Motors Co............................ 802,642 28,020,232 0.5%
* Liberty Interactive Corp., QVC Group Class A. 882,463 24,153,012 0.5%
# Royal Caribbean Cruises, Ltd................. 322,500 31,717,875 0.6%
Time Warner Cable, Inc....................... 693,942 131,432,615 2.5%
Time Warner, Inc............................. 1,534,860 115,636,352 2.2%
Twenty-First Century Fox, Inc. Class A....... 1,287,383 39,509,784 0.8%
Other Securities............................. 327,779,700 6.0%
-------------- -----
Total Consumer Discretionary..................... 1,008,822,964 18.9%
-------------- -----
Consumer Staples -- (7.4%)
Archer-Daniels-Midland Co.................... 813,476 37,143,314 0.7%
Constellation Brands, Inc. Class A........... 249,042 33,570,862 0.6%
CVS Health Corp.............................. 1,510,745 149,231,391 2.8%
Mondelez International, Inc. Class A......... 2,081,099 96,063,530 1.8%
Other Securities............................. 107,874,928 2.0%
-------------- -----
Total Consumer Staples........................... 423,884,025 7.9%
-------------- -----
Energy -- (13.1%)
Anadarko Petroleum Corp...................... 845,068 56,518,148 1.1%
Chevron Corp................................. 1,027,290 93,360,115 1.8%
# ConocoPhillips............................... 1,728,838 92,233,507 1.7%
Exxon Mobil Corp............................. 2,043,508 169,079,852 3.2%
Marathon Petroleum Corp...................... 903,936 46,823,885 0.9%
Phillips 66.................................. 883,414 78,668,017 1.5%
Valero Energy Corp........................... 605,899 39,940,862 0.8%
Other Securities............................. 169,659,429 3.0%
-------------- -----
Total Energy..................................... 746,283,815 14.0%
-------------- -----
Financials -- (18.0%)
American International Group, Inc............ 899,581 56,727,578 1.1%
Bank of America Corp......................... 5,529,894 92,791,621 1.7%
Capital One Financial Corp................... 373,787 29,491,794 0.6%
Citigroup, Inc............................... 2,143,604 113,975,425 2.1%
CME Group, Inc............................... 414,385 39,146,951 0.7%
Goldman Sachs Group, Inc. (The).............. 209,155 39,216,562 0.7%
JPMorgan Chase & Co.......................... 2,120,954 136,271,294 2.6%
MetLife, Inc................................. 1,125,923 56,724,001 1.1%
Morgan Stanley............................... 1,476,248 48,671,897 0.9%
Prudential Financial, Inc.................... 497,625 41,054,062 0.8%
Other Securities............................. 375,910,559 7.0%
-------------- -----
Total Financials................................. 1,029,981,744 19.3%
-------------- -----
Health Care -- (10.7%)
Aetna, Inc................................... 558,462 64,100,268 1.2%
* Allergan P.L.C............................... 117,350 36,198,954 0.7%
Anthem, Inc.................................. 504,640 70,220,656 1.3%
* Express Scripts Holding Co................... 501,076 43,282,945 0.8%
Humana, Inc.................................. 236,814 42,302,085 0.8%
Medtronic P.L.C.............................. 324,690 24,001,085 0.5%
71
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Percentage
Shares Value+ of Net Assets**
------ ------ ---------------
Health Care -- (Continued)
Pfizer, Inc........................................ 4,448,466 $ 150,447,120 2.8%
Thermo Fisher Scientific, Inc...................... 499,520 65,327,226 1.2%
Other Securities................................... 114,818,331 2.1%
-------------- ------
Total Health Care........................................ 610,698,670 11.4%
-------------- ------
Industrials -- (12.4%)
CSX Corp........................................... 1,242,950 33,547,220 0.6%
FedEx Corp......................................... 142,324 22,209,660 0.4%
General Electric Co................................ 5,637,788 163,044,829 3.1%
Norfolk Southern Corp.............................. 545,229 43,634,677 0.8%
Northrop Grumman Corp.............................. 175,493 32,948,811 0.6%
Southwest Airlines Co.............................. 645,761 29,892,277 0.6%
Union Pacific Corp................................. 888,128 79,354,237 1.5%
Other Securities................................... 302,802,363 5.6%
-------------- ------
Total Industrials........................................ 707,434,074 13.2%
-------------- ------
Information Technology -- (8.0%)
# Activision Blizzard, Inc........................... 982,162 34,139,951 0.7%
Cisco Systems, Inc................................. 2,617,806 75,523,703 1.4%
Intel Corp......................................... 1,924,139 65,151,347 1.2%
* Yahoo!, Inc........................................ 1,048,770 37,357,187 0.7%
Other Securities................................... 244,731,539 4.5%
-------------- ------
Total Information Technology............................. 456,903,727 8.5%
-------------- ------
Materials -- (2.3%)
Other Securities................................... 130,435,325 2.4%
-------------- ------
Other -- (0.0%)
Other Securities................................... -- 0.0%
-------------- ------
Telecommunication Services -- (3.9%)
AT&T, Inc.......................................... 5,441,020 182,328,580 3.4%
Other Securities................................... 41,398,339 0.8%
-------------- ------
Total Telecommunication Services......................... 223,726,919 4.2%
-------------- ------
Utilities -- (0.1%)
Other Securities................................... 8,105,423 0.2%
-------------- ------
TOTAL COMMON STOCKS...................................... 5,346,276,686 100.0%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................... 183,722 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES.............................. 5,346,460,408
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional Liquid Reserves, 0.140%. 3,231,849 3,231,849 0.1%
-------------- ------
SECURITIES LENDING COLLATERAL -- (6.3%)
(S)@ DFA Short Term Investment Fund..................... 31,241,165 361,460,278 6.7%
-------------- ------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,382,943,498)................................ $5,711,152,535 106.8%
============== ======
72
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, 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...... $1,008,822,964 -- -- $1,008,822,964
Consumer Staples............ 423,884,025 -- -- 423,884,025
Energy...................... 746,283,815 -- -- 746,283,815
Financials.................. 1,029,981,744 -- -- 1,029,981,744
Health Care................. 610,698,670 -- -- 610,698,670
Industrials................. 707,434,074 -- -- 707,434,074
Information Technology...... 456,903,727 -- -- 456,903,727
Materials................... 130,435,325 -- -- 130,435,325
Other....................... -- -- -- --
Telecommunication Services.. 223,726,919 -- -- 223,726,919
Utilities................... 8,105,423 -- -- 8,105,423
Rights/Warrants............... -- $ 183,722 -- 183,722
Temporary Cash Investments.... 3,231,849 -- -- 3,231,849
Securities Lending Collateral. -- 361,460,278 -- 361,460,278
-------------- ------------ -- --------------
TOTAL......................... $5,349,508,535 $361,644,000 -- $5,711,152,535
============== ============ == ==============
See accompanying Notes to Financial Statements.
73
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
(Amounts in thousands)
ASSETS:
Investments at Value (including $512,345 of securities on loan)*......... $5,346,461
Temporary Cash Investments at Value & Cost............................... 3,232
Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 361,460
Receivables:
Dividends.............................................................. 6,553
Securities Lending Income.............................................. 122
----------
Total Assets........................................................ 5,717,828
----------
LIABILITIES:
Payables:
Due to Custodian....................................................... 3
Upon Return of Securities Loaned....................................... 361,460
Investment Securities Purchased........................................ 6,823
Due to Advisor......................................................... 889
Accrued Expenses and Other Liabilities................................... 241
----------
Total Liabilities................................................... 369,416
----------
NET ASSETS............................................................... $5,348,412
==========
Investments at Cost...................................................... $3,018,251
==========
----------
* See Note G in the Notes to Financial Statements for additional securities
lending collateral.
See accompanying Notes to Financial Statements.
74
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2015
(Amounts in thousands)
Investment Income
Dividends..................................................... $106,292
Income from Securities Lending................................ 1,349
--------
Total Investment Income.................................... 107,641
--------
Expenses
Investment Advisory Services Fees............................. 10,630
Accounting & Transfer Agent Fees.............................. 269
Custodian Fees................................................ 60
Shareholders' Reports......................................... 21
Directors'/Trustees' Fees & Expenses.......................... 26
Professional Fees............................................. 98
Other......................................................... 68
--------
Total Expenses............................................. 11,172
--------
Net Expenses.................................................. 11,172
--------
Net Investment Income (Loss).................................. 96,469
--------
Realized and Unrealized Gain (Loss)
Net Realized Gain (Loss) on:
Investment Securities Sold.................................. 88,248
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities....................................... (36,271)
--------
Net Realized and Unrealized Gain (Loss)....................... 51,977
--------
Net Increase (Decrease) in Net Assets Resulting from Operations. $148,446
========
See accompanying Notes to Financial Statements.
75
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Year Year
Ended Ended
Oct. 31, Oct. 31,
2015 2014
---------- ----------
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss).......................................... $ 96,469 $ 77,511
Net Realized Gain (Loss) on:
Investment Securities Sold.......................................... 88,248 18,712
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities............................................... (36,271) 573,756
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations.... 148,446 669,979
---------- ----------
Transactions in Interest:
Contributions......................................................... 247,754 209,662
Withdrawals........................................................... (191,765) (125,419)
---------- ----------
Net Increase (Decrease) from Transactions in Interest.............. 55,989 84,243
---------- ----------
Total Increase (Decrease) in Net Assets............................ 204,435 754,222
Net Assets
Beginning of Year..................................................... 5,143,977 4,389,755
---------- ----------
End of Year........................................................... $5,348,412 $5,143,977
========== ==========
See accompanying Notes to Financial Statements.
76
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
FINANCIAL HIGHLIGHTS
Year Year Year Year Year
Ended Ended Ended Ended Ended
Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31,
2015 2014 2013 2012 2011
-----------------------------------------------------------------------------------------------------------------
Total Return......................................... 2.93% 15.17% 35.92% 18.47% 6.33%
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (thousands).................. $5,348,412 $5,143,977 $4,389,755 $3,306,476 $2,901,325
Ratio of Expenses to Average Net Assets.............. 0.21% 0.21% 0.21% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets. 1.82% 1.61% 1.82% 1.99% 1.61%
Portfolio Turnover Rate.............................. 6% 2% 5% 10% 20%
-----------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements.
77
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
NOTES TO FINANCIAL STATEMENTS
A. Organization:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, one of which, The Tax-Managed
U.S. Marketwide Value Series (the "Series"), is presented in this section of
the report. The remaining ten 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 utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price at the close of the exchanges on which
they are principally traded (official closing price). Securities held by the
Series that are listed on Nasdaq are valued at the Nasdaq Official Closing
Price ("NOCP"). If there is no last reported sale price or NOCP for the day,
the Series values the securities at the mean of the most recent quoted bid and
asked prices. Price information on listed securities is taken from the exchange
where the security is primarily traded. Generally, securities issued by
open-end investment companies are valued using their respective net asset
values or public offering prices, as appropriate, for purchase orders placed at
the close of the New York Stock Exchange (NYSE). These securities are generally
categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board. Fair value pricing may also be used if events that have a
significant effect on the value of an investment (as determined in the
discretion of 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.
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
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.
78
For the year ended October 31, 2015, there were no significant transfers
between Level 1 and Level 2 and no significant Level 3 investments held by the
Series.
2. Deferred Compensation Plan: Each eligible Director/Trustee of the Trust
may elect participation in The Fee Deferral Plan for Independent Directors and
Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such
Directors/Trustees may defer payment of all or a portion of their total fees
earned as a Director/Trustee. These deferred amounts may be treated as though
such amounts had been invested in shares of the following funds: U.S. Large Cap
Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio;
U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value
Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio;
Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors'/Trustees'
Fees & Expenses. At October 31, 2015, the total liability for deferred
compensation to Trustees is included in Accrued Expenses and Other Liabilities
on the Statement of Assets and Liabilities in the amount of $125 (in thousands).
Each Director/Trustee has the option to receive their distribution of
proceeds in one of the following methods: lump sum; annual installments over a
period of agreed upon years; or quarterly installments over a period of agreed
upon years. Each Director/Trustee shall have the right in a notice of election
(the "Notice") to defer the receipt of the Director's/Trustee's deferred
compensation until a date specified by such Director/Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Director/Trustee ceases to be a member
of the Board; and (ii) five years following the effective date of the
Director's/Trustee's first deferral election. If a Director/Trustee who elects
to defer fees fails to designate in the Notice a time or date as of which
payment of the Director's/Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Director/Trustee ceases to be a member of the
Board (unless the Director/Trustee files an amended Notice selecting a
different distribution date). As of October 31, 2015, none of the
Directors/Trustees have requested or received a distribution of proceeds of a
deferred fee account.
3. Other: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Series 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
Series are directly charged. Common expenses of the Trust or its Series are
allocated using methods approved by the Board, generally based on average net
assets.
C. Investment Advisor:
The Advisor, Dimensional Fund Advisors LP, provides investment advisory
services to the Series. On May 8, 2015 and June 10, 2015 at a Special Joint
Meeting of Shareholders, shareholders of the Series approved a new investment
management agreement, which became effective July 21, 2015, that provides a
uniform agreement that increases transparency and better describes all of the
services that the Advisor provides to the Series. The rate charged to the
Series under the new investment management agreement for investment management
services is equal to the rate charged under the Series' previous investment
advisory agreement with the Advisor. For the year ended October 31, 2015, the
Series' investment advisory services fees were accrued daily and paid monthly
to the Advisor based on an effective annual rate of 0.20% of average daily net
assets of the Series.
Fees Paid to Officers and Directors/Trustees:
Certain Officers and Directors/Trustees of the Advisor are also Officers and
Directors/Trustees of the Trust; however, such Officers and Directors/Trustees
(with the exception of the Chief Compliance Officer ("CCO")) receive no
compensation from the Trust. For the year ended October 31, 2015, the total
related amounts paid to the CCO by the Trust were $84 (in thousands). The total
related amounts paid by the Series is included in Other Expenses on the
Statement of Operations.
79
D. Purchases and Sales of Securities:
For the year ended October 31, 2015, 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 Tax-Managed U.S. Marketwide Value Series. $484,934 $292,557
There were no purchases or sales of long-term U.S. government securities.
E. Federal Income Taxes:
The Series is treated as a partnership for federal income tax purposes and
therefore, no provision for federal income taxes is required. Any net
investment income and realized and unrealized gains and losses have been deemed
to have been "passed down" to its partners.
At October 31, 2015, 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 Tax-Managed U.S. Marketwide Value Series. $3,383,550 $2,448,275 $(120,672) $2,327,603
The difference between book basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold
for financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. Management has analyzed the Series' tax
positions and has concluded that no additional provision for income tax is
required in the Series' financial statements. The Series is not aware of any
tax 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.
F. Line of Credit and Interfund Lending Program:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective April 1, 2015 with its domestic custodian bank. A line of credit with
similar terms was in effect through March 31, 2015. 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
expires on March 30, 2016.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $500 million unsecured line of credit with its
international custodian bank effective January 9, 2015. A line of credit with
similar terms was in effect through January 8, 2015. 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 8, 2016.
80
For the year ended October 31, 2015, 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 Tax-Managed U.S. Marketwide
Value Series.................. 0.90% $4,431 45 $5 $17,595
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2015, that the Series' available line of
credit was utilized.
There were no outstanding borrowings by the Series under the lines of credit
as of October 31, 2015.
Pursuant to a recently obtained exemptive order issued by the SEC (the
"Order"), the Series may participate in an interfund lending program among
certain portfolios managed by the Advisor (portfolios that operate as feeder
funds do not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice. The Series did not utilize the interfund
lending program during the year ended October 31, 2015.
G. Affiliated Trades
Cross trades for the year ended October 31, 2015, if any, were executed by the
Portfolios pursuant to procedures adopted by the Board of Directors of the Fund
to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940
(the "1940 Act"). Cross trading is the buying or selling of portfolio
securities between series of investment companies, or between a series of an
investment company and another entity, that are or could be considered
affiliates by virtue of having a common investment adviser (or affiliated
investment advisers), common directors/trustees and/or common officers. At its
regularly scheduled meetings, the Board reviews such transactions for
compliance with the requirements and restrictions set forth by Rule 17a-7 under
the 1940 Act.
For the year ended October 31, 2015, cross trades by the Portfolio under
Rule 17a-7 were as follows (amounts in thousands):
Portfolio Purchases Sales
--------- --------- -------
Tax-Managed U.S. Marketwide Value Series. $7,633 $18,842
H. Securities Lending:
As of October 31, 2015, the Series had securities on loan to
brokers/dealers, for which the Series received cash collateral. In addition,
the Series received non-cash collateral consisting of short and/or long term
U.S. government securities with a market value of $152,485 (in thousands). The
Series invests the cash collateral, as described below, and records a liability
for the return of the collateral, during the period the securities are on loan.
Loans of securities are expected at all times to be secured by collateral equal
to at least (i) 100% of the current market value of the loaned securities with
respect to securities 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,
81
to replace the securities. In the event of the bankruptcy of the borrower, a
Portfolio could experience delay in recovering the loaned securities or only
recover cash or a security of equivalent value.
Subject to its stated investment policies, the Series will generally invest
the cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average daily net assets of the Money Market Series. The
Series also may invest the cash collateral received for the loaned securities
in securities of the U.S. government or its agencies, repurchase agreements
collateralized by securities of the U.S. government or its agencies, and
affiliated and unaffiliated registered and unregistered money market funds. For
purposes of this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. In addition, the Series will be able to terminate
the loan at any time and will receive reasonable interest on the loan, as well
as amounts equal to any dividends, interest or other distributions on the
loaned securities. However, dividend income received from loaned securities may
not be eligible to be taxed at qualified dividend income rates.
I. Indemnitees; Contractual Obligations:
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In the normal course of business, the Trust enters into
contracts that contain a variety of representations and warranties which
provide general indemnification. The Trust's maximum exposure under these
arrangements is unknown as this would involve future claims that may be made
against the Trust and/or its affiliates that have not yet occurred. However,
based on experience, the Trust expects the risk of loss to be remote.
J. Other:
The Series is subject to claims and suits that arise from time to time in
the ordinary course of business. 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 Tax-Managed U.S. Marketwide 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 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. Oral argument
on the appeal was held on November 5, 2014, and the parties await the Second
Circuit's ruling. 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. The motion to dismiss is fully-briefed, and the parties await the
scheduling of oral argument on the motion. The Committee Action is stayed
pending the disposition of the motion to dismiss.
Litigation counsel to The Tax-Managed U.S. Marketwide Value Series in the
Lawsuits does not believe that it is possible, at this early stage in the
proceedings, to predict with any reasonable certainty the probable outcome of
the Lawsuits or quantify the ultimate exposure to The Tax-Managed U.S.
Marketwide Value Series arising from the Lawsuits. Until The Tax-Managed U.S.
Marketwide Value Series can do so, no reduction of the net asset value of The
Tax-Managed U.S. Marketwide Value Series will be made relating to the Lawsuits.
However, even if the plaintiffs in the Lawsuits were to obtain the full
recovery the plaintiffs seek, the amount would be less than 1% of The
Tax-Managed U.S. Marketwide Value Series' net asset value at this time.
82
The Tax-Managed U.S. Marketwide Value Series also cannot quantify the cost
of the Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the net asset value of The Tax-Managed U.S. Marketwide
Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees
and costs relating to the Lawsuits will be taken as expenses by The Tax-Managed
U.S. Marketwide Value Series as incurred and in a manner similar to any other
expense incurred by The Tax-Managed U.S. Marketwide Value Series.
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.
83
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and
Shareholders of The Tax-Managed U.S. Marketwide Value Series:
In our opinion, the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of The Tax-Managed
U.S. Marketwide Value Series (constituting a portfolio within The DFA
Investment Trust Company, hereafter referred to as the "Series") at October 31,
2015, the results of its operations for the year then ended, the changes in its
net assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Series' management. Our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 2015 by
correspondence with the custodian, broker and the transfer agent of the
investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
84
RESULTS OF THE SHAREHOLDER MEETING
(Unaudited)
On May 8, 2015 and June 10, 2015, The DFA Investment Trust Company
("DFAITC") held a Special Joint Meeting of Shareholders for the purpose of
voting on several proposals affecting DFAITC and the Series, including, among
other items, the election of Trustees, the approval of an updated investment
management agreement, and the amendment of certain fundamental investment
limitations. The shareholders of the Series approved each of the applicable
proposals for DFAITC and the Series presented at the Meeting. Listed below are
the voting results from the Meeting. Please note that not all Proposals
presented at the Meeting were voted on by the Series. Additionally, the
Proposal numbers reflected below correlate to the Proposal numbers presented
for vote at the Meeting.
DFAITC
Proposal 1: Election of Directors/Trustees*
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
------------- ------- ------ ---------- -------- ----------
(a) David G. Booth........... 3,799,690,199 99.00% 99.00% 38,401,017 1.00% 1.00%
(b) George M. Constantinides. 3,805,482,510 99.15% 99.15% 32,608,707 0.85% 0.85%
(c) John P. Gould............ 3,805,511,230 99.15% 99.15% 32,579,986 0.85% 0.85%
(d) Roger G. Ibbotson........ 3,805,697,022 99.16% 99.16% 32,394,194 0.84% 0.84%
(e) Edward P. Lazear......... 3,803,361,554 99.10% 99.10% 34,729,663 0.90% 0.90%
(f) Eduardo A. Repetto....... 3,805,386,852 99.15% 99.15% 32,704,365 0.85% 0.85%
(g) Myron S. Scholes......... 3,804,518,074 99.13% 99.13% 33,573,142 0.87% 0.87%
(h) Abbie J. Smith........... 3,799,720,532 99.00% 99.00% 38,370,685 1.00% 1.00%
* Results are for all Series within DFAITC
The Tax-Managed U.S. Marketwide Value Series
Proposal 1: Election of Directors/Trustees
% Voted % FOR % Voted % WITHHOLD
FOR FOR of O/S WITHHOLD WITHHOLD of O/S
----------- ------- ------ --------- -------- ----------
(a) David G. Booth........... 155,088,932 97.81% 97.81% 3,475,575 2.19% 2.19%
(b) George M. Constantinides. 155,343,434 97.97% 97.97% 3,221,073 2.03% 2.03%
(c) John P. Gould............ 155,351,750 97.97% 97.97% 3,212,757 2.03% 2.03%
(d) Roger G. Ibbotson........ 155,273,889 97.92% 97.92% 3,290,618 2.08% 2.08%
(e) Edward P. Lazear......... 153,782,204 96.98% 96.98% 4,782,303 3.02% 3.02%
(f) Eduardo A. Repetto....... 155,215,286 97.89% 97.89% 3,349,221 2.11% 2.11%
(g) Myron S. Scholes......... 155,268,867 97.92% 97.92% 3,295,640 2.08% 2.08%
(h) Abbie J. Smith........... 155,357,638 97.98% 97.98% 3,206,869 2.02% 2.02%
Proposal 4: Approval of an Updated Investment Management Agreement with
Dimensional Fund Advisors LP
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- -------- --------
153,418,344 96.75% 96.75% 1,946,325 1.23% 1.23% 3,199,838 2.02% 2.02% 0 0.00%
Proposal 5: Approval of an Amendment to the Fundamental Investment Limitation
Regarding Investment in Commodities
% Voted % FOR % Voted % AGAINST % Voted % ABSTAIN Broker % Broker
FOR FOR of O/S AGAINST AGAINST of O/S ABSTAIN ABSTAIN of O/S Non-Vote Non-Vote
--- ------- ------ --------- ------- --------- --------- ------- --------- -------- --------
153,170,946 96.60% 96.60% 2,083,715 1.31% 1.31% 3,309,846 2.09% 2.09% 0 0.00%
85
FUND MANAGEMENT
(Unaudited)
Trustees/Directors
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2015.
Each Board's Nominating Committee is composed of George M. Constantinides, John
P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie J.
Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee did not meet during
the fiscal year ended October 31, 2015.
Each Board's Strategy Committee consists of both interested and disinterested
Trustees/Directors. The Strategy Committee is composed of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Strategy Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Strategy Committee may (i) review the design of possible new
series of the Fund, (ii) review performance of existing portfolios of the Fund
and discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Strategy
Committee was formed on December 17, 2010, and there were three Strategy
Committee meetings held during the fiscal year ended October 31, 2015.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at www.dimensional.com.
86
Name, Position Portfolios within the Principal Occupation(s) During Past 5
with the Fund, Address Term of Office/1/ and DFA Fund Complex/2/ Years and Other Directorships of Public
and Year of Birth Length of Service Overseen Companies Held
--------------------------------------------------------------------------------------------------------------------
Disinterested Trustees/Directors
--------------------------------------------------------------------------------------------------------------------
George M. Constantinides DFAIDG-Since 1983 122 portfolios in 4 Leo Melamed Professor of Finance,
Director of DFAIDG and DIG. DIG-Since 1993 investment companies University of Chicago Booth School of
Trustee of DFAITC and DEM. DFAITC-Since 1992 Business.
The University of Chicago DEM-Since 1993
Booth School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
1947
--------------------------------------------------------------------------------------------------------------------
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G. Rothmeier Professor and
Director of DFAIDG and DIG. DIG-Since 1993 investment companies Distinguished Service Professor of
Trustee of DFAITC and DEM DFAITC-Since 1992 Economics, University of Chicago Booth
The University of Chicago DEM-Since 1993 School of Business (since 1965). Member
Booth School of Business and Chair, Competitive Markets Advisory
5807 S. Woodlawn Avenue Council, Chicago Mercantile Exchange
Chicago, IL 60637 (futures trading exchange) (since
1939 2004). Trustee, Harbor Fund (registered
investment company) (29 Portfolios)
(since 1994). Formerly, Member of the
Board of Milwaukee Insurance Company
(1997-2010).
--------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale
Director of DFAIDG and DIG. DIG-Since 1993 investment companies School of Management (since 1984).
Trustee of DFAITC and DEM. DFAITC-Since 1992 Chairman, CIO and Partner, Zebra
Yale School of Management DEM-Since 1993 Capital Management, LLC (hedge fund and
P.O. Box 208200 asset manager) (since 2001). Consultant
New Haven, CT 06520-8200 to Morningstar Inc. (since 2006).
1943 Formerly, Director, BIRR Portfolio
Analysis, Inc. (software products)
(1990-2010).
--------------------------------------------------------------------------------------------------------------------
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG and DIG. DIG-Since 2010 investment companies Institution (since 2002). Jack Steele
Trustee of DFAITC and DEM. DFAITC-Since 2010 Parker Professor of Human Resources
Stanford University Graduate DEM-Since 2010 Management and Economics, Graduate
School of Business School of Business, Stanford University
518 Memorial Way (since 1995). Cornerstone Research
Stanford, CA 94305-5015 (expert testimony and economic and
1948 financial analysis) (since 2009).
Formerly, Chairman of the President
George W. Bush's Council of Economic
Advisers (2006-2009). Formerly, Council
of Economic Advisors, State of
California (2005-2006). Formerly,
Commissioner, White House Panel on Tax
Reform (2005)
--------------------------------------------------------------------------------------------------------------------
Myron S. Scholes DFAIDG-Since 1981 122 portfolios in 4 Chief Investment Strategist, Janus
Director of DFAIDG and DIG. DIG-Since 1993 investment companies Capital Group Inc. (since 2014). Frank
Trustee of DFAITC and DEM. DFAITC-Since 1992 E. Buck Professor of Finance Emeritus,
c/o Dimensional Fund DEM-Since 1993 Graduate School of Business, Stanford
Advisors, LP University (since 1981). Chairman,
6300 Bee Cave Road Ruapay Inc. (since 2013). Formerly,
Building 1 Chairman, Platinum Grove Asset
Austin, TX 78746 Management, L.P. (hedge fund)
1941 (formerly, Oak Hill Platinum Partners)
(1999-2009). Formerly, Director,
American Century Fund Complex
(registered investment companies)
(43 Portfolios) (1980-2014).
--------------------------------------------------------------------------------------------------------------------
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in 4 Boris and Irene Stern Distinguished
Director of DFAIDG and DIG. DIG-Since 2000 investment companies Service Professor of Accounting,
Trustee of DFAITC and DEM. DFAITC-Since 2000 University of Chicago Booth School of
The University of Chicago DEM-Since 2000 Business (since 1980). Director, HNI
Booth School of Business Corporation (formerly known as HON
5807 S. Woodlawn Industries Inc.) (office furniture)
Avenue Chicago, IL 60637 (since 2000). Director, Ryder System
1953 Inc. (transportation, logistics and
supply-chain management) (since 2003).
Trustee, UBS Funds (4 investment
companies within the fund complex) (33
portfolios) (since 2009). Formerly,
Co-Director Investment Research,
Fundamental Investment Advisors (hedge
fund) (2008-2011).
87
Name, Position Portfolios within the Principal Occupation(s) During Past 5
with the Fund, Address Term of Office/1/ and DFA Fund Complex/2/ Years and Other Directorships of Public
and Year of Birth Length of Service Overseen Companies Held
-------------------------------------------------------------------------------------------------------------------
Interested Trustees/Directors*
-------------------------------------------------------------------------------------------------------------------
David G. Booth DFAIDG-Since 1981 122 portfolios in 4 Chairman, Director/Trustee, President,
Chairman, Director/Trustee, DIG-Since 1992 investment companies Co-Chief Executive Officer and
President and Co-Chief DFAITC-Since 1992 formerly, Chief Executive Officer
Executive Officer DEM-Since 1993 (until 1/1/2010) of the following
6300 Bee Cave Road, companies: Dimensional Holdings Inc.,
Building One Dimensional Fund Advisors LP, DFA
Austin, TX 78746 Securities LLC, DEM, DFAIDG, DIG and
1946 DFAITC (collectively, the "DFA
Entities"). Director of Dimensional
Fund Advisors Ltd. and formerly, Chief
Investment Officer. Director of DFA
Australia Limited and formerly,
President and Chief Investment Officer.
Director of Dimensional Advisors Ltd.,
Dimensional Funds plc and Dimensional
Funds II plc. Formerly, President,
Dimensional SmartNest (US) LLC
(2009-2014). Formerly, Limited Partner,
Oak Hill Partners (2001- 2010). Limited
Partner, VSC Investors, LLC (since
2007). Trustee, University of Chicago.
Trustee, University of Kansas Endowment
Association. Formerly, Director, SA
Funds (registered investment company).
Chairman, Director and Co- Chief
Executive Officer of Dimensional Fund
Advisors Canada ULC. Director and
President (since 2012) of Dimensional
Japan Ltd. Chairman, Director,
President and Co-Chief Executive
Officer of Dimensional Cayman Commodity
Fund I Ltd. (since 2010).
-------------------------------------------------------------------------------------------------------------------
Eduardo A. Repetto DFAIDG-Since 2009 122 portfolios in 4 Co-Chief Executive Officer (beginning
Director/Trustee, Co-Chief DIG-Since 2009 investment companies January 2010), Co-Chief Investment
Executive Officer and Co- DFAITC-Since 2009 Officer (since June 2014),
Chief Investment Officer DEM-Since 2009 Director/Trustee, and formerly, Chief
6300 Bee Cave Road, Investment Officer (March 2007 - June
Building One 2014) of the DFA Entities. Director,
Austin, TX 78746 Co-Chief Executive Officer and Chief
1967 Investment Officer (since 2010) of
Dimensional Cayman Commodity Fund I
Ltd. Director, Co-Chief Executive
Officer, President and Co-Chief
Investment Officer of Dimensional Fund
Advisors Canada ULC and formerly, Chief
Investment Officer (until April 2014).
Co-Chief Investment Officer, Vice
President, and Director of DFA
Australia Limited and formerly, Chief
Investment Officer (until April 2014).
Director of Dimensional Fund Advisors
Ltd., Dimensional Funds plc,
Dimensional Funds II plc and
Dimensional Advisors Ltd. Formerly,
Vice President of the DFA Entities and
Dimensional Fund Advisors Canada ULC.
Director and Chief Investment Officer
(since December 2012) of Dimensional
Japan Ltd.
-------------------------------------------------------------------------------------------------------------------
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
DFAIDG, DIG; DFAITC and DEM. Each disinterested Trustee/Director also
serves on the Independent Review Committee of the Dimensional Funds, mutual
funds registered in the provinces of Canada and managed by an affiliate of
Dimensional Fund Advisors LP (the "Advisor"), Dimensional Fund Advisors
Canada ULC.
* Interested Trustees/Directors are described as such because they are deemed
to be "interested persons," as that term is defined under the Investment
Company Act of 1940, as amended, due to their positions with the Advisor.
88
Officers
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
------------------------------------------------------------------------------------------------------------------
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
------------------------------------------------------------------------------------------------------------------
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1974 Vice President, Business Development at
Capson Physicians Insurance Company
(2010-2012); Vice President at Charles Schwab
(2007-2010).
------------------------------------------------------------------------------------------------------------------
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
------------------------------------------------------------------------------------------------------------------
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director
1955 and Managing Director of Dimensional Fund
Advisors Ltd (since September 2013).
------------------------------------------------------------------------------------------------------------------
Peter Bergan Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Senior Infrastructure Manager for Dimensional
Fund Advisors LP (January 2011-January
2014); Partner at Stonehouse Consulting
(2010).
------------------------------------------------------------------------------------------------------------------
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Client Service Manager for Dimensional Fund
Advisors LP (February 2008-January 2014).
------------------------------------------------------------------------------------------------------------------
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1970 Senior Research Associate (January 2012-
January 2014) and Research Associate
(2006-2011) for Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director for Dimensional Fund
Advisors LP (April 2008-January 2014).
------------------------------------------------------------------------------------------------------------------
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
------------------------------------------------------------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the
1967 Assistant Secretary DFA Entities, DFA Australia Limited,
Dimensional Fund Advisors Ltd., Dimensional
Cayman Commodity Fund I Ltd., Dimensional
Fund Advisors Pte. and Dimensional Hong Kong
Limited. Director, Vice President and Assistant
Secretary of Dimensional Fund Advisors
Canada ULC.
------------------------------------------------------------------------------------------------------------------
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of
1964 Global Financial Services for Dimensional Fund
Advisors LP (since 2008).
------------------------------------------------------------------------------------------------------------------
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1970 Regional Director for Dimensional Fund
Advisors LP (December 2010-January 2012);
Regional Director at Russell Investments
(April 2006-December 2010).
------------------------------------------------------------------------------------------------------------------
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director (January 2010-January 2014)
and Senior Associate (July 2008-December
2009) for Dimensional Fund Advisors LP.
89
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
-------------------------------------------------------------------------------------------------------------
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Regional Director (January 2012-January 2015)
for Dimensional Fund Advisors LP; Principal for
Chamberlain Financial Group (October 2010-
December 2011); Wealth Management
Consultant for Saybrus Partners (May 2008-
October 2010).
-------------------------------------------------------------------------------------------------------------
Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive
for Vanguard (2004-June 2011).
-------------------------------------------------------------------------------------------------------------
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1956 Regional Director for Dimensional Fund
Advisors LP (2008-2010).
-------------------------------------------------------------------------------------------------------------
Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head
1966 of Portfolio Management (since March 2012)
and Senior Portfolio Manager (since January
2012) for Dimensional Fund Advisors LP.
Formerly, Portfolio Manager for Dimensional
Fund Advisors LP (October 2005 to
January 2012).
-------------------------------------------------------------------------------------------------------------
Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Counsel for Dimensional Fund Advisors LP
(April 2012-January 2014); Vice President and
Counsel for AllianceBernstein L.P. (2006-2012).
-------------------------------------------------------------------------------------------------------------
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities, DFA
1972 Australia Limited and Dimensional Fund
Advisors Canada ULC. Head of Global
Institutional Services for Dimensional Fund
Advisors LP (since January 2014). Formerly,
Head of Institutional, North America (March
2012 to December 2013) and Head of Portfolio
Management (January 2006 to March 2012) for
Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------
Matt B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund
Advisors LP (September 2011-March 2013);
Vice President at MullinTBG (2005-2011).
-------------------------------------------------------------------------------------------------------------
Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund
Advisors LP (August 2010-March 2014); Vice
President, Sales and Business Development at
AdvisorsIG (PPMG) (2009-2010); Vice President
at Credit Suisse (2007-2009).
-------------------------------------------------------------------------------------------------------------
Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund
Advisors LP (2003-March 2014).
-------------------------------------------------------------------------------------------------------------
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund
Advisors LP (August 2002-January 2012).
-------------------------------------------------------------------------------------------------------------
Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities.
1949
-------------------------------------------------------------------------------------------------------------
George H. Crane Vice President Since 2010 Vice President of all the DFA Entities. Formerly,
1955 Senior Vice President and Managing Director at
State Street Bank & Trust Company
(2007-2008).
90
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
------------------------------------------------------------------------------------------------------------------
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance
1965 Global Chief Officer of all the DFA Entities, DFA Australia
Compliance Officer Limited and Dimensional Fund Advisors Ltd.
Vice President, Chief Compliance Officer and
Chief Privacy Officer of Dimensional Fund
Advisors Canada ULC. Formerly, Vice President
and Global Chief Compliance Officer for
Dimensional SmartNest (US) LLC
(October 2010-2014).
------------------------------------------------------------------------------------------------------------------
John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Relationship
Manager for Blackrock, Inc. (July 2011-July
2013);Vice President for Towers Watson
(formerly, WellsCanning) (June 2009-July 2011).
------------------------------------------------------------------------------------------------------------------
James L. Davis Vice President Since 1999 Vice President of all the DFA Entities.
1956
------------------------------------------------------------------------------------------------------------------
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA
1957 Australia Limited and Dimensional Fund
Advisors Canada ULC.
------------------------------------------------------------------------------------------------------------------
Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (January 2012-January 2014)
and Senior Associate (August 2010-December
2011) for Dimensional Fund Advisors LP; MBA
and MPA at the University of Texas at Austin
(August 2007-May 2010).
------------------------------------------------------------------------------------------------------------------
Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1976 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP; Vice President,
Portfolio Specialist (January 2007-May 2011) for
Morgan Stanley Investment Management.
------------------------------------------------------------------------------------------------------------------
Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1971 Senior Associate, Research (November 2012-
January 2015) for Dimensional Fund Advisors
LP; Senior Consultant, NERA Economic
Consulting, New York (May 2010-November
2012).
------------------------------------------------------------------------------------------------------------------
Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Formerly,
1972 Research Associate (August 2008-March 2010)
and Research Assistant (April 2006-August
2008) for Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities.
1970
------------------------------------------------------------------------------------------------------------------
Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of
1979 Marketing for Dimensional Fund Advisors LP
(since February 2013). Formerly, Senior
Manager of Research and Marketing for
Dimensional Fund Advisors LP (June 2012-
January 2013); Director of Mutual Fund Analysis
at Morningstar (January 2008-May 2012).
------------------------------------------------------------------------------------------------------------------
L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1959 Regional Director (May 2008-January 2015) for
Dimensional Fund Advisors LP.
------------------------------------------------------------------------------------------------------------------
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the
1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief
Operating Officer for Dimensional Fund Advisors
Pte. Ltd. (since April 2013). Formerly, Chief
Operating Officer for Dimensional Fund Advisors
Ltd. (July 2008-March 2013).
91
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
-----------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities.
1971
-----------------------------------------------------------------------------------------------------------------
Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head
1974 of Portfolio Management (since March 2012)
and Senior Portfolio Manager (since January
2012) of Dimensional Fund Advisors LP.
Formerly, Portfolio Manager of Dimensional
Fund Advisors LP (September 2004-
January 2012).
-----------------------------------------------------------------------------------------------------------------
Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund
Advisors LP (August 2011-January 2014);
Senior Vice President of First Trust Advisors
L.P. (2007-July 2011).
-----------------------------------------------------------------------------------------------------------------
Deborah J.G. Foster Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1959 Senior Associate (May 2011-January 2015) and
Marketing Officer (April 2002-April 2011) for
Dimensional Fund Advisors LP.
-----------------------------------------------------------------------------------------------------------------
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
-----------------------------------------------------------------------------------------------------------------
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1970 Vice President for Dimensional SmartNest (US)
LLC (January 2012-November 2014); Senior
Vice President for Morningstar (July 2004-
July 2011).
-----------------------------------------------------------------------------------------------------------------
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
-----------------------------------------------------------------------------------------------------------------
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Managing Director at BlackRock (2004-January
2012).
-----------------------------------------------------------------------------------------------------------------
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
-----------------------------------------------------------------------------------------------------------------
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
-----------------------------------------------------------------------------------------------------------------
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior
1975 Trader for Dimensional Fund Advisors LP (since
2012). Formerly, Senior Trader (2009-2012).
-----------------------------------------------------------------------------------------------------------------
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Counsel for Dimensional Fund Advisors LP
(January 2011-January 2014); Vice President
and Senior Counsel for State Street Global
Advisors (November 2008-January 2011).
-----------------------------------------------------------------------------------------------------------------
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
-----------------------------------------------------------------------------------------------------------------
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
-----------------------------------------------------------------------------------------------------------------
Gregory K. Hinkle Vice President and Since 2015 Vice President and Controller of all the DFA
1958 Controller Entities. Formerly, Vice President of T. Rowe
Price Group, Inc. and Director of Investment
Treasury and Treasurer of the T. Rowe Price
Funds (March 2008-July 2015).
-----------------------------------------------------------------------------------------------------------------
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
-----------------------------------------------------------------------------------------------------------------
Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1960 Managing Director, Co-Head Global Consultant
Relations at BlackRock (2004-2011).
92
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
-------------------------------------------------------------------------------------------------------------
Mark A. Hunter Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Compliance Officer (November 2010-
January 2015) for Dimensional Fund Advisors
LP; Senior Compliance Manager for Janus
Capital Group, Inc. (March 2004-November
2010).
-------------------------------------------------------------------------------------------------------------
Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and
1973 Dimensional Cayman Commodity Fund I Ltd.
-------------------------------------------------------------------------------------------------------------
Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Manager of Sales and Marketing Systems
(January 2011-January 2014) and Project
Manager (2007-2010) for Dimensional Fund
Advisors LP.
-------------------------------------------------------------------------------------------------------------
Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Facilities Manager for Dimensional Fund
Advisors LP (October 2008-January 2012).
-------------------------------------------------------------------------------------------------------------
Scott P. Kaup Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1975 Senior Manager, Investment Operations
(January 2014-January 2015) and Investment
Operations Manager (May 2008-January 2014)
for Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------
David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of
1978 Operations for Financial Advisor Services for
Dimensional Fund Advisors LP (since July
2014). Formerly, Counsel of Dimensional Fund
Advisors LP (August 2011-January 2014);
Associate at Andrews Kurth LLP (2006-2011).
-------------------------------------------------------------------------------------------------------------
Patrick M. Keating Vice President Since 2003 Vice President of DFAIDG, DIG, DFAITC, DEM,
1954 Dimensional Holdings Inc., Dimensional Fund
Advisors LP. Formerly, Vice President of DFA
Securities LLC, Dimensional Cayman
Commodity Fund I Ltd. and Dimensional
Advisors Ltd (until February 2015); Chief
Operating Officer of Dimensional Holdings Inc.,
DFA Securities LLC, Dimensional Fund
Advisors LP, Dimensional Cayman Commodity
Fund I Ltd., Dimensional Advisors Ltd. and
Dimensional Fund Advisors Pte. Ltd. (until
February 2015); Director, Vice President, and
Chief Privacy Officer of Dimensional Fund
Advisors Canada ULC (until February 2015);
Director of DFA Australia Limited, Dimensional
Fund Advisors Ltd. and Dimensional Advisors
Ltd. (until February 2015); Director and Vice
President of Dimensional Hong Kong Limited
and Dimensional Fund Advisors Pte. Ltd. (until
February 2015); and Director, Vice President
and Chief Operating Officer of Dimensional
Japan Ltd. (until May 2015).
-------------------------------------------------------------------------------------------------------------
Andrew K. Keiper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund
Advisors LP (October 2004-January 2013).
-------------------------------------------------------------------------------------------------------------
Glenn E. Kemp Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1948 Regional Director for Dimensional Fund
Advisors LP (April 2006-January 2012).
-------------------------------------------------------------------------------------------------------------
David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio
1971 Manager for Dimensional Fund Advisors LP
(since June 2004).
93
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
-------------------------------------------------------------------------------------------------------------
Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Creative Director for Dimensional Fund Advisors
LP (September 2012-January 2014); Vice
President and Global Creative Director at
Morgan Stanley (2007-2012); Visiting Assistant
Professor, Graduate Communications Design at
Pratt Institute (2004-2012).
-------------------------------------------------------------------------------------------------------------
Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of
1971 Defined Contribution Sales for Dimensional
Fund Advisors LP (since August 2010).
-------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior
1971 Portfolio Manager of Dimensional Fund Advisors
LP (since January 2012). Formerly, Portfolio
Manager for Dimensional (April 2001-January
2012).
-------------------------------------------------------------------------------------------------------------
Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1981 Senior Associate, Investment Analytics and
Data (January 2012-December 2012) and
Systems Developer (June 2007-December
2011) for Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------
Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1966 Regional Director (May 2010-January 2014) for
Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------
Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1968 Regional Director for Dimensional Fund
Advisors LP (2007-2010).
-------------------------------------------------------------------------------------------------------------
Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly,
1967 Chief Executive Officer for Dimensional
SmartNest (US) LLC (July 2012-November
2014).
-------------------------------------------------------------------------------------------------------------
Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1969 Vice President-Global Operations at Janus
Capital Group (2005-2011).
-------------------------------------------------------------------------------------------------------------
David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1978 Senior Trader (January 2010-December 2012)
and Trader (2000-2009) for Dimensional Fund
Advisors LP.
-------------------------------------------------------------------------------------------------------------
Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities.
1971
-------------------------------------------------------------------------------------------------------------
Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1980 Research Associate for Dimensional Fund
Advisors LP (July 2008-2010).
-------------------------------------------------------------------------------------------------------------
Paul A. Lehman Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (July 2013-January 2015) for
Dimensional Fund Advisors LP; Chief
Investment Officer (April 2005-April 2013) for
First Citizens Bancorporation.
-------------------------------------------------------------------------------------------------------------
John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1960 Regional Director for Dimensional Fund
Advisors LP (January 2008-January 2013).
-------------------------------------------------------------------------------------------------------------
Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Tax Manager (February 2013-January
2015) for Dimensional Fund Advisors LP; Vice
President and Tax Manager, North America
(August 2006-April 2012) for Pacific Investment
Management Company.
-------------------------------------------------------------------------------------------------------------
Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities.
1969
94
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
--------------------------------------------------------------------------------------------------------------
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Senior Manager, Marketing Operations (January
2014-January 2015), Manager, Client Systems
(October 2011-January 2014) and RFP
Manager (April 2010-October 2011) for
Dimensional Fund Advisors LP.
--------------------------------------------------------------------------------------------------------------
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1969 Regional Director for Dimensional Fund
Advisors LP (January 2011-January 2014); Vice
President at Columbia Management
(2004-2010).
--------------------------------------------------------------------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
Formerly, Counsel for Dimensional Fund
Advisors LP (September 2006-January 2010).
--------------------------------------------------------------------------------------------------------------
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of
1970 Global Human Resources for Dimensional Fund
Advisors LP.
--------------------------------------------------------------------------------------------------------------
David R. Martin Vice President, Since 2007 Vice President, Chief Financial Officer and
1956 Chief Financial Treasurer of all the DFA Entities and
Officer and Dimensional Cayman Commodity Fund I Ltd.
Treasurer Director, Vice President, Chief Financial Officer
and Treasurer of Dimensional Fund Advisors
Ltd., DFA Australia Limited, Dimensional
Advisors Pte. Ltd., Dimensional Hong Kong
Limited and Dimensional Fund Advisors Canada
ULC. Director of Dimensional Funds plc and
Dimensional Funds II plc. Statutory Auditor of
Dimensional Japan Ltd. Formerly, Chief
Financial Officer, Treasurer and Vice President
of Dimensional SmartNest (US) LLC (October
2010-November 2014).
--------------------------------------------------------------------------------------------------------------
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1965 Senior Compliance Officer (May 2012-January
2015) for Dimensional Fund Advisors LP; Chief
Compliance Officer (April 2010-April 2012) for Al
Frank Asset Management.
--------------------------------------------------------------------------------------------------------------
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1975 Regional Director of Dimensional Fund Advisors
LP (January 2009-January 2014).
--------------------------------------------------------------------------------------------------------------
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1984 Regional Director (January 2009-January 2014)
and Senior Associate (2011) for Dimensional
Fund Advisors LP; Investment Consultant
(March 2010-December 2010) and Investment
Analyst (December 2007-March 2010) at
Towers Watson.
--------------------------------------------------------------------------------------------------------------
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1981 Manager (since September 2011) for
Dimensional Fund Advisors LP. Formerly,
Portfolio Manager for Wells Capital
Management (October 2004-September 2011).
--------------------------------------------------------------------------------------------------------------
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Manager, Investment Systems (2011-January
2013) and Project Manager (2007-2010) for
Dimensional Fund Advisors LP.
95
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
-------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President and Vice President since 1997 Vice President and Secretary of all the DFA
1964 Secretary and Secretary since 2000 Entities. Director, Vice President and Secretary
of DFA Australia Limited and Dimensional Fund
Advisors Ltd. (since February 2002, April 1997,
and May 2002, respectively). Vice President and
Secretary of Dimensional Fund Advisors
Canada ULC (since June 2003), Dimensional
Cayman Commodity Fund I Ltd., Dimensional
Japan Ltd (since February 2012), Dimensional
Advisors Ltd (since March 2012), Dimensional
Fund Advisors Pte. Ltd. (since June 2012).
Director of Dimensional Funds plc and
Dimensional Funds II plc (since 2002 and 2006,
respectively). Director of Dimensional Japan
Ltd., Dimensional Advisors Ltd., Dimensional
Fund Advisors Pte. Ltd. and Dimensional Hong
Kong Limited (since August 2012 and July
2012). Formerly, Vice President and Secretary
of Dimensional SmartNest (US) LLC (October
2010-November 2014).
-------------------------------------------------------------------------------------------------------------------------
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1977 Regional Director (June 2011-January 2015) for
Dimensional Fund Advisors LP; Sales Executive
for Vanguard (July 2008-May 2011).
-------------------------------------------------------------------------------------------------------------------------
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1964 Portfolio Manager for Dimensional Fund
Advisors LP (2008-2010).
-------------------------------------------------------------------------------------------------------------------------
Selwyn Notelovitz Vice President and Since 2013 Vice President of all the DFA Entities. Deputy
1961 Deputy Chief Chief Compliance Officer of Dimensional Fund
Compliance Officer Advisors LP (since December 2012). Formerly,
Chief Compliance Officer of Wellington
Management Company, LLP (2004-2011).
-------------------------------------------------------------------------------------------------------------------------
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities and
1974 Dimensional Cayman Commodity Fund I Ltd.
Deputy General Counsel, Funds (since 2011).
Formerly, Counsel for Dimensional Fund
Advisors LP (2007-2010).
-------------------------------------------------------------------------------------------------------------------------
Gerard K. O'Reilly Vice President and Vice President since 2007 Vice President and Co-Chief Investment Officer
1976 Co-Chief and Co-Chief Investment of all the DFA Entities and Dimensional Fund
Investment Officer Officer since 2014 Advisors Canada ULC. Director of Dimensional
Funds plc and Dimensional Fund II plc.
-------------------------------------------------------------------------------------------------------------------------
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1973 Manager for Dimensional Fund Advisors LP
(since July 2005).
-------------------------------------------------------------------------------------------------------------------------
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities. Formerly,
1978 Senior Compliance Officer (January 2008-
January 2010) and Compliance Officer
(February 2006-December 2007) for
Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------------------
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund
Advisors LP (2012-January 2013); Senior
Consultant (June 2011-December 2011) and
Senior Investment Analyst and Consultant (July
2008-June 2011) at Hewitt EnnisKnupp.
96
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
-------------------------------------------------------------------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior
1984 Manager, Advisor Benchmarking (since January
2015) for Dimensional Fund Advisors LP.
Formerly, Manager, Advisor Benchmarking
(April 2012-December 2014) for Dimensional
Fund Advisors LP; Senior Manager, Research
and Consulting (October 2010-April 2012) for
Crain Communications Inc.; Senior Manager,
Revenue Planning and Strategy (April 2007-
October 2010) for T-Mobile.
-------------------------------------------------------------------------------------------------------------
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (May 2011-January 2015) for
Dimensional Fund Advisors LP; Investment
Counselor/Regional Director for Halbert
Hargrove (2008-May 2011).
-------------------------------------------------------------------------------------------------------------
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel
1976 for Dimensional Fund Advisors LP (since
February 2015). Formerly, Chief Financial
Officer and General Counsel for Relentless
(March 2014-January 2015); Vice President of
all the DFA Entities (January 2013-March 2014);
Counsel for Dimensional Fund Advisors LP
(January 2009-March 2014).
-------------------------------------------------------------------------------------------------------------
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA
1961 Australia Limited, Dimensional Fund Advisors
Ltd. and Dimensional Fund Advisors Canada
ULC.
-------------------------------------------------------------------------------------------------------------
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior
1970 Portfolio Manager for Dimensional Fund
Advisors LP (since January 2015). Formerly,
Portfolio Manager for Dimensional Fund
Advisors LP (2006-January 2015).
-------------------------------------------------------------------------------------------------------------
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1967 Regional Director for Dimensional Fund
Advisors LP (January 2011-January 2014); Vice
President at BlackRock (2009-2010).
-------------------------------------------------------------------------------------------------------------
Mark A. Regier Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1969 Planning and Analysis Manager for Dimensional
Fund Advisors LP (July 2007-January 2014).
-------------------------------------------------------------------------------------------------------------
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (March 2011-January 2015)
for Dimensional Fund Advisors LP; Regional
Vice President (2003-March 2011) for Invesco
PowerShares.
-------------------------------------------------------------------------------------------------------------
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1981 Research Associate (June 2011-January 2012)
for Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1968 Senior Fund Accounting Manager (July 2013-
January 2015) for Dimensional Fund Advisors
LP; Senior Financial Consultant and Chief
Accounting Officer (July 2002-July 2013) for
MFS Investment Management.
-------------------------------------------------------------------------------------------------------------
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
-------------------------------------------------------------------------------------------------------------
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Vice President for Dimensional SmartNest (US)
LLC (September 2010-November 2014).
97
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
-------------------------------------------------------------------------------------------------------------
Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1960 Senior Manager, Human Resources for
Dimensional Fund Advisors LP (January 2012-
January 2014); Director of Human Resources at
Spansion, Inc. (March 2009-December 2011).
-------------------------------------------------------------------------------------------------------------
Joseph S. Ruzicka Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1987 Manager Investment Analytics and Data
(January 2014-January 2015), Senior Associate,
Investment Analytics and Data (January 2013-
January 2014), Associate, Investment Analytics
and Data (January 2012-January 2013), and
Investment Data Analyst (April 2010-January
2012) for Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------
Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities. Formerly,
1959 Client Systems Manager for Dimensional Fund
Advisors LP (July 2008-January 2010); Senior
Manager at Vanguard (November 1997-July
2008).
-------------------------------------------------------------------------------------------------------------
Joel P. Schneider Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1980 Manager (since 2013) for Dimensional Fund
Advisors LP. Formerly, Investment Associate
(April 2011-January 2013) for Dimensional Fund
Advisors LP; Associate Consultant for ZS
Associates (April 2008-November 2010).
-------------------------------------------------------------------------------------------------------------
Ashish Shrestha Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Regional Director (September 2009-January
2015) and Senior Associate (September 2008-
September 2009) for Dimensional Fund
Advisors LP.
-------------------------------------------------------------------------------------------------------------
Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities. Formerly,
1965 Investment Operations Manager for Dimensional
Fund Advisors LP (May 2007-January 2009).
-------------------------------------------------------------------------------------------------------------
Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities.
1968
-------------------------------------------------------------------------------------------------------------
Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager for Dimensional Fund
Advisors LP (since January 2015). Formerly,
Portfolio Manager (January 2012-January 2015)
and Investment Associate for Dimensional Fund
Advisors LP (August 2010-December 2011).
-------------------------------------------------------------------------------------------------------------
Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities.
1975
-------------------------------------------------------------------------------------------------------------
Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio
1977 Manager of Dimensional Fund Advisors LP
(since January 2010).
-------------------------------------------------------------------------------------------------------------
Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1968 Project Manager for Dimensional Fund Advisors
LP (2007-2010).
-------------------------------------------------------------------------------------------------------------
Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and
1956 Dimensional Fund Advisors Canada ULC.
-------------------------------------------------------------------------------------------------------------
Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities.
1947
-------------------------------------------------------------------------------------------------------------
Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund
Advisors LP (April 2010-January 2013).
-------------------------------------------------------------------------------------------------------------
Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1973 Manager, Investment Analytics and Data
(2012-January 2013) and Research Assistant
(2002-2011) for Dimensional Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------
98
Term of Office/1/
and Length of
Name and Year of Birth Position Service Principal Occupation During Past 5 Years
-------------------------------------------------------------------------------------------------------------
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (2010-January 2013) and
Senior Associate (2007-2009) for Dimensional
Fund Advisors LP.
-------------------------------------------------------------------------------------------------------------
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund
Advisors LP (January 2008-January 2012).
-------------------------------------------------------------------------------------------------------------
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
-------------------------------------------------------------------------------------------------------------
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1982 Research Associate (June 2011-January 2015)
for Dimensional Fund Advisors LP; Research
Assistant at Dartmouth College (2009-2011).
-------------------------------------------------------------------------------------------------------------
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA
1966 Australia Limited, Dimensional Fund Advisors
Ltd., and Dimensional Fund Advisors Canada
ULC.
-------------------------------------------------------------------------------------------------------------
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund
Advisors LP (September 2008-January 2014).
-------------------------------------------------------------------------------------------------------------
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1970 Manager for Dimensional Fund Advisors LP
(since 2004).
-------------------------------------------------------------------------------------------------------------
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (January 2012-January 2015)
for Dimensional Fund Advisors LP; Director of
Marketing and Investor Relations for Treaty Oak
Capital Management (July 2011-October 2011);
Vice President for Rockspring Capital (October
2010-July 2011); Program Director for
RevEurope Payments (November 2008-October
2010).
-------------------------------------------------------------------------------------------------------------
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
-------------------------------------------------------------------------------------------------------------
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
-------------------------------------------------------------------------------------------------------------
Stacey E. Winning Vice President Since 2015 Vice President of all the DFA Entities. Head of
1981 Global Recruiting and Development (since June
2014) for Dimensional Fund Advisors LP.
Formerly, Senior Manager, Recruiting
(December 2012-June 2014) for Dimensional
Fund Advisors LP; Co-Head of Global
Recruiting (May 2009-November 2012) for Two
Sigma Investments.
-------------------------------------------------------------------------------------------------------------
Paul E. Wise Vice President Since 2005 Vice President of all the DFA Entities.
1955
-------------------------------------------------------------------------------------------------------------
Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund
Advisors LP (2005-2010).
/1/ Each officer holds office for an indefinite term at the pleasure of the
Board of Directors and until his or her successor is elected and qualified.
99
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 (1) without
charge, upon request, by calling collect: (512) 306-7400; (2) from the
Advisor's website at http://us.dimensional.com; and (3) on the SEC's website at
http://www.sec.gov. 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://us.dimensional.com and reflects the
twelve-month period beginning July 1st and ending June 30th.
100
NOTICE TO SHAREHOLDERS
(Unaudited)
For shareholders that do not have an October 31, 2015 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2015
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 1, 2014 to October 31, 2015, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder.
Qualifying
For
Net Corporate
Investment Short-Term Long-Term Dividends Qualifying
Income Capital Gain Capital Gain Total Received Dividend
DFA Investment Dimensions Group Inc. Distributions Distributions Distributions Distributions Deduction(1) Income(2)
------------------------------------ ------------- ------------- ------------- ------------- ------------ ----------
Tax-Managed U.S. Marketwide Value Portfolio... 100% -- -- 100% 100% 100%
Tax-Managed U.S. Equity Portfolio............. 100% -- -- 100% 100% 100%
Tax-Managed U.S. Targeted Value Portfolio..... 24% -- 75% 100% 100% 100%
Tax-Managed U.S. Small Cap Portfolio.......... 33% -- 67% 100% 100% 100%
T.A. U.S. Core Equity 2 Portfolio............. 57% -- 43% 100% 100% 100%
Tax-Managed DFA International Value Portfolio. 97% -- 3% 100% 100% 100%
T.A. World ex U.S. Core Equity Portfolio...... 100% -- -- 100% 100% 100%
Qualifying
Short-
Foreign Foreign Qualifying Term
Tax Source Interest Capital
DFA Investment Dimensions Group Inc. Credit(3) Income(4) Income(5) Gain(6)
------------------------------------ --------- --------- ---------- ----------
Tax-Managed U.S. Marketwide Value Portfolio... -- 5% 100% 100%
Tax-Managed U.S. Equity Portfolio............. -- -- 100% 100%
Tax-Managed U.S. Targeted Value Portfolio..... -- -- 100% 100%
Tax-Managed U.S. Small Cap Portfolio.......... -- -- 100% 100%
T.A. U.S. Core Equity 2 Portfolio............. -- -- 100% 100%
Tax-Managed DFA International Value Portfolio. 8% 100% 100% 100%
T.A. World ex U.S. Core Equity Portfolio...... 9% 100% 100% 100%
----------
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(4)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(5)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(6)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
101
DFA103115-002A
[LOGO] 00157600
THE DFA SHORT TERM INVESTMENT FUND
ANNUAL REPORT
YEAR ENDED OCTOBER 31, 2015
TABLE OF CONTENTS
INVESTMENT SUMMARY 1
SCHEDULE OF PORTFOLIO HOLDINGS 2
SCHEDULE OF INVESTMENTS 3
STATEMENT OF ASSETS AND LIABILITIES 8
STATEMENT OF OPERATIONS 9
STATEMENTS OF CHANGES IN NET ASSETS 10
FINANCIAL HIGHLIGHTS 11
NOTES TO FINANCIAL STATEMENTS 12
SUPPLEMENTAL INFORMATION 17
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 20
FUND MANAGEMENT 21
INVESTMENT SUMMARY
CUMULATIVE PERFORMANCE OF $10,000
The graph represents a hypothetical investment in the Fund versus a similar
investment in the Fund's benchmark.
AVERAGE ANNUAL TOTAL RETURNS AND 7-DAY YIELD AS OF 10/31/15
1 YEAR SINCE INCEPTION 7-DAY YIELD
------ --------------- -----------
THE DFA SHORT TERM INVESTMENT FUND 0.11% 0.15% 0.15%
CITIGROUP ONE-MONTH U.S. TREASURY BILL INDEX 0.01% 0.05% --
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
DATA QUOTED.
AN INVESTMENT IN A MONEY MARKET FUND IS NOT INSURED OR GUARANTEED BY THE FDIC
OR ANY OTHER GOVERNMENT AGENCY.
Total return equals income return and assumes reinvestment of all net
investment income and realized capital gain distributions. The total returns
quoted do not reflect adjustments made to the enclosed financial statements in
accordance with U.S. generally accepted accounting principles or the deduction
of taxes that a shareholder would pay on fund distributions or the redemption
of fund shares. Yields and returns fluctuate. The seven-day yield quotation
more closely reflects current earnings of the Fund than the total return
quotation.
1
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments
October 31, 2015
The following table indicates the allocation of investments among the asset
classes in the Fund as of October 31, 2015:
PERCENT OF
SECURITY ALLOCATION INVESTMENTS
------------------- -----------
Commercial Paper 49.8%
Repurchase Agreements 15.1
U.S. Government Agency Securities 14.6
Certificates of Deposit 13.6
Yankee Bonds 2.2
U.S. Treasury Obligations 1.8
Yankee Certificates of Deposit 1.6
Corporate Bonds 1.3
-----
TOTAL INVESTMENTS 100.0%
See Notes to Financial Statements.
2
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments
October 31, 2015
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- ------------
CORPORATE BONDS--1.3%
(r)General Electric Capital Corp. 0.52% 01/08/16 15,296,000 15,299,013
(r)General Electric Capital Corp. 0.55% 01/14/16 40,000,000 40,006,360
(r)General Electric Capital Corp. 0.51% 05/11/16 36,280,000 36,296,326
(r)IBM Corp. 0.37% 02/05/16 12,970,000 12,971,686
(r)Merck & Co., Inc. 0.51% 05/18/16 10,000,000 10,007,370
(r)Toyota Motor Credit Corp. 0.39% 12/09/15 11,000,000 10,999,483
(r)Toyota Motor Credit Corp. 0.61% 05/17/16 14,038,000 14,053,442
(r)Toyota Motor Credit Corp. 0.36% 06/13/16 150,000,000 149,938,200
----------- -----------
TOTAL CORPORATE BONDS (Cost $289,679,303) 289,584,000 289,571,880
----------- -----------
YANKEE BONDS--2.2%
(r)Bank of Nova Scotia 0.49% 06/20/16 42,000,000 41,994,918
(r)Commonwealth Bank of Australia 0.54% 12/04/15 25,000,000 25,001,075
(r)Royal Bank of Canada 0.56% 12/16/15 51,000,000 51,004,845
(r)Royal Bank of Canada 0.70% 03/08/16 25,000,000 25,022,850
(r)Royal Bank of Canada 0.79% 09/09/16 19,436,000 19,470,752
(r)Royal Bank of Canada NY 0.31% 04/08/16 40,000,000 39,996,520
(r)Svenska Handelsbanken AB 0.80% 03/21/16 81,497,000 81,590,966
(r)Svenska Handelsbanken AB 0.80% 09/23/16 4,525,000 4,534,068
(r)Toronto Dominion Bank 0.50% 11/06/15 50,000,000 50,000,400
(r)Toronto Dominion Bank NY 0.35% 05/23/16 50,000,000 49,996,900
(r)Total Capital Canada, Ltd. 0.70% 01/15/16 101,109,000 101,175,125
----------- -----------
TOTAL YANKEE BONDS (Cost $489,901,889) 489,567,000 489,788,419
----------- -----------
COMMERCIAL PAPER--49.8%
(y)++3M Co. 0.18% 12/16/15 100,000,000 99,977,414
(y)++ANZ National International Ltd. 0.31% 03/16/16 100,000,000 99,882,700
(r)++ANZ New Zealand International Ltd. 0.31% 04/08/16 100,000,000 99,991,200
(y)++Apple, Inc. 0.14% 11/05/15 82,000,000 81,998,360
(y)++Apple, Inc. 0.17% 12/15/15 100,000,000 99,978,150
(y)++Apple, Inc. 0.18% 12/21/15 50,000,000 49,987,072
(y)++Apple, Inc. 0.21% 01/08/16 20,000,000 19,992,106
(y)++Archer-Daniels-Midland 0.16% 11/16/15 20,000,000 19,998,555
(y)++Archer-Daniels-Midland 0.17% 11/20/15 75,000,000 74,993,000
(y)++Archer-Daniels-Midland 0.19% 11/30/15 70,000,000 69,989,090
(y)++AstraZeneca PLC 0.17% 12/07/15 90,000,000 89,984,705
(y)++Australia & New Zealand Banking Group 0.24% 12/03/15 100,000,000 99,978,183
(y)++Australia & New Zealand Banking Group 0.29% 02/26/16 83,700,000 83,620,595
(r)Australia & New Zealand Banking Group 0.40% 07/06/16 100,000,000 99,986,600
(y)++Bank Nederlandse Gemeenten NV 0.17% 12/09/15 28,000,000 27,994,929
(y)Banque et Caisse d'Epargne de I'Etat 0.35% 11/17/15 20,000,000 19,996,700
(y)Banque et Caisse d'Epargne de I'Etat 0.36% 12/02/15 100,000,000 99,968,375
(y)Banque et Caisse d'Epargne de I'Etat 0.36% 12/03/15 39,830,000 39,816,984
(y)Banque et Caisse d'Epargne de I'Etat 0.40% 01/21/16 50,000,000 49,954,466
(y)Banque et Caisse d'Epargne de I'Etat 0.41% 01/28/16 100,000,000 99,899,500
(y)Banque et Caisse d'Epargne de I'Etat 0.47% 04/06/16 100,000,000 99,791,975
(y)++Basin Electric Power Cooperative 0.19% 12/03/15 14,000,000 13,997,554
(y)++Basin Electric Power Cooperative 0.20% 12/07/15 15,000,000 14,996,976
(y)++Bristol-Myers Squibb Co. 0.17% 12/11/15 22,200,000 22,195,701
(y)Caisse des Depots et Consignations 0.11% 11/03/15 75,000,000 74,999,325
(y)++Caisse des Depots et Consignations 0.09% 11/16/15 194,000,000 193,992,121
(y)Caisse des Depots et Consignations 0.09% 11/25/15 100,000,000 99,993,572
(y)Caisse des Depots et Consignations 0.10% 12/08/15 100,000,000 99,989,925
(y)Caisse des Depots et Consignations 0.10% 12/22/15 100,000,000 99,985,572
(y)Caisse des Depots et Consignations 0.29% 02/16/16 100,000,000 99,911,961
(y)Caisse des Depots et Consignations 0.34% 03/15/16 45,000,000 44,942,117
(y)Caterpillar Financial Services Corp. 0.13% 11/04/15 87,000,000 86,998,707
(y)Caterpillar Financial Services Corp. 0.23% 01/27/16 75,000,000 74,957,725
(y)++Commonwealth Bank of Australia 0.07% 11/10/15 75,000,000 74,998,533
(y)++Commonwealth Bank of Australia 0.09% 12/01/15 100,000,000 99,991,822
(r)++Commonwealth Bank of Australia 0.31% 04/13/16 40,000,000 39,996,240
(r)Commonwealth Bank of Australia 0.31% 05/04/16 50,000,000 49,997,400
(r)++Commonwealth Bank of Australia 0.40% 06/29/16 100,000,000 99,986,800
(r)Commonwealth Bank of Australia 0.41% 07/11/16 100,000,000 99,986,400
(r)++Commonwealth Bank of Australia 0.00% 10/27/16 90,000,000 90,000,000
(y) ++CPPIB Capital, Inc. 0.15% 11/04/15 75,000,000 74,998,750
See Notes to Financial Statements.
3
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
October 31, 2015
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- ------------
COMMERCIAL PAPER--49.8% (CONTINUED)
(y)++CPPIB Capital, Inc. 0.14% 11/23/15 50,000,000 49,995,434
(y)++CPPIB Capital, Inc. 0.16% 12/04/15 100,000,000 99,984,736
(y)++CPPIB Capital, Inc. 0.21% 01/07/16 100,000,000 99,961,283
(y)++CPPIB Capital, Inc. 0.27% 02/16/16 100,000,000 99,918,856
(y)++CPPIB Capital, Inc. 0.27% 02/17/16 100,000,000 99,917,500
(y)++CPPIB Capital, Inc. 0.27% 02/18/16 100,000,000 99,916,133
(y)++CPPIB Capital, Inc. 0.36% 04/15/16 75,000,000 74,876,100
(y)++DBS Bank Ltd. 0.13% 11/09/15 168,700,000 168,694,376
(y)++DBS Bank Ltd. 0.13% 11/10/15 95,000,000 94,996,516
(y)++DBS Bank Ltd. 0.13% 11/12/15 50,000,000 49,997,834
(y)++DBS Bank Ltd. 0.20% 01/05/16 100,000,000 99,962,964
(y)++DBS Bank Ltd. 0.25% 02/05/16 100,000,000 99,933,033
(y)++EMC Corp. 0.20% 11/03/15 17,800,000 17,799,703
(y)++EMC Corp. 0.18% 11/24/15 50,000,000 49,994,132
(y)++EMC Corp. 0.19% 12/02/15 23,990,000 23,985,954
(y)++EMC Corp. 0.19% 12/03/15 100,000,000 99,982,528
(y)++Emerson Electric Co. 0.20% 01/25/16 30,000,000 29,985,863
(y)++Erste Abwicklungsanstalt 0.13% 11/19/15 15,500,000 15,498,898
(y)++Erste Abwicklungsanstalt 0.15% 11/25/15 100,000,000 99,989,817
(y)++Erste Abwicklungsanstalt 0.16% 11/30/15 85,000,000 84,988,947
(y)++Erste Abwicklungsanstalt 0.16% 12/01/15 75,000,000 74,989,800
(y)++Erste Abwicklungsanstalt 0.18% 12/16/15 100,000,000 99,977,414
(y)++Erste Abwicklungsanstalt 0.29% 02/26/16 50,000,000 49,952,400
(y)++Erste Abwicklungsanstalt 0.32% 03/16/16 50,000,000 49,939,817
(y)European Investment Bank 0.02% 11/17/15 100,000,000 99,998,899
(y)Exxon Mobil Corp. 0.13% 11/16/15 100,000,000 99,994,192
(y)General Electric Capital Corp. 0.18% 12/17/15 100,000,000 99,976,800
(y)General Electric Co. 0.17% 12/15/15 150,000,000 149,967,224
(y)General Electric Co. 0.18% 12/17/15 50,000,000 49,988,400
(y)Government of Canada 0.02% 11/05/15 75,000,000 74,999,750
(y)Government of Canada 0.13% 01/14/16 100,000,000 99,972,344
(y)Government of Canada 0.15% 01/25/16 50,000,000 49,982,359
(y)Government of Canada 0.15% 02/02/16 100,000,000 99,959,889
(y)++Honeywell International, Inc. 0.16% 12/01/15 49,743,000 49,736,323
(y)++Honeywell International, Inc. 0.16% 12/03/15 50,000,000 49,992,775
(y)++John Deere Capital Corp. 0.16% 12/04/15 33,640,000 33,634,996
(y)++Koch Resources LLC 0.18% 11/02/15 10,000,000 9,999,900
(y)++Microsoft Corp. 0.06% 11/12/15 100,000,000 99,998,014
(y)++National Australia Bank Ltd. 0.07% 11/04/15 150,000,000 149,998,853
(y)++National Australia Bank Ltd. 0.07% 11/05/15 50,000,000 49,999,534
(y)++National Australia Bank Ltd. 0.07% 11/06/15 50,000,000 49,999,446
(y)++National Australia Bank Ltd. 0.09% 12/09/15 100,000,000 99,990,000
(y)++National Australia Bank Ltd. 0.11% 12/28/15 100,000,000 99,982,136
(r)++National Australia Bank Ltd. 0.35% 03/08/16 50,000,000 49,996,650
(y)++National Australia Bank Ltd. 0.41% 04/20/16 100,000,000 99,804,414
(y)++Nederlandse Waterschaps 0.15% 11/09/15 100,000,000 99,996,361
(y)++Nederlandse Waterschaps 0.17% 11/24/15 100,000,000 99,988,819
(y)++Nestle Capital Corp. 0.10% 11/04/15 100,000,000 99,998,943
(y)++Nestle Capital Corp. 0.11% 12/07/15 30,000,000 29,996,707
(y)Nestle Finance International Ltd. 0.17% 02/08/16 41,000,000 40,980,100
(y)++Nordea Bank AB 0.23% 01/21/16 12,400,000 12,393,482
(y)++Nordea Bank AB 0.26% 02/05/16 100,000,000 99,931,128
(y)++Nordea Bank AB 0.27% 02/16/16 40,000,000 39,967,058
(y)++Nordea Bank AB 0.41% 04/06/16 100,000,000 99,821,125
(y)++Nordea North America, Inc. 0.12% 11/06/15 50,000,000 49,999,009
(y)++Nordea North America, Inc. 0.12% 11/12/15 40,000,000 39,998,382
(y)++Nordea North America, Inc. 0.14% 11/24/15 35,000,000 34,996,792
(y)++Nordea North America, Inc. 0.15% 12/02/15 100,000,000 99,986,708
(y)++Nordea North America, Inc. 0.17% 12/17/15 50,000,000 49,988,667
(y)++Novartis Finance Corp. 0.14% 11/24/15 40,000,000 39,996,139
(y)++NRW.Bank AG 0.09% 11/02/15 180,000,000 179,999,054
(y)++NRW.Bank AG 0.08% 11/06/15 80,000,000 79,998,911
(y)++NRW.Bank AG 0.12% 12/03/15 100,000,000 99,988,950
See Notes to Financial Statements.
4
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
October 31, 2015
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- -------------- --------------
COMMERCIAL PAPER--49.8% (CONTINUED)
(y)++NRW.Bank AG 0.12% 12/04/15 100,000,000 99,988,431
(y)++NRW.Bank AG 0.13% 12/09/15 100,000,000 99,985,889
(y)++NRW.Bank AG 0.19% 01/12/16 50,000,000 49,980,781
(y)Oversea-Chinese Banking Corp. Ltd. 0.13% 11/12/15 50,000,000 49,997,834
(y)Oversea-Chinese Banking Corp. Ltd. 0.25% 02/05/16 50,000,000 49,966,517
(y)PACCAR Financial Corp. 0.16% 11/10/15 31,300,000 31,298,566
(y)++Pfizer, Inc. 0.13% 01/04/16 12,000,000 11,997,140
(y)++Pfizer, Inc. 0.18% 02/08/16 100,000,000 99,951,183
(y)++Province of Quebec 0.21% 01/11/16 150,000,000 149,937,037
(y)++Province of Quebec 0.24% 02/02/16 100,000,000 99,936,667
(y)++PSP Capital, Inc. 0.13% 11/16/15 50,000,000 49,997,096
(y)++PSP Capital, Inc. 0.14% 11/24/15 50,000,000 49,995,174
(y)++PSP Capital, Inc. 0.18% 12/17/15 15,000,000 14,996,520
(y)++PSP Capital, Inc. 0.21% 01/13/16 35,000,000 34,984,688
(y)++PSP Capital, Inc. 0.22% 01/21/16 62,000,000 61,968,409
(y)++PSP Capital, Inc. 0.29% 02/24/16 50,000,000 49,953,850
(y)++Qualcomm, Inc. 0.22% 01/20/16 10,000,000 9,995,012
(y)++Siemens Capital Co. LLC 0.19% 12/28/15 100,000,000 99,969,025
(y)++Standard Chartered Bank PLC 0.18% 11/24/15 100,000,000 99,988,333
(y)++Standard Chartered Bank PLC 0.19% 12/03/15 100,000,000 99,982,150
(y)++Standard Chartered Bank PLC 0.27% 01/05/16 50,000,000 49,975,434
(y)++Standard Chartered Bank PLC 0.28% 01/11/16 100,000,000 99,944,033
(y)++Svenska Handelsbank, Inc. 0.16% 11/04/15 75,000,000 74,998,656
(y)++Svenska Handelsbank, Inc. 0.18% 12/02/15 30,000,000 29,995,187
(y)++Svenska Handelsbank, Inc. 0.20% 12/17/15 100,000,000 99,973,333
(y)++Svenska Handelsbank, Inc. 0.30% 02/10/16 50,000,000 49,958,228
(y)Svenska Handelsbank, Inc. 0.34% 03/04/16 100,000,000 99,882,750
(y)++Total Capital Canada, Ltd. 0.13% 11/12/15 13,000,000 12,999,437
(y)++Total Capital Canada, Ltd. 0.16% 12/01/15 73,500,000 73,490,004
(y)++Total Capital Canada, Ltd. 0.22% 01/15/16 50,000,000 49,977,221
(y)++Total Capital Canada, Ltd. 0.23% 01/25/16 150,000,000 149,918,074
(y)++Total Capital Canada, Ltd. 0.28% 02/22/16 75,000,000 74,932,917
(y)++Total Capital SA 0.18% 11/02/15 125,000,000 124,998,749
(y)Toyota Motor Credit Corp. 0.13% 12/04/15 40,000,000 39,994,944
(y)Toyota Motor Credit Corp. 0.24% 01/27/16 75,000,000 74,955,871
(y)Toyota Motor Credit Corp. 0.27% 02/10/16 100,000,000 99,923,894
(y)Toyota Motor Credit Corp. 0.39% 04/27/16 50,000,000 49,902,250
(y)++United Overseas Bank 0.13% 11/19/15 100,000,000 99,992,889
(y)++United Overseas Bank 0.14% 11/20/15 50,000,000 49,996,209
(y)++United Overseas Bank 0.16% 12/04/15 68,000,000 67,989,620
(y)++United Overseas Bank 0.24% 02/03/16 50,000,000 49,967,734
(y)++United Technologies Corp. 0.27% 11/20/15 21,224,000 21,220,781
(y)++United Technologies Corp. 0.28% 11/24/15 25,000,000 24,995,330
(y)++Wal-Mart Stores, Inc. 0.06% 11/10/15 100,000,000 99,998,472
(y)++Westpac Banking Corp. 0.20% 02/04/16 40,000,000 39,978,229
(r)++Westpac Banking Corp. 0.31% 03/24/16 70,000,000 69,994,540
(r)++Westpac Banking Corp. 0.40% 07/05/16 100,000,000 99,986,600
-------------- --------------
TOTAL COMMERCIAL PAPER (Cost $11,080,264,617) 11,084,527,000 11,080,748,819
-------------- --------------
CERTIFICATES OF DEPOSIT--13.6%
Bank of Montreal 0.29% 12/10/15 100,000,000 100,013,770
(r)Bank of Montreal 0.31% 12/11/15 75,000,000 74,998,275
(r)Bank of Montreal 0.31% 01/05/16 100,000,000 99,995,900
(r)Bank of Montreal 0.35% 05/09/16 150,000,000 149,992,200
(r)Bank of Montreal 0.48% 10/05/16 150,000,000 149,972,550
(r)Bank of Nova Scotia 0.46% 02/22/16 10,000,000 10,001,850
(r)Bank of Nova Scotia 0.41% 03/04/16 40,000,000 39,997,240
(r)Bank of Nova Scotia 0.38% 03/10/16 150,000,000 149,992,500
(r)Bank of Nova Scotia 0.74% 03/15/16 56,027,000 56,080,954
(r)Bank of Nova Scotia 0.33% 03/21/16 100,000,000 99,995,200
(r)Bank of Nova Scotia 0.47% 03/23/16 41,000,000 40,991,349
(r)Bank of Nova Scotia 0.37% 04/25/16 100,000,000 99,982,100
(r)Bank of Nova Scotia 0.84% 07/15/16 54,562,000 54,669,433
(r)Bank of Nova Scotia 0.42% 07/15/16 100,000,000 99,986,300
See Notes to Financial Statements.
5
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
October 31, 2015
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- -------------
CERTIFICATES OF DEPOSIT--13.6% (CONTINUED)
(r)Nordea Bank Finland NY 0.51% 01/21/16 15,845,000 15,845,919
(r)Royal Bank of Canada NY 0.32% 02/12/16 100,000,000 99,993,500
(r)Royal Bank of Canada NY 0.31% 02/23/16 40,000,000 39,998,320
(r)Royal Bank of Canada NY 0.31% 03/16/16 75,000,000 74,994,150
(r)Royal Bank of Canada NY 0.36% 04/08/16 100,000,000 99,991,500
(r)Royal Bank of Canada NY 0.34% 05/04/16 100,000,000 99,995,000
(r)Royal Bank of Canada NY 0.34% 05/20/16 100,000,000 99,994,000
Svenska Handelsbanken NY 0.30% 11/12/15 100,000,000 100,006,100
Svenska Handelsbanken NY 0.47% 04/14/16 100,000,000 100,012,921
(r)Svenska Handelsbanken NY 0.36% 04/15/16 100,000,000 99,990,900
(r)Toronto Dominion Bank NY 0.35% 04/04/16 200,000,000 199,973,000
(r)Toronto Dominion Bank NY 0.33% 05/02/16 90,000,000 89,991,090
(r)Toronto Dominion Bank NY 0.43% 06/06/16 100,000,000 99,988,200
(r)Toronto Dominion Bank NY 0.57% 10/17/16 100,000,000 99,979,400
(r)Toronto Dominion Bank NY 0.46% 11/04/16 50,000,000 49,990,050
(r)Westpac Banking Corp. 0.35% 04/06/16 250,000,000 249,964,500
(r)Westpac Banking Corp. 0.50% 04/15/16 16,600,000 16,602,639
(r)Westpac Banking Corp. 0.31% 05/04/16 100,000,000 99,990,000
(r)Westpac Banking Corp. 0.36% 05/09/16 50,000,000 49,994,900
------------- -------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $3,014,290,107) 3,014,034,000 3,013,965,710
------------- -------------
YANKEE CERTIFICATES OF DEPOSIT--1.6%
(r)Canadian Imperial Holdings 0.41% 11/13/15 5,000,000 4,999,925
(r)Nordea Bank Finland NY 0.42% 11/09/15 148,000,000 147,998,964
(r)Royal Bank of Canada NY 0.28% 12/03/15 50,000,000 49,999,200
(r)Toronto Dominion Bank NY 0.29% 11/18/15 100,000,000 99,997,500
(r)Westpac Banking Corp. 0.29% 11/03/15 60,000,000 60,000,000
------------- -------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT
(Cost $363,003,390) 363,000,000 362,995,589
------------- -------------
U.S. GOVERNMENT AGENCY SECURITIES--14.6%
(y)Federal Home Loan Bank 0.01% 11/04/15 200,000,000 199,999,800
(y)Federal Home Loan Bank 0.01% 11/05/15 100,000,000 99,999,800
(y)Federal Home Loan Bank 0.02% 11/06/15 200,000,000 199,999,400
(y)Federal Home Loan Bank 0.02% 11/09/15 200,000,000 199,999,000
(y)Federal Home Loan Bank 0.02% 11/12/15 200,000,000 199,998,600
(y)Federal Home Loan Bank 0.02% 11/13/15 200,000,000 199,998,400
(y)Federal Home Loan Bank 0.02% 11/18/15 100,000,000 99,998,900
(y)Federal Home Loan Bank 0.02% 11/20/15 100,000,000 99,998,700
(y)Federal Home Loan Bank 0.02% 11/27/15 83,000,000 82,998,589
(y)Federal Home Loan Bank 0.04% 12/02/15 100,000,000 99,996,700
(y)Federal Home Loan Bank 0.04% 12/03/15 200,000,000 199,993,200
(y)Federal Home Loan Bank 0.04% 12/04/15 100,000,000 99,996,400
(y)Federal Home Loan Bank 0.04% 12/07/15 50,000,000 49,998,050
(y)Federal Home Loan Bank 0.04% 12/08/15 100,000,000 99,996,000
(y)Federal Home Loan Bank 0.04% 12/09/15 100,000,000 99,995,900
(y)Federal Home Loan Bank 0.04% 12/11/15 118,250,000 118,244,915
(y)Federal Home Loan Bank 0.04% 12/14/15 100,000,000 99,995,300
(y)Federal Home Loan Bank 0.04% 12/16/15 150,000,000 149,992,650
(y)Federal Home Loan Bank 0.04% 12/18/15 200,000,000 199,989,800
(y)Federal Home Loan Bank 0.04% 12/21/15 100,000,000 99,994,600
(y)Federal Home Loan Bank 0.04% 12/22/15 50,000,000 49,997,200
(y)Federal Home Loan Bank 0.04% 12/23/15 100,000,000 99,994,300
(y)Federal Home Loan Bank 0.04% 12/28/15 100,000,000 99,993,800
(y)Federal Home Loan Bank 0.04% 12/29/15 100,000,000 99,993,700
(y)Federal Home Loan Bank 0.09% 01/27/16 100,000,000 99,978,500
(y)Federal Home Loan Bank 0.09% 01/29/16 100,000,000 99,978,000
------------- -------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(Cost $3,250,993,026) 3,251,250,000 3,251,120,204
------------- -------------
See Notes to Financial Statements.
6
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (concluded)
October 31, 2015
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- ---------------
REPURCHASE AGREEMENTS--15.1%
Bank of America Corp. (Purchased on 10/30/15, Proceeds at maturity
$150,000,875 collateralized by U.S. Treasury Securities, 1.38%, 04/30/20,
market value $153,000,006) 0.07% 11/02/15 150,000,000 150,000,000
Barclays Capital Group (Purchased on 10/30/15, Proceeds at maturity
$1,100,005,500 collateralized by U.S. Treasury Securities, 0.00%--7.63%,
11/05/15--08/15/25, market value $1,122,000,025) 0.06% 11/02/15 1,100,000,000 1,100,000,000
Federal Reserve Bank of New York (Purchased on 10/30/15, Proceeds at
maturity $425,001,771 collateralized by U.S. Treasury Securities, 2.63%--
3.63%, 05/15/20--08/15/43, market value $425,001,873) 0.05% 11/02/15 425,000,000 425,000,000
Goldman Sachs & Co. (Purchased on 10/30/15, Proceeds at maturity
$200,001,167 collateralized by U.S. Government Agency Backed
Securities, 3.00%--5.75%, 08/20/30--10/20/45, market value $204,000,001) 0.07% 11/02/15 200,000,000 200,000,000
HSBC Securities (USA), Inc. (Purchased on 10/30/15, Proceeds at maturity
$150,000,750 collateralized by U.S. Treasury Securities, 0.00%, 02/15/17--
02/15/24, market value $153,001,419) 0.06% 11/02/15 150,000,000 150,000,000
JPMorgan Securities (Purchased on 10/30/15, Proceeds at maturity
$350,002,042 collateralized by U.S. Government Agency Backed Securities,
0.00%--6.25%, 02/01/16--07/15/25, market value $357,003,517) 0.07% 11/02/15 350,000,000 350,000,000
Mizuho Securities USA, Inc. (Purchased on 10/30/15, Proceeds at maturity
$350,002,625 collateralized by U.S. Treasury Securities, 0.50%--1.00%,
06/15/16--05/31/18, market value $357,000,083) 0.09% 11/02/15 350,000,000 350,000,000
RBC Capital Markets LLC (Purchased on 10/30/15, Proceeds at maturity
$125,000,729 collateralized by U.S. Treasury Securities, 0.00%--9.88%,
11/15/15--08/15/25, market value $127,500,001) 0.07% 11/02/15 125,000,000 125,000,000
Toronto Dominion Bank (Purchased on 10/30/15, Proceeds at maturity
$500,003,333 collateralized by U.S. Government Agency Backed Securities,
0.00%--5.38%, 12/21/15--07/15/25, market value $510,000,053) 0.08% 11/02/15 500,000,000 500,000,000
------------- ---------------
TOTAL REPURCHASE AGREEMENTS (Cost $3,350,000,000) 3,350,000,000 3,350,000,000
------------- ---------------
U.S. TREASURY OBLIGATIONS--1.8%
(y)U.S. Treasury Bill 0.01% 11/12/15 100,000,000 99,999,700
(y)U.S. Treasury Bill 0.03% 12/10/15 100,000,000 99,997,100
(y)U.S. Treasury Bill 0.07% 02/18/16 100,000,000 99,977,900
(y)U.S. Treasury Bill 0.20% 04/21/16 100,000,000 99,903,800
------------- ---------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $399,875,185) 400,000,000 399,878,500
------------- ---------------
TOTAL INVESTMENTS (Cost $22,238,007,517)--100.0% $22,238,069,121
===============
AB--Aktiebolag (Swedish Stock Company)
AG--Aktiengesellschaft (German & Swiss stock corporation)
LLC--Limited Liability Co.
NY--New York Shares
PLC--Public Limited Company
++ Rule 144A, Section 4(2), or other security which is restricted as to resale
to institutional investors. The Fund's Advisor has deemed this security to
be liquid based upon procedures approved by the Board of
Directors/Trustees. The aggregate value of these securities at October 31,
2015 was $8,377,828,932 which represented 37.7% of the total investments of
the Fund.
(r) The adjustable/variable rate shown is effective as of 10/31/15.
(y) The rate shown is the effective yield.
See Notes to Financial Statements.
7
THE DFA SHORT TERM INVESTMENT FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2015
ASSETS:
Investments, at value $ 18,888,069,121
Repurchase agreements, at value 3,350,000,000
----------------
Total Investments 22,238,069,121
----------------
Cash 1,085,589,842
Interest receivable 1,787,783
----------------
Total Assets 23,325,446,746
----------------
LIABILITIES:
Payable for investments purchased 90,000,000
Distributions payable 3,120,370
Accrued expenses and other payables:
Investment Advisory Fees 1,039,540
Director/Trustee Fees 391,880
Administration Fees 47,477
Professional Fees 52,881
CCO Fees 2,171
Other Expenses 137,752
----------------
Total Liabilities 94,792,071
----------------
Net Assets $ 23,230,654,675
================
NET ASSETS CONSIST OF:
Capital $ 23,230,449,719
Undistributed Net Investment Income 30,238
Accumulated Net Realized Gains from Investment Transactions 113,114
Net Unrealized Appreciation on Investments 61,604
----------------
NET ASSETS $ 23,230,654,675
================
Shares of Beneficial Interest (Unlimited Number of Shares
Authorized, No Par value) 2,007,817,608
================
Net Asset Value (Offering and Redemption Price Per Share) $ 11.57
================
Investments at cost $ 22,238,007,517
See Notes to Financial Statements.
8
THE DFA SHORT TERM INVESTMENT FUND
STATEMENT OF OPERATIONS
OCTOBER 31, 2015
INVESTMENT INCOME:
Interest $ 39,893,454
Total Investment Income 39,893,454
------------
EXPENSES:
Investment Advisory Fees 11,965,496
Administration Fees 1,675,292
Professional Fees 149,199
Director/Trustee Fees 141,283
CCO Fees 26,720
Other Expenses 241,325
------------
Total Expenses Before Fee Reductions 14,199,315
------------
Fees Paid Indirectly (858,961)
------------
Net Expenses 13,340,354
------------
Net Investment Income 26,553,100
------------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS
Net Realized Gains (Losses) from Investment Transactions 112,826
Change in Unrealized Appreciation/(Depreciation) on Investments 135,213
------------
Net Realized/Unrealized Gains (Losses) from Investments 248,039
------------
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS $ 26,801,139
============
See Notes to Financial Statements.
9
THE DFA SHORT TERM INVESTMENT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 2015 OCTOBER 31, 2014
------------------ ------------------
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net Investment Income $ 26,553,100 $ 17,164,520
Net Realized Gains from Investment Transactions 112,826 273,009
Net Change in Unrealized Appreciation/Depreciation on Investments 135,213 (310,483)
----------------- ----------------
Change in net assets resulting from operations 26,801,139 17,127,046
----------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (26,578,328) (17,165,353)
Net Realized Gain (271,610) (141,343)
----------------- ----------------
Change in Net Assets from Distributions to Shareholders (26,849,938) (17,306,696)
----------------- ----------------
CAPITAL TRANSACTIONS:
Proceeds from Shares Issued 101,728,152,398 90,276,127,859
Dividends Reinvested 1,618 --
Cost of Shares Redeemed (102,841,116,699) (85,424,738,245)
----------------- ----------------
Change in Net Assets from Capital Transactions (1,112,962,683) 4,851,389,614
----------------- ----------------
Change in Net Assets (1,113,011,482) 4,851,209,964
NET ASSETS:
Beginning of Period 24,343,666,157 19,492,456,193
----------------- ----------------
End of Period $ 23,230,654,675 $ 24,343,666,157
================= ================
Accumulated Net Investment Income $ 30,238 $ 55,466
================= ================
SHARES TRANSACTIONS:
Shares Issued 8,792,407,295 7,802,603,963
Reinvested 140 --
Shares Redeemed (8,888,601,270) (7,383,296,305)
----------------- ----------------
Change in Shares (96,193,835) 419,307,658
================= ================
See Notes to Financial Statements.
10
THE DFA SHORT TERM INVESTMENT FUND
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
2015 2014 2013 2012+ 2011+
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF
PERIOD $ 11.57 $ 11.57 $ 11.57 $ 11.57 $ 11.57
----------- ----------- ----------- ----------- -----------
INVESTMENT ACTIVITIES:
Net Investment Income 0.01 0.01 0.01 0.02 0.02
Net Realized and
Unrealized Gain/(Losses)
on Investments --/(a)/ --/(a)/ --/(a)/ --/(a)/ --/(a)/
----------- ----------- ----------- ----------- -----------
Total from Investment
Activities 0.01 0.01 0.01 0.02 0.02
----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income (0.01) (0.01) (0.01) (0.02) (0.02)
Net Realized Gains --/(a)/ --/(a)/ --/(a)/ --/(a)/ --/(a)/
----------- ----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS (0.01) (0.01) (0.01) (0.02) (0.02)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 11.57 $ 11.57 $ 11.57 $ 11.57 $ 11.57
=========== =========== =========== =========== ===========
Total Return 0.11% 0.08% 0.13% 0.21% 0.18%
SUPPLEMENTAL DATA:
NET ASSETS, END OF PERIOD
(000's) $23,230,655 $24,343,666 $19,492,456 $14,443,787 $15,219,622
Ratios to Average Net Assets:
Net Investment Income 0.11% 0.08% 0.12% 0.21% 0.18%
Gross Expenses 0.06% 0.06% 0.06% 0.06% 0.06%
Net Expenses/(b)/ 0.06% 0.06% 0.06% 0.06% 0.06%
+ As described in Note H, amounts have been adjusted for a 1-for-11.57
reverse share split that occurred on May 7, 2012.
(a) Amount less than $0.005.
(b) Ratio as disclosed reflects the impact of custody fee credits earned by the
fund on cash balances.
See Notes to Financial Statements.
11
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements
October 31, 2015
A. ORGANIZATION
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940 (the
"1940 Act"). The Trust meets the definition as an investment company and
follows the accounting and reporting guidance under Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC") Topic 946,
"Financial Services--Investment Companies." The Trust consists of eleven
portfolios one of which, The DFA Short Term Investment Fund (the "Fund"), is
included in this report. The remaining operational portfolios are presented in
separate reports.
The investment objective of the Fund is to seek to provide a high level of
current income consistent with liquidity and the preservation of capital. As a
money market fund, the Fund will pursue its investment objective by investing
in U.S. dollar-denominated short-term debt securities that meet the strict
standards established by the Board of Trustees of the Trust (the "Board"),
which are in accordance with Rule 2a-7 under the 1940 Act.
The Board is responsible for establishing the Trust's policies and for
overseeing the management of the Trust. Under the Trust's organizational
documents, its officers and trustees are indemnified against certain
liabilities arising out of the performance of their duties to the Trust. In the
normal course of business, the Trust enters into contracts that contain a
variety of representations and warranties that provide general indemnification.
The Trust's maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Trust and/or its affiliates
that have not yet occurred. However, based on experience, the Trust expects the
risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with accounting
principles generally accepted in the United States of America ("U.S. GAAP").
Such policies are consistently followed by the Trust in preparation of its
financial statements. The preparation of financial statements in accordance
with U.S. GAAP requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of increases and decreases in net assets from operations
during the reporting period. Actual results could differ from those estimates
and those differences could be material.
1. SECURITY VALUATION - The Fund utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
.. Level 1 - quoted prices in active markets for identical securities
.. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds,
credit risk, etc.)
.. Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The securities held by the Fund are valued at market value or fair value in
accordance with procedures adopted by the Board. Debt securities are valued on
the basis of evaluated bid-side prices provided by one or more independent
pricing services or other reasonably reliable sources, including broker/dealers
that typically handle the purchase and sale of such securities.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board.
Changes in valuation techniques may result in transfers in or out of an
assigned level within the disclosure hierarchy. The Fund determines transfers
between fair value hierarchy levels at the reporting period end. The inputs or
methodology used for valuing securities are not necessarily an indication of
the risk associated with investing in those securities. During the year ended
October 31, 2015, only securities classified as Level 2 in the fair value
hierarchy were held by the Fund.
For the year ended October 31, 2015, there were no transfers between Level 1
and Level 2, and no Level 3 investments were held by the Fund.
12
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements
October 31, 2015
When determining the fair value of the Fund's investments, additional
consideration is given to those assets or liabilities that have experienced a
decrease in the volume or level of activity or have identified circumstances
that indicate that a transaction is not orderly.
The following table provides the fair value measurements of the Fund's
investments by level within the fair value hierarchy as of October 31, 2015:
Summary of inputs used to value the Fund's investments as of October 31, 2015
is as follows (See Security Valuation Note):
LEVEL 1 LEVEL 2 LEVEL 3
INVESTMENTS INVESTMENTS INVESTMENTS
THE DFA SHORT TERM INVESTMENT FUND IN SECURITIES IN SECURITIES IN SECURITIES
---------------------------------- ------------- --------------- -------------
Corporate Bonds $ -- $ 289,571,880 $ --
Yankee Bonds -- 489,788,419 --
Commercial Paper -- 11,080,748,819 --
Certificates of Deposit -- 3,013,965,710 --
Yankee Certificates of Deposit -- 362,995,589 --
U.S. Government Agency Securities -- 3,251,120,204 --
Repurchase Agreements -- 3,350,000,000 --
U.S. Treasury Obligations -- 399,878,500 --
---- --------------- ----
Total Investments $ -- $22,238,069,121 $ --
==== =============== ====
2. DEFERRED COMPENSATION PLAN - Each eligible trustee (each a "Trustee" and
collectively, the "Trustees") of the Trust may elect participation in The Fee
Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the
Plan effective January 1, 2002, such Trustees may defer payment of all or a
portion of their total fees earned as a Trustee. These deferred amounts may be
treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core
Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in
Director/Trustee Fees.
Each Trustee has the option to receive their distribution of proceeds in one of
the following methods: lump sum; annual installments over a period of agreed
upon years; or quarterly installments over a period of agreed upon years. Each
Trustee shall have the right in a notice of election to defer compensation (the
"Notice") to elect to defer the receipt of the Trustee's deferred compensation
until a date specified by such Trustee in the Notice, which date may not be
sooner than the earlier of: (i) the first business day of January following the
year in which such Trustee ceases to be a member of the Board; and (ii) five
years following the effective date of the Trustee's first deferral election. If
a Trustee who elects to defer fees fails to designate in the Notice a time or
date as of which payment of the Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Trustee ceases to be a member of the Board
(unless the Trustee files an amended Notice selecting a different distribution
date). As of October 31, 2015, none of the Trustees have requested or received
a distribution of proceeds of a deferred fee account.
At October 31, 2015, the Fund's total liability of $328,070 for deferred
compensation to Trustees is included in "Director/Trustee Fees" payable on the
Statement of Assets and Liabilities.
3. SECURITY TRANSACTIONS AND RELATED INCOME - Security transactions are
accounted for on trade date. The Fund generally declares distributions from net
investment income on a daily basis and pays dividends monthly. Any capital
gains are distributed at least annually. The Fund does not expect to realize
any long-term capital gains and losses. Interest income is recognized on an
accrual basis and includes amortization or accretion of premia or discount
using the effective yield method. Costs used in determining net realized gains
and losses on the sales of investment securities are those of the specific
securities sold, adjusted for the accretion or amortization of purchase
discounts or premia during the respective holding period.
13
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements
October 31, 2015
4. ALLOCATIONS - Expenses directly attributable to the Fund are charged to the
Fund. Expenses not directly attributable to the Fund are allocated among the
respective funds in the Trust based upon relative net assets or on another
reasonable basis.
C. FEDERAL INCOME TAXES
The Fund is classified as a regulated investment company for tax purposes. As a
regulated investment company, the Fund generally pays no U.S. federal income
tax on the income and gains that the Fund distributes to shareholders.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S federal income tax regulation, which may
differ from those amounts determined under U.S. GAAP. These book/tax
differences are either temporary (e.g., wash sale losses) or permanent (e.g.,
reclassification of certain gain/loss and distributions) in nature. To the
extent these differences are permanent, they are charged or credited to paid-in
capital, undistributed net investment income or accumulated net realized gains,
as appropriate, in the period that the differences arise. There were no
permanent differences as of October 31, 2015 attributable to distribution
redesignations.
As of October 31, 2015, the total cost and aggregate gross unrealized
appreciation and depreciation of securities for federal income tax purposes
were equal to the amounts reported for financial reporting purposes.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for
financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return.
For all open tax years and all major taxing jurisdictions, management of the
Fund has concluded that there are no significant uncertain tax positions that
would require recognition in the Fund's financial statements. The Fund is not
aware of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each of the Fund's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
The tax character of distributions paid to shareholders during the years ended
October 31, 2015 and October 31, 2014 were as follows:
Distributions Paid From
------------------------------------
Net Total
Investment Tax-Exempt Distributions
Income Income Paid
----------- ---------- -------------
The DFA Short Term Investment Fund
2015 $25,237,522 $ -- $25,237,522
2014 $17,306,696 $ -- $17,306,696
As of October 31, 2015, the components of distributable earnings (accumulated
losses) on a tax basis were as follows:
Undistributed
-------------------------------- Total
Long-Term Accumulated Unrealized Accumulated
Ordinary Capital Accumulated Distributions Capital and Appreciation Earnings
Income Gains Earnings Payable Other Losses (Depreciation) (Deficit)
---------- --------- ----------- ------------- ------------ -------------- -----------
The DFA Short Term Investment Fund $3,691,392 $1,483 $3,692,875 $(3,120,370) $ -- $61,606 $634,111
D. FINANCIAL INSTRUMENTS
REPURCHASE AGREEMENTS - The Fund may engage in repurchase agreement
transactions with institutions that the Advisor (as defined below) has
determined are creditworthy. The Fund, through its custodian, receives delivery
of underlying securities collateralizing a repurchase agreement. Collateral for
certain tri-party repurchase agreements is held at the counterparty's custodian
in a segregated account for the benefit of the Fund and the counterparty. The
counterparty will be required to maintain collateral with a value at least
equal, at all times, to the value of the repurchase obligation including
interest. A repurchase agreement transaction involves certain risks in the
event of default or insolvency of the counterparty.
14
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements
October 31, 2015
These risks include possible delay or restrictions upon the Fund's ability to
dispose of the underlying securities and a possible decline in the value of the
underlying securities during the period while the Fund seeks to assert its
rights.
Repurchase agreement transactions ("RA") permit the Fund, under certain
circumstances including an event of default (such as bankruptcy or insolvency),
to offset payables and/or receivables under the RA with collateral held and/or
posted to the counterparty and create one single net payment due to or from the
Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against such a right of offset in the
event of the RA counterparty's bankruptcy or insolvency. Pursuant to the terms
of the RA, the Fund receives securities as collateral with a market value in
excess of the repurchase price to be received by the Fund upon the maturity of
the repurchase transaction. Upon a bankruptcy or insolvency of the RA
counterparty, the Fund would recognize a liability with respect to such excess
collateral to reflect the Fund's obligation under bankruptcy law to return the
excess to the counterparty.
E. RELATED PARTY TRANSACTIONS
INVESTMENT MANAGER - Dimensional Fund Advisors LP (the "Advisor" or "DFA")
serves as investment advisor to the Fund. Pursuant to an investment management
agreement with the Trust with respect to the Fund (the "Investment Management
Agreement"), the Advisor manages the investment and reinvestment of the Fund's
assets. DFA has served as the Fund's investment advisor since the Fund's
commencement of operations. Pursuant to the terms of the Investment Management
Agreement, the Advisor receives a management fee calculated daily and payable
monthly from the Fund at an annual rate of 0.05% of the average daily net
assets.
FEES PAID TO OFFICERS AND TRUSTEES - Certain Officers and Trustees of the
Advisor are also Officers and Trustees of the Trust; however, such Officers and
Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive
no compensation from the Trust. Amounts paid to the Trust's CCO are reflected
on the Statement of Operations as "CCO fees".
ADMINISTRATOR AND CUSTODIAN - Citi Fund Services Ohio, Inc. serves as the
Administrator, and Citibank, N.A. serves as the Custodian of the Fund. Pursuant
to the terms of the Master Services Agreement, the Administrator receives a fee
payable monthly from the Fund at an annual rate of 0.007% of the average daily
net assets.
Expense offsets to custody fees that arise from credits on cash balances
maintained on deposit are reflected on the Statement of Operations, as
applicable, as "Fees paid indirectly." Custody fees are reported gross of such
credits.
F. INTEREST RATE AND CREDIT RISKS
The Fund invests primarily in money market instruments maturing in 397 days or
less whose ratings are within one of the two highest ratings categories
assigned by a nationally recognized statistical rating organization, or, if not
rated, are believed by the Advisor to be of comparable quality. The ability of
the issuers of the securities held by the Fund to meet their obligations may be
affected by economic developments in a specific industry, state or region.
The Fund is subject to the risk that the Advisor's security selection and
expectations regarding interest rate trends will cause the yields of the Fund
to lag the performance of other mutual funds with similar investment objectives
or the performance of short-term debt instruments. The emphasis of the Fund on
quality and liquidity also could cause the Fund to underperform when compared
to other money market funds, particularly those that take greater maturity and
credit risks.
G. LINE OF CREDIT AND INTERFUND LENDING PROGRAM
The Fund, together with other Dimensional-advised portfolios, has also entered
into an additional $500 million unsecured line of credit with its international
custodian bank effective January 9, 2015. A line of credit with similar terms
was in effect through January 8, 2015. Each portfolio is permitted to borrow,
subject to its investment limitations, up to a maximum of $500 million, as long
as total borrowings under the line of credit do not exceed $500 million in the
aggregate. Each portfolio is individually, and not jointly, liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused portion of the line of
credit. The agreement for the line of credit expires on January 8, 2016. There
were no borrowings by the Fund under this line of credit during the year ended
October 31, 2015.
15
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements
October 31, 2015
Pursuant to an exemptive order issued by the SEC (the "Order"), the Fund may
participate in an interfund lending program among certain portfolios managed by
the Advisor (portfolios that operate as feeder funds do not participate in the
program). The program allows the participating portfolios to borrow money from
and loan money to each other for temporary or emergency purposes, subject to
the conditions in the Order. A loan can only be made through the program if the
interfund loan rate on that day is more favorable to both the borrowing and
lending portfolios as compared to rates available through short-term bank loans
or investments in overnight repurchase agreements and money market funds,
respectively, as detailed in the Order. Further, a portfolio may participate in
the program only if and to the extent that such participation is consistent
with its investment objective and limitations. Interfund loans have a maximum
duration of seven days and may be called on one business day's notice.
For the year ended October 31, 2015, activity by the Fund under the unterfund
lending program was as follows (amounts in thousands, except percentages and
days):
MAXIMUM
WEIGHTED WEIGHTED AMOUNT
AVERAGE AVERAGE NUMBER OF INTEREST BORROWED/
INTEREST LOAN DAYS EXPENSE/ LOANED DURING
LENDER BORROWER RATE BALANCE OUTSTANDING* INCOME THE PERIOD
------------------------------ ------------------------------ -------- -------- ------------ -------- -------------
The DFA Short Term Investment Emerging Markets Core Equity
Fund Portfolio 0.49% $304,214 4 $17 $311,958
The DFA Short Term Investment Tax-Managed DFA International
Fund Value Portfolio 0.50% $ 53,403 3 $ 2 $ 53,403
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2015, that the Fund utilized an interfund
loan.
The Fund had no outstanding interfund loans as of October 31, 2015.
H. REVERSE SHARE SPLIT
On May 7, 2012, upon approval of the Board and consent of the shareholders, the
Fund no longer sought to maintain a stable net asset value of $1.00 per share
and, instead, adopted a floating net asset value per share. To accomplish the
change from a stable net asset value fund to a floating net asset value fund,
on May 7, 2012, the Fund underwent a 1-for-11.57 reverse share split. The
effect of the reverse share split transaction was to divide the number of
outstanding shares of the Fund by the reverse split factor, with a
corresponding increase in the net asset value per share. This transaction did
not change the net assets of the Fund or the value of a shareholder's
investment. The historical share transactions presented in the Statements of
Changes in Net Assets and per share data presented in the Financial Highlights
have been adjusted retroactively to show the effect of the reverse share split.
Additionally, when the application of the reverse share split results in
fractional shares for beneficial shareholders, a portion of the cost of shares
redeemed, as presented in the Statements of Changes in Net Assets, will reflect
payments of fractional share balances on beneficial shareholder accounts.
I. MONEY MARKET REFORM
In July 2014 and September 2015, the Securities and Exchange Commission ("SEC")
issued final rules that will alter and increase the regulations to which money
market funds, including the Fund, are subject. The SEC's new rules have varying
implementation dates, ranging from July 2015 to October 2016 and are intended
to give investors additional protection during rare periods of market stress,
when redemptions in some money market mutual funds may increase significantly.
The new rules will replace much of the current Rule 2a-7 under the Investment
Company Act of 1940 and add new Rule 30b1-8 ("Form N-CR"). Additionally, Forms
N-MFP and N-PF, along with the instructions to Form N-1A, have been revised as
part of this reform. The new rules will also remove references to credit
ratings of securities held by the Fund, adopt a uniform standard to refer an
"eligible security" as security that has been determined to present minimal
credit risks, and require that the Fund engage in ongoing monitoring of its
portfolio securities and perform stress testing for credit deterioration rather
than for a ratings downgrade.
Certain government and U.S. treasury money market funds will not be subject to
many of the new structural changes. The Fund's management has been and
continues to review and access effect of the new rules. Further information
regarding the money market mutual fund regulatory changes may be found at the
SEC's website, www.sec.gov.
J. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund
through the date these financials statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
16
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information-(Unaudited)
October 31, 2015
OTHER FEDERAL TAX INFORMATION
For the year ended October 31, 2015, certain distributions paid by the Fund may
be subject to a maximum tax rate of 15% as provided by the Jobs and Growth
Relief Reconciliation Act of 2003. The Fund intends to designate the maximum
amount allowable as taxed at a maximum rate of 15%. Complete information will
be reported in conjunction with the 2015 Form 1099-DIV.
For the year ended October 31, 2015, the Fund designated the following amount
as a short term capital gain distribution in accordance with Sections 871
(k) (2) and 881 (a) of the Internal Revenue Code:
Amount
--------
The DFA Short Term Investment Fund $271,610
17
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (Unaudited)
October 31, 2015
EXPENSE EXAMPLES
The following Expense Tables are shown so that you can understand the impact of
fees on your investment. All mutual funds have operating expenses. As a
shareholder of the Fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the Fund and
to compare these costs with those of other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of
the period and held for the entire period from May 1, 2015 to October 31, 2015.
Actual Expenses
---------------
The table below provides information about actual account values and actual
expenses. You may use the information below, together with the amount you
invested, to estimate the expenses that you paid over the period. Simply divide
your account value by $1,000 (for example, an $8,600 account value divided by
$1,000 = 8.6), then multiply the result by the number in the table under the
heading entitled "Expenses Paid During Period" to estimate the expenses you
paid on your account during this period.
Annualized
Beginning Ending Expenses Paid Expense Ratio
Account Value Account Value During Period* During Period
5/1/15 10/31/15 5/1/15 - 10/31/15 5/1/15 - 10/31/15
------------- ------------- ----------------- -----------------
The DFA Short Term Investment Fund $1,000.00 $1,000.60 $0.30 0.06%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the period from May 1, 2015 to October 31, 2015 divided by the number of days
in the fiscal year.
Hypothetical Example for Comparison Purposes
--------------------------------------------
The table below provides information about hypothetical account values and
hypothetical expenses based on the Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses, which is not the Fund's actual
return. The hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare this 5% hypothetical example with the
5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), redemption fees, or exchange fees. Therefore, the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
Annualized
Beginning Ending Expenses Paid Expense Ratio
Account Value Account Value During Period* During Period
5/1/15 10/31/15 5/1/15 - 10/31/15 5/1/15 - 10/31/15
------------- ------------- ----------------- -----------------
The DFA Short Term Investment Fund $1,000.00 $1,024.90 $0.31 0.06%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the period from May 1, 2015 to October 31, 2015 divided by the number of days
in the fiscal year.
18
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (Unaudited)
October 31, 2015
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust use in
voting proxies relating to securities held in the portfolios is available
without charge, upon request, by calling collect: (512) 306-7400 and on the
SEC's website at http://www.sec.gov. 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://us.dimensional.
com and reflects the twelve-month period beginning July 1st and ending
June 30th.
PORTFOLIO HOLDINGS INFORMATION
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For the Trust or
the Fund, this would be for the fiscal quarters ending January 31 and July 31.
The Form N-Q filing must be made within 60 days of the end of the quarter. The
Trust filed its most recent Form N-Q with the SEC on September 29, 2015. The
Forms N-Q are 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, DC (call 1-800-732-0330 for the
information on the operation of the Public Reference Room).
19
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (Unaudited)
October 31, 2015
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and
Shareholders of The DFA Short Term Investment Fund:
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of The DFA Short Term Investment Fund
(one of the portfolios constituting The DFA Investment Trust Company, hereafter
referred to as the "Fund") at October 31, 2015, the results of its operations
for the year then ended, the changes in its net assets for each of the two
years in the period then ended and the financial highlights for each of the
periods indicated, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 2015 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 18, 2015
20
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (Unaudited)
October 31, 2015
FUND MANAGEMENT
(UNAUDITED)
Trustees/Directors
Each Board Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company (DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of FAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and
Abbie J. Smith. Each member of the Audit Committee is a disinterested
Trustee/Director. The Audit Committee oversees the Fund's accounting and
financial reporting policies and practices, the Fund's internal controls, the
Fund's financial statements and the independent audits thereof and performs
other oversight functions as requested by the Board. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2015.
Each Board's Nominating Committee is composed of George M. Constantinides, John
P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie J.
Smith. Each member of the Nominating Committee is a disinterested
Trustee/Director. The Nominating Committee for each Board makes recommendations
for nominations of disinterested and interested members on the Board to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee did not meet during
the fiscal year ended October 31, 2015.
Each Board's Strategy Committee consists of both interested and disinterested
Trustees/Directors. The Strategy Committee is composed of John P. Gould, Edward
P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Strategy Committee
assists the Board in carrying out its fiduciary duties with respect to the
oversight of the Fund and its performance. At the request of the Board or the
Advisor, the Strategy Committee may (i) review the design of possible new
series of the Fund, (ii) review performance of existing portfolios of the Fund
and discuss and recommend possible enhancements to the portfolios' investment
strategies, (iii) review proposals by the Advisor to modify or enhance the
investment strategies or policies of each portfolio, and (iv) consider issues
relating to investment services for each portfolio of the Fund. The Strategy
Committee was formed on December 17, 2010, and there were three Strategy
Committee meetings held during the fiscal year ended October 31, 2015.
Certain biographical information for each disinterested Trustee/Director and
each interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a Trustee/
Director of the Funds and as a director or trustee of other funds, as well as
other recent professional experience.
The statements of additional information (together, "SAl") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAl and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746.
Prospectuses are also available at www.dimensional.com.
21
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (Unaudited)
October 31, 2015
POSITION WITHIN THE
NAME, POSITION WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
----------------------------- ------------------- --------------------- -------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
George M. Constantinides DFAIDG-Since 1983 122 portfolios in 4 Leo Melamed Professor of Finance, University of
Director of DFAIDG and DIG. DIG-Since 1993 investment companies Chicago Booth School of Business.
Trustee of DFAITC and DEM. DFAITC-Since 1992
The University of Chicago Booth DEM-Since 1993
School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
1947
John P. Gould DFAIDG-Since 1986 122 portfolios in 4 Steven G.Rothmeier Professor and Distinguished
Director of DFAIDG and DIG. DIG-Since 1993 investment companies Service Professor of Economics, University of
Trustee of DFAITC and DEM. DFAITC-Since 1992 Chicago Booth School of Business (since 1965).
The University of Chicago DEM-Since 1993 Member and Chair, Competitive Markets Advisory
Booth School of Business Council, Chicago Mercantile Exchange (futures
5807 S. Woodlawn Avenue trading exchange) (since 2004). Trustee, Harbor
Chicago, IL 60637 Fund (registered investment company) (29
1939 Portfolios) (since 1994). Formerly, Member of the
Board of Milwaukee Insurance Company (1997-2010).
Roger G. Ibbotson. DFAIDG-Since 1981 122 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG and DIG. DIG-Since 1993 investment companies Management (since 1984). Chairman, CIO and
Trustee of DFAITC and DEM. DFAITC-Since 1992 Partner, Zebra Capital Management, LLC (hedge
Yale School of Management DEM-Since 1993 fund and asset manager) (since 2001 ). Consultant
P.O. Box 208200 , to Morningstar Inc. (since 2006). Formerly,
New Haven, CT 06520-8200 Director BIRR Portfolio Analysis, Inc. (software
1943 products) (1990-201 0).
Edward P. Lazear DFAIDG-Since 2010 122 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover
Director of DFAIDG and DIG. DIG-Since 2010 investment companies Institution (since 2002). Jack Steele Parker
Trustee of DFAITC and DEM. DFAITC-Since 2010 Professor of Human Resources Management and
Stanford University Graduate DEM-Since 2010 Economics, Graduate Stanford University School of
School of Business, Business (since 1995). Cornerstone Research
518 Memorial Way (expert testimony and economic and financial
Stanford, CA 94305-5015 analysis) (since 2009). Formerly, Chairman of the
1948 President George W. Bush's Council of Economic
Advisers (2006-2009). Formerly, Council of
Economic Advisors, State of California
(2005-2006). Formerly, Commissioner, White House
Panel on Tax Reform (2005)
Myron S. Scholes DFAIDG-Since 1981 122 portfolios in 4 Chief Investment Strategist, Janus Capital Group
Director of DFAIDG and DIG. DIG-Since 1993 investment companies Inc. (since 2014). Frank E. Buck Professor of
Trustee of DFAITC and DEM. DFAITC-Since 1992 Finance Emeritus, Graduate School of Business,
c/o Dimensional Fund DEM-Since 1993 Stanford University (since 1981). Chairman,
Advisors, LP Ruapay Inc. (since 2013). Formerly, Chairman,
6300 Bee Cave Road Building 1 Platinum Grove Asset Management, L.P. (hedge
Austin, TX 78746 fund) (formerly, Oak Hill Platinum Partners)
1941 (1999- 2009).Formerly, Director, American Century
Fund Complex (registered investment companies)
(43 Portfolios) (1980-2014).
Abbie J. Smith DFAIDG-Since 2000 122 portfolios in Boris and Irene Stern Distinguished Service
Director of DFAIDG and DIG. DIG-Since 2000 investment companies Professor of Accounting, University of Chicago
Trustee of DFAITC and DEM. The DFAITC-Since 2000 Booth School of Business (since 1980). Director,
University of Chicago DEM-Since 2000 HNI Corporation (formerly known as HON Industries
Booth School of Business Inc.) (office furniture) (since 2000). Director,
5807 S. Woodlawn Avenue Ryder System Inc. (transportation, logistics and
Chicago, IL 60637 supply-chain management) (since 2003). Trustee,
1953 UBS Funds (4 investment companies within the fund
complex) (33 portfolios) (since 2009). Formerly,
Co-Director Investment Research, Fundamental
Investment Advisors (hedge fund) (2008-2011 ).
22
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (Unaudited)
October 31, 2015
POSITION WITHIN THE
NAME, POSITION WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION DURING PAST 5 YEARS AND
ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
----------------------------- ------------------- --------------------- -------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS*
David G. Booth DFAIDG-Since 1981 122 portfolios in 4 Chairman, Director/Trustee, and formerly, Chief
Chairman, Director/Trustee, DIG-Since 1992 investment companies Executive President and Co-Chief (until1/1/2010)
President, Co-Chief Executive DFAITC-Since 1992 of the following companies: Executive Officer
Officer DEM-Since 1993 Dimensional Holdings Inc., Dimensional Fund
6300 Bee Cave Road, Building Advisors LP, DFA Securities LLC, DEM, DFAIDG, DIG
One Austin, TX 78746 and DFAITC (collectively, the "DFA Entities").
1946 Director of Dimensional Fund Advisors Ltd. and
formerly, Chief Investment Officer. Director of
DFA Australia Limited and formerly, President and
Chief Investment Officer. Director of Dimensional
Advisors Ltd., Dimensional Funds pic and
Dimensional Funds II pic. Formerly, President,
Dimensional SmartNest (US) LLC (2009-2014).
Formerly, Limited Partner, Oak Hill Partners
(2001- 2010). Limited Partner, VSC Investors, LLC
(since 2007). Trustee, University of Chicago.
Trustee, University of Kansas Endowment
Association. Formerly, Director, SA Funds
(registered investment company). Chairman,
Director and Co- Chief Executive Officer of
Dimensional Fund Advisors Canada ULC. Director
and President (since 2012) of Dimensional Japan
Ltd. Chairman, Director, President and Co-Chief
Executive Officer of Dimensional Cayman Commodity
Fund I Ltd. (since 2010).
Eduardo A. Repetto DFAIDG-Since 2009 122 portfolios in 4 Co-Chief Executive Officer (beginning January
Director/Trustee, Co-Chief DIG-Since 2009 investment companies 2010), Co-Chief Investment Officer (since June
Executive Officer and DFAITC-Since 2009 2014), Director/Trustee, and formerly, Chief
Co-Chief Investment Officer DEM-Since 2009 Investment Officer (March 2007-June 2014) of the
6300 Bee Cave Road, Building DFA Entities. Director, Co-Chief Executive
One Austin, TX 78746 Officer and Chief Investment Officer (since 2010)
1967 of Dimensional Cayman Commodity Fund I Ltd.
Director, Co-Chief Executive Officer, President
and Co-Chief Investment Officer of Dimensional
Fund Advisors Canada ULC and formerly, Chief
Investment Officer (until April2014). Co-Chief
Investment Officer, Vice President, and Director
of DFA Australia Limited and formerly, Chief
Investment Officer (until April2014). Director of
Dimensional Fund Advisors Ltd., Dimensional Funds
pic, Dimensional Funds II pic and Dimensional
Advisors Ltd. Formerly, Vice President of the DFA
Entities and Dimensional Fund Advisors Canada
ULC. Director and Chief Investment Officer (since
December 2012) of Dimensional Japan Ltd.
/1/ Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
/2/ Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which
includes DFAIDG, DIG; DFAITC and OEM. Each disinterested Trustee/Director
also serves on the Independent Review Committee of the Dimensional Funds,
mutual funds registered in the provinces of Canada and managed by an
affiliate of Dimensional Fund Advisors LP (the "Advisor''), Dimensional
Fund Advisors Canada ULC.
* Interested Trustees/Directors are described as such because they are
deemed to be "interested persons," as that term is defined under the
Investment Company Act of 1940, as amended, due to their positions with
the Advisor.
23
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (Unaudited)
October 31, 2015
OFFICERS
Below is the name, year of birth, information regarding positions with the
Funds and the principal occupation for each officer of the Funds. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
NAME AND YEAR OF TERM OF OFFICE/1/ AND
BIRTH POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- -------------------- ------------------- -------------------------------------------------
OFFICERS
April A. Aandal Vice President Since 2008 Vice President of all the DFA Entities.
1963
Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1974 Vice President, Business Development at Capson
Physicians Insurance Company (2010-2012); Vice
President at Charles Schwab (2007-2010).
Darryl D. Avery Vice President Since 2005 Vice President of all the DFA Entities.
1966
Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Director
1955 and Managing Director of Dimensional Fund
Advisors Ltd (since September 2013).
Peter Bergan Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Senior Infrastructure Manager for Dimensional
Fund Advisors LP (January 2011 - January 2014);
Partner at Stonehouse Consulting (2010).
Lana Bergstein Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Client Service Manager for Dimensional Fund
Advisors LP (February 2008 - January 2014).
Stanley W. Black Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1970 Senior Research Associate (January 2012 - January
2014) and Research Associate (2006 - 2011) for
Dimensional Fund Advisors LP.
Aaron T. Borders Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director for Dimensional Fund Advisors
LP (April 2008 - January 2014).
Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities.
1968
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the
1967 Assistant Secretary DFA Entities, DFA Australia Limited, Dimensional
Fund Advisors Ltd., Dimensional Cayman Commodity
Fund I Ltd., Dimensional Fund Advisors Pte. and
Dimensional Hong Kong Limited. Director, Vice
President and Assistant Secretary of Dimensional
Fund Advisors Canada ULC.
David P. Butler Vice President Since 2007 Vice President of all the DFA Entities. Head of
1964 Global Financial Services for Dimensional Fund
Advisors LP (since 2008).
Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1970 Regional Director for Dimensional Fund Advisors
LP (December 2010 - January 2012); Regional
Director at Russell Investments (April 2006 -
December 2010).
Hunt M. Cairns Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1973 Regional Director (January 2010 - January 2014)
and Senior Associate (July 2008 - December 2009)
for Dimensional Fund Advisors LP.
Dennis M. Chamberlain Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Regional Director (January 2012 - January 2015)
for Dimensional Fund Advisors LP; Principal for
Chamberlain Financial Group (October 2010 -
December 2011); Wealth Management Consultant for
Saybrus Partners (May 2008 - October 2010).
Ryan J. Chaplinski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (June 2011 - January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (2004 - June 2011).
James G. Charles Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1956 Regional Director for Dimensional Fund Advisors
LP (2008-2010).
Joseph H. Chi Vice President Since 2009 Vice President of all the DFA Entities. Co-Head
1966 of Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) for
Dimensional Fund Advisors LP. Formerly, Portfolio
Manager for Dimensional Fund Advisors LP (October
2005 to January 2012).
Pil Sun Choi Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Counsel for Dimensional Fund Advisors LP (April
2012 - January 2014); Vice President and Counsel
for AllianceBernstein L.P. (2006 - 2012).
24
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (Unaudited)
October 31, 2015
NAME AND YEAR OF TERM OF OFFICE/1/ AND
BIRTH POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- ------------------------ ------------------- -------------------------------------------------
Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities, DFA
1972 Australia Limited and Dimensional Fund Advisors
Canada ULC. Head of Global Institutional Services
for Dimensional Fund Advisors LP (since January
2014). Formerly, Head of Institutional, North
America (March 2012 to December 2013) and Head of
Portfolio Management (January 2006 to March 2012)
for Dimensional Fund Advisors LP.
Matt B. Cobb Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors
LP (September 2011 - March 2013); Vice President
at MullinTBG (2005-2011).
Rose C. Cooke Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors
LP (August 2010 - March 2014); Vice President,
Sales and Business Development at AdvisorsIG
(PPMG) (2009-2010); Vice President at Credit
Suisse (2007-2009).
Ryan Cooper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors
LP (2003 - March 2014).
Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors
LP (August 2002 - January 2012).
Robert P. Cornell Vice President Since 2007 Vice President of all the DFA Entities.
1949
George H. Crane Vice President Since 2010 Vice President of all the DFA Entities. Formerly,
1955 Senior Vice President and Managing Director at
State Street Bank & Trust Company (2007 - 2008).
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance
1965 Global Chief Compliance Officer of all the DFA Entities, DFA Australia
Officer Limited and Dimensional Fund Advisors Ltd. Vice
President, Chief Compliance Officer and Chief
Privacy Officer of Dimensional Fund Advisors
Canada ULC. Formerly, Vice President and Global
Chief Compliance Officer for Dimensional
SmartNest (US) LLC (October 2010 - 2014).
John Dashtara Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (July 2013 - January 2015) for
Dimensional Fund Advisors LP; Relationship
Manager for Blackrock, Inc. (July 2011 - July
2013);Vice President for Towers Watson (formerly,
WellsCanning) (June 2009 - July 2011).
James L. Davis Vice President Since 1999 Vice President of all the DFA Entities.
1956
Robert T. Deere Vice President Since 1994 Vice President of all the DFA Entities, DFA
1957 Australia Limited and Dimensional Fund Advisors
Canada ULC.
Johnathon K. DeKinder Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (January 2012 - January 2014)
and Senior Associate (August 2010 - December
2011) for Dimensional Fund Advisors LP; MBA and
MPA at the University of Texas at Austin (August
2007 - May 2010).
Mark J. Dennis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1976 Regional Director (May 2011 - January 2015) for
Dimensional Fund Advisors LP; Vice President,
Portfolio Specialist (January 2007 - May 2011)
for Morgan Stanley Investment Management.
Massimiliano DeSantis Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1971 Senior Associate, Research (November 2012 -
January 2015) for Dimensional Fund Advisors LP;
Senior Consultant, NERA Economic Consulting, New
York (May 2010 - November 2012).
Peter F. Dillard Vice President Since 2010 Vice President of all the DFA Entities. Formerly,
1972 Research Associate (August 2008 - March 2010) and
Research Assistant (April 2006 - August 2008) for
Dimensional Fund Advisors LP.
Robert W. Dintzner Vice President Since 2001 Vice President of all the DFA Entities.
1970
Karen M. Dolan Vice President Since 2014 Vice President of all the DFA Entities. Head of
1979 Marketing for Dimensional Fund Advisors LP (since
February 2013). Formerly, Senior Manager of
Research and Marketing for Dimensional Fund
Advisors LP (June 2012 - January 2013); Director
of Mutual Fund Analysis at Morningstar (January
2008 - May 2012).
L. Todd Erskine Vice President Since 2015 Vice President of all DFA Entities. Formerly,
1959 Regional Director (May 2008 - January 2015) for
Dimensional Fund Advisors LP.
Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the
1965 Assistant Secretary DFA Entities and DFA Australia Limited. Chief
Operating Officer for Dimensional Fund Advisors
Pte. Ltd. (since April 2013). Formerly, Chief
Operating Officer for Dimensional Fund Advisors
Ltd. (July 2008 - March 2013).
25
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (Unaudited)
October 31, 2015
NAME AND YEAR OF TERM OF OFFICE/1/ AND
BIRTH POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- ------------------- ------------------- --------------------------------------------------
Gretchen A. Flicker Vice President Since 2004 Vice President of all the DFA Entities.
1971
Jed S. Fogdall Vice President Since 2008 Vice President of all the DFA Entities. Co-Head
1974 of Portfolio Management (since March 2012) and
Senior Portfolio Manager (since January 2012) of
Dimensional Fund Advisors LP. Formerly, Portfolio
Manager of Dimensional Fund Advisors LP
(September 2004 - January 2012).
Edward A. Foley Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1976 Regional Director for Dimensional Fund Advisors
LP (August 2011 - January 2014); Senior Vice
President of First Trust Advisors L.P. (2007 -
July 2011).
Deborah J.G. Foster Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1959 Senior Associate (May 2011 - January 2015) and
Marketing Officer (April 2002--April 2011) for
Dimensional Fund Advisors LP.
Jeremy P. Freeman Vice President Since 2009 Vice President of all the DFA Entities.
1970
Kimberly A. Ginsburg Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1970 Vice President for Dimensional SmartNest (US) LLC
(January 2012--November 2014); Senior Vice
President for Morningstar (July 2004 - July 2011).
Mark R. Gochnour Vice President Since 2007 Vice President of all the DFA Entities.
1967
Tom M. Goodrum Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Managing Director at BlackRock (2004 - January
2012).
Henry F. Gray Vice President Since 2000 Vice President of all the DFA Entities.
1967
John T. Gray Vice President Since 2007 Vice President of all the DFA Entities.
1974
Christian Gunther Vice President Since 2011 Vice President of all the DFA Entities. Senior
1975 Trader for Dimensional Fund Advisors LP (since
2012). Formerly, Senior Trader (2009-2012).
Robert W. Hawkins Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1974 Counsel for Dimensional Fund Advisors LP (January
2011 - January 2014); Vice President and Senior
Counsel for State Street Global Advisors
(November 2008 - January 2011).
Joel H. Hefner Vice President Since 2007 Vice President of all the DFA Entities.
1967
Kevin B. Hight Vice President Since 2005 Vice President of all the DFA Entities.
1967
Gregory K. Hinkle Vice President and Since 2015 Vice President and Controller of all the DFA
1958 Controller Entities. Formerly, Vice President of T. Rowe
Price Group, Inc. and Director of Investment
Treasury and Treasurer of the T. Rowe Price Funds
(March 2008 - July 2015).
Christine W. Ho Vice President Since 2004 Vice President of all the DFA Entities.
1967
Michael C. Horvath Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1960 Managing Director, Co-Head Global Consultant
Relations at BlackRock (2004-2011).
Mark A. Hunter Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Compliance Officer (November 2010 -
January 2015) for Dimensional Fund Advisors LP;
Senior Compliance Manager for Janus Capital
Group, Inc. (March 2004 - November 2010).
Jeff J. Jeon Vice President Since 2004 Vice President of all the DFA Entities and
1973 Dimensional Cayman Commodity Fund I Ltd.
Garret D. Jones Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1971 Manager of Sales and Marketing Systems (January
2011 - January 2014) and Project Manager (2007 -
2010) for Dimensional Fund Advisors LP.
Stephen W. Jones Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1968 Facilities Manager for Dimensional Fund Advisors
LP (October 2008 - January 2012).
Scott P. Kaup Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1975 Senior Manager, Investment Operations (January
2014 - January 2015) and Investment Operations
Manager (May 2008 - January 2014) for Dimensional
Fund Advisors LP.
David M. Kavanaugh Vice President Since 2014 Vice President of all the DFA Entities. Head of
1978 Operations for Financial Advisor Services for
Dimensional Fund Advisors LP (since July 2014).
Formerly, Counsel of Dimensional Fund Advisors LP
(August 2011 - January 2014); Associate at
Andrews Kurth LLP (2006 - 2011).
26
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (Unaudited)
October 31, 2015
NAME AND YEAR OF TERM OF OFFICE/1/ AND
BIRTH POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- --------------- ------------------- -------------------------------------------------
Patrick M. Keating Vice President Since 2003 Vice President of DFAIDG, DIG, DFAITC, DEM,
1954 Dimensional Holdings Inc., Dimensional Fund
Advisors LP. Formerly, Vice President of DFA
Securities LLC, Dimensional Cayman Commodity Fund
I Ltd. and Dimensional Advisors Ltd (until
February 2015); Chief Operating Officer of
Dimensional Holdings Inc., DFA Securities LLC,
Dimensional Fund Advisors LP, Dimensional Cayman
Commodity Fund I Ltd., Dimensional Advisors Ltd.
and Dimensional Fund Advisors Pte. Ltd. (until
February 2015); Director, Vice President, and
Chief Privacy Officer of Dimensional Fund
Advisors Canada ULC (until February 2015);
Director of DFA Australia Limited, Dimensional
Fund Advisors Ltd. and Dimensional Advisors Ltd.
(until February 2015); Director and Vice
President of Dimensional Hong Kong Limited and
Dimensional Fund Advisors Pte. Ltd. (until
February 2015); and Director, Vice President, and
Chief Operating Officer of Japan Ltd. (until May
2015).
Andrew K. Keiper Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors
LP (October 2004 - January 2013).
Glenn E. Kemp Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1948 Regional Director for Dimensional Fund Advisors
LP (April 2006 - January 2012).
David M. Kershner Vice President Since 2010 Vice President of all the DFA Entities. Portfolio
1971 Manager for Dimensional Fund Advisors LP (since
June 2004).
Kimberly L. Kiser Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1972 Creative Director for Dimensional Fund Advisors
LP (September 2012 - January 2014); Vice
President and Global Creative Director at Morgan
Stanley (2007 - 2012); Visiting Assistant
Professor, Graduate Communications Design at
Pratt Institute (2004 - 2012).
Timothy R. Kohn Vice President Since 2011 Vice President of all the DFA Entities. Head of
1971 Defined Contribution Sales for Dimensional Fund
Advisors LP (since August 2010).
Joseph F. Kolerich Vice President Since 2004 Vice President of all the DFA Entities. Senior
1971 Portfolio Manager of Dimensional Fund Advisors LP
(since January 2012). Formerly, Portfolio Manager
for Dimensional (April 2001 - January 2012).
Mark D. Krasniewski Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1981 Senior Associate, Investment Analytics and Data
(January 2012 - December 2012) and Systems
Developer (June 2007 - December 2011) for
Dimensional Fund Advisors LP.
Kahne L. Krause Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1966 Regional Director (May 2010 - January 2014) for
Dimensional Fund Advisors LP.
Stephen W. Kurad Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1968 Regional Director for Dimensional Fund Advisors
LP (2007-2010).
Michael F. Lane Vice President Since 2004 Vice President of all the DFA Entities. Formerly,
1967 Chief Executive Officer for Dimensional SmartNest
(US) LLC (July 2012 - November 2014).
Francis R. Lao Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1969 Vice President - Global Operations at Janus
Capital Group (2005-2011).
David F. LaRusso Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1978 Senior Trader (January 2010 - December 2012) and
Trader (2000-2009) for Dimensional Fund Advisors
LP.
Juliet H. Lee Vice President Since 2005 Vice President of all the DFA Entities.
1971
Marlena I. Lee Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1980 Research Associate for Dimensional Fund Advisors
LP (July 2008-2010).
Paul A. Lehman Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Regional Director (July 2013 - January 2015) for
Dimensional Fund Advisors LP; Chief Investment
Officer (April 2005 - April 2013) for First
Citizens Bancorporation.
John B. Lessley Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1960 Regional Director for Dimensional Fund Advisors
LP (January 2008 - January 2013).
Joy L. Lopez Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1971 Senior Tax Manager (February 2013 - January 2015)
for Dimensional Fund Advisors LP; Vice President
and Tax Manager, North America (August 2006 -
April 2012) for Pacific Investment Management
Company.
Apollo D. Lupescu Vice President Since 2009 Vice President of all the DFA Entities.
1969
Timothy P. Luyet Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1972 Senior Manager, Marketing Operations (January
2014 - January 2015), Manager, Client Systems
(October 2011 - January 2014) and RFP Manager
(April 2010 - October 2011) for Dimensional Fund
Advisors LP.
Peter Magnusson Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1969 Regional Director for Dimensional Fund Advisors
LP (January 2011 - January 2014); Vice President
at Columbia Management (2004 - 2010).
27
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (Unaudited)
October 31, 2015
NAME AND YEAR OF TERM OF OFFICE/1/ AND
BIRTH POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- ---------------------- --------------------- -------------------------------------------------
Kenneth M. Manell Vice President Since 2010 Vice President of all the DFA Entities and
1972 Dimensional Cayman Commodity Fund I Ltd.
Formerly, Counsel for Dimensional Fund Advisors
LP (September 2006 - January 2010).
Aaron M. Marcus Vice President Since 2008 Vice President of all DFA Entities and Head of
1970 Global Human Resources for Dimensional Fund
Advisors LP.
David R. Martin Vice President, Chief Since 2007 Vice President, Chief Financial Officer and
1956 Financial Officer and Treasurer of all the DFA Entities. Director, Vice
Treasurer President, Chief Financial Officer and Treasurer
of Dimensional Fund Advisors Ltd., DFA Australia
Limited, Dimensional Advisors Pte. Ltd.,
Dimensional Hong Kong Limited, Dimensional Fund
Advisors Canada ULC, and Dimensional Cayman
Commodity Fund I Ltd. Director of Dimensional
Funds plc and Dimensional Funds II plc. Statutory
Auditor of Dimensional Japan Ltd. Formerly, Chief
Financial Officer, Treasurer and Vice President
of Dimensional SmartNest (US) LLC (October 2010 -
November 2014).
Duane R. Mattson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1965 Senior Compliance Officer (May 2012 - January
2015) for Dimensional Fund Advisors LP; Chief
Compliance Officer (April 2010 - April 2012) for
Al Frank Asset Management.
Bryan R. McClune Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1975 Regional Director of Dimensional Fund Advisors LP
(January 2009 - January 2014).
Philip P. McInnis Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1984 Regional Director (January 2009 - January 2014)
and Senior Associate (2011) for Dimensional Fund
Advisors LP; Investment Consultant (March 2010 -
December 2010) and Investment Analyst (December
2007 - March 2010) at Towers Watson.
Travis A. Meldau Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1981 Manager (since September 2011) for Dimensional
Fund Advisors LP. Formerly, Portfolio Manager for
Wells Capital Management (October 2004 -
September 2011).
Jonathan G. Nelson Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Manager, Investment Systems (2011 - January 2013)
and Project Manager (2007 - 2010) for Dimensional
Fund Advisors LP.
Catherine L. Newell Vice President and Vice President since Vice President and Secretary of all the DFA
1964 Secretary 1997 and Secretary Entities. Director, Vice President and Secretary
since 2000 of DFA Australia Limited and Dimensional Fund
Advisors Ltd. (since February 2002, April 1997,
and May 2002, respectively). Vice President and
Secretary of Dimensional Fund Advisors Canada ULC
(since June 2003), Dimensional Cayman Commodity
Fund I Ltd., Dimensional Japan Ltd (since
February 2012), Dimensional Advisors Ltd (since
March 2012), Dimensional Fund Advisors Pte. Ltd.
(since June 2012). Director of Dimensional Funds
plc and Dimensional Funds II plc (since 2002 and
2006, respectively). Director of Dimensional
Japan Ltd., Dimensional Advisors Ltd.,
Dimensional Fund Advisors Pte. Ltd. and
Dimensional Hong Kong Limited (since August 2012
and July 2012). Formerly, Vice President and
Secretary of Dimensional SmartNest (US) LLC
(October 2010 - November 2014).
John R. Nicholson Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1977 Regional Director (June 2011 - January 2015) for
Dimensional Fund Advisors LP; Sales Executive for
Vanguard (July 2008 - May 2011).
Pamela B. Noble Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1964 Portfolio Manager for Dimensional Fund Advisors
LP (2008--2010).
Selwyn Notelovitz Vice President and Since 2013 Vice President of all the DFA Entities. Deputy
1961 Deputy Chief Chief Compliance Officer of Dimensional Fund
Compliance Officer Advisors LP (since December 2012). Formerly,
Chief Compliance Officer of Wellington Management
Company, LLP (2004 - 2011).
Carolyn L. O Vice President Since 2010 Vice President of all the DFA Entities and
1974 Dimensional Cayman Commodity Fund I Ltd. Deputy
General Counsel, Funds (since 2011). Formerly,
Counsel for Dimensional Fund Advisors LP
(2007-2010).
Gerard K. O'Reilly Vice President and Co- Vice President since Vice President and Co-Chief Investment Officer of
1976 Chief Investment 2007 and Co-Chief all the DFA Entities and Dimensional Fund
Officer Investment Officer Advisors Canada ULC. Director of Dimensional
since 2014 Funds plc and Dimensional Fund II plc.
Daniel C. Ong Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1973 Manager for Dimensional Fund Advisors LP (since
July 2005).
Kyle K. Ozaki Vice President Since 2010 Vice President of all the DFA Entities. Formerly,
1978 Senior Compliance Officer (January 2008 - January
2010) and Compliance Officer (February 2006 -
December 2007) for Dimensional Fund Advisors LP.
Matthew A. Pawlak Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1977 Regional Director for Dimensional Fund Advisors
LP (2012 - January 2013); Senior Consultant (June
2011-December 2011) and Senior Investment Analyst
and Consultant (July 2008-June 2011) at Hewitt
EnnisKnupp.
28
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (Unaudited)
October 31, 2015
NAME AND YEAR OF TERM OF OFFICE/1/ AND
BIRTH POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- --------------- ------------------- -------------------------------------------------
Jeffrey L. Pierce Vice President Since 2015 Vice President of all the DFA Entities. Senior
1984 Manager, Advisor Benchmarking (since January
2015) for Dimensional Fund Advisors LP. Formerly,
Manager, Advisor Benchmarking (April 2012 -
December 2014) for Dimensional Fund Advisors LP;
Senior Manager, Research and Consulting (October
2010 - April 2012) for Crain Communications Inc.;
Senior Manager, Revenue Planning and Strategy
(April 2007 - October 2010) for T-Mobile.
Olivian T. Pitis Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (May 2011 - January 2015) for
Dimensional Fund Advisors LP; Investment
Counselor/Regional Director for Halbert Hargrove
(2008 - May 2011).
Brian P. Pitre Vice President Since 2015 Vice President of all the DFA Entities. Counsel
1976 for Dimensional Fund Advisors LP (since February
2015). Formerly, Chief Financial Officer and
General Counsel for Relentless (March 2014 -
January 2015); Vice President of all the DFA
Entities (January 2013 - March 2014); Counsel for
Dimensional Fund Advisors LP (January 2009--March
2014).
David A. Plecha Vice President Since 1993 Vice President of all the DFA Entities, DFA
1961 Australia Limited, Dimensional Fund Advisors Ltd.
and Dimensional Fund Advisors Canada ULC.
Allen Pu Vice President Since 2011 Vice President of all the DFA Entities. Senior
1970 Portfolio Manager for Dimensional Fund Advisors
LP (since January 2015). Formerly, Portfolio
Manager for Dimensional Fund Advisors LP (2006 -
January 2015).
David J. Rapozo Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1967 Regional Director for Dimensional Fund Advisors
LP (January 2011 - January 2014); Vice President
at BlackRock (2009 - 2010).
Mark A. Regier Vice President Since Vice President of all the DFA Entities. Formerly,
1969 2013 Planning and Analysis Manager for Dimensional
Fund Advisors LP (July 2007 - January 2014).
Cory T. Riedberger Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1979 Regional Director (March 2011 - January 2015) for
Dimensional Fund Advisors LP; Regional Vice
President (2003 - March 2011) for Invesco
PowerShares.
Savina B. Rizova Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1981 Research Associate (June 2011 - January 2012) for
Dimensional Fund Advisors LP.
Michael F. Rocque Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1968 Senior Fund Accounting Manager (July 2013 -
January 2015) for Dimensional Fund Advisors LP;
Senior Financial Consultant and Chief Accounting
Officer (July 2002 - July 2013) for MFS
Investment Management.
L. Jacobo Rodriguez Vice President Since 2005 Vice President of all the DFA Entities.
1971
Austin S. Rosenthal Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Vice President for Dimensional SmartNest (US) LLC
(September 2010--November 2014).
Oliver J. Rowe Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1960 Senior Manager, Human Resources for Dimensional
Fund Advisors LP (January 2012 - January 2014);
Director of Human Resources at Spansion, Inc.
(March 2009 - December 2011).
Joseph S. Ruzicka Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1987 Manager Investment Analytics and Data (January
2014 - January 2015), Senior Associate,
Investment Analytics and Data (January 2013 -
January 2014), Associate, Investment Analytics
and Data (January 2012 - January 2013), and
Investment Data Analyst (April 2010 - January
2012) for Dimensional Fund Advisors LP.
Julie A. Saft Vice President Since 2010 Vice President of all the DFA Entities. Formerly,
1959 Client Systems Manager for Dimensional Fund
Advisors LP (July 2008 - January 2010); Senior
Manager at Vanguard (November 1997 - July 2008).
Joel P. Schneider Vice President Since 2015 Vice President of all the DFA Entities. Portfolio
1980 Manager (since 2013) for Dimensional Fund
Advisors LP. Formerly, Investment Associate
(April 2011 - January 2013) for Dimensional Fund
Advisors LP; Associate Consultant for ZS
Associates (April 2008 - November 2010).
Ashish Shrestha Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1978 Regional Director (September 2009 - January 2015)
and Senior Associate (September 2008 - September
2009) for Dimensional Fund Advisors LP.
Bruce A. Simmons Vice President Since 2009 Vice President of all the DFA Entities. Formerly,
1965 Investment Operations Manager for Dimensional
Fund Advisors LP (May 2007 - January 2009).
Ted R. Simpson Vice President Since 2007 Vice President of all the DFA Entities.
1968
29
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (Unaudited)
October 31, 2015
NAME AND YEAR OF TERM OF OFFICE/1/ AND
BIRTH POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- --------------- ------------------- -------------------------------------------------
Bhanu P. Singh Vice President Since 2014 Vice President of all the DFA Entities. Senior
1981 Portfolio Manager for Dimensional Fund Advisors
LP (since January 2015). Formerly, Portfolio
Manager (January 2012 - January 2015) and
Investment Associate for Dimensional Fund
Advisors LP (August 2010 - December 2011).
Bryce D. Skaff Vice President Since 2007 Vice President of all the DFA Entities.
1975
Lukas J. Smart Vice President Since 2014 Vice President of all the DFA Entities. Portfolio
1977 Manager of Dimensional Fund Advisors LP (since
January 2010).
Andrew D. Smith Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1968 Project Manager for Dimensional Fund Advisors LP
(2007-2010).
Grady M. Smith Vice President Since 2004 Vice President of all the DFA Entities and
1956 Dimensional Fund Advisors Canada ULC.
Lawrence R. Spieth Vice President Since 2004 Vice President of all the DFA Entities.
1947
Richard H. Tatlow V Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1971 Regional Director for Dimensional Fund Advisors
LP (April 2010 - January 2013).
Blake T. Tatsuta Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1973 Manager, Investment Analytics and Data (2012 -
January 2013) and Research Assistant (2002-2011)
for Dimensional Fund Advisors LP.
Erik T. Totten Vice President Since 2013 Vice President of all the DFA Entities. Formerly,
1980 Regional Director (2010 - January 2013) and
Senior Associate (2007 - 2009) for Dimensional
Fund Advisors LP.
John H. Totten Vice President Since 2012 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund Advisors
LP (January 2008--January 2012).
Robert C. Trotter Vice President Since 2009 Vice President of all the DFA Entities.
1958
Dave C. Twardowski Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1982 Research Associate (June 2011 - January 2015) for
Dimensional Fund Advisors LP; Research Assistant
at Dartmouth College (2009 - 2011).
Karen E. Umland Vice President Since 1997 Vice President of all the DFA Entities, DFA
1966 Australia Limited, Dimensional Fund Advisors
Ltd., and Dimensional Fund Advisors Canada ULC.
Benjamin C. Walker Vice President Since 2014 Vice President of all the DFA Entities. Formerly,
1979 Regional Director for Dimensional Fund Advisors
LP (September 2008 - January 2014).
Brian J. Walsh Vice President Since 2009 Vice President of all the DFA Entities. Portfolio
1970 Manager for Dimensional Fund Advisors LP (since
2004).
Jessica Walton Vice President Since 2015 Vice President of all the DFA Entities. Formerly,
1974 Regional Director (January 2012 - January 2015)
for Dimensional Fund Advisors LP; Director of
Marketing and Investor Relations for Treaty Oak
Capital Management (July 2011 - October 2011);
Vice President for Rockspring Capital (October
2010 - July 2011); Program Director for RevEurope
Payments (November 2008 - October 2010).
Weston J. Wellington Vice President Since 1997 Vice President of all the DFA Entities.
1951
Ryan J. Wiley Vice President Since 2007 Vice President of all the DFA Entities.
1976
Stacey E. Winning Vice President Since 2015 Vice President of all the DFA Entities. Head of
1981 Global Recruiting and Development (since June
2014) for Dimensional Fund Advisors LP. Formerly,
Senior Manager, Recruiting (December 2012 - June
2014) for Dimensional Fund Advisors LP; Co-Head
of Global Recruiting (May 2009 - November 2012)
for Two Sigma Investments.
Paul E. Wise Vice President Since 2005 Vice President of all the DFA Entities.
1955
Joseph L. Young Vice President Since 2011 Vice President of all the DFA Entities. Formerly,
1978 Regional Director for Dimensional Fund Advisors
LP (2005-2010).
/1/ Each Officer holds office for an indefinite term at the pleasure of the
Board of Directors and until his or her successor is elected and qualified.
30
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (Unaudited)
October 31, 2015
RESULTS OF THE SHAREHOLDER MEETING
On May 8, 2015 and June 10, 2015, The DFA Investment Trust Company ("DFAITC")
held a Special Joint Meeting of Shareholders for the purpose of voting on
several proposals affecting DFAITC and the Fund, including, among other items,
the election of Trustees, the approval of an updated investment management
agreement, and the amendment of certain fundamental investment limitations. The
shareholders of the Fund approved each of the applicable proposals for DFAITC
and the Fund presented at the Meeting. Listed below are the voting results from
the Meeting. Please note that not all Proposals presented at the Meeting were
voted on by Fund. Additionally, the Proposal numbers reflected below correlate
to the Proposal numbers presented for vote at the Meeting.
DFAITC
PROPOSAL 1: ELECTION OF DIRECTORS/TRUSTEES*
%
% VOTED FOR % VOTED % WITHHOLD
FOR FOR OF O/S WITHHOLD WITHHOLD OF O/S
------------- ------- ------ ---------- -------- ----------
(a) David G. Booth 3,799,690,199 99.00% 99.00% 38,401,017 1.00% 1.00%
(b) George M. Constantinides 3,805,482,510 99.15% 99.15% 32,608,707 0.85% 0.85%
(c) John P. Gould 3,805,511,230 99.15% 99.15% 32,579,986 0.85% 0.85%
(d) Roger G. Ibbotson 3,805,697,022 99.16% 99.16% 32,394,194 0.84% 0.84%
(e) Edward P. Lazear 3,803,361,554 99.10% 99.10% 34,729,663 0.90% 0.90%
(f) Eduardo A. Repetto 3,805,386,852 99.15% 99.15% 32,704,365 0.85% 0.85%
(g) Myron S. Scholes 3,804,518,074 99.13% 99.13% 33,573,142 0.87% 0.87%
(h) Abbie J. Smith 3,799,720,532 99.00% 99.00% 38,370,685 1.00% 1.00%
* RESULTS ARE FOR ALL SERIES WITHIN DFAITC
THE DFA SHORT TERM INVESTMENT FUND
PROPOSAL 1: ELECTION OF DIRECTORS/TRUSTEES
% VOTED % FOR % VOTED % WITHHOLD
FOR FOR OF O/S WITHHOLD WITHHOLD OF O/S
------------- ------- ------ -------- -------- ----------
(a) David G. Booth 2,126,689,350 100.0% 100.00% 0 0.00% 0.00%
(b) George M. Constantinides 2,126,689,350 100.0% 100.00% 0 0.00% 0.00%
(c) John P. Gould 2,126,689,350 100.0% 100.00% 0 0.00% 0.00%
(d) Roger G. Ibbotson 2,126,689,350 100.0% 100.00% 0 0.00% 0.00%
(e) Edward P. Lazear 2,126,689,350 100.0% 100.00% 0 0.00% 0.00%
(f) Eduardo A. Repetto 2,126,689,350 100.0% 100.00% 0 0.00% 0.00%
(g) Myron S. Scholes 2,126,689,350 100.0% 100.00% 0 0.00% 0.00%
(h) Abbie J. Smith 2,126,689,350 100.0% 100.00% 0 0.00% 0.00%
PROPOSAL 4: APPROVAL OF AN UPDATED INVESTMENT MANAGEMENT AGREEMENT WITH
DIMENSIONAL FUND ADVISORS LP
%
% % % % BROKER BROKER
VOTED FOR % VOTED AGAINST % VOTED ABSTAIN NON- NON-
FOR FOR OF O/S AGAINST AGAINST OF O/S ABSTAIN ABSTAIN OF O/S VOTE VOTE
--- ----- ------ ------- ------- ------- ------- ------- ------- ------ ------
2,126,689,350 100.0% 100.00% 0 0.00% 0.00% 0 0.00% 0.00% 0 0.00%
PROPOSAL 5: APPROVAL OF AN AMENDMENT TO THE FUNDAMENTAL INVESTMENT LIMITATION
REGARDING INVESTMENT IN COMMODITIES
%
% % % % BROKER BROKER
VOTED FOR % VOTED AGAINST % VOTED ABSTAIN NON- NON-
FOR FOR OF O/S AGAINST AGAINST OF O/S ABSTAIN ABSTAIN OF O/S VOTE VOTE
--- ----- ------ ------- ------- ------- ------- ------- ------- ------ ------
2,126,689,350 100.0% 100.00% 0 0.00% 0.00% 0 0.00% 0.00% 0 0.00%
31
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this Form
N-CSR (the "Report"), a code of ethics that applies to the Registrant's
principal executive officer and principal financial officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to
the Code of Business Ethics during the period covered by this Report. The
Registrant also has not granted any waiver from any provisions of the Code of
Business Ethics during the period covered by this Report. A copy of the Code of
Business Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Trustees has determined that Abbie J. Smith possesses
the technical attributes to qualify as an "audit committee financial expert"
serving on the Registrant's Audit Committee and has designated Ms. Smith as the
"audit committee financial expert." Ms. Smith
earned a Ph.D. in Accounting, and has taught Accounting at the graduate level
since 1980. Ms. Smith's education and career have provided her with an
understanding of generally accepted accounting principles and financial
statements; the ability to assess the general application of such principles in
connection with the accounting for estimates, accruals and reserves; and
experience preparing, analyzing and evaluating financial statements that
present a breadth and level of complexity of issues that can reasonably be
expected to be raised by the Registrant's financial statements. In addition,
Ms. Smith has served on the boards of directors and audit committees of
entities other than the Registrant. Ms. Smith is independent under the
standards set forth in Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a)Audit Fees
Fiscal Year Ended October 31, 2015: $224,320
Fiscal Year Ended October 31, 2014: $213,731
(b)Audit-Related Fees
Fees for Registrant - Fiscal Year Ended October 31, 2015:
$17,225
Fiscal Year Ended October 31, 2014: $17,381
For fiscal years ended October 31, 2015 and October 31, 2014,
Audit-Related Fees included fees for services related to limited
procedures performed in connection with the production of the Registrant's
semi-annual financial statements.
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X
Fiscal Year Ended October 31, 2015: $172,000
Fiscal Year Ended October 31, 2014: $165,000
For the fiscal years ended October 31, 2015 and October 31, 2014,
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X included fees for services
rendered in connection with the issuance of a Type II SSAE 16 over
controls at the Registrant's investment adviser.
(c)Tax Fees
Fees for Registrant - Fiscal Year Ended October 31, 2015:
$61,906
Fiscal Year Ended October 31, 2014: $92,916
Tax Fees included, for the fiscal years ended October 31, 2015 and
October 31, 2014, fees for tax services in connection with the
Registrant's excise tax calculations, review of the Registrant's
applicable tax returns and capital gains tax services in India.
There were no Tax Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(d)All Other Fees
Fees for Registrant - Fiscal Year Ended October 31, 2015: $0
Fiscal Year Ended October 31, 2014: $0
There were no "All Other Fees" required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(e) (1) Audit Committee's Pre-Approval Policies and Procedures
Pre-Approval Policies and Procedures
as adopted by the
Audit Committees
of
DFA Investment Dimensions Group Inc.
Dimensional Emerging Markets Value Fund
Dimensional Investment Group Inc.
The DFA Investment Trust Company
(together, the "Funds")
The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules")
adopted by the U.S. Securities and Exchange Commission (the "SEC") require
that the Funds' Audit Committees (together, the "Committee") pre-approve
all audit services and non-audit services provided to the Funds by their
independent registered public accounting firm (the "Auditor"). The Act and
the Rules also require that the Committee pre-approve all non-audit
services provided by the Auditor to Dimensional Fund Advisors LP
("Dimensional"), the Funds' investment advisor, and to affiliates of
Dimensional that provide ongoing services to the Funds (with Dimensional,
together the "Service Affiliates") if the services directly impact the
Funds' operations and financial reporting.
The following policies and procedures govern the ways in which the
Committee will pre-approve audit and various types of non-audit services
that the Auditor provides to the Funds and to Service Affiliates. These
policies and procedures do not apply in the case of audit services that
the Auditor provides to Service Affiliates, nor do they apply to services
that an audit firm other than the Auditor provides to such entities.
These policies and procedures comply with the requirements for
pre-approval, but also provide mechanisms by which management of the Funds
may request and secure pre-approval of audit and non-audit services in an
orderly manner with minimal disruption to normal business operations.
Pre-approval of non-audit services may be achieved through a combination
of the procedures described in Sections C and D below.
A. General
1. The Committee must pre-approve all audit services and non-audit
services that the Auditor provides to the Funds.
2. The Committee must pre-approve any engagement of the Auditor to
provide non-audit services to any Service Affiliate during the period
of the Auditor's engagement to provide audit services to the Funds,
if the non-audit services to the Service Affiliate directly impact
the Funds' operations and financial reporting.
B. Pre-Approval of Audit Services to the Funds
1. The Committee shall approve the engagement of an independent
registered public accounting firm to certify the Funds' financial
statements for each fiscal year (the "Engagement"). The approval of
the Engagement shall not be delegated to a Designated Member (as that
term is defined in Section D below). In approving the Engagement, the
Committee shall obtain, review and consider sufficient information
concerning the proposed Auditor to enable the Committee to make a
reasonable evaluation of the Auditor's qualifications and
independence. The Committee also shall consider the Auditor's
proposed fees for the Engagement, in light of the scope and nature of
the audit services that the Funds will receive.
2. The Committee shall report to the Boards of Directors/Trustees of the
Funds (together, the "Board") regarding its approval of the
Engagement and of the proposed fees for the Engagement, and the basis
for such approval.
3. Unless otherwise in accordance with applicable law, the Engagement,
in any event, shall require that the Auditor be selected by the vote,
cast in person, of a majority of the members of the Board who are not
"interested persons" of the Funds (as that term is defined in
Section 2(a)(19) of the Investment Company Act of 1940) (the
"Independent Directors").
C. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--by Types of Services
1. The Committee may pre-approve types of non-audit services (including
tax services) to the Funds and their Service Affiliates pursuant to
this Section C.
2. Annually, at such time as the Committee considers the Engagement of
the Auditor, management of the Funds, in consultation with the
Auditor, shall provide to the Committee, for its consideration and
action, the following: (a) a list of those types of non-audit
services, if any, that the Funds may request from the Auditor during
the fiscal year; and (b) a list of those types of non-audit services
directly impacting the Funds' operations and financial reporting that
Service Affiliates may request from the Auditor during the fiscal
year.
3. The lists submitted to the Committee shall describe the types of
non-audit services in reasonable detail (which may include a range of
tax services) and shall include an estimated budget (or budgeted
range) of fees, where possible, and such other information as the
Committee may request. If
management and the Auditor desire the Committee to preapprove the
furnishing of a range of tax services, the Auditor shall provide an
estimated range of fees for such tax services for the consideration
and approval by the Committee.
4. The Committee's pre-approval of the types of non-audit services
submitted pursuant to this Section C shall constitute authorization
for management of the Funds to utilize the Auditor for the types of
non-audit services so pre-approved, if needed or desired during the
fiscal year.
5. A list of the types of non-audit services pre-approved by the
Committee pursuant to this Section C will be distributed to
management of the Service Affiliates and the appropriate partners of
the Auditor. Periodically, the Auditor will discuss with the
Committee those non-audit services that have been or are being
provided pursuant to this Section C.
D. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--Project-by-Project Basis
1. The Committee also may pre-approve non-audit services on a
project-by-project basis pursuant to this Section D.
2. Management of the Funds, in consultation with the Auditor, may submit
either to the Committee or to the Designated Member, as provided in
this Section D, for their consideration and action, a pre-approval
request identifying one or more non-audit service projects. The
request so submitted shall describe the project(s) in reasonable
detail and shall include an estimated budget (or budgeted range) of
fees and such other information as the Committee or the Designated
Member, as appropriate, shall request.
3. The Committee, from time to time, shall designate one or more of its
members who are Independent Directors (each a "Designated Member") to
consider, on the Committee's behalf, any non-audit services, whether
to the Funds or to any Service Affiliate, that have not been
pre-approved by the Committee. The Designated Member also shall
review, on the Committee's behalf, any proposed material change in
the nature or extent of any non-audit services previously approved.
The Funds' management, in consultation with the Auditor, shall
explain why such non-audit services or material change in non-audit
services are necessary and appropriate and the anticipated costs
thereof.
4. The Designated Member will review the requested non-audit services or
proposed material change in such services and will either:
(a)pre-approve, pre-approve subject to conditions, or disapprove any
such requested services, or any proposed material change in
services, whether to the Funds or to a Service Affiliate; or
(b)refer such matter to the full Committee for its consideration and
action.
In considering any requested non-audit services or proposed material
change in such services, the Designated Member's authority shall be
limited to approving non-audit services or proposed material changes
that do not exceed $10,000 in value.
5. The Designated Member's pre-approval (or pre-approval subject to
conditions) of the requested non-audit services or proposed material
change in services pursuant to this Section D shall constitute
authorization for the management of the Funds or the Service
Affiliate, as the case may be, to utilize the Auditor for the
non-audit services so pre-approved. Any action by the Designated
Member in approving a requested non-audit service shall be presented
for ratification by the Committee not later than at its next
scheduled meeting. If the Designated Member does not approve the
Auditor providing the requested non-audit service, the matter may be
presented to the full Committee for its consideration and action.
E. Amendment; Annual Review
1. The Committee may amend these procedures from time to time.
2. These procedures shall be reviewed annually by the Committee.
F. Recordkeeping
1. The Funds shall maintain a written record of all decisions made by
the Committee or by a Designated Member pursuant to these procedures,
together with appropriate supporting materials.
2. In connection with the approval of any non-audit service pursuant to
the de minimis exception provided in the Rules, a record shall be
made indicating that each of the conditions for this exception, as
set forth in the Rules, has been satisfied.
3. A copy of these Procedures (and of any amendments to these
Procedures) shall be maintained and preserved permanently in an
easily accessible place. The written records referred to in
paragraphs 1 and 2 of this Section F shall be maintained and
preserved for six years from the end of the fiscal year in which the
actions recorded were taken, for at least the first two years in an
easily accessible location.
(e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by the
Registrant's Audit Committee but not pursuant to paragraph (c)(7)(i)(C) of
Rule 2-01 of Regulation S-X.
(f) The percentage of hours expended on the principal accountant's
engagement to audit the Registrant's financial statements for the fiscal
year ended October 31, 2015 that were attributed to work performed by
persons other than the principal accountant's full time, permanent employees
was not greater than 50%.
(g) Aggregate Non-Audit Fees
Fiscal Year Ended October 31, 2015: $1,557,122
Fiscal Year Ended October 31, 2014: $2,318,655
(h) The Registrant's Audit Committee has considered whether the provision of
non-audit services that were rendered to the Registrant's investment
adviser, and any entity controlling, controlled by, or under common control
with the investment adviser that provides ongoing services to the
Registrant, that were not pre-approved pursuant to paragraph (c)(7)(ii) of
Rule 2-01 of Regulation S-X is compatible with maintaining the principal
accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant that provided a summary schedule of portfolio holdings in a report
to stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF INVESTMENTS IS PROVIDED
The U.S. Large Cap Value Series
The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Canadian Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
The Tax-Managed U.S. Marketwide Value Series
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2015
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
COMMON STOCKS -- (95.4%)
Consumer Discretionary -- (13.3%)
# Autoliv, Inc. 13,146 $ 1,593,821 0.0%
# Best Buy Co., Inc. 1,034,254 36,229,918 0.2%
* Cable One, Inc. 31,172 13,511,192 0.1%
Carnival Corp. 952,418 51,506,765 0.3%
# CBS Corp. Class A 7,236 366,105 0.0%
Comcast Corp. Class A 9,482,510 593,794,776 3.1%
# Comcast Corp. Special Class A 2,635,567 165,276,407 0.9%
# Dillard's, Inc. Class A 130,259 11,655,575 0.1%
DR Horton, Inc. 1,493,663 43,973,439 0.2%
Ford Motor Co. 14,411,800 213,438,758 1.1%
# GameStop Corp. Class A 611,447 28,169,363 0.2%
General Motors Co. 5,492,031 191,726,802 1.0%
Goodyear Tire & Rubber Co. (The) 938,381 30,816,432 0.2%
Graham Holdings Co. Class B 32,261 17,823,235 0.1%
#* Hyatt Hotels Corp. Class A 26,622 1,341,749 0.0%
Johnson Controls, Inc. 112,338 5,075,431 0.0%
# Kohl's Corp. 1,326,479 61,177,211 0.3%
Lear Corp. 68,267 8,537,471 0.0%
# Lennar Corp. Class A 857,396 42,929,818 0.2%
Lennar Corp. Class B 4,312 178,689 0.0%
* Liberty Broadband Corp. Class A 27,953 1,525,116 0.0%
* Liberty Broadband Corp. Class C 85,576 4,601,421 0.0%
* Liberty Interactive Corp., QVC Group Class A 2,538,156 69,469,330 0.4%
* Liberty Media Corp. Class A 156,789 6,390,720 0.0%
* Liberty Media Corp. Class C 313,578 12,276,579 0.1%
* Liberty Ventures Series A 536,223 23,363,236 0.1%
* Madison Square Garden Co. (The) Class A 6,379 1,138,651 0.0%
#* MGM Resorts International 2,324,079 53,895,392 0.3%
* Mohawk Industries, Inc. 283,553 55,434,611 0.3%
* MSG Networks, Inc. Class A 19,138 392,712 0.0%
# News Corp. Class A 290,667 4,476,272 0.0%
# News Corp. Class B 31,823 492,620 0.0%
# Penske Automotive Group, Inc. 274,842 13,423,283 0.1%
PulteGroup, Inc. 700,342 12,837,269 0.1%
# PVH Corp. 152,277 13,849,593 0.1%
# Ralph Lauren Corp. 50,588 5,603,633 0.0%
# Royal Caribbean Cruises, Ltd. 1,051,952 103,459,479 0.5%
# Service Corp. International 310,463 8,773,684 0.0%
Staples, Inc. 1,966,011 25,538,483 0.1%
# TEGNA, Inc. 225,878 6,107,741 0.0%
Time Warner Cable, Inc. 1,876,119 355,336,939 1.9%
Time Warner, Inc. 4,297,753 323,792,711 1.7%
#* Toll Brothers, Inc. 329,804 11,863,050 0.1%
* Visteon Corp. 79,897 8,714,366 0.0%
Whirlpool Corp. 130,792 20,945,031 0.1%
-------------- ----
Total Consumer Discretionary 2,662,824,879 13.9%
-------------- ----
Consumer Staples -- (5.0%)
Archer-Daniels-Midland Co. 2,748,548 125,498,702 0.7%
Bunge, Ltd. 785,148 57,284,398 0.3%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Consumer Staples -- (Continued)
ConAgra Foods, Inc. 424,721 $ 17,222,437 0.1%
Constellation Brands, Inc. Class A 276,038 37,209,922 0.2%
CVS Health Corp. 3,364,257 332,321,306 1.7%
Ingredion, Inc. 158,658 15,082,029 0.1%
# JM Smucker Co. (The) 557,373 65,430,016 0.3%
# Molson Coors Brewing Co. Class B 733,307 64,604,347 0.3%
Mondelez International, Inc. Class A 3,818,531 176,263,391 0.9%
Pinnacle Foods, Inc. 432,888 19,081,703 0.1%
Reynolds American, Inc. 29,158 1,408,915 0.0%
#* Seaboard Corp. 13 43,784 0.0%
Spectrum Brands Holdings, Inc. 1,154 110,611 0.0%
# Tyson Foods, Inc. Class A 1,957,913 86,853,021 0.5%
-------------- ----
Total Consumer Staples 998,414,582 5.2%
-------------- ----
Energy -- (15.3%)
Anadarko Petroleum Corp. 2,015,789 134,815,968 0.7%
# Apache Corp. 798,537 37,635,049 0.2%
Baker Hughes, Inc. 1,938,026 102,095,210 0.5%
# California Resources Corp. 1,101,627 4,450,573 0.0%
# Chesapeake Energy Corp. 2,812,291 20,051,635 0.1%
Chevron Corp. 6,389,725 580,698,208 3.0%
# Cimarex Energy Co. 155,458 18,353,371 0.1%
#* Concho Resources, Inc. 97,074 11,251,847 0.1%
ConocoPhillips 6,174,431 329,405,894 1.7%
Devon Energy Corp. 812,393 34,063,639 0.2%
EnLink Midstream LLC 18,438 363,229 0.0%
EOG Resources, Inc. 705,108 60,533,522 0.3%
Exxon Mobil Corp. 7,571,926 626,501,157 3.3%
* Gulfport Energy Corp. 46,291 1,410,487 0.0%
# Helmerich & Payne, Inc. 574,414 32,322,276 0.2%
Hess Corp. 1,474,816 82,899,407 0.4%
HollyFrontier Corp. 644,305 31,551,616 0.2%
# Marathon Oil Corp. 3,266,531 60,038,840 0.3%
Marathon Petroleum Corp. 2,604,266 134,900,979 0.7%
# Murphy Oil Corp. 728,510 20,711,539 0.1%
Nabors Industries, Ltd. 821,348 8,246,334 0.1%
# National Oilwell Varco, Inc. 1,745,118 65,686,242 0.4%
* Newfield Exploration Co. 172,473 6,931,690 0.0%
# Noble Corp. P.L.C. 133,635 1,800,063 0.0%
Noble Energy, Inc. 113,476 4,066,980 0.0%
Occidental Petroleum Corp. 2,051,160 152,893,466 0.8%
# Paragon Offshore P.L.C. 195,894 47,015 0.0%
Phillips 66 2,055,820 183,070,771 1.0%
QEP Resources, Inc. 269,942 4,173,303 0.0%
# Range Resources Corp. 66,898 2,036,375 0.0%
Tesoro Corp. 668,185 71,449,022 0.4%
# Transocean, Ltd. 1,340,027 21,212,627 0.1%
Valero Energy Corp. 2,806,975 185,035,792 1.0%
#* Weatherford International P.L.C. 2,942,972 30,136,033 0.2%
#* Whiting Petroleum Corp. 218,861 3,770,975 0.0%
-------------- ----
Total Energy 3,064,611,134 16.1%
-------------- ----
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- ------------ ---------------
Financials -- (20.5%)
# ACE, Ltd. 183,099 $ 20,789,060 0.1%
Aflac, Inc. 1,125,695 71,763,056 0.4%
* Alleghany Corp. 4,344 2,155,797 0.0%
Allied World Assurance Co. Holdings AG 463,017 16,835,298 0.1%
Allstate Corp. (The) 1,383,297 85,598,418 0.5%
* Ally Financial, Inc. 1,125,791 22,425,757 0.1%
American Financial Group, Inc. 426,655 30,800,224 0.2%
American International Group, Inc. 3,536,873 223,035,211 1.2%
Assurant, Inc. 330,179 26,919,494 0.1%
Assured Guaranty, Ltd. 203,216 5,576,247 0.0%
Axis Capital Holdings, Ltd. 550,404 29,721,816 0.2%
Bank of America Corp. 15,546,531 260,870,790 1.4%
Bank of New York Mellon Corp. (The) 2,959,920 123,280,668 0.7%
BB&T Corp. 1,551,308 57,631,092 0.3%
BlackRock, Inc. 8,808 3,100,152 0.0%
# BOK Financial Corp. 4,796 322,195 0.0%
Capital One Financial Corp. 2,074,942 163,712,924 0.9%
Chubb Corp. (The) 206,900 26,762,515 0.1%
# Cincinnati Financial Corp. 52,042 3,134,490 0.0%
CIT Group, Inc. 321,758 13,835,594 0.1%
Citigroup, Inc. 4,980,715 264,824,617 1.4%
City National Corp. 1,633 146,317 0.0%
CME Group, Inc. 783,805 74,046,058 0.4%
# CNA Financial Corp. 448,200 16,386,192 0.1%
Comerica, Inc. 81,794 3,549,860 0.0%
# Cullen/Frost Bankers, Inc. 3,749 256,582 0.0%
* E*TRADE Financial Corp. 116,129 3,310,838 0.0%
Endurance Specialty Holdings, Ltd. 4,617 291,471 0.0%
# Everest Re Group, Ltd. 203,874 36,283,456 0.2%
Fifth Third Bancorp 3,412,290 65,004,125 0.3%
First American Financial Corp. 12,359 471,249 0.0%
#* Genworth Financial, Inc. Class A 1,631,855 7,637,081 0.0%
Goldman Sachs Group, Inc. (The) 1,523,888 285,729,000 1.5%
Hartford Financial Services Group, Inc. (The) 2,644,794 122,348,170 0.6%
Hudson City Bancorp, Inc. 71,664 725,240 0.0%
# Huntington Bancshares, Inc. 1,840,863 20,194,267 0.1%
JPMorgan Chase & Co. 10,421,544 669,584,202 3.5%
KeyCorp 1,063,281 13,205,950 0.1%
Legg Mason, Inc. 538,963 24,118,594 0.1%
# Leucadia National Corp. 153,878 3,079,099 0.0%
Lincoln National Corp. 1,228,020 65,711,350 0.3%
Loews Corp. 1,802,452 65,717,400 0.3%
# M&T Bank Corp. 326,068 39,079,250 0.2%
* Markel Corp. 3,800 3,298,400 0.0%
MetLife, Inc. 2,189,692 110,316,683 0.6%
Morgan Stanley 3,524,427 116,200,358 0.6%
Nasdaq, Inc. 752,985 43,590,302 0.2%
# New York Community Bancorp, Inc. 313,142 5,173,106 0.0%
Old Republic International Corp. 632,434 11,409,109 0.1%
# PacWest Bancorp 70,564 3,178,203 0.0%
PartnerRe, Ltd. 197,083 27,394,537 0.1%
# People's United Financial, Inc. 145,708 2,324,043 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Financials -- (Continued)
PNC Financial Services Group, Inc. (The) 1,273,146 $ 114,914,158 0.6%
Principal Financial Group, Inc. 1,423,787 71,417,156 0.4%
# Prudential Financial, Inc. 1,098,302 90,609,915 0.5%
# Regions Financial Corp. 5,599,418 52,354,558 0.3%
Reinsurance Group of America, Inc. 322,082 29,064,680 0.2%
# RenaissanceRe Holdings, Ltd. 86,989 9,536,604 0.1%
State Street Corp. 218,735 15,092,715 0.1%
# SunTrust Banks, Inc. 1,252,716 52,012,768 0.3%
Travelers Cos., Inc. (The) 1,130,153 127,582,972 0.7%
Unum Group 1,210,979 41,960,422 0.2%
Validus Holdings, Ltd. 167,263 7,409,751 0.0%
Voya Financial, Inc. 113,438 4,602,180 0.0%
Wells Fargo & Co. 2,083,146 112,781,524 0.6%
# WR Berkley Corp. 144,573 8,071,511 0.0%
XL Group P.L.C. 1,327,498 50,551,124 0.3%
# Zions Bancorporation 724,586 20,846,339 0.1%
-------------- ----
Total Financials 4,101,664,284 21.5%
-------------- ----
Health Care -- (11.3%)
Aetna, Inc. 2,009,110 230,605,646 1.2%
Agilent Technologies, Inc. 548,756 20,721,026 0.1%
#* Alere, Inc. 8,494 391,743 0.0%
* Allergan P.L.C. 496,938 153,290,465 0.8%
#* Amsurg Corp. 15,357 1,076,372 0.0%
# Anthem, Inc. 1,532,858 213,297,191 1.1%
#* Bio-Rad Laboratories, Inc. Class A 1,222 170,445 0.0%
* Boston Scientific Corp. 5,925,554 108,319,127 0.6%
* Brookdale Senior Living, Inc. 32,100 671,211 0.0%
Cigna Corp. 320,341 42,938,508 0.2%
#* Community Health Systems, Inc. 532,793 14,939,516 0.1%
#* Express Scripts Holding Co. 2,842,416 245,527,894 1.3%
* Hologic, Inc. 1,211,606 47,083,009 0.2%
Humana, Inc. 707,042 126,298,912 0.7%
* Laboratory Corp. of America Holdings 10,097 1,239,306 0.0%
#* Mallinckrodt P.L.C. 61,080 4,011,124 0.0%
* MEDNAX, Inc. 4,300 303,021 0.0%
Medtronic P.L.C. 825,931 61,052,819 0.3%
# Perrigo Co. P.L.C. 13,380 2,110,561 0.0%
Pfizer, Inc. 21,021,501 710,947,164 3.7%
Quest Diagnostics, Inc. 577,821 39,262,937 0.2%
# Teleflex, Inc. 92,013 12,237,729 0.1%
Thermo Fisher Scientific, Inc. 1,268,522 165,897,307 0.9%
UnitedHealth Group, Inc. 429,765 50,617,722 0.3%
#* WellCare Health Plans, Inc. 6,100 540,460 0.0%
Zimmer Biomet Holdings, Inc. 35,300 3,691,321 0.0%
-------------- ----
Total Health Care 2,257,242,536 11.8%
-------------- ----
Industrials -- (11.8%)
# ADT Corp. (The) 828,257 27,365,611 0.1%
#* AECOM 131,051 3,862,073 0.0%
# AGCO Corp. 384,188 18,590,857 0.1%
Air Lease Corp. 100 3,371 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Industrials -- (Continued)
AMERCO 474 $ 192,591 0.0%
#* Avis Budget Group, Inc. 387,739 19,363,686 0.1%
Carlisle Cos., Inc. 46,040 4,005,480 0.0%
# Caterpillar, Inc. 732,054 53,432,621 0.3%
# Chicago Bridge & Iron Co. NV 219,781 9,861,573 0.1%
#* Colfax Corp. 116,022 3,127,953 0.0%
# Copa Holdings SA Class A 7,183 362,885 0.0%
CSX Corp. 5,382,618 145,276,860 0.8%
Cummins, Inc. 75,958 7,862,413 0.0%
Danaher Corp. 365,547 34,109,191 0.2%
# Dover Corp. 419,306 27,015,886 0.1%
Eaton Corp. P.L.C. 1,260,415 70,469,803 0.4%
FedEx Corp. 843,839 131,681,076 0.7%
Fluor Corp. 70,949 3,392,072 0.0%
General Electric Co. 19,532,516 564,880,363 3.0%
#* Genesee & Wyoming, Inc. Class A 17,661 1,185,053 0.0%
#* Hertz Global Holdings, Inc. 1,345,507 26,237,386 0.1%
Ingersoll-Rand P.L.C. 117,146 6,942,072 0.0%
* Jacobs Engineering Group, Inc. 206,007 8,269,121 0.0%
#* JetBlue Airways Corp. 1,847,009 45,879,703 0.2%
# Joy Global, Inc. 40,666 698,642 0.0%
# Kansas City Southern 234,875 19,438,255 0.1%
KAR Auction Services, Inc. 9,789 375,898 0.0%
#* Kirby Corp. 36,011 2,351,158 0.0%
L-3 Communications Holdings, Inc. 486,111 61,444,430 0.3%
Manpowergroup, Inc. 181,241 16,634,299 0.1%
Nielsen Holdings P.L.C. 420,818 19,993,063 0.1%
Norfolk Southern Corp. 1,598,000 127,887,940 0.7%
Northrop Grumman Corp. 554,629 104,131,595 0.6%
Orbital ATK, Inc. 52,588 4,502,584 0.0%
Owens Corning 608,832 27,720,121 0.2%
# PACCAR, Inc. 343,343 18,077,009 0.1%
# Pentair P.L.C. 929,305 51,966,736 0.3%
Precision Castparts Corp. 244,284 56,383,190 0.3%
#* Quanta Services, Inc. 574,735 11,557,921 0.1%
# Republic Services, Inc. 2,072,867 90,667,203 0.5%
# Ryder System, Inc. 243,500 17,478,430 0.1%
Southwest Airlines Co. 3,733,160 172,807,976 0.9%
Stanley Black & Decker, Inc. 1,095,910 116,144,542 0.6%
Textron, Inc. 422,640 17,822,729 0.1%
Towers Watson & Co. Class A 2,445 302,104 0.0%
# Trinity Industries, Inc. 236,607 6,404,951 0.0%
Union Pacific Corp. 1,819,501 162,572,414 0.9%
* United Rentals, Inc. 82,922 6,207,541 0.0%
#* Veritiv Corp. 1,922 80,724 0.0%
# Waste Connections, Inc. 468,818 25,541,205 0.1%
-------------- ----
Total Industrials 2,352,562,360 12.3%
-------------- ----
Information Technology -- (10.3%)
# Activision Blizzard, Inc. 2,987,304 103,838,687 0.5%
Amdocs, Ltd. 53,167 3,167,158 0.0%
#* ARRIS Group, Inc. 41,134 1,162,447 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Information Technology -- (Continued)
* Arrow Electronics, Inc. 572,564 $ 31,485,294 0.2%
# Avnet, Inc. 694,662 31,558,495 0.2%
Brocade Communications Systems, Inc. 1,391,533 14,499,774 0.1%
# CA, Inc. 2,510,454 69,564,680 0.4%
Cisco Systems, Inc. 13,742,784 396,479,319 2.1%
Computer Sciences Corp. 318,655 21,219,237 0.1%
# Corning, Inc. 3,958,709 73,631,987 0.4%
* EchoStar Corp. Class A 2,635 118,127 0.0%
EMC Corp. 6,310,731 165,467,367 0.9%
Fidelity National Information Services, Inc. 1,504,505 109,708,505 0.6%
* First Solar, Inc. 154,302 8,806,015 0.0%
#* Flextronics International, Ltd. 62,772 714,973 0.0%
Hewlett-Packard Co. 9,619,949 259,353,825 1.4%
IAC/InterActiveCorp 120,638 8,083,952 0.0%
Ingram Micro, Inc. Class A 715,108 21,295,916 0.1%
Intel Corp. 11,297,597 382,536,635 2.0%
# Jabil Circuit, Inc. 403,242 9,266,501 0.0%
Juniper Networks, Inc. 922,663 28,962,392 0.1%
Lam Research Corp. 555,768 42,566,271 0.2%
# Marvell Technology Group, Ltd. 398,733 3,273,598 0.0%
#* Micron Technology, Inc. 3,135,684 51,926,927 0.3%
* NCR Corp. 73,645 1,958,957 0.0%
* Nuance Communications, Inc. 44,349 752,603 0.0%
# NVIDIA Corp. 1,824,559 51,762,739 0.3%
* ON Semiconductor Corp. 22,525 247,775 0.0%
* Qorvo, Inc. 171,000 7,512,030 0.0%
Symantec Corp. 1,982,737 40,844,382 0.2%
Western Digital Corp. 564,843 37,742,809 0.2%
Xerox Corp. 5,975,498 56,109,926 0.3%
* Yahoo!, Inc. 877,399 31,252,952 0.2%
-------------- ----
Total Information Technology 2,066,872,255 10.8%
-------------- ----
Materials -- (3.2%)
Airgas, Inc. 14,746 1,417,975 0.0%
# Albemarle Corp. 9,464 506,513 0.0%
# Alcoa, Inc. 4,826,610 43,101,627 0.2%
Ashland, Inc. 388,650 42,642,678 0.2%
Bemis Co., Inc. 107,209 4,908,028 0.0%
CF Industries Holdings, Inc. 392,811 19,943,014 0.1%
Dow Chemical Co. (The) 822,454 42,496,198 0.2%
Eastman Chemical Co. 373,305 26,941,422 0.1%
# Freeport-McMoRan, Inc. 2,572,724 30,280,962 0.2%
Huntsman Corp. 26,923 354,576 0.0%
International Paper Co. 1,992,585 85,063,454 0.5%
# Martin Marietta Materials, Inc. 60,975 9,460,271 0.1%
Mosaic Co. (The) 1,558,227 52,652,490 0.3%
Newmont Mining Corp. 2,143,745 41,717,278 0.2%
Nucor Corp. 1,855,602 78,491,965 0.4%
Olin Corp. 560,872 10,757,525 0.1%
#* Platform Specialty Products Corp. 244,740 2,555,086 0.0%
Reliance Steel & Aluminum Co. 359,269 21,541,769 0.1%
Sonoco Products Co. 27,480 1,173,121 0.0%
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- --------------- ---------------
Materials -- (Continued)
Steel Dynamics, Inc. 912,904 $ 16,861,337 0.1%
Vulcan Materials Co. 576,239 55,653,163 0.3%
Westlake Chemical Corp. 35,086 2,114,633 0.0%
WestRock Co. 755,145 40,596,595 0.2%
--------------- -----
Total Materials 631,231,680 3.3%
--------------- -----
Telecommunication Services -- (4.4%)
AT&T, Inc. 21,699,651 727,155,305 3.8%
# CenturyLink, Inc. 2,359,827 66,570,720 0.3%
# Frontier Communications Corp. 2,486,292 12,779,541 0.1%
* Level 3 Communications, Inc. 725,529 36,965,702 0.2%
#* Sprint Corp. 2,096,161 9,914,841 0.1%
#* T-Mobile US, Inc. 768,418 29,115,358 0.2%
#* United States Cellular Corp. 203,140 8,275,924 0.0%
--------------- -----
Total Telecommunication Services 890,777,391 4.7%
--------------- -----
Utilities -- (0.3%)
* Calpine Corp. 916,143 14,209,378 0.1%
# NRG Energy, Inc. 1,541,737 19,872,990 0.1%
# UGI Corp. 622,023 22,809,583 0.1%
--------------- -----
Total Utilities 56,891,951 0.3%
--------------- -----
TOTAL COMMON STOCKS 19,083,093,052 99.9%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
(degrees)#* Safeway Casa Ley Contingent Value Rights 196,076 198,998 0.0%
(degrees)#* Safeway PDC, LLC Contingent Value Rights 196,076 9,568 0.0%
--------------- -----
TOTAL RIGHTS/WARRANTS 208,566 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES 19,083,301,618
---------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional Liquid Reserves, 0.140% 9,754,555 9,754,555 0.1%
--------------- -----
SECURITIES LENDING COLLATERAL -- (4.6%)
(S)@ DFA Short Term Investment Fund 79,199,929 916,343,184 4.8%
--------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $14,362,076,197) $20,009,399,357 104.8%
=============== =====
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------- ------------ ------- ---------------
Common Stocks
Consumer Discretionary $ 2,662,824,879 -- -- $ 2,662,824,879
Consumer Staples 998,414,582 -- -- 998,414,582
Energy 3,064,611,134 -- -- 3,064,611,134
Financials 4,101,664,284 -- -- 4,101,664,284
Health Care 2,257,242,536 -- -- 2,257,242,536
Industrials 2,352,562,360 -- -- 2,352,562,360
Information Technology 2,066,872,255 -- -- 2,066,872,255
Materials 631,231,680 -- -- 631,231,680
Telecommunication Services 890,777,391 -- -- 890,777,391
Utilities 56,891,951 -- -- 56,891,951
Rights/Warrants -- $ 208,566 -- 208,566
Temporary Cash Investments 9,754,555 -- -- 9,754,555
Securities Lending Collateral -- 916,343,184 -- 916,343,184
--------------- ------------ -- ---------------
TOTAL $19,092,847,607 $916,551,750 -- $20,009,399,357
=============== ============ == ===============
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2015
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (94.9%)
AUSTRALIA -- (5.6%)
Alumina, Ltd. 4,595,906 $ 3,525,989 0.0%
Alumina, Ltd. Sponsored ADR 172,484 524,351 0.0%
Asciano, Ltd. 4,216,676 24,555,851 0.3%
Aurizon Holdings, Ltd. 1,207,855 4,428,615 0.1%
Bank of Queensland, Ltd. 789,787 7,321,795 0.1%
# Bendigo and Adelaide Bank, Ltd. 852,012 6,463,498 0.1%
BHP Billiton, Ltd. 5,172,675 84,835,680 0.9%
BHP Billiton, Ltd. Sponsored ADR 1,465,288 48,193,322 0.5%
Boral, Ltd. 1,650,081 6,311,911 0.1%
Echo Entertainment Group, Ltd. 1,832,302 6,622,323 0.1%
# Fortescue Metals Group, Ltd. 2,888,182 4,267,689 0.0%
Harvey Norman Holdings, Ltd. 1,068,950 3,003,279 0.0%
Incitec Pivot, Ltd. 5,101,695 14,246,702 0.2%
Lend Lease Group 80,018 735,964 0.0%
Macquarie Group, Ltd. 982,233 59,473,059 0.6%
National Australia Bank, Ltd. 317,804 6,786,592 0.1%
* Newcrest Mining, Ltd. 2,496,043 21,743,667 0.2%
# Orica, Ltd. 280,058 3,276,225 0.0%
# Origin Energy, Ltd. 3,783,368 14,701,419 0.2%
Qantas Airways, Ltd. 2,550,928 7,185,312 0.1%
QBE Insurance Group, Ltd. 2,266,393 21,215,116 0.2%
Rio Tinto, Ltd. 1,068,577 38,210,229 0.4%
# Santos, Ltd. 4,404,343 18,181,722 0.2%
* South32, Ltd. 2,385,878 2,470,608 0.0%
* South32, Ltd. ADR 354,708 1,823,199 0.0%
Suncorp Group, Ltd. 2,699,267 25,074,983 0.3%
Tabcorp Holdings, Ltd. 2,298,480 7,681,694 0.1%
Tatts Group, Ltd. 3,418,019 9,596,869 0.1%
Treasury Wine Estates, Ltd. 998,012 4,995,105 0.1%
Washington H Soul Pattinson & Co., Ltd. 72,967 836,576 0.0%
Wesfarmers, Ltd. 1,470,384 41,118,255 0.4%
Woodside Petroleum, Ltd. 1,794,972 37,645,866 0.4%
------------ ---
TOTAL AUSTRALIA 537,053,465 5.8%
------------ ---
AUSTRIA -- (0.1%)
* Erste Group Bank AG 217,357 6,373,734 0.1%
OMV AG 117,337 3,124,423 0.0%
* Raiffeisen Bank International AG 57,158 901,941 0.0%
------------ ---
TOTAL AUSTRIA 10,400,098 0.1%
------------ ---
BELGIUM -- (1.3%)
Ageas 579,966 25,575,249 0.3%
Colruyt SA 18,485 914,327 0.0%
Delhaize Group 246,555 22,877,545 0.2%
Delhaize Group Sponsored ADR 211,600 4,913,352 0.1%
KBC Groep NV 365,690 22,234,555 0.2%
Proximus SADP 187,985 6,505,186 0.1%
Solvay SA 198,220 22,393,139 0.2%
UCB SA 128,640 11,119,373 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
BELGIUM -- (Continued)
Umicore SA 187,273 $ 7,951,246 0.1%
------------ ---
TOTAL BELGIUM 124,483,972 1.3%
------------ ---
CANADA -- (7.4%)
Agnico Eagle Mines, Ltd. 463,830 13,121,751 0.1%
Bank of Montreal 1,105,966 64,245,565 0.7%
Barrick Gold Corp.(2024644) 362,371 2,785,124 0.0%
Barrick Gold Corp.(067901108) 3,139,307 24,141,271 0.3%
#* BlackBerry, Ltd.(09228F103) 284,796 2,076,163 0.0%
#* BlackBerry, Ltd.(BCBHZ31) 421,029 3,068,527 0.0%
Cameco Corp.(13321L108) 383,160 5,429,377 0.1%
Cameco Corp.(2166160) 506,586 7,174,956 0.1%
Canadian Natural Resources, Ltd.(136385101) 1,624,266 37,715,457 0.4%
Canadian Natural Resources, Ltd.(2171573) 1,849,320 42,881,143 0.5%
# Canadian Oil Sands, Ltd. 606,916 4,581,111 0.0%
# Canadian Tire Corp., Ltd. Class A 285,569 25,119,415 0.3%
Cenovus Energy, Inc. 1,052,649 15,694,997 0.2%
Crescent Point Energy Corp.(22576C101) 556,076 7,579,321 0.1%
# Crescent Point Energy Corp.(B67C8W8) 374,472 5,103,312 0.1%
Eldorado Gold Corp.(2307873) 881,059 3,079,259 0.0%
Eldorado Gold Corp.(284902103) 109,318 382,613 0.0%
Empire Co., Ltd. 728,835 15,266,741 0.2%
# Enbridge Income Fund Holdings, Inc. 34,200 840,615 0.0%
Encana Corp.(292505104) 3,630,049 27,697,274 0.3%
Encana Corp.(2793193) 153,446 1,167,626 0.0%
Enerplus Corp.(292766102) 129,489 609,893 0.0%
# Enerplus Corp.(B584T89) 291,127 1,373,703 0.0%
Fairfax Financial Holdings, Ltd. 85,120 41,916,848 0.5%
Finning International, Inc. 325,972 5,210,167 0.1%
# First Quantum Minerals, Ltd. 1,695,455 9,050,378 0.1%
# Genworth MI Canada, Inc. 112,861 2,790,453 0.0%
George Weston, Ltd. 78,313 6,595,157 0.1%
Goldcorp, Inc.(380956409) 707,416 9,069,073 0.1%
Goldcorp, Inc.(2676302) 668,943 8,558,746 0.1%
# Husky Energy, Inc. 1,156,582 15,629,247 0.2%
# Industrial Alliance Insurance & Financial Services, Inc. 263,012 8,628,950 0.1%
* Kinross Gold Corp. 2,903,895 5,840,658 0.1%
#* Lundin Mining Corp. 904,499 3,050,505 0.0%
Manulife Financial Corp.(2492519) 3,287,435 54,505,652 0.6%
Manulife Financial Corp.(56501R106) 394,139 6,538,766 0.1%
Maple Leaf Foods, Inc. 138,143 2,196,385 0.0%
* MEG Energy Corp. 256,588 2,134,963 0.0%
Precision Drilling Corp.(B5YPLH9) 793,285 3,154,697 0.0%
Precision Drilling Corp.(74022D308) 14,251 56,291 0.0%
Silver Wheaton Corp. 623,043 8,467,154 0.1%
SNC-Lavalin Group, Inc. 16,100 516,022 0.0%
# Sun Life Financial, Inc. 866,399 29,220,095 0.3%
Suncor Energy, Inc.(B3NB1P2) 3,750,370 111,599,034 1.2%
Suncor Energy, Inc.(867224107) 985,458 29,297,666 0.3%
# Teck Resources, Ltd. Class B 1,123,435 6,581,150 0.1%
* Tourmaline Oil Corp. 251,075 5,224,649 0.1%
# TransAlta Corp.(2901628) 822,852 3,838,634 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
CANADA -- (Continued)
TransAlta Corp.(89346D107) 88,516 $ 410,714 0.0%
* Turquoise Hill Resources, Ltd.(900435108) 127,382 346,479 0.0%
* Turquoise Hill Resources, Ltd.(B7WJ1F5) 978,939 2,650,233 0.0%
West Fraser Timber Co., Ltd. 24,304 860,008 0.0%
# Whitecap Resources, Inc. 675,235 5,995,318 0.1%
WSP Global, Inc. 123,318 4,292,930 0.0%
Yamana Gold, Inc. 1,426,728 3,120,559 0.0%
------------ ---
TOTAL CANADA 708,482,795 7.7%
------------ ---
COLOMBIA -- (0.0%)
# Pacific Exploration and Production Corp. 892,124 1,739,765 0.0%
------------ ---
DENMARK -- (1.6%)
AP Moeller - Maersk A.S. Class A 7,706 11,049,533 0.1%
AP Moeller - Maersk A.S. Class B 19,275 28,446,437 0.3%
Carlsberg A.S. Class B 334,440 27,400,374 0.3%
Danske Bank A.S. 526,093 14,474,741 0.2%
DSV A.S. 135,935 5,516,142 0.1%
* H Lundbeck A.S. 93,064 2,733,923 0.0%
ISS A.S. 48,009 1,688,776 0.0%
* Jyske Bank A.S. 112,778 5,501,262 0.1%
TDC A.S. 2,749,229 14,372,672 0.1%
Vestas Wind Systems A.S. 721,756 42,081,411 0.5%
------------ ---
TOTAL DENMARK 153,265,271 1.7%
------------ ---
FINLAND -- (0.6%)
Fortum Oyj 928,335 13,921,211 0.2%
Kesko Oyj Class A 662 20,422 0.0%
Kesko Oyj Class B 138,917 4,434,832 0.0%
Neste Oyj 254,222 6,198,568 0.1%
Stora Enso Oyj Class R 1,827,123 16,948,743 0.2%
Stora Enso Oyj Sponsored ADR 91,500 845,460 0.0%
UPM-Kymmene Oyj 915,357 17,136,371 0.2%
UPM-Kymmene Oyj Sponsored ADR 69,300 1,304,919 0.0%
------------ ---
TOTAL FINLAND 60,810,526 0.7%
------------ ---
FRANCE -- (9.3%)
AXA SA 4,004,754 106,879,326 1.2%
AXA SA Sponsored ADR 140,900 3,762,030 0.0%
BNP Paribas SA 1,005,680 60,941,389 0.7%
Bollore SA(4572709) 1,581,085 7,815,970 0.1%
* Bollore SA(BZ0G303) 7,465 36,956 0.0%
Bouygues SA 709,374 26,812,213 0.3%
Casino Guichard Perrachon SA 178,667 10,265,267 0.1%
* CGG SA Sponsored ADR 115,396 467,354 0.0%
# Cie de Saint-Gobain 1,789,605 74,914,737 0.8%
Cie Generale des Etablissements Michelin 334,818 33,306,284 0.4%
CNP Assurances 408,378 5,825,198 0.1%
Credit Agricole SA 927,429 11,713,880 0.1%
Eiffage SA 46,924 2,923,436 0.0%
Electricite de France SA 538,044 10,000,899 0.1%
Engie SA 3,247,971 56,842,074 0.6%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
FRANCE -- (Continued)
Lagardere SCA 179,834 $ 5,232,343 0.1%
Natixis SA 2,133,151 13,058,045 0.1%
Orange SA 4,969,645 87,623,255 0.9%
* Peugeot SA 1,410,953 24,789,722 0.3%
Renault SA 759,515 71,564,612 0.8%
Rexel SA 598,646 8,170,206 0.1%
SCOR SE 318,283 11,834,608 0.1%
Societe Generale SA 1,935,625 89,896,621 1.0%
STMicroelectronics NV 1,904,563 13,122,952 0.1%
# Total SA 3,202,849 154,885,992 1.7%
# Vallourec SA 252,263 2,792,373 0.0%
------------ ---
TOTAL FRANCE 895,477,742 9.7%
------------ ---
GERMANY -- (7.3%)
Allianz SE 730,758 127,932,134 1.4%
Allianz SE Sponsored ADR 2,811,910 49,349,021 0.5%
Bayerische Motoren Werke AG 836,920 85,724,339 0.9%
* Commerzbank AG 1,603,495 17,634,791 0.2%
Daimler AG 2,214,556 192,032,407 2.1%
Deutsche Bank AG(5750355) 1,316,420 36,845,010 0.4%
# Deutsche Bank AG(D18190898) 815,783 22,801,135 0.3%
* Deutsche Lufthansa AG 895,598 13,225,960 0.1%
E.ON SE 2,832,890 29,884,591 0.3%
Fraport AG Frankfurt Airport Services Worldwide 106,349 6,742,812 0.1%
Hannover Rueck SE 42,216 4,880,596 0.1%
HeidelbergCement AG 373,732 27,831,645 0.3%
K+S AG 444,055 11,209,416 0.1%
Metro AG 337,849 10,394,155 0.1%
Muenchener Rueckversicherungs-Gesellschaft AG 199,660 39,810,992 0.4%
Osram Licht AG 56,824 3,339,217 0.0%
# RWE AG 94,829 1,317,863 0.0%
* Talanx AG 132,540 4,246,944 0.1%
Telefonica Deutschland Holding AG 1,344,231 8,653,691 0.1%
# Volkswagen AG 80,837 11,193,609 0.1%
------------ ---
TOTAL GERMANY 705,050,328 7.6%
------------ ---
HONG KONG -- (2.2%)
Cathay Pacific Airways, Ltd. 4,385,000 8,674,443 0.1%
CK Hutchison Holdings, Ltd. 1,904,984 26,183,860 0.3%
FIH Mobile, Ltd. 3,246,000 1,552,323 0.0%
Great Eagle Holdings, Ltd. 619,101 2,036,445 0.0%
Guoco Group, Ltd. 6,000 68,794 0.0%
Hang Lung Group, Ltd. 1,116,000 4,060,766 0.1%
Hang Lung Properties, Ltd. 3,175,000 7,776,824 0.1%
Henderson Land Development Co., Ltd. 997,712 6,359,304 0.1%
Hongkong & Shanghai Hotels (The) 1,287,131 1,461,968 0.0%
Hopewell Holdings, Ltd. 1,086,669 3,921,080 0.0%
# Kerry Logistics Network, Ltd. 325,000 483,388 0.0%
Kerry Properties, Ltd. 1,905,000 5,626,821 0.1%
MTR Corp., Ltd. 928,124 4,210,609 0.1%
New World Development Co., Ltd. 23,109,125 24,618,672 0.3%
NWS Holdings, Ltd. 1,260,000 1,896,962 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
HONG KONG -- (Continued)
Orient Overseas International, Ltd. 709,500 $ 3,383,297 0.0%
Shangri-La Asia, Ltd. 4,298,000 3,922,335 0.0%
Sino Land Co., Ltd. 4,993,765 7,707,883 0.1%
Sun Hung Kai Properties, Ltd. 2,951,920 39,469,101 0.4%
Swire Pacific, Ltd. Class A 1,720,000 19,938,325 0.2%
Swire Pacific, Ltd. Class B 557,500 1,211,581 0.0%
Wharf Holdings, Ltd. (The) 3,706,990 22,105,800 0.2%
Wheelock & Co., Ltd. 3,443,000 16,048,212 0.2%
Yue Yuen Industrial Holdings, Ltd. 160,000 581,630 0.0%
------------ ---
TOTAL HONG KONG 213,300,423 2.3%
------------ ---
IRELAND -- (0.3%)
* Bank of Ireland 32,113,417 11,940,493 0.1%
CRH P.L.C. 295,666 8,092,621 0.1%
CRH P.L.C. Sponsored ADR 215,216 5,888,310 0.1%
------------ ---
TOTAL IRELAND 25,921,424 0.3%
------------ ---
ISRAEL -- (0.4%)
# Azrieli Group 26,077 1,021,978 0.0%
Bank Hapoalim BM 3,220,797 16,765,432 0.2%
* Bank Leumi Le-Israel BM 3,064,622 11,628,342 0.1%
* Israel Discount Bank, Ltd. Class A 832,836 1,523,325 0.0%
Mizrahi Tefahot Bank, Ltd. 307,021 3,731,363 0.1%
Teva Pharmaceutical Industries, Ltd. Sponsored ADR 13,324 788,648 0.0%
------------ ---
TOTAL ISRAEL 35,459,088 0.4%
------------ ---
ITALY -- (1.8%)
* Banca Monte dei Paschi di Siena SpA 3,044,888 5,589,585 0.1%
* Banco Popolare SC 666,220 9,955,446 0.1%
Eni SpA 1,961,127 32,025,688 0.3%
Mediobanca SpA 520,196 5,231,491 0.1%
#* Telecom Italia SpA Sponsored ADR 1,862,562 25,889,612 0.3%
UniCredit SpA 10,827,146 69,911,588 0.7%
Unione di Banche Italiane SpA 3,409,526 25,509,200 0.3%
------------ ---
TOTAL ITALY 174,112,610 1.9%
------------ ---
JAPAN -- (21.4%)
77 Bank, Ltd. (The) 431,372 2,385,385 0.0%
Aeon Co., Ltd. 2,539,900 37,631,791 0.4%
Aisin Seiki Co., Ltd. 472,800 18,764,955 0.2%
Alfresa Holdings Corp. 26,348 505,233 0.0%
Amada Holdings Co., Ltd. 542,100 4,834,656 0.1%
Aoyama Trading Co., Ltd. 7,700 280,537 0.0%
Asahi Glass Co., Ltd. 2,690,000 15,401,570 0.2%
Asahi Kasei Corp. 3,312,000 20,324,517 0.2%
Autobacs Seven Co., Ltd. 21,100 370,001 0.0%
Bank of Kyoto, Ltd. (The) 621,400 6,275,832 0.1%
Bank of Yokohama, Ltd. (The) 2,110,000 13,168,742 0.1%
Brother Industries, Ltd. 326,300 4,170,587 0.0%
Canon Marketing Japan, Inc. 131,800 2,003,719 0.0%
Chiba Bank, Ltd. (The) 873,000 6,368,561 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
JAPAN -- (Continued)
Chugoku Bank, Ltd. (The) 310,800 $ 4,405,996 0.1%
Citizen Holdings Co., Ltd. 689,600 5,226,819 0.1%
Coca-Cola East Japan Co., Ltd. 75,500 1,061,104 0.0%
Coca-Cola West Co., Ltd. 159,107 3,217,524 0.0%
COMSYS Holdings Corp. 56,400 736,671 0.0%
* Cosmo Energy Holdings Co., Ltd. 59,436 807,919 0.0%
Dai Nippon Printing Co., Ltd. 1,013,000 10,476,527 0.1%
Dai-ichi Life Insurance Co., Ltd. (The) 854,300 14,778,781 0.2%
Daido Steel Co., Ltd. 675,000 2,583,771 0.0%
# Daihatsu Motor Co., Ltd. 564,800 6,918,629 0.1%
Daiichi Sankyo Co., Ltd. 15,100 296,549 0.0%
Denka Co., Ltd. 992,000 4,603,391 0.1%
DIC Corp. 1,683,000 4,555,643 0.1%
Ebara Corp. 673,000 2,915,797 0.0%
Fuji Media Holdings, Inc. 74,400 885,051 0.0%
FUJIFILM Holdings Corp. 754,600 30,100,037 0.3%
# Fukuoka Financial Group, Inc. 1,218,000 6,409,298 0.1%
# Fukuyama Transporting Co., Ltd. 85,000 461,606 0.0%
Furukawa Electric Co., Ltd. 633,000 1,158,404 0.0%
Glory, Ltd. 185,800 4,700,614 0.1%
Gunma Bank, Ltd. (The) 650,397 4,094,054 0.0%
H2O Retailing Corp. 198,900 3,863,741 0.0%
Hachijuni Bank, Ltd. (The) 620,231 4,229,197 0.1%
Hankyu Hanshin Holdings, Inc. 1,799,000 11,718,910 0.1%
Hiroshima Bank, Ltd. (The) 637,000 3,537,618 0.0%
Hitachi Capital Corp. 58,400 1,678,107 0.0%
Hitachi Chemical Co., Ltd. 266,500 4,212,724 0.1%
# Hitachi Construction Machinery Co., Ltd. 384,700 5,957,784 0.1%
Hitachi High-Technologies Corp. 101,600 2,732,334 0.0%
Hitachi Transport System, Ltd. 105,000 1,848,456 0.0%
Hitachi, Ltd. 7,531,000 43,444,754 0.5%
Hokuhoku Financial Group, Inc. 1,919,000 4,260,607 0.1%
Honda Motor Co., Ltd. 3,334,800 110,316,638 1.2%
House Foods Group, Inc. 65,300 1,128,229 0.0%
# Ibiden Co., Ltd. 459,900 6,337,019 0.1%
Idemitsu Kosan Co., Ltd. 154,596 2,535,290 0.0%
# Iida Group Holdings Co., Ltd. 163,700 3,068,207 0.0%
Inpex Corp. 1,335,200 12,727,125 0.1%
ITOCHU Corp. 3,608,800 45,156,836 0.5%
Iyo Bank, Ltd. (The) 476,000 5,118,041 0.1%
J Front Retailing Co., Ltd. 832,300 13,668,258 0.2%
# JFE Holdings, Inc. 1,424,800 22,398,597 0.2%
Joyo Bank, Ltd. (The) 1,145,000 5,947,269 0.1%
JSR Corp. 18,500 292,176 0.0%
JTEKT Corp. 80,600 1,389,289 0.0%
# JX Holdings, Inc. 3,944,433 15,488,443 0.2%
# K's Holdings Corp. 71,300 2,516,221 0.0%
Kamigumi Co., Ltd. 442,000 3,797,509 0.0%
Kaneka Corp. 1,045,542 9,271,081 0.1%
Kawasaki Kisen Kaisha, Ltd. 4,013,000 9,009,640 0.1%
Keiyo Bank, Ltd. (The) 233,000 1,170,662 0.0%
Kinden Corp. 207,000 2,689,428 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
JAPAN -- (Continued)
Kobe Steel, Ltd. 14,072,000 $ 17,769,727 0.2%
Komatsu, Ltd. 480,400 7,896,569 0.1%
Konica Minolta, Inc. 1,745,500 17,933,990 0.2%
Kuraray Co., Ltd. 1,181,800 14,576,172 0.2%
Kurita Water Industries, Ltd. 7,500 169,356 0.0%
Kyocera Corp. 229,500 10,381,350 0.1%
Kyocera Corp. Sponsored ADR 25,197 1,139,660 0.0%
* Kyushu Financial Group, Inc. 528,349 4,063,211 0.0%
Lintec Corp. 1,700 39,823 0.0%
LIXIL Group Corp. 445,400 9,536,033 0.1%
Maeda Road Construction Co., Ltd. 36,000 654,389 0.0%
Marubeni Corp. 3,901,000 22,540,084 0.2%
Marui Group Co., Ltd. 58,442 754,882 0.0%
# Maruichi Steel Tube, Ltd. 31,300 801,539 0.0%
Medipal Holdings Corp. 146,400 2,554,981 0.0%
# Mitsubishi Chemical Holdings Corp. 6,451,800 40,204,752 0.4%
Mitsubishi Corp. 1,327,500 24,134,723 0.3%
Mitsubishi Gas Chemical Co., Inc. 609,000 3,395,408 0.0%
# Mitsubishi Heavy Industries, Ltd. 2,091,000 10,541,708 0.1%
Mitsubishi Logistics Corp. 19,000 272,686 0.0%
Mitsubishi Materials Corp. 5,182,000 18,076,537 0.2%
Mitsubishi UFJ Financial Group, Inc. 21,459,506 138,789,997 1.5%
# Mitsubishi UFJ Financial Group, Inc. Sponsored ADR 4,781,372 30,935,477 0.3%
Mitsui & Co., Ltd. 1,717,700 21,785,434 0.2%
Mitsui & Co., Ltd. Sponsored ADR 11,723 2,957,361 0.0%
Mitsui Chemicals, Inc. 3,169,800 11,985,493 0.1%
Mitsui Engineering & Shipbuilding Co., Ltd. 939,000 1,445,608 0.0%
Mitsui Mining & Smelting Co., Ltd. 69,030 132,694 0.0%
Mitsui OSK Lines, Ltd. 2,191,000 5,850,876 0.1%
Mizuho Financial Group, Inc. 51,633,200 106,356,355 1.2%
Mizuho Financial Group, Inc. ADR 205,757 841,546 0.0%
MS&AD Insurance Group Holdings, Inc. 587,253 17,312,568 0.2%
Nagase & Co., Ltd. 149,589 1,855,131 0.0%
NEC Corp. 10,595,101 32,685,693 0.4%
NH Foods, Ltd. 179,536 3,744,853 0.0%
NHK Spring Co., Ltd. 455,600 4,637,055 0.1%
# Nikon Corp. 779,200 10,080,093 0.1%
Nippo Corp. 148,000 2,579,028 0.0%
# Nippon Electric Glass Co., Ltd. 633,000 3,097,501 0.0%
Nippon Express Co., Ltd. 3,185,238 16,409,353 0.2%
# Nippon Paper Industries Co., Ltd. 334,100 6,192,440 0.1%
Nippon Shokubai Co., Ltd. 58,600 4,585,863 0.1%
Nippon Steel & Sumitomo Metal Corp. 2,021,593 40,982,827 0.4%
Nippon Yusen K.K. 7,713,000 20,180,409 0.2%
Nishi-Nippon City Bank, Ltd. (The) 974,569 2,847,834 0.0%
Nissan Motor Co., Ltd. 5,844,900 60,589,514 0.7%
Nisshinbo Holdings, Inc. 305,000 4,142,088 0.0%
NOK Corp. 184,620 4,338,507 0.1%
Nomura Holdings, Inc. 740,400 4,657,370 0.1%
Nomura Real Estate Holdings, Inc. 70,700 1,510,784 0.0%
NTN Corp. 1,462,000 7,265,714 0.1%
NTT DOCOMO, Inc. 1,243,800 24,223,609 0.3%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
JAPAN -- (Continued)
Obayashi Corp. 279,682 $ 2,452,828 0.0%
Oji Holdings Corp. 3,534,000 18,302,584 0.2%
Otsuka Holdings Co., Ltd. 278,200 9,258,609 0.1%
Resona Holdings, Inc. 4,215,400 22,305,044 0.2%
# Ricoh Co., Ltd. 3,215,400 34,655,247 0.4%
Rohm Co., Ltd. 95,600 4,725,657 0.1%
Sankyo Co., Ltd. 82,500 3,179,522 0.0%
SBI Holdings, Inc. 311,800 3,529,051 0.0%
Sega Sammy Holdings, Inc. 34,700 365,420 0.0%
Seino Holdings Co., Ltd. 264,400 3,137,966 0.0%
Sekisui Chemical Co., Ltd. 105,000 1,238,895 0.0%
Sekisui House, Ltd. 1,588,100 26,436,174 0.3%
# Shiga Bank, Ltd. (The) 227,185 1,214,275 0.0%
Shinsei Bank, Ltd. 2,649,000 5,554,352 0.1%
Shizuoka Bank, Ltd. (The) 948,000 9,510,111 0.1%
Showa Denko K.K. 5,905,000 7,437,193 0.1%
Showa Shell Sekiyu K.K. 231,300 2,041,558 0.0%
SKY Perfect JSAT Holdings, Inc. 524,100 2,758,619 0.0%
Sojitz Corp. 1,906,800 4,194,000 0.1%
Sompo Japan Nipponkoa Holdings, Inc. 270,800 8,502,649 0.1%
* Sony Corp. Sponsored ADR 818,933 23,257,697 0.3%
Sumitomo Chemical Co., Ltd. 6,896,000 39,501,686 0.4%
Sumitomo Corp. 1,087,100 11,889,916 0.1%
# Sumitomo Dainippon Pharma Co., Ltd. 139,000 1,538,459 0.0%
Sumitomo Electric Industries, Ltd. 2,774,300 37,863,503 0.4%
Sumitomo Forestry Co., Ltd. 493,000 5,896,577 0.1%
Sumitomo Heavy Industries, Ltd. 1,822,000 8,209,954 0.1%
Sumitomo Metal Mining Co., Ltd. 992,000 12,307,152 0.1%
# Sumitomo Mitsui Financial Group, Inc. 2,728,500 108,849,809 1.2%
Sumitomo Mitsui Trust Holdings, Inc. 4,265,629 16,373,817 0.2%
Sumitomo Osaka Cement Co., Ltd. 196,000 755,291 0.0%
Sumitomo Rubber Industries, Ltd. 503,000 7,481,359 0.1%
Suzuken Co., Ltd. 131,450 5,031,107 0.1%
Suzuki Motor Corp. 463,300 15,170,045 0.2%
T&D Holdings, Inc. 2,073,500 27,247,272 0.3%
# Taisho Pharmaceutical Holdings Co., Ltd. 26,699 1,665,879 0.0%
Takashimaya Co., Ltd. 753,634 6,736,891 0.1%
TDK Corp. 492,800 31,389,596 0.3%
Teijin, Ltd. 3,858,450 13,620,514 0.2%
THK Co., Ltd. 114,100 2,149,373 0.0%
Tokai Rika Co., Ltd. 165,500 3,578,557 0.0%
Tokio Marine Holdings, Inc. 12,800 493,205 0.0%
Tokyo Broadcasting System Holdings, Inc. 20,600 306,057 0.0%
Toppan Printing Co., Ltd. 936,000 8,393,548 0.1%
* Toshiba Corp. 5,806,000 16,379,057 0.2%
Tosoh Corp. 1,636,000 8,308,826 0.1%
Toyo Seikan Group Holdings, Ltd. 284,849 5,504,216 0.1%
Toyobo Co., Ltd. 664,000 973,323 0.0%
Toyoda Gosei Co., Ltd. 203,600 4,666,931 0.1%
Toyota Boshoku Corp. 34,600 739,293 0.0%
Toyota Tsusho Corp. 923,500 21,150,044 0.2%
Ube Industries, Ltd. 3,078,000 6,463,065 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
JAPAN -- (Continued)
Ushio, Inc. 36,800 $ 506,950 0.0%
Wacoal Holdings Corp. 172,000 2,158,339 0.0%
# Yamada Denki Co., Ltd. 1,254,400 5,643,095 0.1%
# Yamaguchi Financial Group, Inc. 358,148 4,405,072 0.1%
Yamaha Corp. 152,400 3,782,379 0.0%
# Yamato Kogyo Co., Ltd. 40,700 1,084,130 0.0%
Yamazaki Baking Co., Ltd. 63,000 1,213,290 0.0%
Yokohama Rubber Co., Ltd. (The) 193,000 3,710,163 0.0%
Zeon Corp. 61,000 497,868 0.0%
-------------- ----
TOTAL JAPAN 2,054,520,175 22.3%
-------------- ----
NETHERLANDS -- (2.8%)
Aegon NV 3,034,518 18,621,215 0.2%
Akzo Nobel NV 32,273 2,282,681 0.0%
ArcelorMittal(B03XPL1) 3,474,174 19,400,712 0.2%
# ArcelorMittal(B295F26) 638,488 3,581,918 0.1%
Boskalis Westminster 192,237 9,330,156 0.1%
ING Groep NV 6,261,830 91,466,780 1.0%
ING Groep NV Sponsored ADR 1,202,410 17,398,873 0.2%
Koninklijke DSM NV 700,750 37,355,263 0.4%
Koninklijke KPN NV 3,251,631 11,914,629 0.1%
Koninklijke Philips NV(500472303) 296,833 7,996,681 0.1%
Koninklijke Philips NV(5986622) 1,816,357 48,966,694 0.5%
NN Group NV 10,548 330,499 0.0%
TNT Express NV 72,118 606,009 0.0%
-------------- ----
TOTAL NETHERLANDS 269,252,110 2.9%
-------------- ----
NEW ZEALAND -- (0.1%)
# Auckland International Airport, Ltd. 691,489 2,457,290 0.0%
Fletcher Building, Ltd. 824,808 4,154,266 0.1%
Fonterra Co-operative Group, Ltd. 16,149 58,783 0.0%
-------------- ----
TOTAL NEW ZEALAND 6,670,339 0.1%
-------------- ----
NORWAY -- (0.6%)
Aker ASA Class A 19,081 375,811 0.0%
DNB ASA 523,007 6,658,899 0.1%
Norsk Hydro ASA 2,517,143 9,015,855 0.1%
Norsk Hydro ASA Sponsored ADR 59,900 212,645 0.0%
# Seadrill, Ltd.(B0HWHV8) 846,533 5,477,068 0.1%
# Seadrill, Ltd.(B09RMQ1) 31,862 204,892 0.0%
SpareBank 1 SR-Bank ASA 35,170 168,002 0.0%
Statoil ASA 1,375,001 22,225,873 0.2%
# Statoil ASA Sponsored ADR 592,648 9,577,192 0.1%
* Storebrand ASA 777,915 2,714,400 0.0%
* Subsea 7 SA 510,807 4,006,407 0.1%
Yara International ASA 22,709 1,031,578 0.0%
-------------- ----
TOTAL NORWAY 61,668,622 0.7%
-------------- ----
PORTUGAL -- (0.0%)
* Banco Comercial Portugues SA Class R 6,525,893 374,081 0.0%
* Banco Espirito Santo SA 2,631,973 -- 0.0%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
PORTUGAL -- (Continued)
EDP Renovaveis SA 541,158 $ 3,925,987 0.0%
------------ ---
TOTAL PORTUGAL 4,300,068 0.0%
------------ ---
SINGAPORE -- (1.0%)
CapitaLand, Ltd. 2,723,000 6,006,698 0.1%
City Developments, Ltd. 709,400 4,014,715 0.0%
DBS Group Holdings, Ltd. 71,187 875,247 0.0%
Frasers Centrepoint, Ltd. 425,400 494,663 0.0%
Golden Agri-Resources, Ltd. 13,223,300 3,669,761 0.0%
Hutchison Port Holdings Trust 16,030,600 8,878,644 0.1%
# Keppel Corp., Ltd. 474,200 2,386,980 0.0%
# Noble Group, Ltd. 15,073,900 5,412,121 0.1%
Olam International, Ltd. 466,600 664,284 0.0%
# Oversea-Chinese Banking Corp., Ltd. 1,820,979 11,704,985 0.1%
SembCorp Industries, Ltd. 2,338,500 5,958,861 0.1%
Singapore Airlines, Ltd. 2,563,200 19,719,313 0.2%
United Industrial Corp., Ltd. 1,994,413 4,381,557 0.1%
United Overseas Bank, Ltd. 103,900 1,508,709 0.0%
UOL Group, Ltd. 1,001,864 4,675,458 0.1%
Venture Corp., Ltd. 125,300 738,419 0.0%
Wheelock Properties Singapore, Ltd. 669,100 727,300 0.0%
Wilmar International, Ltd. 4,154,000 9,256,641 0.1%
------------ ---
TOTAL SINGAPORE 91,074,356 1.0%
------------ ---
SPAIN -- (2.9%)
Acciona SA 94,122 7,895,855 0.1%
# Banco de Sabadell SA 8,951,876 17,270,866 0.2%
Banco Popular Espanol SA 3,642,003 13,847,229 0.2%
Banco Santander SA 19,371,024 108,210,378 1.2%
Banco Santander SA Sponsored ADR 776,922 4,304,148 0.0%
CaixaBank SA 91,449 350,264 0.0%
Iberdrola SA 14,302,198 101,990,959 1.1%
Mapfre SA 1,275,685 3,784,655 0.0%
Repsol SA 1,820,865 22,921,739 0.2%
------------ ---
TOTAL SPAIN 280,576,093 3.0%
------------ ---
SWEDEN -- (3.0%)
Boliden AB 1,273,315 24,379,352 0.3%
Holmen AB Class A 5,131 155,114 0.0%
Holmen AB Class B 26,875 810,142 0.0%
# ICA Gruppen AB 2,667 95,143 0.0%
Meda AB Class A 288,268 4,230,680 0.0%
Nordea Bank AB 3,886,422 42,881,354 0.5%
Skandinaviska Enskilda Banken AB Class A 3,806,534 39,971,922 0.4%
# Skandinaviska Enskilda Banken AB Class C 23,992 258,789 0.0%
#* SSAB AB Class A 181,327 653,751 0.0%
* SSAB AB Class B 77,575 244,840 0.0%
Svenska Cellulosa AB SCA Class A 69,959 2,064,165 0.0%
Svenska Cellulosa AB SCA Class B 2,234,256 65,807,693 0.7%
Svenska Handelsbanken AB Class A 544,381 7,393,493 0.1%
Swedbank AB Class A 214,941 4,925,023 0.1%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
SWEDEN -- (Continued)
Tele2 AB Class B 840,482 $ 8,393,561 0.1%
# Telefonaktiebolaget LM Ericsson Class A 28,098 255,283 0.0%
Telefonaktiebolaget LM Ericsson Class B 4,879,427 47,489,038 0.5%
Telefonaktiebolaget LM Ericsson Sponsored ADR 834,580 8,128,809 0.1%
TeliaSonera AB 5,789,696 29,582,560 0.3%
------------ ---
TOTAL SWEDEN 287,720,712 3.1%
------------ ---
SWITZERLAND -- (8.5%)
ABB, Ltd. 4,761,575 89,830,421 1.0%
ABB, Ltd. Sponsored ADR 271,992 5,135,209 0.1%
Adecco SA 640,328 47,598,969 0.5%
Aryzta AG 244,085 10,991,149 0.1%
Baloise Holding AG 200,163 23,998,901 0.2%
Banque Cantonale Vaudoise 468 288,202 0.0%
Cie Financiere Richemont SA 928,099 79,582,225 0.9%
Clariant AG 951,816 17,502,319 0.2%
Credit Suisse Group AG 1,236,720 30,845,304 0.3%
# Credit Suisse Group AG Sponsored ADR 1,058,153 26,453,825 0.3%
* Dufry AG 8,748 1,021,987 0.0%
Julius Baer Group, Ltd. 175,211 8,687,400 0.1%
LafargeHolcim, Ltd.(7110753) 932,270 52,500,549 0.6%
* LafargeHolcim, Ltd.(BZ3DNX4) 490,757 27,601,542 0.3%
Lonza Group AG 162,986 23,923,040 0.2%
Nestle SA 84,133 6,425,568 0.1%
Novartis AG 257,959 23,368,158 0.2%
# Sulzer AG 50,596 5,112,508 0.1%
Swatch Group AG (The)(7184736) 100,404 7,253,358 0.1%
Swatch Group AG (The)(7184725) 94,264 36,813,809 0.4%
Swiss Life Holding AG 71,448 17,025,334 0.2%
Swiss Re AG 1,037,390 96,301,702 1.0%
Syngenta AG 100,750 33,849,004 0.4%
UBS Group AG(BRJL176) 2,463,478 49,201,633 0.5%
* UBS Group AG(H42097107) 500,015 10,015,300 0.1%
Zurich Insurance Group AG 343,651 90,689,469 1.0%
------------ ---
TOTAL SWITZERLAND 822,016,885 8.9%
------------ ---
UNITED KINGDOM -- (16.7%)
Anglo American P.L.C. 3,418,604 28,681,091 0.3%
Aviva P.L.C. 2,212,396 16,534,493 0.2%
Barclays P.L.C. 4,723,018 16,827,071 0.2%
Barclays P.L.C. Sponsored ADR 5,103,338 72,620,500 0.8%
Barratt Developments P.L.C. 1,006,942 9,485,862 0.1%
BP P.L.C. 1,912,816 11,367,838 0.1%
BP P.L.C. Sponsored ADR 8,753,160 312,487,811 3.4%
Carnival P.L.C. 204,531 11,383,306 0.1%
Carnival P.L.C. ADR 64,057 3,571,178 0.0%
Glencore P.L.C. 15,677,236 27,065,978 0.3%
HSBC Holdings P.L.C. 20,428,278 159,605,431 1.7%
# HSBC Holdings P.L.C. Sponsored ADR 2,554,625 99,809,198 1.1%
Investec P.L.C. 776,855 6,471,357 0.1%
J Sainsbury P.L.C. 4,609,837 18,888,509 0.2%
Kingfisher P.L.C. 6,997,686 38,037,779 0.4%
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
UNITED KINGDOM -- (Continued)
# Lloyds Banking Group P.L.C. ADR 1,322,959 $ 6,059,152 0.1%
Old Mutual P.L.C. 9,672,569 31,613,915 0.4%
Pearson P.L.C. Sponsored ADR 1,176,118 15,665,892 0.2%
* Royal Bank of Scotland Group P.L.C. 3,927,884 19,194,155 0.2%
#* Royal Bank of Scotland Group P.L.C. Sponsored ADR 400,166 3,873,607 0.0%
Royal Dutch Shell P.L.C. Class A 1,867,596 48,757,978 0.5%
Royal Dutch Shell P.L.C. Class B 255,146 6,680,969 0.1%
# Royal Dutch Shell P.L.C. Sponsored ADR(B03MM73) 3,323,210 175,099,935 1.9%
Royal Dutch Shell P.L.C. Sponsored ADR(780259206) 1,338,497 70,217,553 0.8%
Royal Mail P.L.C. 367,647 2,518,777 0.0%
RSA Insurance Group P.L.C. 188,300 1,218,663 0.0%
Standard Chartered P.L.C. 4,035,713 44,798,973 0.5%
Vodafone Group P.L.C. 58,351,986 192,032,427 2.1%
Vodafone Group P.L.C. Sponsored ADR 4,011,201 132,249,306 1.4%
WM Morrison Supermarkets P.L.C. 7,694,512 19,951,805 0.2%
-------------- -----
TOTAL UNITED KINGDOM 1,602,770,509 17.4%
-------------- -----
TOTAL COMMON STOCKS 9,126,127,376 98.9%
-------------- -----
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
Bayerische Motoren Werke AG 28,629 2,315,143 0.1%
Porsche Automobil Holding SE 242,713 11,345,357 0.1%
Volkswagen AG 396,506 47,594,617 0.5%
-------------- -----
TOTAL GERMANY 61,255,117 0.7%
-------------- -----
TOTAL PREFERRED STOCKS 61,255,117 0.7%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
* Treasury Wine Estates, Ltd. Rights 11/04/15 117,413 -- 0.0%
-------------- -----
SPAIN -- (0.0%)
* Banco Santander SA Rights 11/03/15 19,371,023 1,065,068 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS 1,065,068 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 9,188,447,561
--------------
VALUE+
--------------
SECURITIES LENDING COLLATERAL -- (4.5%)
(S)@ DFA Short Term Investment Fund 37,531,967 434,244,856 4.7%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $9,600,064,667) $9,622,692,417 104.3%
============== =====
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, 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 $ 57,726,184 $ 479,327,281 -- $ 537,053,465
Austria -- 10,400,098 -- 10,400,098
Belgium 4,913,352 119,570,620 -- 124,483,972
Canada 708,482,795 -- -- 708,482,795
Colombia 1,739,765 -- -- 1,739,765
Denmark -- 153,265,271 -- 153,265,271
Finland 2,150,379 58,660,147 -- 60,810,526
France 4,266,340 891,211,402 -- 895,477,742
Germany 72,150,156 632,900,172 -- 705,050,328
Hong Kong -- 213,300,423 -- 213,300,423
Ireland 5,888,310 20,033,114 -- 25,921,424
Israel 788,648 34,670,440 -- 35,459,088
Italy 25,889,612 148,222,998 -- 174,112,610
Japan 63,194,952 1,991,325,223 -- 2,054,520,175
Netherlands 28,977,472 240,274,638 -- 269,252,110
New Zealand -- 6,670,339 -- 6,670,339
Norway 15,266,905 46,401,717 -- 61,668,622
Portugal -- 4,300,068 -- 4,300,068
Singapore -- 91,074,356 -- 91,074,356
Spain 4,304,148 276,271,945 -- 280,576,093
Sweden 8,128,809 279,591,903 -- 287,720,712
Switzerland 41,604,334 780,412,551 -- 822,016,885
United Kingdom 891,654,132 711,116,377 -- 1,602,770,509
Preferred Stocks
Germany -- 61,255,117 -- 61,255,117
Rights/Warrants
Australia -- -- -- --
Spain -- 1,065,068 -- 1,065,068
Securities Lending Collateral -- 434,244,856 -- 434,244,856
-------------- -------------- -- --------------
TOTAL $1,937,126,293 $7,685,566,124 -- $9,622,692,417
============== ============== == ==============
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2015
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (90.4%)
Consumer Discretionary -- (18.4%)
Accordia Golf Co., Ltd. 350,289 $ 3,175,803 0.1%
Adastria Co., Ltd. 97,320 5,478,591 0.2%
# Aeon Fantasy Co., Ltd. 54,232 883,223 0.0%
* AGORA Hospitality Group Co., Ltd. 591,000 204,945 0.0%
Ahresty Corp. 123,400 828,887 0.0%
#* Aigan Co., Ltd. 95,200 199,043 0.0%
Aisan Industry Co., Ltd. 201,800 2,018,327 0.1%
# Akebono Brake Industry Co., Ltd. 436,100 1,276,885 0.1%
# Alpen Co., Ltd. 109,300 1,789,199 0.1%
Alpha Corp. 30,400 329,882 0.0%
Alpine Electronics, Inc. 277,500 3,643,735 0.2%
Amiyaki Tei Co., Ltd. 23,800 846,143 0.0%
Amuse, Inc. 25,799 1,040,894 0.1%
* Anrakutei Co., Ltd. 22,000 81,365 0.0%
AOI Pro, Inc. 44,800 342,915 0.0%
AOKI Holdings, Inc. 268,400 3,271,531 0.1%
Aoyama Trading Co., Ltd. 307,000 11,185,037 0.4%
Arata Corp. 20,400 431,455 0.0%
Arcland Sakamoto Co., Ltd. 88,100 1,928,540 0.1%
ARCLAND SERVICE Co., Ltd. 4,200 167,597 0.0%
Asahi Broadcasting Corp. 21,200 142,052 0.0%
# Asahi Co., Ltd. 92,300 906,588 0.0%
Asante, Inc. 6,900 86,085 0.0%
Asatsu-DK, Inc. 198,500 4,871,230 0.2%
# Ashimori Industry Co., Ltd. 310,000 488,277 0.0%
# Atom Corp. 240,800 1,301,522 0.1%
Atsugi Co., Ltd. 743,000 724,526 0.0%
# Autobacs Seven Co., Ltd. 398,500 6,987,926 0.3%
# Avex Group Holdings, Inc. 237,300 2,797,374 0.1%
Belluna Co., Ltd. 246,500 1,406,664 0.1%
# Best Denki Co., Ltd. 370,800 419,911 0.0%
# Bic Camera, Inc. 483,600 3,934,624 0.2%
Bookoff Corp. 63,300 484,574 0.0%
# Broccoli Co., Ltd. 22,000 67,673 0.0%
# BRONCO BILLY Co., Ltd. 42,500 818,223 0.0%
Calsonic Kansei Corp. 1,015,000 8,089,220 0.3%
# Can Do Co., Ltd. 63,500 833,779 0.0%
Central Sports Co., Ltd. 31,800 593,487 0.0%
CHIMNEY Co., Ltd. 26,600 680,435 0.0%
# Chiyoda Co., Ltd. 94,400 3,129,605 0.1%
Chofu Seisakusho Co., Ltd. 83,800 1,739,316 0.1%
# Chori Co., Ltd. 71,800 1,011,925 0.1%
Chuo Spring Co., Ltd. 196,000 467,947 0.0%
# Clarion Co., Ltd. 782,000 2,678,730 0.1%
Cleanup Corp. 129,700 819,630 0.0%
# Colowide Co., Ltd. 347,000 4,703,291 0.2%
Corona Corp. 80,100 789,028 0.0%
Cross Plus, Inc. 22,000 125,592 0.0%
DA Consortium, Inc. 144,000 563,725 0.0%
# Daido Metal Co., Ltd. 184,600 1,729,300 0.1%
# Daidoh, Ltd. 137,200 570,694 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
Daiichikosho Co., Ltd. 189,100 $6,306,866 0.3%
Daikoku Denki Co., Ltd. 43,400 560,085 0.0%
Dainichi Co., Ltd. 49,300 293,677 0.0%
Daisyo Corp. 47,200 557,510 0.0%
DCM Holdings Co., Ltd. 530,600 3,515,018 0.1%
Descente, Ltd. 247,000 3,161,965 0.1%
Doshisha Co., Ltd. 141,100 2,597,990 0.1%
Doutor Nichires Holdings Co., Ltd. 184,486 2,686,509 0.1%
Dunlop Sports Co., Ltd. 75,300 755,896 0.0%
Dynic Corp. 174,000 244,188 0.0%
Eagle Industry Co., Ltd. 147,200 2,960,003 0.1%
# EDION Corp. 513,900 3,854,905 0.2%
Exedy Corp. 193,000 4,438,642 0.2%
# F-Tech, Inc. 32,100 292,275 0.0%
# FCC Co., Ltd. 209,700 3,708,505 0.2%
# Fields Corp. 67,800 1,019,056 0.1%
Fine Sinter Co., Ltd. 49,000 128,907 0.0%
First Juken Co., Ltd. 19,600 211,365 0.0%
Foster Electric Co., Ltd. 130,500 3,201,949 0.1%
France Bed Holdings Co., Ltd. 138,200 1,085,322 0.1%
# FTGroup Co., Ltd. 56,700 306,586 0.0%
Fuji Co., Ltd. 109,900 2,244,650 0.1%
# Fuji Corp., Ltd. 131,000 740,418 0.0%
Fuji Kiko Co., Ltd. 144,000 589,822 0.0%
Fuji Kyuko Co., Ltd. 214,000 2,036,438 0.1%
Fuji Oozx, Inc. 6,000 22,836 0.0%
Fujibo Holdings, Inc. 742,000 1,369,257 0.1%
# Fujikura Rubber, Ltd. 80,200 395,690 0.0%
Fujishoji Co., Ltd. 34,400 351,085 0.0%
# Fujita Kanko, Inc. 134,000 515,795 0.0%
Fujitsu General, Ltd. 370,000 4,646,409 0.2%
FuKoKu Co., Ltd. 40,800 348,034 0.0%
# Funai Electric Co., Ltd. 39,800 410,697 0.0%
# Furukawa Battery Co., Ltd. (The) 95,000 670,478 0.0%
# Futaba Industrial Co., Ltd. 320,000 1,375,741 0.1%
G-7 Holdings, Inc. 29,200 456,026 0.0%
G-Tekt Corp. 100,000 1,235,265 0.1%
Gakken Holdings Co., Ltd. 313,000 608,196 0.0%
# Genki Sushi Co., Ltd. 9,700 178,890 0.0%
# Geo Holdings Corp. 213,200 3,190,279 0.1%
# GLOBERIDE, Inc. 62,299 819,704 0.0%
Goldwin, Inc. 12,100 690,798 0.0%
# Gourmet Kineya Co., Ltd. 85,000 671,116 0.0%
GSI Creos Corp. 335,000 318,141 0.0%
# Gulliver International Co., Ltd. 387,900 3,907,831 0.2%
Gunze, Ltd. 1,080,000 3,430,317 0.1%
# H-One Co., Ltd. 67,500 347,963 0.0%
Hagihara Industries, Inc. 26,600 462,987 0.0%
Hakuyosha Co., Ltd. 65,000 148,492 0.0%
Happinet Corp. 93,800 970,462 0.1%
Hard Off Corp. Co., Ltd. 55,700 704,408 0.0%
Haruyama Trading Co., Ltd. 47,900 292,796 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
Heiwa Corp. 61,400 $1,133,432 0.1%
HI-LEX Corp. 56,000 1,716,117 0.1%
# Hiday Hidaka Corp. 74,956 1,858,782 0.1%
# Himaraya Co., Ltd. 35,900 332,650 0.0%
# Hiramatsu, Inc. 160,700 849,223 0.0%
Honeys Co., Ltd. 106,040 873,996 0.0%
# Hoosiers Holdings 181,100 693,584 0.0%
Ichibanya Co., Ltd. 47,200 2,094,448 0.1%
Ichikoh Industries, Ltd. 286,000 492,244 0.0%
# IJT Technology Holdings Co., Ltd. 124,680 410,986 0.0%
# Ikyu Corp. 118,800 2,253,349 0.1%
# Imasen Electric Industrial 89,600 810,607 0.0%
# Imperial Hotel, Ltd. 13,000 267,445 0.0%
Intage Holdings, Inc. 84,800 1,203,177 0.1%
Izuhakone Railway Co., Ltd. 300 -- 0.0%
#* Izutsuya Co., Ltd. 617,000 331,128 0.0%
#* Janome Sewing Machine Co., Ltd. 106,400 779,828 0.0%
# Japan Vilene Co., Ltd. 61,000 598,608 0.0%
Japan Wool Textile Co., Ltd. (The) 343,000 2,791,880 0.1%
# Jin Co., Ltd. 80,000 2,956,304 0.1%
# Joban Kosan Co., Ltd. 342,000 424,369 0.0%
Joshin Denki Co., Ltd. 205,000 1,566,664 0.1%
# JP-Holdings, Inc. 298,800 788,889 0.0%
JVC Kenwood Corp. 932,030 2,437,926 0.1%
# K's Holdings Corp. 182,200 6,429,950 0.3%
* Kadokawa Dwango 246,233 3,169,650 0.1%
#* Kappa Create Co., Ltd. 37,800 373,567 0.0%
Kasai Kogyo Co., Ltd. 138,300 1,718,856 0.1%
# Kawai Musical Instruments Manufacturing Co., Ltd. 45,200 835,475 0.0%
Keihin Corp. 267,500 4,363,515 0.2%
# Keiyo Co., Ltd. 176,200 722,240 0.0%
KFC Holdings Japan, Ltd. 75,000 1,426,144 0.1%
#* Kintetsu Department Store Co., Ltd. 169,000 458,659 0.0%
Kinugawa Rubber Industrial Co., Ltd. 282,000 1,573,017 0.1%
Kitamura Co., Ltd. 2,000 12,961 0.0%
* KNT-CT Holdings Co., Ltd. 643,000 1,503,779 0.1%
# Kohnan Shoji Co., Ltd. 188,500 2,749,601 0.1%
#* Kojima Co., Ltd. 162,600 380,582 0.0%
# Komatsu Seiren Co., Ltd. 134,400 807,587 0.0%
# Komehyo Co., Ltd. 14,600 284,000 0.0%
Komeri Co., Ltd. 191,400 4,092,059 0.2%
# Konaka Co., Ltd. 122,460 636,474 0.0%
# Koshidaka Holdings Co., Ltd. 50,000 905,146 0.0%
Kourakuen Holdings Corp. 39,800 507,172 0.0%
# KU Holdings Co., Ltd. 132,600 906,927 0.0%
Kura Corp. 69,200 2,091,303 0.1%
Kurabo Industries, Ltd. 1,276,000 2,260,858 0.1%
# Kuraudia Co., Ltd. 2,500 12,154 0.0%
# KYB Corp. 1,140,000 3,253,194 0.1%
# Kyoritsu Maintenance Co., Ltd. 70,831 4,859,533 0.2%
# Kyoto Kimono Yuzen Co., Ltd. 22,000 178,506 0.0%
LEC, Inc. 41,600 463,688 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Consumer Discretionary -- (Continued)
Look, Inc. 228,000 $ 342,727 0.0%
# Mamiya-Op Co., Ltd. 322,000 440,016 0.0%
# Mars Engineering Corp. 49,100 836,477 0.0%
#* Maruei Department Store Co., Ltd. 17,000 15,975 0.0%
#* Maruzen CHI Holdings Co., Ltd. 29,800 86,269 0.0%
# Matsuya Co., Ltd. 49,000 594,423 0.0%
Matsuya Foods Co., Ltd. 48,000 971,003 0.1%
Meiko Network Japan Co., Ltd. 126,400 1,500,650 0.1%
Meiwa Estate Co., Ltd. 56,900 247,668 0.0%
Mikuni Corp. 118,000 472,851 0.0%
# Misawa Homes Co., Ltd. 164,000 986,803 0.1%
Mitsuba Corp. 208,690 3,278,043 0.1%
Mitsui Home Co., Ltd. 165,000 792,603 0.0%
# Mizuno Corp. 582,000 2,857,098 0.1%
Monogatari Corp. (The) 25,700 1,092,570 0.1%
* Mr Max Corp. 119,000 368,923 0.0%
Murakami Corp. 11,000 202,564 0.0%
# Musashi Seimitsu Industry Co., Ltd. 129,900 2,636,611 0.1%
Nafco Co., Ltd. 33,300 482,503 0.0%
Nagawa Co., Ltd. 9,700 306,000 0.0%
#* Naigai Co., Ltd. 1,409,000 720,307 0.0%
Nakayamafuku Co., Ltd. 9,500 65,999 0.0%
# Next Co., Ltd. 282,000 2,093,223 0.1%
Nexyz Corp. 11,900 86,962 0.0%
Nice Holdings, Inc. 447,000 630,144 0.0%
Nifco, Inc. 287,200 11,071,328 0.4%
Nihon Eslead Corp. 33,900 321,179 0.0%
# Nihon House Holdings Co., Ltd. 229,200 922,368 0.0%
# Nihon Plast Co., Ltd. 39,000 259,932 0.0%
Nihon Tokushu Toryo Co., Ltd. 60,000 520,802 0.0%
Nippon Felt Co., Ltd. 58,200 241,603 0.0%
Nippon Piston Ring Co., Ltd. 48,600 804,647 0.0%
Nippon Seiki Co., Ltd. 218,400 4,576,783 0.2%
Nishikawa Rubber Co., Ltd. 15,000 229,919 0.0%
Nishimatsuya Chain Co., Ltd. 244,500 2,158,830 0.1%
Nissan Shatai Co., Ltd. 37,900 437,052 0.0%
Nissan Tokyo Sales Holdings Co., Ltd. 216,800 568,435 0.0%
# Nissei Build Kogyo Co., Ltd. 329,000 1,006,252 0.1%
#* Nissen Holdings Co., Ltd. 59,900 90,978 0.0%
# Nissin Kogyo Co., Ltd. 223,700 3,440,726 0.1%
# Nittan Valve Co., Ltd. 82,800 278,368 0.0%
# Nojima Corp. 120,500 1,424,201 0.1%
Ohashi Technica, Inc. 35,700 401,675 0.0%
# Ohsho Food Service Corp. 70,500 2,351,742 0.1%
Onward Holdings Co., Ltd. 736,000 4,622,535 0.2%
Ootoya Holdings Co., Ltd. 1,400 22,477 0.0%
# OPT Holding, Inc. 79,200 418,126 0.0%
# Otsuka Kagu, Ltd. 38,600 534,469 0.0%
Pacific Industrial Co., Ltd. 239,600 2,681,655 0.1%
Pal Co., Ltd. 69,600 1,555,919 0.1%
PALTAC Corp. 195,534 3,846,276 0.2%
PanaHome Corp. 496,200 3,531,021 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
Parco Co., Ltd. 114,700 $ 994,406 0.1%
Paris Miki Holdings, Inc. 151,200 576,111 0.0%
# PC Depot Corp. 12,300 89,897 0.0%
PIA Corp. 11,600 209,662 0.0%
Piolax, Inc. 56,700 2,999,959 0.1%
#* Pioneer Corp. 1,926,100 5,187,506 0.2%
# Plenus Co., Ltd. 133,800 2,069,061 0.1%
Press Kogyo Co., Ltd. 598,000 2,570,117 0.1%
# Pressance Corp. 39,600 1,584,055 0.1%
# Proto Corp. 63,000 817,403 0.0%
Renaissance, Inc. 58,600 613,711 0.0%
#* Renown, Inc. 336,200 387,846 0.0%
# Resort Solution Co., Ltd. 175,000 403,122 0.0%
# Rhythm Watch Co., Ltd. 578,000 812,657 0.0%
# Riberesute Corp. 17,900 112,682 0.0%
Right On Co., Ltd. 87,425 832,229 0.0%
Riken Corp. 522,000 1,964,349 0.1%
Ringer Hut Co., Ltd. 84,600 1,725,472 0.1%
#* Riso Kyoiku Co., Ltd. 77,400 175,841 0.0%
Round One Corp. 433,400 1,957,678 0.1%
# Royal Holdings Co., Ltd. 179,200 3,147,373 0.1%
# Sac's Bar Holdings, Inc. 101,450 1,609,802 0.1%
Saizeriya Co., Ltd. 189,400 4,293,014 0.2%
# Sakai Ovex Co., Ltd. 367,000 614,029 0.0%
San Holdings, Inc. 15,400 196,554 0.0%
Sanden Holdings Corp. 686,000 2,361,523 0.1%
Sanei Architecture Planning Co., Ltd. 52,200 573,530 0.0%
Sangetsu Co., Ltd. 346,050 5,520,496 0.2%
# Sanko Marketing Foods Co., Ltd. 27,800 216,793 0.0%
Sankyo Seiko Co., Ltd. 183,400 698,155 0.0%
Sanoh Industrial Co., Ltd. 136,500 864,702 0.0%
Sanyo Electric Railway Co., Ltd. 198,000 769,749 0.0%
Sanyo Housing Nagoya Co., Ltd. 37,500 374,352 0.0%
# Sanyo Shokai, Ltd. 669,000 1,951,182 0.1%
# Sato Restaurant Systems Co., Ltd. 85,100 612,352 0.0%
# Scroll Corp. 166,300 603,930 0.0%
# Seiko Holdings Corp. 1,031,407 6,719,538 0.3%
Seiren Co., Ltd. 292,400 3,440,356 0.1%
# Senshukai Co., Ltd. 182,900 1,220,293 0.1%
# Septeni Holdings Co., Ltd. 75,800 1,403,744 0.1%
Seria Co., Ltd. 118,300 5,030,418 0.2%
#* Sharp Corp. 598,000 655,455 0.0%
# Shidax Corp. 93,300 388,472 0.0%
Shikibo, Ltd. 779,000 791,375 0.0%
Shimachu Co., Ltd. 297,200 6,491,650 0.3%
Shimojima Co., Ltd. 25,900 225,001 0.0%
Shiroki Corp. 285,000 827,623 0.0%
# Shobunsha Publications, Inc. 265,800 1,608,225 0.1%
# Shochiku Co., Ltd. 109,000 962,832 0.1%
Shoei Co., Ltd. 9,600 165,800 0.0%
Showa Corp. 317,500 2,942,901 0.1%
SKY Perfect JSAT Holdings, Inc. 23,100 121,588 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Discretionary -- (Continued)
SNT Corp. 86,200 $ 413,974 0.0%
# Soft99 Corp. 68,600 453,033 0.0%
Sotoh Co., Ltd. 41,400 345,893 0.0%
SPK Corp. 19,800 367,918 0.0%
St Marc Holdings Co., Ltd. 97,600 2,901,333 0.1%
# Starts Corp., Inc. 162,200 2,543,278 0.1%
Step Co., Ltd. 40,700 337,974 0.0%
Studio Alice Co., Ltd. 61,300 1,150,071 0.1%
Suminoe Textile Co., Ltd. 332,000 949,681 0.0%
Sumitomo Forestry Co., Ltd. 281,266 3,364,111 0.1%
# Sumitomo Riko Co., Ltd. 231,500 1,871,345 0.1%
Suncall Corp. 27,000 141,354 0.0%
T RAD Co., Ltd. 412,000 683,540 0.0%
T-Gaia Corp. 178,300 2,718,436 0.1%
# Tachi-S Co., Ltd. 162,840 2,273,334 0.1%
Tachikawa Corp. 50,800 338,533 0.0%
Taiho Kogyo Co., Ltd. 98,200 1,133,308 0.1%
# Takamatsu Construction Group Co., Ltd. 80,000 1,659,689 0.1%
#* Takata Corp. 168,000 1,904,115 0.1%
Take And Give Needs Co., Ltd. 54,070 307,528 0.0%
Takihyo Co., Ltd. 76,000 288,420 0.0%
# Tama Home Co., Ltd. 95,900 357,024 0.0%
# Tamron Co., Ltd. 108,300 2,162,951 0.1%
# TASAKI & Co., Ltd. 20,400 345,190 0.0%
TBK Co., Ltd. 115,600 458,300 0.0%
* Ten Allied Co., Ltd. 15,500 49,872 0.0%
Tigers Polymer Corp. 50,600 304,956 0.0%
# Toa Corp. 138,500 1,399,621 0.1%
# Toabo Corp. 54,799 297,910 0.0%
# Toei Animation Co., Ltd. 20,700 890,967 0.0%
Toei Co., Ltd. 409,000 3,654,362 0.2%
Tohokushinsha Film Corp. 22,500 159,017 0.0%
Tokai Rika Co., Ltd. 140,800 3,044,476 0.1%
Token Corp. 46,650 3,701,516 0.2%
Tokyo Dome Corp. 1,194,200 5,544,330 0.2%
Tokyo Individualized Educational Institute, Inc. 82,100 398,558 0.0%
Tokyotokeiba Co., Ltd. 613,000 1,439,746 0.1%
# Tokyu Recreation Co., Ltd. 79,000 515,356 0.0%
# Tomy Co., Ltd. 374,293 1,885,759 0.1%
Topre Corp. 264,300 5,741,608 0.2%
Toridoll.corp 146,300 1,850,725 0.1%
Tosho Co., Ltd. 43,800 1,155,999 0.1%
Tow Co., Ltd. 26,700 178,591 0.0%
TPR Co., Ltd. 131,000 3,202,264 0.1%
TS Tech Co., Ltd. 164,500 4,511,505 0.2%
TSI Holdings Co., Ltd. 430,795 3,020,994 0.1%
# Tsukada Global Holdings, Inc. 109,400 700,975 0.0%
Tsukamoto Corp. Co., Ltd. 190,000 202,357 0.0%
# Tsutsumi Jewelry Co., Ltd. 47,200 938,113 0.0%
Tv Tokyo Holdings Corp. 33,700 597,800 0.0%
Tyo, Inc. 329,800 558,798 0.0%
# U-Shin, Ltd. 126,900 789,397 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
Umenohana Co., Ltd. 1,000 $ 21,067 0.0%
Unipres Corp. 230,700 5,243,006 0.2%
United Arrows, Ltd. 138,400 5,962,397 0.2%
* Unitika, Ltd. 3,247,000 1,632,363 0.1%
# Universal Entertainment Corp. 90,900 1,649,289 0.1%
#* Usen Corp. 750,180 1,997,332 0.1%
# Village Vanguard Co., Ltd. 32,100 472,664 0.0%
# VT Holdings Co., Ltd. 493,000 3,048,726 0.1%
Wacoal Holdings Corp. 675,000 8,470,224 0.3%
#* WATAMI Co., Ltd. 134,200 941,981 0.0%
# West Holdings Corp. 96,800 567,822 0.0%
Workman Co., Ltd. 900 55,465 0.0%
Wowow, Inc. 51,000 1,395,398 0.1%
Xebio Holdings Co., Ltd. 156,500 2,800,091 0.1%
Yachiyo Industry Co., Ltd. 21,400 192,891 0.0%
Yamato International, Inc. 8,200 28,025 0.0%
Yellow Hat, Ltd. 92,700 2,039,387 0.1%
# Yomiuri Land Co., Ltd. 247,000 851,326 0.0%
# Yondoshi Holdings, Inc. 111,420 2,358,805 0.1%
# Yonex Co., Ltd. 9,000 228,143 0.0%
Yorozu Corp. 110,100 2,352,993 0.1%
# Yoshinoya Holdings Co., Ltd. 323,100 3,980,854 0.2%
Yutaka Giken Co., Ltd. 3,100 64,154 0.0%
# Zenrin Co., Ltd. 156,300 2,276,482 0.1%
# Zensho Holdings Co., Ltd. 674,700 6,357,177 0.3%
# Zojirushi Corp. 188,000 2,677,245 0.1%
------------ ----
Total Consumer Discretionary 531,552,916 20.2%
------------ ----
Consumer Staples -- (8.4%)
Aderans Co., Ltd. 130,800 914,616 0.0%
# Aeon Hokkaido Corp. 324,100 1,460,908 0.1%
Ain Pharmaciez, Inc. 138,400 6,551,687 0.3%
Arcs Co., Ltd. 195,000 3,931,010 0.2%
Ariake Japan Co., Ltd. 86,100 3,905,338 0.2%
Artnature, Inc. 96,200 925,000 0.0%
Axial Retailing, Inc. 87,000 3,236,610 0.1%
Belc Co., Ltd. 59,100 2,205,235 0.1%
# C'BON Cosmetics Co., Ltd. 2,400 52,176 0.0%
Cawachi, Ltd. 88,000 1,522,953 0.1%
Chubu Shiryo Co., Ltd. 114,700 984,651 0.0%
Chuo Gyorui Co., Ltd. 93,000 207,045 0.0%
Coca-Cola West Co., Ltd. 268,200 5,423,645 0.2%
Cocokara fine, Inc. 105,760 4,181,021 0.2%
CREATE SD HOLDINGS Co., Ltd. 54,800 3,226,647 0.1%
Daikokutenbussan Co., Ltd. 35,800 1,229,806 0.0%
# Dr Ci:Labo Co., Ltd. 165,600 2,984,361 0.1%
Dydo Drinco, Inc. 42,700 1,823,637 0.1%
Earth Chemical Co., Ltd. 77,200 3,048,961 0.1%
Eco's Co., Ltd. 3,500 45,367 0.0%
# Fancl Corp. 181,700 2,546,247 0.1%
Feed One Co., Ltd. 812,440 955,720 0.0%
* First Baking Co., Ltd. 183,000 182,957 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Consumer Staples -- (Continued)
Fuji Oil Holdings, Inc. 358,400 $5,053,791 0.2%
Fujicco Co., Ltd. 120,600 2,410,181 0.1%
* Fujiya Co., Ltd. 26,000 42,381 0.0%
# Genky Stores, Inc. 23,600 810,443 0.0%
Hagoromo Foods Corp. 39,000 378,174 0.0%
* Hayashikane Sangyo Co., Ltd. 166,000 168,165 0.0%
Heiwado Co., Ltd. 182,000 4,083,017 0.2%
# Hokkaido Coca-Cola Bottling Co., Ltd. 87,000 444,679 0.0%
Hokuto Corp. 131,300 2,566,508 0.1%
# House Foods Group, Inc. 87,800 1,516,976 0.1%
Inageya Co., Ltd. 175,100 1,762,597 0.1%
# Ito En, Ltd. 54,800 1,144,688 0.0%
Itochu-Shokuhin Co., Ltd. 26,600 923,771 0.0%
# Itoham Foods, Inc. 858,800 4,387,318 0.2%
J-Oil Mills, Inc. 580,000 1,676,842 0.1%
# Kakiyasu Honten Co., Ltd. 27,100 430,521 0.0%
Kameda Seika Co., Ltd. 72,000 2,794,763 0.1%
Kaneko Seeds Co., Ltd. 2,200 22,179 0.0%
Kansai Super Market, Ltd. 18,300 123,026 0.0%
Kato Sangyo Co., Ltd. 117,200 2,852,408 0.1%
Kenko Mayonnaise Co., Ltd. 50,300 669,092 0.0%
KEY Coffee, Inc. 109,700 1,759,148 0.1%
Kirindo Holdings Co., Ltd. 29,300 340,202 0.0%
# Kobe Bussan Co., Ltd. 70,600 2,719,317 0.1%
# Kotobuki Spirits Co., Ltd. 30,400 1,060,546 0.0%
Kusuri No Aoki Co., Ltd. 97,600 4,648,515 0.2%
# Kyokuyo Co., Ltd. 576,000 1,247,646 0.1%
# Life Corp. 178,200 4,460,974 0.2%
Lion Corp. 133,000 1,282,160 0.1%
# Mandom Corp. 104,400 4,142,854 0.2%
# Marudai Food Co., Ltd. 632,000 2,343,159 0.1%
Maruha Nichiro Corp. 225,007 3,376,902 0.1%
# Maxvalu Nishinihon Co., Ltd. 5,600 77,590 0.0%
# Maxvalu Tokai Co., Ltd. 54,200 829,129 0.0%
Medical System Network Co., Ltd. 78,200 426,468 0.0%
Megmilk Snow Brand Co., Ltd. 258,500 5,371,654 0.2%
Meito Sangyo Co., Ltd. 52,200 569,152 0.0%
Milbon Co., Ltd. 70,076 2,615,616 0.1%
# Ministop Co., Ltd. 88,100 1,627,701 0.1%
Mitsubishi Shokuhin Co., Ltd. 85,300 2,169,712 0.1%
Mitsui Sugar Co., Ltd. 533,850 2,147,064 0.1%
Miyoshi Oil & Fat Co., Ltd. 379,000 424,965 0.0%
Morinaga & Co., Ltd. 1,134,000 5,774,688 0.2%
Morinaga Milk Industry Co., Ltd. 1,134,000 5,146,365 0.2%
Morozoff, Ltd. 154,000 527,146 0.0%
Nagatanien Holdings Co., Ltd. 131,000 1,152,457 0.0%
Nakamuraya Co., Ltd. 184,000 703,295 0.0%
Natori Co., Ltd. 28,800 374,639 0.0%
Nichimo Co., Ltd. 170,000 361,101 0.0%
Nichirei Corp. 1,501,000 9,763,287 0.4%
# Nihon Chouzai Co., Ltd. 30,960 1,350,258 0.1%
Niitaka Co., Ltd. 2,060 27,020 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
Nippon Beet Sugar Manufacturing Co., Ltd. 608,000 $ 950,250 0.0%
Nippon Flour Mills Co., Ltd. 709,000 4,406,399 0.2%
Nippon Suisan Kaisha, Ltd. 1,480,200 4,959,031 0.2%
Nisshin Oillio Group, Ltd. (The) 679,000 2,520,958 0.1%
Nissin Sugar Co., Ltd. 19,000 449,919 0.0%
Nitto Fuji Flour Milling Co., Ltd. 64,000 185,963 0.0%
Noevir Holdings Co., Ltd. 61,300 1,539,972 0.1%
Oenon Holdings, Inc. 307,000 563,874 0.0%
# OIE Sangyo Co., Ltd. 20,900 152,503 0.0%
Okuwa Co., Ltd. 117,000 978,710 0.0%
Olympic Group Corp. 63,100 309,829 0.0%
OUG Holdings, Inc. 29,000 59,437 0.0%
Prima Meat Packers, Ltd. 859,000 2,399,608 0.1%
Qol Co., Ltd. 52,600 622,066 0.0%
# Riken Vitamin Co., Ltd. 75,400 2,453,032 0.1%
Rock Field Co., Ltd. 58,800 1,434,711 0.1%
Rokko Butter Co., Ltd. 45,600 634,048 0.0%
# S Foods, Inc. 75,562 1,313,473 0.1%
S&B Foods, Inc. 499 20,062 0.0%
# Sakata Seed Corp. 182,600 3,865,535 0.1%
San-A Co., Ltd. 98,700 4,191,363 0.2%
Sapporo Holdings, Ltd. 1,981,000 8,164,430 0.3%
# Shoei Foods Corp. 45,700 494,928 0.0%
Showa Sangyo Co., Ltd. 514,000 1,932,572 0.1%
Sogo Medical Co., Ltd. 55,800 2,068,019 0.1%
ST Corp. 80,200 687,168 0.0%
Starzen Co., Ltd. 36,600 948,158 0.0%
Takara Holdings, Inc. 980,300 7,041,270 0.3%
# Tobu Store Co., Ltd. 190,000 477,536 0.0%
# Toho Co., Ltd/Kobe 42,400 783,000 0.0%
# Tohto Suisan Co., Ltd. 173,000 276,991 0.0%
Torigoe Co., Ltd. (The) 80,300 524,850 0.0%
Toyo Sugar Refining Co., Ltd. 157,000 149,104 0.0%
United Super Markets Holdings, Inc. 248,100 2,162,175 0.1%
# UNY Group Holdings Co., Ltd. 1,468,300 8,117,716 0.3%
Valor Holdings Co., Ltd. 212,100 4,946,237 0.2%
Warabeya Nichiyo Co., Ltd. 83,460 1,629,262 0.1%
# Welcia Holdings Co., Ltd. 70,300 3,464,752 0.1%
# Yaizu Suisankagaku Industry Co., Ltd. 46,100 376,125 0.0%
Yamatane Corp. 520,000 792,321 0.0%
# Yamaya Corp. 25,600 530,572 0.0%
Yaoko Co., Ltd. 102,800 4,140,530 0.2%
# Yokohama Reito Co., Ltd. 263,000 2,097,511 0.1%
Yomeishu Seizo Co., Ltd. 48,500 786,203 0.0%
# Yonekyu Corp. 28,100 515,237 0.0%
Yuasa Funashoku Co., Ltd. 121,000 335,065 0.0%
Yutaka Foods Corp. 6,000 94,403 0.0%
------------ ---
Total Consumer Staples 242,174,726 9.2%
------------ ---
Energy -- (0.9%)
# BP Castrol K.K. 64,600 678,069 0.0%
* Cosmo Energy Holdings Co., Ltd. 345,500 4,696,380 0.2%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Energy -- (Continued)
Fuji Kosan Co., Ltd. 33,100 $ 134,916 0.0%
# Fuji Oil Co., Ltd. 284,800 888,180 0.0%
Itochu Enex Co., Ltd. 302,200 2,420,460 0.1%
# Japan Drilling Co., Ltd. 34,800 757,500 0.0%
Japan Oil Transportation Co., Ltd. 84,000 167,338 0.0%
Mitsuuroko Group Holdings Co., Ltd. 184,800 892,396 0.0%
# Modec, Inc. 89,200 1,228,490 0.1%
Nippon Coke & Engineering Co., Ltd. 1,357,900 1,132,721 0.1%
# Nippon Gas Co., Ltd. 192,600 4,870,989 0.2%
Nippon Seiro Co., Ltd. 53,000 108,767 0.0%
# Sala Corp. 124,900 634,416 0.0%
San-Ai Oil Co., Ltd. 310,000 2,367,803 0.1%
# Shinko Plantech Co., Ltd. 237,200 1,906,392 0.1%
Sinanen Holdings Co., Ltd. 260,000 967,908 0.0%
# Toa Oil Co., Ltd. 415,000 520,796 0.0%
Toyo Kanetsu K.K. 624,000 1,008,682 0.0%
----------- ---
Total Energy 25,382,203 0.9%
----------- ---
Financials -- (11.0%)
Aichi Bank, Ltd. (The) 52,700 2,932,321 0.1%
Airport Facilities Co., Ltd. 132,770 602,778 0.0%
# Aizawa Securities Co., Ltd. 154,900 929,923 0.0%
Akita Bank, Ltd. (The) 1,112,400 3,648,674 0.1%
Anabuki Kosan, Inc. 22,000 44,723 0.0%
Aomori Bank, Ltd. (The) 1,186,000 3,863,870 0.2%
# Ardepro Co., Ltd. 165,700 142,095 0.0%
Asax Co., Ltd. 1,700 22,490 0.0%
Ashikaga Holdings Co., Ltd. 87,100 390,891 0.0%
Awa Bank, Ltd. (The) 1,173,000 6,505,151 0.3%
Bank of Iwate, Ltd. (The) 102,100 4,533,704 0.2%
Bank of Kochi, Ltd. (The) 279,000 349,982 0.0%
# Bank of Nagoya, Ltd. (The) 1,007,297 3,732,485 0.1%
Bank of Okinawa, Ltd. (The) 110,800 4,348,181 0.2%
Bank of Saga, Ltd. (The) 802,000 1,819,332 0.1%
Bank of the Ryukyus, Ltd. 227,380 3,246,538 0.1%
Chiba Kogyo Bank, Ltd. (The) 236,900 1,385,751 0.1%
Chukyo Bank, Ltd. (The) 682,000 1,418,736 0.1%
Daibiru Corp. 303,600 2,582,036 0.1%
Daiichi Commodities Co., Ltd. 13,700 46,695 0.0%
Daikyo, Inc. 1,904,000 3,291,296 0.1%
Daisan Bank, Ltd. (The) 855,000 1,270,525 0.1%
Daishi Bank, Ltd. (The) 2,003,000 9,051,406 0.3%
Daito Bank, Ltd. (The) 873,000 1,391,540 0.1%
Dream Incubator, Inc. 8,000 128,226 0.0%
DSB Co, Ltd. 55,800 530,310 0.0%
eGuarantee, Inc. 9,200 189,456 0.0%
# Ehime Bank, Ltd. (The) 938,000 1,935,809 0.1%
Eighteenth Bank, Ltd. (The) 1,068,000 3,240,886 0.1%
FIDEA Holdings Co., Ltd. 874,800 1,894,140 0.1%
# Financial Products Group Co., Ltd. 403,200 3,168,576 0.1%
Fukui Bank, Ltd. (The) 1,301,000 2,727,120 0.1%
Fukushima Bank, Ltd. (The) 1,421,000 1,126,890 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Financials -- (Continued)
Fuyo General Lease Co., Ltd. 81,700 $ 3,662,822 0.1%
# GCA Savvian Corp. 89,900 1,055,547 0.0%
Goldcrest Co., Ltd. 101,790 1,904,540 0.1%
Grandy House Corp. 14,200 49,305 0.0%
Heiwa Real Estate Co., Ltd. 248,700 2,996,326 0.1%
Higashi-Nippon Bank, Ltd. (The) 869,000 2,935,659 0.1%
Hokkoku Bank, Ltd. (The) 1,742,000 6,471,933 0.2%
Hokuetsu Bank, Ltd. (The) 1,300,000 2,711,674 0.1%
Hyakugo Bank, Ltd. (The) 1,491,609 7,630,038 0.3%
Hyakujushi Bank, Ltd. (The) 1,509,000 5,673,937 0.2%
IBJ Leasing Co., Ltd. 64,200 1,355,605 0.1%
# Ichiyoshi Securities Co., Ltd. 227,800 2,095,987 0.1%
IwaiCosmo Holdings, Inc. 118,200 1,314,716 0.1%
# Japan Property Management Center Co., Ltd. 12,100 122,390 0.0%
Jimoto Holdings, Inc. 508,400 872,645 0.0%
Juroku Bank, Ltd. (The) 2,002,000 8,930,735 0.3%
kabu.com Securities Co., Ltd. 1,026,600 3,378,042 0.1%
# Kabuki-Za Co., Ltd. 36,000 1,494,082 0.1%
# Kansai Urban Banking Corp. 149,200 1,711,278 0.1%
Keihanshin Building Co., Ltd. 195,400 1,081,073 0.0%
Keiyo Bank, Ltd. (The) 1,418,000 7,124,460 0.3%
# Kenedix, Inc. 1,201,100 4,336,670 0.2%
Kita-Nippon Bank, Ltd. (The) 49,506 1,360,549 0.1%
Kiyo Bank, Ltd. (The) 371,490 5,649,647 0.2%
Kyokuto Securities Co., Ltd. 125,600 1,618,861 0.1%
#* Kyushu Financial Group, Inc. 2,191,820 16,855,962 0.6%
# Land Business Co., Ltd. 59,500 178,613 0.0%
* Leopalace21 Corp. 1,960,700 10,446,456 0.4%
* LIFENET INSURANCE CO. 35,700 114,662 0.0%
Marusan Securities Co., Ltd. 177,000 1,716,902 0.1%
# Michinoku Bank, Ltd. (The) 840,000 1,451,817 0.1%
Mie Bank, Ltd. (The) 523,000 1,126,940 0.0%
Minato Bank, Ltd. (The) 1,084,000 1,832,461 0.1%
Mito Securities Co., Ltd. 338,500 1,105,606 0.0%
Miyazaki Bank, Ltd. (The) 931,000 3,253,695 0.1%
Monex Group, Inc. 1,054,800 2,965,062 0.1%
Money Partners Group Co., Ltd. 33,400 118,337 0.0%
Musashino Bank, Ltd. (The) 198,700 7,559,611 0.3%
# Nagano Bank, Ltd. (The) 512,000 854,723 0.0%
Nanto Bank, Ltd. (The) 1,170,000 3,711,507 0.1%
New Real Property K.K. 43,900 -- 0.0%
Nishi-Nippon City Bank, Ltd. (The) 106,000 309,748 0.0%
Nisshin Fudosan Co. 186,100 642,922 0.0%
North Pacific Bank, Ltd. 2,025,300 7,763,381 0.3%
# OAK Capital Corp. 55,400 111,630 0.0%
Ogaki Kyoritsu Bank, Ltd. (The) 1,955,000 7,617,921 0.3%
# Oita Bank, Ltd. (The) 1,014,900 4,276,839 0.2%
Okasan Securities Group, Inc. 127,000 746,459 0.0%
Open House Co., Ltd. 121,700 2,220,091 0.1%
# Pocket Card Co., Ltd. 11,200 54,260 0.0%
Raysum Co., Ltd. 37,800 377,180 0.0%
Relo Holdings, Inc. 62,900 6,763,305 0.3%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
Ricoh Leasing Co., Ltd. 101,700 $ 3,080,885 0.1%
# SAMTY Co., Ltd. 76,900 782,102 0.0%
San-In Godo Bank, Ltd. (The) 957,000 8,843,998 0.3%
Sankyo Frontier Co., Ltd. 10,000 76,577 0.0%
# Sawada Holdings Co., Ltd. 142,000 1,422,290 0.1%
Senshu Ikeda Holdings, Inc. 1,365,700 5,881,837 0.2%
# Shiga Bank, Ltd. (The) 1,328,000 7,097,991 0.3%
Shikoku Bank, Ltd. (The) 1,210,000 2,629,613 0.1%
Shimane Bank, Ltd. (The) 16,600 196,543 0.0%
Shimizu Bank, Ltd. (The) 48,000 1,187,194 0.0%
Shinoken Group Co., Ltd. 18,200 268,243 0.0%
# Sparx Group Co., Ltd. 564,000 1,514,690 0.1%
Star Mica Co., Ltd. 4,200 47,750 0.0%
Sumitomo Real Estate Sales Co., Ltd. 106,460 2,452,588 0.1%
Sun Frontier Fudousan Co., Ltd. 138,500 1,117,912 0.0%
Taiko Bank, Ltd. (The) 207,000 403,070 0.0%
# Takagi Securities Co., Ltd. 224,000 393,658 0.0%
Takara Leben Co., Ltd. 541,300 2,814,158 0.1%
TOC Co., Ltd. 366,450 2,686,652 0.1%
Tochigi Bank, Ltd. (The) 724,000 4,135,654 0.2%
Toho Bank, Ltd. (The) 1,313,200 4,836,481 0.2%
Tohoku Bank, Ltd. (The) 588,000 748,506 0.0%
Tokai Tokyo Financial Holdings, Inc. 397,800 2,420,220 0.1%
Tokyo Rakutenchi Co., Ltd. 212,000 871,921 0.0%
# Tokyo Theatres Co., Inc. 468,000 518,241 0.0%
Tokyo TY Financial Group, Inc. 150,338 4,708,985 0.2%
Tomato Bank, Ltd. 484,000 679,981 0.0%
TOMONY Holdings, Inc. 913,950 3,544,213 0.1%
Tosei Corp. 201,700 1,248,826 0.1%
Tottori Bank, Ltd. (The) 353,000 621,317 0.0%
Towa Bank, Ltd. (The) 2,036,000 1,781,465 0.1%
Toyo Securities Co., Ltd. 419,000 1,352,279 0.1%
Tsukuba Bank, Ltd. 495,100 1,741,481 0.1%
# Unizo Holdings Co., Ltd. 69,100 2,933,392 0.1%
# Yamagata Bank, Ltd. (The) 854,500 3,321,164 0.1%
Yamanashi Chuo Bank, Ltd. (The) 976,000 4,574,880 0.2%
------------ ----
Total Financials 317,143,904 12.0%
------------ ----
Health Care -- (4.4%)
As One Corp. 86,768 3,079,976 0.1%
Asahi Intecc Co., Ltd. 246,000 9,502,389 0.4%
ASKA Pharmaceutical Co., Ltd. 131,300 1,573,816 0.1%
Biofermin Pharmaceutical Co., Ltd. 10,500 305,510 0.0%
BML, Inc. 68,300 2,011,367 0.1%
# CMIC Holdings Co., Ltd. 70,000 872,592 0.0%
Create Medic Co., Ltd. 28,000 219,317 0.0%
# Daiken Medical Co., Ltd. 88,900 756,917 0.0%
Daito Pharmaceutical Co., Ltd. 65,780 1,575,490 0.1%
Eiken Chemical Co., Ltd. 73,500 1,287,610 0.0%
EPS Holdings, Inc. 164,600 1,612,547 0.1%
FALCO HOLDINGS Co., Ltd. 44,000 541,806 0.0%
# FINDEX, Inc. 88,500 588,272 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
Health Care -- (Continued)
Fuji Pharma Co., Ltd. 41,500 $ 724,171 0.0%
Fuso Pharmaceutical Industries, Ltd. 415,000 962,738 0.0%
# Hogy Medical Co., Ltd. 71,000 3,408,245 0.1%
Iwaki & Co., Ltd. 154,000 282,471 0.0%
# Japan Medical Dynamic Marketing, Inc. 108,100 571,276 0.0%
Jeol, Ltd. 483,000 2,916,073 0.1%
# JMS Co., Ltd. 157,000 375,064 0.0%
Kawasumi Laboratories, Inc. 69,100 492,363 0.0%
Kissei Pharmaceutical Co., Ltd. 59,100 1,520,332 0.1%
KYORIN Holdings, Inc. 306,900 5,159,252 0.2%
Mani, Inc. 100,200 1,826,155 0.1%
# Message Co., Ltd. 84,600 2,085,197 0.1%
Mochida Pharmaceutical Co., Ltd. 76,699 4,528,755 0.2%
# Nagaileben Co., Ltd. 51,200 872,696 0.0%
Nakanishi, Inc. 115,300 3,931,318 0.2%
ND Software Co., Ltd. 5,200 60,024 0.0%
Nichi-iko Pharmaceutical Co., Ltd. 264,250 7,334,079 0.3%
# Nichii Gakkan Co. 284,300 1,962,724 0.1%
# Nihon Kohden Corp. 138,800 2,702,125 0.1%
# Nikkiso Co., Ltd. 361,500 2,917,782 0.1%
Nippon Chemiphar Co., Ltd. 175,000 855,559 0.0%
Nipro Corp. 702,100 7,870,821 0.3%
Nissui Pharmaceutical Co., Ltd. 67,400 739,444 0.0%
Paramount Bed Holdings Co., Ltd. 114,200 3,662,981 0.1%
Rion Co., Ltd. 42,300 646,067 0.0%
Rohto Pharmaceutical Co., Ltd. 499,200 8,236,034 0.3%
Seed Co., Ltd. 8,200 85,789 0.0%
Ship Healthcare Holdings, Inc. 279,700 6,775,233 0.3%
# Shofu, Inc. 35,700 462,740 0.0%
Software Service, Inc. 17,400 655,857 0.0%
# Taiko Pharmaceutical Co., Ltd. 64,600 1,014,645 0.0%
Techno Medica Co., Ltd. 25,700 586,809 0.0%
# Toho Holdings Co., Ltd. 321,000 7,116,998 0.3%
Tokai Corp. 54,500 1,746,213 0.1%
Torii Pharmaceutical Co., Ltd. 65,500 1,580,602 0.1%
Towa Pharmaceutical Co., Ltd. 59,100 4,019,058 0.2%
Tsukui Corp. 180,900 1,942,779 0.1%
# Tsumura & Co. 348,700 8,402,296 0.3%
Uchiyama Holdings Co., Ltd. 24,200 93,591 0.0%
Vital KSK Holdings, Inc. 193,400 1,406,296 0.1%
Wakamoto Pharmaceutical Co., Ltd. 107,000 252,677 0.0%
WIN-Partners Co., Ltd. 4,900 69,022 0.0%
ZERIA Pharmaceutical Co., Ltd. 100,699 1,499,949 0.1%
------------ ---
Total Health Care 128,281,909 4.9%
------------ ---
Industrials -- (25.9%)
#* A&A Material Corp. 127,000 99,279 0.0%
Advan Co., Ltd. 170,000 1,572,942 0.1%
Advanex, Inc. 23,699 344,118 0.0%
Aeon Delight Co., Ltd. 107,400 3,094,006 0.1%
Aica Kogyo Co., Ltd. 314,300 6,225,605 0.2%
Aichi Corp. 171,500 1,087,893 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Aida Engineering, Ltd. 317,900 $ 3,029,573 0.1%
AIT Corp. 10,000 93,749 0.0%
Alinco, Inc. 62,600 592,845 0.0%
Alps Logistics Co., Ltd. 49,300 583,015 0.0%
Altech Corp. 44,750 813,165 0.0%
# Anest Iwata Corp. 168,200 1,188,100 0.1%
#* Arrk Corp. 422,400 425,089 0.0%
Asahi Diamond Industrial Co., Ltd. 328,200 3,463,070 0.1%
Asahi Kogyosha Co., Ltd. 122,000 463,456 0.0%
# Asanuma Corp. 487,000 1,219,968 0.1%
#* Asia Growth Capital, Ltd. 389,900 496,286 0.0%
Asunaro Aoki Construction Co., Ltd. 145,500 1,075,788 0.0%
Bando Chemical Industries, Ltd. 462,000 1,939,803 0.1%
# Benefit One, Inc. 96,900 1,696,265 0.1%
Bunka Shutter Co., Ltd. 309,000 2,398,823 0.1%
Canare Electric Co., Ltd. 2,300 37,893 0.0%
# Career Design Center Co., Ltd. 28,800 285,406 0.0%
Central Glass Co., Ltd. 1,214,000 5,992,311 0.2%
Central Security Patrols Co., Ltd. 40,700 535,118 0.0%
* Chilled & Frozen Logistics Holdings Co, Ltd. 22,000 160,255 0.0%
Chiyoda Integre Co., Ltd. 73,700 1,779,444 0.1%
Chudenko Corp. 110,500 2,387,602 0.1%
Chugai Ro Co., Ltd. 373,000 705,372 0.0%
CKD Corp. 341,900 3,108,800 0.1%
COMSYS Holdings Corp. 154,600 2,019,313 0.1%
# Cosel Co., Ltd. 114,400 1,118,025 0.1%
CTI Engineering Co., Ltd. 72,300 715,155 0.0%
Dai-Dan Co., Ltd. 155,000 1,099,712 0.0%
Daido Kogyo Co., Ltd. 200,000 379,292 0.0%
Daifuku Co., Ltd. 579,400 8,575,019 0.3%
Daihatsu Diesel Manufacturing Co., Ltd. 84,000 545,807 0.0%
Daihen Corp. 620,000 3,083,022 0.1%
# Daiho Corp. 405,000 1,783,879 0.1%
# Daiichi Jitsugyo Co., Ltd. 251,000 1,070,906 0.0%
Daiseki Co., Ltd. 209,463 3,360,718 0.1%
Daiseki Eco. Solution Co., Ltd. 14,400 158,029 0.0%
# Daisue Construction Co., Ltd. 33,700 233,471 0.0%
Daiwa Industries, Ltd. 173,000 1,144,511 0.1%
#* Danto Holdings Corp. 165,000 272,665 0.0%
Denyo Co., Ltd. 85,300 1,383,334 0.1%
# Dijet Industrial Co., Ltd. 75,000 112,048 0.0%
DMW Corp. 4,800 72,922 0.0%
# Duskin Co., Ltd. 222,400 3,816,963 0.2%
# Ebara Corp. 307,000 1,330,089 0.1%
# Ebara Jitsugyo Co., Ltd. 40,200 494,485 0.0%
Eidai Co., Ltd. 115,000 406,537 0.0%
en-japan, Inc. 62,400 1,664,101 0.1%
Endo Lighting Corp. 60,200 612,743 0.0%
#* Enshu, Ltd. 281,000 213,002 0.0%
Freund Corp. 9,900 120,553 0.0%
# Fudo Tetra Corp. 1,040,800 1,333,217 0.1%
Fujikura, Ltd. 1,984,000 10,197,595 0.4%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
#* Fujisash Co., Ltd. 436,500 $ 416,335 0.0%
Fujitec Co., Ltd. 436,800 4,713,312 0.2%
Fukuda Corp. 441,000 4,406,616 0.2%
Fukushima Industries Corp. 78,100 1,695,761 0.1%
# Fukuyama Transporting Co., Ltd. 791,400 4,297,826 0.2%
FULLCAST Holdings Co., Ltd. 73,900 480,118 0.0%
Funai Soken Holdings, Inc. 117,300 1,799,559 0.1%
Furukawa Co., Ltd. 1,665,000 3,937,122 0.2%
Furukawa Electric Co., Ltd. 4,806,000 8,795,085 0.3%
Furusato Industries, Ltd. 52,000 766,727 0.0%
# Futaba Corp. 125,100 1,615,168 0.1%
Gecoss Corp. 109,200 941,361 0.0%
Glory, Ltd. 268,900 6,802,988 0.3%
GS Yuasa Corp. 1,133,000 4,307,362 0.2%
Hamakyorex Co., Ltd. 84,400 1,704,167 0.1%
Hanwa Co., Ltd. 1,221,000 5,049,217 0.2%
# Harmonic Drive Systems, Inc. 150,100 2,543,285 0.1%
Hazama Ando Corp. 1,082,400 6,381,774 0.3%
Hibiya Engineering, Ltd. 120,800 1,566,160 0.1%
Hirakawa Hewtech Corp. 900 9,936 0.0%
# Hisaka Works, Ltd. 100,200 768,781 0.0%
# Hitachi Koki Co., Ltd. 311,600 2,270,054 0.1%
Hitachi Transport System, Ltd. 278,000 4,894,007 0.2%
Hitachi Zosen Corp. 991,379 5,418,452 0.2%
Hito Communications, Inc. 1,300 28,397 0.0%
Hokuetsu Industries Co., Ltd. 105,900 742,656 0.0%
# Hokuriku Electrical Construction Co., Ltd. 23,000 198,826 0.0%
Hosokawa Micron Corp. 176,000 875,542 0.0%
Howa Machinery, Ltd. 72,100 411,701 0.0%
# Ichiken Co., Ltd. 143,000 518,690 0.0%
ICHINEN HOLDINGS Co., Ltd. 114,200 984,457 0.0%
Idec Corp. 158,800 1,329,212 0.1%
# Iino Kaiun Kaisha, Ltd. 521,100 2,356,332 0.1%
Inaba Denki Sangyo Co., Ltd. 138,700 4,327,857 0.2%
# Inaba Seisakusho Co., Ltd. 49,700 531,603 0.0%
# Inabata & Co., Ltd. 308,400 3,572,225 0.1%
# Inui Global Logistics Co., Ltd. 71,880 583,600 0.0%
# Iseki & Co., Ltd. 1,110,000 1,828,504 0.1%
Ishii Iron Works Co., Ltd. 110,000 181,409 0.0%
Itoki Corp. 213,800 1,563,040 0.1%
Iwasaki Electric Co., Ltd. 372,000 757,075 0.0%
# Iwatani Corp. 1,087,000 6,017,978 0.2%
JAC Recruitment Co., Ltd. 7,400 50,859 0.0%
# Jalux, Inc. 33,200 671,529 0.0%
# Jamco Corp. 77,700 3,259,280 0.1%
Japan Foundation Engineering Co., Ltd. 119,500 517,879 0.0%
Japan Pulp & Paper Co., Ltd. 465,000 1,283,721 0.1%
Japan Steel Works, Ltd. (The) 1,992,000 7,413,614 0.3%
Japan Transcity Corp. 242,000 872,764 0.0%
JK Holdings Co., Ltd. 89,940 379,362 0.0%
# Juki Corp. 183,600 2,268,222 0.1%
Kamei Corp. 148,700 1,479,505 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Kanaden Corp. 113,000 $ 891,364 0.0%
Kanagawa Chuo Kotsu Co., Ltd. 190,000 1,111,521 0.0%
# Kanamoto Co., Ltd. 171,600 3,467,509 0.1%
Kandenko Co., Ltd. 626,000 4,423,474 0.2%
Kanematsu Corp. 2,395,625 3,955,740 0.2%
# Katakura Industries Co., Ltd. 136,100 1,503,467 0.1%
# Kato Works Co., Ltd. 309,000 1,325,683 0.1%
# KAWADA TECHNOLOGIES, Inc. 58,900 2,086,766 0.1%
Kawasaki Kinkai Kisen Kaisha, Ltd. 96,000 284,995 0.0%
Kawasaki Kisen Kaisha, Ltd. 1,451,000 3,257,659 0.1%
Keihin Co., Ltd. 249,000 389,451 0.0%
* KI Holdings Co., Ltd. 88,000 313,339 0.0%
Kimura Chemical Plants Co., Ltd. 39,900 170,509 0.0%
King Jim Co., Ltd. 13,000 90,211 0.0%
#* Kinki Sharyo Co., Ltd. (The) 153,000 481,968 0.0%
# Kintetsu World Express, Inc. 155,600 2,923,710 0.1%
Kitagawa Iron Works Co., Ltd. 496,000 1,284,587 0.1%
Kitano Construction Corp. 259,000 684,312 0.0%
# Kito Corp. 103,600 818,134 0.0%
# Kitz Corp. 543,500 2,501,546 0.1%
* Kobe Electric Railway Co., Ltd. 29,000 85,669 0.0%
# Kobelco Eco-Solutions Co., Ltd. 97,000 426,362 0.0%
Koike Sanso Kogyo Co., Ltd. 145,000 408,605 0.0%
# Kokusai Co., Ltd. 40,400 498,157 0.0%
Kokuyo Co., Ltd. 527,825 5,888,751 0.2%
# KOMAIHALTEC, Inc. 227,000 419,764 0.0%
Komatsu Wall Industry Co., Ltd. 40,000 666,236 0.0%
Komori Corp. 348,700 4,125,506 0.2%
Kondotec, Inc. 124,000 796,378 0.0%
Konoike Transport Co., Ltd. 70,600 874,705 0.0%
# Kosaido Co., Ltd. 257,200 825,415 0.0%
KRS Corp. 36,200 773,941 0.0%
Kumagai Gumi Co., Ltd. 1,756,000 5,261,162 0.2%
# Kuroda Electric Co., Ltd. 219,100 4,438,173 0.2%
Kyodo Printing Co., Ltd. 525,000 1,456,375 0.1%
Kyokuto Boeki Kaisha, Ltd. 58,000 121,901 0.0%
Kyokuto Kaihatsu Kogyo Co., Ltd. 204,200 2,160,968 0.1%
Kyoritsu Printing Co., Ltd. 105,300 270,558 0.0%
Kyowa Exeo Corp. 481,800 5,028,109 0.2%
# Kyudenko Corp. 219,000 4,514,182 0.2%
# Link And Motivation, Inc. 251,400 275,785 0.0%
# Lonseal Corp. 116,000 151,152 0.0%
# Maeda Corp. 821,000 5,961,732 0.2%
# Maeda Kosen Co., Ltd. 102,300 779,706 0.0%
Maeda Road Construction Co., Ltd. 387,000 7,034,679 0.3%
Maezawa Industries, Inc. 35,700 120,023 0.0%
Maezawa Kasei Industries Co., Ltd. 45,600 396,959 0.0%
Maezawa Kyuso Industries Co., Ltd. 48,200 615,332 0.0%
Makino Milling Machine Co., Ltd. 655,000 5,073,282 0.2%
Marubeni Construction Material Lease Co., Ltd. 75,000 141,664 0.0%
# Marufuji Sheet Piling Co., Ltd. 58,000 137,185 0.0%
Maruka Machinery Co., Ltd. 32,200 471,186 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Maruyama Manufacturing Co., Inc. 230,000 $ 376,093 0.0%
Maruzen Co., Ltd.-General Commercial Kitchen Appliances &
Equipment 46,000 381,088 0.0%
Maruzen Showa Unyu Co., Ltd. 300,000 1,088,092 0.0%
Matsuda Sangyo Co., Ltd. 81,082 950,630 0.0%
Matsui Construction Co., Ltd. 124,600 700,687 0.0%
# Max Co., Ltd. 191,000 1,931,830 0.1%
Meidensha Corp. 1,171,050 4,118,904 0.2%
# Meiji Shipping Co., Ltd. 111,000 496,970 0.0%
# Meisei Industrial Co., Ltd. 251,000 1,177,583 0.1%
Meitec Corp. 181,300 6,584,393 0.3%
# Meiwa Corp. 161,700 586,689 0.0%
Mesco, Inc. 22,000 162,676 0.0%
Mirait Holdings Corp. 380,085 3,293,537 0.1%
Mitani Corp. 68,200 1,689,438 0.1%
Mitsubishi Kakoki Kaisha, Ltd. 49,000 121,740 0.0%
# Mitsubishi Logistics Corp. 26,000 373,149 0.0%
Mitsubishi Nichiyu Forklift Co., Ltd. 159,600 677,125 0.0%
Mitsubishi Pencil Co., Ltd. 95,800 4,289,499 0.2%
Mitsuboshi Belting, Ltd. 328,000 2,726,699 0.1%
Mitsui Engineering & Shipbuilding Co., Ltd. 5,109,000 7,865,398 0.3%
Mitsui Matsushima Co., Ltd. 847,000 830,134 0.0%
Mitsui-Soko Holdings Co., Ltd. 626,000 2,019,779 0.1%
Mitsumura Printing Co., Ltd. 93,000 192,361 0.0%
# Miura Co., Ltd. 247,700 2,955,560 0.1%
# Miyaji Engineering Group, Inc. 377,175 682,912 0.0%
# Morita Holdings Corp. 232,300 2,478,848 0.1%
# NAC Co., Ltd. 58,900 403,963 0.0%
# Nachi-Fujikoshi Corp. 1,025,000 4,601,444 0.2%
Nagase & Co., Ltd. 374,900 4,649,330 0.2%
Nakabayashi Co., Ltd. 211,000 540,129 0.0%
Nakano Corp. 14,800 90,868 0.0%
# Namura Shipbuilding Co., Ltd. 217,228 1,899,708 0.1%
Narasaki Sangyo Co., Ltd. 103,000 228,481 0.0%
NDS Co., Ltd. 241,000 595,391 0.0%
# NEC Capital Solutions, Ltd. 43,800 631,841 0.0%
Nichias Corp. 581,000 3,661,849 0.1%
Nichiban Co., Ltd. 119,000 567,706 0.0%
Nichiden Corp. 22,600 547,736 0.0%
Nichiha Corp. 143,680 1,937,657 0.1%
Nichireki Co., Ltd. 148,000 1,174,122 0.1%
# Nihon Flush Co., Ltd. 2,500 28,262 0.0%
Nihon M&A Center, Inc. 198,100 8,171,293 0.3%
# Nihon Trim Co., Ltd. 18,200 678,685 0.0%
Nikkato Corp. 700 2,350 0.0%
Nikko Co., Ltd. 155,000 508,576 0.0%
Nikkon Holdings Co., Ltd. 356,800 6,892,752 0.3%
Nippo Corp. 142,000 2,474,473 0.1%
Nippon Air Conditioning Services Co., Ltd. 14,900 148,515 0.0%
Nippon Carbon Co., Ltd. 648,000 1,812,637 0.1%
Nippon Densetsu Kogyo Co., Ltd. 230,300 4,364,735 0.2%
Nippon Filcon Co., Ltd. 70,900 312,861 0.0%
Nippon Hume Corp. 129,400 820,711 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Nippon Kanzai Co., Ltd. 84,800 $ 1,305,619 0.1%
Nippon Koei Co., Ltd. 390,000 1,569,674 0.1%
# Nippon Parking Development Co., Ltd. 1,197,800 1,372,154 0.1%
Nippon Rietec Co., Ltd. 7,000 49,966 0.0%
Nippon Road Co., Ltd. (The) 384,000 2,086,378 0.1%
Nippon Seisen Co., Ltd. 100,000 440,970 0.0%
#* Nippon Sharyo, Ltd. 422,000 1,011,218 0.0%
#* Nippon Sheet Glass Co., Ltd. 6,156,000 5,284,161 0.2%
Nippon Steel & Sumikin Bussan Corp. 955,599 3,322,893 0.1%
Nippon Thompson Co., Ltd. 410,000 1,944,895 0.1%
Nippon Tungsten Co., Ltd. 62,000 100,222 0.0%
Nishi-Nippon Railroad Co., Ltd. 1,852,000 9,576,171 0.4%
Nishimatsu Construction Co., Ltd. 1,803,000 7,157,647 0.3%
Nishio Rent All Co., Ltd. 92,500 2,152,842 0.1%
# Nissei ASB Machine Co., Ltd. 46,700 953,994 0.0%
Nissei Corp. 37,900 305,378 0.0%
Nissei Plastic Industrial Co., Ltd. 197,500 1,668,872 0.1%
Nissha Printing Co., Ltd. 157,500 3,425,090 0.1%
Nisshinbo Holdings, Inc. 903,000 12,263,296 0.5%
Nissin Corp. 399,000 1,165,876 0.1%
Nissin Electric Co., Ltd. 279,000 1,863,275 0.1%
Nitta Corp. 101,900 2,775,857 0.1%
Nitto Boseki Co., Ltd. 898,000 2,704,708 0.1%
# Nitto Kogyo Corp. 159,700 3,082,023 0.1%
# Nitto Kohki Co., Ltd. 68,500 1,452,629 0.1%
Nitto Seiko Co., Ltd. 149,000 389,065 0.0%
# Nittoc Construction Co., Ltd. 96,800 430,837 0.0%
# Nittoku Engineering Co., Ltd. 80,900 740,526 0.0%
NJS Co., Ltd. 30,200 365,347 0.0%
Noda Corp. 153,600 444,450 0.0%
Nomura Co., Ltd. 216,500 2,925,684 0.1%
# Noritake Co., Ltd/Nagoya Japan 642,000 1,482,519 0.1%
Noritz Corp. 192,500 3,008,922 0.1%
# NS United Kaiun Kaisha, Ltd. 599,000 1,201,204 0.1%
# Obara Group, Inc. 77,700 3,251,125 0.1%
# Obayashi Road Corp. 170,000 1,198,825 0.1%
# Odelic Co., Ltd. 17,900 483,538 0.0%
Oiles Corp. 165,050 2,624,018 0.1%
Okabe Co., Ltd. 242,100 1,928,105 0.1%
Okamoto Machine Tool Works, Ltd. 205,000 257,922 0.0%
Okamura Corp. 381,900 3,543,347 0.1%
# OKK Corp. 425,000 507,167 0.0%
OKUMA Corp. 722,000 5,789,287 0.2%
Okumura Corp. 999,400 5,289,243 0.2%
Onoken Co., Ltd. 87,300 765,856 0.0%
Organo Corp. 228,000 935,926 0.0%
# OSG Corp. 444,300 8,357,354 0.3%
# Outsourcing, Inc. 54,600 992,803 0.0%
Oyo Corp. 93,700 1,201,566 0.1%
# Pasco Corp. 124,000 332,429 0.0%
# Pasona Group, Inc. 126,800 965,973 0.0%
Penta-Ocean Construction Co., Ltd. 1,684,400 7,649,195 0.3%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
Pilot Corp. 188,800 $7,993,821 0.3%
Prestige International, Inc. 109,700 1,072,339 0.0%
Pronexus, Inc. 129,400 953,740 0.0%
# PS Mitsubishi Construction Co., Ltd. 137,300 458,393 0.0%
Quick Co., Ltd. 5,900 42,200 0.0%
Raito Kogyo Co., Ltd. 300,900 2,877,641 0.1%
Rheon Automatic Machinery Co., Ltd. 95,000 457,050 0.0%
Ryobi, Ltd. 779,200 2,872,874 0.1%
Sakai Heavy Industries, Ltd. 237,000 465,932 0.0%
# Sakai Moving Service Co., Ltd. 22,800 1,139,274 0.1%
Sanki Engineering Co., Ltd. 297,600 2,457,433 0.1%
Sanko Metal Industrial Co., Ltd. 136,000 304,230 0.0%
# Sankyo Tateyama, Inc. 166,200 2,313,512 0.1%
Sankyu, Inc. 1,540,000 8,675,182 0.3%
Sanoyas Holdings Corp. 40,600 88,767 0.0%
Sanwa Holdings Corp. 1,232,600 9,970,181 0.4%
Sanyo Denki Co., Ltd. 254,000 1,546,978 0.1%
Sanyo Engineering & Construction, Inc. 48,000 228,547 0.0%
Sanyo Industries, Ltd. 99,000 142,384 0.0%
# Sata Construction Co., Ltd. 85,399 404,871 0.0%
# Sato Holdings Corp. 135,900 2,954,407 0.1%
Sato Shoji Corp. 66,800 409,093 0.0%
# SBS Holdings, Inc. 90,700 837,139 0.0%
Secom Joshinetsu Co., Ltd. 32,900 1,082,231 0.0%
# Seibu Electric Industry Co., Ltd. 70,000 246,339 0.0%
Seika Corp. 313,000 711,203 0.0%
Seikitokyu Kogyo Co., Ltd. 178,300 873,765 0.0%
Sekisui Jushi Corp. 176,700 2,367,508 0.1%
# Senko Co., Ltd. 547,000 3,786,235 0.2%
# Senshu Electric Co., Ltd. 36,200 521,375 0.0%
Shibusawa Warehouse Co., Ltd. (The) 263,000 670,358 0.0%
Shibuya Kogyo Co., Ltd. 89,100 1,371,916 0.1%
# Shima Seiki Manufacturing, Ltd. 169,900 2,536,405 0.1%
Shin Nippon Air Technologies Co., Ltd. 86,280 766,987 0.0%
Shin-Keisei Electric Railway Co., Ltd. 177,000 631,069 0.0%
Shinmaywa Industries, Ltd. 537,000 5,862,334 0.2%
Shinnihon Corp. 189,300 896,900 0.0%
Shinsho Corp. 279,000 591,192 0.0%
Shinwa Co., Ltd. 16,900 237,450 0.0%
# Shoko Co., Ltd. 404,000 302,986 0.0%
# Showa Aircraft Industry Co., Ltd. 15,837 160,437 0.0%
Sinfonia Technology Co., Ltd. 567,000 979,090 0.0%
# Sinko Industries, Ltd. 110,700 1,174,414 0.1%
# Sintokogio, Ltd. 265,000 2,278,336 0.1%
Soda Nikka Co., Ltd. 67,000 280,663 0.0%
Sodick Co., Ltd. 191,900 1,415,440 0.1%
Space Co., Ltd. 61,920 683,461 0.0%
# Srg Takamiya Co., Ltd. 106,300 510,647 0.0%
Star Micronics Co., Ltd. 221,700 3,009,288 0.1%
Subaru Enterprise Co., Ltd. 55,000 192,745 0.0%
Sugimoto & Co., Ltd. 30,500 353,499 0.0%
Sumitomo Densetsu Co., Ltd. 104,400 1,368,793 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Industrials -- (Continued)
# Sumitomo Mitsui Construction Co., Ltd. 4,537,800 $4,408,401 0.2%
Sumitomo Precision Products Co., Ltd. 189,000 739,783 0.0%
Sumitomo Warehouse Co., Ltd. (The) 819,000 4,345,025 0.2%
#* SWCC Showa Holdings Co., Ltd. 1,683,000 1,112,517 0.1%
Tadano, Ltd. 281,000 3,356,669 0.1%
Taihei Dengyo Kaisha, Ltd. 162,000 1,721,625 0.1%
# Taiheiyo Kouhatsu, Inc. 407,000 298,980 0.0%
# Taikisha, Ltd. 147,000 3,558,582 0.1%
# Takano Co., Ltd. 49,400 285,716 0.0%
Takaoka Toko Co., Ltd. 43,520 514,138 0.0%
Takara Printing Co., Ltd. 34,055 379,725 0.0%
Takara Standard Co., Ltd. 507,000 3,829,885 0.2%
Takasago Thermal Engineering Co., Ltd. 319,500 4,586,787 0.2%
Takashima & Co., Ltd. 225,000 486,596 0.0%
# Takeei Corp. 119,500 1,152,880 0.1%
Takeuchi Manufacturing Co., Ltd. 205,200 3,865,319 0.2%
# Takigami Steel Construction Co., Ltd. (The) 50,000 216,506 0.0%
Takisawa Machine Tool Co., Ltd. 368,000 507,641 0.0%
Takuma Co., Ltd. 436,000 3,442,722 0.1%
Tanseisha Co., Ltd. 162,449 1,197,141 0.1%
Tatsuta Electric Wire and Cable Co., Ltd. 275,600 1,051,926 0.0%
TECHNO ASSOCIE Co., Ltd. 56,800 542,926 0.0%
Techno Ryowa, Ltd. 69,390 399,079 0.0%
Teikoku Electric Manufacturing Co., Ltd. 89,400 614,887 0.0%
# Teikoku Sen-I Co., Ltd. 102,100 1,289,877 0.1%
# Tekken Corp. 234,000 651,698 0.0%
Teraoka Seisakusho Co., Ltd. 53,600 201,723 0.0%
Toa Corp. 1,103,000 2,502,712 0.1%
TOA ROAD Corp. 266,000 1,047,182 0.0%
#* Tobishima Corp. 1,155,500 2,032,198 0.1%
Tocalo Co., Ltd. 82,300 1,652,033 0.1%
Toda Corp. 1,179,000 6,413,491 0.3%
Toenec Corp. 212,000 1,640,934 0.1%
Togami Electric Manufacturing Co., Ltd. 14,000 83,025 0.0%
# TOKAI Holdings Corp. 528,400 2,240,848 0.1%
Tokai Lease Co., Ltd. 154,000 281,265 0.0%
Tokyo Energy & Systems, Inc. 139,000 1,345,871 0.1%
# Tokyo Keiki, Inc. 354,000 700,482 0.0%
* Tokyo Kikai Seisakusho, Ltd. 256,000 126,406 0.0%
Tokyo Sangyo Co., Ltd. 81,000 361,626 0.0%
Toli Corp. 261,000 741,475 0.0%
Tomoe Corp. 152,000 464,513 0.0%
# Tomoe Engineering Co., Ltd. 37,200 468,424 0.0%
Tonami Holdings Co., Ltd. 322,000 1,050,817 0.0%
Toppan Forms Co., Ltd. 298,500 3,845,494 0.2%
# Torishima Pump Manufacturing Co., Ltd. 117,100 908,460 0.0%
Toshiba Machine Co., Ltd. 663,000 2,283,090 0.1%
Toshiba Plant Systems & Services Corp. 262,650 2,813,361 0.1%
# Tosho Printing Co., Ltd. 236,000 992,767 0.0%
Totetsu Kogyo Co., Ltd. 145,100 3,137,434 0.1%
# Toyo Construction Co., Ltd. 377,100 1,733,033 0.1%
# Toyo Denki Seizo - Toyo Electric Manufacturing Co., Ltd. 207,000 754,248 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
# Toyo Engineering Corp. 689,400 $ 1,733,631 0.1%
Toyo Machinery & Metal Co., Ltd. 87,400 324,967 0.0%
Toyo Tanso Co., Ltd. 67,000 964,745 0.0%
# Toyo Wharf & Warehouse Co., Ltd. 340,000 535,049 0.0%
Trancom Co., Ltd. 42,400 2,043,621 0.1%
Trinity Industrial Corp. 19,000 74,656 0.0%
Trusco Nakayama Corp. 112,700 3,951,394 0.2%
Trust Tech, Inc. 22,800 430,457 0.0%
Tsubakimoto Chain Co. 845,700 6,196,663 0.2%
Tsubakimoto Kogyo Co., Ltd. 117,000 326,615 0.0%
#* Tsudakoma Corp. 294,000 292,691 0.0%
# Tsugami Corp. 395,000 1,933,751 0.1%
# Tsukishima Kikai Co., Ltd. 129,500 1,234,801 0.1%
Tsurumi Manufacturing Co., Ltd. 92,200 1,684,081 0.1%
TTK Co., Ltd. 62,000 238,046 0.0%
Uchida Yoko Co., Ltd. 322,000 1,033,096 0.0%
# Ueki Corp. 354,000 726,751 0.0%
# Union Tool Co. 49,200 1,214,422 0.1%
Ushio, Inc. 334,700 4,610,766 0.2%
Utoc Corp. 98,700 406,172 0.0%
# Wakachiku Construction Co., Ltd. 1,141,000 1,445,407 0.1%
Wakita & Co., Ltd. 219,800 1,729,868 0.1%
WDB Holdings Co., Ltd. 8,900 94,691 0.0%
Weathernews, Inc. 36,800 1,184,322 0.1%
World Holdings Co., Ltd. 2,400 34,355 0.0%
# Yahagi Construction Co., Ltd. 159,400 1,371,118 0.1%
YAMABIKO Corp. 184,328 1,696,325 0.1%
Yamato Corp. 82,000 325,492 0.0%
Yamaura Corp. 16,200 64,657 0.0%
Yamazen Corp. 296,900 2,651,407 0.1%
Yasuda Logistics Corp. 97,300 774,492 0.0%
Yokogawa Bridge Holdings Corp. 177,600 1,646,341 0.1%
Yondenko Corp. 128,800 467,965 0.0%
Yuasa Trading Co., Ltd. 105,000 2,447,571 0.1%
Yuken Kogyo Co., Ltd. 196,000 380,312 0.0%
# Yumeshin Holdings Co., Ltd. 154,700 894,852 0.0%
Yurtec Corp. 249,000 2,389,138 0.1%
Yusen Logistics Co., Ltd. 109,500 1,277,554 0.1%
# Zuiko Corp. 18,300 689,041 0.0%
------------ ----
Total Industrials 749,990,921 28.5%
------------ ----
Information Technology -- (10.3%)
# A&D Co., Ltd. 120,200 441,542 0.0%
# Advantest Corp. 279,500 2,229,593 0.1%
Ai Holdings Corp. 248,300 6,043,300 0.2%
Aichi Tokei Denki Co., Ltd. 187,000 503,113 0.0%
# Aiphone Co., Ltd. 79,000 1,215,155 0.1%
#* Allied Telesis Holdings K.K. 397,100 216,210 0.0%
Alpha Systems, Inc. 32,560 549,167 0.0%
Amano Corp. 374,300 4,861,659 0.2%
Anritsu Corp. 857,300 5,583,016 0.2%
# AOI Electronics Co., Ltd. 26,900 782,248 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Information Technology -- (Continued)
Argo Graphics, Inc. 22,600 $ 327,731 0.0%
Arisawa Manufacturing Co., Ltd. 192,200 1,187,733 0.1%
Asahi Net, Inc. 59,600 266,001 0.0%
Axell Corp. 47,500 538,691 0.0%
Azbil Corp. 182,300 4,599,280 0.2%
Broadleaf Co., Ltd. 118,700 1,359,660 0.1%
CAC Holdings Corp. 50,500 413,225 0.0%
Canon Electronics, Inc. 132,000 2,251,627 0.1%
Capcom Co., Ltd. 294,600 6,211,599 0.2%
Chino Corp. 37,100 334,717 0.0%
# CMK Corp. 260,100 495,202 0.0%
Computer Engineering & Consulting, Ltd. 74,200 658,345 0.0%
CONEXIO Corp. 125,900 1,269,657 0.1%
# COOKPAD, Inc. 287,400 5,468,796 0.2%
Cresco, Ltd. 26,500 421,979 0.0%
# CROOZ, Inc. 32,400 709,252 0.0%
# Dai-ichi Seiko Co., Ltd. 55,600 738,164 0.0%
# Daishinku Corp. 188,000 381,121 0.0%
Daito Electron Co., Ltd. 5,900 43,770 0.0%
Daiwabo Holdings Co., Ltd. 1,186,000 2,335,579 0.1%
# Denki Kogyo Co., Ltd. 251,000 1,071,754 0.0%
Digital Arts, Inc. 7,600 128,063 0.0%
Digital Garage, Inc. 5,400 84,132 0.0%
DKK-Toa Corp. 38,200 156,285 0.0%
DTS Corp. 122,000 2,883,845 0.1%
Eizo Corp. 109,700 2,568,265 0.1%
Elecom Co., Ltd. 101,400 1,229,798 0.1%
Elematec Corp. 54,171 1,327,569 0.1%
EM Systems Co., Ltd. 18,500 334,487 0.0%
Enplas Corp. 57,000 2,097,641 0.1%
ESPEC Corp. 98,400 920,928 0.0%
# Excel Co., Ltd. 49,300 635,324 0.0%
# F@N Communications, Inc. 194,900 1,393,992 0.1%
Faith, Inc. 27,910 304,444 0.0%
#* FDK Corp. 601,000 623,430 0.0%
Ferrotec Corp. 174,000 1,695,951 0.1%
Fuji Soft, Inc. 116,600 2,227,955 0.1%
Fujitsu Frontech, Ltd. 75,300 976,715 0.0%
Furuno Electric Co., Ltd. 137,500 929,345 0.0%
Furuya Metal Co., Ltd. 11,800 196,538 0.0%
Future Architect, Inc. 129,200 704,244 0.0%
GMO internet, Inc. 401,700 5,689,322 0.2%
GMO Payment Gateway, Inc. 98,500 3,879,411 0.2%
# Gree, Inc. 672,200 3,404,962 0.1%
# Gurunavi, Inc. 172,800 3,151,728 0.1%
Hakuto Co., Ltd. 84,500 990,777 0.0%
Hioki EE Corp. 45,700 830,335 0.0%
Hitachi Kokusai Electric, Inc. 332,500 4,590,820 0.2%
# Hochiki Corp. 143,000 1,422,188 0.1%
Hokuriku Electric Industry Co., Ltd. 482,000 674,272 0.0%
# Horiba, Ltd. 212,650 8,367,458 0.3%
# Hosiden Corp. 257,000 1,580,413 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
Information Technology -- (Continued)
I-Net Corp. 53,900 $ 530,131 0.0%
# Ibiden Co., Ltd. 83,000 1,143,667 0.1%
Icom, Inc. 46,600 968,374 0.0%
# Ikegami Tsushinki Co., Ltd. 309,000 389,094 0.0%
Imagica Robot Holdings, Inc. 53,800 221,157 0.0%
Ines Corp. 196,600 1,760,418 0.1%
Infocom Corp. 80,400 697,598 0.0%
Information Services International-Dentsu, Ltd. 75,900 1,185,891 0.1%
Innotech Corp. 93,000 369,450 0.0%
Internet Initiative Japan, Inc. 191,600 3,585,678 0.1%
# Iriso Electronics Co., Ltd. 50,500 2,226,881 0.1%
IT Holdings Corp. 505,101 12,486,557 0.5%
# Itfor, Inc. 56,300 240,558 0.0%
* Iwatsu Electric Co., Ltd. 500,000 334,216 0.0%
Japan Aviation Electronics Industry, Ltd. 49,000 867,990 0.0%
Japan Digital Laboratory Co., Ltd. 93,600 1,196,836 0.1%
#* Japan Display, Inc. 308,700 969,821 0.0%
# Japan Material Co., Ltd. 11,600 206,322 0.0%
Japan Radio Co., Ltd. 326,000 1,161,541 0.1%
Jastec Co., Ltd. 37,800 364,383 0.0%
# JBCC Holdings, Inc. 87,500 556,032 0.0%
Justsystems Corp. 160,600 1,273,697 0.1%
Kaga Electronics Co., Ltd. 113,100 1,583,246 0.1%
Kanematsu Electronics, Ltd. 72,000 1,100,350 0.1%
#* KLab, Inc. 191,400 1,936,882 0.1%
Koa Corp. 194,100 1,614,515 0.1%
Kyoden Co., Ltd. 1,300 1,983 0.0%
# Kyoei Sangyo Co., Ltd. 97,000 143,618 0.0%
Kyosan Electric Manufacturing Co., Ltd. 279,000 784,722 0.0%
Kyowa Electronic Instruments Co., Ltd. 135,100 498,392 0.0%
# LAC Co., Ltd. 82,700 1,001,224 0.0%
Lasertec Corp. 41,500 452,893 0.0%
#* Livesense, Inc. 48,300 176,555 0.0%
* Macnica Fuji Electronics Holdings, Inc. 126,550 1,702,524 0.1%
Marubun Corp. 95,700 689,679 0.0%
Maruwa Co., Ltd/Aichi 52,300 1,163,544 0.1%
# Marvelous, Inc. 196,300 1,570,454 0.1%
# Megachips Corp. 122,000 1,233,834 0.1%
* Meiko Electronics Co., Ltd. 111,800 256,403 0.0%
Melco Holdings, Inc. 75,500 1,305,740 0.1%
# Micronics Japan Co., Ltd. 167,000 1,690,354 0.1%
Mimasu Semiconductor Industry Co., Ltd. 101,981 960,279 0.0%
Miraial Co., Ltd. 29,800 289,079 0.0%
Miroku Jyoho Service Co., Ltd. 96,700 693,302 0.0%
Mitsubishi Research Institute, Inc. 32,600 807,618 0.0%
Mitsui High-Tec, Inc. 150,700 883,983 0.0%
# Mitsumi Electric Co., Ltd. 405,400 2,447,501 0.1%
# Mobile Create Co., Ltd. 27,000 101,593 0.0%
MTI, Ltd. 168,800 1,077,679 0.1%
Mutoh Holdings Co., Ltd. 126,000 312,781 0.0%
Nagano Keiki Co., Ltd. 5,500 37,589 0.0%
# Nakayo, Inc. 396,000 1,129,774 0.1%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Information Technology -- (Continued)
NEC Networks & System Integration Corp. 136,600 $2,558,759 0.1%
NET One Systems Co., Ltd. 525,900 3,242,428 0.1%
* New Japan Radio Co., Ltd. 96,000 425,644 0.0%
Nichicon Corp. 324,600 2,602,309 0.1%
NIFTY Corp. 46,100 424,849 0.0%
# Nihon Dempa Kogyo Co., Ltd. 102,700 719,218 0.0%
# Nihon Unisys, Ltd. 346,175 3,803,401 0.2%
# Nippon Ceramic Co., Ltd. 62,200 915,287 0.0%
# Nippon Chemi-Con Corp. 950,000 2,198,168 0.1%
# Nippon Kodoshi Corp. 25,000 207,104 0.0%
Nippon Signal Co., Ltd. 310,600 3,226,749 0.1%
# Nippon Systemware Co., Ltd. 29,400 210,404 0.0%
Nohmi Bosai, Ltd. 132,600 1,643,438 0.1%
Noritsu Koki Co., Ltd. 76,800 385,145 0.0%
NS Solutions Corp. 100,300 4,895,243 0.2%
# NSD Co., Ltd. 155,080 2,160,245 0.1%
Nuflare Technology, Inc. 18,500 826,435 0.0%
#* Ohara, Inc. 47,600 232,353 0.0%
# Oizumi Corp. 28,500 149,837 0.0%
Okaya Electric Industries Co., Ltd. 73,000 240,024 0.0%
Oki Electric Industry Co., Ltd. 4,751,000 8,018,926 0.3%
ONO Sokki Co., Ltd. 58,400 458,536 0.0%
Optex Co., Ltd. 63,900 1,211,220 0.1%
# Origin Electric Co., Ltd. 173,000 481,433 0.0%
# Osaki Electric Co., Ltd. 168,000 860,142 0.0%
Panasonic Industrial Devices SUNX Co., Ltd. 111,600 612,114 0.0%
PCA Corp. 2,500 31,962 0.0%
Poletowin Pitcrew Holdings, Inc. 13,100 111,906 0.0%
Riken Keiki Co., Ltd. 76,100 963,280 0.0%
Riso Kagaku Corp. 180,600 3,275,807 0.1%
Roland DG Corp. 49,900 1,137,241 0.1%
Ryoden Trading Co., Ltd. 174,000 1,138,257 0.1%
# Ryosan Co., Ltd. 184,300 4,460,046 0.2%
# Ryoyo Electro Corp. 104,300 1,283,720 0.1%
# Sanken Electric Co., Ltd. 673,000 2,339,051 0.1%
Sanshin Electronics Co., Ltd. 149,900 1,590,359 0.1%
Satori Electric Co., Ltd. 85,880 581,095 0.0%
# Saxa Holdings, Inc. 298,000 609,295 0.0%
SCREEN Holdings Co., Ltd. 980,000 5,790,171 0.2%
Shibaura Electronics Co., Ltd. 26,200 374,234 0.0%
# Shibaura Mechatronics Corp. 200,000 421,530 0.0%
# Shindengen Electric Manufacturing Co., Ltd. 433,000 1,581,354 0.1%
#* Shinkawa, Ltd. 57,300 336,846 0.0%
# Shinko Electric Industries Co., Ltd. 427,400 2,595,772 0.1%
Shinko Shoji Co., Ltd. 121,700 1,356,207 0.1%
Shizuki Electric Co., Inc. 100,000 471,255 0.0%
# Siix Corp. 92,900 2,614,429 0.1%
SMK Corp. 360,000 1,839,690 0.1%
# SMS Co., Ltd. 150,200 2,494,777 0.1%
Softbank Technology Corp. 30,300 318,498 0.0%
* Softbrain Co., Ltd. 161,300 247,541 0.0%
Softcreate Holdings Corp. 2,700 21,237 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
Information Technology -- (Continued)
Sourcenext Corp. 17,500 $ 72,056 0.0%
SRA Holdings 47,500 975,605 0.0%
# Sumida Corp. 107,549 717,989 0.0%
Sun-Wa Technos Corp. 35,100 293,006 0.0%
Systena Corp. 116,600 1,133,017 0.1%
# Tabuchi Electric Co., Ltd. 145,100 993,076 0.0%
Tachibana Eletech Co., Ltd. 83,160 936,668 0.0%
# Taiyo Yuden Co., Ltd. 642,700 9,049,909 0.4%
Tamura Corp. 447,000 1,422,066 0.1%
Teikoku Tsushin Kogyo Co., Ltd. 198,000 332,018 0.0%
TKC Corp. 104,700 2,467,936 0.1%
Toko, Inc. 208,000 593,093 0.0%
# Tokyo Electron Device, Ltd. 37,200 480,144 0.0%
Tokyo Seimitsu Co., Ltd. 231,900 5,119,929 0.2%
Tomen Devices Corp. 2,400 39,601 0.0%
# Topcon Corp. 92,500 1,336,391 0.1%
Tose Co., Ltd. 22,100 149,835 0.0%
Toshiba TEC Corp. 539,000 1,952,705 0.1%
Toukei Computer Co., Ltd. 26,010 468,773 0.0%
Towa Corp. 124,500 668,195 0.0%
Toyo Corp. 131,600 1,028,235 0.0%
Transcosmos, Inc. 152,100 4,246,804 0.2%
UKC Holdings Corp. 64,900 1,300,404 0.1%
Ulvac, Inc. 249,600 4,439,087 0.2%
# Uniden Holdings Corp. 366,000 582,643 0.0%
#* UT Group Co., Ltd. 189,500 1,031,341 0.0%
Vitec Holdings Co., Ltd. 36,200 448,323 0.0%
# Wacom Co., Ltd. 907,100 3,395,306 0.1%
Wellnet Corp. 19,100 377,125 0.0%
Y A C Co., Ltd. 31,000 243,005 0.0%
# Yamaichi Electronics Co., Ltd. 120,500 1,066,950 0.0%
Yashima Denki Co., Ltd. 25,600 123,432 0.0%
Yokowo Co., Ltd. 86,200 470,279 0.0%
Zappallas, Inc. 55,900 225,819 0.0%
Zuken, Inc. 64,400 602,170 0.0%
------------ ----
Total Information Technology 299,371,811 11.4%
------------ ----
Materials -- (10.6%)
Achilles Corp. 909,000 1,123,045 0.1%
ADEKA Corp. 523,000 7,685,910 0.3%
Agro-Kanesho Co., Ltd. 31,900 257,836 0.0%
Aichi Steel Corp. 673,000 2,923,382 0.1%
Alconix Corp. 50,900 713,380 0.0%
Arakawa Chemical Industries, Ltd. 86,300 857,984 0.0%
Araya Industrial Co., Ltd. 268,000 322,790 0.0%
Asahi Holdings, Inc. 155,550 2,289,100 0.1%
Asahi Organic Chemicals Industry Co., Ltd. 412,000 760,695 0.0%
Asahi Printing Co., Ltd. 800 13,929 0.0%
Asia Pile Holdings Corp. 15,700 96,508 0.0%
C Uyemura & Co., Ltd. 22,800 1,188,121 0.1%
# Carlit Holdings Co., Ltd. 71,700 312,014 0.0%
# Chuetsu Pulp & Paper Co., Ltd. 552,000 981,577 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Materials -- (Continued)
* Chugai Mining Co., Ltd. 1,012,400 $ 217,468 0.0%
Chugoku Marine Paints, Ltd. 345,000 2,466,369 0.1%
Dai Nippon Toryo Co., Ltd. 740,000 1,128,796 0.1%
Daido Steel Co., Ltd. 691,000 2,645,016 0.1%
Daiichi Kigenso Kagaku-Kogyo Co., Ltd. 17,600 698,299 0.0%
Daiken Corp. 390,000 1,139,373 0.1%
Daiki Aluminium Industry Co., Ltd. 153,000 417,738 0.0%
Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 408,000 1,933,169 0.1%
# Daio Paper Corp. 523,500 5,164,607 0.2%
DC Co., Ltd. 110,700 334,902 0.0%
Denka Co., Ltd. 1,753,000 8,134,823 0.3%
# DKS Co., Ltd. 207,000 649,998 0.0%
Dynapac Co., Ltd. 25,000 55,855 0.0%
# FP Corp. 148,000 6,054,059 0.2%
# Fuji Seal International, Inc. 141,200 4,793,824 0.2%
Fujikura Kasei Co., Ltd. 145,500 683,422 0.0%
Fujimi, Inc. 91,800 1,380,632 0.1%
Fujimori Kogyo Co., Ltd. 75,000 2,066,140 0.1%
# Fumakilla, Ltd. 78,000 276,288 0.0%
Fuso Chemical Co., Ltd. 39,600 502,035 0.0%
# Godo Steel, Ltd. 874,000 1,529,455 0.1%
Gun-Ei Chemical Industry Co., Ltd. 286,000 696,952 0.0%
Harima Chemicals Group, Inc. 73,300 326,830 0.0%
Hodogaya Chemical Co., Ltd. 339,000 470,218 0.0%
Hokkan Holdings, Ltd. 275,000 701,893 0.0%
Hokko Chemical Industry Co., Ltd. 104,000 389,927 0.0%
Hokuetsu Kishu Paper Co., Ltd. 857,799 5,977,261 0.2%
Honshu Chemical Industry Co., Ltd. 14,000 147,331 0.0%
# Ihara Chemical Industry Co., Ltd. 199,100 2,428,261 0.1%
Ise Chemical Corp. 81,000 413,463 0.0%
* Ishihara Sangyo Kaisha, Ltd. 1,911,500 1,853,465 0.1%
#* Ishizuka Glass Co., Ltd. 119,000 241,261 0.0%
Japan Pure Chemical Co., Ltd. 1,600 30,169 0.0%
JCU Corp. 27,700 981,417 0.0%
# JSP Corp. 71,600 1,535,786 0.1%
Kanto Denka Kogyo Co., Ltd. 250,000 1,946,157 0.1%
Katakura & Co-op Agri Corp. 39,000 88,133 0.0%
Kawakin Holdings Co., Ltd. 11,000 34,761 0.0%
# Kawasaki Kasei Chemicals, Ltd. 57,000 79,511 0.0%
Kimoto Co., Ltd. 228,000 495,305 0.0%
Koatsu Gas Kogyo Co., Ltd. 158,493 811,319 0.0%
# Kogi Corp. 55,000 81,571 0.0%
Kohsoku Corp. 60,200 443,194 0.0%
# Konishi Co., Ltd. 89,700 1,648,713 0.1%
Krosaki Harima Corp. 270,000 548,595 0.0%
# Kumiai Chemical Industry Co., Ltd. 54,400 437,714 0.0%
# Kureha Corp. 764,500 2,919,085 0.1%
# Kurimoto, Ltd. 682,000 1,168,064 0.1%
Kyoei Steel, Ltd. 106,200 1,756,167 0.1%
Kyowa Leather Cloth Co., Ltd. 43,500 394,057 0.0%
Lintec Corp. 303,800 7,116,523 0.3%
# MEC Co., Ltd. 95,800 563,000 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Materials -- (Continued)
Mitani Sekisan Co., Ltd. 24,000 $ 328,628 0.0%
* Mitsubishi Paper Mills, Ltd. 1,679,000 1,150,523 0.1%
Mitsubishi Steel Manufacturing Co., Ltd. 849,000 1,628,791 0.1%
Mitsui Mining & Smelting Co., Ltd. 3,568,000 6,858,650 0.3%
# MORESCO Corp. 39,700 515,540 0.0%
Mory Industries, Inc. 152,000 440,238 0.0%
* Nakayama Steel Works, Ltd. 845,000 563,732 0.0%
Neturen Co., Ltd. 166,900 1,193,464 0.1%
#* New Japan Chemical Co., Ltd. 182,300 304,720 0.0%
Nichia Steel Works, Ltd. 164,900 354,184 0.0%
Nihon Kagaku Sangyo Co., Ltd. 71,000 476,500 0.0%
# Nihon Nohyaku Co., Ltd. 260,400 1,694,007 0.1%
Nihon Parkerizing Co., Ltd. 553,500 4,923,529 0.2%
Nihon Yamamura Glass Co., Ltd. 489,000 738,203 0.0%
Nippon Carbide Industries Co., Inc. 434,000 671,294 0.0%
# Nippon Chemical Industrial Co., Ltd. 477,000 1,090,123 0.1%
Nippon Chutetsukan K.K. 113,000 181,951 0.0%
# Nippon Concrete Industries Co., Ltd. 203,100 653,449 0.0%
Nippon Denko Co., Ltd. 673,414 1,358,149 0.1%
Nippon Fine Chemical Co., Ltd. 83,200 633,864 0.0%
# Nippon Kasei Chemical Co., Ltd. 192,000 205,666 0.0%
Nippon Kayaku Co., Ltd. 511,000 5,331,158 0.2%
#* Nippon Kinzoku Co., Ltd. 293,000 340,684 0.0%
# Nippon Koshuha Steel Co., Ltd. 460,000 378,706 0.0%
Nippon Light Metal Holdings Co., Ltd. 3,227,300 5,520,187 0.2%
# Nippon Paper Industries Co., Ltd. 154,000 2,854,342 0.1%
Nippon Pillar Packing Co., Ltd. 116,800 979,682 0.0%
Nippon Soda Co., Ltd. 871,000 6,760,873 0.3%
Nippon Synthetic Chemical Industry Co., Ltd. (The) 287,000 2,125,732 0.1%
Nippon Valqua Industries, Ltd. 489,000 1,205,840 0.1%
#* Nippon Yakin Kogyo Co., Ltd. 831,300 1,148,614 0.1%
Nisshin Steel Co., Ltd. 582,592 5,978,813 0.2%
# Nitta Gelatin, Inc. 37,900 244,822 0.0%
Nittetsu Mining Co., Ltd. 364,000 1,603,578 0.1%
# Nitto FC Co., Ltd. 63,800 517,971 0.0%
NOF Corp. 870,000 6,218,633 0.2%
Okamoto Industries, Inc. 405,000 3,670,195 0.1%
Okura Industrial Co., Ltd. 296,000 842,650 0.0%
Osaka Organic Chemical Industry, Ltd. 66,000 342,220 0.0%
Osaka Soda Co., Ltd. 424,000 1,476,406 0.1%
Osaka Steel Co., Ltd. 83,300 1,497,623 0.1%
OSAKA Titanium Technologies Co., Ltd. 113,100 3,075,798 0.1%
# Pacific Metals Co., Ltd. 924,000 2,472,775 0.1%
Pack Corp. (The) 79,600 1,886,727 0.1%
#* Rasa Industries, Ltd. 480,000 541,370 0.0%
Rengo Co., Ltd. 1,328,000 6,312,916 0.2%
Riken Technos Corp. 212,600 708,845 0.0%
Sakai Chemical Industry Co., Ltd. 570,000 1,685,868 0.1%
# Sakata INX Corp. 235,200 2,145,319 0.1%
Sanyo Chemical Industries, Ltd. 349,000 2,581,380 0.1%
Sanyo Special Steel Co., Ltd. 650,300 2,678,750 0.1%
Sekisui Plastics Co., Ltd. 268,000 870,057 0.0%
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
Shikoku Chemicals Corp. 232,000 $ 2,284,054 0.1%
Shin-Etsu Polymer Co., Ltd. 190,300 992,914 0.0%
Shinagawa Refractories Co., Ltd. 250,000 560,885 0.0%
# Shinko Wire Co., Ltd. 184,000 252,624 0.0%
Showa Denko KK 2,774,000 3,493,781 0.1%
Stella Chemifa Corp. 54,300 530,228 0.0%
Sumitomo Bakelite Co., Ltd. 1,225,000 5,025,535 0.2%
Sumitomo Osaka Cement Co., Ltd. 2,652,000 10,219,547 0.4%
Sumitomo Seika Chemicals Co., Ltd. 279,000 1,945,230 0.1%
T Hasegawa Co., Ltd. 130,600 1,711,951 0.1%
# T&K Toka Co., Ltd. 39,400 723,929 0.0%
# Taisei Lamick Co., Ltd. 28,800 689,030 0.0%
# Taiyo Holdings Co., Ltd. 102,100 3,509,086 0.1%
Takasago International Corp. 87,200 2,301,009 0.1%
# Takiron Co., Ltd. 295,000 1,262,383 0.1%
* Tanaka Chemical Corp. 1,100 7,587 0.0%
Tayca Corp. 164,000 684,730 0.0%
Tenma Corp. 79,600 1,348,646 0.1%
Toagosei Co., Ltd. 658,000 5,508,929 0.2%
# Toda Kogyo Corp. 219,000 594,640 0.0%
Toho Zinc Co., Ltd. 800,000 2,210,892 0.1%
# Tokai Carbon Co., Ltd. 1,289,000 3,514,812 0.1%
Tokushu Tokai Paper Co., Ltd. 564,580 1,879,107 0.1%
#* Tokuyama Corp. 2,159,000 4,354,080 0.2%
# Tokyo Ohka Kogyo Co., Ltd. 143,200 4,576,837 0.2%
#* Tokyo Rope Manufacturing Co., Ltd. 688,000 1,064,119 0.1%
Tokyo Steel Manufacturing Co., Ltd. 652,000 4,350,907 0.2%
Tokyo Tekko Co., Ltd. 251,000 1,163,431 0.1%
# Tomoegawa Co., Ltd. 125,000 229,705 0.0%
# Tomoku Co., Ltd. 335,000 721,962 0.0%
Topy Industries, Ltd. 1,142,000 2,569,460 0.1%
Toyo Ink SC Holdings Co., Ltd. 1,157,000 4,770,615 0.2%
Toyo Kohan Co., Ltd. 286,000 922,975 0.0%
Toyobo Co., Ltd. 5,776,000 8,466,741 0.3%
TYK Corp. 138,000 219,147 0.0%
# UACJ Corp. 1,486,415 2,886,557 0.1%
Ube Industries, Ltd. 5,257,000 11,038,445 0.4%
Wood One Co., Ltd. 164,000 338,248 0.0%
# Yamato Kogyo Co., Ltd. 134,800 3,590,683 0.1%
Yodogawa Steel Works, Ltd. 144,700 2,550,769 0.1%
Yotai Refractories Co., Ltd. 8,000 23,086 0.0%
Yuki Gosei Kogyo Co., Ltd. 64,000 147,340 0.0%
Yushiro Chemical Industry Co., Ltd. 61,400 710,237 0.0%
Zeon Corp. 117,000 954,928 0.0%
------------ ----
Total Materials 305,390,182 11.6%
------------ ----
Telecommunication Services -- (0.0%)
* Japan Communications, Inc. 83,400 205,503 0.0%
Okinawa Cellular Telephone Co. 43,200 1,206,253 0.1%
------------ ----
Total Telecommunication Services 1,411,756 0.1%
------------ ----
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
Utilities -- (0.5%)
Hiroshima Gas Co., Ltd. 30,000 $ 109,013 0.0%
* Hokkaido Electric Power Co., Inc. 330,100 3,526,321 0.1%
# Hokkaido Gas Co., Ltd. 268,000 618,840 0.0%
Hokuriku Gas Co., Ltd. 99,000 227,932 0.0%
K&O Energy Group, Inc. 75,300 962,743 0.1%
Okinawa Electric Power Co., Inc. (The) 140,956 3,460,181 0.1%
Saibu Gas Co., Ltd. 1,831,000 4,114,751 0.2%
Shizuoka Gas Co., Ltd. 298,400 2,005,816 0.1%
Toell Co., Ltd. 6,700 34,872 0.0%
-------------- -----
Total Utilities 15,060,469 0.6%
-------------- -----
TOTAL COMMON STOCKS 2,615,760,797 99.4%
-------------- -----
VALUE+
--------------
SECURITIES LENDING COLLATERAL -- (9.6%)
(S)@ DFA Short Term Investment Fund 23,923,381 276,793,521 10.5%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $2,682,924,757) $2,892,554,318 109.9%
============== =====
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, 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 -- $ 531,552,916 -- $ 531,552,916
Consumer Staples -- 242,174,726 -- 242,174,726
Energy -- 25,382,203 -- 25,382,203
Financials $16,855,962 300,287,942 -- 317,143,904
Health Care -- 128,281,909 -- 128,281,909
Industrials 160,255 749,830,666 -- 749,990,921
Information Technology -- 299,371,811 -- 299,371,811
Materials -- 305,390,182 -- 305,390,182
Telecommunication Services -- 1,411,756 -- 1,411,756
Utilities -- 15,060,469 -- 15,060,469
Securities Lending Collateral -- 276,793,521 -- 276,793,521
----------- -------------- -- --------------
TOTAL $17,016,217 $2,875,538,101 -- $2,892,554,318
=========== ============== == ==============
THE ASIA PACIFIC SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2015
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
COMMON STOCKS -- (81.3%)
AUSTRALIA -- (40.8%)
* AAT Corp., Ltd. 99 $ -- 0.0%
#* ABM Resources NL 325,867 43,974 0.0%
# Acrux, Ltd. 660,428 344,826 0.0%
Adelaide Brighton, Ltd. 3,668,074 10,895,362 0.9%
* Aditya Birla Minerals, Ltd. 630,320 103,145 0.0%
* AED Oil, Ltd. 363,401 -- 0.0%
# Ainsworth Game Technology, Ltd. 784,170 1,765,556 0.1%
#* AJ Lucas Group, Ltd. 152,343 31,939 0.0%
#* Alkane Resources, Ltd. 1,219,715 213,011 0.0%
Alliance Resources, Ltd. 125,819 2,767 0.0%
# ALS, Ltd. 877,053 3,192,589 0.3%
Altium, Ltd. 222,654 709,876 0.1%
Altona Mining, Ltd. 1,108,169 91,117 0.0%
# Alumina, Ltd. 5,177,801 3,972,420 0.3%
AMA Group, Ltd. 18,658 13,716 0.0%
Amalgamated Holdings, Ltd. 466,519 4,645,732 0.4%
Ansell, Ltd. 528,919 7,526,506 0.6%
* Antares Energy, Ltd. 199,346 57,810 0.0%
AP Eagers, Ltd. 234,655 1,779,386 0.1%
* APN News & Media, Ltd. 4,904,331 1,786,623 0.1%
#* Aquarius Platinum, Ltd. 4,962,517 860,643 0.1%
# ARB Corp., Ltd. 472,048 4,947,903 0.4%
# Ardent Leisure Group 93,983 185,723 0.0%
Aristocrat Leisure, Ltd. 2,730,539 18,024,062 1.5%
# Arrium, Ltd. 17,951,296 1,268,432 0.1%
* ASG Group, Ltd. 898,212 702,787 0.1%
* Atlantic, Ltd. 21,276 498 0.0%
Atlas Iron, Ltd. 5,890,007 116,664 0.0%
# Ausdrill, Ltd. 1,723,145 421,301 0.0%
#* Ausenco, Ltd. 448,418 118,143 0.0%
Austal, Ltd. 1,148,615 1,851,604 0.2%
# Austbrokers Holdings, Ltd. 250,302 1,680,521 0.1%
* Austin Engineering, Ltd. 504,744 121,740 0.0%
#* Australian Agricultural Co., Ltd. 2,385,475 2,555,394 0.2%
Australian Pharmaceutical Industries, Ltd. 2,403,274 3,382,091 0.3%
Australian Vintage, Ltd. 3,979,004 1,050,007 0.1%
Auswide Bank, Ltd. 88,869 339,414 0.0%
# Automotive Holdings Group, Ltd. 1,464,387 4,409,890 0.4%
* Avanco Resources, Ltd. 2,444,368 105,801 0.0%
Aveo Group 15,566 34,003 0.0%
AVJennings, Ltd. 7,051,385 2,817,968 0.2%
#* AWE, Ltd. 3,356,993 1,499,406 0.1%
#* Bandanna Energy, Ltd. 337,935 3,795 0.0%
Bank of Queensland, Ltd. 40,228 372,937 0.0%
#* BC Iron, Ltd. 1,007,619 193,199 0.0%
# Beach Energy, Ltd. 9,263,063 4,207,737 0.3%
# Beadell Resources, Ltd. 2,424,377 276,826 0.0%
# Bega Cheese, Ltd. 514,153 2,114,601 0.2%
#* Billabong International, Ltd. 3,784,843 1,975,625 0.2%
# Blackmores, Ltd. 81,784 9,736,025 0.8%
BlueScope Steel, Ltd. 2,315,186 7,296,478 0.6%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
AUSTRALIA -- (Continued)
#* Boart Longyear, Ltd. 2,658,836 $ 188,345 0.0%
* Boom Logistics, Ltd. 986,820 76,131 0.0%
Boral, Ltd. 709,797 2,715,125 0.2%
#* Bradken, Ltd. 1,242,062 851,055 0.1%
# Breville Group, Ltd. 765,489 3,567,936 0.3%
# Brickworks, Ltd. 228,958 2,365,375 0.2%
BT Investment Management, Ltd. 580,053 4,690,771 0.4%
#* Buccaneer Energy, Ltd. 3,283,586 3,512 0.0%
* Bunuru Corp., Ltd. 9 -- 0.0%
#* Buru Energy, Ltd. 316,943 68,808 0.0%
# Cabcharge Australia, Ltd. 863,423 1,728,060 0.1%
* Cape Lambert Resources, Ltd. 726,958 10,330 0.0%
Capitol Health, Ltd. 69,077 19,091 0.0%
* Capral, Ltd. 58,499 4,150 0.0%
# Cardno, Ltd. 1,120,208 2,422,559 0.2%
* Carnarvon Petroleum, Ltd. 5,095,141 434,494 0.0%
* Carnegie Wave Energy, Ltd. 563,165 20,031 0.0%
# carsales.com, Ltd. 1,702,940 11,841,536 1.0%
# Cash Converters International, Ltd. 2,245,870 822,337 0.1%
* CDS Technologies, Ltd. 13,276 -- 0.0%
# Cedar Woods Properties, Ltd. 323,002 964,653 0.1%
Challenger, Ltd. 766,666 4,470,605 0.4%
* ChemGenex Pharmaceuticals, Ltd. 115,291 -- 0.0%
#* Clinuvel Pharmaceuticals, Ltd. 48,821 98,892 0.0%
Cochlear, Ltd. 10,800 681,623 0.1%
Codan, Ltd. 400,153 247,187 0.0%
* Coffey International, Ltd. 198,864 57,758 0.0%
# Collection House, Ltd. 2,021,422 2,673,605 0.2%
Collins Foods, Ltd. 289,927 726,101 0.1%
* Cooper Energy, Ltd. 336,842 50,209 0.0%
# Corporate Travel Management, Ltd. 215,271 1,719,647 0.1%
Coventry Group, Ltd. 144,778 125,735 0.0%
Cover-More Group, Ltd. 38,994 62,990 0.0%
# Credit Corp. Group, Ltd. 109,777 684,467 0.1%
# CSG, Ltd. 848,751 971,957 0.1%
CSR, Ltd. 3,350,138 6,558,528 0.5%
#* Cudeco, Ltd. 387,893 307,967 0.0%
* Cue Energy Resources, Ltd. 1,378,665 69,171 0.0%
Data#3, Ltd. 556,711 462,803 0.0%
# Decmil Group, Ltd. 867,988 577,836 0.1%
* Devine, Ltd. 425,098 181,814 0.0%
# Dick Smith Holdings, Ltd. 91,564 45,206 0.0%
Domino's Pizza Enterprises, Ltd. 286,872 9,487,341 0.8%
Downer EDI, Ltd. 2,910,872 7,314,747 0.6%
#* Drillsearch Energy, Ltd. 3,348,007 1,872,304 0.2%
DuluxGroup, Ltd. 3,101,823 12,968,193 1.1%
DWS, Ltd. 382,927 335,340 0.0%
Echo Entertainment Group, Ltd. 4,207,608 15,207,176 1.2%
* Elders, Ltd. 220,688 670,491 0.1%
* Emeco Holdings, Ltd. 3,480,007 135,775 0.0%
#* Energy Resources of Australia, Ltd. 1,156,799 279,526 0.0%
#* Energy World Corp., Ltd. 4,185,404 741,789 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
AUSTRALIA -- (Continued)
* Enero Group, Ltd. 12,387 $ 6,955 0.0%
Equity Trustees, Ltd. 17,011 279,472 0.0%
ERM Power, Ltd. 783,474 915,693 0.1%
Ethane Pipeline Income Fund 190,260 219,862 0.0%
Euroz, Ltd. 101,762 66,008 0.0%
# Evolution Mining, Ltd. 3,843,634 3,828,691 0.3%
Fairfax Media, Ltd. 14,257,034 9,535,328 0.8%
Fantastic Holdings, Ltd. 326,291 543,636 0.0%
* FAR, Ltd. 6,563,436 387,091 0.0%
Finbar Group, Ltd. 139,365 114,069 0.0%
#* Fleetwood Corp., Ltd. 394,575 432,972 0.0%
# FlexiGroup, Ltd. 737,884 1,602,887 0.1%
# Flight Centre Travel Group, Ltd. 68,990 1,856,078 0.2%
#* Focus Minerals, Ltd. 98,248 24,947 0.0%
# G8 Education, Ltd. 805,550 1,716,990 0.1%
Gazal Corp., Ltd. 22,520 39,663 0.0%
* Gindalbie Metals, Ltd. 17,817 492 0.0%
* Global Construction Services, Ltd. 4,832 1,660 0.0%
GrainCorp, Ltd. Class A 1,251,687 8,024,096 0.7%
Grange Resources, Ltd. 1,724,297 146,892 0.0%
# Greencross, Ltd. 114,296 506,131 0.0%
# GUD Holdings, Ltd. 811,568 4,628,288 0.4%
# GWA Group, Ltd. 1,861,904 3,274,295 0.3%
Hansen Technologies, Ltd. 94,100 204,381 0.0%
HFA Holdings, Ltd. 253,134 511,303 0.0%
* Hillgrove Resources, Ltd. 163,217 22,734 0.0%
Hills, Ltd. 1,277,876 394,894 0.0%
* Horizon Oil, Ltd. 6,691,326 569,980 0.1%
* IDM International, Ltd. 23,969 -- 0.0%
Iluka Resources, Ltd. 753,430 3,416,569 0.3%
* Imdex, Ltd. 1,225,370 196,810 0.0%
# IMF Bentham, Ltd. 700,765 717,795 0.1%
# Independence Group NL 1,789,170 3,504,857 0.3%
#* Infigen Energy 2,021,774 537,869 0.0%
# Infomedia, Ltd. 2,051,811 1,069,226 0.1%
Integrated Research, Ltd. 327,026 580,178 0.1%
* Intrepid Mines, Ltd. 208,230 21,516 0.0%
# InvoCare, Ltd. 901,024 7,092,641 0.6%
# IOOF Holdings, Ltd. 1,900,338 12,575,892 1.0%
# IRESS, Ltd. 1,073,207 7,147,613 0.6%
* iSelect, Ltd. 72,501 77,547 0.0%
# JB Hi-Fi, Ltd. 836,109 10,638,353 0.9%
* Jupiter Mines, Ltd. 405,443 21,684 0.0%
K&S Corp., Ltd. 256,539 239,193 0.0%
#* Karoon Gas Australia, Ltd. 738,066 926,335 0.1%
#* Kingsgate Consolidated, Ltd. 1,717,937 804,479 0.1%
* Kingsrose Mining, Ltd. 760,046 122,747 0.0%
* Lednium, Ltd. 195,019 -- 0.0%
LogiCamms, Ltd. 6,323 3,234 0.0%
#* Lonestar Resources, Ltd. 22,373 123,315 0.0%
#* Lynas Corp., Ltd. 3,390,978 139,904 0.0%
# M2 Group, Ltd. 1,294,182 9,057,218 0.7%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
AUSTRALIA -- (Continued)
MACA, Ltd. 683,733 $ 420,327 0.0%
* Macmahon Holdings, Ltd. 6,319,933 444,901 0.0%
Macquarie Atlas Roads Group 565,764 1,634,456 0.1%
Macquarie Telecom Group, Ltd. 13,608 78,438 0.0%
Magellan Financial Group, Ltd. 466,192 7,424,460 0.6%
Matrix Composites & Engineering, Ltd. 91,569 48,339 0.0%
* Maverick Drilling & Exploration, Ltd. 907,264 54,212 0.0%
# MaxiTRANS Industries, Ltd. 915,613 379,001 0.0%
#* Mayne Pharma Group, Ltd. 3,767,830 2,736,248 0.2%
McMillan Shakespeare, Ltd. 427,034 3,803,813 0.3%
McPherson's, Ltd. 506,092 246,306 0.0%
* Medusa Mining, Ltd. 1,179,362 475,069 0.0%
Melbourne IT, Ltd. 441,811 600,405 0.1%
#* Mesoblast, Ltd. 99,585 242,158 0.0%
Metals X, Ltd. 370,222 363,062 0.0%
# Metcash, Ltd. 4,871,384 4,103,202 0.3%
Mincor Resources NL 1,067,643 197,527 0.0%
#* Mineral Deposits, Ltd. 466,063 159,269 0.0%
# Mineral Resources, Ltd. 1,168,088 3,523,515 0.3%
# MMA Offshore, Ltd. 2,189,075 650,660 0.1%
# Monadelphous Group, Ltd. 687,485 3,368,436 0.3%
* Morning Star Gold NL 332,749 4,888 0.0%
# Mortgage Choice, Ltd. 680,426 910,581 0.1%
#* Mount Gibson Iron, Ltd. 4,484,844 685,915 0.1%
# Myer Holdings, Ltd. 5,669,367 3,854,717 0.3%
MyState, Ltd. 169,107 520,533 0.0%
# Navitas, Ltd. 1,440,089 4,280,302 0.4%
#* Nearmap, Ltd. 1,029,484 291,676 0.0%
New Hope Corp., Ltd. 154,058 210,232 0.0%
* Newsat, Ltd. 1,680,867 51,661 0.0%
* NEXTDC, Ltd. 31,442 57,599 0.0%
# nib holdings, Ltd. 2,713,689 6,957,146 0.6%
Nick Scali, Ltd. 165,818 502,890 0.0%
Nine Entertainment Co. Holdings, Ltd. 45,199 49,583 0.0%
#* Noble Mineral Resources, Ltd. 405,717 -- 0.0%
# Northern Star Resources, Ltd. 4,806,957 9,379,703 0.8%
# NRW Holdings, Ltd. 1,867,109 180,808 0.0%
Nufarm, Ltd. 1,141,199 6,760,389 0.6%
* OM Holdings, Ltd. 29,193 3,224 0.0%
#* Orocobre, Ltd. 389,899 496,566 0.0%
Orora, Ltd. 1,748,138 2,890,462 0.2%
# OrotonGroup, Ltd. 131,885 244,106 0.0%
Otto Energy, Ltd. 1,936,175 42,913 0.0%
OZ Minerals, Ltd. 2,198,276 6,746,035 0.6%
# OzForex Group, Ltd. 432,507 871,772 0.1%
#* Pacific Brands, Ltd. 6,093,285 3,108,700 0.3%
Pacific Current Group, Ltd. 14,134 76,774 0.0%
#* Paladin Energy, Ltd. 9,407,049 1,626,797 0.1%
Panoramic Resources, Ltd. 1,781,726 379,263 0.0%
Patties Foods, Ltd. 42,099 35,260 0.0%
# Peet, Ltd. 1,645,757 1,194,727 0.1%
* Peninsula Energy, Ltd. 209,095 182,859 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
AUSTRALIA -- (Continued)
# Perpetual, Ltd. 356,426 $11,333,090 0.9%
#* Perseus Mining, Ltd. 3,040,420 806,759 0.1%
Platinum Asset Management, Ltd. 151,071 792,064 0.1%
#* Platinum Australia, Ltd. 1,442,661 73 0.0%
* Pluton Resources, Ltd. 20,710 38 0.0%
PMP, Ltd. 2,327,074 859,221 0.1%
* Poseidon Nickel, Ltd. 101,293 3,780 0.0%
Premier Investments, Ltd. 556,867 5,405,847 0.4%
* Prima Biomed, Ltd. 1,409,121 56,812 0.0%
# Primary Health Care, Ltd. 3,292,878 8,651,241 0.7%
Prime Media Group, Ltd. 2,031,951 736,233 0.1%
# Programmed Maintenance Services, Ltd. 1,525,125 3,148,355 0.3%
Qantas Airways, Ltd. 3,453,909 9,728,779 0.8%
# Qube Holdings, Ltd. 1,479,761 2,398,921 0.2%
* Quickstep Holdings, Ltd. 159,133 19,799 0.0%
* Ramelius Resources, Ltd. 834,228 130,748 0.0%
RCG Corp., Ltd. 210,640 214,719 0.0%
RCR Tomlinson, Ltd. 1,055,209 1,719,534 0.1%
# Reckon, Ltd. 356,227 603,021 0.1%
* Red 5, Ltd. 9,022 422 0.0%
* Redflex Holdings, Ltd. 234,911 58,230 0.0%
Reece Australia, Ltd. 231,441 5,612,327 0.5%
# Regis Resources, Ltd. 2,504,810 3,692,932 0.3%
# Reject Shop, Ltd. (The) 234,444 1,911,996 0.2%
#* Resolute Mining, Ltd. 3,987,672 1,065,395 0.1%
# Retail Food Group, Ltd. 963,016 3,159,459 0.3%
Ridley Corp., Ltd. 1,331,622 1,239,646 0.1%
* RiverCity Motorway Group 1,563,354 -- 0.0%
* RungePincockMinarco, Ltd. 30,702 10,517 0.0%
Ruralco Holdings, Ltd. 115,893 292,981 0.0%
SAI Global, Ltd. 1,545,041 4,809,770 0.4%
#* Salmat, Ltd. 645,788 357,145 0.0%
* Samson Oil & Gas, Ltd. 6,470,848 27,714 0.0%
Sandfire Resources NL 570,890 2,551,459 0.2%
* Saracen Mineral Holdings, Ltd. 5,111,505 2,107,244 0.2%
Schaffer Corp., Ltd. 20,617 69,439 0.0%
# Sedgman, Ltd. 452,719 257,128 0.0%
# Select Harvests, Ltd. 500,837 3,608,509 0.3%
#* Senex Energy, Ltd. 6,438,932 845,071 0.1%
# Servcorp, Ltd. 314,917 1,524,926 0.1%
Service Stream, Ltd. 1,693,203 457,526 0.0%
# Seven Group Holdings, Ltd. 559,015 1,999,195 0.2%
# Seven West Media, Ltd. 7,785,820 3,727,397 0.3%
Seymour Whyte, Ltd. 8,690 7,942 0.0%
Sigma Pharmaceuticals, Ltd. 7,230,980 4,290,738 0.4%
#* Silex Systems, Ltd. 511,695 161,509 0.0%
# Silver Chef, Ltd. 89,203 601,741 0.1%
#* Silver Lake Resources, Ltd. 2,755,624 443,921 0.0%
# Sims Metal Management, Ltd. 1,382,214 9,617,546 0.8%
Sirtex Medical, Ltd. 412,322 11,111,408 0.9%
# Slater & Gordon, Ltd. 2,016,208 3,940,341 0.3%
# SMS Management & Technology, Ltd. 575,318 2,003,539 0.2%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
AUSTRALIA -- (Continued)
Southern Cross Media Group, Ltd. 3,639,618 $ 2,526,703 0.2%
# Spark Infrastructure Group 10,385,907 15,315,541 1.3%
Specialty Fashion Group, Ltd. 786,397 292,722 0.0%
Spotless Group Holdings, Ltd. 603,380 921,403 0.1%
#* St Barbara, Ltd. 2,594,632 2,472,176 0.2%
Steadfast Group, Ltd. 396,586 421,742 0.0%
* Strike Energy, Ltd. 1,471,668 130,618 0.0%
# STW Communications Group, Ltd. 2,447,007 1,293,518 0.1%
#* Sundance Energy Australia, Ltd. 2,512,257 535,906 0.0%
#* Sundance Resources, Ltd. 8,756,539 111,798 0.0%
Sunland Group, Ltd. 729,757 826,669 0.1%
# Super Retail Group, Ltd. 1,280,749 8,747,020 0.7%
Tabcorp Holdings, Ltd. 3,586,818 11,987,416 1.0%
#* Tap Oil, Ltd. 1,480,490 260,866 0.0%
Tassal Group, Ltd. 901,018 2,706,862 0.2%
Technology One, Ltd. 1,612,459 4,393,482 0.4%
Ten Network Holdings, Ltd.(BYSRMT3) 2,051,258 219,413 0.0%
#* Ten Network Holdings, Ltd.(6108373) 10,842,364 1,270,494 0.1%
# TFS Corp., Ltd. 1,789,688 2,234,036 0.2%
Thorn Group, Ltd. 551,062 828,744 0.1%
#* Tiger Resources, Ltd. 6,540,922 327,814 0.0%
* Toro Energy, Ltd. 70,156 3,995 0.0%
Tox Free Solutions, Ltd. 867,356 1,776,008 0.1%
* Transfield Services, Ltd. 3,089,111 2,191,509 0.2%
Transpacific Industries Group, Ltd. 10,319,019 4,961,375 0.4%
Treasury Wine Estates, Ltd. 1,165,441 5,833,097 0.5%
* Tribune Resources, Ltd. 3,093 8,823 0.0%
#* Troy Resources, Ltd. 1,405,543 319,455 0.0%
# UGL, Ltd. 1,185,950 1,910,437 0.2%
UXC, Ltd. 1,872,142 1,596,690 0.1%
Veda Group, Ltd. 542,481 1,007,567 0.1%
# Villa World, Ltd. 232,321 329,781 0.0%
# Village Roadshow, Ltd. 831,506 4,430,121 0.4%
* Virgin Australia Holdings, Ltd.() 7,648,897 -- 0.0%
* Virgin Australia Holdings, Ltd.(B43DQC7) 5,942,525 2,028,804 0.2%
Virtus Health, Ltd. 128,205 573,684 0.1%
Vision Eye Institute, Ltd. 477,043 363,876 0.0%
Vita Group, Ltd. 25,352 31,519 0.0%
# Vocus Communications, Ltd. 1,634,058 7,551,430 0.6%
# Watpac, Ltd. 760,701 519,342 0.0%
Webjet, Ltd. 511,180 1,824,811 0.2%
# Western Areas, Ltd. 1,463,783 2,466,654 0.2%
#* White Energy Co., Ltd. 643,913 91,039 0.0%
#* Whitehaven Coal, Ltd. 4,143,411 2,975,603 0.2%
* Wollongong Coal, Ltd. 119,865 1,282 0.0%
# WorleyParsons, Ltd. 481,861 2,223,056 0.2%
------------ ----
TOTAL AUSTRALIA 615,870,051 50.2%
------------ ----
CHINA -- (0.1%)
* China Daye Non-Ferrous Metals Mining, Ltd. 14,427,837 272,362 0.0%
Nexteer Automotive Group, Ltd. 986,000 1,046,887 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
Zhuhai Holdings Investment Group, Ltd. 146,000 $ 21,018 0.0%
---------- ---
TOTAL CHINA 1,340,267 0.1%
---------- ---
HONG KONG -- (23.1%)
Aeon Credit Service Asia Co., Ltd. 564,000 411,903 0.0%
Aeon Stores Hong Kong Co., Ltd. 248,000 243,308 0.0%
Agritrade Resources, Ltd. 830,000 177,413 0.0%
Alco Holdings, Ltd. 1,426,000 441,180 0.0%
Allan International Holdings 720,000 174,008 0.0%
Allied Group, Ltd. 663,200 3,165,810 0.3%
# Allied Properties HK, Ltd. 11,945,857 2,550,823 0.2%
* Anxian Yuan China Holdings, Ltd. 3,100,000 64,795 0.0%
* Apac Resources, Ltd. 29,587,350 345,244 0.0%
* Applied Development Holdings, Ltd. 210,000 9,608 0.0%
APT Satellite Holdings, Ltd. 2,884,500 2,841,542 0.2%
Arts Optical International Hldgs, Ltd. 730,000 270,695 0.0%
Asia Financial Holdings, Ltd. 2,404,908 929,925 0.1%
# Asia Satellite Telecommunications Holdings, Ltd. 934,500 1,389,277 0.1%
Asia Standard Hotel Group, Ltd. 11,437,218 1,487,390 0.1%
Asia Standard International Group, Ltd. 13,041,937 2,446,003 0.2%
# ASM Pacific Technology, Ltd. 105,200 746,988 0.1%
Associated International Hotels, Ltd. 952,000 2,649,099 0.2%
Aupu Group Holding Co., Ltd. 3,168,000 847,586 0.1%
* Auto Italia Holdings 1,900,000 96,352 0.0%
* Bel Global Resources Holdings, Ltd. 2,576,000 -- 0.0%
* Bestway International Holdings, Ltd. 205,000 22,482 0.0%
# Bonjour Holdings, Ltd. 13,758,600 540,305 0.1%
Bossini International Hldg 3,699,500 318,405 0.0%
Bright Smart Securities & Commodities Group, Ltd. 322,000 100,987 0.0%
#* Brightoil Petroleum Holdings, Ltd. 1,947,000 692,933 0.1%
#* Brockman Mining, Ltd. 22,810,814 485,438 0.1%
* Burwill Holdings, Ltd. 27,112,960 1,010,854 0.1%
# Cafe de Coral Holdings, Ltd. 1,938,000 6,555,133 0.5%
CEC International Holdings, Ltd. 516,000 102,279 0.0%
Century City International Holdings, Ltd. 6,235,460 433,807 0.0%
* Champion Technology Holdings, Ltd. 15,193,089 296,866 0.0%
Chen Hsong Holdings 1,212,000 278,657 0.0%
Cheuk Nang Holdings, Ltd. 613,067 450,017 0.0%
* Cheung Wo International Holdings, Ltd. 846,000 163,119 0.0%
Chevalier International Holdings, Ltd. 820,989 1,413,126 0.1%
* China Billion Resources, Ltd. 4,876,000 -- 0.0%
* China Chuanglian Education Group, Ltd. 300,000 9,617 0.0%
* China Digicontent Co., Ltd. 2,710,000 -- 0.0%
#* China Energy Development Holdings, Ltd. 52,140,000 1,035,878 0.1%
#* China Environmental Investment Holdings, Ltd. 1,630,000 56,454 0.0%
China Flavors & Fragrances Co., Ltd. 215,028 53,447 0.0%
* China Infrastructure Investment, Ltd. 7,776,000 108,943 0.0%
China Metal International Holdings, Inc. 2,670,000 707,917 0.1%
# China Motor Bus Co., Ltd. 48,600 490,811 0.1%
#* China Smarter Energy Group Holdings, Ltd. 7,038,000 607,680 0.1%
* China Solar Energy Holdings, Ltd. 1,669,500 7,270 0.0%
* China Star Entertainment, Ltd. 46,250,000 213,855 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
HONG KONG -- (Continued)
* China Strategic Holdings, Ltd. 28,316,250 $ 888,177 0.1%
* China Ting Group Holdings, Ltd. 2,565,151 156,581 0.0%
Chinney Investments, Ltd. 1,144,000 237,337 0.0%
# Chow Sang Sang Holdings International, Ltd. 2,244,000 4,359,592 0.4%
Chu Kong Shipping Enterprise Group Co., Ltd. 2,492,000 741,683 0.1%
Chuang's China Investments, Ltd. 3,700,938 226,455 0.0%
Chuang's Consortium International, Ltd. 5,987,043 692,363 0.1%
CITIC Telecom International Holdings, Ltd. 10,816,125 4,483,939 0.4%
CK Life Sciences Int'l Holdings, Inc. 21,274,000 1,997,076 0.2%
CNT Group, Ltd. 8,077,264 339,143 0.0%
COL Capital, Ltd. 42,916,800 2,815,722 0.2%
* Continental Holdings, Ltd. 450,000 8,143 0.0%
Convenience Retail Asia, Ltd. 42,000 19,735 0.0%
* Convoy Financial Holdings, Ltd. 4,938,000 272,776 0.0%
* CP Lotus Corp. 11,880,000 280,935 0.0%
* Crocodile Garments 842,000 100,510 0.0%
# Cross-Harbour Holdings, Ltd. (The) 671,520 888,746 0.1%
CSI Properties, Ltd. 35,276,383 1,179,214 0.1%
* CST Mining Group, Ltd. 101,184,000 1,130,027 0.1%
# CW Group Holdings, Ltd. 2,030,000 996,484 0.1%
# Dah Sing Banking Group, Ltd. 3,457,116 6,551,159 0.5%
Dah Sing Financial Holdings, Ltd. 1,184,544 6,646,674 0.6%
Dan Form Holdings Co., Ltd. 3,563,260 577,214 0.1%
Dickson Concepts International, Ltd. 1,222,000 457,084 0.0%
* Dragonite International, Ltd. 56,000 5,260 0.0%
Eagle Nice International Holdings, Ltd. 1,116,000 276,361 0.0%
EcoGreen International Group, Ltd. 1,322,200 302,293 0.0%
* EganaGoldpfeil Holdings, Ltd. 4,121,757 -- 0.0%
# Emperor Capital Group, Ltd. 8,409,000 698,400 0.1%
Emperor Entertainment Hotel, Ltd. 4,360,000 863,717 0.1%
Emperor International Holdings, Ltd. 8,116,753 1,577,573 0.1%
Emperor Watch & Jewellery, Ltd. 25,650,000 679,808 0.1%
* ENM Holdings, Ltd. 14,680,000 792,492 0.1%
* EPI Holdings, Ltd. 1,989 102 0.0%
# Esprit Holdings, Ltd. 13,802,950 15,382,852 1.3%
* eSun Holdings, Ltd. 4,344,000 397,134 0.0%
* Ezcom Holdings, Ltd. 72,576 -- 0.0%
Fairwood Holdings, Ltd. 620,100 1,917,164 0.2%
Far East Consortium International, Ltd/HK 7,665,221 2,796,998 0.2%
First Pacific Co., Ltd. 1,384,000 948,827 0.1%
First Shanghai Investments, Ltd. 696,000 107,953 0.0%
Fountain SET Holdings, Ltd. 4,758,000 592,896 0.1%
Four Seas Mercantile Holdings, Ltd. 610,000 215,960 0.0%
Foxconn International Holdings, Ltd. 1,872,000 895,240 0.1%
Fujikon Industrial Holdings, Ltd. 736,000 95,009 0.0%
# Future Bright Holdings, Ltd. 3,288,000 388,477 0.0%
G-Resources Group, Ltd. 143,439,600 3,205,285 0.3%
#* GCL New Energy Holdings, Ltd. 5,868,000 421,888 0.0%
Get Nice Holdings, Ltd. 38,664,000 1,590,200 0.1%
Giordano International, Ltd. 9,440,000 5,101,929 0.4%
* Global Brands Group Holding, Ltd. 14,324,000 2,969,719 0.3%
Glorious Sun Enterprises, Ltd. 2,624,000 455,371 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
HONG KONG -- (Continued)
Gold Peak Industries Holding, Ltd. 3,029,642 $ 353,792 0.0%
Golden Resources Development International, Ltd. 3,330,500 203,816 0.0%
* Grande Holdings, Ltd. (The) 882,000 8,762 0.0%
Great Eagle Holdings, Ltd. 73,887 243,041 0.0%
Guangnan Holdings, Ltd. 2,363,600 324,655 0.0%
Guoco Group, Ltd. 2,000 22,931 0.0%
# Guotai Junan International Holdings, Ltd. 12,388,797 4,601,679 0.4%
# Haitong International Securities Group, Ltd. 9,064,191 5,043,770 0.4%
Hanison Construction Holdings, Ltd. 1,402,433 257,326 0.0%
# Hanny Holdings, Ltd. 1,850,000 30,414 0.0%
* Hao Tian Development Group, Ltd. 8,136,000 506,407 0.1%
Harbour Centre Development, Ltd. 935,500 1,563,876 0.1%
High Fashion International, Ltd. 268,000 83,820 0.0%
HKR International, Ltd. 5,764,736 2,567,405 0.2%
Hon Kwok Land Investment Co., Ltd. 314,800 109,711 0.0%
* Hong Fok Land, Ltd. 1,210,000 -- 0.0%
# Hong Kong Aircraft Engineering Co., Ltd. 86,000 698,369 0.1%
Hong Kong Ferry Holdings Co., Ltd. 824,300 961,094 0.1%
* Hong Kong Television Network, Ltd. 2,332,751 490,955 0.1%
Hongkong & Shanghai Hotels (The) 1,340,112 1,522,146 0.1%
Hongkong Chinese, Ltd. 5,038,000 873,087 0.1%
Hop Hing Group Holdings, Ltd. 1,812,000 29,880 0.0%
Hopewell Holdings, Ltd. 2,920,000 10,536,375 0.9%
Hsin Chong Construction Group, Ltd. 6,931,658 822,984 0.1%
Hung Hing Printing Group, Ltd. 2,628,000 335,174 0.0%
Hutchison Telecommunications Hong Kong Holdings, Ltd. 11,164,000 4,090,522 0.3%
* I-CABLE Communications, Ltd. 2,573,000 178,653 0.0%
#* Imagi International Holdings, Ltd. 55,488,000 804,385 0.1%
#* Integrated Waste Solutions Group Holdings, Ltd. 5,574,000 140,428 0.0%
* International Standard Resources Holdings, Ltd. 16,576,250 335,646 0.0%
* iOne Holdings, Ltd. 9,860,000 373,399 0.0%
IPE Group, Ltd. 3,345,000 481,419 0.0%
* IRC, Ltd. 9,486,266 322,486 0.0%
IT, Ltd. 4,040,532 1,233,817 0.1%
ITC Corp., Ltd. 1,008,145 92,177 0.0%
# ITC Properties Group, Ltd. 4,396,256 2,115,202 0.2%
* Jinhui Holdings Co., Ltd. 121,000 16,198 0.0%
Johnson Electric Holdings, Ltd. 1,723,750 6,297,828 0.5%
# K Wah International Holdings, Ltd. 8,277,565 3,562,394 0.3%
Ka Shui International Holdings, Ltd. 518,000 39,977 0.0%
* Kader Holdings Co., Ltd. 92,000 8,111 0.0%
Kam Hing International Holdings, Ltd. 1,830,000 117,790 0.0%
* Kantone Holdings, Ltd. 919,364 108,920 0.0%
Keck Seng Investments 878,600 776,719 0.1%
Kerry Logistics Network, Ltd. 659,500 980,906 0.1%
* King Pacific International Holdings, Ltd. 1,404,200 -- 0.0%
Kingmaker Footwear Holdings, Ltd. 1,532,955 371,297 0.0%
#* Kingston Financial Group, Ltd. 19,023,000 7,513,039 0.6%
#* Ko Yo Chemical Group, Ltd. 1,596,000 170,261 0.0%
Kowloon Development Co., Ltd. 2,443,000 2,763,156 0.2%
L'Occitane International SA 9,000 18,099 0.0%
Lai Sun Development Co., Ltd. 78,652,466 1,435,159 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
HONG KONG -- (Continued)
Lai Sun Garment International, Ltd. 3,321,680 $ 407,435 0.0%
Lam Soon Hong Kong, Ltd. 302,310 213,257 0.0%
Landsea Green Properties Co., Ltd. 948,000 88,917 0.0%
* Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 -- 0.0%
Lerado Group Holding Co., Ltd. 808,000 25,891 0.0%
Lifestyle International Holdings, Ltd. 1,367,500 1,974,087 0.2%
Lippo China Resources, Ltd. 20,922,000 821,140 0.1%
Lippo, Ltd. 1,161,700 641,168 0.1%
Lisi Group Holdings, Ltd. 4,414,000 301,698 0.0%
Liu Chong Hing Investment, Ltd. 1,191,200 1,407,182 0.1%
Luen Thai Holdings, Ltd. 1,207,000 182,861 0.0%
# Luk Fook Holdings International, Ltd. 2,862,000 7,364,606 0.6%
Luks Group Vietnam Holdings Co., Ltd. 514,913 186,667 0.0%
Lung Kee Bermuda Holdings 1,567,875 446,834 0.0%
#* Macau Legend Development, Ltd. 2,574,000 366,957 0.0%
Magnificent Estates 13,170,000 370,538 0.0%
Man Wah Holdings, Ltd. 5,694,800 6,505,575 0.5%
Man Yue Technology Holdings, Ltd. 1,028,000 111,759 0.0%
#* Mason Financial Holdings, Ltd. 14,310,000 535,609 0.1%
Matrix Holdings, Ltd. 1,067,414 484,247 0.1%
Melbourne Enterprises, Ltd. 39,500 682,001 0.1%
# Melco International Development, Ltd. 3,557,000 5,515,194 0.5%
#* Midland Holdings, Ltd. 5,182,000 2,267,095 0.2%
Ming Fai International Holdings, Ltd. 1,879,000 191,021 0.0%
# Miramar Hotel & Investment 845,000 1,414,253 0.1%
#* Mongolian Mining Corp. 26,307,000 733,600 0.1%
# NagaCorp, Ltd. 7,546,000 5,326,827 0.4%
Nanyang Holdings, Ltd. 133,500 724,354 0.1%
National Electronic Hldgs 2,668,600 309,068 0.0%
Natural Beauty Bio-Technology, Ltd. 3,920,000 434,405 0.0%
#* Neo-Neon Holdings, Ltd. 2,337,500 330,698 0.0%
* Neptune Group, Ltd. 23,230,000 244,196 0.0%
New Century Group Hong Kong, Ltd. 13,351,464 250,904 0.0%
* New Times Energy Corp., Ltd. 1,946,400 50,199 0.0%
# Newocean Energy Holdings, Ltd. 7,642,000 3,111,691 0.3%
Next Digital, Ltd. 4,295,183 315,879 0.0%
* O Luxe Holdings, Ltd. 6,778,500 235,839 0.0%
* Orange Sky Golden Harvest Entertainment Holdings, Ltd. 9,489,706 717,980 0.1%
Orient Overseas International, Ltd. 958,500 4,570,670 0.4%
* Orient Power Holdings, Ltd. 804,000 -- 0.0%
# Oriental Watch Holdings 3,070,800 418,140 0.0%
* Pacific Andes International Holdings, Ltd. 19,435,067 372,101 0.0%
# Pacific Basin Shipping, Ltd. 12,498,000 3,664,693 0.3%
Pacific Textiles Holdings, Ltd. 4,820,000 6,868,128 0.6%
Paliburg Holdings, Ltd. 3,062,830 963,941 0.1%
Pan Asia Environmental Protection Group, Ltd. 80,000 10,510 0.0%
# Paradise Entertainment, Ltd. 3,652,000 643,248 0.1%
PCCW, Ltd. 104,000 55,731 0.0%
#* Peace Mark Holdings, Ltd. 2,712,022 -- 0.0%
* Pearl Oriental Oil, Ltd. 11,577,400 446,832 0.0%
Pegasus International Holdings, Ltd. 226,000 71,440 0.0%
Perfect Shape PRC Holdings, Ltd. 1,092,000 205,065 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
HONG KONG -- (Continued)
# Pico Far East Holdings, Ltd. 4,892,000 $1,292,289 0.1%
* Ping Shan Tea Group, Ltd. 2,933,325 18,463 0.0%
Playmates Holdings, Ltd. 686,000 783,735 0.1%
# Playmates Toys, Ltd. 4,796,000 1,006,703 0.1%
* PME Group, Ltd. 810,000 15,824 0.0%
# Pokfulam Development Co. 234,000 360,100 0.0%
# Polytec Asset Holdings, Ltd. 11,323,526 1,414,780 0.1%
# Public Financial Holdings, Ltd. 3,102,000 1,485,298 0.1%
PYI Corp., Ltd. 24,147,973 531,626 0.1%
* Pyxis Group, Ltd. 1,936,000 -- 0.0%
Raymond Industrial, Ltd. 30,400 3,917 0.0%
Regal Hotels International Holdings, Ltd. 2,871,800 1,487,873 0.1%
Rivera Holdings, Ltd. 5,710,000 279,270 0.0%
# SA SA International Holdings, Ltd. 9,766,000 3,107,614 0.3%
Safety Godown Co., Ltd. 386,000 721,515 0.1%
SAS Dragon Holdings, Ltd. 2,120,000 399,716 0.0%
SEA Holdings, Ltd. 1,124,000 1,178,469 0.1%
Shangri-La Asia, Ltd. 26,000 23,728 0.0%
# Shenyin Wanguo HK, Ltd. 3,466,250 1,520,321 0.1%
* Shougang Concord Grand Group, Ltd. 1,158,000 55,010 0.0%
#* Shougang Concord Technology Holdings 9,981,809 486,505 0.1%
* Shun Ho Technology Holdings, Ltd. 1,254,757 429,175 0.0%
Shun Tak Holdings, Ltd. 11,359,419 4,512,595 0.4%
* Silver base Group Holdings, Ltd. 1,938,677 295,578 0.0%
* Sing Pao Media Enterprises, Ltd. 250,511 -- 0.0%
Sing Tao News Corp., Ltd. 1,974,000 274,675 0.0%
Singamas Container Holdings, Ltd. 10,860,000 1,297,050 0.1%
* Sinocan Holdings, Ltd. 350,000 -- 0.0%
SIS International Holdings 34,000 19,277 0.0%
Sitoy Group Holdings, Ltd. 829,000 396,311 0.0%
SmarTone Telecommunications Holdings, Ltd. 3,497,068 6,145,966 0.5%
#* SOCAM Development, Ltd. 1,718,771 1,019,106 0.1%
* Solomon Systech International, Ltd. 8,590,000 452,773 0.0%
Soundwill Holdings, Ltd. 408,000 523,632 0.1%
* South China Holdings Co., Ltd. 13,104,000 859,412 0.1%
* South China Land, Ltd. 5,295,170 110,200 0.0%
* South Sea Petroleum Holdings, Ltd. 512,000 14,288 0.0%
Stella International Holdings, Ltd. 926,500 2,288,168 0.2%
Stelux Holdings International, Ltd. 3,011,400 318,962 0.0%
* Success Universe Group, Ltd. 6,716,000 165,826 0.0%
Sun Hing Vision Group Holdings, Ltd. 358,000 134,046 0.0%
Sun Hung Kai & Co., Ltd. 4,352,429 2,929,218 0.2%
Sunwah Kingsway Capital Holdings, Ltd. 7,690,000 153,959 0.0%
* Symphony Holdings, Ltd. 980,000 95,843 0.0%
TAI Cheung Holdings, Ltd. 1,961,000 1,576,743 0.1%
Tai Sang Land Development, Ltd. 781,910 423,390 0.0%
# Tan Chong International, Ltd. 1,176,000 394,854 0.0%
# Tao Heung Holdings, Ltd. 517,000 163,365 0.0%
* Taung Gold International, Ltd. 14,590,000 165,165 0.0%
Television Broadcasts, Ltd. 1,518,900 5,525,849 0.5%
* Termbray Industries International Holdings, Ltd. 2,304,900 172,297 0.0%
Tern Properties Co., Ltd. 51,200 31,750 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
HONG KONG -- (Continued)
Texwinca Holdings, Ltd. 4,488,000 $ 4,344,496 0.4%
Tian Teck Land, Ltd. 1,024,000 1,142,657 0.1%
* Titan Petrochemicals Group, Ltd. 13,140,000 848 0.0%
Tradelink Electronic Commerce, Ltd. 4,802,000 1,005,982 0.1%
# Transport International Holdings, Ltd. 1,015,741 2,741,809 0.2%
# Trinity, Ltd. 7,614,000 1,105,986 0.1%
Tristate Holdings, Ltd. 188,000 70,440 0.0%
#* TSC Group Holdings, Ltd. 3,280,000 653,110 0.1%
# Tsui Wah Holdings, Ltd. 184,000 41,409 0.0%
* United Laboratories International Holdings, Ltd. (The) 4,354,000 2,312,044 0.2%
* Universal Technologies Holdings, Ltd. 7,410,000 591,293 0.1%
* Up Energy Development Group, Ltd. 3,929,000 267,783 0.0%
Upbest Group, Ltd. 36,000 8,517 0.0%
* Value Convergence Holdings, Ltd. 1,848,000 350,933 0.0%
# Value Partners Group, Ltd. 5,396,000 5,727,732 0.5%
Van Shung Chong Holdings, Ltd. 1,248,002 177,164 0.0%
* Vanke Property Overseas, Ltd. 49,000 34,639 0.0%
# Varitronix International, Ltd. 2,023,293 1,380,369 0.1%
Vedan International Holdings, Ltd. 3,272,000 182,093 0.0%
Victory City International Holdings, Ltd. 8,183,663 999,455 0.1%
Vitasoy International Holdings, Ltd. 4,703,000 7,807,201 0.6%
* VS International Group, Ltd. 488,000 25,449 0.0%
VST Holdings, Ltd. 4,999,600 1,467,709 0.1%
VTech Holdings, Ltd. 365,600 4,427,030 0.4%
Wai Kee Holdings, Ltd. 7,640,738 2,483,258 0.2%
Win Hanverky Holdings, Ltd. 1,812,000 361,696 0.0%
* Winfull Group Holdings, Ltd. 9,512,000 292,114 0.0%
Wing On Co. International, Ltd. 759,000 2,365,646 0.2%
Wing Tai Properties, Ltd. 1,923,331 1,103,301 0.1%
Wong's International Holdings, Ltd. 737,641 242,319 0.0%
Wong's Kong King International 120,000 10,400 0.0%
Xinyi Glass Holdings, Ltd. 16,280,000 8,455,001 0.7%
Yangtzekiang Garment, Ltd. 606,500 186,160 0.0%
Yau Lee Holdings, Ltd. 534,000 83,222 0.0%
Yeebo International Hldg 572,000 122,404 0.0%
# YGM Trading, Ltd. 447,000 357,063 0.0%
YT Realty Group, Ltd. 749,000 282,780 0.0%
* Yuan Heng Gas Holdings, Ltd. 1,176,000 105,905 0.0%
Yugang International, Ltd. 90,818,000 1,375,534 0.1%
------------ ----
TOTAL HONG KONG 348,047,674 28.3%
------------ ----
NEW ZEALAND -- (8.5%)
* a2 Milk Co., Ltd. 1,041,701 535,015 0.1%
Abano Healthcare Group, Ltd. 30,725 172,385 0.0%
Air New Zealand, Ltd. 3,693,701 7,265,664 0.6%
Briscoe Group, Ltd. 2,235 4,356 0.0%
#* Chorus, Ltd. 2,039,965 3,922,067 0.3%
Colonial Motor Co., Ltd. (The) 144,588 535,494 0.1%
Contact Energy, Ltd. 1,546,857 5,429,398 0.5%
#* Diligent Corp. 98,424 397,347 0.0%
# Ebos Group, Ltd. 451,590 4,168,120 0.3%
# Fisher & Paykel Healthcare Corp., Ltd. 4,200,605 22,103,908 1.8%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
NEW ZEALAND -- (Continued)
Freightways, Ltd. 974,609 $ 3,879,819 0.3%
Genesis Energy, Ltd. 105,257 132,847 0.0%
Hallenstein Glasson Holdings, Ltd. 242,445 614,293 0.1%
Heartland New Zealand, Ltd. 300,546 254,010 0.0%
Hellaby Holdings, Ltd. 384,437 817,410 0.1%
Infratil, Ltd. 3,201,309 6,723,662 0.6%
# Kathmandu Holdings, Ltd. 663,170 703,767 0.1%
# Mainfreight, Ltd. 539,049 5,654,668 0.5%
Marsden Maritime Holdings, Ltd. 2,848 5,458 0.0%
Methven, Ltd. 93,877 66,774 0.0%
Metlifecare, Ltd. 516,195 1,557,912 0.1%
Michael Hill International, Ltd. 1,490,263 1,040,120 0.1%
Mighty River Power, Ltd. 160,304 303,614 0.0%
Millennium & Copthorne Hotels New Zealand, Ltd. 406,992 385,894 0.0%
New Zealand Oil & Gas, Ltd. 1,659,791 487,997 0.0%
New Zealand Refining Co., Ltd. (The) 574,344 1,337,929 0.1%
Nuplex Industries, Ltd. 1,278,378 3,682,963 0.3%
# NZX, Ltd. 952,265 618,093 0.1%
# Opus International Consultants, Ltd. 12,925 10,328 0.0%
* Pacific Edge, Ltd. 418,982 128,882 0.0%
# PGG Wrightson, Ltd. 999,976 280,518 0.0%
* Pike River Coal, Ltd. 490,805 -- 0.0%
# Port of Tauranga, Ltd. 515,305 6,277,712 0.5%
# Restaurant Brands New Zealand, Ltd. 459,407 1,330,712 0.1%
* Richina Pacific, Ltd. 274,180 -- 0.0%
* Rubicon, Ltd. 1,442,620 323,168 0.0%
# Ryman Healthcare, Ltd. 2,338,582 12,477,577 1.0%
Sanford, Ltd/NZ 382,357 1,279,940 0.1%
Scott Technology, Ltd. 39,805 39,850 0.0%
Skellerup Holdings, Ltd. 544,971 564,220 0.1%
# SKY Network Television, Ltd. 2,080,268 6,386,562 0.5%
SKYCITY Entertainment Group, Ltd. 4,473,046 12,134,063 1.0%
Steel & Tube Holdings, Ltd. 441,625 832,032 0.1%
Summerset Group Holdings, Ltd. 424,681 1,129,181 0.1%
Tourism Holdings, Ltd. 267,004 399,673 0.0%
Tower, Ltd. 871,114 1,232,775 0.1%
# Trade Me Group, Ltd. 1,612,087 3,996,728 0.3%
TrustPower, Ltd. 70,988 374,987 0.0%
# Vector, Ltd. 1,294,580 2,894,275 0.2%
# Warehouse Group, Ltd. (The) 698,604 1,290,496 0.1%
#* Xero, Ltd. 149,369 1,619,590 0.1%
Z Energy, Ltd. 59,640 270,578 0.0%
------------ ----
TOTAL NEW ZEALAND 128,074,831 10.4%
------------ ----
SINGAPORE -- (8.8%)
* Abterra, Ltd. 531,800 142,752 0.0%
Amara Holdings, Ltd. 922,800 299,814 0.0%
Ascendas India Trust 26,500 16,552 0.0%
# ASL Marine Holdings, Ltd. 816,600 211,231 0.0%
Aspial Corp., Ltd. 72,959 16,149 0.0%
#* Ausgroup, Ltd. 3,548,500 388,635 0.0%
Baker Technology, Ltd. 1,272,000 178,028 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
SINGAPORE -- (Continued)
# Banyan Tree Holdings, Ltd. 1,022,900 $ 365,148 0.0%
#* Biosensors International Group, Ltd. 6,409,437 3,111,155 0.3%
Bonvests Holdings, Ltd. 950,000 844,210 0.1%
* Boustead Projects, Ltd. 497,612 300,004 0.0%
Boustead Singapore, Ltd. 1,658,706 1,133,910 0.1%
# Breadtalk Group, Ltd. 881,800 746,920 0.1%
* Broadway Industrial Group, Ltd. 1,557,200 199,030 0.0%
Bukit Sembawang Estates, Ltd. 599,603 2,018,409 0.2%
* Bund Center Investment, Ltd. 2,639,300 347,024 0.0%
# Centurion Corp., Ltd. 825,900 246,780 0.0%
# China Aviation Oil Singapore Corp., Ltd. 1,540,999 790,658 0.1%
# China Merchants Holdings Pacific, Ltd. 1,191,709 811,599 0.1%
Chip Eng Seng Corp., Ltd. 3,445,300 1,684,402 0.1%
Chuan Hup Holdings, Ltd. 3,853,500 947,883 0.1%
Civmec, Ltd. 53,200 15,502 0.0%
# Cordlife Group, Ltd. 98,500 95,251 0.0%
# Cosco Corp. Singapore, Ltd. 6,805,600 1,821,757 0.2%
Creative Technology, Ltd. 272,200 255,835 0.0%
* CSC Holdings, Ltd. 646,800 15,075 0.0%
CSE Global, Ltd. 3,285,200 1,159,620 0.1%
# CWT, Ltd. 1,403,400 2,003,369 0.2%
Datapulse Technology, Ltd. 89,000 5,675 0.0%
#* Del Monte Pacific, Ltd. 1,458,464 311,261 0.0%
* Delong Holdings, Ltd. 1,231,000 90,918 0.0%
* DMX Technologies Group, Ltd. 2,096,000 128,672 0.0%
# Dyna-Mac Holdings, Ltd. 2,194,400 303,571 0.0%
Elec & Eltek International Co., Ltd. 147,000 114,759 0.0%
Ellipsiz, Ltd. 36,900 7,691 0.0%
EnGro Corp., Ltd. 354,000 263,774 0.0%
Eu Yan Sang International, Ltd. 786,600 251,968 0.0%
# Ezion Holdings, Ltd. 4,543,260 2,262,089 0.2%
#* Ezra Holdings, Ltd. 16,462,023 1,432,592 0.1%
# Falcon Energy Group, Ltd. 2,008,800 344,410 0.0%
Far East Orchard, Ltd. 1,074,985 1,153,653 0.1%
# First Resources, Ltd. 1,271,600 1,703,394 0.1%
First Sponsor Group, Ltd. 440,661 386,395 0.0%
FJ Benjamin Holdings, Ltd. 1,185,700 80,932 0.0%
* Food Empire Holdings, Ltd. 1,256,400 210,314 0.0%
# Fragrance Group, Ltd. 6,077,000 832,660 0.1%
Frasers Centrepoint, Ltd. 171,800 199,772 0.0%
Fu Yu Corp., Ltd. 183,300 21,339 0.0%
#* Gallant Venture, Ltd. 4,927,900 806,520 0.1%
#* Geo Energy Resources, Ltd. 432,000 44,341 0.0%
GK Goh Holdings, Ltd. 1,484,065 873,181 0.1%
Global Premium Hotels, Ltd. 559,480 115,543 0.0%
* Global Yellow Pages, Ltd. 19,750 2,708 0.0%
#* GMG Global, Ltd. 1,788,330 490,708 0.1%
# Golden Agri-Resources, Ltd. 5,544,600 1,538,750 0.1%
GP Batteries International, Ltd. 235,000 146,850 0.0%
GP Industries, Ltd. 2,567,609 1,249,811 0.1%
GSH Corp., Ltd. 60,860 11,752 0.0%
# GuocoLand, Ltd. 403,714 535,891 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
SINGAPORE -- (Continued)
# GuocoLeisure, Ltd. 3,267,800 $2,083,300 0.2%
* Hanwell Holdings, Ltd. 1,771,219 333,952 0.0%
* HG Metal Manufacturing, Ltd. 1,262,600 38,738 0.0%
Hi-P International, Ltd. 1,271,600 472,054 0.0%
Hiap Hoe, Ltd. 353,000 176,683 0.0%
* HLH Group, Ltd. 6,882,400 54,081 0.0%
Ho Bee Land, Ltd. 1,604,700 2,254,461 0.2%
# Hong Fok Corp., Ltd. 3,228,540 1,659,715 0.1%
Hong Leong Asia, Ltd. 690,700 421,330 0.0%
Hotel Grand Central, Ltd. 1,461,261 1,333,355 0.1%
Hour Glass, Ltd. (The) 1,814,832 951,980 0.1%
* HTL International Holdings, Ltd. 1,063,843 273,686 0.0%
HupSteel, Ltd. 1,572,875 171,082 0.0%
Hwa Hong Corp., Ltd. 2,123,500 493,856 0.1%
# Hyflux, Ltd. 3,165,300 1,530,913 0.1%
Indofood Agri Resources, Ltd. 3,368,800 1,367,133 0.1%
* InnoTek, Ltd. 512,500 63,754 0.0%
Innovalues, Ltd. 1,146,900 637,755 0.1%
Interplex Holdings, Ltd. 1,314,300 661,844 0.1%
# IPC Corp., Ltd. 414,300 401,104 0.0%
Isetan Singapore, Ltd. 119,000 380,098 0.0%
* Jiutian Chemical Group, Ltd. 1,712,100 37,893 0.0%
#* Jurong Technologies Industrial Corp., Ltd. 2,227,680 -- 0.0%
# K1 Ventures, Ltd. 4,952,600 707,442 0.1%
# Keppel Infrastructure Trust 4,622,832 1,714,032 0.1%
Keppel Telecommunications & Transportation, Ltd. 1,369,300 1,415,438 0.1%
Koh Brothers Group, Ltd. 1,432,000 312,185 0.0%
KSH Holdings, Ltd. 52,000 22,373 0.0%
* Li Heng Chemical Fibre Technologies, Ltd. 410,600 151,742 0.0%
Lian Beng Group, Ltd. 2,238,100 844,206 0.1%
#* Linc Energy, Ltd. 1,799,796 206,529 0.0%
Low Keng Huat Singapore, Ltd. 889,800 396,487 0.0%
Lum Chang Holdings, Ltd. 1,094,030 304,695 0.0%
M1, Ltd. 505,600 1,023,712 0.1%
Mandarin Oriental International, Ltd. 24,900 38,055 0.0%
* Marco Polo Marine, Ltd. 884,000 134,550 0.0%
* mDR, Ltd. 3,997,000 14,163 0.0%
Mermaid Maritime PCL 1,741,200 218,493 0.0%
Metro Holdings, Ltd. 2,026,092 1,299,685 0.1%
Mewah International, Inc. 1,183,000 261,326 0.0%
# Midas Holdings, Ltd. 7,943,100 1,776,388 0.2%
# Nam Cheong, Ltd. 6,922,840 826,951 0.1%
#* Neptune Orient Lines, Ltd. 3,386,600 2,398,728 0.2%
New Toyo International Holdings, Ltd. 1,624,000 230,621 0.0%
# Noble Group, Ltd. 13,704,600 4,920,488 0.4%
NSL, Ltd. 409,900 410,007 0.0%
* OKH Global, Ltd. 1,252,200 581,005 0.1%
Olam International, Ltd. 247,400 352,216 0.0%
# OSIM International, Ltd. 1,757,300 1,703,892 0.1%
* Otto Marine, Ltd. 549,175 147,255 0.0%
OUE, Ltd. 1,809,700 2,312,790 0.2%
Oxley Holdings, Ltd. 1,061,700 317,033 0.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SINGAPORE -- (Continued)
# Pacific Radiance, Ltd. 452,600 $ 122,468 0.0%
Pan-United Corp., Ltd. 1,948,600 940,765 0.1%
Penguin International, Ltd. 1,577,100 168,378 0.0%
# Petra Foods, Ltd. 781,000 1,348,235 0.1%
# Q&M Dental Group Singapore, Ltd. 1,525,000 852,235 0.1%
QAF, Ltd. 1,255,162 934,790 0.1%
# Raffles Education Corp., Ltd. 4,176,710 864,620 0.1%
Raffles Medical Group, Ltd. 646,391 1,982,955 0.2%
Religare Health Trust 149,500 106,002 0.0%
* RH Petrogas, Ltd. 66,800 10,681 0.0%
# Rickmers Maritime 1,008,350 147,012 0.0%
Riverstone Holdings, Ltd. 28,700 40,752 0.0%
Rotary Engineering, Ltd. 1,443,100 406,661 0.0%
Roxy-Pacific Holdings, Ltd. 297,500 97,154 0.0%
* S I2I, Ltd. 31,655 17,896 0.0%
San Teh, Ltd. 358,087 61,423 0.0%
SATS, Ltd. 1,050,100 2,837,992 0.2%
SBS Transit, Ltd. 926,200 1,215,454 0.1%
# SembCorp Marine, Ltd. 53,900 89,690 0.0%
Sheng Siong Group, Ltd. 1,955,100 1,183,454 0.1%
SHS Holdings, Ltd. 2,304,100 419,315 0.0%
* SIIC Environment Holdings, Ltd. 22,720 13,749 0.0%
Sim Lian Group, Ltd. 2,216,555 1,440,454 0.1%
# Sinarmas Land, Ltd. 5,746,800 1,963,286 0.2%
Sing Holdings, Ltd. 1,134,000 242,463 0.0%
Sing Investments & Finance, Ltd. 297,675 262,780 0.0%
# Singapore Post, Ltd. 751,800 1,014,813 0.1%
Singapore Reinsurance Corp., Ltd. 1,514,530 356,563 0.0%
Singapore Shipping Corp., Ltd. 1,640,700 344,447 0.0%
Singapura Finance, Ltd. 348,124 235,521 0.0%
#* Sino Grandness Food Industry Group, Ltd. 2,095,300 519,703 0.1%
# SMRT Corp., Ltd. 2,688,700 2,797,599 0.2%
Stamford Land Corp., Ltd. 3,188,100 1,173,264 0.1%
Straco Corp., Ltd. 130,000 81,520 0.0%
Sunningdale Tech, Ltd. 724,360 438,770 0.0%
#* SunVic Chemical Holdings, Ltd. 1,979,700 330,543 0.0%
# Super Group, Ltd. 2,585,500 1,656,165 0.1%
#* Swiber Holdings, Ltd. 2,895,250 535,083 0.1%
# Swissco Holdings, Ltd. 768,400 141,620 0.0%
Tat Hong Holdings, Ltd. 2,013,500 802,665 0.1%
* Thakral Corp., Ltd. 183,065 38,280 0.0%
Tiong Woon Corp. Holding, Ltd. 2,090,650 304,815 0.0%
Tuan Sing Holdings, Ltd. 4,076,571 987,800 0.1%
UMS Holdings, Ltd. 1,888,400 679,242 0.1%
United Engineers, Ltd. 2,765,928 3,916,737 0.3%
United Industrial Corp., Ltd. 4,800 10,545 0.0%
United Overseas Insurance, Ltd. 181,850 566,709 0.1%
# UOB-Kay Hian Holdings, Ltd. 1,887,972 1,940,879 0.2%
# UOL Group, Ltd. 141,600 660,813 0.1%
# UPP Holdings, Ltd. 2,972,500 390,348 0.0%
Valuetronics Holdings, Ltd. 347,100 104,763 0.0%
#* Vard Holdings, Ltd. 3,937,100 1,064,937 0.1%
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
SINGAPORE -- (Continued)
Venture Corp., Ltd. 1,654,300 $ 9,749,130 0.8%
# Vibrant Group, Ltd. 1,871,915 486,667 0.1%
Vicom, Ltd. 116,600 509,723 0.1%
Wee Hur Holdings, Ltd. 2,670,400 562,656 0.1%
# Wheelock Properties Singapore, Ltd. 1,175,400 1,277,639 0.1%
Wing Tai Holdings, Ltd. 2,762,267 3,437,428 0.3%
Yeo Hiap Seng, Ltd. 223,731 215,082 0.0%
YHI International, Ltd. 1,174,000 143,948 0.0%
* Yongnam Holdings, Ltd. 1,984,800 551,475 0.1%
Zhongmin Baihui Retail Group, Ltd. 26,900 34,179 0.0%
-------------- -----
TOTAL SINGAPORE 132,762,585 10.8%
-------------- -----
TOTAL COMMON STOCKS 1,226,095,408 99.8%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
* Centrebet International, Ltd. Claim Units Rights 81,336 -- 0.0%
* Centrebet International, Ltd. Litigation Rights 81,336 -- 0.0%
* FAR, Ltd. Rights 11/18/15 386,084 826 0.0%
* FlexiGroup, Ltd. Rights 11/16/15 135,143 -- 0.0%
* Quickstep Holdings, Ltd. Rights 11/24/15 48,222 1,547 0.0%
* Ten Network Holdings, Ltd. Rights 11/12/15 2,051,258 -- 0.0%
* Treasury Wine Estates, Ltd. Rights 11/04/15 137,111 -- 0.0%
-------------- -----
TOTAL AUSTRALIA 2,373 0.0%
-------------- -----
HONG KONG -- (0.0%)
* Enviro Energy International Holdings, Ltd. Warrants 11/17/16 1,171,800 151 0.0%
* HNA International Investment Holdings, Ltd. Rights 11/10/15 17,967,256 23,182 0.0%
-------------- -----
TOTAL HONG KONG 23,333 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS 25,706 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 1,226,121,114
--------------
VALUE+
--------------
SECURITIES LENDING COLLATERAL -- (18.7%)
(S)@ DFA Short Term Investment Fund 24,403,671 282,350,469 23.0%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $1,727,795,864) $1,508,471,583 122.8%
============== =====
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, 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 $ 9,728,779 $ 606,141,272 -- $ 615,870,051
China -- 1,340,267 -- 1,340,267
Hong Kong 315,879 347,731,795 -- 348,047,674
New Zealand -- 128,074,831 -- 128,074,831
Singapore 581,005 132,181,580 -- 132,762,585
Rights/Warrants
Australia -- 2,373 -- 2,373
Hong Kong -- 23,333 -- 23,333
Securities Lending Collateral -- 282,350,469 -- 282,350,469
----------- -------------- -- --------------
TOTAL $10,625,663 $1,497,845,920 -- $1,508,471,583
=========== ============== == ==============
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2015
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (97.1%)
Consumer Discretionary -- (27.2%)
4imprint Group P.L.C. 95,741 $ 1,907,657 0.1%
888 Holdings P.L.C. 915,856 2,277,188 0.1%
Barratt Developments P.L.C. 1,376,879 12,970,840 0.6%
Bellway P.L.C. 634,613 25,348,219 1.2%
Berkeley Group Holdings P.L.C. 664,403 33,910,166 1.6%
Betfair Group P.L.C. 337,205 16,751,925 0.8%
Bloomsbury Publishing P.L.C. 274,093 703,410 0.0%
Bovis Homes Group P.L.C. 827,518 13,052,819 0.6%
Bwin Party Digital Entertainment P.L.C. 2,836,202 4,887,329 0.2%
* Carpetright P.L.C. 77,554 590,774 0.0%
Centaur Media P.L.C. 537,905 666,000 0.0%
Cineworld Group P.L.C. 1,217,466 10,343,440 0.5%
Connect Group P.L.C. 1,254,090 3,216,278 0.2%
Crest Nicholson Holdings P.L.C. 615,117 5,145,159 0.2%
Creston P.L.C. 22,394 52,121 0.0%
Daily Mail & General Trust P.L.C. 1,406,012 16,198,309 0.8%
Darty P.L.C. 1,332,051 2,018,881 0.1%
Debenhams P.L.C. 6,930,594 9,531,566 0.5%
Dignity P.L.C. 249,726 9,333,120 0.4%
Domino's Pizza Group P.L.C. 845,611 14,211,052 0.7%
Dunelm Group P.L.C. 356,684 5,206,101 0.2%
* Enterprise Inns P.L.C. 2,906,065 4,805,602 0.2%
Entertainment One, Ltd. 403,836 1,365,003 0.1%
Euromoney Institutional Investor P.L.C. 285,280 4,166,908 0.2%
* Findel P.L.C. 303,005 1,169,679 0.1%
* Forminster P.L.C. 43,333 -- 0.0%
Fuller Smith & Turner P.L.C. Class A 134,418 2,445,288 0.1%
* Future P.L.C. 1,301,863 220,227 0.0%
Games Workshop Group P.L.C. 98,402 846,427 0.0%
Greene King P.L.C. 1,786,209 22,097,245 1.1%
Halfords Group P.L.C. 1,199,596 8,029,382 0.4%
Headlam Group P.L.C. 372,352 3,103,801 0.1%
Henry Boot P.L.C. 417,992 1,485,255 0.1%
Home Retail Group P.L.C. 3,986,671 6,890,695 0.3%
* Hornby P.L.C. 58,136 82,076 0.0%
Howden Joinery Group P.L.C. 3,331,582 23,761,899 1.1%
Huntsworth P.L.C. 938,084 547,806 0.0%
Inchcape P.L.C. 2,234,351 27,479,055 1.3%
Informa P.L.C. 3,309,192 28,940,061 1.4%
ITE Group P.L.C. 1,362,242 2,936,356 0.1%
J D Wetherspoon P.L.C. 479,569 5,719,725 0.3%
JD Sports Fashion P.L.C. 465,078 6,912,249 0.3%
John Menzies P.L.C. 285,509 1,779,577 0.1%
* Johnston Press P.L.C. 20,800 21,925 0.0%
Ladbrokes P.L.C. 5,357,119 8,707,316 0.4%
Laura Ashley Holdings P.L.C. 1,465,488 623,339 0.0%
Lookers P.L.C. 1,887,905 5,108,200 0.2%
Marston's P.L.C. 3,383,199 8,414,972 0.4%
Millennium & Copthorne Hotels P.L.C. 1,010,134 7,487,035 0.4%
* Mitchells & Butlers P.L.C. 983,721 5,362,756 0.3%
MJ Gleeson P.L.C. 189,171 1,424,771 0.1%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Consumer Discretionary -- (Continued)
* Mothercare P.L.C. 641,709 $ 2,340,054 0.1%
N Brown Group P.L.C. 907,387 5,231,685 0.3%
#* Ocado Group P.L.C. 1,689,648 9,788,980 0.5%
Pendragon P.L.C. 5,239,627 3,616,069 0.2%
Pets at Home Group P.L.C. 480,600 2,137,372 0.1%
Photo-Me International P.L.C. 625,898 1,528,813 0.1%
Poundland Group P.L.C. 499,356 2,116,783 0.1%
* Punch Taverns P.L.C. 133,442 252,471 0.0%
Rank Group P.L.C. 223,416 953,576 0.0%
Redrow P.L.C. 1,453,828 10,375,758 0.5%
Restaurant Group P.L.C. (The) 1,038,492 11,462,910 0.6%
Rightmove P.L.C. 477,301 28,190,029 1.4%
* Sportech P.L.C. 371,065 352,082 0.0%
STV Group P.L.C. 4,868 32,586 0.0%
* SuperGroup P.L.C. 239,090 5,380,490 0.3%
Taylor Wimpey P.L.C. 8,920,064 27,173,690 1.3%
Ted Baker P.L.C. 147,168 6,856,882 0.3%
* Thomas Cook Group P.L.C. 7,258,705 13,727,552 0.7%
Topps Tiles P.L.C. 882,174 1,976,385 0.1%
Trinity Mirror P.L.C. 1,627,618 4,273,779 0.2%
UBM P.L.C. 2,265,761 17,849,269 0.9%
UTV Media P.L.C. 451,514 1,268,443 0.1%
Vitec Group P.L.C. (The) 159,205 1,575,893 0.1%
WH Smith P.L.C. 680,498 17,851,799 0.9%
William Hill P.L.C. 4,450,569 21,715,526 1.0%
Wilmington P.L.C. 334,384 1,396,299 0.1%
------------ ----
Total Consumer Discretionary 579,682,159 27.8%
------------ ----
Consumer Staples -- (5.2%)
A.G.BARR P.L.C. 417,894 3,404,506 0.2%
Anglo-Eastern Plantations P.L.C. 104,452 959,268 0.1%
Booker Group P.L.C. 7,899,680 22,625,829 1.1%
Britvic P.L.C. 1,223,553 13,153,355 0.6%
Cranswick P.L.C. 260,891 6,906,018 0.3%
Dairy Crest Group P.L.C. 743,682 7,368,758 0.4%
Devro P.L.C. 935,205 4,091,655 0.2%
Greencore Group P.L.C. 2,240,575 10,417,976 0.5%
Greggs P.L.C. 539,599 9,874,793 0.5%
Hilton Food Group P.L.C. 24,794 177,812 0.0%
McBride P.L.C. 860,692 2,131,109 0.1%
McColl's Retail Group P.L.C. 6,083 13,786 0.0%
* Premier Foods P.L.C. 3,793,568 1,986,100 0.1%
PZ Cussons P.L.C. 1,346,306 6,232,146 0.3%
REA Holdings P.L.C. 50,639 206,734 0.0%
Stock Spirits Group P.L.C. 287,316 844,022 0.0%
Tate & Lyle P.L.C. 2,291,490 21,033,777 1.0%
------------ ----
Total Consumer Staples 111,427,644 5.4%
------------ ----
Energy -- (3.9%)
# Afren P.L.C. 5,446,344 149,870 0.0%
Amec Foster Wheeler P.L.C. 1,933,881 21,160,938 1.0%
Anglo Pacific Group P.L.C. 578,701 638,721 0.0%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Energy -- (Continued)
* Cairn Energy P.L.C. 2,512,540 $ 5,782,804 0.3%
* EnQuest P.L.C. 3,485,836 1,451,716 0.1%
Fortune Oil CVR 6,238,485 36,065 0.0%
Gulf Marine Services P.L.C. 31,549 56,636 0.0%
* Hardy Oil & Gas P.L.C. 2,590 1,055 0.0%
Hunting P.L.C. 697,468 3,865,997 0.2%
James Fisher & Sons P.L.C. 238,889 3,523,416 0.2%
John Wood Group P.L.C. 1,939,124 17,801,885 0.9%
* Lamprell P.L.C. 1,336,066 2,454,603 0.1%
* Ophir Energy P.L.C. 795,682 1,173,613 0.1%
Petrofac, Ltd. 1,323,447 17,172,041 0.8%
* Premier Oil P.L.C. 2,461,246 2,589,879 0.1%
# Soco International P.L.C. 966,138 2,621,091 0.1%
Stobart Group, Ltd. 750,349 1,280,444 0.1%
* Tullow Oil P.L.C. 866,800 2,707,430 0.1%
----------- ---
Total Energy 84,468,204 4.1%
----------- ---
Financials -- (15.2%)
Amlin P.L.C. 2,732,771 27,729,450 1.3%
Arrow Global Group P.L.C. 165,247 633,866 0.0%
# Ashmore Group P.L.C. 1,776,941 7,375,298 0.4%
Bank of Georgia Holdings P.L.C. 148,711 4,578,632 0.2%
Beazley P.L.C. 2,583,691 14,442,058 0.7%
Brewin Dolphin Holdings P.L.C. 1,461,244 6,064,206 0.3%
Capital & Counties Properties P.L.C. 459,047 3,141,573 0.2%
Charles Stanley Group P.L.C. 122,025 686,745 0.0%
Charles Taylor P.L.C. 192,071 804,240 0.0%
Chesnara P.L.C. 585,048 2,941,701 0.1%
Close Brothers Group P.L.C. 775,985 17,484,739 0.8%
Countrywide P.L.C. 428,322 3,069,079 0.2%
Daejan Holdings P.L.C. 30,985 3,025,356 0.2%
Development Securities P.L.C. 610,192 2,241,390 0.1%
esure Group P.L.C. 583,747 2,383,815 0.1%
Foxtons Group P.L.C. 453,959 1,396,152 0.1%
Hansard Global P.L.C. 16,468 28,433 0.0%
* Harworth Group P.L.C. 306,801 57,343 0.0%
Helical Bar P.L.C. 629,075 4,281,256 0.2%
Henderson Group P.L.C. 5,673,481 25,007,836 1.2%
Hiscox, Ltd. 1,480,745 22,019,824 1.1%
ICAP P.L.C. 2,825,338 19,125,468 0.9%
IG Group Holdings P.L.C. 1,862,861 21,652,988 1.0%
* Industrial & Commercial Holdings P.L.C. 5,000 -- 0.0%
Intermediate Capital Group P.L.C. 473,796 4,123,645 0.2%
International Personal Finance P.L.C. 667,182 3,799,560 0.2%
#* IP Group P.L.C. 1,388,994 5,081,200 0.2%
Jardine Lloyd Thompson Group P.L.C. 630,040 9,147,117 0.4%
Jupiter Fund Management P.L.C. 1,950,736 13,530,577 0.7%
Just Retirement Group P.L.C. 100,392 256,296 0.0%
Lancashire Holdings, Ltd. 1,084,204 11,877,116 0.6%
LSL Property Services P.L.C. 326,965 1,665,552 0.1%
Man Group P.L.C. 9,267,447 23,786,481 1.1%
Novae Group P.L.C. 308,857 4,147,198 0.2%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
Partnership Assurance Group P.L.C. 11,106 $ 22,934 0.0%
Phoenix Group Holdings 1,072,614 14,104,792 0.7%
Rathbone Brothers P.L.C. 160,021 5,558,300 0.3%
* Raven Russia, Ltd. 1,086,511 721,106 0.0%
S&U P.L.C. 20,417 738,355 0.0%
Savills P.L.C. 674,500 9,519,761 0.5%
ST Modwen Properties P.L.C. 1,034,835 7,004,612 0.3%
Tullett Prebon P.L.C. 1,209,924 6,543,502 0.3%
UNITE Group P.L.C. (The) 1,189,599 12,174,176 0.6%
* Waterloo Investment Holdings, Ltd. 5,979 645 0.0%
------------ ----
Total Financials 323,974,373 15.5%
------------ ----
Health Care -- (2.8%)
* Alizyme P.L.C. 660,805 -- 0.0%
Bioquell P.L.C. 90,893 191,938 0.0%
* BTG P.L.C. 1,329,188 11,285,819 0.6%
* Circassia Pharmaceuticals P.L.C. 89,359 384,477 0.0%
Consort Medical P.L.C. 236,219 3,551,132 0.2%
Dechra Pharmaceuticals P.L.C. 433,950 6,473,163 0.3%
Genus P.L.C. 295,529 6,614,696 0.3%
Hikma Pharmaceuticals P.L.C. 1,196 39,853 0.0%
Indivior P.L.C. 1,169,125 3,693,886 0.2%
* Oxford Biomedica P.L.C. 1,540,589 149,937 0.0%
* Skyepharma P.L.C. 322,164 1,565,919 0.1%
Synergy Health P.L.C. 300,498 10,770,504 0.5%
UDG Healthcare P.L.C. 1,247,003 9,129,581 0.4%
* Vectura Group P.L.C. 2,022,409 5,444,938 0.3%
------------ ----
Total Health Care 59,295,843 2.9%
------------ ----
Industrials -- (23.3%)
Aggreko P.L.C. 27,810 392,005 0.0%
Air Partner P.L.C. 40,969 257,802 0.0%
Alumasc Group P.L.C. (The) 120,110 347,205 0.0%
Avon Rubber P.L.C. 99,990 1,753,144 0.1%
* Balfour Beatty P.L.C. 3,705,993 14,204,180 0.7%
BBA Aviation P.L.C. 5,822,256 17,104,109 0.8%
Berendsen P.L.C. 870,366 13,722,600 0.7%
Bodycote P.L.C. 1,203,191 9,505,065 0.5%
Braemar Shipping Services P.L.C. 84,411 611,904 0.0%
Brammer P.L.C. 618,328 2,191,715 0.1%
Cape P.L.C. 648,113 2,295,920 0.1%
Carillion P.L.C. 2,366,457 11,132,727 0.5%
Carr's Group P.L.C. 343,111 804,207 0.0%
Castings P.L.C. 157,187 1,077,070 0.1%
Chemring Group P.L.C. 1,179,529 3,127,496 0.2%
Clarkson P.L.C. 64,020 2,389,402 0.1%
Cobham P.L.C. 5,746,923 24,536,962 1.2%
Communisis P.L.C. 1,041,989 836,024 0.0%
Costain Group P.L.C. 408,045 2,368,529 0.1%
DCC P.L.C. 392,281 31,446,253 1.5%
De La Rue P.L.C. 554,659 3,951,073 0.2%
# Dialight P.L.C. 103,553 878,431 0.0%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
Diploma P.L.C. 596,754 $ 5,871,647 0.3%
Fenner P.L.C. 1,016,768 2,384,591 0.1%
* Firstgroup P.L.C. 5,943,374 8,846,055 0.4%
* Flybe Group P.L.C. 223,132 293,899 0.0%
Galliford Try P.L.C. 403,207 9,288,032 0.5%
Go-Ahead Group P.L.C. 235,710 8,800,937 0.4%
Goodwin P.L.C. 383 14,511 0.0%
Grafton Group P.L.C. 951,619 9,888,759 0.5%
Harvey Nash Group P.L.C. 46,693 66,980 0.0%
Hays P.L.C. 7,141,914 15,472,894 0.7%
HellermannTyton Group P.L.C. 19,913 145,377 0.0%
Hogg Robinson Group P.L.C. 134,014 127,700 0.0%
HomeServe P.L.C. 1,386,489 8,653,824 0.4%
IMI P.L.C. 888,298 13,026,142 0.6%
Interserve P.L.C. 758,481 6,481,129 0.3%
Keller Group P.L.C. 382,069 4,788,166 0.2%
Kier Group P.L.C. 436,897 9,254,033 0.4%
Lavendon Group P.L.C. 812,054 1,876,990 0.1%
Management Consulting Group P.L.C. 1,467,589 332,833 0.0%
Mears Group P.L.C. 544,440 3,475,834 0.2%
Meggitt P.L.C. 324,652 1,768,603 0.1%
Melrose Industries P.L.C. 5,163,700 21,125,329 1.0%
Michael Page International P.L.C. 1,457,290 11,099,635 0.5%
Mitie Group P.L.C. 1,970,239 9,749,223 0.5%
Morgan Advanced Materials P.L.C. 1,570,920 6,766,362 0.3%
Morgan Sindall Group P.L.C. 191,927 2,202,865 0.1%
National Express Group P.L.C. 2,257,828 10,406,690 0.5%
Norcros P.L.C. 26,378 74,991 0.0%
Northgate P.L.C. 724,086 4,517,450 0.2%
PayPoint P.L.C. 246,900 3,760,482 0.2%
QinetiQ Group P.L.C. 3,243,810 11,175,814 0.5%
Regus P.L.C. 3,349,423 17,246,433 0.8%
* Renold P.L.C. 193,435 193,015 0.0%
Rentokil Initial P.L.C. 9,277,900 22,069,212 1.1%
Ricardo P.L.C. 273,631 3,812,192 0.2%
Robert Walters P.L.C. 385,303 2,236,030 0.1%
Rotork P.L.C. 4,248,543 12,273,105 0.6%
RPS Group P.L.C. 1,242,128 4,488,167 0.2%
Senior P.L.C. 2,136,201 7,454,104 0.4%
* Serco Group P.L.C. 230,813 332,985 0.0%
Severfield P.L.C. 1,262,597 1,197,038 0.1%
Shanks Group P.L.C. 2,391,349 3,492,585 0.2%
SIG P.L.C. 3,247,890 6,667,363 0.3%
Speedy Hire P.L.C. 2,860,318 1,327,826 0.1%
Spirax-Sarco Engineering P.L.C. 372,620 17,467,332 0.8%
St Ives P.L.C. 654,912 1,867,369 0.1%
Stagecoach Group P.L.C. 2,145,901 11,443,000 0.6%
Sthree P.L.C. 407,731 2,266,433 0.1%
T Clarke P.L.C. 147,457 175,958 0.0%
Tarsus Group P.L.C. 207,820 717,703 0.0%
Tribal Group P.L.C. 151,222 191,298 0.0%
Trifast P.L.C. 447,201 773,452 0.0%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
Tyman P.L.C. 46,771 $ 185,140 0.0%
UK Mail Group P.L.C. 189,690 1,123,768 0.1%
Ultra Electronics Holdings P.L.C. 373,219 9,672,365 0.5%
Vesuvius P.L.C. 1,392,557 7,659,290 0.4%
* Volex P.L.C. 307,047 271,020 0.0%
Vp P.L.C. 161,571 1,839,922 0.1%
Weir Group P.L.C. (The) 460,518 7,565,325 0.4%
* Wincanton P.L.C. 612,048 1,901,477 0.1%
WS Atkins P.L.C. 502,623 10,651,031 0.5%
XP Power, Ltd. 74,995 1,677,216 0.1%
------------ ----
Total Industrials 496,910,754 23.8%
------------ ----
Information Technology -- (8.3%)
Acal P.L.C. 202,289 782,849 0.0%
Aveva Group P.L.C. 320,952 10,136,792 0.5%
Computacenter P.L.C. 388,067 4,521,931 0.2%
E2V Technologies P.L.C. 781,676 2,814,433 0.1%
Electrocomponents P.L.C. 2,441,936 7,709,262 0.4%
Fidessa Group P.L.C. 165,096 4,979,740 0.2%
Halma P.L.C. 1,951,180 22,935,335 1.1%
* Imagination Technologies Group P.L.C. 1,324,098 4,515,342 0.2%
Innovation Group P.L.C. 5,296,310 3,241,021 0.2%
Laird P.L.C. 1,495,360 7,790,588 0.4%
Micro Focus International P.L.C. 671,015 12,970,210 0.6%
Moneysupermarket.com Group P.L.C. 2,068,485 10,645,419 0.5%
# NCC Group P.L.C. 672,477 2,853,702 0.1%
Oxford Instruments P.L.C. 210,872 1,684,637 0.1%
Pace P.L.C. 1,453,325 8,328,320 0.4%
Playtech P.L.C. 1,066,825 14,055,843 0.7%
Premier Farnell P.L.C. 1,984,877 3,058,245 0.1%
Renishaw P.L.C. 180,653 5,239,940 0.3%
RM P.L.C. 318,504 782,250 0.0%
SDL P.L.C. 388,032 2,324,010 0.1%
Sepura P.L.C. 322,176 894,004 0.0%
Spectris P.L.C. 607,600 15,583,280 0.8%
Spirent Communications P.L.C. 2,870,632 3,246,584 0.2%
Telecity Group P.L.C. 1,011,062 18,287,574 0.9%
TT electronics P.L.C. 828,017 1,630,964 0.1%
Xaar P.L.C. 362,841 2,860,779 0.1%
Xchanging P.L.C. 1,317,646 3,415,020 0.2%
------------ ----
Total Information Technology 177,288,074 8.5%
------------ ----
Materials -- (7.4%)
Acacia Mining P.L.C. 711,371 2,109,971 0.1%
Alent P.L.C. 1,291,364 9,877,635 0.5%
British Polythene Industries P.L.C. 135,695 1,568,776 0.1%
Carclo P.L.C. 213,640 395,524 0.0%
Centamin P.L.C. 6,067,817 5,935,550 0.3%
Croda International P.L.C. 447,752 19,972,880 1.0%
DS Smith P.L.C. 4,938,232 29,423,520 1.4%
Elementis P.L.C. 2,286,826 8,244,817 0.4%
Essentra P.L.C. 1,311,927 16,996,260 0.8%
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
Materials -- (Continued)
* Evraz P.L.C. 1,320,704 $ 1,720,055 0.1%
Ferrexpo P.L.C. 945,143 496,881 0.0%
Gem Diamonds, Ltd. 546,319 834,376 0.0%
Hill & Smith Holdings P.L.C. 421,094 4,423,411 0.2%
#* Hochschild Mining P.L.C. 797,908 906,925 0.0%
#* KAZ Minerals P.L.C. 1,271,344 2,273,687 0.1%
#* Lonmin P.L.C. 2,126,996 834,752 0.0%
Low & Bonar P.L.C. 1,119,286 1,155,185 0.1%
Marshalls P.L.C. 993,389 5,290,859 0.3%
Petra Diamonds, Ltd. 1,551,908 1,783,963 0.1%
#* Petropavlovsk P.L.C. 14,546,334 1,303,341 0.1%
Randgold Resources, Ltd. 7,863 527,347 0.0%
Rexam P.L.C. 861,780 7,165,517 0.3%
RPC Group P.L.C. 1,255,666 12,578,263 0.6%
Synthomer P.L.C. 1,341,595 6,813,050 0.3%
# Vedanta Resources P.L.C. 464,354 3,534,879 0.2%
Victrex P.L.C. 403,611 11,468,758 0.6%
Zotefoams P.L.C. 93,537 507,272 0.0%
-------------- -----
Total Materials 158,143,454 7.6%
-------------- -----
Telecommunication Services -- (2.1%)
Cable & Wireless Communications P.L.C. 17,713,479 20,055,908 0.9%
Inmarsat P.L.C. 688,489 10,435,362 0.5%
KCM Group P.L.C. 3,085,959 4,125,960 0.2%
# TalkTalk Telecom Group P.L.C. 2,586,447 10,068,693 0.5%
-------------- -----
Total Telecommunication Services 44,685,923 2.1%
-------------- -----
Utilities -- (1.7%)
Dee Valley Group P.L.C. 12,109 264,606 0.0%
Drax Group P.L.C. 2,006,082 8,044,105 0.4%
Pennon Group P.L.C. 1,974,654 24,639,490 1.2%
Telecom Plus P.L.C. 239,846 3,881,834 0.2%
-------------- -----
Total Utilities 36,830,035 1.8%
-------------- -----
TOTAL COMMON STOCKS 2,072,706,463 99.5%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
* Hochschild Mining P.L.C. Rights 11/03/15 299,216 125,696 0.0%
McBride P.L.C. 16,353,148 25,210 0.0%
TOTAL RIGHTS/WARRANTS 150,906 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 2,072,857,369
--------------
VALUE+
--------------
SECURITIES LENDING COLLATERAL -- (2.9%)
(S)@ DFA Short Term Investment Fund 5,271,316 60,989,129 2.9%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $1,629,459,086) $2,133,846,498 102.4%
============== =====
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, 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 -- $ 579,682,159 -- $ 579,682,159
Consumer Staples -- 111,427,644 -- 111,427,644
Energy -- 84,468,204 -- 84,468,204
Financials -- 323,974,373 -- 323,974,373
Health Care -- 59,295,843 -- 59,295,843
Industrials -- 496,910,754 -- 496,910,754
Information Technology -- 177,288,074 -- 177,288,074
Materials -- 158,143,454 -- 158,143,454
Telecommunication Services -- 44,685,923 -- 44,685,923
Utilities -- 36,830,035 -- 36,830,035
Rights/Warrants -- 150,906 -- 150,906
Securities Lending Collateral -- 60,989,129 -- 60,989,129
-- -------------- -- --------------
TOTAL -- $2,133,846,498 -- $2,133,846,498
== ============== == ==============
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2015
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
COMMON STOCKS -- (91.6%)
AUSTRIA -- (2.5%)
Agrana Beteiligungs AG 16,785 $ 1,520,175 0.0%
AMAG Austria Metall AG 3,703 134,765 0.0%
Andritz AG 70,828 3,558,555 0.1%
Atrium European Real Estate, Ltd. 655,974 2,718,679 0.1%
Austria Technologie & Systemtechnik AG 154,803 2,640,917 0.1%
BUWOG AG 251,450 5,346,190 0.1%
CA Immobilien Anlagen AG 238,384 4,673,468 0.1%
#* Conwert Immobilien Invest SE 338,470 4,852,512 0.1%
# DO & CO AG 29,001 2,721,298 0.1%
EVN AG 199,009 2,196,059 0.1%
Flughafen Wien AG 18,253 1,718,172 0.1%
* IMMOFINANZ AG 15,360 39,319 0.0%
Josef Manner & Co. AG 870 43,925 0.0%
Kapsch TrafficCom AG 30,685 1,110,170 0.0%
# Lenzing AG 51,632 3,944,260 0.1%
Mayr Melnhof Karton AG 49,254 5,816,024 0.2%
Oberbank AG 41,134 2,354,727 0.1%
Oesterreichische Post AG 194,685 7,078,234 0.2%
Palfinger AG 76,783 2,154,976 0.1%
POLYTEC Holding AG 92,160 695,823 0.0%
Porr Ag 47,954 1,304,677 0.0%
* Raiffeisen Bank International AG 388,529 6,130,908 0.2%
RHI AG 137,992 3,113,693 0.1%
Rosenbauer International AG 18,560 1,558,815 0.0%
S IMMO AG 308,031 2,737,278 0.1%
# Schoeller-Bleckmann Oilfield Equipment AG 52,123 3,133,124 0.1%
Semperit AG Holding 69,369 2,400,748 0.1%
Strabag SE 99,312 2,276,666 0.1%
Telekom Austria AG 213,845 1,288,707 0.0%
UBM Development AG 314 11,937 0.0%
UNIQA Insurance Group AG 563,292 5,230,911 0.1%
# Verbund AG 63,527 899,004 0.0%
Vienna Insurance Group AG Wiener Versicherung Gruppe 38,488 1,231,684 0.0%
Wienerberger AG 552,075 10,178,678 0.3%
# Wolford AG 11,252 277,304 0.0%
Zumtobel Group AG 166,510 3,784,155 0.1%
------------ ---
TOTAL AUSTRIA 100,876,537 2.8%
------------ ---
BELGIUM -- (4.1%)
#* Ablynx NV 303,349 3,999,091 0.1%
Ackermans & van Haaren NV 134,383 20,449,775 0.6%
* AGFA-Gevaert NV 965,465 4,115,454 0.1%
Atenor Group 6,678 311,941 0.0%
Banque Nationale de Belgique 986 3,413,242 0.1%
Barco NV 65,535 4,302,561 0.1%
# Bekaert SA 183,930 5,455,431 0.2%
* BHF Kleinwort Benson Group 329,899 1,886,945 0.1%
bpost SA 213,711 5,348,677 0.2%
Celyad 1,513 59,604 0.0%
Cie d'Entreprises CFE 49,147 6,092,886 0.2%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
BELGIUM -- (Continued)
Cie Immobiliere de Belgique SA 14,576 $ 784,932 0.0%
* Cie Maritime Belge SA 63,930 1,131,712 0.0%
Co.Br.Ha Societe Commerciale de Brasserie SA 111 352,529 0.0%
D'ieteren SA 131,557 4,449,158 0.1%
Deceuninck NV 358,205 932,872 0.0%
Econocom Group SA 343,333 3,063,297 0.1%
Elia System Operator SA 169,789 8,212,909 0.2%
Euronav NV 679,242 10,042,201 0.3%
EVS Broadcast Equipment SA 74,156 2,159,978 0.1%
# Exmar NV 174,456 1,881,265 0.1%
# Fagron 127,980 3,139,992 0.1%
* Galapagos NV 148,075 7,134,718 0.2%
Gimv NV 14,240 669,068 0.0%
Ion Beam Applications 115,719 4,125,114 0.1%
Jensen-Group NV 13,482 307,557 0.0%
Kinepolis Group NV 94,699 3,931,112 0.1%
# Lotus Bakeries 1,454 2,653,280 0.1%
#* MDxHealth 180,487 742,968 0.0%
Melexis NV 113,838 5,543,188 0.2%
* Mobistar SA 167,280 4,085,839 0.1%
#* Nyrstar NV 2,609,398 3,986,886 0.1%
Ontex Group NV 5,847 179,610 0.0%
Picanol 28,800 1,635,094 0.0%
* RealDolmen 8,137 147,056 0.0%
RealDolmen NV 120 2 0.0%
Recticel SA 199,901 1,194,406 0.0%
* Rentabiliweb Group 18,045 135,910 0.0%
Resilux 5,006 915,719 0.0%
* Roularta Media Group NV 10,263 236,071 0.0%
Sioen Industries NV 50,430 980,210 0.0%
Sipef SA 25,871 1,397,284 0.0%
TER Beke SA 2,260 222,198 0.0%
* Tessenderlo Chemie NV 190,301 6,137,581 0.2%
#* ThromboGenics NV 159,152 670,327 0.0%
Umicore SA 434,045 18,428,703 0.5%
Van de Velde NV 36,017 2,348,852 0.1%
#* Viohalco SA 583,796 1,422,279 0.0%
------------ ---
TOTAL BELGIUM 160,817,484 4.4%
------------ ---
DENMARK -- (4.6%)
ALK-Abello A.S. 30,494 3,316,881 0.1%
Alm Brand A.S. 468,716 2,655,323 0.1%
# Ambu A.S. Class B 124,859 3,383,119 0.1%
Arkil Holding A.S. Class B 504 87,437 0.0%
#* Bang & Olufsen A.S. 167,328 1,100,730 0.0%
BankNordik P/F 1,753 36,431 0.0%
* Bavarian Nordic A.S. 143,640 5,747,746 0.2%
Brodrene Hartmann A.S. 13,519 476,634 0.0%
* D/S Norden A.S. 132,398 2,639,907 0.1%
DFDS A.S. 156,210 4,744,170 0.1%
Djurslands Bank A.S. 8,970 354,182 0.0%
FE Bording A.S. 426 49,569 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
DENMARK -- (Continued)
# FLSmidth & Co. A.S. 260,041 $ 9,843,781 0.3%
Fluegger A.S. Class B 4,198 210,708 0.0%
* Genmab A.S. 217,338 21,447,065 0.6%
GN Store Nord A.S. 826,732 15,079,315 0.4%
* GPV Industri A.S. Series B 2,200 -- 0.0%
* Greentech Energy Systems A.S. 12,775 13,593 0.0%
Gronlandsbanken A.S. 1,125 100,803 0.0%
* H Lundbeck A.S. 248,731 7,306,923 0.2%
* H+H International A.S. Class B 40,093 330,391 0.0%
Harboes Bryggeri A.S. Class B 16,516 252,469 0.0%
IC Group A.S. 38,440 1,058,390 0.0%
* Jeudan A.S. 5,761 571,157 0.0%
* Jyske Bank A.S. 231,649 11,299,738 0.3%
Lan & Spar Bank 4,981 299,566 0.0%
Matas A.S. 18,274 331,671 0.0%
NKT Holding A.S. 121,196 6,595,632 0.2%
# Nordjyske Bank A.S. 34,591 573,256 0.0%
* Parken Sport & Entertainment A.S. 33,556 266,959 0.0%
PER Aarsleff A.S. Class B 10,732 3,601,586 0.1%
Ringkjoebing Landbobank A.S. 23,199 4,968,897 0.1%
Roblon A.S. Class B 2,700 96,604 0.0%
# Rockwool International A.S. Class B 30,771 4,821,094 0.1%
Royal Unibrew A.S. 227,860 9,022,665 0.3%
RTX A.S. 29,629 382,398 0.0%
* Santa Fe Group A.S. 127,806 1,015,621 0.0%
Schouw & Co. 71,589 3,740,899 0.1%
SimCorp A.S. 209,269 10,267,557 0.3%
Solar A.S. Class B 26,813 1,635,306 0.1%
Spar Nord Bank A.S. 351,498 3,366,923 0.1%
Sydbank A.S. 351,217 11,552,865 0.3%
TDC A.S. 343,551 1,796,047 0.1%
Tivoli A.S. 937 458,828 0.0%
* TK Development A.S. 608,784 741,023 0.0%
* Topdanmark A.S. 491,266 13,072,636 0.4%
United International Enterprises 10,218 1,595,600 0.0%
#* Vestjysk Bank A.S. 53,413 70,894 0.0%
* William Demant Holding A.S. 73,082 6,349,197 0.2%
#* Zealand Pharma A.S. 62,015 1,381,614 0.0%
------------ ---
TOTAL DENMARK 180,111,800 4.9%
------------ ---
FINLAND -- (6.5%)
Ahlstrom Oyj 46,794 379,319 0.0%
Aktia Bank Oyj 58,113 700,635 0.0%
Alandsbanken Abp Class B 21,354 390,305 0.0%
Alma Media Oyj 42,130 124,988 0.0%
Amer Sports Oyj 641,324 17,999,126 0.5%
Apetit Oyj 18,766 275,473 0.0%
# Aspo Oyj 92,762 727,449 0.0%
Atria Oyj 40,671 369,008 0.0%
# BasWare Oyj 43,305 1,792,072 0.1%
#* Biotie Therapies Oyj 1,742,936 298,937 0.0%
Cargotec Oyj Class B 235,592 8,398,465 0.2%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
FINLAND -- (Continued)
Caverion Corp. 522,975 $ 4,553,320 0.1%
Citycon Oyj 2,156,160 5,673,668 0.2%
Comptel Oyj 326,527 427,385 0.0%
Cramo Oyj 181,445 3,331,905 0.1%
Digia Oyj 48,912 351,885 0.0%
Elisa Oyj 734,075 27,657,200 0.8%
# F-Secure Oyj 524,454 1,566,714 0.0%
* Finnair Oyj 450,180 1,861,347 0.1%
* Finnlines Oyj 120,809 2,308,759 0.1%
Fiskars Oyj Abp 190,312 3,940,236 0.1%
* GeoSentric Oyj 244,900 -- 0.0%
Glaston Oyj Abp 46,084 24,575 0.0%
HKScan Oyj Class A 172,657 694,836 0.0%
Huhtamaki Oyj 467,536 16,494,354 0.5%
Ilkka-Yhtyma Oyj 61,503 136,092 0.0%
Kemira Oyj 637,200 7,547,321 0.2%
Kesko Oyj Class A 1,548 47,755 0.0%
Kesko Oyj Class B 345,206 11,020,470 0.3%
# Konecranes Oyj 262,339 7,032,826 0.2%
Lassila & Tikanoja Oyj 171,857 3,324,909 0.1%
* Lemminkainen Oyj 30,098 434,405 0.0%
Metsa Board Oyj 1,498,878 9,536,171 0.3%
Metso Oyj 435,774 10,668,677 0.3%
# Munksjo Oyj 24,345 226,902 0.0%
Neste Oyj 395,051 9,632,331 0.3%
Nokian Renkaat Oyj 623,433 23,519,989 0.6%
Okmetic Oyj 66,625 506,569 0.0%
# Olvi Oyj Class A 68,749 1,667,334 0.0%
* Oriola-KD Oyj Class A 6,054 28,906 0.0%
* Oriola-KD Oyj Class B 628,439 3,070,867 0.1%
Orion Oyj Class A 126,645 4,500,806 0.1%
Orion Oyj Class B 420,544 15,020,765 0.4%
#* Outokumpu Oyj 3,022,031 10,261,752 0.3%
# Outotec Oyj 16,031 55,139 0.0%
PKC Group Oyj 115,436 2,124,686 0.1%
Ponsse Oy 45,516 871,684 0.0%
* Poyry Oyj 188,253 818,538 0.0%
Raisio Oyj Class V 548,453 2,583,286 0.1%
Ramirent Oyj 336,343 2,614,066 0.1%
# Rapala VMC Oyj 109,543 568,544 0.0%
Revenio Group Oyj 23,248 728,831 0.0%
Saga Furs Oyj 10,953 218,905 0.0%
# Sanoma Oyj 754,064 3,305,838 0.1%
SRV Group Oyj 15,301 45,110 0.0%
* Stockmann Oyj Abp 42,474 313,159 0.0%
#* Stockmann Oyj Abp Class B 141,026 1,098,727 0.0%
Technopolis Oyj 562,359 2,269,961 0.1%
Teleste Oyj 46,406 443,602 0.0%
Tieto Oyj 295,694 7,582,569 0.2%
Tikkurila Oyj 190,569 3,497,995 0.1%
Uponor Oyj 283,661 3,776,579 0.1%
Vaisala Oyj Class A 44,325 1,184,636 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
FINLAND -- (Continued)
Valmet OYJ 342,154 $ 3,601,134 0.1%
Viking Line Abp 10,366 192,301 0.0%
YIT Oyj 107,539 566,844 0.0%
------------ ---
TOTAL FINLAND 256,988,942 7.0%
------------ ---
FRANCE -- (11.6%)
ABC Arbitrage 25,447 141,825 0.0%
Actia Group 48,398 284,375 0.0%
#* Air France-KLM 1,111,495 8,131,727 0.2%
Akka Technologies 46,502 1,282,647 0.0%
Albioma SA 84,560 1,374,683 0.0%
Altamir 78,941 889,145 0.0%
Alten SA 135,328 7,015,139 0.2%
Altran Technologies SA 771,932 9,623,196 0.3%
April SA 74,473 1,056,154 0.0%
#* Archos 111,720 204,844 0.0%
Arkema SA 203,698 14,885,975 0.4%
Assystem 63,007 1,315,505 0.0%
# Aubay 23,726 415,644 0.0%
Audika Groupe 22,298 436,337 0.0%
Aurea SA 862 5,752 0.0%
Axway Software SA 28,746 766,012 0.0%
Bastide le Confort Medical 8,920 174,921 0.0%
# Beneteau SA 193,357 2,932,202 0.1%
BioMerieux 71,574 8,315,004 0.2%
Boiron SA 38,334 3,388,585 0.1%
Bollore SA(4572709) 340,232 1,681,911 0.1%
* Bollore SA(BZ0G303) 2,744 13,584 0.0%
Bonduelle SCA 76,003 1,893,470 0.1%
Burelle SA 3,739 2,754,796 0.1%
Catering International Services 14,124 230,068 0.0%
* Cegedim SA 23,645 836,681 0.0%
Cegid Group SA 26,749 1,257,826 0.0%
#* CGG SA 776,088 3,110,935 0.1%
Chargeurs SA 91,724 785,494 0.0%
Cie des Alpes 38,937 724,573 0.0%
* Coface SA 12,321 99,732 0.0%
* Derichebourg SA 554,692 1,702,277 0.1%
Devoteam SA 26,531 862,213 0.0%
Dom Security 2,414 79,064 0.0%
Edenred 646,954 11,878,646 0.3%
Eiffage SA 229,296 14,285,485 0.4%
Electricite de Strasbourg SA 21,168 2,463,019 0.1%
Elior 186,668 3,539,130 0.1%
#* Eramet 28,909 1,140,488 0.0%
* Esso SA Francaise 14,431 827,352 0.0%
#* Etablissements Maurel et Prom 415,136 1,493,379 0.1%
Euler Hermes Group 56,006 5,256,415 0.2%
Eurofins Scientific SE 47,119 17,044,767 0.5%
Euronext NV 4,994 219,321 0.0%
Exel Industries Class A 10,330 528,111 0.0%
Faiveley Transport SA 34,183 3,605,546 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
FRANCE -- (Continued)
Faurecia 306,467 $12,114,187 0.3%
Fimalac 21,783 1,958,233 0.1%
Fleury Michon SA 5,962 426,437 0.0%
#* GameLoft SE 286,607 1,634,277 0.1%
Gaumont SA 13,521 790,961 0.0%
Gaztransport Et Technigaz SA 42,536 2,128,105 0.1%
# GEA 2,433 201,454 0.0%
#* GECI International 59,392 -- 0.0%
Gevelot SA 3,466 474,504 0.0%
GFI Informatique SA 868 5,912 0.0%
GL Events 46,718 890,235 0.0%
Groupe Crit 23,459 1,271,490 0.0%
* Groupe Flo 35,997 89,870 0.0%
* Groupe Fnac SA 40,430 2,619,534 0.1%
# Groupe Gorge 20,272 518,016 0.0%
Groupe Open 26,685 366,405 0.0%
Guerbet 33,267 2,256,425 0.1%
# Haulotte Group SA 70,603 999,365 0.0%
Havas SA 186,500 1,615,234 0.1%
Herige SADCS 6,914 192,342 0.0%
#* Hi-Media SA 12,318 53,942 0.0%
#* Hipay Group SA 24,579 250,812 0.0%
Imerys SA 52,485 3,591,575 0.1%
Interparfums SA 48,452 1,239,494 0.0%
Ipsen SA 170,560 10,756,853 0.3%
IPSOS 161,750 3,281,170 0.1%
Jacquet Metal Service 67,512 984,372 0.0%
Korian SA 191,713 7,247,133 0.2%
Lagardere SCA 619,304 18,018,902 0.5%
# Lanson-BCC 8,795 312,286 0.0%
Laurent-Perrier 12,372 1,072,573 0.0%
* Le Noble Age 24,612 584,296 0.0%
Lectra 116,672 1,376,478 0.1%
Linedata Services 2,105 70,597 0.0%
LISI 91,883 2,243,049 0.1%
Maisons France Confort SA 15,298 667,837 0.0%
Manitou BF SA 48,399 668,967 0.0%
Manutan International 14,076 715,091 0.0%
Mersen 117,956 2,212,994 0.1%
#* METabolic EXplorer SA 125,599 625,664 0.0%
Metropole Television SA 293,607 5,647,756 0.2%
MGI Coutier 56,309 1,005,295 0.0%
Montupet 36,225 2,839,826 0.1%
Mr Bricolage 30,731 437,146 0.0%
#* Naturex 30,862 2,170,814 0.1%
Neopost SA 173,646 4,314,130 0.1%
* Nexans SA 175,006 6,956,651 0.2%
Nexity SA 159,595 7,062,124 0.2%
NextRadioTV 30,079 1,181,894 0.0%
#* Nicox 213,234 396,002 0.0%
#* NRJ Group 71,278 661,470 0.0%
Oeneo SA 59,200 416,888 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
FRANCE -- (Continued)
#* Onxeo SA(B04P0G6) 38,734 $ 155,150 0.0%
#* Onxeo SA(BPFJVR0) 48,958 195,413 0.0%
Orpea 159,888 12,826,710 0.4%
* Parrot SA 46,115 2,085,939 0.1%
* Pierre & Vacances SA 25,491 697,690 0.0%
Plastic Omnium SA 318,364 9,189,566 0.3%
PSB Industries SA 8,161 488,056 0.0%
# Rallye SA 120,177 2,222,189 0.1%
* Recylex SA 72,596 102,973 0.0%
Rexel SA 1,044,821 14,259,517 0.4%
Robertet SA 3,063 764,506 0.0%
Rothschild & Co. 15,091 432,756 0.0%
Rubis SCA 195,671 15,682,855 0.4%
Saft Groupe SA 156,473 4,033,165 0.1%
Samse SA 8,068 1,058,241 0.0%
Sartorius Stedim Biotech 17,869 6,309,806 0.2%
# Savencia SA 33,142 2,066,091 0.1%
SEB SA 120,657 12,254,600 0.3%
Seche Environnement SA 11,799 406,870 0.0%
#* Sequana SA 289,137 1,243,683 0.0%
#* Societe des Bains de Mer et du Cercle des Etrangers a Monaco 60,258 2,282,483 0.1%
#* Societe Internationale de Plantations d'Heveas SA 7,523 215,942 0.0%
Societe Marseillaise du Tunnel Prado-Carenage SA 3,434 131,412 0.0%
Societe pour l'Informatique Industrielle 39,566 348,081 0.0%
Societe Television Francaise 1 621,656 7,986,192 0.2%
#* SOITEC 1,021,074 829,225 0.0%
# Solocal Group 170,329 1,384,985 0.1%
# Somfy SA 21,025 6,571,061 0.2%
Sopra Steria Group 74,501 8,474,808 0.2%
* Spir Communication SA 4,687 49,234 0.0%
#* Ste Industrielle d'Aviation Latecoere SA 292,288 1,331,700 0.0%
Stef SA 28,166 2,074,588 0.1%
#* Store Electronic 12,202 180,441 0.0%
Sword Group 31,975 835,785 0.0%
Synergie SA 70,320 1,881,410 0.1%
Tarkett SA 434 12,945 0.0%
# Technicolor SA 1,482,868 10,028,405 0.3%
Teleperformance 348,982 27,388,433 0.8%
Tessi SA 6,807 856,997 0.0%
TFF Group 5,065 563,739 0.0%
* Theolia SA 614,855 398,247 0.0%
# Thermador Groupe 12,764 1,191,900 0.0%
Total Gabon 1,515 301,415 0.0%
Touax SA 4,773 68,486 0.0%
Trigano SA 46,958 2,257,804 0.1%
* UBISOFT Entertainment 521,852 15,635,374 0.4%
Union Financiere de France BQE SA 16,855 476,541 0.0%
# Vallourec SA 246,190 2,725,150 0.1%
#* Valneva SE 218,939 814,039 0.0%
# Vetoquinol SA 16,625 697,444 0.0%
Vicat 71,688 4,592,866 0.1%
VIEL & Cie SA 161,700 565,861 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ------------ ---------------
FRANCE -- (Continued)
# Vilmorin & Cie SA 26,220 $ 1,847,299 0.1%
Virbac SA 22,063 4,395,443 0.1%
Vranken-Pommery Monopole SA 18,262 576,062 0.0%
* Worldline SA 4,615 111,925 0.0%
------------ ----
TOTAL FRANCE 457,130,520 12.5%
------------ ----
GERMANY -- (15.2%)
#* AAP Implantate AG 1,361 2,377 0.0%
Aareal Bank AG 409,233 15,591,008 0.4%
Adler Modemaerkte AG 41,855 480,446 0.0%
* ADVA Optical Networking SE 194,362 2,103,940 0.1%
#* AIXTRON SE 396,410 2,522,532 0.1%
* Aligna AG 318,087 -- 0.0%
All for One Steeb AG 569 42,318 0.0%
Allgeier SE 26,260 485,492 0.0%
Amadeus Fire AG 29,384 2,451,481 0.1%
* AS Creation Tapeten 7,109 226,975 0.0%
Aurubis AG 178,175 11,902,073 0.3%
Axel Springer SE 191,414 10,757,415 0.3%
#* Balda AG 123,448 465,573 0.0%
Basler AG 3,576 175,016 0.0%
Bauer AG 33,835 714,234 0.0%
# BayWa AG(5838057) 73,868 2,500,373 0.1%
BayWa AG(5838068) 124 4,841 0.0%
Bechtle AG 80,333 7,414,481 0.2%
Bertrandt AG 27,357 3,208,593 0.1%
Bijou Brigitte AG 19,236 1,068,288 0.0%
# Bilfinger SE 161,796 7,251,246 0.2%
# Biotest AG 60,306 909,209 0.0%
* BKN International AG 33,408 -- 0.0%
# Borussia Dortmund GmbH & Co. KGaA 473,904 2,109,811 0.1%
CANCOM SE 77,352 3,034,380 0.1%
Carl Zeiss Meditec AG 160,352 4,696,927 0.1%
CENIT AG 50,676 1,000,990 0.0%
CENTROTEC Sustainable AG 40,533 647,402 0.0%
Cewe Stiftung & Co. KGAA 30,523 1,835,801 0.1%
Comdirect Bank AG 173,523 2,099,791 0.1%
# CompuGroup Medical AG 118,345 3,487,164 0.1%
* Constantin Medien AG 340,089 689,005 0.0%
* CropEnergies AG 114,550 708,212 0.0%
CTS Eventim AG & Co. KGaA 216,083 8,457,381 0.2%
Data Modul AG 11,455 450,209 0.0%
* DEAG Deutsche Entertainment AG 13,697 57,690 0.0%
# Delticom AG 28,981 668,748 0.0%
Deutsche Beteiligungs AG 28,192 801,193 0.0%
* Deutsche Lufthansa AG 180,724 2,668,885 0.1%
Deutz AG 599,311 2,245,757 0.1%
* Dialog Semiconductor P.L.C. 364,163 13,472,136 0.4%
DIC Asset AG 72,280 711,151 0.0%
DMG Mori AG 308,295 12,240,883 0.3%
Dr Hoenle AG 25,078 690,408 0.0%
Draegerwerk AG & Co. KGaA 8,894 570,049 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
GERMANY -- (Continued)
Drillisch AG 220,824 $11,388,007 0.3%
Duerr AG 133,802 11,140,724 0.3%
Eckert & Ziegler AG 17,297 364,817 0.0%
Elmos Semiconductor AG 53,117 787,222 0.0%
ElringKlinger AG 130,170 2,912,601 0.1%
Erlus AG 2,970 195,291 0.0%
#* Euromicron AG 32,612 302,170 0.0%
* Evotec AG 1,103,203 4,807,179 0.1%
Fielmann AG 120,175 8,413,304 0.2%
* First Sensor AG 19,888 247,184 0.0%
Francotyp-Postalia Holding AG Class A 53,729 264,210 0.0%
Fraport AG Frankfurt Airport Services Worldwide 32,517 2,061,665 0.1%
Freenet AG 652,809 22,021,682 0.6%
Fuchs Petrolub SE 152,541 6,314,171 0.2%
Gerresheimer AG 201,267 15,693,760 0.4%
# Gerry Weber International AG 92,101 1,499,451 0.0%
Gesco AG 14,489 1,026,705 0.0%
GFK SE 76,236 2,809,328 0.1%
# GFT Technologies SE 93,571 2,759,515 0.1%
# Grammer AG 79,765 2,127,185 0.1%
Grenkeleasing AG 38,535 7,070,393 0.2%
* H&R AG 10,743 97,066 0.0%
Hamburger Hafen und Logistik AG 37,785 546,528 0.0%
#* Heidelberger Druckmaschinen AG 1,385,127 3,976,383 0.1%
Highlight Communications AG 94,846 495,762 0.0%
Hochtief AG 79,951 7,438,058 0.2%
Homag Group AG 10,908 421,693 0.0%
Hornbach Baumarkt AG 15,658 559,434 0.0%
Indus Holding AG 131,598 6,125,792 0.2%
# Init Innovation In Traffic Systems AG 23,180 518,158 0.0%
Isra Vision AG 18,038 1,073,767 0.0%
Jenoptik AG 237,664 3,843,073 0.1%
K+S AG 292,052 7,372,358 0.2%
* Kampa AG 7,101 109 0.0%
KION Group AG 256,895 11,576,174 0.3%
# Kloeckner & Co. SE 555,392 4,947,247 0.1%
* Koenig & Bauer AG 66,442 2,083,650 0.1%
#* Kontron AG 437,004 1,488,540 0.0%
Krones AG 75,044 9,025,893 0.3%
KSB AG 3,466 1,527,755 0.1%
# KUKA AG 137,716 11,638,089 0.3%
KWS Saat SE 16,076 5,197,730 0.2%
Lanxess AG 467,967 25,112,396 0.7%
LEG Immobilien AG 289,571 23,086,112 0.6%
Leifheit AG 12,090 625,692 0.0%
Leoni AG 157,919 6,450,750 0.2%
# LPKF Laser & Electronics AG 112,621 1,045,819 0.0%
#* Manz AG 17,759 819,743 0.0%
* MasterFlex SE 19,347 127,453 0.0%
* Mediclin AG 88,966 351,833 0.0%
#* Medigene AG 49,009 303,178 0.0%
MLP AG 238,272 1,035,561 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
GERMANY -- (Continued)
Mobotix AG 5,162 $ 71,475 0.0%
MTU Aero Engines AG 247,538 22,899,395 0.6%
Muehlbauer Holding AG 291 7,043 0.0%
MVV Energie AG 45,742 1,035,023 0.0%
Nemetschek AG 110,040 4,742,822 0.1%
Nexus AG 48,934 880,666 0.0%
* Nordex SE 307,691 10,050,478 0.3%
Norma Group SE 180,195 9,240,923 0.3%
# OHB SE 34,489 728,533 0.0%
Osram Licht AG 342,154 20,106,408 0.6%
#* Paion AG 134,475 328,176 0.0%
* Patrizia Immobilien AG 202,336 5,562,854 0.2%
Pfeiffer Vacuum Technology AG 54,190 6,748,382 0.2%
# PNE Wind AG 367,537 955,751 0.0%
Progress-Werk Oberkirch AG 7,571 286,398 0.0%
#* PSI AG Gesellschaft Fuer Produkte und Systeme der
Informationstechnologie 27,232 383,227 0.0%
Puma SE 10,528 2,355,986 0.1%
* PVA TePla AG 46,019 127,099 0.0%
* QIAGEN NV 266,211 6,453,909 0.2%
# QSC AG 247,203 433,312 0.0%
# R Stahl AG 14,952 477,290 0.0%
Rational AG 14,996 5,951,021 0.2%
Rheinmetall AG 223,411 14,051,846 0.4%
Rhoen-Klinikum AG 261,051 7,787,332 0.2%
# RIB Software AG 77,072 951,923 0.0%
SAF-Holland SA 248,917 3,633,031 0.1%
Salzgitter AG 196,440 5,664,772 0.2%
# Schaltbau Holding AG 28,415 1,582,335 0.1%
Schloss Wachenheim AG 7,479 118,244 0.0%
* SER Systems AG 9,400 -- 0.0%
#* SGL Carbon SE 290,083 5,322,081 0.2%
SHW AG 15,679 410,476 0.0%
#* Singulus Technologies AG 267,898 168,967 0.0%
Sixt SE 80,910 4,512,627 0.1%
#* SKW Stahl-Metallurgie Holding AG 28,224 130,367 0.0%
#* SMA Solar Technology AG 59,062 2,847,223 0.1%
#* SMT Scharf AG 18,103 224,504 0.0%
Softing AG 21,576 279,268 0.0%
Software AG 309,788 9,000,840 0.3%
#* Solarworld AG 774 11,511 0.0%
Stada Arzneimittel AG 274,278 10,434,164 0.3%
STRATEC Biomedical AG 27,911 1,625,469 0.1%
Stroeer SE 116,515 7,351,541 0.2%
# Suedzucker AG 431,457 8,052,037 0.2%
Surteco SE 23,681 462,273 0.0%
#* Suss Microtec AG 105,674 802,019 0.0%
# TAG Immobilien AG 567,830 7,349,958 0.2%
Takkt AG 160,610 2,982,604 0.1%
Technotrans AG 32,047 627,913 0.0%
* Tom Tailor Holding AG 108,631 719,921 0.0%
#* Tomorrow Focus AG 114,390 419,427 0.0%
USU Software AG 3,377 73,368 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
GERMANY -- (Continued)
* VERBIO Vereinigte BioEnergie AG 26,041 $ 154,144 0.0%
* Vossloh AG 52,719 3,874,173 0.1%
VTG AG 80,128 2,614,356 0.1%
Wacker Chemie AG 77,716 6,820,112 0.2%
Wacker Neuson SE 113,712 1,581,301 0.1%
Washtec AG 12,603 392,518 0.0%
Wincor Nixdorf AG 158,021 8,105,059 0.2%
XING AG 15,678 3,094,714 0.1%
# Zeal Network SE 31,533 1,446,985 0.0%
------------ ----
TOTAL GERMANY 602,247,818 16.5%
------------ ----
GREECE -- (0.0%)
* Alfa Alfa Energy SA 3,810 -- 0.0%
* Alysida SA 2,376 -- 0.0%
* Atlantic Supermarkets SA 34,730 -- 0.0%
* Babis Vovos International Construction SA 21,073 -- 0.0%
* Balafas SA 15,200 -- 0.0%
* Elektroniki Athinon SA 7,497 742 0.0%
* Etma Rayon SA 11,242 -- 0.0%
* Informatics SA 3,778 -- 0.0%
* Ipirotiki Software & Publications SA 22,110 -- 0.0%
* Lan-Net SA 12,688 -- 0.0%
* Neorion Holdings SA 14,991 -- 0.0%
* Promota Hellas SA 8,860 -- 0.0%
* T Bank SA 228,007 -- 0.0%
* Themeliodomi SA 37,422 -- 0.0%
------------ ----
TOTAL GREECE 742 0.0%
------------ ----
IRELAND -- (1.9%)
C&C Group P.L.C.(B010DT8) 399,607 1,596,356 0.1%
C&C Group P.L.C.(B011Y09) 1,077,904 4,292,039 0.1%
Datalex P.L.C. 11,523 33,818 0.0%
FBD Holdings P.L.C. 125,728 936,860 0.0%
Glanbia P.L.C.(0066950) 700,613 13,558,923 0.4%
Glanbia P.L.C.(4058629) 83,878 1,625,375 0.1%
IFG Group P.L.C. 302,015 730,712 0.0%
* Independent News & Media P.L.C. 1,593,163 292,872 0.0%
Irish Continental Group P.L.C.(BLP5857) 361,886 1,965,933 0.1%
Irish Continental Group P.L.C.(BLP59W1) 234,200 1,243,148 0.0%
* Kenmare Resources P.L.C. 4,546,361 141,043 0.0%
Kingspan Group P.L.C. 580,389 14,039,062 0.4%
Paddy Power P.L.C.(BWXC0Z1) 157,699 18,373,777 0.5%
Paddy Power P.L.C.(BWT6H89) 11,062 1,279,986 0.0%
Smurfit Kappa Group P.L.C. 546,377 15,549,351 0.4%
------------ ----
TOTAL IRELAND 75,659,255 2.1%
------------ ----
ISRAEL -- (2.0%)
#* Africa Israel Investments, Ltd. 1,160,746 856,668 0.0%
Africa Israel Properties, Ltd. 72,055 981,687 0.0%
Africa Israel Residences, Ltd. 594 10,817 0.0%
* Airport City, Ltd. 280,979 2,736,372 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
ISRAEL -- (Continued)
Albaad Massuot Yitzhak, Ltd. 466 $ 5,543 0.0%
#* Allot Communications, Ltd. 103,066 581,931 0.0%
# Alrov Properties and Lodgings, Ltd. 39,214 841,152 0.0%
Amot Investments, Ltd. 387,692 1,259,708 0.0%
Arad, Ltd. 1,053 9,339 0.0%
Ashtrom Properties, Ltd. 3,851 10,148 0.0%
#* AudioCodes, Ltd. 163,675 566,589 0.0%
# Avgol Industries 1953, Ltd. 407,132 362,630 0.0%
* Azorim-Investment Development & Construction Co., Ltd. 380,820 270,843 0.0%
Bayside Land Corp. 3,215 990,584 0.0%
Big Shopping Centers, Ltd. 10,971 533,564 0.0%
* BioLine RX, Ltd. 59,630 80,905 0.0%
# Blue Square Real Estate, Ltd. 18,015 482,709 0.0%
* Brack Capital Properties NV 2,454 150,556 0.0%
#* Brainsway, Ltd. 39,554 253,406 0.0%
#* Cellcom Israel, Ltd. 240,677 1,790,817 0.1%
#* Ceragon Networks, Ltd. 95,438 173,683 0.0%
#* Clal Biotechnology Industries, Ltd. 174,162 141,766 0.0%
* Clal Insurance Enterprises Holdings, Ltd. 84,865 1,292,996 0.0%
Cohen Development & Industrial Buildings, Ltd. 2,564 56,410 0.0%
* Compugen, Ltd. 183,598 1,138,413 0.0%
Delek Automotive Systems, Ltd. 155,451 1,476,153 0.1%
# Delta-Galil Industries, Ltd. 45,852 1,442,301 0.1%
Direct Insurance Financial Investments, Ltd. 60,191 441,670 0.0%
El Al Israel Airlines 768,779 363,766 0.0%
Elbit Systems, Ltd. 17,731 1,405,295 0.0%
Electra, Ltd. 8,000 1,016,507 0.0%
# Elron Electronic Industries, Ltd. 62,094 291,004 0.0%
* Energix-Renewable Energies, Ltd. 1 -- 0.0%
* Equital, Ltd. 7,312 127,785 0.0%
#* Evogene, Ltd. 70,559 543,148 0.0%
* EZchip Semiconductor, Ltd. 135,475 3,302,056 0.1%
# First International Bank Of Israel, Ltd. 137,840 1,727,712 0.1%
FMS Enterprises Migun, Ltd. 10,489 199,456 0.0%
Formula Systems 1985, Ltd. 39,602 1,162,268 0.0%
# Fox Wizel, Ltd. 17,221 273,699 0.0%
Frutarom Industries, Ltd. 169,139 7,303,905 0.2%
#* Gilat Satellite Networks, Ltd. 46,364 162,528 0.0%
Golf & Co., Ltd. 74,605 147,917 0.0%
#* Hadera Paper, Ltd. 10,176 288,874 0.0%
# Harel Insurance Investments & Financial Services, Ltd. 462,997 1,955,281 0.1%
Hilan, Ltd. 3,331 43,913 0.0%
IDI Insurance Co., Ltd. 652 32,649 0.0%
# Industrial Buildings Corp., Ltd. 356,888 326,608 0.0%
* Israel Discount Bank, Ltd. Class A 2,847,609 5,208,511 0.2%
Israel Land Development Co., Ltd. (The) 22,310 92,138 0.0%
Ituran Location and Control, Ltd. 84,608 1,736,743 0.1%
* Jerusalem Oil Exploration 41,987 1,677,770 0.1%
#* Kamada, Ltd. 119,151 479,322 0.0%
* Kenon Holdings, Ltd. 636 8,328 0.0%
* Kerur Holdings, Ltd. 2,133 33,809 0.0%
Klil Industries, Ltd. 394 24,454 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
ISRAEL -- (Continued)
Maabarot Products, Ltd. 21,999 $ 258,740 0.0%
Magic Software Enterprises, Ltd. 91,003 496,334 0.0%
Matrix IT, Ltd. 176,473 1,084,673 0.0%
Maytronics, Ltd. 80,788 206,426 0.0%
#* Mazor Robotics, Ltd. 180,104 992,887 0.0%
Meitav DS Investments, Ltd. 38,130 95,798 0.0%
Melisron, Ltd. 52,894 1,844,640 0.1%
Menorah Mivtachim Holdings, Ltd. 116,610 1,019,985 0.0%
Migdal Insurance & Financial Holding, Ltd. 330,806 301,249 0.0%
# Mivtach Shamir Holdings, Ltd. 22,547 449,770 0.0%
* Naphtha Israel Petroleum Corp., Ltd. 158,384 903,633 0.0%
Neto ME Holdings, Ltd. 5,411 328,613 0.0%
#* Nova Measuring Instruments, Ltd. 111,079 1,158,624 0.0%
* Oil Refineries, Ltd. 5,367,932 1,961,738 0.1%
Osem Investments, Ltd. 61,591 1,192,243 0.0%
#* Partner Communications Co., Ltd. 379,431 1,718,065 0.1%
Paz Oil Co., Ltd. 20,754 3,091,758 0.1%
* Perion Network, Ltd. 16,455 35,143 0.0%
Phoenix Holdings, Ltd. (The) 270,273 708,240 0.0%
Plasson Industries, Ltd. 13,484 414,138 0.0%
* Protalix BioTherapeutics, Inc. 1 1 0.0%
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. 32,629 1,537,311 0.1%
Sapiens International Corp. NV 80,760 952,878 0.0%
# Shikun & Binui, Ltd. 928,938 1,695,192 0.1%
#* Shufersal, Ltd. 369,124 1,053,941 0.0%
* Space Communication, Ltd. 17,611 243,422 0.0%
#* Strauss Group, Ltd. 121,404 1,739,140 0.1%
* Summit Real Estate Holdings, Ltd. 29,756 128,984 0.0%
* Tower Semiconductor, Ltd. 228,562 3,125,261 0.1%
#* Union Bank of Israel 126,346 468,496 0.0%
----------- ---
TOTAL ISRAEL 78,082,129 2.1%
----------- ---
ITALY -- (9.5%)
A.S. Roma SpA 24,930 16,721 0.0%
A2A SpA 6,379,077 8,738,216 0.2%
ACEA SpA 277,652 3,991,280 0.1%
* Aedes SpA 691,904 409,149 0.0%
#* Aeffe SpA 167,738 276,246 0.0%
# Alerion Cleanpower SpA 119,152 335,309 0.0%
Amplifon SpA 459,258 3,571,245 0.1%
Anima Holding SpA 48,258 472,507 0.0%
Ansaldo STS SpA 567,271 6,035,509 0.2%
* Arnoldo Mondadori Editore SpA 694,646 846,643 0.0%
Ascopiave SpA 351,354 826,490 0.0%
Astaldi SpA 250,433 2,017,271 0.1%
* Autogrill SpA 625,210 5,819,800 0.2%
Azimut Holding SpA 573,550 13,795,599 0.4%
#* Banca Carige SpA 1,729,312 3,152,120 0.1%
Banca Finnat Euramerica SpA 616,149 338,704 0.0%
Banca Generali SpA 257,872 7,942,386 0.2%
Banca IFIS SpA 103,703 2,557,975 0.1%
* Banca Monte dei Paschi di Siena SpA 1,988,429 3,650,214 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
ITALY -- (Continued)
Banca Popolare dell'Emilia Romagna SC 2,548,728 $20,568,444 0.6%
#* Banca Popolare dell'Etruria e del Lazio SC 1,058,027 254,332 0.0%
Banca Popolare di Milano Scarl 22,383,595 21,002,866 0.6%
Banca Popolare di Sondrio SCARL 1,942,748 8,861,591 0.2%
# Banca Profilo SpA 1,063,385 317,941 0.0%
# Banco di Desio e della Brianza SpA 224,677 767,649 0.0%
* Banco Popolare SC 620,097 9,266,224 0.3%
BasicNet SpA 163,532 713,714 0.0%
* Beghelli SpA 403,187 188,244 0.0%
Biesse SpA 58,289 954,552 0.0%
Brembo SpA 161,253 7,107,392 0.2%
* Brioschi Sviluppo Immobiliare SpA 174,780 17,057 0.0%
# Brunello Cucinelli SpA 97,526 1,763,985 0.1%
Buzzi Unicem SpA 409,864 6,934,946 0.2%
# Cairo Communication SpA 130,659 658,580 0.0%
* Caltagirone Editore SpA 6,277 6,851 0.0%
* Carraro SpA 113,633 240,555 0.0%
# Cembre SpA 39,007 609,044 0.0%
Cementir Holding SpA 325,211 1,817,913 0.1%
* CIR-Compagnie Industriali Riunite SpA 1,860,505 2,054,645 0.1%
Credito Emiliano SpA 397,014 2,836,765 0.1%
* Credito Valtellinese SC 5,732,088 7,215,826 0.2%
* d'Amico International Shipping SA 793,809 609,549 0.0%
Danieli & C Officine Meccaniche SpA 64,484 1,376,997 0.0%
Datalogic SpA 101,262 1,705,654 0.1%
Davide Campari-Milano SpA 1,476,589 12,644,644 0.4%
De'Longhi SpA 269,813 6,600,222 0.2%
DeA Capital SpA 233,245 376,955 0.0%
Delclima 230,295 1,126,847 0.0%
DiaSorin SpA 105,633 4,729,502 0.1%
Ei Towers SpA 85,321 5,173,085 0.1%
El.En. SpA 11,798 549,785 0.0%
Elica SpA 4,665 9,873 0.0%
Engineering SpA 25,068 1,531,406 0.0%
ERG SpA 260,869 3,703,156 0.1%
# Esprinet SpA 158,082 1,424,246 0.0%
#* Eurotech SpA 90,850 172,390 0.0%
Falck Renewables SpA 478,791 598,939 0.0%
FinecoBank Banca Fineco SpA 107,117 809,581 0.0%
FNM SpA 627,039 353,131 0.0%
#* Geox SpA 377,829 1,761,592 0.1%
* Gruppo Editoriale L'Espresso SpA 101,626 109,700 0.0%
# Gruppo MutuiOnline SpA 99,336 921,668 0.0%
Hera SpA 2,988,539 7,842,556 0.2%
* IMMSI SpA 1,202,186 660,496 0.0%
Industria Macchine Automatiche SpA 59,958 3,095,741 0.1%
* Intek Group SpA 1,768,514 547,087 0.0%
Interpump Group SpA 353,040 5,194,591 0.1%
Iren SpA 2,540,951 4,185,858 0.1%
Italcementi SpA 926,791 10,292,654 0.3%
Italmobiliare SpA 45,336 1,956,923 0.1%
* Juventus Football Club SpA 1,857,497 532,182 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
ITALY -- (Continued)
La Doria SpA 54,136 $ 729,926 0.0%
#* Landi Renzo SpA 203,171 174,376 0.0%
#* Maire Tecnimont SpA 628,389 1,809,041 0.1%
MARR SpA 169,025 3,440,604 0.1%
Mediaset SpA 3,022,390 15,340,452 0.4%
Mediolanum SpA 762,499 6,212,105 0.2%
Moleskine SpA 15,614 28,549 0.0%
Moncler SpA 300,019 4,825,787 0.1%
Nice SpA 71,162 200,258 0.0%
Parmalat SpA 906,491 2,357,731 0.1%
# Piaggio & C SpA 851,089 2,111,822 0.1%
#* Prelios SpA 67,017 24,533 0.0%
# Prima Industrie SpA 15,358 255,011 0.0%
Prysmian SpA 991,595 21,413,784 0.6%
#* RCS MediaGroup SpA 1,025,850 818,587 0.0%
Recordati SpA 474,431 11,792,177 0.3%
* Reno de Medici SpA 840,050 308,438 0.0%
Reply SpA 21,983 2,800,578 0.1%
#* Retelit SpA 513,158 338,320 0.0%
* Richard-Ginori 1735 SpA 8,489 -- 0.0%
# Sabaf SpA 25,688 345,466 0.0%
SAES Getters SpA 30,068 265,757 0.0%
#* Safilo Group SpA 159,815 1,984,526 0.1%
#* Saipem SpA 1,172,561 11,015,933 0.3%
Salini Impregilo SpA 1,001,413 4,146,499 0.1%
# Salvatore Ferragamo SpA 206,532 5,605,629 0.2%
#* Saras SpA 1,268,265 2,502,379 0.1%
# SAVE SpA 80,514 1,174,736 0.0%
Servizi Italia SpA 34,833 152,350 0.0%
#* Snai SpA 117,457 139,465 0.0%
Societa Cattolica di Assicurazioni SCRL 627,409 4,896,772 0.1%
Societa Iniziative Autostradali e Servizi SpA 319,349 3,665,829 0.1%
* Sogefi SpA 243,264 588,186 0.0%
SOL SpA 161,050 1,318,642 0.0%
Tamburi Investment Partners SpA 37,478 145,323 0.0%
#* Tiscali SpA 7,838,883 523,684 0.0%
# Tod's SpA 64,208 5,377,575 0.2%
# Trevi Finanziaria Industriale SpA 351,628 453,942 0.0%
# TXT e-solutions SpA 28,342 256,908 0.0%
* Uni Land SpA 51,835 -- 0.0%
Unipol Gruppo Finanziario SpA 1,492,803 6,953,453 0.2%
Vittoria Assicurazioni SpA 118,450 1,310,069 0.0%
#* Yoox Net-A-Porter Group SpA 280,998 9,527,412 0.3%
Zignago Vetro SpA 142,878 929,305 0.0%
------------ ----
TOTAL ITALY 377,811,429 10.3%
------------ ----
NETHERLANDS -- (4.8%)
Aalberts Industries NV 558,677 18,112,490 0.5%
Accell Group 131,423 2,738,881 0.1%
* AFC Ajax NV 18,134 169,666 0.0%
AMG Advanced Metallurgical Group NV 155,390 1,279,058 0.0%
Amsterdam Commodities NV 92,796 2,335,144 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
NETHERLANDS -- (Continued)
#* APERAM SA 270,393 $ 8,325,494 0.2%
Arcadis NV 353,162 8,902,981 0.3%
ASM International NV 290,828 11,094,312 0.3%
* Atag Group NV 4,630 -- 0.0%
BE Semiconductor Industries NV 162,042 3,497,704 0.1%
Beter Bed Holding NV 99,987 2,391,749 0.1%
BinckBank NV 207,080 1,821,556 0.1%
Boskalis Westminster 106,157 5,152,293 0.1%
# Brunel International NV 103,416 1,939,616 0.1%
Corbion NV 334,113 8,204,112 0.2%
Delta Lloyd NV 1,303,842 10,274,313 0.3%
DOCdata NV 22,707 550,478 0.0%
#* Fugro NV 301,565 5,722,362 0.2%
#* Heijmans NV 105,501 887,171 0.0%
Hunter Douglas NV 8,530 353,695 0.0%
KAS Bank NV 80,799 953,596 0.0%
Kendrion NV 67,315 1,622,831 0.1%
* Koninklijke BAM Groep NV 1,401,173 7,717,014 0.2%
Koninklijke Ten Cate NV 168,418 4,555,875 0.1%
Koninklijke Vopak NV 104,372 4,192,674 0.1%
#* Macintosh Retail Group NV 53,398 39,933 0.0%
Mota-Engil Africa NV 28,150 185,517 0.0%
Nederland Apparatenfabriek 27,865 919,493 0.0%
#* Ordina NV 866,273 1,040,200 0.0%
* PostNL NV 2,511,108 10,345,095 0.3%
#* SBM Offshore NV 936,863 12,799,682 0.4%
Sligro Food Group NV 132,450 4,862,721 0.1%
#* SNS Reaal NV 705,718 -- 0.0%
* Telegraaf Media Groep NV 170,034 761,774 0.0%
TKH Group NV 216,865 8,206,301 0.2%
TNT Express NV 2,218,089 18,638,648 0.5%
* TomTom NV 575,952 6,245,916 0.2%
USG People NV 388,987 6,182,696 0.2%
Van Lanschot NV 8,744 206,903 0.0%
Wessanen 469,148 5,039,269 0.1%
------------ ---
TOTAL NETHERLANDS 188,269,213 5.2%
------------ ---
NORWAY -- (2.0%)
# ABG Sundal Collier Holding ASA 1,766,651 1,330,582 0.0%
AF Gruppen ASA 15,312 226,576 0.0%
#* Akastor ASA 917,989 1,197,618 0.0%
# Aker ASA Class A 72,915 1,436,108 0.0%
# American Shipping ASA 196,875 831,282 0.0%
#* Archer 134,011 161,190 0.0%
Arendals Fossekompani A.S. 90 21,767 0.0%
# Atea ASA 330,693 3,074,509 0.1%
Austevoll Seafood ASA 425,892 2,619,184 0.1%
Bakkafrost P/F 169,646 5,449,096 0.2%
#* Biotec Pharmacon ASA 139,685 238,574 0.0%
# Bonheur ASA 93,826 634,880 0.0%
Borregaard ASA 27,935 148,876 0.0%
BW LPG, Ltd. 13,469 91,376 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
NORWAY -- (Continued)
BW Offshore, Ltd. 3,202,396 $ 1,335,169 0.0%
# Deep Sea Supply P.L.C. 708,301 149,787 0.0%
#* Det Norske Oljeselskap ASA 465,731 2,882,895 0.1%
#* DNO ASA 1,539,886 1,556,059 0.1%
* DOF ASA 203,869 128,908 0.0%
Ekornes ASA 111,584 1,186,658 0.0%
* Electromagnetic GeoServices ASA 310,778 23,513 0.0%
Farstad Shipping ASA 63,512 88,964 0.0%
#* Fred Olsen Energy ASA 124,661 582,598 0.0%
#* Frontline, Ltd. 444,633 1,389,333 0.0%
Ganger Rolf ASA 56,880 358,251 0.0%
# Grieg Seafood ASA 176,846 631,694 0.0%
# Hexagon Composites ASA 344,201 530,528 0.0%
# Hoegh LNG Holdings, Ltd. 183,008 2,200,655 0.1%
* Kongsberg Automotive ASA 1,995,646 1,153,572 0.0%
Kvaerner ASA 1,616,475 1,018,523 0.0%
Leroy Seafood Group ASA 70,542 2,474,340 0.1%
#* Nordic Semiconductor ASA 580,588 2,790,308 0.1%
#* Norske Skogindustrier ASA 709,859 191,371 0.0%
#* Norwegian Air Shuttle ASA 149,161 5,481,230 0.2%
Ocean Yield ASA 1,916 15,444 0.0%
* Odfjell SE Class A 134,257 426,112 0.0%
Olav Thon Eiendomsselskap ASA 115,054 1,922,339 0.1%
# Opera Software ASA 514,924 3,217,195 0.1%
# Petroleum Geo-Services ASA 545,070 2,280,706 0.1%
#* PhotoCure ASA 52,582 238,314 0.0%
Prosafe SE 1,049,727 2,911,655 0.1%
#* Q-Free ASA 179,836 208,454 0.0%
#* REC Silicon ASA 14,281,005 2,566,940 0.1%
Salmar ASA 101,001 1,652,427 0.1%
#* Sevan Marine ASA 124,800 233,576 0.0%
* Siem Offshore, Inc. 606,183 128,061 0.0%
# Solstad Offshore ASA 62,524 190,848 0.0%
#* Songa Offshore 4,519,417 637,541 0.0%
SpareBank 1 SMN 131,684 825,658 0.0%
SpareBank 1 SR-Bank ASA 164,694 786,718 0.0%
Stolt-Nielsen, Ltd. 119,555 1,615,446 0.1%
* Storebrand ASA 15,790 55,096 0.0%
Tomra Systems ASA 647,834 6,911,698 0.2%
Veidekke ASA 383,880 4,876,501 0.1%
Wilh Wilhelmsen ASA 249,256 1,080,919 0.0%
# Wilh Wilhelmsen Holding ASA Class A 61,068 1,225,760 0.0%
----------- ---
TOTAL NORWAY 77,623,382 2.1%
----------- ---
PORTUGAL -- (1.5%)
Altri SGPS SA 577,518 2,730,801 0.1%
* Banco BPI SA 2,302,313 2,792,878 0.1%
#* Banco Comercial Portugues SA Class R 315,057,219 18,059,890 0.5%
* Banco Espirito Santo SA 4,777,921 -- 0.0%
Corticeira Amorim SGPS SA 159,571 860,047 0.0%
CTT-Correios de Portugal SA 393,843 4,473,510 0.1%
EDP Renovaveis SA 423,786 3,074,478 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
PORTUGAL -- (Continued)
Ibersol SGPS SA 20,401 $ 217,441 0.0%
#* Impresa SGPS SA 187,798 127,459 0.0%
# Mota-Engil SGPS SA 386,187 966,010 0.0%
NOS SGPS SA 1,025,253 8,508,113 0.3%
Novabase SGPS SA 65,729 160,914 0.0%
Portucel SA 2,010,412 8,184,724 0.2%
REN - Redes Energeticas Nacionais SGPS SA 1,280,761 3,902,965 0.1%
* Sonae Capital SGPS SA 58,125 26,952 0.0%
* Sonae Industria SGPS SA 45,984,629 459,250 0.0%
Sonae SGPS SA 4,447,452 5,313,800 0.2%
Teixeira Duarte SA 710,639 354,884 0.0%
----------- ---
TOTAL PORTUGAL 60,214,116 1.7%
----------- ---
SPAIN -- (5.5%)
# Abengoa SA Class A 204,834 243,443 0.0%
# Abengoa SA Class B 1,881,381 1,822,121 0.1%
Acciona SA 128,365 10,768,486 0.3%
# Acerinox SA 613,463 6,628,077 0.2%
# Adveo Group International SA 104,096 594,943 0.0%
Almirall SA 289,516 5,572,697 0.2%
#* Amper SA 211,940 35,142 0.0%
Applus Services SA 1,658 14,752 0.0%
Atresmedia Corp de Medios de Comunicacion SA 314,885 4,032,703 0.1%
Azkoyen SA 64,022 206,658 0.0%
Bankinter SA 298,301 2,157,360 0.1%
* Baron de Ley 13,454 1,373,772 0.0%
# Bolsas y Mercados Espanoles SHMSF SA 410,153 14,715,419 0.4%
#* Caja de Ahorros del Mediterraneo 116,412 -- 0.0%
#* Cementos Portland Valderrivas SA 68,410 383,954 0.0%
Cia de Distribucion Integral Logista Holdings SA 5,967 119,109 0.0%
Cie Automotive SA 249,123 3,989,849 0.1%
Clinica Baviera SA 3,698 22,669 0.0%
Construcciones y Auxiliar de Ferrocarriles SA 8,056 2,248,806 0.1%
Distribuidora Internacional de Alimentacion SA 2,594,077 16,481,708 0.5%
# Duro Felguera SA 249,634 586,438 0.0%
Ebro Foods SA 366,900 6,949,322 0.2%
# Elecnor SA 191,752 1,695,535 0.1%
Ence Energia y Celulosa SA 1,137,185 3,974,828 0.1%
#* Ercros SA 747,576 669,617 0.0%
Faes Farma SA 1,304,836 3,506,077 0.1%
Fluidra SA 155,559 545,918 0.0%
#* Fomento de Construcciones y Contratas SA 652,443 4,966,927 0.1%
Gamesa Corp. Tecnologica SA 1,266,922 19,996,276 0.6%
Grupo Catalana Occidente SA 198,219 6,146,040 0.2%
#* Grupo Ezentis SA 807,544 530,098 0.0%
Iberpapel Gestion SA 36,518 663,265 0.0%
#* Indra Sistemas SA 564,890 6,043,426 0.2%
* Inmobiliaria Colonial SA 6,457,499 4,775,665 0.1%
Inmobiliaria del Sur SA 2,902 30,253 0.0%
# Laboratorios Farmaceuticos Rovi SA 68,607 1,032,735 0.0%
* Liberbank SA 4,669,282 2,887,702 0.1%
Mediaset Espana Comunicacion SA 879,043 10,665,889 0.3%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SPAIN -- (Continued)
Melia Hotels International SA 418,376 $ 6,041,365 0.2%
# Miquel y Costas & Miquel SA 36,394 1,300,171 0.0%
#* NH Hotel Group SA 1,249,728 7,638,183 0.2%
Nmas1 Dinamia SA 20,438 177,474 0.0%
# Obrascon Huarte Lain SA(5379749) 187,597 1,500,436 0.0%
Obrascon Huarte Lain SA(BZBWTC4) 375,194 3,009,375 0.1%
Papeles y Cartones de Europa SA 249,762 1,416,886 0.0%
* Pescanova SA 68,547 -- 0.0%
Prim SA 39,424 389,055 0.0%
#* Promotora de Informaciones SA Class A 265,465 1,472,261 0.0%
Prosegur Cia de Seguridad SA 1,278,572 5,688,840 0.2%
#* Quabit Inmobiliaria SA 3,826,780 352,047 0.0%
* Realia Business SA 503,895 396,039 0.0%
# Sacyr SA 953,267 2,398,386 0.1%
* Sociedad Nacional de Industrias Apicaciones Celulosa Espanola SA 75,494 3,051 0.0%
#* Solaria Energia y Medio Ambiente SA 207,171 175,932 0.0%
Tecnicas Reunidas SA 162,010 7,215,420 0.2%
* Telecomunicaciones y Energia 146,125 178,266 0.0%
Tubacex SA 628,121 1,346,584 0.0%
# Tubos Reunidos SA 510,636 535,660 0.0%
# Vidrala SA 80,878 3,827,423 0.1%
Viscofan SA 229,641 13,393,832 0.4%
* Vocento SA 231,302 436,385 0.0%
Zardoya Otis SA 584,486 7,186,823 0.2%
* Zeltia SA 983,996 4,365,671 0.1%
------------ ---
TOTAL SPAIN 217,523,244 6.0%
------------ ---
SWEDEN -- (7.9%)
# AAK AB 127,270 9,163,835 0.3%
# Acando AB 262,743 428,383 0.0%
AddNode Group AB 22,737 154,982 0.0%
AddTech AB Class B 273,182 3,872,462 0.1%
AF AB Class B 284,763 4,211,167 0.1%
* Arcam AB 2,348 43,948 0.0%
* Arise AB 36,861 72,405 0.0%
# Atrium Ljungberg AB Class B 87,571 1,358,012 0.0%
Avanza Bank Holding AB 94,154 3,723,824 0.1%
Axfood AB 302,491 5,458,769 0.2%
B&B Tools AB Class B 106,851 1,394,697 0.0%
* BE Group AB 26,705 5,323 0.0%
# Beijer Alma AB 109,736 2,543,023 0.1%
Beijer Electronics AB 53,995 332,360 0.0%
Beijer Ref AB Class B 67,278 1,495,182 0.0%
Betsson AB 443,610 7,214,759 0.2%
Bilia AB Class A 219,410 4,598,908 0.1%
BillerudKorsnas AB 329,463 5,962,401 0.2%
BioGaia AB Class B 80,262 2,604,536 0.1%
Biotage AB 183,176 415,319 0.0%
Bjorn Borg AB 757 2,552 0.0%
# Bulten AB 58,620 577,115 0.0%
Bure Equity AB 316,106 2,050,264 0.1%
Byggmax Group AB 255,429 2,074,300 0.1%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SWEDEN -- (Continued)
Castellum AB 752,169 $11,258,078 0.3%
Catena AB 53,725 756,706 0.0%
Cavotec SA 16,457 51,273 0.0%
Clas Ohlson AB Class B 174,360 2,648,861 0.1%
* Cloetta AB Class B 1,067,829 3,181,937 0.1%
Com Hem Holding AB 1,361 11,626 0.0%
Concentric AB 195,958 2,266,860 0.1%
#* Concordia Maritime AB Class B 100,760 211,971 0.0%
Corem Property Group AB Class B 2,296 7,010 0.0%
Dios Fastigheter AB 168,653 1,237,573 0.0%
* Doro AB 109,376 640,229 0.0%
Duni AB 195,109 2,960,481 0.1%
* East Capital Explorer AB 47,726 279,467 0.0%
Elekta AB Class B 118,752 918,833 0.0%
# Enea AB 63,008 603,137 0.0%
#* Eniro AB 1,790,180 273,227 0.0%
Fabege AB 651,224 10,345,869 0.3%
Fagerhult AB 61,437 1,047,135 0.0%
* Fastighets AB Balder 273,718 5,513,940 0.2%
Fenix Outdoor International AG 8,198 316,884 0.0%
Gunnebo AB 135,155 625,923 0.0%
Haldex AB 218,762 2,111,359 0.1%
# Heba Fastighets AB Class B 42,288 466,928 0.0%
Hemfosa Fastigheter AB 465,893 5,052,020 0.1%
Hexpol AB 1,036,985 10,072,934 0.3%
HIQ International AB 254,315 1,443,438 0.0%
HMS Networks AB 7,040 180,803 0.0%
Holmen AB Class B 264,932 7,986,329 0.2%
Hufvudstaden AB Class A 252,199 3,563,451 0.1%
Industrial & Financial Systems Class B 80,438 3,107,503 0.1%
# Indutrade AB 121,468 5,775,946 0.2%
Intrum Justitia AB 385,511 13,831,068 0.4%
ITAB Shop Concept AB Class B 8,692 252,614 0.0%
JM AB 360,265 10,182,352 0.3%
KappAhl AB 236,160 800,556 0.0%
#* Karolinska Development AB Class B 90,079 105,485 0.0%
Klovern AB Class A 75,336 77,455 0.0%
# Klovern AB Class B 1,939,305 2,006,825 0.1%
# KNOW IT AB 37,332 237,468 0.0%
Kungsleden AB 758,029 5,677,261 0.2%
Lagercrantz Group AB Class B 235,329 1,782,012 0.1%
Lindab International AB 273,194 1,864,695 0.1%
Loomis AB Class B 308,465 8,005,634 0.2%
* Medivir AB Class B 112,463 999,470 0.0%
# Mekonomen AB 112,051 2,651,822 0.1%
Modern Times Group MTG AB Class B 264,332 7,498,261 0.2%
MQ Holding AB 129,593 646,466 0.0%
Mycronic AB 377,276 2,690,361 0.1%
NCC AB Class A 9,901 303,239 0.0%
# NCC AB Class B 103,534 3,202,051 0.1%
Nederman Holding AB 4,621 121,527 0.0%
* Net Insight AB Class B 1,229,052 387,593 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SWEDEN -- (Continued)
# NetEnt AB 146,096 $ 8,299,005 0.2%
# New Wave Group AB Class B 189,623 842,404 0.0%
Nibe Industrier AB Class B 367,650 11,838,609 0.3%
Nobia AB 644,291 7,890,710 0.2%
Nolato AB Class B 117,664 3,227,877 0.1%
Nordnet AB Class B 388,808 1,379,085 0.0%
OEM International AB Class B 44,190 662,895 0.0%
# Opus Group AB 490,957 320,467 0.0%
* Oriflame Holding AG 138,456 1,918,294 0.1%
Peab AB 798,464 6,103,817 0.2%
#* Pricer AB Class B 571,299 619,459 0.0%
Proact IT Group AB 39,943 604,288 0.0%
Probi AB 8,661 144,750 0.0%
Proffice AB Class B 241,617 583,520 0.0%
#* Qliro Group AB 359,530 360,987 0.0%
Ratos AB Class B 1,069,160 6,240,468 0.2%
* RaySearch Laboratories AB 69,336 871,977 0.0%
Recipharm AB Class B 439 7,524 0.0%
Rezidor Hotel Group AB 404,430 1,715,496 0.1%
Saab AB Class B 259,567 7,309,948 0.2%
Sagax AB Class B 74,354 593,144 0.0%
#* SAS AB 764,131 1,473,736 0.0%
#* Seamless Distribution AB 16,641 19,034 0.0%
Sectra AB Class B 58,461 719,308 0.0%
# Semcon AB 100,425 430,469 0.0%
* Sensys Gatso Group AB 223,860 142,168 0.0%
SkiStar AB 108,097 1,570,108 0.0%
#* SSAB AB Class A(B17H0S8) 1,028,423 3,707,844 0.1%
#* SSAB AB Class A(BPRBWK4) 189,016 685,168 0.0%
* SSAB AB Class B(B17H3F6) 172,820 545,448 0.0%
* SSAB AB Class B(BPRBWM6) 515,343 1,641,188 0.1%
Sweco AB 78,029 1,141,632 0.0%
# Sweco AB Class B 186,042 2,724,851 0.1%
* Swedish Orphan Biovitrum AB 79,301 1,203,915 0.0%
Swedol AB Class B 37,176 88,619 0.0%
# Systemair AB 47,772 639,293 0.0%
* Transcom Worldwide AB 35,939 338,155 0.0%
Tribona AB 182,724 912,817 0.0%
Unibet Group P.L.C. 131,046 11,541,468 0.3%
VBG Group AB Class B 137 1,919 0.0%
#* Victoria Park AB 16,043 26,727 0.0%
* Victoria Park AB Class B 44,686 73,228 0.0%
# Vitrolife AB 70,710 1,642,802 0.1%
Wallenstam AB Class B 785,619 6,958,021 0.2%
Wihlborgs Fastigheter AB 285,214 5,576,106 0.2%
------------ ---
TOTAL SWEDEN 313,339,220 8.6%
------------ ---
SWITZERLAND -- (12.0%)
#* AFG Arbonia-Forster Holding AG 183,624 1,778,525 0.1%
Allreal Holding AG 58,775 7,788,473 0.2%
# Alpiq Holding AG 10,407 1,098,890 0.0%
ALSO Holding AG 15,664 958,480 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SWITZERLAND -- (Continued)
ams AG 372,640 $11,924,558 0.3%
APG SGA SA 7,581 3,053,175 0.1%
Aryzta AG 58,423 2,630,788 0.1%
Ascom Holding AG 212,982 4,036,993 0.1%
Autoneum Holding AG 16,300 2,992,299 0.1%
Bachem Holding AG Class B 23,344 1,188,278 0.0%
Baloise Holding AG 76,271 9,144,648 0.3%
Bank Coop AG 30,632 1,270,184 0.0%
Banque Cantonale de Geneve 3,968 1,027,865 0.0%
Banque Cantonale du Jura 4,442 263,430 0.0%
Banque Cantonale Vaudoise 8,354 5,144,522 0.1%
Barry Callebaut AG 1,463 1,753,173 0.1%
# Basler Kantonalbank 5,896 402,260 0.0%
Belimo Holding AG 2,156 4,619,070 0.1%
Bell AG 384 1,055,462 0.0%
Bellevue Group AG 38,832 545,774 0.0%
# Berner Kantonalbank AG 22,470 4,181,746 0.1%
BFW Liegenschaften AG 620 20,812 0.0%
BKW AG 64,177 2,433,646 0.1%
Bobst Group SA 44,716 1,894,625 0.1%
Bossard Holding AG Class A 32,905 3,203,383 0.1%
Bucher Industries AG 32,790 7,462,181 0.2%
Burckhardt Compression Holding AG 11,640 4,055,493 0.1%
Burkhalter Holding AG 20,988 2,239,576 0.1%
Calida Holding AG 25,084 847,409 0.0%
Carlo Gavazzi Holding AG 1,415 297,615 0.0%
Cembra Money Bank AG 58,001 3,458,037 0.1%
# Cham Paper Holding AG 1,894 481,727 0.0%
* Charles Voegele Holding AG 41,895 372,492 0.0%
Cicor Technologies 5,936 144,164 0.0%
Cie Financiere Tradition SA 9,458 592,131 0.0%
Clariant AG 762,046 14,012,763 0.4%
Coltene Holding AG 20,758 1,356,806 0.0%
Conzzeta AG 5,871 3,643,791 0.1%
* Cosmo Pharmaceuticals SA 3,507 538,864 0.0%
Daetwyler Holding AG 37,940 5,318,737 0.1%
DKSH Holding AG 91,087 5,547,605 0.2%
# dorma+kaba Holding AG Class B 16,675 10,397,693 0.3%
* Dufry AG 81,320 9,500,227 0.3%
Edmond de Rothschild Suisse SA 152 2,650,989 0.1%
EFG International AG 285,498 2,870,158 0.1%
Emmi AG 12,810 5,794,486 0.2%
Energiedienst Holding AG 68,912 1,739,808 0.1%
Feintool International Holding AG 7,642 711,695 0.0%
Flughafen Zuerich AG 22,078 16,710,360 0.5%
Forbo Holding AG 6,853 7,793,160 0.2%
# Galenica AG 10,976 16,078,707 0.4%
GAM Holding AG 925,197 16,924,123 0.5%
Gategroup Holding AG 146,738 5,501,809 0.2%
Georg Fischer AG 22,511 13,830,804 0.4%
Gurit Holding AG 1,979 1,106,702 0.0%
Helvetia Holding AG 35,945 18,800,020 0.5%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
SWITZERLAND -- (Continued)
HOCHDORF Holding AG 1,228 $ 207,138 0.0%
Huber & Suhner AG 64,973 2,804,482 0.1%
Implenia AG 85,074 4,216,560 0.1%
Inficon Holding AG 9,382 2,680,613 0.1%
Interroll Holding AG 3,127 2,419,050 0.1%
Intershop Holding AG 7,250 3,077,569 0.1%
Jungfraubahn Holding AG 3,095 296,442 0.0%
Kardex AG 36,063 2,691,875 0.1%
Komax Holding AG 18,811 3,130,688 0.1%
Kudelski SA 195,049 2,621,624 0.1%
Kuoni Reisen Holding AG 19,325 4,001,276 0.1%
LEM Holding SA 3,773 2,661,452 0.1%
Liechtensteinische Landesbank AG 27,038 963,178 0.0%
* LifeWatch AG 3,723 60,441 0.0%
# Logitech International SA 848,062 12,458,581 0.3%
Lonza Group AG 57,832 8,488,565 0.2%
Luzerner Kantonalbank AG 16,828 6,206,258 0.2%
MCH Group AG 1,404 83,881 0.0%
Metall Zug AG 862 2,197,906 0.1%
#* Meyer Burger Technology AG 395,076 2,824,259 0.1%
Micronas Semiconductor Holding AG 149,956 638,672 0.0%
Mobilezone Holding AG 137,467 2,036,973 0.1%
Mobimo Holding AG 29,478 6,357,422 0.2%
OC Oerlikon Corp. AG 929,429 8,918,714 0.2%
* Orascom Development Holding AG 60,240 787,950 0.0%
#* Orell Fuessli Holding AG 5,028 564,779 0.0%
Orior AG 27,189 1,525,827 0.0%
Panalpina Welttransport Holding AG 63,044 7,197,759 0.2%
* Parco Industriale e Immobiliare SA 600 -- 0.0%
Phoenix Mecano AG 2,998 1,424,095 0.0%
* Plazza AG 5,852 1,163,022 0.0%
PSP Swiss Property AG 172,407 14,997,704 0.4%
Rieter Holding AG 17,376 2,865,110 0.1%
Romande Energie Holding SA 2,625 2,473,862 0.1%
Schaffner Holding AG 2,950 635,054 0.0%
* Schmolz + Bickenbach AG 2,457,257 1,340,316 0.0%
Schweiter Technologies AG 4,397 3,520,326 0.1%
SFS Group AG 242 15,600 0.0%
Siegfried Holding AG 21,833 4,372,590 0.1%
# St Galler Kantonalbank AG 11,338 4,099,870 0.1%
Straumann Holding AG 55,594 15,730,952 0.4%
# Sulzer AG 122,816 12,410,029 0.3%
Swissquote Group Holding SA 45,894 1,105,119 0.0%
Tamedia AG 14,403 2,427,576 0.1%
Tecan Group AG 37,394 5,093,666 0.1%
Temenos Group AG 318,043 14,857,171 0.4%
* Tornos Holding AG 21,605 66,820 0.0%
U-Blox AG 30,554 5,902,026 0.2%
Valiant Holding AG 83,445 9,633,802 0.3%
Valora Holding AG 15,317 3,080,554 0.1%
Vaudoise Assurances Holding SA Class B 5,071 2,626,674 0.1%
Vetropack Holding AG 856 1,317,845 0.0%
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
SWITZERLAND -- (Continued)
* Von Roll Holding AG 250,484 $ 190,257 0.0%
Vontobel Holding AG 136,975 6,748,451 0.2%
VP Bank AG 4,376 351,758 0.0%
VZ Holding AG 3,577 1,113,935 0.0%
Walliser Kantonalbank 1,393 1,059,998 0.0%
Walter Meier AG 22,913 781,310 0.0%
Ypsomed Holding AG 11,428 1,502,035 0.0%
Zehnder Group AG 57,019 1,941,890 0.1%
Zug Estates Holding AG 612 881,718 0.0%
Zuger Kantonalbank AG 606 2,846,022 0.1%
-------------- ----
TOTAL SWITZERLAND 475,888,282 13.0%
-------------- ----
UNITED KINGDOM -- (0.0%)
* Stallergenes Greer P.L.C. 12,201 543,382 0.0%
-------------- ----
UNITED STATES -- (0.0%)
* Infinera Corp. 34,602 683,736 0.0%
Ormat Technologies, Inc. -- 16 0.0%
-------------- ----
TOTAL UNITED STATES 683,752 0.0%
-------------- ----
TOTAL COMMON STOCKS 3,623,811,247 99.2%
-------------- ----
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
Biotest AG 31,089 437,153 0.0%
Draegerwerk AG & Co. KGaA 13,625 981,173 0.0%
FUCHS PETROLUB SE 157,541 7,555,515 0.2%
Jungheinrich AG 81,837 6,045,891 0.2%
Sartorius AG 23,601 5,337,939 0.2%
Sixt SE 24,181 1,039,511 0.0%
STO SE & Co. KGaA 3,548 462,458 0.0%
Villeroy & Boch AG 41,209 607,668 0.0%
-------------- ----
TOTAL GERMANY 22,467,308 0.6%
-------------- ----
TOTAL PREFERRED STOCKS 22,467,308 0.6%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
AUSTRIA -- (0.0%)
* Intercell AG Rights 254,689 -- 0.0%
-------------- ----
FRANCE -- (0.0%)
#* Euro Disney SCA Rights(BVL80R6) 68,806 -- 0.0%
* Euro Disney SCA Rights(BVZHYB1) 688,060 -- 0.0%
#* Technicolor SA Rights 11/04/15 1,482,868 365,262 0.0%
-------------- ----
TOTAL FRANCE 365,262 0.0%
-------------- ----
ITALY -- (0.0%)
* Mediolanum SpA Rights 11/26/15 762,499 -- 0.0%
-------------- ----
SPAIN -- (0.0%)
* Papeles y Cartones de Europa SA Rights 249,762 54,381 0.0%
-------------- ----
TOTAL RIGHTS/WARRANTS 419,643 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES 3,646,698,198
--------------
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
SECURITIES LENDING COLLATERAL -- (7.8%)
(S)@ DFA Short Term Investment Fund 26,763,766 $ 309,656,768 8.5%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $3,379,161,142) $3,956,354,966 108.3%
============== =====
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, 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 -- $ 100,876,537 -- $ 100,876,537
Belgium -- 160,817,484 -- 160,817,484
Denmark -- 180,111,800 -- 180,111,800
Finland -- 256,988,942 -- 256,988,942
France $ 13,584 457,116,936 -- 457,130,520
Germany -- 602,247,818 -- 602,247,818
Greece -- 742 -- 742
Ireland -- 75,659,255 -- 75,659,255
Israel -- 78,082,129 -- 78,082,129
Italy -- 377,811,429 -- 377,811,429
Netherlands -- 188,269,213 -- 188,269,213
Norway -- 77,623,382 -- 77,623,382
Portugal -- 60,214,116 -- 60,214,116
Spain -- 217,523,244 -- 217,523,244
Sweden -- 313,339,220 -- 313,339,220
Switzerland -- 475,888,282 -- 475,888,282
United Kingdom 543,382 -- -- 543,382
United States 683,736 16 -- 683,752
Preferred Stocks
Germany -- 22,467,308 -- 22,467,308
Rights/Warrants
Austria -- -- -- --
France -- 365,262 -- 365,262
Italy -- -- -- --
Spain -- 54,381 -- 54,381
Securities Lending Collateral -- 309,656,768 -- 309,656,768
Futures Contracts** (18,791) -- -- (18,791)
---------- -------------- -- --------------
TOTAL $1,221,911 $3,955,114,264 -- $3,956,336,175
========== ============== == ==============
** Not reflected in the Schedule of Investments, valued at the unrealized
appreciation/(depreciation) on the investment. (Note H)
THE CANADIAN SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2015
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
COMMON STOCKS -- (76.9%)
Consumer Discretionary -- (9.4%)
# Aimia, Inc. 171,864 $ 1,590,360 0.3%
# AutoCanada, Inc. 130,981 3,173,354 0.5%
# BMTC Group, Inc. 17,481 197,523 0.0%
* BRP, Inc. 41,500 747,102 0.1%
Cineplex, Inc. 294,735 11,357,981 1.8%
Cogeco Cable, Inc. 14,180 732,315 0.1%
Cogeco, Inc. 36,765 1,558,211 0.3%
# Corus Entertainment, Inc. Class B 468,941 4,472,082 0.7%
DHX Media, Ltd. 400 2,602 0.0%
Dorel Industries, Inc. Class B 169,797 4,317,643 0.7%
# EnerCare, Inc. 438,600 5,121,919 0.8%
# Gamehost, Inc. 41,992 330,772 0.1%
# Glacier Media, Inc. 137,300 86,101 0.0%
# goeasy, Ltd. 3,600 46,198 0.0%
* Great Canadian Gaming Corp. 299,800 4,138,414 0.7%
* IMAX Corp. 259,917 9,978,214 1.6%
* Indigo Books & Music, Inc. 2,302 19,717 0.0%
# Leon's Furniture, Ltd. 138,475 1,498,487 0.2%
Martinrea International, Inc. 476,656 4,042,609 0.7%
#* Mood Media Corp. 306,613 75,035 0.0%
MTY Food Group, Inc. 71,063 1,647,775 0.3%
* Performance Sports Group, Ltd. 66,703 765,177 0.1%
# Pizza Pizza Royalty Corp. 79,226 828,856 0.1%
Reitmans Canada, Ltd. Class A 260,312 967,510 0.2%
RONA, Inc. 676,245 7,059,303 1.1%
#* Sears Canada, Inc. 50,217 346,020 0.1%
# Torstar Corp. Class B 283,089 876,805 0.1%
* TVA Group, Inc. Class B 7,000 25,294 0.0%
Uni-Select, Inc. 105,935 5,249,761 0.8%
Whistler Blackcomb Holdings, Inc. 178,805 2,758,104 0.5%
* Yellow Pages, Ltd. 147,535 1,910,192 0.3%
----------- ----
Total Consumer Discretionary 75,921,436 12.2%
----------- ----
Consumer Staples -- (3.6%)
AGT Food & Ingredients, Inc. 125,802 2,812,169 0.5%
Andrew Peller, Ltd. Class A 3,400 47,323 0.0%
Clearwater Seafoods, Inc. 80,257 770,286 0.1%
Corby Spirit and Wine, Ltd. 70,767 1,078,607 0.2%
Cott Corp. 509,721 5,320,963 0.9%
# High Liner Foods, Inc. 83,191 820,077 0.1%
# Liquor Stores N.A., Ltd. 162,911 1,514,988 0.2%
Maple Leaf Foods, Inc. 317,864 5,053,833 0.8%
* Neptune Technologies & Bioressources, Inc. 22,102 23,664 0.0%
North West Co., Inc. (The) 242,310 5,373,960 0.9%
# Premium Brands Holdings Corp. 106,943 2,810,975 0.4%
# Rogers Sugar, Inc. 505,571 1,569,760 0.3%
#* SunOpta, Inc. 288,340 1,550,191 0.2%
----------- ----
Total Consumer Staples 28,746,796 4.6%
----------- ----
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Energy -- (15.8%)
* Advantage Oil & Gas, Ltd. 1,100,531 $6,118,737 1.0%
AKITA Drilling, Ltd. Class A 40,600 254,604 0.0%
#* Athabasca Oil Corp. 828,343 988,234 0.2%
* Bankers Petroleum, Ltd. 1,376,399 2,315,752 0.4%
# Baytex Energy Corp. 91,162 370,895 0.1%
#* Bellatrix Exploration, Ltd. 967,258 1,590,398 0.3%
* Birchcliff Energy, Ltd. 530,916 2,314,332 0.4%
#* BlackPearl Resources, Inc. 1,397,501 940,502 0.2%
#* BNK Petroleum, Inc. 554,116 165,269 0.0%
# Bonavista Energy Corp. 1,035,276 2,311,874 0.4%
# Bonterra Energy Corp. 175,395 2,912,072 0.5%
* Boulder Energy, Ltd. 261,638 1,004,453 0.2%
# Calfrac Well Services, Ltd. 389,570 688,213 0.1%
#* Canacol Energy, Ltd. 452,342 1,048,176 0.2%
# Canadian Energy Services & Technology Corp. 953,842 4,121,449 0.7%
# Canyon Services Group, Inc. 309,470 1,154,951 0.2%
# Cathedral Energy Services, Ltd. 164,270 145,727 0.0%
#* Cequence Energy, Ltd. 863,916 303,917 0.0%
#* Chinook Energy, Inc. 496,199 216,300 0.0%
* Corridor Resources, Inc. 373,046 109,837 0.0%
#* Crew Energy, Inc. 767,471 2,611,843 0.4%
#* Delphi Energy Corp. 901,739 503,418 0.1%
#* Denison Mines Corp. 2,178,471 882,984 0.1%
# Enbridge Income Fund Holdings, Inc. 251,755 6,187,982 1.0%
# Enerflex, Ltd. 436,563 4,213,387 0.7%
#* Energy Fuels, Inc. 76,572 208,470 0.0%
# Enerplus Corp. 349,233 1,647,880 0.3%
Ensign Energy Services, Inc. 758,725 4,769,593 0.8%
#* Epsilon Energy, Ltd. 260,061 536,987 0.1%
* Essential Energy Services Trust 628,241 326,708 0.1%
#* Gasfrac Energy Services, Inc. 91,560 9 0.0%
Gibson Energy, Inc. 150,074 2,000,451 0.3%
#* Gran Tierra Energy, Inc. 1,395,612 3,372,693 0.5%
Granite Oil Corp. 195,608 1,114,468 0.2%
#* Ithaca Energy, Inc. 1,599,055 1,100,604 0.2%
#* Kelt Exploration, Ltd. 251,041 923,453 0.1%
# Lightstream Resources, Ltd. 1,035,197 300,837 0.0%
# Long Run Exploration, Ltd. 849,601 211,166 0.0%
McCoy Global, Inc. 51,537 116,664 0.0%
# Mullen Group, Ltd. 536,825 7,168,067 1.2%
Newalta Corp. 272,371 1,553,906 0.2%
North American Energy Partners, Inc. 129,534 297,187 0.0%
* NuVista Energy, Ltd. 707,869 2,501,036 0.4%
# Pacific Exploration and Production Corp. 463,400 903,694 0.1%
* Painted Pony Petroleum, Ltd. 524,254 1,788,141 0.3%
* Parex Resources, Inc. 586,904 4,407,615 0.7%
# Parkland Fuel Corp. 414,677 7,214,669 1.2%
Pason Systems, Inc. 356,252 5,241,885 0.8%
# Pengrowth Energy Corp. 2,540,243 2,486,625 0.4%
# Penn West Petroleum, Ltd. 535,640 622,647 0.1%
#* Perpetual Energy, Inc. 383,029 205,048 0.0%
# PHX Energy Services Corp. 135,274 265,872 0.0%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Energy -- (Continued)
Precision Drilling Corp. 1,736,481 $ 6,905,553 1.1%
# Pulse Seismic, Inc. 268,280 473,942 0.1%
#* Questerre Energy Corp. Class A 745,460 125,422 0.0%
#* RMP Energy, Inc. 678,628 928,988 0.1%
* Rock Energy, Inc. 237,075 264,706 0.0%
# Savanna Energy Services Corp. 472,479 419,146 0.1%
# Secure Energy Services, Inc. 631,339 4,195,729 0.7%
ShawCor, Ltd. 233,800 4,961,724 0.8%
#* Sprott Resource Corp. 455,390 208,958 0.0%
Strad Energy Services, Ltd. 39,947 67,210 0.0%
# Surge Energy, Inc. 1,156,583 2,600,454 0.4%
#* TAG Oil, Ltd. 181,541 94,408 0.0%
TORC Oil & Gas, Ltd. 566,744 2,873,595 0.5%
Total Energy Services, Inc. 176,178 1,976,546 0.3%
# TransGlobe Energy Corp. 448,945 1,222,273 0.2%
#* Trican Well Service, Ltd. 790,196 525,750 0.1%
# Trilogy Energy Corp. 136,142 458,110 0.1%
Trinidad Drilling, Ltd. 1,372,323 2,382,359 0.4%
# Twin Butte Energy, Ltd. 1,511,708 329,487 0.1%
Western Energy Services Corp. 406,097 1,282,640 0.2%
* Xtreme Drilling & Coil Services Corp. 224,819 345,584 0.1%
* Yangarra Resources, Ltd. 20,400 11,077 0.0%
# Zargon Oil & Gas, Ltd. 164,240 172,078 0.0%
# ZCL Composites, Inc. 96,300 456,608 0.1%
------------ ----
Total Energy 128,044,028 20.6%
------------ ----
Financials -- (7.1%)
# AGF Management, Ltd. Class B 444,369 1,845,307 0.3%
# Alaris Royalty Corp. 52,234 1,111,311 0.2%
# Altus Group, Ltd. 195,097 2,842,305 0.5%
Brookfield Real Estate Services, Inc. 8,075 87,074 0.0%
Canaccord Genuity Group, Inc. 623,378 2,417,044 0.4%
# Canadian Western Bank 436,532 8,389,453 1.3%
Clairvest Group, Inc. 1,900 42,574 0.0%
# Clarke, Inc. 17,242 135,420 0.0%
Colliers International Group, Inc. 161,848 8,024,324 1.3%
E-L Financial Corp., Ltd. 1,700 882,762 0.1%
# Echelon Financial Holdings, Inc. 14,650 159,653 0.0%
Equitable Group, Inc. 51,795 2,298,215 0.4%
* Equity Financial Holdings, Inc. 800 4,876 0.0%
Fiera Capital Corp. 128,737 1,148,945 0.2%
Firm Capital Mortgage Investment Corp. 2,494 23,651 0.0%
# First National Financial Corp. 6,573 111,745 0.0%
FirstService Corp. 150,648 5,299,639 0.9%
#* Genesis Land Development Corp. 76,842 173,359 0.0%
# Genworth MI Canada, Inc. 64,654 1,598,550 0.3%
Gluskin Sheff + Associates, Inc. 160,621 2,724,513 0.4%
# GMP Capital, Inc. 288,387 899,831 0.1%
Guardian Capital Group, Ltd. Class A 11,327 155,058 0.0%
# Home Capital Group, Inc. 90,000 2,192,184 0.4%
# Killam Properties, Inc. 357,789 2,848,412 0.5%
* Kingsway Financial Services, Inc. 14,370 59,894 0.0%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
Financials -- (Continued)
Laurentian Bank of Canada 191,320 $ 7,750,245 1.2%
#* Mainstreet Equity Corp. 24,994 621,409 0.1%
# Melcor Developments, Ltd. 41,240 482,542 0.1%
# Sprott, Inc. 828,988 1,635,659 0.3%
#* Street Capital Group, Inc. 120,227 140,676 0.0%
TMX Group, Ltd. 26,876 948,142 0.2%
----------- ---
Total Financials 57,054,772 9.2%
----------- ---
Health Care -- (1.2%)
Amica Mature Lifestyles, Inc. 36,241 508,582 0.1%
# Extendicare, Inc. 561,871 3,691,092 0.6%
* Knight Therapeutics, Inc. 51,775 308,449 0.0%
Medical Facilities Corp. 164,269 2,119,316 0.3%
* QLT, Inc. 219,010 601,289 0.1%
# Sienna Senior Living, Inc. 215,004 2,854,443 0.5%
* Theratechnologies, Inc. 10,101 13,596 0.0%
* Transition Therapeutics, Inc. 19,998 38,234 0.0%
Zenith Epigenetics Corp. 111,820 6,927 0.0%
----------- ---
Total Health Care 10,141,928 1.6%
----------- ---
Industrials -- (11.4%)
Aecon Group, Inc. 408,101 4,715,820 0.8%
# Ag Growth International, Inc. 88,121 2,307,482 0.4%
# Algoma Central Corp. 25,790 302,356 0.0%
* ATS Automation Tooling Systems, Inc. 522,530 5,502,629 0.9%
# Badger Daylighting, Ltd. 213,881 3,349,865 0.5%
#* Ballard Power Systems, Inc. 134,734 200,926 0.0%
Bird Construction, Inc. 204,133 2,046,638 0.3%
# Black Diamond Group, Ltd. 231,141 1,486,614 0.2%
# CanWel Building Materials Group, Ltd. 82,513 340,754 0.1%
# Cervus Equipment Corp. 34,597 400,051 0.1%
# DirectCash Payments, Inc. 78,722 779,032 0.1%
# Exchange Income Corp. 76,468 1,451,465 0.2%
Exco Technologies, Ltd. 128,615 1,434,083 0.2%
* Heroux-Devtek, Inc. 125,954 1,175,160 0.2%
# HNZ Group, Inc. 23,088 277,211 0.0%
# Horizon North Logistics, Inc. 483,483 831,934 0.1%
# K-Bro Linen, Inc. 29,653 1,142,942 0.2%
MacDonald Dettwiler & Associates, Ltd. 35,884 2,138,880 0.3%
Magellan Aerospace Corp. 73,376 974,157 0.2%
Morneau Shepell, Inc. 264,411 3,128,203 0.5%
# New Flyer Industries, Inc. 254,471 3,689,791 0.6%
* Ovivo, Inc. Class A 93,231 86,272 0.0%
Richelieu Hardware, Ltd. 77,285 4,062,250 0.7%
# Rocky Mountain Dealerships, Inc. 80,214 419,596 0.1%
# Russel Metals, Inc. 350,655 5,470,604 0.9%
Stantec, Inc. 453,829 11,390,844 1.8%
Stuart Olson, Inc. 88,659 416,988 0.1%
# Student Transportation, Inc. 450,400 1,870,352 0.3%
Toromont Industries, Ltd. 376,225 9,791,172 1.6%
Transcontinental, Inc. Class A 359,276 5,536,411 0.9%
TransForce, Inc. 432,009 8,451,201 1.4%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
# Wajax Corp. 100,638 $ 1,846,364 0.3%
Westjet Airlines, Ltd. 6,379 118,057 0.0%
* Westport Innovations, Inc. 3,750 11,672 0.0%
# Westshore Terminals Investment Corp. 318,149 5,306,538 0.8%
----------- ----
Total Industrials 92,454,314 14.8%
----------- ----
Information Technology -- (4.2%)
#* 5N Plus, Inc. 333,314 310,984 0.1%
Absolute Software Corp. 234,888 1,550,232 0.3%
#* Avigilon Corp. 161,993 1,817,404 0.3%
Calian Technologies, Ltd. 20,637 239,734 0.0%
* Celestica, Inc. 274,921 3,082,244 0.5%
COM DEV International, Ltd. 450,151 1,948,497 0.3%
Computer Modelling Group, Ltd. 370,857 3,516,845 0.6%
* Descartes Systems Group, Inc. (The) 255,838 4,476,578 0.7%
Enghouse Systems, Ltd. 97,257 4,435,175 0.7%
# Evertz Technologies, Ltd. 136,281 1,639,416 0.3%
#* EXFO, Inc. 686 2,188 0.0%
Mediagrif Interactive Technologies, Inc. 9,626 123,306 0.0%
* Mitel Networks Corp. 261,961 2,049,449 0.3%
#* Points International, Ltd. 36,359 375,658 0.1%
#* Redknee Solutions, Inc. 76,611 212,092 0.0%
#* Sandvine Corp. 1,036,169 2,123,687 0.3%
#* Sierra Wireless, Inc. 159,192 3,970,060 0.6%
* SMART Technologies, Inc. Class A 7,408 3,456 0.0%
* Solium Capital, Inc. 87,806 511,687 0.1%
Vecima Networks, Inc. 6,059 51,758 0.0%
Wi-Lan, Inc. 780,333 1,450,145 0.2%
----------- ----
Total Information Technology 33,890,595 5.4%
----------- ----
Materials -- (17.9%)
Acadian Timber Corp. 30,788 430,646 0.1%
AirBoss of America Corp. 80,062 1,191,501 0.2%
* Alacer Gold Corp. 1,475,888 2,866,898 0.5%
Alamos Gold, Inc. Class A 1,545,462 5,944,994 1.0%
#* Almaden Minerals, Ltd. Class B 98,343 54,902 0.0%
#* Almadex Minerals, Ltd. 59,006 8,123 0.0%
# Altius Minerals Corp. 108,800 1,045,898 0.2%
* Americas Silver Corp. 978,870 112,290 0.0%
* Amerigo Resources, Ltd. 553,854 129,187 0.0%
#* Argonaut Gold, Inc. 645,866 666,809 0.1%
#* Asanko Gold, Inc. 262,544 447,746 0.1%
* AuRico Metals, Inc. 679,583 410,577 0.1%
#* B2Gold Corp. 5,268,073 5,680,623 0.9%
#* Banro Corp. 14,500 2,883 0.0%
# Canam Group, Inc. Class A 237,796 2,755,131 0.4%
# Canexus Corp. 683,986 706,165 0.1%
* Canfor Corp. 173,500 2,454,688 0.4%
Canfor Pulp Products, Inc. 206,915 2,153,650 0.4%
#* Capstone Mining Corp. 2,111,821 1,082,074 0.2%
Cascades, Inc. 477,193 3,401,223 0.6%
Centerra Gold, Inc. 999,634 5,626,573 0.9%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
Materials -- (Continued)
#* China Gold International Resources Corp., Ltd. 846,660 $1,133,110 0.2%
#* Claude Resources, Inc. 1,023,200 563,402 0.1%
#* Copper Mountain Mining Corp. 643,331 255,837 0.0%
* Detour Gold Corp. 118,790 1,320,898 0.2%
Dominion Diamond Corp. 487,201 5,152,944 0.8%
#* Dundee Precious Metals, Inc. 646,222 854,974 0.1%
#* Eastern Platinum, Ltd. 310,296 177,976 0.0%
* EcoSynthetix, Inc. 1,500 1,514 0.0%
Eldorado Gold Corp. 50,500 176,495 0.0%
#* Endeavour Mining Corp. 2,738,376 1,424,056 0.2%
#* Endeavour Silver Corp. 536,376 886,030 0.2%
* Entree Gold, Inc. 26,637 6,977 0.0%
* Exeter Resource Corp. 70,137 25,210 0.0%
#* First Majestic Silver Corp. 652,877 2,156,951 0.4%
#* Fortress Paper, Ltd. Class A 16,706 62,603 0.0%
#* Fortuna Silver Mines, Inc. 876,406 2,285,519 0.4%
#* Golden Star Resources, Ltd. 966,462 203,256 0.0%
#* Great Panther Silver, Ltd. 700,801 391,239 0.1%
* Guyana Goldfields, Inc. 426,283 1,062,773 0.2%
* Hanfeng Evergreen, Inc. 45,837 4,536 0.0%
HudBay Minerals, Inc. 1,398,004 7,259,443 1.2%
#* IAMGOLD Corp. 2,443,241 4,409,643 0.7%
#* Imperial Metals Corp. 236,915 1,434,970 0.2%
#* Interfor Corp. 381,931 3,627,702 0.6%
* International Tower Hill Mines, Ltd. 186,947 47,180 0.0%
Intertape Polymer Group, Inc. 324,227 3,639,991 0.6%
#* Katanga Mining, Ltd. 1,025,162 137,200 0.0%
* Kinross Gold Corp. 410,219 825,081 0.1%
* Kirkland Lake Gold, Inc. 461,108 1,957,135 0.3%
#* Lake Shore Gold Corp. 2,928,516 2,597,949 0.4%
# Lucara Diamond Corp. 1,384,065 1,746,488 0.3%
Major Drilling Group International, Inc. 559,212 1,774,801 0.3%
# Mandalay Resources Corp. 1,149,842 712,276 0.1%
Minco Base Metals Corp. 2,780 -- 0.0%
* Nautilus Minerals, Inc. 89,354 23,234 0.0%
#* Nevada Copper Corp. 160,491 119,055 0.0%
Nevsun Resources, Ltd. 1,171,411 3,502,766 0.6%
* New Gold, Inc. 2,304,655 5,710,525 0.9%
Norbord, Inc. 115,280 2,178,472 0.4%
#* Northern Dynasty Minerals, Ltd. 148,624 62,514 0.0%
#* Novagold Resources, Inc. 550,799 1,988,201 0.3%
# OceanaGold Corp. 1,947,816 3,724,029 0.6%
Osisko Gold Royalties, Ltd. 149,942 1,557,208 0.3%
# Pan American Silver Corp. 990,673 7,515,659 1.2%
* Phoscan Chemical Corp. 432,579 94,283 0.0%
#* Pilot Gold, Inc. 65,895 19,906 0.0%
* Platinum Group Metals, Ltd. 241,887 58,270 0.0%
#* Polymet Mining Corp. 613,665 516,237 0.1%
#* Primero Mining Corp. 1,071,138 2,465,681 0.4%
#* RB Energy, Inc. 396,013 317 0.0%
* Richmont Mines, Inc. 231,043 703,236 0.1%
#* Rubicon Minerals Corp. 491,305 217,924 0.0%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
Materials -- (Continued)
#* Sabina Gold & Silver Corp. 383,055 $ 178,697 0.0%
#* Sandstorm Gold, Ltd. 634,160 1,663,482 0.3%
#* Seabridge Gold, Inc. 111,235 909,378 0.2%
#* SEMAFO, Inc. 1,595,446 3,623,795 0.6%
# Sherritt International Corp. 1,970,361 1,235,619 0.2%
#* Silver Standard Resources, Inc. 571,298 3,936,521 0.6%
* St Andrew Goldfields, Ltd. 774,028 204,221 0.0%
Stella-Jones, Inc. 187,800 6,911,086 1.1%
#* Stornoway Diamond Corp. 297,297 154,605 0.0%
Tahoe Resources, Inc. 27,066 226,033 0.0%
#* Tanzanian Royalty Exploration Corp. 298,950 105,167 0.0%
#* Taseko Mines, Ltd. 960,266 484,686 0.1%
#* Tembec, Inc. 403,476 357,932 0.1%
* Teranga Gold Corp. 1,849,263 763,691 0.1%
#* Thompson Creek Metals Co., Inc. 1,092,468 526,350 0.1%
* Timminco, Ltd. 69,822 115 0.0%
* Timmins Gold Corp. 910,674 188,041 0.0%
* Wesdome Gold Mines, Ltd. 314,464 245,299 0.0%
# Western Forest Products, Inc. 2,201,509 3,249,398 0.5%
Winpak, Ltd. 111,223 3,360,677 0.5%
Yamana Gold, Inc. 102,332 223,822 0.0%
------------ ----
Total Materials 144,494,872 23.2%
------------ ----
Telecommunication Services -- (0.5%)
# Axia NetMedia Corp. 185,467 436,860 0.1%
# Manitoba Telecom Services, Inc. 161,284 3,543,660 0.5%
------------ ----
Total Telecommunication Services 3,980,520 0.6%
------------ ----
Utilities -- (5.8%)
Algonquin Power & Utilities Corp. 1,054,815 8,139,403 1.3%
#* Alterra Power Corp. 1,104,421 418,085 0.1%
# Boralex, Inc. Class A 167,168 1,779,580 0.3%
Capital Power Corp. 523,509 7,522,740 1.2%
Capstone Infrastructure Corp. 555,800 1,360,171 0.2%
# Innergex Renewable Energy, Inc. 512,927 4,150,174 0.7%
# Just Energy Group, Inc. 727,176 5,344,265 0.9%
#* Maxim Power Corp. 92,234 204,557 0.0%
# Northland Power, Inc. 536,896 6,939,081 1.1%
# Superior Plus Corp. 689,743 5,633,569 0.9%
# TransAlta Corp. 175,385 818,177 0.1%
# TransAlta Renewables, Inc. 126,046 973,589 0.2%
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
Utilities -- (Continued)
# Valener, Inc. 263,746 $ 3,394,651 0.5%
------------ -----
Total Utilities 46,678,042 7.5%
------------ -----
TOTAL COMMON STOCKS 621,407,303 99.7%
------------ -----
VALUE+
------------
SECURITIES LENDING COLLATERAL -- (23.1%)
(S)@ DFA Short Term Investment Fund 16,142,002 186,762,963 30.0%
------------ -----
TOTAL INVESTMENTS -- (100.0%) (Cost $1,175,564,629) $808,170,266 129.7%
============ =====
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ ------------ ------- ------------
Common Stocks
Consumer Discretionary $ 75,921,436 -- -- $ 75,921,436
Consumer Staples 28,746,796 -- -- 28,746,796
Energy 128,044,019 $ 9 -- 128,044,028
Financials 57,054,772 -- -- 57,054,772
Health Care 10,135,001 6,927 -- 10,141,928
Industrials 92,454,314 -- -- 92,454,314
Information Technology 33,890,595 -- -- 33,890,595
Materials 144,490,019 4,853 -- 144,494,872
Telecommunication Services 3,980,520 -- -- 3,980,520
Utilities 46,678,042 -- -- 46,678,042
Securities Lending Collateral -- 186,762,963 -- 186,762,963
------------ ------------ -- ------------
TOTAL $621,395,514 $186,774,752 -- $808,170,266
============ ============ == ============
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2015
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (93.0%)
BRAZIL -- (4.4%)
AMBEV SA 855,320 $ 4,232,280 0.1%
AMBEV SA ADR 5,984,451 29,144,276 0.7%
Banco Bradesco SA 885,298 5,383,840 0.1%
Banco do Brasil SA 2,307,168 9,561,269 0.2%
Banco Santander Brasil SA 559,828 2,007,850 0.1%
BB Seguridade Participacoes SA 960,073 6,616,257 0.2%
BM&FBovespa SA 3,537,508 10,459,659 0.2%
# Braskem SA Sponsored ADR 165,709 1,847,655 0.0%
BRF SA 495,766 7,721,127 0.2%
BRF SA ADR 539,479 8,270,213 0.2%
BTG Pactual Group 6,500 48,377 0.0%
CCR SA 1,675,568 5,264,536 0.1%
* Centrais Eletricas Brasileiras SA 204,600 266,081 0.0%
# Centrais Eletricas Brasileiras SA ADR 86,923 207,746 0.0%
* Centrais Eletricas Brasileiras SA Sponsored ADR 100,200 126,252 0.0%
CETIP SA - Mercados Organizados 492,000 4,352,171 0.1%
# Cia Brasileira de Distribuicao ADR 85,830 1,126,948 0.0%
Cia de Saneamento Basico do Estado de Sao Paulo 424,900 1,843,737 0.0%
Cia de Saneamento Basico do Estado de Sao Paulo ADR 178,668 784,353 0.0%
Cia Energetica de Minas Gerais 96,887 169,507 0.0%
# Cia Siderurgica Nacional SA Sponsored ADR 400,671 492,825 0.0%
Cielo SA 1,255,720 11,920,121 0.3%
Cosan Logistica SA 177,069 59,674 0.0%
Cosan SA Industria e Comercio 203,008 1,300,082 0.0%
CPFL Energia SA 215,566 865,059 0.0%
# CPFL Energia SA ADR 65,545 525,016 0.0%
Embraer SA 29,370 215,275 0.0%
Embraer SA ADR 240,287 7,057,229 0.2%
# Fibria Celulose SA Sponsored ADR 488,398 6,603,141 0.2%
Gerdau SA 186,232 197,920 0.0%
Gerdau SA Sponsored ADR 577,984 803,398 0.0%
* Hypermarcas SA 561,762 2,547,970 0.1%
Itau Unibanco Holding SA 384,733 2,475,184 0.1%
JBS SA 1,785,774 6,592,584 0.2%
Klabin SA 996,400 5,663,737 0.1%
Kroton Educacional SA 2,037,139 5,205,112 0.1%
Lojas Americanas SA 248,137 752,477 0.0%
Lojas Renner SA 937,435 4,497,352 0.1%
M Dias Branco SA 40,100 726,891 0.0%
Multiplan Empreendimentos Imobiliarios SA 112,800 1,229,863 0.0%
Natura Cosmeticos SA 262,650 1,558,665 0.0%
* Petroleo Brasileiro SA 1,522,500 3,698,490 0.1%
#* Petroleo Brasileiro SA Sponsored ADR 1,005,405 4,906,376 0.1%
Porto Seguro SA 219,681 1,841,165 0.0%
Raia Drogasil SA 331,400 3,435,399 0.1%
Tim Participacoes SA 1,162,813 2,544,881 0.1%
Tim Participacoes SA ADR 63,679 707,474 0.0%
Tractebel Energia SA 250,101 2,195,266 0.1%
Transmissora Alianca de Energia Eletrica SA 8,092 41,733 0.0%
Ultrapar Participacoes SA 394,184 6,843,874 0.2%
Ultrapar Participacoes SA Sponsored ADR 254,308 4,402,072 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
BRAZIL -- (Continued)
Usinas Siderurgicas de Minas Gerais SA 39,100 $ 80,133 0.0%
Vale SA 344,000 1,521,175 0.0%
# Vale SA Sponsored ADR 1,226,358 5,346,921 0.1%
WEG SA 687,750 2,566,025 0.1%
------------ ---
TOTAL BRAZIL 200,854,693 4.6%
------------ ---
CHILE -- (1.4%)
AES Gener SA 3,841,240 1,837,818 0.0%
Aguas Andinas SA Class A 3,929,704 2,055,084 0.0%
Banco de Chile 3,152,928 333,736 0.0%
Banco de Chile ADR 52,624 3,337,941 0.1%
Banco de Credito e Inversiones 64,382 2,625,115 0.1%
Banco Santander Chile ADR 206,596 3,923,258 0.1%
Cencosud SA 2,346,448 5,144,920 0.1%
Cencosud SA ADR 8,408 55,325 0.0%
Cia Cervecerias Unidas SA 92,470 1,104,871 0.0%
Cia Cervecerias Unidas SA Sponsored ADR 61,058 1,463,560 0.0%
Colbun SA 12,786,840 3,403,352 0.1%
Corpbanca SA 302,429,974 2,773,709 0.1%
Corpbanca SA ADR 30,902 423,357 0.0%
Embotelladora Andina SA Class A ADR 22,244 397,500 0.0%
Embotelladora Andina SA Class B ADR 21,587 475,993 0.0%
Empresa Nacional de Electricidad SA Sponsored ADR 148,697 5,617,773 0.1%
Empresa Nacional de Telecomunicaciones SA 243,389 2,253,739 0.1%
Empresas CMPC SA 2,217,305 5,464,025 0.1%
Empresas COPEC SA 404,216 3,770,732 0.1%
Enersis SA Sponsored ADR 610,581 8,090,198 0.2%
Inversiones Aguas Metropolitanas SA 343,821 489,590 0.0%
#* Latam Airlines Group SA Sponsored ADR 555,276 3,059,571 0.1%
SACI Falabella 719,196 4,837,309 0.1%
Sigdo Koppers SA 302,321 363,456 0.0%
Sociedad Quimica y Minera de Chile SA Sponsored ADR 132,782 2,573,315 0.1%
Sonda SA 258,507 416,605 0.0%
------------ ---
TOTAL CHILE 66,291,852 1.5%
------------ ---
CHINA -- (14.4%)
# AAC Technologies Holdings, Inc. 634,000 4,008,480 0.1%
Agricultural Bank of China, Ltd. Class H 17,290,000 7,092,295 0.2%
Air China, Ltd. Class H 1,452,000 1,400,455 0.0%
#* Alibaba Health Information Technology, Ltd. 994,000 788,694 0.0%
#* Alibaba Pictures Group, Ltd. 3,540,000 942,693 0.0%
#* Aluminum Corp. of China, Ltd. ADR 111,380 894,381 0.0%
# Angang Steel Co., Ltd. Class H 1,186,000 492,826 0.0%
Anhui Conch Cement Co., Ltd. Class H 906,000 2,764,477 0.1%
Anta Sports Products, Ltd. 769,000 2,151,145 0.1%
AviChina Industry & Technology Co., Ltd. Class H 789,000 642,997 0.0%
Bank of China, Ltd. Class H 61,469,181 28,986,487 0.7%
Bank of Communications Co., Ltd. Class H 6,139,515 4,520,609 0.1%
# BBMG Corp. Class H 1,016,000 713,291 0.0%
Beijing Capital International Airport Co., Ltd. Class H 1,278,000 1,366,264 0.0%
Beijing Enterprises Holdings, Ltd. 437,972 2,753,554 0.1%
# Beijing Enterprises Water Group, Ltd. 1,654,000 1,305,771 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
Belle International Holdings, Ltd. 5,923,000 $ 5,749,078 0.1%
Brilliance China Automotive Holdings, Ltd. 1,288,000 1,779,369 0.0%
#* Byd Co., Ltd. Class H 289,386 1,795,600 0.0%
* China CITIC Bank Corp., Ltd. Class H 5,072,928 3,287,057 0.1%
# China Coal Energy Co., Ltd. Class H 2,791,777 1,194,783 0.0%
China Communications Construction Co., Ltd. Class H 2,919,000 4,028,764 0.1%
# China Conch Venture Holdings, Ltd. 65,500 148,966 0.0%
China Construction Bank Corp. Class H 67,009,590 48,565,595 1.1%
#* China COSCO Holdings Co., Ltd. Class H 1,197,000 679,896 0.0%
* China Eastern Airlines Corp., Ltd. ADR 2,200 70,752 0.0%
* China Eastern Airlines Corp., Ltd. Class H 1,100,000 705,724 0.0%
China Everbright Bank Co., Ltd. Class H 4,087,000 1,997,625 0.1%
China Everbright International, Ltd. 2,019,000 3,251,341 0.1%
China Galaxy Securities Co., Ltd. Class H 2,966,000 2,567,231 0.1%
China Gas Holdings, Ltd. 1,362,000 2,164,137 0.1%
# China Hongqiao Group, Ltd. 1,792,000 930,754 0.0%
# China Huishan Dairy Holdings Co., Ltd. 2,347,000 891,265 0.0%
China International Marine Containers Group Co., Ltd. Class H 360,600 638,836 0.0%
# China Life Insurance Co., Ltd. ADR 859,836 15,528,638 0.4%
China Longyuan Power Group Corp., Ltd. Class H 3,194,000 2,915,999 0.1%
# China Machinery Engineering Corp. Class H 180,000 156,454 0.0%
China Mengniu Dairy Co., Ltd. 1,753,000 3,395,567 0.1%
China Merchants Bank Co., Ltd. Class H 3,120,554 8,147,503 0.2%
China Merchants Holdings International Co., Ltd. 943,501 3,127,301 0.1%
China Minsheng Banking Corp., Ltd. Class H 4,658,500 4,693,577 0.1%
# China Mobile, Ltd. Sponsored ADR 914,028 55,125,029 1.3%
# China Molybdenum Co., Ltd. Class H 464,322 257,994 0.0%
China National Building Material Co., Ltd. Class H 6,047,916 3,742,181 0.1%
# China Oilfield Services, Ltd. Class H 1,484,000 1,651,384 0.0%
China Overseas Land & Investment, Ltd. 3,944,000 12,738,593 0.3%
#* China Overseas Property Holdings, Ltd. 1,459,999 248,652 0.0%
China Pacific Insurance Group Co., Ltd. Class H 1,805,200 7,190,826 0.2%
China Petroleum & Chemical Corp. ADR 132,615 9,558,868 0.2%
China Petroleum & Chemical Corp. Class H 2,522,800 1,818,545 0.0%
China Power International Development, Ltd. 3,319,000 2,085,765 0.1%
China Railway Construction Corp., Ltd. Class H 1,096,000 1,638,284 0.0%
China Railway Group, Ltd. Class H 2,246,000 2,115,695 0.1%
China Resources Beer Holdings Company, Ltd. 724,710 1,366,511 0.0%
China Resources Cement Holdings, Ltd. 2,207,335 890,746 0.0%
China Resources Gas Group, Ltd. 690,000 1,892,701 0.1%
China Resources Land, Ltd. 2,746,666 7,137,451 0.2%
China Resources Power Holdings Co., Ltd. 1,664,000 3,764,246 0.1%
China Shenhua Energy Co., Ltd. Class H 1,817,000 3,057,149 0.1%
#* China Shipping Container Lines Co., Ltd. Class H 2,324,000 952,375 0.0%
# China Shipping Development Co., Ltd. Class H 1,056,000 765,600 0.0%
China Southern Airlines Co., Ltd. Class H 1,624,000 1,378,080 0.0%
China Southern Airlines Co., Ltd. Sponsored ADR 14,306 602,712 0.0%
China State Construction International Holdings, Ltd. 840,000 1,274,615 0.0%
* China Taiping Insurance Holdings Co., Ltd. 1,341,306 4,211,268 0.1%
# China Telecom Corp., Ltd. ADR 56,720 2,966,456 0.1%
China Telecom Corp., Ltd. Class H 4,088,000 2,127,150 0.1%
China Unicom Hong Kong, Ltd. 7,864,000 9,563,731 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
China Unicom Hong Kong, Ltd. ADR 589,865 $ 7,243,542 0.2%
# China Vanke Co., Ltd. Class H 1,624,300 3,798,877 0.1%
Chongqing Rural Commercial Bank Co., Ltd. Class H 3,597,000 2,240,529 0.1%
# CITIC Securities Co., Ltd. Class H 2,116,500 4,566,105 0.1%
CITIC, Ltd. 5,705,000 10,651,513 0.2%
CNOOC, Ltd. 5,051,000 5,692,032 0.1%
# CNOOC, Ltd. Sponsored ADR 127,716 14,518,755 0.3%
COSCO Pacific, Ltd. 1,779,804 2,302,544 0.1%
Country Garden Holdings Co., Ltd. 8,969,686 3,406,995 0.1%
* CRRC Corp, Ltd. Class H 1,471,000 1,871,843 0.1%
CSPC Pharmaceutical Group, Ltd. 1,466,000 1,361,143 0.0%
#* CSSC Offshore and Marine Engineering Group Co., Ltd. Class H 96,000 236,087 0.0%
# Dalian Port PDA Co., Ltd. Class H 504,000 181,758 0.0%
Datang International Power Generation Co., Ltd. Class H 2,312,000 847,920 0.0%
# Dongfang Electric Corp., Ltd. Class H 297,600 355,813 0.0%
Dongfeng Motor Group Co., Ltd. Class H 2,048,000 2,939,701 0.1%
ENN Energy Holdings, Ltd. 764,000 4,347,275 0.1%
# Evergrande Real Estate Group, Ltd. 10,542,000 7,994,186 0.2%
Fosun International, Ltd. 1,333,222 2,424,357 0.1%
#* GCL-Poly Energy Holdings, Ltd. 5,289,814 1,099,392 0.0%
# Geely Automobile Holdings, Ltd. 3,410,000 1,809,722 0.0%
Great Wall Motor Co., Ltd. Class H 3,007,500 3,652,199 0.1%
Guangdong Investment, Ltd. 2,834,000 3,985,624 0.1%
Guangshen Railway Co., Ltd. Sponsored ADR 27,717 716,207 0.0%
Guangzhou Automobile Group Co., Ltd. Class H 974,259 849,380 0.0%
# Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class H 98,000 275,789 0.0%
# Guangzhou R&F Properties Co., Ltd. Class H 1,787,600 1,771,816 0.0%
Haier Electronics Group Co., Ltd. 866,000 1,671,449 0.0%
Haitong Securities Co., Ltd. Class H 2,756,400 4,795,849 0.1%
#* Hanergy Thin Film Power Group, Ltd. 5,416,000 733,724 0.0%
Hengan International Group Co., Ltd. 647,000 6,961,615 0.2%
Huadian Power International Corp., Ltd. Class H 1,628,000 1,196,595 0.0%
Huaneng Power International, Inc. Class H 988,000 1,068,380 0.0%
Huaneng Power International, Inc. Sponsored ADR 34,452 1,512,098 0.0%
Huishang Bank Corp., Ltd. Class H 1,322,000 566,269 0.0%
Industrial & Commercial Bank of China, Ltd. Class H 71,229,185 45,181,034 1.0%
Jiangsu Expressway Co., Ltd. Class H 1,202,000 1,615,943 0.0%
Jiangxi Copper Co., Ltd. Class H 1,257,000 1,655,378 0.0%
Kunlun Energy Co., Ltd. 6,128,000 4,994,850 0.1%
Lenovo Group, Ltd. 7,261,278 6,709,445 0.2%
Longfor Properties Co., Ltd. 1,973,500 2,649,267 0.1%
#* Maanshan Iron & Steel Co., Ltd. Class H 1,406,000 301,000 0.0%
# Metallurgical Corp. of China, Ltd. Class H 1,686,000 622,140 0.0%
New China Life Insurance Co., Ltd. Class H 439,800 1,930,951 0.1%
New World China Land, Ltd. 2,452,000 1,626,659 0.0%
People's Insurance Co. Group of China, Ltd. (The) Class H 6,417,000 3,442,505 0.1%
PetroChina Co., Ltd. ADR 125,562 9,872,940 0.2%
PetroChina Co., Ltd. Class H 1,724,000 1,347,499 0.0%
PICC Property & Casualty Co., Ltd. Class H 3,206,132 7,283,156 0.2%
Ping An Insurance Group Co. of China, Ltd. Class H 4,622,500 25,976,962 0.6%
#* Semiconductor Manufacturing International Corp. 3,654,000 338,505 0.0%
# Shandong Weigao Group Medical Polymer Co., Ltd. Class H 988,000 679,643 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
CHINA -- (Continued)
# Shanghai Electric Group Co., Ltd. Class H 1,276,000 $ 772,618 0.0%
# Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H 180,500 582,953 0.0%
Shanghai Pharmaceuticals Holding Co., Ltd. Class H 611,300 1,406,858 0.0%
# Shenzhou International Group Holdings, Ltd. 334,000 1,643,791 0.0%
Shimao Property Holdings, Ltd. 2,875,371 5,013,662 0.1%
Sihuan Pharmaceutical Holdings Group, Ltd. 2,286,000 488,104 0.0%
Sino Biopharmaceutical, Ltd. 2,392,000 2,981,740 0.1%
Sino-Ocean Land Holdings, Ltd. 3,854,743 2,225,603 0.1%
Sinopec Engineering Group Co., Ltd. Class H 44,000 37,879 0.0%
#* Sinopec Oilfield Service Corp. Class H 1,818,000 573,212 0.0%
* Sinopec Shanghai Petrochemical Co., Ltd. Class H 889,000 369,000 0.0%
* Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR 7,418 310,867 0.0%
Sinopharm Group Co., Ltd. Class H 1,224,000 5,028,529 0.1%
# Sun Art Retail Group, Ltd. 2,696,500 2,204,091 0.1%
Tencent Holdings, Ltd. 4,351,400 81,797,358 1.9%
Tingyi Cayman Islands Holding Corp. 1,742,000 2,973,416 0.1%
Travelsky Technology, Ltd. Class H 454,000 667,423 0.0%
# Tsingtao Brewery Co., Ltd. Class H 138,000 657,855 0.0%
Uni-President China Holdings, Ltd. 324,000 265,364 0.0%
# Want Want China Holdings, Ltd. 5,066,000 4,210,382 0.1%
# Weichai Power Co., Ltd. Class H 861,400 916,716 0.0%
# Xinjiang Goldwind Science & Technology Co., Ltd. Class H 234,000 439,445 0.0%
# Yanzhou Coal Mining Co., Ltd. Class H 718,000 344,747 0.0%
# Yanzhou Coal Mining Co., Ltd. Sponsored ADR 106,215 508,770 0.0%
Zhejiang Expressway Co., Ltd. Class H 1,410,000 1,737,001 0.0%
Zhuzhou CSR Times Electric Co., Ltd. Class H 253,500 1,644,263 0.0%
# Zijin Mining Group Co., Ltd. Class H 2,555,000 683,519 0.0%
# Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H 1,589,400 604,383 0.0%
ZTE Corp. Class H 287,685 691,293 0.0%
------------ ----
TOTAL CHINA 667,014,640 15.1%
------------ ----
COLOMBIA -- (0.5%)
Almacenes Exito SA 77,155 347,823 0.0%
Banco de Bogota SA 35,006 712,929 0.0%
Bancolombia SA 315,820 2,566,242 0.1%
# Bancolombia SA Sponsored ADR 138,104 4,781,160 0.1%
Cementos Argos SA 427,348 1,416,134 0.1%
* Cemex Latam Holdings SA 138,849 483,120 0.0%
Corp. Financiera Colombiana SA(B000C92) 59,569 778,078 0.0%
* Corp. Financiera Colombiana SA(BYPK1V0) 553 7,220 0.0%
Ecopetrol SA 2,771,514 1,291,524 0.0%
Ecopetrol SA Sponsored ADR 220,479 2,054,864 0.1%
Empresa de Energia de Bogota SA ESP 1,457,465 940,787 0.0%
Grupo Argos SA 25,995 159,721 0.0%
Grupo Aval Acciones y Valores SA ADR 94,392 756,080 0.0%
Grupo de Inversiones Suramericana SA 203,043 2,577,812 0.1%
Grupo Nutresa SA 184,107 1,386,681 0.0%
Interconexion Electrica SA ESP 552,280 1,323,032 0.0%
Isagen SA ESP 1,273,178 1,349,208 0.0%
------------ ----
TOTAL COLOMBIA 22,932,415 0.5%
------------ ----
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
CZECH REPUBLIC -- (0.2%)
CEZ A.S. 256,338 $ 5,121,769 0.1%
Komercni banka as 11,112 2,302,824 0.1%
Pegas Nonwovens SA 1,067 33,337 0.0%
Philip Morris CR A.S. 689 328,529 0.0%
* Unipetrol A.S. 45,807 275,464 0.0%
----------- ---
TOTAL CZECH REPUBLIC 8,061,923 0.2%
----------- ---
EGYPT -- (0.1%)
Commercial International Bank Egypt SAE GDR 889,254 5,188,963 0.1%
* Egyptian Financial Group-Hermes Holding Co. GDR 774 1,780 0.0%
* Global Telecom Holding SAE GDR 640,757 745,919 0.0%
----------- ---
TOTAL EGYPT 5,936,662 0.1%
----------- ---
GREECE -- (0.3%)
Aegean Airlines SA 38,061 295,503 0.0%
* Alpha Bank AE 5,260,851 670,736 0.0%
Athens Water Supply & Sewage Co. SA (The) 43,827 278,229 0.0%
* Ellaktor SA 7,610 14,958 0.0%
* Eurobank Ergasias SA 33,138 1,139 0.0%
FF Group 34,149 688,576 0.0%
Hellenic Petroleum SA 112,224 656,988 0.0%
Hellenic Telecommunications Organization SA 340,319 3,185,802 0.1%
JUMBO SA 168,373 1,634,098 0.1%
Metka SA 13,411 128,837 0.0%
* Motor Oil Hellas Corinth Refineries SA 96,253 1,187,682 0.0%
* Mytilineos Holdings SA 87,326 467,333 0.0%
* National Bank of Greece SA 1,922,840 1,443,075 0.1%
OPAP SA 278,698 2,476,856 0.1%
* Piraeus Bank SA 2,067,592 213,462 0.0%
Public Power Corp. SA 144,358 835,250 0.0%
Titan Cement Co. SA 61,385 1,351,324 0.0%
----------- ---
TOTAL GREECE 15,529,848 0.4%
----------- ---
HUNGARY -- (0.3%)
* Magyar Telekom Telecommunications P.L.C. 773,065 1,070,908 0.0%
MOL Hungarian Oil & Gas P.L.C. 86,115 3,886,146 0.1%
OTP Bank P.L.C. 218,678 4,231,798 0.1%
Richter Gedeon Nyrt 213,864 3,567,461 0.1%
----------- ---
TOTAL HUNGARY 12,756,313 0.3%
----------- ---
INDIA -- (11.6%)
ABB India, Ltd. 28,392 533,611 0.0%
ACC, Ltd. 75,781 1,593,637 0.0%
Adani Enterprises, Ltd. 260,707 365,974 0.0%
Adani Ports & Special Economic Zone, Ltd. 735,627 3,315,209 0.1%
* Adani Power, Ltd. 49,187 23,515 0.0%
* Adani Transmissions, Ltd. 260,707 143,980 0.0%
Aditya Birla Nuvo, Ltd. 132,730 4,173,637 0.1%
Ajanta Pharma, Ltd. 32,131 757,447 0.0%
Alembic Pharmaceuticals, Ltd. 15,209 157,543 0.0%
Alstom T&D India, Ltd. 17,621 140,710 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Amara Raja Batteries, Ltd. 63,807 $ 880,738 0.0%
Ambuja Cements, Ltd. 1,004,466 3,172,117 0.1%
Apollo Hospitals Enterprise, Ltd. 127,328 2,553,364 0.1%
Ashok Leyland, Ltd. 1,513,757 2,164,892 0.1%
Asian Paints, Ltd. 474,671 6,028,940 0.1%
Aurobindo Pharma, Ltd. 625,132 7,955,279 0.2%
Axis Bank, Ltd. 1,931,821 14,003,393 0.3%
Bajaj Auto, Ltd. 153,062 5,969,907 0.1%
Bajaj Finance, Ltd. 27,477 2,183,015 0.1%
Bajaj Finserv, Ltd. 54,948 1,642,419 0.0%
Bajaj Holdings & Investment, Ltd. 52,062 1,325,169 0.0%
Bank of Baroda 897,100 2,183,574 0.1%
Berger Paints India, Ltd. 212,390 721,978 0.0%
Bharat Electronics, Ltd. 51,903 984,725 0.0%
Bharat Forge, Ltd. 240,753 3,159,636 0.1%
Bharat Heavy Electricals, Ltd. 1,315,511 3,975,776 0.1%
Bharat Petroleum Corp., Ltd. 243,122 3,232,549 0.1%
Bharti Airtel, Ltd. 1,282,527 6,776,603 0.2%
Bhushan Steel, Ltd. 30,884 20,774 0.0%
Blue Dart Express, Ltd. 4,436 514,115 0.0%
Bosch, Ltd. 10,859 3,393,132 0.1%
Britannia Industries, Ltd. 26,712 1,310,134 0.0%
Cadila Healthcare, Ltd. 362,605 2,326,522 0.1%
Cairn India, Ltd. 655,103 1,531,912 0.0%
Canara Bank 238,144 1,000,782 0.0%
Cipla, Ltd. 493,571 5,195,002 0.1%
Colgate-Palmolive India, Ltd. 142,544 2,078,600 0.1%
Container Corp. Of India, Ltd. 104,901 2,125,745 0.1%
CRISIL, Ltd. 6,904 205,881 0.0%
Cummins India, Ltd. 94,559 1,561,439 0.0%
Dabur India, Ltd. 743,476 3,063,073 0.1%
Divi's Laboratories, Ltd. 186,164 3,268,120 0.1%
DLF, Ltd. 487,675 864,038 0.0%
Dr Reddy's Laboratories, Ltd. 56,262 3,662,354 0.1%
Dr Reddy's Laboratories, Ltd. ADR 148,465 9,619,047 0.2%
Eicher Motors, Ltd. 20,610 5,578,847 0.1%
Emami, Ltd. 84,748 1,389,540 0.0%
* Essar Oil, Ltd. 229,832 665,534 0.0%
Exide Industries, Ltd. 307,619 706,941 0.0%
GAIL India, Ltd. 538,586 2,538,332 0.1%
GAIL India, Ltd. GDR 28,791 830,092 0.0%
Gillette India, Ltd. 3,226 239,648 0.0%
GlaxoSmithKline Consumer Healthcare, Ltd. 14,568 1,341,963 0.0%
GlaxoSmithKline Pharmaceuticals, Ltd. 12,709 639,352 0.0%
Glenmark Pharmaceuticals, Ltd. 194,936 2,949,237 0.1%
Godrej Consumer Products, Ltd. 168,863 3,255,883 0.1%
Godrej Industries, Ltd. 48,714 292,959 0.0%
Grasim Industries, Ltd. 6,300 357,635 0.0%
Havells India, Ltd. 355,094 1,379,252 0.0%
HCL Technologies, Ltd. 786,097 10,454,449 0.2%
HDFC Bank, Ltd. 1,530,953 25,612,509 0.6%
Hero MotoCorp, Ltd. 202,683 8,006,105 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Hindalco Industries, Ltd. 1,549,771 $ 1,964,497 0.0%
Hindustan Petroleum Corp., Ltd. 149,845 1,762,703 0.0%
Hindustan Unilever, Ltd. 1,148,145 14,073,935 0.3%
ICICI Bank, Ltd. 1,533,500 6,480,881 0.2%
ICICI Bank, Ltd. Sponsored ADR 1,043,395 8,994,065 0.2%
Idea Cellular, Ltd. 2,136,072 4,566,805 0.1%
* IDFC Bank, Ltd. 601,656 663,391 0.0%
IDFC, Ltd. 480,014 429,180 0.0%
Indiabulls Housing Finance, Ltd. 374,144 4,093,619 0.1%
Indian Oil Corp., Ltd. 473,052 2,886,259 0.1%
IndusInd Bank, Ltd. 297,727 4,136,561 0.1%
Infosys, Ltd. 1,851,162 32,036,099 0.7%
Infosys, Ltd. Sponsored ADR 847,888 15,397,646 0.4%
ITC, Ltd. 3,140,460 16,034,368 0.4%
JSW Energy, Ltd. 804,897 1,144,191 0.0%
JSW Steel, Ltd. 366,359 5,090,906 0.1%
* KAYA, Ltd. 2,327 38,102 0.0%
Kotak Mahindra Bank, Ltd. 494,765 5,186,499 0.1%
Larsen & Toubro, Ltd. 343,656 7,391,546 0.2%
LIC Housing Finance, Ltd. 760,874 5,555,727 0.1%
Lupin, Ltd. 355,461 10,473,451 0.2%
Mahindra & Mahindra Financial Services, Ltd. 268,646 931,046 0.0%
Mahindra & Mahindra, Ltd. 646,451 11,644,883 0.3%
Marico, Ltd. 374,442 2,208,393 0.1%
Maruti Suzuki India, Ltd. 82,439 5,627,063 0.1%
MAX India, Ltd. 73,102 588,341 0.0%
Motherson Sumi Systems, Ltd. 542,274 2,040,144 0.1%
MRF, Ltd. 2,935 1,782,979 0.0%
National Aluminium Co., Ltd. 389,816 229,417 0.0%
Nestle India, Ltd. 37,106 3,511,151 0.1%
NHPC, Ltd. 2,132,607 593,159 0.0%
NTPC, Ltd. 1,548,464 3,140,271 0.1%
Oil & Natural Gas Corp., Ltd. 989,305 3,735,334 0.1%
Oil India, Ltd. 221,777 1,371,116 0.0%
Oracle Financial Services Software, Ltd. 30,030 1,770,800 0.0%
Page Industries, Ltd. 9,049 1,938,923 0.0%
Petronet LNG, Ltd. 234,560 696,880 0.0%
Pidilite Industries, Ltd. 174,313 1,506,219 0.0%
Piramal Enterprises, Ltd. 59,322 852,899 0.0%
Power Finance Corp., Ltd. 713,068 2,603,411 0.1%
Power Grid Corp. of India, Ltd. 896,116 1,757,918 0.0%
Procter & Gamble Hygiene & Health Care, Ltd. 9,889 920,093 0.0%
* Reliance Communications, Ltd. 1,785,632 2,037,649 0.1%
Reliance Industries, Ltd. 1,666,009 24,098,221 0.6%
* Reliance Power, Ltd. 327,864 251,877 0.0%
Rural Electrification Corp., Ltd. 663,671 2,537,173 0.1%
* Shree Cement, Ltd. 10,928 2,042,227 0.1%
Shriram Transport Finance Co., Ltd. 242,438 3,502,599 0.1%
Siemens, Ltd. 103,232 2,098,092 0.1%
State Bank of India 1,762,546 6,374,946 0.1%
Sun Pharmaceutical Industries, Ltd. 1,065,601 14,463,279 0.3%
Sun TV Network, Ltd. 120,543 729,151 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDIA -- (Continued)
Tata Consultancy Services, Ltd. 716,717 $ 27,377,531 0.6%
* Tata Motors, Ltd. 1,818,079 10,732,861 0.2%
* Tata Motors, Ltd. Sponsored ADR 84,855 2,509,162 0.1%
Tata Power Co., Ltd. 1,964,963 2,061,520 0.1%
Tata Steel, Ltd. 683,642 2,568,255 0.1%
Tech Mahindra, Ltd. 1,029,386 8,463,300 0.2%
Titan Co., Ltd. 207,778 1,110,330 0.0%
Torrent Pharmaceuticals, Ltd. 74,028 1,731,770 0.0%
Ultratech Cement, Ltd. 50,954 2,265,447 0.1%
United Breweries, Ltd. 93,274 1,339,452 0.0%
* United Spirits, Ltd. 58,173 2,790,871 0.1%
UPL, Ltd. 737,831 5,166,467 0.1%
Vedanta, Ltd. 3,139,759 4,755,112 0.1%
Vedanta, Ltd. ADR 42,052 251,471 0.0%
Wipro, Ltd. 727,518 6,334,044 0.1%
Wockhardt, Ltd. 44,985 1,030,435 0.0%
Yes Bank, Ltd. 645,249 7,432,280 0.2%
Zee Entertainment Enterprises, Ltd. 769,567 4,797,379 0.1%
------------ ----
TOTAL INDIA 536,802,057 12.2%
------------ ----
INDONESIA -- (2.8%)
Ace Hardware Indonesia Tbk PT 3,225,500 157,023 0.0%
Adaro Energy Tbk PT 37,523,800 1,622,088 0.0%
AKR Corporindo Tbk PT 1,809,000 776,985 0.0%
Astra Agro Lestari Tbk PT 1,349,900 1,955,558 0.1%
Astra International Tbk PT 23,646,410 10,165,086 0.2%
Bank Central Asia Tbk PT 15,447,700 14,511,990 0.3%
Bank Danamon Indonesia Tbk PT 5,622,079 1,130,304 0.0%
Bank Mandiri Persero Tbk PT 12,324,817 7,800,006 0.2%
Bank Negara Indonesia Persero Tbk PT 15,282,322 5,283,007 0.1%
* Bank Pan Indonesia Tbk PT 7,275,400 492,767 0.0%
Bank Rakyat Indonesia Persero Tbk PT 15,742,100 12,048,306 0.3%
* Bank Tabungan Pensiunan Nasional Tbk PT 768,500 146,777 0.0%
* Bayan Resources Tbk PT 79,500 47,745 0.0%
Bumi Serpong Damai Tbk PT 15,138,700 1,781,248 0.1%
Charoen Pokphand Indonesia Tbk PT 10,800,200 1,963,482 0.1%
Ciputra Development Tbk PT 12,070,995 952,520 0.0%
Global Mediacom Tbk PT 15,803,900 1,000,935 0.0%
Gudang Garam Tbk PT 738,200 2,310,683 0.1%
Holcim Indonesia Tbk PT 2,182,400 166,836 0.0%
Indo Tambangraya Megah Tbk PT 110,500 68,119 0.0%
Indocement Tunggal Prakarsa Tbk PT 1,963,900 2,568,624 0.1%
Indofood CBP Sukses Makmur Tbk PT 1,728,400 1,663,179 0.0%
Indofood Sukses Makmur Tbk PT 11,271,900 4,531,409 0.1%
* Indosat Tbk PT 1,720,800 526,348 0.0%
* Japfa Comfeed Indonesia Tbk PT 1,739,900 55,780 0.0%
Jasa Marga Persero Tbk PT 3,626,900 1,277,184 0.0%
Kalbe Farma Tbk PT 32,614,300 3,396,642 0.1%
Lippo Karawaci Tbk PT 40,640,200 3,527,144 0.1%
Matahari Putra Prima Tbk PT 376,800 61,662 0.0%
Mayora Indah Tbk PT 862,133 1,719,454 0.1%
Media Nusantara Citra Tbk PT 12,992,900 1,685,844 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDONESIA -- (Continued)
MNC Investama Tbk PT 10,619,200 $ 161,893 0.0%
* MNC Sky Vision Tbk PT 173,100 16,285 0.0%
Pakuwon Jati Tbk PT 47,880,900 1,482,276 0.0%
* Panasia Indo Resources Tbk PT 56,500 2,580 0.0%
Pembangunan Perumahan Persero Tbk PT 2,790,800 772,017 0.0%
Perusahaan Gas Negara Persero Tbk PT 13,090,800 2,859,280 0.1%
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 1,531,100 172,633 0.0%
Sawit Sumbermas Sarana Tbk PT 4,401,900 610,381 0.0%
Semen Indonesia Persero Tbk PT 6,982,900 4,966,181 0.1%
Sinar Mas Agro Resources & Technology Tbk PT 1,116,500 382,859 0.0%
Sumber Alfaria Trijaya Tbk PT 255,200 11,343 0.0%
Summarecon Agung Tbk PT 20,010,500 2,025,373 0.1%
Surya Citra Media Tbk PT 8,664,500 1,842,539 0.1%
Tambang Batubara Bukit Asam Persero Tbk PT 1,238,500 657,914 0.0%
Telekomunikasi Indonesia Persero Tbk PT 39,175,700 7,685,785 0.2%
# Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR 98,384 3,911,748 0.1%
* Tower Bersama Infrastructure Tbk PT 2,884,000 1,502,014 0.0%
* Trada Maritime Tbk PT 1,271,100 4,641 0.0%
Unilever Indonesia Tbk PT 2,121,800 5,717,988 0.1%
United Tractors Tbk PT 4,470,896 5,882,301 0.1%
Vale Indonesia Tbk PT 5,767,700 937,924 0.0%
Waskita Karya Persero Tbk PT 7,079,379 837,704 0.0%
Wijaya Karya Persero Tbk PT 2,900,600 620,583 0.0%
* XL Axiata Tbk PT 7,578,200 1,715,459 0.1%
------------ ---
TOTAL INDONESIA 130,174,436 3.0%
------------ ---
MALAYSIA -- (3.9%)
# Aeon Co. M Bhd 967,000 637,442 0.0%
# Affin Holdings Bhd 1,192,000 662,685 0.0%
AirAsia BHD 1,516,600 520,828 0.0%
# Alliance Financial Group Bhd 2,238,000 1,862,676 0.1%
AMMB Holdings Bhd 5,459,859 6,051,927 0.1%
# Astro Malaysia Holdings Bhd 2,488,700 1,654,670 0.0%
# Axiata Group Bhd 3,812,314 5,462,410 0.1%
Batu Kawan Bhd 105,400 429,252 0.0%
Berjaya Land Bhd 95,000 15,441 0.0%
Berjaya Sports Toto Bhd 878,405 653,782 0.0%
# BIMB Holdings Bhd 1,103,555 1,053,399 0.0%
Boustead Holdings Bhd 426,586 400,356 0.0%
# British American Tobacco Malaysia Bhd 206,400 2,966,306 0.1%
#* Bumi Armada Bhd 3,800,200 856,445 0.0%
# Bursa Malaysia Bhd 394,500 778,533 0.0%
# Cahya Mata Sarawak Bhd 669,400 825,315 0.0%
Carlsberg Brewery Malaysia Bhd Class B 75,200 217,297 0.0%
# CIMB Group Holdings Bhd 7,123,613 7,631,612 0.2%
# Dialog Group Bhd 4,106,118 1,525,261 0.0%
# DiGi.Com Bhd 5,805,020 7,102,241 0.2%
DRB-Hicom Bhd 855,500 266,633 0.0%
Fraser & Neave Holdings Bhd 70,600 296,734 0.0%
# Gamuda Bhd 2,291,200 2,399,102 0.1%
# Genting Bhd 3,690,300 6,361,259 0.2%
# Genting Malaysia Bhd 4,591,200 4,591,366 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MALAYSIA -- (Continued)
# Genting Plantations Bhd 325,000 $ 809,695 0.0%
Guinness Anchor Bhd 174,100 578,932 0.0%
# HAP Seng Consolidated Bhd 1,066,700 1,500,619 0.0%
# Hartalega Holdings Bhd 998,400 1,210,695 0.0%
# Hong Leong Bank Bhd 1,055,660 3,427,589 0.1%
# Hong Leong Financial Group Bhd 632,829 2,080,144 0.1%
# IHH Healthcare Bhd 2,419,700 3,555,664 0.1%
# IJM Corp. Bhd 7,006,462 5,410,404 0.1%
# IOI Corp. Bhd 4,711,405 4,664,658 0.1%
IOI Properties Group Bhd 2,271,643 1,065,735 0.0%
KPJ Healthcare Bhd 9,850 9,788 0.0%
# Kuala Lumpur Kepong Bhd 504,800 2,674,387 0.1%
# Kulim Malaysia BHD 548,200 424,250 0.0%
# Lafarge Malaysia Bhd 635,180 1,345,315 0.0%
LPI Capital Bhd 25,950 90,028 0.0%
Magnum Bhd 486,300 304,261 0.0%
# Malayan Banking Bhd 5,641,813 10,815,781 0.3%
# Malaysia Airports Holdings Bhd 1,320,641 1,625,742 0.0%
# Maxis Bhd 2,881,400 4,414,137 0.1%
# MISC Bhd 2,038,198 4,276,579 0.1%
# MMC Corp. Bhd 1,934,000 1,004,071 0.0%
Nestle Malaysia Bhd 122,100 2,054,691 0.1%
Oriental Holdings Bhd 39,700 64,805 0.0%
Petronas Chemicals Group Bhd 3,523,200 5,194,612 0.1%
# Petronas Dagangan Bhd 367,500 1,925,458 0.1%
# Petronas Gas Bhd 890,500 4,758,475 0.1%
# PPB Group Bhd 865,800 3,108,467 0.1%
# Public Bank Bhd 3,537,614 14,872,843 0.3%
# QL Resources Bhd 630,900 592,160 0.0%
# RHB Capital Bhd 1,409,179 1,998,388 0.1%
# Sapurakencana Petroleum Bhd 10,002,100 4,902,687 0.1%
* Shell Refining Co. Federation of Malaya Bhd 28,900 38,163 0.0%
# Sime Darby Bhd 3,436,329 6,673,301 0.2%
SP Setia Bhd Group 988,680 759,052 0.0%
# Sunway Bhd 1,710,000 1,232,456 0.0%
* Sunway Construction Group Bhd 182,400 55,176 0.0%
# Telekom Malaysia Bhd 1,435,664 2,227,062 0.1%
Tenaga Nasional Bhd 4,375,250 12,860,097 0.3%
UEM Sunrise Bhd 2,331,937 677,510 0.0%
# UMW Holdings Bhd 1,571,566 2,996,799 0.1%
# UMW Oil & Gas Corp. Bhd 30,400 8,550 0.0%
United Plantations Bhd 61,000 375,906 0.0%
# Westports Holdings Bhd 1,454,000 1,452,334 0.0%
# YTL Corp. Bhd 16,022,786 5,626,810 0.1%
# YTL Power International Bhd 3,177,547 1,115,927 0.0%
------------ ---
TOTAL MALAYSIA 182,083,175 4.1%
------------ ---
MEXICO -- (5.7%)
Alfa S.A.B. de C.V. Class A 7,756,508 16,078,584 0.4%
America Movil S.A.B. de C.V. Series L 46,329,297 41,230,713 0.9%
America Movil S.A.B. de C.V. Series L ADR 22,528 401,224 0.0%
Arca Continental S.A.B. de C.V. 677,401 4,327,004 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
MEXICO -- (Continued)
* Cemex S.A.B. de C.V. 10,342,714 $ 6,549,588 0.2%
* Cemex S.A.B. de C.V. Sponsored ADR 1,626,890 10,265,674 0.2%
Coca-Cola Femsa S.A.B. de C.V. Series L 501,202 3,845,083 0.1%
Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 35,116 2,692,695 0.1%
Controladora Comercial Mexicana S.A.B. de C.V. 758,975 2,220,252 0.1%
* Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B 8,726 6,540 0.0%
El Puerto de Liverpool S.A.B. de C.V. 185,660 2,586,548 0.1%
Fomento Economico Mexicano S.A.B. de C.V. 1,793,669 17,701,267 0.4%
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 38,856 3,850,241 0.1%
# Gruma S.A.B. de C.V. Class B 390,881 5,998,882 0.1%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 13,041 1,187,644 0.0%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 366,328 3,304,044 0.1%
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 32,268 4,993,150 0.1%
* Grupo Bimbo S.A.B. de C.V. Series A 2,061,475 5,829,559 0.1%
Grupo Carso S.A.B. de C.V. Series A1 859,766 3,847,601 0.1%
Grupo Elektra S.A.B. de C.V. 47,183 939,787 0.0%
Grupo Financiero Banorte S.A.B. de C.V. 5,018,245 26,865,769 0.6%
Grupo Financiero Inbursa S.A.B. de C.V. 3,225,708 6,463,992 0.2%
Grupo Financiero Santander Mexico S.A.B. de C.V. Class B 3,265,943 6,000,882 0.1%
Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR 84,444 772,663 0.0%
Grupo Mexico S.A.B. de C.V. Series B 6,016,393 14,664,179 0.3%
* Grupo Qumma SA de C.V. Series B 1,591 -- 0.0%
Grupo Sanborns S.A.B. de C.V. 28,885 50,713 0.0%
Grupo Televisa S.A.B. Series CPO 3,235,650 18,832,737 0.4%
Grupo Televisa S.A.B. Sponsored ADR 132,800 3,869,792 0.1%
#* Impulsora del Desarrollo y El Empleo en America Latina S.A.B.
de C.V. 2,362,916 4,327,344 0.1%
Industrias Penoles S.A.B. de C.V. 213,972 2,834,470 0.1%
# Infraestructura Energetica Nova S.A.B. de C.V. 401,597 1,930,208 0.1%
Kimberly-Clark de Mexico S.A.B. de C.V. Class A 2,348,560 5,620,517 0.1%
Megacable Holdings S.A.B. de C.V. 89,863 342,471 0.0%
Mexichem S.A.B. de C.V. 2,263,855 5,889,274 0.1%
#* Minera Frisco S.A.B. de C.V. 451,071 238,947 0.0%
* OHL Mexico S.A.B. de C.V. 697,210 921,436 0.0%
#* Organizacion Soriana S.A.B. de C.V. Class B 1,102,476 2,648,431 0.1%
* Promotora y Operadora de Infraestructura S.A.B. de C.V. 315,937 3,972,117 0.1%
* Savia SA Class A 120,000 -- 0.0%
Wal-Mart de Mexico S.A.B. de C.V. 7,054,235 18,684,255 0.4%
------------ ---
TOTAL MEXICO 262,786,277 6.0%
------------ ---
PERU -- (0.2%)
Cementos Pacasmayo SAA ADR 6,659 43,417 0.0%
Cia de Minas Buenaventura SAA ADR 139,674 895,310 0.0%
Credicorp, Ltd. 75,529 8,548,372 0.2%
Grana y Montero SAA Sponsored ADR 62,484 256,809 0.0%
------------ ---
TOTAL PERU 9,743,908 0.2%
------------ ---
PHILIPPINES -- (1.9%)
Aboitiz Equity Ventures, Inc. 2,371,880 2,831,130 0.1%
Aboitiz Power Corp. 2,462,500 2,207,918 0.0%
Alliance Global Group, Inc. 7,646,700 2,967,960 0.1%
Ayala Corp. 284,537 4,733,906 0.1%
Ayala Land, Inc. 8,932,718 6,821,923 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
PHILIPPINES -- (Continued)
Bank of the Philippine Islands 1,601,353 $ 2,888,876 0.1%
BDO Unibank, Inc. 2,836,401 6,148,307 0.1%
DMCI Holdings, Inc. 9,941,400 2,634,156 0.1%
Emperador, Inc. 1,655,600 293,077 0.0%
Energy Development Corp. 26,284,600 3,714,382 0.1%
First Gen Corp. 85,800 46,291 0.0%
* Fwbc Holdings, Inc. 2,006,957 -- 0.0%
Globe Telecom, Inc. 52,815 2,564,756 0.1%
GT Capital Holdings, Inc. 139,050 3,898,151 0.1%
International Container Terminal Services, Inc. 1,217,060 2,143,603 0.0%
JG Summit Holdings, Inc. 1,294,320 1,968,130 0.0%
Jollibee Foods Corp. 600,740 2,637,664 0.1%
LT Group, Inc. 3,607,700 961,772 0.0%
Manila Electric Co. 317,750 2,203,482 0.0%
Megaworld Corp. 27,294,800 2,728,896 0.1%
Metro Pacific Investments Corp. 24,178,700 2,687,362 0.1%
Metropolitan Bank & Trust Co. 787,095 1,427,748 0.0%
Philippine Long Distance Telephone Co. 90,610 4,247,773 0.1%
Philippine Long Distance Telephone Co. Sponsored ADR 50,043 2,373,039 0.1%
* Philippine National Bank 435,098 491,954 0.0%
Puregold Price Club, Inc. 1,348,200 1,036,684 0.0%
Robinsons Land Corp. 3,790,900 2,475,634 0.1%
Robinsons Retail Holdings, Inc. 360,960 592,053 0.0%
San Miguel Corp. 1,065,000 1,090,869 0.0%
Security Bank Corp. 18,140 54,915 0.0%
Semirara Mining and Power Corp. 503,180 1,438,423 0.0%
SM Investments Corp. 195,392 3,644,134 0.1%
SM Prime Holdings, Inc. 8,955,410 4,119,387 0.1%
* Top Frontier Investment Holdings, Inc. 42,789 96,314 0.0%
Universal Robina Corp. 1,282,840 5,491,384 0.1%
----------- ---
TOTAL PHILIPPINES 85,662,053 1.9%
----------- ---
POLAND -- (1.7%)
* Alior Bank SA 68,031 1,429,512 0.0%
Bank Handlowy w Warszawie SA 46,164 938,636 0.0%
#* Bank Millennium SA 798,457 1,264,465 0.0%
Bank Pekao SA 118,290 4,600,012 0.1%
#* Bank Zachodni WBK SA 55,352 4,461,667 0.1%
CCC SA 25,137 1,097,473 0.0%
* Cyfrowy Polsat SA 393,451 2,535,024 0.1%
Enea SA 310,769 1,030,635 0.0%
Energa SA 214,565 916,058 0.0%
Eurocash SA 112,176 1,513,818 0.0%
* Getin Noble Bank SA 416,666 86,223 0.0%
* Grupa Azoty SA 78,276 1,862,011 0.1%
* Grupa Lotos SA 137,497 1,012,692 0.0%
ING Bank Slaski SA 38,312 1,199,975 0.0%
KGHM Polska Miedz SA 408,675 9,487,841 0.2%
# LPP SA 1,443 2,721,131 0.1%
#* mBank SA 22,385 2,100,624 0.1%
Orange Polska SA 1,007,050 1,850,215 0.1%
PGE Polska Grupa Energetyczna SA 2,185,675 8,135,593 0.2%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
POLAND -- (Continued)
# Polski Koncern Naftowy Orlen SA 649,675 $10,539,973 0.2%
Polskie Gornictwo Naftowe i Gazownictwo SA 1,984,936 3,516,740 0.1%
* Powszechna Kasa Oszczednosci Bank Polski SA 964,323 7,141,820 0.2%
Powszechny Zaklad Ubezpieczen SA 75,663 7,346,805 0.2%
Synthos SA 712,436 679,580 0.0%
Tauron Polska Energia SA 2,120,002 1,662,137 0.0%
----------- ---
TOTAL POLAND 79,130,660 1.8%
----------- ---
RUSSIA -- (1.7%)
Eurasia Drilling Co., Ltd. GDR 115,795 1,317,104 0.0%
Gazprom PAO Sponsored ADR 5,214,789 21,976,852 0.5%
* LUKOIL PJSC 283,205 10,287,599 0.2%
Magnitogorsk Iron & Steel Works OJSC GDR 165,641 815,219 0.0%
* Mail.ru Group, Ltd. GDR 38,801 754,267 0.0%
MegaFon PJSC GDR 37,984 489,225 0.0%
MMC Norilsk Nickel PJSC ADR 374,851 5,551,413 0.1%
Novolipetsk Steel OJSC GDR 92,776 1,137,684 0.0%
O'Key Group SA GDR 21,618 45,217 0.0%
Phosagro OAO GDR 51,527 694,753 0.0%
Rosneft OAO GDR 833,683 3,323,891 0.1%
Rostelecom PJSC Sponsored ADR 68,943 604,427 0.0%
RusHydro PJSC ADR 1,394,873 1,350,155 0.0%
Sberbank PAO Sponsored ADR 2,260,932 13,807,279 0.3%
Severstal PAO GDR 216,701 2,542,540 0.1%
Tatneft PAO Sponsored ADR 266,980 8,233,267 0.2%
TMK PAO GDR 29,680 110,824 0.0%
VimpelCom, Ltd. Sponsored ADR 572,543 2,164,213 0.1%
VTB Bank PJSC GDR 1,603,697 3,511,327 0.1%
* X5 Retail Group NV GDR 81,719 1,688,961 0.1%
----------- ---
TOTAL RUSSIA 80,406,217 1.8%
----------- ---
SOUTH AFRICA -- (7.9%)
#* African Bank Investments, Ltd. 709,671 2,979 0.0%
* Anglo American Platinum, Ltd. 128,669 2,250,506 0.1%
* AngloGold Ashanti, Ltd. Sponsored ADR 1,494,988 12,617,699 0.3%
Aspen Pharmacare Holdings, Ltd. 471,388 10,567,134 0.2%
AVI, Ltd. 280,677 1,785,569 0.0%
Barclays Africa Group, Ltd. 740,277 9,487,274 0.2%
Bidvest Group, Ltd. (The) 648,157 16,556,883 0.4%
* Brait SE 13,717 157,065 0.0%
Capitec Bank Holdings, Ltd. 74,284 3,208,949 0.1%
Coronation Fund Managers, Ltd. 291,608 1,536,828 0.0%
Discovery, Ltd. 601,454 6,422,113 0.2%
Distell Group, Ltd. 55,989 719,782 0.0%
# Exxaro Resources, Ltd. 188,461 779,983 0.0%
# FirstRand, Ltd. 4,702,056 17,229,920 0.4%
Foschini Group, Ltd. (The) 501,975 5,121,212 0.1%
Gold Fields, Ltd. Sponsored ADR 2,067,140 5,229,864 0.1%
* Impala Platinum Holdings, Ltd. 729,925 1,990,625 0.1%
Imperial Holdings, Ltd. 618,348 8,048,836 0.2%
Investec, Ltd. 593,918 4,913,532 0.1%
# Kumba Iron Ore, Ltd. 105,932 457,304 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH AFRICA -- (Continued)
Liberty Holdings, Ltd. 433,968 $ 4,243,262 0.1%
Life Healthcare Group Holdings, Ltd. 2,101,270 5,856,852 0.1%
Massmart Holdings, Ltd. 160,469 1,329,288 0.0%
Mediclinic International, Ltd. 812,963 7,135,710 0.2%
MMI Holdings, Ltd. 2,613,393 4,742,381 0.1%
Mondi, Ltd. 243,323 5,653,700 0.1%
* Mr. Price Group, Ltd. 356,728 5,477,614 0.1%
# MTN Group, Ltd. 2,516,919 28,654,142 0.7%
Naspers, Ltd. Class N 355,437 51,891,806 1.2%
Nedbank Group, Ltd. 468,779 7,792,518 0.2%
Netcare, Ltd. 2,226,268 6,330,831 0.2%
Pick n Pay Stores, Ltd. 389,854 1,884,995 0.0%
Pioneer Foods Group, Ltd. 173,026 2,478,896 0.1%
PSG Group, Ltd. 111,066 2,141,656 0.1%
Sanlam, Ltd. 2,900,955 13,105,720 0.3%
Santam, Ltd. 27,273 439,300 0.0%
* Sappi, Ltd. 30,064 118,630 0.0%
Sasol, Ltd. 130,693 4,187,622 0.1%
Sasol, Ltd. Sponsored ADR 736,675 23,691,468 0.5%
Shoprite Holdings, Ltd. 877,018 9,113,665 0.2%
Spar Group, Ltd. (The) 185,492 2,662,623 0.1%
Standard Bank Group, Ltd. 1,835,594 19,072,052 0.4%
# Steinhoff International Holdings, Ltd. 3,065,957 18,743,536 0.4%
# Telkom SA SOC, Ltd. 673,395 3,536,125 0.1%
Tiger Brands, Ltd. 227,557 5,202,832 0.1%
# Truworths International, Ltd. 911,524 6,167,212 0.1%
Tsogo Sun Holdings, Ltd. 311,671 557,888 0.0%
Vodacom Group, Ltd. 520,334 5,620,193 0.1%
Woolworths Holdings, Ltd. 1,348,819 9,979,368 0.2%
------------ ---
TOTAL SOUTH AFRICA 366,895,942 8.3%
------------ ---
SOUTH KOREA -- (15.2%)
# Amorepacific Corp. 38,725 12,782,905 0.3%
AMOREPACIFIC Group 35,323 4,968,232 0.1%
BNK Financial Group, Inc. 474,547 5,810,257 0.1%
#* Celltrion, Inc. 63,129 4,244,926 0.1%
#* Cheil Worldwide, Inc. 73,456 1,283,663 0.0%
# CJ CGV Co., Ltd. 16,235 1,474,928 0.0%
CJ CheilJedang Corp. 16,081 4,924,906 0.1%
# CJ Corp. 27,709 5,817,882 0.1%
* CJ E&M Corp. 19,443 1,420,918 0.0%
* CJ Korea Express Co., Ltd. 6,080 1,037,796 0.0%
#* Com2uSCorp 8,809 885,979 0.0%
# Cosmax, Inc. 8,483 1,424,630 0.0%
Coway Co., Ltd. 70,382 5,243,692 0.1%
Daelim Industrial Co., Ltd. 51,830 3,383,763 0.1%
#* Daewoo Engineering & Construction Co., Ltd. 133,508 758,630 0.0%
# Daewoo International Corp. 68,720 1,196,694 0.0%
Daewoo Securities Co., Ltd. 229,568 2,215,037 0.1%
# Daewoo Shipbuilding & Marine Engineering Co., Ltd. 165,407 999,807 0.0%
DGB Financial Group, Inc. 246,269 2,284,372 0.1%
# Dongbu Insurance Co., Ltd. 103,732 6,220,685 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SOUTH KOREA -- (Continued)
# Dongsuh Cos Inc. 21,475 $ 635,021 0.0%
# Dongwon F&B Co., Ltd. 706 232,765 0.0%
Dongwon Systems Corp. 2,204 152,990 0.0%
# Doosan Corp. 23,998 2,320,156 0.1%
# Doosan Heavy Industries & Construction Co., Ltd. 115,996 2,087,546 0.1%
#* Doosan Infracore Co., Ltd. 266,467 1,455,978 0.0%
E-MART, Inc. 24,680 4,591,136 0.1%
# Grand Korea Leisure Co., Ltd. 38,572 1,072,248 0.0%
Green Cross Corp. 3,906 619,120 0.0%
# Green Cross Holdings Corp. 18,294 655,990 0.0%
#* GS Engineering & Construction Corp. 78,050 1,586,507 0.0%
GS Holdings Corp. 87,075 3,824,767 0.1%
GS retail Co., Ltd. 21,329 1,075,048 0.0%
Hana Financial Group, Inc. 502,186 12,212,653 0.3%
# Hana Tour Service, Inc. 9,469 1,043,218 0.0%
# Hanjin Kal Corp. 14,767 280,999 0.0%
#* Hanjin Shipping Co., Ltd. 41,739 183,288 0.0%
Hankook Tire Co., Ltd. 183,771 7,025,359 0.2%
#* Hanmi Pharm Co., Ltd. 2,628 1,185,240 0.0%
#* Hanmi Science Co., Ltd. 7,251 829,778 0.0%
Hanon Systems 37,825 1,487,406 0.0%
# Hansae Co., Ltd. 20,705 1,017,425 0.0%
# Hanssem Co., Ltd. 12,225 2,498,237 0.1%
Hanwha Chemical Corp. 139,736 2,707,529 0.1%
Hanwha Corp. 91,320 2,994,511 0.1%
Hanwha Life Insurance Co., Ltd. 405,343 3,015,090 0.1%
#* Hanwha Techwin Co., Ltd. 38,062 1,238,224 0.0%
# Hite Jinro Co., Ltd. 33,704 675,845 0.0%
# Hotel Shilla Co., Ltd. 38,111 3,663,504 0.1%
Hyosung Corp. 58,732 5,996,928 0.1%
Hyundai Department Store Co., Ltd. 23,924 2,626,162 0.1%
# Hyundai Development Co-Engineering & Construction 52,307 2,100,733 0.1%
#* Hyundai Elevator Co., Ltd. 10,664 489,232 0.0%
Hyundai Engineering & Construction Co., Ltd. 140,523 4,237,067 0.1%
# Hyundai Glovis Co., Ltd. 23,344 4,011,976 0.1%
# Hyundai Greenfood Co., Ltd. 44,457 929,177 0.0%
#* Hyundai Heavy Industries Co., Ltd. 68,236 5,667,228 0.1%
Hyundai Marine & Fire Insurance Co., Ltd. 158,591 4,722,456 0.1%
Hyundai Mobis Co., Ltd. 57,294 12,044,926 0.3%
Hyundai Motor Co. 175,874 24,023,437 0.6%
#* Hyundai Rotem Co., Ltd. 26,341 374,824 0.0%
# Hyundai Securities Co., Ltd. 239,516 1,444,491 0.0%
Hyundai Steel Co. 164,371 7,483,793 0.2%
# Hyundai Wia Corp. 26,227 3,062,368 0.1%
Industrial Bank of Korea 518,970 6,352,604 0.2%
IS Dongseo Co., Ltd. 12,461 465,826 0.0%
Kakao Corp. 13,040 1,296,265 0.0%
Kangwon Land, Inc. 95,731 3,548,608 0.1%
KB Financial Group, Inc. 347,154 10,998,310 0.3%
KB Financial Group, Inc. ADR 103,883 3,275,431 0.1%
# KB Insurance Co., Ltd. 65,189 1,515,042 0.0%
# KCC Corp. 7,792 2,779,983 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ----------- ---------------
SOUTH KOREA -- (Continued)
KEPCO Plant Service & Engineering Co., Ltd. 27,560 $ 2,510,128 0.1%
Kia Motors Corp. 293,465 14,324,640 0.3%
# Kolon Industries, Inc. 11,973 650,475 0.0%
Korea Aerospace Industries, Ltd. 38,065 2,993,743 0.1%
Korea Electric Power Corp. 220,479 9,926,970 0.2%
Korea Electric Power Corp. Sponsored ADR 79,658 1,784,339 0.0%
Korea Gas Corp. 40,921 1,523,652 0.0%
Korea Investment Holdings Co., Ltd. 55,573 2,958,800 0.1%
# Korea Kolmar Co., Ltd. 17,594 1,379,843 0.0%
Korea Zinc Co., Ltd. 7,147 2,970,073 0.1%
* Korean Air Lines Co., Ltd. 93,709 2,531,457 0.1%
Korean Reinsurance Co. 9,477 112,986 0.0%
* KT Corp. 68,477 1,773,942 0.0%
#* KT Corp. Sponsored ADR 118,089 1,549,328 0.0%
KT&G Corp. 132,438 13,232,797 0.3%
# Kumho Petrochemical Co., Ltd. 20,929 1,061,258 0.0%
* Kwangju Bank 26,713 190,414 0.0%
LG Chem, Ltd. 42,069 11,183,670 0.3%
LG Corp. 126,493 7,319,113 0.2%
# LG Display Co., Ltd. 363,272 6,901,117 0.2%
LG Display Co., Ltd. ADR 808,137 7,677,302 0.2%
# LG Electronics, Inc. 319,599 13,721,044 0.3%
# LG Household & Health Care, Ltd. 11,853 9,808,038 0.2%
# LG Innotek Co., Ltd. 35,915 2,904,033 0.1%
LG Uplus Corp. 539,707 5,172,666 0.1%
# Loen Entertainment, Inc. 7,273 497,913 0.0%
Lotte Chemical Corp. 15,734 3,303,331 0.1%
Lotte Chilsung Beverage Co., Ltd. 684 1,339,441 0.0%
Lotte Confectionery Co., Ltd. 362 631,493 0.0%
LOTTE Himart Co., Ltd. 2,799 142,758 0.0%
Lotte Shopping Co., Ltd. 17,857 3,617,831 0.1%
# LS Corp. 21,498 726,006 0.0%
LS Industrial Systems Co., Ltd. 6,817 296,337 0.0%
Macquarie Korea Infrastructure Fund 447,213 3,137,603 0.1%
Mando Corp. 9,354 1,216,890 0.0%
# Medy-Tox, Inc. 5,027 2,134,840 0.1%
Meritz Finance Group, Inc. 34,705 445,648 0.0%
# Meritz Fire & Marine Insurance Co., Ltd. 54,827 773,882 0.0%
# Meritz Securities Co., Ltd. 206,737 919,569 0.0%
# Mirae Asset Securities Co., Ltd. 36,966 824,730 0.0%
#* Muhak Co., Ltd. 9,957 419,077 0.0%
# NAVER Corp. 33,801 17,748,056 0.4%
NCSoft Corp. 12,200 2,023,035 0.1%
# NH Investment & Securities Co., Ltd. 176,033 1,546,662 0.0%
# NongShim Co., Ltd. 3,742 1,209,291 0.0%
# OCI Co., Ltd. 33,427 2,397,041 0.1%
Orion Corp. 4,535 3,812,792 0.1%
# Ottogi Corp. 973 893,776 0.0%
#* Paradise Co., Ltd. 26,633 502,279 0.0%
# POSCO 49,750 8,000,340 0.2%
POSCO ADR 87,705 3,510,831 0.1%
S-1 Corp. 14,503 1,259,223 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
SOUTH KOREA -- (Continued)
# S-Oil Corp. 52,028 $ 3,111,637 0.1%
# Samlip General Foods Co., Ltd. 2,676 659,694 0.0%
* Samsung C&T Corp. 43,806 5,911,912 0.1%
Samsung Card Co., Ltd. 41,989 1,418,881 0.0%
# Samsung Electro-Mechanics Co., Ltd. 94,120 5,356,553 0.1%
Samsung Electronics Co., Ltd. 97,289 116,690,919 2.7%
Samsung Electronics Co., Ltd. GDR 52,509 31,372,488 0.7%
* Samsung Engineering Co., Ltd. 20,417 324,018 0.0%
Samsung Fire & Marine Insurance Co., Ltd. 48,145 13,502,420 0.3%
# Samsung Heavy Industries Co., Ltd. 296,549 3,440,521 0.1%
Samsung Life Insurance Co., Ltd. 68,654 6,554,959 0.2%
# Samsung SDI Co., Ltd. 72,952 6,790,590 0.2%
# Samsung Securities Co., Ltd. 55,168 2,320,798 0.1%
Samyang Holdings Corp. 3,274 458,439 0.0%
#* Sansung Life & Science Co., Ltd. 13,680 450,332 0.0%
# Shinhan Financial Group Co., Ltd. 347,482 13,261,734 0.3%
Shinhan Financial Group Co., Ltd. ADR 86,082 3,301,245 0.1%
Shinsegae Co., Ltd. 8,850 1,800,740 0.0%
# SK Chemicals Co., Ltd. 9,179 542,097 0.0%
SK Holdings Co., Ltd. 64,669 15,116,455 0.4%
SK Hynix, Inc. 705,494 18,880,589 0.4%
* SK Innovation Co., Ltd. 105,755 10,965,573 0.3%
# SK Networks Co., Ltd. 173,269 1,074,811 0.0%
SK Telecom Co., Ltd. 9,917 2,100,046 0.1%
Woori Bank 572,094 4,962,661 0.1%
Woori Bank Sponsored ADR 1,026 26,614 0.0%
# Young Poong Corp. 416 456,792 0.0%
# Youngone Corp. 20,576 862,418 0.0%
Yuhan Corp. 4,547 1,126,183 0.0%
------------ ----
TOTAL SOUTH KOREA 702,528,769 16.0%
------------ ----
TAIWAN -- (14.3%)
#* Acer, Inc. 5,322,811 2,256,781 0.1%
# Advanced Semiconductor Engineering, Inc. 13,107,929 15,132,511 0.4%
Advantech Co., Ltd. 400,254 2,866,493 0.1%
# Airtac International Group 122,850 637,081 0.0%
# Asia Cement Corp. 4,199,758 4,361,929 0.1%
# Asustek Computer, Inc. 1,168,180 10,454,500 0.2%
# AU Optronics Corp. 24,425,873 7,185,027 0.2%
AU Optronics Corp. Sponsored ADR 326,626 943,949 0.0%
# Casetek Holdings, Ltd. 313,000 1,370,137 0.0%
# Catcher Technology Co., Ltd. 996,429 9,778,974 0.2%
Cathay Financial Holding Co., Ltd. 7,638,450 10,880,170 0.3%
Cathay Real Estate Development Co., Ltd. 797,000 344,003 0.0%
Chailease Holding Co., Ltd. 1,480,840 2,827,042 0.1%
# Chang Hwa Commercial Bank, Ltd. 8,362,160 4,340,435 0.1%
# Cheng Shin Rubber Industry Co., Ltd. 2,462,965 4,459,454 0.1%
Cheng Uei Precision Industry Co., Ltd. 384,109 561,141 0.0%
Chicony Electronics Co., Ltd. 996,570 2,371,915 0.1%
* China Airlines, Ltd. 8,589,536 3,074,915 0.1%
China Development Financial Holding Corp. 24,213,121 6,505,741 0.2%
China Life Insurance Co., Ltd. 5,476,293 4,518,578 0.1%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
TAIWAN -- (Continued)
# China Motor Corp. 649,000 $ 458,765 0.0%
* China Petrochemical Development Corp. 145,613 37,046 0.0%
# China Steel Chemical Corp. 135,000 510,833 0.0%
# China Steel Corp. 13,862,932 8,379,435 0.2%
Chinatrust Financial Holding Co., Ltd. 17,409,977 9,538,164 0.2%
# Chipbond Technology Corp. 1,370,000 1,949,718 0.1%
ChipMOS TECHNOLOGIES, Inc. 21,000 20,912 0.0%
Chroma ATE, Inc. 43,000 76,645 0.0%
Chunghwa Telecom Co., Ltd. 1,559,000 4,776,557 0.1%
# Chunghwa Telecom Co., Ltd. ADR 246,757 7,560,634 0.2%
Clevo Co. 560,075 603,603 0.0%
Compal Electronics, Inc. 9,554,541 5,942,258 0.1%
CTCI Corp. 829,000 1,079,223 0.0%
Cub Elecparts, Inc. 4,000 50,149 0.0%
# Delta Electronics, Inc. 2,230,366 11,340,486 0.3%
E.Sun Financial Holding Co., Ltd. 12,293,637 7,388,840 0.2%
Eclat Textile Co., Ltd. 228,644 3,362,881 0.1%
# Epistar Corp. 1,764,000 1,588,725 0.0%
# Eternal Materials Co., Ltd. 618,510 585,591 0.0%
* Eva Airways Corp. 5,267,324 3,091,432 0.1%
Evergreen Marine Corp. Taiwan, Ltd. 3,775,261 1,680,506 0.0%
# Far Eastern Department Stores, Ltd. 1,812,592 1,096,715 0.0%
Far Eastern International Bank 707,000 219,649 0.0%
Far Eastern New Century Corp. 5,821,085 5,290,636 0.1%
Far EasTone Telecommunications Co., Ltd. 2,559,000 5,552,178 0.1%
Farglory Land Development Co., Ltd. 644,393 741,728 0.0%
# Feng TAY Enterprise Co., Ltd. 411,093 2,355,650 0.1%
# First Financial Holding Co., Ltd. 17,902,129 8,670,046 0.2%
Formosa Chemicals & Fibre Corp. 3,374,518 7,714,649 0.2%
# Formosa International Hotels Corp. 56,808 392,009 0.0%
Formosa Petrochemical Corp. 1,003,000 2,437,702 0.1%
Formosa Plastics Corp. 3,938,153 9,139,016 0.2%
Formosa Taffeta Co., Ltd. 870,000 860,557 0.0%
# Foxconn Technology Co., Ltd. 1,282,899 3,360,284 0.1%
Fubon Financial Holding Co., Ltd. 8,611,233 13,918,518 0.3%
# Giant Manufacturing Co., Ltd. 342,506 2,580,661 0.1%
Gigasolar Materials Corp. 31,800 614,750 0.0%
# Ginko International Co., Ltd. 45,000 478,333 0.0%
Gourmet Master Co., Ltd. 39,000 236,964 0.0%
* HannStar Display Corp. 5,668,660 741,962 0.0%
# Highwealth Construction Corp. 1,880,190 2,770,230 0.1%
# Hiwin Technologies Corp. 248,711 1,383,471 0.0%
Hon Hai Precision Industry Co., Ltd. 15,085,867 40,099,117 0.9%
# Hotai Motor Co., Ltd. 313,000 3,651,664 0.1%
# HTC Corp. 1,198,235 2,885,764 0.1%
Hua Nan Financial Holdings Co., Ltd. 11,616,768 5,582,569 0.1%
Innolux Corp. 27,802,241 9,326,996 0.2%
#* Inotera Memories, Inc. 7,543,000 5,789,125 0.1%
Inventec Corp. 5,085,551 2,914,694 0.1%
# Kenda Rubber Industrial Co., Ltd. 1,114,149 1,797,006 0.1%
# King Slide Works Co., Ltd. 70,000 917,867 0.0%
King Yuan Electronics Co., Ltd. 1,471,000 938,770 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
TAIWAN -- (Continued)
King's Town Bank Co., Ltd. 1,220,000 $ 970,839 0.0%
# Kinsus Interconnect Technology Corp. 770,000 1,578,164 0.0%
Largan Precision Co., Ltd. 133,860 10,402,081 0.2%
* LCY Chemical Corp. 156,123 138,561 0.0%
Lite-On Technology Corp. 4,674,094 4,845,218 0.1%
Lung Yen Life Service Corp. 147,000 292,945 0.0%
Makalot Industrial Co., Ltd. 222,576 1,694,614 0.0%
# MediaTek, Inc. 1,633,995 12,742,457 0.3%
Mega Financial Holding Co., Ltd. 11,460,904 8,351,017 0.2%
Mercuries Life Insurance Co., Ltd. 492,000 300,664 0.0%
# Merida Industry Co., Ltd. 226,287 1,322,568 0.0%
# Micro-Star International Co., Ltd. 588,000 596,965 0.0%
#* Nan Kang Rubber Tire Co., Ltd. 534,780 471,666 0.0%
# Nan Ya Plastics Corp. 3,971,599 7,880,979 0.2%
Nan Ya Printed Circuit Board Corp. 237,000 239,392 0.0%
# Nanya Technology Corp. 797,000 977,531 0.0%
# Novatek Microelectronics Corp. 1,179,000 4,013,061 0.1%
# PChome Online, Inc. 103,196 1,156,500 0.0%
Pegatron Corp. 4,286,345 10,474,378 0.2%
# Phison Electronics Corp. 200,000 1,443,188 0.0%
Pou Chen Corp. 3,298,487 4,652,274 0.1%
Powertech Technology, Inc. 2,158,819 4,762,271 0.1%
Poya International Co., Ltd. 49,000 556,611 0.0%
President Chain Store Corp. 831,831 5,522,245 0.1%
# Quanta Computer, Inc. 3,265,000 5,560,081 0.1%
# Radiant Opto-Electronics Corp. 775,170 2,398,875 0.1%
# Realtek Semiconductor Corp. 735,950 1,536,914 0.0%
# Ruentex Development Co., Ltd. 1,389,709 1,688,008 0.0%
Ruentex Industries, Ltd. 816,182 1,503,898 0.0%
* Sanyang Motor Co., Ltd. 225,000 149,911 0.0%
# ScinoPharm Taiwan, Ltd. 265,467 347,291 0.0%
# Shin Kong Financial Holding Co., Ltd. 14,687,656 3,514,544 0.1%
Siliconware Precision Industries Co., Ltd. 1,870,637 2,471,559 0.1%
Siliconware Precision Industries Co., Ltd. Sponsored ADR 21,813 145,929 0.0%
# Simplo Technology Co., Ltd. 690,000 2,444,016 0.1%
SinoPac Financial Holdings Co., Ltd. 17,364,662 5,730,913 0.1%
# Standard Foods Corp. 420,633 1,014,540 0.0%
# Synnex Technology International Corp. 1,391,756 1,466,764 0.0%
* Ta Chong Bank, Ltd. 2,343,800 993,714 0.0%
Taichung Commercial Bank Co., Ltd. 80,000 24,381 0.0%
Tainan Spinning Co., Ltd. 320,412 152,102 0.0%
Taishin Financial Holding Co., Ltd. 19,585,197 7,669,848 0.2%
#* Taiwan Business Bank 7,627,039 1,958,432 0.1%
# Taiwan Cement Corp. 7,542,720 8,388,292 0.2%
Taiwan Cooperative Financial Holding Co., Ltd. 11,896,590 5,322,200 0.1%
# Taiwan FamilyMart Co., Ltd. 89,000 579,904 0.0%
# Taiwan Fertilizer Co., Ltd. 1,415,000 1,805,088 0.1%
#* Taiwan Glass Industry Corp. 1,537,253 607,844 0.0%
Taiwan Mobile Co., Ltd. 2,075,300 6,533,180 0.2%
# Taiwan Secom Co., Ltd. 338,670 1,017,396 0.0%
Taiwan Semiconductor Manufacturing Co., Ltd. 25,188,808 106,137,215 2.4%
# Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR 1,672,158 36,720,590 0.8%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
TAIWAN -- (Continued)
Teco Electric and Machinery Co., Ltd. 3,334,000 $ 2,905,820 0.1%
# Ton Yi Industrial Corp. 1,328,000 648,081 0.0%
# TPK Holding Co., Ltd. 604,000 1,498,060 0.0%
Transcend Information, Inc. 320,181 891,598 0.0%
Tripod Technology Corp. 713,870 1,098,778 0.0%
TSRC Corp. 131,965 90,338 0.0%
U-Ming Marine Transport Corp. 723,860 856,844 0.0%
Uni-President Enterprises Corp. 7,340,033 12,410,229 0.3%
# Unimicron Technology Corp. 2,304,896 1,009,022 0.0%
# United Microelectronics Corp. 39,806,000 14,517,893 0.3%
# Vanguard International Semiconductor Corp. 1,671,000 2,147,526 0.1%
Voltronic Power Technology Corp. 4,000 51,011 0.0%
* Walsin Lihwa Corp. 4,619,000 1,112,742 0.0%
Wan Hai Lines, Ltd. 1,237,800 817,724 0.0%
#* Winbond Electronics Corp. 6,597,000 1,589,505 0.0%
* Wintek Corp. 604,760 6,392 0.0%
# Wistron Corp. 4,373,281 2,199,797 0.1%
WPG Holdings, Ltd. 2,919,869 3,046,801 0.1%
Yageo Corp. 1,265,278 1,992,888 0.1%
* Yang Ming Marine Transport Corp. 3,045,300 923,571 0.0%
Yuanta Financial Holding Co., Ltd. 15,951,381 6,267,591 0.2%
# Yulon Motor Co., Ltd. 1,547,000 1,637,579 0.0%
Zhen Ding Technology Holding, Ltd. 774,700 2,201,756 0.1%
------------ ----
TOTAL TAIWAN 662,543,623 15.0%
------------ ----
THAILAND -- (2.7%)
Advanced Info Service PCL 1,440,700 9,437,917 0.2%
Airports of Thailand PCL 578,400 4,846,087 0.1%
Bangchak Petroleum PCL (The) 765,700 775,011 0.0%
Bangkok Bank PCL(6077019) 271,700 1,279,532 0.0%
Bangkok Bank PCL(6368360) 311,000 1,464,610 0.0%
Bangkok Dusit Medical Services PCL 6,818,900 3,642,626 0.1%
Bangkok Life Assurance PCL 726,100 1,051,357 0.0%
Banpu PCL 1,650,100 1,006,738 0.0%
BEC World PCL 1,039,500 920,623 0.0%
Berli Jucker PCL 1,130,600 1,192,029 0.0%
Big C Supercenter PCL(6763932) 24,600 138,329 0.0%
Big C Supercenter PCL(6368434) 447,500 2,516,342 0.1%
Bumrungrad Hospital PCL 402,600 2,444,974 0.1%
Central Pattana PCL 1,779,300 2,301,196 0.1%
Central Plaza Hotel PCL 1,046,100 1,117,644 0.0%
CH Karnchang PCL 714,900 567,820 0.0%
Charoen Pokphand Foods PCL 3,650,200 2,124,387 0.1%
CP ALL PCL 4,313,700 6,064,103 0.1%
Delta Electronics Thailand PCL 586,000 1,392,198 0.0%
Electricity Generating PCL 307,400 1,343,943 0.0%
Energy Absolute PCL 1,310,400 854,749 0.0%
Glow Energy PCL 826,500 1,992,616 0.1%
Home Product Center PCL 9,248,013 1,820,091 0.1%
Indorama Ventures PCL 2,956,900 1,920,416 0.1%
Intouch Holdings PCL 832,500 1,755,465 0.1%
IRPC PCL 15,112,100 1,733,531 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
THAILAND -- (Continued)
* Italian-Thai Development PCL 2,012,000 $ 466,690 0.0%
Jasmine International PCL 5,419,200 1,005,601 0.0%
Kasikornbank PCL(6888794) 1,146,600 5,560,933 0.1%
Kasikornbank PCL(6364766) 210,900 1,022,851 0.0%
Krung Thai Bank PCL 5,815,587 2,795,995 0.1%
Land & Houses PCL(6581941) 4,720,640 1,134,785 0.0%
Land & Houses PCL(6581930) 790,000 189,906 0.0%
Minor International PCL 1,459,170 1,251,274 0.0%
MK Restaurants Group PCL 421,700 652,098 0.0%
Pruksa Real Estate PCL 2,045,400 1,610,212 0.0%
PTT Exploration & Production PCL(B1359J0) 2,357,855 4,839,345 0.1%
PTT Exploration & Production PCL(B1359L2) 65,409 134,248 0.0%
PTT Global Chemical PCL 2,864,872 4,490,521 0.1%
PTT PCL 1,599,300 12,365,432 0.3%
Ratchaburi Electricity Generating Holding PCL 837,000 1,247,234 0.0%
Robinson Department Store PCL 485,500 539,179 0.0%
Siam Cement PCL (The)(6609906) 166,400 2,124,006 0.1%
Siam Cement PCL (The)(6609928) 230,100 2,937,103 0.1%
Siam City Cement PCL 163,213 1,551,023 0.0%
Siam Commercial Bank PCL (The) 1,296,766 4,867,316 0.1%
Siam Global House PCL 811,332 237,235 0.0%
Sino-Thai Engineering & Construction PCL 788,000 559,415 0.0%
Supalai PCL 577,900 307,087 0.0%
* Superblock PCL 5,408,800 226,586 0.0%
Thai Oil PCL 1,225,700 1,869,522 0.1%
Thai Union Group PCL 3,940,140 1,960,792 0.1%
Thaicom PCL 757,900 665,899 0.0%
Thanachart Capital PCL 709,500 668,258 0.0%
TMB Bank PCL 28,927,300 2,163,397 0.1%
Total Access Communication PCL(B1YWK08) 1,299,400 2,484,268 0.1%
Total Access Communication PCL(B231MK7) 214,100 409,329 0.0%
TPI Polene PCL 13,890,600 984,166 0.0%
* True Corp. PCL 10,102,893 2,868,889 0.1%
TTW PCL 2,370,300 719,737 0.0%
------------ ---
TOTAL THAILAND 122,614,666 2.8%
------------ ---
TURKEY -- (1.8%)
Akbank TAS 2,364,422 6,059,390 0.1%
Akcansa Cimento A.S. 64,538 302,343 0.0%
Anadolu Efes Biracilik Ve Malt Sanayii A.S. 267,527 2,108,689 0.1%
Arcelik A.S. 540,990 2,948,160 0.1%
# Aselsan Elektronik Sanayi Ve Ticaret A.S. 145,429 695,235 0.0%
BIM Birlesik Magazalar A.S. 342,629 6,957,539 0.2%
# Brisa Bridgestone Sabanci Sanayi ve Ticaret A.S. 29,778 85,390 0.0%
Coca-Cola Icecek A.S. 113,782 1,440,420 0.0%
Enka Insaat ve Sanayi A.S. 468,611 829,520 0.0%
Eregli Demir ve Celik Fabrikalari TAS 3,605,636 5,109,987 0.1%
# Ford Otomotiv Sanayi A.S. 118,255 1,389,250 0.0%
KOC Holding A.S. 683,402 3,086,500 0.1%
# Koza Altin Isletmeleri A.S. 95,834 537,967 0.0%
#* Migros Ticaret A.S. 43,765 257,798 0.0%
* Petkim Petrokimya Holding A.S. 506,475 746,277 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
TURKEY -- (Continued)
Soda Sanayii A.S. 177,200 $ 293,022 0.0%
TAV Havalimanlari Holding A.S. 264,186 2,072,476 0.1%
Tofas Turk Otomobil Fabrikasi A.S. 200,779 1,324,561 0.0%
* Tupras Turkiye Petrol Rafinerileri A.S. 202,694 5,348,677 0.1%
* Turk Hava Yollari AO 2,046,901 6,035,410 0.1%
Turk Telekomunikasyon A.S. 699,083 1,507,932 0.0%
# Turk Traktor ve Ziraat Makineleri A.S. 21,783 517,966 0.0%
# Turkcell Iletisim Hizmetleri A.S. 1,142,611 4,540,673 0.1%
Turkcell Iletisim Hizmetleri A.S. ADR 73,838 731,735 0.0%
Turkiye Garanti Bankasi A.S. 3,265,633 8,456,131 0.2%
Turkiye Halk Bankasi A.S. 2,003,323 7,504,834 0.2%
Turkiye Is Bankasi Class C 2,548,532 4,343,584 0.1%
Turkiye Sinai Kalkinma Bankasi A.S. 40,017 21,109 0.0%
# Turkiye Sise ve Cam Fabrikalari A.S. 2,530,969 2,896,649 0.1%
# Turkiye Vakiflar Bankasi Tao Class D 1,377,350 1,960,621 0.1%
# Ulker Biskuvi Sanayi A.S. 244,375 1,648,576 0.0%
# Yapi ve Kredi Bankasi A.S. 1,390,825 1,689,466 0.1%
-------------- ----
TOTAL TURKEY 83,447,887 1.9%
-------------- ----
TOTAL COMMON STOCKS 4,304,198,016 97.7%
-------------- ----
PREFERRED STOCKS -- (2.0%)
BRAZIL -- (1.9%)
Banco Bradesco SA 3,343,289 18,213,688 0.4%
Braskem SA Class A 73,800 416,593 0.0%
Centrais Eletricas Brasileiras SA Class B 165,100 403,395 0.0%
Cia Brasileira de Distribuicao 342,322 4,504,474 0.1%
Cia de Transmissao de Energia Eletrica Paulista 4,392 50,540 0.0%
Cia Energetica de Minas Gerais 1,188,324 2,205,400 0.1%
* Empresa Nacional de Comercio Redito e Participacoes SA 380 2,956 0.0%
Gerdau SA 836,068 1,175,930 0.0%
Itau Unibanco Holding SA 4,198,270 28,833,771 0.7%
Itau Unibanco Holding SA ADR 141,521 969,419 0.0%
Lojas Americanas SA 737,783 3,197,959 0.1%
* Petroleo Brasileiro SA 1,869,461 3,734,369 0.1%
* Petroleo Brasileiro SA Sponsored ADR 1,440,006 5,745,624 0.1%
Suzano Papel e Celulose SA Class A 617,771 2,649,467 0.1%
Telefonica Brasil SA 441,763 4,575,577 0.1%
Vale SA 1,990,191 7,239,821 0.2%
Vale SA Sponsored ADR 377,072 1,357,459 0.0%
-------------- ----
TOTAL BRAZIL 85,276,442 2.0%
-------------- ----
CHILE -- (0.0%)
Embotelladora Andina SA Class B 113,824 416,755 0.0%
-------------- ----
COLOMBIA -- (0.1%)
Banco Davivienda SA 167,707 1,378,937 0.0%
Bancolombia SA 30,330 262,993 0.0%
Grupo Argos SA 15,531 92,103 0.0%
Grupo Aval Acciones y Valores SA 3,054,222 1,222,954 0.0%
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
COLOMBIA -- (Continued)
Grupo de Inversiones Suramericana SA 115,380 $ 1,448,124 0.1%
-------------- -----
TOTAL COLOMBIA 4,405,111 0.1%
-------------- -----
TOTAL PREFERRED STOCKS 90,098,308 2.1%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
SOUTH KOREA -- (0.0%)
* Mirae Asset Securities Co., Ltd. Rights 11/05/15 32,203 76,267 0.0%
#* SK Chemicals Co., Ltd. Rights 12/04/15 1,243 10,467 0.0%
-------------- -----
TOTAL SOUTH KOREA 86,734 0.0%
-------------- -----
THAILAND -- (0.0%)
* Jasmine International PCL Warrants 07/05/20 2,503,431 94,316 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS 181,050 0.0%
-------------- -----
BONDS -- (0.0%)
INDIA -- (0.0%)
NTPC, Ltd., 8.490% 19,584,025 38,152 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 4,394,515,526
--------------
VALUE+
--------------
SECURITIES LENDING COLLATERAL -- (5.0%)
(S)@ DFA Short Term Investment Fund 20,193,192 233,635,232 5.3%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $4,090,568,631) $4,628,150,758 105.1%
============== =====
THE EMERGING MARKETS SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, 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 $ 72,351,895 $ 128,502,798 -- $ 200,854,693
Chile 29,417,791 36,874,061 -- 66,291,852
China 119,678,667 547,335,973 -- 667,014,640
Colombia 22,932,415 -- -- 22,932,415
Czech Republic -- 8,061,923 -- 8,061,923
Egypt -- 5,936,662 -- 5,936,662
Greece -- 15,529,848 -- 15,529,848
Hungary -- 12,756,313 -- 12,756,313
India 36,809,493 499,992,564 -- 536,802,057
Indonesia 3,914,328 126,260,108 -- 130,174,436
Malaysia -- 182,083,175 -- 182,083,175
Mexico 262,786,277 -- -- 262,786,277
Peru 9,743,908 -- -- 9,743,908
Philippines 2,373,039 83,289,014 -- 85,662,053
Poland -- 79,130,660 -- 79,130,660
Russia 2,164,213 78,242,004 -- 80,406,217
South Africa 47,016,645 319,879,297 -- 366,895,942
South Korea 21,125,090 681,403,679 -- 702,528,769
Taiwan 45,371,102 617,172,521 -- 662,543,623
Thailand 122,614,666 -- -- 122,614,666
Turkey 731,735 82,716,152 -- 83,447,887
Preferred Stocks
Brazil 8,075,458 77,200,984 -- 85,276,442
Chile -- 416,755 -- 416,755
Colombia 4,405,111 -- -- 4,405,111
Rights/Warrants
South Korea -- 86,734 -- 86,734
Thailand -- 94,316 -- 94,316
Bonds
India -- 38,152 -- 38,152
Securities Lending Collateral -- 233,635,232 -- 233,635,232
------------ -------------- -- --------------
TOTAL $811,511,833 $3,816,638,925 -- $4,628,150,758
============ ============== == ==============
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2015
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
COMMON STOCKS -- (85.5%)
ARGENTINA -- (0.0%)
Ferrum SA de Ceramica y Metalurgia 1 $ 1 0.0%
----------- ---
BRAZIL -- (5.3%)
AES Tiete SA 638,255 2,234,802 0.0%
Aliansce Shopping Centers SA 788,841 2,137,065 0.0%
Alupar Investimento SA 689,700 2,833,690 0.1%
Arezzo Industria e Comercio SA 469,935 2,558,480 0.1%
B2W Cia Digital 1,202,562 4,542,020 0.1%
BR Malls Participacoes SA 4,365,623 12,667,039 0.3%
Brasil Brokers Participacoes SA 1,956,911 761,040 0.0%
Brasil Insurance Participacoes e Administracao SA 572,226 123,111 0.0%
Brasil Pharma SA 1,117,700 147,700 0.0%
BrasilAgro - Co. Brasileira de Propriedades Agricolas 37,900 105,123 0.0%
# Braskem SA Sponsored ADR 201,683 2,248,765 0.0%
Centrais Eletricas Brasileiras SA 1,635,000 2,126,304 0.0%
CETIP SA - Mercados Organizados 945,300 8,362,006 0.2%
Cia de Locacao das Americas 114,917 103,991 0.0%
Cia de Saneamento de Minas Gerais-COPASA 710,921 2,395,647 0.1%
Cia Hering 1,447,093 5,680,856 0.1%
Cia Paranaense de Energia 100,900 574,854 0.0%
# Cia Paranaense de Energia Sponsored ADR 291,900 2,411,094 0.1%
Cia Siderurgica Nacional SA 4,011,976 4,512,173 0.1%
# Cia Siderurgica Nacional SA Sponsored ADR 61,116 75,173 0.0%
Contax Participacoes SA 133,433 51,880 0.0%
Cosan SA Industria e Comercio 726,800 4,654,493 0.1%
CR2 Empreendimentos Imobiliarios SA 9,400 5,883 0.0%
Cyrela Brazil Realty SA Empreendimentos e Participacoes 2,677,326 6,218,257 0.1%
Cyrela Commercial Properties SA Empreendimentos e Participacoes 41,900 103,463 0.0%
Dimed SA Distribuidora da Medicamentos 1,100 60,610 0.0%
Direcional Engenharia SA 1,100,209 1,009,789 0.0%
Duratex SA 3,914,274 6,493,662 0.1%
EcoRodovias Infraestrutura e Logistica SA 3,278,707 5,055,335 0.1%
EDP - Energias do Brasil SA 2,259,895 6,605,418 0.1%
Equatorial Energia SA 2,116,094 18,862,875 0.4%
Estacio Participacoes SA 3,262,816 13,083,483 0.3%
Eternit SA 1,361,478 790,652 0.0%
Even Construtora e Incorporadora SA 2,530,588 2,624,061 0.1%
Ez Tec Empreendimentos e Participacoes SA 539,743 1,776,698 0.0%
Fleury SA 946,758 4,023,389 0.1%
Fras-Le SA 37,875 32,395 0.0%
Gafisa SA 911,300 590,654 0.0%
# Gafisa SA ADR 1,115,368 1,438,825 0.0%
General Shopping Brasil SA 26,717 17,258 0.0%
# Gol Linhas Aereas Inteligentes SA ADR 76,771 68,203 0.0%
Grendene SA 977,134 4,572,390 0.1%
Guararapes Confeccoes SA 80,800 1,016,034 0.0%
Helbor Empreendimentos SA 1,521,293 804,861 0.0%
Iguatemi Empresa de Shopping Centers SA 748,674 4,137,707 0.1%
* Industria de Bebidas Antarctica Polar SA 23,000 -- 0.0%
Industrias Romi SA 34,800 15,965 0.0%
International Meal Co. Alimentacao SA 598,794 722,148 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
BRAZIL -- (Continued)
Iochpe Maxion SA 1,133,484 $ 4,700,682 0.1%
JHSF Participacoes SA 680,347 308,606 0.0%
Joao Fortes Engenharia SA 66,552 55,912 0.0%
JSL SA 674,500 1,640,039 0.0%
Kepler Weber SA 131,446 778,332 0.0%
Light SA 758,907 2,524,690 0.1%
Linx SA 250,812 3,057,733 0.1%
Localiza Rent a Car SA 1,093,775 7,377,490 0.2%
Log-in Logistica Intermodal SA 286,450 55,686 0.0%
LPS Brasil Consultoria de Imoveis SA 539,479 293,662 0.0%
M Dias Branco SA 172,400 3,125,089 0.1%
Magnesita Refratarios SA 1,994,471 1,345,541 0.0%
Mahle-Metal Leve SA 602,313 3,656,353 0.1%
Makira Empreendimentos SA 7,794,555 199,915 0.0%
Marfrig Global Foods SA 4,834,229 7,985,178 0.2%
Marisa Lojas SA 552,620 932,183 0.0%
Mills Estruturas e Servicos de Engenharia SA 966,926 1,122,824 0.0%
Minerva SA 1,446,269 4,785,715 0.1%
MRV Engenharia e Participacoes SA 2,983,258 5,737,806 0.1%
Multiplan Empreendimentos Imobiliarios SA 1,004,900 10,956,466 0.2%
Multiplus SA 477,884 4,253,433 0.1%
Natura Cosmeticos SA 194,500 1,154,237 0.0%
Odontoprev SA 2,928,796 7,500,741 0.2%
Oi SA 997,800 812,474 0.0%
Oi SA ADR 18,859 11,083 0.0%
Paranapanema SA 1,617,456 1,170,204 0.0%
PDG Realty SA Empreendimentos e Participacoes 83,783 44,218 0.0%
Portobello SA 206,100 114,285 0.0%
Profarma Distribuidora de Produtos Farmaceuticos SA 58,363 90,436 0.0%
QGEP Participacoes SA 782,894 1,209,653 0.0%
Qualicorp SA 1,947,919 8,180,234 0.2%
Raia Drogasil SA 544,175 5,641,094 0.1%
Restoque Comercio e Confeccoes de Roupas SA 879,203 692,627 0.0%
Rodobens Negocios Imobiliarios SA 136,138 169,280 0.0%
Rumo Logistica Operadora Multimodal SA 1,598,337 3,041,557 0.1%
Santos Brasil Participacoes SA 480,788 1,781,574 0.0%
Sao Carlos Empreendimentos e Participacoes SA 47,859 285,404 0.0%
Sao Martinho SA 715,862 8,242,526 0.2%
SLC Agricola SA 566,418 2,527,818 0.1%
Smiles SA 464,000 3,622,236 0.1%
Somos Educado SA 769,344 2,642,891 0.1%
Sonae Sierra Brasil SA 265,146 1,146,966 0.0%
Springs Global Participacoes SA 35,522 27,639 0.0%
Sul America SA 2,719,051 13,340,635 0.3%
Technos SA 221,800 224,308 0.0%
Tecnisa SA 795,226 602,106 0.0%
Tegma Gestao Logistica 245,135 228,746 0.0%
Tempo Participacoes SA 310,102 309,623 0.0%
Tereos Internacional SA 367,583 49,525 0.0%
Totvs SA 1,252,487 11,096,760 0.2%
TPI - Triunfo Participacoes e Investimentos SA 280,101 216,467 0.0%
Transmissora Alianca de Energia Eletrica SA 1,382,600 7,130,507 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
BRAZIL -- (Continued)
Trisul SA 37,542 $ 23,862 0.0%
Usinas Siderurgicas de Minas Gerais SA 5,300 10,862 0.0%
Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e
Identificacao S.A 812,887 9,228,230 0.2%
Vanguarda Agro SA 64,351 244,328 0.0%
Via Varejo SA(B7VY430) 205,862 155,097 0.0%
Via Varejo SA(BGSHPP4) 373,400 411,462 0.0%
------------ ---
TOTAL BRAZIL 299,712,351 6.1%
------------ ---
CHILE -- (1.2%)
Aguas Andinas SA Class A 1,338,389 699,926 0.0%
Banmedica SA 1,736,804 2,836,035 0.1%
Besalco SA 2,277,748 839,199 0.0%
Bupa Chile SA 852,890 664,264 0.0%
CAP SA 767,815 2,030,990 0.0%
Cementos BIO BIO SA 352,724 252,482 0.0%
Cia Pesquera Camanchaca SA 194,645 4,330 0.0%
Cia Sud Americana de Vapores SA 77,167,071 1,871,795 0.0%
Cintac SA 190,880 28,305 0.0%
Clinica LAS Condes SA 349 19,217 0.0%
Cristalerias de Chile SA 130,323 873,431 0.0%
E.CL SA 5,488,304 7,935,236 0.2%
Embotelladora Andina SA Class B ADR 34,969 771,066 0.0%
Empresa Nacional de Telecomunicaciones SA 321,658 2,978,496 0.1%
Empresas AquaChile SA 1,281,212 424,634 0.0%
Empresas Hites SA 1,224,251 404,148 0.0%
Empresas La Polar SA 4,375,847 88,640 0.0%
Enjoy SA 1,016,659 56,062 0.0%
Forus SA 835,481 2,416,437 0.1%
Gasco SA 230,191 1,559,284 0.0%
Grupo Security SA 1,954,000 551,987 0.0%
Inversiones Aguas Metropolitanas SA 4,148,275 5,907,004 0.1%
Inversiones La Construccion SA 212,090 2,410,936 0.1%
Latam Airlines Group SA 132,719 667,881 0.0%
# Latam Airlines Group SA Sponsored ADR 62,087 342,099 0.0%
Masisa SA 14,224,085 379,094 0.0%
Multiexport Foods SA 3,502,735 395,062 0.0%
Parque Arauco SA 7,176,122 12,017,573 0.3%
PAZ Corp. SA 1,320,749 571,077 0.0%
Ripley Corp. SA 8,741,531 2,894,103 0.1%
Salfacorp SA 2,421,957 1,326,952 0.0%
Sigdo Koppers SA 735,025 883,662 0.0%
Sociedad Matriz SAAM SA 32,694,036 2,131,408 0.0%
Socovesa SA 2,895,998 501,884 0.0%
Sonda SA 1,401,092 2,257,972 0.1%
Tech Pack SA 153,812 50,458 0.0%
Vina Concha y Toro SA 5,059,858 8,607,306 0.2%
Vina Concha y Toro SA Sponsored ADR 2,025 68,364 0.0%
Vina San Pedro Tarapaca SA 6,897,972 54,167 0.0%
------------ ---
TOTAL CHILE 68,772,966 1.4%
------------ ---
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (12.8%)
361 Degrees International, Ltd. 4,235,000 $ 1,502,804 0.0%
# Agile Property Holdings, Ltd. 9,525,500 5,173,078 0.1%
Ajisen China Holdings, Ltd. 3,424,000 1,637,529 0.0%
AMVIG Holdings, Ltd. 2,356,000 1,091,665 0.0%
Anhui Expressway Co., Ltd. Class H 2,770,000 2,382,077 0.1%
# Anton Oilfield Services Group 7,088,000 947,059 0.0%
Anxin-China Holdings, Ltd. 16,347,000 304,642 0.0%
# Asia Cement China Holdings Corp. 2,700,500 845,915 0.0%
Asian Citrus Holdings, Ltd. 2,314,000 303,559 0.0%
Ausnutria Dairy Corp., Ltd. 365,000 107,580 0.0%
# AVIC International Holdings, Ltd. Class H 1,658,000 941,124 0.0%
AviChina Industry & Technology Co., Ltd. Class H 3,906,788 3,183,846 0.1%
Bank of Chongqing Co., Ltd. Class H 668,000 502,466 0.0%
Baoxin Auto Group, Ltd. 4,359,000 1,799,713 0.0%
Baoye Group Co., Ltd. Class H 1,860,000 1,280,983 0.0%
Beijing Capital International Airport Co., Ltd. Class H 9,730,000 10,401,993 0.2%
Beijing Capital Land, Ltd. Class H 8,022,500 3,860,104 0.1%
Beijing Development HK, Ltd. 55,000 14,181 0.0%
# Beijing Jingneng Clean Energy Co., Ltd. Class H 7,384,000 2,602,217 0.1%
Beijing North Star Co., Ltd. Class H 6,590,000 2,144,511 0.1%
# Beijing Properties Holdings, Ltd. 4,746,000 335,581 0.0%
Besunyen Holdings Co., Ltd. 227,000 25,649 0.0%
Billion Industrial Holdings, Ltd. 26,000 14,010 0.0%
# Biostime International Holdings, Ltd. 977,500 2,170,390 0.1%
# Bloomage Biotechnology Corp., Ltd. 982,500 1,792,278 0.0%
# Boer Power Holdings, Ltd. 1,689,000 2,758,403 0.1%
# Bolina Holding Co., Ltd. 1,986,000 483,467 0.0%
# Bosideng International Holdings, Ltd. 17,784,000 1,716,239 0.0%
# Boyaa Interactive International, Ltd. 1,292,000 555,771 0.0%
Bracell, Ltd. 328,000 38,877 0.0%
BYD Electronic International Co., Ltd. 4,692,815 3,066,878 0.1%
C C Land Holdings, Ltd. 8,655,343 2,213,951 0.1%
# C.banner International Holdings, Ltd. 1,175,000 484,980 0.0%
Cabbeen Fashion, Ltd. 608,000 399,393 0.0%
Carrianna Group Holdings Co., Ltd. 1,855,257 193,380 0.0%
CECEP COSTIN New Materials Group, Ltd. 5,220,000 777,868 0.0%
Central China Real Estate, Ltd. 4,543,626 912,383 0.0%
# Century Sunshine Group Holdings, Ltd. 8,055,000 661,856 0.0%
# Changshouhua Food Co., Ltd. 1,773,000 1,068,958 0.0%
# Chaowei Power Holdings, Ltd. 3,408,000 2,189,640 0.1%
# Chia Tai Enterprises International, Ltd. 218,385 79,737 0.0%
Chigo Holding, Ltd. 21,682,000 362,817 0.0%
# China Aerospace International Holdings, Ltd. 14,262,500 2,067,737 0.1%
# China Agri-Industries Holdings, Ltd. 12,819,800 4,706,370 0.1%
# China All Access Holdings, Ltd. 4,734,000 1,613,338 0.0%
China Animal Healthcare, Ltd. 3,671,000 923,599 0.0%
China Aoyuan Property Group, Ltd. 6,676,000 1,484,476 0.0%
China Automation Group, Ltd. 2,618,000 285,544 0.0%
China BlueChemical, Ltd. Class H 10,104,000 3,000,482 0.1%
China Child Care Corp., Ltd. 3,583,000 484,403 0.0%
China City Railway Transportation Technology Holdings Co., Ltd. 716,000 189,204 0.0%
China Communications Services Corp., Ltd. Class H 13,876,000 5,530,699 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
China Culiangwang Beverages Holdings, Ltd. 1,474,500 $ 24,445 0.0%
China Datang Corp. Renewable Power Co., Ltd. Class H 14,673,000 1,939,971 0.0%
# China Dongxiang Group Co., Ltd. 12,213,985 3,090,824 0.1%
China Dredging Environment Protection Holdings, Ltd. 2,445,000 342,452 0.0%
China Dynamics Holdings, Ltd. 1,880,000 130,038 0.0%
China Energine International Holdings, Ltd. 2,652,000 241,716 0.0%
China Everbright, Ltd. 2,474,000 5,822,670 0.1%
# China Fiber Optic Network System Group, Ltd. 9,167,999 1,094,848 0.0%
China Financial Services Holdings, Ltd. 3,756,000 264,979 0.0%
# China Foods, Ltd. 5,842,000 2,671,845 0.1%
China Glass Holdings, Ltd. 4,522,000 621,275 0.0%
# China Harmony New Energy Auto Holding, Ltd. 3,360,000 2,236,760 0.1%
China High Precision Automation Group, Ltd. 1,289,000 38,043 0.0%
China High Speed Transmission Equipment Group Co., Ltd. 6,280,000 5,596,803 0.1%
# China Hongqiao Group, Ltd. 1,403,500 728,969 0.0%
China Household Holdings, Ltd. 9,540,000 313,290 0.0%
# China Huishan Dairy Holdings Co., Ltd. 2,783,000 1,056,834 0.0%
China Huiyuan Juice Group, Ltd. 4,500,500 2,024,709 0.1%
# China ITS Holdings Co., Ltd. 4,003,412 493,514 0.0%
# China Jinmao Holdings Group, Ltd. 23,818,300 6,560,164 0.1%
# China Jiuhao Health Industry Corp., Ltd. 5,180,000 492,659 0.0%
# China Lesso Group Holdings, Ltd. 6,733,000 5,443,729 0.1%
# China Lilang, Ltd. 3,243,000 2,754,619 0.1%
#* China Lumena New Materials Corp. 14,530,000 -- 0.0%
China Machinery Engineering Corp. Class H 3,790,000 3,294,217 0.1%
China Medical System Holdings, Ltd. 5,097,500 7,001,734 0.2%
# China Merchants Land, Ltd. 7,194,000 1,524,630 0.0%
# China Metal Recycling Holdings, Ltd. 2,401,686 547,852 0.0%
# China Modern Dairy Holdings, Ltd. 11,684,000 3,499,526 0.1%
China National Building Material Co., Ltd. Class H 3,452,000 2,135,944 0.1%
China National Materials Co., Ltd. Class H 7,389,000 1,772,765 0.0%
China New Town Development Co., Ltd. 7,978,148 322,265 0.0%
# China Oil & Gas Group, Ltd. 28,578,000 1,985,490 0.1%
China Outfitters Holdings, Ltd. 24,000 2,048 0.0%
# China Overseas Grand Oceans Group, Ltd. 5,669,500 1,798,724 0.0%
China Pioneer Pharma Holdings, Ltd. 589,000 257,785 0.0%
China Power International Development, Ltd. 12,003,000 7,543,065 0.2%
# China Power New Energy Development Co., Ltd. 32,320,000 2,238,635 0.1%
# China Precious Metal Resources Holdings Co., Ltd. 20,748,318 905,544 0.0%
China Properties Group, Ltd. 2,640,000 543,758 0.0%
# China Rare Earth Holdings, Ltd. 8,472,799 770,553 0.0%
China Resources and Transportation Group, Ltd. 3,000,000 12,750 0.0%
# China Resources Cement Holdings, Ltd. 7,372,000 2,974,891 0.1%
China Ruifeng Renewable Energy Holdings, Ltd. 1,468,000 179,375 0.0%
# China Sanjiang Fine Chemicals Co., Ltd. 3,510,000 739,895 0.0%
China SCE Property Holdings, Ltd. 8,028,200 1,759,027 0.0%
# China Shanshui Cement Group, Ltd. 11,268,000 6,018,827 0.1%
China Shineway Pharmaceutical Group, Ltd. 2,025,200 2,626,111 0.1%
# China Singyes Solar Technologies Holdings, Ltd. 2,878,200 2,253,398 0.1%
# China South City Holdings, Ltd. 14,216,000 3,390,287 0.1%
China Starch Holdings, Ltd. 5,040,000 105,711 0.0%
# China Suntien Green Energy Corp., Ltd. Class H 10,775,000 1,921,105 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
China Taifeng Beddings Holdings, Ltd. 1,336,000 $ 69,811 0.0%
# China Tian Lun Gas Holdings, Ltd. 1,077,000 983,618 0.0%
China Tianyi Holdings, Ltd. 1,636,000 189,461 0.0%
# China Traditional Chinese Medicine Co., Ltd. 5,836,000 4,413,762 0.1%
China Travel International Investment Hong Kong, Ltd. 14,807,900 6,692,932 0.1%
China Vanadium Titano - Magnetite Mining Co., Ltd. 5,882,000 234,133 0.0%
China Water Affairs Group, Ltd. 6,752,000 3,579,815 0.1%
# China Water Industry Group, Ltd. 760,000 156,473 0.0%
# China Yongda Automobiles Services Holdings, Ltd. 843,000 393,440 0.0%
# China Yurun Food Group, Ltd. 9,041,000 1,925,346 0.0%
China Zenith Chemical Group, Ltd. 2,180,000 224,510 0.0%
# China ZhengTong Auto Services Holdings, Ltd. 5,737,500 2,567,659 0.1%
# China Zhongwang Holdings, Ltd. 5,296,400 2,346,229 0.1%
# Chinasoft International, Ltd. 8,394,000 3,638,261 0.1%
Chinese People Holdings Co., Ltd. 1,855,709 40,812 0.0%
Chongqing Iron & Steel Co., Ltd. Class H 495,400 79,457 0.0%
Chongqing Machinery & Electric Co., Ltd. Class H 7,586,000 1,079,633 0.0%
Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 2,662,000 451,197 0.0%
CIFI Holdings Group Co., Ltd. 7,506,000 1,601,797 0.0%
# CIMC Enric Holdings, Ltd. 3,706,000 2,444,413 0.1%
# CITIC Dameng Holdings, Ltd. 2,998,000 250,000 0.0%
# CITIC Resources Holdings, Ltd. 16,398,600 2,443,270 0.1%
# Citychamp Watch & Jewellery Group, Ltd. 11,492,000 1,781,146 0.0%
Clear Media, Ltd. 282,000 283,458 0.0%
Coastal Greenland, Ltd. 5,286,000 133,001 0.0%
# Comba Telecom Systems Holdings, Ltd. 6,774,412 1,391,402 0.0%
Comtec Solar Systems Group, Ltd. 4,832,000 440,573 0.0%
# Concord New Energy Group, Ltd. 25,974,964 1,764,284 0.0%
Coolpad Group, Ltd. 15,784,000 2,753,977 0.1%
# Cosco International Holdings, Ltd. 2,703,000 1,555,412 0.0%
# COSCO Pacific, Ltd. 4,276,604 5,532,669 0.1%
Coslight Technology International Group Co., Ltd. 294,000 109,903 0.0%
CP Pokphand Co., Ltd. 29,862,594 3,564,235 0.1%
# CPMC Holdings, Ltd. 2,524,000 1,411,776 0.0%
# CT Environmental Group, Ltd. 10,572,000 3,787,971 0.1%
Da Ming International Holdings, Ltd. 862,000 242,784 0.0%
DaChan Food Asia, Ltd. 1,523,955 170,836 0.0%
# Dah Chong Hong Holdings, Ltd. 4,922,000 2,229,601 0.1%
# Dalian Port PDA Co., Ltd. Class H 3,028,000 1,091,993 0.0%
# Daphne International Holdings, Ltd. 6,714,000 1,191,507 0.0%
Dawnrays Pharmaceutical Holdings, Ltd. 2,714,943 2,234,726 0.1%
# DBA Telecommunication Asia Holdings, Ltd. 2,108,000 35,697 0.0%
# Digital China Holdings, Ltd. 5,557,800 5,656,005 0.1%
# Dongjiang Environmental Co., Ltd. Class H 190,375 367,457 0.0%
Dongyue Group, Ltd. 7,432,000 2,024,794 0.1%
# Dynasty Fine Wines Group, Ltd. 1,614,000 56,225 0.0%
Embry Holdings, Ltd. 473,000 257,470 0.0%
EVA Precision Industrial Holdings, Ltd. 5,958,435 1,428,865 0.0%
EverChina International Holdings Co., Ltd. 11,170,000 451,356 0.0%
Evergreen International Holdings, Ltd. 1,228,000 142,316 0.0%
Extrawell Pharmaceutical Holdings, Ltd. 1,337,921 65,279 0.0%
Fantasia Holdings Group Co., Ltd. 11,991,000 1,415,718 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
CHINA -- (Continued)
Far East Horizon, Ltd. 4,434,000 $ 3,688,089 0.1%
# First Tractor Co., Ltd. Class H 1,007,176 683,679 0.0%
Freetech Road Recycling Technology Holdings, Ltd. 2,164,000 247,338 0.0%
Fu Shou Yuan International Group, Ltd. 707,000 482,057 0.0%
# Fufeng Group, Ltd. 6,185,600 3,274,490 0.1%
# Fuguiniao Co., Ltd. Class H 1,058,000 634,056 0.0%
Future Land Development Holdings, Ltd. 3,186,000 491,255 0.0%
# GCL-Poly Energy Holdings, Ltd. 57,432,000 11,936,202 0.3%
# Geely Automobile Holdings, Ltd. 28,845,000 15,308,334 0.3%
Global Bio-Chem Technology Group Co., Ltd. 4,700,800 183,647 0.0%
Glorious Property Holdings, Ltd. 15,466,501 1,992,388 0.1%
Goldbond Group Holdings, Ltd. 210,000 10,322 0.0%
# Golden Eagle Retail Group, Ltd. 3,149,000 4,037,147 0.1%
# Golden Meditech Holdings, Ltd. 3,396,789 497,729 0.0%
# Goldin Properties Holdings, Ltd. 1,058,000 910,101 0.0%
Goldlion Holdings, Ltd. 1,613,962 682,041 0.0%
# Goldpac Group, Ltd. 1,555,000 802,154 0.0%
GOME Electrical Appliances Holding, Ltd. 57,831,000 10,567,435 0.2%
Good Friend International Holdings, Inc. 398,667 97,477 0.0%
# Goodbaby International Holdings, Ltd. 4,330,000 1,981,229 0.1%
# Greatview Aseptic Packaging Co., Ltd. 4,809,000 2,257,623 0.1%
# Greenland Hong Kong Holdings, Ltd. 2,737,000 1,155,671 0.0%
# Greentown China Holdings, Ltd. 4,469,648 3,892,265 0.1%
# Guangdong Land Holdings, Ltd. 4,396,800 984,201 0.0%
Guangdong Yueyun Transportation Co., Ltd. Class H 359,000 243,046 0.0%
# Guangshen Railway Co., Ltd. Class H 1,690,000 873,325 0.0%
# Guangzhou R&F Properties Co., Ltd. Class H 5,330,800 5,283,732 0.1%
# Guodian Technology & Environment Group Corp., Ltd. Class H 5,028,000 485,321 0.0%
Haitian International Holdings, Ltd. 3,051,000 5,338,331 0.1%
# Hanergy Thin Film Power Group, Ltd. 17,084,000 2,314,427 0.1%
# Harbin Electric Co., Ltd. Class H 4,715,413 2,792,863 0.1%
Henderson Investment, Ltd. 596,000 49,830 0.0%
# Hengdeli Holdings, Ltd. 15,517,399 2,329,468 0.1%
# Hi Sun Technology China, Ltd. 1,422,000 275,215 0.0%
Hidili Industry International Development, Ltd. 2,923,000 149,717 0.0%
# Hilong Holding, Ltd. 4,081,000 862,321 0.0%
Hisense Kelon Electrical Holdings Co., Ltd. Class H 932,000 474,115 0.0%
# HKC Holdings, Ltd. 19,289,447 447,125 0.0%
HL Technology Group, Ltd. 1,278,000 490,529 0.0%
HNA Infrastructure Co., Ltd. Class H 603,000 690,486 0.0%
# Honghua Group, Ltd. 10,418,000 844,006 0.0%
Hopefluent Group Holdings, Ltd. 787,670 194,174 0.0%
Hopewell Highway Infrastructure, Ltd. 4,163,000 1,909,436 0.0%
# Hopson Development Holdings, Ltd. 4,002,000 3,381,259 0.1%
# HOSA International, Ltd. 2,860,000 1,179,172 0.0%
# Hua Han Bio-Pharmaceutical Holdings, Ltd. Class H 21,955,698 3,183,537 0.1%
Huabao International Holdings, Ltd. 11,025,014 4,597,054 0.1%
# Huadian Fuxin Energy Corp., Ltd. Class H 13,648,000 4,233,808 0.1%
Huaneng Renewables Corp., Ltd. Class H 21,172,000 6,520,679 0.1%
Huiyin Smart Community Co., Ltd. 1,352,000 133,237 0.0%
Hydoo International Holding, Ltd. 1,434,000 221,341 0.0%
# Inspur International, Ltd. 2,056,000 391,036 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
# Intime Retail Group Co., Ltd. 6,959,000 $7,668,561 0.2%
# Jiangnan Group, Ltd. 6,512,000 1,491,212 0.0%
Jinchuan Group International Resources Co., Ltd. 3,808,000 186,715 0.0%
# Jingwei Textile Machinery Class H 1,272,000 1,910,397 0.0%
Ju Teng International Holdings, Ltd. 5,126,000 2,796,739 0.1%
Jutal Offshore Oil Services, Ltd. 356,000 34,307 0.0%
Kai Yuan Holdings, Ltd. 13,520,000 139,064 0.0%
# Kaisa Group Holdings, Ltd. 9,828,000 741,798 0.0%
Kasen International Holdings, Ltd. 162,000 26,436 0.0%
Kingboard Chemical Holdings, Ltd. 4,036,921 5,693,124 0.1%
Kingboard Laminates Holdings, Ltd. 5,419,000 2,250,034 0.1%
# Kingdee International Software Group Co., Ltd. 11,041,200 4,540,793 0.1%
KWG Property Holding, Ltd. 10,280,950 7,386,923 0.2%
Labixiaoxin Snacks Group, Ltd. 2,047,000 184,291 0.0%
Lai Fung Holdings, Ltd. 27,157,614 461,959 0.0%
Landing International Development, Ltd. 11,495,000 346,336 0.0%
Le Saunda Holdings, Ltd. 2,003,799 534,191 0.0%
Lee & Man Chemical Co., Ltd. 998,785 435,948 0.0%
Lee & Man Paper Manufacturing, Ltd. 9,066,000 5,632,501 0.1%
# Lee's Pharmaceutical Holdings, Ltd. 355,000 458,353 0.0%
Leoch International Technology, Ltd. 953,000 73,290 0.0%
# Lianhua Supermarket Holdings Co., Ltd. Class H 2,353,600 1,098,872 0.0%
# Lifetech Scientific Corp. 8,016,000 1,523,910 0.0%
Lingbao Gold Co., Ltd. Class H 746,000 119,757 0.0%
Livzon Pharmaceutical Group, Inc. Class H 259,480 1,325,756 0.0%
# Logan Property Holdings Co., Ltd. 1,664,000 698,322 0.0%
Lonking Holdings, Ltd. 12,626,000 2,025,037 0.1%
Loudong General Nice Resources China Holdings, Ltd. 7,941,140 676,299 0.0%
# Maanshan Iron & Steel Co., Ltd. Class H 358,000 76,642 0.0%
Maoye International Holdings, Ltd. 6,946,000 881,070 0.0%
# Microport Scientific Corp. 1,794,000 747,232 0.0%
MIE Holdings Corp. 5,958,000 788,856 0.0%
MIN XIN Holdings, Ltd. 568,000 489,276 0.0%
# Mingfa Group International Co., Ltd. 7,108,000 1,701,071 0.0%
Mingyuan Medicare Development Co., Ltd. 6,950,000 77,386 0.0%
Minmetals Land, Ltd. 6,966,000 715,856 0.0%
Minth Group, Ltd. 3,313,000 6,864,422 0.1%
# MMG, Ltd. 8,682,000 1,918,644 0.0%
MOBI Development Co., Ltd. 1,014,000 166,549 0.0%
Nan Hai Corp., Ltd. 5,500,000 115,902 0.0%
Nature Home Holding Co., Ltd. 520,000 66,320 0.0%
# NetDragon Websoft, Inc. 494,044 1,356,910 0.0%
New World Department Store China, Ltd. 2,838,462 472,802 0.0%
Nine Dragons Paper Holdings, Ltd. 10,759,000 7,099,210 0.2%
North Mining Shares Co., Ltd. 15,820,000 170,914 0.0%
# NVC Lighting Holding, Ltd. 7,010,000 913,491 0.0%
O-Net Communications Group, Ltd. 1,175,000 344,286 0.0%
Overseas Chinese Town Asia Holdings, Ltd. 1,484,183 668,512 0.0%
# Pacific Online, Ltd. 2,548,365 849,789 0.0%
# Parkson Retail Group, Ltd. 7,034,500 1,036,590 0.0%
# PAX Global Technology, Ltd. 3,168,000 4,134,531 0.1%
Peak Sport Products Co., Ltd. 318,000 95,568 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ----------- ---------------
CHINA -- (Continued)
# Phoenix Healthcare Group Co., Ltd. 2,021,000 $ 3,055,256 0.1%
# Phoenix Satellite Television Holdings, Ltd. 6,938,000 1,665,327 0.0%
# Poly Property Group Co., Ltd. 14,009,000 4,535,186 0.1%
Pou Sheng International Holdings, Ltd. 11,707,806 1,865,738 0.0%
Powerlong Real Estate Holdings, Ltd. 7,109,000 1,398,453 0.0%
# Prosperity International Holdings HK, Ltd. 5,020,000 148,161 0.0%
# PW Medtech Group, Ltd. 3,367,000 703,812 0.0%
Qingling Motors Co., Ltd. Class H 1,694,000 545,770 0.0%
Qunxing Paper Holdings Co., Ltd. 669,913 32,672 0.0%
Real Gold Mining, Ltd. 300,500 10,197 0.0%
# Real Nutriceutical Group, Ltd. 3,249,000 419,193 0.0%
# Renhe Commercial Holdings Co., Ltd. 98,029,000 5,107,712 0.1%
# REXLot Holdings, Ltd. 59,701,502 2,541,932 0.1%
Road King Infrastructure, Ltd. 1,459,000 1,270,309 0.0%
Samson Holding, Ltd. 3,499,000 441,633 0.0%
# Sany Heavy Equipment International Holdings Co., Ltd. 6,295,000 1,528,914 0.0%
Scud Group, Ltd. 1,876,000 94,398 0.0%
Semiconductor Manufacturing International Corp. 118,116,000 10,942,227 0.2%
Semiconductor Manufacturing International Corp. ADR 31,979 148,702 0.0%
Shandong Chenming Paper Holdings, Ltd. Class H 2,074,500 1,157,957 0.0%
Shandong Weigao Group Medical Polymer Co., Ltd. Class H 6,392,000 4,397,040 0.1%
Shandong Xinhua Pharmaceutical Co., Ltd. Class H 398,000 250,403 0.0%
Shanghai Industrial Holdings, Ltd. 2,670,000 6,991,287 0.2%
# Shanghai Industrial Urban Development Group, Ltd. 11,340,000 2,200,471 0.1%
Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H 6,956,000 2,156,636 0.1%
Shanghai Prime Machinery Co., Ltd. Class H 4,814,000 839,565 0.0%
Shanghai Zendai Property, Ltd. 8,390,000 219,365 0.0%
Shengli Oil & Gas Pipe Holdings, Ltd. 2,272,500 79,995 0.0%
Shenguan Holdings Group, Ltd. 6,676,000 962,268 0.0%
Shenzhen Expressway Co., Ltd. Class H 4,024,400 3,095,993 0.1%
Shenzhen International Holdings, Ltd. 6,618,751 10,085,178 0.2%
Shenzhen Investment, Ltd. 17,159,378 6,941,906 0.2%
Shougang Concord International Enterprises Co., Ltd. 28,796,000 1,200,737 0.0%
# Shougang Fushan Resources Group, Ltd. 18,812,000 2,489,788 0.1%
# Shui On Land, Ltd. 22,826,643 6,280,690 0.1%
Shunfeng International Clean Energy, Ltd. 7,226,000 2,308,691 0.1%
# Sichuan Expressway Co., Ltd. Class H 4,984,000 1,734,693 0.0%
Sijia Group Co. 1,076,350 35,690 0.0%
Silver Grant International Industries, Ltd. 4,622,000 624,365 0.0%
SIM Technology Group, Ltd. 1,050,000 55,225 0.0%
# Sino Oil And Gas Holdings, Ltd. 71,702,766 1,768,627 0.0%
Sino-Ocean Land Holdings, Ltd. 5,247,104 3,029,507 0.1%
Sinofert Holdings, Ltd. 13,929,327 2,446,731 0.1%
Sinolink Worldwide Holdings, Ltd. 10,218,800 1,116,298 0.0%
# SinoMedia Holding, Ltd. 1,126,000 358,900 0.0%
Sinopec Engineering Group Co., Ltd. Class H 1,669,000 1,436,816 0.0%
# Sinopec Kantons Holdings, Ltd. 3,440,000 1,941,656 0.0%
# Sinosoft Technology Group, Ltd. 2,418,000 1,370,836 0.0%
Sinotrans Shipping, Ltd. 2,534,586 534,028 0.0%
Sinotrans, Ltd. Class H 9,671,000 5,263,820 0.1%
Sinotruk Hong Kong, Ltd. 4,031,000 1,677,850 0.0%
SITC International Holdings Co., Ltd. 4,836,000 2,476,044 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
CHINA -- (Continued)
# Skyworth Digital Holdings, Ltd. 10,631,641 $7,868,244 0.2%
# SMI Holdings Group, Ltd. 14,404,066 1,275,113 0.0%
# SOHO China, Ltd. 9,124,000 4,703,881 0.1%
Solargiga Energy Holdings, Ltd. 5,815,000 167,917 0.0%
# Sound Global, Ltd. 193,000 38,600 0.0%
Sparkle Roll Group, Ltd. 6,064,000 273,411 0.0%
Springland International Holdings, Ltd. 4,080,000 1,016,474 0.0%
# SPT Energy Group, Inc. 4,844,000 472,392 0.0%
SRE Group, Ltd. 16,652,346 827,182 0.0%
# SSY Group, Ltd. 11,093,152 2,763,464 0.1%
Sun King Power Electronics Group 446,000 55,673 0.0%
Sunac China Holdings, Ltd. 11,569,000 7,109,945 0.2%
# Sunny Optical Technology Group Co., Ltd. 3,582,000 8,301,054 0.2%
Synertone Communication Corp. 14,232,000 287,174 0.0%
TCC International Holdings, Ltd. 9,734,647 1,928,836 0.0%
# TCL Communication Technology Holdings, Ltd. 3,352,198 2,499,391 0.1%
# TCL Multimedia Technology Holdings, Ltd. 3,700,510 1,652,979 0.0%
# Technovator International, Ltd. 430,000 268,783 0.0%
# Tenfu Cayman Holdings Co., Ltd. 185,000 68,015 0.0%
# Tenwow International Holdings, Ltd. 1,714,000 579,001 0.0%
Texhong Textile Group, Ltd. 1,890,000 1,401,799 0.0%
# Tian An China Investment Co., Ltd. 1,383,000 828,879 0.0%
Tian Shan Development Holdings, Ltd. 1,600,000 670,892 0.0%
Tiande Chemical Holdings, Ltd. 64,000 10,315 0.0%
# Tiangong International Co., Ltd. 8,398,000 777,063 0.0%
Tianjin Capital Environmental Protection Group Co., Ltd. Class H 1,630,000 1,223,495 0.0%
Tianjin Development Holdings, Ltd. 1,696,000 1,098,338 0.0%
Tianjin Jinran Public Utilities Co., Ltd. Class H 2,970,000 332,894 0.0%
Tianjin Port Development Holdings, Ltd. 10,556,800 1,750,349 0.0%
Tianneng Power International, Ltd. 4,736,048 3,428,426 0.1%
# Tibet 5100 Water Resources Holdings, Ltd. 8,177,000 2,645,844 0.1%
Time Watch Investments, Ltd. 1,456,000 228,486 0.0%
# Tomson Group, Ltd. 1,178,575 258,300 0.0%
# Tong Ren Tang Technologies Co., Ltd. Class H 3,390,000 5,303,736 0.1%
# Tongda Group Holdings, Ltd. 16,750,000 3,411,341 0.1%
Tonly Electronics Holdings, Ltd. 431,176 266,575 0.0%
Top Spring International Holdings, Ltd. 292,500 121,712 0.0%
# Towngas China Co., Ltd. 5,430,000 3,661,014 0.1%
TPV Technology, Ltd. 4,981,964 729,425 0.0%
Travelsky Technology, Ltd. Class H 4,569,090 6,716,994 0.1%
Trigiant Group, Ltd. 3,526,000 743,235 0.0%
Trony Solar Holdings Co., Ltd. 1,757,000 26,750 0.0%
# Truly International Holdings, Ltd. 8,033,573 1,914,031 0.0%
Uni-President China Holdings, Ltd. 5,327,000 4,362,945 0.1%
United Energy Group, Ltd. 13,424,450 1,810,726 0.0%
# Universal Health International Group Holding, Ltd. 6,284,000 2,479,394 0.1%
# V1 Group, Ltd. 20,329,600 1,540,169 0.0%
Wanguo International Mining Group, Ltd. 118,000 42,171 0.0%
Wasion Group Holdings, Ltd. 2,898,000 3,214,994 0.1%
Weiqiao Textile Co. Class H 2,212,000 998,227 0.0%
Welling Holding, Ltd. 6,026,000 1,006,894 0.0%
# West China Cement, Ltd. 16,556,000 2,825,151 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
CHINA -- (Continued)
# Wisdom Sports Group 4,072,000 $ 2,121,649 0.1%
# Wumart Stores, Inc. Class H 2,869,000 2,046,840 0.1%
# Wuzhou International Holdings, Ltd. 9,244,000 1,429,689 0.0%
# Xiamen International Port Co., Ltd. Class H 6,010,000 1,535,216 0.0%
Xiao Nan Guo Restaurants Holdings, Ltd. 792,000 75,311 0.0%
# Xinchen China Power Holdings, Ltd. 1,117,000 267,365 0.0%
Xingda International Holdings, Ltd. 5,577,000 1,224,573 0.0%
Xinhua Winshare Publishing and Media Co., Ltd. Class H 1,802,103 1,515,379 0.0%
Xinjiang Xinxin Mining Industry Co., Ltd. Class H 4,629,598 517,281 0.0%
# Xinyi Solar Holdings, Ltd. 5,954,000 2,359,285 0.1%
Xiwang Special Steel Co., Ltd. 3,409,000 635,436 0.0%
XTEP International Holdings, Ltd. 3,951,000 2,045,689 0.1%
Yanchang Petroleum International, Ltd. 27,560,000 873,247 0.0%
Yingde Gases Group Co., Ltd. 6,350,500 2,821,999 0.1%
# Yip's Chemical Holdings, Ltd. 1,844,000 756,551 0.0%
Youyuan International Holdings, Ltd. 2,170,070 719,039 0.0%
Yuanda China Holdings, Ltd. 12,884,000 604,745 0.0%
Yuexiu Property Co., Ltd. 47,444,284 8,174,158 0.2%
Yuexiu Transport Infrastructure, Ltd. 3,850,018 2,624,908 0.1%
# Yuzhou Properties Co., Ltd. 7,527,120 1,794,713 0.0%
# Zall Development Group, Ltd. 13,914,000 3,087,771 0.1%
# Zhaojin Mining Industry Co., Ltd. Class H 5,620,000 3,167,261 0.1%
# Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 1,244,600 572,215 0.0%
Zhong An Real Estate, Ltd. 6,952,400 760,240 0.0%
# Zhongsheng Group Holdings, Ltd. 3,443,500 1,426,760 0.0%
Zhuhai Holdings Investment Group, Ltd. 768,000 110,563 0.0%
------------ ----
TOTAL CHINA 719,243,835 14.7%
------------ ----
COLOMBIA -- (0.1%)
Almacenes Exito SA 155,005 698,780 0.0%
Bolsa de Valores de Colombia 29,054,344 165,480 0.0%
Celsia SA ESP 762,291 786,762 0.0%
Cemex Latam Holdings SA 753,660 2,622,331 0.1%
Constructora Conconcreto SA 293,150 119,911 0.0%
Corp. Financiera Colombiana SA(BYPK1V0) 271 3,540 0.0%
Corp. Financiera Colombiana SA(B000C92) 29,206 381,483 0.0%
Empresa de Telecomunicaciones de Bogota 2,521,327 517,842 0.0%
Grupo Odinsa SA 19,092 54,667 0.0%
Interconexion Electrica SA ESP 309,221 740,764 0.0%
Isagen SA ESP 1,752,252 1,856,891 0.1%
Mineros SA 102,961 64,684 0.0%
------------ ----
TOTAL COLOMBIA 8,013,135 0.2%
------------ ----
GREECE -- (0.4%)
Aegean Airlines SA 246,576 1,914,401 0.1%
Astir Palace Vouliagmeni SA 37,651 92,284 0.0%
Athens Water Supply & Sewage Co. SA (The) 135,905 862,773 0.0%
Bank of Greece 142,930 1,514,822 0.0%
Ellaktor SA 909,399 1,787,461 0.0%
Elval Holdings SA 61,004 106,587 0.0%
Fourlis Holdings SA 283,268 868,631 0.0%
Frigoglass SAIC 167,513 418,222 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
GREECE -- (Continued)
GEK Terna Holding Real Estate Construction SA 475,188 $ 982,548 0.0%
Hellenic Exchanges - Athens Stock Exchange SA 536,300 3,070,453 0.1%
Iaso SA 282,999 169,519 0.0%
Intracom Holdings SA 664,642 245,659 0.0%
Intralot SA-Integrated Lottery Systems & Services 865,039 1,439,768 0.0%
Lamda Development SA 92,510 469,499 0.0%
Marfin Investment Group Holdings SA 6,110,771 580,368 0.0%
Metka SA 188,510 1,810,985 0.1%
Motor Oil Hellas Corinth Refineries SA 257,718 3,180,027 0.1%
Mytilineos Holdings SA 404,999 2,167,387 0.1%
Piraeus Port Authority SA 42,172 742,893 0.0%
Sarantis SA 96,712 781,285 0.0%
Terna Energy SA 257,713 819,653 0.0%
----------- ---
TOTAL GREECE 24,025,225 0.5%
----------- ---
HONG KONG -- (0.0%)
China Grand Pharmaceutical and Healthcare Holdings, Ltd. Class A 340,000 85,103 0.0%
* Eternity Investment, Ltd. -- -- 0.0%
Sino-I Technology, Ltd. 3,950,000 67,949 0.0%
----------- ---
TOTAL HONG KONG 153,052 0.0%
----------- ---
HUNGARY -- (0.0%)
# FHB Mortgage Bank P.L.C. 27,009 66,875 0.0%
----------- ---
INDIA -- (12.7%)
3M India, Ltd. 5,887 1,052,489 0.0%
Aarti Industries 200,514 1,559,234 0.0%
Aban Offshore, Ltd. 137,519 468,804 0.0%
ABG Shipyard, Ltd. 104,952 201,904 0.0%
Accelya Kale Solutions, Ltd. 1,765 25,559 0.0%
Adani Power, Ltd. 5,408,784 2,585,778 0.1%
Advanta, Ltd. 201,749 1,570,618 0.0%
Aegis Logistics, Ltd. 1,171,370 1,822,857 0.0%
Agro Tech Foods, Ltd. 62,964 562,966 0.0%
AIA Engineering, Ltd. 229,359 3,361,986 0.1%
Ajanta Pharma, Ltd. 312,626 7,369,743 0.2%
Akzo Nobel India, Ltd. 71,693 1,473,039 0.0%
Alembic Pharmaceuticals, Ltd. 571,962 5,924,706 0.1%
Alembic, Ltd. 624,014 406,998 0.0%
Allahabad Bank 1,121,891 1,283,990 0.0%
Allcargo Logistics, Ltd. 185,553 894,441 0.0%
Alok Industries, Ltd. 3,380,589 350,128 0.0%
Alstom India, Ltd. 183,901 1,743,359 0.0%
Alstom T&D India, Ltd. 124,100 990,983 0.0%
Amara Raja Batteries, Ltd. 596,481 8,233,317 0.2%
Amtek Auto, Ltd. 217,501 133,367 0.0%
Anant Raj, Ltd. 315,955 181,764 0.0%
Andhra Bank 1,292,581 1,289,964 0.0%
Apar Industries, Ltd. 95,118 623,168 0.0%
Apollo Hospitals Enterprise, Ltd. 65,541 1,314,322 0.0%
Apollo Tyres, Ltd. 2,187,844 5,726,005 0.1%
Arvind Infrastructure, Ltd. 181,595 169,520 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
INDIA -- (Continued)
Arvind, Ltd. 1,986,900 $ 8,423,181 0.2%
Asahi India Glass, Ltd. 420,046 1,037,560 0.0%
Ashok Leyland, Ltd. 8,562,959 12,246,273 0.3%
Ashoka Buildcon, Ltd. 44,737 111,319 0.0%
Astral Polytechnik, Ltd. 16,783 105,600 0.0%
Atul, Ltd. 82,071 2,122,009 0.1%
Automotive Axles, Ltd. 11,656 115,912 0.0%
Bajaj Corp., Ltd. 382,136 2,386,433 0.1%
Bajaj Electricals, Ltd. 143,101 539,260 0.0%
Bajaj Finance, Ltd. 36,778 2,921,968 0.1%
Bajaj Finserv, Ltd. 66,761 1,995,515 0.1%
Bajaj Hindusthan Sugar, Ltd. 906,624 275,503 0.0%
Bajaj Holdings & Investment, Ltd. 117,527 2,991,493 0.1%
Balkrishna Industries, Ltd. 244,433 2,432,271 0.1%
Ballarpur Industries, Ltd. 1,005,483 277,404 0.0%
Balmer Lawrie & Co., Ltd. 117,876 1,044,839 0.0%
Balrampur Chini Mills, Ltd. 1,374,241 1,281,443 0.0%
Bank of India 1,787,393 3,580,286 0.1%
Bank Of Maharashtra 922,950 474,357 0.0%
Bannari Amman Sugars, Ltd. 14,297 213,717 0.0%
BASF India, Ltd. 82,604 1,136,718 0.0%
Bata India, Ltd. 312,614 2,392,957 0.1%
BEML, Ltd. 269,474 4,795,890 0.1%
Berger Paints India, Ltd. 2,012,622 6,841,515 0.2%
Bhushan Steel, Ltd. 85,019 57,187 0.0%
Biocon, Ltd. 595,447 4,124,057 0.1%
Birla Corp., Ltd. 160,261 1,052,483 0.0%
Blue Dart Express, Ltd. 33,361 3,866,409 0.1%
Blue Star, Ltd. 257,725 1,554,624 0.0%
Bombay Dyeing & Manufacturing Co., Ltd. 958,407 959,996 0.0%
Brigade Enterprises, Ltd. 181,455 424,800 0.0%
Canara Bank 92,433 388,443 0.0%
Carborundum Universal, Ltd. 329,688 883,938 0.0%
Castex Technologies, Ltd. 467,054 168,124 0.0%
CCL Products India, Ltd. 508,280 1,698,688 0.0%
Ceat, Ltd. 255,249 4,198,305 0.1%
Central Bank Of India 290,262 366,079 0.0%
Century Plyboards India, Ltd. 515,785 1,387,431 0.0%
Century Textiles & Industries, Ltd. 729,171 6,156,642 0.1%
Cera Sanitaryware, Ltd. 2,795 81,590 0.0%
CESC, Ltd. 635,283 5,647,631 0.1%
Chambal Fertilizers & Chemicals, Ltd. 1,262,558 1,108,050 0.0%
Chennai Petroleum Corp., Ltd. 427,912 1,385,056 0.0%
Chennai Super Kings Cricket, Ltd. 1,658,632 57,111 0.0%
Cholamandalam Investment and Finance Co., Ltd. 85,988 828,241 0.0%
City Union Bank, Ltd. 1,679,038 2,308,438 0.1%
Clariant Chemicals India, Ltd. 67,559 794,983 0.0%
Coromandel International, Ltd. 546,870 1,558,972 0.0%
Corp. Bank 1,358,435 903,840 0.0%
Cox & Kings, Ltd. 693,708 2,848,346 0.1%
Credit Analysis & Research, Ltd. 13,145 263,085 0.0%
CRISIL, Ltd. 65,030 1,939,226 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
INDIA -- (Continued)
Crompton Greaves, Ltd. 3,403,119 $9,041,818 0.2%
Cyient, Ltd. 367,555 3,012,468 0.1%
Dalmia Bharat, Ltd. 109,758 1,186,736 0.0%
DB Corp., Ltd. 43,770 218,293 0.0%
DB Realty, Ltd. 852,641 807,482 0.0%
DCB Bank, Ltd. 2,095,745 2,763,252 0.1%
DCM Shriram, Ltd. 260,162 517,463 0.0%
Deepak Fertilisers & Petrochemicals Corp., Ltd. 236,651 526,495 0.0%
Delta Corp., Ltd. 740,999 950,495 0.0%
DEN Networks, Ltd. 437,090 759,042 0.0%
Dena Bank 1,121,962 718,849 0.0%
Dewan Housing Finance Corp., Ltd. 193,099 661,164 0.0%
Dhanuka Agritech, Ltd. 4,439 30,176 0.0%
Dish TV India, Ltd. 4,089,775 6,614,825 0.1%
Dishman Pharmaceuticals & Chemicals, Ltd. 544,095 3,023,321 0.1%
Dynamatic Technologies, Ltd. 7,303 256,599 0.0%
eClerx Services, Ltd. 102,711 2,853,083 0.1%
Edelweiss Financial Services, Ltd. 1,730,599 1,574,333 0.0%
EID Parry India, Ltd. 554,496 1,478,760 0.0%
EIH, Ltd. 970,175 1,704,676 0.0%
Electrosteel Castings, Ltd. 607,641 175,207 0.0%
Elgi Equipments, Ltd. 238,521 504,236 0.0%
Emami, Ltd. 101,259 1,660,258 0.0%
Engineers India, Ltd. 777,421 2,316,330 0.1%
Entertainment Network India, Ltd. 63,506 648,191 0.0%
Eros International Media, Ltd. 285,043 1,202,398 0.0%
Escorts, Ltd. 754,964 2,026,486 0.1%
Essar Oil, Ltd. 1,336,723 3,870,803 0.1%
Essar Ports, Ltd. 514,193 909,541 0.0%
Essel Propack, Ltd. 492,684 1,197,470 0.0%
Eveready Industries India, Ltd. 220,779 928,567 0.0%
Exide Industries, Ltd. 2,409,364 5,536,971 0.1%
FAG Bearings India, Ltd. 33,586 2,132,913 0.1%
FDC, Ltd. 459,784 1,684,864 0.0%
Federal Bank, Ltd. 9,711,220 8,009,866 0.2%
Federal-Mogul Goetze India, Ltd. 72,593 400,909 0.0%
Finolex Cables, Ltd. 771,546 2,973,213 0.1%
Finolex Industries, Ltd. 412,713 1,969,312 0.1%
Firstsource Solutions, Ltd. 2,197,171 1,081,332 0.0%
Fortis Healthcare, Ltd. 1,040,791 2,456,019 0.1%
Future Consumer Enterprise, Ltd. 5,075,479 1,429,015 0.0%
Future Retail, Ltd. 976,270 1,758,023 0.0%
Gabriel India, Ltd. 583,153 795,871 0.0%
Gammon Infrastructure Projects, Ltd. 491,684 55,807 0.0%
Gateway Distriparks, Ltd. 622,489 3,181,206 0.1%
Gati, Ltd. 220,146 487,697 0.0%
GHCL, Ltd. 112,025 246,813 0.0%
Gillette India, Ltd. 14,470 1,074,927 0.0%
Global Offshore Services, Ltd. 80,472 482,118 0.0%
GMR Infrastructure, Ltd. 15,924,296 3,166,818 0.1%
Godfrey Phillips India, Ltd. 34,724 497,095 0.0%
Godrej Industries, Ltd. 291,266 1,751,636 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
INDIA -- (Continued)
Godrej Properties, Ltd. 473,866 $2,484,278 0.1%
Granules India, Ltd. 394,551 890,177 0.0%
Graphite India, Ltd. 397,865 442,096 0.0%
Great Eastern Shipping Co., Ltd. (The) 537,311 3,094,249 0.1%
Greaves Cotton, Ltd. 699,261 1,335,494 0.0%
Greenply Industries, Ltd. 803 11,331 0.0%
Grindwell Norton, Ltd. 22,877 257,649 0.0%
Gruh Finance, Ltd. 303,256 1,190,341 0.0%
Gujarat Alkalies & Chemicals, Ltd. 194,312 497,796 0.0%
Gujarat Fluorochemicals, Ltd. 220,265 2,169,794 0.1%
Gujarat Gas, Ltd. 319,983 2,727,531 0.1%
Gujarat Industries Power Co., Ltd. 98,741 116,502 0.0%
Gujarat Mineral Development Corp., Ltd. 803,287 896,654 0.0%
Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 266,808 249,619 0.0%
Gujarat Pipavav Port, Ltd. 1,085,407 2,682,144 0.1%
Gujarat State Fertilisers & Chemicals, Ltd. 969,096 1,071,885 0.0%
Gujarat State Petronet, Ltd. 1,629,507 3,233,282 0.1%
Gulf Oil Corp., Ltd. 76,450 169,839 0.0%
Gulf Oil Lubricants India, Ltd. 76,450 568,971 0.0%
GVK Power & Infrastructure, Ltd. 6,740,898 825,122 0.0%
Hathway Cable & Datacom, Ltd. 1,923,827 1,209,722 0.0%
Havells India, Ltd. 2,134,174 8,289,534 0.2%
HEG, Ltd. 68,820 171,031 0.0%
HeidelbergCement India, Ltd. 836,118 965,949 0.0%
Hexa Tradex, Ltd. 56,891 14,584 0.0%
Hexaware Technologies, Ltd. 1,734,722 6,323,067 0.1%
Hikal, Ltd. 77,780 150,493 0.0%
Himachal Futuristic Communications, Ltd. 5,579,427 1,346,962 0.0%
Himatsingka Seide, Ltd. 40,402 126,238 0.0%
Hinduja Global Solutions, Ltd. 15,689 112,745 0.0%
Hinduja Ventures, Ltd. 27,826 175,391 0.0%
Hindustan Construction Co., Ltd. 1,572,759 637,023 0.0%
Hitachi Home & Life Solutions India, Ltd. 64,496 1,324,143 0.0%
Honeywell Automation India, Ltd. 13,522 1,963,374 0.1%
Hotel Leela Venture, Ltd. 149,324 45,658 0.0%
Housing Development & Infrastructure, Ltd. 3,112,488 3,413,125 0.1%
HSIL, Ltd. 208,737 891,778 0.0%
HT Media, Ltd. 547,350 693,314 0.0%
Huhtamaki PPL, Ltd. 117,975 479,643 0.0%
ICRA, Ltd. 2,173 127,851 0.0%
IDBI Bank, Ltd. 3,911,420 5,082,557 0.1%
IFB Industries, Ltd. 20,210 163,759 0.0%
IFCI, Ltd. 670,192 271,619 0.0%
IIFL Holdings, Ltd. 1,432,284 4,208,127 0.1%
IL&FS Transportation Networks, Ltd.() 201,763 277,889 0.0%
IL&FS Transportation Networks, Ltd.(B3PHKL7) 605,289 858,463 0.0%
India Cements, Ltd. 1,658,632 1,977,906 0.1%
Indian Bank 735,784 1,402,706 0.0%
Indian Hotels Co., Ltd. 2,876,440 4,379,528 0.1%
Indian Overseas Bank 1,582,099 848,996 0.0%
Indoco Remedies, Ltd. 294,727 1,468,317 0.0%
Indraprastha Gas, Ltd. 366,128 2,729,219 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
INDIA -- (Continued)
Info Edge India, Ltd. 97,046 $1,119,607 0.0%
Ingersoll-Rand India, Ltd. 89,008 1,060,813 0.0%
Inox Leisure, Ltd. 361,585 1,252,169 0.0%
Intellect Design Arena, Ltd. 628,348 2,373,261 0.1%
Ipca Laboratories, Ltd. 375,952 4,514,074 0.1%
IRB Infrastructure Developers, Ltd. 1,690,879 6,353,270 0.1%
ITD Cementation India, Ltd. 144,983 226,763 0.0%
J Kumar Infraprojects, Ltd. 7,608 88,522 0.0%
Jagran Prakashan, Ltd. 787,472 1,688,831 0.0%
Jai Corp., Ltd. 104,735 85,663 0.0%
Jain Irrigation Systems, Ltd. 3,227,194 3,035,773 0.1%
Jaiprakash Associates, Ltd. 11,791,056 2,423,067 0.1%
Jaiprakash Power Ventures, Ltd. 6,325,569 670,614 0.0%
Jammu & Kashmir Bank, Ltd. (The) 2,152,390 2,759,784 0.1%
Jaypee Infratech, Ltd. 3,746,133 738,756 0.0%
JB Chemicals & Pharmaceuticals, Ltd. 264,873 1,156,703 0.0%
JBF Industries, Ltd. 210,765 702,310 0.0%
Jindal Poly Films, Ltd. 120,722 1,009,863 0.0%
Jindal Saw, Ltd. 1,200,649 1,190,919 0.0%
Jindal South West Holdings, Ltd. 21,339 309,588 0.0%
Jindal Steel & Power, Ltd. 3,052,619 3,705,126 0.1%
JK Cement, Ltd. 195,528 2,020,170 0.1%
JK Lakshmi Cement, Ltd. 493,007 2,838,796 0.1%
JK Tyre & Industries, Ltd. 1,051,099 1,628,015 0.0%
JM Financial, Ltd. 2,124,332 1,327,482 0.0%
JSW Energy, Ltd. 2,132,544 3,031,490 0.1%
Jubilant Foodworks, Ltd. 325,974 7,301,652 0.2%
Jubilant Life Sciences, Ltd. 505,015 3,147,334 0.1%
Just Dial, Ltd. 172,707 2,119,492 0.1%
Jyothy Laboratories, Ltd. 415,956 1,962,802 0.1%
Kajaria Ceramics, Ltd. 322,754 4,486,011 0.1%
Kakinada Fertilizers, Ltd. 632,948 20,361 0.0%
Kalpataru Power Transmission, Ltd. 480,876 1,910,450 0.1%
Kansai Nerolac Paints, Ltd. 391,115 1,496,409 0.0%
Karnataka Bank, Ltd. (The) 1,022,706 2,010,050 0.1%
Karur Vysya Bank, Ltd. (The) 453,174 2,915,953 0.1%
Kaveri Seed Co., Ltd. 202,438 1,551,241 0.0%
KAYA, Ltd. 6,469 105,928 0.0%
KEC International, Ltd. 605,746 1,237,357 0.0%
Kesoram Industries, Ltd. 270,075 334,600 0.0%
Kewal Kiran Clothing, Ltd. 1,598 51,618 0.0%
Kirloskar Brothers, Ltd. 817 2,183 0.0%
Kirloskar Oil Engines, Ltd. 237,212 981,489 0.0%
Kitex Garments, Ltd. 14,246 155,540 0.0%
Kolte-Patil Developers, Ltd. 193,641 517,890 0.0%
Kotak Mahindra Bank, Ltd. 2,261 23,698 0.0%
KPIT Technologies, Ltd. 1,019,605 2,132,097 0.1%
KRBL, Ltd. 502,524 1,600,951 0.0%
KSB Pumps, Ltd. 51,306 476,703 0.0%
KSK Energy Ventures, Ltd. 203,720 116,777 0.0%
L&T Finance Holdings, Ltd. 699,864 710,923 0.0%
Lakshmi Machine Works, Ltd. 28,046 1,540,235 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
INDIA -- (Continued)
Lakshmi Vilas Bank, Ltd. (The) 567,741 $ 741,329 0.0%
Lanco Infratech, Ltd. 4,907,406 348,324 0.0%
Mahanagar Telephone Nigam, Ltd. 573,802 162,382 0.0%
Maharashtra Seamless, Ltd. 210,955 507,332 0.0%
Mahindra & Mahindra Financial Services, Ltd. 296,832 1,028,730 0.0%
Mahindra CIE Automotive, Ltd. 95,547 367,318 0.0%
Mahindra Holidays & Resorts India, Ltd. 233,302 1,387,851 0.0%
Mahindra Lifespace Developers, Ltd. 119,476 928,022 0.0%
Majesco, Ltd. 47,137 265,820 0.0%
Manappuram Finance, Ltd. 271,573 99,361 0.0%
Mandhana Industries, Ltd. 29,890 123,195 0.0%
Mangalore Refinery & Petrochemicals, Ltd. 1,776,908 1,488,594 0.0%
Marksans Pharma, Ltd. 71,520 106,409 0.0%
MAX India, Ltd. 931,335 7,495,593 0.2%
Mayur Uniquoters, Ltd. 11,304 73,133 0.0%
McLeod Russel India, Ltd. 494,570 1,299,482 0.0%
Merck, Ltd. 46,217 545,677 0.0%
MindTree, Ltd. 369,188 8,860,991 0.2%
Mirza International, Ltd. 28,345 55,232 0.0%
MOIL, Ltd. 74,503 242,279 0.0%
Monsanto India, Ltd. 55,175 1,997,792 0.1%
Motherson Sumi Systems, Ltd. 276,132 1,038,864 0.0%
Motilal Oswal Financial Services, Ltd. 50,388 254,107 0.0%
Mphasis, Ltd. 493,307 3,557,345 0.1%
MPS, Ltd. 23,634 271,595 0.0%
MRF, Ltd. 9,763 5,930,912 0.1%
Muthoot Finance, Ltd. 42,270 116,993 0.0%
Natco Pharma, Ltd. 123,350 4,821,297 0.1%
National Aluminium Co., Ltd. 1,594,746 938,551 0.0%
Nava Bharat Ventures, Ltd. 13,117 30,535 0.0%
Navneet Education, Ltd. 676,542 918,032 0.0%
NCC, Ltd. 5,397,767 6,630,508 0.1%
NESCO, Ltd. 41,009 917,037 0.0%
NIIT Technologies, Ltd. 317,567 2,742,063 0.1%
NIIT, Ltd. 231,191 331,131 0.0%
Nilkamal, Ltd. 28,069 430,163 0.0%
Nirvikara Paper Mills, Ltd. 25,924 21,444 0.0%
Nitin Fire Protection Industries, Ltd. 392,998 236,660 0.0%
Oberoi Realty, Ltd. 446,364 1,934,322 0.1%
OCL India, Ltd. 67,894 524,804 0.0%
OMAXE, Ltd. 488,631 1,007,310 0.0%
Orient Cement, Ltd. 355,105 879,540 0.0%
Oriental Bank of Commerce 588,747 1,208,956 0.0%
Page Industries, Ltd. 28,392 6,083,534 0.1%
Parsvnath Developers, Ltd. 242,960 65,823 0.0%
PC Jeweller, Ltd. 451,533 3,064,848 0.1%
Peninsula Land, Ltd. 379,664 136,183 0.0%
Persistent Systems, Ltd. 233,146 2,302,482 0.1%
Petronet LNG, Ltd. 1,512,991 4,495,111 0.1%
Pfizer, Ltd. 89,525 3,481,954 0.1%
Phoenix Mills, Ltd. (The) 288,994 1,467,346 0.0%
PI Industries, Ltd. 411,000 4,194,643 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
INDIA -- (Continued)
Pidilite Industries, Ltd. 35,725 $ 308,696 0.0%
Pipavav Defence & Offshore Engineering Co., Ltd. 1,532,809 1,340,341 0.0%
Piramal Enterprises, Ltd. 232,114 3,337,209 0.1%
Plethico Pharmaceuticals, Ltd. 22,327 7,254 0.0%
Polaris Consulting & Services, Ltd. 446,624 1,307,864 0.0%
Praj Industries, Ltd. 487,830 645,783 0.0%
Prestige Estates Projects, Ltd. 518,598 1,603,090 0.0%
Prism Cement, Ltd. 645,641 915,117 0.0%
PTC India Financial Services, Ltd. 2,001,598 1,449,144 0.0%
PTC India, Ltd. 1,848,649 1,831,969 0.0%
Punj Lloyd, Ltd. 450,109 175,679 0.0%
Punjab & Sind Bank 339,110 190,135 0.0%
Puravankara Projects, Ltd. 389,976 376,327 0.0%
PVR, Ltd. 43,429 553,864 0.0%
Radico Khaitan, Ltd. 411,814 640,386 0.0%
Rain Industries, Ltd. 1,027,104 578,640 0.0%
Rajesh Exports, Ltd. 106,849 1,046,874 0.0%
Rallis India, Ltd. 714,734 2,260,527 0.1%
Ramco Cements, Ltd. (The) 568,647 3,200,509 0.1%
Ramco Systems, Ltd. 18,804 216,422 0.0%
Ratnamani Metals & Tubes, Ltd. 48,826 479,621 0.0%
RattanIndia Power, Ltd. 24,349 3,008 0.0%
Raymond, Ltd. 257,690 1,647,823 0.0%
Redington India, Ltd. 1,587,041 2,853,476 0.1%
REI Agro, Ltd. 2,301,465 17,798 0.0%
Relaxo Footwears, Ltd. 64,016 510,986 0.0%
Reliance Communications, Ltd. 2,665,243 3,041,404 0.1%
Reliance Infrastructure, Ltd. 979,094 5,915,786 0.1%
Reliance Power, Ltd. 4,170,836 3,204,185 0.1%
Repco Home Finance, Ltd. 28,671 310,137 0.0%
Rolta India, Ltd. 839,332 1,265,355 0.0%
Ruchi Soya Industries, Ltd. 838,664 405,635 0.0%
Sadbhav Engineering, Ltd. 324,547 1,576,743 0.0%
Sanghvi Movers, Ltd. 18,630 93,869 0.0%
Sanofi India, Ltd. 32,717 2,248,801 0.1%
Shasun Pharmaceuticals, Ltd. 147,908 904,962 0.0%
Shipping Corp. of India, Ltd. 960,318 1,151,714 0.0%
Shoppers Stop, Ltd. 20,428 122,665 0.0%
Shree Renuka Sugars, Ltd. 1,879,912 331,214 0.0%
Shriram City Union Finance, Ltd. 3,387 94,996 0.0%
Shyam Century Ferrous, Ltd. 137,796 19,912 0.0%
Simplex Infrastructures, Ltd. 101,949 514,912 0.0%
Sintex Industries, Ltd. 3,190,023 4,909,994 0.1%
SITI Cable Network, Ltd. 1,195,638 611,991 0.0%
SJVN, Ltd. 2,649,335 1,165,632 0.0%
SKF India, Ltd. 129,552 2,517,116 0.1%
SKS Microfinance, Ltd. 8,440 55,261 0.0%
SML ISUZU, Ltd. 50,670 1,030,966 0.0%
Sobha, Ltd. 386,496 1,924,754 0.1%
Solar Industries India, Ltd. 25,572 1,307,466 0.0%
Sona Koyo Steering Systems, Ltd. 301,545 291,552 0.0%
Sonata Software, Ltd. 376,845 898,209 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
INDIA -- (Continued)
South Indian Bank, Ltd. (The) 5,721,659 $1,796,095 0.0%
SREI Infrastructure Finance, Ltd. 524,012 359,203 0.0%
SRF, Ltd. 206,672 4,180,247 0.1%
Star Ferro and Cement, Ltd. 137,796 282,099 0.0%
State Bank of Bikaner & Jaipur 144,460 1,157,158 0.0%
State Bank of Travancore 104,431 671,412 0.0%
Sterlite Technologies, Ltd. 1,331,572 1,903,149 0.1%
Strides Arcolab, Ltd. 307,503 6,053,279 0.1%
Styrolution ABS India, Ltd. 23,441 284,062 0.0%
Sun Pharma Advanced Research Co., Ltd. 116,823 689,525 0.0%
Sun TV Network, Ltd. 404,392 2,446,122 0.1%
Sundaram Finance, Ltd. 29,582 672,679 0.0%
Sundaram-Clayton, Ltd. 3,890 111,294 0.0%
Sundram Fasteners, Ltd. 614,751 1,564,077 0.0%
Sunteck Realty, Ltd. 7,106 24,336 0.0%
Suprajit Engineering, Ltd. 24,855 53,366 0.0%
Supreme Industries, Ltd. 288,382 2,777,405 0.1%
Supreme Petrochem, Ltd. 103,075 163,246 0.0%
Surana Industries, Ltd. 8,457 1,047 0.0%
Swaraj Engines, Ltd. 14,398 207,118 0.0%
Syndicate Bank 1,305,063 1,877,165 0.1%
TAKE Solutions, Ltd. 257,334 691,285 0.0%
Tamil Nadu Newsprint & Papers, Ltd. 136,766 428,492 0.0%
Tata Chemicals, Ltd. 471,788 2,945,639 0.1%
Tata Communications, Ltd. 879,044 5,749,149 0.1%
Tata Consultancy Services, Ltd. 51,585 1,970,457 0.1%
Tata Elxsi, Ltd. 255,993 7,108,004 0.2%
Tata Global Beverages, Ltd. 3,480,804 7,143,668 0.2%
Tata Sponge Iron, Ltd. 21,337 158,774 0.0%
Tata Teleservices Maharashtra, Ltd. 4,512,759 489,961 0.0%
Techno Electric & Engineering Co., Ltd. 119,967 886,097 0.0%
Texmaco Rail & Engineering, Ltd. 333,325 663,481 0.0%
Thermax, Ltd. 301,081 3,918,925 0.1%
Tide Water Oil Co India, Ltd. 347 93,651 0.0%
Time Technoplast, Ltd. 461,614 394,740 0.0%
Timken India, Ltd. 186,006 1,669,286 0.0%
Titagarh Wagons, Ltd. 675,667 1,142,116 0.0%
Torrent Pharmaceuticals, Ltd. 365,996 8,561,908 0.2%
Torrent Power, Ltd. 1,002,833 2,991,984 0.1%
Transport Corp. of India, Ltd. 244,707 1,050,868 0.0%
Tree House Education and Accessories, Ltd. 164,025 681,556 0.0%
Trent, Ltd. 44,915 957,468 0.0%
Triveni Turbine, Ltd. 505,097 838,707 0.0%
TTK Prestige, Ltd. 39,748 2,707,098 0.1%
Tube Investments of India, Ltd. 517,575 3,127,911 0.1%
TV18 Broadcast, Ltd. 4,553,664 2,230,801 0.1%
TVS Motor Co., Ltd. 2,128,314 8,649,681 0.2%
UCO Bank 1,352,675 1,051,674 0.0%
Uflex, Ltd. 219,961 600,499 0.0%
Unichem Laboratories, Ltd. 341,606 1,464,321 0.0%
Union Bank of India 2,801,165 6,662,091 0.1%
Unitech, Ltd. 12,950,453 1,500,090 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
INDIA -- (Continued)
UPL, Ltd. 1,183,094 $ 8,284,303 0.2%
Usha Martin, Ltd. 600,925 149,206 0.0%
V-Guard Industries, Ltd. 96,893 1,324,782 0.0%
VA Tech Wabag, Ltd. 268,108 2,595,339 0.1%
Vaibhav Global, Ltd. 3,689 27,275 0.0%
Vakrangee, Ltd. 933,077 1,856,533 0.0%
Vardhman Textiles, Ltd. 158,407 1,764,885 0.0%
Vesuvius India, Ltd. 1,802 19,354 0.0%
Videocon Industries, Ltd. 913,085 1,870,662 0.0%
Vijaya Bank 2,025,328 1,134,314 0.0%
Vinati Organics, Ltd. 7,383 48,620 0.0%
VIP Industries, Ltd. 865,686 1,293,405 0.0%
Voltas, Ltd. 1,586,434 6,841,071 0.2%
VST Industries, Ltd. 25,647 631,909 0.0%
WABCO India, Ltd. 21,618 2,186,468 0.1%
Welspun Corp., Ltd. 826,716 1,279,113 0.0%
Welspun Enterprises, Ltd. 423,792 342,025 0.0%
Welspun India, Ltd. 208,061 2,275,377 0.1%
Whirlpool of India, Ltd. 4,128 40,277 0.0%
Wockhardt, Ltd. 216,153 4,951,241 0.1%
Zensar Technologies, Ltd. 120,339 1,764,605 0.0%
Zuari Agro Chemicals, Ltd. 42,970 104,754 0.0%
Zydus Wellness, Ltd. 110,295 1,442,623 0.0%
------------ ----
TOTAL INDIA 716,259,406 14.6%
------------ ----
INDONESIA -- (2.4%)
Ace Hardware Indonesia Tbk PT 44,571,100 2,169,796 0.1%
Adaro Energy Tbk PT 3,012,300 130,216 0.0%
Adhi Karya Persero Tbk PT 32,012,188 5,191,865 0.1%
Agung Podomoro Land Tbk PT 89,645,200 1,803,484 0.1%
Alam Sutera Realty Tbk PT 94,177,600 2,662,120 0.1%
Aneka Tambang Persero Tbk PT 100,038,038 2,751,961 0.1%
Arwana Citramulia Tbk PT 27,047,300 860,548 0.0%
Asahimas Flat Glass Tbk PT 983,000 483,631 0.0%
Astra Graphia Tbk PT 2,211,000 273,441 0.0%
Bakrie and Brothers Tbk PT 183,281,500 669,521 0.0%
Bakrie Sumatera Plantations Tbk PT 58,428,800 213,439 0.0%
Bakrie Telecom Tbk PT 80,514,398 294,116 0.0%
Bakrieland Development Tbk PT 115,260,650 421,043 0.0%
Bank Bukopin Tbk 35,251,066 1,800,757 0.1%
Bank Pan Indonesia Tbk PT 14,545,400 985,168 0.0%
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 30,623,700 1,689,797 0.1%
Bank Pembangunan Daerah Jawa Timur Tbk PT 1,073,500 33,892 0.0%
Bank Tabungan Negara Persero Tbk PT 59,917,549 5,170,196 0.1%
Barito Pacific Tbk PT 10,694,100 102,661 0.0%
Bekasi Fajar Industrial Estate Tbk PT 11,583,900 321,376 0.0%
Benakat Integra Tbk PT 161,498,600 846,474 0.0%
Berau Coal Energy Tbk PT 40,089,600 180,129 0.0%
* Berlian Laju Tanker Tbk PT 35,106,366 -- 0.0%
BISI International Tbk PT 14,743,000 1,288,049 0.0%
Budi Starch & Sweetener Tbk PT 5,947,000 30,365 0.0%
Bumi Resources Minerals Tbk PT 7,554,800 27,603 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ---------- ---------------
INDONESIA -- (Continued)
Bumi Resources Tbk PT 111,592,600 $ 407,334 0.0%
Bumi Teknokultura Unggul Tbk PT 895,600 104,788 0.0%
Central Proteina Prima Tbk PT 6,944,300 25,344 0.0%
Ciputra Development Tbk PT 51,502,659 4,064,067 0.1%
Ciputra Property Tbk PT 31,257,485 1,059,135 0.0%
Ciputra Surya Tbk PT 7,901,298 1,304,313 0.0%
Citra Marga Nusaphala Persada Tbk PT 15,488,875 1,862,098 0.1%
Clipan Finance Indonesia Tbk PT 1,482,000 29,252 0.0%
Darma Henwa Tbk PT 57,413,100 209,728 0.0%
* Davomas Abadi Tbk PT 11,631,700 -- 0.0%
Delta Dunia Makmur Tbk PT 22,650,000 108,625 0.0%
Eagle High Plantations Tbk PT 90,930,800 1,557,841 0.0%
Elnusa Tbk PT 43,451,600 1,088,792 0.0%
Energi Mega Persada Tbk PT 314,211,800 1,145,486 0.0%
Erajaya Swasembada Tbk PT 14,532,000 676,633 0.0%
Eureka Prima Jakarta Tbk PT 2,608,400 97,148 0.0%
Ever Shine Textile Tbk PT 3,654,640 53,401 0.0%
Exploitasi Energi Indonesia Tbk PT 38,209,100 139,667 0.0%
Express Transindo Utama Tbk PT 5,438,500 90,615 0.0%
Fajar Surya Wisesa Tbk PT 672,500 56,237 0.0%
Gajah Tunggal Tbk PT 19,647,800 844,481 0.0%
Garuda Indonesia Persero Tbk PT 38,516,149 898,337 0.0%
Global Mediacom Tbk PT 13,971,600 884,887 0.0%
Golden Eagle Energy Tbk PT 8,151,350 203,875 0.0%
Hanson International Tbk PT 46,816,700 2,305,405 0.1%
Harum Energy Tbk PT 7,947,000 490,205 0.0%
Hexindo Adiperkasa Tbk PT 1,347,000 170,509 0.0%
Holcim Indonesia Tbk PT 5,322,900 406,916 0.0%
Indah Kiat Pulp & Paper Corp. Tbk PT 20,906,200 1,258,827 0.0%
Indika Energy Tbk PT 13,853,000 183,800 0.0%
Indo Tambangraya Megah Tbk PT 1,701,100 1,048,666 0.0%
Indo-Rama Synthetics Tbk PT 440,400 25,735 0.0%
Indomobil Sukses Internasional Tbk PT 33,000 7,203 0.0%
Indosat Tbk PT 43,400 13,275 0.0%
Industri Jamu Dan Farmasi Sido Muncul Tbk PT 2,282,000 80,380 0.0%
Inovisi Infracom Tbk PT 1,806,467 5,791 0.0%
Intiland Development Tbk PT 61,059,532 2,245,775 0.1%
Japfa Comfeed Indonesia Tbk PT 39,099,400 1,253,492 0.0%
Jaya Real Property Tbk PT 9,837,500 584,643 0.0%
Kawasan Industri Jababeka Tbk PT 169,792,179 2,508,441 0.1%
Krakatau Steel Persero Tbk PT 17,080,200 388,490 0.0%
Kresna Graha Sekurindo Tbk PT 5,981,200 1,088,250 0.0%
Lippo Cikarang Tbk PT 4,260,300 2,482,182 0.1%
Malindo Feedmill Tbk PT 8,169,600 664,419 0.0%
Matahari Putra Prima Tbk PT 8,391,928 1,373,317 0.0%
Mayora Indah Tbk PT 2,885,750 5,755,394 0.1%
Medco Energi Internasional Tbk PT 13,524,900 1,059,706 0.0%
Mitra Adiperkasa Tbk PT 8,080,400 2,032,897 0.1%
Mitra Pinasthika Mustika Tbk PT 4,326,800 166,812 0.0%
MNC Investama Tbk PT 182,915,400 2,788,599 0.1%
MNC Sky Vision Tbk PT 1,540,200 144,904 0.0%
Modernland Realty Tbk PT 82,147,400 2,935,208 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ---------- ---------------
INDONESIA -- (Continued)
Multipolar Tbk PT 62,760,900 $1,498,152 0.0%
Multistrada Arah Sarana Tbk PT 6,288,800 104,453 0.0%
Nippon Indosari Corpindo Tbk PT 17,048,800 1,485,949 0.0%
Nusantara Infrastructure Tbk PT 107,773,500 935,418 0.0%
Pabrik Kertas Tjiwi Kimia Tbk PT 1,265,900 44,988 0.0%
Pakuwon Jati Tbk PT 31,570,300 977,339 0.0%
Pan Brothers Tbk PT 35,188,200 1,361,731 0.0%
Panasia Indo Resources Tbk PT 59,000 2,694 0.0%
Panin Financial Tbk PT 183,995,900 2,936,925 0.1%
Panin Sekuritas Tbk PT 31,500 7,795 0.0%
Paninvest Tbk PT 8,124,500 352,517 0.0%
Pembangunan Perumahan Persero Tbk PT 16,393,100 4,534,811 0.1%
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 34,713,200 3,913,948 0.1%
Petrosea Tbk PT 1,427,200 33,078 0.0%
PT Dharma Satya Nusantara TBK 1,751,000 79,211 0.0%
* PT Texmaco Jaya Tbk 93,000 -- 0.0%
Ramayana Lestari Sentosa Tbk PT 36,184,900 1,662,949 0.0%
Resource Alam Indonesia Tbk PT 2,485,700 117,889 0.0%
Salim Ivomas Pratama Tbk PT 35,681,100 1,205,461 0.0%
Samindo Resources Tbk PT 445,550 16,730 0.0%
Sampoerna Agro PT 5,911,900 503,096 0.0%
Samudera Indonesia Tbk PT 19,300 7,483 0.0%
Sawit Sumbermas Sarana Tbk PT 30,530,000 4,233,386 0.1%
Sekawan Intipratama Tbk PT 9,367,900 85,501 0.0%
Selamat Sempurna Tbk PT 5,514,200 1,976,269 0.1%
Semen Baturaja Persero Tbk PT 26,044,800 561,875 0.0%
Sentul City Tbk PT 277,559,400 1,494,560 0.0%
Sigmagold Inti Perkasa Tbk PT 9,282,700 301,758 0.0%
Sinar Mas Agro Resources & Technology Tbk PT 1,037,460 355,756 0.0%
Sri Rejeki Isman Tbk PT 115,408,631 3,187,167 0.1%
Sugih Energy Tbk PT 162,320,200 4,528,280 0.1%
Summarecon Agung Tbk PT 13,480,264 1,364,412 0.0%
* Surabaya Agung Industri Pulp & Kertas Tbk PT 64,500 -- 0.0%
* Surya Dumai Industri Tbk 3,298,500 -- 0.0%
Surya Semesta Internusa Tbk PT 39,587,700 1,856,513 0.1%
* Suryainti Permata Tbk PT 7,252,000 -- 0.0%
Tambang Batubara Bukit Asam Persero Tbk PT 2,078,700 1,104,243 0.0%
Tempo Scan Pacific Tbk PT 1,225,200 151,974 0.0%
Tiga Pilar Sejahtera Food Tbk 18,578,300 2,146,875 0.1%
Timah Persero Tbk PT 32,479,614 1,475,657 0.0%
Tiphone Mobile Indonesia Tbk PT 21,750,700 1,110,950 0.0%
Total Bangun Persada Tbk PT 13,492,800 703,129 0.0%
Trada Maritime Tbk PT 12,248,113 44,723 0.0%
Trias Sentosa Tbk PT 37,122,100 632,903 0.0%
Trimegah Securities Tbk PT 8,048,100 31,754 0.0%
Truba Alam Manunggal Engineering PT 21,316,500 21,803 0.0%
Tunas Baru Lampung Tbk PT 15,826,700 553,602 0.0%
Tunas Ridean Tbk PT 13,838,000 551,593 0.0%
Ultrajaya Milk Industry & Trading Co. Tbk PT 3,657,400 1,067,535 0.0%
Unggul Indah Cahaya Tbk PT 48,239 5,665 0.0%
Vale Indonesia Tbk PT 2,751,800 447,489 0.0%
Visi Media Asia Tbk PT 52,200,900 1,102,863 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
INDONESIA -- (Continued)
Waskita Karya Persero Tbk PT 3,918,209 $ 463,642 0.0%
Wijaya Karya Persero Tbk PT 8,757,500 1,873,667 0.1%
Wintermar Offshore Marine Tbk PT 9,769,557 139,393 0.0%
------------ ---
TOTAL INDONESIA 136,140,527 2.8%
------------ ---
ISRAEL -- (0.0%)
Knafaim Holdings, Ltd. 1 3 0.0%
* Metis Capital, Ltd. 919 -- 0.0%
------------ ---
TOTAL ISRAEL 3 0.0%
------------ ---
MALAYSIA -- (4.1%)
Adventa Bhd 4,600 1,038 0.0%
# Aeon Co. M Bhd 3,936,800 2,595,121 0.1%
Aeon Credit Service M Bhd 78,300 233,322 0.0%
# Affin Holdings Bhd 1,199,920 667,088 0.0%
Ahmad Zaki Resources Bhd 486,600 72,527 0.0%
# AirAsia BHD 16,357,800 5,617,564 0.1%
# AirAsia X Bhd 9,059,700 430,850 0.0%
# Alam Maritim Resources Bhd 4,054,200 461,236 0.0%
Alliance Financial Group Bhd 88,000 73,242 0.0%
Allianz Malaysia Bhd 59,200 147,206 0.0%
Amway Malaysia Holdings Bhd 399,300 915,676 0.0%
Ann Joo Resources Bhd 1,141,450 198,888 0.0%
* Anson Perdana Bhd 10,000 -- 0.0%
APM Automotive Holdings Bhd 256,900 245,121 0.0%
Barakah Offshore Petroleum Bhd 1,773,900 399,365 0.0%
Benalec Holdings Bhd 6,180,000 831,597 0.0%
Berjaya Assets Bhd 848,300 158,063 0.0%
# Berjaya Auto Bhd 2,564,000 1,254,062 0.0%
# Berjaya Corp. Bhd 26,281,600 2,533,189 0.1%
Berjaya Land Bhd 3,734,000 606,914 0.0%
Berjaya Sports Toto Bhd 1,501,567 1,117,591 0.0%
# BIMB Holdings Bhd 992,108 947,017 0.0%
Bina Darulaman Bhd 335,500 54,552 0.0%
Bintulu Port Holdings Bhd 25,900 43,094 0.0%
BLD Plantation Bhd 21,400 42,314 0.0%
# Bonia Corp. Bhd 1,427,000 246,995 0.0%
Boustead Holdings Bhd 1,006,772 944,867 0.0%
# Boustead Plantations Bhd 199,900 69,779 0.0%
# Bumi Armada Bhd 1,817,200 409,540 0.0%
# Bursa Malaysia Bhd 3,679,000 7,260,386 0.2%
# Cahya Mata Sarawak Bhd 2,415,200 2,977,742 0.1%
Can-One Bhd 417,200 327,298 0.0%
Carlsberg Brewery Malaysia Bhd Class B 1,176,600 3,399,885 0.1%
Carotech Bhd 230,650 215 0.0%
# CB Industrial Product Holding Bhd 2,912,740 1,343,998 0.0%
CCM Duopharma Biotech Bhd 36,500 22,844 0.0%
Chin Teck Plantations Bhd 33,000 64,452 0.0%
# Coastal Contracts Bhd 2,580,766 1,223,862 0.0%
Crescendo Corp. Bhd 19,900 8,979 0.0%
CSC Steel Holdings Bhd 555,500 126,873 0.0%
Cypark Resources Bhd 1,333,500 545,360 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
D&O Green Technologies Bhd 149,900 $ 13,048 0.0%
Daibochi Plastic & Packaging Industry Bhd 46,200 45,646 0.0%
# Datasonic Group Bhd 1,956,600 675,051 0.0%
* Datuk Keramik Holdings Bhd 24,000 -- 0.0%
Daya Materials Bhd 15,160,200 369,544 0.0%
Dayang Enterprise Holdings Bhd 2,863,696 1,131,857 0.0%
DKSH Holdings Malaysia Bhd 160,600 163,848 0.0%
# DRB-Hicom Bhd 8,682,900 2,706,197 0.1%
Dutch Lady Milk Industries Bhd 141,300 1,565,610 0.1%
# Eastern & Oriental Bhd 7,229,732 2,673,027 0.1%
ECM Libra Financial Group Bhd 183,666 58,949 0.0%
# Eco World Development Group Bhd 1,569,300 499,730 0.0%
Ekovest BHD 125,600 28,128 0.0%
Engtex Group Bhd 30,650 7,874 0.0%
Evergreen Fibreboard Bhd 4,109,500 2,111,351 0.1%
FAR East Holdings Bhd 61,500 107,682 0.0%
# Felda Global Ventures Holdings Bhd 1,244,900 514,549 0.0%
* Fountain View Development Bhd 808,200 -- 0.0%
Gas Malaysia Bhd 232,900 128,437 0.0%
GD Express Carrier Bhd 39,100 12,337 0.0%
Global Oriental Bhd 766,800 105,013 0.0%
# Globetronics Technology Bhd 1,871,960 2,708,279 0.1%
Glomac Bhd 2,854,800 604,960 0.0%
* Golden Plus Holding Bhd 216,000 -- 0.0%
Goldis Bhd 604,277 320,857 0.0%
Green Packet Bhd 1,806,100 100,715 0.0%
Guan Chong Bhd 27,200 5,613 0.0%
Guinness Anchor Bhd 877,000 2,916,273 0.1%
GuocoLand Malaysia Bhd 1,535,500 485,535 0.0%
Hai-O Enterprise Bhd 722,380 399,559 0.0%
# HAP Seng Consolidated Bhd 3,272,340 4,603,485 0.1%
Hap Seng Plantations Holdings Bhd 1,686,900 941,404 0.0%
# Hartalega Holdings Bhd 2,277,800 2,762,140 0.1%
Hiap Teck Venture Bhd 1,079,700 73,999 0.0%
Hibiscus Petroleum Bhd 2,978,200 407,950 0.0%
# Hock Seng LEE Bhd 1,377,716 593,495 0.0%
Hong Leong Industries Bhd 715,200 1,042,217 0.0%
Hovid Bhd 4,844,000 550,257 0.0%
Hua Yang Bhd 1,405,900 607,951 0.0%
Hume Industries Bhd 281,872 228,197 0.0%
Hup Seng Industries Bhd 1,003,333 288,813 0.0%
Hwang Capital Malaysia Bhd 96,400 47,334 0.0%
I Bhd 2,682,700 336,573 0.0%
IFCA MSC Bhd 1,204,800 251,653 0.0%
# IJM Plantations Bhd 1,755,200 1,429,991 0.0%
# Inari Amertron Bhd 2,615,012 2,167,620 0.1%
Inch Kenneth Kajang Rubber PLC 1,045,300 165,722 0.0%
Insas Bhd 5,202,981 965,359 0.0%
Iris Corp. Bhd 12,817,700 742,505 0.0%
Iskandar Waterfront City Bhd 3,000,600 550,072 0.0%
JAKS Resources Bhd 3,430,900 966,095 0.0%
# Jaya Tiasa Holdings BHD 2,792,927 792,016 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
JCY International Bhd 4,078,500 $ 738,069 0.0%
K&N Kenanga Holdings Bhd 1,781,560 244,232 0.0%
Karambunai Corp. Bhd 2,031,500 25,697 0.0%
# Karex Bhd 808,400 658,634 0.0%
# Keck Seng Malaysia Bhd 828,150 970,845 0.0%
Kian JOO CAN Factory Bhd 1,893,880 1,405,877 0.0%
Kim Loong Resources Bhd 292,760 192,630 0.0%
Kimlun Corp. Bhd 659,800 202,193 0.0%
KLCCP Stapled Group 808,300 1,319,631 0.0%
# KNM Group Bhd 16,125,780 1,981,793 0.1%
# Kossan Rubber Industries 4,143,500 7,857,656 0.2%
# KPJ Healthcare Bhd 6,538,825 6,497,391 0.2%
Kretam Holdings Bhd 3,012,500 311,564 0.0%
# KSL Holdings BHD 5,154,848 1,882,442 0.1%
KUB Malaysia Bhd 1,353,500 103,557 0.0%
Kulim Malaysia BHD 3,524,500 2,727,600 0.1%
Kumpulan Europlus Bhd 406,000 83,663 0.0%
Kumpulan Fima Bhd 883,150 365,624 0.0%
Kumpulan Perangsang Selangor Bhd 2,387,300 708,526 0.0%
Kwantas Corp. Bhd 390,200 151,958 0.0%
Land & General BHD 8,481,900 826,806 0.0%
# Landmarks Bhd 1,775,200 444,714 0.0%
LBS Bina Group Bhd 2,466,600 820,180 0.0%
Lingkaran Trans Kota Holdings Bhd 1,067,200 1,277,093 0.0%
Lion Industries Corp. Bhd 3,189,100 233,073 0.0%
LPI Capital Bhd 163,370 566,777 0.0%
# Magnum Bhd 4,319,600 2,702,624 0.1%
Mah Sing Group Bhd 12,840,487 3,940,051 0.1%
Malayan Flour Mills Bhd 1,707,450 536,009 0.0%
# Malaysia Building Society Bhd 1,738,881 654,753 0.0%
# Malaysia Marine and Heavy Engineering Holdings Bhd 3,250,700 830,707 0.0%
# Malaysian Bulk Carriers Bhd 3,215,000 673,097 0.0%
Malaysian Pacific Industries Bhd 803,913 1,298,963 0.0%
# Malaysian Resources Corp. Bhd 11,406,549 3,358,666 0.1%
Malton Bhd 930,100 168,623 0.0%
* Mancon Bhd 12,000 -- 0.0%
# Matrix Concepts Holdings Bhd 2,150,067 1,210,161 0.0%
# MBM Resources BHD 1,478,796 960,566 0.0%
Media Chinese International, Ltd. 3,771,300 503,913 0.0%
Media Prima Bhd 7,387,603 2,392,206 0.1%
Mega First Corp. Bhd 472,600 277,089 0.0%
* MEMS Technology Bhd 1,917,000 -- 0.0%
Mitrajaya Holdings Bhd 1,173,100 333,752 0.0%
MK Land Holdings Bhd 3,077,600 282,603 0.0%
# MKH Bhd 1,585,190 858,518 0.0%
MMC Corp. Bhd 125,200 65,000 0.0%
MNRB Holdings Bhd 826,700 659,268 0.0%
MPHB Capital Bhd 1,131,300 415,592 0.0%
Mudajaya Group Bhd 2,082,766 600,011 0.0%
# Muhibbah Engineering M Bhd 3,397,850 1,744,858 0.1%
# Mulpha International Bhd 15,153,200 1,074,872 0.0%
# My EG Services Bhd 7,211,200 4,951,756 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
MALAYSIA -- (Continued)
# Naim Holdings Bhd 1,559,800 $ 812,260 0.0%
NCB Holdings Bhd 1,000,200 995,859 0.0%
* Nikko Electronics Bhd 36,600 -- 0.0%
NTPM Holdings Bhd 334,100 54,294 0.0%
# Oldtown Bhd 2,242,550 698,211 0.0%
Oriental Holdings Bhd 205,400 335,291 0.0%
OSK Holdings Bhd 5,180,470 2,023,300 0.1%
Pacific & Orient Bhd 205,000 64,810 0.0%
# Padini Holdings Bhd 3,920,100 1,395,252 0.0%
Panasonic Manufacturing Malaysia Bhd 159,584 810,209 0.0%
* Panglobal Bhd 14,000 -- 0.0%
Pantech Group Holdings Bhd 1,729,625 255,147 0.0%
Paramount Corp. Bhd 410,525 157,340 0.0%
# Parkson Holdings Bhd 4,404,908 1,095,412 0.0%
Perisai Petroleum Teknologi Bhd 9,018,200 676,489 0.0%
PESTECH International Bhd 107,800 152,659 0.0%
Pharmaniaga Bhd 709,060 1,077,743 0.0%
Pie Industrial Bhd 174,720 304,251 0.0%
Pos Malaysia Bhd 3,244,300 2,926,551 0.1%
Power Root Bhd 109,100 68,891 0.0%
Press Metal Bhd 3,972,700 2,148,260 0.1%
# Prestariang Bhd 2,251,100 1,221,262 0.0%
* Prime Utilities Bhd 3,000 -- 0.0%
Protasco Bhd 1,884,200 738,510 0.0%
Puncak Niaga Holdings Bhd 1,914,120 1,261,314 0.0%
# QL Resources Bhd 4,039,930 3,791,860 0.1%
RCE Capital Bhd 704,150 44,954 0.0%
# Rimbunan Sawit Bhd 3,525,300 426,227 0.0%
# Salcon Bhd 6,650,300 972,069 0.0%
Sarawak Oil Palms Bhd 471,360 530,899 0.0%
Sarawak Plantation Bhd 59,300 26,087 0.0%
Scientex Bhd 692,962 1,234,082 0.0%
Scomi Energy Services Bhd 3,894,500 261,402 0.0%
Scomi Group Bhd 10,459,800 461,156 0.0%
Seal, Inc. Bhd 215,900 25,626 0.0%
SEG International Bhd 85,100 27,268 0.0%
Selangor Dredging Bhd 1,118,200 254,428 0.0%
Selangor Properties Bhd 180,800 222,794 0.0%
Shangri-La Hotels Malaysia Bhd 365,900 518,915 0.0%
Shell Refining Co. Federation of Malaya Bhd 24,000 31,692 0.0%
SHL Consolidated Bhd 246,000 178,413 0.0%
Southern Acids Malaysia Bhd 41,000 37,402 0.0%
Star Media Group Bhd 1,961,300 1,095,334 0.0%
Sumatec Resources Bhd 6,626,700 238,262 0.0%
# Sunway Bhd 3,087,360 2,225,167 0.1%
Sunway Construction Group Bhd 297,536 90,005 0.0%
# Supermax Corp. Bhd 5,745,200 3,005,304 0.1%
Suria Capital Holdings Bhd 702,700 387,449 0.0%
# Syarikat Takaful Malaysia Bhd 2,571,200 2,275,266 0.1%
Symphony Life Bhd 945,726 165,953 0.0%
Ta Ann Holdings Bhd 1,191,008 1,071,270 0.0%
TA Enterprise Bhd 9,960,700 1,447,455 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
MALAYSIA -- (Continued)
TA Global Bhd 9,613,540 $ 636,147 0.0%
TAHPS Group Bhd 4,000 6,334 0.0%
Talam Transform Bhd 5,646,800 71,617 0.0%
# Taliworks Corp. Bhd 444,100 380,325 0.0%
Tambun Indah Land Bhd 1,690,300 554,601 0.0%
# TAN Chong Motor Holdings Bhd 1,992,000 1,155,912 0.0%
Tanjung Offshore Bhd 2,775,700 253,330 0.0%
Tasek Corp. Bhd 86,800 302,950 0.0%
# TDM Bhd 7,831,000 1,244,012 0.0%
TH Heavy Engineering Bhd 8,682,500 414,179 0.0%
# TH Plantations Bhd 1,665,860 507,577 0.0%
# Time dotCom Bhd 2,007,788 3,259,465 0.1%
Tiong NAM Logistics Holdings 1,886,500 619,212 0.0%
Top Glove Corp. Bhd 4,640,460 10,249,436 0.2%
Tropicana Corp. Bhd 4,359,546 977,041 0.0%
# TSH Resources Bhd 4,010,400 1,912,192 0.1%
# Tune Protect Group Bhd 3,888,900 1,275,995 0.0%
Uchi Technologies Bhd 1,476,400 559,647 0.0%
# UEM Edgenta Bhd 3,037,700 2,352,025 0.1%
# UEM Sunrise Bhd 4,992,400 1,450,469 0.1%
# UMW Oil & Gas Corp. Bhd 2,664,600 749,404 0.0%
# Unisem M Bhd 3,915,490 2,166,291 0.1%
United Malacca Bhd 396,150 558,786 0.0%
United Plantations Bhd 435,200 2,681,873 0.1%
United U-Li Corp. Bhd 531,800 546,624 0.0%
# UOA Development Bhd 4,092,500 2,008,192 0.1%
# Uzma Bhd 900,800 460,359 0.0%
VS Industry Bhd 6,529,330 2,356,190 0.1%
# Wah Seong Corp. Bhd 2,490,369 687,549 0.0%
# WCT Holdings Bhd 7,790,699 2,482,428 0.1%
Wellcall Holdings Bhd 1,449,000 794,917 0.0%
Wing Tai Malaysia Bhd 1,065,150 312,359 0.0%
WTK Holdings Bhd 2,688,000 700,093 0.0%
# Yinson Holdings Bhd 1,593,300 1,088,985 0.0%
YNH Property Bhd 2,612,402 1,135,885 0.0%
YTL E-Solutions Bhd 3,055,000 372,709 0.0%
YTL Land & Development Bhd 1,204,600 190,340 0.0%
Zhulian Corp. Bhd 1,156,633 438,574 0.0%
------------ ---
TOTAL MALAYSIA 230,920,190 4.7%
------------ ---
MEXICO -- (4.0%)
# Alpek S.A.B. de C.V. 3,197,442 4,616,777 0.1%
# Alsea S.A.B. de C.V. 6,247,966 20,475,027 0.4%
# Axtel S.A.B. de C.V. 7,758,264 3,348,898 0.1%
# Banregio Grupo Financiero S.A.B. de C.V. 2,160,290 11,564,061 0.2%
Bio Pappel S.A.B. de C.V. 506,435 598,482 0.0%
Bolsa Mexicana de Valores S.A.B. de C.V. 5,064,811 8,462,918 0.2%
# Cia Minera Autlan S.A.B. de C.V. Series B 645,200 361,704 0.0%
# Consorcio ARA S.A.B. de C.V. Series * 8,258,529 3,084,861 0.1%
Controladora Comercial Mexicana S.A.B. de C.V. 1,108,589 3,242,988 0.1%
Corp. Actinver S.A.B. de C.V. 187,852 170,590 0.0%
# Corp. GEO S.A.B. de C.V. Series B 3,194,830 80 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ----------- ---------------
MEXICO -- (Continued)
# Corp. Inmobiliaria Vesta S.A.B. de C.V. 4,898,576 $ 8,030,939 0.2%
Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B 960,372 719,793 0.0%
Corp. Mexicana de Restaurantes S.A.B. de C.V. 1,323 485 0.0%
Corp. Moctezuma S.A.B. de C.V. Series * 861,300 2,865,299 0.1%
Corporativo Fragua S.A.B. de C.V. 3 43 0.0%
Corporativo GBM S.A.B. de C.V. 22,477 19,724 0.0%
Credito Real S.A.B. de C.V. SOFOM ER 537,916 1,270,068 0.0%
Cydsa S.A.B. de C.V. 3,875 5,865 0.0%
Desarrolladora Homex S.A.B. de C.V. 78,182 37,629 0.0%
* Empaques Ponderosa S.A. de C.V. 206,000 -- 0.0%
# Empresas ICA S.A.B. de C.V. 2,446,496 970,138 0.0%
# Empresas ICA S.A.B. de C.V. Sponsored ADR 776,820 1,196,303 0.0%
Financiera Independencia SAB de C.V. SOFOM ENR 67,147 15,041 0.0%
# Genomma Lab Internacional S.A.B. de C.V. Class B 7,465,092 5,477,540 0.1%
Gentera S.A.B. de C.V. 5,740,334 10,543,882 0.2%
Gruma S.A.B. de C.V. Class B 630,764 9,680,386 0.2%
# Grupo Aeromexico S.A.B. de C.V. 2,842,070 4,989,770 0.1%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. 2,295,436 11,789,996 0.3%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR 3,642 149,795 0.0%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 74,739 6,806,481 0.1%
Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 2,116,469 19,089,198 0.4%
Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 77,098 11,930,144 0.3%
# Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B 560,664 8,688,734 0.2%
Grupo Cementos de Chihuahua S.A.B. de C.V. 818,100 2,327,834 0.1%
# Grupo Comercial Chedraui S.A. de C.V. 2,694,603 7,432,353 0.2%
Grupo Famsa S.A.B. de C.V. Class A 2,460,567 1,936,539 0.0%
# Grupo Financiero Interacciones SA de C.V. 547,218 3,541,489 0.1%
Grupo Herdez S.A.B. de C.V. Series * 1,890,383 5,254,179 0.1%
Grupo Industrial Maseca S.A.B. de C.V. Class B 592,181 824,575 0.0%
Grupo Industrial Saltillo S.A.B. de C.V. 272,900 534,968 0.0%
Grupo KUO S.A.B. de C.V. Series B 757,257 1,403,771 0.0%
# Grupo Pochteca S.A.B. de C.V. 585,177 439,295 0.0%
Grupo Posadas S.A.B. de C.V. 198,900 425,067 0.0%
* Grupo Qumma SA de C.V. Series B 105,334 -- 0.0%
Grupo Sanborns S.A.B. de C.V. 75,704 132,912 0.0%
# Grupo Simec S.A.B. de C.V. Series B 1,479,332 4,055,271 0.1%
# Grupo Simec S.A.B. de C.V. Sponsored ADR 5,180 42,269 0.0%
# Grupo Sports World S.A.B. de C.V. 559,081 683,375 0.0%
# Hoteles City Express S.A.B. de C.V. 217,081 293,204 0.0%
# Industrias Bachoco S.A.B. de C.V. ADR 35,210 1,926,691 0.0%
Industrias Bachoco S.A.B. de C.V. Series B 1,167,171 5,312,325 0.1%
# Industrias CH S.A.B. de C.V. Series B 1,866,185 6,773,165 0.1%
# Maxcom Telecomunicaciones S.A.B. de C.V. 2,820,323 170,744 0.0%
Megacable Holdings S.A.B. de C.V. 1,170,372 4,460,335 0.1%
# Minera Frisco S.A.B. de C.V. 1,250,824 662,601 0.0%
OHL Mexico S.A.B. de C.V. 552,455 730,127 0.0%
# Organizacion Cultiba S.A.B. de C.V. 1,049,185 1,399,947 0.0%
Promotora y Operadora de Infraestructura S.A.B. de C.V. 860,979 10,824,656 0.2%
# Qualitas Controladora S.A.B. de C.V. 829,798 1,034,371 0.0%
# Rassini S.A.B. de C.V. 90,235 353,449 0.0%
* Sanluis Corp. S.A.B. de C.V. 4,642 -- 0.0%
* Sanluis Corp. S.A.B. de C.V. Class B 4,642 -- 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------- ------------ ---------------
MEXICO -- (Continued)
* Sanluis Rassini S.A.P.I. de C.V. Series A 3,300 $ -- 0.0%
* Savia SA Class A 610,700 -- 0.0%
# TV Azteca S.A.B. de C.V. 11,483,800 1,842,380 0.0%
# Urbi Desarrollos Urbanos S.A.B. de C.V. 2,371,991 178 0.0%
# Vitro S.A.B. de C.V. Series A 795,868 2,312,276 0.1%
------------ ---
TOTAL MEXICO 227,333,985 4.6%
------------ ---
PHILIPPINES -- (1.6%)
A Soriano Corp. 3,430,211 477,299 0.0%
ACR Mining Corp. 48,205 13,822 0.0%
Alsons Consolidated Resources, Inc. 8,785,000 296,039 0.0%
Atlas Consolidated Mining & Development Corp. 6,148,000 740,012 0.0%
Belle Corp. 37,693,400 2,780,958 0.1%
Bloomberry Resorts Corp. 3,622,700 474,490 0.0%
Cebu Air, Inc. 2,099,790 3,999,562 0.1%
Cebu Holdings, Inc. 3,291,900 356,904 0.0%
Century Properties Group, Inc. 26,261,151 341,762 0.0%
China Banking Corp. 1,067,645 911,395 0.0%
COL Financial Group, Inc. 130,900 43,860 0.0%
Cosco Capital, Inc. 12,010,500 1,906,853 0.0%
D&L Industries, Inc. 34,010,300 7,067,912 0.2%
East West Banking Corp. 1,950,000 824,251 0.0%
EEI Corp. 3,744,700 600,845 0.0%
Empire East Land Holdings, Inc. 19,893,000 382,412 0.0%
Filinvest Development Corp. 3,314,322 276,025 0.0%
Filinvest Land, Inc. 125,282,577 4,652,236 0.1%
First Gen Corp. 13,399,100 7,229,069 0.2%
First Philippine Holdings Corp. 2,542,830 3,834,419 0.1%
Leisure & Resorts World Corp. 4,437,640 837,019 0.0%
Lepanto Consolidated Mining Co. 43,735,455 192,167 0.0%
Lopez Holdings Corp. 21,983,900 3,184,444 0.1%
Manila Water Co., Inc. 10,219,500 5,194,066 0.1%
Megawide Construction Corp. 2,050,108 319,023 0.0%
Melco Crown Philippines Resorts Corp. 1,354,700 106,212 0.0%
* Metro Pacific Corp. Series A 1,827,193 -- 0.0%
Pepsi-Cola Products Philippines, Inc. 11,395,900 1,022,029 0.0%
Petron Corp. 11,342,200 1,958,614 0.0%
Philippine National Bank 1,973,115 2,230,952 0.1%
Philippine National Construction Corp. 173,000 3,396 0.0%
Philippine Savings Bank 356,863 792,172 0.0%
Philippine Stock Exchange, Inc. (The) 121,592 795,322 0.0%
* Philippine Townships, Inc. 318,732 -- 0.0%
* Philtown Properties, Inc. 111,562 -- 0.0%
Philweb Corp. 3,483,140 1,495,796 0.0%
Phinma Corp. 135,549 33,381 0.0%
Phoenix Petroleum Philippines, Inc. 708,880 55,635 0.0%
Premium Leisure Corp. 1,572,000 38,145 0.0%
Puregold Price Club, Inc. 3,701,000 2,845,844 0.1%
RFM Corp. 9,081,668 796,761 0.0%
Rizal Commercial Banking Corp. 3,193,380 2,114,573 0.1%
Robinsons Land Corp. 12,391,405 8,092,165 0.2%
Robinsons Retail Holdings, Inc. 173,170 284,036 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
PHILIPPINES -- (Continued)
San Miguel Pure Foods Co., Inc. 91,350 $ 268,458 0.0%
Security Bank Corp. 2,688,558 8,138,967 0.2%
Semirara Mining and Power Corp. 489,240 1,398,573 0.0%
Trans-Asia Oil & Energy Development Corp. 13,245,000 620,096 0.0%
Travellers International Hotel Group, Inc. 3,788,000 371,604 0.0%
Union Bank of the Philippines 1,263,751 1,540,627 0.0%
* Universal Rightfield Property Holdings, Inc. 1,062,000 -- 0.0%
Victorias Milling Co., Inc. 231,600 22,978 0.0%
Vista Land & Lifescapes, Inc. 47,406,900 5,628,880 0.1%
----------- ---
TOTAL PHILIPPINES 87,592,060 1.8%
----------- ---
POLAND -- (1.9%)
AB SA 1,082 9,289 0.0%
ABC Data SA 129,926 105,749 0.0%
# Action SA 26,708 171,200 0.0%
Agora SA 259,058 775,603 0.0%
Alior Bank SA 85,078 1,787,715 0.1%
Amica Wronki SA 23,392 1,000,137 0.0%
AmRest Holdings SE 70,256 3,277,790 0.1%
Apator SA 57,632 458,429 0.0%
Asseco Poland SA 656,782 9,694,556 0.2%
ATM SA 64,541 160,467 0.0%
# Bioton SA 676,718 1,933,448 0.1%
Boryszew SA 1,142,989 1,486,361 0.0%
Budimex SA 122,591 6,651,252 0.2%
CCC SA 107,305 4,684,901 0.1%
# CD Projekt Red SA 758,157 5,216,861 0.1%
Ciech SA 295,749 5,720,215 0.1%
ComArch SA 5,264 161,285 0.0%
Dom Development SA 4,673 63,092 0.0%
Elektrobudowa SA 8,568 339,508 0.0%
Emperia Holding SA 93,874 1,701,081 0.0%
Enea SA 181,634 602,372 0.0%
Eurocash SA 512,924 6,921,922 0.2%
Fabryki Mebli Forte SA 132,308 1,938,843 0.1%
Famur SA 350,412 164,935 0.0%
Farmacol SA 50,868 842,398 0.0%
Firma Oponiarska Debica SA 30,655 697,314 0.0%
Getin Holding SA 2,666,866 1,103,631 0.0%
# Getin Noble Bank SA 2,423,991 501,608 0.0%
# Grupa Azoty SA 46,567 1,107,713 0.0%
Grupa Azoty Zaklady Chemiczne Police SA 76,751 493,783 0.0%
Grupa Kety SA 63,005 4,529,630 0.1%
Grupa Lotos SA 989,786 7,289,964 0.2%
# Hawe SA 243,779 55,426 0.0%
Impexmetal SA 1,045,896 727,318 0.0%
# Integer.pl SA 32,174 959,031 0.0%
Inter Cars SA 27,868 1,708,731 0.0%
# Jastrzebska Spolka Weglowa SA 341,444 1,167,967 0.0%
Kernel Holding SA 415,296 5,604,051 0.1%
Kopex SA 211,221 326,832 0.0%
KRUK SA 79,051 3,761,859 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
POLAND -- (Continued)
LC Corp. SA 192,664 $ 98,503 0.0%
Lentex SA 157,761 381,877 0.0%
# Lubelski Wegiel Bogdanka SA 68,728 732,608 0.0%
MCI Management SA 225,220 707,902 0.0%
# Midas SA 2,799,214 456,308 0.0%
Mostostal Zabrze SA 425,811 192,519 0.0%
Netia SA 2,575,009 3,682,124 0.1%
Neuca SA 21,952 1,984,745 0.1%
Orbis SA 132,247 2,018,186 0.1%
Pelion SA 47,515 749,477 0.0%
Pfleiderer Grajewo SA 26,312 175,513 0.0%
PKP Cargo SA 740 12,690 0.0%
Polnord SA 281,196 873,557 0.0%
Polski Koncern Miesny Duda SA 69,986 110,746 0.0%
Rafako SA 303,381 529,614 0.0%
Stalexport Autostrady SA 282,703 234,138 0.0%
Stalprodukt SA 9,296 769,802 0.0%
Sygnity SA 40,187 107,250 0.0%
# Synthos SA 1,596,376 1,522,754 0.0%
Tauron Polska Energia SA 1,828,261 1,433,404 0.0%
# Trakcja SA 404,036 1,059,876 0.0%
Vistula Group SA 1,246,681 966,928 0.0%
Warsaw Stock Exchange 200,714 2,129,626 0.1%
Wawel SA 646 181,647 0.0%
Zespol Elektrowni Patnow Adamow Konin SA 65,319 194,270 0.0%
------------ ---
TOTAL POLAND 107,210,331 2.2%
------------ ---
SOUTH AFRICA -- (7.4%)
Abdee RF, Ltd. 145,250 354,356 0.0%
Adcock Ingram Holdings, Ltd. 848,818 3,189,069 0.1%
Adcorp Holdings, Ltd. 896,475 1,626,819 0.0%
Advtech, Ltd. 2,698,906 2,478,660 0.1%
Aeci, Ltd. 1,077,487 7,396,986 0.2%
African Bank Investments, Ltd. 5,287,877 22,200 0.0%
African Oxygen, Ltd. 858,752 940,592 0.0%
# African Rainbow Minerals, Ltd. 605,137 2,307,547 0.1%
Afrimat, Ltd. 11,954 21,762 0.0%
Alexander Forbes Group Holdings, Ltd. 74,960 47,262 0.0%
Allied Electronics Corp., Ltd. 169,001 83,833 0.0%
# ArcelorMittal South Africa, Ltd. 1,576,714 937,545 0.0%
Ascendis Health, Ltd. 141,778 191,706 0.0%
# Assore, Ltd. 187,642 1,085,321 0.0%
Astral Foods, Ltd. 458,146 5,755,310 0.1%
Attacq, Ltd. 736,717 1,162,600 0.0%
Aveng, Ltd. 4,254,721 1,042,727 0.0%
AVI, Ltd. 3,423,460 21,778,850 0.4%
Barloworld, Ltd. 2,216,736 12,507,021 0.3%
Blue Label Telecoms, Ltd. 2,445,439 2,052,385 0.0%
Brait SE 131,624 1,507,144 0.0%
Capitec Bank Holdings, Ltd. 85,829 3,707,674 0.1%
# Cashbuild, Ltd. 212,494 5,063,668 0.1%
Caxton and CTP Publishers and Printers, Ltd. 313,704 407,768 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
SOUTH AFRICA -- (Continued)
City Lodge Hotels, Ltd. 328,296 $ 3,546,712 0.1%
Clicks Group, Ltd. 2,757,159 20,110,337 0.4%
Clover Industries, Ltd. 1,304,824 1,788,333 0.0%
Consolidated Infrastructure Group, Ltd. 664,270 1,675,728 0.0%
Coronation Fund Managers, Ltd. 1,712,568 9,025,549 0.2%
* Corpgro, Ltd. 241,136 -- 0.0%
DataTec, Ltd. 2,057,155 8,796,353 0.2%
Distell Group, Ltd. 234,978 3,020,824 0.1%
Distribution and Warehousing Network, Ltd. 117,135 37,172 0.0%
# DRDGOLD, Ltd. 2,742,945 444,443 0.0%
EOH Holdings, Ltd. 1,117,136 12,335,864 0.3%
# Eqstra Holdings, Ltd. 3,237,951 606,876 0.0%
Evraz Highveld Steel and Vanadium, Ltd. 63,001 5,634 0.0%
# Exxaro Resources, Ltd. 557,274 2,306,387 0.0%
# Famous Brands, Ltd. 662,753 6,442,757 0.1%
Foschini Group, Ltd. (The) 1,326,741 13,535,578 0.3%
Gold Fields, Ltd. 598,822 1,561,721 0.0%
Gold Fields, Ltd. Sponsored ADR 1,012,028 2,560,431 0.1%
# Grand Parade Investments, Ltd. 3,216,227 1,216,448 0.0%
Grindrod, Ltd. 5,767,064 6,225,411 0.1%
Group Five, Ltd. 1,023,006 1,625,008 0.0%
# Harmony Gold Mining Co., Ltd. 1,611,085 1,128,848 0.0%
Harmony Gold Mining Co., Ltd. Sponsored ADR 2,654,688 1,795,365 0.0%
Holdsport, Ltd. 206,750 939,896 0.0%
Howden Africa Holdings, Ltd. 39,220 75,993 0.0%
Hudaco Industries, Ltd. 267,426 2,098,348 0.0%
Hulamin, Ltd. 1,296,594 624,872 0.0%
Iliad Africa, Ltd. 233,033 168,228 0.0%
Illovo Sugar, Ltd. 1,900,404 2,396,474 0.1%
Impala Platinum Holdings, Ltd. 268,099 731,150 0.0%
# Invicta Holdings, Ltd. 351,408 1,547,137 0.0%
* JCI, Ltd. 3,131,151 -- 0.0%
JSE, Ltd. 892,197 8,594,827 0.2%
KAP Industrial Holdings, Ltd. 5,505,405 2,923,028 0.1%
Kumba Iron Ore, Ltd. 52,054 224,715 0.0%
# Lewis Group, Ltd. 870,013 3,752,791 0.1%
Massmart Holdings, Ltd. 321,214 2,660,863 0.1%
# Merafe Resources, Ltd. 10,969,026 570,421 0.0%
Metair Investments, Ltd. 1,208,797 2,676,588 0.1%
Metrofile Holdings, Ltd. 82,524 28,320 0.0%
Mpact, Ltd. 1,489,097 5,196,861 0.1%
Murray & Roberts Holdings, Ltd. 3,966,800 3,001,714 0.1%
Mustek, Ltd. 740,967 443,391 0.0%
Nampak, Ltd. 4,811,733 7,788,498 0.2%
Northam Platinum, Ltd. 3,504,723 7,664,027 0.2%
Oceana Group, Ltd. 426,383 3,173,339 0.1%
Omnia Holdings, Ltd. 599,734 6,652,787 0.1%
Peregrine Holdings, Ltd. 1,933,171 4,299,543 0.1%
Petmin, Ltd. 601,459 58,053 0.0%
Pick n Pay Stores, Ltd. 2,349,050 11,357,965 0.2%
Pinnacle Holdings, Ltd. 1,226,028 1,060,731 0.0%
# Pioneer Foods Group, Ltd. 585,511 8,388,455 0.2%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH AFRICA -- (Continued)
PPC, Ltd. 5,521,413 $ 6,637,636 0.1%
PSG Group, Ltd. 779,309 15,027,211 0.3%
Quantum Foods Holdings, Ltd. 141,794 34,316 0.0%
Raubex Group, Ltd. 1,311,515 1,562,210 0.0%
RCL Foods, Ltd. 683,713 810,722 0.0%
Reunert, Ltd. 1,557,260 7,571,987 0.2%
Royal Bafokeng Platinum, Ltd. 692,361 1,397,478 0.0%
Santam, Ltd. 250,603 4,036,588 0.1%
Sappi, Ltd. 5,914,259 23,337,101 0.5%
Sibanye Gold, Ltd. 5,404,425 9,026,607 0.2%
Sibanye Gold, Ltd. Sponsored ADR 773,680 5,052,130 0.1%
Spar Group, Ltd. (The) 1,734,010 24,890,644 0.5%
Spur Corp., Ltd. 619,410 1,509,344 0.0%
Stefanutti Stocks Holdings, Ltd. 229,540 87,809 0.0%
Sun International, Ltd. 1,142,926 7,909,883 0.2%
Super Group, Ltd. 3,477,779 8,169,179 0.2%
Telkom SA SOC, Ltd. 2,115,604 11,109,437 0.2%
Tongaat Hulett, Ltd. 962,210 8,213,951 0.2%
Transaction Capital, Ltd. 47,245 36,314 0.0%
Trencor, Ltd. 1,363,669 5,180,789 0.1%
# Truworths International, Ltd. 56,331 381,126 0.0%
Tsogo Sun Holdings, Ltd. 2,215,869 3,966,384 0.1%
Wilson Bayly Holmes-Ovcon, Ltd. 545,366 5,094,975 0.1%
Zeder Investments, Ltd. 91,516 52,217 0.0%
------------ ---
TOTAL SOUTH AFRICA 415,655,637 8.5%
------------ ---
SOUTH KOREA -- (13.0%)
# 3S Korea Co., Ltd. 15,208 31,831 0.0%
# Able C&C Co., Ltd. 62,778 1,355,741 0.0%
# Actoz Soft Co., Ltd. 29,003 944,114 0.0%
# Advanced Nano Products Co., Ltd. 15,848 476,862 0.0%
# Advanced Process Systems Corp. 124,621 869,184 0.0%
# Aekyung Petrochemical Co., Ltd. 7,632 413,026 0.0%
# AfreecaTV Co., Ltd. 64,132 1,421,492 0.0%
# Agabang&Company 159,566 1,827,117 0.1%
# Ahn-Gook Pharmaceutical Co., Ltd. 38,563 654,547 0.0%
# Ahnlab, Inc. 16,765 610,049 0.0%
# AJ Rent A Car Co., Ltd. 88,690 822,626 0.0%
# AK Holdings, Inc. 19,157 1,439,304 0.0%
# ALUKO Co., Ltd. 179,140 1,006,764 0.0%
# Aminologics Co., Ltd. 36,345 41,027 0.0%
# Amotech Co., Ltd. 53,135 993,235 0.0%
# Anam Electronics Co., Ltd. 270,925 334,335 0.0%
# Anapass, Inc. 49,826 578,126 0.0%
Asia Cement Co., Ltd. 2,635 248,470 0.0%
ASIA Holdings Co., Ltd. 12,288 1,258,092 0.0%
# Asia Paper Manufacturing Co., Ltd. 33,401 570,750 0.0%
Asiana Airlines, Inc. 638,206 2,712,842 0.1%
AtlasBX Co., Ltd. 47,555 1,508,656 0.1%
# AUK Corp. 199,140 424,596 0.0%
# Autech Corp. 49,323 221,005 0.0%
Avaco Co., Ltd. 36,215 116,692 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
Avatec Co., Ltd. 5,446 $ 35,280 0.0%
# Baiksan Co., Ltd. 58,310 230,378 0.0%
# Basic House Co., Ltd. (The) 44,309 377,647 0.0%
# BH Co., Ltd. 11,422 59,363 0.0%
# BHI Co., Ltd. 52,777 189,556 0.0%
# BI EMT Co., Ltd. 147,148 257,498 0.0%
Binggrae Co., Ltd. 31,331 1,874,067 0.1%
# Bioland, Ltd. 50,551 1,109,235 0.0%
Bixolon Co., Ltd. 7,745 98,965 0.0%
# Bluecom Co., Ltd. 61,445 682,621 0.0%
# Bohae Brewery Co., Ltd. 282,452 448,449 0.0%
Bookook Securities Co., Ltd. 7,410 111,516 0.0%
# Boryung Medience Co., Ltd. 36,039 832,135 0.0%
# Boryung Pharmaceutical Co., Ltd. 26,728 1,300,048 0.0%
# Bubang Co., Ltd. 11,846 58,855 0.0%
# Bukwang Pharmaceutical Co., Ltd. 96,625 2,123,400 0.1%
BYC Co., Ltd. 741 258,839 0.0%
# Byucksan Corp. 209,703 1,723,325 0.1%
# CammSys Corp. 167,563 304,701 0.0%
# Capro Corp. 170,535 419,967 0.0%
Cell Biotech Co., Ltd. 4,321 238,628 0.0%
# Celltrion Pharm, Inc. 71,366 869,848 0.0%
# Chabiotech Co., Ltd. 194,677 2,620,215 0.1%
# Chadiostech Co., Ltd. 57,057 150,086 0.0%
# Charm Engineering Co., Ltd. 42,800 10,066 0.0%
# Chemtronics Co., Ltd. 51,101 307,734 0.0%
# Chin Hung International, Inc. 106,852 209,544 0.0%
# China Great Star International, Ltd. 370,481 793,216 0.0%
# China Ocean Resources Co., Ltd. 517,987 2,030,146 0.1%
Chinyang Holdings Corp. 24,020 86,096 0.0%
# Choa Pharmaceutical Co. 53,419 202,969 0.0%
# Chokwang Paint, Ltd. 44,110 593,844 0.0%
# Chong Kun Dang Pharmaceutical Corp. 35,758 1,993,527 0.1%
# Chongkundang Holdings Corp. 16,130 1,124,272 0.0%
# Choong Ang Vaccine Laboratory 18,480 275,812 0.0%
Chosun Refractories Co., Ltd. 5,483 453,117 0.0%
# Chungdahm Learning, Inc. 15,629 144,421 0.0%
# CJ CGV Co., Ltd. 35,347 3,211,228 0.1%
CJ E&M Corp. 30,939 2,261,060 0.1%
# CJ Freshway Corp. 26,529 1,711,729 0.1%
CJ Hellovision Co., Ltd. 45,552 434,731 0.0%
CJ Korea Express Co., Ltd. 2,512 428,774 0.0%
CJ O Shopping Co., Ltd. 18,443 2,845,299 0.1%
# CJ Seafood Corp. 96,761 309,339 0.0%
# CKD Bio Corp. 28,492 491,632 0.0%
# Com2uSCorp 49,489 4,977,436 0.1%
# Cosmax BTI, Inc. 90,252 5,624,401 0.1%
CosmoAM&T Co., Ltd. 51,209 132,814 0.0%
# Cosmochemical Co., Ltd. 33,533 162,237 0.0%
Credu Corp. 13,116 677,364 0.0%
# Crown Confectionery Co., Ltd. 4,029 2,066,026 0.1%
# CTC BIO, Inc. 19,238 287,078 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# CUROCOM Co., Ltd. 167,453 $ 268,672 0.0%
# D.I Corp. 145,220 1,132,122 0.0%
# Dae Dong Industrial Co., Ltd. 60,958 523,839 0.0%
Dae Han Flour Mills Co., Ltd. 5,504 937,346 0.0%
# Dae Hwa Pharmaceutical Co., Ltd. 22,883 579,196 0.0%
# Dae Hyun Co., Ltd. 184,373 594,567 0.0%
# Dae Won Chemical Co., Ltd. 114,211 352,121 0.0%
# Dae Won Kang Up Co., Ltd. 119,782 520,097 0.0%
# Dae Young Packaging Co., Ltd. 385,867 382,658 0.0%
# Dae-Il Corp. 81,189 620,387 0.0%
# Daea TI Co., Ltd. 367,219 512,703 0.0%
# Daechang Co., Ltd. 299,027 247,943 0.0%
Daechang Forging Co., Ltd. 1,367 59,651 0.0%
# Daeduck Electronics Co. 212,245 1,365,370 0.0%
# Daeduck GDS Co., Ltd. 112,119 952,796 0.0%
# Daegu Department Store 27,282 339,395 0.0%
# Daehan New Pharm Co., Ltd. 15,366 241,752 0.0%
# Daehan Steel Co., Ltd. 79,022 667,487 0.0%
* Daeho International Corp. 543 -- 0.0%
Daekyo Co., Ltd. 72,780 583,541 0.0%
# Daekyung Machinery & Engineering Co., Ltd. 149,985 211,541 0.0%
Daeryuk Can Co., Ltd. 11,096 66,222 0.0%
# Daesang Corp. 129,253 3,511,723 0.1%
# Daesang Holdings Co., Ltd. 75,401 1,408,784 0.0%
Daesung Energy Co., Ltd. 10,068 58,312 0.0%
# Daesung Holdings Co., Ltd. 26,734 278,694 0.0%
# Daewon Cable Co., Ltd. 104,662 181,510 0.0%
# Daewon Pharmaceutical Co., Ltd. 61,150 1,111,241 0.0%
# Daewon San Up Co., Ltd. 49,261 286,879 0.0%
# Daewoo Shipbuilding & Marine Engineering Co., Ltd. 225,011 1,360,084 0.0%
Daewoong Co., Ltd. 9,578 533,499 0.0%
# Daewoong Pharmaceutical Co., Ltd. 27,671 1,841,138 0.1%
Dahaam E-Tec Co., Ltd. 2,100 6,217 0.0%
# Daihan Pharmaceutical Co., Ltd. 18,311 341,067 0.0%
Daishin Securities Co., Ltd. 236,550 2,166,160 0.1%
# Danal Co., Ltd. 34,830 296,910 0.0%
# Daou Data Corp. 57,148 979,519 0.0%
# Daou Technology, Inc. 167,950 3,639,794 0.1%
# Dasan Networks, Inc. 115,433 626,037 0.0%
# Dawonsys Co., Ltd. 48,948 1,239,668 0.0%
Dawonsys Co., Ltd. Rights 12/08/15 6,773 31,190 0.0%
# Dayou Automotive Seat Technology Co., Ltd. 337,845 761,882 0.0%
# DCM Corp. 17,593 172,604 0.0%
# Deutsch Motors, Inc. 48,994 162,681 0.0%
DGB Financial Group, Inc. 375,418 3,482,348 0.1%
# DHP Korea Co., Ltd. 41,586 384,480 0.0%
Digital Chosun Co., Ltd. 150,602 560,179 0.0%
# Digital Power Communications Co., Ltd. 165,784 732,979 0.0%
# DIO Corp. 33,514 832,197 0.0%
Diotek Co., Ltd. 10,131 39,401 0.0%
Display Tech Co., Ltd. 10,192 43,837 0.0%
DNF Co., Ltd. 15,172 229,775 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Dong Ah Tire & Rubber Co., Ltd. 34,913 $ 764,895 0.0%
# Dong-A Socio Holdings Co., Ltd. 14,293 2,031,105 0.1%
Dong-A ST Co., Ltd. 9,181 998,561 0.0%
# Dong-Ah Geological Engineering Co., Ltd. 30,200 210,478 0.0%
Dong-Il Corp. 4,008 240,244 0.0%
# Dongaone Co., Ltd. 111,180 237,541 0.0%
# Dongbang Transport Logistics Co., Ltd. 47,053 125,719 0.0%
# Dongbu HiTek Co., Ltd. 166,849 1,772,822 0.1%
Dongbu Securities Co., Ltd. 195,500 693,233 0.0%
# Dongbu Steel Co., Ltd. 37,730 184,106 0.0%
Dongil Industries Co., Ltd. 1,553 78,210 0.0%
# Dongjin Semichem Co., Ltd. 155,093 702,248 0.0%
Dongkook Industrial Co., Ltd. 52,105 115,187 0.0%
# DongKook Pharmaceutical Co., Ltd. 31,782 1,370,921 0.0%
Dongkuk Industries Co., Ltd. 91,860 293,286 0.0%
# Dongkuk Steel Mill Co., Ltd. 388,492 2,322,249 0.1%
# Dongkuk Structures & Construction Co., Ltd. 159,549 516,892 0.0%
# Dongsung Chemical Co., Ltd. 8,700 187,222 0.0%
# DONGSUNG Corp. 152,766 856,612 0.0%
# Dongsung Pharmaceutical Co., Ltd. 95,567 419,218 0.0%
Dongwha Enterprise Co., Ltd. 5,538 218,401 0.0%
# Dongwha Pharm Co., Ltd. 132,021 799,039 0.0%
Dongwon F&B Co., Ltd. 6,814 2,246,543 0.1%
# Dongwon Industries Co., Ltd. 7,067 1,979,709 0.1%
# Dongwon Systems Corp. 5,977 414,871 0.0%
# Dongwoo Co., Ltd. 58,857 213,815 0.0%
Dongyang E&P, Inc. 27,330 307,233 0.0%
# Doosan Engine Co., Ltd. 180,632 607,074 0.0%
# Doosan Engineering & Construction Co., Ltd. 20,852 122,001 0.0%
# Doosan Infracore Co., Ltd. 352,405 1,925,544 0.1%
# Dragonfly GF Co., Ltd. 32,354 217,450 0.0%
DRB Holding Co., Ltd. 59,548 763,283 0.0%
# Duk San Neolux Co., Ltd. 17,692 354,804 0.0%
# Duksan Hi-Metal Co., Ltd. 101,591 753,939 0.0%
# DuzonBIzon Co., Ltd. 124,375 2,338,766 0.1%
# DY Corp. 174,070 1,056,029 0.0%
# e Tec E&C, Ltd. 4,780 655,368 0.0%
# e-LITECOM Co., Ltd. 48,416 847,461 0.0%
# e-Starco Co., Ltd. 153,747 381,029 0.0%
E1 Corp. 16,253 983,155 0.0%
# Eagon Industries Co., Ltd. 39,830 590,782 0.0%
# Easy Bio, Inc. 233,021 1,480,840 0.0%
# Ecopro Co., Ltd. 81,224 885,528 0.0%
# EG Corp. 25,399 273,802 0.0%
# Ehwa Technologies Information Co., Ltd. 757,196 319,470 0.0%
# ELK Corp. 65,257 200,300 0.0%
EM-Tech Co., Ltd. 9,867 68,489 0.0%
# EMKOREA Co., Ltd. 51,220 220,371 0.0%
# Enex Co., Ltd. 168,968 715,541 0.0%
# ENF Technology Co., Ltd. 54,476 847,345 0.0%
# Eo Technics Co., Ltd. 45,957 4,006,473 0.1%
# Estechpharma Co., Ltd. 39,533 747,353 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# ESTsoft Corp. 884 $ 14,289 0.0%
# Eugene Corp. 277,837 1,361,797 0.0%
# Eugene Investment & Securities Co., Ltd. 549,087 1,341,738 0.0%
# Eugene Technology Co., Ltd. 94,115 954,261 0.0%
# Eusu Holdings Co., Ltd. 82,998 639,612 0.0%
# EVERDIGM Corp. 63,661 599,351 0.0%
# F&F Co., Ltd. 29,541 513,599 0.0%
# Farmsco 55,246 746,528 0.0%
# Fila Korea, Ltd. 57,179 5,008,355 0.1%
# Fine Technix Co., Ltd. 82,137 196,593 0.0%
# Finetex EnE, Inc. 76,593 336,120 0.0%
# Firstec Co., Ltd. 164,190 841,486 0.0%
# Flexcom, Inc. 42,281 106,679 0.0%
# Foosung Co., Ltd. 247,905 904,948 0.0%
# Fursys, Inc. 14,315 435,097 0.0%
# Gamevil, Inc. 9,583 703,421 0.0%
# Gaon Cable Co., Ltd. 21,699 398,346 0.0%
# GeneOne Life Science, Inc. 4,475 53,685 0.0%
Genexine Co., Ltd. 3,715 277,083 0.0%
# Genic Co., Ltd. 24,789 845,890 0.0%
GIIR, Inc. 22,387 190,946 0.0%
Global & Yuasa Battery Co., Ltd. 35,169 1,259,534 0.0%
# Global Display Co., Ltd. 62,631 224,021 0.0%
# GNCO Co., Ltd. 270,836 343,666 0.0%
Golfzon Co., Ltd. 15,908 1,390,305 0.0%
# GOLFZONYUWONHOLDINGS Co., Ltd. 85,377 603,749 0.0%
# Grand Korea Leisure Co., Ltd. 54,023 1,501,765 0.1%
Green Cross Corp. 3,373 534,637 0.0%
# Green Cross Holdings Corp. 105,480 3,782,326 0.1%
* Green Non-Life Insurance Co., Ltd. 22,357 -- 0.0%
# GS Global Corp. 28,585 155,305 0.0%
GS Home Shopping, Inc. 18,829 2,809,051 0.1%
# GS retail Co., Ltd. 41,819 2,107,807 0.1%
# Gwangju Shinsegae Co., Ltd. 3,400 889,997 0.0%
# Haesung Industrial Co., Ltd. 18,601 351,364 0.0%
# Halla Corp. 104,606 353,378 0.0%
# Halla Holdings Corp. 46,380 2,305,170 0.1%
# Han Kuk Carbon Co., Ltd. 218,733 1,137,819 0.0%
# Hana Micron, Inc. 102,657 582,301 0.0%
# Hana Tour Service, Inc. 52,163 5,746,896 0.1%
# Hanall Biopharma Co., Ltd. 83,748 839,495 0.0%
# Hancom, Inc. 100,956 1,840,253 0.1%
# Handok, Inc. 33,561 730,916 0.0%
# Handsome Co., Ltd. 85,322 2,902,366 0.1%
Hanil Cement Co., Ltd. 20,523 2,111,297 0.1%
# Hanjin Heavy Industries & Construction Co., Ltd. 414,014 1,610,431 0.1%
# Hanjin Heavy Industries & Construction Holdings Co., Ltd. 83,425 482,381 0.0%
# Hanjin Kal Corp. 230,247 4,381,252 0.1%
# Hanjin P&C Co., Ltd. 78,846 160,050 0.0%
# Hanjin Shipping Co., Ltd. 406,013 1,782,923 0.1%
# Hanjin Transportation Co., Ltd. 57,455 2,232,340 0.1%
Hankook Shell Oil Co., Ltd. 3,685 1,638,864 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
* Hankook Synthetics, Inc. 550 $ -- 0.0%
Hankuk Glass Industries, Inc. 9,314 207,135 0.0%
Hankuk Paper Manufacturing Co., Ltd. 12,824 394,520 0.0%
# Hanmi Pharm Co., Ltd. 21,759 9,813,411 0.2%
# Hanmi Semiconductor Co., Ltd. 55,466 524,143 0.0%
# Hanon Systems 51,040 2,007,064 0.1%
# Hansae Co., Ltd. 101,194 4,972,580 0.1%
# Hansae Yes24 Holdings Co., Ltd. 60,141 1,122,475 0.0%
# Hanshin Construction 20,707 340,481 0.0%
Hanshin Machinery Co. 7,906 16,069 0.0%
# Hansol Chemical Co., Ltd. 51,329 3,014,982 0.1%
# Hansol Holdings Co., Ltd. 192,013 1,205,199 0.0%
# Hansol HomeDeco Co., Ltd. 362,991 488,464 0.0%
Hansol Logistics Co., Ltd. 84,611 310,558 0.0%
# Hansol Paper Co., Ltd. 99,326 1,789,796 0.1%
# Hansol Technics Co., Ltd. 112,938 2,477,415 0.1%
Hanwha Corp. 25,213 826,770 0.0%
# Hanwha Galleria Timeworld Co., Ltd. 11,653 1,071,363 0.0%
Hanwha General Insurance Co., Ltd. 181,799 1,200,397 0.0%
# Hanwha Investment & Securities Co., Ltd. 378,784 1,483,714 0.0%
# Hanwha Techwin Co., Ltd. 134,766 4,384,176 0.1%
# Hanyang Eng Co., Ltd. 63,549 522,231 0.0%
Hanyang Securities Co., Ltd. 18,538 138,087 0.0%
# Harim Co., Ltd. 189,668 705,090 0.0%
# Harim Holdings Co., Ltd. 171,501 713,290 0.0%
# Heung-A Shipping Co., Ltd. 583,317 987,156 0.0%
# Heungkuk Fire & Marine Insurance Co., Ltd. 92,139 323,292 0.0%
# Hite Jinro Co., Ltd. 175,071 3,510,588 0.1%
Hitejinro Holdings Co., Ltd. 49,775 594,009 0.0%
# HMC Investment Securities Co., Ltd. 111,405 1,001,742 0.0%
# HS Industries Co., Ltd. 106,359 574,130 0.0%
HS R&A Co., Ltd. 23,158 831,454 0.0%
# Huchems Fine Chemical Corp. 131,794 2,164,899 0.1%
# Humax Co., Ltd. 107,964 1,638,909 0.1%
Huneed Technologies 2,445 27,149 0.0%
# Huons Co., Ltd. 38,303 3,112,170 0.1%
Husteel Co., Ltd. 14,587 228,471 0.0%
# Huvis Corp. 97,217 722,491 0.0%
# Huvitz Co., Ltd. 30,955 436,484 0.0%
# Hwa Shin Co., Ltd. 114,245 587,696 0.0%
Hwacheon Machine Tool Co., Ltd. 4,979 271,334 0.0%
HwaSung Industrial Co., Ltd. 53,066 796,487 0.0%
# Hy-Lok Corp. 44,589 1,246,480 0.0%
Hyosung Corp. 63,705 6,504,705 0.2%
# HyosungITX Co., Ltd. 14,477 211,725 0.0%
# Hyundai BNG Steel Co., Ltd. 58,986 533,027 0.0%
# Hyundai C&F, Inc. 25,222 801,972 0.0%
# Hyundai Corp. 36,660 1,075,113 0.0%
# Hyundai Elevator Co., Ltd. 74,016 3,395,631 0.1%
# Hyundai Engineering Plastics Co., Ltd. 101,203 792,617 0.0%
# Hyundai Greenfood Co., Ltd. 246,313 5,148,083 0.1%
Hyundai Home Shopping Network Corp. 36,587 3,906,301 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
Hyundai Hy Communications & Networks Co., Ltd. 173,909 $ 499,109 0.0%
# Hyundai Livart Furniture Co., Ltd. 67,881 2,983,717 0.1%
# Hyundai Merchant Marine Co., Ltd. 46,601 242,855 0.0%
# Hyundai Mipo Dockyard Co., Ltd. 2,711 169,838 0.0%
Hyundai Pharmaceutical Co., Ltd. 20,156 66,820 0.0%
# Hyundai Rotem Co., Ltd. 17,687 251,680 0.0%
# Hyunjin Materials Co., Ltd. 105,980 143,807 0.0%
# HyVision System, Inc. 68,506 585,406 0.0%
# i-SENS, Inc. 8,071 260,945 0.0%
# ICD Co., Ltd. 84,572 456,524 0.0%
# IHQ, Inc. 206,240 445,305 0.0%
# Il Dong Pharmaceutical Co., Ltd. 62,230 1,406,401 0.0%
# Iljin Display Co., Ltd. 53,526 321,029 0.0%
# Iljin Electric Co., Ltd. 127,969 639,161 0.0%
# Iljin Holdings Co., Ltd. 150,141 1,581,337 0.1%
# Iljin Materials Co., Ltd. 91,522 662,011 0.0%
# Ilshin Spinning Co., Ltd. 8,039 1,114,320 0.0%
# Ilsung Pharmaceuticals Co., Ltd. 2,864 262,403 0.0%
# IM Co., Ltd. 61,008 211,616 0.0%
# iMarketKorea, Inc. 90,333 2,350,899 0.1%
# InBody Co., Ltd. 58,689 2,514,971 0.1%
# Infinitt Healthcare Co., Ltd. 43,107 399,269 0.0%
# Infopia Co., Ltd. 34,245 319,802 0.0%
# Infraware, Inc. 103,254 447,105 0.0%
# InkTec Co., Ltd. 38,881 238,583 0.0%
# Innochips Technology, Inc. 14,702 143,655 0.0%
# InnoWireless, Inc. 21,995 205,262 0.0%
# Innox Corp. 63,904 755,274 0.0%
# Insun ENT Co., Ltd. 172,368 821,090 0.0%
Intelligent Digital Integrated Securities Co., Ltd. 29,762 516,695 0.0%
# Interflex Co., Ltd 56,555 622,066 0.0%
Intergis Co., Ltd. 11,220 35,295 0.0%
# Interojo Co., Ltd. 39,961 1,303,594 0.0%
# Interpark Holdings Corp. 206,989 2,114,768 0.1%
# INTOPS Co., Ltd. 25,180 374,149 0.0%
# Inzi Controls Co., Ltd. 42,034 188,404 0.0%
INZI Display Co., Ltd. 32,254 46,246 0.0%
# Iones Co., Ltd. 37,090 708,651 0.0%
# IS Dongseo Co., Ltd. 52,132 1,948,835 0.1%
# ISC Co., Ltd. 9,601 214,599 0.0%
# ISU Chemical Co., Ltd. 65,141 586,457 0.0%
# IsuPetasys Co., Ltd. 189,204 834,689 0.0%
# Jahwa Electronics Co., Ltd. 54,768 538,871 0.0%
# JB Financial Group Co., Ltd. 532,822 2,770,130 0.1%
Jcontentree Corp. 394,639 1,707,588 0.1%
# Jeil Pharmaceutical Co. 38,801 827,908 0.0%
# Jeju Semiconductor Corp. 29,653 155,889 0.0%
Jinro Distillers Co., Ltd. 12,752 415,867 0.0%
# Jinsung T.E.C. 43,317 193,781 0.0%
JLS Co., Ltd. 8,735 51,754 0.0%
# Joymax Co., Ltd. 21,192 375,756 0.0%
# Jusung Engineering Co., Ltd. 229,938 990,749 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# JVM Co., Ltd. 18,510 $ 907,179 0.0%
# JW Holdings Corp. 195,463 1,463,551 0.0%
# JW Pharmaceutical Corp. 57,132 1,738,851 0.1%
JYP Entertainment Corp. 82,379 334,204 0.0%
# KB Capital Co., Ltd. 66,895 1,489,851 0.0%
# KB Insurance Co., Ltd. 262,306 6,096,190 0.1%
# KC Cottrell Co., Ltd. 22,715 157,009 0.0%
# KC Green Holdings Co., Ltd. 80,230 679,219 0.0%
# KC Tech Co., Ltd. 123,092 1,034,691 0.0%
# KCC Engineering & Construction Co., Ltd. 21,855 155,102 0.0%
* KCO Energy, Inc. 120 -- 0.0%
# KCP Co., Ltd. 63,178 1,721,732 0.1%
# KEC Corp. 170,897 170,387 0.0%
# KEPCO Engineering & Construction Co., Inc. 68,911 2,059,884 0.1%
# Keyang Electric Machinery Co., Ltd. 156,430 663,722 0.0%
# KEYEAST Co., Ltd. 241,959 865,615 0.0%
# KG Chemical Corp. 45,800 644,204 0.0%
KG Eco Technology Service Co., Ltd. 34,289 118,280 0.0%
# Kginicis Co., Ltd. 36,013 534,509 0.0%
# KGMobilians Co., Ltd. 71,784 954,733 0.0%
# KH Vatec Co., Ltd. 94,197 1,655,629 0.1%
# KISCO Corp. 20,347 861,656 0.0%
KISCO Holdings Co., Ltd. 2,292 119,519 0.0%
# Kishin Corp. 49,420 326,517 0.0%
# KISWIRE, Ltd. 39,054 1,411,411 0.0%
# KIWOOM Securities Co., Ltd. 69,571 3,562,419 0.1%
# KleanNara Co., Ltd. 24,428 141,124 0.0%
KMH Co., Ltd. 54,976 519,924 0.0%
# KMW Co., Ltd. 53,185 337,433 0.0%
# Koentec Co., Ltd. 297,857 734,506 0.0%
# Koh Young Technology, Inc. 63,733 1,854,745 0.1%
# Kolao Holdings 134,465 1,596,390 0.1%
# Kolon Corp. 45,278 2,531,985 0.1%
# Kolon Global Corp. 16,968 252,105 0.0%
# Kolon Industries, Inc. 107,359 5,832,656 0.1%
# Kolon Life Science, Inc. 27,291 3,859,092 0.1%
# Komipharm International Co., Ltd. 11,873 276,456 0.0%
# KONA I Co., Ltd. 71,763 2,294,999 0.1%
# Kook Soon Dang Brewery Co., Ltd. 67,701 396,065 0.0%
Korea Airport Service Co., Ltd. 934 24,760 0.0%
# Korea Alcohol Industrial Co., Ltd. 44,130 288,782 0.0%
# Korea Cast Iron Pipe Industries Co., Ltd. 48,456 547,939 0.0%
# Korea Circuit Co., Ltd. 65,808 634,809 0.0%
# Korea District Heating Corp. 17,703 961,479 0.0%
Korea Electric Terminal Co., Ltd. 32,072 2,771,944 0.1%
# Korea Electronic Certification Authority, Inc. 70,482 533,765 0.0%
# Korea Electronic Power Industrial Development Co., Ltd. 74,881 307,676 0.0%
Korea Export Packaging Industrial Co., Ltd. 5,621 103,278 0.0%
Korea Flange Co., Ltd. 19,644 239,168 0.0%
# Korea Information & Communications Co, Ltd. 61,340 744,053 0.0%
Korea Investment Holdings Co., Ltd. 54,417 2,897,252 0.1%
# Korea Kolmar Co., Ltd. 52,091 4,085,337 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Korea Kolmar Holdings Co., Ltd. 33,913 $1,964,003 0.1%
# Korea Line Corp. 64,935 1,147,338 0.0%
# Korea Petrochemical Ind Co., Ltd. 19,034 2,943,553 0.1%
# Korea United Pharm, Inc. 55,323 903,711 0.0%
# Korean Reinsurance Co. 432,194 5,152,674 0.1%
# Kortek Corp. 72,394 852,091 0.0%
KPF 42,149 178,947 0.0%
KPX Chemical Co., Ltd. 8,354 416,612 0.0%
# KR Motors Co., Ltd. 56,572 52,138 0.0%
# KSCB Co., Ltd. 7,972 47,835 0.0%
KT Hitel Co., Ltd. 81,696 637,073 0.0%
KT Skylife Co., Ltd. 124,747 2,041,718 0.1%
# KTB Investment & Securities Co., Ltd. 335,383 743,436 0.0%
KTCS Corp. 4,247 13,388 0.0%
Kukdo Chemical Co., Ltd. 23,101 1,240,071 0.0%
Kukdong Corp. 1,069 8,964 0.0%
# Kukdong Oil & Chemicals Co., Ltd. 6,292 170,958 0.0%
# Kumho Electric Co., Ltd. 18,861 289,488 0.0%
# Kumho Industrial Co., Ltd. 95,814 1,464,239 0.0%
# Kumho Tire Co., Inc. 537,655 3,247,886 0.1%
# Kumkang Kind Co., Ltd. 16,750 913,465 0.0%
# Kunsul Chemical Industrial Co., Ltd. 23,454 914,692 0.0%
Kwang Dong Pharmaceutical Co., Ltd. 197,814 2,014,340 0.1%
# Kwang Myung Electric Engineering Co., Ltd. 237,440 518,274 0.0%
Kwangju Bank 31,132 221,913 0.0%
# Kyeryong Construction Industrial Co., Ltd. 17,512 146,820 0.0%
Kyobo Securities Co., Ltd. 130,490 1,118,868 0.0%
# Kyung Dong Navien Co., Ltd. 33,704 1,115,527 0.0%
# Kyung-In Synthetic Corp. 123,588 430,319 0.0%
# Kyungbang, Ltd. 4,716 795,042 0.0%
Kyungchang Industrial Co., Ltd. 73,797 444,807 0.0%
# KyungDong City Gas Co., Ltd. 13,066 1,207,375 0.0%
Kyungdong Pharm Co., Ltd. 38,679 739,390 0.0%
L&F Co., Ltd. 54,534 489,182 0.0%
# LB Semicon, Inc. 147,884 190,200 0.0%
LEADCORP, Inc. (The) 2,176 30,453 0.0%
# LEENO Industrial, Inc. 51,031 1,954,250 0.1%
LF Corp. 120,413 3,336,664 0.1%
# LG Hausys, Ltd. 37,195 5,524,261 0.1%
# LG International Corp. 206,725 6,313,475 0.1%
# LG Life Sciences, Ltd. 59,924 3,222,040 0.1%
# LMS Co., Ltd. 32,869 296,106 0.0%
# Lock&Lock Co., Ltd. 154,467 1,653,821 0.1%
Lotte Chilsung Beverage Co., Ltd. 2,570 5,032,695 0.1%
Lotte Confectionery Co., Ltd. 1,810 3,157,466 0.1%
# Lotte Food Co., Ltd. 4,087 3,215,791 0.1%
# LOTTE Himart Co., Ltd. 54,476 2,778,460 0.1%
# Lotte Non-Life Insurance Co., Ltd. 338,540 838,308 0.0%
# LS Corp. 114,384 3,862,845 0.1%
# LS Industrial Systems Co., Ltd. 93,480 4,063,603 0.1%
# Lumens Co., Ltd. 301,165 1,079,186 0.0%
Macquarie Korea Infrastructure Fund 617,423 4,331,780 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Macrogen, Inc. 42,509 $1,413,756 0.0%
# Maeil Dairy Industry Co., Ltd. 42,668 1,459,103 0.0%
# Mando Corp. 43,801 5,698,121 0.1%
# Mcnex Co., Ltd. 18,226 446,534 0.0%
# MDS Technology Co., Ltd. 34,280 710,055 0.0%
# Medifron DBT Co., Ltd. 15,943 55,444 0.0%
# Medipost Co., Ltd. 3,841 326,294 0.0%
Medy-Tox, Inc. 11,273 4,787,359 0.1%
MegaStudy Co., Ltd. 16,832 661,954 0.0%
# MegaStudyEdu Co., Ltd. 4,919 275,928 0.0%
# Melfas, Inc. 104,886 454,257 0.0%
# Meritz Finance Group, Inc. 48,643 624,626 0.0%
# Meritz Fire & Marine Insurance Co., Ltd. 360,346 5,086,278 0.1%
# Meritz Securities Co., Ltd. 298,466 1,327,582 0.0%
# Mgame Corp. 91,446 493,898 0.0%
Mi Chang Oil Industrial Co., Ltd. 2,578 173,852 0.0%
# Mirae Asset Securities Co., Ltd. 20,066 447,683 0.0%
# Mirae Corp. 1,931,820 1,054,154 0.0%
Miwon Chemicals Co., Ltd. 1,890 78,257 0.0%
Miwon Commercial Co., Ltd. 716 116,694 0.0%
Miwon Specialty Chemical Co., Ltd. 1,041 292,236 0.0%
# MK Electron Co., Ltd. 101,002 621,953 0.0%
# MNTech Co., Ltd. 110,847 619,007 0.0%
# Modetour Network, Inc. 62,361 1,991,541 0.1%
# Monalisa Co., Ltd. 68,050 311,143 0.0%
MonAmi Co., Ltd. 31,087 124,529 0.0%
Moorim P&P Co., Ltd. 143,600 676,403 0.0%
# Moorim Paper Co., Ltd. 98,440 304,996 0.0%
# Motonic Corp. 71,883 794,632 0.0%
# Muhak Co., Ltd. 65,794 2,769,185 0.1%
# Namhae Chemical Corp. 149,878 1,318,143 0.0%
# Namsun Aluminum Co., Ltd. 321,997 336,491 0.0%
# Namyang Dairy Products Co., Ltd. 1,563 1,152,527 0.0%
Nanos Co., Ltd. 6,521 44,037 0.0%
# Naturalendo Tech Co., Ltd. 83,266 1,679,735 0.1%
# Neowiz Games Corp. 84,844 1,349,548 0.0%
# NEOWIZ HOLDINGS Corp. 10,579 167,348 0.0%
# NEPES Corp. 104,343 609,247 0.0%
# Nexen Corp. 33,168 2,459,619 0.1%
# Nexen Tire Corp. 212,408 2,458,160 0.1%
# Nexolon Co., Ltd. 2,976 2,927 0.0%
# Nexon GT Co., Ltd. 86,722 1,059,326 0.0%
# NHN Entertainment Corp. 58,480 2,840,940 0.1%
# NICE Holdings Co., Ltd. 100,686 2,244,186 0.1%
# NICE Information Service Co., Ltd. 206,717 2,154,686 0.1%
# NK Co., Ltd. 179,908 912,199 0.0%
# Nong Shim Holdings Co., Ltd. 10,186 1,337,517 0.0%
# Nong Woo Bio Co., Ltd. 45,420 868,732 0.0%
# NongShim Co., Ltd. 19,606 6,336,013 0.1%
# Noroo Holdings Co., Ltd. 13,599 342,155 0.0%
# NOROO Paint & Coatings Co., Ltd. 52,398 499,417 0.0%
NPC 56,060 358,129 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# OCI Materials Co., Ltd. 35,023 $2,837,983 0.1%
Opto Device Technology Co., Ltd. 6,355 44,448 0.0%
# OPTRON-TEC, Inc. 86,759 409,167 0.0%
# Orientbio, Inc. 706,011 785,209 0.0%
# OSANGJAIEL Co., Ltd. 26,528 265,763 0.0%
# Osstem Implant Co., Ltd. 60,174 3,513,772 0.1%
# Osung LST Co., Ltd. 24,751 13,229 0.0%
# Ottogi Corp. 5,156 4,736,185 0.1%
Paik Kwang Industrial Co., Ltd. 127,006 286,640 0.0%
Pan Ocean Co., Ltd. 13,688 48,159 0.0%
# Pan-Pacific Co., Ltd. 164,180 611,731 0.0%
Pang Rim Co., Ltd. 8,619 210,355 0.0%
# PaperCorea, Inc. 688,918 605,421 0.0%
# Partron Co., Ltd. 238,893 2,048,348 0.1%
Paru Co., Ltd. 53,455 206,908 0.0%
# Pharmicell Co., Ltd. 85,904 367,411 0.0%
Poongsan Corp. 144,872 3,260,077 0.1%
# Poongsan Holdings Corp. 26,213 922,700 0.0%
POSCO Chemtech Co., Ltd. 119,219 1,495,906 0.0%
POSCO Coated & Color Steel Co., Ltd. 2,498 35,792 0.0%
# Posco ICT Co., Ltd. 301,412 1,316,806 0.0%
# Posco M-Tech Co., Ltd. 83,502 174,453 0.0%
# Posco Plantec Co., Ltd. 16,494 28,177 0.0%
# Power Logics Co., Ltd. 153,415 515,943 0.0%
# PSK, Inc. 67,148 599,505 0.0%
# Pulmuone Co., Ltd. 6,862 1,114,107 0.0%
# Pyeong Hwa Automotive Co., Ltd. 70,608 901,469 0.0%
# Redrover Co., Ltd. 128,979 927,822 0.0%
Reyon Pharmaceutical Co., Ltd. 23,194 732,022 0.0%
# RFsemi Technologies, Inc. 30,415 195,865 0.0%
# RFTech Co., Ltd. 47,886 335,842 0.0%
# Romanson Co., Ltd. 49,559 490,620 0.0%
# S&C Engine Group, Ltd. 305,518 464,781 0.0%
S&T Corp. 5,716 122,696 0.0%
S&T Dynamics Co., Ltd. 160,725 1,952,725 0.1%
S&T Holdings Co., Ltd. 37,093 862,310 0.0%
S&T Motiv Co., Ltd. 50,410 3,214,565 0.1%
# S-Energy Co., Ltd. 53,743 356,224 0.0%
# S-MAC Co., Ltd. 85,869 277,429 0.0%
# Saeron Automotive Corp. 2,640 20,274 0.0%
# Sajo Industries Co., Ltd. 13,633 816,697 0.0%
SAJOHAEPYO Corp. 574 8,177 0.0%
Sam Young Electronics Co., Ltd. 63,000 688,670 0.0%
# Sam Yung Trading Co., Ltd. 55,956 1,128,880 0.0%
# Samchully Co., Ltd. 15,849 1,422,750 0.0%
# Samchuly Bicycle Co., Ltd. 18,450 301,418 0.0%
# Samho Development Co., Ltd. 64,551 192,746 0.0%
# Samho International Co., Ltd. 31,619 487,461 0.0%
# SAMHWA Paints Industrial Co., Ltd. 57,633 674,887 0.0%
# Samick Musical Instruments Co., Ltd. 382,196 1,354,708 0.0%
# Samick THK Co., Ltd. 48,890 365,985 0.0%
# Samjin Pharmaceutical Co., Ltd. 59,596 1,273,349 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Samkwang Glass 19,483 $1,633,405 0.1%
# Samlip General Foods Co., Ltd. 5,367 1,323,085 0.0%
# Samsung Engineering Co., Ltd. 48,925 776,439 0.0%
Samsung Fine Chemicals Co., Ltd. 123,140 4,046,605 0.1%
# SAMT Co., Ltd. 109,941 206,811 0.0%
# Samyang Foods Co., Ltd. 17,230 345,815 0.0%
# Samyang Holdings Corp. 22,926 3,210,170 0.1%
# Samyang Tongsang Co., Ltd. 8,224 365,658 0.0%
# Samyoung Chemical Co., Ltd. 136,867 214,568 0.0%
# Sangbo Corp. 109,135 467,589 0.0%
Sangsin Brake 6,689 41,426 0.0%
# Sansung Life & Science Co., Ltd. 57,015 1,876,876 0.1%
# Sapphire Technology Co., Ltd. 42,273 448,816 0.0%
# Satrec Initiative Co., Ltd. 6,676 128,002 0.0%
# SAVEZONE I&C CORP. 62,674 330,879 0.0%
# SBI Investment Korea Co., Ltd. 206,964 115,938 0.0%
SBS Contents Hub Co., Ltd. 36,758 506,663 0.0%
SBS Media Holdings Co., Ltd. 277,535 946,204 0.0%
# SBW 796,253 2,269,131 0.1%
# Seah Besteel Corp. 87,900 2,210,450 0.1%
SeAH Holdings Corp. 4,811 737,769 0.0%
SeAH Steel Corp. 17,840 998,458 0.0%
# Sebang Co., Ltd. 57,074 896,849 0.0%
# Seegene, Inc. 58,471 2,019,314 0.1%
# Sejong Industrial Co., Ltd. 70,108 677,232 0.0%
Sekonix Co., Ltd. 10,456 169,733 0.0%
# Sempio Foods Co. 11,762 414,913 0.0%
# Seobu T&D 73,518 1,451,770 0.0%
# Seohan Co., Ltd. 343,180 627,838 0.0%
# Seohee Construction Co., Ltd. 889,273 848,420 0.0%
# Seoul Semiconductor Co., Ltd. 222,901 3,698,728 0.1%
# SEOWONINTECH Co., Ltd. 58,761 688,608 0.0%
# Seoyon Co., Ltd. 118,432 1,270,731 0.0%
# Sewon Cellontech Co., Ltd. 146,454 521,780 0.0%
Sewon Precision Industry Co., Ltd. 21,670 462,311 0.0%
# SEWOONMEDICAL Co., Ltd. 109,964 610,352 0.0%
# SFA Engineering Corp. 58,145 2,227,476 0.1%
# SG Corp. 865,420 967,699 0.0%
# SH Energy & Chemical Co., Ltd. 527,381 735,167 0.0%
# Shin Poong Pharmaceutical Co., Ltd. 166,467 606,042 0.0%
Shin-heung Machine Co., Ltd. 14,221 92,179 0.0%
# Shinil Industrial Co., Ltd. 301,022 362,370 0.0%
Shinsegae Co., Ltd. 5,752 1,170,380 0.0%
# Shinsegae Engineering & Construction Co., Ltd. 11,297 490,093 0.0%
# Shinsegae Information & Communication Co., Ltd. 6,991 735,566 0.0%
# Shinsegae International Co., Ltd. 14,823 1,438,719 0.0%
# Shinsung Solar Energy Co., Ltd. 237,348 302,350 0.0%
# Shinsung Tongsang Co., Ltd. 705,326 1,180,140 0.0%
# Shinwha Intertek Corp. 128,714 270,745 0.0%
# Shinwon Corp. 173,143 286,642 0.0%
# Shinyoung Securities Co., Ltd. 14,050 680,348 0.0%
# SHOWBOX Corp. 55,565 343,797 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
# Signetics Corp. 234,926 $ 321,940 0.0%
# SIGONG TECH Co., Ltd. 73,198 419,820 0.0%
# Silicon Works Co., Ltd. 70,469 2,095,526 0.1%
# Silla Co., Ltd. 38,828 589,966 0.0%
SIMMTECH Co., Ltd. 64,644 451,921 0.0%
# SIMMTECH HOLDINGS Co., Ltd. 45,781 124,067 0.0%
# SIMPAC, Inc. 82,220 463,994 0.0%
Sindoh Co., Ltd. 3,151 168,384 0.0%
# Sinjin SM Co., Ltd. 8,200 156,924 0.0%
# SJM Co., Ltd. 34,349 199,616 0.0%
# SK Chemicals Co., Ltd. 87,656 5,176,823 0.1%
# SK Communications Co., Ltd. 103,928 737,778 0.0%
# SK Gas, Ltd. 23,796 1,773,468 0.1%
# SK Securities Co., Ltd. 1,947,663 1,990,411 0.1%
# SKC Co., Ltd. 144,875 4,862,481 0.1%
# SKC Solmics Co., Ltd. 43,587 72,520 0.0%
# SL Corp. 79,821 1,187,058 0.0%
# SM Culture & Contents Co., Ltd. 59,505 132,397 0.0%
# SM Entertainment Co. 93,334 3,739,075 0.1%
# Solborn, Inc. 88,180 520,303 0.0%
# Solid, Inc. 101,535 559,818 0.0%
# Songwon Industrial Co., Ltd. 100,166 962,815 0.0%
# Soosan Heavy Industries Co., Ltd. 61,925 111,969 0.0%
# Soulbrain Co., Ltd. 57,380 1,998,334 0.1%
# Ssangyong Cement Industrial Co., Ltd. 118,503 1,873,056 0.1%
# STS Semiconductor & Telecommunications 300,260 717,139 0.0%
# STX Corp. 6,376 22,036 0.0%
# STX Engine Co., Ltd. 9,399 77,575 0.0%
# Suheung Co., Ltd. 36,385 1,585,332 0.1%
# Sunchang Corp. 38,394 566,978 0.0%
# Sung Kwang Bend Co., Ltd. 109,995 903,545 0.0%
# Sungchang Enterprise Holdings, Ltd. 31,117 800,480 0.0%
# Sungshin Cement Co., Ltd. 104,814 1,041,193 0.0%
# Sungwoo Hitech Co., Ltd. 222,183 1,718,296 0.1%
# Sunjin Co., Ltd. 25,877 633,100 0.0%
# Sunny Electronics Corp. 59,001 116,190 0.0%
# Suprema, Inc. 69,096 1,248,540 0.0%
# Synopex, Inc. 329,126 468,542 0.0%
Tae Kyung Industrial Co., Ltd. 39,841 213,971 0.0%
Taekwang Industrial Co., Ltd. 2,106 2,049,808 0.1%
# Taewoong Co., Ltd. 63,464 831,539 0.0%
# Taeyoung Engineering & Construction Co., Ltd. 242,962 1,251,649 0.0%
# Taihan Electric Wire Co., Ltd. 37,983 83,292 0.0%
Taihan Textile Co., Ltd. 844 50,476 0.0%
# Tailim Packaging Industrial Co., Ltd. 195,880 547,669 0.0%
TCC Steel 40,253 71,681 0.0%
# TechWing, Inc. 54,511 472,348 0.0%
# Tera Semicon Co., Ltd. 45,083 719,053 0.0%
# TES Co., Ltd. 42,923 456,600 0.0%
# Theragen Etex Co., Ltd. 31,067 219,805 0.0%
# Thinkware Systems Corp. 17,785 269,106 0.0%
# TK Chemical Corp. 283,667 651,371 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
SOUTH KOREA -- (Continued)
# TK Corp. 78,975 $ 780,804 0.0%
TLI, Inc. 3,472 26,318 0.0%
# Tokai Carbon Korea Co., Ltd. 10,506 213,599 0.0%
# Tong Yang Moolsan Co., Ltd. 22,590 197,208 0.0%
# Tongyang Life Insurance Co, Ltd. 225,842 2,761,709 0.1%
Top Engineering Co., Ltd. 10,509 46,219 0.0%
# Toptec Co., Ltd. 36,271 1,065,201 0.0%
# Tovis Co., Ltd. 81,712 717,437 0.0%
# Trais Co., Ltd. 24,456 73,200 0.0%
# TS Corp. 26,872 530,042 0.0%
# UBCare Co., Ltd. 114,049 422,600 0.0%
# Ubiquoss, Inc. 79,861 1,009,156 0.0%
# Ubivelox, Inc. 17,660 277,340 0.0%
# Uju Electronics Co., Ltd. 42,498 531,049 0.0%
# Unid Co., Ltd. 29,423 1,317,072 0.0%
# Uniquest Corp. 16,238 58,739 0.0%
Unison Co., Ltd.() 21,542 10,676 0.0%
# Unison Co., Ltd.(6195256) 68,242 129,994 0.0%
# Value Added Technologies Co., Ltd. 41,298 1,405,723 0.0%
# Very Good Leisure Co., Ltd. 25,853 234,510 0.0%
# Vieworks Co., Ltd. 39,832 1,337,006 0.0%
# Visang Education, Inc. 38,704 298,425 0.0%
# Webzen, Inc. 53,757 1,526,984 0.1%
# WeMade Entertainment Co., Ltd. 27,945 1,118,750 0.0%
# Whanin Pharmaceutical Co., Ltd. 48,403 875,373 0.0%
# WillBes & Co. (The) 319,383 649,546 0.0%
# Winix, Inc. 6,948 72,140 0.0%
Wins Co., Ltd. 20,878 233,597 0.0%
# WiSoL Co., Ltd. 96,855 1,370,335 0.0%
# WIZIT Co., Ltd. 114,671 181,932 0.0%
# WONIK CUBE Corp. 13,011 27,943 0.0%
# Wonik IPS Co., Ltd. 308,005 2,538,470 0.1%
# Wonik Materials Co., Ltd. 16,466 839,532 0.0%
Wonik QnC Corp. 7,938 110,520 0.0%
# Woojeon & Handan Co., Ltd. 90,141 107,216 0.0%
Woojin, Inc. 2,070 12,871 0.0%
# Woongjin Co., Ltd. 292,655 771,449 0.0%
# Woongjin Energy Co., Ltd. 324,645 439,980 0.0%
# Woongjin Thinkbig Co., Ltd. 125,097 896,054 0.0%
# Wooree ETI Co., Ltd. 163,783 416,594 0.0%
# Woori Investment Bank Co., Ltd. 2,972,546 1,588,874 0.1%
WooSung Feed Co., Ltd. 17,710 51,230 0.0%
# Y G-1 Co., Ltd. 89,329 858,722 0.0%
YeaRimDang Publishing Co., Ltd. 19,136 86,383 0.0%
YESCO Co., Ltd. 14,192 465,474 0.0%
# YG Entertainment, Inc. 46,549 1,850,767 0.1%
# Yoosung Enterprise Co., Ltd. 142,242 521,033 0.0%
# Youlchon Chemical Co., Ltd. 64,528 698,335 0.0%
# Young Heung Iron & Steel Co., Ltd. 287,784 506,539 0.0%
# Young Poong Corp. 1,885 2,069,837 0.1%
* Young Poong Mining & Construction Corp. 1,580 -- 0.0%
# Young Poong Precision Corp. 79,593 648,857 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ------------ ---------------
SOUTH KOREA -- (Continued)
Youngone Holdings Co., Ltd. 32,178 $ 2,027,694 0.1%
# Yuanta Securities Korea Co., Ltd. 128,115 445,429 0.0%
Yuhan Corp. 16,626 4,117,857 0.1%
YuHwa Securities Co., Ltd. 13,060 168,029 0.0%
# Yungjin Pharmaceutical Co., Ltd. 518,217 1,032,691 0.0%
* ZeroOne Interactive Co., Ltd. 3,200 -- 0.0%
------------ ----
TOTAL SOUTH KOREA 735,074,033 15.0%
------------ ----
TAIWAN -- (13.3%)
# A-DATA Technology Co., Ltd. 1,453,879 1,499,844 0.0%
Ability Enterprise Co., Ltd. 3,031,076 1,676,577 0.1%
# AcBel Polytech, Inc. 3,000,599 2,120,121 0.1%
# Accton Technology Corp. 3,653,763 2,287,327 0.1%
# ACES Electronic Co., Ltd. 553,000 443,609 0.0%
# ACHEM TECHNOLOGY Corp. 1,673,860 690,503 0.0%
Acme Electronics Corp. 529,000 258,900 0.0%
# Acter Co., Ltd. 211,000 611,594 0.0%
Action Electronics Co., Ltd. 720,635 102,979 0.0%
# Actron Technology Corp. 434,150 1,494,259 0.0%
Addcn Technology Co., Ltd. 32,800 317,397 0.0%
# Adlink Technology, Inc. 767,257 2,058,912 0.1%
# Advanced Ceramic X Corp. 265,000 1,655,514 0.1%
# Advanced Connectek, Inc. 1,202,000 288,697 0.0%
Advanced International Multitech Co., Ltd. 501,000 322,459 0.0%
Advanced Power Electronics Corp. 14,282 13,592 0.0%
# Advanced Wireless Semiconductor Co. 885,000 2,117,830 0.1%
# Advancetek Enterprise Co., Ltd. 888,917 506,679 0.0%
# AGV Products Corp. 3,484,801 731,897 0.0%
AimCore Technology Co., Ltd. 334,589 190,877 0.0%
Airtac International Group 49,000 254,106 0.0%
Alcor Micro Corp. 312,000 207,219 0.0%
ALI Corp. 2,271,000 1,162,696 0.0%
# Allis Electric Co., Ltd. 54,000 13,811 0.0%
# Alltek Technology Corp. 579,186 438,684 0.0%
# Alltop Technology Co., Ltd. 250,000 178,007 0.0%
Alpha Networks, Inc. 1,965,386 1,133,891 0.0%
# Altek Corp. 1,805,945 1,501,730 0.0%
Ambassador Hotel (The) 1,612,000 1,388,580 0.0%
# AMPOC Far-East Co., Ltd. 320,444 203,850 0.0%
# AmTRAN Technology Co., Ltd. 3,349,951 1,695,209 0.1%
Anpec Electronics Corp. 336,590 213,470 0.0%
# Apacer Technology, Inc. 1,001,576 578,097 0.0%
APCB, Inc. 732,000 306,869 0.0%
# Apex Biotechnology Corp. 654,483 850,149 0.0%
# Apex International Co., Ltd. 753,293 973,989 0.0%
# Apex Medical Corp. 462,500 604,319 0.0%
# Apex Science & Engineering 1,046,132 305,120 0.0%
# Arcadyan Technology Corp. 921,718 915,750 0.0%
Ardentec Corp. 2,744,820 2,082,690 0.1%
# Arima Communications Corp. 1,189,719 329,789 0.0%
# Asia Optical Co., Inc. 1,578,000 1,503,314 0.0%
# Asia Plastic Recycling Holding, Ltd. 972,842 688,854 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Asia Polymer Corp. 1,826,458 $1,057,932 0.0%
# Asia Vital Components Co., Ltd. 2,146,058 1,727,485 0.1%
# ASMedia Technology, Inc. 153,000 791,161 0.0%
ASPEED Technology, Inc. 91,599 1,014,345 0.0%
# ASROCK, Inc. 154,000 225,620 0.0%
# Aten International Co., Ltd. 604,479 1,342,263 0.0%
# Audix Corp. 626,600 677,366 0.0%
# Aurora Corp. 688,499 1,085,475 0.0%
AV Tech Corp. 100,000 82,463 0.0%
# Avermedia Technologies 767,446 242,633 0.0%
Avision, Inc. 437,000 98,561 0.0%
# AVY Precision Technology, Inc. 286,670 483,278 0.0%
# Awea Mechantronic Co., Ltd. 260,200 232,972 0.0%
Bank of Kaohsiung Co., Ltd. 2,586,771 707,693 0.0%
Basso Industry Corp. 581,000 1,059,504 0.0%
# BenQ Materials Corp. 1,172,000 837,691 0.0%
BES Engineering Corp. 10,018,750 2,359,312 0.1%
Bionet Corp. 132,000 138,247 0.0%
Bionime Corp. 59,000 96,517 0.0%
Biostar Microtech International Corp. 1,025,975 223,205 0.0%
# Bioteque Corp. 360,308 1,334,602 0.0%
# Bizlink Holding, Inc. 517,529 2,327,689 0.1%
# Boardtek Electronics Corp. 783,000 968,639 0.0%
Bright Led Electronics Corp. 525,520 166,840 0.0%
# C Sun Manufacturing, Ltd. 722,221 334,808 0.0%
Cameo Communications, Inc. 393,818 53,771 0.0%
Capital Securities Corp. 12,898,142 3,829,891 0.1%
# Career Technology MFG. Co., Ltd. 2,145,000 1,748,547 0.1%
# Carnival Industrial Corp. 1,419,000 256,356 0.0%
Cathay Chemical Works 30,000 14,391 0.0%
Cathay Real Estate Development Co., Ltd. 4,990,000 2,153,792 0.1%
# Celxpert Energy Corp. 44,000 25,951 0.0%
Central Reinsurance Co., Ltd. 919,410 437,180 0.0%
# ChainQui Construction Development Co., Ltd. 379,083 262,063 0.0%
Chaintech Technology Corp. 222,230 96,569 0.0%
# Champion Building Materials Co., Ltd. 2,163,851 466,016 0.0%
# Champion Microelectronic Corp. 151,965 181,617 0.0%
# Chang Wah Electromaterials, Inc. 267,673 681,085 0.0%
Channel Well Technology Co., Ltd. 859,000 467,140 0.0%
# Charoen Pokphand Enterprise 1,282,985 868,215 0.0%
# Chaun-Choung Technology Corp. 456,000 1,064,132 0.0%
CHC Resources Corp. 398,348 784,539 0.0%
# Chen Full International Co., Ltd. 610,000 970,640 0.0%
# Chenbro Micom Co., Ltd. 357,000 410,652 0.0%
Cheng Loong Corp. 5,762,383 2,038,911 0.1%
Cheng Uei Precision Industry Co., Ltd. 3,050,331 4,456,197 0.1%
# Chenming Mold Industry Corp. 470,437 296,753 0.0%
# Chia Chang Co., Ltd. 897,000 667,515 0.0%
# Chia Hsin Cement Corp. 1,788,121 594,075 0.0%
# Chien Kuo Construction Co., Ltd. 1,568,312 475,830 0.0%
Chien Shing Stainless Steel Co., Ltd. 66,000 5,679 0.0%
# Chilisin Electronics Corp. 559,315 798,815 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Chime Ball Technology Co., Ltd. 114,000 $ 214,769 0.0%
# Chimei Materials Technology Corp. 2,077,900 1,454,175 0.0%
# Chin-Poon Industrial Co., Ltd. 2,573,207 3,459,191 0.1%
China Bills Finance Corp. 683,000 236,827 0.0%
China Chemical & Pharmaceutical Co., Ltd. 1,874,000 1,071,838 0.0%
# China Ecotek Corp. 200,000 375,093 0.0%
China Electric Manufacturing Corp. 1,352,900 342,919 0.0%
# China General Plastics Corp. 2,379,105 1,047,800 0.0%
China Glaze Co., Ltd. 576,139 186,092 0.0%
China Man-Made Fiber Corp. 2,289,879 660,916 0.0%
China Metal Products 1,888,603 1,690,154 0.1%
China Motor Corp. 299,609 211,788 0.0%
# China Petrochemical Development Corp. 16,258,000 4,136,249 0.1%
# China Steel Chemical Corp. 465,554 1,761,633 0.1%
# China Steel Structure Co., Ltd. 585,000 344,085 0.0%
# China Synthetic Rubber Corp. 3,209,573 2,367,667 0.1%
* China United Trust & Investment Corp. 164,804 -- 0.0%
China Wire & Cable Co., Ltd. 711,000 258,295 0.0%
Chinatrust Financial Holding Co., Ltd. 4,800,936 2,630,222 0.1%
# Chinese Maritime Transport, Ltd. 722,850 505,656 0.0%
# Chlitina Holding, Ltd. 165,000 1,344,916 0.0%
# Chong Hong Construction Co., Ltd. 984,666 1,394,627 0.0%
* Chou Chin Industrial Co., Ltd. 825 -- 0.0%
# Chroma ATE, Inc. 1,847,821 3,293,632 0.1%
Chun YU Works & Co., Ltd. 1,382,000 595,457 0.0%
# Chun Yuan Steel 2,283,529 677,524 0.0%
Chung Hsin Electric & Machinery Manufacturing Corp. 2,618,375 1,400,524 0.0%
Chung Hung Steel Corp. 5,814,979 876,615 0.0%
Chung Hwa Pulp Corp. 2,837,405 868,965 0.0%
Chunghwa Chemical Synthesis & Biotech Co., Ltd. 165,000 168,217 0.0%
# Chunghwa Picture Tubes, Ltd. 14,410,000 381,497 0.0%
Chyang Sheng Dyeing & Finishing Co., Ltd. 297,000 143,681 0.0%
Cleanaway Co., Ltd. 502,000 2,466,263 0.1%
Clevo Co. 3,054,200 3,291,568 0.1%
CMC Magnetics Corp. 15,197,566 1,823,213 0.1%
# CoAsia Microelectronics Corp. 703,500 526,987 0.0%
Coland Holdings, Ltd. 128,000 238,389 0.0%
Collins Co., Ltd. 562,431 215,447 0.0%
# Compeq Manufacturing Co., Ltd. 6,824,000 4,472,611 0.1%
# Concord Securities Co., Ltd. 2,898,000 584,074 0.0%
# Continental Holdings Corp. 3,343,320 1,096,843 0.0%
Coretronic Corp. 3,985,750 3,671,891 0.1%
# Coxon Precise Industrial Co., Ltd. 820,000 1,463,537 0.0%
# Creative Sensor, Inc. 85,000 60,195 0.0%
# Crystalwise Technology, Inc. 764,302 300,526 0.0%
# CSBC Corp. Taiwan 3,066,610 1,297,990 0.0%
# Cub Elecparts, Inc. 215,751 2,704,907 0.1%
# CviLux Corp. 517,039 456,907 0.0%
# Cyberlink Corp. 498,697 1,065,059 0.0%
# CyberPower Systems, Inc. 264,000 821,234 0.0%
CyberTAN Technology, Inc. 1,323,779 691,932 0.0%
# D-Link Corp. 4,990,668 1,585,264 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# DA CIN Construction Co., Ltd. 1,040,711 $ 471,314 0.0%
# Da-Li Development Co., Ltd. 1,012,594 662,554 0.0%
Dafeng TV, Ltd. 413,540 675,181 0.0%
# Danen Technology Corp. 2,682,000 659,739 0.0%
# Darfon Electronics Corp. 1,833,550 956,056 0.0%
# Darwin Precisions Corp. 2,422,635 954,430 0.0%
# Davicom Semiconductor, Inc. 52,888 47,541 0.0%
# De Licacy Industrial Co. 446,229 453,782 0.0%
# Delpha Construction Co., Ltd. 991,931 526,840 0.0%
# Depo Auto Parts Ind Co., Ltd. 685,000 2,295,372 0.1%
* Der Pao Construction Co., Ltd. 476,000 -- 0.0%
# DFI, Inc. 514,524 635,340 0.0%
# Dimerco Express Corp. 645,000 352,995 0.0%
# Dynacolor, Inc. 316,000 511,647 0.0%
Dynamic Electronics Co., Ltd. 1,908,321 554,151 0.0%
# Dynapack International Technology Corp. 971,000 1,588,489 0.1%
# E Ink Holdings, Inc. 6,087,000 2,972,999 0.1%
# E-Lead Electronic Co., Ltd. 507,942 665,803 0.0%
# E-Life Mall Corp. 469,000 846,370 0.0%
# E-Ton Solar Tech Co., Ltd. 2,396,209 887,312 0.0%
Eastern Media International Corp. 2,757,889 637,880 0.0%
# Edimax Technology Co., Ltd. 1,256,108 426,645 0.0%
# Edison Opto Corp. 871,000 516,590 0.0%
# Edom Technology Co., Ltd. 1,029,062 673,275 0.0%
# eGalax_eMPIA Technology, Inc. 333,369 571,167 0.0%
# Elan Microelectronics Corp. 2,597,715 2,867,666 0.1%
Elite Advanced Laser Corp. 544,600 2,296,786 0.1%
# Elite Material Co., Ltd. 1,873,350 3,827,578 0.1%
# Elite Semiconductor Memory Technology, Inc. 1,645,200 1,473,298 0.0%
Elitegroup Computer Systems Co., Ltd. 2,281,254 1,581,235 0.0%
# eMemory Technology, Inc. 429,000 4,407,719 0.1%
Emerging Display Technologies Corp. 646,000 173,228 0.0%
# ENG Electric Co., Ltd. 1,116,794 559,305 0.0%
# EnTie Commercial Bank Co., Ltd. 2,200,603 1,029,015 0.0%
# Entire Technology Co., Ltd. 573,000 327,376 0.0%
Episil Holdings, Inc. 647,000 185,729 0.0%
# Epistar Corp. 1,639,000 1,476,146 0.0%
Eslite Spectrum Corp. (The) 10,000 47,352 0.0%
# Eson Precision Ind. Co., Ltd. 255,000 239,521 0.0%
# Eternal Materials Co., Ltd. 3,699,647 3,502,740 0.1%
# Etron Technology, Inc. 1,395,000 573,088 0.0%
# Everest Textile Co., Ltd. 2,509,562 1,263,453 0.0%
Evergreen International Storage & Transport Corp. 3,658,000 1,516,680 0.0%
# Everlight Chemical Industrial Corp. 3,209,720 2,058,890 0.1%
# Everlight Electronics Co., Ltd. 2,958,000 4,487,392 0.1%
# Everspring Industry Co., Ltd. 168,000 118,603 0.0%
Excelsior Medical Co., Ltd. 623,217 940,156 0.0%
# Far Eastern Department Stores, Ltd. 5,281,000 3,195,285 0.1%
Far Eastern International Bank 13,284,845 4,127,302 0.1%
Faraday Technology Corp. 1,470,788 2,393,368 0.1%
# Farglory F T Z Investment Holding Co., Ltd. 485,000 235,449 0.0%
# Farglory Land Development Co., Ltd. 1,555,000 1,789,880 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
# Federal Corp. 3,121,489 $1,418,323 0.0%
# Feedback Technology Corp. 235,000 428,708 0.0%
Feng Hsin Steel Co., Ltd. 2,776,100 3,202,195 0.1%
Fine Blanking & Tool Co., Ltd. 13,000 18,380 0.0%
First Copper Technology Co., Ltd. 791,000 178,857 0.0%
# First Hotel 911,350 549,407 0.0%
First Insurance Co, Ltd. (The) 1,157,179 466,406 0.0%
# First Steamship Co., Ltd. 2,597,218 929,569 0.0%
# FLEXium Interconnect, Inc. 1,628,270 4,542,078 0.1%
# Flytech Technology Co., Ltd. 709,309 2,260,918 0.1%
# FocalTech Systems Co., Ltd. 1,569,000 1,287,736 0.0%
Formosa Advanced Technologies Co., Ltd. 1,096,000 687,567 0.0%
# Formosa International Hotels Corp. 240,329 1,658,414 0.1%
Formosa Laboratories, Inc. 465,000 847,682 0.0%
# Formosa Oilseed Processing Co., Ltd. 708,567 507,217 0.0%
# Formosa Optical Technology Co., Ltd. 132,000 310,188 0.0%
Formosan Rubber Group, Inc. 2,943,000 1,665,844 0.1%
Formosan Union Chemical 1,285,218 608,599 0.0%
# Fortune Electric Co., Ltd. 699,078 336,751 0.0%
# Founding Construction & Development Co., Ltd. 1,084,546 569,124 0.0%
Foxlink Image Technology Co., Ltd. 669,000 366,400 0.0%
# Froch Enterprise Co., Ltd. 1,216,189 373,620 0.0%
FSP Technology, Inc. 1,054,427 656,432 0.0%
# Fulgent Sun International Holding Co., Ltd. 297,000 492,543 0.0%
# Fullerton Technology Co., Ltd. 399,600 297,652 0.0%
# Fulltech Fiber Glass Corp. 2,124,083 678,883 0.0%
# Fwusow Industry Co., Ltd. 823,751 373,975 0.0%
G Shank Enterprise Co., Ltd. 752,281 517,258 0.0%
# G Tech Optoelectronics Corp. 1,325,000 611,815 0.0%
# Gallant Precision Machining Co., Ltd. 839,000 336,656 0.0%
# Gamania Digital Entertainment Co., Ltd. 669,000 941,571 0.0%
GEM Terminal Industrial Co., Ltd. 23,386 6,746 0.0%
# Gemtek Technology Corp. 2,308,219 1,183,031 0.0%
# General Plastic Industrial Co., Ltd. 199,553 211,404 0.0%
# Genesis Photonics, Inc. 2,540,990 709,783 0.0%
# Genius Electronic Optical Co., Ltd. 485,427 999,172 0.0%
Genmont Biotech, Inc. 48,000 44,267 0.0%
# GeoVision, Inc. 394,986 978,636 0.0%
Getac Technology Corp. 2,800,360 1,909,324 0.1%
# Giantplus Technology Co., Ltd. 1,585,900 682,954 0.0%
Giga Solution Tech Co., Ltd. 159,446 100,535 0.0%
# Gigabyte Technology Co., Ltd. 3,879,800 4,050,115 0.1%
# Gigasolar Materials Corp. 184,880 3,574,055 0.1%
# Gigastorage Corp. 2,094,561 1,633,846 0.1%
# Gintech Energy Corp. 3,308,297 2,430,470 0.1%
# Global Brands Manufacture, Ltd. 1,932,359 432,293 0.0%
# Global Lighting Technologies, Inc. 548,000 1,102,643 0.0%
# Global Mixed Mode Technology, Inc. 519,000 955,126 0.0%
# Global Unichip Corp. 610,000 1,231,563 0.0%
Globalwafers Co., Ltd. 82,048 175,512 0.0%
Globe Union Industrial Corp. 1,470,914 694,105 0.0%
# Gloria Material Technology Corp. 3,288,565 1,743,799 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Glory Science Co., Ltd. 330,296 $ 496,782 0.0%
Glotech Industrial Corp. 465,000 61,194 0.0%
# Gold Circuit Electronics, Ltd. 2,647,227 921,024 0.0%
# Goldsun Buillding Materials Co., Ltd. 8,895,722 2,597,224 0.1%
# Good Will Instrument Co., Ltd. 226,542 114,367 0.0%
# Gourmet Master Co., Ltd. 406,000 2,466,856 0.1%
Grand Ocean Retail Group, Ltd. 85,000 95,812 0.0%
# Grand Pacific Petrochemical 7,220,000 3,535,507 0.1%
# Grand Plastic Technology Corp 81,000 424,704 0.0%
# Grape King Bio, Ltd. 680,000 3,738,047 0.1%
Great China Metal Industry 1,001,000 888,380 0.0%
# Great Taipei Gas Co., Ltd. 1,640,000 1,116,080 0.0%
# Great Wall Enterprise Co., Ltd. 3,741,774 2,265,709 0.1%
Greatek Electronics, Inc. 977,000 964,764 0.0%
# Green Energy Technology, Inc. 2,304,457 1,157,966 0.0%
# Green Seal Holding, Ltd. 174,000 655,764 0.0%
# GTM Holdings Corp. 681,000 254,157 0.0%
Hakers Enterprise Co., Ltd. 97,200 237,443 0.0%
# Hannstar Board Corp. 2,209,049 725,438 0.0%
# HannStar Display Corp. 21,641,506 2,832,624 0.1%
HannsTouch Solution, Inc. 3,945,805 612,562 0.0%
Hanpin Electron Co., Ltd. 79,000 74,637 0.0%
# Harvatek Corp. 941,949 378,788 0.0%
Hey Song Corp. 2,013,750 1,976,963 0.1%
# Hi-Clearance, Inc. 185,000 511,766 0.0%
# Hiroca Holdings, Ltd. 370,448 1,450,687 0.0%
HiTi Digital, Inc. 1,013,935 467,696 0.0%
# Hitron Technology, Inc. 1,757,213 739,473 0.0%
Hiyes International Co., Ltd. 5,043 5,748 0.0%
# Ho Tung Chemical Corp. 5,439,400 1,257,437 0.0%
# Hocheng Corp. 2,223,700 567,927 0.0%
Hold-Key Electric Wire & Cable Co., Ltd. 205,908 43,909 0.0%
# Holiday Entertainment Co., Ltd. 415,800 699,445 0.0%
# Holtek Semiconductor, Inc. 1,176,000 1,763,720 0.1%
Holy Stone Enterprise Co., Ltd. 1,277,728 1,295,949 0.0%
Hong TAI Electric Industrial 979,000 248,716 0.0%
# Hong YI Fiber Industry Co. 197,652 159,239 0.0%
# Horizon Securities Co., Ltd. 2,760,000 548,053 0.0%
# Hota Industrial Manufacturing Co., Ltd. 1,257,128 4,167,667 0.1%
Hsin Kuang Steel Co., Ltd. 1,458,443 620,925 0.0%
# Hsin Yung Chien Co., Ltd. 246,100 620,292 0.0%
Hsing TA Cement Co. 540,900 171,939 0.0%
# Hu Lane Associate, Inc. 470,866 2,173,217 0.1%
# HUA ENG Wire & Cable 2,359,565 520,341 0.0%
# Huaku Development Co., Ltd. 1,731,816 3,278,333 0.1%
Huang Hsiang Construction Corp. 735,800 600,560 0.0%
Hung Ching Development & Construction Co., Ltd. 730,000 386,218 0.0%
Hung Poo Real Estate Development Corp. 1,829,185 1,222,616 0.0%
Hung Sheng Construction, Ltd. 3,074,400 1,484,702 0.0%
# Huxen Corp. 315,244 445,202 0.0%
# Hwa Fong Rubber Co., Ltd. 1,629,010 656,586 0.0%
# Hwacom Systems, Inc. 442,000 144,899 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TAIWAN -- (Continued)
# I-Chiun Precision Industry Co., Ltd. 846,313 $ 293,464 0.0%
# I-Sheng Electric Wire & Cable Co., Ltd. 664,000 645,726 0.0%
# Ibase Technology, Inc. 730,470 1,109,177 0.0%
# Ichia Technologies, Inc. 2,260,000 1,295,235 0.0%
# Ideal Bike Corp. 797,263 436,115 0.0%
# IEI Integration Corp. 224,209 282,180 0.0%
# ILI Technology Corp. 563,383 853,504 0.0%
Infortrend Technology, Inc. 1,176,163 505,282 0.0%
# Inpaq Technology Co., Ltd. 525,000 415,080 0.0%
# Intai Technology Corp. 69,000 246,744 0.0%
International Games System Co., Ltd. 3,000 8,100 0.0%
# Iron Force Industrial Co., Ltd. 210,393 1,164,508 0.0%
# ITE Technology, Inc. 890,095 759,108 0.0%
ITEQ Corp. 1,673,614 1,153,273 0.0%
# J Touch Corp. 752,000 193,363 0.0%
Janfusun Fancyworld Corp. 676,564 76,801 0.0%
# Jentech Precision Industrial Co., Ltd. 447,868 627,043 0.0%
# Jess-Link Products Co., Ltd. 970,900 1,024,175 0.0%
Jih Sun Financial Holdings Co., Ltd. 8,037,472 1,815,194 0.1%
# Johnson Health Tech Co., Ltd. 588,257 1,078,677 0.0%
# K Laser Technology, Inc. 712,000 317,525 0.0%
Kang Na Hsiung Enterprise Co., Ltd. 333,020 132,528 0.0%
# Kao Hsing Chang Iron & Steel 461,600 115,910 0.0%
# Kaori Heat Treatment Co., Ltd. 549,197 747,294 0.0%
# Kaulin Manufacturing Co., Ltd. 875,330 472,997 0.0%
# KD Holding Corp. 136,000 679,945 0.0%
# KEE TAI Properties Co., Ltd. 2,564,473 1,348,947 0.0%
Kenmec Mechanical Engineering Co., Ltd. 1,096,000 424,494 0.0%
# Kerry TJ Logistics Co., Ltd. 1,696,000 2,027,050 0.1%
# Kindom Construction Corp. 2,544,000 1,430,080 0.0%
King Yuan Electronics Co., Ltd. 8,446,979 5,390,734 0.1%
King's Town Bank Co., Ltd. 3,539,701 2,816,786 0.1%
# King's Town Construction Co., Ltd. 962,074 548,891 0.0%
# Kinik Co. 771,000 1,353,711 0.0%
# Kinko Optical Co., Ltd. 964,000 509,595 0.0%
# Kinpo Electronics 9,185,157 2,981,990 0.1%
# Kinsus Interconnect Technology Corp. 200,000 409,913 0.0%
# KMC Kuei Meng International, Inc. 273,146 1,120,918 0.0%
# KS Terminals, Inc. 803,482 976,585 0.0%
# Kung Long Batteries Industrial Co., Ltd. 363,000 1,341,927 0.0%
# Kung Sing Engineering Corp. 2,004,000 707,331 0.0%
# Kuo Toong International Co., Ltd. 1,263,344 1,419,682 0.0%
# Kuoyang Construction Co., Ltd. 3,023,384 1,049,378 0.0%
Kwong Fong Industries Corp. 1,395,760 752,408 0.0%
Kwong Lung Enterprise Co., Ltd. 75,000 106,738 0.0%
# KYE Systems Corp. 1,734,381 540,858 0.0%
# L&K Engineering Co., Ltd. 623,048 358,410 0.0%
# LAN FA Textile 1,708,933 650,414 0.0%
# Lanner Electronics, Inc. 457,006 592,710 0.0%
Laser Tek Taiwan Co., Ltd. 92,504 79,473 0.0%
# LCY Chemical Corp. 1,926,383 1,709,689 0.1%
# Leader Electronics, Inc. 828,000 244,286 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Leadtrend Technology Corp. 120,086 $ 105,808 0.0%
Lealea Enterprise Co., Ltd. 4,677,892 1,358,389 0.0%
# Ledlink Optics, Inc. 210,250 336,682 0.0%
# Ledtech Electronics Corp. 351,000 125,588 0.0%
LEE CHI Enterprises Co., Ltd. 1,069,000 407,304 0.0%
Lelon Electronics Corp. 389,300 282,078 0.0%
# Leofoo Development Co., Ltd. 1,751,000 578,024 0.0%
LES Enphants Co., Ltd. 727,754 411,470 0.0%
# Lextar Electronics Corp. 2,756,500 1,544,181 0.0%
# Li Peng Enterprise Co., Ltd. 4,125,897 1,161,908 0.0%
# Lian HWA Food Corp. 432,883 368,182 0.0%
Lien Chang Electronic Enter 476,000 218,558 0.0%
Lien Hwa Industrial Corp. 3,864,503 2,376,801 0.1%
# Lingsen Precision Industries, Ltd. 2,622,506 793,244 0.0%
Lite-On Semiconductor Corp. 1,591,539 1,119,014 0.0%
Long Bon International Co., Ltd. 2,208,945 1,403,284 0.0%
Long Chen Paper Co., Ltd. 3,506,709 1,272,201 0.0%
# Longwell Co. 1,032,000 765,900 0.0%
# Lotes Co., Ltd. 444,778 1,463,564 0.0%
Lucky Cement Corp. 1,606,000 506,157 0.0%
# Lumax International Corp., Ltd. 591,769 847,209 0.0%
# Lung Yen Life Service Corp. 397,000 791,150 0.0%
# LuxNet Corp. 432,482 1,210,812 0.0%
# Macauto Industrial Co., Ltd. 186,000 1,023,157 0.0%
Macroblock, Inc. 83,000 107,369 0.0%
# Macronix International 27,440,481 4,018,161 0.1%
MacroWell OMG Digital Entertainment Co., Ltd. 1,000 2,288 0.0%
# Mag Layers Scientific-Technics Co., Ltd. 237,303 232,185 0.0%
# Marketech International Corp. 862,000 598,626 0.0%
Masterlink Securities Corp. 7,361,873 2,114,473 0.1%
# Mayer Steel Pipe Corp. 916,567 380,818 0.0%
# Maywufa Co., Ltd. 69,322 29,609 0.0%
# Meiloon Industrial Co. 393,809 151,261 0.0%
# Mercuries & Associates Holding, Ltd. 2,409,991 1,580,603 0.0%
# Mercuries Life Insurance Co., Ltd. 4,933,940 3,015,159 0.1%
# Merry Electronics Co., Ltd. 1,176,477 2,253,154 0.1%
# Micro-Star International Co., Ltd. 4,861,075 4,935,191 0.1%
# Microbio Co., Ltd. 1,775,607 1,459,679 0.0%
Microelectronics Technology, Inc. 314,019 87,734 0.0%
# Microlife Corp. 272,600 695,201 0.0%
Mildef Crete, Inc. 154,000 186,029 0.0%
MIN AIK Technology Co., Ltd. 1,164,316 2,257,494 0.1%
# Mirle Automation Corp. 1,090,959 961,069 0.0%
# Mitac Holdings Corp. 1,001,000 780,754 0.0%
# Mobiletron Electronics Co., Ltd. 395,000 603,698 0.0%
Mosel Vitelic, Inc. 2,344,014 166,350 0.0%
# Motech Industries, Inc. 2,619,000 3,418,197 0.1%
# MPI Corp. 445,000 922,088 0.0%
# Nak Sealing Technologies Corp. 367,954 826,054 0.0%
# Namchow Chemical Industrial Co., Ltd. 1,129,000 2,447,421 0.1%
# Nan Kang Rubber Tire Co., Ltd. 3,331,952 2,938,717 0.1%
# Nan Liu Enterprise Co., Ltd. 216,000 1,209,693 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
Nan Ren Lake Leisure Amusement Co., Ltd. 855,000 $ 243,008 0.0%
# Nan Ya Printed Circuit Board Corp. 1,663,000 1,679,786 0.1%
Nantex Industry Co., Ltd. 1,542,585 1,300,338 0.0%
National Petroleum Co., Ltd. 207,824 231,194 0.0%
# Neo Solar Power Corp. 5,398,529 3,662,862 0.1%
# Netronix, Inc. 468,000 1,059,587 0.0%
New Asia Construction & Development Corp. 338,835 68,832 0.0%
# New Era Electronics Co., Ltd. 312,000 212,972 0.0%
# Newmax Technology Co., Ltd. 420,009 228,555 0.0%
# Nexcom International Co., Ltd. 677,094 639,991 0.0%
Nichidenbo Corp. 927,801 711,535 0.0%
Nien Hsing Textile Co., Ltd. 1,601,436 1,037,793 0.0%
Nishoku Technology, Inc. 143,000 184,887 0.0%
# Nuvoton Technology Corp. 361,000 311,145 0.0%
O-TA Precision Industry Co., Ltd. 42,000 26,596 0.0%
# Ocean Plastics Co., Ltd. 830,200 732,759 0.0%
OptoTech Corp. 3,890,886 1,248,022 0.0%
# Orient Semiconductor Electronics, Ltd. 3,922,000 1,419,597 0.0%
# Oriental Union Chemical Corp. 3,219,267 2,411,629 0.1%
P-Two Industries, Inc. 49,000 15,732 0.0%
# Pacific Construction Co. 1,868,921 942,121 0.0%
# Pacific Hospital Supply Co., Ltd. 396,000 824,319 0.0%
# Paiho Shih Holdings Corp. 307,000 333,052 0.0%
Pan Jit International, Inc. 2,523,541 998,170 0.0%
Pan-International Industrial Corp. 2,813,747 1,160,140 0.0%
# Parade Technologies, Ltd. 421,401 3,242,337 0.1%
# Paragon Technologies Co., Ltd. 482,246 537,965 0.0%
# PChome Online, Inc. 407,256 4,564,050 0.1%
# Phihong Technology Co., Ltd. 1,449,901 426,619 0.0%
# Phoenix Tours International, Inc. 303,450 373,314 0.0%
# Phytohealth Corp. 40,000 34,586 0.0%
# Pixart Imaging, Inc. 593,150 1,325,372 0.0%
Plotech Co., Ltd. 115,000 30,754 0.0%
# Polytronics Technology Corp. 330,027 639,241 0.0%
# Portwell, Inc. 617,000 792,749 0.0%
# Posiflex Technology, Inc. 294,327 1,551,843 0.0%
* Potrans Electrical Corp. 228,000 -- 0.0%
# Power Mate Technology Co., Ltd. 255,000 484,970 0.0%
# Power Quotient International Co., Ltd. 850,600 348,107 0.0%
Powertech Industrial Co., Ltd. 317,000 162,576 0.0%
# Poya International Co., Ltd. 310,135 3,522,949 0.1%
President Securities Corp. 5,344,488 2,379,718 0.1%
Prime Electronics Satellitics, Inc. 667,822 170,350 0.0%
Prince Housing & Development Corp. 8,250,644 2,559,821 0.1%
# Princeton Technology Corp. 1,099,000 253,454 0.0%
* Prodisc Technology, Inc. 1,707,199 -- 0.0%
# Promate Electronic Co., Ltd. 1,060,000 918,921 0.0%
# Promise Technology, Inc. 946,286 527,388 0.0%
* Protop Technology Co., Ltd. 192,000 -- 0.0%
# Qisda Corp. 12,154,900 4,116,804 0.1%
# Qualipoly Chemical Corp. 484,000 498,241 0.0%
Quanta Storage, Inc. 485,000 303,213 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Quintain Steel Co., Ltd. 1,338,824 $ 233,235 0.0%
# Radium Life Tech Co., Ltd. 4,745,100 1,828,554 0.1%
# Ralec Electronic Corp. 291,209 450,162 0.0%
# Realtek Semiconductor Corp. 778,000 1,624,729 0.1%
# Rechi Precision Co., Ltd. 1,851,181 1,311,440 0.0%
# Rexon Industrial Corp., Ltd. 94,392 33,684 0.0%
# Rich Development Co., Ltd. 4,372,036 1,404,891 0.0%
Richtek Technology Corp. 381,485 2,222,434 0.1%
# Ritek Corp. 18,889,387 1,711,406 0.1%
# Rotam Global Agrosciences, Ltd. 607,268 610,324 0.0%
# Ruentex Engineering & Construction Co. 226,000 269,354 0.0%
# Run Long Construction Co., Ltd. 731,292 630,588 0.0%
* Sainfoin Technology Corp. 131,260 -- 0.0%
Sampo Corp. 3,494,327 1,408,689 0.0%
# San Fang Chemical Industry Co., Ltd. 1,206,454 1,498,884 0.0%
San Far Property, Ltd. 45,000 22,777 0.0%
# San Shing Fastech Corp. 647,875 1,323,879 0.0%
# Sanyang Motor Co., Ltd. 2,775,628 1,849,319 0.1%
# SCI Pharmtech, Inc. 353,395 865,571 0.0%
# Scientech Corp. 287,000 621,608 0.0%
# SDI Corp. 787,000 660,356 0.0%
# Sea Sonic Electronics Co., Ltd. 143,000 138,354 0.0%
Senao International Co., Ltd. 504,541 694,166 0.0%
# Sercomm Corp. 1,593,000 3,697,109 0.1%
# Sesoda Corp. 1,078,163 1,127,390 0.0%
Shan-Loong Transportation Co., Ltd. 29,000 20,436 0.0%
Sheng Yu Steel Co., Ltd. 639,980 350,246 0.0%
# ShenMao Technology, Inc. 542,891 397,904 0.0%
Shih Her Technologies, Inc. 284,000 309,046 0.0%
Shih Wei Navigation Co., Ltd. 1,537,384 615,979 0.0%
# Shihlin Electric & Engineering Corp. 1,700,000 2,088,180 0.1%
Shihlin Paper Corp. 130,000 122,080 0.0%
Shin Hai Gas Corp. 1,203 1,497 0.0%
# Shin Zu Shing Co., Ltd. 1,098,144 3,543,314 0.1%
# Shinih Enterprise Co., Ltd. 109,000 104,926 0.0%
# Shining Building Business Co., Ltd. 2,417,041 866,579 0.0%
Shinkong Insurance Co., Ltd. 1,276,131 881,278 0.0%
# Shinkong Synthetic Fibers Corp. 10,044,395 2,743,491 0.1%
Shinkong Textile Co., Ltd. 964,542 1,126,249 0.0%
Shiny Chemical Industrial Co., Ltd. 334,031 436,910 0.0%
# Shuttle, Inc. 2,485,152 572,959 0.0%
Sigurd Microelectronics Corp. 2,448,974 1,647,397 0.1%
# Silergy Corp. 96,000 978,223 0.0%
# Silicon Integrated Systems Corp. 1,656,820 317,618 0.0%
Silicon Power Computer & Communications, Inc. 275,000 137,677 0.0%
# Silitech Technology Corp. 836,774 485,495 0.0%
# Sinbon Electronics Co., Ltd. 1,396,923 2,475,838 0.1%
Sincere Navigation Corp. 2,117,786 1,176,414 0.0%
Singatron Enterprise Co., Ltd. 437,000 108,456 0.0%
Sinher Technology, Inc. 59,000 77,299 0.0%
Sinkang Industries Co., Ltd. 153,521 42,523 0.0%
# Sinmag Equipment Corp. 229,436 799,901 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Sino-American Electronic Co., Ltd. 176,750 $ 430,573 0.0%
# Sino-American Silicon Products, Inc. 3,975,000 4,935,068 0.1%
Sinon Corp. 2,577,510 1,118,332 0.0%
Sinphar Pharmaceutical Co., Ltd. 808,595 732,178 0.0%
# Sinyi Realty, Inc. 1,427,608 1,247,233 0.0%
# Sirtec International Co., Ltd. 920,000 1,134,719 0.0%
Sitronix Technology Corp. 746,879 2,091,570 0.1%
# Siward Crystal Technology Co., Ltd. 1,106,000 666,066 0.0%
Soft-World International Corp. 414,000 819,113 0.0%
Solar Applied Materials Technology Co. 2,322,581 1,485,691 0.0%
# Solartech Energy Corp. 2,517,616 1,404,595 0.0%
Solomon Technology Corp. 134,159 59,034 0.0%
Solytech Enterprise Corp. 974,000 138,045 0.0%
# Sonix Technology Co., Ltd. 1,098,000 1,252,265 0.0%
Southeast Cement Co., Ltd. 1,053,700 489,501 0.0%
# Spirox Corp. 66,000 36,643 0.0%
# Sporton International, Inc. 444,945 2,693,339 0.1%
# St Shine Optical Co., Ltd. 317,000 4,783,653 0.1%
Standard Chemical & Pharmaceutical Co., Ltd. 742,571 797,829 0.0%
# Stark Technology, Inc. 817,860 643,765 0.0%
# Sunonwealth Electric Machine Industry Co., Ltd. 1,076,487 574,469 0.0%
# Sunplus Technology Co., Ltd. 1,644,000 652,095 0.0%
Sunrex Technology Corp. 1,603,736 719,384 0.0%
# Sunspring Metal Corp. 612,000 877,785 0.0%
Sunty Development Co., Ltd. 42,000 17,202 0.0%
Super Dragon Technology Co., Ltd. 153,382 62,277 0.0%
# Supreme Electronics Co., Ltd. 2,059,399 878,554 0.0%
# Swancor Ind Co., Ltd. 428,206 2,954,638 0.1%
Sweeten Construction Co., Ltd. 612,357 296,118 0.0%
# Syncmold Enterprise Corp. 988,000 1,547,425 0.0%
# Sysage Technology Co., Ltd. 508,080 447,451 0.0%
# Systex Corp. 242,388 467,160 0.0%
T-Mac Techvest PCB Co., Ltd. 380,000 144,843 0.0%
# TA Chen Stainless Pipe 4,370,995 2,116,814 0.1%
Ta Chong Bank, Ltd. 12,500,490 5,299,903 0.1%
# Ta Chong Securities Co., Ltd. 1,367,000 414,807 0.0%
# Ta Ya Electric Wire & Cable 3,252,306 484,128 0.0%
# Ta Yih Industrial Co., Ltd. 194,000 506,435 0.0%
# TA-I Technology Co., Ltd. 1,199,009 541,517 0.0%
Tah Hsin Industrial Corp. 426,600 310,167 0.0%
TAI Roun Products Co., Ltd. 201,000 61,896 0.0%
# Tai Tung Communication Co., Ltd. 232,197 161,636 0.0%
# Taichung Commercial Bank Co., Ltd. 12,926,940 3,939,694 0.1%
# TaiDoc Technology Corp. 249,000 737,403 0.0%
# Taiflex Scientific Co., Ltd. 1,317,000 1,596,742 0.1%
# Taimide Tech, Inc. 545,000 487,844 0.0%
# Tainan Enterprises Co., Ltd. 872,370 704,367 0.0%
# Tainan Spinning Co., Ltd. 7,101,044 3,370,915 0.1%
# Tainergy Tech Co., Ltd. 1,021,000 567,562 0.0%
# Taisun Enterprise Co., Ltd. 1,877,428 597,473 0.0%
# Taita Chemical Co., Ltd. 900,951 252,232 0.0%
# Taiwan Acceptance Corp. 616,480 1,444,914 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# Taiwan Chinsan Electronic Industrial Co., Ltd. 553,000 $ 641,762 0.0%
# Taiwan Cogeneration Corp. 1,996,566 1,403,525 0.0%
Taiwan Fire & Marine Insurance Co., Ltd. 1,224,338 832,631 0.0%
* Taiwan Flourescent Lamp Co., Ltd. 176,000 -- 0.0%
# Taiwan FU Hsing Industrial Co., Ltd. 930,000 1,543,076 0.0%
# Taiwan Hon Chuan Enterprise Co., Ltd. 2,446,468 3,879,164 0.1%
# Taiwan Hopax Chemicals Manufacturing Co., Ltd. 1,089,120 654,067 0.0%
* Taiwan Kolin Co., Ltd. 1,356,000 -- 0.0%
# Taiwan Land Development Corp. 6,058,377 2,000,201 0.1%
# Taiwan Line Tek Electronic 384,543 188,637 0.0%
# Taiwan Mask Corp. 662,412 159,763 0.0%
Taiwan Navigation Co., Ltd. 1,143,777 478,356 0.0%
# Taiwan Paiho, Ltd. 1,685,287 4,027,860 0.1%
# Taiwan PCB Techvest Co., Ltd. 1,684,238 1,870,560 0.1%
# Taiwan Prosperity Chemical Corp. 1,009,000 508,250 0.0%
# Taiwan Pulp & Paper Corp. 2,253,980 745,355 0.0%
Taiwan Sakura Corp. 1,681,003 930,766 0.0%
Taiwan Sanyo Electric Co., Ltd. 381,400 313,561 0.0%
# Taiwan Secom Co., Ltd. 809,371 2,431,425 0.1%
Taiwan Semiconductor Co., Ltd. 1,658,000 1,444,229 0.0%
Taiwan Sogo Shin Kong SEC 1,584,710 1,912,017 0.1%
# Taiwan Styrene Monomer 3,643,209 1,584,355 0.1%
Taiwan Surface Mounting Technology Corp. 1,895,388 1,765,495 0.1%
# Taiwan TEA Corp. 5,181,897 2,270,338 0.1%
# Taiwan Union Technology Corp. 1,548,000 1,320,376 0.0%
Taiyen Biotech Co., Ltd. 916,883 684,890 0.0%
# Tatung Co., Ltd. 16,593,015 3,022,756 0.1%
Te Chang Construction Co., Ltd. 427,482 323,644 0.0%
Tekcore Co., Ltd. 237,000 33,752 0.0%
# Ten Ren Tea Co., Ltd. 164,980 195,483 0.0%
# Test Research, Inc. 1,046,821 1,835,444 0.1%
Test-Rite International Co., Ltd. 1,924,495 1,205,193 0.0%
# Tex-Ray Industrial Co., Ltd. 803,000 325,194 0.0%
Thinking Electronic Industrial Co., Ltd. 524,204 713,887 0.0%
# Thye Ming Industrial Co., Ltd. 1,087,669 1,010,808 0.0%
Ton Yi Industrial Corp. 3,954,644 1,929,918 0.1%
# Tong Hsing Electronic Industries, Ltd. 1,100,963 2,784,053 0.1%
# Tong Yang Industry Co., Ltd. 2,594,741 2,836,071 0.1%
# Tong-Tai Machine & Tool Co., Ltd. 1,655,892 1,227,787 0.0%
Topco Scientific Co., Ltd. 984,023 1,560,959 0.0%
# Topco Technologies Corp. 129,000 251,147 0.0%
Topoint Technology Co., Ltd. 1,044,776 849,546 0.0%
# Toung Loong Textile Manufacturing 563,000 1,702,093 0.1%
# TPK Holding Co., Ltd. 186,000 461,323 0.0%
Trade-Van Information Services Co. 234,000 185,021 0.0%
Transasia Airways Corp. 2,047,227 484,830 0.0%
Tripod Technology Corp. 2,849,000 4,385,137 0.1%
# TrueLight Corp. 546,000 1,787,641 0.1%
Tsann Kuen Enterprise Co., Ltd. 289,686 195,025 0.0%
# TSC Auto ID Technology Co., Ltd. 150,700 1,169,992 0.0%
# TSRC Corp. 3,057,200 2,092,837 0.1%
# Ttet Union Corp. 277,000 635,936 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
TAIWAN -- (Continued)
# TTFB Co., Ltd. 63,000 $ 464,272 0.0%
TTY Biopharm Co., Ltd. 502,979 1,424,973 0.0%
# Tung Ho Steel Enterprise Corp. 5,243,000 2,846,420 0.1%
Tung Ho Textile Co., Ltd. 288,000 61,876 0.0%
# Tung Thih Electronic Co., Ltd. 393,600 3,234,886 0.1%
# TURVO International Co., Ltd. 333,112 688,147 0.0%
# TXC Corp. 2,104,053 2,452,144 0.1%
# TYC Brother Industrial Co., Ltd. 1,482,980 1,073,943 0.0%
# Tycoons Group Enterprise 2,402,182 301,199 0.0%
Tyntek Corp. 1,873,039 885,014 0.0%
U-Ming Marine Transport Corp. 104,000 123,106 0.0%
# Ubright Optronics Corp. 235,500 182,502 0.0%
# Unimicron Technology Corp. 9,116,000 3,990,742 0.1%
# Union Bank Of Taiwan 6,312,149 1,865,286 0.1%
# Union Insurance Co., Ltd. 467,660 259,186 0.0%
Unitech Computer Co., Ltd. 612,804 301,466 0.0%
# Unitech Printed Circuit Board Corp. 3,827,370 1,362,105 0.0%
United Integrated Services Co., Ltd. 1,476,439 1,734,719 0.1%
# United Orthopedic Corp. 363,323 921,607 0.0%
Unity Opto Technology Co., Ltd. 1,830,500 1,286,612 0.0%
# Universal Cement Corp. 2,452,836 1,730,821 0.1%
Universal Microwave Technology, Inc. 193,000 473,691 0.0%
# Unizyx Holding Corp. 2,914,430 1,122,325 0.0%
# UPC Technology Corp. 4,735,447 1,444,861 0.0%
Userjoy Technology Co., Ltd. 74,000 72,168 0.0%
# USI Corp. 5,582,734 2,324,325 0.1%
# Usun Technology Co., Ltd. 243,000 539,123 0.0%
Ve Wong Corp. 621,696 411,469 0.0%
Victory New Materials, Ltd. Co. 23,000 53,282 0.0%
# Viking Tech Corp. 594,815 427,665 0.0%
Visual Photonics Epitaxy Co., Ltd. 1,627,696 1,919,025 0.1%
# Vivotek, Inc. 418,319 1,039,978 0.0%
# Wafer Works Corp. 2,959,392 1,007,522 0.0%
Wah Hong Industrial Corp. 202,021 128,320 0.0%
# Wah Lee Industrial Corp. 1,148,000 1,605,941 0.1%
Walsin Lihwa Corp. 14,945,000 3,600,331 0.1%
Walsin Technology Corp. 2,504,497 1,387,199 0.0%
Walton Advanced Engineering, Inc. 2,112,197 622,013 0.0%
WAN HWA Enterprise Co. 690,987 298,987 0.0%
# Waterland Financial Holdings Co., Ltd. 5,411,912 1,334,204 0.0%
# Ways Technical Corp., Ltd. 386,000 179,295 0.0%
# Wei Chuan Foods Corp. 1,726,000 1,029,192 0.0%
Wei Mon Industry Co., Ltd. 3,075,282 85,257 0.0%
# Weikeng Industrial Co., Ltd. 1,461,100 878,576 0.0%
# Well Shin Technology Co., Ltd. 529,000 773,725 0.0%
# Wha Yu Industrial Co., Ltd. 108,000 45,575 0.0%
Win Semiconductors Corp. 3,390,443 4,600,247 0.1%
Winbond Electronics Corp. 14,429,138 3,476,609 0.1%
Winstek Semiconductor Co., Ltd. 52,000 42,299 0.0%
Wintek Corp. 5,447,000 57,568 0.0%
# Wisdom Marine Lines Co., Ltd. 1,711,402 1,939,927 0.1%
# Wistron NeWeb Corp. 1,634,437 4,300,123 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
TAIWAN -- (Continued)
# WT Microelectronics Co., Ltd. 2,897,051 $ 3,242,671 0.1%
# WUS Printed Circuit Co., Ltd. 2,158,000 1,755,799 0.1%
# X-Legend Entertainment Co., Ltd. 187,716 484,299 0.0%
# XAC Automation Corp. 527,000 1,320,580 0.0%
# Xxentria Technology Materials Corp. 776,207 2,266,092 0.1%
Yageo Corp. 543,028 855,301 0.0%
Yang Ming Marine Transport Corp. 1,632,000 494,949 0.0%
# YC Co., Ltd. 2,727,926 1,006,475 0.0%
# YC INOX Co., Ltd. 2,316,171 1,396,740 0.0%
# YCC Parts Manufacturing Co., Ltd. 204,000 358,072 0.0%
Yea Shin International Development Co., Ltd. 1,002,350 465,377 0.0%
# Yeong Guan Energy Technology Group Co., Ltd. 379,929 2,431,115 0.1%
# YFY, Inc. 8,594,212 2,958,398 0.1%
# Yi Jinn Industrial Co., Ltd. 1,618,094 680,843 0.0%
# Yieh Phui Enterprise Co., Ltd. 6,930,668 1,650,694 0.1%
# Yonyu Plastics Co., Ltd 421,600 346,068 0.0%
# Young Fast Optoelectronics Co., Ltd. 679,872 250,811 0.0%
# Young Optics, Inc. 345,111 428,716 0.0%
# Youngtek Electronics Corp. 732,666 1,071,158 0.0%
Yufo Electronics Co., Ltd. 98,000 55,244 0.0%
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 429,869 882,689 0.0%
# Yungshin Construction & Development Co., Ltd. 372,000 341,389 0.0%
YungShin Global Holding Corp. 1,196,015 1,744,766 0.1%
# Yungtay Engineering Co., Ltd. 2,429,000 3,912,299 0.1%
# Zeng Hsing Industrial Co., Ltd. 362,107 1,520,012 0.0%
# Zenitron Corp. 1,293,000 632,541 0.0%
# Zig Sheng Industrial Co., Ltd. 3,101,732 901,097 0.0%
# Zinwell Corp. 1,101,586 1,351,253 0.0%
# Zippy Technology Corp. 711,948 836,110 0.0%
# ZongTai Real Estate Development Co., Ltd. 1,029,353 426,693 0.0%
------------ ----
TOTAL TAIWAN 751,411,922 15.3%
------------ ----
THAILAND -- (3.3%)
AAPICO Hitech PCL(B013KZ2) 110,000 39,277 0.0%
AAPICO Hitech PCL(B013L48) 964,380 344,349 0.0%
Advanced Information Technology PCL 97,000 70,226 0.0%
AEON Thana Sinsap Thailand PCL(B01KHP2) 30,400 84,189 0.0%
Aeon Thana Sinsap Thailand PCL(B01KHN0) 142,500 394,637 0.0%
AJ Plast PCL 1,384,388 260,783 0.0%
Amarin Printing & Publishing PCL 18,060 5,332 0.0%
Amata Corp. PCL 3,456,810 1,331,505 0.0%
Ananda Development PCL 19,209,400 2,246,745 0.1%
AP Thailand PCL 10,191,916 1,719,308 0.0%
* Apex Development PCL 3,536 -- 0.0%
Asia Aviation PCL 4,707,500 611,475 0.0%
Asia Green Energy PCL 7,954 373 0.0%
Asia Plus Group Holdings PCL 8,991,600 935,374 0.0%
Asia Sermkij Leasing PCL 199,600 103,258 0.0%
Asian Insulators PCL 12,731,600 408,070 0.0%
Asian Phytoceuticals PCL 681,400 32,377 0.0%
Bangchak Petroleum PCL (The) 4,124,900 4,175,059 0.1%
Bangkok Aviation Fuel Services PCL 1,907,446 1,421,166 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
THAILAND -- (Continued)
Bangkok Chain Hospital PCL 10,487,237 $1,960,782 0.1%
Bangkok Expressway PCL 2,891,400 2,926,559 0.1%
Bangkok Insurance PCL 180,181 1,803,456 0.0%
Bangkok Land PCL 63,265,170 2,792,615 0.1%
Bangkok Life Assurance PCL 49,000 70,950 0.0%
* Bangkok Rubber PCL 14,600 -- 0.0%
Beauty Community PCL 9,069,600 1,223,985 0.0%
Cal-Comp Electronics Thailand PCL 18,126,444 1,620,639 0.0%
* Central Paper Industry PCL 20 -- 0.0%
Central Plaza Hotel PCL 3,548,200 3,790,865 0.1%
CH Karnchang PCL 5,757,405 4,572,902 0.1%
Charoong Thai Wire & Cable PCL 967,100 258,310 0.0%
Christiani & Nielsen Thai 2,930,600 314,751 0.0%
Chularat Hospital PCL 21,978,200 1,470,672 0.0%
CK Power PCL 22,272,190 1,565,487 0.0%
COL PCL 43,000 46,545 0.0%
Country Group Development PCL 10,553,300 367,923 0.0%
Country Group Holdings PCL 6,911,600 246,791 0.0%
CS Loxinfo PCL 1,380,600 242,602 0.0%
Demco PCL 579,100 206,778 0.0%
Dhipaya Insurance PCL 1,018,800 1,095,638 0.0%
Diamond Building Products PCL 2,546,400 320,739 0.0%
DSG International Thailand PCL 4,092,240 552,267 0.0%
Dynasty Ceramic PCL 24,276,580 2,771,151 0.1%
E for L Aim PCL 6,723,800 198,496 0.0%
Eastern Water Resources Development and Management PCL 5,047,700 1,603,683 0.0%
Erawan Group PCL (The) 12,496,970 1,398,410 0.0%
Esso Thailand PCL 13,133,700 2,067,863 0.1%
Everland PCL 457,100 12,980 0.0%
G J Steel PCL 9,611,280 59,450 0.0%
G Steel PCL 4,829,160 40,732 0.0%
GFPT PCL 5,081,400 1,500,097 0.0%
GMM Grammy PCL 90,260 29,184 0.0%
Golden Land Property Development PCL 6,949,400 1,367,704 0.0%
Grand Canal Land PCL 5,552,200 471,432 0.0%
Grande Asset Hotels & Property PCL 10,138,375 285,046 0.0%
Hana Microelectronics PCL 3,442,496 3,339,175 0.1%
ICC International PCL 204,600 222,188 0.0%
International Engineering PCL 18,015,100 20,260 0.0%
Italian-Thai Development PCL 19,673,827 4,563,410 0.1%
* ITV PCL 2,785,600 -- 0.0%
JAS Asset PCL 141,425 34,792 0.0%
Jasmine International PCL 23,358,700 4,334,503 0.1%
Jay Mart PCL 1,414,325 347,940 0.0%
Jubilee Enterprise PCL 73,600 42,214 0.0%
Kang Yong Electric PCL 40,500 335,911 0.0%
Karmarts PCL 534,900 118,056 0.0%
KCE Electronics PCL 2,531,118 4,394,364 0.1%
KGI Securities Thailand PCL 10,429,400 991,112 0.0%
Khon Kaen Sugar Industry PCL 12,422,900 1,432,035 0.0%
Khonburi Sugar PCL 101,800 20,894 0.0%
Kiatnakin Bank PCL 3,300,200 3,108,363 0.1%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ---------- ---------------
THAILAND -- (Continued)
Krungthai Card PCL 585,600 $1,642,331 0.0%
Laguna Resorts & Hotels PCL 197,000 142,623 0.0%
Lanna Resources PCL 1,970,550 603,894 0.0%
LH Financial Group PCL 33,244,366 1,523,535 0.0%
Loxley PCL 8,012,476 608,243 0.0%
LPN Development PCL(B00PXK5) 411,500 207,095 0.0%
LPN Development PCL(B00Q643) 4,406,300 2,217,552 0.1%
Major Cineplex Group PCL 4,096,100 3,570,088 0.1%
Maybank Kim Eng Securities Thailand PCL 943,300 609,992 0.0%
MBK PCL 5,832,800 2,295,894 0.1%
MCOT PCL 2,424,300 695,238 0.0%
Mega Lifesciences PCL 1,132,800 579,657 0.0%
Millcon Steel PCL 7,480,500 357,541 0.0%
MK Real Estate Development PCL 1,885,900 246,027 0.0%
Modernform Group PCL 2,044,500 488,599 0.0%
Muang Thai Insurance PCL 61,288 260,195 0.0%
Muramoto Electron Thailand PCL 14,000 95,255 0.0%
Namyong Terminal PCL 421,200 184,739 0.0%
Nation Multimedia Group PCL 14,789,200 623,710 0.0%
Noble Development PCL 580,800 191,055 0.0%
Nok Airlines PCL 534,700 115,005 0.0%
Polyplex Thailand PCL 3,145,200 760,490 0.0%
Precious Shipping PCL 5,883,000 1,124,746 0.0%
Premier Marketing PCL 2,001,300 573,930 0.0%
President Rice Products PCL 3,375 4,816 0.0%
Property Perfect PCL 26,438,600 683,869 0.0%
PTG Energy PCL 10,811,000 4,559,359 0.1%
Quality Houses PCL 50,185,726 3,612,159 0.1%
Raimon Land PCL 16,968,200 553,402 0.0%
Ratchthani Leasing PCL 3,241,500 257,005 0.0%
Regional Container Lines PCL 2,727,300 517,587 0.0%
Rojana Industrial Park PCL 6,373,411 1,146,829 0.0%
RS PCL 4,017,500 1,332,860 0.0%
Saha Pathana Inter-Holding PCL 680,300 470,524 0.0%
Saha-Union PCL 743,600 794,456 0.0%
Sahaviriya Steel Industries PCL 94,414,800 132,726 0.0%
Samart Corp. PCL 3,560,900 2,042,380 0.1%
Samart I-Mobile PCL 14,452,100 617,620 0.0%
Samart Telcoms PCL 2,090,100 1,040,128 0.0%
Sansiri PCL 65,551,410 3,151,554 0.1%
SC Asset Corp PCL 13,671,028 1,106,981 0.0%
Siam Future Development PCL 8,720,573 1,446,584 0.0%
Siam Global House PCL 6,722,677 1,965,723 0.1%
Siamgas & Petrochemicals PCL 3,357,500 1,066,697 0.0%
Sino-Thai Engineering & Construction PCL 7,410,200 5,260,633 0.1%
SNC Former PCL 141,800 56,214 0.0%
Somboon Advance Technology PCL 1,872,637 910,849 0.0%
SPCG PCL 2,993,500 2,019,934 0.1%
Sri Ayudhya Capital PCL 233,100 237,573 0.0%
Sri Trang Agro-Industry PCL 5,405,690 1,717,419 0.0%
Sriracha Construction PCL 1,085,700 680,709 0.0%
Srithai Superware PCL 12,952,900 852,176 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ------------ ---------------
THAILAND -- (Continued)
STP & I PCL 5,546,364 $ 2,089,584 0.1%
Supalai PCL 6,704,633 3,562,735 0.1%
Susco PCL 1,295,200 110,702 0.0%
SVI PCL 12,829,600 1,821,592 0.1%
Symphony Communication PCL 254,100 72,870 0.0%
Syntec Construction PCL 5,733,000 483,559 0.0%
Tata Steel Thailand PCL 21,859,400 362,608 0.0%
Thai Agro Energy PCL 378,870 34,087 0.0%
Thai Airways International PCL(6364971) 141,400 40,153 0.0%
Thai Airways International PCL(6888868) 8,801,400 2,499,308 0.1%
Thai Carbon Black PCL 491,400 341,255 0.0%
Thai Central Chemical PCL 263,500 201,880 0.0%
Thai Metal Trade PCL 465,800 117,866 0.0%
Thai Reinsurance PCL 2,263,100 181,977 0.0%
Thai Rung Union Car PCL 540,820 60,822 0.0%
Thai Stanley Electric PCL 206,600 1,028,135 0.0%
Thai Steel Cable PCL 3,400 1,147 0.0%
Thai Vegetable Oil PCL 2,675,875 1,993,693 0.1%
Thai Wacoal PCL 78,000 113,763 0.0%
Thai-German Ceramic Industry PCL 3,827,900 329,328 0.0%
Thaicom PCL 4,040,300 3,549,852 0.1%
Thanachart Capital PCL 3,794,400 3,573,836 0.1%
Thitikorn PCL 521,000 139,158 0.0%
Thoresen Thai Agencies PCL 5,933,954 1,718,415 0.0%
Ticon Industrial Connection PCL 7,544,084 2,545,273 0.1%
TIPCO Foods PCL 578,482 359,442 0.0%
Tisco Financial Group PCL(B3KFW10) 1,031,000 1,094,264 0.0%
Tisco Financial Group PCL(B3KFW76) 2,996,500 3,180,372 0.1%
TTCL PCL 1,350,871 854,561 0.0%
TTW PCL 12,625,300 3,833,647 0.1%
U City PCL 33,268,200 37,414 0.0%
Unique Engineering & Construction PCL 7,089,470 4,285,474 0.1%
Univanich Palm Oil PCL 939,000 232,324 0.0%
Univentures PCL 7,368,900 1,470,983 0.0%
Vanachai Group PCL 8,159,159 3,716,268 0.1%
VGI Global Media PCL 4,304,000 447,735 0.0%
Vibhavadi Medical Center PCL 44,299,000 1,893,146 0.1%
Vinythai PCL 2,792,934 738,134 0.0%
Workpoint Entertainment PCL 1,848,540 2,182,855 0.1%
------------ ---
TOTAL THAILAND 186,002,621 3.8%
------------ ---
TURKEY -- (2.0%)
Adana Cimento Sanayii TAS Class A 563,370 1,269,563 0.0%
# Adel Kalemcilik Ticaret ve Sanayi A.S. 14,110 313,597 0.0%
Adese Alisveris Merkezleri Ticaret A.S. 174,774 205,231 0.0%
# Afyon Cimento Sanayi TAS 1,129,733 2,378,719 0.1%
Akcansa Cimento A.S. 459,206 2,151,256 0.1%
# Akenerji Elektrik Uretim A.S. 2,147,552 684,224 0.0%
# Akfen Holding A.S. 944,009 2,651,411 0.1%
Aksa Akrilik Kimya Sanayii AS 844,944 3,099,076 0.1%
Aksigorta A.S. 1,013,913 645,714 0.0%
* Aktas Elektrik Ticaret A.S. 370 -- 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- ---------- ---------------
TURKEY -- (Continued)
# Alarko Holding A.S. 859,342 $ 961,877 0.0%
Albaraka Turk Katilim Bankasi A.S. 3,710,077 1,767,602 0.1%
# Alkim Alkali Kimya A.S. 6,300 29,684 0.0%
# Anadolu Anonim Tuerk Sigorta Sirketi 2,062,662 1,089,564 0.0%
# Anadolu Cam Sanayii A.S. 1,678,225 1,247,846 0.0%
# Anadolu Hayat Emeklilik A.S. 863,622 1,597,070 0.0%
Asya Katilim Bankasi A.S. 3,243,121 887,503 0.0%
# Aygaz A.S. 124,525 467,466 0.0%
# Bagfas Bandirma Gubre Fabrik A.S. 502,767 2,282,950 0.1%
Banvit Bandirma Vitaminli Yem Sanayii ASA 1 1 0.0%
Baticim Bati Anadolu Cimento Sanayii A.S. 398,741 886,947 0.0%
# Besiktas Futbol Yatirimlari Sanayi ve Ticaret A.S. 1,380,080 1,020,563 0.0%
# Bizim Toptan Satis Magazalari A.S. 229,626 1,022,730 0.0%
# Bolu Cimento Sanayii A.S. 677,192 1,282,451 0.0%
# Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 522,607 1,121,353 0.0%
# Boyner Perakende Ve Tekstil Yatirimlari AS 114,062 2,349,669 0.1%
# Brisa Bridgestone Sabanci Sanayi ve Ticaret A.S. 702,345 2,014,010 0.1%
Bursa Cimento Fabrikasi A.S. 229,830 330,660 0.0%
Celebi Hava Servisi A.S. 83,802 1,058,985 0.0%
Cimsa Cimento Sanayi VE Ticaret A.S. 665,595 3,625,014 0.1%
# Deva Holding A.S. 356,487 456,461 0.0%
# Dogan Sirketler Grubu Holding A.S. 9,262,500 1,966,806 0.1%
# Dogus Otomotiv Servis ve Ticaret A.S. 816,006 2,957,049 0.1%
# Eczacibasi Yatirim Holding Ortakligi A.S. 283,047 946,454 0.0%
# EGE Endustri VE Ticaret A.S. 23,730 2,304,304 0.1%
EGE Seramik Sanayi ve Ticaret A.S. 519,180 698,191 0.0%
# EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve
Ticaret A.S. 1,950,686 1,623,093 0.0%
# Fenerbahce Futbol A.S. 84,211 1,093,092 0.0%
# Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S. 27,385 194,487 0.0%
Gentas Genel Metal Sanayi ve Ticaret A.S. 53,209 20,608 0.0%
# Global Yatirim Holding A.S. 1,781,748 1,084,955 0.0%
* Goldas Kuyumculuk Sanayi Ithalat ve Ihracat A.S. 8,540 -- 0.0%
# Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 45,537 986,479 0.0%
# Goodyear Lastikleri TAS 48,955 1,142,545 0.0%
# Gozde Girisim Sermayesi Yatirim Ortakligi A.S. 1,043,982 858,419 0.0%
# GSD Holding AS 2,604,393 1,070,074 0.0%
# Gubre Fabrikalari TAS 1,552,544 3,504,754 0.1%
# Hurriyet Gazetecilik ve Matbaacilik AS 695,248 152,397 0.0%
# Ihlas Holding A.S. 8,173,996 701,948 0.0%
# Indeks Bilgisayar Sistemleri Muhendislik Sanayi ve Ticaret A.S. 109,256 205,281 0.0%
Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim AS 749,439 449,350 0.0%
Is Finansal Kiralama A.S. 1,311,025 341,406 0.0%
# Is Yatirim Menkul Degerler A.S. Class A 220,148 74,715 0.0%
# Izmir Demir Celik Sanayi A.S. 855,717 539,121 0.0%
# Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 1,314,584 729,293 0.0%
# Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 1,205,759 751,576 0.0%
# Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 6,697,063 3,004,290 0.1%
# Karsan Otomotiv Sanayii Ve Ticaret A.S. 3,159,595 1,494,335 0.0%
# Kartonsan Karton Sanayi ve Ticaret A.S. 17,006 1,284,699 0.0%
# Konya Cimento Sanayii A.S. 18,247 1,872,987 0.1%
# Koza Altin Isletmeleri A.S. 226,641 1,272,256 0.0%
# Koza Anadolu Metal Madencilik Isletmeleri A.S. 548,003 289,338 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------- -------------- ---------------
TURKEY -- (Continued)
Mardin Cimento Sanayii ve Ticaret A.S. 369,885 $ 570,126 0.0%
# Menderes Tekstil Sanayi ve Ticaret A.S. 493,679 94,768 0.0%
Metro Ticari ve Mali Yatirimlar Holding A.S. 2,278,836 522,878 0.0%
# Migros Ticaret A.S. 312,503 1,840,797 0.1%
* Mondi Tire Kutsan Kagit Ve Ambalaj Sanayii A.S. -- -- 0.0%
* Mudurnu Tavukculuk A.S. 1,740 -- 0.0%
* Nergis Holding A.S. 1,784 -- 0.0%
# NET Holding A.S. 1,501,961 1,700,633 0.0%
# Netas Telekomunikasyon A.S. 555,839 1,990,879 0.1%
Nuh Cimento Sanayi A.S. 358,145 1,217,508 0.0%
# Otokar Otomotiv Ve Savunma Sanayi A.S. 164,791 4,408,713 0.1%
# Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 550,011 661,206 0.0%
Parsan Makina Parcalari Sanayi AS 140,357 334,755 0.0%
Petkim Petrokimya Holding A.S. 780,881 1,150,608 0.0%
Pinar Entegre Et ve Un Sanayi A.S. 145,518 556,162 0.0%
Pinar SUT Mamulleri Sanayii A.S. 143,024 933,604 0.0%
* Raks Elektronik Sanayi ve Ticaret A.S. 2,730 -- 0.0%
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 445,663 374,296 0.0%
# Sekerbank TAS 4,222,675 2,240,361 0.1%
Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 1,445,513 1,193,334 0.0%
Soda Sanayii A.S. 1,966,921 3,252,550 0.1%
Tat Gida Sanayi A.S. 889,473 1,707,131 0.0%
# Tekfen Holding A.S. 1,559,779 2,227,192 0.1%
# Teknosa Ic Ve Dis Ticaret A.S. 238,336 522,444 0.0%
Tofas Turk Otomobil Fabrikasi A.S. 1 7 0.0%
# Trakya Cam Sanayi A.S. 3,075,307 2,030,275 0.1%
# Turcas Petrol A.S. 1,224,720 675,425 0.0%
Turk Traktor ve Ziraat Makineleri A.S. 40,488 962,742 0.0%
Turkiye Sinai Kalkinma Bankasi A.S. 7,604,016 4,011,094 0.1%
# Vestel Elektronik Sanayi ve Ticaret A.S. 830,492 1,404,532 0.0%
# Zorlu Enerji Elektrik Uretim A.S. 1,993,503 1,043,746 0.0%
-------------- ----
TOTAL TURKEY 110,141,265 2.3%
-------------- ----
TOTAL COMMON STOCKS 4,823,729,420 98.5%
-------------- ----
PREFERRED STOCKS -- (1.0%)
BRAZIL -- (1.0%)
AES Tiete SA 1,083,784 3,881,995 0.1%
Alpargatas SA 1,748,674 3,740,495 0.1%
Banco ABC Brasil SA(B23DMP8) 689,958 1,521,629 0.0%
Banco ABC Brasil SA(BYT8JC7) 37,355 80,153 0.0%
Banco Daycoval SA 451,227 1,029,205 0.0%
Banco do Estado do Rio Grande do Sul SA Class B 1,777,744 2,762,217 0.1%
Banco Industrial e Comercial SA 484,320 1,036,066 0.0%
Banco Pan SA 2,103,640 818,638 0.0%
Banco Pine SA 296,003 307,322 0.0%
Banco Sofisa SA 75,000 40,825 0.0%
Braskem SA Class A 605,800 3,419,675 0.1%
Centrais Eletricas Brasileiras SA Class B 1,357,128 3,315,918 0.1%
Centrais Eletricas Santa Catarina 79,600 262,854 0.0%
Cia de Gas de Sao Paulo - COMGAS Class A 191,967 2,010,933 0.0%
Cia de Saneamento do Parana 213,501 207,519 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- ----------- ---------------
BRAZIL -- (Continued)
Cia de Transmissao de Energia Eletrica Paulista 332,540 $ 3,826,652 0.1%
Cia Energetica de Sao Paulo Class B 1,173,300 4,924,743 0.1%
Cia Energetica do Ceara Class A 114,339 1,170,656 0.0%
Cia Ferro Ligas da Bahia - Ferbasa 380,249 728,214 0.0%
Cia Paranaense de Energia 987,400 8,313,466 0.2%
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA 910,499 2,338,858 0.1%
Eucatex SA Industria e Comercio 160,378 118,057 0.0%
Gol Linhas Aereas Inteligentes SA 1,064,517 979,770 0.0%
Makira Empreendimentos SA 44,169,145 1,259,832 0.0%
Marcopolo SA 4,785,163 2,417,544 0.1%
Oi SA 2,635,900 1,449,138 0.0%
Parana Banco SA 52,900 126,081 0.0%
Randon SA Implementos e Participacoes 2,168,657 1,590,409 0.0%
* Sharp SA 30,200,000 -- 0.0%
Unipar Carbocloro SA Class B 276,095 279,358 0.0%
Usinas Siderurgicas de Minas Gerais SA Class A 4,498,871 3,240,313 0.1%
----------- ---
TOTAL BRAZIL 57,198,535 1.2%
----------- ---
CHILE -- (0.0%)
Coca-Cola Embonor SA Class B 98,240 170,125 0.0%
Embotelladora Andina SA Class B 422,880 1,548,333 0.0%
----------- ---
TOTAL CHILE 1,718,458 0.0%
----------- ---
COLOMBIA -- (0.0%)
Avianca Holdings SA 2,670,306 1,364,188 0.0%
----------- ---
TOTAL PREFERRED STOCKS 60,281,181 1.2%
----------- ---
RIGHTS/WARRANTS -- (0.0%)
CHINA -- (0.0%)
* Ju Teng International Holdings, Ltd. Warrants 10/14/16 305,292 11,029 0.0%
----------- ---
HONG KONG -- (0.0%)
* Real Nutriceutical Group, Ltd. Rights 11/05/15 1,147,050 14,800 0.0%
----------- ---
MALAYSIA -- (0.0%)
* CB Industrial Product Holdings Bhd Warrants 11/06/19 203,303 15,854 0.0%
* Eastern & Oriental Bhd Warrants 07/21/19 1,036,339 51,865 0.0%
* KNM Group Bhd Warrants 04/20/21 91,897 2,995 0.0%
* LBS Bina Group Bhd Warrants 10/04/20 616,650 38,038 0.0%
* Matrix Concept Holdings Bhd Warrants 07/20/20 6,267 605 0.0%
* O.S.K. Holdings Bhd Warrants 07/22/20 1,408,243 109,814 0.0%
* WCT Holdings Bhd Warrants 08/27/20 1,560,173 50,844 0.0%
----------- ---
TOTAL MALAYSIA 270,015 0.0%
----------- ---
POLAND -- (0.0%)
* Hawe SA Rights 09/30/15 846,548 -- 0.0%
----------- ---
SOUTH AFRICA -- (0.0%)
* Adcock Ingram Holdings, Ltd. Warrants 07/26/19 12,276 6,990 0.0%
----------- ---
SOUTH KOREA -- (0.0%)
* Mirae Asset Securities Co., Ltd. Rights 11/05/15 17,480 41,398 0.0%
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
---------- -------------- ---------------
SOUTH KOREA -- (Continued)
* Sewon Cellontech Co., Ltd. Rights 11/12/15 30,691 $ 29,075 0.0%
#* SK Chemicals Co., Ltd. Rights 12/04/15 11,879 100,029 0.0%
* Sungchang Enterprise Holdings, Ltd. Rights 12/14/15 5,208 26,267 0.0%
-------------- -----
TOTAL SOUTH KOREA 196,769 0.0%
-------------- -----
TAIWAN -- (0.0%)
* Taichung Commercial Bank Rights 11/23/15 479,327 -- 0.0%
-------------- -----
THAILAND -- (0.0%)
* CGH W2 Warrants 07/14/18 649,517 8,035 0.0%
* Grand Canal Land PCL Warrants 06/29/18 466,420 23,473 0.0%
* Jay Mart PCL Rights 10/30/15 429,705 -- 0.0%
* Raimon Land PCL Warrants 06/14/18 6,188,475 34,799 0.0%
* Vibhavadi Medical Center PCL Warrants 06/14/20 -- -- 0.0%
* Workpoint Entertainment PCL Warrants 09/30/19 29,492 14,511 0.0%
-------------- -----
TOTAL THAILAND 80,818 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS 580,421 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 4,884,591,022
--------------
VALUE+
--------------
SECURITIES LENDING COLLATERAL -- (13.5%)
(S)@ DFA Short Term Investment Fund 65,613,226 759,145,027 15.5%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $5,854,413,829) $5,643,736,049 115.2%
============== =====
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, based on their
valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Common Stocks
Argentina $ 1 -- -- $ 1
Brazil 6,309,055 $ 293,403,296 -- 299,712,351
Chile 1,181,529 67,591,437 -- 68,772,966
China 4,149,964 715,093,871 -- 719,243,835
Colombia 8,013,135 -- -- 8,013,135
Greece -- 24,025,225 -- 24,025,225
Hong Kong 85,103 67,949 -- 153,052
Hungary -- 66,875 -- 66,875
India 3,268,799 712,990,607 -- 716,259,406
Indonesia 1,885,745 134,254,782 -- 136,140,527
Israel -- 3 -- 3
Malaysia -- 230,920,190 -- 230,920,190
Mexico 227,333,727 258 -- 227,333,985
Philippines -- 87,592,060 -- 87,592,060
Poland -- 107,210,331 -- 107,210,331
South Africa 9,407,926 406,247,711 -- 415,655,637
South Korea 1,253,893 733,820,140 -- 735,074,033
Taiwan 5,748 751,406,174 -- 751,411,922
Thailand 185,128,553 874,068 -- 186,002,621
Turkey -- 110,141,265 -- 110,141,265
Preferred Stocks
Brazil 80,153 57,118,382 -- 57,198,535
Chile -- 1,718,458 -- 1,718,458
Colombia 1,364,188 -- -- 1,364,188
Rights/Warrants
China -- 11,029 -- 11,029
Hong Kong -- 14,800 -- 14,800
Malaysia -- 270,015 -- 270,015
Poland -- -- -- --
South Africa -- 6,990 -- 6,990
South Korea -- 196,769 -- 196,769
Taiwan -- -- -- --
Thailand -- 80,818 -- 80,818
Securities Lending Collateral -- 759,145,027 -- 759,145,027
------------ -------------- -- --------------
TOTAL $449,467,519 $5,194,268,530 -- $5,643,736,049
============ ============== == ==============
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2015
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
COMMON STOCKS -- (93.6%)
Consumer Discretionary -- (17.7%)
#* 1-800-Flowers.com, Inc. Class A 44,330 $ 440,197 0.0%
A. H. Belo Corp. Class A 14,556 78,748 0.0%
Aaron's, Inc. 4,830 119,156 0.0%
# Arctic Cat, Inc. 3,436 70,575 0.0%
#* Ascent Capital Group, Inc. Class A 8,564 186,524 0.0%
# Autoliv, Inc. 9,404 1,140,141 0.0%
* Ballantyne Strong, Inc. 9,030 39,461 0.0%
#* Barnes & Noble Education, Inc. 7,710 113,723 0.0%
# Barnes & Noble, Inc. 12,200 158,478 0.0%
# Bassett Furniture Industries, Inc. 2,900 92,684 0.0%
Beasley Broadcast Group, Inc. Class A 9,471 40,062 0.0%
#* Beazer Homes USA, Inc. 4,326 61,602 0.0%
* Belmond, Ltd. Class A 75,198 807,627 0.0%
Best Buy Co., Inc. 197,800 6,928,934 0.1%
Big 5 Sporting Goods Corp. 8,501 77,784 0.0%
* Biglari Holdings, Inc. 8 3,073 0.0%
#* BJ's Restaurants, Inc. 25,971 1,114,935 0.0%
# Bob Evans Farms, Inc. 52,387 2,266,785 0.1%
# Bon-Ton Stores, Inc. (The) 2,986 9,406 0.0%
* Books-A-Million, Inc. 8,187 25,953 0.0%
#* Build-A-Bear Workshop, Inc. 25,874 402,599 0.0%
#* Cabela's, Inc. 53,051 2,078,008 0.1%
* Cable One, Inc. 5,780 2,505,283 0.1%
Caleres, Inc. 74,697 2,282,740 0.1%
# Callaway Golf Co. 38,543 383,503 0.0%
#* Cambium Learning Group, Inc. 37,733 181,496 0.0%
Canterbury Park Holding Corp. 2,755 28,294 0.0%
Carnival Corp. 489,649 26,480,218 0.5%
# Carriage Services, Inc. 20,916 449,903 0.0%
#* Cavco Industries, Inc. 7,600 749,360 0.0%
CBS Corp. Class A 28,263 1,429,966 0.0%
CBS Corp. Class B 201,625 9,379,595 0.2%
#* Christopher & Banks Corp. 56,231 82,097 0.0%
Churchill Downs, Inc. 7,682 1,127,948 0.0%
# Citi Trends, Inc. 3,415 90,737 0.0%
# Columbia Sportswear Co. 8,634 473,575 0.0%
Comcast Corp. Class A 3,446,875 215,843,312 4.0%
Comcast Corp. Special Class A 1,088,341 68,249,864 1.3%
#* Conn's, Inc. 25,450 482,787 0.0%
# Core-Mark Holding Co., Inc. 48,118 3,911,512 0.1%
# CSS Industries, Inc. 10,852 296,260 0.0%
CST Brands, Inc. 50,181 1,803,003 0.0%
Culp, Inc. 10,036 301,180 0.0%
#* Delta Apparel, Inc. 7,532 123,751 0.0%
# Destination Maternity Corp. 200 1,386 0.0%
# DeVry Education Group, Inc. 8,757 206,315 0.0%
# Dillard's, Inc. Class A 120,300 10,764,444 0.2%
* Discovery Communications, Inc. Class B 3,762 113,669 0.0%
* Discovery Communications, Inc. Class C 3,762 103,530 0.0%
#* Dixie Group, Inc. (The) 11,800 77,526 0.0%
#* Dorman Products, Inc. 20,712 966,836 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Consumer Discretionary -- (Continued)
Dover Motorsports, Inc. 15,098 $ 33,971 0.0%
DR Horton, Inc. 208,125 6,127,200 0.1%
#* DreamWorks Animation SKG, Inc. Class A 46,429 939,723 0.0%
# Educational Development Corp. 1,679 20,316 0.0%
#* Eldorado Resorts, Inc. 18,512 183,269 0.0%
# Escalade, Inc. 277 4,108 0.0%
#* EVINE Live, Inc. 3,998 10,315 0.0%
# EW Scripps Co. (The) Class A 81,265 1,792,706 0.0%
#* Federal-Mogul Holdings Corp. 36,417 282,232 0.0%
# Flanigan's Enterprises, Inc. 865 22,706 0.0%
# Flexsteel Industries, Inc. 2,068 89,937 0.0%
Foot Locker, Inc. 15,700 1,063,675 0.0%
Ford Motor Co. 1,324,294 19,612,794 0.4%
# Fred's, Inc. Class A 47,275 653,813 0.0%
#* FTD Cos., Inc. 24,893 704,970 0.0%
#* Fuel Systems Solutions, Inc. 3,398 21,136 0.0%
#* G-III Apparel Group, Ltd. 22,788 1,255,391 0.0%
#* Gaiam, Inc. Class A 4,388 30,058 0.0%
# GameStop Corp. Class A 104,752 4,825,925 0.1%
* Gaming Partners International Corp. 500 4,640 0.0%
# Gannett Co., Inc. 59,819 946,337 0.0%
General Motors Co. 802,642 28,020,232 0.5%
#* Genesco, Inc. 7,056 442,058 0.0%
Graham Holdings Co. Class B 5,780 3,193,277 0.1%
#* Gray Television, Inc. 46,874 744,828 0.0%
# Group 1 Automotive, Inc. 57,936 5,037,535 0.1%
# Harte-Hanks, Inc. 55,608 236,334 0.0%
# Haverty Furniture Cos., Inc. 33,479 783,743 0.0%
#* Helen of Troy, Ltd. 64,389 6,388,033 0.1%
#* hhgregg, Inc. 36,388 196,495 0.0%
# Hooker Furniture Corp. 14,814 367,683 0.0%
#* Hyatt Hotels Corp. Class A 14,601 735,890 0.0%
#* Iconix Brand Group, Inc. 95,618 1,464,868 0.0%
International Speedway Corp. Class A 24,844 861,838 0.0%
#* Isle of Capri Casinos, Inc. 15,434 295,252 0.0%
* J Alexander's Holdings, Inc. 2,666 25,700 0.0%
#* JAKKS Pacific, Inc. 13,103 103,776 0.0%
* Jarden Corp. 243,112 10,891,418 0.2%
#* JC Penney Co., Inc. 85,215 781,422 0.0%
Johnson Outdoors, Inc. Class A 15,588 334,051 0.0%
# Journal Media Group, Inc. 25,411 311,031 0.0%
# KB Home 30,800 403,480 0.0%
# Kohl's Corp. 14,353 661,960 0.0%
# La-Z-Boy, Inc. 56,332 1,608,279 0.0%
#* Lakeland Industries, Inc. 11,757 145,199 0.0%
#* Lands' End, Inc. 21,056 519,662 0.0%
#* Lee Enterprises, Inc. 10,309 20,515 0.0%
# Lennar Corp. Class A 224,100 11,220,687 0.2%
Lennar Corp. Class B 7,868 326,050 0.0%
* Liberty Broadband Corp. Class A 24,095 1,314,623 0.0%
* Liberty Broadband Corp. Class B 1,905 105,004 0.0%
* Liberty Broadband Corp. Class C 67,601 3,634,906 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Consumer Discretionary -- (Continued)
#* Liberty Interactive Corp. Class B 35,706 $ 991,199 0.0%
* Liberty Interactive Corp., QVC Group Class A 882,463 24,153,012 0.5%
#* Liberty Media Corp. Class A 96,383 3,928,571 0.1%
* Liberty Media Corp. Class B 7,622 311,397 0.0%
* Liberty Media Corp. Class C 208,010 8,143,591 0.2%
* Liberty TripAdvisor Holdings, Inc. Class A 76,802 2,395,454 0.1%
#* Liberty TripAdvisor Holdings, Inc. Class B 3,570 115,989 0.0%
* Liberty Ventures Series A 202,261 8,812,512 0.2%
#* Liberty Ventures Series B 8,645 377,268 0.0%
Lifetime Brands, Inc. 16,431 252,544 0.0%
# Lithia Motors, Inc. Class A 34,933 4,100,785 0.1%
#* Live Nation Entertainment, Inc. 145,347 3,965,066 0.1%
#* Loral Space & Communications, Inc. 19,046 851,547 0.0%
* Luby's, Inc. 32,226 150,173 0.0%
#* M/I Homes, Inc. 37,930 870,493 0.0%
* Madison Square Garden Co. (The) Class A 9,852 1,758,582 0.0%
Marcus Corp. (The) 18,899 391,020 0.0%
#* MarineMax, Inc. 29,164 460,791 0.0%
# Marriott Vacations Worldwide Corp. 2,531 162,996 0.0%
#* Martha Stewart Living Omnimedia, Inc. Class A 980 5,919 0.0%
#* McClatchy Co. (The) Class A 60,603 84,238 0.0%
#* Media General, Inc. 25,196 374,413 0.0%
# Men's Wearhouse, Inc. (The) 52,860 2,113,343 0.1%
Meredith Corp. 32,676 1,536,426 0.0%
#* Meritage Homes Corp. 28,156 992,781 0.0%
#* MGM Resorts International 227,871 5,284,328 0.1%
#* Modine Manufacturing Co. 14,650 122,621 0.0%
* Mohawk Industries, Inc. 98,740 19,303,670 0.4%
* Monarch Casino & Resort, Inc. 1,103 24,200 0.0%
#* Motorcar Parts of America, Inc. 13,074 440,071 0.0%
# Movado Group, Inc. 36,900 949,806 0.0%
* MSG Networks, Inc. Class A 29,558 606,530 0.0%
* Murphy USA, Inc. 30,778 1,888,846 0.0%
NACCO Industries, Inc. Class A 6,832 306,279 0.0%
* New York & Co., Inc. 6,926 18,146 0.0%
# News Corp. Class A 402,247 6,194,604 0.1%
# News Corp. Class B 99,903 1,546,498 0.0%
* Office Depot, Inc. 181,609 1,383,861 0.0%
# Penske Automotive Group, Inc. 43,845 2,141,390 0.1%
* Pep Boys-Manny, Moe & Jack (The) 60,161 904,821 0.0%
#* Perry Ellis International, Inc. 21,492 461,433 0.0%
PulteGroup, Inc. 143,221 2,625,241 0.1%
# PVH Corp. 31,964 2,907,126 0.1%
#* Radio One, Inc. Class D 13,955 30,003 0.0%
* RCI Hospitality Holdings, Inc. 12,026 119,538 0.0%
#* Red Robin Gourmet Burgers, Inc. 31,175 2,334,696 0.1%
#* Regis Corp. 49,623 819,772 0.0%
# Remy International, Inc. 2,760 81,392 0.0%
# Rent-A-Center, Inc. 76,435 1,405,640 0.0%
# Rocky Brands, Inc. 8,729 111,295 0.0%
# Royal Caribbean Cruises, Ltd. 322,500 31,717,875 0.6%
#* Ruby Tuesday, Inc. 17,500 91,525 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- -------------- ---------------
Consumer Discretionary -- (Continued)
# Saga Communications, Inc. Class A 8,693 $ 373,973 0.0%
Salem Media Group, Inc. 10,922 68,699 0.0%
Scholastic Corp. 30,900 1,262,883 0.0%
Service Corp. International 274,069 7,745,190 0.2%
#* Shiloh Industries, Inc. 15,461 116,576 0.0%
# Shoe Carnival, Inc. 33,450 751,621 0.0%
* Skechers U.S.A., Inc. Class A 148,830 4,643,496 0.1%
Spartan Motors, Inc. 16,820 69,467 0.0%
# Speedway Motorsports, Inc. 16,132 297,958 0.0%
# Stage Stores, Inc. 37,214 362,092 0.0%
Standard Motor Products, Inc. 37,342 1,652,383 0.0%
Staples, Inc. 426,509 5,540,352 0.1%
#* Starz Class A 83,555 2,799,928 0.1%
* Starz Class B 7,622 253,813 0.0%
* Steiner Leisure, Ltd. 2,225 140,976 0.0%
#* Stoneridge, Inc. 19,361 245,691 0.0%
# Strattec Security Corp. 5,224 312,500 0.0%
Superior Industries International, Inc. 23,275 458,052 0.0%
# Superior Uniform Group, Inc. 17,956 305,970 0.0%
# Sypris Solutions, Inc. 8,460 6,345 0.0%
#* Systemax, Inc. 11,197 103,796 0.0%
* Tandy Leather Factory, Inc. 9,974 75,703 0.0%
Target Corp. 4,925 380,112 0.0%
# TEGNA, Inc. 119,639 3,235,039 0.1%
Time Warner Cable, Inc. 693,942 131,432,615 2.5%
Time Warner, Inc. 1,534,860 115,636,352 2.2%
# Time, Inc. 191,857 3,564,703 0.1%
* Toll Brothers, Inc. 203,299 7,312,665 0.1%
* Trans World Entertainment Corp. 5,781 21,968 0.0%
#* Tuesday Morning Corp. 60,500 327,305 0.0%
Twenty-First Century Fox, Inc. Class A 1,287,383 39,509,784 0.8%
Twenty-First Century Fox, Inc. Class B 550,972 17,014,015 0.3%
* Unifi, Inc. 43,422 1,328,279 0.0%
#* Universal Electronics, Inc. 3,206 152,509 0.0%
# Vail Resorts, Inc. 11,600 1,324,372 0.0%
* Vista Outdoor, Inc. 77,610 3,470,719 0.1%
#* VOXX International Corp. 3,750 19,350 0.0%
Walt Disney Co. (The) 26,220 2,982,263 0.1%
# Wendy's Co. (The) 242,704 2,223,169 0.1%
* West Marine, Inc. 26,468 269,444 0.0%
Whirlpool Corp. 30,049 4,812,047 0.1%
# Wyndham Worldwide Corp. 124,768 10,149,877 0.2%
-------------- ----
Total Consumer Discretionary 1,008,822,964 18.9%
-------------- ----
Consumer Staples -- (7.4%)
# Alico, Inc. 960 40,982 0.0%
#* Alliance One International, Inc. 3,508 61,741 0.0%
# Andersons, Inc. (The) 23,660 837,564 0.0%
Archer-Daniels-Midland Co. 813,476 37,143,314 0.7%
#* Boulder Brands, Inc. 76,099 674,237 0.0%
Bunge, Ltd. 121,368 8,855,009 0.2%
* CCA Industries, Inc. 8,323 31,544 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Consumer Staples -- (Continued)
#* Central Garden & Pet Co. 25,184 $ 400,677 0.0%
#* Central Garden & Pet Co. Class A 48,121 812,282 0.0%
Constellation Brands, Inc. Class A 249,042 33,570,862 0.6%
# Constellation Brands, Inc. Class B 12,715 1,718,051 0.0%
#* Craft Brew Alliance, Inc. 9,754 74,716 0.0%
CVS Health Corp. 1,510,745 149,231,391 2.8%
#* Farmer Bros Co. 3,495 99,188 0.0%
# Fresh Del Monte Produce, Inc. 39,437 1,799,510 0.0%
#* Hain Celestial Group, Inc. (The) 87,292 4,351,506 0.1%
# Ingles Markets, Inc. Class A 11,437 571,164 0.0%
Ingredion, Inc. 62,117 5,904,842 0.1%
JM Smucker Co. (The) 108,204 12,702,068 0.3%
# John B. Sanfilippo & Son, Inc. 10,428 674,900 0.0%
Kraft Heinz Co. (The) 114,027 8,890,685 0.2%
#* Landec Corp. 37,056 455,789 0.0%
* Mannatech, Inc. 717 17,796 0.0%
# MGP Ingredients, Inc. 4,788 82,976 0.0%
# Molson Coors Brewing Co. Class A 1,908 167,713 0.0%
# Molson Coors Brewing Co. Class B 186,550 16,435,055 0.3%
Mondelez International, Inc. Class A 2,081,099 96,063,530 1.8%
#* Nutraceutical International Corp. 14,615 358,068 0.0%
# Oil-Dri Corp. of America 5,047 158,375 0.0%
#* Omega Protein Corp. 25,852 470,506 0.0%
* Post Holdings, Inc. 50,201 3,226,418 0.1%
# Sanderson Farms, Inc. 16,100 1,119,111 0.0%
#* Seaboard Corp. 1,812 6,102,816 0.1%
#* Seneca Foods Corp. Class A 6,301 183,863 0.0%
* Seneca Foods Corp. Class B 300 9,470 0.0%
# Snyder's-Lance, Inc. 32,153 1,142,718 0.0%
# SpartanNash Co. 34,281 956,440 0.0%
# Spectrum Brands Holdings, Inc. 46,130 4,421,560 0.1%
#* TreeHouse Foods, Inc. 24,190 2,071,632 0.1%
# Tyson Foods, Inc. Class A 405,030 17,967,131 0.3%
# Universal Corp. 22,290 1,203,883 0.0%
Walgreens Boots Alliance, Inc. 27,700 2,345,636 0.1%
# Weis Markets, Inc. 11,602 477,306 0.0%
------------ ---
Total Consumer Staples 423,884,025 7.9%
------------ ---
Energy -- (13.1%)
Adams Resources & Energy, Inc. 6,004 266,938 0.0%
# Alon USA Energy, Inc. 33,484 560,857 0.0%
Anadarko Petroleum Corp. 845,068 56,518,148 1.1%
# Apache Corp. 210,838 9,936,795 0.2%
#* Approach Resources, Inc. 6,883 16,244 0.0%
# Atwood Oceanics, Inc. 4,600 76,130 0.0%
Baker Hughes, Inc. 127,976 6,741,776 0.1%
#* Barnwell Industries, Inc. 8,038 16,960 0.0%
# Bristow Group, Inc. 40,138 1,393,993 0.0%
#* C&J Energy Services, Ltd. 37,416 186,706 0.0%
# California Resources Corp. 118,504 478,756 0.0%
#* Callon Petroleum Co. 13,214 114,698 0.0%
# Chesapeake Energy Corp. 370,477 2,641,501 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Energy -- (Continued)
Chevron Corp. 1,027,290 $ 93,360,115 1.8%
#* Cloud Peak Energy, Inc. 33,115 98,352 0.0%
# Comstock Resources, Inc. 32,421 74,568 0.0%
# ConocoPhillips 1,728,838 92,233,507 1.7%
* Contango Oil & Gas Co. 1,064 8,140 0.0%
#* Dawson Geophysical Co. 30,611 99,486 0.0%
Delek US Holdings, Inc. 52,256 1,421,363 0.0%
# Denbury Resources, Inc. 289,460 1,024,688 0.0%
Devon Energy Corp. 81,126 3,401,613 0.1%
# Energy XXI, Ltd. 15,380 26,607 0.0%
EOG Resources, Inc. 77,897 6,687,457 0.1%
* Era Group, Inc. 24,458 340,211 0.0%
Exterran Holdings, Inc. 69,200 1,504,408 0.0%
Exxon Mobil Corp. 2,043,508 169,079,852 3.2%
# Green Plains, Inc. 26,534 544,212 0.0%
Gulf Island Fabrication, Inc. 15,018 151,832 0.0%
# Gulfmark Offshore, Inc. Class A 27,750 173,160 0.0%
Halliburton Co. 47,970 1,841,089 0.0%
#* Harvest Natural Resources, Inc. 35,677 35,320 0.0%
#* Helix Energy Solutions Group, Inc. 103,010 595,398 0.0%
# Helmerich & Payne, Inc. 108,670 6,114,861 0.1%
Hess Corp. 178,172 10,015,048 0.2%
HollyFrontier Corp. 32,210 1,577,324 0.0%
#* Hornbeck Offshore Services, Inc. 29,719 401,504 0.0%
#* Key Energy Services, Inc. 49,745 26,136 0.0%
Kinder Morgan, Inc. 260,042 7,112,149 0.1%
# Marathon Oil Corp. 467,019 8,583,809 0.2%
Marathon Petroleum Corp. 903,936 46,823,885 0.9%
#* Matrix Service Co. 15,423 350,102 0.0%
# Murphy Oil Corp. 189,426 5,385,381 0.1%
Nabors Industries, Ltd. 181,974 1,827,019 0.0%
# National Oilwell Varco, Inc. 250,948 9,445,683 0.2%
* Natural Gas Services Group, Inc. 15,026 338,386 0.0%
* Newfield Exploration Co. 48,506 1,949,456 0.0%
#* Newpark Resources, Inc. 97,395 551,256 0.0%
# Noble Corp. P.L.C. 74,243 1,000,053 0.0%
Noble Energy, Inc. 133,794 4,795,177 0.1%
#* Northern Oil and Gas, Inc. 16,372 82,515 0.0%
Occidental Petroleum Corp. 227,734 16,975,292 0.3%
#* Overseas Shipholding Group, Inc. Class B 2,355 8,242 0.0%
# Paragon Offshore P.L.C. 24,747 5,939 0.0%
#* Parker Drilling Co. 142,573 407,759 0.0%
# Patterson-UTI Energy, Inc. 152,325 2,268,119 0.1%
#* PDC Energy, Inc. 24,103 1,454,375 0.0%
#* PHI, Inc.(69336T106) 1,099 19,771 0.0%
#* PHI, Inc.(69336T205) 15,570 296,453 0.0%
Phillips 66 883,414 78,668,017 1.5%
#* Pioneer Energy Services Corp. 74,262 171,545 0.0%
Pioneer Natural Resources Co. 88,400 12,123,176 0.2%
# QEP Resources, Inc. 33,043 510,845 0.0%
#* Renewable Energy Group, Inc. 2,882 22,739 0.0%
#* REX American Resources Corp. 4,050 222,385 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
Energy -- (Continued)
#* Rex Energy Corp. 35,100 $ 79,326 0.0%
Rowan Cos. P.L.C. Class A 121,858 2,398,165 0.1%
#* SEACOR Holdings, Inc. 20,471 1,195,916 0.0%
# SemGroup Corp. Class A 4,727 215,315 0.0%
#* Seventy Seven Energy, Inc. 44,617 50,863 0.0%
# Ship Finance International, Ltd. 12,481 213,300 0.0%
#* Stone Energy Corp. 1,115 6,233 0.0%
Superior Energy Services, Inc. 75,686 1,071,714 0.0%
# Teekay Corp. 37,720 1,211,944 0.0%
# Tesco Corp. 3,745 29,960 0.0%
Tesoro Corp. 168,807 18,050,533 0.4%
* TETRA Technologies, Inc. 25,510 171,937 0.0%
# Tidewater, Inc. 49,127 606,718 0.0%
# Transocean, Ltd. 252,980 4,004,673 0.1%
#* Triangle Petroleum Corp. 7,779 9,335 0.0%
#* Unit Corp. 52,140 657,485 0.0%
Valero Energy Corp. 605,899 39,940,862 0.8%
#* Weatherford International P.L.C. 281,383 2,881,362 0.1%
Western Refining, Inc. 47,810 1,989,852 0.1%
* Whiting Petroleum Corp. 16,007 275,801 0.0%
#* Willbros Group, Inc. 18,620 37,240 0.0%
------------ ----
Total Energy 746,283,815 14.0%
------------ ----
Financials -- (18.0%)
1st Source Corp. 45,305 1,438,887 0.0%
# ACE, Ltd. 66,691 7,572,096 0.2%
Aflac, Inc. 81,778 5,213,347 0.1%
Alexander & Baldwin, Inc. 66,838 2,522,466 0.1%
* Alleghany Corp. 3,115 1,545,881 0.0%
Allied World Assurance Co. Holdings AG 76,431 2,779,031 0.1%
Allstate Corp. (The) 211,174 13,067,447 0.3%
# American Equity Investment Life Holding Co. 88,700 2,277,816 0.1%
American Financial Group, Inc. 173,596 12,531,895 0.2%
* American Independence Corp. 173 1,695 0.0%
American International Group, Inc. 899,581 56,727,578 1.1%
# American National Insurance Co. 23,302 2,406,631 0.1%
# Ameris Bancorp 12,022 378,693 0.0%
AmeriServ Financial, Inc. 33,075 109,478 0.0%
* Arch Capital Group, Ltd. 3,094 231,710 0.0%
Argo Group International Holdings, Ltd. 46,942 2,934,814 0.1%
Aspen Insurance Holdings, Ltd. 102,623 4,988,504 0.1%
# Associated Banc-Corp 31,434 607,934 0.0%
Assurant, Inc. 65,820 5,366,305 0.1%
Assured Guaranty, Ltd. 122,989 3,374,818 0.1%
* Asta Funding, Inc. 7,527 64,732 0.0%
# Astoria Financial Corp. 19,344 308,730 0.0%
#* Atlanticus Holdings Corp. 19,218 58,038 0.0%
#* AV Homes, Inc. 3,852 51,000 0.0%
Axis Capital Holdings, Ltd. 8,510 459,540 0.0%
# Baldwin & Lyons, Inc. Class A 300 6,930 0.0%
# Baldwin & Lyons, Inc. Class B 6,556 152,296 0.0%
#* Bancorp, Inc. (The) 459 3,305 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
# Bank Mutual Corp. 14,475 $ 104,799 0.0%
Bank of America Corp. 5,529,894 92,791,621 1.7%
Bank of New York Mellon Corp. (The) 497,075 20,703,174 0.4%
# Bank of the Ozarks, Inc. 626 31,313 0.0%
# BankFinancial Corp. 21,475 264,787 0.0%
# Banner Corp. 7,943 389,763 0.0%
BB&T Corp. 120,728 4,485,045 0.1%
BCB Bancorp, Inc. 1,059 10,601 0.0%
Berkshire Hills Bancorp, Inc. 30,747 879,364 0.0%
#* BofI Holding, Inc. 8,208 656,722 0.0%
# Capital City Bank Group, Inc. 15,389 237,606 0.0%
Capital One Financial Corp. 373,787 29,491,794 0.6%
#* Cascade Bancorp 15,799 88,632 0.0%
Cathay General Bancorp 17,730 554,949 0.0%
Centerstate Banks, Inc. 747 10,891 0.0%
Century Bancorp, Inc. Class A 495 22,003 0.0%
Chicopee Bancorp, Inc. 366 6,072 0.0%
Chubb Corp. (The) 20,149 2,606,273 0.1%
# Cincinnati Financial Corp. 16,626 1,001,384 0.0%
CIT Group, Inc. 45,907 1,974,001 0.1%
Citigroup, Inc. 2,143,604 113,975,425 2.1%
# Citizens Community Bancorp, Inc. 10,355 91,952 0.0%
CME Group, Inc. 414,385 39,146,951 0.7%
CNA Financial Corp. 277,671 10,151,652 0.2%
# CNO Financial Group, Inc. 301,264 5,787,281 0.1%
Codorus Valley Bancorp, Inc. 139 2,857 0.0%
Comerica, Inc. 16,431 713,105 0.0%
Community West Bancshares 400 2,800 0.0%
#* Cowen Group, Inc. Class A 15,961 67,196 0.0%
Donegal Group, Inc. Class A 13,586 192,242 0.0%
# Donegal Group, Inc. Class B 300 6,029 0.0%
* E*TRADE Financial Corp. 89,699 2,557,318 0.1%
Eastern Virginia Bankshares, Inc. 307 1,986 0.0%
# EMC Insurance Group, Inc. 27,511 687,775 0.0%
#* Emergent Capital, Inc. 3,602 17,866 0.0%
Endurance Specialty Holdings, Ltd. 94,576 5,970,583 0.1%
Enterprise Financial Services Corp. 3,235 91,745 0.0%
ESSA Bancorp, Inc. 8,217 109,040 0.0%
Evans Bancorp, Inc. 1,681 42,025 0.0%
Everest Re Group, Ltd. 34,913 6,213,467 0.1%
#* Farmers Capital Bank Corp. 302 8,190 0.0%
# FBL Financial Group, Inc. Class A 24,660 1,551,114 0.0%
Federal Agricultural Mortgage Corp. Class A 177 4,558 0.0%
# Federal Agricultural Mortgage Corp. Class C 9,200 270,112 0.0%
Federated National Holding Co. 13,665 420,677 0.0%
Fidelity Southern Corp. 7,213 151,112 0.0%
Fifth Third Bancorp 92,166 1,755,762 0.0%
* First Acceptance Corp. 30,158 85,950 0.0%
# First American Financial Corp. 61,982 2,363,374 0.1%
First BanCorp 16,138 299,037 0.0%
# First Business Financial Services, Inc. 964 23,763 0.0%
# First Citizens BancShares, Inc. Class A 8,627 2,209,720 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Financials -- (Continued)
# First Commonwealth Financial Corp. 30,547 $ 280,727 0.0%
# First Community Bancshares, Inc. 183 3,519 0.0%
# First Defiance Financial Corp. 10,880 416,704 0.0%
First Federal of Northern Michigan Bancorp, Inc. 900 5,769 0.0%
First Financial Northwest, Inc. 25,371 318,406 0.0%
# First Merchants Corp. 41,623 1,091,771 0.0%
First Midwest Bancorp, Inc. 7,168 127,734 0.0%
First South Bancorp, Inc. 2,278 18,247 0.0%
FNF Group 46,321 1,634,205 0.0%
* FNFV Group 15,438 173,523 0.0%
Fox Chase Bancorp, Inc. 351 6,146 0.0%
#* Genworth Financial, Inc. Class A 34,964 163,632 0.0%
# German American Bancorp, Inc. 7,459 233,690 0.0%
#* Global Indemnity P.L.C. 8,282 235,292 0.0%
Goldman Sachs Group, Inc. (The) 209,155 39,216,562 0.7%
# Great Southern Bancorp, Inc. 1,616 78,101 0.0%
Griffin Industrial Realty, Inc. 1,500 38,370 0.0%
Guaranty Federal Bancshares, Inc. 1,684 24,603 0.0%
* Hallmark Financial Services, Inc. 20,834 270,634 0.0%
Hanover Insurance Group, Inc. (The) 88,829 7,483,843 0.2%
Hartford Financial Services Group, Inc. (The) 320,787 14,839,607 0.3%
Heartland Financial USA, Inc. 465 17,131 0.0%
HF Financial Corp. 400 6,456 0.0%
#* Hilltop Holdings, Inc. 26,171 548,806 0.0%
# Hingham Institution for Savings 500 63,705 0.0%
* HMN Financial, Inc. 3,456 40,539 0.0%
# Home Bancorp, Inc. 719 18,248 0.0%
# HopFed Bancorp, Inc. 6,781 79,948 0.0%
# Horace Mann Educators Corp. 58,206 1,992,973 0.1%
Hudson City Bancorp, Inc. 28,191 285,293 0.0%
# Huntington Bancshares, Inc. 70,847 777,192 0.0%
Iberiabank Corp. 697 42,259 0.0%
# Independence Holding Co. 13,333 180,795 0.0%
# Infinity Property & Casualty Corp. 15,800 1,272,216 0.0%
Intercontinental Exchange, Inc. 1,479 373,300 0.0%
International Bancshares Corp. 800 21,560 0.0%
# Investment Technology Group, Inc. 23,677 379,069 0.0%
Investors Title Co. 1,169 87,967 0.0%
# Janus Capital Group, Inc. 24,840 385,765 0.0%
JPMorgan Chase & Co. 2,120,954 136,271,294 2.6%
# Kemper Corp. 46,361 1,656,015 0.0%
Kentucky First Federal Bancorp 2,400 22,416 0.0%
KeyCorp 526,210 6,535,528 0.1%
Lake Sunapee Bank Group 3,667 52,145 0.0%
Lakeland Bancorp, Inc. 8,740 101,646 0.0%
Landmark Bancorp, Inc. 2,066 54,522 0.0%
Legg Mason, Inc. 56,555 2,530,836 0.1%
#* LendingTree, Inc. 5,635 683,864 0.0%
Leucadia National Corp. 35,258 705,513 0.0%
Lincoln National Corp. 360,493 19,289,980 0.4%
Loews Corp. 243,798 8,888,875 0.2%
M&T Bank Corp. 4,241 508,284 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Financials -- (Continued)
Macatawa Bank Corp. 18,892 $ 97,483 0.0%
Mackinac Financial Corp. 6,893 71,136 0.0%
# Maiden Holdings, Ltd. 5,792 90,066 0.0%
# MainSource Financial Group, Inc. 45,000 973,800 0.0%
* Markel Corp. 101 87,668 0.0%
# Marlin Business Services Corp. 14,241 251,496 0.0%
# MB Financial, Inc. 19,678 634,419 0.0%
#* MBIA, Inc. 82,267 617,825 0.0%
* MBT Financial Corp. 24,724 156,008 0.0%
Mercantile Bank Corp. 4,422 97,549 0.0%
# Meta Financial Group, Inc. 1,083 46,656 0.0%
MetLife, Inc. 1,125,923 56,724,001 1.1%
Metro Bancorp, Inc. 26,598 824,006 0.0%
# MidWestOne Financial Group, Inc. 346 10,601 0.0%
Morgan Stanley 1,476,248 48,671,897 0.9%
MutualFirst Financial, Inc. 2,300 53,866 0.0%
Nasdaq, Inc. 42,129 2,438,848 0.1%
National Penn Bancshares, Inc. 1,071 12,895 0.0%
National Western Life Group, Inc. Class A 900 232,191 0.0%
#* Navigators Group, Inc. (The) 3,685 314,515 0.0%
# New York Community Bancorp, Inc. 54,969 908,088 0.0%
NewBridge Bancorp 11,413 129,081 0.0%
#* NewStar Financial, Inc. 41,166 434,301 0.0%
# Northeast Community Bancorp, Inc. 15,490 114,316 0.0%
Northrim BanCorp, Inc. 5,734 158,373 0.0%
# OFG Bancorp 30,191 278,059 0.0%
Old Republic International Corp. 172,923 3,119,531 0.1%
# Oppenheimer Holdings, Inc. Class A 3,097 56,830 0.0%
* Pacific Mercantile Bancorp 13,261 89,910 0.0%
# PacWest Bancorp 1,076 48,463 0.0%
Park Sterling Corp. 3,253 23,584 0.0%
PartnerRe, Ltd. 52,224 7,259,136 0.2%
People's United Financial, Inc. 68,700 1,095,765 0.0%
Peoples Bancorp of North Carolina, Inc. 250 4,803 0.0%
# Peoples Bancorp, Inc. 15,923 305,085 0.0%
* PHH Corp. 54,576 802,267 0.0%
#* Phoenix Cos., Inc. (The) 2,631 90,454 0.0%
# Pinnacle Financial Partners, Inc. 23,924 1,258,881 0.0%
#* Piper Jaffray Cos. 312 11,098 0.0%
PNC Financial Services Group, Inc. (The) 88,465 7,984,851 0.2%
Popular, Inc. 56,536 1,671,770 0.0%
Premier Financial Bancorp, Inc. 4,434 65,313 0.0%
Principal Financial Group, Inc. 218,754 10,972,701 0.2%
Provident Financial Holdings, Inc. 544 9,324 0.0%
# Provident Financial Services, Inc. 21,059 427,919 0.0%
Prudential Financial, Inc. 497,625 41,054,062 0.8%
Pulaski Financial Corp. 4,550 67,522 0.0%
Radian Group, Inc. 161,945 2,343,344 0.1%
Regions Financial Corp. 1,302,555 12,178,889 0.2%
Reinsurance Group of America, Inc. 169,166 15,265,540 0.3%
# RenaissanceRe Holdings, Ltd. 12,667 1,388,683 0.0%
Renasant Corp. 42,102 1,457,992 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- -------------- ---------------
Financials -- (Continued)
#* Republic First Bancorp, Inc. 2,174 $ 8,457 0.0%
# Resource America, Inc. Class A 21,051 161,882 0.0%
# Riverview Bancorp, Inc. 1,682 7,939 0.0%
# Safety Insurance Group, Inc. 26,197 1,518,116 0.0%
# Sandy Spring Bancorp, Inc. 9,125 250,938 0.0%
* Select Bancorp, Inc. 600 4,662 0.0%
# Selective Insurance Group, Inc. 45,200 1,649,348 0.0%
SI Financial Group, Inc. 5,661 71,612 0.0%
# South State Corp. 8,549 662,548 0.0%
#* Southern First Bancshares, Inc. 1,216 27,846 0.0%
Southwest Bancorp, Inc. 16,974 287,030 0.0%
StanCorp Financial Group, Inc. 15,636 1,793,762 0.0%
# State Auto Financial Corp. 15,100 360,135 0.0%
State Street Corp. 12,833 885,477 0.0%
Sterling Bancorp 70,552 1,085,795 0.0%
# Stewart Information Services Corp. 12,271 492,926 0.0%
* Stratus Properties, Inc. 3,069 52,326 0.0%
Suffolk Bancorp 205 6,127 0.0%
SunTrust Banks, Inc. 287,532 11,938,329 0.2%
Symetra Financial Corp. 20,319 644,722 0.0%
Synovus Financial Corp. 22,796 721,037 0.0%
Timberland Bancorp, Inc. 2,500 30,325 0.0%
# Torchmark Corp. 7,000 406,070 0.0%
Travelers Cos., Inc. (The) 132,163 14,919,881 0.3%
# Trico Bancshares 854 22,511 0.0%
# Trustmark Corp. 4,194 100,782 0.0%
# Umpqua Holdings Corp. 34,932 583,364 0.0%
* Unico American Corp. 1,900 18,335 0.0%
# Union Bankshares Corp. 37,042 927,902 0.0%
# United Bankshares, Inc. 12,121 479,386 0.0%
United Financial Bancorp, Inc. 9,193 119,325 0.0%
# United Fire Group, Inc. 24,429 908,515 0.0%
* United Security Bancshares 416 2,188 0.0%
# Unity Bancorp, Inc. 3,636 36,724 0.0%
Unum Group 517,445 17,929,469 0.3%
Validus Holdings, Ltd. 8,958 396,839 0.0%
# Valley National Bancorp 768 8,064 0.0%
Voya Financial, Inc. 14,373 583,113 0.0%
# Washington Federal, Inc. 1,243 31,000 0.0%
Waterstone Financial, Inc. 1,426 18,994 0.0%
Wells Fargo & Co. 68,870 3,728,622 0.1%
# WesBanco, Inc. 31,678 1,034,287 0.0%
# West BanCorp., Inc. 13,957 275,790 0.0%
Westfield Financial, Inc. 10,811 84,326 0.0%
# Wintrust Financial Corp. 24,224 1,223,070 0.0%
WR Berkley Corp. 5,305 296,178 0.0%
XL Group P.L.C. 240,766 9,168,369 0.2%
# Zions Bancorporation 53,325 1,534,160 0.0%
-------------- ----
Total Financials 1,029,981,744 19.3%
-------------- ----
Health Care -- (10.7%)
Aceto Corp. 31,686 955,650 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Health Care -- (Continued)
#* Addus HomeCare Corp. 2,044 $ 51,059 0.0%
Aetna, Inc. 558,462 64,100,268 1.2%
#* Affymetrix, Inc. 42,297 389,132 0.0%
#* Albany Molecular Research, Inc. 34,587 623,949 0.0%
* Alere, Inc. 45,800 2,112,296 0.1%
* Allergan P.L.C. 117,350 36,198,954 0.7%
#* Amedisys, Inc. 19,727 780,795 0.0%
* AMN Healthcare Services, Inc. 8,600 243,982 0.0%
#* Amsurg Corp. 30,743 2,154,777 0.1%
# Analogic Corp. 2,988 261,809 0.0%
#* AngioDynamics, Inc. 14,354 180,573 0.0%
#* Anika Therapeutics, Inc. 14,671 565,127 0.0%
Anthem, Inc. 504,640 70,220,656 1.3%
* Arrhythmia Research Technology, Inc. 1,200 7,452 0.0%
#* BioScrip, Inc. 22,765 44,847 0.0%
#* BioTelemetry, Inc. 5,328 69,371 0.0%
* Boston Scientific Corp. 1,204,199 22,012,758 0.4%
#* Brookdale Senior Living, Inc. 4,785 100,054 0.0%
#* Cambrex Corp. 43,567 2,002,775 0.0%
Cigna Corp. 42,954 5,757,554 0.1%
#* Community Health Systems, Inc. 105,314 2,953,005 0.1%
# CONMED Corp. 43,239 1,753,774 0.0%
# Cooper Cos., Inc. (The) 13,956 2,126,336 0.1%
* Cross Country Healthcare, Inc. 7,595 102,532 0.0%
# CryoLife, Inc. 17,502 184,471 0.0%
#* Cumberland Pharmaceuticals, Inc. 23,319 144,578 0.0%
#* Cutera, Inc. 23,174 314,471 0.0%
#* Cynosure, Inc. Class A 8,077 304,018 0.0%
Digirad Corp. 26,711 158,129 0.0%
#* Emergent Biosolutions, Inc. 8,678 278,998 0.0%
#* Enzo Biochem, Inc. 41,397 153,997 0.0%
* Exactech, Inc. 3,390 57,732 0.0%
* Express Scripts Holding Co. 501,076 43,282,945 0.8%
* Five Star Quality Care, Inc. 28,953 94,676 0.0%
#* Genesis Healthcare, Inc. 9,380 46,525 0.0%
#* Greatbatch, Inc. 41,672 2,227,368 0.1%
#* Hanger, Inc. 16,897 243,655 0.0%
#* Harvard Bioscience, Inc. 32,107 94,395 0.0%
* Health Net, Inc. 44,958 2,889,001 0.1%
#* Healthways, Inc. 37,281 438,797 0.0%
* Hologic, Inc. 305,036 11,853,699 0.2%
Humana, Inc. 236,814 42,302,085 0.8%
#* Impax Laboratories, Inc. 4,700 162,761 0.0%
# Invacare Corp. 7,330 126,662 0.0%
Kewaunee Scientific Corp. 1,631 27,107 0.0%
# Kindred Healthcare, Inc. 56,891 762,339 0.0%
# LeMaitre Vascular, Inc. 5,100 67,932 0.0%
#* LHC Group, Inc. 1,418 63,902 0.0%
* LifePoint Hospitals, Inc. 82,208 5,662,487 0.1%
* Magellan Health, Inc. 17,899 955,807 0.0%
#* MedAssets, Inc. 44,682 1,058,070 0.0%
(degrees)* MedCath Corp. 29,240 -- 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Health Care -- (Continued)
Medtronic P.L.C. 324,690 $ 24,001,085 0.5%
#* Merit Medical Systems, Inc. 13,395 248,343 0.0%
* Misonix, Inc. 3,362 37,453 0.0%
#* Molina Healthcare, Inc. 24,941 1,546,342 0.0%
# National Healthcare Corp. 6,484 423,276 0.0%
#* Natus Medical, Inc. 15,698 714,730 0.0%
#* NuVasive, Inc. 2,045 96,442 0.0%
#* Omnicell, Inc. 35,405 963,016 0.0%
PerkinElmer, Inc. 76,500 3,950,460 0.1%
Pfizer, Inc. 4,448,466 150,447,120 2.8%
* PharMerica Corp. 33,305 951,524 0.0%
#* Prestige Brands Holdings, Inc. 111,489 5,464,076 0.1%
#* Repligen Corp. 21,271 707,048 0.0%
#* RTI Surgical, Inc. 73,086 307,327 0.0%
#* SciClone Pharmaceuticals, Inc. 13,028 99,273 0.0%
# Select Medical Holdings Corp. 42,204 476,905 0.0%
* SunLink Health Systems, Inc. 1,750 2,975 0.0%
#* SurModics, Inc. 5,593 119,299 0.0%
* Symmetry Surgical, Inc. 19,262 163,727 0.0%
# Teleflex, Inc. 37,223 4,950,659 0.1%
Thermo Fisher Scientific, Inc. 499,520 65,327,226 1.2%
#* Triple-S Management Corp. Class B 20,684 425,884 0.0%
UnitedHealth Group, Inc. 89,716 10,566,750 0.2%
# Universal American Corp. 84,328 629,087 0.0%
* VCA, Inc. 69,140 3,786,798 0.1%
#* WellCare Health Plans, Inc. 18,375 1,628,025 0.0%
#* Wright Medical Group NV 5,134 99,240 0.0%
Zoetis, Inc. 65,996 2,838,488 0.1%
------------ ----
Total Health Care 610,698,670 11.4%
------------ ----
Industrials -- (12.4%)
AAR Corp. 32,906 746,637 0.0%
# ABM Industries, Inc. 64,500 1,831,800 0.0%
Acme United Corp. 1,030 16,841 0.0%
# Actuant Corp. Class A 44,986 1,025,681 0.0%
# ADT Corp. (The) 189,445 6,259,263 0.1%
#* AECOM 55,835 1,645,457 0.0%
* Aegion Corp. 42,549 820,770 0.0%
#* Aerovironment, Inc. 35,065 808,950 0.0%
# AGCO Corp. 58,973 2,853,703 0.1%
#* Air Transport Services Group, Inc. 6,308 61,755 0.0%
# Alamo Group, Inc. 22,751 1,067,477 0.0%
Alaska Air Group, Inc. 105,252 8,025,465 0.2%
# Albany International Corp. Class A 20,551 772,101 0.0%
AMERCO 29,431 11,958,110 0.2%
#* Ameresco, Inc. Class A 981 6,357 0.0%
# American Railcar Industries, Inc. 20,003 1,154,573 0.0%
Apogee Enterprises, Inc. 36,374 1,801,604 0.0%
ArcBest Corp. 12,135 314,297 0.0%
# Argan, Inc. 21 776 0.0%
# Astec Industries, Inc. 22,925 745,063 0.0%
#* Atlas Air Worldwide Holdings, Inc. 36,746 1,515,405 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Industrials -- (Continued)
* Avis Budget Group, Inc. 94,608 $ 4,724,724 0.1%
# Barnes Group, Inc. 36,400 1,368,276 0.0%
# Barrett Business Services, Inc. 1,149 56,278 0.0%
* BlueLinx Holdings, Inc. 17,052 11,936 0.0%
# Brady Corp. Class A 38,500 875,875 0.0%
# Briggs & Stratton Corp. 41,033 729,156 0.0%
#* Builders FirstSource, Inc. 12,182 143,991 0.0%
* CAI International, Inc. 17,082 198,493 0.0%
#* Casella Waste Systems, Inc. Class A 5,201 31,570 0.0%
# Caterpillar, Inc. 99,317 7,249,148 0.1%
#* CBIZ, Inc. 38,149 410,102 0.0%
# CDI Corp. 26,779 214,232 0.0%
# Ceco Environmental Corp. 3,773 33,655 0.0%
# Celadon Group, Inc. 24,642 356,816 0.0%
# Chicago Rivet & Machine Co. 700 18,333 0.0%
# CIRCOR International, Inc. 10,019 460,072 0.0%
# Columbus McKinnon Corp. 17,542 327,860 0.0%
Comfort Systems USA, Inc. 44,560 1,422,801 0.0%
Compx International, Inc. 500 5,620 0.0%
# Covanta Holding Corp. 94,292 1,580,334 0.0%
#* Covenant Transportation Group, Inc. Class A 7,080 136,644 0.0%
* CPI Aerostructures, Inc. 4,626 39,321 0.0%
* CRA International, Inc. 7,613 178,144 0.0%
CSX Corp. 1,242,950 33,547,220 0.6%
Curtiss-Wright Corp. 46,353 3,224,315 0.1%
* DigitalGlobe, Inc. 21,971 328,027 0.0%
Douglas Dynamics, Inc. 30,234 663,334 0.0%
* Ducommun, Inc. 12,645 273,638 0.0%
#* Dycom Industries, Inc. 39,867 3,033,480 0.1%
# Dynamic Materials Corp. 1,436 10,239 0.0%
Eastern Co. (The) 10,193 170,937 0.0%
Eaton Corp. P.L.C. 98,845 5,526,424 0.1%
EMCOR Group, Inc. 50,540 2,440,071 0.1%
# Encore Wire Corp. 19,966 853,946 0.0%
#* Energy Recovery, Inc. 1,783 12,784 0.0%
# EnerSys 43,239 2,637,147 0.1%
# Engility Holdings, Inc. 7,988 257,134 0.0%
# Ennis, Inc. 48,483 971,114 0.0%
# EnPro Industries, Inc. 17,635 866,055 0.0%
# ESCO Technologies, Inc. 17,601 652,821 0.0%
Espey Manufacturing & Electronics Corp. 1,671 42,109 0.0%
# Essendant, Inc. 24,021 830,406 0.0%
#* Esterline Technologies Corp. 44,968 3,464,784 0.1%
# Federal Signal Corp. 141,916 2,137,255 0.1%
FedEx Corp. 142,324 22,209,660 0.4%
# Fortune Brands Home & Security, Inc. 149,626 7,829,929 0.2%
* Franklin Covey Co. 3,046 52,178 0.0%
# FreightCar America, Inc. 9,404 170,965 0.0%
#* FTI Consulting, Inc. 25,736 875,281 0.0%
* Furmanite Corp. 31,044 215,756 0.0%
# G&K Services, Inc. Class A 29,714 1,955,775 0.1%
# GATX Corp. 65,445 3,056,282 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Industrials -- (Continued)
#* Genco Shipping & Trading, Ltd. 8 $ 19 0.0%
#* Gencor Industries, Inc. 8,766 84,855 0.0%
General Dynamics Corp. 15,017 2,231,226 0.1%
General Electric Co. 5,637,788 163,044,829 3.1%
#* Genesee & Wyoming, Inc. Class A 1,200 80,520 0.0%
* Gibraltar Industries, Inc. 24,203 612,820 0.0%
* GP Strategies Corp. 18,583 466,247 0.0%
# Granite Construction, Inc. 27,179 892,558 0.0%
#* Great Lakes Dredge & Dock Corp. 69,820 279,280 0.0%
# Greenbrier Cos., Inc. (The) 22,451 854,036 0.0%
# Griffon Corp. 67,323 1,156,609 0.0%
H&E Equipment Services, Inc. 59,629 1,151,436 0.0%
#* Hawaiian Holdings, Inc. 18,070 627,029 0.0%
# Heidrick & Struggles International, Inc. 18,234 484,295 0.0%
* Hertz Global Holdings, Inc. 278,411 5,429,014 0.1%
#* Hill International, Inc. 27,154 91,781 0.0%
Huntington Ingalls Industries, Inc. 47,666 5,717,060 0.1%
Hurco Cos., Inc. 7,910 212,542 0.0%
* Huron Consulting Group, Inc. 4,001 193,248 0.0%
# Hyster-Yale Materials Handling, Inc. 12,246 716,636 0.0%
#* ICF International, Inc. 31,660 971,012 0.0%
Ingersoll-Rand P.L.C. 213,109 12,628,839 0.3%
Insteel Industries, Inc. 17,578 375,993 0.0%
# International Shipholding Corp. 7,348 14,916 0.0%
* JetBlue Airways Corp. 324,893 8,070,342 0.2%
Kadant, Inc. 5,786 237,920 0.0%
KAR Auction Services, Inc. 18,100 695,040 0.0%
KBR, Inc. 3,600 66,384 0.0%
# Kennametal, Inc. 1,000 28,120 0.0%
* Key Technology, Inc. 3,199 35,797 0.0%
Kimball International, Inc. Class B 31,258 341,337 0.0%
Korn/Ferry International 33,148 1,205,593 0.0%
#* Kratos Defense & Security Solutions, Inc. 2,711 13,528 0.0%
L-3 Communications Holdings, Inc. 100,470 12,699,408 0.3%
#* Lawson Products, Inc. 8,847 230,110 0.0%
# LB Foster Co. Class A 6,682 98,426 0.0%
#* LMI Aerospace, Inc. 13,807 144,835 0.0%
LS Starrett Co. (The) Class A 4,097 48,959 0.0%
LSI Industries, Inc. 27,715 297,659 0.0%
#* Lydall, Inc. 14,605 499,929 0.0%
Manpowergroup, Inc. 22,886 2,100,477 0.1%
# Marten Transport, Ltd. 47,782 783,147 0.0%
Matson, Inc. 62,316 2,855,942 0.1%
# Matthews International Corp. Class A 12,387 715,102 0.0%
# McGrath RentCorp 17,552 527,438 0.0%
* Mfri, Inc. 8,900 50,196 0.0%
# Miller Industries, Inc. 20,099 455,845 0.0%
# Mobile Mini, Inc. 54,461 1,864,745 0.0%
* Moog, Inc. Class A 35,339 2,182,537 0.1%
# Mueller Industries, Inc. 30,912 974,346 0.0%
# Mueller Water Products, Inc. Class A 185,957 1,636,422 0.0%
# Multi-Color Corp. 308 23,975 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ----------- ---------------
Industrials -- (Continued)
#* MYR Group, Inc. 19,582 $ 440,595 0.0%
National Presto Industries, Inc. 571 50,277 0.0%
* Navigant Consulting, Inc. 12,297 211,508 0.0%
Nielsen Holdings P.L.C. 16,256 772,323 0.0%
#* NL Industries, Inc. 47,751 166,651 0.0%
# NN, Inc. 18,396 253,865 0.0%
Norfolk Southern Corp. 545,229 43,634,677 0.8%
Northrop Grumman Corp. 175,493 32,948,811 0.6%
#* Northwest Pipe Co. 6,690 88,375 0.0%
#* NOW, Inc. 62,737 1,035,788 0.0%
* On Assignment, Inc. 53,951 2,433,730 0.1%
Orbital ATK, Inc. 56,610 4,846,948 0.1%
# Oshkosh Corp. 14,466 594,408 0.0%
Owens Corning 149,300 6,797,629 0.1%
#* PAM Transportation Services, Inc. 15,437 551,255 0.0%
# Pentair P.L.C. 117,934 6,594,869 0.1%
# Powell Industries, Inc. 7,529 250,866 0.0%
#* PowerSecure International, Inc. 19,459 242,459 0.0%
Precision Castparts Corp. 6,312 1,456,873 0.0%
Providence and Worcester Railroad Co. 850 13,617 0.0%
Quad/Graphics, Inc. 2,390 30,831 0.0%
# Quanex Building Products Corp. 21,431 404,403 0.0%
#* Quanta Services, Inc. 168,307 3,384,654 0.1%
Raytheon Co. 96,954 11,382,400 0.2%
RCM Technologies, Inc. 20,293 103,697 0.0%
Regal Beloit Corp. 16,070 1,025,105 0.0%
#* Republic Airways Holdings, Inc. 48,736 280,719 0.0%
Republic Services, Inc. 429,755 18,797,484 0.4%
# Resources Connection, Inc. 25,955 465,892 0.0%
* Roadrunner Transportation Systems, Inc. 879 9,353 0.0%
#* Rush Enterprises, Inc. Class A 32,603 794,861 0.0%
#* Rush Enterprises, Inc. Class B 18,522 420,079 0.0%
# Ryder System, Inc. 89,844 6,449,002 0.1%
#* Saia, Inc. 8,925 210,719 0.0%
SIFCO Industries, Inc. 6,623 82,655 0.0%
# SkyWest, Inc. 38,506 733,154 0.0%
* SL Industries, Inc. 300 10,050 0.0%
Southwest Airlines Co. 645,761 29,892,277 0.6%
#* Sparton Corp. 9,132 214,876 0.0%
SPX Corp. 12,803 156,837 0.0%
#* SPX FLOW, Inc. 12,803 434,022 0.0%
# Standex International Corp. 22,341 2,004,435 0.1%
Stanley Black & Decker, Inc. 154,919 16,418,316 0.3%
Steelcase, Inc. Class A 55,469 1,076,653 0.0%
Supreme Industries, Inc. Class A 1,433 11,464 0.0%
#* TAL International Group, Inc. 24,053 407,939 0.0%
# Terex Corp. 27,578 553,215 0.0%
# Tetra Tech, Inc. 45,222 1,216,472 0.0%
* Titan Machinery, Inc. 2,883 35,259 0.0%
#* TRC Cos., Inc. 23,870 246,577 0.0%
# Trinity Industries, Inc. 183,814 4,975,845 0.1%
Triumph Group, Inc. 57,456 2,676,300 0.1%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
Industrials -- (Continued)
#* Tutor Perini Corp. 33,844 $ 567,902 0.0%
# Twin Disc, Inc. 900 10,602 0.0%
Tyco International P.L.C. 240,619 8,768,156 0.2%
* Ultralife Corp. 3,309 22,435 0.0%
# UniFirst Corp. 18,705 1,965,334 0.1%
Union Pacific Corp. 888,128 79,354,237 1.5%
Universal Forest Products, Inc. 31,800 2,309,634 0.1%
#* USA Truck, Inc. 15,105 274,609 0.0%
* Vectrus, Inc. 4,069 101,196 0.0%
#* Veritiv Corp. 9,437 396,354 0.0%
#* Versar, Inc. 5,526 18,015 0.0%
Viad Corp. 23,193 698,341 0.0%
#* Virco Manufacturing Corp. 12,601 45,616 0.0%
# VSE Corp. 305 17,525 0.0%
Waste Connections, Inc. 2,800 152,544 0.0%
# Watts Water Technologies, Inc. Class A 53,615 2,918,801 0.1%
# Werner Enterprises, Inc. 34,105 902,418 0.0%
#* Wesco Aircraft Holdings, Inc. 6,228 77,601 0.0%
#* WESCO International, Inc. 11,687 571,845 0.0%
* Willdan Group, Inc. 1,000 11,110 0.0%
* Willis Lease Finance Corp. 6,713 104,723 0.0%
#* XPO Logistics, Inc. 12,216 339,116 0.0%
------------ ----
Total Industrials 707,434,074 13.2%
------------ ----
Information Technology -- (8.0%)
# Activision Blizzard, Inc. 982,162 34,139,951 0.7%
* Actua Corp. 1,184 16,398 0.0%
#* Acxiom Corp. 7,769 171,850 0.0%
#* Advanced Energy Industries, Inc. 34,960 988,669 0.0%
#* Agilysys, Inc. 16,899 192,142 0.0%
#* Alpha & Omega Semiconductor, Ltd. 419 3,721 0.0%
#* Amtech Systems, Inc. 6,195 31,904 0.0%
#* ANADIGICS, Inc. 6,921 1,592 0.0%
#* ARRIS Group, Inc. 140,787 3,978,641 0.1%
* Arrow Electronics, Inc. 182,170 10,017,528 0.2%
Astro-Med, Inc. 6,285 82,836 0.0%
Avnet, Inc. 139,400 6,332,942 0.1%
# AVX Corp. 172,540 2,329,290 0.1%
* Aware, Inc. 14,326 46,273 0.0%
#* Axcelis Technologies, Inc. 700 1,960 0.0%
* AXT, Inc. 20,506 45,113 0.0%
# Bel Fuse, Inc. Class A 3,874 61,597 0.0%
# Bel Fuse, Inc. Class B 11,837 213,421 0.0%
#* Benchmark Electronics, Inc. 62,063 1,227,606 0.0%
Black Box Corp. 18,611 227,240 0.0%
* Blackhawk Network Holdings, Inc. 25,926 1,103,929 0.0%
#* Blucora, Inc. 81,156 795,329 0.0%
Brocade Communications Systems, Inc. 461,513 4,808,965 0.1%
# Brooks Automation, Inc. 50,847 561,351 0.0%
* Bsquare Corp. 4,065 44,227 0.0%
* CACI International, Inc. Class A 24,830 2,409,503 0.1%
* Calix, Inc. 16,027 112,029 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Information Technology -- (Continued)
#* Cascade Microtech, Inc. 24,071 $ 368,768 0.0%
# Checkpoint Systems, Inc. 27,235 203,718 0.0%
#* CIBER, Inc. 34,165 121,969 0.0%
Cisco Systems, Inc. 2,617,806 75,523,703 1.4%
# Cohu, Inc. 28,915 364,040 0.0%
Communications Systems, Inc. 11,639 94,392 0.0%
Computer Sciences Corp. 161,200 10,734,308 0.2%
# Comtech Telecommunications Corp. 15,569 376,147 0.0%
Concurrent Computer Corp. 13,740 68,288 0.0%
# Convergys Corp. 197,364 5,066,334 0.1%
* CoreLogic, Inc. 96,545 3,763,324 0.1%
# Corning, Inc. 816,154 15,180,464 0.3%
#* Cray, Inc. 12,866 381,220 0.0%
CSP, Inc. 2,414 13,567 0.0%
# CTS Corp. 66,936 1,216,897 0.0%
* CyberOptics Corp. 7,734 54,447 0.0%
#* Cypress Semiconductor Corp. 52,022 548,312 0.0%
* Datalink Corp. 28,408 207,378 0.0%
* Digi International, Inc. 25,438 328,150 0.0%
#* Diodes, Inc. 4,709 107,836 0.0%
#* DSP Group, Inc. 46,713 471,801 0.0%
# EarthLink Holdings Corp. 83,735 715,934 0.0%
* EchoStar Corp. Class A 23,551 1,055,791 0.0%
* Edgewater Technology, Inc. 13,603 108,008 0.0%
# Electro Rent Corp. 24,062 249,764 0.0%
Electro Scientific Industries, Inc. 6,085 28,417 0.0%
* Electronics for Imaging, Inc. 58,110 2,698,628 0.1%
EMC Corp. 342,124 8,970,491 0.2%
* Emcore Corp. 744 5,089 0.0%
#* EnerNOC, Inc. 13,197 103,464 0.0%
#* Entegris, Inc. 300 3,849 0.0%
EPIQ Systems, Inc. 23,453 323,651 0.0%
* ePlus, Inc. 8,745 738,253 0.0%
#* Euronet Worldwide, Inc. 23,278 1,867,827 0.1%
#* Exar Corp. 51,341 292,130 0.0%
#* Fabrinet 4,055 87,872 0.0%
#* Fairchild Semiconductor International, Inc. 118,008 1,968,373 0.1%
Fidelity National Information Services, Inc. 151,857 11,073,412 0.2%
#* Finisar Corp. 61,526 699,551 0.0%
* First Solar, Inc. 28,266 1,613,141 0.0%
#* FormFactor, Inc. 30,568 251,880 0.0%
* Frequency Electronics, Inc. 16,953 185,127 0.0%
* GSE Systems, Inc. 10,238 13,924 0.0%
#* GSI Technology, Inc. 5,863 24,742 0.0%
Hackett Group, Inc. (The) 53,321 793,417 0.0%
#* Harmonic, Inc. 22,962 132,261 0.0%
HP, Inc. 810,974 21,863,859 0.4%
#* Hutchinson Technology, Inc. 13,656 23,898 0.0%
IAC/InterActiveCorp 125,298 8,396,219 0.2%
#* ID Systems, Inc. 17,291 60,864 0.0%
#* Identiv, Inc. 1,017 2,614 0.0%
Ingram Micro, Inc. Class A 277,679 8,269,281 0.2%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ----------- ---------------
Information Technology -- (Continued)
* Insight Enterprises, Inc. 42,100 $ 1,069,340 0.0%
* Integrated Device Technology, Inc. 155,683 3,969,917 0.1%
Integrated Silicon Solution, Inc. 42,178 948,161 0.0%
Intel Corp. 1,924,139 65,151,347 1.2%
#* Internap Corp. 32,386 218,929 0.0%
# Intersil Corp. Class A 119,798 1,623,263 0.0%
#* Intevac, Inc. 4,144 20,306 0.0%
* IntriCon Corp. 2,835 23,190 0.0%
#* Itron, Inc. 33,397 1,226,672 0.0%
IXYS Corp. 3,055 38,065 0.0%
Juniper Networks, Inc. 212,100 6,657,819 0.1%
* Key Tronic Corp. 17,623 146,800 0.0%
#* Kimball Electronics, Inc. 23,443 267,016 0.0%
* Kulicke & Soffa Industries, Inc. 71,688 759,893 0.0%
#* KVH Industries, Inc. 19,858 194,608 0.0%
#* Lattice Semiconductor Corp. 108,469 496,788 0.0%
# Lexmark International, Inc. Class A 35,849 1,164,734 0.0%
#* Limelight Networks, Inc. 18,463 37,665 0.0%
# ManTech International Corp. Class A 2,048 59,187 0.0%
# Marvell Technology Group, Ltd. 166,418 1,366,292 0.0%
#* Maxwell Technologies, Inc. 2,521 15,126 0.0%
# Mentor Graphics Corp. 35,620 968,864 0.0%
* Mercury Systems, Inc. 2,055 35,264 0.0%
Methode Electronics, Inc. 79,272 2,642,136 0.1%
#* Micron Technology, Inc. 758,908 12,567,517 0.3%
# MKS Instruments, Inc. 61,200 2,156,688 0.1%
MOCON, Inc. 700 9,597 0.0%
#* ModusLink Global Solutions, Inc. 68,955 199,280 0.0%
NCI, Inc. Class A 686 10,660 0.0%
* NETGEAR, Inc. 428 17,719 0.0%
* Newport Corp. 64,756 978,463 0.0%
#* Novatel Wireless, Inc. 10,953 23,549 0.0%
* OmniVision Technologies, Inc. 37,132 1,072,001 0.0%
Optical Cable Corp. 10,793 33,782 0.0%
#* PAR Technology Corp. 12,896 67,833 0.0%
# Park Electrochemical Corp. 1,642 26,830 0.0%
# PC Connection, Inc. 39,267 912,565 0.0%
PC-Tel, Inc. 30,854 176,331 0.0%
* PCM, Inc. 10,471 97,066 0.0%
* Perceptron, Inc. 8,428 67,003 0.0%
Pericom Semiconductor Corp. 37,284 650,606 0.0%
#* Photronics, Inc. 79,712 764,438 0.0%
* Planar Systems, Inc. 3,449 21,487 0.0%
#* Plexus Corp. 10,626 367,872 0.0%
#* PMC-Sierra, Inc. 102,988 1,227,617 0.0%
* Polycom, Inc. 36,977 509,543 0.0%
* Qorvo, Inc. 24,909 1,094,252 0.0%
* Qualstar Corp. 2,118 2,499 0.0%
#* Rambus, Inc. 1,069 11,032 0.0%
#* RealNetworks, Inc. 17,952 69,654 0.0%
Reis, Inc. 13,511 328,858 0.0%
# RF Industries, Ltd. 2,823 12,732 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------ ---------------
Information Technology -- (Continued)
Richardson Electronics, Ltd. 22,324 $ 133,944 0.0%
#* Rofin-Sinar Technologies, Inc. 4,978 144,163 0.0%
#* Rogers Corp. 7,543 350,900 0.0%
#* Rovi Corp. 19,000 173,850 0.0%
#* Rudolph Technologies, Inc. 16,097 205,881 0.0%
# SanDisk Corp. 13,097 1,008,469 0.0%
#* Sanmina Corp. 39,846 823,617 0.0%
#* ScanSource, Inc. 14,745 508,850 0.0%
#* Seachange International, Inc. 8,687 56,205 0.0%
* ShoreTel, Inc. 3,200 30,208 0.0%
#* Sonus Networks, Inc. 6,622 43,771 0.0%
SS&C Technologies Holdings, Inc. 25,793 1,912,551 0.1%
* StarTek, Inc. 22,913 82,487 0.0%
#* SunPower Corp. 18,322 491,762 0.0%
#* Super Micro Computer, Inc. 5,886 166,044 0.0%
#* support.com, Inc. 15,100 17,516 0.0%
* Sykes Enterprises, Inc. 20,292 588,468 0.0%
# SYNNEX Corp. 55,900 4,943,796 0.1%
* Synopsys, Inc. 4,200 209,916 0.0%
#* Tech Data Corp. 82,952 6,038,076 0.1%
* TeleCommunication Systems, Inc. Class A 42,347 173,199 0.0%
#* Telenav, Inc. 9,865 71,028 0.0%
# Teradyne, Inc. 26,789 522,921 0.0%
Tessco Technologies, Inc. 8,689 189,768 0.0%
Tessera Technologies, Inc. 48,635 1,700,766 0.0%
TheStreet, Inc. 2,840 4,090 0.0%
#* TTM Technologies, Inc. 55,241 403,259 0.0%
#* United Online, Inc. 17,780 207,670 0.0%
#* Veeco Instruments, Inc. 15,978 287,924 0.0%
#* Virtusa Corp. 30,064 1,726,576 0.1%
# Vishay Intertechnology, Inc. 151,731 1,608,349 0.0%
* Vishay Precision Group, Inc. 16,480 193,310 0.0%
Western Digital Corp. 212,781 14,218,026 0.3%
#* Xcerra Corp. 20,165 139,945 0.0%
Xerox Corp. 1,036,475 9,732,500 0.2%
* XO Group, Inc. 6,284 95,077 0.0%
* Yahoo!, Inc. 1,048,770 37,357,187 0.7%
------------ ---
Total Information Technology 456,903,726 8.5%
------------ ---
Materials -- (2.3%)
A Schulman, Inc. 32,960 1,182,934 0.0%
# Alcoa, Inc. 995,255 8,887,627 0.2%
# Allegheny Technologies, Inc. 22,777 334,822 0.0%
#* AM Castle & Co. 24,982 59,707 0.0%
Ampco-Pittsburgh Corp. 4,007 46,441 0.0%
Ashland, Inc. 112,560 12,350,083 0.2%
Axiall Corp. 26,423 535,066 0.0%
Bemis Co., Inc. 25,154 1,151,550 0.0%
Cabot Corp. 46,280 1,663,303 0.0%
#* Century Aluminum Co. 15,822 57,276 0.0%
* Chemtura Corp. 49,368 1,576,814 0.0%
* Clearwater Paper Corp. 16,822 848,333 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------- ------------ ---------------
Materials -- (Continued)
# Commercial Metals Co. 85,208 $ 1,224,439 0.0%
#* Core Molding Technologies, Inc. 11,847 237,414 0.0%
# Cytec Industries, Inc. 129,400 9,629,948 0.2%
Domtar Corp. 8,107 334,333 0.0%
Dow Chemical Co. (The) 11,060 571,470 0.0%
# Freeport-McMoRan, Inc. 327,519 3,854,899 0.1%
Friedman Industries, Inc. 13,926 83,417 0.0%
# FutureFuel Corp. 6,104 94,063 0.0%
Graphic Packaging Holding Co. 154,000 2,180,640 0.1%
# Greif, Inc. Class A 4,885 160,130 0.0%
#* Headwaters, Inc. 1,311 26,941 0.0%
#* Horsehead Holding Corp. 49,015 139,203 0.0%
# Huntsman Corp. 50,242 661,687 0.0%
International Paper Co. 493,615 21,072,424 0.4%
Kaiser Aluminum Corp. 27,181 2,209,543 0.1%
# KapStone Paper and Packaging Corp. 80,984 1,761,402 0.0%
* Kraton Performance Polymers, Inc. 5,435 110,820 0.0%
#* Louisiana-Pacific Corp. 173,457 3,063,251 0.1%
# Martin Marietta Materials, Inc. 23,633 3,666,660 0.1%
# Materion Corp. 18,497 557,685 0.0%
Mercer International, Inc. 21,725 234,630 0.0%
# Minerals Technologies, Inc. 34,280 2,020,463 0.1%
Mosaic Co. (The) 17,274 583,688 0.0%
# Myers Industries, Inc. 57,792 902,133 0.0%
# Neenah Paper, Inc. 7,684 517,978 0.0%
Newmont Mining Corp. 48,146 936,921 0.0%
* Northern Technologies International Corp. 3,035 54,478 0.0%
Nucor Corp. 83,945 3,550,874 0.1%
Olin Corp. 69,801 1,338,783 0.0%
# Olympic Steel, Inc. 9,986 95,566 0.0%
# PH Glatfelter Co. 50,600 981,640 0.0%
# PolyOne Corp. 5,174 173,019 0.0%
Reliance Steel & Aluminum Co. 93,801 5,624,308 0.1%
* Resolute Forest Products, Inc. 1,817 13,573 0.0%
# Schnitzer Steel Industries, Inc. Class A 400 6,744 0.0%
Sensient Technologies Corp. 38,101 2,486,852 0.1%
Steel Dynamics, Inc. 94,919 1,753,154 0.0%
#* Stillwater Mining Co. 55,630 519,584 0.0%
SunCoke Energy, Inc. 62,210 308,562 0.0%
Synalloy Corp. 5,144 44,856 0.0%
Tredegar Corp. 27,973 398,895 0.0%
# Tronox, Ltd. Class A 1,600 9,936 0.0%
#* Universal Stainless & Alloy Products, Inc. 6,269 54,540 0.0%
Vulcan Materials Co. 58,246 5,625,399 0.1%
Wausau Paper Corp. 9,413 96,107 0.0%
Westlake Chemical Corp. 158,152 9,531,821 0.2%
WestRock Co. 200,591 10,783,772 0.2%
# Worthington Industries, Inc. 47,320 1,452,724 0.0%
------------ ---
Total Materials 130,435,325 2.4%
------------ ---
Other -- (0.0%)
(degrees)# Gerber Scientific, Inc. Escrow Shares 47,409 -- 0.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------- -------------- ---------------
Other -- (Continued)
(degrees) Petrocorp, Inc. Escrow Shares 900 $ -- 0.0%
-------------- -----
Total Other -- 0.0%
-------------- -----
Telecommunication Services -- (3.9%)
AT&T, Inc. 5,441,020 182,328,580 3.4%
# Atlantic Tele-Network, Inc. 84 6,419 0.0%
CenturyLink, Inc. 512,432 14,455,707 0.3%
Frontier Communications Corp. 696,949 3,582,318 0.1%
#* General Communication, Inc. Class A 45,867 934,081 0.0%
#* Iridium Communications, Inc. 14,800 121,508 0.0%
Lumos Networks Corp. 500 6,480 0.0%
#* ORBCOMM, Inc. 44,499 264,324 0.0%
#* Premiere Global Services, Inc. 2,000 27,360 0.0%
# Shenandoah Telecommunications Co. 56,354 2,636,804 0.0%
Spok Holdings, Inc. 12,522 225,772 0.0%
#* Sprint Corp. 422,600 1,998,898 0.0%
* T-Mobile US, Inc. 113,786 4,311,352 0.1%
Telephone & Data Systems, Inc. 111,207 3,184,969 0.1%
#* United States Cellular Corp. 7,591 309,257 0.0%
Verizon Communications, Inc. 187,958 8,811,471 0.2%
#* Vonage Holdings Corp. 85,934 521,619 0.0%
-------------- -----
Total Telecommunication Services 223,726,919 4.2%
-------------- -----
Utilities -- (0.1%)
* Calpine Corp. 62,921 975,905 0.0%
Consolidated Water Co., Ltd. 6,656 73,682 0.0%
NRG Energy, Inc. 263,762 3,399,892 0.1%
# Ormat Technologies, Inc. 20,134 759,454 0.0%
# UGI Corp. 78,988 2,896,490 0.1%
-------------- -----
Total Utilities 8,105,423 0.2%
-------------- -----
TOTAL COMMON STOCKS 5,346,276,685 100.0%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
(degrees)* Leap Wireless International, Inc. Contingent Value Rights 8,393 15,863 0.0%
(degrees)#* Magnum Hunter Resources Corp. Warrants 04/15/16 8,220 -- 0.0%
(degrees)* Safeway Casa Ley Contingent Value Rights 157,807 160,158 0.0%
(degrees)* Safeway PDC, LLC Contingent Value Rights 157,807 7,701 0.0%
-------------- -----
TOTAL RIGHTS/WARRANTS 183,722 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES 5,346,460,407
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional Liquid Reserves, 0.140% 3,231,849 3,231,849 0.1%
-------------- -----
SECURITIES LENDING COLLATERAL -- (6.3%)
(S)@ DFA Short Term Investment Fund 31,241,165 361,460,279 6.7%
-------------- -----
TOTAL INVESTMENTS -- (100.0%) (Cost $3,382,943,498) $5,711,152,535 106.8%
============== =====
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
Summary of the Series' investments as of October 31, 2015, 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 $1,008,822,964 -- -- $1,008,822,964
Consumer Staples 423,884,025 -- -- 423,884,025
Energy 746,283,815 -- -- 746,283,815
Financials 1,029,981,744 -- -- 1,029,981,744
Health Care 610,698,670 -- -- 610,698,670
Industrials 707,434,074 -- -- 707,434,074
Information Technology 456,903,726 -- -- 456,903,726
Materials 130,435,325 -- -- 130,435,325
Other -- -- -- --
Telecommunication Services 223,726,919 -- -- 223,726,919
Utilities 8,105,423 -- -- 8,105,423
Rights/Warrants -- $ 183,722 -- 183,722
Temporary Cash Investments 3,231,849 -- -- 3,231,849
Securities Lending Collateral -- 361,460,279 -- 361,460,279
-------------- ------------ -- --------------
TOTAL $5,349,508,534 $361,644,001 -- $5,711,152,535
============== ============ == ==============
(b)Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this Form
N-CSR (the "Report"), the Registrant's Principal Executive Officer and
Principal Financial Officer believe that the disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940, as amended) are effectively designed to ensure that
information required to be disclosed by the Registrant in the Report
is recorded, processed, summarized and reported by the filing date,
including ensuring that information required to be disclosed in the
Report is accumulated and communicated to the Registrant's officers
that are making certifications in the Report, as appropriate, to allow
timely decisions regarding required disclosure. The Registrant's
management, including the Principal Executive Officer and the
Principal Financial Officer, recognizes that any set of controls and
procedures, no matter how well designed and operated, can provide only
reasonable assurance of achieving the desired control objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the second
fiscal quarter of the period covered by this Report that have
materially affected, or are reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEM 12.EXHIBITS.
(a)(1) Code of Ethics is filed herewith.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
The DFA Investment Trust Company
By: /s/ David G. Booth
--------------------------------
David G. Booth
Chairman, Trustee, President and
Co-Chief Executive Officer
Date: January 7, 2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ David G. Booth
--------------------------------
David G. Booth
Principal Executive Officer
The DFA Investment Trust Company
Date: January 7, 2016
By: /s/ David R. Martin
--------------------------------
David R. Martin
Principal Financial Officer
The DFA Investment Trust Company
Date: January 7, 2016